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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 811-07455
Virtus Opportunities Trust
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301-9668
(Address of principal executive offices) (Zip code)
Kevin J. Carr, Esq.
Senior Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
100 Pearl Street
Hartford, CT 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 243-1574
Date of fiscal year end: September 30
Date of reporting period: September 30, 2018
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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ANNUAL REPORT VIRTUS OPPORTUNITIES TRUST |
September 30, 2018
Virtus Newfleet Bond Fund |
Virtus Newfleet CA Tax-Exempt Bond Fund |
Virtus Newfleet High Yield Fund |
Virtus Newfleet Low Duration Income Fund |
Virtus Newfleet Multi-Sector Intermediate Bond Fund |
Virtus Newfleet Senior Floating Rate Fund |
Virtus Newfleet Tax-Exempt Bond Fund |
Not FDIC Insured
No Bank Guarantee
May Lose Value
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Proxy Voting Procedures and Voting Record (Form N-PX)
The subadviser votes proxies (if any) relating to portfolio securities in accordance with procedures that have been approved by the Board of Trustees of the Trust (“Trustees,” or the “Board”). You may obtain a description of these procedures, along with information regarding how the Funds voted proxies during the most recent 12-month period ended June 30, free of charge, by calling toll-free 1-800-243-1574. This information is also available through the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.
Form N-Q Information
The Trust files a complete schedule of portfolio holdings for each Fund with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov. Form N-Q may be reviewed and copied at the SEC’s Public Reference Room. Information on the operation of the SEC’s Public Reference Room can be obtained by calling toll-free 1-800-SEC-0330.
This report is not authorized for distribution to prospective investors in the Funds presented in this book unless preceded or accompanied by an effective prospectus which includes information concerning the sales charge, each Fund’s record and other pertinent information.
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To My Fellow Shareholders of Virtus Mutual Funds:
I am pleased to present this annual report that reviews the performance of your fund for the 12 months ended September 30, 2018.
U.S. economic growth and strong corporate earnings were consistent themes during the period, which began on an optimistic note with the sweeping tax overhaul that was signed into law at the end of 2017. As growth heated up, inflation fears caused stock markets to plunge in early February, ushering in the return of volatility after being conspicuously absent throughout 2017. Global trade war concerns sparked by the Trump administration’s tariff talk caused markets to remain unsettled into March before resuming | ||
an upward course through the spring and late summer. Meanwhile, persistent economic strength moved the Federal Reserve to hike its key interest rate four times in the period, most recently in late September, to end at 2.25%, its highest level in nearly a decade.
For the 12 months ended September 30, 2018, U.S. large-cap stocks, as measured by the S&P 500® Index, returned 17.91%, outpacing small-cap stocks, which returned 15.24%, as measured by the Russell 2000® Index. Within international equities, performance was mixed with developed markets up 2.74%, as measured by the MSCI EAFE® Index (net), and emerging markets down 0.81%, as measured by the MSCI Emerging Markets Index (net).
In the fixed income markets, the yield on the 10-year Treasury steadily climbed, to reach 3.05% at September 30, 2018, up from 2.33% at September 30, 2017. The broader U.S. fixed income market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index, which tracks Treasuries and other investment-grade debt securities, declined 1.22% for the 12 months. Non-investment grade bonds eked out a positive return of 3.05%, as measured by the Bloomberg Barclays U.S. Corporate High Yield Bond Index.
Market uncertainty is an ever-present reminder of the importance of portfolio diversification, including exposure to traditional and alternative asset classes. While diversification cannot guarantee a profit or prevent a loss, owning a variety of asset classes may cushion your portfolio against inevitable market fluctuations. Your financial advisor can help you ensure that your portfolio is adequately diversified across asset classes and investment strategies, with a broad array of Virtus Funds available through your fund exchange privileges. These include distinctive equity, fixed income, international, and asset allocation funds managed by Virtus affiliates and select subadvisers. We invite you to learn more about the Virtus family of funds at Virtus.com.
On behalf of our investment affiliates, thank you for entrusting the Virtus Funds with your assets. Should you have questions about your account or require assistance, please visit Virtus.com, or call our customer service team at 1-800-243-1574. We appreciate your business and remain committed to your long-term financial success.
Sincerely,
George R. Aylward President, Virtus Mutual Funds
November 2018 |
Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above.
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VIRTUS OPPORTUNITIES TRUST
DISCLOSURE OF FUND EXPENSES (Unaudited)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of a Virtus Opportunities Trust Fund (each, a “Fund”) you may incur two types of costs: (1) transaction costs, including sales charges on purchases of Class A shares and contingent deferred sales charges on Class C shares; and (2) ongoing costs, including investment advisory fees, distribution, and other expenses. Class I shares and Class R6 shares are sold without a sales charge and do not incur distribution fees. Class R6 shares also do not incur shareholder servicing fees. For further information regarding applicable sales charges, see Note 1 in the Notes to Financial Statements. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period. The Annualized Expense Ratios may be different from the expense ratios in the Financial Highlights which is for the fiscal year ended September 30, 2018.
Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges or contingent deferred sales charges. Therefore, the accompanying tables are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
Actual Expenses
The table below provides information about a Fund’s actual account values and actual expenses. You may use the information in this section, 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 table under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||||
Newfleet Bond Fund | Class A | $ | 1,000.00 | $ | 1,000.40 | 0.84 | % | $ | 4.21 | |||||||||
Class C | 1,000.00 | 997.20 | 1.59 | 7.96 | ||||||||||||||
Class I | 1,000.00 | 1,001.90 | 0.59 | 2.96 | ||||||||||||||
Class R6 | 1,000.00 | 1,003.40 | 0.47 | 2.36 | ||||||||||||||
Newfleet CA Tax-Exempt Bond Fund | Class A | 1,000.00 | 1,004.10 | 0.85 | 4.27 | |||||||||||||
Class I | 1,000.00 | 1,006.20 | 0.60 | 3.02 | ||||||||||||||
Newfleet High Yield Fund | Class A | 1,000.00 | 1,030.40 | 1.00 | 5.09 | |||||||||||||
Class C | 1,000.00 | 1,026.60 | 1.75 | 8.89 | ||||||||||||||
Class I | 1,000.00 | 1,029.20 | 0.75 | 3.82 | ||||||||||||||
Class R6 | 1,000.00 | 1,029.50 | 0.69 | 3.51 | ||||||||||||||
Newfleet Low Duration Income Fund | Class A | 1,000.00 | 1,006.90 | 0.75 | 3.77 | |||||||||||||
Class C | 1,000.00 | 1,003.10 | 1.50 | 7.53 | ||||||||||||||
Class I | 1,000.00 | 1,008.10 | 0.50 | 2.52 | ||||||||||||||
Newfleet Multi-Sector Intermediate Bond Fund | Class A | 1,000.00 | 998.40 | 0.97 | 4.86 | |||||||||||||
Class C | 1,000.00 | 994.80 | 1.72 | 8.60 | ||||||||||||||
Class I | 1,000.00 | 999.80 | 0.72 | 3.61 | ||||||||||||||
Class R6 | 1,000.00 | 1,000.10 | 0.58 | 2.91 | ||||||||||||||
Newfleet Senior Floating Rate Fund | Class A | 1,000.00 | 1,021.40 | 1.11 | 5.62 | |||||||||||||
Class C | 1,000.00 | 1,017.60 | 1.86 | 9.40 | ||||||||||||||
Class I | 1,000.00 | 1,022.70 | 0.86 | 4.36 | ||||||||||||||
Class R6 | 1,000.00 | 1,022.40 | 0.72 | 3.65 | ||||||||||||||
Newfleet Tax-Exempt Bond Fund | Class A | 1,000.00 | 1,001.90 | 0.85 | 4.27 | |||||||||||||
Class C | 1,000.00 | 999.00 | 1.60 | 8.02 | ||||||||||||||
Class I | 1,000.00 | 1,003.10 | 0.60 | 3.01 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Each Fund may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expense ratios would have been higher.
You can find more information about a Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to that Fund’s prospectus.
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VIRTUS OPPORTUNITIES TRUST
DISCLOSURE OF FUND EXPENSES (Unaudited) (Continued)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your 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 this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other mutual funds.
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||||
Newfleet Bond Fund | Class A | $ | 1,000.00 | $ | 1,020.86 | 0.84 | % | $ | 4.26 | |||||||||
Class C | 1,000.00 | 1,017.10 | 1.59 | 8.04 | ||||||||||||||
Class I | 1,000.00 | 1,022.11 | 0.59 | 2.99 | ||||||||||||||
Class R6 | 1,000.00 | 1,022.71 | 0.47 | 2.38 | ||||||||||||||
Newfleet CA Tax-Exempt Bond Fund | Class A | 1,000.00 | 1,020.81 | 0.85 | 4.31 | |||||||||||||
Class I | 1,000.00 | 1,022.06 | 0.60 | 3.04 | ||||||||||||||
Newfleet High Yield Fund | Class A | 1,000.00 | 1,020.05 | 1.00 | 5.06 | |||||||||||||
Class C | 1,000.00 | 1,016.29 | 1.75 | 8.85 | ||||||||||||||
Class I | 1,000.00 | 1,021.31 | 0.75 | 3.80 | ||||||||||||||
Class R6 | 1,000.00 | 1,021.61 | 0.69 | 3.50 | ||||||||||||||
Newfleet Low Duration Income Fund | Class A | 1,000.00 | 1,021.31 | 0.75 | 3.80 | |||||||||||||
Class C | 1,000.00 | 1,017.55 | 1.50 | 7.59 | ||||||||||||||
Class I | 1,000.00 | 1,022.56 | 0.50 | 2.54 | ||||||||||||||
Newfleet Multi-Sector Intermediate Bond Fund | Class A | 1,000.00 | 1,020.21 | 0.97 | 4.91 | |||||||||||||
Class C | 1,000.00 | 1,016.44 | 1.72 | 8.69 | ||||||||||||||
Class I | 1,000.00 | 1,021.46 | 0.72 | 3.65 | ||||||||||||||
Class R6 | 1,000.00 | 1,022.16 | 0.58 | 2.94 | ||||||||||||||
Newfleet Senior Floating Rate Fund | Class A | 1,000.00 | 1,019.50 | 1.11 | 5.62 | |||||||||||||
Class C | 1,000.00 | 1,015.74 | 1.86 | 9.40 | ||||||||||||||
Class I | 1,000.00 | 1,020.76 | 0.86 | 4.36 | ||||||||||||||
Class R6 | 1,000.00 | 1,021.46 | 0.72 | 3.65 | ||||||||||||||
Newfleet Tax-Exempt Bond Fund | Class A | 1,000.00 | 1,020.81 | 0.85 | 4.31 | |||||||||||||
Class C | 1,000.00 | 1,017.05 | 1.60 | 8.09 | ||||||||||||||
Class I | 1,000.00 | 1,022.06 | 0.60 | 3.04 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Each Fund may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expense ratios would have been higher.
You can find more information about a Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to that Fund’s prospectus.
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VIRTUS OPPORTUNITIES TRUST
KEY INVESTMENT TERMS (Unaudited)
SEPTEMBER 30, 2018
American Depositary Receipt (“ADR”)
Represents shares of foreign companies traded in U.S. dollars on U.S. exchanges that are held by a U.S. bank or a trust. Foreign companies use ADRs in order to make it easier for Americans to buy their shares.
Bloomberg Barclays California Municipal Bond Index
The Bloomberg Barclays California Municipal Bond Index measures long term investment grade, tax-exempt and fixed rate bonds issued in California. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Bloomberg Barclays Municipal Bond Index
The Bloomberg Barclays Municipal Bond Index is a market capitalization-weighted index that measures the long-term tax-exempt bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
Bloomberg Barclays U.S. Aggregate Bond Index
The Bloomberg Barclays U.S. Aggregate Bond Index measures the U.S. investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Bloomberg Barclays U.S. Corporate High Yield Bond Index
The Bloomberg Barclays U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index
The Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index is a market capitalization-weighted index that measures fixed rate non-investment grade debt securities of U.S. and non-U.S. corporations. No single issuer accounts for more than 2% of market cap. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index
The Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index measures U.S. investment grade government and corporate debt securities with an average maturity of 4 to 5 years. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
Collateralized Loan Obligation (“CLO”)
A collateralized loan obligation is a type of security backed by a pool of debt, typically low-rated corporate loans, structured so that there are several classes of bondholders with varying maturities, called tranches.
Credit Suisse Leveraged Loan Index
The Credit Suisse Leveraged Loan Index is a market-weighted index that tracks the investable universe of the U.S. dollar denominated leveraged loans. The index is calculated on a total return basis, is unmanaged and not available for direct investment. The unmanaged index returns do not reflect any fees, expenses, or sales charges.
Exchange-Traded Funds (“ETFs”)
An open-end fund that is traded on a stock exchange. Most ETFs have a portfolio of stocks or bonds that track a specific market index.
Federal Reserve (the “Fed”)
The Central Bank of the U.S., responsible for controlling money supply, interest rates, and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 Branches, and all national and state banks that are part of the system.
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VIRTUS OPPORTUNITIES TRUST
KEY INVESTMENT TERMS (Unaudited) (Continued)
SEPTEMBER 30, 2018
ICE BofA Merrill Lynch 1-5 Year U.S. Corporate & Government Bond Index
The Intercontinental Exchange (“ICE”) BofA Merrill Lynch 1-5 Year U.S. Corporate & Government Bond Index includes publicly issued U.S. Treasury debt, U.S. government agency debt, taxable debt issued by U.S. states and territories and their political subdivisions, debt issued by U.S. and non-U.S. corporations, non-U.S. government debt and supranational debt. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
ICE BofA Merrill Lynch 1–22 Year U.S. Municipal Securities Index
The Intercontinental Exchange (“ICE”) BofA Merrill Lynch 1–22 Year U.S. Municipal Securities Index is a subset of the ICE BofA Merrill Lynch U.S. Municipal Securities Index which tracks the total return performance of U.S. dollar denominated investment grade tax-exempt debt publicly issued by U.S. States and territories, and their political subdivisions, in the U.S. domestic market, including all securities, with a remaining term to final maturity less than 22 years, calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
iShares®
Represents shares of an open-end exchange-traded fund.
London Interbank Offered Rate (LIBOR)
A benchmark rate that some of the world’s leading banks charge each other for short-term loans and that serves as the first step to calculating interest rates on various loans throughout the world.
Low Duration Income Fund Linked Benchmark
The Low Duration Income Fund Linked Benchmark consists of the ICE BofA Merrill Lynch 1-5 Year US Corporate & Government Bond Index which tracks the performance of US dollar denominated investment grade debt publicly issued in the US domestic market, including US Treasury, US agency, foreign government, supranational and corporate securities, with a remaining term to final maturity less than 5 years, calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment. Performance of the Low Duration Income Linked Benchmark prior to 2/1/2017 is that of the Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index.
MSCI EAFE® Index (net)
The MSCI EAFE® (Europe, Australasia, Far East) Index (net) is a free float-adjusted market capitalization-weighted index that measures developed foreign market equity performance, excluding the U.S. and Canada. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI Emerging Markets Index (net)
The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization-weighted index designed to measure equity market performance in the global emerging markets. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Option-Adjusted Spread
The difference between the yield of a fixed income security and a risk-free rate of return, which considers how the embedded option in the fixed income security is likely to change the expected future cash flows and the present value of the security.
Payment-in-Kind Security (“PIK”)
A bond which pays interest in the form of additional bonds, or preferred stock which pays dividends in the form of additional preferred stock.
Quantitative Easing (“QE”)
An unconventional monetary policy in which a central bank purchases government securities or other securities from the market in order to lower interest rates and increase the money supply. Quantitative easing increases the money supply by flooding financial institutions with capital in an effort to promote increased lending and liquidity. Quantitative easing is considered when short-term interest rates are at or approaching zero, and does not involve the printing of new banknotes.
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VIRTUS OPPORTUNITIES TRUST
KEY INVESTMENT TERMS (Unaudited) (Continued)
SEPTEMBER 30, 2018
Real Estate Investment Trust (“REIT”)
A publicly traded company that owns, develops, and operates income-producing real estate such as apartments, office buildings, hotels, shopping centers, and other commercial properties.
Russell 2000® Index
The Russell 2000® Index is a market capitalization-weighted index of the 2,000 smallest companies in the Russell Universe, which comprises the 3,000 largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
S&P 500® Index
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
S&P/LSTA Leveraged Loan Index
The S&P/LSTA Leveraged Loan Index is a daily total return index that uses LSTA/LPC Mark-to-Market Pricing (third-party research data on the price movements of senior secured floating rate loans in the secondary loan market) to calculate market value change. On a real-time basis, the Index tracks the current outstanding balance and spread over LIBOR for fully funded term loans. The facilities included in the Index represent a broad cross section of leveraged loans syndicated in the United States, including dollar-denominated loans to overseas issuers. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Tax-Exempt Bond Linked Benchmark
The Tax-Exempt Bond Linked Benchmark consists of the ICE BofA Merrill Lynch 1-22 Year U.S. Municipal Securities Index, a subset of the ICE BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 22 years, calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment. Performance of the Tax-Exempt Bond Linked Benchmark prior to 6/30/2012 is that of the Bloomberg Barclays Municipal Bond Index.
When-issued and Forward Commitments (Delayed Delivery)
Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Fund to purchase or sell a security at a future date, ordinarily up to 90 days later. When-issued or forward commitments enable a Fund to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates.
Yield to Worst
The lowest yield an investor in a callable bond can expect to receive without the issuer defaulting. The yield to worst is determined by taking the lowest of yield to maturity or yield to call on each possible call date.
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Fund Summary (Unaudited) | Ticker Symbols: Class A: SAVAX Class C: SAVCX Class I: SAVYX Class R6: VBFRX |
Portfolio Manager Commentary by Newfleet Asset Management, LLC
⬛ | The Fund is diversified and has an investment objective of high total return from both current income and capital appreciation. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned -0.92%, Class C shares at NAV returned -1.58%, Class I shares at NAV returned -0.60%, and Class R6 shares at NAV returned -0.51%†. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, which serves as the Fund’s broad-based and style-specific benchmark index appropriate for comparison, returned -1.22%. |
† | See footnote 7 on page 8. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Most spread sectors outperformed during the fiscal year ended September 30, 2018, led by corporate high yield and high yield bank loans. Within spread sectors, assets with longer duration underperformed on a total return basis, as yields rose and bond prices fell. Non-U.S. dollar-denominated securities and emerging markets high yield were the largest underperformers during the period.
The 12-month period presented multiple challenges, including several bouts of elevated volatility. Market participants continued to wrestle with periods of instability caused by geopolitical developments, trade rhetoric, mixed global economic signals, and the evolution of the various quantitative easing (QE) programs that began after the now decade-old financial crisis. During the period, oil prices continued their ascent, driven higher by the outlook for supply/demand dynamics. U.S. economic data
stayed on a positive trend, which contrasted with other global economies.
As anticipated, the Federal Reserve (the Fed) raised its target rate 0.25% on four separate occasions during the 12 months to a range of 2.00% to 2.25%.
Over the last 12 months, yields increased overall, but more so for shorter maturity bonds than for longer term securities.
What factors affected the Fund’s performance during its fiscal year?
The underperformance of U.S. Treasuries relative to most fixed income spread sectors was the key driver of the Fund’s outperformance for the fiscal year ended September 30, 2018.
Among fixed income sectors, the Fund’s allocations to bank loans and asset-backed securities were the largest positive contributors to performance for the fiscal year. Issue selection within residential mortgages and corporate high quality was also beneficial.
During the fiscal year, the Fund’s allocation to emerging markets high yield was the largest detractor from performance.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
ABS/MBS: Changes in interest rates can cause both extension and prepayment risks for asset- and mortgage-backed securities. These securities are also
subject to risks associated with the repayment of underlying collateral.
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Prospectus: For additional information on risks, please see the fund’s prospectus.
Asset Allocation | ||||||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
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Corporate Bonds and Notes | 49 | % | ||||||
Financials | 17 | % | ||||||
Consumer Discretionary | 5 | |||||||
Energy | 5 | |||||||
All Other Corporate Bonds and Notes | 22 | |||||||
Mortgage-Backed Securities | 17 | |||||||
Asset-Backed Securities | 9 | |||||||
Leveraged Loans | 7 | |||||||
U.S. Government Securities | 7 | |||||||
Municipal Bonds | 5 | |||||||
Other (includes Securities Lending Collateral) | 6 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
7
Table of Contents
Newfleet Bond Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||||||
1 year | 5 years | 10 years | Since Inception | Inception Date | ||||||||||||||||
Class A shares at NAV2 | -0.92 | % | 2.75 | % | 4.84 | % | — | — | ||||||||||||
Class A shares at POP3,4 | -4.64 | 1.97 | 4.44 | — | — | |||||||||||||||
Class C shares at NAV2 and with CDSC4 | -1.58 | 1.98 | 4.05 | — | — | |||||||||||||||
Class I shares at NAV | -0.60 | 3.01 | 5.11 | — | — | |||||||||||||||
Class R6 shares at NAV7 | -0.51 | — | — | 1.63 | % | 11/3/16 | ||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -1.22 | 2.16 | 3.77 | -0.22 | 5 | — |
Fund Expense Ratios6: Class A shares: Gross 1.19%, Net 0.87%; Class C shares: Gross 1.92%, Net 1.62%; Class I shares: Gross 0.89%, Net 0.62%; Class R6 shares: Gross 0.87%, Net 0.50%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 3.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios for the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
7 | Total return for the report period presented in the table differs from the total return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. The performance of the other class may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
8
Table of Contents
Newfleet CA Tax-Exempt Bond Fund
Fund Summary (Unaudited) | Ticker Symbols: Class A: CTESX Class I: CTXEX |
Portfolio Manager Commentary by Newfleet Asset Management, LLC
⬛ | The Fund is diversified and has an investment objective of obtaining a high level of current income exempt from California state and local income taxes, as well as federal income tax, consistent with the preservation of capital. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned -0.05% and Class I shares at NAV returned 0.19%. For the same period, the Bloomberg Barclays California Municipal Bond Index, which serves as the Fund’s broad-based and style-specific benchmark appropriate for comparison, returned 0.54%. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
The municipal bond market experienced uneven performance during the fiscal year, as municipal interest rates moved higher for the year. The first few months of the fiscal year were fueled by tax reform changes that would, among several modifications, eliminate the ability of issuers to advance refund outstanding tax-exempt debt with new tax-exempt debt beginning in 2018. As a result, issuers rushed to the market in the waning weeks of 2017 to bring these soon-to-be-prohibited deals to market. The rush to complete issuance before year end caused a sizable spike in supply levels. But instead of causing the market to soften, the anticipation of limited supply in 2018 provided strong performance during the end of 2017.
This market strength began to reverse in early 2018 as fixed income markets wrestled with the fear of rising interest rates, a stronger domestic economy, and expectations of future increases in the Fed funds
rate. Concerns about higher rates caused periods of fits and starts throughout the year, with some months of positive returns and some months of negative returns. The end result was a total return of just 0.54% for the fiscal year ended September 30, 2018, as measured by the Bloomberg Barclays California Municipal Bond Index.
For the fiscal year, shorter maturity bonds and longer maturity bonds outperformed intermediate maturities. This was driven mostly by investor demand for portfolios that included longer dated bonds for higher yields, balanced with shorter dated bonds for interest rate protection. Once again, the lower the credit rating, the better the relative performance during the period, as investors continued to seek higher yielding bonds amid generationally low municipal bond interest rates. The consistent and steady decline in the credit risk spreads of lower rated bonds continued to surprise us. Securities rated below investment grade generated the best relative performance among all credit quality tiers for the year.
What factors affected the Fund’s performance during its fiscal year?
Relative Fund performance benefited from exposure to bonds with longer maturities (beyond 10 years), lower rated investment grade securities (including below investment grade-rated bonds), and current coupon securities.
Relative Fund performance was negatively impacted by the exposure to intermediate-term maturities (four to eight years), higher coupons, and better quality bonds (rated AA or higher).
Over the 12 months ended September 30, 2018, the market’s best performers were bonds with longer durations, current coupons, and lower credit quality as credit risk premiums narrowed to levels not seen since before the 2008 credit crisis. Bonds with intermediate maturities, premium coupons, and higher credit quality performed relatively weakly for the 12-month period.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as
investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
Geographic Concentration: A fund that focuses its investments in a particular geographic location will be highly sensitive to financial, economic, political, and other developments affecting the fiscal stability of that location.
Municipal Market: Events negatively impacting a municipal security, or the municipal bond market in general, may cause the fund to decrease in value.
State & AMT Tax: A portion of income may be subject to some state and/or local taxes and, for certain investors, a portion may be subject to the federal alternative minimum tax.
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Prospectus: For additional information on risks, please see the fund’s prospectus.
Asset Allocation | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Pre-Refunded | 16 | % | ||
Tax Allocation Revenue | 16 | |||
General Obligation | 16 | |||
Healthcare Revenue | 12 | |||
General Revenue | 8 | |||
Transportation Revenue | 7 | |||
Higher Education Revenue | 6 | |||
Other | 19 | |||
|
| |||
Total | 100 | % | ||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
9
Table of Contents
Newfleet CA Tax-Exempt Bond Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||
1 year | 5 years | 10 years | ||||||||||
Class A shares at NAV2 | -0.05 | % | 3.66 | % | 4.54 | % | ||||||
Class A shares at POP3,4 | -2.80 | 3.08 | 4.25 | |||||||||
Class I shares at NAV | 0.19 | 3.90 | 4.79 | |||||||||
Bloomberg Barclays California Municipal Bond Index | 0.54 | 3.80 | 5.08 |
Fund Expense Ratios5: Class A shares: Gross 1.15%, Net 0.85%; Class I shares: Gross 0.95%, Net 0.60%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid. |
5 | The expense ratios for the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008 for Class A and Class I shares including any applicable sales charges or fees. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
10
Table of Contents
Fund Summary (Unaudited) | Ticker Symbols: Class A: PHCHX Class C: PGHCX Class I: PHCIX Class R6: VRHYX |
Portfolio Manager Commentary by Newfleet Asset Management, LLC
⬛ | The Fund is diversified and has a primary investment objective of high current income and a secondary objective of capital growth. There is no guarantee that the Fund will meet its objectives. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 2.77%, Class C shares at NAV returned 2.20%, Class I shares at NAV returned 3.03%, and Class R6 shares at NAV returned 3.09%. For the same period, the Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index, which serves as the Fund’s broad-based and style-specific index appropriate for comparison, returned 3.05%. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
The U.S. high yield market, as measured by the Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index, posted a 3.05% return for the fiscal year ended September 30, 2018.
In the past, high yield has shown a capacity to deliver positive returns even during periods of rising interest rates, and this 12-month period was no exception. The high yield market continued to perform well as the five-year U.S. Treasury security rose 1.01% (from 1.94% to 2.95%) and the 10-year rose 0.73% (from 2.33% to 3.06%). During this period, the Federal Reserve (the Fed) raised its target rate by 0.25% on four separate occasions, most recently to a range of 2.00% to 2.25% at its September 2018 meeting. The high yield market experienced four months of negative returns over the fiscal year (November 2017, February 2018, March 2018, and May 2018), but those declines were slight. In addition to rising interest rates, the high yield market weathered
geopolitical tensions with North Korea, the threat of trade wars, the move away from quantitative easing on the part of the Fed and other developed country central banks, as well as volatility in the emerging markets.
In terms of industries, supermarkets (12.10%) was the fiscal year’s best performer after lagging in the prior period, followed by pharmaceuticals (9.72%). Rising oil prices boosted energy-related companies, as evidenced by the returns of refining (8.22%), oil field services (8.13), and exploration & production (E&P) independent (6.11%). Other strong performers were tobacco (5.99%) and utilities (5.30%). Laggards with negative returns were autos (-3.26%), office REITS (-0.92%), banking (-0.70%), and food/beverage (-0.67%).
The returns across the rating spectrum demonstrated the effect of still-accommodative global monetary policy and the continued search for yield. The lower credit quality tiers significantly outperformed the higher tiers, as measured by the Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index, with bonds rates CCC, B, and BB returning 7.08%, 3.55%, and 0.90%, respectively, for the fiscal year.
In terms of valuations, high yield spreads continued to tighten in spite of upward moves in both the five- and 10-year U.S. Treasury rates, as noted above. At the end of the fiscal year, the option-adjusted spread on the Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index was 3.16%, compared with 3.47% at the beginning of the fiscal year. The yield to worst rose from 5.45% to 6.24% over the period.
Fundamentals for the high yield issuer universe were favorable, and issuers consistently reported solid revenue and earnings growth during the period. The U.S. issuer-weighted default rate ended September 2018 at 3.10%, continuing a downward trend. Further, the rating agencies were more favorable toward upgrades than downgrades.
From a technical perspective, the high yield market experienced mostly outflows over the past 12 months, but the outflows were offset by the slow pace of net new issuance.
What factors affected the Fund’s performance during its fiscal year?
The positive performance of the U.S. high yield market contributed to the Fund’s positive return for the fiscal year ended September 30, 2018.
Positive contributors to performance in terms of sector allocation decisions and issue selection included wireless (allocation and issue selection), autos (issue selection), health care (issue selection), gaming (issue selection), and independent energy (issue selection). Detractors from performance included cable-satellite (issue selection), home construction (allocation and issue selection), oil field services (allocation and issue selection), and other industrial (issue selection).
In terms of out-of-index sectors, exposure to emerging markets hurt the Fund while exposure to bank loans helped.
In addition, the Fund’s modest allocation to cash in a favorable market for high yield returns had a negative impact.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Foreign Investing: Investing internationally involves additional risks such as currency, political, accounting, economic, and market risk.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
11
Table of Contents
Newfleet High Yield Fund (Continued) |
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Prospectus: For additional information on risks, please see the fund’s prospectus.
Asset Allocation | ||||||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||||||
Corporate Bonds and Notes | 72 | % | ||||||
Consumer Discretionary | 18 | % | ||||||
Energy | 10 | |||||||
Materials | 9 | |||||||
Health Care | 9 | |||||||
All Other Corporate Bonds and Notes | 26 | |||||||
Leveraged Loans | 11 | |||||||
Exchange-Traded Fund | 4 | |||||||
Preferred Stock | 2 | |||||||
Other (includes Short-Term Investment and Securities Lending Collateral) | 11 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
12
Table of Contents
Newfleet High Yield Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||||||
1 year | 5 years | 10 years | Since Inception | Inception Date | ||||||||||||||||
Class A shares at NAV2 | 2.77 | % | 4.80 | % | 6.94 | % | — | — | ||||||||||||
Class A shares at POP3,4 | -1.08 | 4.00 | 6.53 | — | — | |||||||||||||||
Class C shares at NAV2 and with CDSC4 | 2.20 | 4.03 | 6.16 | — | — | |||||||||||||||
Class I shares at NAV | 3.03 | 5.05 | — | 5.53 | % | 8/8/12 | ||||||||||||||
Class R6 shares at NAV | 3.09 | — | — | 5.77 | 11/3/16 | |||||||||||||||
Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index | 3.05 | 5.55 | 9.46 | — | 5 | — |
Fund Expense Ratios6: Class A shares: Gross 1.40%, Net 1.01%; Class C shares: Gross 2.13%, Net 1.76%; Class I shares: Gross 1.19% Net 0.76%; Class R6 shares: Gross 1.11%, Net 0.70%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 3.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index returned 5.99% for the inception date of Class I shares and 6.44% for the inception date of Class R6 shares. |
6 | The expense ratios for the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A and Class C shares including any applicable sales charges or fees. The performance of the other share classes may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
13
Table of Contents
Newfleet Low Duration Income Fund
Fund Summary (Unaudited) | Ticker Symbols: Class A: HIMZX Class C: PCMZX Class I: HIBIX |
Portfolio Manager Commentary by Newfleet Asset Management, LLC
⬛ | The Fund is diversified and has an investment objective to provide a high level of total return, including a competitive level of current income, while limiting fluctuations in net asset value due to changes in interest rates. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 0.46%†, Class C shares at NAV returned -0.29%†, and Class I shares at NAV returned 0.71%. For the same period, the Low Duration Income Linked Benchmark returned -0.31%, and the ICE BofA Merrill Lynch 1-5 Year Corporate & Government Bond Index returned -0.31%. |
† | See footnote 6 on page 15. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Most spread sectors outperformed during the fiscal year ended September 30, 2018, led by corporate high yield and high yield bank loans. Within spread sectors, assets with longer duration underperformed on a total return basis, as yields rose and bond prices fell. Non-U.S. dollar-denominated securities and emerging markets high yield were the largest underperformers during the period.
The 12-month period presented multiple challenges, including several bouts of elevated volatility. Market participants continued to wrestle with periods of instability caused by geopolitical developments, trade rhetoric, mixed global economic signals, and the evolution of the various quantitative easing (QE) programs that began after the now decade-old financial crisis. During the period, oil prices continued their ascent, driven higher by the outlook
for supply/demand dynamics. U.S. economic data stayed on a positive trend, which contrasted with other global economies.
As anticipated, the Federal Reserve (the Fed) raised its target rate 0.25% on four separate occasions during the 12 months to a range of 2.00% to 2.25%.
Over the last 12 months, yields increased overall, but more so for shorter maturity bonds than for longer term securities.
What factors affected the Fund’s performance during its fiscal year?
The underperformance of U.S. Treasuries relative to most fixed income spread sectors was the key driver of the Fund’s outperformance for the fiscal year ended September 30, 2018.
Among fixed income sectors, the Fund’s allocations to bank loans, residential mortgages, and asset-backed securities were the largest positive contributors to performance for the fiscal year. Issue selection within asset-backed securities was also beneficial.
During the fiscal year, the Fund’s allocation to emerging markets high yield was the largest detractor from performance.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
ABS/MBS: Changes in interest rates can cause both extension and prepayment risks for asset- and mortgage-backed securities. These securities are also subject to risks associated with the repayment of underlying collateral.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Prospectus: For additional information on risks, please see the fund’s prospectus.
Asset Allocation | ||||||||
The following table presents asset allocations within certain sectors as a percentage of total investments at September 30, 2018.
|
| |||||||
Mortgage-Backed Securities | 31 | % | ||||||
Asset-Backed Securities | 29 | |||||||
Corporate Bonds and Notes | 25 | |||||||
Financials | 8 | % | ||||||
Health Care | 3 | |||||||
Consumer Discretionary | 3 | |||||||
All Other Corporate Bonds and Notes | 11 | |||||||
Leveraged Loans | 6 | |||||||
U.S. Government Securities | 5 | |||||||
Other (includes Short-Term Investment and Securities Lending Collateral) | 4 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
14
Table of Contents
Newfleet Low Duration Income Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||
1 year | 5 years | 10 years | ||||||||||
Class A shares at NAV2,6 | 0.46 | % | 1.73 | % | 3.71 | % | ||||||
Class A shares at POP3,4 | -1.80 | 1.27 | 3.48 | |||||||||
Class C shares at NAV2,6 and CDSC4 | -0.29 | 0.97 | 2.94 | |||||||||
Class I shares at NAV | 0.71 | 1.98 | 3.97 | |||||||||
Low Duration Income Linked Benchmark | -0.31 | 1.50 | 3.21 | |||||||||
ICE BofA Merrill Lynch 1-5 Year Corporate & Government Bond Index | -0.31 | 1.11 | 2.33 |
Fund Expense Ratios5: Class A shares: Gross 1.14%, Net 0.76%; Class C shares: Gross 1.86%, Net 1.51%; Class I shares: Gross 0.872%, Net 0.51%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.25% sales charge. |
4 | “CDSC” (Contingent Deferred Sales Charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares are 1% within the first year and 0% thereafter. CDSC charges for Class C shares are 1% in the first year and 0% thereafter. |
5 | The expense ratios for the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
6 | Total return for the report period presented in the table differs from the total return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. Performance assumes reinvestment of dividends and capital gain distributions.
The indexes are unmanaged and not available for direct investment; therefore, their performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
15
Table of Contents
Newfleet Multi-Sector Intermediate Bond Fund
Fund Summary (Unaudited) | Ticker Symbols: Class A: NAMFX Class C: NCMFX Class I: VMFIX Class R6: VMFRX |
Portfolio Manager Commentary by Newfleet Asset Management, LLC
⬛ | The Fund is diversified and has an investment objective of maximizing current income while preserving capital. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned -0.14%, Class C shares at NAV returned -0.87%†, Class I shares at NAV returned 0.14%, and Class R6 shares at NAV returned 0.19%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, which serves as both the Fund’s broad-based and style-specific fixed income index, returned -1.22%. |
† | See footnote 7 on page 17. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Most spread sectors outperformed during the fiscal year ended September 30, 2018, led by corporate high yield and high yield bank loans. Within spread sectors, assets with longer duration underperformed on a total return basis, as yields rose and bond prices fell. Non-U.S. dollar-denominated securities and emerging markets high yield were the largest underperformers during the period.
The 12-month period presented multiple challenges, including several bouts of elevated volatility. Market participants continued to wrestle with periods of instability caused by geopolitical developments, trade rhetoric, mixed global economic signals, and the evolution of the various quantitative easing (QE) programs that began after the now decade-old financial crisis. During the period, oil prices continued their ascent, driven higher by the outlook for supply/demand dynamics. U.S. economic data
stayed on a positive trend, which contrasted with other global economies.
As anticipated, the Federal Reserve (the Fed) raised its target rate 0.25% on four separate occasions during the 12 months to a range of 2.00% to 2.25%.
Over the last 12 months, yields increased overall, but more so for shorter maturity bonds than for longer term securities.
What factors affected the Fund’s performance during its fiscal year?
The underperformance of U.S. Treasuries relative to most fixed income spread sectors was the key driver of the Fund’s outperformance for the fiscal year ended September 30, 2018.
Among fixed income sectors, the Fund’s allocations to corporate high yield, bank loans, and asset-backed securities were the largest positive contributors to performance for the fiscal year.
During the fiscal year, the Fund’s allocations to emerging markets high yield and non-U.S dollar-denominated securities were the largest detractors from performance.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
ABS/MBS: Changes in interest rates can cause both extension and prepayment risks for asset- and mortgage-backed securities. These securities are also subject to risks associated with the repayment of underlying collateral.
Bank Loans: Loans may be unsecured or not fully collateralized, may be subject to restrictions on resale and/or trade infrequently on the secondary market. Loans can carry significant credit and call risk, can be difficult to value and have longer settlement times than other investments, which can make loans relatively illiquid at times.
Prospectus: For additional information on risks, please see the fund’s prospectus.
Asset Allocation | ||||||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||||||
Corporate Bonds and Notes | 48 | % | ||||||
Financials | 11 | % | ||||||
Energy | 9 | |||||||
Consumer Discretionary | 7 | |||||||
Materials | 5 | |||||||
All Other Corporate Bonds and Notes | 16 | |||||||
Leveraged Loans | 15 | |||||||
Mortgage-Backed Securities | 12 | |||||||
Foreign Government Securities | 8 | |||||||
Asset-Backed Securities | 6 | |||||||
Other (includes Securities Lending Collateral) | 11 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
16
Table of Contents
Newfleet Multi-Sector Intermediate Bond Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||||||
1 year | 5 years | 10 years | Since Inception | Inception Date | ||||||||||||||||
Class A shares at NAV2 | -0.14 | % | 3.57 | % | 6.84 | % | — | — | ||||||||||||
Class A shares at POP3,4 | -3.39 | 2.78 | 6.43 | — | — | |||||||||||||||
Class C shares at NAV2,7 and with CDSC4 | -0.87 | 2.79 | 6.06 | — | — | |||||||||||||||
Class I shares at NAV | 0.14 | 3.85 | — | 6.02 | % | 10/1/09 | ||||||||||||||
Class R6 shares at NAV | 0.19 | — | — | 3.31 | 11/12/14 | |||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -1.22 | 2.16 | 3.77 | — | 5 | — |
Fund Expense Ratios6: Class A shares: Gross 1.16%, Net 1.02%; Class C shares: Gross 1.88%, Net 1.77%; Class I shares: Gross 0.88%, Net 0.77%; Class R6 shares: Gross 0.84%, Net 0.63%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 3.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index returned 3.00% from the inception date of Class I shares and 1.54% from the inception date of Class R6 shares. |
6 | The expense ratios for the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
7 | Total return for the report period presented in the table differs from the total return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares and Class C shares including any applicable sales charges or fees. The performance of the other share classes may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
17
Table of Contents
Newfleet Senior Floating Rate Fund
Fund Summary (Unaudited) | Ticker Symbols: Class A: PSFRX Class C: PFSRX Class I: PSFIX Class R6: VRSFX |
Portfolio Manager Commentary by Newfleet Asset Management, LLC
⬛ | The Fund is diversified and has an investment objective of high total return from both current income and capital appreciation. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 4.22%†, Class C shares at NAV returned 3.45%, Class I shares at NAV returned 4.48%, and Class R6 shares at NAV returned 4.60%. For the same period, the S&P/LSTA Leveraged Loan Index, which serves as the Fund’s broad-based and style-specific benchmark, returned 5.19%. |
† | See footnote 7 on page 20. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Bank loans generated solid performance over the 12-month period, with a total return of 5.19% as measured by the S&P/LSTA Leveraged Loan Index. Investors continued to seek protection against rising interest rates, as well as higher yields relative to other fixed income options. The five-year U.S. Treasury security rose 1.01% (from 1.94% to 2.95%), and the 10-year rose 0.73% (from 2.33% to 3.06%) over the fiscal year. The Federal Reserve (the Fed) raised its target rate by 0.25% on four separate occasions. Three-month LIBOR (London Interbank Offered Rate), the benchmark rate against which bank loans periodically are reset, rose from 1.33% to 2.39% over the fiscal year.
Commensurate with the rise in interest rates, the yield on the S&P/LSTA Leveraged Loan Index rose to 5.6% at the end of the fiscal year from 4.8% at its start. LIBOR drove the yield higher, with spreads only slightly tighter (from 3.46% to 3.32%) over the same
period. Total returns were positive for each month of the fiscal year, largely attributable to interest income, as the market value component of return was more volatile and the potential for price appreciation limited. The weighted average market price at September 30, 2018, was $98.61, compared with $97.98 at the start of the period.
Lower quality loans outperformed over the fiscal year, with those rated CCC (11.4%) well ahead of B-rated (5.44%) and BB-rated (4.32%) loans. A benign credit environment, improving issuer fundamentals, and a favorable macroeconomic backdrop supported lower quality loans.
Within the S&P/LSTA Leveraged Loan Index, the top performing industries over the fiscal year were retail (8.99%), boosted by consumer spending; oil & gas (7.91%), which benefited from rising oil prices; food & drug (7.11%); surface transport (6.86%); and metals & minerals (6.80%). None of the industry groups posted negative returns. The weakest performers were cosmetics (0.74%) and home furnishings (2.02%), which both stumbled due to idiosyncratic events; aerospace & defense (3.42%), an overall higher quality industry; and radio & television (3.79%).
Broad-based fundamentals in the bank loan market remained strong, and issuers consistently reported good revenue and earnings growth. At the end of the fiscal year, the lagging 12-month default rate stood at 1.81%, well below the historical average of 3.10%. Open capital markets and minimal near-term maturities continued to support the asset class.
Bank loan technical factors were largely supportive during the fiscal year. Demand for loans remained strong, particularly from collateralized loan obligation (CLO) issuance, which totaled about $135 billion over the 12-month period. Retail fund flows, which were negative in the first fiscal quarter, added close to $11 billion during the last three quarters of the fiscal year. On the supply side, issuance was robust largely due to increased merger and acquisition (M&A) activity. The market had to work through a supply/demand imbalance in May and June of 2018 due to a particularly high new issuance calendar that pressured prices.
What factors affected the Fund’s performance during its fiscal year?
The positive return of the U.S. leveraged loan market contributed to the Fund’s positive return during the year ended September 30, 2018.
While the Fund’s benchmark is the S&P/LSTA Leveraged Loan Index, we use the Credit Suisse Leveraged Loan Index for sector-level attribution, because S&P does not report sector-level returns for the Fund’s benchmark. Relative to the Credit Suisse Leveraged Loan Index, the Fund’s allocation to and issue selection within the energy sector helped performance, as did issue selection in financials, consumer durables, and transportation/automotive. The Fund’s allocation to and issue selection within forest products detracted from performance, as did issue selection in utilities, manufacturing, and cable/wireless.
We generally maintained a higher quality bias in the Fund over the entire year, which detracted from returns.
The Fund’s out-of-index sector allocation to high yield, as part of our liquidity strategy, modestly detracted from performance while still providing positive returns. Remaining fully invested with the modest use of leverage also contributed positively to returns.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
Bank Loans: Loans may be unsecured or not fully collateralized, may be subject to restrictions on resale and/or trade infrequently on the secondary market. Loans can carry significant credit and call risk, can be
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
18
Table of Contents
Newfleet Senior Floating Rate Fund (Continued) |
difficult to value and have longer settlement times than other investments, which can make loans relatively illiquid at times.
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Leverage: When a fund leverages its portfolio, the value of its shares may be more volatile and all other risks may be compounded.
Liquidity: Certain securities may be difficult to sell at a time and price beneficial to the fund.
Prospectus: For additional information on risks, please see the fund’s prospectus.
Asset Allocation | ||||||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||||||
Leverage Loans | 95 | % | ||||||
Healthcare | 11 | % | ||||||
Service | 11 | |||||||
Information Technology | 7 | |||||||
Gaming/Leisure | 7 | |||||||
Media/Telecom – Telecommunications | 6 | |||||||
Media/Telecom – Cable/Wireless Video | 5 | |||||||
All Other Leveraged Loans | 48 | |||||||
Corporate Bonds and Notes | 4 | |||||||
Other (includes Short-Term Investment) | 1 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
19
Table of Contents
Newfleet Senior Floating Rate Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||||||
1 year | 5 years | 10 years | Since Inception | Inception Date | ||||||||||||||||
Class A shares at NAV2,7 | 4.22 | % | 3.30 | % | 5.30 | % | — | — | ||||||||||||
Class A shares at POP3,4 | 1.36 | 2.72 | 5.00 | — | — | |||||||||||||||
Class C shares at NAV2,7 and with CDSC4 | 3.45 | 2.50 | 4.52 | — | — | |||||||||||||||
Class I shares at NAV | 4.48 | 3.54 | 5.56 | — | — | |||||||||||||||
Class R6 shares at NAV | 4.60 | — | — | 4.70 | % | 11/3/16 | ||||||||||||||
S&P/LSTA Leveraged Loan Index | 5.19 | 4.13 | 6.15 | 5.18 | 5 | — |
Fund Expense Ratios6: Class A shares: Gross 1.09%, Net 1.06%; Class C shares: Gross 1.88%, Net 1.81%; Class I shares: Gross 0.87%, Net 0.81%; Class R6 shares: Gross 0.82%, Net 0.67%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios for the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
7 | Total return for the report period presented in the table differs from the total return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. The performance of the other class may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
20
Table of Contents
Fund Summary (Unaudited) | Ticker Symbols: Class A: HXBZX Class C: PXCZX Class I: HXBIX |
Portfolio Manager Commentary by
Newfleet Asset Management, LLC
⬛ | The Fund is diversified and has an investment objective of providing a high level of current income that is exempt from federal income tax. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned -0.35%, Class C shares at NAV returned -1.09%, and Class I shares at NAV returned -0.10%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, a broad-based fixed income index, returned -1.22%, and the Tax-Exempt Bond Linked Benchmark, which is the Fund’s style-specific benchmark appropriate for comparison, returned 0.02%. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
The municipal bond market experienced uneven performance during the fiscal year, as municipal interest rates moved higher for the year. The first few months of the fiscal year were fueled by tax reform changes that would, among several modifications, eliminate the ability of issuers to advance refund outstanding tax-exempt debt with new tax-exempt debt beginning in 2018. As a result, issuers rushed to the market in the waning weeks of 2017 to bring these soon-to-be-prohibited deals to market. The rush to complete issuance before year end caused a sizable spike in supply levels. But instead of causing the market to soften, the anticipation of limited supply in 2018 provided strong performance during the end of 2017.
This market strength began to reverse in early 2018 as fixed income markets wrestled with the fear of
rising interest rates, a stronger domestic economy, and expectations of future increases in the Fed funds rate. Concerns about higher rates caused periods of fits and starts throughout the year, with some months of positive returns and some months of negative returns. The end result was a total return of just 0.02% for the fiscal year ended September 30, 2018, as measured by the ICE BofA Merrill Lynch 1-22 Year U.S. Municipal Securities Index.
For the fiscal year, shorter maturity bonds and longer maturity bonds outperformed intermediate maturities. This was driven mostly by investor demand for portfolios that included longer dated bonds for higher yields, balanced with shorter dated bonds for interest rate protection. Once again, the lower the credit rating, the better the relative performance during the period, as investors continued to seek higher yielding bonds amid generationally low municipal bond interest rates. The consistent and steady decline in the credit risk spreads of lower rated bonds continued to surprise us. Securities rated below investment grade generated the best relative performance among all credit quality tiers for the year.
What factors affected the Fund’s performance during its fiscal year?
Relative Fund performance benefited from exposure to bonds with longer maturities (beyond 10 years), lower rated investment grade securities (including below investment grade-rated bonds), and current coupon securities.
Relative Fund performance was negatively impacted by the exposure to intermediate-term maturities (four to eight years), higher coupons, and better quality bonds (rated AA or higher).
Over the 12 months ended September 30, 2018, the market’s best performers were bonds with longer durations, current coupons, and lower credit quality as credit risk premiums narrowed to levels not seen since before the 2008 credit crisis. Bonds with intermediate maturities, premium coupons, and higher credit quality performed relatively weakly for the 12-month period.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other
conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
Municipal Market: Events negatively impacting a municipal security, or the municipal bond market in general, may cause the fund to decrease in value.
State & AMT Tax: A portion of income may be subject to some state and/or local taxes and, for certain investors, a portion may be subject to the federal alternative minimum tax.
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Prospectus: For additional information on risks, please see the fund’s prospectus.
Asset Allocation | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
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Texas | 13 | % | ||
Florida | 12 | |||
Illinois | 10 | |||
New York | 8 | |||
Colorado | 6 | |||
New Jersey | 5 | |||
Pennsylvania | 4 | |||
Other (includes Short-Term Investment) | 42 | |||
|
| |||
Total | 100 | % | ||
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|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
21
Table of Contents
Newfleet Tax-Exempt Bond Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||
1 year | 5 years | 10 years | ||||||||||
Class A shares at NAV2 | -0.35 | % | 2.69 | % | 4.68 | % | ||||||
Class A shares at POP3,4 | -3.09 | 2.12 | 4.39 | |||||||||
Class C shares at NAV2 and CDSC4 | -1.09 | 1.94 | 3.91 | |||||||||
Class I shares at NAV | -0.10 | 2.94 | 4.96 | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -1.22 | 2.16 | 3.77 | |||||||||
Tax-Exempt Bond Linked Benchmark | 0.02 | 3.07 | 4.56 |
Fund Expense Ratios5: Class A shares: Gross 1.02%, Net 0.85%; Class C shares: Gross 1.74%, Net 1.60%; Class I shares: Gross 0.77%, Net 0.60%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The expense ratios for the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008 for Class A shares, Class C shares, and Class I shares. Performance assumes reinvestment of dividends and capital gain distributions.
The indexes are unmanaged and not available for direct investment; therefore, their performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
22
Table of Contents
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
U.S. GOVERNMENT SECURITIES—6.7% | ||||||||
U.S. Treasury Bond | ||||||||
2.500%, 2/15/46 | $ | 2,405 | $ | 2,098 | ||||
3.000%, 8/15/48 | 1,135 | 1,092 | ||||||
U.S. Treasury Note | ||||||||
1.125%, 2/28/19 | 1,065 | 1,060 | ||||||
1.375%, 4/30/20 | 210 | 205 | ||||||
TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $4,602) |
| 4,455 | ||||||
MUNICIPAL BONDS—4.5% | ||||||||
California—1.4% | ||||||||
State of California, Build America Bonds Taxable | 520 | 773 | ||||||
University of California, Series B-A, Taxable | 140 | 141 | ||||||
|
| |||||||
914 | ||||||||
|
| |||||||
Georgia—0.4% | ||||||||
Rockdale County Water & Sewerage Authority Revenue Taxable | 255 | 247 | ||||||
|
| |||||||
Idaho—0.2% | ||||||||
Idaho Health Facilities Authority Saint Lukes Health System Revenue Taxable | 170 | 172 | ||||||
|
| |||||||
New York—2.1% | ||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Series A-3 | 610 | 685 | ||||||
Port Authority of New York & New Jersey, Consolidated Bonds Revenue | 640 | 709 | ||||||
|
| |||||||
1,394 | ||||||||
|
| |||||||
Virginia—0.4% | ||||||||
City of Bristol, General Obligation Taxable | 285 | 285 | ||||||
TOTAL MUNICIPAL BONDS (Identified Cost $3,094) | 3,012 | |||||||
FOREIGN GOVERNMENT SECURITIES—2.3% | ||||||||
Argentine Republic | ||||||||
7.625%, 4/22/46 | 150 | 122 | ||||||
6.875%, 1/11/48 | 75 | 58 | ||||||
Dominican Republic | ||||||||
144A, 5.950%, 1/25/27(2) | 100 | 102 | ||||||
144A, 6.000%, 7/19/28(2) | 150 | 152 | ||||||
Kingdom of Abu Dhabi 144A | 200 | 192 | ||||||
Kingdom of Bahrain 144A | 200 | 198 | ||||||
Republic of Indonesia 144A | 245 | 336 | ||||||
Republic of Turkey | 200 | 171 | ||||||
Sultanate of Oman 144A | 200 | 194 | ||||||
TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $1,609) | 1,525 |
PAR VALUE | VALUE | |||||||
MORTGAGE-BACKED SECURITIES—17.1% | ||||||||
Agency—4.7% | ||||||||
Federal Home Loan Mortgage Corporation | ||||||||
Pool #G01980, 5.000%, 12/1/35 | $ | 21 | $ | 22 | ||||
Pool #G08628, 4.000%, 2/1/45 | 281 | 284 | ||||||
Pool #G07961, 3.500%, 3/1/45 | 253 | 250 | ||||||
Pool #G08702, 3.500%, 4/1/46 | 294 | 290 | ||||||
Federal National Mortgage Association | ||||||||
Pool #812352, 5.000%, 4/1/20 | 12 | 12 | ||||||
Pool #886416, 5.000%, 8/1/21 | 2 | 2 | ||||||
Pool #323702, 6.000%, 5/1/29 | 17 | 19 | ||||||
Pool #535371, 6.500%, 5/1/30 | 1 | 1 | ||||||
Pool #590108, 7.000%, 7/1/31 | 6 | 7 | ||||||
Pool #880117, 5.500%, 4/1/36 | 26 | 28 | ||||||
Pool #938574, 5.500%, 9/1/36 | 107 | 116 | ||||||
Pool #909092, 6.000%, 9/1/37 | 14 | 16 | ||||||
Pool #909220, 6.000%, 8/1/38 | 138 | 151 | ||||||
Pool #986067, 6.000%, 8/1/38 | 9 | 10 | ||||||
Pool #AA7001, 5.000%, 6/1/39 | 382 | 407 | ||||||
Pool #931995, 5.000%, 9/1/39 | 100 | 107 | ||||||
Pool #931983, 5.500%, 9/1/39 | 244 | 262 | ||||||
Pool #AE2496, 4.500%, 9/1/40 | 157 | 163 | ||||||
Pool #AL3000, 3.500%, 12/1/42 | 220 | 219 | ||||||
Pool #AX3195, 4.000%, 9/1/44 | 73 | 74 | ||||||
Pool #MA2495, 3.500%, 1/1/46 | 110 | 108 | ||||||
Pool #AS7388, 3.500%, 6/1/46 | 191 | 188 | ||||||
Pool #AS8483, 3.000%, 12/1/46 | 334 | 320 | ||||||
Pool #AS9393, 4.000%, 4/1/47 | 89 | 90 | ||||||
Government National Mortgage Association | 23 | 25 | ||||||
|
| |||||||
3,171 | ||||||||
|
| |||||||
Non-Agency—12.4% | ||||||||
American Homes 4 Rent Trust | ||||||||
2014-SFR2, C 144A, 4.705%, 10/17/36(2) | 195 | 201 | ||||||
2015-SFR2, C 144A, 4.691%, 10/17/45(2) | 125 | 129 | ||||||
2015-SFR1, A 144A, 3.467%, 4/17/52(2) | 211 | 207 | ||||||
Ameriquest Mortgage Securities, Inc. Pass-Through Certificates, 2003-AR3, M4, (1 month LIBOR – 5.850%) | 111 | 110 | ||||||
AMSR Trust 2016-SFR1, C 144A , (1 month LIBOR + 2.250%) | 100 | 100 | ||||||
Angel Oak Mortgage Trust I LLC | ||||||||
2018-1, A1 144A, 3.258%, 4/27/48(1)(2) | 124 | 124 | ||||||
2018-2, A1 144A, 3.674%, 7/27/48(1)(2) | 48 | 48 | ||||||
Aventura Mall Trust 2013-AVM, C 144A | 325 | 329 | ||||||
Banc of America Funding Trust | ||||||||
2004-B, 2A1, 3.835%, 11/20/34(1) | 36 | 36 | ||||||
2005-1, 1A1, 5.500%, 2/25/35 | 63 | 64 | ||||||
Banc of America Mortgage Trust 2005-3, 1A15 | 47 | 48 | ||||||
Bank of America (Countrywide) Asset-Backed Certificates 2005-1, AF5A | 160 | 164 | ||||||
Bank of America (Merrill Lynch – Countrywide) Home Loan Mortgage Pass-Through-Trust 2004-6, 1A2 | 171 | 171 | ||||||
Bayview Opportunity Master Fund IVa Trust | ||||||||
2016-SPL1, B1 144A, 4.250%, 4/28/55(2) | 160 | 162 | ||||||
2017-SPL5, B1 144A, 4.000%, 6/28/57(1)(2) | 100 | 100 |
See Notes to Financial Statements
23
Table of Contents
NEWFLEET BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A | $ | 100 | $ | 101 | ||||
Caesars Palace Las Vegas Trust 2017-VICI, C 144A | 120 | 120 | ||||||
Colony Starwood Homes Trust 2016-2A, C 144A, (1 month LIBOR + 2.150%) | 195 | 196 | ||||||
COLT Mortgage Loan Trust Funding LLC 2017-1, A3 144A, | 42 | 42 | ||||||
2018-1, A1 144A, 2.930%, 2/25/48(1)(2) | 96 | 95 | ||||||
Credit Suisse Commercial Mortgage-Backed Trust 2006-8, 3A1 | 36 | 33 | ||||||
Galton Funding Mortgage Trust | ||||||||
2017-1, A21 144A, 3.500%, 7/25/56(1)(2) | 90 | 89 | ||||||
2018-1, A23 144A, 3.500%, 11/25/57(1)(2) | 82 | 80 | ||||||
GMAC Mortgage Corp. Loan Trust 2004-AR1, 12A | 115 | 117 | ||||||
GSAA Home Equity Trust 2005-12, AF3W | 47 | 48 | ||||||
JPMorgan Chase (WaMu) Mortgage Pass-Through Certificates 2003-S11, 3A5 | 107 | 109 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C22, A4 | 195 | 197 | ||||||
JPMorgan Chase Mortgage Trust | ||||||||
2004-A4, 2A1, 4.326%, 9/25/34(1) | 124 | 126 | ||||||
2016-1, M2 144A, 3.750%, 4/25/45(1)(2) | 107 | 105 | ||||||
2016-2, M2 144A, 3.750%, 12/25/45(1)(2) | 144 | 141 | ||||||
2017-3, 2A2 144A, 2.500%, 8/25/47(1)(2) | 121 | 115 | ||||||
2017-5, A1 144A, 3.172%, 10/26/48(1)(2) | 266 | 264 | ||||||
MASTR Specialized Loan Trust 2005-3, A2 144A | 64 | 65 | ||||||
MetLife Securitization Trust 2017-1A, M1 144A | 100 | 98 | ||||||
Morgan Stanley – Bank of America (Merrill Lynch) Trust | ||||||||
2013-C13, AS, 4.266%, 11/15/46 | 360 | 367 | ||||||
2015-C22, AS, 3.561%, 4/15/48 | 310 | 303 | ||||||
New Residential Mortgage Loan Trust | ||||||||
2014-1A, A 144A, 3.750%, 1/25/54(1)(2) | 161 | 161 | ||||||
2015-2A, A1 144A, 3.750%, 8/25/55(1)(2) | 122 | 122 | ||||||
2016-1A, A1 144A, 3.750%, 3/25/56(1)(2) | 101 | 100 | ||||||
2016-4A, B1A 144A, 4.500%, 11/25/56(1)(2) | 167 | 170 | ||||||
2018-1A, A1A 144A, 4.000%, 12/25/57(1)(2) | 101 | 101 | ||||||
NovaStar Mortgage Funding Trust 2004-4, M5, (1 month LIBOR + 1.725%) | 136 | 137 | ||||||
Oak Hill Advisors Residential Loan Trust 2017-NPL2, A1 144A | 89 | 87 | ||||||
One Market Plaza Trust 2017-1MKT, A 144A | 150 | 149 | ||||||
Pretium Mortgage Credit Partners I LLC 2017-NPL5, A1 144A | 71 | 71 | ||||||
Progress Residential Trust 2018-SFR2, B 144A | 100 | 99 | ||||||
Residential Asset Securitization Trust 2005-A1, A3 | 109 | 111 | ||||||
Sequoia Mortgage Trust 2013-8, B1 | 104 | 100 | ||||||
Towd Point Mortgage Trust | ||||||||
2015-1, A2 144A, 3.250%, 10/25/53(1)(2) | 150 | 148 | ||||||
2016-1, A1B 144A, 2.750%, 2/25/55(1)(2) | 101 | 100 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
2015-5, A2 144A, 3.500%, 5/25/55(1)(2) | $ | 220 | $ | 217 | ||||
2017-1, M1 144A, 3.750%, 10/25/56(1)(2) | 100 | 98 | ||||||
2015-2, 1M1 144A, 3.250%, 11/25/60(1)(2) | 445 | 427 | ||||||
Tricon American Homes Trust 2017-SFR1, A 144A | 100 | 96 | ||||||
Vericrest Opportunity Loan Trust LX LLC 2017-NPL7, A1 144A | 45 | 44 | ||||||
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A | 172 | 171 | ||||||
Vericrest Opportunity Loan Trust LXX LLC 2018-NPL6, A1A, 144A | 100 | 100 | ||||||
Verus Securitization Trust | ||||||||
2017-2A, A1 144A, 2.485%, 7/25/47(1)(2) | 144 | 140 | ||||||
2018-1, A1 144A, 2.929%, 2/25/48(1)(2) | 108 | 107 | ||||||
2018-2, A1 144A, 3.677%, 6/1/58(1)(2) | 164 | 164 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-LC20, B | 300 | 292 | ||||||
|
| |||||||
8,316 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $11,572) | 11,487 | |||||||
ASSET-BACKED SECURITIES—8.6% | ||||||||
Automobiles—5.0% | ||||||||
ACC Trust 2018-1, A 144A | 127 | 127 | ||||||
Avis Budget Rental Car Funding LLC (AESOP) | 200 | 197 | ||||||
Capital Auto Receivables Asset Trust 2017-1, C 144A | 185 | 182 | ||||||
CarMax Auto Owner Trust 2015-2, C | 235 | 234 | ||||||
Centre Point Funding LLC 2012-2A, 1 144A | 132 | 130 | ||||||
Drive Auto Receivables Trust | ||||||||
2015-DA, C 144A, 3.380%, 11/15/21(2) | 70 | 71 | ||||||
2017-2, C, 2.750%, 9/15/23 | 220 | 219 | ||||||
DT Auto Owner Trust 2016-4A, C 144A | 189 | 189 | ||||||
Exeter Automobile Receivables Trust 2015-2A, C 144A, 3.900%, 3/15/21(2) | 255 | 256 | ||||||
2018-3A, C 144A, 3.710%, 6/15/23(2) | 205 | 204 | ||||||
Flagship Credit Auto Trust 2017-3, C 144A | 220 | 216 | ||||||
Foursight Capital Automobile Receivables Trust 2017-1, B 144A | 175 | 173 | ||||||
GLS Auto Receivables Trust 2017-1A, B 144A | 220 | 218 | ||||||
Hyundai Auto Lease Securitization Trust 2018-A, A2A 144A | 180 | 180 | ||||||
OneMain Direct Auto Receivables Trust 2017-2A, C 144A | 185 | 182 | ||||||
Prestige Auto Receivables Trust 2017-1A, C 144A | 220 | 216 | ||||||
Tesla Auto Lease Trust 2018-A, A 144A | 125 | 125 | ||||||
Westlake Automobile Receivables Trust 2017-2A, C 144A | 220 | 218 | ||||||
|
| |||||||
3,337 | ||||||||
|
|
See Notes to Financial Statements
24
Table of Contents
NEWFLEET BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Other—3.2% | ||||||||
Aqua Finance Trust 2017-A, A 144A | $ | 172 | $ | 168 | ||||
AXIS Equipment Finance Receivables IV LLC 2018-1A, A2 144A | 180 | 179 | ||||||
DB Master Finance LLC 2017-1A, A2I 144A | 184 | 179 | ||||||
Dell Equipment Finance Trust 2017-2, A3 144A | 170 | 168 | ||||||
Diamond Resorts Owner Trust 2017-1A, A 144A | 107 | 106 | ||||||
Drug Royalty II LP 2 2014-1, A2 144A | 58 | 58 | ||||||
Mariner Finance Issuance Trust 2017-AA, A 144A | 185 | 185 | ||||||
MVW Owner Trust 2017-1A, A 144A | 173 | 168 | ||||||
OneMain Financial Issuance Trust 2018-1A, A 144A | 180 | 179 | ||||||
Prosper Marketplace Issuance Trust | ||||||||
2017-2A, B 144A, 3.480%, 9/15/23(2) | 185 | 185 | ||||||
2018-1A, A 144A, 3.110%, 6/17/24(2) | 115 | 115 | ||||||
SoFi Consumer Loan Program LLC 2017-1, A 144A | 98 | 98 | ||||||
Taco Bell Funding LLC 2016-1A, A21 144A | 177 | 177 | ||||||
TGIF Funding LLC 2017-1A, A2 144A | 180 | 181 | ||||||
|
| |||||||
2,146 | ||||||||
|
| |||||||
Student Loans—0.4% | ||||||||
Laurel Road Prime Student Loan Trust 2017-B, A2FX 144A | 219 | 213 | ||||||
SoFi Professional Loan Program LLC 2015-A, A2 144A | 37 | 37 | ||||||
|
| |||||||
250 | ||||||||
TOTAL ASSET-BACKED SECURITIES (Identified Cost $5,787) | 5,733 | |||||||
CORPORATE BONDS AND NOTES—48.5% | ||||||||
Consumer Discretionary—4.9% | ||||||||
Beazer Homes USA, Inc. | 125 | 116 | ||||||
Bunge Ltd. Finance Corp. | 135 | 134 | ||||||
Charter Communications Operating LLC | 185 | 188 | ||||||
Delta Merger Sub, Inc. 144A | 45 | 46 | ||||||
Discovery Communications LLC | 175 | 166 | ||||||
DISH DBS Corp. | 140 | 137 | ||||||
Dollar General Corp. | 214 | 211 | ||||||
Dollar Tree, Inc. | 100 | 98 | ||||||
frontdoor, Inc. 144A | 85 | 87 | ||||||
Gateway Casinos & Entertainment Ltd. 144A | 60 | 63 |
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
General Motors Financial Co., Inc. | $ | 30 | $ | 29 | ||||
GLP Capital LP | 195 | 201 | ||||||
Graham Holdings Co. 144A | 150 | 154 | ||||||
Horton (D.R.), Inc. | 220 | 225 | ||||||
Lear Corp. | 220 | 204 | ||||||
Lennar Corp. | 135 | 134 | ||||||
Marriott Ownership Resorts, Inc. 144A | 75 | 77 | ||||||
MDC Holdings, Inc. | 160 | 160 | ||||||
Meredith Corp. 144A | 135 | 138 | ||||||
PulteGroup, Inc. | 120 | 115 | ||||||
QVC, Inc. | 265 | 262 | ||||||
Tenneco, Inc. | 145 | 129 | ||||||
TRI Pointe Group, Inc. | 100 | 99 | ||||||
William Lyon Homes, Inc. | 130 | 125 | ||||||
|
| |||||||
3,298 | ||||||||
|
| |||||||
Consumer Staples—2.1% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 185 | 180 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 105 | 103 | ||||||
Bacardi Ltd. 144A | 170 | 169 | ||||||
CVS Health Corp. | ||||||||
2.875%, 6/1/26 | 255 | 234 | ||||||
4.300%, 3/25/28 | 158 | 156 | ||||||
Flowers Foods, Inc. | 275 | 280 | ||||||
Kraft Heinz Foods Co. (The) | 180 | 164 | ||||||
Safeway, Inc. | 105 | 100 | ||||||
|
| |||||||
1,386 | ||||||||
|
| |||||||
Energy—4.6% | ||||||||
Andeavor Logistics LP | 185 | 181 | ||||||
Bristow Group, Inc. 144A | 65 | 64 | ||||||
Cheniere Energy Partners LP 144A | 70 | 71 | ||||||
Crestwood Midstream Partners LP | 115 | 117 | ||||||
Enbridge Energy Partners LP | ||||||||
4.375%, 10/15/20 | 30 | 30 | ||||||
5.875%, 10/15/25 | 145 | 160 | ||||||
Energy Transfer Partners LP | 185 | 179 |
See Notes to Financial Statements
25
Table of Contents
NEWFLEET BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
EP Energy LLC 144A | $ | 70 | $ | 71 | ||||
Helmerich & Payne International Drilling Co. | 115 | 118 | ||||||
HollyFrontier Corp. | 190 | 202 | ||||||
Jagged Peak Energy LLC 144A | 125 | 124 | ||||||
Kinder Morgan Energy Partners LP | 245 | 304 | ||||||
MPLX LP | 255 | 265 | ||||||
NuStar Logistics LP | 150 | 148 | ||||||
Range Resources Corp. | 130 | 123 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
6.250%, 3/15/22 | 140 | 150 | ||||||
4.200%, 3/15/28 | 35 | 34 | ||||||
State Oil Co. of the Azerbaijan Republic RegS | 200 | 216 | ||||||
Sunoco LP 144A | 170 | 164 | ||||||
Transocean Guardian Ltd. 144A | 50 | 50 | ||||||
USA Compression Partners LP 144A | 135 | 139 | ||||||
Valero Energy Partners LP | 175 | 172 | ||||||
|
| |||||||
3,082 | ||||||||
|
| |||||||
Financials—16.7% | ||||||||
AerCap Ireland Capital Ltd. | 200 | 199 | ||||||
Allstate Corp. (The) Series B | 180 | 185 | ||||||
Apollo Management Holdings LP 144A | 190 | 189 | ||||||
Ares Capital Corp. | ||||||||
3.500%, 2/10/23 | 75 | 72 | ||||||
4.250%, 3/1/25 | 145 | 139 | ||||||
Ares Finance Co., LLC 144A | 270 | 255 | ||||||
Athene Holding Ltd. | 175 | 163 | ||||||
Aviation Capital Group LLC 144A | 195 | 178 | ||||||
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A | 200 | 182 | ||||||
Banco de Credito e Inversiones 144A | 300 | 274 | ||||||
Banco Santander Chile 144A | 215 | 215 | ||||||
Bank of America Corp. | ||||||||
3.004%, 12/20/23 | 255 | 247 | ||||||
4.200%, 8/26/24 | 338 | 339 | ||||||
Bank of Montreal | 303 | 283 | ||||||
BrightSphere Investment Group plc | 200 | 194 | ||||||
Brookfield Finance LLC | 232 | 231 |
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
Capital One Financial Corp. | ||||||||
4.200%, 10/29/25 | $ | 180 | $ | 176 | ||||
3.750%, 7/28/26 | 200 | 187 | ||||||
Citigroup, Inc. |
| |||||||
(3 month LIBOR + 1.250%) 3.646%, 7/1/26 | 310 | 313 | ||||||
3.200%, 10/21/26 | 131 | 122 | ||||||
Compass Bank | 250 | 240 | ||||||
FS Investment Corp. | ||||||||
4.250%, 1/15/20 | 165 | 165 | ||||||
4.750%, 5/15/22 | 40 | 40 | ||||||
Goldman Sachs Group, Inc. (The) | 500 | 532 | ||||||
Guanay Finance Ltd. 144A | 198 | 199 | ||||||
ICAHN Enterprises LP | 130 | 130 | ||||||
Jefferies Financial Group, Inc. | 150 | 155 | ||||||
Jefferies Group LLC | ||||||||
6.875%, 4/15/21 | 22 | 24 | ||||||
5.125%, 1/20/23 | 34 | 35 | ||||||
4.850%, 1/15/27 | 100 | 98 | ||||||
JPMorgan Chase & Co. | 365 | 350 | ||||||
Kazakhstan Temir Zholy Finance BV 144A | 215 | 237 | ||||||
Liberty Mutual Group, Inc. 144A | 245 | 248 | ||||||
Macquarie Group Ltd. 144A | 210 | 221 | ||||||
Manulife Financial Corp. | 215 | 217 | ||||||
Morgan Stanley | ||||||||
4.100%, 5/22/23 | 155 | 156 | ||||||
3.125%, 7/27/26 | 365 | 340 | ||||||
6.375%, 7/24/42 | 435 | 542 | ||||||
Navient Corp. | ||||||||
7.250%, 9/25/23 | 40 | 42 | ||||||
6.750%, 6/25/25 | 135 | 136 | ||||||
Prudential Financial, Inc. | ||||||||
5.875%, 9/15/42 | 75 | 79 | ||||||
5.625%, 6/15/43(4) | 160 | 167 | ||||||
S&P Global, Inc. 4.000%, 6/15/25 | 195 | 195 | ||||||
Santander Holdings USA, Inc. | ||||||||
3.700%, 3/28/22 | 185 | 182 | ||||||
4.400%, 7/13/27 | 70 | 67 | ||||||
SBA Tower Trust 144A | 320 | 315 | ||||||
Societe Generale S.A. 144A | 200 | 198 | ||||||
Springleaf Finance Corp. | 100 | 100 | ||||||
Synchrony Financial | 170 | 154 | ||||||
Teachers Insurance & Annuity Association of America 144A | 160 | 159 | ||||||
Toronto-Dominion Bank (The) | 240 | 225 | ||||||
Trinity Acquisition plc | ||||||||
3.500%, 9/15/21 | 15 | 15 | ||||||
4.400%, 3/15/26 | 80 | 80 |
See Notes to Financial Statements
26
Table of Contents
NEWFLEET BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
UBS AG | $ | 500 | $ | 557 | ||||
Wells Fargo & Co. | ||||||||
3.550%, 9/29/25 | 145 | 141 | ||||||
Series S, 5.900%, 12/29/49 | 255 | 259 | ||||||
|
| |||||||
11,143 | ||||||||
|
| |||||||
Health Care—4.2% | ||||||||
Abbott Laboratories | 285 | 284 | ||||||
AbbVie, Inc. | ||||||||
2.850%, 5/14/23 | 135 | 130 | ||||||
3.600%, 5/14/25 | 65 | 63 | ||||||
3.200%, 5/14/26 | 110 | 102 | ||||||
Allergan Sales LLC 144A | 75 | 77 | ||||||
AmerisourceBergen Corp. | 145 | 135 | ||||||
Anthem, Inc. | ||||||||
3.650%, 12/1/27 | 50 | 48 | ||||||
4.101%, 3/1/28 | 185 | 182 | ||||||
Bausch Health Cos., Inc. | ||||||||
144A, 7.500%, 7/15/21(2) | 25 | 25 | ||||||
144A, 6.500%, 3/15/22(2) | 10 | 10 | ||||||
144A, 7.000%, 3/15/24(2) | 15 | 16 | ||||||
144A, 5.500%, 11/1/25(2) | 65 | 65 | ||||||
Becton Dickinson & Co. |
| |||||||
(3 month LIBOR + 0.875%) 3.209%, 12/29/20 | 60 | 60 | ||||||
3.261%, 6/6/24 | 38 | 37 | ||||||
3.700%, 6/6/27 | 125 | 120 | ||||||
Cardinal Health, Inc. | ||||||||
3.200%, 3/15/23 | 130 | 126 | ||||||
3.410%, 6/15/27 | 75 | 69 | ||||||
Centene Corp. 144A | 30 | 31 | ||||||
Elanco Animal Health, Inc. 144A | 39 | 40 | ||||||
Envision Healthcare Corp. 144A | 35 | 38 | ||||||
Fresenius U.S. Finance II, Inc. 144A | 35 | 36 | ||||||
Halfmoon Parent, Inc. | ||||||||
144A, 4.125%, 11/15/25(2) | 7 | 7 | ||||||
144A, 4.375%, 10/15/28(2) | 153 | 152 | ||||||
HCA, Inc. | 145 | 148 | ||||||
HLF Financing S.a.r.l. LLC 144A | 95 | 97 | ||||||
Mylan NV | 145 | 137 | ||||||
Shire Acquisitions Investments Ireland DAC | 80 | 77 | ||||||
Surgery Center Holdings, Inc. 144A | 110 | 115 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 75 | 62 | ||||||
Zimmer Biomet Holdings, Inc. |
| |||||||
(3 month LIBOR + 0.750%) | 220 | 220 | ||||||
3.550%, 4/1/25 | 140 | 134 | ||||||
|
| |||||||
2,843 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Industrials—2.0% | ||||||||
Ashtead Capital, Inc. 144A | $ | 200 | $ | 190 | ||||
CNH Industrial N.V. | ||||||||
4.500%, 8/15/23 | 153 | 155 | ||||||
3.850%, 11/15/27 | 98 | 93 | ||||||
Masco Corp. | ||||||||
5.950%, 3/15/22 | 84 | 90 | ||||||
4.450%, 4/1/25 | 55 | 55 | ||||||
Oshkosh Corp. | 226 | 224 | ||||||
Owens Corning | 200 | 183 | ||||||
Penske Truck Leasing Co., LP 144A | 170 | 170 | ||||||
Pitney Bowes, Inc. | 176 | 163 | ||||||
|
| |||||||
1,323 | ||||||||
|
| |||||||
Information Technology—2.0% | ||||||||
Arrow Electronics, Inc. | 185 | 172 | ||||||
Broadcom Corp. | ||||||||
3.000%, 1/15/22 | 80 | 78 | ||||||
3.625%, 1/15/24 | 145 | 141 | ||||||
CDK Global, Inc. | 135 | 139 | ||||||
Citrix Systems, Inc. | 170 | 164 | ||||||
Dell International LLC | ||||||||
144A, 6.020%, 6/15/26(2) | 40 | 43 | ||||||
144A, 8.100%, 7/15/36(2) | 85 | 102 | ||||||
Hewlett Packard Enterprise Co. | 120 | 123 | ||||||
Verisk Analytics, Inc. | 190 | 188 | ||||||
VMware, Inc. | ||||||||
2.950%, 8/21/22 | 94 | 90 | ||||||
3.900%, 8/21/27 | 100 | 94 | ||||||
|
| |||||||
1,334 | ||||||||
|
| |||||||
Materials—4.0% | ||||||||
Anglo American Capital plc 144A | 200 | 184 | ||||||
ArcelorMittal | 220 | 239 | ||||||
BHP Billiton Finance USA Ltd. 144A | 200 | 219 | ||||||
CRH America Finance, Inc. 144A | 200 | 186 | ||||||
CRH America, Inc. 144A | 35 | 34 | ||||||
Glencore Funding LLC 144A | 185 | 174 | ||||||
GTL Trade Finance, Inc. 144A | 150 | 152 | ||||||
Inversiones CMPC S.A. 144A | 375 | 375 | ||||||
NewMarket Corp. | 288 | 288 | ||||||
NOVA Chemicals Corp. | ||||||||
144A, 4.875%, 6/1/24(2) | 65 | 63 | ||||||
144A, 5.000%, 5/1/25(2) | 95 | 90 |
See Notes to Financial Statements
27
Table of Contents
NEWFLEET BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Materials—continued | ||||||||
Rusal Capital Designated Activity Co. 144A | $ | 200 | $ | 130 | ||||
Schweitzer-Mauduit International, Inc. 144A | 50 | 51 | ||||||
Syngenta Finance N.V. 144A | 200 | 199 | ||||||
United States Steel Corp. | 130 | 129 | ||||||
Vulcan Materials Co. | 185 | 176 | ||||||
|
| |||||||
2,689 | ||||||||
|
| |||||||
Real Estate—4.3% | ||||||||
Alexandria Real Estate Equities, Inc. | 120 | 116 | ||||||
Brixmor Operating Partnership LP | 55 | 55 | ||||||
Corporate Office Properties LP | 265 | 256 | ||||||
EPR Properties | 245 | 240 | ||||||
Greystar Student Housing Growth & Income OP LP | 205 | 219 | ||||||
Healthcare Realty Trust, Inc. | 125 | 121 | ||||||
Healthcare Trust of America Holdings LP | 190 | 179 | ||||||
Hospitality Properties Trust | 220 | 215 | ||||||
Kilroy Realty LP | 190 | 189 | ||||||
LifeStorage LP | ||||||||
3.500%, 7/1/26 | 195 | 181 | ||||||
3.875%, 12/15/27 | 75 | 71 | ||||||
MPT Operating Partnership LP | ||||||||
6.375%, 3/1/24 | 15 | 16 | ||||||
5.500%, 5/1/24 | 85 | 86 | ||||||
5.000%, 10/15/27 | 80 | 77 | ||||||
Physicians Realty LP | 200 | 187 | ||||||
Retail Opportunity Investments Partnership LP | 155 | 145 | ||||||
Select Income REIT | 190 | 182 | ||||||
Welltower, Inc. | 200 | 197 | ||||||
WP Carey, Inc. | 160 | 161 | ||||||
|
| |||||||
2,893 | ||||||||
|
| |||||||
Telecommunication Services—1.5% | ||||||||
AT&T, Inc. 144A | 449 | 435 | ||||||
Frontier Communications Corp. | ||||||||
7.625%, 4/15/24 | 130 | 84 | ||||||
144A, 8.500%, 4/1/26(2) | 70 | 66 | ||||||
Telenet Finance Luxembourg Notes S.a.r.l. 144A | 200 | 188 | ||||||
Verizon Communications, Inc. |
| |||||||
(3 month LIBOR + 1.100%) | 70 | 71 | ||||||
4.125%, 3/16/27 | 180 | 180 | ||||||
|
| |||||||
1,024 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Utilities—2.2% | ||||||||
Duke Energy Corp. | $ | 205 | $ | 185 | ||||
Eskom Holdings SOC Ltd. 144A | 200 | 192 | ||||||
Exelon Corp. | 255 | 251 | ||||||
FirstEnergy Transmission LLC 144A | 210 | 212 | ||||||
PSEG Power LLC | 56 | 56 | ||||||
Southern Power Co. | 230 | 227 | ||||||
State Grid Overseas Investment 2014 Ltd. 144A | 200 | 202 | ||||||
TerraForm Power Operating LLC 144A | 110 | 102 | ||||||
Vistra Operations Co., LLC 144A | 25 | 25 | ||||||
|
| |||||||
1,452 | ||||||||
TOTAL CORPORATE BONDS AND NOTES (Identified Cost $33,027) | 32,467 | |||||||
LEVERAGED LOANS(1)—6.8% | ||||||||
Aerospace—0.1% | ||||||||
TransDigm, Inc. Tranche E, (1 month LIBOR + 2.500%) | 60 | 60 | ||||||
|
| |||||||
Consumer Durables—0.1% | ||||||||
Fluidra, S.A., (1 month LIBOR + 2.250%) | 35 | 35 | ||||||
Global Appliance, Inc. Tranche B, (1 month LIBOR + 4.000%) | 59 | 57 | ||||||
|
| |||||||
92 | ||||||||
|
| |||||||
Consumer Non-Durables—0.2% | ||||||||
Herbalife Nutrition Ltd. Tranche B, (1 month LIBOR + 3.250%) | 20 | 20 | ||||||
Kronos Acquisition Intermediate, Inc., (1 month | 133 | 132 | ||||||
|
| |||||||
152 | ||||||||
|
| |||||||
Energy—0.1% | ||||||||
Lotus Midstream LLC Tranche B, (3 month LIBOR + 3.250%) | 20 | 20 | ||||||
Moda Ingleside Energy Center LLC, (3 month | 10 | 10 | ||||||
|
| |||||||
30 | ||||||||
|
| |||||||
Financial—0.2% | ||||||||
Financial & Risk US Holdings, Inc., (3 month LIBOR + 3.750%) | 115 | 115 | ||||||
Franklin Square Holdings LP, (1 month LIBOR + 2.500%) | 25 | 25 | ||||||
Genworth Holdings, Inc., (1 month LIBOR + 4.500%) | 5 | 5 | ||||||
|
| |||||||
145 | ||||||||
|
|
See Notes to Financial Statements
28
Table of Contents
NEWFLEET BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Food and Drug—0.2% | ||||||||
Albertson’s LLC Tranche B-4, (1 month LIBOR + 2.750%) | $ | 101 | $ | 102 | ||||
|
| |||||||
Food/Tobacco—0.2% | ||||||||
Aramark Intermediate HoldCo Corp. Tranche B-3, (3 month LIBOR + 1.750%) | 70 | 70 | ||||||
CHG PPC Parent LLC First Lien, (1 month LIBOR + 2.750%) | 70 | 70 | ||||||
H-Food Holdings, LLC, (1 month LIBOR + 3.000%) | 20 | 20 | ||||||
|
| |||||||
160 | ||||||||
|
| |||||||
Gaming/Leisure—1.2% | ||||||||
Aristocrat Leisure Ltd. Tranche B-3, (3 month | 135 | 135 | ||||||
Gateway Casinos & Entertainment Ltd., (3 month | 20 | 20 | ||||||
GVC Holdings plc Tranche B-2, (1 month LIBOR + 2.500%) | 95 | 95 | ||||||
Playa Resorts Holding B.V., (1 month LIBOR + 2.750%) | 94 | 93 | ||||||
Scientific Games International, Inc. Tranche B-5, (2 month LIBOR + 2.750%) | 104 | 104 | ||||||
Seminole Tribe of Florida 2018 Replacement, Tranche B, (1 month LIBOR + 1.750%) | 119 | 119 | ||||||
Station Casinos LLC Tranche B, (1 month LIBOR + 2.500%) | 83 | 84 | ||||||
Wyndham Hotels & Resorts, Inc. Tranche B, (1 month | 170 | 170 | ||||||
|
| |||||||
820 | ||||||||
|
| |||||||
Healthcare—0.8% | ||||||||
Bausch Health Cos., Inc., (1 month LIBOR + 3.000%) | 20 | 20 | ||||||
CCS-CMGC Holdings, Inc., (3 month LIBOR + 5.500%) | 95 | 95 | ||||||
CHG Healthcare Services, Inc. First Lien, (3 month LIBOR + 3.000%) | 120 | 120 | ||||||
Envision Healthcare Corp., (3 month LIBOR + 3.750%) | 139 | 138 | ||||||
Iqvia, Inc. Tranche B-3, (3 month LIBOR + 1.750%) | 130 | 130 | ||||||
Quorum Health Corp., (1 month LIBOR + 6.750%) | 52 | 53 | ||||||
|
| |||||||
556 | ||||||||
|
| |||||||
Housing—0.5% | ||||||||
American Builders & Contractors Supply Co., Inc. Tranche B-2, (1 month LIBOR + 2.000%) | 174 | 173 | ||||||
Capital Automotive LP Tranche B-2, (1 month | 163 | 163 | ||||||
|
| |||||||
336 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Information Technology—0.9% | ||||||||
BMC Software Finance, Inc., (3 month LIBOR + 4.250%) | $ | 135 | $ | 136 | ||||
Kronos, Inc. First Lien, (3 month LIBOR + 3.000%) | 104 | 105 | ||||||
Rackspace Hosting, Inc. Tranche B, (3 month | 162 | 160 | ||||||
Renaissance Holding Corp. First Lien, (1 month | 30 | 30 | ||||||
SS&C Technologies Holdings, Inc. |
| |||||||
Tranche B-3, (1 month LIBOR + 2.250%) 4.492%, 4/16/25 | 122 | 122 | ||||||
Tranche B-4, (1 month LIBOR + 2.250%) 4.492%, 4/16/25 | 47 | 47 | ||||||
|
| |||||||
600 | ||||||||
|
| |||||||
Manufacturing—0.1% | ||||||||
Accudyne Industries Borrower S.C.A., (1 month | 77 | 77 | ||||||
Altra Industrial Motion Corp., (3 month LIBOR + 2.000%) | 15 | 15 | ||||||
|
| |||||||
92 | ||||||||
|
| |||||||
Media/Telecom – Cable/Wireless Video—0.4% | ||||||||
Altice US Finance I Corp. 2017 Refinancing, (1 month LIBOR + 2.250%) | 139 | 139 | ||||||
Telenet Financing USD LLC, (1 month LIBOR + 2.250%) | 105 | 105 | ||||||
|
| |||||||
244 | ||||||||
|
| |||||||
Media/Telecom – Diversified Media—0.2% | ||||||||
Crown Finance US, Inc., (1 month LIBOR + 2.500%) | 154 | 154 | ||||||
|
| |||||||
Media Telecom – Telecommunications—0.3% | ||||||||
CenturyLink, Inc. Tranche B, (1 month LIBOR + 2.750%) | 174 | 173 | ||||||
|
| |||||||
Media/Telecom – Wireless Communications—0.1% | ||||||||
Digicel International Finance Ltd. Tranche B, (3 month | 10 | 9 | ||||||
SBA Senior Finance II LLC, (1 month LIBOR + 2.000%) | 80 | 80 | ||||||
|
| |||||||
89 | ||||||||
|
| |||||||
Metals/Minerals—0.2% | ||||||||
Covia Holdings Corp., (1 month LIBOR + 3.750%) | 105 | 99 | ||||||
|
| |||||||
Service—0.3% | ||||||||
Red Ventures LLC First Lien, (1 month LIBOR + 4.000%) | 115 | 116 | ||||||
TKC Holdings, Inc. First Lien, (1 month LIBOR + 3.750%) | 79 | 79 | ||||||
|
| |||||||
195 | ||||||||
|
|
See Notes to Financial Statements
29
Table of Contents
NEWFLEET BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Transportation – Automotive—0.2% | ||||||||
Navistar, Inc. Tranche B, (1 month LIBOR + 3.500%) | $ | 95 | $ | 95 | ||||
|
| |||||||
Utility—0.5% | ||||||||
Brookfield WEC Holdings, Inc. (Westinghouse Electric Co., LLC) First Lien, (1 month LIBOR + 3.750%) | 100 | 101 | ||||||
NRG Energy, Inc., (3 month LIBOR + 1.750%) | 108 | 108 | ||||||
Vistra Operations Co., LLC |
| |||||||
(1 month LIBOR + 2.000%) 4.242%, 8/4/23 | 69 | 69 | ||||||
(1 month LIBOR + 2.000%) 4.181%, 12/31/25 | 80 | 80 | ||||||
|
| |||||||
358 | ||||||||
TOTAL LEVERAGED LOANS (Identified Cost $4,555) | 4,552 | |||||||
SHARES | ||||||||
PREFERRED STOCKS—3.0% | ||||||||
Financials—2.0% | ||||||||
Bank of New York Mellon Corp. (The) Series E, | 150 | (5) | 153 | |||||
Huntington Bancshares, Inc. Series E, | 145 | (5) | 144 | |||||
JPMorgan Chase & Co. Series Z, | 225 | (5) | 230 | |||||
KeyCorp Series D, | 140 | (5) | 137 | |||||
M&T Bank Corp. Series F, | 195 | (5) | 196 | |||||
MetLife, Inc. Series D, | 78 | (5) | 80 | |||||
PNC Financial Services Group, Inc. (The) | ||||||||
Series R, 4.850% | 215 | (5) | 215 | |||||
Series S, 5.000% | 195 | (5) | 194 | |||||
|
| |||||||
1,349 | ||||||||
|
| |||||||
Industrials—1.0% | ||||||||
General Electric Co. Series D, | 686 | (5) | 669 | |||||
TOTAL PREFERRED STOCKS (Identified Cost $2,000) | 2,018 | |||||||
AFFILIATED MUTUAL FUND—1.7% | ||||||||
Virtus Newfleet Credit Opportunities Fund Class R6(7) | 117,904 | 1,140 | ||||||
TOTAL AFFILIATED MUTUAL FUND (Identified Cost $1,179) | 1,140 | |||||||
TOTAL LONG-TERM INVESTMENTS—99.2% | ||||||||
(Identified Cost $67,425) | 66,389 | |||||||
SECURITIES LENDING COLLATERAL—0.4% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%)(7)(9) | 307,593 | 308 | ||||||
TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $308) | 308 | |||||||
TOTAL INVESTMENTS—99.6% (Identified Cost $67,733) | 66,697 | |||||||
Other assets and liabilities, net—0.4% | 240 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 66,937 | ||||||
|
|
Abbreviations:
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
Footnote Legend:
(1) | Variable rate security. Rate disclosed is as of September 30, 2018. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to a value of $21,017 or 31.4% of net assets. |
(3) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(4) | Interest payments may be deferred. |
(5) | Value shown as par value. |
(6) | This loan will settle after September 30, 2018, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(7) | Shares of this fund are publicly offered, and its prospectus and annual reports are publicly available. |
(8) | All or a portion of security is on loan. |
(9) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | ||||
United States (includes securities lending collateral) | 86 | % | ||
Canada | 2 | |||
Chile | 2 | |||
Australia | 1 | |||
Netherlands | 1 | |||
Switzerland | 1 | |||
United Kingdom | 1 | |||
Other | 6 | |||
Total | 100 | % | ||
† % of total investments as of September 30, 2018. |
|
Security abbreviation definitions are located under the Key Investment Terms starting on page 4.
See Notes to Financial Statements
30
Table of Contents
NEWFLEET BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | ||||||||||
Debt Securities: | ||||||||||||
Asset-Backed Securities | $ | 5,733 | $ | — | $ | 5,733 | ||||||
Corporate Bonds and Notes | 32,467 | — | 32,467 | |||||||||
Foreign Government Securities | 1,525 | — | 1,525 | |||||||||
Leveraged Loans | 4,552 | — | 4,552 | |||||||||
Mortgage-Backed Securities | 11,487 | — | 11,487 | |||||||||
Municipal Bonds | 3,012 | — | 3,012 | |||||||||
U.S. Government Securities | 4,455 | — | 4,455 | |||||||||
Equity Securities: | ||||||||||||
Preferred Stocks | 2,018 | — | 2,018 | |||||||||
Affiliated Mutual Fund | 1,140 | 1,140 | — | |||||||||
Securities Lending Collateral | 308 | 308 | — | |||||||||
|
|
|
|
|
| |||||||
Total Investments | $ | 66,697 | $ | 1,448 | $ | 65,249 | ||||||
|
|
|
|
|
|
There were no securities valued using significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held as of September 30, 2018.
See Notes to Financial Statements
31
Table of Contents
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
MUNICIPAL TAX-EXEMPT BONDS(1)—96.7% | ||||||||
Electric Revenue—5.2% | ||||||||
Northern California Power Agency, Hydroelectric Project No.1, | $ | 200 | $ | 219 | ||||
Roseville Natural Gas Financing Authority, | ||||||||
5.000%, 2/15/24 | 450 | 497 | ||||||
5.000%, 2/15/27 | 210 | 237 | ||||||
Sacramento Municipal Utility District, | 150 | 169 | ||||||
Southern California Public Power Authority, Windy Point Project, | 125 | 132 | ||||||
|
| |||||||
1,254 | ||||||||
|
| |||||||
General Obligation—15.1% | ||||||||
Cajon Valley Union School District, | 250 | 284 | ||||||
California, State of, |
| |||||||
(AMBAC Insured), 5.000%, 2/1/27 | 290 | 345 | ||||||
5.000%, 9/1/32 | 300 | 324 | ||||||
6.000%, 4/1/38 | 165 | 168 | ||||||
4.000%, 10/1/39 | 100 | 105 | ||||||
Gilroy Unified School District, | 250 | 256 | ||||||
Grossmont Healthcare District, | 400 | 468 | ||||||
Long Beach Community College District, | 225 | 256 | ||||||
Los Alamitos Unified School District, School Facilities Improvement District No. 1, | 100 | 112 | ||||||
Midpeninsula Regional Open Space District, | 100 | 106 | ||||||
Mountain View Los Altos Union High School District | 70 | 75 | ||||||
Oakland Unified School District, (AGM Insured) | 200 | 232 | ||||||
Ross Valley School District, | 350 | 382 | ||||||
San Diego Unified School District, (AGM Insured) | 225 | 272 | ||||||
Temple City Unified School District, | 250 | 263 | ||||||
|
| |||||||
3,648 | ||||||||
|
| |||||||
General Revenue—7.8% | ||||||||
California Infrastructure & Economic Development Bank |
| |||||||
5.000%, 10/1/23 | 200 | 229 | ||||||
5.000%, 10/1/33 | 500 | 584 | ||||||
California State Municipal Finance Authority, Bowles Hall Foundation | 100 | 105 | ||||||
Golden State Tobacco Securitization Corp., |
| |||||||
Tobacco Settlement Revenue,5.000%, 6/1/29 | 350 | 387 | ||||||
Tobacco Settlement Revenue, 5.000%, 6/1/47 | 200 | 205 | ||||||
Midpeninsula Regional Open Space District, Promissory Notes | 145 | 165 | ||||||
San Diego Unified Port District | 200 | 222 | ||||||
|
| |||||||
1,897 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Healthcare Revenue—11.2% | ||||||||
California State Health Facilities Financing Authority, | ||||||||
El Camino Hospital, | $ | 100 | $ | 114 | ||||
Cedars-Sinai Medical Center, | 260 | 300 | ||||||
Cedars-Sinai Medical Center, | 300 | 344 | ||||||
Sutter Health, | 125 | 141 | ||||||
Providence St. Joseph Health, | 50 | 51 | ||||||
Sutter Health, | 135 | 150 | ||||||
Lucille Salter Packard Children’s Hospital at Stanford, | 100 | 109 | ||||||
Sutter Health, | 100 | 111 | ||||||
Lucille Salter Packard Children’s Hospital at Stanford, | 250 | 253 | ||||||
California State Municipal Finance Authority, | ||||||||
Community Medical Centers, | 100 | 112 | ||||||
Community Medical Centers, | 150 | 163 | ||||||
California Statewide Communities Development Authority, | ||||||||
Loma Linda University Medical Center, | 100 | 110 | ||||||
John Muir Health Center, | 100 | 111 | ||||||
Cottage Health System, | 250 | 272 | ||||||
Loma Linda University Medical Center, | 100 | 106 | ||||||
Regents of The University of California Medical Center Pooled Revenue | 250 | 267 | ||||||
|
| |||||||
2,714 | ||||||||
|
| |||||||
Higher Education Revenue—6.0% | ||||||||
California Municipal Finance Authority, University of La Verne, | 60 | 66 | ||||||
California State University | ||||||||
5.000%, 11/1/32 | 125 | 145 | ||||||
5.000%, 11/1/41 | 300 | 336 | ||||||
California Statewide Communities Development Authority, The Culinary Institute of America | 250 | 269 | ||||||
University of California, |
| |||||||
General Revenue, | 100 | 114 | ||||||
Limited Projects Revenue, | 225 | 255 | ||||||
General Revenue, | 250 | 257 | ||||||
|
| |||||||
1,442 | ||||||||
|
| |||||||
Lease Revenue—5.3% | ||||||||
California State Public Works Board, Department of Corrections | 150 | 158 | ||||||
Municipal Improvement Corp. of Los Angeles Real Property | 150 | 171 |
See Notes to Financial Statements
32
Table of Contents
NEWFLEET CA TAX-EXEMPT BOND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Lease Revenue—continued | ||||||||
San Diego Regional Building Authority, County Operations Center | $ | 335 | $ | 381 | ||||
Ventura County Public Financing Authority, | 250 | 278 | ||||||
West Hollywood Public Financing Authority, West Hollywood Park Phase II | 260 | 299 | ||||||
|
| |||||||
1,287 | ||||||||
|
| |||||||
Pre-Refunded—15.9% | ||||||||
California State Health Facilities Financing Authority, |
| |||||||
Providence Health & Services (Pre-refunded 10/1/18 @100), | 5 | 5 | ||||||
Providence Health & Services (Pre-refunded 10/1/18 @100), | 195 | 195 | ||||||
California State Infrastructure & Economic Development Bank, |
| |||||||
Bay Area Toll Bridges (AMBAC Insured) (Pre-refunded 1/1/28 @ 100), | 175 | 211 | ||||||
Bay Area Toll Bridges (AMBAC Insured) (Pre-refunded 7/1/26 @100), | 530 | 635 | ||||||
California State of, (Pre-refunded 4/1/19 @ 100) | 85 | 87 | ||||||
California State Public Works Board, |
| |||||||
Department of General Services, Buildings 8&9 (Pre-refunded 4/1/19 @100), | 500 | 511 | ||||||
Capital Projects (Pre-refunded 10/1/19 @100), | 550 | 572 | ||||||
Los Alamitos Unified School District, School Facilities Improvement District No. 1, (Pre-refunded 8/1/23 @ 100) | 150 | 172 | ||||||
Northern California Power Agency, (AMBAC Insured) (Pre-refunded 7/1/21 @ 100) | 150 | 166 | ||||||
Riverside County Single Family Mortgage, (Escrowed to Maturity) (GNMA Collateralized) | 1,140 | 1,300 | ||||||
|
| |||||||
3,854 | ||||||||
|
| |||||||
Special Tax Revenue—3.2% | ||||||||
Chula Vista Municipal Financing Authority, | 200 | 226 | ||||||
San Diego County Regional Transportation Commission, Sales Tax Revenue | 150 | 172 | ||||||
San Dieguito School Facilities Financing Authority, Special Tax Revenue, | 90 | 103 | ||||||
Tustin Unified School District, Community Facilities District No. 97-1 (BAM Insured) | 250 | 279 | ||||||
|
| |||||||
780 | ||||||||
|
| |||||||
Tax Allocation Revenue—15.5% | ||||||||
Fontana Redevelopment Agency Successor Agency | 200 | 234 | ||||||
Garden Grove Agency for Community Development Successor Agency, Garden Grove Community Project (BAM Insured) | 350 | 403 |
PAR VALUE | VALUE | |||||||
Tax Allocation Revenue—continued | ||||||||
Lafayette Redevelopment Agency Successor Agency, Lafayette Redevelopment Project (AGM Insured) | $ | 250 | $ | 278 | ||||
Lancaster Redevelopment Agency Successor Agency, Combined Redevelopment Project Areas (AGM Insured) | 70 | 79 | ||||||
Los Angeles County Redevelopment Refunding Authority, Long Beach Project, | 215 | 242 | ||||||
Menlo Park Community Development Agency Successor Agency, Las Pulgas Community Development Project (AGM Insured) | 100 | 115 | ||||||
Milpitas Redevelopment Agency Successor Agency Redevelopment Project Area No.1, | 300 | 341 | ||||||
Palm Desert Redevelopment Agency Successor Agency (BAM Insured), | 125 | 148 | ||||||
Palmdale Community Redevelopment Agency Successor Agency, Subordinate Lien (NATL Insured) | 300 | 342 | ||||||
Rancho Cucamonga Redevelopment Agency Successor Agency, Rancho Redevelopment Project Area (NATL Insured) | 200 | 208 | ||||||
Sacramento Redevelopment Agency Successor Agency |
| |||||||
(BAM Insured), 5.000%, 12/1/33 | 75 | 85 | ||||||
(BAM Insured), 5.000%, 12/1/34 | 75 | 85 | ||||||
San Marcos Redevelopment Agency Successor Agency, | 300 | 341 | ||||||
San Mateo Redevelopment Agency Successor Agency, | 250 | 280 | ||||||
Union City Redevelopment Agency Successor Agency, Union City Redevelopment Project, | 215 | 240 | ||||||
Westminster Redevelopment Agency Successor Agency, |
| |||||||
(BAM Insured), 4.000%, 11/1/34 | 75 | 78 | ||||||
(BAM Insured), 4.000%, 11/1/36 | 250 | 257 | ||||||
|
| |||||||
3,756 | ||||||||
|
| |||||||
Transportation Revenue—6.8% | ||||||||
Bay Area Toll Authority, San Francisco Bay Area Toll Bridge, Senior Lien | 150 | 149 | ||||||
Los Angeles Department of Airports, Los Angeles International Airport, Subordinate Lien | 210 | 238 | ||||||
Los Angeles Harbor Department, | 235 | 264 | ||||||
Sacramento County Airport System, Senior Lien, | 100 | 112 | ||||||
San Diego County Regional Airport Authority, | 400 | 419 | ||||||
San Francisco City & County Airport Commission, San Francisco International Airport, | 150 | 163 | ||||||
San Francisco Municipal Transportation Agency, | ||||||||
5.000%, 3/1/31 | 125 | 139 | ||||||
5.000%, 3/1/33 | 150 | 168 | ||||||
|
| |||||||
1,652 | ||||||||
|
|
See Notes to Financial Statements
33
Table of Contents
NEWFLEET CA TAX-EXEMPT BOND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Water & Sewer Revenue—4.7% | ||||||||
California State Municipal Finance Authority, San Bernardino Municipal Water Department Project (BAM Insured) | $ | 250 | $ | 276 | ||||
East Bay Municipal Utility District Water System Revenue | 250 | 286 | ||||||
Los Angeles Department of Water & Power, | 295 | 331 | ||||||
Ross Valley Public Financing Authority, Sanitary District No.1 (AGM Insured) | 225 | 251 | ||||||
|
| |||||||
1,144 | ||||||||
TOTAL MUNICIPAL TAX-EXEMPT BONDS (Identified Cost $23,109) | 23,428 | |||||||
TOTAL LONG-TERM INVESTMENTS—96.7% | ||||||||
(Identified Cost $23,109) | 23,428 | |||||||
TOTAL INVESTMENTS—96.7% (Identified Cost $23,109) | 23,428 | |||||||
Other assets and liabilities, net—3.3% | 810 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 24,238 | ||||||
|
|
Abbreviations:
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
BAM | Build America Municipal Insured |
GNMA | Government National Mortgage Association (“Ginnie Mae”) |
NATL | National Public Finance Guarantee Corp. |
Footnote Legend:
(1) | At September 30, 2018, the concentration of the Fund’s investments by state or territory determined as a percentage of net assets is as follows: California 100%. At September 30, 2018, 26.54% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. None of the insurers’ concentration exceeds 10% of the Fund’s net assets. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to a value of $216 or 0.9% of net assets. |
(3) | Variable or step coupon security. Interest rates reset periodically. Interest rate shown reflects the rate in effect at September 30, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 2 Significant Observable Inputs | |||||||
Debt Securities: | ||||||||
Municipal Tax-Exempt Bonds | $ | 23,428 | $ | 23,428 | ||||
|
|
|
| |||||
Total Investments | $ | 23,428 | $ | 23,428 | ||||
|
|
|
|
There were no securities valued using quoted prices (Level 1) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held as of September 30, 2018.
Security abbreviation definitions are located under the Key Investment Terms starting on page 4.
See Notes to Financial Statements
34
Table of Contents
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
U.S. GOVERNMENT SECURITIES—0.7% | ||||||||
U.S. Treasury Note | $ | 500 | $ | 494 | ||||
TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $495) |
| 494 | ||||||
MORTGAGE-BACKED SECURITIES—1.0% | ||||||||
Non-Agency—1.0% | ||||||||
BBCMS Mortgage Trust 2018-TALL, A 144A , (1 month LIBOR + 0.722%) 2.880%, 3/15/37(1)(2) | 650 | 649 | ||||||
TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $650) | 649 | |||||||
ASSET-BACKED SECURITIES—1.5% | ||||||||
Automobiles—0.3% | ||||||||
CarNow Auto Receivables Trust 2016-1A, D 144A | 215 | 216 | ||||||
|
| |||||||
Other—1.2% | ||||||||
SoFi Consumer Loan Program Trust 2018-3, A1 144A | 602 | 602 | ||||||
TGIF Funding LLC 2017-1A, A2 144A | 176 | 176 | ||||||
|
| |||||||
778 | ||||||||
TOTAL ASSET-BACKED SECURITIES (Identified Cost $992) | 994 | |||||||
CORPORATE BONDS AND NOTES—76.2% | ||||||||
Consumer Discretionary—19.6% | ||||||||
Altice France S.A. | 340 | 340 | ||||||
Altice US Finance I Corp. | 210 | 212 | ||||||
American Greetings Corp. | 205 | 195 | ||||||
Beazer Homes USA, Inc. | ||||||||
6.750%, 3/15/25 | 95 | 88 | ||||||
5.875%, 10/15/27 | 250 | 212 | ||||||
Boyd Gaming Corp. | 255 | 262 | ||||||
6.000%, 8/15/26 | 80 | 81 | ||||||
Boyne USA, Inc. | 155 | 164 | ||||||
Cablevision Systems Corp. | 150 | 153 | ||||||
Caesars Resort Collection LLC | 325 | 310 | ||||||
CCO Holdings LLC | 350 | 332 | ||||||
Cequel Communications Holdings I LLC | 200 | 209 | ||||||
Clear Channel Worldwide Holdings, Inc. |
| |||||||
Series A, 7.625%, 3/15/20 | 150 | 150 | ||||||
Series B, 7.625%, 3/15/20 | 660 | 662 | ||||||
CSC Holdings LLC | 135 | 131 | ||||||
Delta Merger Sub, Inc. | 125 | 127 | ||||||
Diamond Resorts International, Inc. | 250 | 245 |
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
DISH DBS Corp. | $ | 510 | $ | 463 | ||||
7.750%, 7/1/26 | 160 | 152 | ||||||
Downstream Development Authority of The Quapaw Tribe of Oklahoma | 115 | 118 | ||||||
frontdoor, Inc. | 45 | 46 | ||||||
Gateway Casinos & Entertainment Ltd. | 315 | 332 | ||||||
GLP Capital LP | 235 | 239 | ||||||
5.750%, 6/1/28 | 115 | 118 | ||||||
Golden Nugget, Inc. | 225 | 228 | ||||||
Graham Holdings Co. | 245 | 251 | ||||||
Hilton Domestic Operating Co., Inc. | 335 | 333 | ||||||
iHeartCommunications, Inc. | 290 | 218 | ||||||
International Game Technology plc | ||||||||
144A, 6.250%, 2/15/22(2) | 200 | 207 | ||||||
144A, 6.250%, 1/15/27(2) | 200 | 203 | ||||||
Laureate Education, Inc. 144A | 160 | 171 | ||||||
Lennar Corp. | 265 | 263 | ||||||
4.750%, 11/29/27 | 165 | 159 | ||||||
Live Nation Entertainment, Inc. | 290 | 293 | ||||||
M/I Homes, Inc. | 205 | 193 | ||||||
Marriott Ownership Resorts, Inc. 144A | 360 | 369 | ||||||
McGraw-Hill Global Education Holdings LLC 144A | 295 | 264 | ||||||
MDC Holdings, Inc. | 325 | 324 | ||||||
Meredith Corp. 144A | 330 | 338 | ||||||
MGM Growth Properties Operating Partnership LP | 65 | 67 | ||||||
4.500%, 1/15/28 | 120 | 110 | ||||||
MGM Resorts International | 325 | 326 | ||||||
Neiman Marcus Group Ltd. 144A | 400 | 263 | ||||||
PetSmart, Inc. 144A | 115 | 83 | ||||||
Pinnacle Entertainment, Inc. | 190 | 201 | ||||||
PulteGroup, Inc. | 200 | 199 | ||||||
Scientific Games International, Inc. | 205 | 204 | ||||||
144A, 5.000%, 10/15/25(2) | 250 | 237 | ||||||
ServiceMaster Co., LLC (The) 144A | 180 | 178 | ||||||
Sinclair Television Group, Inc. 144A | 200 | 184 | ||||||
Sonic Automotive, Inc. | 200 | 187 |
See Notes to Financial Statements
35
Table of Contents
NEWFLEET HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
Tenneco, Inc. | $ | 240 | $ | 213 | ||||
TRI Pointe Group, Inc. | 345 | 342 | ||||||
Under Armour, Inc. | 165 | 146 | ||||||
Univision Communications, Inc. 144A | 135 | 129 | ||||||
Viking Cruises Ltd. 144A | 285 | 278 | ||||||
Vista Outdoor, Inc. | 185 | 181 | ||||||
Weekley Homes LLC | 255 | 243 | ||||||
William Lyon Homes, Inc. | 200 | 193 | ||||||
Wolverine World Wide, Inc. 144A | 250 | 245 | ||||||
|
| |||||||
13,364 | ||||||||
|
| |||||||
Consumer Staples—3.2% | ||||||||
Albertsons’s Cos LLC | 195 | 175 | ||||||
Cumberland Farms, Inc. 144A | 315 | 323 | ||||||
Dole Food Co., Inc. 144A | 325 | 317 | ||||||
Kronos Acquisition Holdings, Inc. 144A | 245 | 231 | ||||||
Matterhorn Merger Sub LLC 144A | 180 | 175 | ||||||
Post Holdings, Inc. | ||||||||
144A, 5.500%, 3/1/25(2) | 65 | 64 | ||||||
144A, 5.000%, 8/15/26(2) | 305 | 288 | ||||||
144A, 5.625%, 1/15/28(2) | 25 | 24 | ||||||
Prestige Brands, Inc. 144A | 330 | 334 | ||||||
Revlon Consumer Products Corp. | 100 | 61 | ||||||
Safeway, Inc. | 215 | 205 | ||||||
|
| |||||||
2,197 | ||||||||
|
| |||||||
Energy—10.7% | ||||||||
Alta Mesa Holdings LP | 215 | 204 | ||||||
American Midstream Partners LP 144A | 175 | 175 | ||||||
Blue Racer Midstream LLC 144A | 165 | 169 | ||||||
Bristow Group, Inc. 144A | 220 | 215 | ||||||
California Resources Corp. | ||||||||
144A, 8.000%, 12/15/22(2)(17) | 204 | 195 | ||||||
6.000%, 11/15/24 | 16 | 14 | ||||||
Callon Petroleum Co. | 200 | 204 | ||||||
Carrizo Oil & Gas, Inc. | 210 | 214 | ||||||
Cheniere Corpus Christi Holdings LLC | 295 | 310 | ||||||
Cheniere Energy Partners LP 144A | 160 | 161 |
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
Chesapeake Energy Corp. | $ | 435 | $ | 443 | ||||
Citgo Holding, Inc. 144A | 235 | 249 | ||||||
Continental Resources, Inc. | 145 | 148 | ||||||
CrownRock LP 144A | 260 | 254 | ||||||
Denbury Resources, Inc. | ||||||||
144A, 9.250%, 3/31/22(2) | 178 | 192 | ||||||
144A, 7.500%, 2/15/24(2) | 130 | 134 | ||||||
Energy Transfer Equity LP | 200 | 211 | ||||||
EP Energy LLC | ||||||||
144A, 9.375%, 5/1/24(2) | 70 | 58 | ||||||
144A, 8.000%, 11/29/24(2) | 105 | 106 | ||||||
144A, 8.000%, 2/15/25(2) | 80 | 61 | ||||||
144A, 7.750%, 5/15/26(2) | 160 | 164 | ||||||
Geopark Ltd. 144A | 215 | 216 | ||||||
Jagged Peak Energy LLC 144A | 225 | 224 | ||||||
Nabors Industries, Inc. 144A | 165 | 158 | ||||||
NuStar Logistics LP | 155 | 153 | ||||||
Oasis Petroleum, Inc. | 195 | 198 | ||||||
Range Resources Corp. | 25 | 25 | ||||||
4.875%, 5/15/25(17) | 215 | 203 | ||||||
Rowan Cos., Inc. | 265 | 197 | ||||||
Sanchez Energy Corp. 144A | 115 | 113 | ||||||
Seven Generations Energy Ltd. 144A | 215 | 209 | ||||||
Sunoco LP | ||||||||
144A, 4.875%, 1/15/23(2) | 135 | 134 | ||||||
144A, 5.500%, 2/15/26(2) | 155 | 150 | ||||||
144A, 5.875%, 3/15/28(2) | 55 | 53 | ||||||
Targa Resources Partners LP 144A | 350 | 361 | ||||||
Transocean, Inc. | ||||||||
144A, 7.500%, 1/15/26(2) | 65 | 67 | ||||||
6.800%, 3/15/38 | 300 | 260 | ||||||
USA Compression Partners LP 144A | 310 | 320 | ||||||
Vine Oil & Gas LP 144A | 205 | 200 | ||||||
Weatherford International Ltd. | 190 | 180 | ||||||
|
| |||||||
7,302 | ||||||||
|
| |||||||
Financials—5.8% | ||||||||
Acrisure LLC 144A | 240 | 224 | ||||||
Ally Financial, Inc. | 235 | 243 | ||||||
ICAHN Enterprises LP | ||||||||
5.875%, 2/1/22 | 295 | 299 | ||||||
6.375%, 12/15/25 | 175 | 176 |
See Notes to Financial Statements
36
Table of Contents
NEWFLEET HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
ING Groep N.V. 6.000%(4)(6) | $ | 200 | $ | 199 | ||||
iStar, Inc. | ||||||||
6.000%, 4/1/22 | 170 | 171 | ||||||
5.250%, 9/15/22 | 335 | 330 | ||||||
Ladder Capital Finance Holdings LLP | ||||||||
144A, 5.875%, 8/1/21(2) | 265 | 269 | ||||||
144A, 5.250%, 3/15/22(2) | 80 | 80 | ||||||
Nationstar Mortgage LLC 6.500%, 7/1/21 | 250 | 250 | ||||||
Navient Corp. | ||||||||
6.500%, 6/15/22 | 273 | 284 | ||||||
7.250%, 9/25/23 | 60 | 64 | ||||||
6.750%, 6/25/25 | 190 | 191 | ||||||
Springleaf Finance Corp. | ||||||||
6.125%, 5/15/22 | 335 | 344 | ||||||
6.875%, 3/15/25 | 200 | 200 | ||||||
7.125%, 3/15/26 | 85 | 85 | ||||||
Tempo Acquisition LLC 144A | 345 | 335 | ||||||
Voya Financial, Inc. | 205 | 207 | ||||||
|
| |||||||
3,951 | ||||||||
|
| |||||||
Health Care—9.6% | ||||||||
Avantor, Inc. | ||||||||
144A, 6.000%, 10/1/24(2) | 130 | 132 | ||||||
144A, 9.000%, 10/1/25(2) | 380 | 392 | ||||||
Bausch Health Cos., Inc. | ||||||||
144A, 5.500%, 11/1/25(2) | 350 | 349 | ||||||
144A, 9.000%, 12/15/25(2) | 70 | 75 | ||||||
144A, 9.250%, 4/1/26(2) | 135 | 146 | ||||||
144A, 8.500%, 1/31/27(2) | 600 | 630 | ||||||
Centene Corp. 144A | 60 | 62 | ||||||
Change Healthcare Holdings LLC 144A | 85 | 84 | ||||||
Charles River Laboratories International, Inc. 144A | 195 | 198 | ||||||
Concordia International Corp. | 41 | 40 | ||||||
DaVita, Inc. | 100 | 97 | ||||||
5.000%, 5/1/25 | 100 | 96 | ||||||
DJO Finco, Inc. 144A | 255 | 260 | ||||||
Eagle Holding Co. II, LLC PIK Interest Capitalization, 144A | 295 | 299 | ||||||
Elanco Animal Health, Inc. 144A, | 21 | 21 | ||||||
144A, 4.272%, 8/28/23(2) | 52 | 52 | ||||||
Endo Finance LLC 144A | 250 | 220 | ||||||
Envision Healthcare Corp. 144A | 70 | 75 | ||||||
HCA, Inc. | ||||||||
5.375%, 2/1/25 | 330 | 337 | ||||||
5.250%, 6/15/26 | 165 | 170 | ||||||
HLF Financing S.a.r.l. LLC 144A | 245 | 249 | ||||||
Mallinckrodt International Finance S.A. 144A | 110 | 97 | ||||||
MPH Acquisition Holdings LLC 144A | 225 | 234 |
PAR VALUE | VALUE | |||||||
Health Care—continued | ||||||||
One Call Corp. 144A | $ | 40 | $ | 33 | ||||
Ortho-Clinical Diagnostics, Inc. 144A | 210 | 205 | ||||||
Polaris Intermediate Corp. PIK Interest Capitalization, 144A | 105 | 108 | ||||||
Sotera Health Holdings LLC 144A | 325 | 335 | ||||||
Surgery Center Holdings, Inc. | ||||||||
144A, 8.875%, 4/15/21(2) | 200 | 208 | ||||||
144A, 6.750%, 7/1/25(2) | 55 | 53 | ||||||
Tenet Healthcare Corp. | ||||||||
6.000%, 10/1/20 | 230 | 237 | ||||||
8.125%, 4/1/22 | 85 | 90 | ||||||
5.125%, 5/1/25 | 110 | 108 | ||||||
7.000%, 8/1/25(17) | 380 | 376 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 115 | 96 | ||||||
Wellcare Health Plans, Inc. | 135 | 137 | ||||||
West Street Merger Sub, Inc. 144A | 220 | 208 | ||||||
|
| |||||||
6,509 | ||||||||
|
| |||||||
Industrials—4.5% | ||||||||
Bombardier, Inc. | ||||||||
144A, 6.125%, 1/15/23(2) | 195 | 196 | ||||||
144A, 7.500%, 12/1/24(2) | 155 | 164 | ||||||
Compass Group Diversified Holdings LLC 144A | 150 | 155 | ||||||
Fortress Transportation & Infrastructure Investors LLC 144A | 130 | 129 | ||||||
Garda World Security Corp. 144A | 285 | 279 | ||||||
Hillman Group, Inc. (The) 144A | 100 | 90 | ||||||
Hulk Finance Corp. 144A | 165 | 159 | ||||||
Navistar International Corp. 144A | 285 | 296 | ||||||
New Enterprise Stone & Lime Co., Inc. 144A | 130 | 139 | ||||||
Titan Acquisition Ltd. 144A | 210 | 182 | ||||||
Topaz Marine S.A. 144A | 360 | 369 | ||||||
TransDigm, Inc. | ||||||||
6.000%, 7/15/22 | 105 | 107 | ||||||
6.500%, 7/15/24 | 95 | 97 | ||||||
6.500%, 5/15/25 | 230 | 234 | ||||||
Vertiv Intermediate Holding Corp. PIK Interest Capitalization, | 220 | 225 | ||||||
Wrangler Buyer Corp. 144A | 242 | 235 | ||||||
|
| |||||||
3,056 | ||||||||
|
| |||||||
Information Technology—3.0% | ||||||||
Banff Merger Sub, Inc. 144A | 170 | 172 | ||||||
CDK Global, Inc. | 260 | 268 |
See Notes to Financial Statements
37
Table of Contents
NEWFLEET HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Information Technology—continued | ||||||||
Everi Payments, Inc. 144A | $ | 65 | $ | 66 | ||||
Exela Intermediate LLC 144A | 220 | 235 | ||||||
First Data Corp. | ||||||||
144A, 5.000%, 1/15/24(2) | 105 | 106 | ||||||
144A, 5.750%, 1/15/24(2) | 450 | 456 | ||||||
Infor US, Inc. | 200 | 203 | ||||||
Radiate Holdco LLC | ||||||||
144A, 6.875%, 2/15/23(2) | 55 | 53 | ||||||
144A, 6.625%, 2/15/25(2) | 165 | 154 | ||||||
VeriSign, Inc. | 140 | 136 | ||||||
ViaSat, Inc. 144A | 215 | 203 | ||||||
|
| |||||||
2,052 | ||||||||
|
| |||||||
Materials—9.6% | ||||||||
Alpha 3 BV 144A | 280 | 279 | ||||||
ArcelorMittal | 200 | 217 | ||||||
ARD Securities Finance S.a.r.l. PIK Interest Capitalization, | 293 | 293 | ||||||
Ardagh Packaging Finance plc | ||||||||
144A, 7.250%, 5/15/24(2) | 345 | 361 | ||||||
144A, 6.000%, 2/15/25(2) | 200 | 196 | ||||||
BWAY Holding Co. | ||||||||
144A, 5.500%, 4/15/24(2) | 75 | 74 | ||||||
144A, 7.250%, 4/15/25(2) | 190 | 185 | ||||||
Calumet Specialty Products Partners LP | 160 | 160 | ||||||
Cascades, Inc. | ||||||||
144A, 5.500%, 7/15/22(2) | 140 | 141 | ||||||
144A, 5.750%, 7/15/23(2) | 115 | 115 | ||||||
Cornerstone Chemical Co. 144A | 200 | 200 | ||||||
CPG Merger Sub LLC 144A | 265 | 268 | ||||||
FMG Resources August 2006 Pty Ltd. 144A | 265 | 262 | ||||||
Hexion, Inc. |
| |||||||
6.625%, 4/15/20 | 75 | 71 | ||||||
144A, 10.375%, 2/1/22(2) | 75 | 73 | ||||||
144A, 13.750%, 2/1/22(2) | 190 | 165 | ||||||
INEOS Group Holdings S.A. 144A | 315 | 310 | ||||||
Ingevity Corp. 144A | 365 | 348 | ||||||
James Hardie International Finance DAC | ||||||||
144A, 4.750%, 1/15/25(2) | 200 | 194 | ||||||
144A, 5.000%, 1/15/28(2) | 200 | 189 | ||||||
Kraton Polymers LLC 144A | 280 | 288 | ||||||
LSB Industries, Inc. 144A | 195 | 204 | ||||||
Mercer International, Inc. | 80 | 78 | ||||||
NOVA Chemicals Corp. | ||||||||
144A, 4.875%, 6/1/24(2) | 90 | 87 | ||||||
144A, 5.000%, 5/1/25(2) | 165 | 157 |
PAR VALUE | VALUE | |||||||
Materials—continued | ||||||||
Owens-Brockway Glass Container, Inc. 144A | $ | 180 | $ | 185 | ||||
Platform Specialty Products Corp. 144A | 290 | 286 | ||||||
Reynolds Group Issuer, Inc. RegS | 125 | 127 | ||||||
Schweitzer-Mauduit International, Inc. 144A | 190 | 194 | ||||||
Teck Resources Ltd. | 150 | 158 | ||||||
Trident Merger Sub, Inc. 144A | 265 | 251 | ||||||
United States Steel Corp. | 235 | 233 | ||||||
Vedanta Resources plc 144A | 200 | 192 | ||||||
|
| |||||||
6,541 | ||||||||
|
| |||||||
Real Estate—0.8% | ||||||||
ESH Hospitality, Inc. 144A | 170 | 165 | ||||||
MPT Operating Partnership LP | ||||||||
6.375%, 3/1/24 | 65 | 68 | ||||||
5.000%, 10/15/27 | 130 | 126 | ||||||
Uniti Group, Inc. 144A | 185 | 169 | ||||||
|
| |||||||
528 | ||||||||
|
| |||||||
Telecommunication Services—6.6% | ||||||||
Altice Luxembourg S.A. 144A | 300 | 272 | ||||||
CenturyLink, Inc. Series Y | 175 | 187 | ||||||
Cincinnati Bell, Inc. 144A | 210 | 193 | ||||||
Frontier Communications Corp. |
| |||||||
8.500%, 4/15/20 | 396 | 400 | ||||||
7.625%, 4/15/24 | 315 | 203 | ||||||
144A, 8.500%, 4/1/26(2) | 100 | 94 | ||||||
Level 3 Financing, Inc. | ||||||||
5.375%, 1/15/24 | 245 | 245 | ||||||
5.250%, 3/15/26 | 135 | 133 | ||||||
Sprint Capital Corp. | 250 | 251 | ||||||
Sprint Communications, Inc. | 235 | 240 | ||||||
Sprint Corp. | 450 | 485 | ||||||
T-Mobile USA, Inc. | ||||||||
0.000%, 1/15/24(10) | 275 | — | ||||||
6.500%, 1/15/24 | 275 | 286 | ||||||
4.500%, 2/1/26 | 275 | 262 | ||||||
Telenet Finance Luxembourg Notes S.a.r.l. 144A | 400 | 376 | ||||||
Virgin Media Finance plc 144A | 250 | 250 | ||||||
West Corp. 144A | 200 | 183 | ||||||
Windstream Services LLC | ||||||||
144A, 10.500%, 6/30/24(2) | 70 | 60 | ||||||
144A, 8.625%, 10/31/25(2) | 101 | 97 |
See Notes to Financial Statements
38
Table of Contents
NEWFLEET HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Telecommunication Services—continued | ||||||||
Zayo Group LLC | ||||||||
6.000%, 4/1/23 | $ | 180 | $ | 185 | ||||
6.375%, 5/15/25 | 70 | 73 | ||||||
144A, 5.750%, 1/15/27(2) | 35 | 35 | ||||||
|
| |||||||
4,510 | ||||||||
|
| |||||||
Utilities—2.8% | ||||||||
AmeriGas Partners LP | 105 | 103 | ||||||
Calpine Corp. | 350 | 329 | ||||||
Ferrellgas Partners LP | 140 | 133 | ||||||
NRG Energy, Inc. | ||||||||
7.250%, 5/15/26 | 185 | 201 | ||||||
144A, 5.750%, 1/15/28(2)(17) | 55 | 56 | ||||||
Suburban Propane Partners LP | 145 | 143 | ||||||
TerraForm Power Operating LLC | ||||||||
144A, 4.250%, 1/31/23(2) | 175 | 171 | ||||||
144A, 5.000%, 1/31/28(2) | 240 | 223 | ||||||
Texas Competitive Electric Holdings Co. 144A | 500 | — | (11) | |||||
Vistra Energy Corp. | 425 | 442 | ||||||
Vistra Operations Co., LLC 144A | 60 | 61 | ||||||
|
| |||||||
1,862 | ||||||||
TOTAL CORPORATE BONDS AND NOTES (Identified Cost $52,050) | 51,872 | |||||||
LEVERAGED LOANS(1)—11.5% | ||||||||
Chemicals—0.3% | ||||||||
New Arclin U.S. Holding Corp. First Lien, (3 month | 58 | 59 | ||||||
Omnova Solutions, Inc. Tranche B-2, (1 month | 167 | 167 | ||||||
|
| |||||||
226 | ||||||||
|
| |||||||
Consumer Durables—0.2% | ||||||||
Global Appliance, Inc. Tranche B, | 144 | 138 | ||||||
|
| |||||||
Consumer Non-Durables—1.0% | ||||||||
American Greetings Corp., (1 month | 95 | 95 | ||||||
Diamond (BC) B.V., (1 month LIBOR + 3.000%) | 139 | 136 | ||||||
Herbalife Nutrition Ltd. Tranche B, | 30 | 30 | ||||||
Kronos Acquisition Intermediate, Inc., | 128 | 127 | ||||||
Parfums Holdings Co., Inc. First Lien, | 252 | 253 | ||||||
Revlon Consumer Products Corp. Tranche B, | 99 | 76 | ||||||
|
| |||||||
717 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Energy—0.6% | ||||||||
California Resources Corp. |
| |||||||
(1 month LIBOR + 10.375%) 12.617%, 12/31/21 | $ | 155 | $ | 172 | ||||
(1 month LIBOR + 4.750%) 6.962%, 12/31/22 | 55 | 56 | ||||||
Traverse Midstream Partners LLC, (3 month | 200 | 201 | ||||||
|
| |||||||
429 | ||||||||
|
| |||||||
Financial—0.9% | ||||||||
Asurion LLC Tranche B-2, (1 month LIBOR + 6.500%) | 278 | 286 | ||||||
Financial & Risk US Holdings, Inc., (3 month | 165 | 165 | ||||||
Genworth Holdings, Inc., (1 month LIBOR + 4.500%) | 10 | 10 | ||||||
Navistar Financial Corp., (1 month LIBOR + 3.750%) | 150 | 150 | ||||||
|
| |||||||
611 | ||||||||
|
| |||||||
Food and Drug—0.3% | ||||||||
Albertson’s LLC Tranche B-4, (1 month LIBOR + 2.750%) 4.992%, 8/25/21 | 190 | 190 | ||||||
|
| |||||||
Food/Tobacco—0.3% | ||||||||
Chobani LLC First Lien, (1 month LIBOR + 3.500%) | 78 | 76 | ||||||
Milk Specialties Co., (1 month LIBOR + 4.000%) | 146 | 146 | ||||||
|
| |||||||
222 | ||||||||
|
| |||||||
Forest Prod/Containers—0.5% | ||||||||
Klockner Pentaplast of America, Inc., (1 month | 351 | 341 | ||||||
|
| |||||||
Gaming/Leisure—0.4% | ||||||||
Gateway Casinos & Entertainment Ltd., (3 month LIBOR + 3.000%) | 45 | 45 | ||||||
Scientific Games International, Inc. Tranche B-5, (2 month LIBOR + 2.750%) | 10 | 10 | ||||||
UFC Holdings LLC First Lien, (1 month LIBOR + 3.250%) | 192 | 193 | ||||||
|
| |||||||
248 | ||||||||
|
| |||||||
Healthcare—1.1% | ||||||||
21st Century Oncology, Inc. Tranche B, | 156 | 147 | ||||||
Auris LuxCo Tranche B, (3 month LIBOR + 3.750%) | 25 | 25 | ||||||
CCS-CMGC Holdings, Inc., (3 month LIBOR + 5.500%) | 115 | 115 | ||||||
Envision Healthcare Corp., (3 month LIBOR + 3.750%) | 287 | 285 | ||||||
Immucor, Inc. Tranche B-3, (3 month LIBOR + 5.000%) | 20 | 20 | ||||||
Prospect Medical Holdings, Inc. Tranche B-1, | 85 | 86 | ||||||
Quorum Health Corp., (1 month LIBOR + 6.750%) | 56 | 57 | ||||||
|
| |||||||
735 | ||||||||
|
|
See Notes to Financial Statements
39
Table of Contents
NEWFLEET HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Housing—0.6% | ||||||||
84 Lumber Co. Tranche B-1, (1 month LIBOR + 5.250%) 7.466%, 10/25/23 | $ | 131 | $ | 132 | ||||
Capital Automotive LP Tranche B, (1 month | 108 | 110 | ||||||
CPG International LLC, (3 month LIBOR + 3.750%) | 148 | 149 | ||||||
|
| |||||||
391 | ||||||||
|
| |||||||
Information Technology—1.1% | ||||||||
BMC Software Finance, Inc., (3 month LIBOR + 4.250%) 0.000%, 10/2/25(7) | 200 | 202 | ||||||
Intralinks, Inc. First Lien, (1 month LIBOR + 4.000%) | 135 | 135 | ||||||
Kronos, Inc. Second Lien, (3 month LIBOR + 8.250%) 10.593%, 11/1/24 | 78 | 79 | ||||||
Presidio Holdings, Inc. Tranche B, | 107 | 107 | ||||||
Rackspace Hosting, Inc. Tranche B, | 98 | 97 | ||||||
Sorenson Communications LLC First Lien, | 109 | 109 | ||||||
|
| |||||||
729 | ||||||||
|
| |||||||
Manufacturing—0.1% | ||||||||
Accudyne Industries Borrower S.C.A., (1 month | 27 | 27 | ||||||
Filtration Group Corp., (1 month LIBOR + 3.000%) | 40 | 40 | ||||||
|
| |||||||
67 | ||||||||
|
| |||||||
Media/Telecom – Telecommunications—0.4% | ||||||||
CenturyLink, Inc. Tranche B, (1 month LIBOR + 2.750%) 4.992%, 1/31/25 | 164 | 163 | ||||||
Securus Technologies Holdings, Inc. Second Lien, | 100 | 100 | ||||||
|
| |||||||
263 | ||||||||
|
| |||||||
Media/Telecom - Wireless Communications—0.2% | ||||||||
Sprint Communications, Inc., (1 month LIBOR + 2.500%) 4.750%, 2/2/24 | 113 | 113 | ||||||
|
| |||||||
Metals/Minerals—0.7% | ||||||||
Contura Energy, Inc., (2 month LIBOR + 5.000%) | 178 | 178 | ||||||
Covia Holdings Corp., (1 month LIBOR + 3.750%) | 200 | 188 | ||||||
Graftech International Ltd., (1 month LIBOR + 3.500%) | 138 | 139 | ||||||
|
| |||||||
505 | ||||||||
|
| |||||||
Service—1.6% | ||||||||
Crossmark Holdings, Inc. Second Lien, (3 month | 190 | 16 | ||||||
Laureate Education, Inc., (1 month LIBOR + 3.500%) | 130 | 130 | ||||||
One Call Corp. First Lien, (1 month LIBOR + 5.250%) | 157 | 149 |
PAR VALUE | VALUE | |||||||
Service—continued | ||||||||
PI UK Holdco II Ltd. Tranche B-1, (1 month | $ | 244 | $ | 243 | ||||
Red Ventures LLC First Lien, (1 month LIBOR + 4.000%) 6.242%, 11/8/24 | 147 | 149 | ||||||
Sedgwick Claims Management Services, Inc. Second Lien, (1 month LIBOR + 5.750%) | 255 | 256 | ||||||
TKC Holdings, Inc. First Lien, (1 month LIBOR + 3.750%) 6.000%, 2/1/23 | 158 | 158 | ||||||
|
| |||||||
1,101 | ||||||||
|
| |||||||
Transportation – Automotive—0.1% | ||||||||
Deck Chassis Acquisition, Inc. Second Lien, (1 month LIBOR + 6.000%) 8.242%, 6/15/23(15) | 35 | 35 | ||||||
|
| |||||||
Utility—1.1% | ||||||||
APLP Holdings LP, (1 month LIBOR + 3.000%) | 158 | 158 | ||||||
Brookfield WEC Holdings, Inc. (Westinghouse Electric Co., LLC) |
| |||||||
First Lien, (1 month LIBOR + 3.750%) | 80 | 81 | ||||||
Second Lien, (1 month LIBOR + 6.750%) | 175 | 178 | ||||||
Lightstone Holdco LLC |
| |||||||
Tranche B, (1 month LIBOR + 3.750%) | 92 | 91 | ||||||
Tranche C, (1 month LIBOR + 3.750%) | 5 | 5 | ||||||
Talen Energy Supply LLC, (1 month LIBOR + 4.000%) 6.242%, 4/15/24 | 108 | 108 | ||||||
Vistra Operations Co., LLC, (1 month LIBOR + 2.000%) 4.242%, 8/4/23 | 135 | 136 | ||||||
|
| |||||||
757 | ||||||||
TOTAL LEVERAGED LOANS (Identified Cost $7,984) | 7,818 | |||||||
SHARES | ||||||||
PREFERRED STOCKS—1.6% | ||||||||
Financials—1.6% | ||||||||
Citigroup, Inc. | 190 | (8) | 198 | |||||
Goldman Sachs Group, Inc. (The) | 215 | (8) | 217 | |||||
Huntington Bancshares, Inc. | 275 | (8) | 273 | |||||
JPMorgan Chase & Co. | 145 | (8) | 146 | |||||
KeyCorp | 250 | (8) | 245 | |||||
TOTAL PREFERRED STOCKS (Identified Cost $1,078) | 1,079 | |||||||
COMMON STOCKS—0.2% | ||||||||
Energy—0.1% | ||||||||
Frontera Energy Corp.(12) | 1,088 | 15 | ||||||
Sabine Oil & Gas LLC(12)(15) | 157 | 10 | ||||||
|
| |||||||
25 | ||||||||
|
|
See Notes to Financial Statements
40
Table of Contents
NEWFLEET HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Materials—0.1% | ||||||||
Platform Specialty Products Corp.(12) | 7,500 | $ | 93 | |||||
TOTAL COMMON STOCKS (Identified Cost $120) | 118 | |||||||
EXCHANGE-TRADED FUND(14)—3.9% | ||||||||
iShares iBoxx High Yield Corporate Bond Index Fund(17) | 15,303 | 1,323 | ||||||
SPDR Bloomberg Barclays Short-Term High Yield Bond Index Fund | 49,435 | 1,364 | ||||||
TOTAL EXCHANGE-TRADED FUND (Identified Cost $2,680) | 2,687 | |||||||
RIGHTS—0.0% | ||||||||
Utilities—0.0% | ||||||||
Vistra Energy Corp.(15) | 8,563 | 6 | ||||||
TOTAL RIGHTS (Identified Cost $7) | 6 | |||||||
WARRANTS—0.0% | ||||||||
Energy—0.0% | ||||||||
Sabine Oil & Gas LLC(12)(15) | 89 | 1 | ||||||
Sabine Oil & Gas LLC(12)(15) | 501 | 3 | ||||||
TOTAL WARRANTS (Identified Cost $4) | 4 | |||||||
TOTAL LONG-TERM INVESTMENTS—96.6% | ||||||||
(Identified Cost $66,060) | 65,721 | (13) | ||||||
SHORT-TERM INVESTMENT—2.6% | ||||||||
Money Market Mutual Fund(14)—2.6% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%) | 1,795,543 | 1,796 | ||||||
TOTAL SHORT-TERM INVESTMENT (Identified Cost $1,796) | 1,796 | |||||||
SECURITIES LENDING COLLATERAL—7.0% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%)(14)(16) | 4,759,309 | 4,759 | ||||||
TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $4,759) | 4,759 | |||||||
TOTAL INVESTMENTS—106.2% (Identified Cost $72,615) | 72,276 | |||||||
Other assets and liabilities, net—(6.2)% | (4,206 | ) | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 68,070 | ||||||
|
|
Abbreviations:
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-Kind Security |
SPDR | S&P Depositary Receipt |
Footnote Legend:
(1) | Variable rate security. Rate disclosed is as of September 30, 2018. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to a value of $32,350 or 47.5% of net assets. |
(3) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(4) | Interest payments may be deferred. |
(5) | 100% of the income received was in cash. |
(6) | No contractual maturity date. |
(7) | This loan will settle after September 30, 2018, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(8) | Value shown as par value. |
(9) | Security in default, no interest payments are being received during the bankruptcy proceedings. |
(10) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(11) | Amount is less than $500. |
(12) | Non-income producing. |
(13) | All or a portion of the Fund’s assets have been segregated for delayed delivery securities. |
(14) | Shares of this fund are publicly offered, and its prospectus and annual reports are publicly available. |
(15) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located at the end of the Schedule of Investments. |
(16) | Represents security purchased with cash collateral received for securities on loan. |
(17) | All or a portion of security is on loan. |
Country Weightings (Unaudited)† | ||||
United States (includes short-term investment and securities lending collateral) | 86 | % | ||
Canada | 5 | |||
Luxembourg | 3 | |||
United Kingdom | 2 | |||
Bermuda | 1 | |||
Ireland | 1 | |||
Netherlands | 1 | |||
Other | 1 | |||
Total | 100 | % | ||
† % of total investments as of September 30, 2018. |
|
Security abbreviation definitions are located under the Key Investment Terms starting on page 4.
See Notes to Financial Statements
41
Table of Contents
NEWFLEET HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Debt Securities: | ||||||||||||||||
Asset-Backed Securities | $ | 994 | $ | — | $ | 994 | $ | — | ||||||||
Corporate Bonds and Notes | 51,872 | — | 51,872 | — | (1) | |||||||||||
Leveraged Loans | 7,818 | — | 7,783 | 35 | ||||||||||||
Mortgage-Backed Securities | 649 | — | 649 | — | ||||||||||||
U.S. Government Obligations | 494 | — | 494 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Common Stocks | 118 | 108 | — | 10 | ||||||||||||
Exchange-Traded Fund | 2,687 | 2,687 | — | — | ||||||||||||
Preferred Stocks | 1,079 | — | 1,079 | — | ||||||||||||
Rights | 6 | — | — | 6 | ||||||||||||
Warrants | 4 | — | — | 4 | ||||||||||||
Securities Lending Collateral | 4,759 | 4,759 | — | — | ||||||||||||
Short-Term Investment | 1,796 | 1,796 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 72,276 | $ | 9,350 | $ | 62,871 | $ | 55 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers into or out of Level 3 related to securities held as of September 30, 2018.
Some of the Fund’s investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3 securities compared to total net assets is de minimis; therefore, the rollforward of Level 3 securities and assumptions are not shown for the year ended September 30, 2018.
See Notes to Financial Statements
42
Table of Contents
NEWFLEET LOW DURATION INCOME FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
U.S. GOVERNMENT SECURITIES—4.7% | ||||||||
U.S. Treasury Note | $ | 17,150 | $ | 17,145 | ||||
TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $17,146) |
| 17,145 | ||||||
MUNICIPAL BONDS—0.1% | ||||||||
Illinois—0.1% | ||||||||
State of Illinois Build America Taxable | 190 | 192 | ||||||
TOTAL MUNICIPAL BONDS (Identified Cost $192) |
| 192 | ||||||
FOREIGN GOVERNMENT SECURITIES—0.6% | ||||||||
Argentine Republic |
| |||||||
5.625%, 1/26/22 | 523 | 472 | ||||||
4.625%, 1/11/23 | 440 | 371 | ||||||
Republic of South Africa | 325 | 317 | ||||||
Sultanate of Oman 144A | 935 | 911 | ||||||
TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $2,248) |
| 2,071 | ||||||
MORTGAGE-BACKED SECURITIES—30.7% | ||||||||
Agency—1.9% | ||||||||
Federal National Mortgage Association | ||||||||
Pool #AD6058, 4.000%, 8/1/25 | 48 | 49 | ||||||
Pool #AO5149, 3.000%, 6/1/27 | 182 | 181 | ||||||
Pool #AL7532, 3.000%, 11/1/27 | 627 | 623 | ||||||
Pool #AS5730, 3.000%, 9/1/30 | 1,199 | 1,189 | ||||||
Pool #AS5927, 3.000%, 10/1/30 | 552 | 547 | ||||||
Pool #AZ4794, 3.000%, 10/1/30 | 3,825 | 3,791 | ||||||
Pool #MA0908, 4.000%, 11/1/31 | 292 | 297 | ||||||
Pool #AC3654, 5.000%, 10/1/39 | 200 | 213 | ||||||
Pool #AD3841, 4.500%, 4/1/40 | 81 | 84 | ||||||
Federal National Mortgage Association REMIC 1997-70, PE (P.O.) | 2 | 2 | ||||||
Government National Mortgage Association | ||||||||
Pool #345039, 7.000%, 9/15/23 | 5 | 5 | ||||||
Pool #780023, 7.000%, 9/15/24 | 4 | 4 | ||||||
Pool #407660, 7.000%, 7/15/25 | 9 | 9 | ||||||
|
| |||||||
6,994 | ||||||||
|
| |||||||
Non-Agency—28.8% | ||||||||
Access Point Funding I LLC 2017-A, A 144A | 291 | 289 | ||||||
American Homes 4 Rent Trust 2015-SFR1, A 144A | 188 | 184 | ||||||
Ameriquest Mortgage Securities, Inc. 2003-10, AF6 | 67 | 69 | ||||||
AMSR Trust | ||||||||
2016-SFR1, A 144A, (1 month LIBOR + 1.400%) 3.558%, 11/17/33(1)(2) | 498 | 498 | ||||||
2016-SFR1, C 144A, (1 month LIBOR + 2.250%) 4.408%, 11/17/33(1)(2) | 1,068 | 1,069 | ||||||
Angel Oak Mortgage Trust I LLC | ||||||||
2018-1, A1 144A, 3.258%, 4/27/48(1)(2) | 908 | 908 | ||||||
2018-2, A1 144A, 3.674%, 7/27/48(1)(2) | 345 | 345 | ||||||
2018-3, A1 144A, 3.649%, 9/25/48(1)(2) | 1,788 | 1,790 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
Angel Oak Mortgage Trust LLC 2017-3, A1 144A | $ | 401 | $ | 398 | ||||
Arroyo Mortgage Trust 2018-1, A1 144A | 1,346 | 1,347 | ||||||
Asset-Backed Funding Certificates 2005-AQ1, A6 | 37 | 38 | ||||||
Aventura Mall Trust | ||||||||
2013-AVM, A 144A, 3.867%, 12/5/32(1)(2) | 1,721 | 1,744 | ||||||
2013-AVM, C 144A, 3.867%, 12/5/32(1)(2) | 1,130 | 1,145 | ||||||
Banc of America Funding Trust | ||||||||
2004-B, 2A1, 3.835%, 11/20/34(1) | 24 | 24 | ||||||
2005-1, 1A1, 5.500%, 2/25/35 | 108 | 108 | ||||||
2006-2, 3A1, 6.000%, 3/25/36 | 24 | 24 | ||||||
Bank of America (Merrill Lynch – Countrywide) Alternative Loan Trust | ||||||||
2004-22CB, 1A1, 6.000%, 10/25/34 | 260 | 267 | ||||||
2004-24CB, 1A1, 6.000%, 11/25/34 | 175 | 176 | ||||||
Bank of America (Merrill Lynch) Investors Trust 2004-A4, A1 | 508 | 508 | ||||||
Bayview Commercial Asset Trust 2006-2A, A2 144A, (1 month LIBOR + 0.280%) | 258 | 250 | ||||||
Bayview Financial Acquisition Trust 2007-A, 1A2 | 142 | 144 | ||||||
Bayview Koitere Fund Trust 2017-RT4, A 144A | 287 | 284 | ||||||
Bayview Opportunity Master Fund IVa Trust 2017-RT1, A1 144A | 707 | 690 | ||||||
Bayview Opportunity Master Fund IVb Trust 2017-SPL4, A 144A | 526 | 523 | ||||||
BX Trust | ||||||||
2018-MCSF, A 144A, (1 month LIBOR + 0.577%) 2.735%, 4/15/35(1)(2) | 550 | 548 | ||||||
2018-GW, B 144A, (1 month LIBOR + 1.020%) 3.178%, 5/15/35(1)(2) | 1,265 | 1,266 | ||||||
Caesars Palace Las Vegas Trust 2017-VICI, C 144A | 590 | 592 | ||||||
Centex Home Equity Loan Trust | ||||||||
2002-A, AF6, 5.540%, 1/25/32 | 40 | 41 | ||||||
2004-D, AF5, 5.850%, 9/25/34 | 219 | 224 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
2004-NCM2, 2CB2, 6.750%, 8/25/34 | 130 | 139 | ||||||
2014-A, A 144A, 4.000%, 1/25/35(1)(2) | 328 | 330 | ||||||
2013-A, A 144A, 3.000%, 5/25/42(1)(2) | 1,214 | 1,192 | ||||||
2015-PS1, A1 144A, 3.750%, 9/25/42(1)(2) | 238 | 238 | ||||||
2015-A, A1 144A, 3.500%, 6/25/58(1)(2) | 613 | 607 | ||||||
2018-RP3, A1 144A, 3.250%, 3/25/61(1)(2) | 908 | 903 | ||||||
Cold Storage Trust 2017-ICE3, A 144A, (1 month LIBOR + 1.000%) | 1,090 | 1,093 | ||||||
Colony Starwood Homes Trust 2016-2A, C 144A, (1 month LIBOR + 2.150%) | 1,000 | 1,003 | ||||||
COLT Mortgage Loan Trust Funding LLC | ||||||||
2016-2, A1 144A, 2.750%, 9/25/46(1)(2) | 448 | 447 | ||||||
2017-1, A3 144A, 3.074%, 5/27/47(1)(2) | 262 | 259 | ||||||
2018-1, A1 144A, 2.930%, 2/25/48(1)(2) | 1,161 | 1,155 | ||||||
2018-2, A1 144A, 3.470%, 7/27/48(1)(2) | 639 | 637 | ||||||
2018-3, A1 144A, 3.692%, 10/26/48(1)(2) | 1,095 | 1,097 |
See Notes to Financial Statements
43
Table of Contents
NEWFLEET LOW DURATION INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
Commercial Mortgage Lease-Backed Certificates 2001-CMLB, A3 144A | $ | 460 | $ | 487 | ||||
Commercial Mortgage Trust 2014-277P, A 144A | 2,595 | 2,607 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
2003-27, 5A3, 5.250%, 11/25/33 | 38 | 38 | ||||||
2003-AR30, 5A1, 3.963%, 1/25/34(1) | 214 | 220 | ||||||
Credit Suisse Mortgage Capital Trust | ||||||||
2013-HYB1, A16 144A, 3.002%, 4/25/43(1)(2) | 685 | 680 | ||||||
2014-IVR2, A2 144A, 3.760%, 4/25/44(1)(2) | 641 | 634 | ||||||
2017-FHA1, A1 144A, 3.250%, 4/25/47(1)(2) | 654 | 637 | ||||||
2018-RPL8, A1 144A, 4.125%, 7/25/58(2)(11) | 700 | 697 | ||||||
Deephaven Residential Mortgage Trust | ||||||||
2017-1A, A1 144A, 2.725%, 12/26/46(1)(2) | 228 | 228 | ||||||
2017-1A, A2 144A, 2.928%, 12/26/46(1)(2) | 371 | 368 | ||||||
2017-2A, A1 144A, 2.453%, 6/25/47(1)(2) | 268 | 266 | ||||||
2017-3A, A3 144A, 2.813%, 10/25/47(1)(2) | 476 | 471 | ||||||
2018-1A, A1 144A, 2.976%, 12/25/57(1)(2) | 1,126 | 1,118 | ||||||
2018-2A, A1 144A, 3.479%, 4/25/58(1)(2) | 1,082 | 1,077 | ||||||
2018-3A, A1 144A, 3.789%, 8/25/58(1)(2)(11) | 350 | 350 | ||||||
GAHR Commercial Mortgage Trust 2015-NRF, CFX 144A | 810 | 808 | ||||||
Galton Funding Mortgage Trust | ||||||||
2017-1, A21 144A, 3.500%, 7/25/56(1)(2) | 882 | 871 | ||||||
2018-1, A23 144A, 3.500%, 11/25/57(1)(2) | 611 | 598 | ||||||
GMAC Mortgage Corp. Loan Trust 2004-AR1, 12A | 92 | 93 | ||||||
GSAA Home Equity Trust | ||||||||
2005-1, AF4, 5.619%, 11/25/34 | 88 | 89 | ||||||
2005-12, AF3W, 4.999%, 9/25/35(1) | 37 | 37 | ||||||
GSR Mortgage Loan Trust 2003-3F, 1A6 | 321 | 331 | ||||||
Hilton USA Trust 2016-SFP, B 144A | 1,070 | 1,044 | ||||||
Homeward Opportunities Fund I Trust 2018-1, A1 144A | 1,050 | 1,050 | ||||||
Hospitality Mortgage Trust 2017-HIT, B 144A, (1 month LIBOR + 1.180%) | 1,045 | 1,046 | ||||||
IMC Home Equity Loan Trust 1997-5, A9 | 81 | 80 | ||||||
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust | ||||||||
2004-1, 21A1, 3.904%, 4/25/34(1) | 48 | 48 | ||||||
2004-9, 22A1, 4.594%, 11/25/34(1) | 354 | 359 | ||||||
2004-10, 21A1, 3.912%, 1/25/35(1) | 428 | 431 | ||||||
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust | ||||||||
2003-AR6, A1, 4.226%, 6/25/33(1) | 178 | 180 | ||||||
2003-AR4, 2A1, 3.907%, 8/25/33(1) | 114 | 113 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
2010-CNTR, A2 144A, 4.311%, 8/5/32(2) | 78 | 79 | ||||||
2011-C4, A4 144A, 4.388%, 7/15/46(2) | 288 | 294 | ||||||
2014-C22, A4, 3.801%, 9/15/47 | 1,695 | 1,711 | ||||||
JPMorgan Chase Mortgage Trust | ||||||||
2014-2, AM 144A, 3.395%, 6/25/29(1)(2) | 1,166 | 1,155 | ||||||
2014-2, 2A2 144A, 3.500%, 6/25/29(1)(2) | 515 | 513 | ||||||
2006-A2, 4A1, 4.484%, 8/25/34(1) | 89 | 90 | ||||||
2004-A4, 2A1, 4.326%, 9/25/34(1) | 85 | 86 | ||||||
2005-A4, 3A1, 4.150%, 7/25/35(1) | 287 | 291 | ||||||
2014-1, 2A12 144A, 3.500%, 1/25/44(1)(2) | 702 | 684 | ||||||
2015-1, AM1 144A, 3.039%, 12/25/44(1)(2) | 461 | 460 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
2016-1, M2 144A, 3.750%, 4/25/45(1)(2) | $ | 615 | $ | 603 | ||||
2015-5, A2 144A, 3.077%, 5/25/45(1)(2) | 589 | 587 | ||||||
2016-2, M2 144A, 3.750%, 12/25/45(1)(2) | 976 | 955 | ||||||
2017-3, 2A2 144A, 2.500%, 8/25/47(1)(2) | 952 | 907 | ||||||
2017-5, A1 144A, 3.172%, 10/26/48(1)(2) | 2,764 | 2,737 | ||||||
2017-4, A3 144A, 3.500%, 11/25/48(1)(2) | 210 | 204 | ||||||
LoanDepot Station Place Agency Securitization Trust 2017-LD1, C 144A, (1 month LIBOR + 1.300%) | 775 | 775 | ||||||
MASTR Alternative Loan Trust | ||||||||
2003-8, 2A1, 5.750%, 11/25/33 | 83 | 86 | ||||||
2004-4, 6A1, 5.500%, 4/25/34 | 116 | 119 | ||||||
2004-7, 9A1, 6.000%, 8/25/34 | 97 | 100 | ||||||
2005-2, 2A1, 6.000%, 1/25/35 | 359 | 372 | ||||||
MASTR Asset Securitization Trust 2005-1, 1A1 | 30 | 30 | ||||||
MASTR Specialized Loan Trust 2005-3, A2 144A | 211 | 214 | ||||||
Mill City Mortgage Trust | ||||||||
2015-1, A3 144A, 3.000%, 6/25/56(1)(2) | 600 | 592 | ||||||
2016-1, A1 144A, 2.500%, 4/25/57(1)(2) | 949 | 927 | ||||||
2017-1, A1 144A, 2.750%, 11/25/58(1)(2) | 375 | 368 | ||||||
Morgan Stanley – Bank of America (Merrill Lynch) Trust 2013-C13, AS | 1,515 | 1,545 | ||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART, A 144A | 1,660 | 1,604 | ||||||
Morgan Stanley Capital I Trust 2017-CLS, A 144A, (1 month LIBOR + 0.700%) | 1,080 | 1,079 | ||||||
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A | 352 | 347 | ||||||
Motel 6 Trust 2017-MTL6, A 144A, (1 month LIBOR + 0.920%) | 1,157 | 1,158 | ||||||
National City Mortgage Capital Trust 2008-1, 2A1 | 123 | 127 | ||||||
New Residential Mortgage Loan Trust | ||||||||
2016-2A, A1 144A, 3.750%, 11/26/35(1)(2) | 2,163 | 2,160 | ||||||
2014-1A, A 144A, 3.750%, 1/25/54(1)(2) | 1,407 | 1,404 | ||||||
2014-2A, A3 144A, 3.750%, 5/25/54(1)(2) | 132 | 132 | ||||||
2014-3A, AFX3 144A, 3.750%, 11/25/54(1)(2) | 1,189 | 1,187 | ||||||
2015-2A, A1 144A, 3.750%, 8/25/55(1)(2) | 1,629 | 1,625 | ||||||
2016-1A, A1 144A, 3.750%, 3/25/56(1)(2) | 951 | 947 | ||||||
2016-3A, A1 144A, 3.750%, 9/25/56(1)(2) | 937 | 933 | ||||||
2016-4A, A1 144A, 3.750%, 11/25/56(1)(2) | 1,896 | 1,887 | ||||||
2017-2A, A3 144A, 4.000%, 3/25/57(1)(2) | 406 | 408 | ||||||
2018-1A, A1A 144A, 4.000%, 12/25/57(1)(2) | 228 | 229 | ||||||
NovaStar Mortgage Funding Trust 2004-4, M5, (1 month LIBOR + 1.725%) | 1,144 | 1,158 | ||||||
Oak Hill Advisors Residential Loan Trust 2017-NPL2, A1 144A | 1,768 | 1,739 | ||||||
Onslow Bay Financial LLC 2018-1, A2 144A, (1 month LIBOR + 0.650%) | 1,222 | 1,222 | ||||||
Pretium Mortgage Credit Partners I LLC | ||||||||
2017-NPL3, A1 144A, 3.250%, 6/29/32(2) | 71 | 70 | ||||||
2017-NPL5, A1 144A, 3.327%, 12/30/32(1)(2) | 739 | 735 | ||||||
2018-NPL1 144A, 3.375%, 1/27/33(2) | 947 | 938 |
See Notes to Financial Statements
44
Table of Contents
NEWFLEET LOW DURATION INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
2017-NPL2, A1 144A, 3.250%, 3/28/57(2) | $ | 383 | $ | 381 | ||||
Progress Residential Trust | ||||||||
2017-SFR1, B 144A, 3.017%, 8/17/34(2) | 690 | 666 | ||||||
2018-SFR2, B 144A, 3.841%, 8/17/35(2) | 660 | 655 | ||||||
RCO Mortgage LLC 2017-1, A1 144A | 145 | 144 | ||||||
RETL 2018-RVP, C 144A, (1 month LIBOR + 2.050%) | 654 | 658 | ||||||
Sequoia Mortgage Trust 2015-4, A1 144A | 1,939 | 1,904 | ||||||
Starwood Mortgage Residential Trust 2018-IMC1, A1 144A | 2,660 | 2,660 | ||||||
Starwood Waypoint Homes Trust 2017-1, A 144A, | 675 | 675 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2004-1, 6A, 4.327%, 2/25/34(1) | 446 | 446 | ||||||
2004-4, 3A2, 4.166%, 4/25/34(1) | 451 | 457 | ||||||
2004-4, 3A1, 4.166%, 4/25/34(1) | 94 | 94 | ||||||
2004-14, 7A, 4.127%, 10/25/34(1) | 186 | 187 | ||||||
Structured Asset Securities Corp. 2003-37A, 2A | 92 | 92 | ||||||
Structured Asset Securities Corp. Mortgage-Pass-Through Certificates | ||||||||
2003-33H, 1A1, 5.500%, 10/25/33 | 308 | 313 | ||||||
2003-34A, 6A, 4.382%, 11/25/33(1) | 264 | 263 | ||||||
Towd Point Mortgage Trust | ||||||||
2015-3, A1B 144A, 3.000%, 3/25/54(1)(2) | 349 | 346 | ||||||
2016-1, A1B 144A, 2.750%, 2/25/55(1)(2) | 545 | 537 | ||||||
2015-5, A1B 144A, 2.750%, 5/25/55(1)(2) | 640 | 630 | ||||||
2015-5, A2 144A, 3.500%, 5/25/55(1)(2) | 275 | 271 | ||||||
2016-2, A1 144A, 3.000%, 8/25/55(1)(2) | 240 | 236 | ||||||
2016-3, A1 144A, 2.250%, 4/25/56(1)(2) | 762 | 743 | ||||||
2016-4, A1 144A, 2.250%, 7/25/56(1)(2) | 1,296 | 1,259 | ||||||
2018-4, A1 144A, 3.000%, 6/25/58(1)(2) | 909 | 878 | ||||||
Tricon American Homes Trust 2017-SFR1, A 144A | 360 | 346 | ||||||
Velocity Commercial Capital Loan Trust 2017-1, AFX 144A | 115 | 114 | ||||||
Vericrest Opportunity Loan Trust LVI LLC 2017-NPL3, A1 144A 3.500%, 3/25/47(2) | 507 | 504 | ||||||
Vericrest Opportunity Loan Trust LX LLC 2017-NPL7, A1 144A 3.250%, 6/25/47(2) | 615 | 611 | ||||||
Vericrest Opportunity Loan Trust LXIII LLC 2017-NP10, A1 144A 3.000%, 10/25/47(2) | 183 | 181 | ||||||
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A 3.375%, 10/25/47(2) | 884 | 878 | ||||||
Vericrest Opportunity Loan Trust LXIX LLC 2018-NPL5, A1A 144A 4.213%, 8/25/48(1)(2) | 725 | 724 | ||||||
Vericrest Opportunity Loan Trust LXX LLC 2018-NPL6, A1A, 144A 4.115%, 9/25/48(1)(2) | 360 | 360 | ||||||
Verus Securitization Trust | ||||||||
2017-1A, A1 144A, 2.853%, 1/25/47(1)(2) | 171 | 169 | ||||||
2017-2A, A1 144A, 2.485%, 7/25/47(1)(2) | 913 | 892 | ||||||
2018-1, A1 144A, 2.929%, 2/25/48(1)(2) | 1,360 | 1,341 | ||||||
2018-INV1, A3 144A, 4.052%, 3/25/58(1)(2) | 636 | 636 | ||||||
2018-2, A1 144A, 3.677%, 6/1/58(1)(2) | 1,770 | 1,770 | ||||||
VSD 2017-PLT1, A | 170 | 170 | ||||||
Wells Fargo Mortgage Backed Securities Trust 2003-G, A1, | 46 | 46 | ||||||
2003-J, 2A1, 4.424%, 10/25/33(1) | 104 | 106 | ||||||
2003-J, 5A1, 4.615%, 10/25/33(1) | 170 | 172 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
2004-A, A1, 3.915%, 2/25/34(1) | $ | 48 | $ | 50 | ||||
2004-K, 1A2, 4.482%, 7/25/34(1) | 160 | 163 | ||||||
2004-U, A1, 4.330%, 10/25/34(1) | 54 | 54 | ||||||
2004-Z, 2A1, 3.760%, 12/25/34(1) | 105 | 107 | ||||||
2005-AR12, 2A5, 4.130%, 6/25/35(1) | 1,275 | 1,306 | ||||||
2005-14, 2A1, 5.500%, 12/25/35 | 44 | 45 | ||||||
|
| |||||||
104,462 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $112,525) |
| 111,456 | ||||||
ASSET-BACKED SECURITIES—29.1% | ||||||||
Auto Floor Plan—0.2% | ||||||||
NextGear Floorplan Master Owner Trust 2017-2A, A2 144A | 920 | 907 | ||||||
|
| |||||||
Automobiles—18.5% | ||||||||
ACC Trust 2018-1, A 144A | 656 | 656 | ||||||
American Credit Acceptance Receivables Trust | ||||||||
2016-1A, B 144A, 4.240%, 6/13/22(2) | 95 | 95 | ||||||
2017-2, C 144A, 2.860%, 6/12/23(2) | 920 | 917 | ||||||
2018-3, C 144A, 3.750%, 10/15/24(2) | 1,090 | 1,090 | ||||||
AmeriCredit Automobile Receivables Trust | ||||||||
2014-1, D, 2.540%, 6/8/20 | 593 | 593 | ||||||
2016-1, B, 2.300%, 3/8/21 | 2,330 | 2,325 | ||||||
2015-3, C, 2.730%, 3/8/21 | 615 | 614 | ||||||
2016-2, B, 2.210%, 5/10/21 | 1,000 | 996 | ||||||
2015-4, C, 2.880%, 7/8/21 | 700 | 699 | ||||||
2016-4, C, 2.410%, 7/8/22 | 725 | 716 | ||||||
2017-1, C, 2.710%, 8/18/22 | 915 | 903 | ||||||
Avid Automobile Receivables Trust 2018-1, A 144A | 761 | 757 | ||||||
Avis Budget Rental Car Funding LLC | ||||||||
(AESOP) 2013-2A, A 144A, 2.970%, 2/20/20(2) | 1,588 | 1,589 | ||||||
(AESOP) 2015-2A, A 144A, 2.630%, 12/20/21(2) | 910 | 896 | ||||||
(AESOP) 2016-1A, A 144A, 2.990%, 6/20/22(2) | 800 | 790 | ||||||
California Republic Auto Receivables Trust | ||||||||
2015-3, B, 2.700%, 9/15/21 | 650 | 646 | ||||||
2016-1, B, 3.430%, 2/15/22 | 785 | 782 | ||||||
Capital Auto Receivables Asset Trust 2017-1, C 144A | 920 | 902 | ||||||
CarFinance Capital Auto Trust 2014-2A, B 144A | 151 | 151 | ||||||
CarMax Auto Owner Trust | ||||||||
2014-4, B, 2.200%, 9/15/20 | 700 | 699 | ||||||
2015-2, C, 2.390%, 3/15/21 | 1,495 | 1,489 | ||||||
2016-2, B, 2.160%, 12/15/21 | 750 | 736 | ||||||
2017-1, B, 2.540%, 9/15/22 | 900 | 882 | ||||||
CarNow Auto Receivables Trust 2017-1A, A 144A | 476 | 473 | ||||||
Centre Point Funding LLC 2012-2A, 1 144A | 791 | 783 | ||||||
Chrysler Capital Auto Receivables Trust | ||||||||
2014-BA, D 144A, 3.440%, 8/16/21(2) | 750 | 751 | ||||||
2015-BA, D 144A, 4.170%, 1/16/23(2) | 965 | 968 | ||||||
CPS Auto Receivables Trust | ||||||||
2017-C, B 144A, 2.300%, 7/15/21(2) | 1,085 | 1,079 | ||||||
2018-C, D 144A, 4.400%, 6/17/24(2) | 905 | 905 | ||||||
Drive Auto Receivables Trust | ||||||||
2016-CA, C 144A, 3.020%, 11/15/21(2) | 1,555 | 1,556 | ||||||
2015-DA, C 144A, 3.380%, 11/15/21(2) | 408 | 409 |
See Notes to Financial Statements
45
Table of Contents
NEWFLEET LOW DURATION INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Automobiles—continued | ||||||||
2017-AA, C 144A, 2.980%, 1/18/22(2) | $ | 900 | $ | 899 | ||||
DT Auto Owner Trust | ||||||||
2016-2A, C 144A, 3.670%, 1/18/22(2) | 303 | 303 | ||||||
2016-3A, C 144A, 3.150%, 3/15/22(2) | 470 | 470 | ||||||
2016-4A, C 144A, 2.740%, 10/17/22(2) | 968 | 967 | ||||||
2018-1A, C 144A, 3.470%, 12/15/23(2) | 910 | 908 | ||||||
Exeter Automobile Receivables Trust | ||||||||
2015-1A, C 144A, 4.100%, 12/15/20(2) | 685 | 688 | ||||||
2015-2A, C 144A, 3.900%, 3/15/21(2) | 1,510 | 1,516 | ||||||
2016-3A, B 144A, 2.840%, 8/16/21(2) | 1,400 | 1,399 | ||||||
2017-1A, B 144A, 3.000%, 12/15/21(2) | 910 | 909 | ||||||
2017-3A, B 144A, 2.810%, 9/15/22(2) | 545 | 539 | ||||||
2018-1A, C 144A, 3.030%, 1/17/23(2) | 2,200 | 2,176 | ||||||
2018-2A, C 144A, 3.690%, 3/15/23(2) | 915 | 913 | ||||||
2018-3A, C 144A, 3.710%, 6/15/23(2) | 1,105 | 1,102 | ||||||
First Investors Auto Owner Trust | ||||||||
2016-2A, C 144A, 2.530%, 7/15/22(2) | 1,490 | 1,462 | ||||||
2017-2A, B 144A, 2.650%, 11/15/22(2) | 900 | 888 | ||||||
Flagship Credit Auto Trust | ||||||||
2016-1, A 144A, 2.770%, 12/15/20(2) | 134 | 134 | ||||||
2014-2, D 144A, 5.210%, 2/15/21(2) | 905 | 915 | ||||||
2015-2, C 144A, 4.080%, 12/15/21(2) | 505 | 509 | ||||||
2016-2, B 144A, 3.840%, 9/15/22(2) | 825 | 829 | ||||||
Foursight Capital Automobile Receivables Trust | ||||||||
2016-1, A2 144A, 2.870%, 10/15/21(2) | 392 | 392 | ||||||
2017-1, B 144A, 3.050%, 12/15/22(2) | 855 | 843 | ||||||
2018-1, C 144A, 3.680%, 8/15/23(2) | 910 | 901 | ||||||
GLS Auto Receivables Trust | ||||||||
2018-1A, A 144A, 2.820%, 7/15/22(2) | 737 | 734 | ||||||
2017-1A, C 144A, 3.500%, 7/15/22(2) | 560 | 556 | ||||||
GM Financial Consumer Automobile Receivables Trust 2017-1A, B 144A | 915 | 897 | ||||||
Hertz Vehicle Financing II LP | ||||||||
2016-1A, A 144A, 2.320%, 3/25/20(2) | 750 | 748 | ||||||
2015-1A, A 144A, 2.730%, 3/25/21(2) | 735 | 729 | ||||||
2015-3A, A 144A, 2.670%, 9/25/21(2) | 925 | 909 | ||||||
2016-4A, A 144A, 2.650%, 7/25/22(2) | 1,120 | 1,088 | ||||||
Hyundai Auto Lease Securitization Trust 2018-A, A2A 144A | 1,105 | 1,103 | ||||||
Hyundai Auto Receivables Trust | ||||||||
2015-A, D, 2.730%, 6/15/21 | 550 | 550 | ||||||
2015-C, B, 2.150%, 11/15/21 | 1,500 | 1,490 | ||||||
OneMain Direct Auto Receivables Trust 2017-2A, C 144A | 925 | 910 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
2014-4, D, 3.100%, 11/16/20 | 981 | 982 | ||||||
2016-2, B, 2.080%, 2/16/21 | 473 | 472 | ||||||
2016-1, C, 3.090%, 4/15/22 | 2,010 | 2,013 | ||||||
2017-1, C, 2.580%, 5/16/22 | 915 | 909 | ||||||
2018-2, C, 3.350%, 7/17/23 | 920 | 915 | ||||||
Tesla Auto Lease Trust 2018-A, A 144A | 779 | 777 | ||||||
Westlake Automobile Receivables Trust | ||||||||
2016-2A, C 144A, 2.830%, 5/17/21(2) | 969 | 969 | ||||||
2016-3A, B 144A, 2.070%, 12/15/21(2) | 1,144 | 1,142 | ||||||
2017-2A, C 144A, 2.590%, 12/15/22(2) | 910 | 901 | ||||||
2018-1A, C 144A, 2.920%, 5/15/23(2) | 1,733 | 1,717 | ||||||
|
| |||||||
67,020 | ||||||||
|
| |||||||
Home Equity Loans—0.0% | ||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 2001-SB1, A2 | 86 | 85 | ||||||
|
|
PAR VALUE | VALUE | |||||||
Other—9.1% | ||||||||
Ajax Mortgage Loan Trust 2017-B, A 144A | $ | 490 | $ | 478 | ||||
Aqua Finance Trust 2017-A, A 144A | 719 | 703 | ||||||
AXIS Equipment Finance Receivables IV LLC 2018-1A, A2 144A | 920 | 915 | ||||||
BRE Grand Islander Timeshare Issuer LLC 2017-1A, A 144A | 617 | 603 | ||||||
BXG Receivables Note Trust | ||||||||
2012-A, A 144A, 2.660%, 12/2/27(2) | 27 | 27 | ||||||
2013-A, A 144A, 3.010%, 12/4/28(2) | 911 | 893 | ||||||
2015-A, A 144A, 2.880%, 5/2/30(2) | 243 | 237 | ||||||
Conn’s Receivables Funding LLC 2018-A, B 144A | 925 | 926 | ||||||
Consumer Loan Underlying Bond Credit Trust 2018-P2, A 144A | 1,085 | 1,085 | ||||||
CoreVest American Finance Trust | ||||||||
2017-1, A 144A, 2.968%, 10/15/49(2) | 188 | 183 | ||||||
2018-1, A 144A, 3.804%, 6/15/51(2) | 716 | 716 | ||||||
DB Master Finance LLC 2015-1A, A2II 144A | 883 | 883 | ||||||
Dell Equipment Finance Trust 2017-2, A3 144A | 830 | 822 | ||||||
Diamond Resorts Owner Trust | ||||||||
2014-1, A 144A, 2.540%, 5/20/27(2) | 364 | 364 | ||||||
2017-1A, A 144A, 3.270%, 10/22/29(2) | 529 | 524 | ||||||
Fairway Outdoor Funding LLC 2012-1A, A2 144A | 898 | 899 | ||||||
Gold Key Resorts LLC 2014-A, A 144A | 182 | 181 | ||||||
GreatAmerica Leasing Receivables Funding LLC | 905 | 893 | ||||||
Hilton Grand Vacations Trust | ||||||||
2013-A, A 144A, 2.280%, 1/25/26(2) | 353 | 351 | ||||||
2014-AA, A 144A, 1.770%, 11/25/26(2) | 113 | 111 | ||||||
2017-AA, A 144A, 2.660%, 12/26/28(2) | 584 | 573 | ||||||
2018-AA, A 144A, 3.540%, 2/25/32(2) | 1,090 | 1,091 | ||||||
Mariner Finance Issuance Trust 2017-AA, A 144A | 900 | 899 | ||||||
Marlette Funding Trust | ||||||||
2018-1A, A 144A, 2.610%, 3/15/28(2) | 576 | 574 | ||||||
2018-3A, A 144A, 3.200%, 9/15/28(2) | 861 | 861 | ||||||
Marriott Vacation Club Owner Trust 2012-1A, A 144A | 143 | 142 | ||||||
MVW Owner Trust | ||||||||
2015-1A, B 144A, 2.960%, 12/20/32(2) | 188 | 184 | ||||||
2016-1A, A 144A, 2.250%, 12/20/33(2) | 541 | 524 | ||||||
2017-1A, A 144A, 2.420%, 12/20/34(2) | 863 | 835 | ||||||
OneMain Financial Issuance Trust | ||||||||
2015-1A, A 144A, 3.190%, 3/18/26(2) | 600 | 600 | ||||||
2018-1A, A 144A, 3.300%, 3/14/29(2) | 920 | 913 | ||||||
Oportun Funding IX LLC 2018-B, A 144A | 905 | 901 | ||||||
Orange Lake Timeshare Trust | ||||||||
2015-AA, A 144A, 2.880%, 9/8/27(2) | 195 | 192 | ||||||
2018-A, A 144A, 3.100%, 11/8/30(2) | 287 | 283 | ||||||
Pretium Mortgage Credit Partners I LLC 2018-NPL3, A1 144A | 511 | 511 |
See Notes to Financial Statements
46
Table of Contents
NEWFLEET LOW DURATION INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Other—continued | ||||||||
Prosper Marketplace Issuance Trust 2018-1A, A 144A | $ | 583 | $ | 583 | ||||
Sierra Receivables Funding Co., LLC 2017-1A, A 144A | 741 | 731 | ||||||
Sierra Timeshare Receivables Funding LLC | ||||||||
2014-2A, A 144A, 2.050%, 6/20/31(1)(2) | 30 | 30 | ||||||
2016-1A, A 144A, 3.080%, 3/21/33(2) | 225 | 224 | ||||||
2016-2A, A 144A, 2.330%, 7/20/33(2) | 289 | 283 | ||||||
2018-2A, A 144A, 3.500%, 6/20/35(2) | 824 | 821 | ||||||
SoFi Consumer Loan Program LLC | ||||||||
2016-3, A 144A, 3.050%, 12/26/25(2) | 827 | 823 | ||||||
2017-1, A 144A, 3.280%, 1/26/26(2) | 1,051 | 1,049 | ||||||
2017-5, A2 144A, 2.780%, 9/25/26(2) | 545 | 535 | ||||||
2017-6, A2 144A, 2.820%, 11/25/26(2) | 925 | 911 | ||||||
SoFi Consumer Loan Program Trust | ||||||||
2018-2, A2 144A, 3.350%, 4/26/27(2) | 920 | 918 | ||||||
2018-3, A1 144A, 3.200%, 8/25/27(2) | 324 | 324 | ||||||
Springleaf Funding Trust 2016-AA, A 144A | 1,090 | 1,087 | ||||||
Taco Bell Funding LLC 2016-1A, A21 144A | 896 | 896 | ||||||
TRIP Rail Master Funding LLC 2017-1A, A1 144A | 725 | 714 | ||||||
VSE VOI Mortgage LLC | ||||||||
2016-A, A 144A, 2.540%, 7/20/33(2) | 766 | 746 | ||||||
2017-A, A 144A, 2.330%, 3/20/35(2) | 679 | 656 | ||||||
Welk Resorts LLC | ||||||||
2013-AA, A 144A, 3.100%, 3/15/29(2) | 62 | 61 | ||||||
2015-AA, A 144A, 2.790%, 6/16/31(2) | 157 | 154 | ||||||
Westgate Resorts LLC 2016-1A, A 144A | 671 | 667 | ||||||
|
| |||||||
33,090 | ||||||||
|
| |||||||
Student Loans—1.3% | ||||||||
Commonbond Student Loan Trust 2017-AGS, A1 144A | 604 | 584 | ||||||
DRB Prime Student Loan Trust 2015-D, A3 144A | 137 | 136 | ||||||
Earnest Student Loan Program LLC 2017-A, A2 144A | 570 | 558 | ||||||
Navient Private Education Loan Trust 2017-A, A2A 144A | 920 | 891 | ||||||
SLM Private Education Loan Trust | ||||||||
2014-A, A2A 144A, 2.590%, 1/15/26(2) | 537 | 536 | ||||||
2013-B, A2A 144A, 1.850%, 6/17/30(2) | 473 | 470 | ||||||
2013-C, A2A 144A, 2.940%, 10/15/31(2) | 113 | 113 | ||||||
SoFi Professional Loan Program LLC | ||||||||
2014-B, A2 144A, 2.550%, 8/27/29(2) | 246 | 244 | ||||||
2015-A, A2 144A, 2.420%, 3/25/30(2) | 98 | 97 | ||||||
2016-A, A2 144A, 2.760%, 12/26/36(2) | 296 | 291 | ||||||
2017-B, A1FX 144A, 1.830%, 5/25/40(2) | 292 | 290 | ||||||
2017-C, A2A 144A, 1.750%, 7/25/40(2) | 454 | 450 | ||||||
|
| |||||||
4,660 | ||||||||
TOTAL ASSET-BACKED SECURITIES (Identified Cost $106,474) | 105,762 | |||||||
CORPORATE BONDS AND NOTES—24.8% | ||||||||
Consumer Discretionary—2.5% | ||||||||
Aptiv Corp. | 735 | 736 |
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
Bunge Ltd. Finance Corp. | $ | 735 | $ | 728 | ||||
Daimler Finance North America LLC 144A | 1,195 | 1,145 | ||||||
Discovery Communications LLC | 920 | 901 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.700%, 11/24/20 | 670 | 673 | ||||||
3.200%, 7/6/21 | 975 | 963 | ||||||
GLP Capital LP | 640 | 650 | ||||||
Horton (D.R.), Inc. | 895 | 917 | ||||||
Hyundai Capital America 144A | 855 | 823 | ||||||
Lennar Corp. | ||||||||
2.950%, 11/29/20 | 685 | 669 | ||||||
5.250%, 6/1/26 | 565 | 561 | ||||||
Newell Brands, Inc. | 279 | 274 | ||||||
TRI Pointe Group, Inc. | 175 | 174 | ||||||
|
| |||||||
9,214 | ||||||||
|
| |||||||
Consumer Staples—1.1% | ||||||||
BAT Capital Corp. 144A | 1,105 | 1,065 | ||||||
Campbell Soup Co. | ||||||||
3.300%, 3/15/21 | 225 | 223 | ||||||
3.650%, 3/15/23 | 555 | 544 | ||||||
CVS Health Corp. | ||||||||
(3 month LIBOR + 0.720%) 3.047%, 3/9/21(1) | 265 | 267 | ||||||
3.700%, 3/9/23 | 761 | 757 | ||||||
Kraft Heinz Foods Co. (The) | ||||||||
3.500%, 7/15/22 | 90 | 89 | ||||||
4.000%, 6/15/23 | 920 | 922 | ||||||
|
| |||||||
3,867 | ||||||||
|
| |||||||
Energy—2.1% | ||||||||
Anadarko Petroleum Corp. | 530 | 545 | ||||||
Andeavor Logistics LP | 1,000 | 984 | ||||||
Enbridge Energy Partners LP | 90 | 91 | ||||||
Energy Transfer Equity LP | 315 | 313 | ||||||
Energy Transfer Partners LP | 310 | 314 | ||||||
EP Energy LLC 144A | 70 | 71 | ||||||
Kinder Morgan, Inc. | ||||||||
3.150%, 1/15/23 | 1,005 | 977 | ||||||
144A, 5.625%, 11/15/23(2) | 85 | 91 | ||||||
Petrobras Global Finance BV | 750 | 701 | ||||||
Petroleos Mexicanos | 1,370 | 1,386 | ||||||
Range Resources Corp. | 510 | 501 |
See Notes to Financial Statements
47
Table of Contents
NEWFLEET LOW DURATION INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
Sabine Pass Liquefaction LLC | $ | 1,240 | $ | 1,333 | ||||
Transocean Guardian Ltd. 144A | 270 | 272 | ||||||
|
| |||||||
7,579 | ||||||||
|
| |||||||
Financials—8.2% | ||||||||
Ares Capital Corp. | 740 | 707 | ||||||
Aviation Capital Group LLC 144A | 1,058 | 1,046 | ||||||
Banco de Credito e Inversiones 144A | 755 | 689 | ||||||
Bank of America Corp. | ||||||||
5.490%, 3/15/19 | 66 | 67 | ||||||
Series L, 2.650%, 4/1/19 | 350 | 350 | ||||||
4.200%, 8/26/24 | 1,375 | 1,381 | ||||||
(3 month LIBOR + 0.770%) 3.111%, 2/5/26(1) | 705 | 693 | ||||||
BBVA Banco Continental S.A. RegS | 520 | 537 | ||||||
Capital One N.A. | 1,085 | 1,067 | ||||||
Citigroup, Inc., (3 month LIBOR + 1.250%) | 1,080 | 1,089 | ||||||
Drawbridge Special Opportunities Fund LP 144A | 935 | 938 | ||||||
First Tennessee Bank N.A. | 250 | 249 | ||||||
FS Investment Corp. | ||||||||
4.250%, 1/15/20 | 300 | 300 | ||||||
4.750%, 5/15/22 | 185 | 184 | ||||||
2.350%, 11/15/21 | 350 | 337 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
3.000%, 4/26/22 | 900 | 882 | ||||||
4.250%, 10/21/25 | 320 | 317 | ||||||
(3 month LIBOR + 1.170%) 3.484%, 5/15/26(1) | 900 | 901 | ||||||
(3 month LIBOR + 1.750%) 4.089%, 10/28/27(1) | 2,015 | 2,090 | ||||||
Guanay Finance Ltd. 144A | 1,284 | 1,287 | ||||||
HSBC Holdings plc | ||||||||
2.950%, 5/25/21 | 860 | 848 | ||||||
(3 month LIBOR + 1.500%) 3.837%, 1/5/22(1) | 476 | 489 | ||||||
Huntington Bancshares, Inc. | 245 | 262 | ||||||
Industrial & Commercial Bank of China Ltd. | ||||||||
3.231%, 11/13/19 | 250 | 249 | ||||||
(3 month LIBOR + 0.750%) 3.093%, 11/8/20(1) | 370 | 370 | ||||||
2.957%, 11/8/22 | 370 | 356 | ||||||
iStar, Inc. | 380 | 374 | ||||||
JPMorgan Chase & Co. | 540 | 534 | ||||||
KeyCorp | 185 | 193 | ||||||
Lincoln National Corp. | ||||||||
4.200%, 3/15/22 | 470 | 477 | ||||||
(3 month LIBOR + 2.040%) 4.388%, 4/20/67(1)(4) | 75 | 69 | ||||||
Macquarie Group Ltd. 144A | 75 | 75 | ||||||
Metropolitan Life Global Funding I 144A | 650 | 640 | ||||||
Mizuho Financial Group, Inc. | 565 | 544 |
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
Morgan Stanley | ||||||||
(3 month LIBOR + 0.930%) 3.277%, 7/22/22(1) | $ | 725 | $ | 731 | ||||
4.100%, 5/22/23 | 730 | 734 | ||||||
(3 month LIBOR + 1.400%) 3.742%, 10/24/23(1) | 730 | 750 | ||||||
Navient Corp. | 753 | 782 | ||||||
Nuveen Finance LLC 144A | 430 | 429 | ||||||
Santander Holdings USA, Inc. | 910 | 897 | ||||||
SBA Tower Trust | ||||||||
144A, 3.156%, 10/8/20(2) | 750 | 744 | ||||||
144A, 2.877%, 7/9/21(2) | 800 | 787 | ||||||
144A, 3.168%, 4/11/22(2) | 730 | 716 | ||||||
Turkiye Is Bankasi AS 144A | 800 | 674 | ||||||
Turkiye Vakiflar Bankasi TAO 144A | 330 | 287 | ||||||
UBS Group Funding Switzerland AG 144A | 400 | 387 | ||||||
Wells Fargo & Co., (3 month LIBOR + 1.230%) | 1,280 | 1,305 | ||||||
XLIT Ltd. | 135 | 135 | ||||||
|
| |||||||
29,949 | ||||||||
|
| |||||||
Health Care—3.3% | ||||||||
AbbVie, Inc. | ||||||||
2.300%, 5/14/21 | 495 | 482 | ||||||
3.375%, 11/14/21 | 99 | 99 | ||||||
3.200%, 11/6/22 | 45 | 44 | ||||||
2.850%, 5/14/23 | 495 | 477 | ||||||
Allergan Funding SCS | ||||||||
3.000%, 3/12/20 | 85 | 85 | ||||||
3.450%, 3/15/22 | 1,010 | 1,004 | ||||||
Anthem, Inc. | ||||||||
3.500%, 8/15/24 | 550 | 538 | ||||||
3.350%, 12/1/24 | 585 | 568 | ||||||
Bausch Health Cos., Inc. 144A | 105 | 109 | ||||||
Bayer US Finance II LLC | ||||||||
144A, (3 month LIBOR + 1.010%) 3.344%, 12/15/23(1)(2) | 735 | 736 | ||||||
144A, 3.875%, 12/15/23(2) | 370 | 367 | ||||||
Becton Dickinson & Co. | ||||||||
(3 month LIBOR + 0.875%) 3.261%, 12/29/20(1) | 303 | 303 | ||||||
2.894%, 6/6/22 | 322 | 313 | ||||||
3.363%, 6/6/24 | 192 | 186 | ||||||
Cardinal Health, Inc. | 735 | 703 | ||||||
Elanco Animal Health, Inc. | ||||||||
144A, 3.912%, 8/27/21(2) | 91 | 91 | ||||||
144A, 4.272%, 8/28/23(2) | 227 | 228 | ||||||
Fresenius U.S. Finance II, Inc. 144A | 95 | 96 | ||||||
Halfmoon Parent, Inc. | ||||||||
144A, (3 month LIBOR + 0.890%) 3.224%, 7/15/23(1)(2)(10) | 388 | 388 | ||||||
144A, 3.750%, 7/15/23(2) | 459 | 457 | ||||||
144A, 4.125%, 11/15/25(2) | 38 | 38 | ||||||
144A, 4.375%, 10/15/28(2) | 78 | 78 | ||||||
Mylan NV | 230 | 226 | ||||||
Mylan, Inc. 144A | 1,115 | 1,064 |
See Notes to Financial Statements
48
Table of Contents
NEWFLEET LOW DURATION INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Health Care—continued | ||||||||
Shire Acquisitions Investments Ireland DAC | $ | 435 | $ | 420 | ||||
Tenet Healthcare Corp. | 550 | 535 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
(3 month LIBOR + 0.750%) 3.089%, 3/19/21(1) | 1,100 | 1,101 | ||||||
3.150%, 4/1/22 | 1,200 | 1,175 | ||||||
|
| |||||||
11,911 | ||||||||
|
| |||||||
Industrials—1.6% | ||||||||
America West Airlines Pass-Through-Trust 2001-1, G | 766 | 805 | ||||||
British Airways Pass-Through-Trust 2013-1, B 144A | 329 | 333 | ||||||
CNH Industrial N.V. | 1,314 | 1,334 | ||||||
Masco Corp. | 224 | 239 | ||||||
Owens Corning | 920 | 922 | ||||||
Penske Truck Leasing Co., LP | ||||||||
RegS, 2.500%, 6/15/19(3) | 150 | 149 | ||||||
144A, 4.125%, 8/1/23(2) | 895 | 893 | ||||||
Pitney Bowes, Inc. | 858 | 795 | ||||||
TransDigm, Inc. | 395 | 405 | ||||||
|
| |||||||
5,875 | ||||||||
|
| |||||||
Information Technology—0.8% | ||||||||
Broadcom Corp. | ||||||||
2.375%, 1/15/20 | 545 | 539 | ||||||
3.000%, 1/15/22 | 385 | 375 | ||||||
Dell International LLC 144A | 685 | 719 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
2.850%, 10/5/18 | 127 | 127 | ||||||
(3 month LIBOR + 0.720%) 3.105%, 10/5/21(1) | 145 | 145 | ||||||
3.500%, 10/5/21 | 235 | 235 | ||||||
VMware, Inc. | ||||||||
2.300%, 8/21/20 | 225 | 221 | ||||||
2.950%, 8/21/22 | 465 | 447 | ||||||
|
| |||||||
2,808 | ||||||||
|
| |||||||
Materials—1.5% | ||||||||
ArcelorMittal | 775 | 842 | ||||||
FMG Resources August 2006 Pty Ltd. 144A | 450 | 445 | ||||||
Glencore Funding LLC 144A | 900 | 899 | ||||||
GTL Trade Finance, Inc. 144A | 680 | 687 | ||||||
NOVA Chemicals Corp. | ||||||||
144A, 4.875%, 6/1/24(2) | 320 | 308 | ||||||
144A, 5.000%, 5/1/25(2) | 485 | 461 | ||||||
Severstal OAO Via Steel Capital S.A. 144A | 1,075 | 1,045 |
PAR VALUE | VALUE | |||||||
Materials—continued | ||||||||
Syngenta Finance NV | ||||||||
144A, 3.698%, 4/24/20(2) | $ | 365 | $ | 365 | ||||
144A, 3.933%, 4/23/21(2) | 365 | 364 | ||||||
|
| |||||||
5,416 | ||||||||
|
| |||||||
Real Estate—0.8% | ||||||||
Brixmor Operating Partnership LP | 140 | 139 | ||||||
Corporate Office Properties LP | 220 | 218 | ||||||
Healthcare Trust of America Holdings LP | 920 | 890 | ||||||
Hospitality Properties Trust | 430 | 427 | ||||||
Select Income REIT | 580 | 574 | ||||||
Senior Housing Properties Trust | 125 | 125 | ||||||
Ventas Realty LP | 152 | 151 | ||||||
West Europe Finance LLC 144A | 535 | 533 | ||||||
|
| |||||||
3,057 | ||||||||
|
| |||||||
Telecommunication Services—1.8% | ||||||||
AT&T, Inc. | ||||||||
2.800%, 2/17/21 | 910 | 897 | ||||||
144A, (3 month LIBOR + 0.890%) 3.209%, 2/15/23(1)(2) | 475 | 471 | ||||||
(3 month LIBOR + 1.180%) 3.514%, 6/12/24(1) | 1,095 | 1,100 | ||||||
Axtel SAB de C.V. 144A | 550 | 542 | ||||||
Crown Castle International Corp. | 930 | 959 | ||||||
Frontier Communications Corp. | 525 | 339 | ||||||
Sprint Spectrum Co., LLC 144A | 675 | 672 | ||||||
Verizon Communications, Inc., (3 month LIBOR + 1.100%) | 1,456 | 1,469 | ||||||
|
| |||||||
6,449 | ||||||||
|
| |||||||
Utilities—1.1% | ||||||||
Exelon Corp. | ||||||||
2.850%, 6/15/20 | 805 | 798 | ||||||
3.497%, 6/1/22 | 571 | 561 | ||||||
PNM Resources, Inc. | 810 | 802 | ||||||
PSEG Power LLC | 297 | 296 | ||||||
Southern Co The | 920 | 884 | ||||||
TerraForm Power Operating LLC 144A | 735 | 718 | ||||||
|
| |||||||
4,059 | ||||||||
TOTAL CORPORATE BONDS AND NOTES (Identified Cost $91,644) | 90,184 |
See Notes to Financial Statements
49
Table of Contents
NEWFLEET LOW DURATION INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
LEVERAGED LOANS(1)—5.9% | ||||||||
Aerospace—0.5% | ||||||||
American Airlines, Inc. Tranche B, (1 month LIBOR + 2.000%) | $ | 647 | $ | 643 | ||||
TransDigm, Inc. | ||||||||
Tranche F, (1 month LIBOR + 2.500%) | 731 | 734 | ||||||
Tranche E, (1 month LIBOR + 2.500%) | 232 | 232 | ||||||
|
| |||||||
1,609 | ||||||||
|
| |||||||
Consumer Durables—0.1% | ||||||||
Fluidra, S.A., (1 month LIBOR + 2.250%) | 180 | 181 | ||||||
|
| |||||||
Energy—0.0% | ||||||||
Lotus Midstream LLC Tranche B, (3 month LIBOR + 3.250%) | 120 | 120 | ||||||
Paragon Offshore Finance Co., (1 month PRIME + 0.000%) | 1 | — | ||||||
|
| |||||||
120 | ||||||||
|
| |||||||
Financial—0.1% | ||||||||
FinCo I LLC 2018 Replacement, (1 month LIBOR + 2.000%) | 217 | 218 | ||||||
Franklin Square Holdings LP, (1 month LIBOR + 2.500%) | 130 | 130 | ||||||
|
| |||||||
348 | ||||||||
|
| |||||||
Food and Drug—0.2% | ||||||||
Albertson’s LLC | ||||||||
Tranche B-4, (1 month LIBOR + 2.750%) | 183 | 184 | ||||||
Tranche B-5, (3 month LIBOR + 3.000%) | 328 | 328 | ||||||
|
| |||||||
512 | ||||||||
|
| |||||||
Food/Tobacco—0.2% | ||||||||
Aramark Intermediate HoldCo Corp. | ||||||||
Tranche B-2, (3 month LIBOR + 1.750%) | 339 | 339 | ||||||
Tranche B-3, (3 month LIBOR + 1.750%) | 345 | 346 | ||||||
|
| |||||||
685 | ||||||||
|
| |||||||
Gaming/Leisure—1.2% | ||||||||
Boyd Gaming Corp. Refinancing, Tranche B, (weekly LIBOR + 2.250%) | 761 | 765 | ||||||
CityCenter Holdings LLC Tranche B, (1 month LIBOR + 2.250%) | 614 | 615 | ||||||
Eldorado Resorts, Inc., (2 month LIBOR + 2.250%) | 485 | 487 | ||||||
Gateway Casinos & Entertainment Ltd., (3 month LIBOR + 3.000%) | 110 | 110 | ||||||
GVC Holdings plc Tranche B-2, (1 month LIBOR + 2.500%) | 473 | 474 |
PAR VALUE | VALUE | |||||||
Gaming/Leisure—continued | ||||||||
Hilton Worldwide Finance LLC Tranche B-2, (1 month LIBOR + 1.750%) | $ | 633 | $ | 636 | ||||
Scientific Games International, Inc. Tranche B-5, (2 month LIBOR + 2.750%) | 20 | 20 | ||||||
Station Casinos LLC Tranche B, (1 month LIBOR + 2.500%) | 358 | 360 | ||||||
Wyndham Hotels & Resorts, Inc. Tranche B, (1 month LIBOR + 1.750%) 3.992%, 5/30/25 | 895 | 897 | ||||||
|
| |||||||
4,364 | ||||||||
|
| |||||||
Healthcare—1.2% | ||||||||
Bausch Health Cos., Inc., (1 month LIBOR + 3.000%) 5.104%, 6/2/25 | 471 | 473 | ||||||
Community Health Systems, Inc. Tranche H, (3 month LIBOR + 3.250%) 5.563%, 1/27/21 | 404 | 398 | ||||||
Endo Luxembourg Finance Co. S.a.r.l., (1 month LIBOR + 4.250%) 6.500%, 4/29/24 | 509 | 512 | ||||||
Envision Healthcare Corp., (1 month LIBOR + 3.000%) 5.250%, 12/1/23 | 352 | 352 | ||||||
HCA, Inc. Tranche B-11, (1 month LIBOR + 1.750%) 3.992%, 3/17/23 | 1,797 | 1,810 | ||||||
Iqvia, Inc. Tranche B-3, (3 month LIBOR + 1.750%) | 718 | 717 | ||||||
Syneos Health, Inc. Tranche B, (1 month LIBOR + 2.000%) 4.242%, 8/1/24 | 235 | 235 | ||||||
|
| |||||||
4,497 | ||||||||
|
| |||||||
Information Technology—0.2% | ||||||||
SS&C Technologies Holdings, Inc. | ||||||||
Tranche B-3, (1 month LIBOR + 2.250%) 4.492%, 4/16/25 | 245 | 245 | ||||||
Tranche B-4, (1 month LIBOR + 2.250%) 4.492%, 4/16/25 | 95 | 95 | ||||||
Western Digital Corp. Tranche B-4, (1 month LIBOR + 1.750%) 3.992%, 4/29/23 | 451 | 452 | ||||||
|
| |||||||
792 | ||||||||
|
| |||||||
Manufacturing—0.0% | ||||||||
Altra Industrial Motion Corp., (3 month LIBOR + 2.000%) 0.000%, 10/1/25(9) | 95 | 95 | ||||||
|
| |||||||
Media/Telecom – Cable/Wireless Video—0.7% | ||||||||
Altice US Finance I Corp. 2017 Refinancing, (1 month LIBOR + 2.250%) 4.492%, 7/28/25 | 743 | 743 | ||||||
Charter Communications Operating LLC Tranche B, (1 month LIBOR + 2.000%) 4.250%, 4/30/25 | 1,102 | 1,103 | ||||||
Telenet Financing USD LLC, (1 month LIBOR + 2.250%) 0.000%, 8/15/26(9) | 660 | 657 | ||||||
|
| |||||||
2,503 | ||||||||
|
| |||||||
Media/Telecom – Diversified Media—0.1% | ||||||||
Crown Finance US, Inc., (1 month LIBOR + 2.500%) | 378 | 378 | ||||||
|
| |||||||
Media/Telecom – Telecommunications—0.3% | ||||||||
CenturyLink, Inc. Tranche B, (1 month LIBOR + 2.750%) 4.992%, 1/31/25 | 658 | 654 | ||||||
Level 3 Financing, Inc. Tranche B, (1 month LIBOR + 2.250%) 4.432%, 2/22/24 | 548 | 549 | ||||||
|
| |||||||
1,203 | ||||||||
|
|
See Notes to Financial Statements
50
Table of Contents
NEWFLEET LOW DURATION INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Media/Telecom – Wireless Communications—0.1% | ||||||||
SBA Senior Finance II LLC , (1 month LIBOR + 2.000%) 4.250%, 4/11/25 | $ | 404 | $ | 404 | ||||
|
| |||||||
Service—0.4% | ||||||||
First Data Corp. Tranche-A , (1 month LIBOR + 2.000%) 4.212%, 4/26/24 | 920 | 921 | ||||||
Trans Union LLC Tranche B-4 , (1 month LIBOR + 2.000%) 4.242%, 6/19/25 | 429 | 430 | ||||||
|
| |||||||
1,351 | ||||||||
|
| |||||||
Utility—0.6% | ||||||||
Calpine Corp. , (3 month LIBOR + 2.500%) 4.890%, 5/31/23 | 660 | 660 | ||||||
NRG Energy, Inc. , (3 month LIBOR + 1.750%) | 983 | 984 | ||||||
Vistra Operations Co., LLC | ||||||||
(1 month LIBOR + 2.000%) 4.242%, 8/4/23 | 230 | 230 | ||||||
(1 month LIBOR + 2.000%) 4.181%, 12/31/25 | 409 | 409 | ||||||
|
| |||||||
2,283 | ||||||||
TOTAL LEVERAGED LOANS (Identified Cost $21,280) | 21,325 | |||||||
SHARES | ||||||||
PREFERRED STOCKS—1.0% | ||||||||
Financials—1.0% | ||||||||
Bank of New York Mellon Corp. (The) Series E, | 390 | (5) | 398 | |||||
Citigroup, Inc. Series T, | 1,020 | (5) | 1,065 | |||||
Huntington Bancshares, Inc. Series E, | 560 | (5) | 555 | |||||
JPMorgan Chase & Co. Series | 1,155 | (5) | 1,181 | |||||
Wells Fargo & Co. Series K, | 325 | (5) | 329 | |||||
TOTAL PREFERRED STOCKS (Identified Cost $3,523) | 3,528 | |||||||
EXCHANGE-TRADED FUND—0.5% | ||||||||
SPDR Bloomberg Barclays Short-Term High Yield Bond Index Fund(13) | 66,034 | 1,822 | ||||||
TOTAL EXCHANGE-TRADED FUND (Identified Cost $1,822) | 1,822 | |||||||
TOTAL LONG-TERM INVESTMENTS—97.4% | ||||||||
(Identified Cost $356,854) | 353,485 | |||||||
SHORT-TERM INVESTMENT—2.3% | ||||||||
Money Market Mutual Fund—2.3% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%)(13) | 8,263,800 | 8,264 | ||||||
TOTAL SHORT-TERM INVESTMENT (Identified Cost $8,264) | 8,264 |
SHARES | VALUE | |||||||
SECURITIES LENDING COLLATERAL—0.1% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%)(12)(13) | 391,802 | $ | 392 | |||||
TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $392) | 392 | |||||||
TOTAL INVESTMENTS—99.8% (Identified Cost $365,510) | 362,141 | |||||||
Other assets and liabilities, net—0.2% | 627 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 362,768 | ||||||
|
|
Abbreviations:
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SPDR | S&P Depositary Receipt |
Footnote Legend:
(1) | Variable rate security. Rate disclosed is as of September 30, 2018. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to a value of $203,345 or 56.1% of net assets. |
(3) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(4) | Interest payments may be deferred. |
(5) | Value shown as par value. |
(6) | Security in default, no interest payments are being received during the bankruptcy proceedings. |
(7) | This Note was issued for the sole purpose of funding a leveraged loan between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(8) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(9) | This loan will settle after September 30, 2018, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(10) | All or a portion of security is on loan. |
(11) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located at the end of the Schedule of Investments. |
(12) | Represents security purchased with cash collateral received for securities on loan. |
(13) | Shares of this fund are publicly offered, and its prospectus and annual reports are publicly available. |
Country Weightings (Unaudited)† | ||||
United States (includes short-term investment and securities lending collateral) | 94 | % | ||
Luxembourg | 1 | |||
Netherlands | 1 | |||
United Kingdom | 1 | |||
Chile | 1 | |||
Mexico | 1 | |||
Other | 1 | |||
Total | 100 | % | ||
† % of total investments as of September 30, 2018. |
|
Security abbreviation definitions are located under the Key Investment Terms starting on page 4.
See Notes to Financial Statements
51
Table of Contents
NEWFLEET LOW DURATION INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Debt Securities: | ||||||||||||||||
Asset-Backed Securities | $ | 105,762 | $ | — | $ | 105,762 | $ | — | ||||||||
Corporate Bonds and Notes | 90,184 | — | 90,184 | — | ||||||||||||
Foreign Government Securities | 2,071 | — | 2,071 | — | ||||||||||||
Leveraged Loans | 21,325 | — | 21,325 | — | ||||||||||||
Mortgage-Backed Securities | 111,456 | — | 109,634 | 1,822 | ||||||||||||
Municipal Bonds | 192 | — | 192 | — | ||||||||||||
U.S. Government Securities | 17,145 | — | 17,145 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Exchange-Traded Fund | 1,822 | 1,822 | — | — | ||||||||||||
Preferred Stocks | 3,528 | — | 3,528 | — | ||||||||||||
Securities Lending Collateral | | 392 | | 392 | — | — | ||||||||||
Short-Term Investment | 8,264 | 8,264 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 362,141 | $ | 10,478 | $ | 349,841 | $ | 1,822 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers into or out of Level 3 related to securities held as of September 30, 2018.
Some of the Fund’s investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3 securities compared to total net assets is de minimis; therefore, the rollforward of Level 3 securities and assumptions are not shown for the year ended September 30, 2018.
See Notes to Financial Statements
52
Table of Contents
NEWFLEET MULTI-SECTOR INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
U.S. GOVERNMENT SECURITIES—2.2% | ||||||||
U.S. Treasury Note | ||||||||
1.375%, 1/15/20 | $ | 975 | $ | 959 | ||||
1.375%, 4/30/20 | 5,805 | 5,679 | ||||||
TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $6,643) |
| 6,638 | ||||||
MUNICIPAL BONDS—0.2% | ||||||||
Michigan—0.1% | ||||||||
Tobacco Settlement Finance Authority Revenue Taxable Series A, 7.309%, 6/1/34 | 135 | 137 | ||||||
|
| |||||||
Virginia—0.1% | ||||||||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 315 | 312 | ||||||
TOTAL MUNICIPAL BONDS (Identified Cost $448) |
| 449 | ||||||
FOREIGN GOVERNMENT SECURITIES—8.0% | ||||||||
Argentine Republic | ||||||||
6.875%, 1/26/27 | 870 | 740 | ||||||
Series NY, 8.280%, 12/31/33 | 325 | 293 | ||||||
Bolivarian Republic of Venezuela | ||||||||
RegS, 7.650%, 4/21/25(3)(8) | 1,500 | 408 | ||||||
9.375%, 1/13/34(8) | 920 | 268 | ||||||
Dominican Republic | ||||||||
144A, 6.875%, 1/29/26(2) | 180 | 192 | ||||||
144A, 6.000%, 7/19/28(2) | 795 | 808 | ||||||
Federal Republic of Nigeria | ||||||||
144A, 6.500%, 11/28/27(2) | 420 | 404 | ||||||
144A, 7.625%, 11/28/47(2) | 410 | 392 | ||||||
Federative Republic of Brazil | ||||||||
Notas do Tesouro Nacional Series F, | 2,480 | BRL | 612 | |||||
Notas do Tesouro Nacional Series F, | 1,355 | BRL | 325 | |||||
Kingdom of Bahrain | 910 | 901 | ||||||
Kingdom of Jordan | 1,075 | 1,018 | ||||||
Kingdom of Morocco 144A | 800 | 840 | ||||||
Provincia de Buenos Aires | 1,180 | 987 | ||||||
Republic of Angola | 330 | 348 | ||||||
Republic of Chile | 474,000 | CLP | 742 | |||||
Republic of Colombia | 3,746,000 | COP | 1,201 | |||||
Republic of Costa Rica | ||||||||
144A, 4.375%, 4/30/25(2)(16) | 395 | 341 | ||||||
144A, 7.000%, 4/4/44(2) | 200 | 176 | ||||||
Republic of Ecuador | 920 | 873 | ||||||
Republic of Indonesia | ||||||||
FR70, 8.375%, 3/15/24 | 13,962,000 | IDR | 944 | |||||
144A, 8.500%, 10/12/35(2) | 1,635 | 2,240 | ||||||
Republic of Philippines | 1,100 | 1,627 | ||||||
Republic of South Africa | ||||||||
Series 2023, 7.750%, 2/28/23 | 10,500 | ZAR | 726 | |||||
5.650%, 9/27/47 | 510 | 465 |
PAR VALUE | VALUE | |||||||
FOREIGN GOVERNMENT SECURITIES—continued | ||||||||
Republic of Turkey | $ | 1,195 | $ | 1,023 | ||||
Russian Federation Series 6216 | 83,030 | RUB | 1,264 | |||||
Sultanate of Oman | ||||||||
144A, 5.375%, 3/8/27(2) | 1,135 | 1,101 | ||||||
144A, 5.625%, 1/17/28(2) | 365 | 359 | ||||||
Ukraine | ||||||||
144A, 7.750%, 9/1/23(2) | 525 | 515 | ||||||
144A, 7.750%, 9/1/26(2) | 1,190 | 1,117 | ||||||
United Mexican States | ||||||||
Series M, 6.500%, 6/9/22 | 16,410 | MXN | 842 | |||||
4.150%, 3/28/27 | 460 | 453 | ||||||
TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $28,000) |
| 24,545 | ||||||
MORTGAGE-BACKED SECURITIES—12.2% | ||||||||
Agency—1.1% | ||||||||
Federal National Mortgage Association | ||||||||
Pool #AX2491, 4.000%, 10/1/44 | 834 | 844 | ||||||
Pool #MA3088, 4.000%, 8/1/47 | 2,326 | 2,350 | ||||||
|
| |||||||
3,194 | ||||||||
|
| |||||||
Non-Agency—11.1% | ||||||||
Agate Bay Mortgage Trust 2016-3, A5 144A | 613 | 607 | ||||||
American Homes 4 Rent Trust | ||||||||
2014-SFR2, C 144A, 4.705%, 10/17/36(2) | 915 | 941 | ||||||
2015-SFR2, C 144A, 4.691%, 10/17/45(2) | 1,011 | 1,043 | ||||||
2015-SFR1, A 144A, 3.467%, 4/17/52(2) | 656 | 645 | ||||||
Ameriquest Mortgage Securities, Inc. Pass-Through Certificates, 2003-AR3, M4 , (1 month LIBOR – 5.850%) | 969 | 962 | ||||||
AMSR Trust 2016-SFR1, D 144A , (1 month LIBOR + 2.400%) | 765 | 768 | ||||||
Angel Oak Mortgage Trust I LLC | 312 | 312 | ||||||
Banc of America Funding Trust | 647 | 647 | ||||||
2005-1, 1A1, 5.500%, 2/25/35 | 292 | 293 | ||||||
2006-2, 3A1, 6.000%, 3/25/36 | 145 | 145 | ||||||
Bank of America (Countrywide) Asset-Backed Certificates 2005-1, AF5A 4.989%, 7/25/35(1) | 618 | 633 | ||||||
Bank of America (Merrill Lynch – Countrywide) Alternative Loan Trust | 281 | 289 | ||||||
2004-24CB, 1A1, 6.000%, 11/25/34 | 64 | 65 | ||||||
Bayview Opportunity Master Fund IVa Trust | 625 | 632 | ||||||
2017-SPL5, B1 144A, 4.000%, 6/28/57(1)(2) | 700 | 700 | ||||||
Bayview Opportunity Master Fund IVb Trust | 445 | 450 | ||||||
Caesars Palace Las Vegas Trust 2017-VICI, C | 630 | 632 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2015-A, A1 | 361 | 358 | ||||||
Colony Starwood Homes Trust 2016-2A, C | 770 | 772 |
See Notes to Financial Statements
53
Table of Contents
NEWFLEET MULTI-SECTOR INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
COLT Mortgage Loan Trust Funding LLC 2017-1, A3 144A, 3.074%, 5/27/47(1)(2) | $ | 300 | $ | 297 | ||||
2018-1, A1 144A, | 509 | 506 | ||||||
Credit Suisse Commercial Mortgage-Backed Trust 2006-8, 3A1 | 160 | 146 | ||||||
Credit Suisse Mortgage Capital Trust | 256 | 254 | ||||||
Deephaven Residential Mortgage Trust | 236 | 234 | ||||||
2017-2A, A2 144A, 2.606%, 6/25/47(1)(2) | 164 | 162 | ||||||
GAHR Commercial Mortgage Trust | 600 | 598 | ||||||
Galton Funding Mortgage Trust | 386 | 381 | ||||||
2018-1, A23 144A, 3.500%, 11/25/57(1)(2) | 533 | 523 | ||||||
GSAA Home Equity Trust 2005-12, AF3W | 212 | 214 | ||||||
Homeward Opportunities Fund I Trust 2018-1, A1 | 608 | 608 | ||||||
JPMorgan Chase Mortgage Trust | 335 | 311 | ||||||
2016-1, M2 144A, 3.750%, 4/25/45(1)(2) | 602 | 590 | ||||||
2016-2, M2 144A, 3.750%, 12/25/45(1)(2) | 762 | 746 | ||||||
2017-4, A3 144A, 3.500%, 11/25/48(1)(2) | 438 | 425 | ||||||
MASTR Alternative Loan Trust | 536 | 541 | ||||||
2005-2, 2A1, 6.000%, 1/25/35 | 334 | 346 | ||||||
MASTR Specialized Loan Trust 2005-3, A2 144A | 166 | 168 | ||||||
MetLife Securitization Trust 2017-1A, M1 144A | 425 | 416 | ||||||
New Residential Mortgage Loan Trust | 661 | 669 | ||||||
2017-2A, A3 144A, 4.000%, 3/25/57(1)(2) | 355 | 356 | ||||||
2018-1A, A1A 144A, 4.000%, 12/25/57(1)(2) | 540 | 542 | ||||||
Oak Hill Advisors Residential Loan Trust | 573 | 564 | ||||||
One Market Plaza Trust 2017-1MKT, A 144A | 795 | 790 | ||||||
Pretium Mortgage Credit Partners I LLC | 278 | 277 | ||||||
2017-NPL2, A1 144A, 3.250%, 3/28/57(1)(2) | 302 | 301 | ||||||
Progress Residential Trust | 385 | 371 | ||||||
2018-SFR1, B 144A, 3.484%, 3/17/35(2) | 725 | 712 | ||||||
2018-SFR2, B 144A, 3.841%, 8/17/35(2) | 445 | 442 | ||||||
RCO Mortgage LLC 2017-1, A1 144A | 682 | 678 | ||||||
Resecuritization Pass-Through Trust | 242 | 244 | ||||||
Residential Asset Securitization Trust | 504 | 518 | ||||||
RETL 2018-RVP, C 144A , (1 month LIBOR + 2.050%) | 158 | 159 | ||||||
Sequoia Mortgage Trust 2013-8, B1 | 700 | 676 | ||||||
Towd Point Mortgage Trust | ||||||||
2015-1, A2 144A, 3.250%, 10/25/53(1)(2) | 555 | 546 | ||||||
2016-1, M1 144A, 3.500%, 2/25/55(1)(2) | 380 | 372 | ||||||
2015-6, M1 144A, 3.750%, 4/25/55(1)(2) | 760 | 751 | ||||||
2015-5, A2 144A, 3.500%, 5/25/55(1)(2) | 690 | 681 | ||||||
2017-1, M1 144A, 3.750%, 10/25/56(1)(2) | 450 | 441 |
PAR VALUE | VALUE | |||||||
Non-Agency—continued | ||||||||
2018-4, A1 144A, 3.000%, 6/25/58(1)(2) | $ | 346 | $ | 334 | ||||
2015-2, 1M1 144A, 3.250%, 11/25/60(1)(2) | 1,920 | 1,843 | ||||||
Tricon American Homes Trust 2017-SFR1, A 144A | 185 | 178 | ||||||
Vericrest Opportunity Loan Trust LVI LLC 2017-NPL3, A1 144A | 872 | 868 | ||||||
Vericrest Opportunity Loan Trust LXIII LLC 2017-NP10, A1 144A | 244 | 241 | ||||||
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A | 446 | 443 | ||||||
Verus Securitization Trust 2018-1, A1 144A | 577 | 570 | ||||||
VSD 2017-PLT1, A | 149 | 149 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-LC20, B 3.719%, 4/15/50 | 875 | 852 | ||||||
|
| |||||||
33,928 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $37,543) | 37,122 | |||||||
ASSET-BACKED SECURITIES—6.5% | ||||||||
Automobiles—3.5% | ||||||||
ACC Trust 2018-1, B 144A | 685 | 684 | ||||||
American Credit Acceptance Receivables Trust | 1,105 | 1,103 | ||||||
CarNow Auto Receivables Trust 2016-1A, D 144A | 745 | 749 | ||||||
Chrysler Capital Auto Receivables Trust 2016-BA, D 144A | 860 | 850 | ||||||
DT Auto Owner Trust 2017-2A, D 144A | 1,180 | 1,182 | ||||||
Flagship Credit Auto Trust | 885 | 899 | ||||||
2014-1, E 144A, 5.710%, 8/16/21(2) | 665 | 667 | ||||||
GLS Auto Receivables Trust | 1,180 | 1,171 | ||||||
2017-1A, C 144A, 3.500%, 7/15/22(2) | 1,180 | 1,172 | ||||||
2018-1A, B 144A, 3.520%, 8/15/23(2) | 1,155 | 1,147 | ||||||
Skopos Auto Receivables Trust | 1,015 | 1,011 | ||||||
|
| |||||||
10,635 | ||||||||
|
| |||||||
Other—3.0% | ||||||||
Aqua Finance Trust 2017-A, A 144A | 923 | 902 | ||||||
Arbys Funding LLC 2015-1A, A2 144A | 914 | 921 | ||||||
CLUB Credit Trust 2017-P1, B 144A | 750 | 746 | ||||||
DB Master Finance LLC 2017-1A, A2I 144A | 933 | 909 | ||||||
Drug Royalty III LP 1 2016-1A, A 144A | 552 | 552 | ||||||
HOA Funding LLC 2014-1A, A2 144A | 1,017 | 1,004 | ||||||
Mariner Finance Issuance Trust 2017-AA, A 144A | 775 | 775 |
See Notes to Financial Statements
54
Table of Contents
NEWFLEET MULTI-SECTOR INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Other—continued | ||||||||
Prosper Marketplace Issuance Trust 2017-1A, B 144A, 3.650%, 6/15/23(2) | $ | 848 | $ | 849 | ||||
2017-2A, B 144A, 3.480%, 9/15/23(2) | 740 | 739 | ||||||
TGIF Funding LLC 2017-1A, A2 144A | 1,102 | 1,102 | ||||||
Upstart Securitization Trust 2018-1, B 144A | 730 | 728 | ||||||
|
| |||||||
9,227 | ||||||||
TOTAL ASSET-BACKED SECURITIES (Identified Cost $19,927) | 19,862 | |||||||
CORPORATE BONDS AND NOTES—49.0% | ||||||||
Consumer Discretionary—7.4% | ||||||||
Altice France S.A. 144A | 350 | 350 | ||||||
American Axle & Manufacturing, Inc. | 50 | 49 | ||||||
Beazer Homes USA, Inc. | 255 | 236 | ||||||
5.875%, 10/15/27 | 670 | 570 | ||||||
Boyd Gaming Corp. | 195 | 196 | ||||||
Bunge Ltd. Finance Corp. | 775 | 767 | ||||||
Caesars Resort Collection LLC 144A | 415 | 395 | ||||||
Cequel Communications Holdings I LLC 144A | 660 | 691 | ||||||
Charter Communications Operating LLC | 495 | 497 | ||||||
4.908%, 7/23/25 | 860 | 873 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
Series A, 7.625%, 3/15/20 | 250 | 251 | ||||||
Series B, 7.625%, 3/15/20 | 660 | 662 | ||||||
CSC Holdings LLC 144A | 200 | 191 | ||||||
Delta Merger Sub, Inc. 144A | 245 | 248 | ||||||
Discovery Communications LLC | 900 | 854 | ||||||
DISH DBS Corp. | 490 | 478 | ||||||
7.750%, 7/1/26 | 505 | 479 | ||||||
Dollar Tree, Inc. | 515 | 505 | ||||||
Downstream Development Authority of The Quapaw Tribe of Oklahoma 144A | 345 | 353 | ||||||
Ford Motor Credit Co., LLC | 925 | 881 | ||||||
frontdoor, Inc. 144A | 580 | 597 | ||||||
Gateway Casinos & Entertainment Ltd. 144A | 580 | 610 | ||||||
GLP Capital LP | 600 | 609 | ||||||
Graham Holdings Co. | 910 | 932 | ||||||
Hilton Domestic Operating Co., Inc. | 790 | 785 | ||||||
iHeartCommunications, Inc. | 465 | 350 | ||||||
Lear Corp. | 1,105 | 1,025 |
PAR VALUE | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
Lennar Corp. | $ | 770 | $ | 741 | ||||
M/I Homes, Inc. | 640 | 602 | ||||||
Marriott Ownership Resorts, Inc. | 430 | 441 | ||||||
McGraw-Hill Global Education Holdings LLC | 590 | 529 | ||||||
MDC Holdings, Inc. | 715 | 713 | ||||||
Meredith Corp. | 500 | 513 | ||||||
MGM Resorts International | 780 | 782 | ||||||
Neiman Marcus Group Ltd. | 590 | 388 | ||||||
Scientific Games International, Inc. | 440 | 438 | ||||||
Tenneco, Inc. | 900 | 800 | ||||||
Vista Outdoor, Inc. | 705 | 691 | ||||||
Weekley Homes LLC | 785 | 748 | ||||||
William Lyon Homes, Inc. | 940 | 907 | ||||||
|
| |||||||
22,727 | ||||||||
|
| |||||||
Consumer Staples—1.4% | ||||||||
Albertsons’s Cos LLC | 360 | 322 | ||||||
BAT Capital Corp. | 1,125 | 1,047 | ||||||
CVS Health Corp. | 1,065 | 1,054 | ||||||
Kronos Acquisition Holdings, Inc. | 825 | 778 | ||||||
Safeway, Inc. | 425 | 405 | ||||||
Sigma Finance Netherlands BV | 800 | 785 | ||||||
|
| |||||||
4,391 | ||||||||
|
| |||||||
Energy—9.4% | ||||||||
Afren plc | 464 | — | (9) | |||||
Alta Mesa Holdings LP | 385 | 366 | ||||||
American Midstream Partners LP | 295 | 295 | ||||||
Anadarko Finance Co. | 245 | 300 | ||||||
Anadarko Petroleum Corp. | 460 | 540 | ||||||
Blue Racer Midstream LLC | 860 | 876 | ||||||
Bristow Group, Inc. | 330 | 323 | ||||||
Callon Petroleum Co. | 708 | 720 | ||||||
CGG SA | 227 | 266 | ||||||
Cheniere Corpus Christi Holdings LLC | 515 | 564 |
See Notes to Financial Statements
55
Table of Contents
NEWFLEET MULTI-SECTOR INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
Cheniere Energy Partners LP | $ | 380 | $ | 383 | ||||
Chesapeake Energy Corp. | 715 | 729 | ||||||
Citgo Holding, Inc. | 565 | 599 | ||||||
Continental Resources, Inc. | 700 | 712 | ||||||
Denbury Resources, Inc. | 585 | 632 | ||||||
144A, 7.500%, 2/15/24(2) | 375 | 386 | ||||||
Encana Corp. | 330 | 422 | ||||||
Energy Transfer Equity LP | 720 | 758 | ||||||
EP Energy LLC | 315 | 260 | ||||||
144A, 8.000%, 11/29/24(2) | 445 | 448 | ||||||
144A, 7.750%, 5/15/26(2) | 465 | 476 | ||||||
Geopark Ltd. 144A | 760 | 764 | ||||||
HollyFrontier Corp. | 900 | 959 | ||||||
Jagged Peak Energy LLC 144A | 810 | 806 | ||||||
KazMunayGas National Co. JSC 144A | 1,165 | 1,167 | ||||||
Kinder Morgan, Inc. | 1,115 | 1,407 | ||||||
MPLX LP | 422 | 406 | ||||||
Nabors Industries, Inc. | ||||||||
5.500%, 1/15/23(16) | 710 | 697 | ||||||
144A, 5.750%, 2/1/25(2) | 175 | 168 | ||||||
Odebrecht Offshore Drilling Finance Ltd. PIK Interest Capitalization, 144A | 809 | 231 | ||||||
Odebrecht Oil & Gas Finance Ltd. 144A | 124 | 2 | ||||||
Petrobras Global Finance BV | 1,957 | 1,981 | ||||||
Petroleos de Venezuela S.A. 144A | 1,580 | 346 | ||||||
Petroleos Mexicanos | ||||||||
4.875%, 1/24/22 | 375 | 379 | ||||||
6.500%, 3/13/27 | 675 | 690 | ||||||
6.500%, 6/2/41 | 465 | 436 | ||||||
6.375%, 1/23/45 | 610 | 563 | ||||||
PTTEP Treasury Center Co., Ltd. 144A | 315 | 315 | ||||||
Range Resources Corp. | 970 | 918 | ||||||
Sabine Pass Liquefaction LLC | 320 | 310 | ||||||
Sanchez Energy Corp. 144A | 430 | 424 | ||||||
Seven Generations Energy Ltd. 144A | 725 | 705 | ||||||
Sinopec Group Overseas Development 2017 Ltd. 144A | 500 | 474 | ||||||
State Oil Co. of the Azerbaijan Republic RegS | 855 | 925 | ||||||
Sunoco LP | ||||||||
144A, 5.500%, 2/15/26(2) | 230 | 222 | ||||||
144A, 5.875%, 3/15/28(2) | 195 | 187 |
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
Targa Resources Partners LP 144A | $ | 815 | $ | 840 | ||||
Transocean, Inc. 144A, | ||||||||
9.000%, 7/15/23(2) | 345 | 375 | ||||||
6.800%, 3/15/38 | 210 | 182 | ||||||
Valero Energy Partners LP | 880 | 864 | ||||||
Vine Oil & Gas LP 144A | 655 | 640 | ||||||
Weatherford International Ltd. | 210 | 205 | ||||||
|
| |||||||
28,643 | ||||||||
|
| |||||||
Financials—10.9% | ||||||||
Acrisure LLC 144A | 895 | 834 | ||||||
AerCap Ireland Capital DAC | 975 | 894 | ||||||
Allstate Corp. (The) Series B | 845 | 870 | ||||||
Athene Holding Ltd. | 935 | 873 | ||||||
Australia & New Zealand Banking Group Ltd. 144A | 725 | 711 | ||||||
Aviation Capital Group LLC 144A | 1,005 | 917 | ||||||
Banco Bilbao Vizcaya Argentaria Bancomer S.A. | ||||||||
144A, 6.500%, 3/10/21(2) | 425 | 444 | ||||||
144A, 5.125%, 1/18/33(2) | 1,090 | 991 | ||||||
Banco de Bogota S.A. 144A | 530 | 552 | ||||||
Bank of America Corp. | 1,977 | 1,986 | ||||||
Bank of China Ltd. 144A | 875 | 892 | ||||||
Bank of Montreal | 529 | 494 | ||||||
Brighthouse Financial, Inc. | 1,155 | 1,025 | ||||||
BrightSphere Investment Group plc | 785 | 762 | ||||||
Capital One Financial Corp. | 1,030 | 961 | ||||||
Development Bank of Kazakhstan JSC 144A | 160,000 | KZT | 431 | |||||
Discover Bank | 865 | 856 | ||||||
Drawbridge Special Opportunities Fund LP 144A | 915 | 918 | ||||||
E*TRADE Financial Corp. | 1,035 | 1,035 | ||||||
Fairfax Financial Holdings Ltd. 144A | 1,000 | 988 | ||||||
FS Investment Corp. | ||||||||
4.250%, 1/15/20 | 525 | 525 | ||||||
4.750%, 5/15/22 | 200 | 199 | ||||||
Goldman Sachs Group, Inc. (The), (3 month | 845 | 846 | ||||||
Grupo de Inversiones Suramericana S.A. 144A | 725 | 741 | ||||||
ICAHN Enterprises LP | 645 | 647 | ||||||
ING Groep N.V. | 665 | 663 |
See Notes to Financial Statements
56
Table of Contents
NEWFLEET MULTI-SECTOR INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Financials—continued | ||||||||
Jefferies Financial Group, Inc. | $ | 575 | $ | 595 | ||||
Jefferies Group LLC | 360 | 354 | ||||||
Lincoln National Corp., (3 month LIBOR + 2.040%) | 300 | 276 | ||||||
Morgan Stanley | 850 | 791 | ||||||
Navient Corp. | ||||||||
7.250%, 9/25/23 | 160 | 170 | ||||||
6.750%, 6/25/25 | 580 | 584 | ||||||
Prudential Financial, Inc. | 485 | 513 | ||||||
Santander Holdings USA, Inc. | 700 | 669 | ||||||
Sberbank of Russia 144A | 450 | 448 | ||||||
Springleaf Finance Corp. | 420 | 419 | ||||||
Synchrony Financial | 1,685 | 1,527 | ||||||
Teachers Insurance & Annuity Association of America 144A | 740 | 736 | ||||||
Tempo Acquisition LLC 144A | 830 | 807 | ||||||
Toronto-Dominion Bank (The) | 910 | 855 | ||||||
Turkiye Vakiflar Bankasi TAO 144A | 510 | 443 | ||||||
Voya Financial, Inc. | 705 | 711 | ||||||
Wells Fargo & Co. Series S | 2,210 | 2,243 | ||||||
|
| |||||||
33,196 | ||||||||
|
| |||||||
Health Care—3.6% | ||||||||
Anthem, Inc. | 265 | 252 | ||||||
Avantor, Inc. | ||||||||
144A, 6.000%, 10/1/24(2) | 345 | 350 | ||||||
144A, 9.000%, 10/1/25(2) | 650 | 670 | ||||||
Bausch Health Cos., Inc. | ||||||||
144A, 7.500%, 7/15/21(2) | 115 | 117 | ||||||
144A, 6.500%, 3/15/22(2) | 70 | 73 | ||||||
144A, 7.000%, 3/15/24(2) | 75 | 79 | ||||||
144A, 6.125%, 4/15/25(2) | 325 | 309 | ||||||
144A, 5.500%, 11/1/25(2) | 835 | 834 | ||||||
144A, 9.250%, 4/1/26(2) | 220 | 237 | ||||||
Bayer US Finance II LLC 144A | 695 | 690 | ||||||
Centene Corp. 144A | 240 | 246 | ||||||
Concordia International Corp. | 119 | 116 | ||||||
DJO Finco, Inc. 144A | 290 | 296 | ||||||
Eagle Holding Co. II, LLC PIK Interest Capitalization, 144A | 380 | 385 | ||||||
Endo Finance LLC 144A | 520 | 458 | ||||||
Envision Healthcare Corp. 144A | 130 | 140 |
PAR VALUE | VALUE | |||||||
Health Care—continued | ||||||||
Halfmoon Parent, Inc. | ||||||||
144A, 4.125%, 11/15/25(2) | $ | 655 | $ | 653 | ||||
144A, 4.375%, 10/15/28(2) | 66 | 66 | ||||||
HCA, Inc. | 365 | 372 | ||||||
HLF Financing S.a.r.l. LLC 144A | 865 | 879 | ||||||
MPH Acquisition Holdings LLC 144A | 305 | 317 | ||||||
Mylan NV | 985 | 932 | ||||||
Ortho-Clinical Diagnostics, Inc. 144A | 350 | 342 | ||||||
Surgery Center Holdings, Inc. | ||||||||
144A, 8.875%, 4/15/21(2) | 475 | 495 | ||||||
144A, 6.750%, 7/1/25(2) | 155 | 148 | ||||||
Tenet Healthcare Corp. | ||||||||
8.125%, 4/1/22 | 175 | 185 | ||||||
7.000%, 8/1/25(16) | 650 | 642 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 510 | 424 | ||||||
West Street Merger Sub, Inc. 144A | 460 | 436 | ||||||
|
| |||||||
11,143 | ||||||||
|
| |||||||
Industrials—3.4% | ||||||||
Ashtead Capital, Inc. 144A | 1,090 | 1,035 | ||||||
Bombardier, Inc. 144A | 345 | 346 | ||||||
CNH Industrial N.V. | ||||||||
4.500%, 8/15/23 | 708 | 719 | ||||||
3.850%, 11/15/27 | 522 | 494 | ||||||
DP World Ltd. 144A | 400 | 458 | ||||||
Garda World Security Corp. 144A | 375 | 367 | ||||||
Hillman Group, Inc. (The) 144A | 300 | 270 | ||||||
Hulk Finance Corp. 144A | 730 | 705 | ||||||
Latam Finance Ltd. 144A | 395 | 384 | ||||||
New Enterprise Stone & Lime Co., Inc. 144A | 60 | 64 | ||||||
Oshkosh Corp. | 1,102 | 1,090 | ||||||
Pitney Bowes, Inc. | 939 | 870 | ||||||
Titan Acquisition Ltd. 144A | 495 | 429 | ||||||
Topaz Marine S.A. 144A | 665 | 682 | ||||||
TransDigm, Inc. | ||||||||
6.500%, 7/15/24 | 525 | 538 | ||||||
6.500%, 5/15/25 | 230 | 234 | ||||||
US Airways 2012-1 Class B Pass-Through Trust | 851 | 887 | ||||||
Wrangler Buyer Corp. 144A | 684 | 663 | ||||||
|
| |||||||
10,235 | ||||||||
|
|
See Notes to Financial Statements
57
Table of Contents
NEWFLEET MULTI-SECTOR INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Information Technology—2.3% | ||||||||
Arrow Electronics, Inc. | $ | 860 | $ | 801 | ||||
Banff Merger Sub, Inc. 144A | 95 | 96 | ||||||
Broadcom Corp. | 1,595 | 1,481 | ||||||
CDK Global, Inc. | 805 | 832 | ||||||
Citrix Systems, Inc. | 940 | 905 | ||||||
Dell International LLC | ||||||||
144A, 5.450%, 6/15/23(2) | 150 | 158 | ||||||
144A, 8.100%, 7/15/36(2) | 295 | 354 | ||||||
Everi Payments, Inc. 144A | 215 | 217 | ||||||
Exela Intermediate LLC 144A | 565 | 602 | ||||||
Radiate Holdco LLC | ||||||||
144A, 6.875%, 2/15/23(2) | 150 | 144 | ||||||
144A, 6.625%, 2/15/25(2)(16) | 745 | 697 | ||||||
VMware, Inc. | 636 | 601 | ||||||
|
| |||||||
6,888 | ||||||||
|
| |||||||
Materials—4.8% | ||||||||
Alpek SAB de C.V. 144A | 1,110 | 1,135 | ||||||
Anglo American Capital plc 144A | 1,200 | 1,105 | ||||||
ArcelorMittal | 870 | 945 | ||||||
BHP Billiton Finance USA Ltd. 144A | 1,015 | 1,113 | ||||||
Equate Petrochemical BV 144A | 765 | 752 | ||||||
Fibria Overseas Finance Ltd. | 1,297 | 1,202 | ||||||
FMG Resources August 2006 Pty Ltd. 144A | 540 | 534 | ||||||
Glencore Funding LLC 144A | 950 | 891 | ||||||
Hexion, Inc. | 520 | 489 | ||||||
INEOS Group Holdings S.A. 144A | 335 | 330 | ||||||
James Hardie International Finance DAC 144A | 740 | 699 | ||||||
Kraton Polymers LLC 144A | 495 | 509 | ||||||
NOVA Chemicals Corp. | ||||||||
144A, 4.875%, 6/1/24(2) | 275 | 265 | ||||||
144A, 5.000%, 5/1/25(2) | 610 | 580 | ||||||
Platform Specialty Products Corp. 144A | 795 | 784 | ||||||
PQ Corp. 144A | 270 | 268 | ||||||
Rusal Capital Designated Activity Co. 144A | 930 | 604 | ||||||
Schweitzer-Mauduit International, Inc. 144A | 310 | 316 | ||||||
Severstal OAO Via Steel Capital S.A. 144A | 275 | 282 |
PAR VALUE | VALUE | |||||||
Materials—continued | ||||||||
Syngenta Finance N.V. 144A | $ | 315 | $ | 313 | ||||
Teck Resources Ltd. 144A | 200 | 219 | ||||||
Trident Merger Sub, Inc. 144A | 510 | 483 | ||||||
United States Steel Corp. | 790 | 783 | ||||||
|
| |||||||
14,601 | ||||||||
|
| |||||||
Real Estate—1.7% | ||||||||
EPR Properties | 815 | 799 | ||||||
Healthcare Trust of America Holdings LP | 455 | 428 | ||||||
Hospitality Properties Trust | 925 | 906 | ||||||
LifeStorage LP | 385 | 362 | ||||||
MPT Operating Partnership LP | ||||||||
5.500%, 5/1/24 | 380 | 384 | ||||||
5.000%, 10/15/27 | 345 | 334 | ||||||
Physicians Realty LP | 790 | 760 | ||||||
Select Income REIT | 900 | 863 | ||||||
Welltower, Inc. | 259 | 256 | ||||||
|
| |||||||
5,092 | ||||||||
|
| |||||||
Telecommunication Services—3.1% | ||||||||
Altice Luxembourg S.A. 144A | 715 | 648 | ||||||
America Movil SAB de C.V. | 5,000 | MXN | 245 | |||||
AT&T, Inc. | ||||||||
(3 month LIBOR + 1.180%) 3.514%, 6/12/24(1) | 630 | 633 | ||||||
5.250%, 3/1/37 | 155 | 154 | ||||||
4.800%, 6/15/44 | 580 | 534 | ||||||
5.650%, 2/15/47 | 300 | 307 | ||||||
Cincinnati Bell, Inc. 144A | 875 | 803 | ||||||
Digicel Group Ltd. 144A | 430 | 328 | ||||||
Digicel Ltd. 144A | 570 | 475 | ||||||
Frontier Communications Corp. | ||||||||
8.500%, 4/15/20 | 290 | 293 | ||||||
7.625%, 4/15/24 | 830 | 535 | ||||||
144A, 8.500%, 4/1/26(2) | 280 | 265 | ||||||
Sprint Corp. | ||||||||
7.875%, 9/15/23 | 270 | 291 | ||||||
7.625%, 3/1/26 | 275 | 291 | ||||||
Sprint Spectrum Co. LLC 144A | 995 | 1,000 | ||||||
T-Mobile USA, Inc. | 840 | 801 | ||||||
Telenet Finance Luxembourg Notes S.a.r.l. 144A | 800 | 752 | ||||||
West Corp. 144A | 250 | 229 |
See Notes to Financial Statements
58
Table of Contents
NEWFLEET MULTI-SECTOR INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Telecommunication Services—continued | ||||||||
Windstream Services LLC | ||||||||
144A, 10.500%, 6/30/24(2) | $ | 365 | $ | 310 | ||||
144A, 8.625%, 10/31/25(2) | 635 | 610 | ||||||
|
| |||||||
9,504 | ||||||||
|
| |||||||
Utilities—1.0% | ||||||||
Enel Finance International NV 144A | 695 | 680 | ||||||
Eskom Holdings SOC Ltd. 144A | 600 | 576 | ||||||
Ferrellgas Partners LP | 155 | 147 | ||||||
Perusahaan Listrik Negara PT 144A | 1,000 | 936 | ||||||
TerraForm Power Operating LLC 144A | 665 | 619 | ||||||
Texas Competitive Electric Escrow Series A | 200 | — | ||||||
Texas Competitive Electric Holdings Co. 144A | 375 | — | (9) | |||||
Vistra Operations Co., LLC 144A | 105 | 106 | ||||||
|
| |||||||
3,064 | ||||||||
TOTAL CORPORATE BONDS AND NOTES (Identified Cost $154,338) | 149,484 | |||||||
LEVERAGED LOANS(1)—14.9% | ||||||||
Aerospace—0.3% | ||||||||
TransDigm, Inc. | ||||||||
Tranche F, (1 month LIBOR + 2.500%) | 847 | 850 | ||||||
Tranche E, (1 month LIBOR + 2.500%) | 219 | 220 | ||||||
|
| |||||||
1,070 | ||||||||
|
| |||||||
Chemicals—0.1% | ||||||||
New Arclin U.S. Holding Corp. First Lien, | 394 | 397 | ||||||
|
| |||||||
Consumer Durables—0.2% | ||||||||
Global Appliance, Inc. Tranche B, (1 month LIBOR + 4.000%) | 639 | 613 | ||||||
|
| |||||||
Consumer Non-Durables—0.8% | ||||||||
American Greetings Corp., (1 month LIBOR + 4.500%) | 854 | 857 | ||||||
Herbalife Nutrition Ltd. Tranche B, (1 month | 145 | 146 | ||||||
Kronos Acquisition Intermediate, Inc., (1 month | 324 | 323 | ||||||
Parfums Holdings Co., Inc. First Lien, (2 month | 356 | 357 | ||||||
Rodan & Fields LLC, | 713 | 719 | ||||||
(1 month PRIME + 3.000%) | 2 | 2 | ||||||
|
| |||||||
2,404 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Energy—0.7% | ||||||||
California Resources Corp., (1 month LIBOR + 10.375%) | $ | 420 | $ | 465 | ||||
Lotus Midstream LLC Tranche B, (3 month | 135 | 135 | ||||||
Medallion Midland Acquisition LLC, (1 month | 591 | 586 | ||||||
Moda Ingleside Energy Center LLC, (3 month | 50 | 50 | ||||||
Seadrill Operating LP, (3 month LIBOR + 6.000%) | 466 | 442 | ||||||
Traverse Midstream Partners LLC, (3 month | 570 | 574 | ||||||
|
| |||||||
2,252 | ||||||||
|
| |||||||
Financial—1.2% | ||||||||
Asurion LLC Tranche B-2, (1 month LIBOR + 6.500%) | 869 | 892 | ||||||
Blackhawk Network Holdings, Inc. First Lien, (3 month LIBOR + 3.000%) 5.386%, 6/15/25 | 439 | 441 | ||||||
Ditech Holding Corp. Tranche B, (1 month | 882 | 831 | ||||||
Financial & Risk US Holdings, Inc., (3 month | 460 | 459 | ||||||
FinCo I LLC 2018 Replacement, (1 month LIBOR + 2.000%) 4.242%, 12/27/22 | 167 | 168 | ||||||
Genworth Holdings, Inc., (1 month LIBOR + 4.500%) | 60 | 61 | ||||||
iStar, Inc., (1 month LIBOR + 2.750%) | 673 | 673 | ||||||
|
| |||||||
3,525 | ||||||||
|
| |||||||
Food and Drug—0.2% | ||||||||
Albertson’s LLC Tranche B-4, (1 month LIBOR + 2.750%) | 604 | 604 | ||||||
|
| |||||||
Food/Tobacco—0.2% | ||||||||
H-Food Holdings, LLC, (1 month LIBOR + 3.000%) | 110 | 109 | ||||||
Milk Specialties Co., (1 month LIBOR + 4.000%) | 549 | 549 | ||||||
|
| |||||||
658 | ||||||||
|
| |||||||
Forest Prod/Containers—0.1% | ||||||||
Spectrum Holdings III Corp. First Lien, (1 month LIBOR + 3.250%) | 281 | 278 | ||||||
|
| |||||||
Gaming/Leisure—0.6% | ||||||||
Affinity Gaming, (1 month LIBOR + 3.250%) | 509 | 506 | ||||||
Playa Resorts Holding B.V., (1 month LIBOR + 2.750%) | 493 | 489 | ||||||
Scientific Games International, Inc. Tranche B-5, | 338 | 338 | ||||||
Stars Group Holdings B.V., (3 month LIBOR + 3.500%) | 185 | 186 | ||||||
UFC Holdings LLC First Lien, (1 month LIBOR + 3.250%) | 390 | 392 | ||||||
|
| |||||||
1,911 | ||||||||
|
|
See Notes to Financial Statements
59
Table of Contents
NEWFLEET MULTI-SECTOR INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Healthcare—1.3% | ||||||||
21st Century Oncology, Inc. Tranche B, (3 month | $ | 158 | $ | 148 | ||||
AHP Health Partners, Inc., (1 month LIBOR + 4.500%) | 499 | 503 | ||||||
Auris LuxCo Tranche B, (3 month LIBOR + 3.750%) | 80 | 81 | ||||||
Bausch Health Cos., Inc., (1 month LIBOR + 3.000%) | 102 | 103 | ||||||
CCS-CMGC Holdings, Inc., (3 month LIBOR + 5.500%) | 435 | 435 | ||||||
CHG Healthcare Services, Inc. First Lien, (3 month | 570 | 573 | ||||||
Envision Healthcare Corp., (3 month LIBOR + 3.750%) | 641 | 637 | ||||||
Ortho-Clinical Diagnostics, Inc., (1 month | 485 | 487 | ||||||
Prospect Medical Holdings, Inc. Tranche B-1, (1 month LIBOR + 5.500%) 7.625%, 2/22/24 | 343 | 348 | ||||||
Quorum Health Corp., (1 month LIBOR + 6.750%) | 142 | 144 | ||||||
U.S. Renal Care, Inc. First Lien, (3 month | 375 | 365 | ||||||
|
| |||||||
3,824 | ||||||||
|
| |||||||
Housing—0.6% | ||||||||
84 Lumber Co. Tranche B-1, (1 month LIBOR + 5.250%) | 444 | 447 | ||||||
American Builders & Contractors Supply Co., Inc. Tranche B-2, (1 month LIBOR + 2.000%) | 520 | 518 | ||||||
Capital Automotive LP Tranche B, (1 month LIBOR + 6.000%) 8.250%, 3/24/25 | 238 | 243 | ||||||
CPG International LLC, (3 month LIBOR + 3.750%) | 567 | 571 | ||||||
|
| |||||||
1,779 | ||||||||
|
| |||||||
Information Technology—1.8% | ||||||||
Applied Systems, Inc. Second Lien, (3 month | 100 | 101 | ||||||
BMC Software Finance, Inc., (3 month LIBOR + 4.250%) | 785 | 792 | ||||||
Intralinks, Inc. First Lien, (1 month LIBOR + 4.000%) | 342 | 343 | ||||||
Kronos, Inc. | ||||||||
First Lien, (3 month LIBOR + 3.000%) | 1,025 | 1,030 | ||||||
Second Lien, (3 month LIBOR + 8.250%) | 193 | 197 | ||||||
Renaissance Holding Corp. First Lien, (1 month | 848 | 846 | ||||||
SS&C Technologies Holdings, Inc. | ||||||||
Tranche B-3, (1 month LIBOR + 2.250%) | 983 | 984 | ||||||
Tranche B-4, (1 month LIBOR + 2.250%) | 382 | 382 | ||||||
Vertafore, Inc. First Lien, (1 month LIBOR + 3.250%) | 750 | 753 | ||||||
|
| |||||||
5,428 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Manufacturing—1.0% | ||||||||
Accudyne Industries Borrower S.C.A., (1 month | $ | 624 | $ | 626 | ||||
Altra Industrial Motion Corp., (3 month LIBOR + 2.000%) | 80 | 80 | ||||||
CPI Acquisition, Inc. First Lien, (3 month LIBOR + 4.500%) | 1,049 | 695 | ||||||
Deliver Buyer, Inc., (3 month LIBOR + 5.000%) | 428 | 431 | ||||||
Filtration Group Corp., (1 month LIBOR + 3.000%) | 781 | 786 | ||||||
Hillman Group, Inc. (The), (1 month LIBOR + 3.500%) | 399 | 394 | ||||||
|
| |||||||
3,012 | ||||||||
|
| |||||||
Media/Telecom – Cable/Wireless Video—0.3% | ||||||||
Altice US Finance I Corp. 2017 Refinancing, (1 month LIBOR + 2.250%) | 532 | 531 | ||||||
Telenet Financing USD LLC, (1 month LIBOR + 2.250%) | 505 | 503 | ||||||
|
| |||||||
1,034 | ||||||||
|
| |||||||
Media/Telecom – Diversified Media—0.3% | ||||||||
Crown Finance US, Inc., (1 month LIBOR + 2.500%) | 955 | 954 | ||||||
|
| |||||||
Media/Telecom – Telecommunications—0.7% | ||||||||
CenturyLink, Inc. Tranche B, (1 month LIBOR + 2.750%) | 554 | 550 | ||||||
Securus Technologies Holdings, Inc. | ||||||||
(3 month LIBOR + 4.500%) 0.000%, 11/1/24(6)(15) | 140 | 140 | ||||||
First Lien, (1 month LIBOR + 4.500%) 6.742%, 11/1/24 | 405 | 406 | ||||||
Second Lien, (1 month LIBOR + 8.250%) | 390 | 390 | ||||||
TDC A/S Tranche B-2, (3 month LIBOR + 3.500%) | 279 | 282 | ||||||
West Corp. Tranche B-1, (1 month LIBOR + 3.500%) | 319 | 316 | ||||||
|
| |||||||
2,084 | ||||||||
|
| |||||||
Media/Telecom – Wireless Communications—0.0% | ||||||||
Digicel International Finance Ltd. Tranche B, (3 month LIBOR + 3.250%) | 99 | 94 | ||||||
|
| |||||||
Metals/Minerals—0.8% | ||||||||
Contura Energy, Inc., (2 month LIBOR + 5.000%) | 457 | 456 | ||||||
Covia Holdings Corp., (1 month LIBOR + 3.750%) | 673 | 635 | ||||||
Graftech International Ltd., (1 month LIBOR + 3.500%) | 1,205 | 1,212 | ||||||
|
| |||||||
2,303 | ||||||||
|
| |||||||
Retail—0.2% | ||||||||
Neiman Marcus Group Ltd. LLC, (1 month LIBOR + 3.250%) | 685 | 635 | ||||||
|
|
See Notes to Financial Statements
60
Table of Contents
NEWFLEET MULTI-SECTOR INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Service—2.7% | ||||||||
Advantage Sales & Marketing, Inc. Tranche B-2, First Lien, (1 month LIBOR + 3.250%) | $ | 430 | $ | 396 | ||||
Carlisle Food Service Products, Inc. | ||||||||
First Lien, (3 month LIBOR + 1.000%) | 14 | 14 | ||||||
First Lien, (1 month LIBOR + 3.000%) | 61 | 60 | ||||||
Hoya Midco LLC First Lien, (1 month LIBOR + 3.500%) | 666 | 662 | ||||||
Laureate Education, Inc., (1 month LIBOR + 3.500%) | 593 | 595 | ||||||
NAB Holdings LLC 2018 Refinancing, (3 month LIBOR + 3.000%) | 854 | 843 | ||||||
One Call Corp. First Lien, (1 month LIBOR + 5.250%) | 687 | 650 | ||||||
Pearl Intermediate Parent LLC First Lien, | ||||||||
(3 month LIBOR + 2.750%) 4.915%, 2/14/25 | 39 | 38 | ||||||
(3 month LIBOR + 1.000%) 1.000%, 2/14/25(15) | 101 | 100 | ||||||
First Lien, (1 month LIBOR + 2.750%) | 473 | 468 | ||||||
PI UK Holdco II Ltd. Tranche B-1, (1 month LIBOR + 3.500%) | 1,040 | 1,036 | ||||||
Red Ventures LLC First Lien, (1 month LIBOR + 4.000%) | 979 | 989 | ||||||
Sedgwick Claims Management Services, Inc. Second Lien, (1 month LIBOR + 5.750%) | 945 | 947 | ||||||
SSH Group Holdings, Inc. First Lien, (3 month LIBOR + 4.250%) | 445 | 449 | ||||||
St. George’s University Scholastic Services LLC | ||||||||
(3 month LIBOR + 3.500%) 3.500%, 7/17/25(15) | 91 | 92 | ||||||
(1 month LIBOR + 3.500%) 5.750%, 7/17/25 | 294 | 297 | ||||||
TKC Holdings, Inc. First Lien, (1 month LIBOR + 3.750%) | 473 | 473 | ||||||
|
| |||||||
8,109 | ||||||||
|
| |||||||
Utility—0.8% | ||||||||
APLP Holdings LP, (1 month LIBOR + 3.000%) | 487 | 489 | ||||||
Brookfield WEC Holdings, Inc. (Westinghouse Electric Co., LLC) | ||||||||
First Lien, (1 month LIBOR + 3.750%) | 570 | 577 | ||||||
Second Lien, (1 month LIBOR + 6.750%) | 330 | 335 | ||||||
Talen Energy Supply LLC, (1 month LIBOR + 4.000%) | 402 | 404 | ||||||
Vistra Operations Co., LLC | ||||||||
(1 month LIBOR + 2.000%) 4.242%, 8/4/23 | 319 | 319 | ||||||
(1 month LIBOR + 2.000%) 4.181%, 12/31/25 | 254 | 255 | ||||||
|
| |||||||
2,379 | ||||||||
TOTAL LEVERAGED LOANS (Identified Cost $45,612) | 45,347 |
SHARES | VALUE | |||||||
PREFERRED STOCKS—3.2% | ||||||||
Financials—2.7% | ||||||||
Citigroup, Inc. Series P, | 610 | (7) | $ | 615 | ||||
Huntington Bancshares, Inc. Series E, | 945 | (7) | 937 | |||||
JPMorgan Chase & Co. Series Z, 5.300% | 1,280 | (7) | 1,309 | |||||
KeyCorp Series D, 5.000% | 1,375 | (7) | 1,347 | |||||
M&T Bank Corp. Series F, 5.125% | 930 | (7) | 937 | |||||
MetLife, Inc. Series D, | 478 | (7) | 489 | |||||
PNC Financial Services Group, Inc. (The) | 965 | (7) | 963 | |||||
Series S, 5.000% | 775 | (7) | 772 | |||||
Zions Bancorp | 38,525 | 1,082 | ||||||
|
| |||||||
8,451 | ||||||||
|
| |||||||
Industrials—0.5% | ||||||||
General Electric Co. Series D, | 1,485 | (7) | 1,448 | |||||
TOTAL PREFERRED STOCKS (Identified Cost $9,759) | 9,899 | |||||||
COMMON STOCKS—0.0% | ||||||||
Consumer Discretionary—0.0% | ||||||||
Mark IV Industries(18) | 446 | 16 | ||||||
|
| |||||||
Energy—0.0% | ||||||||
Frontera Energy Corp. | 6,656 | 93 | ||||||
TOTAL COMMON STOCKS (Identified Cost $120) | 109 | |||||||
AFFILIATED MUTUAL FUND(13)—3.0% | ||||||||
Virtus Newfleet Credit Opportunities Fund Class R6 | 934,418 | 9,036 | ||||||
TOTAL AFFILIATED MUTUAL FUND (Identified Cost $9,341) | 9,036 | |||||||
RIGHTS—0.0% | ||||||||
Utilities—0.0% | ||||||||
Vistra Energy Corp.(18) | 6,252 | 5 | ||||||
TOTAL RIGHTS (Identified Cost $5) | 5 | |||||||
TOTAL LONG-TERM INVESTMENTS—99.2% | ||||||||
(Identified Cost $311,736) | 302,496 | (10) | ||||||
SECURITIES LENDING COLLATERAL—1.9% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%)(13)(17) | 5,808,122 | 5,808 | ||||||
TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $5,808) |
| 5,808 | ||||||
TOTAL INVESTMENTS—101.1% (Identified Cost $317,544) |
| 308,304 | ||||||
Other assets and liabilities, net—(1.1)% |
| (3,206 | ) | |||||
|
| |||||||
NET ASSETS—100.0% |
| $ | 305,098 | |||||
|
|
See Notes to Financial Statements
61
Table of Contents
NEWFLEET MULTI-SECTOR INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
Abbreviations:
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-Kind Security |
REIT | Real Estate Investment Trust |
Footnote Legend:
(1) | Variable rate security. Rate disclosed is as of September 30, 2018. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to a value of $128,188 or 42.0% of net assets. |
(3) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(4) | No contractual maturity date. |
(5) | Interest payments may be deferred. |
(6) | This loan will settle after September 30, 2018, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(7) | Value shown as par value. |
(8) | Security in default, no interest payments are being received during the bankruptcy proceedings. |
(9) | Amount is less than $500. |
(10) | All or a portion of the Fund’s assets have been segregated for delayed delivery securities. |
(11) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(12) | 100% of the income received was in cash. |
(13) | Shares of this fund are publicly offered, and its prospectus and annual reports are publicly available. |
(14) | This Note was issued for the sole purpose of funding a leveraged loan between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(15) | Represents the unfunded portion of security and commitment fee earned on this portion. |
(16) | All or a portion of security is on loan. |
(17) | Represents security purchased with cash collateral received for securities on loan. |
(18) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located at the end of the Schedule of Investments. |
Foreign Currencies:
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
IDR | Indonesian Rupiah |
KZT | Kazakhstani Tenge |
MXN | Mexican Peso |
RUB | Russian Ruble |
ZAR | South African Rand |
Country Weightings (Unaudited)† | ||||
United States (includes securities lending collateral) | 75 | % | ||
Canada | 3 | |||
Netherlands | 3 | |||
Luxembourg | 2 | |||
Mexico | 2 | |||
Cayman Islands | 1 | |||
Indonesia | 1 | |||
Other | 13 | |||
Total | 100 | % | ||
† % of total investments as of September 30, 2018. |
|
Security abbreviation definitions are located under the Key Investment Terms starting on page 4.
See Notes to Financial Statements
62
Table of Contents
NEWFLEET MULTI-SECTOR INTERMEDIATE BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Debt Securities: | ||||||||||||||||
Asset-Backed Securities | $ | 19,862 | $ | — | $ | 19,862 | $ | — | ||||||||
Corporate Bonds and Notes | 149,484 | — | 149,053 | 431 | ||||||||||||
Foreign Government Securities | 24,545 | — | 24,545 | — | ||||||||||||
Leveraged Loans | 45,347 | — | 45,347 | — | ||||||||||||
Mortgage-Backed Securities | 37,122 | — | 37,122 | — | ||||||||||||
Municipal Bonds | 449 | — | 449 | — | ||||||||||||
U.S. Government Securities | 6,638 | — | 6,638 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Common Stocks | 109 | 93 | — | 16 | ||||||||||||
Preferred Stocks | 9,899 | 1,082 | 8,817 | — | ||||||||||||
Rights | 5 | — | — | 5 | ||||||||||||
Affiliated Mutual Fund | 9,036 | 9,036 | — | — | ||||||||||||
Securities Lending Collateral | 5,808 | 5,808 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 308,304 | $ | 16,019 | $ | 291,833 | $ | 452 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers into or out of Level 3 related to securities held as of September 30, 2018.
Some of the Fund’s investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3 securities compared to total net assets is de minimis; therefore, the rollforward of Level 3 securities and assumptions are not shown for the year ended September 30, 2018.
See Notes to Financial Statements
63
Table of Contents
NEWFLEET SENIOR FLOATING RATE FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
MORTGAGE-BACKED SECURITIES—0.1% | ||||||||
Non-Agency—0.1% | ||||||||
Home Equity Loan Trust 2007-HSA3, AI4 | $ | 429 | $ | 429 | ||||
TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $430) | 429 | |||||||
CORPORATE BONDS AND NOTES—3.9% | ||||||||
Consumer Discretionary—0.3% | ||||||||
DISH DBS Corp. | 575 | 561 | ||||||
TRI Pointe Group, Inc. | 1,165 | 1,165 | ||||||
|
| |||||||
1,726 | ||||||||
|
| |||||||
Consumer Staples—0.2% | ||||||||
Dole Food Co., Inc. 144A | 855 | 834 | ||||||
|
| |||||||
Energy—1.0% | ||||||||
Alta Mesa Holdings LP | 765 | 727 | ||||||
Carrizo Oil & Gas, Inc. | 895 | 914 | ||||||
Chesapeake Energy Corp. | 905 | 946 | ||||||
Denbury Resources, Inc. | ||||||||
144A, 9.250%, 3/31/22(2) | 298 | 322 | ||||||
144A, 7.500%, 2/15/24(2) | 620 | 638 | ||||||
Energy Transfer Equity LP | 515 | 512 | ||||||
EP Energy LLC 144A | 835 | 841 | ||||||
Sunoco LP 144A | 295 | 292 | ||||||
|
| |||||||
5,192 | ||||||||
|
| |||||||
Financials—0.3% | ||||||||
iStar, Inc. | 280 | 276 | ||||||
Springleaf Finance Corp. | 1,105 | 1,136 | ||||||
|
| |||||||
1,412 | ||||||||
|
| |||||||
Health Care—0.7% | ||||||||
Bausch Health Cos., Inc. 144A | 925 | 923 | ||||||
Eagle Holding Co. II, LLC PIK Interest Capitalization, 144A | 385 | 390 | ||||||
Surgery Center Holdings, Inc. 144A | 435 | 453 | ||||||
Tenet Healthcare Corp. | 1,535 | 1,492 | ||||||
|
| |||||||
3,258 | ||||||||
|
| |||||||
Information Technology—0.5% | ||||||||
Exela Intermediate LLC 144A | 1,435 | 1,530 |
PAR VALUE | VALUE | |||||||
Information Technology—continued | ||||||||
First Data Corp. | ||||||||
144A, 5.000%, 1/15/24(2) | $ | 600 | $ | 603 | ||||
144A, 5.750%, 1/15/24(2) | 225 | 228 | ||||||
|
| |||||||
2,361 | ||||||||
|
| |||||||
Materials—0.7% | ||||||||
Ardagh Packaging Finance plc 144A | 785 | 771 | ||||||
BWAY Holding Co. 144A | 1,160 | 1,141 | ||||||
FMG Resources August 2006 Pty Ltd. 144A | 525 | 519 | ||||||
Hexion, Inc. | 645 | 606 | ||||||
NOVA Chemicals Corp. | ||||||||
144A, 4.875%, 6/1/24(2) | 290 | 279 | ||||||
144A, 5.000%, 5/1/25(2) | 185 | 176 | ||||||
|
| |||||||
3,492 | ||||||||
|
| |||||||
Telecommunication Services—0.2% | ||||||||
T-Mobile USA, Inc. | ||||||||
0.000%, 4/15/24(6) | 1,090 | — | ||||||
6.000%, 4/15/24 | 1,090 | 1,130 | ||||||
|
| |||||||
1,130 | ||||||||
|
| |||||||
Utilities—0.0% | ||||||||
Texas Competitive Electric Holdings Co. 144A | 9,165 | 7 | ||||||
TOTAL CORPORATE BONDS AND NOTES (Identified Cost $19,613) | 19,412 | |||||||
LEVERAGED LOANS(1)—101.8% | ||||||||
Aerospace—2.1% | ||||||||
American Airlines, Inc. | ||||||||
Tranche B, (1 month LIBOR + 2.000%) | 1,186 | 1,179 | ||||||
2018 Replacement, (1 month LIBOR + 1.750%) | 1,763 | 1,728 | ||||||
TransDigm, Inc. | ||||||||
Tranche F, (1 month LIBOR + 2.500%) | 6,526 | 6,548 | ||||||
Tranche G, (1 month LIBOR + 2.500%) | 1,007 | 1,010 | ||||||
Tranche E, (1 month LIBOR + 2.500%) | 234 | 235 | ||||||
|
| |||||||
10,700 | ||||||||
|
| |||||||
Chemicals—3.5% | ||||||||
Alpha 3 B.V. Tranche B-1, (3 month LIBOR + 3.000%) | 952 | 957 | ||||||
H.B. Fuller Co., (1 month LIBOR + 2.000%) | 1,209 | 1,207 | ||||||
Ineos U.S. Finance LLC, (1 month LIBOR + 2.000%) | 5,340 | 5,348 | ||||||
Kraton Polymers LLC, (1 month LIBOR + 2.500%) | 573 | 575 | ||||||
MacDermid, Inc. Tranche B-7, (1 month LIBOR + 2.500%) | 1,216 | 1,220 |
See Notes to Financial Statements
64
Table of Contents
NEWFLEET SENIOR FLOATING RATE FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Chemicals—continued | ||||||||
New Arclin U.S. Holding Corp. First Lien, (3 month LIBOR + 3.500%) | $ | 798 | $ | 804 | ||||
Omnova Solutions, Inc. Tranche B-2, (1 month LIBOR + 3.250%) | 2,461 | 2,461 | ||||||
Univar USA, Inc. Tranche B-3, (1 month LIBOR + 2.250%) | 2,694 | 2,699 | ||||||
Venator Materials Corp., (1 month LIBOR + 3.000%) | 2,312 | 2,318 | ||||||
|
| |||||||
17,589 | ||||||||
|
| |||||||
Consumer Durables—0.9% | ||||||||
Fluidra, S.A., (1 month LIBOR + 2.250%) | 1,332 | 1,338 | ||||||
Global Appliance, Inc. Tranche B, (1 month LIBOR + 4.000%) | 1,678 | 1,611 | ||||||
Serta Simmons Bedding LLC First Lien, (1 month LIBOR + 3.500%) | 1,688 | 1,522 | ||||||
|
| |||||||
4,471 | ||||||||
|
| |||||||
Consumer Non-Durables—3.7% | ||||||||
American Greetings Corp., (1 month LIBOR + 4.500%) | 898 | 901 | ||||||
Diamond (BC) B.V., (1 month LIBOR + 3.000%) | 1,772 | 1,736 | ||||||
Energizer Holdings, Inc. Tranche B, (3 month LIBOR + 2.250%) 0.000%, 6/20/25(4) | 855 | 858 | ||||||
Herbalife Nutrition Ltd. Tranche B, (1 month LIBOR + 3.250%) 5.492%, 8/18/25 | 680 | 686 | ||||||
Isagenix International LLC Senior Lien, (3 month LIBOR + 5.750%) 8.136%, 6/14/25 | 1,620 | 1,616 | ||||||
Kronos Acquisition Intermediate, Inc., (1 month LIBOR + 4.000%) 6.242%, 5/15/23 | 2,663 | 2,649 | ||||||
Libbey Glass, Inc., (1 month LIBOR + 3.000%) | 1,760 | 1,755 | ||||||
Parfums Holdings Co., Inc. First Lien, (2 month LIBOR + 4.250%) 6.529%, 6/30/24 | 1,590 | 1,596 | ||||||
Revlon Consumer Products Corp. Tranche B, (3 month LIBOR + 3.500%) 5.813%, 9/7/23 | 2,012 | 1,531 | ||||||
Rodan & Fields LLC, | 1,820 | 1,837 | ||||||
(1 month PRIME + 3.000%) | 5 | 5 | ||||||
SRAM LLC First Lien, (2 month LIBOR + 2.417%) | 2,058 | 2,068 | ||||||
Zep, Inc. First Lien, (3 month LIBOR + 2.550%) | 1,213 | 1,152 | ||||||
|
| |||||||
18,390 | ||||||||
|
| |||||||
Energy—3.5% | ||||||||
California Resources Corp., (1 month LIBOR + 4.750%) | 1,000 | 1,015 | ||||||
Fieldwood Energy LLC | ||||||||
First Lien,, (1 month LIBOR + 2.250%) 7.492%, 4/11/22 | 733 | 736 | ||||||
Second Lien,, (1 month LIBOR + 7.250%) | 989 | 958 |
PAR VALUE | VALUE | |||||||
Energy—continued | ||||||||
Gavilan Resources LLC Second Lien, (1 month LIBOR + 6.000%) 8.165%, 3/1/24 | $ | 790 | $ | 744 | ||||
Lotus Midstream LLC Tranche B, (3 month LIBOR + 3.250%) 0.000%, 9/26/25(4) | 410 | 411 | ||||||
McDermott International, Inc., (1 month LIBOR + 5.000%) 7.242%, 5/12/25 | 1,652 | 1,674 | ||||||
Medallion Midland Acquisition LLC, (1 month LIBOR + 3.250%) 5.492%, 10/30/24 | 1,695 | 1,682 | ||||||
Moda Ingleside Energy Center LLC, (3 month LIBOR + 3.250%) 0.000%, 9/29/25(4) | 265 | 266 | ||||||
MRC Global US, Inc. 2018 Refinancing, (1 month LIBOR + 3.000%) 5.242%, 9/20/24 | 1,702 | 1,713 | ||||||
Ocean Rig UDW, Inc., (3 month LIBOR + 8.000%) | 270 | 283 | ||||||
Paragon Offshore Finance Co., (1 month PRIME + 0.000%) 2.750%, 7/16/21(5)(6) | 11 | — | ||||||
Seadrill Operating LP, (3 month LIBOR + 6.000%) | 3,202 | 3,034 | ||||||
Traverse Midstream Partners LLC, (3 month LIBOR + 4.000%) | 1,930 | 1,943 | ||||||
Ultra Resources, Inc., (1 month LIBOR + 3.000%) | 1,175 | 1,056 | ||||||
Weatherford International Ltd., (1 month LIBOR + 1.425%) | 2,103 | 2,078 | ||||||
|
| |||||||
17,593 | ||||||||
|
| |||||||
Financial—3.7% | ||||||||
Asurion LLC | ||||||||
Tranche B-4, (1 month LIBOR + 3.000%) | 1,551 | 1,563 | ||||||
Tranche B-6, (1 month LIBOR + 3.000%) | 1,052 | 1,060 | ||||||
Tranche B-2, (1 month LIBOR + 6.500%) | 2,455 | 2,521 | ||||||
Blackhawk Network Holdings, Inc. First Lien, (3 month LIBOR + 3.000%) 5.386%, 6/15/25 | 1,626 | 1,635 | ||||||
Ditech Holding Corp. Tranche B, (1 month LIBOR + 6.000%) 8.242%, 6/30/22 | 3,475 | 3,277 | ||||||
Financial & Risk US Holdings, Inc., (3 month LIBOR + 3.750%) 0.000%, 10/1/25(4) | 2,610 | 2,603 | ||||||
FinCo I LLC 2018 Replacement, (1 month LIBOR + 2.000%) 4.242%, 12/27/22 | 1,092 | 1,097 | ||||||
Franklin Square Holdings LP, (1 month LIBOR + 2.500%) | 560 | 563 | ||||||
Genworth Holdings, Inc., (1 month LIBOR + 4.500%) | 259 | 265 | ||||||
iStar, Inc., (1 month LIBOR + 2.750%) | 1,841 | 1,841 | ||||||
Navistar Financial Corp., (1 month LIBOR + 3.750%) | 1,940 | 1,947 | ||||||
|
| |||||||
18,372 | ||||||||
|
| |||||||
Food and Drug—0.9% | ||||||||
Albertson’s LLC | ||||||||
Tranche B-4, (1 month LIBOR + 2.750%) | 2,672 | 2,674 | ||||||
Tranche B-5, (3 month LIBOR + 3.000%) | 1,999 | 2,000 | ||||||
|
| |||||||
4,674 | ||||||||
|
|
See Notes to Financial Statements
65
Table of Contents
NEWFLEET SENIOR FLOATING RATE FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Food/Tobacco—3.1% | ||||||||
Aramark Intermediate HoldCo Corp. Tranche B-3, (3 month LIBOR + 1.750%) | $ | 625 | $ | 626 | ||||
CHG PPC Parent LLC First Lien, (1 month LIBOR + 2.750%) | 200 | 200 | ||||||
Chobani LLC First Lien, (1 month LIBOR + 3.500%) | 1,443 | 1,407 | ||||||
Dole Food Co., Inc. | 2,692 | 2,690 | ||||||
Tranche B, (1 month LIBOR + 1.750%) 7.000%, 4/6/24 | 1 | 1 | ||||||
H-Food Holdings, LLC, (1 month LIBOR + 3.000%) | 1,362 | 1,356 | ||||||
Hostess Brands LLC 2017 Refinancing, Tranche B, (1 month LIBOR + 2.250%) | 2,670 | 2,670 | ||||||
JBS USA Lux S.A., (3 month LIBOR + 2.500%) | 2,679 | 2,685 | ||||||
Milk Specialties Co., (1 month LIBOR + 4.000%) | 1,156 | 1,157 | ||||||
Sigma Holdco B.V. Tranche B-2, (1 month LIBOR + 3.000%) 5.321%, 7/2/25 | 1,505 | 1,505 | ||||||
US Foods, Inc., (1 month LIBOR + 2.000%) | 1,437 | 1,442 | ||||||
|
| |||||||
15,739 | ||||||||
|
| |||||||
Forest Prod/Containers—4.2% | ||||||||
Anchor Glass Container Corp. | ||||||||
First Lien, (1 month LIBOR + 2.750%) 4.994%, 12/7/23 | 990 | 889 | ||||||
Second Lien, (1 month LIBOR + 7.750%) 9.908%, 12/7/24 | 1,358 | 891 | ||||||
Berlin Packaging LLC First Lien, (1 month LIBOR + 3.000%) 5.160%, 11/7/25 | 1,441 | 1,441 | ||||||
Berry Global, Inc. | ||||||||
Tranche S, (2 month LIBOR + 1.750%) 3.936%, 2/8/20 | 2,656 | 2,656 | ||||||
Tranche T, (2 month LIBOR + 1.750%) 3.936%, 1/6/21 | 1,843 | 1,842 | ||||||
Tranche Q, (2 month LIBOR + 2.000%) 4.186%, 10/1/22 | 514 | 515 | ||||||
Tranche R, (2 month LIBOR + 2.000%) 4.186%, 1/19/24 | 271 | 271 | ||||||
BWAY Corp., (3 month LIBOR + 3.250%) | 1,317 | 1,315 | ||||||
Klockner Pentaplast of America, Inc., (1 month LIBOR + 4.250%) 6.492%, 6/30/22 | 3,089 | 3,000 | ||||||
Reynolds Group Holdings, Inc., (1 month LIBOR + 2.750%) 4.992%, 2/5/23 | 4,147 | 4,165 | ||||||
Spectrum Holdings III Corp. First Lien, (1 month LIBOR + 3.250%) 5.492%, 1/31/25 | 1,177 | 1,166 | ||||||
Tricorbraun Holding, Inc. | ||||||||
First Lien, (3 month LIBOR +3.750%) | 179 | 180 | ||||||
First Lien, (3 month LIBOR + 3.750%) | 1,776 | 1,783 | ||||||
Trident TPI Holdings, Inc. Tranche B-1, (1 month LIBOR + 3.250%) 5.492%, 10/17/24 | 1,173 | 1,167 | ||||||
|
| |||||||
21,281 | ||||||||
|
| |||||||
Gaming/Leisure—7.4% | ||||||||
Affinity Gaming, (1 month LIBOR + 3.250%) | 1,536 | 1,528 | ||||||
Aristocrat Leisure Ltd. Tranche B-3, (3 month LIBOR + 1.750%) 4.098%, 10/19/24 | 1,640 | 1,638 |
PAR VALUE | VALUE | |||||||
Gaming/Leisure—continued | ||||||||
Caesars Resort Collection LLC Tranche B, (1 month LIBOR + 2.750%) 4.992%, 12/23/24 | $ | 4,791 | $ | 4,816 | ||||
CBAC Borrower LLC Tranche B, (1 month LIBOR + 4.000%) 6.242%, 7/8/24 | 1,089 | 1,091 | ||||||
CityCenter Holdings LLC Tranche B, (1 month LIBOR + 2.250%) 4.492%, 4/18/24 | 3,028 | 3,030 | ||||||
Eldorado Resorts, Inc., (2 month LIBOR + 2.250%) | 1,211 | 1,216 | ||||||
Everi Payments, Inc. Tranche B, (1 month LIBOR + 3.000%) 5.242%, 5/9/24 | 1,807 | 1,817 | ||||||
Gateway Casinos & Entertainment Ltd., (3 month LIBOR + 3.000%) 5.386%, 12/1/23 | 1,212 | 1,217 | ||||||
Golden Nugget, Inc. Tranche B, (1 month LIBOR + 2.750%) 4.952%, 10/4/23 | 1,448 | 1,453 | ||||||
GVC Holdings plc Tranche B-2, (1 month LIBOR + 2.500%) 4.742%, 3/29/24 | 1,438 | 1,442 | ||||||
Hilton Worldwide Finance LLC Tranche B-2, (1 month LIBOR + 1.750%) 3.966%, 10/25/23 | 4,073 | 4,091 | ||||||
MGM Growth Properties Operating Partnership LP | 2,458 | 2,460 | ||||||
Playa Resorts Holding B.V., (1 month LIBOR + 2.750%) | 3,255 | 3,229 | ||||||
Scientific Games International, Inc. Tranche B-5, (2 month LIBOR + 2.750%) | 2,283 | 2,279 | ||||||
Stars Group Holdings B.V., (3 month LIBOR + 3.500%) | 559 | 563 | ||||||
Station Casinos LLC Tranche B, (1 month LIBOR + 2.500%) | 2,451 | 2,460 | ||||||
UFC Holdings LLC First Lien, (1 month LIBOR + 3.250%) | 2,397 | 2,410 | ||||||
Wyndham Hotels & Resorts, Inc. Tranche B, (1 month LIBOR + 1.750%) | 430 | 431 | ||||||
|
| |||||||
37,171 | ||||||||
|
| |||||||
Healthcare—11.9% | ||||||||
21st Century Oncology, Inc. Tranche B, (3 month LIBOR + 6.125%) 8.465%, 1/16/23 | 1,323 | 1,244 | ||||||
Acadia Healthcare Co., Inc. . Tranche B-4, (1 month LIBOR + 2.500%) 4.742%, 2/16/23 | 1,981 | 1,993 | ||||||
AHP Health Partners, Inc., (1 month LIBOR + 4.500%) | 1,636 | 1,652 | ||||||
Amneal Pharmaceuticals LLC, (1 month LIBOR + 3.500%) 5.750%, 5/4/25 | 1,815 | 1,830 | ||||||
Auris LuxCo Tranche B, (3 month LIBOR + 3.750%) | 260 | 263 | ||||||
Avantor Performance Materials Holdings, Inc., (1 month LIBOR + 4.000%) 6.242%, 11/21/24 | 1,861 | 1,883 | ||||||
Bausch Health Cos., Inc., (1 month LIBOR + 3.000%) | 3,501 | 3,517 | ||||||
Catalent Pharma Solution, Inc., (1 month LIBOR + 2.250%) 4.492%, 5/20/24 | 760 | 765 | ||||||
CCS-CMGC Holdings, Inc., (3 month LIBOR + 5.500%) | 1,200 | 1,200 | ||||||
Change Healthcare Holdings, Inc., (1 month LIBOR + 2.750%) 4.992%, 3/1/24 | 2,667 | 2,675 | ||||||
CHG Healthcare Services, Inc. First Lien, (3 month LIBOR + 3.000%) 5.306%, 6/7/23 | 955 | 961 | ||||||
Community Health Systems, Inc. Tranche H, (3 month LIBOR + 3.250%) 5.563%, 1/27/21 | 2,132 | 2,103 |
See Notes to Financial Statements
66
Table of Contents
NEWFLEET SENIOR FLOATING RATE FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Healthcare—continued | ||||||||
Concordia International Corp., (1 month LIBOR + 5.500%) 7.620%, 9/6/24 | $ | 750 | $ | 732 | ||||
CryoLife, Inc., (3 month LIBOR + 4.000%) | 779 | 787 | ||||||
Endo Luxembourg Finance Co. S.a.r.l., (1 month LIBOR + 4.250%) 6.500%, 4/29/24 | 2,029 | 2,042 | ||||||
Envision Healthcare Corp. | ||||||||
(1 month LIBOR + 3.000%) 5.250%, 12/1/23 | 997 | 996 | ||||||
(3 month LIBOR + 3.750%) 0.000%, 10/1/25(4) | 5,537 | 5,502 | ||||||
Explorer Holdings, Inc., (3 month LIBOR + 3.750%) | 425 | 427 | ||||||
Greatbatch Ltd. Tranche B, (1 month LIBOR + 3.000%) | 539 | 542 | ||||||
Heartland Dental LLC | ||||||||
(3 month LIBOR + 3.750%) 3.750%, 4/30/25(7) | 226 | 226 | ||||||
(1 month LIBOR + 3.750%) 5.992%, 4/30/25 | 1,502 | 1,502 | ||||||
Immucor, Inc. Tranche B-3, (3 month LIBOR + 5.000%) | 173 | 175 | ||||||
Iqvia, Inc. | ||||||||
Tranche B-1, (3 month LIBOR + 2.000%) | 913 | 915 | ||||||
Tranche B-2, (3 month LIBOR + 2.000%) | 104 | 104 | ||||||
Tranche B-3, (3 month LIBOR + 1.750%) | 2,115 | 2,113 | ||||||
Jaguar Holding Co. II, (1 month LIBOR + 2.500%) | 3,027 | 3,029 | ||||||
MedPlast Holdings, Inc. First Lien, (3 month LIBOR + 3.750%) 6.087%, 7/2/25 | 495 | 501 | ||||||
NVA Holdings, Inc. Tranche B-3, (1 month LIBOR + 2.750%) 4.992%, 2/2/25 | 1,741 | 1,735 | ||||||
Ortho-Clinical Diagnostics, Inc., (1 month LIBOR + 3.250%) 5.492%, 6/30/25 | 3,075 | 3,085 | ||||||
Parexel International Corp., (1 month LIBOR + 2.750%) | 1,807 | 1,794 | ||||||
PharMerica Corp. First Lien, (1 month LIBOR + 3.500%) | 1,303 | 1,312 | ||||||
Prospect Medical Holdings, Inc. Tranche B-1, (1 month LIBOR + 5.500%) 7.625%, 2/22/24 | 796 | 806 | ||||||
Quorum Health Corp., (1 month LIBOR + 6.750%) | 864 | 876 | ||||||
Select Medical Corp. | 1,491 | 1,500 | ||||||
Tranche B, (1 month PRIME + 1.750%) 7.000%, 3/1/21 | 1 | 1 | ||||||
Sterigenics-Nordion, (1 month LIBOR + 3.000%) | 2,174 | 2,176 | ||||||
Surgery Partners LLC, (3 month LIBOR + 3.250%) | 2,866 | 2,865 | ||||||
Syneos Health, Inc. Tranche B, (1 month LIBOR + 2.000%) 4.242%, 8/1/24 | 1,001 | 1,002 | ||||||
Team Health Holdings, Inc., (1 month LIBOR + 2.750%) | 1,056 | 1,025 | ||||||
U.S. Renal Care, Inc. First Lien, (3 month LIBOR + 4.250%) 6.636%, 12/30/22 | 1,782 | 1,735 | ||||||
|
| |||||||
59,591 | ||||||||
|
| |||||||
Housing—4.9% | ||||||||
84 Lumber Co. Tranche B-1, (1 month LIBOR + 5.250%) | 1,960 | 1,974 | ||||||
American Builders & Contractors Supply Co., Inc. | 3,487 | 3,476 |
PAR VALUE | VALUE | |||||||
Housing—continued | ||||||||
Beacon Roofing Supply, Inc., (1 month LIBOR + 2.250%) | $ | 627 | $ | 625 | ||||
Capital Automotive LP | ||||||||
Tranche B-2, (1 month LIBOR + 2.500%) | 513 | 513 | ||||||
Tranche B, (1 month LIBOR + 6.000%) 8.250%, 3/24/25 | 1,405 | 1,434 | ||||||
CPG International LLC, (3 month LIBOR + 3.750%) | 4,564 | 4,596 | ||||||
HD Supply, Inc. | ||||||||
Tranche B-3, (1 month LIBOR + 2.250%) | 1,852 | 1,867 | ||||||
Tranche B-4, (1 month LIBOR + 2.500%) | 657 | 663 | ||||||
Quikrete Holdings, Inc. First Lien, (1 month LIBOR + 2.750%) 4.992%, 11/15/23 | 2,487 | 2,491 | ||||||
Realogy Group LLC, (1 month LIBOR + 2.250%) | 2,207 | 2,211 | ||||||
Siteone Landscape Supply, Inc. Tranche E, (1 month LIBOR + 2.750%) 4.890%, 10/29/24 | 1,761 | 1,766 | ||||||
Summit Materials LLC, (1 month LIBOR + 2.000%) | 3,037 | 3,041 | ||||||
|
| |||||||
24,657 | ||||||||
|
| |||||||
Information Technology—7.7% | ||||||||
Applied Systems, Inc. | ||||||||
First Lien, (3 month LIBOR + 3.000%) | 282 | 283 | ||||||
Second Lien, (3 month LIBOR + 7.000%) | 320 | 325 | ||||||
Blackboard, Inc. Tranche B-4, (3 month LIBOR + 5.000%) 7.333%, 6/30/21 | 1,921 | 1,848 | ||||||
BMC Software Finance, Inc. | ||||||||
Tranche B-2, (1 month LIBOR + 3.250%) | 2,762 | 2,789 | ||||||
(3 month LIBOR + 4.250%) 0.000%, 10/2/25(4) | 3,930 | 3,967 | ||||||
Dell International LLC Tranche B, (1 month LIBOR + 2.000%) 4.250%, 9/7/23 | 3,419 | 3,426 | ||||||
Go Daddy Operating Co. LLC Tranche B-1, (1 month LIBOR + 2.250%) 4.492%, 2/15/24 | 1,958 | 1,965 | ||||||
Infor U.S., Inc. Tranche B-6, (3 month LIBOR + 2.750%) | 2,141 | 2,146 | ||||||
Intralinks, Inc. First Lien, (1 month LIBOR + 4.000%) | 1,532 | 1,535 | ||||||
Kronos, Inc. | ||||||||
First Lien, (3 month LIBOR + 3.000%) | 3,777 | 3,794 | ||||||
Second Lien, (3 month LIBOR + 8.250%) | 965 | 985 | ||||||
Presidio Holdings, Inc. Tranche B, (3 month LIBOR + 2.750%) 5.086%, 2/2/24 | 1,272 | 1,274 | ||||||
Rackspace Hosting, Inc. Tranche B, (3 month LIBOR + 3.000%) 5.348%, 11/3/23 | 2,080 | 2,051 | ||||||
Sorenson Communications LLC First Lien, (3 month LIBOR + 5.750%) 8.140%, 4/30/20 | 153 | 153 | ||||||
SS&C Technologies Holdings, Inc. | ||||||||
Tranche B-5, (3 month LIBOR + 2.250%) | 520 | 520 | ||||||
Tranche B-3, (1 month LIBOR + 2.250%) | 3,406 | 3,408 | ||||||
Tranche B-4, (1 month LIBOR + 2.250%) | 1,322 | 1,323 | ||||||
Vertafore, Inc. First Lien, (1 month LIBOR + 3.250%) | 4,730 | 4,749 |
See Notes to Financial Statements
67
Table of Contents
NEWFLEET SENIOR FLOATING RATE FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Information Technology—continued | ||||||||
Western Digital Corp. Tranche B-4, (1 month LIBOR + 1.750%) 3.992%, 4/29/23 | $ | 1,923 | $ | 1,925 | ||||
|
| |||||||
38,466 | ||||||||
|
| |||||||
Manufacturing—5.0% | ||||||||
Accudyne Industries Borrower S.C.A., (1 month LIBOR + 3.000%) 5.242%, 8/18/24 | 1,083 | 1,087 | ||||||
Altra Industrial Motion Corp., (3 month LIBOR + 2.000%) | 470 | 471 | ||||||
Brand Energy & Infrastructure Services, Inc., (3 month LIBOR + 4.250%) 6.596%, 6/21/24 | 2,331 | 2,344 | ||||||
Circor International, Inc., (1 month LIBOR + 3.500%) | 1,886 | 1,893 | ||||||
CPI Acquisition, Inc. First Lien, (3 month LIBOR + 4.500%) 6.839%, 8/17/22 | 3,967 | 2,627 | ||||||
Deliver Buyer, Inc., (3 month LIBOR + 5.000%) | 1,328 | 1,337 | ||||||
Filtration Group Corp., (1 month LIBOR + 3.000%) | 871 | 876 | ||||||
Gardner Denver, Inc. Tranche B-1, (1 month LIBOR + 2.750%) 4.992%, 7/30/24 | 2,529 | 2,542 | ||||||
Gates Global LLC Tranche B-2, (1 month LIBOR + 2.750%) 4.992%, 4/1/24 | 2,142 | 2,154 | ||||||
Hillman Group, Inc. (The), (1 month LIBOR + 3.500%) | 1,596 | 1,577 | ||||||
NN, Inc. | ||||||||
(1 month LIBOR + 3.250%) 5.492%, 4/2/21 | 940 | 941 | ||||||
Tranche B, (1 month LIBOR + 3.750%) | 1,414 | 1,418 | ||||||
Paladin Brands Holding, Inc., (3 month LIBOR + 5.500%) | 931 | 931 | ||||||
Pro Mach Group, Inc. First Lien, (1 month LIBOR + 3.000%) 5.133%, 3/7/25 | 284 | 283 | ||||||
RBS Global, Inc. (Rexnord LLC), (1 month LIBOR + 2.000%) 4.242%, 8/21/24 | 1,172 | 1,178 | ||||||
Thermon Industries, Inc. Tranche B, (1 month LIBOR + 3.750%) 5.854%, 10/30/24 | 252 | 253 | ||||||
Titan Acquisition Ltd., (1 month LIBOR + 3.000%) | 1,582 | 1,536 | ||||||
U.S. Farathane LLC Tranche B-4, (3 month LIBOR + 3.500%) 5.886%, 12/23/21 | 1,673 | 1,680 | ||||||
|
| |||||||
25,128 | ||||||||
|
| |||||||
Media/Telecom – Broadcasting—3.1% | ||||||||
iHeartCommunications, Inc. Tranche D, (1 month LIBOR + 6.750%) 8.992%, 1/30/19(5) | 4,288 | 3,211 | ||||||
Sinclair Television Group, Inc. Tranche B, (1 month LIBOR + 2.250%) 4.500%, 1/3/24 | 2,457 | 2,463 | ||||||
Tribune Media Co. | ||||||||
Tranche B, (1 month LIBOR + 3.000%) | 158 | 159 | ||||||
Tranche C, (1 month LIBOR + 3.000%) | 1,975 | 1,981 | ||||||
Univision Communications, Inc. 2017 Replacement, First Lien, (1 month LIBOR + 2.750%) | 8,206 | 7,974 | ||||||
|
| |||||||
15,788 | ||||||||
|
| |||||||
Media/Telecom – Cable/Wireless Video—5.1% | ||||||||
Altice US Finance I Corp. 2017 Refinancing, (1 month LIBOR + 2.250%) 4.492%, 7/28/25 | 1,649 | 1,647 |
PAR VALUE | VALUE | |||||||
Media/Telecom – Cable/Wireless Video—continued | ||||||||
Charter Communications Operating LLC Tranche B, (1 month LIBOR + 2.000%) 4.250%, 4/30/25 | $ | 7,131 | $ | 7,140 | ||||
CSC Holdings LLC | ||||||||
2017 Refinancing, (1 month LIBOR + 2.250%) | 3,279 | 3,278 | ||||||
(1 month LIBOR + 2.500%) 4.658%, 1/25/26 | 349 | 350 | ||||||
MCC Iowa LLC Tranche M, (weekly LIBOR + 2.000%) | 1,594 | 1,592 | ||||||
Mediacom Illinois LLC Tranche N, (weekly LIBOR + 1.750%) 3.920%, 2/15/24 | 2,261 | 2,253 | ||||||
Radiate Holdco LLC, (1 month LIBOR + 3.000%) | 2,282 | 2,278 | ||||||
Telenet Financing USD LLC, (1 month LIBOR + 2.250%) | 1,915 | 1,906 | ||||||
UPC Financing Partnership Tranche A-R, (1 month LIBOR + 2.500%) 4.658%, 1/15/26 | 1,866 | 1,864 | ||||||
Virgin Media Bristol LLC Tranche K, (1 month LIBOR + 2.500%) 4.658%, 1/15/26 | 1,570 | 1,572 | ||||||
Ziggo Secured Finance Partnership Tranche E, (1 month LIBOR + 2.500%) 4.658%, 4/15/25 | 1,845 | 1,811 | ||||||
|
| |||||||
25,691 | ||||||||
|
| |||||||
Media/Telecom – Diversified Media—2.1% | ||||||||
CDS US Intermediate Holdings, Inc. Tranche B, (3 month LIBOR + 3.750%) 6.136%, 7/8/22 | 1,654 | 1,622 | ||||||
Crown Finance US, Inc., (1 month LIBOR + 2.500%) | 876 | 874 | ||||||
Formula One Management Ltd. Tranche B-3, (1 month LIBOR + 2.500%) 4.742%, 2/1/24 | 2,793 | 2,770 | ||||||
Fort Dearborn Holding Co., Inc. | 1,783 | 1,675 | ||||||
First Lien, (3 month LIBOR + 4.000%) 6.104%, 10/19/23 | 5 | 5 | ||||||
McGraw-Hill Global Education Holdings LLC Tranche B, (1 month LIBOR + 4.000%) | 2,668 | 2,587 | ||||||
Meredith Corp., (1 month LIBOR + 3.000%) | 1,055 | 1,061 | ||||||
|
| |||||||
10,594 | ||||||||
|
| |||||||
Media/Telecom – Telecommunications—6.1% | ||||||||
Altice Financing S.A. 2017 Refinancing, (1 month LIBOR + 2.750%) 4.908%, 7/15/25 | 2,108 | 2,066 | ||||||
Altice France SA, (1 month LIBOR + 4.000%) | 650 | 644 | ||||||
CenturyLink, Inc. Tranche B, (1 month LIBOR + 2.750%) | 3,032 | 3,010 | ||||||
Communications Sales & Leasing, Inc., (1 month LIBOR + 3.000%) 5.242%, 10/24/22 | 2,200 | 2,103 | ||||||
Frontier Communications Corp. Tranche B-1, (1 month LIBOR + 3.750%) 6.000%, 6/15/24 | 3,362 | 3,290 | ||||||
Global Tel*Link Corp. First Lien, (3 month LIBOR + 4.000%) 6.386%, 5/23/20 | 1,990 | 2,000 | ||||||
Level 3 Financing, Inc. Tranche B, (1 month LIBOR + 2.250%) 4.432%, 2/22/24 | 7,637 | 7,657 | ||||||
Neustar, Inc. | ||||||||
First Lien, (1 month LIBOR + 2.500%) 4.742%, 1/8/20 | 187 | 187 | ||||||
First Lien, (1 month LIBOR + 3.500%) 5.742%, 8/8/24 | 1,193 | 1,194 | ||||||
Numericable U.S. LLC, (1 month LIBOR + 3.688%) | 548 | 541 | ||||||
Securus Technologies Holdings, Inc. | ||||||||
(3 month LIBOR + 4.500%) 0.000%, 11/1/24(4)(7) | 212 | 212 | ||||||
First Lien, (1 month LIBOR + 4.500%) 6.742%, 11/1/24 | 1,911 | 1,913 |
See Notes to Financial Statements
68
Table of Contents
NEWFLEET SENIOR FLOATING RATE FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Media/Telecom – Telecommunications—continued | ||||||||
Second Lien, (1 month LIBOR + 8.250%) | $ | 740 | $ | 739 | ||||
SFR Group S.A. Tranche B-11, (1 month LIBOR + 2.750%) 4.992%, 7/31/25 | 2,254 | 2,197 | ||||||
TDC A/S Tranche B-2, (3 month LIBOR + 3.500%) | 1,362 | 1,375 | ||||||
West Corp. | ||||||||
Tranche B-1, (1 month LIBOR + 3.500%) | 464 | 459 | ||||||
Tranche B, (1 month LIBOR + 4.000%) | 1,069 | 1,065 | ||||||
|
| |||||||
30,652 | ||||||||
|
| |||||||
Media/Telecom – Wireless Communications—1.2% | ||||||||
Digicel International Finance Ltd. Tranche B, (3 month LIBOR + 3.250%) 5.570%, 5/27/24 | 728 | 689 | ||||||
SBA Senior Finance II LLC, (1 month LIBOR + 2.000%) | 2,839 | 2,841 | ||||||
Sprint Communications, Inc., (1 month LIBOR + 2.500%) | 2,325 | 2,330 | ||||||
|
| |||||||
5,860 | ||||||||
|
| |||||||
Metals/Minerals—1.1% | ||||||||
Contura Energy, Inc., (2 month LIBOR + 5.000%) | 1,746 | 1,742 | ||||||
Covia Holdings Corp., (1 month LIBOR + 3.750%) | 1,621 | 1,529 | ||||||
Graftech International Ltd., (1 month LIBOR + 3.500%) | 2,350 | 2,365 | ||||||
|
| |||||||
5,636 | ||||||||
|
| |||||||
Retail—2.2% | ||||||||
Bass Pro Group LLC, (1 month LIBOR + 5.000%) | 2,213 | 2,234 | ||||||
Leslie’s Poolmart, Inc. Tranche B-2, (2 month LIBOR + 3.500%) 5.695%, 8/16/23 | 1,533 | 1,532 | ||||||
Michaels Stores, Inc. 2018 Replacement Tranche B, (1 month LIBOR + 2.500%) | 2,087 | 2,072 | ||||||
Neiman Marcus Group Ltd. LLC, (1 month LIBOR + 3.250%) 5.370%, 10/25/20 | 3,337 | 3,096 | ||||||
PetSmart, Inc. Tranche B-2, (1 month LIBOR + 3.000%) | 2,400 | 2,090 | ||||||
|
| |||||||
11,024 | ||||||||
|
| |||||||
Service—11.7% | ||||||||
Advantage Sales & Marketing, Inc. | ||||||||
First Lien, (1 month LIBOR + 3.250%) 5.492%, 7/23/21 | 556 | 514 | ||||||
Tranche B-2, First Lien, (1 month LIBOR + 3.250%) 5.492%, 7/23/21 | 1,102 | 1,014 | ||||||
AlixPartners LLP 2017 Refinancing, (1 month LIBOR + 2.750%) 4.992%, 4/4/24 | 2,694 | 2,705 | ||||||
Carlisle Food Service Products, Inc. | ||||||||
First Lien, (3 month LIBOR + 1.000%) | 62 | 61 | ||||||
First Lien, (1 month LIBOR + 3.000%) 5.212%, 3/20/25 | 272 | 270 | ||||||
CEVA Logistics Finance Tranche B, (3 month LIBOR + 3.750%) 6.136%, 8/4/25 | 1,215 | 1,220 | ||||||
Crossmark Holdings, Inc. | ||||||||
First Lien, (3 month LIBOR + 3.500%) 5.886%, 12/20/19 | 1,907 | 1,079 |
PAR VALUE | VALUE | |||||||
Service—continued | ||||||||
Second Lien, (3 month LIBOR + 7.500%) 9.886%, 12/21/20 | $ | 520 | $ | 45 | ||||
First Data Corp. | ||||||||
Tranche-D, (1 month LIBOR + 2.000%) 4.212%, 7/8/22 | 1,336 | 1,338 | ||||||
Tranche-A, (1 month LIBOR + 2.000%) 4.212%, 4/26/24 | 5,236 | 5,239 | ||||||
Frontdoor, Inc., (1 month LIBOR + 2.500%) | 300 | 302 | ||||||
Garda World Security Corp. Tranche B, (3 month LIBOR + 3.500%) 5.821%, 5/24/24 | 795 | 798 | ||||||
Gopher Resource LLC, (1 month LIBOR + 3.250%) | 432 | 434 | ||||||
Greenrock Finance, Inc. Tranche B, (1 month LIBOR + 3.500%) 5.742%, 6/28/24 | 1,166 | 1,168 | ||||||
Hoya Midco LLC First Lien, (1 month LIBOR + 3.500%) | 1,884 | 1,873 | ||||||
Laureate Education, Inc., (1 month LIBOR + 3.500%) | 2,835 | 2,845 | ||||||
NAB Holdings LLC 2018 Refinancing, (3 month LIBOR + 3.000%) 5.386%, 7/1/24 | 1,723 | 1,701 | ||||||
One Call Corp. First Lien, (1 month LIBOR + 5.250%) | 1,421 | 1,346 | ||||||
Patriot Container Corp. First Lien, (1 month LIBOR + 3.500%) 5.712%, 3/20/25 | 731 | 735 | ||||||
Pearl Intermediate Parent LLC | ||||||||
First Lien, (3 month LIBOR + 1.000%) 1.00%, 2/14/25(7) | 306 | 303 | ||||||
First Lien, (3 month LIBOR + 2.750) 4.915%, 2/14/25 | 116 | 115 | ||||||
First Lien, (1 month LIBOR + 2.750%) 4.915%, 2/14/25 | 1,430 | 1,415 | ||||||
PI UK Holdco II Ltd. Tranche B-1, (1 month LIBOR + 3.500%) 5.742%, 1/3/25 | 4,094 | 4,079 | ||||||
Prime Security Services Borrower LLC 2016 Refinancing, Tranche B-1, (1 month LIBOR + 2.750%) | 2,406 | 2,417 | ||||||
Red Ventures LLC First Lien, (1 month LIBOR + 4.000%) | 1,451 | 1,467 | ||||||
Sedgwick Claims Management Services, Inc. | ||||||||
First Lien, (1 month LIBOR + 2.750%) 4.992%, 3/1/21 | 3,409 | 3,409 | ||||||
Second Lien, (1 month LIBOR + 5.750%) 8.008%, 2/28/22 | 1,725 | 1,728 | ||||||
ServiceMaster Co., LLC Tranche C, (1 month LIBOR + 2.500%) 4.742%, 11/8/23 | 1,554 | 1,566 | ||||||
Spin Holdco, Inc. Tranche B-1, (3 month LIBOR + 3.250%) 5.589%, 11/14/22 | 3,259 | 3,266 | ||||||
SSH Group Holdings, Inc. First Lien, (3 month LIBOR + 4.250%) 6.590%, 7/30/25 | 1,425 | 1,436 | ||||||
St. George’s University Scholastic Services LLC | ||||||||
(3 month LIBOR + 3.500%) 3.500%, 7/17/25(7) | 367 | 370 | ||||||
(1 month LIBOR + 3.500%) 5.750%, 7/17/25 | 1,178 | 1,190 | ||||||
Tempo Acquisition LLC, (1 month LIBOR + 3.000%) | 1,565 | 1,570 | ||||||
TKC Holdings, Inc. First Lien, (1 month LIBOR + 3.750%) | 2,522 | 2,524 | ||||||
TransUnion LLC, 2017 Replacement Tranche B-3, (1 month LIBOR + 2.000%) 4.242%, 4/10/23 | 4,179 | 4,186 | ||||||
Web.com Group, Inc., (3 month LIBOR + 3.750%) | 175 | 176 | ||||||
WEX, Inc. Tranche B-2, (1 month LIBOR + 2.250%) | 1,987 | 1,993 | ||||||
Wrangler Buyer Corp., (1 month LIBOR + 2.750%) | 1,107 | 1,113 | ||||||
|
| |||||||
59,010 | ||||||||
|
|
See Notes to Financial Statements
69
Table of Contents
NEWFLEET SENIOR FLOATING RATE FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Transportation – Automotive—3.0% | ||||||||
Accuride International, Inc. 2017 Refinancing, (3 month LIBOR + 5.250%) 7.636%, 11/17/23 | $ | 1,928 | $ | 1,947 | ||||
American Axle & Manufacturing, Inc. Tranche B, (1 month LIBOR + 2.250%) 4.462%, 4/6/24 | 1,375 | 1,374 | ||||||
Deck Chassis Acquisition, Inc. Second Lien, (1 month LIBOR + 6.000%) 8.242%, 6/15/23(10) | 345 | 348 | ||||||
DexKo Global, Inc. Tranche B, (1 month LIBOR + 3.500%) 5.742%, 7/24/24 | 2,248 | 2,262 | ||||||
Federal-Mogul Corp. Tranche C, (1 month LIBOR + 3.750%) 5.890%, 4/15/21 | 3,460 | 3,462 | ||||||
Navistar, Inc. Tranche B, (1 month LIBOR + 3.500%) | 2,303 | 2,315 | ||||||
Tenneco, Inc., (3 month LIBOR + 2.750%) | 2,135 | 2,136 | ||||||
TI Group Auto Systems LLC, (1 month LIBOR + 2.500%) | 1,276 | 1,278 | ||||||
|
| |||||||
15,122 | ||||||||
|
| |||||||
Utility—3.7% | ||||||||
APLP Holdings LP, (1 month LIBOR + 3.000%) | 1,319 | 1,325 | ||||||
Brookfield WEC Holdings, Inc. (Westinghouse Electric Co., LLC) | ||||||||
First Lien, (1 month LIBOR + 3.750%) 5.992%, 8/1/25 | 2,005 | 2,029 | ||||||
Second Lien, (1 month LIBOR + 6.750%) 8.992%, 8/3/26 | 835 | 849 | ||||||
Calpine Construction Finance Co., LP Tranche B, (1 month LIBOR + 2.500%) | 1,980 | 1,979 | ||||||
Lightstone Holdco LLC | ||||||||
Tranche B, (1 month LIBOR + 3.750%) 5.992%, 1/30/24 | 816 | 810 | ||||||
Tranche C, (1 month LIBOR + 3.750%) 5.992%, 1/30/24 | 44 | 43 | ||||||
NRG Energy, Inc., (3 month LIBOR + 1.750%) | 5,028 | 5,032 | ||||||
Talen Energy Supply LLC | ||||||||
Tranche B-1, (1 month LIBOR + 4.000%) 6.242%, 7/15/23 | 1,036 | 1,040 | ||||||
(1 month LIBOR + 4.000%) 6.242%, 4/15/24 | 1,226 | 1,231 | ||||||
TerraForm Power Operating LLC, (1 month LIBOR + 2.000%) | 516 | 517 | ||||||
Vistra Operations Co., LLC | ||||||||
(1 month LIBOR + 2.000%) 4.242%, 8/4/23 | 1,341 | 1,343 | ||||||
(1 month LIBOR + 2.000%) 4.181%, 12/31/25 | 2,444 | 2,446 | ||||||
|
| |||||||
18,644 | ||||||||
TOTAL LEVERAGED LOANS (Identified Cost $516,627) | 511,843 | |||||||
SHARES | ||||||||
COMMON STOCKS—0.0% | ||||||||
Energy—0.0% | ||||||||
Sabine Oil & Gas LLC(8)(10) | 714 | 45 | ||||||
TOTAL COMMON STOCKS (Identified Cost $34) | 45 |
SHARES | VALUE | |||||||
RIGHTS—0.0% | ||||||||
Utilities—0.0% | ||||||||
Vistra Energy Corp.(8)(10) | 152,810 | $ | 114 | |||||
TOTAL RIGHTS (Identified Cost $130) | 114 | |||||||
WARRANTS—0.0% | ||||||||
Energy—0.0% | ||||||||
Sabine Oil & Gas LLC(8)(10) | 404 | 2 | ||||||
Sabine Oil & Gas LLC(8)(10) | 2,268 | 14 | ||||||
TOTAL WARRANTS (Identified Cost $18) | 16 | |||||||
TOTAL LONG-TERM INVESTMENTS—105.8% | ||||||||
(Identified Cost $536,852) | 531,859 | |||||||
SHORT-TERM INVESTMENT—1.2% | ||||||||
Money Market Mutual Fund—1.2% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%)(9) | 5,865,951 | 5,866 | ||||||
TOTAL SHORT-TERM INVESTMENT | ||||||||
(Identified Cost $5,866) | 5,866 | |||||||
TOTAL INVESTMENTS—107.0% (Identified Cost $542,718) | 537,725 | |||||||
Other assets and liabilities, net—(7.0)% | (34,979 | ) | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 502,746 | ||||||
|
|
Abbreviations:
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-Kind Security |
Footnote Legend:
(1) | Variable rate security. Rate disclosed is as of September 30, 2018. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to a value of $9,947 or 2.0% of net assets. |
(3) | 100% of the income received was in cash. |
(4) | This loan will settle after September 30, 2018, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(5) | Security in default, no interest payments are being received during the bankruptcy proceedings. |
(6) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(7) | Represents the unfunded portion of security and commitment fee earned on this portion. |
(8) | Non-income producing. |
(9) | Shares of this fund are publicly offered, and its prospectus and annual reports are publicly available. |
See Notes to Financial Statements
70
Security abbreviation definitions are located under the Key Investment Terms starting on page 4.
Table of Contents
NEWFLEET SENIOR FLOATING RATE FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
(10) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the fair value table located at the end of the Schedule of Investments. |
Country Weightings (Unaudited)† | ||||
United States (includes short-term investment) | 93 | % | ||
Luxembourg | 2 | |||
Netherlands | 2 | |||
Canada | 1 | |||
United Kingdom | 1 | |||
Other | 1 | |||
Total | 100 | % | ||
† % of total investments as of September 30, 2018. |
|
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Debt Securities: | ||||||||||||||||
Corporate Bonds And Notes | $ | 19,412 | $ | — | $ | 19,405 | $ | 7 | ||||||||
Leveraged Loans | 511,843 | — | 511,495 | 348 | ||||||||||||
Mortgage-Backed Securities | 429 | — | 429 | — | ||||||||||||
Equity Securities: | ||||||||||||||||
Common Stocks | 45 | — | — | 45 | ||||||||||||
Rights | 114 | — | — | 114 | ||||||||||||
Warrants | 16 | — | �� | — | 16 | |||||||||||
Short-Term Investment | 5,866 | 5,866 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 537,725 | $ | 5,866 | $ | 531,329 | $ | 530 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers into or out of Level 3 related to securities held as of September 30, 2018.
Some of the Fund’s investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3 securities compared to total net assets is de minimis; therefore, the rollforward of Level 3 securities and assumptions are not shown for the year ended September 30, 2018.
See Notes to Financial Statements
71
Table of Contents
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
MUNICIPAL BONDS(2)—97.4% | ||||||||
Alabama—1.3% | ||||||||
Black Belt Energy Gas District, Natural Gas Purchase Revenue, | $ | 465 | $ | 489 | ||||
Pell City Special Care Facilities Financing Authority, Noland Health Services Revenue, | ||||||||
4.000%, 12/1/25 | 500 | 518 | ||||||
5.000%, 12/1/25 | 1,000 | 1,071 | ||||||
|
| |||||||
2,078 | ||||||||
|
| |||||||
Arizona—4.0% | ||||||||
Arizona Board of Regents, Arizona State University System Revenue, | ||||||||
5.000%, 7/1/36 | 1,000 | 1,128 | ||||||
5.000%, 7/1/37 | 360 | 405 | ||||||
Arizona Department of Transportation, State Highway Fund Revenue, | 500 | 566 | ||||||
Arizona State Health Facilities Authority, Scottsdale Lincoln Hospital Revenue, | 565 | 638 | ||||||
Maricopa County Industrial Development Authority, Banner Health Revenue, | 1,000 | 1,032 | ||||||
Northern Arizona University, Stimulus Plan for Economic and Educational Development Revenue, | ||||||||
5.000%, 8/1/24 | 1,115 | 1,234 | ||||||
5.000%, 8/1/25 | 1,000 | 1,105 | ||||||
|
| |||||||
6,108 | ||||||||
|
| |||||||
Arkansas—0.4% | ||||||||
University of Arkansas, Facility Revenue, | 505 | 577 | ||||||
|
| |||||||
California—2.0% | ||||||||
California Municipal Finance Authority, Bowles Hall Foundation Revenue, | ||||||||
4.000%, 6/1/21 | 100 | 104 | ||||||
4.500%, 6/1/23 | 225 | 242 | ||||||
4.500%, 6/1/24 | 150 | 163 | ||||||
California State Health Facilities Financing Authority, Providence St. Joseph Health Revenue, | 275 | 283 | ||||||
California State Municipal Finance Authority, Community Medical Centers Revenue, | 400 | 449 | ||||||
California Statewide Communities Development Authority, The Culinary Institute of America Revenue, | 200 | 224 | ||||||
Golden State Tobacco Securitization Corp., Tobacco Settlement Revenue, | 800 | 819 | ||||||
Inglewood Redevelopment Agency Successor Agency, Subordinate Lien Merged Redevelopment Project, Tax Allocation Revenue (BAM Insured), | 545 | 620 | ||||||
San Dieguito School Facilities Financing Authority, Special Tax Revenue, | 10 | 11 |
PAR VALUE | VALUE | |||||||
California—continued | ||||||||
Temecula Valley Unified School District Financing Authority, Special Tax Revenue (BAM Insured), | $ | 175 | $ | 200 | ||||
|
| |||||||
3,115 | ||||||||
|
| |||||||
Colorado—6.4% | ||||||||
Colorado State Health Facilities Authority, Catholic Health Initiatives Revenue, | 650 | 652 | ||||||
Denver Convention Center Hotel Authority Revenue, Senior Lien, | 400 | 449 | ||||||
E-470 Public Highway Authority Revenue, | ||||||||
5.000%, 9/1/20 | 340 | 358 | ||||||
(NATL Insured), 0.000%, 9/1/29 | 665 | 380 | ||||||
Public Authority For Colorado Energy, Natural Gas Purchase Revenue, | ||||||||
6.125%, 11/15/23 | 2,135 | 2,432 | ||||||
6.250%, 11/15/28 | 2,250 | 2,765 | ||||||
Regional Transportation District, Sales Tax Revenue, Fastracks Project, | 1,195 | 1,375 | ||||||
University of Colorado, Enterprise Revenue, (Pre-refunded 6/1/19 @100), | 1,370 | 1,403 | ||||||
|
| |||||||
9,814 | ||||||||
|
| |||||||
Connecticut—1.9% | ||||||||
Connecticut Housing Finance Authority, Mortgage Revenue, | 425 | 412 | ||||||
Connecticut State Health & Educational Facility Authority, Hartford Healthcare Revenue, | 1,500 | 1,673 | ||||||
Connecticut, State of, General Obligation, | 750 | 827 | ||||||
|
| |||||||
2,912 | ||||||||
|
| |||||||
District of Columbia—3.2% | ||||||||
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Second Lien, (AGC Insured), | 4,000 | 4,947 | ||||||
|
| |||||||
Florida—11.8% | ||||||||
Brevard County Health Facilities Authority, Health First Revenue, | ||||||||
5.000%, 4/1/21 | 115 | 122 | ||||||
(Pre-refunded 4/1/19 @100), | 1,050 | 1,076 | ||||||
Brevard County School Board, Certificates of Participation, | 1,000 | 1,133 | ||||||
Broward County School Board, Certificates of Participation, | 300 | 339 | ||||||
Central Florida Expressway Authority, Senior Lien Toll Revenue, | 200 | 212 | ||||||
Florida, State of, General Obligation, | 4,000 | 4,735 | ||||||
Miami Beach Redevelopment Agency, Tax Increment Revenue, | 300 | 333 |
See Notes to Financial Statements
72
Table of Contents
NEWFLEET TAX-EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Florida—continued | ||||||||
Miami Beach, City of, Stormwater Revenue, (Pre-refunded 9/1/21 @100), | $ | 1,265 | $ | 1,377 | ||||
Miami-Dade County Aviation Revenue, | 2,425 | 2,661 | ||||||
Miami-Dade County Educational Facilities Authority, University of Miami Revenue, | 200 | 224 | ||||||
Miami-Dade County Expressway Authority, Toll Revenue, | 480 | 541 | ||||||
Miami-Dade County School Board, Certificates of Participation, | 1,700 | 1,880 | ||||||
Seminole County School Board, Certificates of Participation, | 1,935 | 2,211 | ||||||
South Florida Water Management District, Certificates of Participation, | 750 | 836 | ||||||
Tallahassee, City of, Health Facilities Revenue, Tallahassee Memorial Healthcare, | 480 | 517 | ||||||
|
| |||||||
18,197 | ||||||||
|
| |||||||
Georgia—2.3% | ||||||||
Athens-Clarke County Unified Government, Water and Sewer Revenue (Pre-refunded 1/1/19 @100), | 1,000 | 1,009 | ||||||
Atlanta Water & Wastewater Revenue, | 650 | 734 | ||||||
DeKalb County Water & Sewer Revenue, | 1,600 | 1,741 | ||||||
|
| |||||||
3,484 | ||||||||
|
| |||||||
Idaho—1.2% | ||||||||
Idaho Health Facilities Authority, St. Lukes Health System Revenue, | 235 | 258 | ||||||
Idaho Housing & Finance Association, Federal Highway Grant Anticipation Revenue, | 1,500 | 1,569 | ||||||
|
| |||||||
1,827 | ||||||||
|
| |||||||
Illinois—9.8% | ||||||||
Chicago O’Hare International Airport, Passenger Facilities Charge Revenue, | 70 | 72 | ||||||
Chicago, City of, |
| |||||||
Sales Tax Revenue (Escrowed to Maturity), | 750 | 797 | ||||||
Sales Tax Revenue (Pre-refunded 1/1/22 @100), | 25 | 27 | ||||||
Waterworks Revenue, Second Lien, | 500 | 545 | ||||||
Waterworks Revenue, Second Lien, | 500 | 553 | ||||||
Waterworks Revenue, Second Lien (AGM Insured), 5.000%, 11/1/31 | 500 | 560 | ||||||
Waterworks Revenue, Second Lien (AGM Insured), 5.250%, 11/1/32 | 350 | 399 | ||||||
Illinois Finance Authority, |
| |||||||
KishHealth System Revenue (Escrowed to Maturity), 4.750%, 10/1/18 | 700 | 700 |
PAR VALUE | VALUE | |||||||
Illinois—continued | ||||||||
Rush University Medical Center Revenue, | $ | 250 | $ | 270 | ||||
Rush University Medical Center Revenue (Pre-refunded 11/1/18 @100), | 1,220 | 1,225 | ||||||
Illinois State Toll Highway Authority, Toll Highway Revenue Senior Lien, | 1,000 | 1,132 | ||||||
Illinois, State of, General Obligation, | ||||||||
5.000%, 4/1/22 | 815 | 852 | ||||||
5.000%, 2/1/26 | 1,490 | 1,554 | ||||||
5.000%, 2/1/27 | 1,250 | 1,317 | ||||||
Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project Revenue (AGM Insured), | 1,000 | 739 | ||||||
Railsplitter Tobacco Settlement Authority, Tobacco Settlement Revenue, | 450 | 507 | ||||||
Sales Tax Securitization Corp., Chicago Sales Tax Revenue, | 1,500 | 1,686 | ||||||
University of Illinois, Auxiliary Facilities System Revenue, | ||||||||
5.500%, 4/1/31 | 1,540 | 1,644 | ||||||
5.125%, 4/1/36 | 500 | 522 | ||||||
|
| |||||||
15,101 | ||||||||
|
| |||||||
Indiana—1.7% | ||||||||
Indiana Finance Authority, Indiana University Health Center Revenue, | 800 | 886 | ||||||
Indianapolis Local Public Improvements Bond Bank Revenue, | 1,650 | 1,681 | ||||||
|
| |||||||
2,567 | ||||||||
|
| |||||||
Iowa—0.7% | ||||||||
Iowa, State of, Prison Infrastructure, Funding Revenue, (Pre-refunded 6/15/20 @100), | 1,035 | 1,086 | ||||||
|
| |||||||
Louisiana—0.4% | ||||||||
New Orleans Sewerage Service Revenue, | 550 | 575 | ||||||
|
| |||||||
Maine—1.6% | ||||||||
Portland, City of, General Airport Revenue, | ||||||||
5.000%, 7/1/26 | 1,000 | 1,083 | ||||||
5.000%, 7/1/29 | 580 | 622 | ||||||
5.000%, 7/1/30 | 770 | 825 | ||||||
|
| |||||||
2,530 | ||||||||
|
| |||||||
Maryland—2.9% | ||||||||
Baltimore, City of, Convention Center Hotel Revenue, | 250 | 273 | ||||||
Maryland Economic Development Corp., Exelon Generation Co. Revenue, | 500 | 499 | ||||||
Maryland Health & Higher Educational Facilities Authority, |
| |||||||
Anne Arundel Health System Revenue (Pre-refunded 7/1/19 @100), | 2,015 | 2,085 | ||||||
Medstar Health System Revenue, | ||||||||
5.000%, 8/15/26 | 800 | 903 | ||||||
5.000%, 5/15/42 | 600 | 655 | ||||||
|
| |||||||
4,415 | ||||||||
|
|
See Notes to Financial Statements
73
Table of Contents
NEWFLEET TAX-EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Massachusetts—0.4% | ||||||||
Massachusetts Port Authority, Transportation Revenue, | $ | 500 | $ | 569 | ||||
|
| |||||||
Michigan—1.7% | ||||||||
Michigan Finance Authority, Beaumont Health Credit Group Revenue, | 1,250 | 1,401 | ||||||
Michigan State Building Authority, Facilities Program Lease Revenue, | ||||||||
5.000%, 4/15/25 | 500 | 576 | ||||||
4.000%, 10/15/36 | 500 | 512 | ||||||
Royal Oak Hospital Finance Authority, William Beaumont Hospital Revenue, | 200 | 205 | ||||||
|
| |||||||
2,694 | ||||||||
|
| |||||||
New Jersey—4.8% | ||||||||
Camden County Improvement Authority Healthcare Redevelopment Project, Cooper Health System Revenue, | 950 | 1,025 | ||||||
New Jersey Economic Development Authority, Cigarette Tax Revenue (AGM Insured), | 3,000 | 3,241 | ||||||
New Jersey Housing & Mortgage Finance Agency, Mortgage Revenue, | 1,745 | 1,800 | ||||||
New Jersey Turnpike Authority, Toll Revenue, | 240 | 248 | ||||||
Tobacco Settlement Financing Corp., Tobacco Settlement Revenue, | ||||||||
5.000%, 6/1/31 | 250 | 281 | ||||||
5.000%, 6/1/32 | 250 | 280 | ||||||
5.000%, 6/1/33 | 250 | 279 | ||||||
5.000%, 6/1/34 | 250 | 278 | ||||||
|
| |||||||
7,432 | ||||||||
|
| |||||||
New York—7.8% | ||||||||
Buffalo & Erie County Industrial Land Development Corp., Catholic Health System Revenue, | 550 | 608 | ||||||
Dutchess County Local Development Corp., The Culinary Institute of America Revenue, | 180 | 202 | ||||||
Long Island Power Authority, Electric Revenue, | 250 | 287 | ||||||
Metropolitan Transportation Authority, Transportation Revenue, | 605 | 608 | ||||||
(Pre-refunded 11/15/18 @100), | 1,000 | 1,005 | ||||||
(Pre-refunded 11/15/18 @100), | 25 | 25 | ||||||
New York City Industrial Development Agency, Queens Baseball Stadium Project Revenue, | ||||||||
(AGC Insured), 6.125%, 1/1/29 | 500 | 505 | ||||||
(AMBAC Insured), 5.000%, 1/1/20 | 900 | 903 | ||||||
(AMBAC Insured), 5.000%, 1/1/31 | 470 | 471 | ||||||
New York City Municipal Water Finance Authority, Water & Sewer Revenue, General Resolution, | 1,295 | 1,467 | ||||||
New York City Transitional Finance Authority, Subordinate Future Tax Secured Revenue, | 3,165 | 3,553 |
PAR VALUE | VALUE | |||||||
New York—continued | ||||||||
New York State Dormitory Authority, |
| |||||||
New York University Hospitals Center Revenue, | $ | 150 | $ | 168 | ||||
Orange Regional Medical Center Revenue, | 300 | 330 | ||||||
New York Transportation Development Corp., American Airlines JFK Project Revenue, | 250 | 262 | ||||||
Triborough Bridge & Tunnel Authority, Toll Revenue Subordinate Lien, | 750 | 841 | ||||||
TSASC, Inc., Tobacco Settlement Revenue, | 190 | 207 | ||||||
Utility Debt Securitization Authority Restructuring Charge, Electric Revenue, | 500 | 563 | ||||||
|
| |||||||
12,005 | ||||||||
|
| |||||||
North Dakota—0.9% | ||||||||
Barnes County North Public School District Building Authority, Lease Revenue, | 1,330 | 1,359 | ||||||
|
| |||||||
Ohio—2.4% | ||||||||
New Albany Community Authority, Community Facilities Revenue, | 1,250 | 1,364 | ||||||
Ohio State Juvenile Correction Facilities Project, Lease Revenue, | ||||||||
5.000%, 10/1/21 | 1,080 | 1,168 | ||||||
5.000%, 10/1/22 | 1,135 | 1,254 | ||||||
|
| |||||||
3,786 | ||||||||
|
| |||||||
Oklahoma—0.9% | ||||||||
Oklahoma State Turnpike Authority, Turnpike Revenue, Second Senior Lien, (Pre-refunded 1/1/21 @100), | 1,250 | 1,332 | ||||||
|
| |||||||
Oregon—1.9% | ||||||||
Oregon Facilities Authority, University of Portland Revenue, | 240 | 270 | ||||||
Oregon State Housing & Community, Mortgage Revenue, Residential Finance Program Revenue, | 450 | 481 | ||||||
Oregon, State of, General Obligation, | 1,095 | 1,251 | ||||||
Washington & Multnomah Counties, Beaverton School District No. 48J, General Obligation | 800 | 910 | ||||||
|
| |||||||
2,912 | ||||||||
|
| |||||||
Pennsylvania—4.2% | ||||||||
Butler County Hospital Authority, Butler Health System Revenue, | 250 | 274 | ||||||
Delaware River Joint Toll Bridge Commission, Bridge System Revenue, | 250 | 286 | ||||||
Pennsylvania Turnpike Commission, Turnpike Revenue Subordinate Lien, | 2,000 | 2,433 |
See Notes to Financial Statements
74
Table of Contents
NEWFLEET TAX-EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
Pennsylvania—continued | ||||||||
(Pre-refunded 12/1/20 @ 100), 6.000%, 12/1/34 | $ | 265 | $ | 287 | ||||
(Pre-refunded 12/1/20 @ 100), 6.000%, 12/1/34 | 1,235 | 1,335 | ||||||
(Pre-refunded 12/1/20 @ 100), 6.000%, 12/1/34 | 250 | 271 | ||||||
(Pre-refunded 12/1/21 @100), 5.250%, 12/1/31 | 1,000 | 1,097 | ||||||
Philadelphia, City of, | ||||||||
Water & Wastewater Revenue, 5.000%, 11/1/31 | 125 | 143 | ||||||
Water & Wastewater Revenue, 5.000%, 10/1/42 | 300 | 334 | ||||||
|
| |||||||
6,460 | ||||||||
|
| |||||||
South Carolina—0.9% | ||||||||
Dorchester County, Water & Sewer Revenue, | 1,020 | 1,115 | ||||||
South Carolina Association of Governmental Organizations Educational Facilities Corp., for Pickens School District Lease Revenue, | 250 | 284 | ||||||
|
| |||||||
1,399 | ||||||||
|
| |||||||
Tennessee—2.0% | ||||||||
Chattanooga-Hamilton County Hospital Authority, Erlanger Health System Revenue, | 1,000 | 1,095 | ||||||
Tennessee Housing Development Agency, Residential Finance Program Revenue, | ||||||||
2.050%, 7/1/20 | 545 | 544 | ||||||
2.300%, 1/1/21 | 310 | 310 | ||||||
Tennessee State School Bond Authority, Higher Education Program Revenue, | 1,000 | 1,162 | ||||||
|
| |||||||
3,111 | ||||||||
|
| |||||||
Texas—13.3% | ||||||||
Corpus Christi Independent School District, General Obligation, (PSF Insured) | 5,000 | 5,109 | ||||||
Harris County Health Facilities Development Corp., Memorial Hermann Healthcare System (Pre-refunded 12/1/18 @ 100), | 2,525 | 2,547 | ||||||
Hidalgo County Drain District No. 1, General Obligation, | 1,000 | 1,134 | ||||||
Lamar Consolidated Independent School District, General Obligation, (PSF Insured) | 1,000 | 1,138 | ||||||
North Texas Tollway Authority, |
| |||||||
Senior Lien Toll Revenue, | 415 | 469 | ||||||
Special Project System Revenue, (Pre-refunded 9/1/31 @100), | 1,500 | 1,613 | ||||||
Southmost Regional Water Authority, Desalination Plant Project Revenue, | ||||||||
(AGM Insured), 5.000%, 9/1/25 | 1,015 | 1,108 | ||||||
(AGM Insured), 5.000%, 9/1/23 | 1,085 | 1,186 | ||||||
Texas Municipal Gas Acquisition & Supply, Gas Supply Revenue, | ||||||||
Corp. I, Senior Lien, | 1,630 | 1,874 | ||||||
Corp. II, | 2,820 | 2,760 | ||||||
Upper Trinity Regional Water District Authority, Regional Treated Supply System Revenue, (BAM Insured), | 1,340 | 1,507 | ||||||
|
| |||||||
20,445 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Vermont—0.3% | ||||||||
Burlington, City of, Airport Revenue (AGM Insured), | $ | 200 | $ | 220 | ||||
Vermont Educational & Health Buildings Financing Agency, University of Vermont Health Network Revenue, | 300 | 331 | ||||||
|
| |||||||
551 | ||||||||
|
| |||||||
Virginia—1.5% | ||||||||
Riverside Regional Jail Authority, Jail Facility Revenue, | 1,250 | 1,437 | ||||||
Virginia College Building Authority, Marymount University Revenue, | ||||||||
5.000%, 7/1/20(3) | 200 | 207 | ||||||
5.000%, 7/1/21(3) | 400 | 419 | ||||||
5.000%, 7/1/22(3) | 195 | 206 | ||||||
|
| |||||||
2,269 | ||||||||
|
| |||||||
Washington—1.2% | ||||||||
King County Sewer Revenue, | 1,630 | 1,842 | ||||||
|
| |||||||
West Virginia—0.3% | ||||||||
Monongalia County Building Commission, Monongalia Health System Revenue, | 400 | 437 | ||||||
|
| |||||||
Wisconsin—1.3% | ||||||||
Public Finance Authority, |
| |||||||
Renown Regional Medical Center Revenue, | 1,000 | 1,102 | ||||||
Waste Management, Inc. Revenue, | 250 | 241 | ||||||
Wisconsin, State of, General Obligation, | 600 | 708 | ||||||
|
| |||||||
2,051 | ||||||||
TOTAL MUNICIPAL BONDS (Identified Cost $147,984) | 149,987 | |||||||
TOTAL LONG-TERM INVESTMENTS—97.4% |
| |||||||
(Identified Cost $147,984) | 149,987 | |||||||
SHARES | ||||||||
SHORT-TERM INVESTMENT—1.5% | ||||||||
Money Market Mutual Fund—1.5% | ||||||||
Dreyfus AMT-Free Tax Exempt Cash Management –Institutional Shares (seven-day effective yield 1.400%)(4) | 2,311,146 | 2,311 | ||||||
TOTAL SHORT-TERM INVESTMENT (Identified Cost $2,311) |
| 2,311 | ||||||
TOTAL INVESTMENTS—98.9% (Identified Cost $150,295) |
| 152,298 | ||||||
Other assets and liabilities, net—1.1% | 1,694 | |||||||
|
| |||||||
NET ASSETS—100.0% |
| $ | 153,992 | |||||
|
|
See Notes to Financial Statements
75
Table of Contents
NEWFLEET TAX-EXEMPT BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
Abbreviations:
AGC | Assured Guaranty Corp. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
BAM | Build America Municipal Insured |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
NATL | National Public Finance Guarantee Corp. |
PSF | Permanent School Fund |
Footnote Legend:
(1) | Variable or step coupon security. Interest rates reset periodically. Interest rate shown reflects the rate in effect at September 30, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(2) | At September 30, 2018, 15.1% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. None of the Insurers concentration exceeds 10% of the Fund’s net assets. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to a value of $1,162 or 0.8% of net assets. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual reports are publicly available. |
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | ||||||||||
Debt Securities: | ||||||||||||
Municipal Bonds | $ | 149,987 | $ | — | $ | 149,987 | ||||||
Short-Term Investment | 2,311 | 2,311 | — | |||||||||
|
|
|
|
|
| |||||||
Total Investments | $ | 152,298 | $ | 2,311 | $ | 149,987 | ||||||
|
|
|
|
|
|
There were no securities valued using significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held as of September 30, 2018.
Security abbreviation definitions are located under the Key Investment Terms starting on page 4.
See Notes to Financial Statements
76
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2018
(Reported in thousands except shares and per share amounts)
Newfleet Bond Fund | Newfleet CA Tax-Exempt Bond Fund | Newfleet High Yield Fund | ||||||||||
Assets | ||||||||||||
Investment in unaffiliated securities at value(1)(2) | $ | 65,557 | $ | 23,428 | $ | 72,276 | ||||||
Investments in affiliated funds at value(3) | 1,140 | — | — | |||||||||
Cash | 786 | 629 | 1,964 | |||||||||
Receivables | ||||||||||||
Investment securities sold | 41 | — | 275 | |||||||||
Fund shares sold | 50 | 4 | 16 | |||||||||
Dividends and interest | 554 | 331 | 1,013 | |||||||||
Securities lending receivable | — | (5) | — | 2 | ||||||||
Prepaid expenses | 31 | 16 | 32 | |||||||||
Prepaid trustee retainer | 1 | — | (5) | 1 | ||||||||
Other assets | 4 | 1 | 4 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 68,164 | 24,409 | 75,583 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payables | ||||||||||||
Fund shares repurchased | 44 | 19 | 72 | |||||||||
Investment securities purchased | 769 | 103 | 2,542 | |||||||||
Collateral on securities loaned | 308 | — | 4,759 | |||||||||
Dividend distributions | 11 | 8 | 26 | |||||||||
Investment advisory fees | 23 | 3 | 34 | |||||||||
Distribution and service fees | 11 | 3 | 13 | |||||||||
Administration and accounting fees | 6 | 2 | 6 | |||||||||
Transfer agent and sub-transfer agent fees and expenses | 18 | 4 | 22 | |||||||||
Professional fees | 28 | 26 | 28 | |||||||||
Trustee deferred compensation plan | 4 | 1 | 4 | |||||||||
Other accrued expenses | 5 | 2 | 7 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 1,227 | 171 | 7,513 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 66,937 | $ | 24,238 | $ | 68,070 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 69,899 | $ | 23,792 | $ | 72,244 | ||||||
Accumulated undistributed net investment income (loss) | 151 | 30 | 300 | |||||||||
Accumulated undistributed net realized gain (loss) | (2,077 | ) | 97 | (4,135 | ) | |||||||
Net unrealized appreciation (depreciation) on investments | (1,036 | ) | 319 | (339 | ) | |||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 66,937 | $ | 24,238 | $ | 68,070 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 33,998 | $ | 16,016 | $ | 51,859 | ||||||
Class C | $ | 5,165 | $ | — | $ | 3,254 | ||||||
Class I | $ | 27,360 | $ | 8,222 | $ | 8,557 | ||||||
Class R6 | $ | 414 | $ | — | $ | 4,400 | ||||||
Shares Outstanding (unlimited number of shares authorized)(4): | ||||||||||||
Class A | 3,136,547 | 1,404,863 | 12,564,171 | |||||||||
Class C | 487,835 | — | 802,258 | |||||||||
Class I | 2,483,557 | 722,718 | 2,070,040 | |||||||||
Class R6 | 37,587 | — | 1,064,613 | |||||||||
Net Asset Value and Redemption Price Per Share: | ||||||||||||
Class A | $ | 10.84 | $ | 11.40 | $ | 4.13 | ||||||
Class C | $ | 10.59 | $ | — | $ | 4.06 | ||||||
Class I | $ | 11.02 | $ | 11.38 | $ | 4.13 | ||||||
Class R6 | $ | 11.02 | $ | — | $ | 4.13 | ||||||
Maximum offering price per share (NAV/(1-2.75%)) | ||||||||||||
Class A | $ | — | $ | 11.72 | $ | — | ||||||
Maximum offering price per share (NAV/(1-3.75%)) | ||||||||||||
Class A | $ | 11.26 | $ | — | $ | 4.29 | ||||||
(1) Investment in unaffiliated securities at cost | $ | 66,554 | $ | 23,109 | $ | 72,615 | ||||||
(2) Market value of securities on loan | $ | 299 | $ | — | $ | 4,598 | ||||||
(3) Investments in affiliated funds at cost | $ | 1,179 | $ | — | $ | — | ||||||
(4) Newfleet Bond Fund has a par value of $1.00, and all other funds on this page have no par value. | ||||||||||||
(5) Amount is less than $500. |
See Notes to Financial Statements
77
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
SEPTEMBER 30, 2018
(Reported in thousands except shares and per share amounts)
Newfleet Low Duration Income Fund | Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||||||||||||
Assets | ||||||||||||||||
Investment in unaffiliated securities at value(1)(2) | $ | 362,141 | $ | 299,268 | $ | 537,725 | $ | 152,298 | ||||||||
Investments in affiliated funds at value(3) | — | 9,036 | — | — | ||||||||||||
Foreign currency at value(4) | — | — | (6) | — | — | |||||||||||
Cash | 2,163 | 1,203 | 4,074 | — | (6) | |||||||||||
Receivables | ||||||||||||||||
Investment securities sold | 737 | 4,485 | 6,517 | — | ||||||||||||
Fund shares sold | 844 | 225 | 646 | 99 | ||||||||||||
Dividends and interest | 1,506 | 3,134 | 1,432 | 2,143 | ||||||||||||
Securities lending receivable | — | 3 | — | — | ||||||||||||
Prepaid expenses | 26 | 43 | 31 | 23 | ||||||||||||
Prepaid trustee retainer | 7 | 6 | 9 | 3 | ||||||||||||
Other assets | 21 | 18 | 29 | 9 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 367,445 | 317,421 | 550,463 | 154,575 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payables | ||||||||||||||||
Fund shares repurchased | 431 | 799 | 1,007 | 335 | ||||||||||||
Investment securities purchased | 3,492 | 5,153 | 22,754 | 11 | ||||||||||||
Borrowings (See Note 11) | — | — | 23,000 | — | ||||||||||||
Collateral on securities loaned | 392 | 5,808 | — | — | ||||||||||||
Dividend distributions | 69 | 224 | 422 | 81 | ||||||||||||
Investment advisory fees | 81 | 120 | 168 | 52 | ||||||||||||
Distribution and service fees | 35 | 59 | 106 | 20 | ||||||||||||
Administration and accounting fees | 31 | 26 | 43 | 13 | ||||||||||||
Transfer agent and sub-transfer agent fees and expenses | 70 | 62 | 68 | 25 | ||||||||||||
Professional fees | 28 | 33 | 34 | 27 | ||||||||||||
Trustee deferred compensation plan | 21 | 18 | 29 | 9 | ||||||||||||
Interest payable on line of credit | — | — | 6 | — | ||||||||||||
Other accrued expenses | 27 | 21 | 80 | 10 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 4,677 | 12,323 | 47,717 | 583 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 362,768 | $ | 305,098 | $ | 502,746 | $ | 153,992 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Common stock $0.001 par value | $ | 34 | $ | — | $ | — | $ | 14 | ||||||||
Capital paid in on shares of beneficial interest | 368,733 | 330,035 | 539,112 | 150,958 | ||||||||||||
Accumulated undistributed net investment income (loss) | 266 | (173 | ) | 369 | 217 | |||||||||||
Accumulated undistributed net realized gain (loss) | (2,896 | ) | (15,523 | ) | (31,742 | ) | 800 | |||||||||
Net unrealized appreciation (depreciation) on investments | (3,369 | ) | (9,241 | ) | (4,993 | ) | 2,003 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 362,768 | $ | 305,098 | $ | 502,746 | $ | 153,992 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 74,707 | $ | 73,217 | $ | 196,025 | $ | 36,238 | ||||||||
Class C | $ | 22,809 | $ | 53,809 | $ | 78,558 | $ | 15,238 | ||||||||
Class I | $ | 265,252 | $ | 162,322 | $ | 228,058 | $ | 102,516 | ||||||||
Class R6 | $ | — | $ | 15,750 | $ | 105 | $ | — | ||||||||
Shares Outstanding (unlimited number of shares authorized)(5): | ||||||||||||||||
Class A | 7,023,870 | 7,340,892 | 20,831,381 | 3,329,366 | ||||||||||||
Class C | 2,144,594 | 5,341,759 | 8,337,733 | 1,399,792 | ||||||||||||
Class I | 24,945,966 | 16,265,718 | 24,256,739 | 9,419,035 | ||||||||||||
Class R6 | — | 1,577,606 | 11,178 | — | ||||||||||||
Net Asset Value and Redemption Price Per Share: | ||||||||||||||||
Class A | $ | 10.64 | $ | 9.97 | $ | 9.41 | $ | 10.88 | ||||||||
Class C | $ | 10.64 | $ | 10.07 | $ | 9.42 | $ | 10.89 | ||||||||
Class I | $ | 10.63 | $ | 9.98 | $ | 9.40 | $ | 10.88 | ||||||||
Class R6 | $ | — | $ | 9.98 | $ | 9.40 | $ | — | ||||||||
Maximum offering price per share NAV/(1-2.25%) - Class A | $ | 10.88 | $ | — | $ | — | $ | — | ||||||||
Maximum offering price per share NAV/(1-2.75%) - Class A | $ | — | $ | — | $ | 9.68 | $ | 11.19 | ||||||||
Maximum offering price per share NAV/(1-3.75%) - Class A | $ | — | $ | 10.36 | $ | — | $ | — | ||||||||
(1) Investment in unaffiliated securities at cost | $ | 365,510 | $ | 308,203 | $ | 542,718 | $ | 150,295 | ||||||||
(2) Market value of securities on loan | $ | 384 | $ | 5,570 | $ | — | $ | — | ||||||||
(3) Investments in affiliated funds at cost | $ | — | $ | 9,341 | $ | — | $ | — | ||||||||
(4) Foreign currency at cost | $ | — | $ | — | (6) | $ | — | $ | — | |||||||
(5) Newfleet Low Duration Income Fund and Newfleet Tax-Exempt Bond Fund have a par value of $0.001, and all other funds on this page have no par value. | ||||||||||||||||
(6) Amount is less than $500. |
See Notes to Financial Statements
78
Table of Contents
VIRTUS OPPORTUNITIES TRUST
YEAR ENDED SEPTEMBER 30, 2018
($ reported in thousands)
Newfleet Bond Fund | Newfleet CA Tax-Exempt Bond Fund | Newfleet High Yield Fund | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 25 | $ | — | $ | 64 | ||||||
Dividends from affiliated funds | 70 | — | — | |||||||||
Interest | 2,800 | 939 | 4,326 | |||||||||
Security lending, net of fees | — | (1) | — | 2 | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 2,895 | 939 | 4,392 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fees | 319 | 117 | 441 | |||||||||
Distribution and service fees, Class A | 92 | 42 | 133 | |||||||||
Distribution and service fees, Class C | 60 | — | 36 | |||||||||
Administration and accounting fees | 75 | 28 | 72 | |||||||||
Transfer agent fees and expenses | 53 | 14 | 67 | |||||||||
Sub-transfer agent fees and expenses, Class A | 20 | 5 | 23 | |||||||||
Sub-transfer agent fees and expenses, Class C | 4 | — | 2 | |||||||||
Sub-transfer agent fees and expenses, Class I | 17 | 9 | 9 | |||||||||
Registration fees | 62 | 32 | 62 | |||||||||
Printing fees and expenses | 10 | 3 | 10 | |||||||||
Custodian fees | 3 | 1 | 5 | |||||||||
Professional fees | 30 | 26 | 31 | |||||||||
Trustees’ fees and expenses | 5 | 2 | 5 | |||||||||
Miscellaneous expenses | 8 | 3 | 10 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 758 | 282 | 906 | |||||||||
Less expenses reimbursed and/or waived by investment adviser | (188 | ) | (84 | ) | (231 | ) | ||||||
Less Low balance account fees | (1 | ) | — | (1) | (4 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 569 | 198 | 671 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 2,326 | 741 | 3,721 | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Unaffiliated investments | (303 | ) | 99 | 56 | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Affiliated Investments | (14 | ) | — | — | ||||||||
Unaffiliated investments | (2,660 | ) | (835 | ) | (1,946 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | (2,977 | ) | (736 | ) | (1,890 | ) | ||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | (651 | ) | $ | 5 | $ | 1,831 | |||||
|
|
|
|
|
|
(1) Amount is less than $500.
See Notes to Financial Statements
79
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF OPERATIONS (Continued)
YEAR ENDED SEPTEMBER 30, 2018
($ reported in thousands)
Newfleet Low Duration Income Fund | Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 85 | $ | 98 | $ | (196 | )* | $ | 32 | |||||||
Dividend income from affiliated funds | — | 553 | — | — | ||||||||||||
Interest | 11,158 | 18,547 | 28,780 | 5,695 | ||||||||||||
Security lending, net of fees | — | 3 | — | — | ||||||||||||
Foreign taxes withheld | — | (21 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 11,243 | 19,180 | 28,584 | 5,727 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Investment advisory fees | 2,013 | 1,956 | 2,383 | 710 | ||||||||||||
Distribution and service fees, Class A | 200 | 201 | 521 | 103 | ||||||||||||
Distribution and service fees, Class C | 272 | 599 | 868 | 179 | ||||||||||||
Administration and accounting fees | 386 | 376 | 559 | 167 | ||||||||||||
Transfer agent fees and expenses | 179 | 169 | 238 | 76 | ||||||||||||
Sub-transfer agent fees and expenses, Class A | 59 | 58 | 38 | 24 | ||||||||||||
Sub-transfer agent fees and expenses, Class C | 16 | 36 | 53 | 8 | ||||||||||||
Sub-transfer agent fees and expenses, Class I | 182 | 128 | 131 | 61 | ||||||||||||
Interest expense on borrowings | — | — | 807 | — | ||||||||||||
Registration fees | 65 | 79 | 77 | 53 | ||||||||||||
Printing fees and expenses | 35 | 32 | 46 | 15 | ||||||||||||
Custodian fees | 10 | 13 | 58 | 1 | ||||||||||||
Professional fees | 31 | 41 | 89 | 28 | ||||||||||||
Trustees’ fees and expenses | 27 | 28 | 41 | 12 | ||||||||||||
Miscellaneous expenses | 30 | 34 | 196 | 10 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 3,505 | 3,750 | 6,105 | 1,447 | ||||||||||||
Less expenses reimbursed and/or waived by investment adviser | (1,203 | ) | (387 | ) | (255 | ) | (218 | ) | ||||||||
Less Low balance account fees | — | (1) | (1 | ) | — | (1) | — | (1) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 2,302 | 3,362 | 5,850 | 1,229 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 8,941 | 15,818 | 22,734 | 4,498 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Unaffiliated investments | (1,531 | ) | (4,995 | ) | 356 | 806 | ||||||||||
Foreign Currency Transactions | — | (5 | ) | — | — | |||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Affiliated Investments | — | (112 | ) | — | — | |||||||||||
Unaffiliated investments | (5,177 | ) | (11,287 | ) | (803 | ) | (5,784 | ) | ||||||||
Foreign Currency Transactions | — | (1 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) on investments | (6,708 | ) | (16,400 | ) | (447 | ) | (4,978 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 2,233 | $ | (582 | ) | $ | 22,287 | $ | (480 | ) | ||||||
|
|
|
|
|
|
|
|
(1) Amount is less than $500.
*Includes a return of capital dividend reclassification in the amount of $320, relating to a prior year dividend which exceeded the aggregate of dividend income earned during the current period. The impact to the Ratio of Net Investment Income (Loss) to Average Net Assets is (0.06%).
See Notes to Financial Statements
80
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
($ reported in thousands)
Newfleet Bond Fund | Newfleet CA Tax-Exempt Bond Fund | |||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||||||||||
Net investment income (loss) | $ | 2,326 | $ | 2,411 | $ | 741 | $ | 824 | ||||||||
Net realized gain (loss) | (303 | ) | 101 | 99 | 202 | |||||||||||
Net change in unrealized appreciation (depreciation) | (2,674 | ) | (732 | ) | (835 | ) | (996 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from operations | (651 | ) | 1,780 | 5 | 30 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (1,221 | ) | (1,316 | ) | (458 | ) | (522 | ) | ||||||||
Class B | — | (1 | ) | — | — | |||||||||||
Class C | (153 | ) | (199 | ) | — | — | ||||||||||
Class I | (992 | ) | (826 | ) | (282 | ) | (321 | ) | ||||||||
Class R6 | (18 | ) | (7 | ) | — | — | ||||||||||
Net Realized Gains: | ||||||||||||||||
Class A | — | — | (126 | ) | (106 | ) | ||||||||||
Class I | — | — | (74 | ) | (59 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders | (2,384 | ) | (2,349 | ) | (940 | ) | (1,008 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Net Assets From Capital Transactions (See Note 5) | ||||||||||||||||
Class A | (3,967 | ) | (4,228 | ) | (689 | ) | (1,576 | ) | ||||||||
Class B | — | (72 | ) | — | — | |||||||||||
Class C | (1,251 | ) | (2,644 | ) | — | — | ||||||||||
Class I | 1,951 | 2,463 | (1,473 | ) | (1,224 | ) | ||||||||||
Class R6 | (28 | ) | 462 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets from capital transactions | (3,295 | ) | (4,019 | ) | (2,162 | ) | (2,800 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (6,330 | ) | (4,588 | ) | (3,097 | ) | (3,778 | ) | ||||||||
Net Assets | ||||||||||||||||
Beginning of period | 73,267 | 77,855 | 27,335 | 31,113 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 66,937 | $ | 73,267 | $ | 24,238 | $ | 27,335 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income (loss) at end of period | 151 | 176 | 30 | 29 |
See Notes to Financial Statements
81
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
Newfleet High Yield Fund | Newfleet Low Duration Income Fund | |||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||||||||||
Net investment income (loss) | $ | 3,721 | $ | 3,933 | $ | 8,941 | $ | 7,558 | ||||||||
Net realized gain (loss) | 56 | (619 | ) | (1,531 | ) | (561 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | (1,946 | ) | 1,684 | (5,177 | ) | (2,302 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from operations | 1,831 | 4,998 | 2,233 | 4,695 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (3,001 | ) | (3,074 | ) | (1,854 | ) | (1,761 | ) | ||||||||
Class B | — | — | (1) | — | — | |||||||||||
Class C | (173 | ) | (180 | ) | (423 | ) | (465 | ) | ||||||||
Class I | (353 | ) | (419 | ) | (6,664 | ) | (5,306 | ) | ||||||||
Class R6 | (292 | ) | (73 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders | (3,819 | ) | (3,746 | ) | (8,941 | ) | (7,532 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Net Assets From Capital Transactions (See Note 5) | ||||||||||||||||
Class A | (3,267 | ) | (8,670 | ) | (5,375 | ) | (19,703 | ) | ||||||||
Class B | — | (27 | ) | — | — | |||||||||||
Class C | (235 | ) | (705 | ) | (9,071 | ) | (13,906 | ) | ||||||||
Class I | 2,147 | (1,545 | ) | 19,203 | 844 | |||||||||||
Class R6 | (704 | ) | 5,263 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets from capital transactions | (2,059 | ) | (5,684 | ) | 4,757 | (32,765 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (4,047 | ) | (4,432 | ) | (1,951 | ) | (35,602 | ) | ||||||||
Net Assets | ||||||||||||||||
Beginning of period | 72,117 | 76,549 | 364,719 | 400,321 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 68,070 | $ | 72,117 | $ | 362,768 | $ | 364,719 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | 300 | $ | 252 | $ | 266 | $ | 267 |
(1) Amount is less than $500.
See Notes to Financial Statements
82
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | |||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||||||||||
Net investment income (loss) | $ | 15,818 | $ | 14,922 | $ | 22,734 | $ | 22,762 | ||||||||
Net realized gain (loss) | (5,000 | ) | (1,924 | ) | 356 | (5,929 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | (11,400 | ) | 5,280 | (803 | ) | 6,546 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from operations | (582 | ) | 18,278 | 22,287 | 23,379 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (3,326 | ) | (3,951 | ) | (9,078 | ) | (9,291 | ) | ||||||||
Class B | — | (21 | ) | — | — | |||||||||||
Class C | (2,011 | ) | (2,434 | ) | (3,128 | ) | (3,605 | ) | ||||||||
Class I | (8,704 | ) | (7,495 | ) | (10,787 | ) | (10,697 | ) | ||||||||
Class R6 | (792 | ) | (277 | ) | (22 | ) | (4 | ) | ||||||||
Tax Return on Capital | ||||||||||||||||
Class A | (123 | ) | — | — | — | |||||||||||
Class C | (91 | ) | — | — | — | |||||||||||
Class I | (302 | ) | — | — | — | |||||||||||
Class R6 | (27 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders | (15,376 | ) | (14,178 | ) | (23,015 | ) | (23,597 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Net Assets From Capital Transactions (See Note 5) | ||||||||||||||||
Class A | (10,361 | ) | (12,696 | ) | (26,751 | ) | (4,634 | ) | ||||||||
Class B | — | (1,709 | ) | — | — | |||||||||||
Class C | (7,437 | ) | (12,158 | ) | (19,138 | ) | (14,097 | ) | ||||||||
Class I | (34,563 | ) | 79,969 | (22,375 | ) | 40,395 | ||||||||||
Class R6 | (2,877 | ) | 17,313 | 9 | 104 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets from capital transactions | (55,238 | ) | 70,719 | (68,255 | ) | 21,768 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (71,196 | ) | 74,819 | (68,983 | ) | 21,550 | ||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 376,294 | 301,475 | 571,729 | 550,179 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 305,098 | $ | 376,294 | $ | 502,746 | $ | 571,729 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | (173 | ) | $ | 410 | $ | 369 | $ | (712 | ) |
See Notes to Financial Statements
83
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
Newfleet Tax-Exempt Bond Fund | ||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||
Net investment income (loss) | $ | 4,498 | $ | 4,942 | ||||
Net realized gain (loss) | 806 | 729 | ||||||
Net change in unrealized appreciation (depreciation) | (5,784 | ) | (5,583 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from operations | (480 | ) | 88 | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Net Investment Income: | ||||||||
Class A | (1,166 | ) | (1,460 | ) | ||||
Class C | (375 | ) | (434 | ) | ||||
Class I | (3,044 | ) | (2,858 | ) | ||||
Net Realized Gains: | ||||||||
Class A | (192 | ) | (97 | ) | ||||
Class C | (85 | ) | (36 | ) | ||||
Class I | (430 | ) | (147 | ) | ||||
|
|
|
| |||||
Dividends and distributions to shareholders | (5,292 | ) | (5,032 | ) | ||||
|
|
|
| |||||
Change in Net Assets From Capital Transactions (See Note 5) | ||||||||
Class A | (8,931 | ) | (21,229 | ) | ||||
Class C | (4,937 | ) | (5,334 | ) | ||||
Class I | 6,081 | (2,165 | ) | |||||
|
|
|
| |||||
Increase (decrease) in net assets from capital transactions | (7,787 | ) | (28,728 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | (13,559 | ) | (33,672 | ) | ||||
Net Assets | ||||||||
Beginning of period | 167,551 | 201,223 | ||||||
|
|
|
| |||||
End of period | $ | 153,992 | $ | 167,551 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income (loss) at end of period | $ | 217 | $ | 304 |
See Notes to Financial Statements
84
Table of Contents
VIRTUS OPPORTUNITIES TRUST
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Tax Return of Capital | Total Distributions | Payment from Affiliate | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3)(8) | Portfolio Turnover Rate(4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Newfleet Bond Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.31 | 0.36 | (0.46 | ) | (0.10 | ) | (0.37 | ) | — | — | (0.37 | ) | — | (0.47 | ) | $ | 10.84 | (0.92 | )% | $ | 33,998 | 0.84 | % | 1.12 | % | 3.24 | % | 49 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 11.38 | 0.37 | (0.08 | ) | 0.29 | (0.36 | ) | — | — | (0.36 | ) | — | (0.07 | ) | 11.31 | 2.60 | (14) | 39,536 | 0.84 | (14) | 1.17 | 3.26 | (14) | 56 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 11.02 | 0.36 | 0.33 | 0.69 | (0.33 | ) | — | — | (0.33 | ) | — | (5) | 0.36 | 11.38 | 6.38 | (11) | 44,136 | 0.86 | (12) | 1.18 | 3.28 | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 11.43 | 0.40 | (0.43 | ) | (0.03 | ) | (0.32 | ) | — | (0.06 | ) | (0.38 | ) | — | (0.41 | ) | 11.02 | (0.26 | ) | 48,064 | 0.85 | 1.12 | 3.55 | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 11.21 | 0.47 | 0.22 | 0.69 | (0.47 | ) | — | — | (0.47 | ) | — | 0.22 | 11.43 | 6.18 | 53,603 | 0.85 | 1.10 | 4.08 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.04 | 0.27 | (0.44 | ) | (0.17 | ) | (0.28 | ) | — | — | (0.28 | ) | — | (0.45 | ) | $ | 10.59 | (1.58 | )% | $ | 5,165 | 1.59 | % | 1.87 | % | 2.49 | % | 49 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 11.12 | 0.27 | (0.08 | ) | 0.19 | (0.27 | ) | — | — | (0.27 | ) | — | (0.08 | ) | 11.04 | 1.79 | (14) | 6,671 | 1.59 | (14) | 1.92 | 2.51 | (14) | 56 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 10.78 | 0.27 | 0.32 | 0.59 | (0.25 | ) | — | — | (0.25 | ) | — | (5) | 0.34 | 11.12 | 5.54 | (11) | 9,409 | 1.61 | (12) | 1.93 | 2.52 | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 11.19 | 0.30 | (0.41 | ) | (0.11 | ) | (0.24 | ) | — | (0.06 | ) | (0.30 | ) | — | (0.41 | ) | 10.78 | (1.00 | ) | 8,853 | 1.60 | 1.87 | 2.74 | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 10.99 | 0.37 | 0.21 | 0.58 | (0.38 | ) | — | — | (0.38 | ) | — | 0.20 | 11.19 | 5.34 | 6,315 | 1.60 | 1.85 | 3.33 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.49 | 0.39 | (0.46 | ) | (0.07 | ) | (0.40 | ) | — | — | (0.40 | ) | — | (0.47 | ) | $ | 11.02 | (0.60 | )% | $ | 27,360 | 0.59 | % | 0.84 | % | 3.50 | % | 49 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 11.56 | 0.40 | (0.08 | ) | 0.32 | (0.39 | ) | — | — | (0.39 | ) | — | (0.07 | ) | 11.49 | 2.81 | (14) | 26,597 | 0.59 | (14) | 0.92 | 3.52 | (14) | 56 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 11.19 | 0.40 | 0.33 | 0.73 | (0.36 | ) | — | — | (0.36 | ) | — | (5) | 0.37 | 11.56 | 6.63 | (11) | 24,236 | 0.61 | (12) | 0.93 | 3.51 | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 11.59 | 0.43 | (0.42 | ) | 0.01 | (0.35 | ) | — | (0.06 | ) | (0.41 | ) | — | (0.40 | ) | 11.19 | 0.08 | 17,456 | 0.60 | 0.87 | 3.78 | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 11.37 | 0.50 | 0.21 | 0.71 | (0.49 | ) | — | — | (0.49 | ) | — | 0.22 | 11.59 | 6.35 | 16,468 | 0.60 | 0.85 | 4.33 | 38 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.50 | 0.40 | (0.47 | ) | (0.07 | ) | (0.41 | ) | — | — | (0.41 | ) | — | (0.48 | ) | $ | 11.02 | (0.60 | )% | $ | 414 | 0.50 | %(7) | 0.79 | % | 3.59 | % | 49 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11/3/16(6) to 9/30/17 | 11.45 | 0.38 | 0.03 | 0.41 | (0.36 | ) | — | — | (0.36 | ) | — | 0.05 | 11.50 | 3.66 | (14) | 463 | 0.53 | (14) | 0.88 | 3.33 | (14) | 56 | (10) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Newfleet CA | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.81 | 0.32 | (0.32 | ) | — | (0.32 | ) | (0.09 | ) | — | (0.41 | ) | — | (0.41 | ) | $ | 11.40 | (0.05 | )% | $ | 16,016 | 0.85 | % | 1.15 | % | 2.75 | % | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 12.17 | 0.33 | (0.28 | ) | 0.05 | (0.34 | ) | (0.07 | ) | — | (0.41 | ) | — | (0.36 | ) | 11.81 | 0.45 | (14) | 17,298 | 0.85 | (14) | 1.17 | 2.82 | (14) | 33 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 12.14 | 0.37 | 0.29 | 0.66 | (0.36 | ) | (0.27 | ) | — | (0.63 | ) | — | 0.03 | 12.17 | 5.56 | 19,464 | 0.86 | (12) | 1.22 | 3.03 | 21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 12.51 | 0.39 | 0.03 | 0.42 | (0.40 | ) | (0.39 | ) | — | (0.79 | ) | — | (0.37 | ) | 12.14 | 3.44 | 19,978 | 0.85 | 1.18 | 3.16 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 12.10 | 0.43 | 0.64 | 1.07 | (0.42 | ) | (0.24 | ) | — | (0.66 | ) | — | 0.41 | 12.51 | 9.16 | 21,729 | 0.85 | 1.11 | 3.49 | 7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.79 | 0.35 | (0.32 | ) | 0.03 | (0.35 | ) | (0.09 | ) | — | (0.44 | ) | — | (0.41 | ) | $ | 11.38 | 0.19 | % | $ | 8,222 | 0.60 | % | 0.96 | % | 3.00 | % | 6 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 12.15 | 0.36 | (0.28 | ) | 0.08 | (0.37 | ) | (0.07 | ) | — | (0.44 | ) | — | (0.36 | ) | 11.79 | 0.69 | (14) | 10,037 | 0.60 | (14) | 0.94 | 3.06 | (14) | 33 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 12.12 | 0.40 | 0.29 | 0.69 | (0.39 | ) | (0.27 | ) | — | (0.66 | ) | — | 0.03 | 12.15 | 5.83 | 11,649 | 0.61 | (12) | 0.97 | 3.28 | 21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 12.49 | 0.42 | 0.03 | 0.45 | (0.43 | ) | (0.39 | ) | — | (0.82 | ) | — | (0.37 | ) | 12.12 | 3.71 | 11,059 | 0.60 | 0.93 | 3.41 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 12.09 | 0.45 | 0.64 | 1.09 | (0.45 | ) | (0.24 | ) | — | (0.69 | ) | — | 0.40 | 12.49 | 9.36 | 11,453 | 0.60 | 0.83 | 3.74 | 7 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
85
Table of Contents
VIRTUS OPPORTUNITIES TRUST
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Tax Return of Capital | Total Distributions | Payment from Affiliate | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3)(8) | Portfolio Turnover Rate(4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Newfleet High Yield | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 4.25 | 0.23 | (0.12 | ) | 0.11 | (0.23 | ) | — | — | (0.23 | ) | — | (0.12 | ) | $ | 4.13 | 2.77 | % | $ | 51,859 | 0.99 | % | 1.34 | % | 5.48 | % | 66 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 4.18 | 0.23 | 0.06 | 0.29 | (0.22 | ) | — | — | (0.22 | ) | — | 0.07 | 4.25 | 7.05 | (14) | 56,694 | 1.00 | (7)(14) | 1.41 | 5.36 | (14) | 71 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 3.98 | 0.21 | 0.20 | 0.41 | (0.21 | ) | — | — | (0.21 | ) | — | (5) | 0.20 | 4.18 | 10.59 | (11) | 64,338 | 1.15 | (12) | 1.42 | 5.15 | 81 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 4.35 | 0.22 | (0.36 | ) | (0.14 | ) | (0.23 | ) | — | — | (0.23 | ) | — | (0.37 | ) | 3.98 | (3.39 | ) | 60,951 | 1.15 | 1.32 | 5.26 | 94 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 4.27 | 0.24 | 0.08 | 0.32 | (0.24 | ) | — | — | (0.24 | ) | — | 0.08 | 4.35 | 7.53 | 71,042 | 1.15 | 1.31 | 5.55 | 82 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 4.17 | 0.19 | (0.10 | ) | 0.09 | (0.20 | ) | — | — | (0.20 | ) | — | (0.11 | ) | $ | 4.06 | 2.20 | % | $ | 3,254 | 1.74 | % | 2.08 | % | 4.73 | % | 66 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 4.11 | 0.19 | 0.06 | 0.25 | (0.19 | ) | — | — | (0.19 | ) | — | 0.06 | 4.17 | 6.11 | (14) | 3,593 | 1.75 | (7)(14) | 2.17 | 4.61 | (14) | 71 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 3.92 | 0.17 | 0.20 | 0.37 | (0.18 | ) | — | — | (0.18 | ) | — | (5) | 0.19 | 4.11 | 9.68 | (11) | 4,231 | 1.90 | (12) | 2.17 | 4.40 | 81 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 4.28 | 0.19 | (0.35 | ) | (0.16 | ) | (0.20 | ) | — | — | (0.20 | ) | — | (0.36 | ) | 3.92 | (3.93 | ) | 3,705 | 1.90 | 2.07 | 4.52 | 94 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 4.21 | 0.21 | 0.07 | 0.28 | (0.21 | ) | — | — | (0.21 | ) | — | 0.07 | 4.28 | 6.60 | 4,038 | 1.90 | 2.07 | 4.79 | 82 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 4.25 | 0.24 | (0.12 | ) | 0.12 | (0.24 | ) | — | — | (0.24 | ) | — | (0.12 | ) | $ | 4.13 | 3.03 | % | $ | 8,557 | 0.74 | % | 1.14 | % | 5.72 | % | 66 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 4.18 | 0.24 | 0.06 | 0.30 | (0.23 | ) | — | — | (0.23 | ) | — | 0.07 | 4.25 | 7.31 | (14) | 6,577 | 0.75 | (7)(14) | 1.17 | 5.62 | (14) | 71 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 3.98 | 0.21 | 0.21 | 0.42 | (0.22 | ) | — | — | (0.22 | ) | — | (5) | 0.20 | 4.18 | 10.86 | (11) | 7,954 | 0.90 | (12) | 1.16 | 5.38 | 81 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 4.35 | 0.23 | (0.36 | ) | (0.13 | ) | (0.24 | ) | — | — | (0.24 | ) | — | (0.37 | ) | 3.98 | (3.15 | ) | 4,625 | 0.90 | 1.07 | 5.53 | 94 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 4.27 | 0.26 | 0.07 | 0.33 | (0.25 | ) | — | — | (0.25 | ) | — | 0.08 | 4.35 | 7.80 | 6,120 | 0.90 | 1.07 | 5.80 | 82 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 4.25 | 0.24 | (0.11 | ) | 0.13 | (0.25 | ) | — | — | (0.25 | ) | — | (0.12 | ) | $ | 4.13 | 3.09 | % | $ | 4,400 | 0.69 | % | 1.00 | % | 5.79 | % | 66 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11/3/16(6) to 9/30/17 | 4.14 | 0.22 | 0.10 | 0.32 | (0.21 | ) | — | — | (0.21 | ) | — | 0.11 | 4.25 | 7.93 | (14) | 5,253 | 0.69 | (7)(14) | 1.15 | 5.66 | (14) | 71 | (10) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Newfleet Low Duration Income Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.83 | 0.25 | (0.19 | ) | 0.06 | (0.25 | ) | — | — | (0.25 | ) | — | (0.19 | ) | $ | 10.64 | 0.55 | % | $ | 74,707 | 0.75 | % | 1.09 | % | 2.32 | % | 54 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.90 | 0.21 | (0.07 | ) | 0.14 | (0.21 | ) | — | — | (0.21 | ) | — | (0.07 | ) | 10.83 | 1.31 | 81,542 | 0.75 | 1.12 | 1.95 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 9/30/16(13) | 10.70 | 0.15 | 0.20 | 0.35 | (0.15 | ) | — | — | (0.15 | ) | — | 0.20 | 10.90 | 3.25 | 102,049 | 0.76 | (12) | 1.12 | 1.89 | 38 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 10.82 | 0.19 | (0.09 | ) | 0.10 | (0.19 | ) | — | (0.03 | ) | (0.22 | ) | — | (5) | (0.12 | ) | 10.70 | 0.89 | (11) | 85,666 | 0.75 | 1.12 | 1.77 | 56 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 10.83 | 0.22 | (0.01 | ) | 0.21 | (0.22 | ) | — | — | (0.22 | ) | — | (0.01 | ) | 10.82 | 1.94 | 75,456 | 0.92 | (7) | 1.11 | 2.02 | 58 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 10.96 | 0.21 | (0.13 | ) | 0.08 | (0.21 | ) | — | — | (0.21 | ) | — | (0.13 | ) | 10.83 | 0.76 | 39,436 | 0.95 | 1.14 | 1.93 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.83 | 0.17 | (0.19 | ) | (0.02 | ) | (0.17 | ) | — | — | (0.17 | ) | — | (0.19 | ) | $ | 10.64 | (0.20 | )% | $ | 22,809 | 1.50 | % | 1.82 | % | 1.55 | % | 54 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.90 | 0.13 | (0.07 | ) | 0.06 | (0.13 | ) | — | — | (0.13 | ) | — | (0.07 | ) | 10.83 | 0.56 | 32,400 | 1.50 | 1.87 | 1.20 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 9/30/16(13) | 10.70 | 0.09 | 0.19 | 0.28 | (0.08 | ) | — | — | (0.08 | ) | — | 0.20 | 10.90 | 2.67 | 46,642 | 1.51 | (12) | 1.87 | 1.15 | 38 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 10.82 | 0.11 | (0.10 | ) | 0.01 | (0.10 | ) | — | (0.03 | ) | (0.13 | ) | — | (5) | (0.12 | ) | 10.70 | 0.13 | (11) | 44,621 | 1.50 | 1.86 | 1.02 | 56 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 10.84 | 0.14 | (0.02 | ) | 0.12 | (0.14 | ) | — | — | (0.14 | ) | — | (0.02 | ) | 10.82 | 1.08 | 51,303 | 1.68 | (7) | 1.87 | 1.28 | 58 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 10.97 | 0.13 | (0.13 | ) | — | (0.13 | ) | — | — | (0.13 | ) | — | (0.13 | ) | 10.84 | 0.01 | 25,463 | 1.70 | 1.89 | 1.17 | 51 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
86
Table of Contents
VIRTUS OPPORTUNITIES TRUST
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Tax Return of Capital | Total Distributions | Payment from Affiliate | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3)(8) | Portfolio Turnover Rate(4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Newfleet Low Duration Income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fund (Continued) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.83 | 0.28 | (0.20 | ) | 0.08 | (0.28 | ) | — | — | (0.28 | ) | — | (0.20 | ) | $ | 10.63 | 0.71 | % | $ | 265,252 | 0.50 | % | 0.83 | % | 2.57 | % | 54 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.90 | 0.24 | (0.07 | ) | 0.17 | (0.24 | ) | — | — | (0.24 | ) | — | (0.07 | ) | 10.83 | 1.56 | 250,777 | 0.50 | 0.88 | 2.21 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 9/30/16(13) | 10.70 | 0.17 | 0.20 | 0.37 | (0.17 | ) | — | — | (0.17 | ) | — | 0.20 | 10.90 | 3.44 | 251,630 | 0.52 | (12) | 0.87 | 2.15 | 38 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 10.81 | 0.22 | (0.09 | ) | 0.13 | (0.21 | ) | — | (0.03 | ) | (0.24 | ) | — | (5) | (0.11 | ) | 10.70 | 1.24 | (11) | 150,977 | 0.50 | 0.88 | 2.03 | 56 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 10.83 | 0.25 | (0.02 | ) | 0.23 | (0.25 | ) | — | — | (0.25 | ) | — | (0.02 | ) | 10.81 | 2.10 | 92,794 | 0.68 | (7) | 0.91 | 2.27 | 58 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 10.96 | 0.24 | (0.13 | ) | 0.11 | (0.24 | ) | — | — | (0.24 | ) | — | (0.13 | ) | 10.83 | 1.02 | 52,790 | 0.70 | 0.94 | 2.18 | 51 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Newfleet Multi-Sector Intermediate Bond | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.42 | 0.45 | (0.46 | ) | (0.01 | ) | (0.42 | ) | — | (0.02 | ) | (0.44 | ) | — | (0.45 | ) | $ | 9.97 | (0.14 | )% | $ | 73,217 | 0.98 | % | 1.10 | % | 4.43 | % | 70 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.30 | 0.47 | 0.10 | 0.57 | (0.45 | ) | — | — | (0.45 | ) | — | 0.12 | 10.42 | 5.64 | (14) | 87,144 | 1.01 | (7)(14) | 1.13 | 4.55 | (14) | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.76 | 0.47 | 0.49 | 0.96 | (0.42 | ) | — | — | (0.42 | ) | — | 0.54 | 10.30 | 10.15 | 98,969 | 1.14 | (12) | 1.15 | 4.80 | 60 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 10.70 | 0.49 | (0.85 | ) | (0.36 | ) | (0.40 | ) | (0.13 | ) | (0.05 | ) | (0.58 | ) | — | (5) | (0.94 | ) | 9.76 | (3.41 | )(11) | 104,833 | 1.10 | 1.10 | 4.81 | 66 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 10.77 | 0.54 | 0.11 | 0.65 | (0.52 | ) | (0.20 | ) | — | (0.72 | ) | — | (0.07 | ) | 10.70 | 6.18 | 119,423 | 1.11 | 1.11 | 5.00 | 54 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.53 | 0.38 | (0.48 | ) | (0.10 | ) | (0.34 | ) | — | (0.02 | ) | (0.36 | ) | — | (0.46 | ) | $ | 10.07 | (0.96 | )% | $ | 53,809 | 1.73 | % | 1.83 | % | 3.68 | % | 70 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.40 | 0.39 | 0.11 | 0.50 | (0.37 | ) | — | — | (0.37 | ) | — | 0.13 | 10.53 | 4.90 | (14) | 63,919 | 1.77 | (7)(14) | 1.88 | 3.80 | (14) | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.85 | 0.40 | 0.50 | 0.90 | (0.35 | ) | — | — | (0.35 | ) | — | 0.55 | 10.40 | 9.34 | 75,350 | 1.88 | (12) | 1.90 | 4.04 | 60 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 10.79 | 0.42 | (0.85 | ) | (0.43 | ) | (0.33 | ) | (0.13 | ) | (0.05 | ) | (0.51 | ) | — | (5) | (0.94 | ) | 9.85 | (4.11 | )(11) | 84,099 | 1.85 | 1.85 | 4.06 | 66 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 10.86 | 0.47 | 0.10 | 0.57 | (0.44 | ) | (0.20 | ) | — | (0.64 | ) | — | (0.07 | ) | 10.79 | 5.33 | 96,072 | 1.86 | 1.86 | 4.25 | 54 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.43 | 0.48 | (0.47 | ) | 0.01 | (0.44 | ) | — | (0.02 | ) | (0.46 | ) | — | (0.45 | ) | $ | 9.98 | 0.14 | % | $ | 162,322 | 0.73 | % | 0.83 | % | 4.66 | % | 70 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.31 | 0.50 | 0.09 | 0.59 | (0.47 | ) | — | — | (0.47 | ) | — | 0.12 | 10.43 | 5.90 | (14) | 205,821 | 0.75 | (7)(14) | 0.88 | 4.83 | (14) | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.77 | 0.50 | 0.49 | 0.99 | (0.45 | ) | — | — | (0.45 | ) | — | 0.54 | 10.31 | 10.42 | 123,435 | 0.88 | (12) | 0.90 | 5.04 | 60 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 10.71 | 0.52 | (0.85 | ) | (0.33 | ) | (0.43 | ) | (0.13 | ) | (0.05 | ) | (0.61 | ) | — | (5) | (0.94 | ) | 9.77 | (3.17 | )(11) | 138,956 | 0.85 | 0.85 | 5.06 | 66 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 10.77 | 0.57 | 0.12 | 0.69 | (0.55 | ) | (0.20 | ) | — | (0.75 | ) | — | (0.06 | ) | 10.71 | 6.54 | 144,298 | 0.86 | 0.86 | 5.24 | 54 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.43 | 0.49 | (0.47 | ) | 0.02 | (0.45 | ) | — | (0.02 | ) | (0.47 | ) | — | (0.45 | ) | $ | 9.98 | 0.19 | % | $ | 15,750 | 0.62 | %(7) | 0.76 | % | 4.78 | % | 70 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.31 | 0.50 | 0.10 | 0.60 | (0.48 | ) | — | — | (0.48 | ) | — | 0.12 | 10.43 | 5.98 | (14) | 19,410 | 0.67 | (7)(14) | 0.82 | 4.79 | (14) | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.77 | 0.50 | 0.50 | 1.00 | (0.46 | ) | — | — | (0.46 | ) | — | 0.54 | 10.31 | 10.50 | 2,004 | 0.81 | (12) | 0.83 | 5.12 | 60 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11/14/14(6) to 9/30/15 | 10.67 | 0.46 | (0.81 | ) | (0.35 | ) | (0.37 | ) | (0.13 | ) | (0.05 | ) | (0.55 | ) | — | (5) | (0.90 | ) | 9.77 | (3.31 | )(11) | 1,778 | 0.76 | 0.77 | 5.12 | 66 | (10) |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
87
Table of Contents
VIRTUS OPPORTUNITIES TRUST
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Tax Return of Capital | Total Distributions | Payment from Affiliate | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3) | Portfolio Turnover Rate(4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Newfleet Senior Floating | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 9.42 | 0.41 | (0.01 | ) | 0.40 | (0.41 | ) | — | — | (0.41 | ) | — | (0.01 | ) | $ | 9.41 | 4.33 | % | $ | 196,025 | 1.09 | % | 1.12 | % | 4.31 | % | 37 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 9.42 | 0.37 | 0.02 | 0.39 | (0.39 | ) | — | — | (0.39 | ) | — | — | 9.42 | 4.28 | 223,055 | 1.10 | (7) | 1.16 | 3.95 | 95 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.36 | 0.34 | 0.06 | 0.40 | (0.34 | ) | — | — | (0.34 | ) | — | 0.06 | 9.42 | 4.42 | 227,588 | 1.23 | (9)(12) | 1.24 | 3.67 | 48 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 9.72 | 0.38 | (0.32 | ) | 0.06 | (0.39 | ) | (0.03 | ) | — | (0.42 | ) | — | (5) | (0.36 | ) | 9.36 | 0.53 | (11) | 268,596 | 1.20 | (9) | 1.20 | 3.94 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 9.79 | 0.37 | (0.07 | ) | 0.30 | (0.37 | ) | — | — | (0.37 | ) | — | (0.07 | ) | 9.72 | 3.08 | 294,617 | 1.18 | (9) | 1.18 | 3.79 | 77 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 9.44 | 0.33 | (0.01 | ) | 0.32 | (0.34 | ) | — | — | (0.34 | ) | — | (0.02 | ) | $ | 9.42 | 3.45 | % | $ | 78,558 | 1.84 | % | 1.91 | % | 3.55 | % | 37 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 9.43 | 0.30 | 0.03 | 0.33 | (0.32 | ) | — | — | (0.32 | ) | — | 0.01 | 9.44 | 3.50 | 97,800 | 1.85 | (7) | 1.92 | 3.20 | 95 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.37 | 0.27 | 0.06 | 0.33 | (0.27 | ) | — | — | (0.27 | ) | — | 0.06 | 9.43 | 3.63 | 111,839 | 1.98 | (9)(12) | 1.99 | 2.92 | 48 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 9.73 | 0.31 | (0.33 | ) | (0.02 | ) | (0.31 | ) | (0.03 | ) | — | (0.34 | ) | — | (5) | (0.36 | ) | 9.37 | (0.22 | )(11) | 138,478 | 1.95 | (9) | 1.95 | 3.19 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 9.81 | 0.30 | (0.08 | ) | 0.22 | (0.30 | ) | — | — | (0.30 | ) | — | (0.08 | ) | 9.73 | 2.20 | 177,485 | 1.93 | (9) | 1.93 | 3.04 | 77 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 9.42 | 0.43 | (0.02 | ) | 0.41 | (0.43 | ) | — | — | (0.43 | ) | — | (0.02 | ) | $ | 9.40 | 4.48 | % | $ | 228,058 | 0.84 | % | 0.90 | % | 4.56 | % | 37 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 9.41 | 0.40 | 0.02 | 0.42 | (0.41 | ) | — | — | (0.41 | ) | — | 0.01 | 9.42 | 4.54 | 250,770 | 0.84 | (7) | 0.92 | 4.21 | 95 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.35 | 0.36 | 0.06 | 0.42 | (0.36 | ) | — | — | (0.36 | ) | — | 0.06 | 9.41 | 4.69 | 210,752 | 0.97 | (9)(12) | 0.98 | 3.91 | 48 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 9.71 | 0.40 | (0.32 | ) | 0.08 | (0.41 | ) | (0.03 | ) | — | (0.44 | ) | — | (5) | (0.36 | ) | 9.35 | 0.78 | (11) | 284,735 | 0.95 | (9) | 0.95 | 4.20 | 34 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 9.79 | 0.40 | (0.09 | ) | 0.31 | (0.39 | ) | — | — | (0.39 | ) | — | (0.08 | ) | 9.71 | 3.23 | 457,494 | 0.93 | (9) | 0.93 | 4.06 | 77 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 9.42 | 0.44 | (0.02 | ) | 0.42 | (0.44 | ) | — | — | (0.44 | ) | — | (0.02 | ) | $ | 9.40 | 4.60 | % | $ | 105 | 0.75 | %(7) | 0.86 | % | 4.70 | % | 37 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11/3/16(6) to 9/30/17 | 9.43 | 0.36 | 0.01 | 0.37 | (0.38 | ) | — | — | (0.38 | ) | — | (0.01 | ) | 9.42 | 4.32 | 104 | 0.77 | (7) | 0.86 | 3.76 | 95 | (10) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Newfleet Tax-Exempt | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.28 | 0.31 | (0.35 | ) | (0.04 | ) | (0.31 | ) | (0.05 | ) | — | (0.36 | ) | — | (0.40 | ) | $ | 10.88 | (0.35 | )% | $ | 36,238 | 0.85 | % | 0.99 | % | 2.78 | % | 15 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 11.55 | 0.31 | (0.26 | ) | 0.05 | (0.30 | ) | (0.02 | ) | — | (0.32 | ) | — | (0.27 | ) | 11.28 | 0.48 | (14) | 46,657 | 0.85 | (14) | 1.03 | 2.78 | (14) | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 9/30/16(13) | 11.43 | 0.22 | 0.12 | 0.34 | (0.22 | ) | — | — | (0.22 | ) | — | 0.12 | 11.55 | 3.00 | 69,711 | 0.87 | (12) | 1.03 | 2.53 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 11.46 | 0.30 | (0.03 | ) | 0.27 | (0.29 | ) | (0.01 | ) | — | (0.30 | ) | — | (0.03 | ) | 11.43 | 2.39 | 74,418 | 0.85 | 1.00 | 2.60 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 10.91 | 0.31 | 0.56 | 0.87 | (0.32 | ) | — | (5) | — | (0.32 | ) | — | 0.55 | 11.46 | 7.94 | 79,906 | 0.85 | 0.99 | 2.73 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 11.62 | 0.30 | (0.71 | ) | (0.41 | ) | (0.30 | ) | — | — | (0.30 | ) | — | (0.71 | ) | 10.91 | (3.48 | ) | 89,303 | 0.85 | 0.98 | 2.66 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.29 | 0.22 | (0.34 | ) | (0.12 | ) | (0.23 | ) | (0.05 | ) | — | (0.28 | ) | — | �� | (0.40 | ) | $ | 10.89 | (1.09 | )% | $ | 15,238 | 1.60 | % | 1.73 | % | 2.03 | % | 15 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 11.55 | 0.23 | (0.25 | ) | (0.02 | ) | (0.22 | ) | (0.02 | ) | — | (0.24 | ) | — | (0.26 | ) | 11.29 | (0.18 | )(14) | 20,832 | 1.60 | (14) | 1.78 | 2.03 | (14) | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 9/30/16(13) | 11.43 | 0.15 | 0.13 | 0.28 | (0.16 | ) | — | — | (0.16 | ) | — | 0.12 | 11.55 | 2.42 | 26,833 | 1.61 | (12) | 1.78 | 1.78 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 11.46 | 0.21 | (0.03 | ) | 0.18 | (0.20 | ) | (0.01 | ) | — | (0.21 | ) | — | (0.03 | ) | 11.43 | 1.62 | 30,316 | 1.60 | 1.75 | 1.85 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 10.92 | 0.22 | 0.55 | 0.77 | (0.23 | ) | — | (5) | — | (0.23 | ) | — | 0.54 | 11.46 | 7.13 | 30,967 | 1.60 | 1.74 | 1.98 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 11.63 | 0.22 | (0.72 | ) | (0.50 | ) | (0.21 | ) | — | — | (0.21 | ) | — | (0.71 | ) | 10.92 | (4.29 | ) | 28,845 | 1.60 | 1.73 | 1.92 | 29 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
88
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VIRTUS OPPORTUNITIES TRUST
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Tax Return of Capital | Total Distributions | Payment from Affiliate | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3)(8) | Portfolio Turnover Rate(4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Newfleet Tax-Exempt | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Continued) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.28 | 0.33 | (0.34 | ) | (0.01 | ) | (0.34 | ) | (0.05 | ) | — | (0.39 | ) | — | (0.40 | ) | $ | 10.88 | (0.10 | )% | $ | 102,516 | 0.60 | % | 0.74 | % | 3.03 | % | 15 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 11.55 | 0.34 | (0.26 | ) | 0.08 | (0.33 | ) | (0.02 | ) | — | (0.35 | ) | — | (0.27 | ) | 11.28 | 0.73 | (14) | 100,062 | 0.60 | (14) | 0.79 | 3.04 | (14) | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/16 to 9/30/16(13) | 11.43 | 0.24 | 0.12 | 0.36 | (0.24 | ) | — | — | (0.24 | ) | — | 0.12 | 11.55 | 3.19 | 104,679 | 0.62 | (12) | 0.78 | 2.78 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 11.46 | 0.33 | (0.03 | ) | 0.30 | (0.32 | ) | (0.01 | ) | — | (0.33 | ) | — | (0.03 | ) | 11.43 | 2.64 | 90,912 | 0.60 | 0.77 | 2.85 | 10 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 10.91 | 0.34 | 0.56 | 0.90 | (0.35 | ) | — | (5) | — | (0.35 | ) | — | 0.55 | 11.46 | 8.30 | 86,459 | 0.60 | 0.79 | 2.98 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/1/13 to 12/31/13 | 11.62 | 0.33 | (0.71 | ) | (0.38 | ) | (0.33 | ) | — | — | (0.33 | ) | — | (0.71 | ) | 10.91 | (3.33 | ) | 82,936 | 0.60 | 0.77 | 2.88 | 29 |
Footnote Legend
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | Annualized for periods less than one year. |
(4) | Not annualized for periods less than one year. |
(5) | Amount is less than $0.005 per share. |
(6) | Inception date. |
(7) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(8) | The Funds will also indirectly bear their prorated share of expenses of the underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(9) | The Fund is currently under its expense limitation. |
(10) | Portfolio turnover is representative of the Fund for the entire period. |
(11) | Payment from affiliate had no impact on total return. |
(12) | Net expense ratio includes extraordinary proxy expenses. |
(13) | The Fund changed its fiscal year end to September 30 during the period. |
(14) | State Street Bank & Trust, custodian for some of the Funds through January 29, 2010, reimbursed the Funds for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and the Ratio of Net Investment Income (Loss) to Average Net Assets. If it was included, the impact would have been to lower the Ratio of Net Expenses and increase the Ratio of Net Investment Income (Loss) as follows: |
Class A | Class C | Class I | Class R6 | |||||||||||||
Newfleet Bond Fund | 0.02 | % | 0.02 | % | 0.02 | % | — | |||||||||
Newfleet California Tax Exempt Fund | 0.02 | % | — | 0.02 | % | — | ||||||||||
Newfleet High Yield Fund | 0.08 | % | 0.08 | % | 0.08 | % | — | |||||||||
Newfleet Multi-Sector Intermediate Bond Fund | 0.02 | % | 0.02 | % | 0.02 | % | — | |||||||||
Newfleet Tax Exempt Bond Fund | 0.01 | % | 0.01 | % | 0.01 | % | — |
Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return as follows: |
Class A | Class C | Class I | Class R6 | |||||||||||||
Newfleet Bond Fund | 0.02 | % | 0.02 | % | 0.02 | % | — | |||||||||
Newfleet California Tax Exempt Fund | 0.02 | % | — | 0.02 | % | — | ||||||||||
Newfleet High Yield Fund | 0.08 | % | 0.08 | % | 0.08 | % | — | |||||||||
Newfleet Multi-Sector Intermediate Bond Fund | 0.02 | % | 0.02 | % | 0.02 | % | — | |||||||||
Newfleet Tax Exempt Bond Fund | 0.01 | % | 0.01 | % | 0.01 | % | — |
See Notes to Financial Statements
89
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VIRTUS OPPORTUNITIES TRUST
SEPTEMBER 30, 2018
Note 1. Organization
Virtus Opportunities Trust (the “Trust”) is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
As of the date of this report, 24 funds of the Trust are offered for sale, of which seven (each a “Fund” or collectively, the “Funds”) are reported in this annual report.
Each Fund is diversified and has a distinct investment objective(s). Each Fund’s investment objective is outlined in its respective summary page. There is no guarantee that a Fund will achieve its objective(s).
All of the Funds offer Class A shares and Class I shares. All of the Funds with the exception of the Newfleet CA Tax-Exempt Bond Fund offer Class C shares. Effective March 6, 2017, Class B shares were converted to Class A shares. Prior to March 6, 2017, Class B shares were only available to existing shareholders through qualifying transactions. The Newfleet Bond Fund, Newfleet High Yield Fund, Newfleet Multi-Sector Intermediate Bond Fund and Newfleet Senior Floating Rate Fund also offer Class R6 shares.
Class A shares of Newfleet Low Duration Income Fund are sold with a front-end sales charge of 2.25% with some exceptions. Class A shares of the Newfleet CA Tax-Exempt Bond Fund, Newfleet Senior Floating Rate Fund and Newfleet Tax-Exempt Bond Fund are sold with a front-end sales charge of up to 2.75% with some exceptions. Class A shares of the Newfleet Bond Fund, Newfleet High Yield Fund, and Newfleet Multi-Sector Intermediate Bond Fund are sold with a front-end sales charge of up to 3.75% with some exceptions. Generally, Class A shares are not subject to any charges by the Funds when redeemed; however, a 0.50% – 1% contingent deferred sales charge (“CDSC”) may be imposed on certain redemptions made within a certain period following purchases on which a finder’s fee has been paid. The period for which such CDSC applies for the Funds is 18 months. The CDSC period begins on the last day of the month preceding the month in which the purchase was made.
Prior to March 6, 2017, Class B shares were generally sold with a CDSC, which declined from 5% to zero depending on the period of time the shares were held. Class C shares are generally sold with a 1% CDSC, applicable if redeemed within one year of purchase. Class R6 and Class I shares are sold without a front-end sales charge or CDSC.
Class R6 shares are available only to the following investors without a minimum initial investment or minimum additional purchases: certain employer-sponsored retirement plans, including Section 401(k), 403(b) and 457 plans, profit-sharing plans, money purchase pension plans and defined benefit plans and nonqualified deferred compensation plans, in each case provided that plan level or omnibus accounts are held on the books of the fund. Other institutional investors may be permitted to purchase Class R6 shares subject to the applicable Fund’s determination of eligibility and may be subject to a minimum initial investment requirement. Class R6 shares do not carry sales commissions or pay Rule 12b-1 fees. No compensation, administrative payments, sub-transfer agency payments or service payments are paid to brokers or other entities from Fund assets or the Funds’ distributor’s or an affiliate’s resources on sales of or investments in Class R6 shares.
The Funds may impose an annual fee on accounts having balances of less than $2,500. The small account fee may be waived in certain circumstances, as disclosed in the prospectuses and/or statements of additional information. The fees collected will be used to offset certain expenses of the Funds. These fees are reflected as “Low Balance Account Fees” in each Fund’s Statements of Operations for the period, as applicable.
Each class of shares has identical voting, dividend, liquidation and other rights and the same terms and conditions, except that each class bears any expenses attributable specifically to that class (“class-specific expenses”) and has exclusive voting rights with respect to any Rule 12b-1 and/or shareholder service plan (“12b-1 Plan”) approved by the Board. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. Class-specific expenses may include shareholder servicing fees, sub-transfer agency fees, and fees under a 12b-1 Plan, as well as certain other expenses as designated by the Funds’ Treasurer and approved by the Board. Investment income, common operating expenses and realized and unrealized gains and losses of each Fund are borne pro-rata by the holders of each class of shares.
Note 2. Significant Accounting Policies
The Trust is an investment company that follows the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to Investment Companies. The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be significant.
A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• Level 1 – | quoted prices in active markets for identical securities (security types generally include listed equities). |
• Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• Level 3 – | prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to a Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
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VIRTUS OPPORTUNITIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Funds fair value non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, ETFs, and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer-supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities, may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value a Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for each Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds.
Dividend income from REIT investments is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
C. | Income Taxes |
Each Fund is treated as a separate taxable entity. It is the intention of each Fund to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made.
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
Management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of September 30, 2018, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2015 forward (with limited exceptions).
D. | Distributions to Shareholders |
Distributions are recorded by each Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP.
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each Fund or an alternative allocation method can be more appropriately used.
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear each Fund’s pro-rata expenses of the underlying mutual funds in which the Fund invests.
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the
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results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
G. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Funds may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Fund to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. The Fund records when-issued and delayed delivery securities on the trade date. Each Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or delayed delivery basis begin earning interest on the settlement date.
H. | Interest-Only and Principal-Only Securities |
Certain Funds may invest in stripped mortgage-backed securities. Stripped mortgage-backed securities represent a participation in, or are secured by, or payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. Stripped mortgage-backed securities include interest-only securities (IOs) which receive all of the interest, and principal-only securities (POs) which receive all of the principal. The market value of these securities is highly sensitive to changes in interest rates and a rapid (slow) rate of principal payments may have an adverse (positive) effect on yield to maturity. Payments received for IOs are included in interest income. Because principal will not be received at the maturity of an IO, adjustments are made to the book value of the security on a daily basis until maturity and these adjustments are also included in interest income. Payments received for POs are treated as reductions to the cost and par value of the securities. Any pay down gains or losses associated with the payments received are included in interest income. If the underlying mortgage assets are greater than anticipated payments of principal, a Fund may fail to recoup some or all of its initial investment in these securities.
I. | Leveraged Loans |
Certain Funds may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan.
A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due.
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the LIBOR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased a Fund may pay an assignment fee. On an ongoing basis, a Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
As of September 30, 2018, the Funds had the following unfunded loan commitments:
Fund | Borrower | Unfunded Loan Commitment | ||||
Newfleet Multi-Sector Intermediate Bond Fund | Carlisle Food Service Products, Inc. First Lien | $ | 14 | |||
Pearl Intermediate Parent LLC First Lien | 100 | |||||
Securus Technologies Holdings, Inc. | | 140 | | |||
St. George’s University Scholastic Services LLC | 92 | |||||
Newfleet Senior Floating Rate Fund | Carlisle Food Service Products, Inc. First Lien | 61 | ||||
Heartland Dental LLC | 226 | |||||
Pearl Intermediate Parent LLC First Lien | 303 | |||||
Securus Technologies Holdings, Inc. | | 212 | | |||
St. George’s University Scholastic Services LLC | 370 |
J. | Securities Lending |
($ reported in thousands)
Certain Funds may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when a Fund lends securities the Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and
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rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.
At September 30, 2018, the following Funds had securities on loan:
Market Value | Cash Collateral | |||||||
Newfleet Bond Fund | $ | 299 | $ | 308 | ||||
Newfleet High Yield Fund | 4,598 | 4,759 | ||||||
Newfleet Low Duration Income Fund | 384 | 392 | ||||||
Newfleet Multi-Sector Intermediate Bond Fund | 5,570 | 5,808 |
Note 3. Investment Advisory Fees and Related Party Transactions
A. | Investment Adviser |
($ reported in thousands)
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Trust. The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadvisers.
As compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly, based upon the following annual rates as a percentage of the average daily net assets of each Fund:
Newfleet Tax-Exempt Bond Fund | 0.45% |
First $1 Billion | $1+ Billion | |||||||
Newfleet Bond Fund | 0.45 | % | 0.40 | % |
First $1 Billion | $1+ Billion Through $2 Billion | $2+ Billion | ||||||||||
Newfleet CA Tax-Exempt Bond Fund | 0.45 | % | 0.40 | % | 0.35 | % | ||||||
Newfleet High Yield Fund | 0.65 | 0.60 | 0.55 | |||||||||
Newfleet Low Duration Income Fund | 0.55 | 0.50 | 0.45 | |||||||||
Newfleet Multi-Sector Intermediate Bond Fund | 0.55 | 0.50 | 0.45 |
First $2 Billion | $2+ Billion Through $4 Billion | $4+ Billion | ||||||||||
Newfleet Senior Floating Rate Fund | 0.45 | % | 0.40 | % | 0.38 | % |
During the period covered by these financial statements, the Newfleet Bond Fund and the Newfleet Multi-Sector Intermediate Fund, each invested a portion of its assets in Virtus Newfleet Credit Opportunities Fund, an affiliated mutual fund. In order to avoid any duplication of advisory fees, the Adviser has voluntarily waived its advisory fees in an amount equal to that which would otherwise be paid by each Fund on the assets invested in the Virtus Newfleet Credit Opportunities Fund. For the period covered by these financial statements, the waiver amounted to $5, and $50, respectively. These waivers are in addition to the expense limitation and/or fee waiver covered elsewhere in these financial statements and are included in the Statements of Operations in “Less expenses reimbursed and/or waived by investment adviser”.
B. | Subadviser |
The Subadviser manages the investments of each Fund, for which it is paid a fee by the Adviser. Newfleet Asset Management, LLC (the “Subadviser”), an indirect, wholly-owned subsidiary of Virtus, is the subadviser to the Funds.
C. | Expense Limits and Fee Waivers |
The Adviser has contractually agreed to limit certain Funds’ annual total operating expenses (excluding front-end or contingent deferred loads, taxes, leverage expenses, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, unusual or infrequently occurring expenses (such as litigation), acquired fund fees and expenses and dividend expenses, if any), so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through January 31, 2019. The waivers and reimbursements are calculated daily and received monthly.
Class A | Class C | Class I | Class R6 | |||||||||||||
Newfleet Bond Fund | 0.85 | % | 1.60 | % | 0.60 | % | 0.48 | %(2) | ||||||||
Newfleet CA Tax-Exempt Bond Fund | 0.85 | N/A | 0.60 | N/A | ||||||||||||
Newfleet High Yield Fund | 1.00 | 1.75 | 0.75 | 0.69 | ||||||||||||
Newfleet Low Duration Income Fund | 0.75 | 1.50 | 0.50 | N/A | ||||||||||||
Newfleet Multi-Sector Intermediate Bond Fund | 0.99 | 1.74 | 0.74 | 0.60 | (2) | |||||||||||
Newfleet Senior Floating Rate Fund(1) | 0.94 | 1.69 | 0.69 | 0.55 | (2) | |||||||||||
Newfleet Tax-Exempt Bond Fund | 0.85 | 1.60 | 0.60 | N/A |
(1) | Excluding leverage expenses, if any. |
(2) | Effective March 29, 2018. For the period October 1, 2017, through March 28, 2018, the Class R6 expense caps were as follows for Newfleet Bond Fund, Newfleet Multi-Sector Intermediate Bond Fund, and Newfleet Senior Floating Rate Fund, respectively: 0.54%, 0.67%, and 0.63%. |
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D. | Expense Recapture |
($ reported in thousands)
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements, within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser-reimbursed expenses may be recaptured by the fiscal year ending:
Expiration | ||||||||||||||||
Fund | 2019 | 2020 | 2021 | TOTAL | ||||||||||||
Newfleet Bond Fund | ||||||||||||||||
Class A | $ | 142 | $ | 130 | $ | 98 | $ | 370 | ||||||||
Class C | 29 | 26 | 21 | 76 | ||||||||||||
Class I | 64 | 78 | 68 | 210 | ||||||||||||
Class R6 | — | 1 | 1 | 2 | ||||||||||||
Newfleet CA Tax-Exempt Bond Fund | ||||||||||||||||
Class A | 71 | 59 | 51 | 181 | ||||||||||||
Class I | 41 | 35 | 33 | 109 | ||||||||||||
Newfleet High Yield Fund | ||||||||||||||||
Class A | 154 | 233 | 180 | 567 | ||||||||||||
Class C | — | (1) | 16 | 21 | 37 | |||||||||||
Class I | 20 | 32 | 24 | 76 | ||||||||||||
Class R6 | — | 6 | 15 | 21 | ||||||||||||
Newfleet Low Duration Income Fund | ||||||||||||||||
Class A | 326 | 336 | 274 | 936 | ||||||||||||
Class C | 162 | 144 | 87 | 393 | ||||||||||||
Class I | 652 | 907 | 842 | 2,401 | ||||||||||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||||
Class A | — | 91 | 86 | 177 | ||||||||||||
Class C | — | 68 | 53 | 121 | ||||||||||||
Class I | — | 182 | 176 | 358 | ||||||||||||
Class R6 | — | 8 | 23 | 31 | ||||||||||||
Newfleet Senior Floating Rate Fund | ||||||||||||||||
Class A | — | 114 | 52 | 166 | ||||||||||||
Class C | — | 66 | 59 | 125 | ||||||||||||
Class I | — | 160 | 143 | 303 | ||||||||||||
Class R6 | — | — | (1) | 1 | 1 | |||||||||||
Newfleet Tax-Exempt Bond Fund | ||||||||||||||||
Class A | 117 | 98 | 59 | 274 | ||||||||||||
Class C | 45 | 41 | 22 | 108 | ||||||||||||
Class I | 156 | 184 | 137 | 477 |
(1) | Amount is less than $500. |
E. | Distributor |
($ reported in thousands)
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Fund’s shares. VP Distributors has advised the Funds that for the fiscal year (the “period”) ended September 30, 2018, it retained net commissions of $22 for Class A shares and CDSC of $13, and $9 for Class A shares, and Class C shares respectively.
In addition, each Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the annual rates of 0.25% for Class A shares and 1.00% for Class C shares; Class I shares and Class R6 shares are not subject to a 12b-1 Plan.
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply.
F. | Administrator and Transfer Agent |
($ reported in thousands)
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds.
For the period ended September 30, 2018, the Funds incurred administration fees in aggregate totaling $1,488 which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly.
For the period ended September 30, 2018, the Funds incurred transfer agent fees in aggregate totaling $1,555 which are included in the Statements of Operations within the line items “Transfer agent fees and expenses” and “Sub-transfer agent fees and expenses.” A portion of these fees are paid to outside entities that also provide services to the Trust. The fees are calculated daily and paid monthly.
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G. | Affiliated Shareholders |
($ reported in thousands)
At September 30, 2018, Virtus and its affiliates and the retirement plans of Virtus and its affiliates held shares of certain Funds which may be redeemed at any time that aggregated to the following:
Shares | Aggregate Net Asset Value | |||||||
Newfleet Bond Fund | ||||||||
Class R6 | 9,098 | $ | 100 | |||||
Newfleet High Yield Fund | ||||||||
Class R6 | 889,484 | 3,674 | ||||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||
Class R6 | 1,185,905 | 11,835 | ||||||
Newfleet Senior Floating Rate Fund | ||||||||
Class I | 389,892 | 3,665 | ||||||
Class R6 | 11,178 | 105 |
H. | Investments in Affiliates |
($ reported in thousands)
A summary of total long-term and short-term purchases and sales of an affiliated underlying fund, during the period ended September 30, 2018, is as follows:
Value, beginning of the period | Purchases | Sales proceeds | Net realized gain (loss) | Net change in unrealized appreciation (depreciation) | Value, end of period | Shares | Dividend income | Distributions of realized gains | ||||||||||||||||||||||||||||
Newfleet Bond Fund | ||||||||||||||||||||||||||||||||||||
Affiliated Mutual Fund—1.6% | ||||||||||||||||||||||||||||||||||||
Virtus Newfleet Credit Opportunities Fund Class R6(1) | $ | 1,154 | $ | — | $ | — | $ | — | $ | (14 | ) | $ | 1,140 | 117,904 | $ | 70 | $ | — | ||||||||||||||||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||||||||||||||||||||||||
Affiliated Mutual Fund—3.0% | ||||||||||||||||||||||||||||||||||||
Virtus Newfleet Credit Opportunities Fund Class R6(1) | 9,148 | — | — | — | (112 | ) | 9,036 | 934,418 | 553 | — |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
The Funds do not invest in the underlying fund for the purpose of exercising management or control; however, the investments made by the Funds within each of its principal investment strategies may represent a significant portion of the underlying fund’s net assets. At September 30, 2018, the Newfleet Multi-Sector Intermediate Bond Fund was the owner of record of approximately 10% of the Virtus Newfleet Credit Opportunities Fund.
I. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other Assets” on the Statements of Assets and Liabilities at September 30, 2018.
Note 4. Purchases and Sales of Securities
($ reported in thousands)
Purchases and sales of securities (excluding U.S. Government and agency securities, short-term securities, and written options) during the period ended September 30, 2018, were as follows:
Purchases | Sales | |||||||
Newfleet Bond Fund | $ | 29,861 | $ | 29,335 | ||||
Newfleet CA Tax-Exempt Bond Fund | 1,615 | 3,996 | ||||||
Newfleet High Yield Fund | 43,313 | 46,253 | ||||||
Newfleet Low Duration Income Fund | 188,314 | 150,869 | ||||||
Newfleet Multi-Sector Intermediate Bond Fund | 228,039 | 273,879 | ||||||
Newfleet Senior Floating Rate Fund | 207,060 | 251,834 | ||||||
Newfleet Tax-Exempt Bond Fund | 23,461 | 29,658 |
Purchases and sales of long-term U.S. Government and agency securities for the Funds during the period ended September 30, 2018, were as follows:
Purchases | Sales | |||||||
Newfleet Bond Fund | $ | 4,572 | $ | 6,951 | ||||
Newfleet Low Duration Income Fund | — | 34,812 | ||||||
Newfleet Multi-Sector Intermediate Bond Fund | 18,343 | 25,937 |
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Note 5. Capital Share Transactions
(reported in thousands)
Transactions in shares of capital stock, during the periods ended as indicated below, were as follows:
Newfleet Bond Fund | Newfleet CA Tax-Exempt Bond Fund | |||||||||||||||||||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Sale of shares | 151 | $ | 1,674 | 402 | $ | 4,509 | 12 | $ | 134 | 54 | $ | 630 | ||||||||||||||||||||
Conversion from Class B shares(1) | — | — | 3 | 34 | — | — | — | — | ||||||||||||||||||||||||
Reinvestment of distributions | 95 | 1,043 | 99 | 1,114 | 39 | 458 | 42 | 495 | ||||||||||||||||||||||||
Shares repurchased | (606 | ) | (6,684 | ) | (888 | ) | (9,885 | ) | (111 | ) | (1,281 | ) | (231 | ) | (2,701 | ) | ||||||||||||||||
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Net Increase / (Decrease) | (360 | ) | $ | (3,967 | ) | (384 | ) | $ | (4,228 | ) | (60 | ) | $ | (689 | ) | (135 | ) | $ | (1,576 | ) | ||||||||||||
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Class B | ||||||||||||||||||||||||||||||||
Sale of shares | — | $ | — | — | (2) | $ | — | (3) | — | $ | — | — | $ | — | ||||||||||||||||||
Reinvestment of distributions | — | — | — | (2) | 1 | — | — | — | — | |||||||||||||||||||||||
Shares repurchased | — | — | (4 | ) | (39 | ) | — | — | — | — | ||||||||||||||||||||||
Conversion to Class A shares(1) | — | — | (3 | ) | (34 | ) | — | — | — | — | ||||||||||||||||||||||
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Net Increase / (Decrease) | — | $ | — | (7 | ) | $ | (72 | ) | — | $ | — | — | $ | — | ||||||||||||||||||
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Class C | ||||||||||||||||||||||||||||||||
Sale of shares | 55 | $ | 591 | 79 | $ | 863 | — | $ | — | — | $ | — | ||||||||||||||||||||
Reinvestment of distributions | 13 | 145 | 16 | 171 | — | — | — | — | ||||||||||||||||||||||||
Shares repurchased | (184 | ) | (1,987 | ) | (337 | ) | (3,678 | ) | — | — | — | — | ||||||||||||||||||||
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Net Increase / (Decrease) | (116 | ) | $ | (1,251 | ) | (242 | ) | $ | (2,644 | ) | — | $ | — | — | $ | — | ||||||||||||||||
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Class I | ||||||||||||||||||||||||||||||||
Sale of shares | 638 | $ | 7,196 | 857 | $ | 9,728 | 85 | $ | 981 | 369 | $ | 4,286 | ||||||||||||||||||||
Reinvestment of distributions | 87 | 970 | 71 | 806 | 31 | 354 | 32 | 375 | ||||||||||||||||||||||||
Shares repurchased | (555 | ) | (6,215 | ) | (711 | ) | (8,071 | ) | (245 | ) | (2,808 | ) | (508 | ) | (5,885 | ) | ||||||||||||||||
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Net Increase / (Decrease) | 170 | $ | 1,951 | 217 | $ | 2,463 | (129 | ) | $ | (1,473 | ) | (107 | ) | $ | (1,224 | ) | ||||||||||||||||
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Class R6 | ||||||||||||||||||||||||||||||||
Sale of shares | 16 | $ | 183 | 43 | $ | 489 | — | $ | — | — | $ | — | ||||||||||||||||||||
Reinvestment of distributions | 1 | 15 | 1 | 7 | — | — | — | — | ||||||||||||||||||||||||
Shares repurchased | (20 | ) | (226 | ) | (3 | ) | (34 | ) | — | — | — | — | ||||||||||||||||||||
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|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (3 | ) | $ | (28 | ) | 41 | $ | 462 | — | $ | — | — | $ | — | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
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|
|
|
(1) | See Note 1 in Notes to Financial Statements for more information. |
(2) | Amount is less than 500 shares. |
(3) | Amount is less than $500. |
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Newfleet High Yield Fund | Newfleet Low Duration Income Fund | |||||||||||||||||||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Sale of shares | 270 | $ | 1,129 | 399 | $ | 1,684 | 1,964 | $ | 21,018 | 2,715 | $ | 29,348 | ||||||||||||||||||||
Conversion from Class B shares(1) | — | — | 5 | 22 | — | — | — | — | ||||||||||||||||||||||||
Reinvestment of distributions | 619 | 2,573 | 612 | 2,586 | 152 | 1,627 | 147 | 1,591 | ||||||||||||||||||||||||
Shares repurchased | (1,671 | ) | (6,969 | ) | (3,076 | ) | (12,962 | ) | (2,620 | ) | (28,020 | ) | (4,696 | ) | (50,642 | ) | ||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (782 | ) | $ | (3,267 | ) | (2,060 | ) | $ | (8,670 | ) | (504 | ) | $ | (5,375 | ) | (1,834 | ) | $ | (19,703 | ) | ||||||||||||
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| |||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||
Sale of shares | — | $ | — | — | $ | — | (3) | — | $ | — | — | $ | — | |||||||||||||||||||
Reinvestment of distributions | — | — | — | (2) | — | (3) | — | — | — | — | ||||||||||||||||||||||
Shares repurchased | — | — | (1 | ) | (5 | ) | — | — | — | — | ||||||||||||||||||||||
Conversion to Class A shares(1) | — | — | (5 | ) | (22 | ) | — | — | — | ��� | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | — | $ | — | (6 | ) | $ | (27 | ) | — | $ | — | — | $ | — | ||||||||||||||||||
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|
|
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|
| |||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Sale of shares | 169 | $ | 695 | 116 | $ | 480 | 289 | $ | 3,104 | 541 | $ | 5,842 | ||||||||||||||||||||
Reinvestment of distributions | 41 | 169 | 42 | 173 | 35 | 371 | 37 | 397 | ||||||||||||||||||||||||
Shares repurchased | (269 | ) | (1,099 | ) | (327 | ) | (1,358 | ) | (1,171 | ) | (12,546 | ) | (1,865 | ) | (20,145 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (59 | ) | $ | (235 | ) | (169 | ) | $ | (705 | ) | (847 | ) | $ | (9,071 | ) | (1,287 | ) | $ | (13,906 | ) | ||||||||||||
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| |||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Sale of shares | 1,270 | $ | 5,264 | 1,596 | $ | 6,738 | 12,640 | $ | 135,308 | 15,673 | $ | 169,247 | ||||||||||||||||||||
Reinvestment of distributions | 83 | 347 | 96 | 408 | 574 | 6,133 | 428 | 4,627 | ||||||||||||||||||||||||
Shares repurchased | (829 | ) | (3,464 | ) | (2,048 | ) | (8,691 | ) | (11,428 | ) | (122,238 | ) | (16,030 | ) | (173,030 | ) | ||||||||||||||||
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|
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | 524 | $ | 2,147 | (356 | ) | $ | (1,545 | ) | 1,786 | $ | 19,203 | 71 | $ | 844 | ||||||||||||||||||
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| |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||
Sale of shares | 128 | $ | 535 | 1,308 | $ | 5,573 | — | $ | — | — | $ | — | ||||||||||||||||||||
Reinvestment of distributions | 69 | 287 | 17 | 74 | — | — | — | — | ||||||||||||||||||||||||
Shares repurchased | (367 | ) | (1,526 | ) | (90 | ) | (384 | ) | — | — | — | — | ||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (170 | ) | $ | (704 | ) | 1,235 | $ | 5,263 | — | $ | — | — | $ | — | ||||||||||||||||||
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|
|
(1) | See Note 1 in Notes to Financial Statements for more information. |
(2) | Amount is less than 500 shares. |
(3) | Amount is less than $500. |
97
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VIRTUS OPPORTUNITIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | |||||||||||||||||||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Sale of shares | 831 | $ | 8,487 | 1,722 | $ | 17,764 | 1,367 | $ | 12,886 | 3,433 | $ | 32,534 | ||||||||||||||||||||
Conversion from Class B shares(1) | — | — | 93 | 958 | — | — | — | — | ||||||||||||||||||||||||
Reinvestment of distributions | 293 | 2,979 | 332 | 3,421 | 907 | 8,538 | 918 | 8,701 | ||||||||||||||||||||||||
Shares repurchased | (2,143 | ) | (21,827 | ) | (3,395 | ) | (34,839 | ) | (5,114 | ) | (48,175 | ) | (4,834 | ) | (45,869 | ) | ||||||||||||||||
|
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|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (1,019 | ) | $ | (10,361 | ) | (1,248 | ) | $ | (12,696 | ) | (2,840 | ) | $ | (26,751 | ) | (483 | ) | $ | (4,634 | ) | ||||||||||||
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| |||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||
Sale of shares | — | $ | — | — | $ | — | (3) | — | $ | — | — | $ | — | |||||||||||||||||||
Reinvestment of distributions | — | — | 2 | 19 | — | — | — | — | ||||||||||||||||||||||||
Shares repurchased | — | — | (76 | ) | (769 | ) | — | — | — | — | ||||||||||||||||||||||
Conversion to Class A shares(1) | — | — | (93 | ) | (959 | ) | — | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | — | $ | — | (167 | ) | $ | (1,709 | ) | — | $ | — | — | $ | — | ||||||||||||||||||
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| |||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Sale of shares | 616 | $ | 6,381 | 634 | $ | 6,581 | 511 | $ | 4,813 | 1,268 | $ | 12,062 | ||||||||||||||||||||
Reinvestment of distributions | 169 | 1,741 | 185 | 1,926 | 289 | 2,726 | 327 | 3,103 | ||||||||||||||||||||||||
Shares repurchased | (1,517 | ) | (15,559 | ) | (1,993 | ) | (20,665 | ) | (2,828 | ) | (26,677 | ) | (3,085 | ) | (29,262 | ) | ||||||||||||||||
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (732 | ) | $ | (7,437 | ) | (1,174 | ) | $ | (12,158 | ) | (2,028 | ) | $ | (19,138 | ) | (1,490 | ) | $ | (14,097 | ) | ||||||||||||
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| |||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Sale of shares | 6,922 | $ | 71,241 | 12,330 | $ | 126,996 | 8,904 | $ | 83,832 | 15,257 | $ | 144,595 | ||||||||||||||||||||
Reinvestment of distributions | 617 | 6,288 | 534 | 5,519 | 707 | 6,652 | 825 | 7,812 | ||||||||||||||||||||||||
Shares repurchased | (11,003 | ) | (112,092 | ) | (5,110 | ) | (52,546 | ) | (11,991 | ) | (112,859 | ) | (11,839 | ) | (112,012 | ) | ||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (3,464 | ) | $ | (34,563 | ) | 7,754 | $ | 79,969 | (2,380 | ) | $ | (22,375 | ) | 4,243 | $ | 40,395 | ||||||||||||||||
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| |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||
Sale of shares | 220 | $ | 2,256 | 1,757 | $ | 18,255 | 132 | $ | 1,250 | 11 | $ | 100 | ||||||||||||||||||||
Reinvestment of distributions | 80 | 814 | 27 | 278 | — | (1) | 4 | — | (2) | 4 | ||||||||||||||||||||||
Shares repurchased | (583 | ) | (5,947 | ) | (118 | ) | (1,220 | ) | (132 | ) | (1,245 | ) | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (283 | ) | $ | (2,877 | ) | 1,666 | $ | 17,313 | — | (1) | $ | 9 | 11 | $ | 104 | |||||||||||||||||
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| |||||||||||||||||
Newfleet Tax-Exempt Bond Fund | ||||||||||||||||||||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Sale of shares | 124 | $ | 1,366 | 213 | $ | 2,388 | ||||||||||||||||||||||||||
Reinvestment of distributions | 103 | 1,137 | 119 | 1,335 | ||||||||||||||||||||||||||||
Shares repurchased | (1,032 | ) | (11,434 | ) | (2,234 | ) | (24,952 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net Increase / (Decrease) | (805 | ) | $ | (8,931 | ) | (1,902 | ) | $ | (21,229 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Sale of shares | 66 | $ | 737 | 118 | $ | 1,326 | ||||||||||||||||||||||||||
Reinvestment of distributions | 36 | 404 | 36 | 404 | ||||||||||||||||||||||||||||
Shares repurchased | (549 | ) | (6,078 | ) | (632 | ) | (7,064 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net Increase / (Decrease) | (447 | ) | $ | (4,937 | ) | (478 | ) | $ | (5,334 | ) | ||||||||||||||||||||||
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| |||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Sale of shares | 3,294 | $ | 36,424 | 2,804 | $ | 31,369 | ||||||||||||||||||||||||||
Reinvestment of distributions | 268 | 2,967 | 249 | 2,792 | ||||||||||||||||||||||||||||
Shares repurchased | (3,010 | ) | (33,310 | ) | (3,250 | ) | (36,326 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net Increase / (Decrease) | 552 | $ | 6,081 | (197 | ) | $ | (2,165 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) | See Note 1 in Notes to Financial Statements for more information. |
(2) | Amount is less than 500 shares. |
(3) | Amount is less than $500. |
98
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Note 6. Indemnifications
Under the Trust’s organizational documents and in separate agreements between each Trustee and the Trust, its Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust and its funds. In addition, in the normal course of business, the Trust and the Funds enter into contracts that provide a variety of indemnifications to other parties. The Trust’s and/or the Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust or the Funds and that have not occurred. However, neither the Trust nor the Funds have had prior claims or losses pursuant to these arrangements, and they expect the risk of loss to be remote.
Note 7. Credit Risk and Asset Concentration
In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as a Fund’s ability to repatriate such amounts.
High-yield/high-risk securities typically entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield/high-risk securities may be complex, and as a result, it may be more difficult for the Adviser and/or subadviser to accurately predict risk.
Many municipalities insure repayment for their obligations. Although bond insurance reduces the risk of loss due to default by an issuer, such bonds remain subject to the risk that the market may fluctuate for other reasons, and there is no assurance that the insurance company will meet its obligations. Insured securities have been identified in the Schedule of Investments. A real or perceived decline in creditworthiness of a bond insurer can have an adverse impact on the value of insured bonds held in the Funds.
Certain Funds may invest a high percentage of their assets in specific sectors of the market in the pursuit of their investment objectives. Fluctuations in these sectors of concentration may have a greater impact on a Fund, positive or negative, than if the Fund did not concentrate its investments in such sectors.
Note 8. 10% Shareholders
As of September 30, 2018, certain Funds had individual shareholder account(s), and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of each such Fund as detailed below:
% of Shares Outstanding | Number of Accounts* | |||||||
Newfleet Bond Fund | 18 | % | 1 | |||||
Newfleet CA-Tax Exempt Bond Fund | 28 | 1 | ||||||
Newfleet Low Duration Income Fund | 22 | 1 | ||||||
Newfleet Multi-Sector Intermediate Bond Fund | 16 | 1 | ||||||
Newfleet Senior Floating Rate Fund | 42 | 2 | ||||||
Newfleet Tax-Exempt Bond Fund | 23 | 2 |
* | None of the accounts are affiliated. |
Note 9. Federal Income Tax Information
($ reported in thousands)
At September 30, 2018, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Funds were as follows:
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Newfleet Bond Fund | $ | 67,822 | $ | 436 | $ | (1,561 | ) | $ | (1,125 | ) | ||||||
Newfleet CA Tax-Exempt Bond Fund | 23,109 | 575 | (256 | ) | 319 | |||||||||||
Newfleet High Yield Fund | 72,639 | 985 | (1,348 | ) | (363 | ) | ||||||||||
Newfleet Low Duration Income Fund | 365,511 | 538 | (3,908 | ) | (3,370 | ) | ||||||||||
Newfleet Multi-Sector Intermediate Bond Fund | 317,921 | 1,800 | (11,417 | ) | (9,617 | ) | ||||||||||
Newfleet Senior Floating Rate Fund | 542,962 | 2,219 | (7,456 | ) | (5,237 | ) | ||||||||||
Newfleet Tax-Exempt Bond Fund | 150,295 | 3,892 | (1,889 | ) | 2,003 |
Certain Funds have capital loss carryovers available to offset future realized capital gains, through the indicated expiration dates shown below:
No Expiration | ||||||||||||
Short-Term | Long-Term | Total | ||||||||||
Newfleet Bond Fund | $ | 169 | $ | 1,409 | $ | 1,578 | ||||||
Newfleet High Yield Fund | 725 | 3,165 | 3,890 | |||||||||
Newfleet Low Duration Income Fund | 977 | 242 | 1,219 | |||||||||
Newfleet Multi-Sector Intermediate Bond Fund | 2,910 | 12,388 | 15,298 | |||||||||
Newfleet Senior Floating Rate Fund | 2,564 | 27,842 | 30,406 |
The Trust may not realize the benefit of these losses to the extent each Fund does not realize gains on investments prior to the expiration of the capital loss carryovers.
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized for tax years beginning after December 22, 2010 may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
For the period ended September 30, 2018, the following Funds utilized losses deferred in prior years against current year capital gains:
Fund | ||||
Newfleet Bond Fund | $ | 27 | ||
Newfleet High Yield Fund | 477 | |||
Newfleet Low Duration Income Fund | 374 | |||
Newfleet Senior Floating Rate Fund | 1,090 |
The following Funds had capital loss carryovers which expired:
Fund | ||||
Newfleet High Yield Fund | $ | 9,151 |
Capital losses realized after October 31 and certain late year ordinary losses may be deferred and treated as occurring on the first day of the following fiscal year. For the fiscal period ended September 30, 2018, certain Funds deferred and recognized post-October losses as follows:
Fund | Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Deferred | Capital Loss Recognized | ||||||||||||
Newfleet Bond Fund | $ | — | $ | — | $ | 410 | $ | — | ||||||||
Newfleet High Yield Fund | — | — | 241 | 465 | ||||||||||||
Newfleet Low Duration Income Fund | — | — | 1,675 | 650 | ||||||||||||
Newfleet Multi-Sector Intermediate Bond Fund | — | — | — | 645 | ||||||||||||
Newfleet Senior Floating Rate Fund | — | — | 1,335 | 6,627 |
The components of distributable earnings on a tax basis (excluding unrealized appreciation (depreciation)) which are disclosed above consist of the following:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Undistributed Tax-Exempt Income | ||||||||||
Newfleet Bond Fund | $ | 156 | $ | — | $ | — | ||||||
Newfleet CA Tax-Exempt Bond Fund | — | 98 | 31 | |||||||||
Newfleet High Yield Fund | 325 | — | — | |||||||||
Newfleet Low Duration Income Fund | 288 | — | — | |||||||||
Newfleet Senior Floating Rate Fund | 646 | — | — | |||||||||
Newfleet Tax-Exempt Bond Fund | — | 800 | 227 |
For the fiscal year ended September 30, 2018, the Newfleet CA Tax-Exempt Bond Fund and the Newfleet Tax-Exempt Bond Fund distributed $739 and $4,542 of exempt interest dividends, respectively.
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term gain distributions reported in the Statements of Changes in Net Assets, if any, are reported as ordinary income for federal tax purposes. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
The tax character of dividends and distributions paid during the fiscal years ended September 30, 2018, and 2017, was as follows:
2018 | 2017 | |||||||||||||||||||||||||||||||||||
Tax Exempt Income | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | Tax Exempt Income | Ordinary Income | Long-Term Capital Gains | Total | ||||||||||||||||||||||||||||
Newfleet Bond Fund | $ | — | $ | 2,384 | $ | — | $ | — | $ | 2,384 | $ | — | $ | 2,349 | $ | — | $ | 2,349 | ||||||||||||||||||
Newfleet CA Tax-Exempt Bond Fund | 739 | 1 | 200 | — | 940 | 841 | 2 | 165 | 1,008 | |||||||||||||||||||||||||||
Newfleet High Yield Fund | — | 3,819 | — | — | 3,819 | — | 3,746 | — | 3,746 | |||||||||||||||||||||||||||
Newfleet Low Duration Income Fund | — | 8,941 | — | — | 8,941 | — | 7,532 | — | 7,532 | |||||||||||||||||||||||||||
Newfleet Multi-Sector Intermediate Bond Fund | — | 14,833 | — | 543 | 15,376 | — | 14,178 | — | 14,178 | |||||||||||||||||||||||||||
Newfleet Senior Floating Rate Fund | — | 23,015 | — | — | 23,015 | — | 23,597 | — | 23,597 | |||||||||||||||||||||||||||
Newfleet Tax-Exempt Bond Fund | 4,542 | 47 | 703 | — | 5,292 | 4,708 | 44 | 280 | 5,032 |
For financial reporting purposes, book basis capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Permanent reclassifications can arise from differing treatment of certain income and gain transactions, nondeductible current year net operating losses, expiring
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
capital loss carryovers and investments in passive foreign investment companies. The reclassifications have no impact on the net assets or NAV of the Funds. As of September 30, 2018, the Funds recorded reclassifications to increase (decrease) the accounts as listed below:
Capital Paid in on Shares of Beneficial Interest | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) | ||||||||||
Newfleet Bond Fund | $ | — | $ | 33 | $ | (33 | ) | |||||
Newfleet High Yield Fund | (9,151 | ) | 146 | 9,005 | ||||||||
Newfleet Low Duration Income Fund | — | (1 | ) | 1 | ||||||||
Newfleet Multi-Sector Intermediate Bond Fund | — | (1,568 | ) | 1,568 | ||||||||
Newfleet Senior Floating Rate Fund | — | (1) | 1,362 | (1,362 | ) |
(1) | Amount is less than $500. |
Note 10. Redemption Facility
($ reported in thousands)
On September 18, 2017, the Funds (with the exception of the Newfleet Senior Floating Rate Fund) and certain other affiliated funds entered into an $150,000 unsecured line of credit (“Credit Agreement”). This Credit Agreement, as amended, is with a commercial bank that allows the Funds to borrow cash from the bank to manage large unexpected redemptions and trade fails, up to a limit of one-third of each Fund’s total net assets in accordance with the terms of the agreement. This Credit Agreement has a term of 364 days and has been renewed for a period up to March 14, 2019. Interest is charged at the higher of the LIBOR or the Federal Funds rate plus an additional percentage rate on the amount borrowed. Commitment fees are charged on the undrawn balance. The Funds and other affiliated funds that are parties are individually, and not jointly, liable for their particular advances, if any, under the line of credit. The lending bank has the ability to require repayment of outstanding borrowings under this Credit Agreement upon certain circumstances such as an event of default.
No Funds made borrowings outstanding under this Credit Agreement during the period and no Fund had any outstanding borrowings under this Credit Agreement at September 30, 2018.
Note 11. Borrowings
($ reported in thousands)
Newfleet Senior Floating Rate Fund is subject to a Credit Agreement dated April 30, 2012, as amended, with a commercial bank that allows the Fund to borrow cash from the bank, up to a limit of $125,000. Borrowings under this Credit Agreement are collateralized by investments of the Fund. Interest is charged at LIBOR plus an additional percentage rate on the amount borrowed. Commitment fees are charged on the undrawn balance. Total commitment fees paid and accrued for the period ended September 30, 2018, were $207 and are included in the Statements of Operations within the line item “Interest expense on borrowings.” This Credit Agreement is renewable by the Fund with the bank’s consent and approval of the Board. This Credit Agreement can also be converted to a 364 day fixed term facility, one time at the Fund’s option. The bank has the ability to require repayment of outstanding borrowings under this Credit Agreement upon certain circumstances such as an event of default. From October 1, 2017, to September 30, 2018, the average daily borrowings under the Credit Agreement and the weighted daily average interest rate were $23,000 and 2.575%, respectively. At September 30, 2018, the Fund had $23,000 in such outstanding borrowings with an interest rate of 3.092%.
Note 12. Illiquid and Restricted Securities
Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by a Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment.
Restricted securities are not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.
Each Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.
The following Funds held securities considered to be illiquid at September 30, 2018:
Fund | Aggregate Value | % of Fund’s net assets | ||||||
Newfleet High Yield Fund | $ | 36 | 0.05 | % | ||||
Newfleet Low Duration Income Fund | — | (1) | 0.00 | |||||
Newfleet Multi-Sector Intermediate Bond Fund | 5 | 0.00 | ||||||
Newfleet Senior Floating Rate Fund | 1,306 | 0.26 |
At September 30, 2018, the Funds did not hold any securities that were restricted.
(1) | Amount is less than $500. |
Note 13. Regulatory Matters and Litigation
From time to time, the Trust, the Funds’ Adviser and/or Subadviser and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations affecting their products and other activities. At this time, the Adviser believes that the outcomes of such matters are not likely, either individually or in aggregate, to be material to these financial statements.
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VIRTUS OPPORTUNITIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
On February 20, 2015, a putative class action complaint (In re Virtus Investment Partners, Inc. Securities Litigation; formerly styled as Tom Cummins v. Virtus Investment Partners Inc., et al.) alleging violations of certain provisions of the federal securities laws was filed by an individual shareholder against Virtus and certain of its officers (the “defendants”) in the United States District Court for the Southern District of New York. On August 21, 2015, the lead plaintiff filed a Consolidated Class Action Complaint (the “Consolidated Complaint”) amending the originally filed complaint and adding the Trust as a defendant. The Consolidated Complaint was purportedly filed on behalf of all purchasers of Virtus common stock between January 25, 2013 and May 11, 2015 (the “Class Period”). The Consolidated Complaint alleges that during the Class Period, the defendants disseminated materially false
and misleading statements and concealed material adverse facts relating to certain funds previously subadvised by F-Squared Investments, Inc. and/or its affiliates (“F-Squared”). The plaintiff seeks to recover unspecified damages. A motion to dismiss the Consolidated Complaint was filed on behalf of the defendants on October 21, 2015. Pursuant to an Opinion & Order (“Order”) filed on July 1, 2016, the court granted in part and denied in part the defendants’ motion to dismiss. Although the Order narrows the scope of the claims asserted and dismisses one of the defendants from the suit, claims under Sections 10(b) and 20(a) of the Exchange Act and Rule 10b-5 thereunder survive the motion. The remaining defendants filed an Answer to the Consolidated Complaint on August 5, 2016. Pursuant to an Opinion & Order filed on May 15, 2017, the plaintiff’s motion for class certification was granted by the court. Discovery has since been completed. On October 6, 2017, the defendants moved for summary judgment. Briefing on the motion for summary judgment was completed on December 22, 2017, and oral argument was held on January 18, 2018, where the Court reserved decision. Virtus and its affiliates, including the Adviser, believe that the suit is without merit. Nevertheless, on February 6, 2018, Virtus reached an agreement in principle with the plaintiffs, subject to Court approval settling all claims in the litigation, in order to avoid the cost, distraction, disruption and inherent litigation uncertainty. The Court gave its preliminary approval by order dated June 28, 2018, and a hearing for final approval was held on October 24, 2018, with no objections to the settlement presented. Upon approval by the Court, which Virtus believes is likely, the resolution of this matter will not have a material impact on the results of operations, cash flows or its consolidated financial condition for Virtus. Whether or not the settlement is approved by the Court, the Trust believes the risk of loss to the Funds as a result of the suit is remote and the Adviser does not believe that the suit will have any impact on its ability to provide services to the Funds.
Note 14. Recent Accounting Pronouncements
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”), ASU No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the policy for the timing of transfers between levels and the valuation process for Level 3 fair value measurements. For public companies, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Management has evaluated the implications of certain provisions of ASU No. 2018-13 and has determined to early adopt all aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately.
In August 2018, the SEC adopted amendments to Regulation S-X which are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the information provided to investors. The amendments include eliminating the requirement to: separately state book basis components of net assets on the Statement of Assets & Liabilities; separately state the sources of distributions paid (except tax return of capital distributions must still be separately disclosed) on the Statement of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statement of Changes in Net Assets. The compliance date for the amendments to Regulation S-X is for filings made with the SEC after November 5, 2018. The adoption will have no effect on the Funds’ net assets or results of operations.
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. This ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. This ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.
Note 15. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available for issuance, and has determined that there are no subsequent events requiring recognition or disclosure in these financial statements.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Virtus Opportunities Trust and Shareholders of Virtus Newfleet Bond Fund, Virtus Newfleet CA Tax-Exempt Bond Fund, Virtus Newfleet High Yield Fund, Virtus Newfleet Low Duration Income Fund, Virtus Newfleet Multi-Sector Intermediate Bond Fund, Virtus Newfleet Senior Floating Rate Fund and Virtus Newfleet Tax-Exempt Bond Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Virtus Newfleet Bond Fund, Virtus Newfleet CA Tax-Exempt Bond Fund, Virtus Newfleet High Yield Fund, Virtus Newfleet Low Duration Income Fund, Virtus Newfleet Multi-Sector Intermediate Bond Fund, Virtus Newfleet Senior Floating Rate Fund and Virtus Newfleet Tax-Exempt Bond Fund (seven of the Funds constituting Virtus Opportunities Trust, hereafter collectively referred to as the “Funds”) as of September 30, 2018, the related statements of operations for the year ended September 30, 2018, the statements of changes in net assets for each of the two years in the period ended September 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2018 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018 by correspondence with the custodian, transfer agents and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 20, 2018
We have served as the Virtus Mutual Funds’ auditor since at least 1977. We have not been able to determine the specific year we began serving as auditor.
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VIRTUS OPPORTUNITIES TRUST
TAX INFORMATION NOTICE (Unaudited)
SEPTEMBER 30, 2018
For the fiscal year ended September 30, 2018, the Funds make the following disclosures for federal income tax purposes. Below is listed the percentages, or the maximum amount allowable, of its ordinary income dividends (“QDI”) to qualify for the lower tax rates applicable to individual shareholders, and the percentage of ordinary income dividends earned by the Funds which qualifies for the dividends received deduction (“DRD”) for corporate shareholders. The Funds designate the amounts below as long-term capital gains dividends (“LTCG”) ($ reported in thousands), or if subsequently different, the amounts will be designated in the next annual report. The actual percentage for the calendar year will be designated in year-end tax statements.
Fund | QDI | DRD | LTCG | |||||||||
Newfleet Bond Fund | — | % | — | % | $ | — | ||||||
Newfleet CA Tax-Exempt Bond Fund | — | — | 99 | |||||||||
Newfleet High Yield Fund | — | — | — | |||||||||
Newfleet Low Duration Income Fund | — | — | — | |||||||||
Newfleet Multi-Sector Intermediate Bond Fund | — | — | — | |||||||||
Newfleet Senior Floating Rate Fund | — | — | — | |||||||||
Newfleet Tax-Exempt Bond Fund | — | — | 802 |
For federal income tax purposes, 100% and 99% of the income dividends paid by the Newfleet CA Tax-Exempt Bond Fund and the Newfleet Tax-Exempt Bond Fund, respectively, qualify as exempt-interest dividends.
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FUND MANAGEMENT TABLES (Unaudited)
Information pertaining to the Trustees and officers of the Trust as of the date of issuance of this report, is set forth below. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling (800) 243-4361.
The address of each individual, unless otherwise noted, is c/o Virtus Opportunities Trust, 100 Pearl Street, Hartford, CT 06103. There is no stated term of office for Trustees or officers of the Trust.
Independent Trustees
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee | |
Brown, Thomas J. YOB: 1945 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). | |
Burke, Donald C. YOB: 1960 Served Since: 2016 75 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014) closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). | |
Gelfenbien, Roger A. YOB: 1943 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2000), Virtus Variable Insurance Trust (8 portfolios); and Director (1999 to 2017), USAllianz Variable Insurance Product Trust (42 portfolios). | |
Harris, Sidney E. YOB: 1949 Served Since: 2017 71 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University; Trustee (since 2017), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Trustee (since 1999) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (2012 to 2017), International University of the Grand Bassam; and Trustee (2011 to 2015), Genspring Family Offices, LLC. | |
Mallin, John R. YOB: 1950 Served Since: 2016 71 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm), Real Property Practice Group; and Member (since 2014), Counselors of Real Estate. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). | |
McClellan, Hassell H. YOB: 1945 Served Since: 2015 71 Portfolios | Retired (since 2013); and Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Mutual Fund Family (60 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). | |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 71 Portfolios | Retired (since 2013); and Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President Global Finance Transformation (2007 to 2009); Vice President and Controller (1999 to 2007), The Coca-Cola Company; Trustee (since 2017), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2014), Total System Services, Inc.; and Trustee (2005 to 2017), RidgeWorth Funds. | |
McLoughlin, Philip YOB: 1946 Served Since: 1999 79 Portfolios | Retired. Director and Chairman (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Director and Chairman (since 2014) Duff & Phelps Select Energy MLP Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (since 1991) and Chairman (since 2010), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (60 portfolios). | |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 75 Portfolios | Retired. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (60 portfolios). | |
Oates, James M. YOB: 1946 Served Since: 2000 75 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). Director (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (60 portfolios). |
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FUND MANAGEMENT TABLES (Unaudited) (Continued)
Independent Trustees (Continued)
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee | |
Segerson, Richard E. YOB: 1946 Served Since: 2000 71 Portfolios | Retired; and Managing Director (1998 to 2013), Northway Management Company. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (60 portfolios). |
Interested Trustee
Name, Year of Birth, Year Elected and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee | |
Aylward, George R.* Trustee and President YOB: 1964 Elected: 2006 77 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions with Virtus affiliates (since 2005). Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (3 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (60 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
* Mr. Aylward is an “interested person,” as defined in the 1940 Act, by reason of his position as President and Chief Executive Officer of Virtus Investment Partners, Inc. (“Virtus”), the ultimate parent company of the Adviser, and various positions with its affiliates, including the Adviser.
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FUND MANAGEMENT TABLES (Unaudited) (Continued)
Officers of the Trust Who Are Not Trustees
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years | ||
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Global Utility Income Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. | ||
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013); Vice President (2005 to 2013); Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2005) with Virtus affiliates; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select Energy MLP Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. | ||
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2003) with Virtus affiliates; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. | ||
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; Senior Vice President (since 2018), Virtus Closed-End Funds; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). | ||
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Director (since 2013), Virtus Global Funds PLC; and Executive Vice President (since 2013), Virtus Alternative Solutions Trust. |
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VIRTUS OPPORTUNITIES TRUST
101 Munson Street
Greenfield, MA 01301-9668
Trustees
Philip R. McLoughlin, Chairman
George R. Aylward
Thomas J. Brown
Donald C. Burke
Roger A. Gelfenbien
Sidney E. Harris
John R. Mallin
Hassell H. McClellan
Connie D. McDaniel
Geraldine M. McNamara
James M. Oates
Richard E. Segerson
Officers
George R. Aylward, President
Peter Batchelar, Senior Vice President
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer
Kevin J. Carr, Senior Vice President, Chief Legal Officer, Counsel and Secretary
Nancy J. Engberg, Senior Vice President and Chief Compliance Officer
Julia R. Short, Senior Vice President
Francis G. Waltman, Executive Vice President
Investment Adviser
Virtus Investment Advisers, Inc.
100 Pearl Street
Hartford, CT 06103-4506
Principal Underwriter
VP Distributors, LLC
100 Pearl Street
Hartford, CT 06103-4506
Administrator and Transfer Agent
Virtus Fund Services, LLC
100 Pearl Street
Hartford, CT 06103-4506
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286-1048
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
2001 Market Street
Philadelphia, PA 19103-7042
How to Contact Us
Mutual Fund Services | 1-800-243-1574 | |||
Adviser Consulting Group | 1-800-243-4361 | |||
Website | Virtus.com |
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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| ||
P.O. Box 9874 Providence, RI 02940-8074 |
For more information about Virtus Mutual Funds,
please call your financial representative, contact us
at 1-800-243-1574 or visit Virtus.com.
8639 | 11-18 |
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ANNUAL REPORT VIRTUS OPPORTUNITIES TRUST |
September 30, 2018
Virtus Duff & Phelps Global Infrastructure Fund* |
Virtus Duff & Phelps Global Real Estate Securities Fund |
Virtus Duff & Phelps International Real Estate Securities Fund |
Virtus Herzfeld Fund* |
Virtus Horizon Wealth Masters Fund |
Virtus KAR Emerging Markets Small-Cap Fund |
Virtus KAR International Small-Cap Fund |
Virtus Rampart Alternatives Diversifier Fund |
Virtus Rampart Equity Trend Fund |
Virtus Rampart Multi-Asset Trend Fund |
Virtus Rampart Sector Trend Fund |
Virtus Vontobel Global Opportunities Fund |
Virtus Vontobel Greater European Opportunities Fund |
Not FDIC Insured
No Bank Guarantee
May Lose Value
*Prospectus supplements applicable to these Funds appear at the back of this annual report.
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Proxy Voting Procedures and Voting Record (Form N-PX)
The subadvisers vote proxies relating to portfolio securities in accordance with procedures that have been approved by the Board of Trustees of the Trust (“Trustees,” or the “Board”). You may obtain a description of these procedures, along with information regarding how the Funds voted proxies during the most recent 12-month period ended June 30, free of charge, by calling toll-free 1-800-243-1574. This information is also available through the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.
Form N-Q Information
The Trust files a complete schedule of portfolio holdings for each Fund with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov. Form N-Q may be reviewed and copied at the SEC’s Public Reference Room. Information on the operation of the SEC’s Public Reference Room can be obtained by calling toll-free 1-800-SEC-0330.
This report is not authorized for distribution to prospective investors in the Funds presented in this book unless preceded or accompanied by an effective prospectus which includes information concerning the sales charge, each Fund’s record and other pertinent information.
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To My Fellow Shareholders of Virtus Mutual Funds:
I am pleased to present this annual report that reviews the performance of your fund for the 12 months ended September 30, 2018.
U.S. economic growth and strong corporate earnings were consistent themes during the period, which began on an optimistic note with the sweeping tax overhaul that was signed into law at the end of 2017. As growth heated up, inflation fears caused stock markets to plunge in early February, ushering in the return of volatility after being conspicuously absent throughout 2017. Global trade war concerns sparked by the Trump administration’s tariff talk caused markets to remain unsettled into March before resuming | ||
an upward course through the spring and late summer. Meanwhile, persistent economic strength moved the Federal Reserve to hike its key interest rate four times in the period, most recently in late September, to end at 2.25%, its highest level in nearly a decade.
For the 12 months ended September 30, 2018, U.S. large-cap stocks, as measured by the S&P 500® Index, returned 17.91%, outpacing small-cap stocks, which returned 15.24%, as measured by the Russell 2000® Index. Within international equities, performance was mixed with developed markets up 2.74%, as measured by the MSCI EAFE® Index (net), and emerging markets down 0.81%, as measured by the MSCI Emerging Markets Index (net).
In the fixed income markets, the yield on the 10-year Treasury steadily climbed, to reach 3.05% at September 30, 2018, up from 2.33% at September 30, 2017. The broader U.S. fixed income market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index, which tracks Treasuries and other investment-grade debt securities, declined 1.22% for the 12 months. Non-investment grade bonds eked out a positive return of 3.05%, as measured by the Bloomberg Barclays U.S. Corporate High Yield Bond Index.
Market uncertainty is an ever-present reminder of the importance of portfolio diversification, including exposure to traditional and alternative asset classes. While diversification cannot guarantee a profit or prevent a loss, owning a variety of asset classes may cushion your portfolio against inevitable market fluctuations. Your financial advisor can help you ensure that your portfolio is adequately diversified across asset classes and investment strategies, with a broad array of Virtus Funds available through your fund exchange privileges. These include distinctive equity, fixed income, international, and asset allocation funds managed by Virtus affiliates and select subadvisers. We invite you to learn more about the Virtus family of funds at Virtus.com.
On behalf of our investment affiliates, thank you for entrusting the Virtus Funds with your assets. Should you have questions about your account or require assistance, please visit Virtus.com, or call our customer service team at 1-800-243-1574. We appreciate your business and remain committed to your long-term financial success.
Sincerely,
George R. Aylward President, Virtus Mutual Funds
October 2018 |
Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above.
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Table of Contents
VIRTUS OPPORTUNITIES TRUST
DISCLOSURE OF FUND EXPENSES (Unaudited)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of a Virtus Opportunities Trust Fund (each, a “Fund”) you may incur two types of costs: (1) transaction costs, including sales charges on purchases of Class A shares and contingent deferred sales charges on Class C shares; and (2) ongoing costs, including investment advisory fees, distribution and service fees, and other expenses. Class I shares and Class R6 shares are sold without a sales charge and do not incur distribution fees. Class R6 shares also do not incur shareholder servicing fees. For further information regarding applicable sales charges, see Note 1 in the Notes to Financial Statements. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period. The Annualized Expense Ratios may be different from the expense ratios in the Financial Highlights which is for the fiscal year ended September 30, 2018.
Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges or contingent deferred sales charges. Therefore, the accompanying tables are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information below, 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 table under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||||
Duff & Phelps Global Infrastructure Fund | Class A | $ | 1,000.00 | $ | 1,028.40 | 1.24 | % | $ | 6.31 | |||||||||
Class C | 1,000.00 | 1,023.60 | 1.99 | 10.09 | ||||||||||||||
Class I | 1,000.00 | 1,028.80 | 1.03 | 5.24 | ||||||||||||||
Class R6 | 1,000.00 | 1,030.10 | 0.92 | 4.68 | ||||||||||||||
Duff & Phelps Global Real Estate Securities Fund | Class A | 1,000.00 | 1,058.70 | 1.40 | 7.23 | |||||||||||||
Class C | 1,000.00 | 1,054.70 | 2.15 | 11.07 | ||||||||||||||
Class I | 1,000.00 | 1,060.10 | 1.15 | 5.94 | ||||||||||||||
Class R6 | 1,000.00 | 1,060.80 | 0.95 | 4.91 | ||||||||||||||
Duff & Phelps International Real Estate Securities Fund | Class A | 1,000.00 | 1,005.40 | 1.50 | 7.54 | |||||||||||||
Class C | 1,000.00 | 1,002.70 | 2.25 | 11.30 | ||||||||||||||
Class I | 1,000.00 | 1,006.80 | 1.25 | 6.29 | ||||||||||||||
Herzfeld Fund | Class A | 1,000.00 | 1,055.30 | 1.60 | 8.24 | |||||||||||||
Class C | 1,000.00 | 1,052.70 | 2.35 | 12.09 | ||||||||||||||
Class I | 1,000.00 | 1,057.00 | 1.35 | 6.96 | ||||||||||||||
Horizon Wealth Masters Fund | Class A | 1,000.00 | 1,064.00 | 1.25 | 6.47 | |||||||||||||
Class C | 1,000.00 | 1,060.60 | 2.00 | 10.33 | ||||||||||||||
Class I | 1,000.00 | 1,066.00 | 1.00 | 5.18 | ||||||||||||||
KAR Emerging Markets Small-Cap Fund | Class A | 1,000.00 | 939.60 | 1.85 | 9.00 | |||||||||||||
Class C | 1,000.00 | 936.50 | 2.60 | 12.62 | ||||||||||||||
Class I | 1,000.00 | 941.30 | 1.60 | 7.79 | ||||||||||||||
KAR International Small-Cap Fund | Class A | 1,000.00 | 986.20 | 1.60 | 7.97 | |||||||||||||
Class C | 1,000.00 | 982.50 | 2.28 | 11.33 | ||||||||||||||
Class I | 1,000.00 | 986.80 | 1.35 | 6.72 | ||||||||||||||
Class R6 | 1,000.00 | 988.00 | 1.19 | 5.93 | ||||||||||||||
Rampart Alternatives Diversifier Fund | Class A | 1,000.00 | 1,044.00 | 0.68 | 3.48 | |||||||||||||
Class C | 1,000.00 | 1,039.80 | 1.41 | 7.21 | ||||||||||||||
Class I | 1,000.00 | 1,045.00 | 0.43 | 2.20 | ||||||||||||||
Rampart Equity Trend Fund | Class A | 1,000.00 | 1,076.30 | 1.53 | 7.96 | |||||||||||||
Class C | 1,000.00 | 1,072.30 | 2.26 | 11.74 | ||||||||||||||
Class I | 1,000.00 | 1,077.60 | 1.28 | 6.67 | ||||||||||||||
Class R6 | 1,000.00 | 1,077.90 | 1.18 | 6.15 |
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VIRTUS OPPORTUNITIES TRUST
DISCLOSURE OF FUND EXPENSES (Unaudited) (Continued)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||||
Rampart Multi-Asset Trend Fund | Class A | $ | 1,000.00 | $ | 1,002.70 | 1.59 | % | $ | 7.98 | |||||||||
Class C | 1,000.00 | 998.20 | 2.35 | 11.77 | ||||||||||||||
Class I | 1,000.00 | 1,003.50 | 1.39 | 6.98 | ||||||||||||||
Rampart Sector Trend Fund | Class A | 1,000.00 | 1,085.30 | 0.95 | 4.97 | |||||||||||||
Class C | 1,000.00 | 1,081.90 | 1.72 | 8.98 | ||||||||||||||
Class I | 1,000.00 | 1,087.10 | 0.72 | 3.77 | ||||||||||||||
Vontobel Global Opportunities Fund | Class A | 1,000.00 | 1,053.90 | 1.39 | 7.16 | |||||||||||||
Class C | 1,000.00 | 1,049.20 | 2.16 | 11.10 | ||||||||||||||
Class I | 1,000.00 | 1,055.20 | 1.16 | 5.98 | ||||||||||||||
Class R6 | 1,000.00 | 1,055.10 | 1.11 | 5.72 | ||||||||||||||
Vontobel Greater European Opportunities Fund | Class A | 1,000.00 | 1,001.90 | 1.45 | 7.28 | |||||||||||||
Class C | 1,000.00 | 998.70 | 2.20 | 11.02 | ||||||||||||||
Class I | 1,000.00 | 1,003.80 | 1.20 | 6.03 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
For Funds which may invest in other funds, the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expense ratios would have been higher.
You can find more information about a Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to that Fund’s prospectus.
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VIRTUS OPPORTUNITIES TRUST
DISCLOSURE OF FUND EXPENSES (Unaudited) (Continued)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your 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 this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other mutual funds.
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||||
Duff & Phelps Global Infrastructure Fund | Class A | $ | 1,000.00 | $ | 1,018.85 | 1.24 | % | $ | 6.28 | |||||||||
Class C | 1,000.00 | 1,015.09 | 1.99 | 10.05 | ||||||||||||||
Class I | 1,000.00 | 1,019.90 | 1.03 | 5.22 | ||||||||||||||
Class R6 | 1,000.00 | 1,020.46 | 0.92 | 4.66 | ||||||||||||||
Duff & Phelps Global Real Estate Securities Fund | Class A | 1,000.00 | 1,018.05 | 1.40 | 7.08 | |||||||||||||
Class C | 1,000.00 | 1,014.29 | 2.15 | 10.86 | ||||||||||||||
Class I | 1,000.00 | 1,019.30 | 1.15 | 5.82 | ||||||||||||||
Class R6 | 1,000.00 | 1,020.31 | 0.95 | 4.81 | ||||||||||||||
Duff & Phelps International Real Estate Securities Fund | Class A | 1,000.00 | 1,017.55 | 1.50 | 7.59 | |||||||||||||
Class C | 1,000.00 | 1,013.79 | 2.25 | 11.36 | ||||||||||||||
Class I | 1,000.00 | 1,018.80 | 1.25 | 6.33 | ||||||||||||||
Herzfeld Fund | Class A | 1,000.00 | 1,017.05 | 1.60 | 8.09 | |||||||||||||
Class C | 1,000.00 | 1,013.29 | 2.35 | 11.86 | ||||||||||||||
Class I | 1,000.00 | 1,018.30 | 1.35 | 6.83 | ||||||||||||||
Horizon Wealth Masters Fund | Class A | 1,000.00 | 1,018.80 | 1.25 | 6.33 | |||||||||||||
Class C | 1,000.00 | 1,015.04 | 2.00 | 10.10 | ||||||||||||||
Class I | 1,000.00 | 1,020.05 | 1.00 | 5.06 | ||||||||||||||
KAR Emerging Markets Small-Cap Fund | Class A | 1,000.00 | 1,015.79 | 1.85 | 9.35 | |||||||||||||
Class C | 1,000.00 | 1,012.03 | 2.60 | 13.11 | ||||||||||||||
Class I | 1,000.00 | 1,017.05 | 1.60 | 8.09 | ||||||||||||||
KAR International Small-Cap Fund | Class A | 1,000.00 | 1,017.05 | 1.60 | 8.09 | |||||||||||||
Class C | 1,000.00 | 1,013.64 | 2.28 | 11.51 | ||||||||||||||
Class I | 1,000.00 | 1,018.30 | 1.35 | 6.83 | ||||||||||||||
Class R6 | 1,000.00 | 1,019.10 | 1.19 | 6.02 | ||||||||||||||
Rampart Alternatives Diversifier Fund | Class A | 1,000.00 | 1,021.66 | 0.68 | 3.45 | |||||||||||||
Class C | 1,000.00 | 1,018.00 | 1.41 | 7.13 | ||||||||||||||
Class I | 1,000.00 | 1,022.91 | 0.43 | 2.18 | ||||||||||||||
Rampart Equity Trend Fund | Class A | 1,000.00 | 1,017.40 | 1.53 | 7.74 | |||||||||||||
Class C | 1,000.00 | 1,013.74 | 2.26 | 11.41 | ||||||||||||||
Class I | 1,000.00 | 1,018.65 | 1.28 | 6.48 | ||||||||||||||
Class R6 | 1,000.00 | 1,019.15 | 1.18 | 5.97 | ||||||||||||||
Rampart Multi-Asset Trend Fund | Class A | 1,000.00 | 1,017.10 | 1.59 | 8.04 | |||||||||||||
Class C | 1,000.00 | 1,013.29 | 2.35 | 11.86 | ||||||||||||||
Class I | 1,000.00 | 1,018.10 | 1.39 | 7.03 | ||||||||||||||
Rampart Sector Trend Fund | Class A | 1,000.00 | 1,020.31 | 0.95 | 4.81 | |||||||||||||
Class C | 1,000.00 | 1,016.44 | 1.72 | 8.69 | ||||||||||||||
Class I | 1,000.00 | 1,021.46 | 0.72 | 3.65 | ||||||||||||||
Vontobel Global Opportunities Fund | Class A | 1,000.00 | 1,018.10 | 1.39 | 7.03 | |||||||||||||
Class C | 1,000.00 | 1,014.24 | 2.16 | 10.91 | ||||||||||||||
Class I | 1,000.00 | 1,019.25 | 1.16 | 5.87 | ||||||||||||||
Class R6 | 1,000.00 | 1,019.50 | 1.11 | 5.62 | ||||||||||||||
Vontobel Greater European Opportunities Fund | Class A | 1,000.00 | 1,017.80 | 1.45 | 7.33 | |||||||||||||
Class C | 1,000.00 | 1,014.04 | 2.20 | 11.11 | ||||||||||||||
Class I | 1,000.00 | 1,019.05 | 1.20 | 6.07 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
For Funds which may invest in other funds, the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expense ratios would have been higher.
You can find more information about a Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to that Fund’s prospectus.
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Table of Contents
VIRTUS OPPORTUNITIES TRUST
KEY INVESTMENT TERMS (Unaudited)
SEPTEMBER 30, 2018
Alternatives Diversifier Composite Benchmark
The Alternatives Diversifier Composite Benchmark consists of Diversified Trends Index (15%)*, FTSE EPRA NAREIT Developed Rental Index-net (20%)**, MSCI World Infrastructure Sector Capped Index (15%)*** , S&P North American Natural Resources Sector Index (10%), Deutsche Bank Liquid Commodity Index (15%), Deutsche Bank G10 Currency Harvest Index (15%)**** and Credit Suisse Leveraged Loan Index (10%). The indexes are unmanaged, their returns do not reflect any fees, expenses, or sales charges, and they are not available for direct investment. *Prior to 3/1/12 was the HFRX Equity Market Neutral Index (20%). **Prior to 6/1/15 was the UBS Global Investors (Real Estate) Index (20%). ***Prior to 9/1/08 was a mix of the MSCI USA Utilities Index (65%), MSCI World Telecom Services Index (20%) and MSCI All Country World ex USA Utilities Index (15%). ****Prior to 3/1/12 was Deutsche Bank G10 Currency Harvest Index (10%).
American Depositary Receipt (“ADR”)
Represents shares of foreign companies traded in U.S. dollars on U.S. exchanges that are held by a U.S. bank or a trust. Foreign companies use ADRs in order to make it easier for Americans to buy their shares.
Bloomberg Barclays U.S. Aggregate Bond Index
The Bloomberg Barclays U.S. Aggregate Bond Index measures the U.S. investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Bloomberg Barclays U.S. Corporate High Yield Bond Index
The Bloomberg Barclays U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Brexit
Brexit is an abbreviation for “British exit,” referring to the UK’s decision in a June 23, 2016 referendum to leave the European Union (EU).
Chicago Board Options Exchange Volatility Index® (“CBOE VIX®”)
The CBOE VIX® shows the market’s expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500® Index options. This volatility is meant to be forward looking and is calculated from both calls and puts. The CBOE VIX® is a widely used measure of market risk and is often referred to as the “investor fear gauge.” The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Credit Suisse Leveraged Loan Index
The Credit Suisse Leveraged Loan Index is a market-weighted index that tracks the investable universe of the U.S. dollar denominated leveraged loans. The index is calculated on a total-return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Deutsche Bank G10 Currency Harvest Index
The Deutsche Bank G10 Currency Harvest Index consists of long futures contracts on the three G10 currencies associated with the highest interest rates and short futures contracts on the three G10 currencies associated with the lowest interest rates.
Deutsche Bank Liquid Commodity Index
The Deutsche Bank Liquid Commodity Index (“DBLCI”) tracks the performance of six commodity futures: sweet light crude oil (WTI), heating oil, aluminum, gold, wheat, and corn.
Diversified Trends Index
The Diversified Trends Index is the S&P Diversified Trends Indicator, a diversified composite of global commodity and financial futures that are highly liquid. The components are formed into sectors that are long or short the underlying futures using a rules-based methodology. The indicator measures the extent and duration of the trends of these sectors in aggregate. The index is calculated on a total return basis.
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Table of Contents
VIRTUS OPPORTUNITIES TRUST
KEY INVESTMENT TERMS (Unaudited) (Continued)
SEPTEMBER 30, 2018
Dow Jones Aggressive Portfolio Index
The Dow Jones Aggressive Portfolio Index is a benchmark that takes 100% of the risk of the U.S. equities market representing an investor’s desired risk portfolio. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Dow Jones Moderate Portfolio Index
The Dow Jones Moderate Portfolio Index is a benchmark that takes 60% of the risk of the global securities market. It is a total returns index that is a time-varying weighted average of stocks, bonds, and cash. The index is the efficient allocation of stocks, bonds, and cash in a portfolio with 60% of the risk of the Dow Jones Aggressive Portfolio Index. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
European Central Bank (“ECB”)
The ECB is responsible for conducting monetary policy for the euro area. The ECB was established as the core of the Euro-system and the European System of Central Banks (“ESCB”). The ESCB comprises the ECB and the National Central Banks (“NCBs”) of all 17 European Union Member States whether they have adopted the Euro or not.
European Union (“EU”)
The EU is a unique economic and political union of 28 European countries. The EU was created in the aftermath of the Second World War and has developed an internal single market through a standardized system of laws that apply to all member states. A monetary union was established in 1999 and is composed of the 19 member states which use the Euro currency.
Exchange-Traded Funds (“ETFs”)
An open-end fund that is traded on a stock exchange. Most ETFs have a portfolio of stocks or bonds that track a specific market index.
Federal Reserve (the “Fed”)
The Central Bank of the U.S., responsible for controlling money supply, interest rates, and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 Branches, and all national and state banks that are part of the system.
FTSE Developed Core Infrastructure 50/50 Index (net)
The FTSE Developed Core Infrastructure 50/50 Index (net) is a free float-adjusted market capitalization-weighted index that gives participants an industry-defined interpretation of infrastructure and adjust the exposure to certain infrastructure sub-sectors. The constituent weights for the index are 50% Utilities, 30% Transportation including capping of 7.5% for railroads/railways, and a 20% mix of other sectors including pipelines, satellites, and telecommunication towers. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
FTSE EPRA NAREIT Developed ex-US Index (net)
The FTSE EPRA NAREIT Developed ex-US Index (net) is a free-float market capitalization-weighted index measuring publicly traded equity REITs and listed property companies from developed markets excluding the United States, which meet minimum size and liquidity requirements. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
FTSE EPRA NAREIT Developed Index (Net)
The FTSE EPRA NAREIT Developed Index (net) is a free-float market capitalization-weighted index measuring publicly traded equity REITs and listed property companies from developed markets, which meet minimum size and liquidity requirements. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
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VIRTUS OPPORTUNITIES TRUST
KEY INVESTMENT TERMS (Unaudited) (Continued)
SEPTEMBER 30, 2018
FTSE EPRA NAREIT Developed Rental Index (net)
The FTSE EPRA NAREIT Developed Rental Index (net) is a free-float market capitalization-weighted index measuring global real estate securities, which meet minimum size, liquidity and investment focus criteria. The index is a sub-set of the FTSE EPRA NAREIT Investment Focus Index Series, which separates the existing constituents into both Rental and Non-Rental Indices. A company is classified as Rental if the rental revenue from properties is greater than or equal to 70% of total revenue. The classification is based on revenue sources as disclosed in the latest published financial statement. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Global Industry Classification Standard (“GICS”)
The GICS is a standardized classification system for equities that was developed by, and is the exclusive property and a service mark of, MSCI, Inc. (“MSCI”) and Standard & Poors (“S&P”), a subsidiary of S&P Global, Inc. As of September 1, 2016, the GICS structure comprises 11 sectors, 24 industry groups, 68 industries, and 157 subindustries.
Global Infrastructure Linked Benchmark
The Global Infrastructure Linked Benchmark consists of the FTSE Developed Core Infrastructure 50/50 Index (net), a free float-adjusted market capitalization-weighted index that gives participants an industry-defined interpretation of developed market infrastructure companies and adjusts the exposure to certain infrastructure subsectors. The constituent weights are 50% Utilities, 30% Transportation (including capping 7.5% for railroads/railways), and a 20% mix of other sectors including pipelines, satellites, and telecommunication towers. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment. Performance of the Global Infrastructure Linked Benchmark between 9/1/2008 and 9/30/2016 represents a 100% allocation to the MSCI World Infrastructure Sector Capped Index. Prior to 9/1/2008 the allocation consisted of 65% MSCI USA/Utilities Index, 20% MSCI World Telecom Services Index, and 15% MSCI World ex USA/Utilities Index.
Gross Domestic Product (“GDP”)
The GDP represents the market value of all goods and services produced by the economy during the period measured, including personal consumption, government purchases, private inventories, paid-in construction costs, and the foreign trade balance.
Herzfeld Composite Benchmark (60% MSCI All Country (AC) World Index (net)/40% Bloomberg Barclays U.S. Aggregate Bond Index)
The composite Benchmark consists of 60% MSCI AC World Index (net) and 40% Bloomberg Barclays U.S. Aggregate Bond Index. The MSCI AC World Index (net) is a free float-adjusted market capitalization-weighted index that measures equity performance of developed and emerging markets. The index is calculated on a total return basis with net dividends reinvested. The Bloomberg Barclays U.S. Aggregate Bond Index measures the U.S. investment grade fixed rate bond market. The index is calculated on a total return basis. Each index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
HFRX Equity Market Neutral Index
The HFRX Equity Market Neutral Index is a common benchmark for long/short market neutral hedge funds, which employ sophisticated quantitative techniques of analyzing price data to ascertain information about future price movement and relationships between select securities for purchase and sale.
Horizon Kinetics ISE Wealth Index
The Horizon Kinetics ISE Wealth Index is designed to track the performance of U.S.-listed, publicly-held companies that are managed by some of the wealthiest individuals in the United States. The companies listed in the index are equally weighted. The index is calculated on a total-return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
In Specie
In Specie is a phrase describing the distribution of an asset in its present form, rather than selling it and distributing the cash. In specie distribution is made when cash is not readily available, or allocating the physical asset is the better alternative.
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VIRTUS OPPORTUNITIES TRUST
KEY INVESTMENT TERMS (Unaudited) (Continued)
SEPTEMBER 30, 2018
iShares®
Represents shares of an open-end exchange-traded fund.
London Interbank Offered Rate (“LIBOR”)
A benchmark rate that some of the world’s leading banks charge each other for short term loans and that serves as the first step to calculating interest rates on various loans throughout the world.
Master Limited Partnership (“MLP”)
A type of limited partnership that is publicly traded. The partnership must derive most of its cash flows from real estate, natural resources and commodities.
MSCI All Country World ex U.S. Small Cap Index (net)
The MSCI All Country World Index ex U.S. Small Cap Index (net) is a free float-adjusted market capitalization-weighted index that measures small cap equity performance of developed and emerging markets, excluding the U.S. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI All Country World ex USA Utilities Index
The MSCI All Country World ex USA Utilities Index includes large and mid cap securities across 22 of 23 developed markets countries (excluding the US) and 23 emerging markets countries. All securities in the index are classified in the utilities sector as per the Global Industry Classification Standard (GICS®). The index is calculated on a total return basis with gross dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI All Country World Index (Net)
The MSCI All Country World Index (Net) is a free float-adjusted market capitalization-weighted index that measures equity performance of developed and emerging markets. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI EAFE® Index (net)
The MSCI EAFE® (Europe, Australasia, Far East) Index (net) is a free float-adjusted market capitalization-weighted index that measures developed foreign market equity performance, excluding the U.S. and Canada. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI Emerging Markets Index (net)
The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization-weighted index designed to measure equity market performance in the global emerging markets. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI Emerging Markets Small Cap Index (net)
The MSCI Emerging Markets Small Cap Index (net) is a free float-adjusted market capitalization-weighted index designed to measure small cap equity market performance in the global emerging markets. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI Europe Index (net)
The MSCI Europe Index (net) is a free float-adjusted market capitalization weighted index that measures equity market performance of the developed markets in Europe. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
8
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VIRTUS OPPORTUNITIES TRUST
KEY INVESTMENT TERMS (Unaudited) (Continued)
SEPTEMBER 30, 2018
MSCI USA Utilities Index
The MSCI USA Utilities Index is designed to capture the large and mid cap segments of the U.S. equity universe. All securities in the index are classified in the utilities sector as per the Global Industry Classification Standard (GICS®).
MSCI World Index (net)
The MSCI World Index (net) is a free float-adjusted market capitalization-weighted index that measures developed global market equity performance. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI World Infrastructure Sector Capped Index (net)
The MSCI World Infrastructure Sector Capped Index is a market capitalization-weighted index that measures performance of global infrastructure companies by capturing broad and diversified opportunities across telecommunication, utilities, energy, transportation, and social infrastructure sectors. The telecommunication, infrastructure, and utilities sectors each represent one-third of the index weight, while energy, transportation, and social infrastructure sectors have a combined weight of the remaining one-third of the index. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI World Telecom Services Index
The MSCI World Telecom Services Index is designed to capture the large and midcap segments across 23 developed markets countries. All securities in the index are classified in the Telecommunication Services sector as per the Global Industry Classification Standard (GICS®).
Quantitative Easing (“QE”)
An unconventional monetary policy in which a central bank purchases government securities or other securities from the market in order to lower interest rates and increase the money supply. Quantitative easing increases the money supply by flooding financial institutions with capital in an effort to promote increased lending and liquidity. Quantitative easing is considered when short-term interest rates are at or approaching zero, and does not involve the printing of new banknotes.
Real Estate Investment Trust (REIT)
A publicly traded company that owns, develops, and operates income-producing real estate such as apartments, office buildings, hotels, shopping centers, and other commercial properties.
Russell 2000® Index
The Russell 2000® Index is a market capitalization-weighted index of the 2,000 smallest companies in the Russell Universe, which comprises the 3,000 largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
S&P 500® Index
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
S&P North American Natural Resources Sector Index
The S&P North American Natural Resources Index provides investors with a benchmark that represents U.S. traded securities that are classified under the GICS® energy and materials sector excluding the chemicals industry; and steel sub-industry.
Sponsored ADR
An ADR which is issued with the cooperation of the company whose stock will underlie the ADR. Sponsored ADRs generally carry the same rights normally given to stockholders, such as voting rights. ADRs must be sponsored to be able to trade on a major U.S. exchange such as the New York Stock Exchange (“NYSE”).
9
Table of Contents
VIRTUS OPPORTUNITIES TRUST
KEY INVESTMENT TERMS (Unaudited) (Continued)
SEPTEMBER 30, 2018
U.S. Dollar Spot Index
The U.S. Dollar Spot Index tracks the strength of the U.S. dollar against a basket of foreign currencies (euro, yen, British pound, Canadian dollar, Swedish krona, and Swiss franc) on a weighted average basis.
U.S. Treasury Inflation-Protected Securities (TIPS)
A United States Treasury security that is indexed to inflation in order to protect investors from the negative effects of inflation.
UBS Global Investors (Real Estate) Index
The UBS Global Investors (Real Estate) Index measures the global investable universe of publicly traded real estate securities that derive 70% or more of total revenue from rental income.
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Duff & Phelps Global Infrastructure Fund
| Ticker Symbols: Class A: PGUAX Class C: PGUCX Class I: PGIUX Class R6: VGIRX |
Portfolio Manager Commentary by Duff & Phelps Investment Management Co.
⬛ | The Fund is diversified and has investment objectives of both capital appreciation and current income. There is no guarantee that the Fund will meet its objectives. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned -0.75%, Class C shares at NAV returned -1.54%, Class I shares at NAV returned -0.52% and Class R6 shares at NAV from January 30, 2018 (inception date) through September 30, 2018, returned -1.66%†*. For the same period, the FTSE Developed Core Infrastructure 50/50 Index (net), a broad-based equity index, returned 0.74%, and the Global Infrastructure Linked Benchmark, the Fund’s style-specific benchmark appropriate for comparison, returned 0.74%. |
* | Returns less than 1 year are not annualized. |
† | See footnote 5 on page 13. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Global markets showed strength during the fiscal year, ignoring numerous headwinds to post gains of 11.2% (as measured by the MSCI World Index, net). The robust U.S. economy, which drove stellar corporate earnings growth, easily overcame concerns around trade wars, stalled EU growth, Brexit, and Italian politics. With U.S. gross domestic product (GDP) growing rapidly and inflation appearing contained, the Federal Reserve (the Fed) continued on its rate hike path, raising rates four times over the 12-month period.
This environment led to mixed results for the global listed infrastructure universe. For the fiscal year, global listed infrastructure stocks (as measured by
the FTSE Developed Core Infrastructure 50/50 Index, net) ended up slightly at 0.7%, significantly underperforming the broader global market. The communications, utilities, and transportation sectors posted gains for the year, while returns for the energy infrastructure sector were negative. Communications led the way, with the tower companies performing well. Utilities, though positive, struggled to maintain momentum in a rising interest rate environment. Coming off strong performance in the prior year, the transportation sector posted only modest gains, with the strength in rails offset by weakness in certain airports and toll roads. It was another volatile year for the energy sector, which ultimately posted negative returns.
What factors affected the Fund’s performance during its fiscal year?
The Fund underperformed developed equity markets (as measured by the MSCI World Index, net) and trailed its benchmark for the fiscal year ended September 30, 2018. Sector allocation had a negative impact on Fund performance relative to the benchmark. The overweight in energy infrastructure and transportation during the period was a contributing factor, as returns in both sectors lagged the benchmark return. The underweight in utilities also hurt allocation due to the sector’s outperformance relative to the benchmark. The positive returns in communications relative to the benchmark contributed modestly to sector allocation.
Security selection in the Fund was positive during the fiscal year, primarily due to strong performance within the energy infrastructure sector by Cheniere Energy and Targa Resources, both out-of-benchmark holdings. A large underweight position in Enbridge, which posted a negative return, was also beneficial. Stock selection within the communications sector was a modest positive contributor. Transportation selection was a detractor resulting from an underweight in Aeroports de Paris (ADP), one of the top-performing stocks in the sector. The overweight to Atlantia also hurt performance as the stock suffered a large decline following the bridge collapse in Genoa, Italy. Utility stock selection was a detractor, driven by PG&E, which the Fund sold early in the fiscal year, but not before the stock had declined significantly following the elimination of its dividend.
Drilling down to the security level, Cheniere Energy was the top contributor to relative performance and remained our largest overweight in the energy infrastructure sector. Cheniere continued to benefit from strong global demand for liquefied natural gas (LNG). While the trade war with China created some anxiety, Cheniere continued to lock in new long-term contracts. Macquarie Infrastructure Corp., a benchmark name the Fund does not own, helped relative performance as it underperformed due to a dividend cut and reduced guidance. The company is structured as a fund of diversified infrastructure investments, and we do not believe it is appropriate for our strategy.
The largest detractor from relative performance in the Fund came from ADP, which was not owned due to some of the weakest traffic trends among the European airports. However, as the French government considered a sale of all or part of its ownership in the company, the stock significantly outperformed the other airports. PG&E also hurt relative performance as the company surprised the market with a suspension of its dividend due to concerns about the size of the liability it may incur from the Napa/Sonoma, California wildfires in 2017.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Asset Allocation | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Utilities | 41 | % | ||
Industrials | 29 | |||
Energy | 18 | |||
Real Estate | 10 | |||
Telecommunication Services | 2 | |||
|
| |||
Total | 100 | % | ||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
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Duff & Phelps Global Infrastructure Fund (Continued) |
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Foreign Investing: Investing internationally involves additional risks such as currency, political, accounting, economic, and market risk.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Income: Income received from the Fund may vary widely over the short- and long-term.
Prospectus: For additional information on risks, please see the Fund’s prospectus.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
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Duff & Phelps Global Infrastructure Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||||||
1 year | 5 years | 10 years | Since Inception | Inception Date | ||||||||||||||||
Class A shares at NAV2 | -0.75 | % | 5.92 | % | 7.09 | % | — | — | ||||||||||||
Class A shares at POP3,4 | -6.46 | 4.67 | 6.45 | — | — | |||||||||||||||
Class C shares at NAV2 and with CDSC4 | -1.54 | 5.12 | 6.28 | — | — | |||||||||||||||
Class I shares at NAV2 | -0.52 | 6.18 | 7.36 | — | — | |||||||||||||||
Class R6 shares at NAV2,5 | — | — | — | -1.666 | 1/30/18 | |||||||||||||||
FTSE Developed Core Infrastructure 50/50 Index (net) | 0.74 | 7.47 | — | -61.136 | — | |||||||||||||||
MSCI World Infrastructure Sector Capped Index (net) | -0.36 | 4.42 | 5.53 | -1.696 | — | |||||||||||||||
Global Infrastructure Linked Benchmark | 0.74 | 5.82 | 6.23 | — | — |
Fund Expense Ratios7: Class A shares: 1.28%; Class C shares: 2.02%, Class I shares: 1.01%, Class R6 shares: 0.95%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
6 | The since inception index returns are from the inception date of Class R6 shares. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares and Class C shares, and Class I shares including any applicable sales charges or fees. The performance of the other share class may be greater or less than that shown based on differences in inception dates, fees and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The indexes are unmanaged and not available for direct investment; therefore, their performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
13
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Duff & Phelps Global Real Estate Securities Fund
Fund Summary (Unaudited) | Ticker Symbols: Class A: VGSAX Class C: VGSCX Class I: VGISX Class R6: VRGEX |
Portfolio Manager Commentary by Duff & Phelps Investment Management Co.
⬛ | The Fund is diversified and has a primary investment objective of long-term capital appreciation, with a secondary investment objective of income. There is no guarantee that the Fund will meet its objectives. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 7.48%, Class C shares at NAV returned 6.68%, Class I shares at NAV returned 7.77%†, and Class R6 shares at NAV returned 7.90%. For the same period, the FTSE EPRA NAREIT Developed Index (net), the Fund’s broad-based and style-specific benchmark appropriate for comparison, returned 3.66%. |
† | See footnote 5 on page 16. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Over the course of the fiscal year, global real estate equities trailed global equities as demonstrated by the 3.7% increase in the FTSE EPRA NAREIT Developed Index (net) versus the 11.2% increase in the MSCI World Index, both expressed in U.S. dollar terms. Additionally, global real estate equities trailed U.S. equities during the fiscal year, as represented by the 17.9% rise in the S&P 500® Index during the period. Relative to global real estate equities, broader global equities have benefited even more from the continued pickup in global economic growth, which has translated into superior earnings growth.
A 2.2% increase in the U.S. dollar during the fiscal year, as measured by the U.S. Dollar Spot Index, was a headwind to international equity returns relative to U.S. equity returns, and this played out in real estate
equities as well. The U.S. dollar was particularly strong starting in mid-April 2018, after hitting its one-year low in mid-February 2018, driven by robust U.S. economic growth and the coinciding Federal Reserve (Fed) interest rate policy, both of which notably diverged from most major developed economies.
Taking a closer look at the performance of the individual countries that are represented within the FTSE EPRA NAREIT Developed Index (net), the top performing countries during the fiscal year on a total return basis, measured in U.S. dollars, included Austria, Germany, Sweden, Canada, and Japan. Returns in Austria and Canada benefited from mergers and acquisitions (M&A) activity during the fiscal year. Canadian residential real estate investment trusts (REITs) were also notable positive performers. The performance of real estate companies in Germany and Sweden was driven by solid economies, which supported underlying real estate fundamentals, particularly in the cities of Berlin and Stockholm. Japanese REITs rebounded from their poor performance in the prior fiscal year, which stemmed from outflows from local Japanese real estate investment products, particularly those offered by Japanese trust banks. Healthy office and residential fundamentals in Tokyo also drove performance.
The five bottom performing countries during the fiscal year were the Netherlands, Israel, Italy, Ireland, and New Zealand. Notably, all five of these countries posted negative total returns on a U.S. dollar basis during the period. The potential elimination of the REIT-like structure that is utilized by real estate companies listed in the Netherlands weighed on the performance of their shares in the second half of the fiscal year. The poor performance of retail-focused REITs listed in the Netherlands was also a factor behind the country’s negative returns. Italy reversed its good performance in the prior fiscal year, as political and budget deficit concerns weighed on the market.
The significant amount of capital looking to find a home in global real estate, particularly from private real estate fund managers, large institutional investors, and sovereign wealth funds, is a theme we have highlighted many times in the past, and this fiscal year’s activity continued to demonstrate its relevance. Among private equity real estate firms,
Blackstone Group L.P. remained one of the most active buyers on a global basis, with notable transactions taking place in Canada, Spain, Australia, and the U.S. However, one significant difference in the M&A activity that occurred during this fiscal year as compared to last year, was the number of public-to-public mergers that took place. Some of the larger deals that fit this mold include the purchase of Westfield Corporation by Unibail-Rodamco, the purchase of GGP by Brookfield Property Partners, and the purchase of DCT Industrial by Prologis. We characterize each of these deals as long-term strategic purchases designed to increase each company’s dominance in its respective property sectors and markets.
What factors affected the Fund’s performance during its fiscal year?
Overall, the Fund outperformed the FTSE EPRA NAREIT Developed Index (net) for the 12 months ended September 30, 2018. While country allocation and security selection both contributed positively to relative performance, security selection was the primary driver of relative outperformance for the period.
Combining country allocation and security selection, the top positive relative contributors to performance for the fiscal year were Hong Kong, the U.K., and the U.S. Security selection was the driver of relative performance for all three countries, as country allocation was a detractor.
From a country allocation perspective, the Fund’s overweight exposure to Germany was the largest positive driver of performance during the fiscal year. As previously highlighted, Germany was one of the best performing countries during the fiscal year. German residential real estate companies, in particular, were strong performers during the period. The next largest positive contributor to country allocation for the period was the Fund’s out-of-benchmark exposure to a China-focused data center real estate company. Shares of the company came under attack from a short seller during August of 2018, and we took advantage of the share price correction to initiate a position.
At the security level, the Fund’s overweight exposure to Unite Group, a mid-cap U.K. student housing REIT, was the largest positive contributor for the fiscal year. The company’s shares materially outperformed the
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
14
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Duff & Phelps Global Real Estate Securities Fund (Continued) |
U.K. as a whole due to a positive operating environment for its student housing portfolio and the anticipation of future growth from its development projects. The second most meaningful positive contributor to security selection for the period was the Fund’s overweight exposure to Swire Properties, a large-cap Hong Kong diversified real estate company. Shares of the company rebounded strongly during the first quarter of 2018 following weak performance in the fourth quarter of 2017. The company’s Hong Kong retail real estate business continued to show improvement during the fiscal year, and its decentralized Hong Kong office exposure and mixed-use China real estate projects performed well.
Combining country allocation and security selection, the top detractors for the period were Japan, Austria, and India. Country allocation and security selection hurt within Japan, and country allocation was the detractor in Austria and India.
From a country allocation viewpoint, the Fund’s overweight exposure to Hong Kong was the largest detractor from performance during the fiscal year. Hong Kong underperformed the benchmark overall during the period, however stock selection within Hong Kong more than compensated for this. The second largest country allocation detractor was a slight overweight exposure to the U.S., which marginally underperformed the benchmark. However, similar to Hong Kong, stock selection within the U.S. more than made up for this small detraction.
At the security level, the Fund’s overweight exposure to Health Care Trust of America, an owner of medical office buildings within the U.S. health care property sector, was the largest negative contributor to security selection for the fiscal year. The company’s shares performed poorly over the period as investors rotated into other health care names with operational and oversupply concerns in areas such as senior housing and skilled nursing facilities.
The Fund’s overweight exposure to Mitsui Fudosan Logistics Park, a small-cap Japan industrial REIT, was the second largest detractor to security selection for the fiscal year. Japanese industrial REITs were poor performers during the fiscal year given growing concerns about near-term industrial supply in the major markets of Tokyo and Osaka.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Asset Allocations | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Real Estate Operating Companies | 25 | % | ||
Office REITs | 21 | |||
Residential REITs | 15 | |||
Retail REITs | 13 | |||
Diversified REITs | 7 | |||
Specialized REITs | 7 | |||
Industrial REITs | 6 | |||
Other | 6 | |||
|
| |||
Total | 100 | % | ||
|
|
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Real Estate: The Fund may be negatively affected by factors specific to the real estate market, including interest rates, leverage, property, and management.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
Prospectus: For additional information on risks, please see the Fund’s prospectus.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
15
Table of Contents
Duff & Phelps Global Real Estate Securities Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||
1 year | 5 years | Since Inception | Inception Date | |||||||||||||
Class A shares at NAV2 | 7.48 | % | 8.17 | % | 16.88 | % | 3/2/09 | |||||||||
Class A shares at POP3,4 | 1.30 | 6.90 | 16.16 | 3/2/09 | ||||||||||||
Class C shares at NAV2 and with CDSC4 | 6.68 | 7.36 | 16.01 | 3/2/09 | ||||||||||||
Class I shares at NAV2,5 | 7.77 | 8.43 | 17.18 | 3/2/09 | ||||||||||||
Class R6 shares at NAV2 | 7.90 | — | 10.15 | 11/3/16 | ||||||||||||
FTSE EPRA NAREIT Developed Index (net) | 3.66 | 5.43 | — | 6 | — |
Fund Expense Ratios7: Class A shares: Gross 2.46%, Net 1.40%; Class C shares: Gross 2.27%, Net 2.15%; Class I shares: Gross 1.24%, Net 1.15% Class R6 shares: Gross 1.11%, Net 0.95%
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
6 | The since inception index returned 6.69% for Class R6 shares and 15.23% for Class A, C, and I shares from the inception date of the respective share classes. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on March 2, 2009 (inception date of the Fund), for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. The performance of the other share class may be greater or less than that shown based on differences in inception dates, fees and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
16
Table of Contents
Duff & Phelps International Real Estate Securities Fund
Fund Summary (Unaudited) | Ticker Symbols: Class A: PXRAX Class C: PXRCX Class I: PXRIX |
Portfolio Manager Commentary by Duff & Phelps Investment Management Co.
⬛ | The Fund is diversified and has a primary investment objective of long-term capital appreciation, with a secondary investment objective of income. There is no guarantee that the Fund will meet its objectives. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 8.72%, Class C shares at NAV returned 7.97%, and Class I shares at NAV returned 9.03%. For the same period, the FTSE EPRA NAREIT Developed ex-U.S. Index (net), the Fund’s broad-based and style-specific benchmark appropriate for comparison, returned 4.68%. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Over the course of the fiscal year, international real estate equities outperformed international equities, as demonstrated by the 4.7% increase in the FTSE EPRA NAREIT Developed ex US Index (net) versus the 2.7% increase in the MSCI EAFE® Index, both expressed in U.S. dollar terms. However, international real estate equities trailed U.S. equities during the fiscal year, as represented by the 17.9% rise in the S&P 500® Index during the period. Relative to global real estate equities, broader global equities benefited even more from the continued pickup in global economic growth, which translated into superior earnings growth.
A 2.2% increase in the U.S. dollar during the fiscal year, as measured by the U.S. Dollar Spot Index, was a headwind to international equity returns relative to U.S. equity returns, and this played out in real estate equities as well. The U.S. dollar was particularly strong starting in mid-April 2018, after hitting its
one-year low in mid-February 2018, driven by robust U.S. economic growth and the coinciding Federal Reserve (Fed) interest rate policy, both of which notably diverged from most major developed economies.
Taking a closer look at the performance of the individual countries that are represented within the FTSE EPRA NAREIT Developed ex US Index (net), the top performing countries during the fiscal year on a total return basis, measured in U.S. dollars, included Austria, Germany, Sweden, Canada, and Japan. Returns in Austria and Canada benefited from mergers and acquisitions (M&A) activity during the fiscal year. Canadian residential real estate investment trusts (REITs) were also notable positive performers. The performance of real estate companies in Germany and Sweden was driven by solid economies, which supported underlying real estate fundamentals, particularly in the cities of Berlin and Stockholm. Japanese REITs rebounded from their poor performance in the prior fiscal year, which stemmed from outflows from local Japanese real estate investment products, particularly those offered by Japanese trust banks. Healthy office and residential fundamentals in Tokyo also drove performance.
The five bottom performing countries during the fiscal year were the Netherlands, Israel, Italy, Ireland, and New Zealand. Notably, all five of these countries posted negative total returns on a U.S. dollar basis during the period. The potential elimination of the REIT-like structure that is utilized by real estate companies listed in the Netherlands weighed on the performance of their shares in the second half of the fiscal year. The poor performance of retail-focused REITs listed in the Netherlands was also a factor behind the country’s negative returns. Italy reversed its good performance in the prior fiscal year, as political and budget deficit concerns weighed on the market.
The significant amount of capital looking to find a home in global real estate, particularly from private real estate fund managers, large institutional investors, and sovereign wealth funds, is a theme we have highlighted many times in the past, and this fiscal year’s activity continued to demonstrate its relevance. Among private equity real estate firms, Blackstone Group L.P. remained one of the most active buyers on a global basis, with notable
transactions taking place in Canada, Spain, Australia, and the U.S. However, one significant difference in the M&A activity that occurred during this fiscal year as compared to last year, was the number of public-to-public mergers that took place. Some of the larger deals that fit this mold include the purchase of Westfield Corporation by Unibail-Rodamco, the purchase of GGP by Brookfield Property Partners, and the purchase of DCT Industrial by Prologis. We characterize each of these deals as long-term strategic purchases designed to increase each company’s dominance in its respective property sectors and markets.
What factors affected the Fund’s performance during its fiscal year?
Overall, the Fund outperformed the FTSE EPRA NAREIT Developed ex US Index (net) for the fiscal year ended September 30, 2018. Country allocation and security selection both contributed positively to relative performance for the period. However, security selection was the primary driver of relative outperformance.
Combining country allocation and security selection, the top positive relative contributors to performance for the fiscal year were Hong Kong, the U.K. and China. Hong Kong benefited from both country allocation and security selection, the U.K. from security selection, and China from country allocation.
From a country allocation perspective, the Fund’s out-of-benchmark exposure to a China-focused data center real estate company was the most positive driver of performance during the fiscal year. Shares of the company came under attack from a short seller during August of 2018, and we took advantage of the share price correction to initiate a position. The next largest positive contributor to country allocation for the period was the Fund’s out-of-benchmark exposure to Mexico, which benefited from improved sentiment toward the incoming Mexican administration and negotiations surrounding the updated NAFTA trade agreement.
At the security level, the Fund’s overweight exposure to Unite Group, a mid-cap U.K. student housing REIT, was the largest positive contributor for the fiscal year. The company’s shares materially outperformed the U.K. as a whole during the period due to a positive operating environment for its student housing portfolio and future projects that are in development.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
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Duff & Phelps International Real Estate Securities Fund (Continued) |
The second most meaningful positive contributor to security selection for the period was an overweight exposure to Swire Properties, a large-cap Hong Kong diversified real estate company. Shares of the company rebounded strongly during the first quarter of 2018 following weak performance in the fourth quarter of 2017. The company’s Hong Kong retail real estate business continued to show improvement during the fiscal year, and its decentralized Hong Kong office exposure and mixed-use China real estate projects performed well.
Combining country allocation and security selection, the top detractors were France, Canada, and Austria. Country allocation and security selection hurt within France, whereas security selection was the detractor in Canada, and country allocation was the detractor in Austria. From a country allocation viewpoint, an overweight exposure to the U.K. was the largest detractor from performance during the fiscal year. The U.K. underperformed the FTSE EPRA NAREIT Developed ex US Index (net) overall during the period, however stock selection within the U.K. more than compensated for this. The second largest country allocation detractor was the Fund’s exposure to Australia, which marginally underperformed the index. However, as with the U.K., stock selection within Australia more than made up for the detraction.
At the security level, the Fund’s overweight exposure to Mercialys, a small-cap France retail REIT, was the largest negative contributor to security selection for the fiscal year. The company’s shares performed poorly over the period as European retail REITs remained out of favor. In addition, liquidity issues at its major shareholder, Casino Guichard Perrachon, forced the company to unload half of its position in Mercialys. An overweight exposure to Mitsui Fudosan Logistics Park, a small-cap Japan industrial REIT, was the second largest detractor from security selection for the fiscal year. Japanese industrial REITs were poor performers during the fiscal year given growing concerns about near-term industrial supply in the major markets of Tokyo and Osaka.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past
performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Asset Allocation | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Real Estate Operating Companies | 47 | % | ||
Retail REITs | 18 | |||
Diversified REITs | 12 | |||
Office REITs | 11 | |||
Residential REITs | 5 | |||
Industrial REITs | 4 | |||
Specialized REITs | 2 | |||
Data Processing & Outsourced Services | 1 | |||
|
| |||
Total | 100 | % | ||
|
|
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Real Estate: The Fund may be negatively affected by factors specific to the real estate market, including interest rates, leverage, property, and management.
Foreign Investing: Investing internationally involves additional risks such as currency, political, accounting, economic, and market risk.
Prospectus: For additional information on risks, please see the Fund’s prospectus.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
18
Table of Contents
Duff & Phelps International Real Estate Securities Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||
1 year | 5 years | 10 years | ||||||||||
Class A shares at NAV2 | 8.72 | % | 6.19 | % | 6.55 | % | ||||||
Class A shares at POP3,4 | 2.47 | 4.94 | 5.92 | |||||||||
Class C shares at NAV2 and with CDSC4 | 7.97 | 5.41 | 5.77 | |||||||||
Class I shares at NAV2 | 9.03 | 6.48 | 6.83 | |||||||||
FTSE EPRA NAREIT Developed ex-U.S. Index (net) | 4.68 | 3.39 | 5.98 |
Fund Expense Ratios5: Class A shares: Gross 1.97%, Net 1.50%; Class C shares: Gross 2.67%, Net 2.25%; Class I shares: Gross 1.68%, Net 1.25%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | ”CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
19
Table of Contents
Fund Summary (Unaudited) | Ticker Symbols: Class A: VHFAX Class C: VHFCX Class I: VHFIX |
Portfolio Manager Commentary by Thomas J. Herzfeld Advisors, Inc.
⬛ | The Fund is non-diversified and has investment objectives of capital appreciation and current income. There is no guarantee that the Fund will meet its objectives. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 7.06%, Class C shares at NAV returned 6.31%, and Class I shares at NAV returned 7.30%†. For the same period, the Fund’s style-specific benchmark, the Herzfeld Composite Benchmark, which consists of 60% MSCI All Country World Index (net) and 40% Bloomberg Barclays U.S. Aggregate Bond Index, returned 5.35%. |
† | See footnote 5 on page 22. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Over the fiscal year, closed-end funds (CEFs) saw a wide dispersion of returns in the seven CEF categories we track, ranging from -6.07% for municipal CEFs to 13.54% for convertible CEFs. Overall, the CEF industry returned an average of -0.02% for the period, as rising interest rates were doubly negative for the fixed income-focused space. Increasing short-term rates negatively impacted the cost of leverage for most funds, and rising long-term rates negatively impacted the performance of the underlying fixed income holdings. At the end of September 2018, the average weighted discount was -5.93%, slightly wider than the previous September’s -5.88%.
For the second year in a row, convertible CEFs were the best performing fixed income category, gaining an average of 13.54% at price and 11.64% at net asset value (NAV). Convertible CEFs also happened to
be the best performing category overall as demand outstripped supply, leading to an average premium of 2.21% at the end of September.
Municipal CEFs were the worst performing category, and it wasn’t very close. Investors lost an average of 6.07% over the fiscal year as distribution cuts, rising leverage costs, and a selloff in longer-term rates negatively impacted performance, causing discounts in the category to widen from -3.90% to -9.70%.
Around four in 10 CEFs closed the period at a discount wider than -10%. The weighted average distributions for taxable and tax-exempt CEFs closed September 2018 at 7.56% and 5.02%, respectively.
What factors affected the Fund’s performance during its fiscal year?
For the fiscal year ended September 30, 2018, the Fund (Class I) returned 7.30%, beating the 5.35% return of the composite benchmark. At fiscal year end, the average weighted discount of the Fund’s holdings was -10.33%, compared with -9.90% on September 30, 2017.
Top contributors to the Fund’s performance came from its four largest holdings over the period as the four wildly different strategies generated nearly half of the Fund’s return. The largest position, NexPoint Strategic Opportunities Fund (NHF), gained 11.18% in the period, focusing on below investment grade debt and equity. The Fund participated in a rights offering by NHF that provided the opportunity to add shares at a 5% discount to the market price, which contributed additional alpha on top of NHF’s return over the fiscal year.
The best performer was Central Securities Corp, a CEF that dates back to the Great Depression, with a sizable discount and even more sizable unrealized gains of 54% of total net assets. The CEF gained 18.58% as the limited number of companies in its concentrated portfolio generated solid returns.
Another older CEF, Boulder Growth & Income Fund (BIF), gained 14.08% as the portfolio tracked the return of its largest holding, Berkshire Hathaway. BIF’s portfolio manager made his fortune investing in Berkshire Hathaway stock, and the CEF mimics many of the holdings in the Berkshire Hathaway portfolio, which performed well in the strong economy.
Main detractors came from foreign equities and Treasury Inflation-Protected Securities (TIPS), as rising interest rates and the strong U.S. dollar weighed on returns. The worst performer for the fiscal year ended September 30, 2018, was Aberdeen Emerging Markets Equity Income Fund (AEF), formerly the Chile Fund (CH), which merged with seven other funds and adopted a new name and strategy. AEF dropped 15.32% from our initial purchase in the second quarter of 2018. AEF announced a large tender offer of 32.50% of the fund. Historically, tender offers have created solid alpha-generating opportunities, but this tender offer coincided with a sharp selloff in emerging markets due to trade war fears and the strong U.S. dollar. This caused investors waiting for the tender offer to take a large financial hit.
Morgan Stanley India Investment Fund (IIF) was another poor performer that plummeted 13.40% in September 2018 alone after the Fund’s purchase in August. The sharply weakening rupee and President Trump’s expanding trade war in Asia negatively affected the CEF.
Western Asset’s two inflation-protected CEFs provided little protection from rising rates as the CEFs’ low distributions and rising expense ratios were negative headwinds. Both struggled in the low inflation environment, and remained at double digit discounts for most of the fiscal year. Though the Fund holds only those two interest rate-sensitive fixed income CEFs, it would have been better to avoid all rate-sensitive CEFs, as they all performed poorly.
The preceding information is the opinion of portfolio
management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
20
Table of Contents
Herzfeld Fund (Continued) |
Asset Allocation | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Equity Funds | 39 | % | ||
International Equity Funds | 31 | |||
Fixed Income Funds | 20 | |||
Preferred Stocks | 3 | |||
Exchange-Traded Fund | 2 | |||
Other (includes short-term investment and securities lending collateral) | 5 | |||
|
| |||
Total | 100 | % | ||
|
|
Closed-end Funds: Closed-end funds may trade at a discount from their net asset values, which may affect whether the fund will realize gains or losses. They may also employ leverage, which may increase volatility.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
Fund of funds: Because the fund can invest in other funds, it indirectly bears its proportionate share of the operating expenses and management fees of the underlying fund(s).
Prospectus: For additional information on risks, please see the fund’s prospectus.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
21
Table of Contents
Herzfeld Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||
1 year | 5 years | Since Inception | Inception Date | |||||||||||||
Class A shares at NAV2 | 7.06 | % | 8.42 | % | 8.14 | % | 9/5/12 | |||||||||
Class A shares at POP3,4 | 0.90 | 7.15 | 7.09 | 9/5/12 | ||||||||||||
Class C shares at NAV2 and with CDSC4 | 6.31 | 7.62 | 7.36 | 9/5/12 | ||||||||||||
Class I shares at NAV2,5 | 7.30 | 8.70 | 8.42 | 9/5/12 | ||||||||||||
Herzfeld Composite Benchmark: 60% MSCI AC World Index (net) / 40% Bloomberg Barclays U.S. Aggregate Index | 5.35 | 6.15 | 7.05 | 6 | — |
Fund Expense Ratios7: Class A shares: Gross 2.64%, Net 2.60%; Class C shares: Gross 3.41%, Net 3.35%; Class I shares: Gross 2.37%, Net 2.35%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
6 | The since inception index returns are from the Fund’s inception date. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by the contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with underlying funds. |
Growth of $10,000 For periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 5, 2012 (inception date of the Fund), for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
22
Table of Contents
Fund Summary (Unaudited) | Ticker Symbols: Class A: VWMAX Class C: VWMCX Class I: VWMIX |
Portfolio Manager Commentary by Horizon Asset Management, LLC
⬛ | The Fund is diversified and has an investment objective of capital appreciation. There is no guarantee that the Fund will achieve its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 11.04%, Class C shares returned 10.29%, and Class I shares returned 11.36%. For the same period, the S&P 500® Index, a broad-based equity index, and the Fund’s style-specific benchmark, returned 17.91%. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
During the 12-month period ended September 30, 2018, the broader markets appreciated substantially, with the S&P 500® Index returning 17.91%. Market strategists and macroeconomic investors cited the strong fundamentals underpinning U.S. markets. While interest rates, inflation, and gross domestic product (GDP) growth appeared attractive, potential risks lingered. U.S. deficit levels were high considering that the economic expansion was in its ninth year, while federal debt levels were also at unprecedented levels. At the same time, though corporate earnings continued to expand, they faced headwinds from the combination of rising interest rates, corporate debt, the recent rate of share repurchases, and the limited ability to continue improving margins from current levels.
What factors affected the Fund’s performance during its fiscal year?
Though the Fund generated substantial returns during the 12 months ended September 30, 2018, the Fund’s performance lagged the S&P 500® Index. The
trend toward passive management persisted. As such, the continued flow of funds out of actively managed products and into passively managed products likely contributed to the outperformance of the major indexes. A significant portion of the index gains came from the technology sector, despite challenges including market saturation, increased regulation, technological disruption from blockchain applications, and an ongoing global trade war.
The Horizon Kinetics ISE Wealth Index (the Wealth Index) is designed to identify companies run by wealthy owner-operators. These companies tend to have higher insider ownership than their agent-operated counterparts. Because the Fund seeks to track the Wealth Index, the Fund’s holdings are the result of the inclusion criteria for the Wealth Index. Due to differences in the methodology used to determine the weights for the major indexes versus the Wealth Index, companies in the Wealth Index tend to be underrepresented in the S&P 500® Index. Furthermore, even those that do overlap with the S&P 500® Index generally have a lower weight in the Wealth Index and the Fund than they do in the S&P 500® Index due to the equal weighting methodology used in the Wealth Index and, therefore, in the Fund.
At the sector level, which is a byproduct of the Wealth Index inclusion criteria, energy and consumer staples were the largest contributors to relative returns, while consumer discretionary and information technology were the largest detractors during the fiscal year.
At the stock level, the five largest contributors to performance (and their owner-operators) were W&T Offshore (Tracy Krohn), Syntel (Bharat Desai), Boston Beer Company (C. James Koch), W.W. Grainger (James Slavik), and Amazon.com (Jeff Bezos). The Fund’s five largest detractors from performance were Sears Holdings (Edward Lampert), AquaBounty Technologies (Randal Kirk), Greenlight Capital Re (David Einhorn), OPKO Health (Phillip Frost), and Colony Capital (Thomas Barrack).
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment
advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Asset Allocation | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Consumer Discretionary | 32 | % | ||
Financials | 12 | |||
Industrials | 11 | |||
Information Technology | 11 | |||
Real Estate | 8 | |||
Energy | 6 | |||
Consumer Staples | 5 | |||
Other (includes securities lending collateral) | 15 | |||
|
| |||
Total | 100 | % | ||
|
|
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Prospectus: For additional information on risks, please see the fund’s prospectus.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
23
Table of Contents
Horizon Wealth Masters Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||
1 year | 5 years | Since Inception | Inception Date | |||||||||||||
Class A shares at NAV2 | 11.04 | % | 8.68 | % | 12.25 | % | 9/5/12 | |||||||||
Class A shares at POP3,4 | 4.65 | 7.40 | 11.16 | 9/5/12 | ||||||||||||
Class C shares at NAV2 and with CDSC4 | 10.29 | 7.89 | 11.42 | 9/5/12 | ||||||||||||
Class I shares at NAV2 | 11.36 | 8.97 | 12.53 | 9/5/12 | ||||||||||||
S&P 500® Index | 17.91 | 13.95 | 15.18 | 5 | — |
Fund Expense Ratios6: Class A shares: Gross 1.49%, Net 1.25%; Class C shares: Gross 2.24%, Net 2.00%; Class I shares: Gross 1.23%, Net 1.00%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index returns are from the Fund’s inception date. |
6 | The expense ratios for the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 For periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 5, 2012 (inception date of the Fund), for Class A, Class C, and Class I shares including any applicable sales charges or fees. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
24
Table of Contents
KAR Emerging Markets Small-Cap Fund
Fund Summary (Unaudited) | Ticker Symbols: Class A: VAESX Class C: VCESX Class I: VIESX |
Portfolio Manager Commentary by Kayne Anderson Rudnick Investment Management, LLC
⬛ | The Fund is diversified and has an investment objective of capital appreciation. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 7.10%, Class C shares at NAV returned 6.39%†, and Class I shares at NAV returned 7.36%. For the same period, the MSCI Emerging Markets Small Cap Index (net), the Fund’s broad-based and style-specific benchmark appropriate for comparison, returned -4.20%. |
† | See footnote 5 on page 27. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Despite increased volatility, U.S. equities continued to march ahead during the fiscal year, with the S&P 500® Index returning 17.91% for the 12-month period. Smaller stocks, as represented by the Russell 2000® Index, performed strongly as well, rising 15.24%. Growth stocks outperformed their value counterparts for the period, though both categories rose by double digits. Foreign markets struggled in comparison, with the MSCI EAFE® Index gaining 2.74% and the MSCI Emerging Markets Index down 0.81% for the period.
The MSCI Emerging Markets Small Cap Index was down 4.20% for the 12 months ended September 30, 2018. While health care was up strongly, by 22.90%, it was the only positive performing sector, and its contributions were more than offset by losses in all other categories. The sectors with the weakest returns were communication services (-17.10%), utilities (-16.04%), and industrials (-12.48%).
Key events that drove markets in the past year included a correction that rattled U.S. equity markets in early 2018 after a calm 2017. While the bout of volatility set major indices back a step, stocks soon recovered. They continued to advance during the fiscal year despite the introduction of new trade tariffs and the continued escalation of tariff-related tensions, particularly with China. While U.S. market strength continued – though not without volatility – international markets struggled to grow, weighed down by prolonged trade negotiations and resulting uncertainty, as well as country-specific challenges.
What factors affected the Fund’s performance during its fiscal year?
The Fund outperformed the MSCI Emerging Markets Small Cap Index for the 12 months ended September 30, 2018. Performance was aided by strong stock selection in consumer discretionary and communication services. An underweight position in health care and weak stock selection in materials detracted from performance.
The stocks that contributed the most to the year’s gains were Fila Korea and Douzone Bizon.
⬛ | The Fila brand was revitalized by the comeback in popularity of retro brands, and Fila’s management team did a tremendous job taking advantage of this favorable trend. It adjusted its distribution strategy in Korea in a timely manner, and also collaborated with various global trendy brands. Fila’s sales grew strongly around the world, and the brand gained popularity in China, where Fila’s third-quarter sales grew by 90% year-over-year through its partnership with Anta Sports. |
⬛ | Shares of Douzone Bizon, a South Korea-based enterprise resource planning (ERP) software provider, had a particularly strong run during the first quarter of 2018 after the company reported results that showed strong growth across all of its business segments, exceeding market expectations by a wide margin. |
The positions that detracted the most from performance were Sina and Turk Traktor.
⬛ | Sina’s Weibo is the leading social media platform in China. A strong rise in new, competing apps, especially short-video apps, triggered investor concerns early in 2018. Investor sentiment on Sina was challenged by concerns over competition and fear that a general slowdown in the Chinese economy may lead to slower growth in ad spending in China. |
⬛ | Turkey was particularly hard hit in a sharp sell-off of emerging market stocks, and its currency fell significantly. The weakness in the country was driven by macroeconomic and political uncertainties, including concerns over Turkey’s wide current account deficit, high inflation, and central bank independency. Turk Traktor, a Turkey-based manufacturer of agricultural tractors, experienced some slowing in sales volume due to uncertainties about future levels of government subsidy. |
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Asset Allocation | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Information Technology | 29 | % | ||
Industrials | 21 | |||
Consumer Staples | 11 | |||
Consumer Discretionary | 8 | |||
Financials | 8 | |||
Materials | 7 | |||
Telecommunication Services | 2 | |||
Short-Term Investment | 14 | |||
|
| |||
Total | 100 | % | ||
|
|
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
25
Table of Contents
KAR Emerging Markets Small-Cap Fund (Continued) |
Limited Number of Investments: Because the Fund has a limited number of securities, it may be more susceptible to factors adversely affecting its securities than a less concentrated fund.
Prospectus: For additional information on risks, please see the Fund’s prospectus.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
26
Table of Contents
KAR Emerging Markets Small-Cap Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||
1 year | Since Inception | Inception Date | ||||||||||
Class A shares at NAV2 | 7.10 | % | 5.04 | % | 12/17/13 | |||||||
Class A shares at POP3,4 | 0.94 | 3.75 | 12/17/13 | |||||||||
Class C shares at NAV2,5 and with CDSC4 | 6.39 | 4.27 | 12/17/13 | |||||||||
Class I shares at NAV2 | 7.36 | 5.29 | 12/17/13 | |||||||||
MSCI Emerging Markets Small Cap Index (net) | -4.20 | 2.95 | 6 | — |
Fund Expense Ratios7: Class A shares: Gross 3.10%, Net 1.88%; Class C shares: Gross 3.73%, Net 2.63%; Class I shares: Gross 2.77%, Net 1.63%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
6 | The since inception index returns are from the Fund’s inception date. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by the contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on December 17, 2013 (inception date of the Fund), for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
27
Table of Contents
KAR International Small-Cap Fund
Fund Summary (Unaudited) | Ticker Symbols: Class A: VISAX Class C: VCISX Class I: VIISX Class R6: VRISX |
Portfolio Manager Commentary by Kayne Anderson Rudnick Investment Management, LLC
⬛ | The Fund is diversified and has an investment objective of capital appreciation. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 7.37%†, Class C shares at NAV returned 6.60%, Class I shares at NAV returned 7.58%, and Class R6 shares at NAV returned 7.81%†. For the same period, the MSCI All Country World ex U.S. Small Cap Index (net), which serves as the Fund’s broad-based and style-specific benchmark appropriate for comparison, returned 1.86%. |
† | See footnote 5 on page 29. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Despite increased volatility, U.S. equities continued to march ahead during the fiscal year, with the S&P 500® Index returning 17.91% for the 12-month period. Smaller stocks, as represented by the Russell 2000® Index, performed strongly as well, rising 15.24%. Growth stocks outperformed their value counterparts for the period, though both categories rose by double digits. Foreign markets struggled in comparison, with the MSCI EAFE® Index gaining 2.74% and the MSCI Emerging Markets Index down 0.81% for the period.
The MSCI All Country World ex U.S. Small Cap Index (net) was up 1.86% for the 12 months through September 30, 2018. Health care was the best performing sector, up 19.50%, followed by energy (11.09%) and information technology (7.36%). Weak performing sectors within the index included utilities (-3.48%) and financials (-3.30%).
Key events that drove markets in the past year included a correction that rattled U.S. equity markets in early 2018 after a calm 2017. While the bout of volatility set major indices back a step, stocks soon recovered. They continued to advance during the fiscal year despite the introduction of new trade tariffs and the continued escalation of tariff-related tensions, particularly with China. While U.S. market strength continued – though not without volatility – international markets struggled to grow, weighed down by prolonged trade negotiations and resulting uncertainty, as well as country-specific challenges.
What factors affected the Fund’s performance during its fiscal year?
The Fund outperformed the MSCI All Country World ex U.S. Small Cap Index (net) for the 12 months ended September 30, 2018. Strong stock selection in communication services and financials contributed most positively, while weak stock selection in health care and an underweight in real estate detracted from performance.
The stocks that contributed the most to the year’s gains were Autohome and Euler Hermes Group.
⬛ | Autohome, which operates the leading online automotive information destination in China, was once again the largest contributor to performance. Margins continued to expand at Autohome following its exit from an unprofitable e-commerce initiative. This allowed the exceptional characteristics of Autohome’s core media and lead-generation business to become more evident to investors. |
⬛ | Euler Hermes, the largest credit insurer globally, rallied in the fourth quarter of 2017 after controlling shareholder Allianz offered to buy out the remaining shares it did not own at a significant premium. |
The positions that detracted the most from performance were SINA and Firstlogic.
⬛ | SINA is a Chinese technology company whose most valuable asset is a 46% stake in Weibo, one of the most popular social media platforms in China. The stock sold off along with many other Chinese companies as investors became increasingly concerned about a slowdown in the Chinese economy, as well as escalating trade tensions. |
⬛ | Firstlogic operates the leading website in Japan for matching buyers and sellers of residential investment properties. The stock suffered as margins were negatively impacted by increased spending designed to grow market share. We disagreed with management’s strategy, and exited the Fund’s position in the stock. |
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Asset Allocation | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Information Technology | 33 | % | ||
Industrials | 21 | |||
Financials | 11 | |||
Consumer Discretionary | 6 | |||
Health Care | 5 | |||
Materials | 5 | |||
Consumer Staples | 5 | |||
Other (includes short-term investment) | 14 | |||
|
| |||
Total | 100 | % | ||
|
|
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
Limited Number of Investments: Because the Fund has a limited number of securities, it may be more susceptible to factors adversely affecting its securities than a less concentrated fund.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Prospectus: For additional information on risks, please see the Fund’s prospectus.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
28
Table of Contents
KAR International Small-Cap Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||
1 year | 5 years | Since Inception | Inception Date | |||||||||||||
Class A shares at NAV2,5 | 7.37 | % | 9.71 | % | 13.15 | % | 9/5/12 | |||||||||
Class A shares at POP3,4 | 1.20 | 8.41 | 12.05 | 9/5/12 | ||||||||||||
Class C shares at NAV2 and with CDSC4 | 6.60 | 8.90 | 12.32 | 9/5/12 | ||||||||||||
Class I shares at NAV2 | 7.58 | 9.98 | 13.43 | 9/5/12 | ||||||||||||
Class R6 shares at NAV2,5 | 7.81 | — | 11.85 | 11/12/14 | ||||||||||||
MSCI All Country World ex U.S. Small Cap Index (net) | 1.86 | 6.14 | — | 6 | — |
Fund Expense Ratios7: Class A shares: Gross 1.73%, Net 1.65%; Class C shares: Gross 2.42%, Net 2.40%; Class I shares: Gross 1.44%, Net 1.40%; Class R6 shares: Gross 1.32%, Net 1.29%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
6 | The since inception index returned 7.59% for Class R6 shares and 9.21% for Class A, C, and I shares from the inception date of the respective share classes. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 5, 2012 (inception date of the Fund), for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. The performance of the other share class may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
29
Table of Contents
Rampart Alternatives Diversifier Fund
Fund Summary (Unaudited) | Ticker Symbols: Class A: PDPAX Class C: PDPCX Class I: VADIX |
Portfolio Manager Commentary by Rampart Investment Management Company, LLC
⬛ | The Fund is non-diversified and has an investment objective of long-term capital appreciation. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 6.25%, Class C shares at NAV returned 5.40%, and Class I shares at NAV returned 6.49%. For the same period, the S&P 500® Index, a broad-based equity index, returned 17.91%, and the Alternatives Diversifier Composite Benchmark, the Fund’s style-specific index appropriate for comparison, returned 6.36%. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Twelve months ago, this report referenced the importance of central bank support in the current international bull market, which is nearly 10 years old. During the 12-month period, the U.S. Fed funds rate rose 1%, as did the 1-month London Interbank Offered Rate (LIBOR). The rate on the 10-year U.S. Treasury nearly matched this increase, and Euro-area rates also increased. The reaction of U.S. stocks was somewhat mixed. While the bull market continued on as ferociously as ever, with the S&P 500® Index rising nearly 18% from September 30, 2017 through September 30, 2018, it was accompanied by an increase in volatility not seen for some time. International stocks kept pace with much of this action, although performance toward the end of the period lagged considerably.
But the period didn’t start that way. The fourth quarter of 2017 will go down in history as an unprecedented nadir for stock volatility. Realized
volatility was nearly one-third of historical averages, and the Chicago Board Options Exchange Volatility Index® (CBOE VIX®) reached the lowest level in its nearly 30-year history. This was reflected in a steady upward grind in stock prices in most global regions.
As the new year began, the relatively orderly bull market of late 2017 was replaced with a frenzied rush to ever higher prices, and a rapid succession of new all-time market highs. In the U.S., this represented the strongest January since 1997. This intense buying pressure finally broke in the last week of January, at which point the market witnessed a drawdown event with few rivals in recent memory. Over nine trading sessions, the S&P 500® Index dropped more than 10%, and the volatility market experienced a re-pricing of historic magnitude and violence. Similar drops were seen in non-U.S. equities, with notable damage in Asian and emerging market stocks. Much of the loss was quickly recaptured, only to be given back in late March. This “double dip” event was similar in some ways to the risk flares seen in late 2015 and early 2016, except that the recovery in this most recent experience was longer and more shallow. By August 2018, the January highs had been reached once again in the U.S. market, but it became clear that weakness was persisting in other parts of the world.
There were a number of potential explanations for this dynamic activity. A global trade war of increasing acrimony was certainly one. Pockets of geopolitical agitation may have been another. But the simplest explanation may be the most insightful and actionable – it is rare that a bull market can withstand the pressure of steadily increasing interest rates. We need only look back about a decade to see a recent example.
What factors affected the Fund’s performance during its fiscal year?
The Fund slightly outperformed the Alternatives Diversifier Composite Benchmark, which consists of a diversified group of alternative investment indexes, gaining 6.5% for the 12 months ended September 30, 2018. The Fund’s three largest holdings – representing exposures to commodities/natural resources and international real estate – all performed well during the period. Alternative investments, generally speaking, were relatively highly correlated to U.S. stocks during the year’s
several periods of market turmoil. Accordingly, while the Fund experienced losses during the first quarter, the magnitude was much less than in the U.S. large cap stock market. Near the end of the period, the Fund was not able to match the gains of U.S. stocks, and performance was relatively flat from May through September 2018. This is not surprising, as very few true alternatives can (or should) keep up with a large cap equity bull market.
The preceding information is the opinion of portfolio
management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future
results, and there is no guarantee that market forecasts will be realized.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Derivatives: Investments in derivatives such as futures, options, forwards, and swaps may increase volatility or cause a loss greater than the principal investment.
Allocation: The fund’s exposure to different asset classes may not be optimal for market conditions at a given time. Asset allocation does not guarantee a profit or protect against a loss in declining markets.
Foreign Investing: Investing internationally involves additional risks such as currency, political, accounting, economic, and market risk.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
30
Table of Contents
Rampart Alternatives Diversifier Fund (Continued) |
Real Estate: The fund may be negatively affected by factors specific to the real estate market, including interest rates, leverage, property, and management.
Fund of funds: Because the fund can invest in other funds, it indirectly bears its proportionate share of the operating expenses and management fees of the underlying fund(s).
Affiliated Funds: The fund’s adviser can select affiliated and/or unaffiliated funds, which may create a conflict of interest.
Prospectus: For additional information on risks, please see the fund’s prospectus.
Asset Allocation | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Affiliated Mutual Funds | 51 | % | ||
Exchange-Traded Funds | 49 | |||
|
| |||
Total | 100 | % | ||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
31
Table of Contents
Rampart Alternatives Diversifier Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||||||
1 year | 5 years | 10 years | Since Inception | Inception Date | ||||||||||||||||
Class A shares at NAV2 | 6.25 | % | 2.48 | % | 2.34 | % | — | — | ||||||||||||
Class A shares at POP3,4 | 0.14 | 1.28 | 1.74 | — | — | |||||||||||||||
Class C shares at NAV2 and with CDSC4 | 5.40 | 1.72 | 1.58 | — | — | |||||||||||||||
Class I shares at NAV2 | 6.49 | 2.74 | — | 4.28 | % | 10/1/09 | ||||||||||||||
S&P 500® Index | 17.91 | 13.95 | 11.97 | 14.62 | 5 | — | ||||||||||||||
Alternatives Diversifier Composite Benchmark | 6.36 | 1.67 | 2.51 | 3.89 | 5 | — |
Fund Expense Ratios6: Class A shares: 1.55%; Class C shares: 2.31%; Class I shares: 1.30%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index returns are from the inception date of Class I. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 For periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares and Class C shares including any applicable sales charges or fees. The performance of the other share class may be greater or less than that shown based on differences in inception dates, fees and, sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The indexes are unmanaged and not available for direct investment; therefore, their performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
32
Table of Contents
Fund Summary (Unaudited) | Ticker Symbols: Class A: VAPAX Class C: VAPCX Class I: VAPIX Class R6: VRPAX |
Portfolio Manager Commentary by Rampart Investment Management Company, LLC.
⬛ | The Fund is diversified and has an investment objective of long-term capital appreciation. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 16.10%, Class C shares at NAV returned 15.33%, Class I shares at NAV returned 16.48%, and Class R6 shares returned 16.56%. For the same period, the S&P 500® Index, both the broad-based equity index and the style specific index, returned 17.91%. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Twelve months ago, this report referenced the importance of central bank support in the current bull market, which is nearly 10 years old. During the 12-month period, the U.S. Fed funds rate rose 1%, as did the 1-month London Interbank Offered Rate (LIBOR). The rate on the 10-year U.S. Treasury nearly matched this increase. The reaction of U.S. stocks was somewhat mixed. While the bull market continued on as ferociously as ever, with the S&P 500® Index rising nearly 18% from September 30, 2017 through September 30, 2018, it was accompanied by an increase in volatility not seen for some time.
But the period didn’t start that way. The fourth quarter of 2017 will go down in history as an unprecedented nadir for U.S. stock volatility. Realized volatility was nearly one-third of historical averages, and the Chicago Board Options Exchange Volatility Index® (CBOE VIX®) reached the lowest level in its nearly 30-year history. This was reflected in a steady upward grind in stock prices.
As the new year began, the relatively orderly bull market of late 2017 was replaced with a frenzied rush to ever higher prices, and a rapid succession of new all-time S&P 500® Index highs, representing the strongest January for U.S. stocks since 1997. This intense buying pressure finally broke in the last week of January, at which point the market witnessed a drawdown event with few rivals in recent memory. Over nine trading sessions, the S&P 500® Index dropped more than 10%, and the volatility market experienced a re-pricing of historic magnitude and violence. Much of the loss was quickly recaptured, only to be given back in late March. This “double dip” event was similar in some ways to the risk flares seen in late 2015 and early 2016, except that the recovery in this most recent experience was longer and more shallow. By August 2018, the January highs had been reached once again, but by all accounts the trading environment proved more risky and the highs more tenuous than in the early days of the year.
There were a number of potential explanations for this dynamic activity. A global trade war of increasing acrimony was certainly one. Pockets of geopolitical agitation may have been another. But the simplest explanation may be the most insightful and actionable – it is rare that a bull market can withstand the pressure of steadily increasing interest rates. We need only look back about a decade to see a recent example.
What factors affected the Fund’s performance during its fiscal year?
The Fund navigated the market well for much of the 12-month period, outperforming the S&P 500® Index through the middle of 2018. The Fund gave up nearly 2% in the third quarter, though, finishing the period about 1.4% behind the index. For the fiscal year, the Fund was up 16.5%, compared to 17.9% for the index.
The Fund benefitted from allocations to consumer discretionary and technology stocks during the period, as these market sectors were instrumental in driving the broader market higher. The Fund had consistent allocations to a number of key stocks for the full period, including such market-leading names as Amazon.com, Align Technology, and FLIR Systems. The Fund’s ability to identify price trends – which tended to be relatively stable over much of the period – put the Fund in the position to outperform the S&P 500® Index by approximately 2% through the middle of June 2018.
Unfortunately, late June, and to a lesser extent late September, proved troublesome for the Fund’s portfolio, and performance suffered. Some choppiness entered the market, which made it more difficult for the Fund’s relative strength analysis to accurately identify market leaders and laggards. There were several allocations made during this period to strong-performing stocks, which then experienced weakness almost immediately upon the Fund’s allocation. This is a frustrating feature of certain market environments, and is related to the market dynamics that negatively impacted the Fund in both 2015 and 2016.
The Fund’s risk control measures, including the potential to allocate the full portfolio to cash, were not tested during the period. Even though the period saw a handful of risk flares, including one of historic magnitude, none were long-lasting. The Fund’s risk controls are intentionally calibrated to respond to more slowly developing market corrections, while seeking to ignore the type of short-term, rapid decline and recovery events which characterized the fiscal year.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment
advice. Past performance is no guarantee of future
results, and there is no guarantee that market forecasts will be realized.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Allocation: The fund’s exposure to different asset classes may not be optimal for market conditions at a given time. Asset allocation does not guarantee a profit or protect against a loss in declining markets.
Prospectus: For additional information on risks, please see the fund’s prospectus.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
33
Table of Contents
Rampart Equity Trend Fund (Continued) |
Asset Allocation | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Information Technology | 19 | % | ||
Consumer Discretionary | 18 | |||
Industrials | 17 | |||
Financials | 13 | |||
Health Care | 9 | |||
Materials | 8 | |||
Consumer Staples | 7 | |||
Other | 9 | |||
|
| |||
Total | 100 | % | ||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
34
Table of Contents
Rampart Equity Trend Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||
1 year | 5 years | Since Inception | Inception Date | |||||||||||||
Class A shares at NAV2 | 16.10 | % | 5.52 | % | 9.27 | % | 7/1/10 | |||||||||
Class A shares at POP3,4 | 9.43 | 4.27 | 8.49 | 7/1/10 | ||||||||||||
Class C shares at NAV2 and with CDSC4 | 15.33 | 4.77 | 8.47 | 7/1/10 | ||||||||||||
Class I shares at NAV2 | 16.48 | 5.78 | 9.53 | 7/1/10 | ||||||||||||
Class R6 shares at NAV2 | 16.56 | — | 4.03 | 11/12/14 | ||||||||||||
S&P 500® Index | 17.91 | 13.95 | — | 5 | — |
Fund Expense Ratios6: Class A shares: 1.57%; Class C shares: 2.30%; Class I shares: 1.31%; Class R6 shares: 1.22%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The index returned 15.87% for Class A, C, and I shares since the inception date of each respective class and 11.94% since the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Expense ratios include fees and expenses associated with underlying funds. |
Growth of $10,000 For periods ended 9/30
This chart assumes an initial investment of $10,000 made on July 1, 2010 (inception date of the Fund), for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. The performance of the other class may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
35
Table of Contents
Rampart Multi-Asset Trend Fund
Fund Summary (Unaudited) | Ticker Symbols: Class A: VAAAX Class C: VAACX Class I: VAISX |
Portfolio Manager Commentary by Rampart Investment Management Company, LLC
⬛ | The Fund is diversified and has an investment objective of capital appreciation. In pursuing this objective, the Fund maintains an emphasis on preservation of capital. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 3.69%, Class C shares at NAV returned 2.94%, and Class I shares at NAV returned 3.94%. For the same period, Dow Jones Moderate Portfolio Index, the Fund’s style-specific index appropriate for comparison, returned 6.73%. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Twelve months ago, this report referenced the importance of central bank support in the current international bull market, which is nearly 10 years old. During the 12-month period, the U.S. Fed funds rate rose 1%, as did the 1-month London Interbank Offered Rate (LIBOR). The rate on the 10-year U.S. Treasury nearly matched this increase, and Euro-area rates also increased. The reaction of U.S. stocks was somewhat mixed. While the bull market continued on as ferociously as ever, with the S&P 500® Index rising nearly 18% from September 30, 2017 through September 30, 2018, it was accompanied by an increase in volatility not seen for some time. International stocks kept pace with much of this action, although performance toward the end of the period lagged considerably.
But the period didn’t start that way. The fourth quarter of 2017 will go down in history as an unprecedented nadir for stock volatility. Realized
volatility was nearly one-third of historical averages, and the Chicago Board Options Exchange Volatility Index® (CBOE VIX®) reached the lowest level in its nearly 30-year history. This was reflected in a steady upward grind in stock prices in most global regions.
As the new year began, the relatively orderly bull market of late 2017 was replaced with a frenzied rush to ever higher prices, and a rapid succession of new all-time market highs. In the U.S., this represented the strongest January since 1997. This intense buying pressure finally broke in the last week of January, at which point the market witnessed a drawdown event with few rivals in recent memory. Over nine trading sessions, the S&P 500® Index dropped more than 10%, and the volatility market experienced a re-pricing of historic magnitude and violence. Similar drops were seen in non-U.S. equities, with notable damage in Asian and emerging market stocks. Much of the loss was quickly recaptured, only to be given back in late March. This “double dip” event was similar in some ways to the risk flares seen in late 2015 and early 2016, except that the recovery in this most recent experience was longer and more shallow. By August 2018, the January highs had been reached once again in the U.S. market, but it became clear that weakness was persisting in other parts of the world.
There were a number of potential explanations for this dynamic activity. A global trade war of increasing acrimony was certainly one. Pockets of geopolitical agitation may have been another. But the simplest explanation may be the most insightful and actionable – it is rare that a bull market can withstand the pressure of steadily increasing interest rates. We need only look back about a decade to see a recent example.
What factors affected the Fund’s performance during its fiscal year?
The Fund underperformed the Dow Jones Global Moderate Portfolio Index by just under 3% over the past 12 months, gaining nearly 4%. Weakness was primarily driven by the international equity portion of the Fund, as the global growth story appeared to deviate during the year between the U.S. and the rest of the world. In response to the relative weakness in non-U.S. stocks, the Fund made large defensive allocations to cash during the latter part of the period. This likely helped the Fund avoid losses, as non-U.S.
stocks had not been strong, although some of the damage had already occurred by the time the Fund was able to begin reducing exposure. This was because the extremely strong global equity bull market had been so firmly established that a relatively large drop was required to convincingly put the international component into “bear market” positioning. Accordingly, about half of the drop from the highs was experienced by the Fund before defensive measures were implemented.
The Fund’s risk control measures, available to the U.S. equity component of the portfolio, including the potential to allocate the full portfolio to cash, were not tested during the period. Even though the period saw a handful of risk flares, including one of historic magnitude, none were long-lasting, and the U.S. bull market persisted. The Fund’s risk controls are intentionally calibrated to respond to more slowly developing market corrections, while seeking to ignore the type of short-term, rapid decline and recovery events which characterized the fiscal year.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
36
Table of Contents
Rampart Multi-Asset Trend Fund (Continued) |
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
Exchange Traded Funds: The value of an ETF may be more volatile than the underlying portfolio of securities the ETF is designed to track. The costs of owning the ETF may exceed the cost of investing directly in the underlying securities.
Commodity-Linked: Commodity-linked instruments may experience a return different than the commodity they attempt to track and may also be exposed to counterparty risk.
Allocation: The fund’s exposure to different asset classes may not be optimal for market conditions at a given time. Asset allocation does not guarantee a profit or protect against a loss in declining markets.
Prospectus: For additional information on risks, please see the fund’s prospectus.
Asset Allocations | ||||||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||||||
Exchange-Traded Funds | 46 | % | ||||||
Common Stocks | 36 | |||||||
Information Technology | 7 | % | ||||||
Consumer Discretionary | 7 | |||||||
Industrials | 6 | |||||||
Financials | 5 | |||||||
Health Care | 3 | |||||||
Materials | 3 | |||||||
All other Common Stocks | 5 | |||||||
Short-Term Investment | 18 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
37
Table of Contents
Rampart Multi-Asset Trend Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||
1 year | 5 years | Since Inception | Inception Date | |||||||||||||
Class A shares at NAV2 | 3.69 | % | 2.05 | % | 3.19 | % | 3/15/11 | |||||||||
Class A shares at POP3,4 | -2.27 | 0.85 | 2.38 | 3/15/11 | ||||||||||||
Class C shares at NAV2 and with CDSC4 | 2.94 | 1.28 | 2.43 | 3/15/11 | ||||||||||||
Class I shares at NAV2 | 3.94 | 2.30 | 3.45 | 3/15/11 | ||||||||||||
Dow Jones Moderate Portfolio IndexSM | 6.73 | 6.68 | 7.15 | 5 | — |
Fund Expense Ratios6: Class A shares: 1.87%; Class C shares: 2.58%; Class I shares: 1.59%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The index returns are from the Fund’s inception date. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Expense ratios include fees and expenses associated with underlying funds. |
Growth of $10,000 For periods ended 9/30
This chart assumes an initial investment of $10,000 made on March 15, 2011 (inception date of the Fund), for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
38
Table of Contents
Fund Summary (Unaudited) | Ticker Symbols: Class A: PWBAX Class C: PWBCX Class I: VARIX |
Portfolio Manager Commentary by Rampart Investment Management Company, LLC.
⬛ | The Fund is diversified and has an investment objective of long-term capital appreciation. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 13.64%, Class C shares at NAV returned 12.84%, and Class I shares at NAV returned 13.94%. For the same period, the S&P 500® Index, which is both the broad-based equity index and the Fund’s style-specific benchmark, returned 17.91%. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
Twelve months ago, this report referenced the importance of central bank support in the current bull market, which is nearly 10 years old. During the 12-month period, the U.S. Fed funds rate rose 1%, as did the 1-month London Interbank Offered Rate (LIBOR). The rate on the 10-year U.S. Treasury nearly matched this increase. The reaction of U.S. stocks was somewhat mixed. While the bull market continued on as ferociously as ever, with the S&P 500® Index rising nearly 18% from September 30, 2017 through September 30, 2018, it was accompanied by an increase in volatility not seen for some time.
But the period didn’t start that way. The fourth quarter of 2017 will go down in history as an unprecedented nadir for U.S. stock volatility. Realized volatility was nearly one-third of historical averages, and the Chicago Board Options Exchange Volatility Index® (CBOE VIX®) reached the lowest level in its nearly 30-year history. This was reflected in a steady upward grind in stock prices.
As the new year began, the relatively orderly bull market of late 2017 was replaced with a frenzied rush to ever higher prices, and a rapid succession of new all-time S&P 500® Index highs, representing the strongest January for U.S. stocks since 1997. This intense buying pressure finally broke in the last week of January, at which point the market witnessed a drawdown event with few rivals in recent memory. Over nine trading sessions, the S&P 500® Index dropped more than 10%, and the volatility market experienced a re-pricing of historic magnitude and violence. Much of the loss was quickly recaptured, only to be given back in late March. This “double dip” event was similar in some ways to the risk flares seen in late 2015 and early 2016, except that the recovery in this most recent experience was longer and more shallow. By August 2018, the January highs had been reached once again, but by all accounts the trading environment proved more risky and the highs more tenuous than in the early days of the year.
There were a number of potential explanations for this dynamic activity. A global trade war of increasing acrimony was certainly one. Pockets of geopolitical agitation may have been another. But the simplest explanation may be the most insightful and actionable – it is rare that a bull market can withstand the pressure of steadily increasing interest rates. We need only look back about a decade to see a recent example.
What factors affected the Fund’s performance during its fiscal year?
The Fund underperformed the S&P 500® Index by just under 4% for the 12 months ended September 30, 2018, gaining nearly 14%. This underperformance was largely driven by the Fund’s limited allocation to the technology sector. The sector grew from representing 25.4% of the S&P 500® Index at the beginning of the period to over 31% of the index at the end of the period. The technology sector was up more than 29% during the period. The Fund’s limitation of a 20% allocation to any single sector – imposed for diversification purposes – cost the Fund approximately 2.5% during the fiscal year. Despite the allocation restrictions, the Fund was able to accurately identify and allocate to those sectors that were driving the market higher, notably technology and consumer discretionary.
The materials sector was the largest detractor from performance during the period. The sector was performing above its 200-day moving average level for the full period, earning it an allocation in the Fund. Even though the allocation was not especially large, it was in excess of market weights. Materials was the worst performing sector during the year, and the Fund’s slight overweight was damaging. A similar effect, although not as damaging, was seen in the Fund’s real estate allocation.
The Fund’s risk control measures, including the potential to allocate the full portfolio to cash, were not tested during the period. Even though the period saw a handful of risk flares, including one of historic magnitude, none were long-lasting. The Fund’s risk controls are intentionally calibrated to respond to more slowly developing market corrections, while seeking to ignore the type of short-term, rapid decline and recovery events which characterized the fiscal year.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Allocation: The fund’s exposure to different asset classes may not be optimal for market conditions at a given time. Asset allocation does not guarantee a profit or protect against a loss in declining markets.
Prospectus: For additional information on risks, please see the fund’s prospectus.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
39
Table of Contents
Rampart Sector Trend Fund (Continued) |
Asset Allocation | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Consumer Discretionary | 20 | % | ||
Information Technology | 19 | |||
Health Care | 15 | |||
Financials | 15 | |||
Energy | 5 | |||
Industrials | 5 | |||
Consumer Staples | 5 | |||
Other | 16 | |||
|
| |||
Total | 100 | % | ||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
40
Table of Contents
Rampart Sector Trend Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||||||
1 year | 5 years | 10 years | Since Inception | Inception Date | ||||||||||||||||
Class A shares at NAV2 | 13.64 | % | 7.30 | % | 8.51 | % | — | — | ||||||||||||
Class A shares at POP3,4 | 7.11 | 6.03 | 7.87 | — | — | |||||||||||||||
Class C shares at NAV2 and with CDSC4 | 12.84 | 6.50 | 7.72 | — | — | |||||||||||||||
Class I shares at NAV2 | 13.94 | 7.57 | — | 10.42 | % | 10/1/09 | ||||||||||||||
S&P 500® Index | 17.91 | 13.95 | 11.97 | 14.62 | 5 | — |
Fund Expense Ratios6: Class A shares 1.00%; Class C shares 1.75%; Class I shares 0.75%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index returns are from the inception date of Class I shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Expense ratios include fees and expenses associated with underlying funds. |
Growth of $10,000 For periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares and Class C shares including any applicable sales charges or fees. The performance of the other share class may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
41
Table of Contents
Vontobel Global Opportunities Fund
Fund Summary (Unaudited) | Ticker Symbols: Class A: NWWOX Class C: WWOCX Class I: WWOIX Class R6: VRGOX |
Portfolio Manager Commentary by Vontobel Asset Management, Inc.
⬛ | The Fund is diversified and has an investment objective of capital appreciation. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 10.80%, Class C shares at NAV returned 9.92%, Class I shares at NAV returned 11.07%, and Class R6 shares at NAV from January 30, 2018 (inception date) through September 30, 2018, returned 1.10%†*. For the same period, the MSCI All Country World Index (net), the Fund’s broad-based and style-specific benchmark appropriate for comparison, returned 9.77%. |
* | Returns less than 1 year are not annualized. |
† | See footnote 5 on page 44. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
The MSCI All Country World Index (net) (MSCI ACWI) was positive in the fiscal first quarter, slightly negative in the fiscal second quarter, moderately positive in the fiscal third quarter, and positive in the fiscal fourth quarter.
In the fourth quarter of 2017, returns were positive across all major markets, with the benchmark driven by index heavyweights U.S. and Japan, which accounted for approximately 4.01% of the index’s 5.73% performance. The two largest sectors, information technology (IT) and financials, were the biggest contributors to benchmark returns. U.S. tax reform dominated the headlines throughout the quarter. President Trump signed the tax overhaul bill into law at the end of December 2017, driving equities even higher. Solid economic numbers also bolstered U.S. markets over the quarter. Europe’s
economic momentum continued to build steam despite noise around Brexit, immigration, Polish nationalism, and Catalonia. The ultra-low interest rates of the European Central Bank (ECB) provided substantial support across all Eurozone countries. Emerging market (EM) equities performed well. Returns were driven by ongoing growth and stable outlooks for major EM economies such as China and India. Asian IT companies in particular contributed to emerging market performance.
While the MSCI ACWI fell 0.96% in the first quarter of 2018, emerging markets delivered a small positive return. In the U.S. equity markets, positive momentum at the start of the year was driven by recent tax cuts, solid economic data, and generally favorable corporate earnings. But then the markets sold off, with increased focus on inflation having taken grip and Congress adding fuel to the fire with a blow-out federal budget, as well as concerns about a trade war with China. The Eurozone recovery, supported by low interest rates and quantitative easing, continued in January, but in February expectations of rising inflation and interest rates, primarily in the U.S., sparked a sell-off in European equities. And although the U.S. temporarily exempted the EU from its planned steel and aluminum tariffs, the threat of a trade war between the U.S. and China weighed on EU markets. Emerging markets were strong in January, supported by strong commodity prices and Asian IT names. In early February however, the EM benchmark declined alongside developed markets due to concerns around inflation and interest rates rising at a faster-than-expected pace. By mid-March, the markets had recovered somewhat, before selling off again on escalating U.S.-China trade tensions.
Volatility continued in the global equity markets through the second quarter of 2018. Despite solid economic growth momentum in the U.S., Europe, Japan, and many emerging markets, activity around the globe led investors to favor less-risky securities. Concerns that prompted a change in the outlook included: the U.S. continuing to lift rates on the back of accelerating inflation; a strong dollar alongside a sell-off in EM currencies; a continued rise in oil prices; and the U.S. appearing set to impose tariffs, with China threatening retaliation. U.S. equities shrugged off threats of a trade war. Earnings for the S&P 500® Index for the second quarter rose 25%
year-on-year, benefiting from the strong economy and the tax cut. In Europe, political unrest in Italy and Germany dominated headlines over the quarter. Emerging markets struggled again, with 11 countries delivering double-digit negative returns in U.S. dollar terms. We viewed higher U.S. interest rates and trade fears as important drivers behind the EM sell-off. Brazil was the weakest market following a 10-day trucker strike resulting from the government’s heavy-handed adjustment to fuel prices–an attempt to track the rising oil price alongside the collapsing Brazilian currency while keeping fuel taxes unchanged.
Volatility continued throughout the third quarter of 2018, as a host of geopolitical and macroeconomic risks, stemming from different corners of the earth, impacted markets. Investor concerns over a possible slowdown in global growth, escalating trade tensions, country-specific political turmoil, rising oil prices, and a sell-off in EM currencies weighed on the markets at times. Developed market equities proved to be more resilient than emerging markets, with the U.S. leading the pack by a wide margin. And with more than a 50% weight in the MSCI ACWI, U.S. stocks drove the majority of the benchmark’s returns of 4.28%. A strong U.S. economy helped investors look past the ongoing trade spat between the U.S. and China. European equities turned in lackluster performance for the third quarter as the region came under pressure in August and September. After gaining momentum in 2017, the EU economy slowed in 2018, and the region faced risks stemming from Italy’s budget deal and Brexit negotiations. Emerging markets came under pressure again with a sell-off in many EM currencies.
What factors affected the Fund’s performance during its fiscal year?
The following discussion highlights specific stocks – those that provided the largest contribution to absolute performance and those that were the largest detractors for the fiscal year ended September 30, 2018. As bottom-up stock pickers, we hope that you find this useful and gain a greater understanding of how we invest your capital.
Stocks that helped absolute performance
Amazon.com continued to power ahead with strong second quarter 2018 operating income. Following this earnings release, analysts increased their estimates and price targets for the stock. Amazon is
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
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Vontobel Global Opportunities Fund (Continued) |
the leading player in ecommerce in North America, and has leading positions in several markets in Europe, as well as India and Japan. Amazon was able to achieve this by offering competitive pricing, free shipping for Prime members, and convenience. Amazon also has the leading position globally in Cloud services with Amazon Web Services (AWS).
During the third quarter of 2018, Mastercard reported consistently strong results, with constant currency revenue growth in the mid-teens. Additionally, Mastercard reported its strongest purchase volume growth in recent years. Mastercard is a dominant card payment network second only to Visa. The company continues to benefit from strong secular tailwinds such as the cash-to-card conversion, and enjoys durable competitive protections as an indispensable component of the payment ecosystem.
Stocks that hurt absolute performance
Nielsen Holdings reported weaker-than-expected revenue growth, predominantly in its market share measurement or Buy segment. Subsequently, management downgraded its full year 2018 revenue guidance from 3% to a 1% decline, and adjusted earnings before interest, tax, depreciation and amortization (EBITDA) guidance down by 10% from previous levels. CEO Mitch Barns is stepping down, and management is conducting a strategic review of the Buy segment. While it may ultimately result in a sale, the outcome is uncertain. Given that we had less confidence in the recovery of the Buy segment, we sold out of the Fund’s position.
Philip Morris International was weak this year as uncertainty increased in the nicotine delivery space and the growth rate of IQOS slowed in Japan, its launch market. While we continue to believe that the company will remain a leader in nicotine delivery, we exited the position to reallocate capital to another opportunity that presented itself.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Asset Allocations | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Information Technology | 22 | % | ||
Consumer Staples | 21 | |||
Consumer Discretionary | 20 | |||
Financials | 16 | |||
Health Care | 13 | |||
Industrials | 5 | |||
Real Estate | 2 | |||
Materials | 1 | |||
|
| |||
Total | 100 | % | ||
|
|
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Geographic Concentration: A fund that focuses its investments in a particular geographic location will be highly sensitive to financial, economic, political, and other developments affecting the fiscal stability of that location.
Prospectus: For additional information on risks, please see the Fund’s prospectus.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
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Vontobel Global Opportunities Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||||||
1 year | 5 years | 10 years | Since Inception | Inception Date | ||||||||||||||||
Class A shares at NAV2 | 10.80 | % | 10.67 | % | 9.38 | % | — | — | ||||||||||||
Class A shares at POP3,4 | 4.43 | 9.37 | 8.73 | — | — | |||||||||||||||
Class C shares at NAV2 and with CDSC4 | 9.92 | 9.83 | 8.55 | — | — | |||||||||||||||
Class I shares at NAV2 | 11.07 | 10.94 | — | 11.88 | % | 8/8/12 | ||||||||||||||
Class R6 shares at NAV2,5 | — | — | — | -1.10 | 1/30/18 | |||||||||||||||
MSCI All Country World Index (net) | 9.77 | 8.67 | 8.19 | — | 6 | — |
Fund Expense Ratios7: Class A shares: 1.46%; Class C shares: 2.21%; Class I shares: 1.19%, Class R6 shares: 1.16%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | ”CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
6 | The since inception index returned -1.68% for Class R6 shares and 10.45% for Class A, C and I shares from the inception date of the respective share classes. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares and Class C shares including any applicable sales charges or fees. The performance of the other share classes may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
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Vontobel Greater European Opportunities Fund
Fund Summary (Unaudited) | Ticker Symbols: Class A: VGEAX Class C: VGECX Class I: VGEIX |
Portfolio Manager Commentary by Vontobel Asset Management, Inc.
⬛ | The Fund is diversified and has an investment objective of long-term capital appreciation. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned -0.43%†, Class C shares at NAV returned -1.17%, and Class I shares at NAV returned -0.19%. For the same period, the MSCI Europe Index (net), which serves as the Fund’s broad-based and style-specific benchmark appropriate for comparison, returned -0.30%. |
† | See footnote 5 on page 47. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
The MSCI Europe Index, in U.S. dollar terms, was positive in the fiscal first quarter, negative in the fiscal second and third quarters, and slightly positive in the fiscal fourth quarter.
In the fourth quarter of 2017, Europe’s economic momentum continued to build steam despite noise around Brexit, immigration, Polish nationalism, and Catalonia. The ultra-low interest rates of the European Central Bank (ECB) provided substantial support across all Eurozone countries, whether they needed it or not. Real gross domestic product (GDP) in the euro area continued to grow, increasing by 2.50% in the third quarter of 2017 year-over-year, according to Eurostat, with country-level growth ranging from 1.7% in Belgium and 1.8% in Italy to 6.2% in Latvia. The Eurozone posted its highest manufacturing output since 2011 and its lowest unemployment rate since 2009. The European Commission indicated that the Eurozone was set to expand at a rate of 2.2% in 2017, revised up from 1.7%. In October 2017, the
ECB left interest rates unchanged and extended its quantitative easing program to September 2018, although monthly purchases would be reduced from €60 billion to €30 billion. While political risks in Europe generally abated, there were some political concerns over the quarter. In Germany, Angela Merkel was unable to form a new coalition government by year-end and the crisis in Spain’s Catalan region escalated, but the effects did not spill over into European equities. Italian equities performed well for the calendar year, but struggled in the fourth quarter as uncertainty emerged around the general election in 2018.
The Eurozone recovery, supported by low interest rates and quantitative easing, continued in January, with the MSCI Europe Index returning 5.40% in U.S. dollars. But in February, expectations of rising inflation and interest rates, primarily in the U.S., sparked a sell-off in European equities. And although the U.S. temporarily exempted the EU from its planned steel and aluminum tariffs, the threat of a trade war between the U.S. and China weighed on EU markets through the end of March. The ECB left rates unchanged over the quarter, and the euro continued to advance against the U.S. dollar. Data indicated that Eurozone economic growth, albeit lackluster, remained on an upswing. Real GDP growth for the EU continued in the fourth quarter of 2017, rising by 2.6% year over year. Across Europe, growth rates, while positive, remained in a wide band, from 1.4% in the U.K. and 1.6% in Italy to 6.2% in Slovenia and 7.0% in Romania. This divergence helped explain the mixed sentiment at the ballot box across the EU. The unemployment rate fell to an unremarkable 8.5% in February 2018, although its lowest level in nine years. This illustrated that despite the healthy GDP growth overall across the EU, jobs were being created unevenly across Europe. This led to discontent in countries such as Italy, where unemployment stood at 10.9%, but at a dramatic 32.8% among under-25-year-olds.
Volatility continued in the equity markets through the second quarter of 2018. The MSCI Europe Index rose 4.0% in euro terms, although due to the strong U.S. dollar, it fell 1.3% in dollar terms. Energy and information technology were the top performing sectors in the index, while financials lagged. European GDP growth remained relatively stable at 2.4% for the EU in the first quarter, according to
Eurostat. Over the same period, earnings growth for the pan-European Stoxx® Europe 600 Index rose 4.3%. The ECB left rates unchanged but announced plans to finally end quantitative easing by year-end 2018.
Political unrest in Italy and Germany dominated headlines during the second quarter of 2018. Italian equities fell 2.4% in euros given the uncertainty surrounding the coalition government formed by the Five Star Movement and its combative northern partner, the League. Investors were concerned that the new government’s immigration and welfare policies would further complicate the running of the EU and bring the risk of higher borrowing costs for Italy. Spain also saw a change of government after a no-confidence vote led to the removal of Prime Minister Mariano Rajoy, who was to be replaced by the leader of the Spanish Socialist Workers’ Party (PSOE), Pedro Sanchez.
European equities turned in a mildly positive performance for the third quarter of 2018, as the region came under pressure in August and September. After gaining momentum in 2017, EU economic growth slowed in 2018, and the region faced risks stemming from Italy’s budget deal and Brexit negotiations. Consumer and business confidence fell in September 2018, decreasing for the ninth consecutive month, according to the European Commission. Uncertainty about the future of trade hindered economic growth in the EU, and household spending was weak. Compared with the second quarter of 2017, GDP for the EU expanded at a 2.1% clip, according to data compiled by Eurostat. And though the ECB left rates unchanged, it confirmed a plan outlined in June 2018 to withdraw quantitative easing by year-end.
What factors affected the Fund’s performance during its fiscal year?
The following discussion highlights specific stocks–those that provided the largest contribution to absolute performance and those that were the largest detractors for the fiscal year ended September 30, 2018. As bottom-up stock pickers, we hope that you find this useful and gain a greater understanding of how we invest your capital.
Stocks that helped absolute performance
Accenture reported better-than-expected results with guidance that painted an optimistic picture of
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
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Vontobel Greater European Opportunities Fund (Continued) |
enterprise information technology (IT) spending. Accenture is a global leader in management consulting and business process outsourcing. The company is distinguished by its strong client relationships, including over 90 “diamond” relationships that generate more than $100 million in revenues. The company’s strong client relationships allow it to source 50% of its booking without competitive bids. Accenture successfully transformed its business by developing an offshore presence in multiple low cost countries. Management is focused on managing costs, and the business requires limited capital.
Spain’s Amadeus IT Group, a provider of transaction processing solutions to the global travel and tourism industry, reported solid second quarter 2018 results in line with consensus in terms of revenue and a little above with respect to margins. Amadeus signed 15 new contracts or renewals of content agreements with airlines during the second quarter. In August, Amadeus confirmed the acquisition of TravelClick, which is expected to close in the fourth quarter of 2018. The transaction accelerates Amadeus’ move into hotel IT, as TravelClick has cloud-based solutions for mid-chain and independent hotels. Although a smaller part of Amadeus’ overall business, the transaction will double its revenues in hospitality IT, where it previously had been focused on the larger hotel chains.
Stocks that hurt absolute performance
British American Tobacco (BAT) was weak this year after uncertainty increased in the tobacco space as new nicotine delivery products were launched and the U.S. Food & Drug Administration (FDA) threatened to increase regulations. Despite the changes to the sector, we believe that nicotine consumption is not going away and BAT is well positioned to remain a leader in the field of nicotine delivery. British American Tobacco is the world’s largest tobacco company, with market leadership in more than 50 countries. Its global brands include Dunhill, Kent, Lucky Strike, Pall Mall, and Rothmans. It also has a full suite of next generation products that seek to offer nicotine delivery in a potentially less harmful way than traditional cigarettes.
Philip Morris International (PMI) is the global leader in heat not burn (HNB) products, one of the two technologies of next generation nicotine delivery products. The stock was weak this year as the growth rate slowed in its initial launch market of Japan. That said, we continue to believe in PMI’s positioning in the nicotine delivery space. Philip Morris produces and sells cigarettes under brands such as Marlboro and L&M, and is investing in leading next generation products such as IQOS, the leading HNB product.
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Asset Allocation | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Consumer Staples | 26 | % | ||
Industrials | 21 | |||
Health Care | 13 | |||
Consumer Discretionary | 12 | |||
Information Technology | 11 | |||
Financials | 10 | |||
Materials | 6 | |||
Real Estate | 1 | |||
|
| |||
Total | 100 | % | ||
|
|
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Foreign Investing: Investing internationally involves additional risks such as currency, political, accounting, economic, and market risk.
Geographic Concentration: A fund that focuses its investments in a particular geographic location will be highly sensitive to financial, economic, political, and other developments affecting the fiscal stability of that location.
Prospectus: For additional information on risks, please see the Fund’s prospectus.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
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Vontobel Greater European Opportunities Fund (Continued)
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||
1 year | 5 years | Since Inception | Inception Date | |||||||||||||
Class A shares at NAV2,5 | -0.43 | % | 3.43 | % | 9.76 | % | 4/21/09 | |||||||||
Class A shares at POP3,4 | -6.16 | 2.21 | 9.08 | 4/21/09 | ||||||||||||
Class C shares at NAV2 and with CDSC4 | -1.17 | 2.66 | 8.95 | 4/21/09 | ||||||||||||
Class I shares at NAV2 | -0.19 | 3.69 | 10.04 | 4/21/09 | ||||||||||||
MSCI Europe Index (net) | -0.30 | 3.70 | 9.29 | 6 | — |
Fund Expense Ratios7: Class A shares: Gross 1.88%, Net 1.45%; Class C shares: Gross 2.62%, Net 2.20%; Class I shares: Gross 1.71%, Net 1.20%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | ”CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
6 | The since inception index return is from the Fund’s inception date. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on April 21, 2009 (inception date of the Fund), for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 5.
47
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DUFF & PHELPS GLOBAL INFRASTRUCTURE FUND
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—98.7% | ||||||||
Energy—18.2% | ||||||||
Antero Midstream GP LP (United States) | 52,105 | $ | 882 | |||||
Cheniere Energy, Inc. (United States)(1) | 37,500 | 2,606 | ||||||
Enbridge, Inc. (Canada) | 46,398 | 1,498 | ||||||
Kinder Morgan, Inc. (United States) | 131,125 | 2,325 | ||||||
ONEOK, Inc. (United States) | 19,595 | 1,328 | ||||||
Pembina Pipeline Corp. (Canada) | 60,330 | 2,050 | ||||||
Targa Resources Corp. (United States) | 18,580 | 1,046 | ||||||
TransCanada Corp. (Canada) | 72,490 | 2,933 | ||||||
Williams Cos., Inc. (The) (United States) | 79,405 | 2,159 | ||||||
|
| |||||||
16,827 | ||||||||
|
| |||||||
Industrials—28.8% | ||||||||
Aena SME SA (Spain)(2) | 11,240 | 1,951 | ||||||
Aeroports de Paris (France) | 6,305 | 1,419 | ||||||
Atlantia SpA (Italy) | 99,491 | 2,064 | ||||||
CSX Corp. (United States) | 38,930 | 2,883 | ||||||
East Japan Railway Co. (Japan) | 15,990 | 1,485 | ||||||
Flughafen Zuerich AG Registered Shares (Switzerland) | 8,190 | 1,656 | ||||||
Norfolk Southern Corp. (United States) | 14,690 | 2,652 | ||||||
Sydney Airport (Australia) | 364,410 | 1,815 | ||||||
Transurban Group (Australia) | 722,801 | 5,862 | ||||||
Union Pacific Corp. (United States) | 12,670 | 2,063 | ||||||
Vinci SA (France) | 28,725 | 2,736 | ||||||
|
| |||||||
26,586 | ||||||||
|
| |||||||
Real Estate—9.5% | ||||||||
American Tower Corp. (United States) | 33,245 | 4,831 | ||||||
Crown Castle International Corp. (United States) | 35,840 | 3,990 | ||||||
|
| |||||||
8,821 | ||||||||
|
| |||||||
Telecommunication Services—1.7% | ||||||||
Cellnex Telecom SA (Spain)(2) | 60,760 | 1,596 | ||||||
|
| |||||||
Utilities—40.5% | ||||||||
American Electric Power Co., Inc. (United States) | 41,300 | 2,927 | ||||||
American Water Works Co., Inc. (United States) | 21,775 | 1,915 | ||||||
Atmos Energy Corp. (United States) | 20,860 | 1,959 | ||||||
CMS Energy Corp. (United States) | 32,665 | 1,601 | ||||||
Dominion Energy, Inc. (United States) | 41,345 | 2,906 | ||||||
DTE Energy Co. (United States) | 9,995 | 1,091 | ||||||
Enel SpA (Italy) | 198,235 | 1,015 | ||||||
Engie SA (France) | 69,150 | 1,017 | ||||||
Evergy, Inc. (United States) | 41,039 | 2,254 | ||||||
Fortis, Inc. (Canada) | 48,965 | 1,588 | ||||||
Iberdrola SA (Spain) | 181,440 | 1,335 | ||||||
National Grid plc (United Kingdom) | 87,960 | 907 | ||||||
Naturgy Energy Group SA (Spain) | 52,865 | 1,443 | ||||||
NextEra Energy, Inc. (United States) | 32,140 | 5,387 | ||||||
NiSource, Inc. (United States) | 55,390 | 1,380 | ||||||
ONE Gas, Inc. (United States) | 12,750 | 1,049 | ||||||
Orsted A/S (Denmark)(2) | 35,740 | 2,428 | ||||||
Public Service Enterprise Group, Inc. (United States) | 36,475 | 1,925 |
SHARES | VALUE | |||||||
Utilities—continued | ||||||||
Sempra Energy (United States) | 29,475 | $ | 3,353 | |||||
|
| |||||||
37,480 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $81,338) |
| 91,310 | ||||||
TOTAL LONG-TERM INVESTMENTS—98.7% |
| |||||||
(Identified Cost $81,338) |
| 91,310 | ||||||
TOTAL INVESTMENTS—98.7% (Identified Cost $81,338) |
| 91,310 | ||||||
Other assets and liabilities, net—1.3% |
| 1,177 | ||||||
|
| |||||||
NET ASSETS—100.0% |
| $ | 92,487 | |||||
|
|
Footnote Legend:
(1) | Non-income producing. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to a value of $5,975 or 6.5% of net assets. |
Country Weightings† | ||||
United States | 60 | % | ||
Canada | 9 | |||
Australia | 8 | |||
Spain | 7 | |||
France | 6 | |||
Italy | 3 | |||
Denmark | 3 | |||
Other | 4 | |||
Total | 100 | % | ||
† % of total investments as of September 30, 2018. |
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 91,310 | $ | 91,310 | ||||
|
|
|
| |||||
Total Investments | $ | 91,310 | $ | 91,310 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
See Notes to Financial Statements
48
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DUFF & PHELPS GLOBAL REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—97.1% | ||||||||
Australia—3.7% | ||||||||
Dexus | 289,339 | $ | 2,209 | |||||
GPT Group (The) – In Specie(1)(3) | 13,566 | — | (4) | |||||
National Storage REIT | 2,228,270 | 2,690 | ||||||
Scentre Group | 651,389 | 1,869 | ||||||
|
| |||||||
6,768 | ||||||||
|
| |||||||
Canada—2.5% | ||||||||
Allied Properties Real Estate Investment Trust | 52,585 | 1,755 | ||||||
Boardwalk Real Estate Investment Trust | 25,000 | 971 | ||||||
RioCan Real Estate Investment Trust | 92,162 | 1,761 | ||||||
|
| |||||||
4,487 | ||||||||
|
| |||||||
China—0.6% | ||||||||
GDS Holdings Ltd. ADR(1) | 33,000 | 1,159 | ||||||
|
| |||||||
France—1.5% | ||||||||
Klepierre SA | 76,180 | 2,700 | ||||||
|
| |||||||
Germany—5.9% | ||||||||
ADO Properties SA(2) | 38,042 | 2,279 | ||||||
TLG Immobilien AG | 97,300 | 2,539 | ||||||
Vonovia SE | 118,419 | 5,786 | ||||||
|
| |||||||
10,604 | ||||||||
|
| |||||||
Hong Kong—7.3% | ||||||||
Link REIT | 423,504 | 4,168 | ||||||
Swire Properties Ltd. | 1,008,000 | 3,818 | ||||||
Wharf Real Estate Investment Co., Ltd. | 802,000 | 5,174 | ||||||
|
| |||||||
13,160 | ||||||||
|
| |||||||
India—1.3% | ||||||||
Ascendas India Trust | 3,001,800 | 2,394 | ||||||
|
| |||||||
Ireland—2.8% | ||||||||
Green REIT plc | 1,502,723 | 2,634 | ||||||
Irish Residential Properties REIT plc | 1,371,000 | 2,353 | ||||||
|
| |||||||
4,987 | ||||||||
|
| |||||||
Japan—9.9% | ||||||||
GLP J-REIT | 2,189 | 2,129 | ||||||
Hulic Co., Ltd. | 291,900 | 2,865 | ||||||
Invesco Office J-REIT, Inc. | 16,300 | 2,325 | ||||||
Invincible Investment Corp. | 9,250 | 3,867 | ||||||
Kenedix Office Investment Corp. | 347 | 2,214 | ||||||
Mitsubishi Estate Co., Ltd. | 162,000 | 2,755 | ||||||
Mitsui Fudosan Logistics Park, Inc. | 655 | 1,839 | ||||||
|
| |||||||
17,994 | ||||||||
|
| |||||||
Mexico—0.8% | ||||||||
Prologis Property Mexico SA de CV | 678,800 | 1,374 | ||||||
|
| |||||||
Netherlands—1.0% | ||||||||
Unibail-Rodamco-Westfield | 8,778 | 1,766 | ||||||
|
| |||||||
Norway—1.5% | ||||||||
Entra ASA(2) | 194,500 | 2,796 | ||||||
|
|
SHARES | VALUE | |||||||
Singapore—1.0% | ||||||||
Mapletree Logistics Trust | 2,048,600 | $ | 1,843 | |||||
|
| |||||||
Spain—1.2% | ||||||||
Inmobiliaria Colonial SOCIMI SA | 210,000 | 2,182 | ||||||
|
| |||||||
Sweden—1.0% | ||||||||
Castellum AB | 101,510 | 1,817 | ||||||
|
| |||||||
United Kingdom—7.6% | ||||||||
Derwent London plc | 70,410 | 2,622 | ||||||
Empiric Student Property plc | 537,312 | 674 | ||||||
Safestore Holdings plc | 322,557 | 2,190 | ||||||
Segro plc | 193,928 | 1,612 | ||||||
UNITE Group plc (The) | 407,900 | 4,748 | ||||||
Workspace Group plc | 153,800 | 1,969 | ||||||
|
| |||||||
13,815 | ||||||||
|
| |||||||
United States—47.5% | ||||||||
Alexandria Real Estate Equities, Inc. | 35,165 | 4,423 | ||||||
American Homes 4 Rent Class A | 135,250 | 2,961 | ||||||
Apartment Investment & Management Co. Class A | 51,800 | 2,286 | ||||||
AvalonBay Communities, Inc. | 23,465 | 4,251 | ||||||
Brixmor Property Group, Inc. | 130,533 | 2,286 | ||||||
Cousins Properties, Inc. | 284,400 | 2,528 | ||||||
CubeSmart | 111,575 | 3,183 | ||||||
CyrusOne, Inc. | 38,282 | 2,427 | ||||||
Digital Realty Trust, Inc. | 46,315 | 5,210 | ||||||
Douglas Emmett, Inc. | 69,695 | 2,629 | ||||||
Duke Realty Corp. | 146,331 | 4,151 | ||||||
Equity Residential | 33,615 | 2,227 | ||||||
Essex Property Trust, Inc. | 11,027 | 2,721 | ||||||
Extra Space Storage, Inc. | 41,645 | 3,608 | ||||||
Healthcare Trust of America, Inc. Class A | 124,500 | 3,321 | ||||||
Highwoods Properties, Inc. | 35,506 | 1,678 | ||||||
Host Hotels & Resorts, Inc. | 173,208 | 3,655 | ||||||
Kilroy Realty Corp. | 32,922 | 2,360 | ||||||
Mid-America Apartment Communities, Inc. | 29,700 | 2,975 | ||||||
Paramount Group, Inc. | 158,440 | 2,391 | ||||||
Prologis, Inc. | 115,225 | 7,811 | ||||||
Regency Centers Corp. | 50,950 | 3,295 | ||||||
RLJ Lodging Trust | 102,550 | 2,259 | ||||||
Simon Property Group, Inc. | 29,131 | 5,149 | ||||||
Sun Communities, Inc. | 45,322 | 4,602 | ||||||
Vornado Realty Trust | 24,170 | 1,764 | ||||||
|
| |||||||
86,151 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $153,138) | 175,997 | |||||||
TOTAL LONG-TERM INVESTMENTS—97.1% |
| |||||||
(Identified Cost $153,138) | 175,997 | |||||||
TOTAL INVESTMENTS—97.1% (Identified Cost $153,138) | 175,997 | |||||||
Other assets and liabilities, net—2.9% | 5,312 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 181,309 | ||||||
|
|
Abbreviations:
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
For information regarding the abbreviation, see the Key Investment Terms starting on page 5.
See Notes to Financial Statements
49
Table of Contents
DUFF & PHELPS GLOBAL REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
Footnote Legend:
(1) | Non-income producing. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to a value of $5,075 or 2.8% of net assets. |
(3) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) | Amount is less than $500. |
Country Weightings (Unaudited)† | ||||
United States | 49 | % | ||
Japan | 10 | |||
United Kingdom | 8 | |||
Hong Kong | 7 | |||
Germany | 6 | |||
Australia | 4 | |||
Ireland | 3 | |||
Other | 13 | |||
Total | 100 | % | ||
† % of total investments as of September 30, 2018. |
|
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | Level 3 Significant Unobservable Inputs | ||||||||||
Equity Securities: | ||||||||||||
Common Stocks | $ | 175,997 | $ | 175,997 | $ | — | (1)* | |||||
|
|
|
|
|
| |||||||
Total Investments | $ | 175,997 | $ | 175,997 | $ | — | (1)* | |||||
|
|
|
|
|
|
(1) | Amount is less than $500. |
* | Includes internally fair valued security. |
There were no securities valued using significant observable inputs (Level 2) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
Management has determined that the amount of Level 3 securities compared to total net assets is de minimis; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended September 30, 2018.
See Notes to Financial Statements
50
Table of Contents
DUFF & PHELPS INTERNATIONAL REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—98.3% | ||||||||
Australia—7.5% | ||||||||
Dexus Property Group | 152,518 | $ | 1,164 | |||||
GPT Group (The) – In Specie(1)(4) | 588,920 | — | (3) | |||||
National Storage REIT | 785,514 | 948 | ||||||
Scentre Group | 388,171 | 1,114 | ||||||
|
| |||||||
3,226 | ||||||||
|
| |||||||
Canada—6.5% | ||||||||
Allied Properties Real Estate Investment Trust | 26,565 | 887 | ||||||
Boardwalk Real Estate Investment Trust | 10,000 | 388 | ||||||
First Capital Realty, Inc. | 34,205 | 516 | ||||||
RioCan Real Estate Investment Trust | 54,150 | 1,035 | ||||||
|
| |||||||
2,826 | ||||||||
|
| |||||||
China—1.1% | ||||||||
GDS Holdings Ltd. ADR(1) | 13,000 | 457 | ||||||
|
| |||||||
France—4.6% | ||||||||
Klepierre SA | 28,331 | 1,004 | ||||||
Mercialys SA | 60,300 | 972 | ||||||
|
| |||||||
1,976 | ||||||||
|
| |||||||
Germany—9.2% | ||||||||
ADO Properties SA(2) | 11,822 | 708 | ||||||
TLG Immobilien AG | 38,300 | 1,000 | ||||||
Vonovia SE | 45,974 | 2,246 | ||||||
|
| |||||||
3,954 | ||||||||
|
| |||||||
Hong Kong—14.9% | ||||||||
Hysan Development Co., Ltd. | 168,000 | 849 | ||||||
Link REIT | 207,441 | 2,042 | ||||||
Swire Properties Ltd. | 383,000 | 1,450 | ||||||
Wharf Real Estate Investment Co., Ltd. | 321,000 | 2,071 | ||||||
|
| |||||||
6,412 | ||||||||
|
| |||||||
India—1.5% | ||||||||
Ascendas India Trust | 831,100 | 663 | ||||||
|
| |||||||
Ireland—4.6% | ||||||||
Green REIT plc | 571,542 | 1,002 | ||||||
Irish Residential Properties REIT plc | 570,000 | 978 | ||||||
|
| |||||||
1,980 | ||||||||
|
| |||||||
Japan—20.7% | ||||||||
GLP J-REIT | 1,001 | 974 | ||||||
Hulic Co., Ltd. | 146,500 | 1,438 | ||||||
Invesco Office J-REIT, Inc. | 6,700 | 956 | ||||||
Invincible Investment Corp. | 3,572 | 1,493 | ||||||
Kenedix Office Investment Corp. | 190 | 1,212 | ||||||
Kenedix Retail REIT Corp. | 354 | 758 | ||||||
Mitsubishi Estate Co., Ltd. | 78,000 | 1,326 | ||||||
Mitsui Fudosan Logistics Park, Inc. | 266 | 747 | ||||||
|
| |||||||
8,904 | ||||||||
|
| |||||||
Mexico—1.8% | ||||||||
Prologis Property Mexico SA de CV | 382,000 | 773 | ||||||
|
|
SHARES | VALUE | |||||||
Netherlands—4.1% | ||||||||
Unibail-Rodamco-Westfield | 8,875 | $ | 1,785 | |||||
|
| |||||||
Norway—2.5% | ||||||||
Entra ASA(2) | 74,000 | 1,064 | ||||||
|
| |||||||
Singapore—1.4% | ||||||||
Mapletree Logistics Trust | 680,100 | 612 | ||||||
|
| |||||||
Spain—2.0% | ||||||||
Inmobiliaria Colonial SA | 84,800 | 881 | ||||||
|
| |||||||
Sweden—2.0% | ||||||||
Castellum AB | 47,999 | 859 | ||||||
|
| |||||||
United Kingdom—13.9% | ||||||||
Derwent London plc | 24,246 | 903 | ||||||
Empiric Student Property plc | 428,850 | 538 | ||||||
Safestore Holdings plc | 170,376 | 1,157 | ||||||
Segro plc | 131,368 | 1,092 | ||||||
UNITE Group plc (The) | 117,700 | 1,370 | ||||||
Workspace Group plc | 72,100 | 923 | ||||||
|
| |||||||
5,983 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $37,506) | 42,355 | |||||||
TOTAL LONG-TERM INVESTMENTS—98.3% |
| |||||||
(Identified Cost $37,506) | 42,355 | |||||||
TOTAL INVESTMENTS—98.3% (Identified Cost $37,506) | 42,355 | |||||||
Other assets and liabilities, net—1.7% | 727 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 43,082 | ||||||
|
|
Abbreviation:
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Footnote Legend:
(1) | Non-income producing. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to a value of $1,772 or 4.1% of net assets. |
(3) | Amount is less than $500. |
(4) | Security valued at fair value as determined in good faith by or under the direction of the Directors. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
Country Weightings† | ||||
Japan | 21 | % | ||
Hong Kong | 15 | |||
United Kingdom | 14 | |||
Germany | 9 | |||
Australia | 8 | |||
Canada | 7 | |||
Ireland | 5 | |||
Other | 21 | |||
Total | 100 | % | ||
† % of total investments as of September 30, 2018. |
|
For information regarding the abbreviation, see the Key Investment Terms starting on page 5.
See Notes to Financial Statements
51
Table of Contents
DUFF & PHELPS INTERNATIONAL REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | Level 3 Significant Unobservable Inputs | ||||||||||
Equity Securities: | ||||||||||||
Common Stocks | $ | 42,355 | $ | 42,355 | $ | — | (1)* | |||||
|
|
|
|
|
| |||||||
Total Investments | $ | 42,355 | $ | 42,355 | $ | — | (1)* | |||||
|
|
|
|
|
|
(1) | Amount is less than $500. |
* | Includes internally fair valued security. |
There were no securities valued using significant observable inputs (Level 2) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
Management has determined that the amount of Level 3 securities compared to total net assets is de minimis; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended September 30, 2018.
See Notes to Financial Statements
52
Table of Contents
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
CLOSED END FUNDS(1)—92.1% | ||||||||
Equity Funds—40.2% | ||||||||
Adams Natural Resources Fund, Inc. | 124,562 | $ | 2,483 | |||||
AllianzGI NFJ Dividend Interest & Premium Strategy Fund(2) | 130,306 | 1,707 | ||||||
Boulder Growth & Income Fund, Inc.(2) | 312,623 | 3,504 | ||||||
Central Securities Corp. | 153,635 | 4,532 | ||||||
Gabelli Healthcare & WellnessRx Trust (The)(2) | 85,355 | 941 | ||||||
General American Investors Co., Inc.(2) | 42,780 | 1,582 | ||||||
Kayne Anderson Midstream/Energy Fund, Inc. | 101,001 | 1,293 | ||||||
Kayne Anderson MLP Investment Co.(2) | 57,881 | 1,033 | ||||||
Salient Midstream & MLP Fund(2) | 108,495 | 1,106 | ||||||
Tekla Healthcare Opportunities Fund | 198,063 | 3,712 | ||||||
Tortoise Energy Infrastructure Corp.(2) | 27,762 | 748 | ||||||
Tortoise Pipeline & Energy Fund, Inc. | 70,661 | 1,222 | ||||||
Tortoise Power and Energy Infrastructure Fund, Inc. | 61,259 | 1,169 | ||||||
|
| |||||||
25,032 | ||||||||
|
| |||||||
Fixed Income Funds—20.0% | ||||||||
Apollo Tactical Income Fund, Inc. | 108,888 | 1,691 | ||||||
Eagle Point Credit Co., Inc. | 143,936 | 2,576 | ||||||
Nuveen Credit Strategies Income Fund | 163,343 | 1,302 | ||||||
Nuveen Floating Rate Income Opportunity Fund(2) | 130,600 | 1,347 | ||||||
Oxford Lane Capital Corp.(2) | 151,582 | 1,606 | ||||||
PGIM Short Duration High Yield Fund, Inc. | 93,189 | 1,318 | ||||||
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund | 152,967 | 1,658 | ||||||
Western Asset/Claymore Inflation-Linked Securities & Income Fund(2) | 87,458 | 985 | ||||||
|
| |||||||
12,483 | ||||||||
|
| |||||||
International Equity Funds—31.9% | ||||||||
Aberdeen Emerging Markets Equity Income Fund, Inc. | 90,833 | 623 | ||||||
Aberdeen Global Dynamic Dividend Fund | 96,056 | 994 | ||||||
Aberdeen Japan Equity Fund, Inc. | 92,393 | 775 | ||||||
Aberdeen Total Dynamic Dividend Fund(2) | 218,231 | 1,916 | ||||||
China Fund, Inc. (The) | 11,037 | 216 | ||||||
India Fund, Inc. (The) | 30,787 | 681 | ||||||
Japan Smaller Capitalization Fund, Inc. | 90,167 | 998 | ||||||
Mexico Equity & Income Fund, Inc. | 26,920 | 330 | ||||||
Morgan Stanley India Investment Fund, Inc. | 50,000 | 1,171 | ||||||
New Germany Fund, Inc. (The) | 71,309 | 1,298 | ||||||
NexPoint Strategic Opportunities Fund | 242,759 | 5,438 | ||||||
Source Capital, Inc. | 20,883 | 835 | ||||||
Taiwan Fund, Inc. (The) | 84,216 | 1,607 | ||||||
Tekla World Healthcare Fund(2) | 185,173 | 2,598 | ||||||
Templeton Dragon Fund, Inc. | 19,655 | 392 | ||||||
|
| |||||||
19,872 | ||||||||
TOTAL CLOSED END FUNDS (Identified Cost $53,452) |
| 57,387 | ||||||
PREFERRED STOCKS—3.4% | ||||||||
Financials—3.4% | ||||||||
Eagle Point Credit Co., Inc. 6.75% | 34,138 | 871 | ||||||
Eagle Point Credit Co., Inc. Series A 7.75%(2) | 10,332 | 262 | ||||||
Medallion Financial Corp. 9.00% | 32,917 | 838 | ||||||
Oxford Lane Capital Corp. 7.50%(2) | 4,318 | 109 | ||||||
TOTAL PREFERRED STOCKS (Identified Cost $2,020) |
| 2,080 |
SHARES | VALUE | |||||||
EXCHANGE-TRADED FUND(1)—1.6% | ||||||||
iShares Floating Rate Bond Index Fund | 20,000 | $ | 1,021 | |||||
TOTAL EXCHANGE-TRADED FUND (Identified Cost $1,020) |
| 1,021 | ||||||
TOTAL LONG-TERM INVESTMENTS—97.1% |
| |||||||
(Identified Cost $56,492) |
| 60,488 | ||||||
SHORT-TERM INVESTMENT—2.7% | ||||||||
Money Market Mutual Fund(1)—2.7% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%) | 1,687,071 | 1,687 | ||||||
TOTAL SHORT-TERM INVESTMENT (Identified Cost $1,687) | 1,687 | |||||||
SECURITIES LENDING COLLATERAL(1)—2.7% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%)(3) | 1,681,460 | 1,681 | ||||||
TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $1,681) |
| 1,681 | ||||||
TOTAL INVESTMENTS—102.5% (Identified Cost $59,860) |
| 63,856 | ||||||
Other assets and liabilities, net—(2.5)% |
| (1,557 | ) | |||||
|
| |||||||
NET ASSETS—100.0% |
| $ | 62,299 | |||||
|
|
Footnote Legend:
(1) | Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available. |
(2) | All or a portion of security is on loan. |
(3) | Represents security purchased with cash collateral received for securities on loan. |
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | |||||||
Closed-End Funds | $ | 57,387 | $ | 57,387 | ||||
Equity Securities: | ||||||||
Preferred Stocks | 2,080 | 2,080 | ||||||
Exchange-Traded Fund | 1,021 | 1,021 | ||||||
Short-Term Investment | 1,687 | 1,687 | ||||||
Securities Lending Collateral | | 1,681 | | | 1,681 | | ||
|
|
|
| |||||
Total Investments | $ | 63,856 | $ | 63,856 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
See Notes to Financial Statements
53
Table of Contents
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—99.7% | ||||||||
Consumer Discretionary—33.8% | ||||||||
Amazon.com, Inc.(1) | 212 | $ | 425 | |||||
AMC Networks, Inc. Class A(1) | 6,393 | 424 | ||||||
American Eagle Outfitters, Inc. | 17,254 | 428 | ||||||
AutoNation, Inc.(1) | 9,293 | 386 | ||||||
Buckle, Inc. (The)(2) | 17,264 | 398 | ||||||
Carnival Corp. | 6,245 | 398 | ||||||
CBS Corp. Class B | 7,194 | 413 | ||||||
Choice Hotels International, Inc. | 4,985 | 415 | ||||||
Columbia Sportswear Co. | 4,472 | 416 | ||||||
Comcast Corp. Class A | 10,948 | 388 | ||||||
Dick’s Sporting Goods, Inc. | 10,939 | 388 | ||||||
Dillard’s, Inc. Class A(2) | 5,300 | 405 | ||||||
Discovery, Inc. Class C(1) | 13,820 | 409 | ||||||
DISH Network Corp. Class A(1) | 11,078 | 396 | ||||||
DSW, Inc. Class A | 13,150 | 446 | ||||||
Expedia Group, Inc. | 3,136 | 409 | ||||||
Gap, Inc. (The) | 14,967 | 432 | ||||||
Garmin Ltd. | 5,925 | 415 | ||||||
GCI Liberty, Inc. Class A(1) | 8,186 | 417 | ||||||
Horton (D.R.), Inc. | 9,509 | 401 | ||||||
Hyatt Hotels Corp. Class A | 5,279 | 420 | ||||||
International Speedway Corp. Class A | 9,211 | 403 | ||||||
L Brands, Inc. | 14,243 | 432 | ||||||
Lands’ End, Inc.(1) | 22,818 | 400 | ||||||
Las Vegas Sands Corp. | 6,604 | 392 | ||||||
Lennar Corp. Class A | 7,917 | 370 | ||||||
Liberty Braves Group Class C(1) | 15,873 | 433 | ||||||
Liberty Broadband Corp. Class C(1) | 4,936 | 416 | ||||||
Liberty Expedia Holdings, Inc. Class A(1) | 8,769 | 413 | ||||||
Liberty Global plc Class C(1) | 15,025 | 423 | ||||||
Liberty Latin America Ltd.(1) | 19,797 | 408 | ||||||
Liberty Media Corp. Class C(1) | 11,215 | 417 | ||||||
Liberty Sirius XM Group Class C(1) | 8,678 | 377 | ||||||
Liberty TripAdvisor Holdings, Inc. Class A(1) | 28,499 | 423 | ||||||
Lions Gate Entertainment Corp. Class B | 19,113 | 445 | ||||||
Madison Square Garden Co. (The) Class A(1) | 1,329 | 419 | ||||||
Marriott International, Inc. Class A | 3,117 | 412 | ||||||
Marriott Vacations Worldwide Corp. | 3,559 | 398 | ||||||
Mohawk Industries, Inc.(1) | 2,167 | 380 | ||||||
MSG Networks, Inc. Class A(1) | 16,601 | 428 | ||||||
Newell Brands, Inc. | 18,757 | 381 | ||||||
News Corp. Class A | 32,964 | 435 | ||||||
Nordstrom, Inc. | 6,312 | 378 | ||||||
Penn National Gaming, Inc.(1) | 12,412 | 409 | ||||||
Penske Automotive Group, Inc. | 7,787 | 369 | ||||||
Qurate Retail Group, Inc.(1) | 18,479 | 410 | ||||||
Ralph Lauren Corp. | 3,076 | 423 | ||||||
Red Rock Resorts, Inc. Class A | 14,279 | 381 | ||||||
Restaurant Brands International, Inc. | 6,985 | 414 | ||||||
Sears Holdings Corp.(1) | 334,485 | 324 | ||||||
Sears Hometown and Outlet Stores, Inc.(1)(2) | 124,636 | 355 | ||||||
Tesla, Inc.(1)(2) | 1,372 | 363 | ||||||
Under Armour, Inc. Class C(1) | 22,918 | 446 | ||||||
Urban Outfitters, Inc.(1) | 9,840 | 402 | ||||||
Viacom, Inc. Class B | 13,459 | 454 | ||||||
Weight Watchers International, Inc.(1) | 5,762 | 415 | ||||||
Wendy’s Co. (The) | 23,250 | 399 | ||||||
|
| |||||||
23,176 | ||||||||
|
| |||||||
Consumer Staples—5.7% | ||||||||
Boston Beer Co., Inc. (The) Class A(1) | 1,276 | 367 | ||||||
Brown-Forman Corp. Class B | 8,246 | 417 |
SHARES | VALUE | |||||||
Consumer Staples—continued | ||||||||
Estee Lauder Cos., Inc. (The) Class A | 2,895 | $ | 421 | |||||
Hostess Brands, Inc.(1) | 33,238 | 368 | ||||||
Lancaster Colony Corp. | 2,534 | 378 | ||||||
Monster Beverage Corp.(1) | 6,772 | 395 | ||||||
Nomad Foods Ltd.(1) | 19,403 | 393 | ||||||
PriceSmart, Inc. | 4,743 | 384 | ||||||
Spectrum Brands Holdings, Inc. | 4,927 | 368 | ||||||
Tootsie Roll Industries, Inc.(2) | 14,026 | 410 | ||||||
|
| |||||||
3,901 | ||||||||
|
| |||||||
Energy—5.9% | ||||||||
Cheniere Energy, Inc.(1) | 6,249 | 434 | ||||||
Continental Resources, Inc.(1) | 6,739 | 460 | ||||||
CVR Energy, Inc. | 10,462 | 421 | ||||||
Exterran Corp.(1) | 16,614 | 441 | ||||||
Hess Corp. | 6,065 | 434 | ||||||
Par Pacific Holdings, Inc.(1) | 20,044 | 409 | ||||||
RPC, Inc. | 27,174 | 421 | ||||||
Transocean Ltd.(1) | 34,928 | 487 | ||||||
W&T Offshore, Inc.(1) | 58,644 | 565 | ||||||
|
| |||||||
4,072 | ||||||||
|
| |||||||
Financials—12.8% | ||||||||
American Financial Group, Inc. | 3,611 | 401 | ||||||
Berkley (W.R.) Corp. | 5,097 | 407 | ||||||
Berkshire Hathaway, Inc. Class B(1) | 1,870 | 400 | ||||||
BOK Financial Corp. | 3,933 | 383 | ||||||
Brown & Brown, Inc. | 13,218 | 391 | ||||||
Charles Schwab Corp. (The) | 8,048 | 396 | ||||||
Cohen & Steers, Inc. | 9,647 | 392 | ||||||
Erie Indemnity Co. Class A | 3,137 | 400 | ||||||
First Citizens BancShares, Inc. Class A | 876 | 396 | ||||||
Franklin Resources, Inc. | 12,714 | 387 | ||||||
Greenlight Capital Re Ltd. Class A(1) | 32,501 | 403 | ||||||
Hilltop Holdings, Inc. | 20,150 | 406 | ||||||
Jefferies Financial Group, Inc. | 17,489 | 384 | ||||||
Loews Corp. | 7,978 | 401 | ||||||
Mercury General Corp. | 8,036 | 403 | ||||||
Morningstar, Inc. | 3,076 | 387 | ||||||
National General Holdings Corp. | 15,745 | 423 | ||||||
Ocwen Financial Corp.(1) | 100,132 | 394 | ||||||
PJT Partners, Inc. Class A | 7,657 | 401 | ||||||
Raymond James Financial, Inc. | 4,434 | 408 | ||||||
Third Point Reinsurance Ltd.(1) | 30,673 | 399 | ||||||
Virtu Financial, Inc. Class A | 18,581 | 380 | ||||||
|
| |||||||
8,742 | ||||||||
|
| |||||||
Health Care—4.0% | ||||||||
AquaBounty Technologies, Inc.(1)(2) | 155,124 | 498 | ||||||
Bruker Corp. | 11,503 | 385 | ||||||
Danaher Corp. | 3,822 | 415 | ||||||
Halozyme Therapeutics, Inc.(1) | 24,252 | 441 | ||||||
Intrexon Corp.(1)(2) | 28,990 | 499 | ||||||
NantKwest, Inc.(1) | 138,999 | 514 | ||||||
|
| |||||||
2,752 | ||||||||
|
| |||||||
Industrials—12.2% | ||||||||
Air Lease Corp. | 8,887 | 408 | ||||||
American Railcar Industries, Inc. | 8,870 | 409 | ||||||
Cintas Corp. | 1,905 | 377 | ||||||
Colfax Corp.(1) | 11,412 | 411 |
See Notes to Financial Statements
54
Table of Contents
HORIZON WEALTH MASTERS FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Industrials—continued | ||||||||
Covanta Holding Corp. | 23,742 | $ | 386 | |||||
FedEx Corp. | 1,584 | 381 | ||||||
Fortive Corp.(2) | 4,649 | 391 | ||||||
Heartland Express, Inc. | 19,940 | 393 | ||||||
Herc Holdings, Inc.(1) | 8,005 | 410 | ||||||
Hertz Global Holdings, Inc.(1) | 21,684 | 354 | ||||||
Manitowoc Co., Inc. (The)(1) | 17,284 | 415 | ||||||
MasTec, Inc.(1) | 9,393 | 419 | ||||||
MSC Industrial Direct Co., Inc. Class A | 4,651 | 410 | ||||||
Navistar International Corp.(1) | 9,885 | 381 | ||||||
Rollins, Inc. | 6,398 | 388 | ||||||
Seaspan Corp.(2) | 44,760 | 373 | ||||||
Timken Co. (The) | 8,306 | 414 | ||||||
W.W. Grainger, Inc. | 1,154 | 412 | ||||||
Welbilt, Inc.(1) | 18,675 | 390 | ||||||
Werner Enterprises, Inc. | 11,049 | 391 | ||||||
XPO Logistics, Inc.(1) | 3,617 | 413 | ||||||
|
| |||||||
8,326 | ||||||||
|
| |||||||
Information Technology—11.3% | ||||||||
Alphabet, Inc. Class C(1) | 350 | 418 | ||||||
Amkor Technology, Inc.(1) | 51,862 | 383 | ||||||
Anixter International, Inc.(1) | 5,754 | 404 | ||||||
Conduent, Inc.(1) | 17,615 | 397 | ||||||
eBay, Inc.(1) | 11,827 | 391 | ||||||
EchoStar Corp. Class A(1) | 8,439 | 391 | ||||||
Facebook, Inc. Class A(1) | 2,520 | 414 | ||||||
IAC/InterActiveCorp(1) | 1,882 | 408 | ||||||
Intuit, Inc. | 1,795 | 408 | ||||||
National Instruments Corp. | 8,417 | 407 | ||||||
Oracle Corp. | 8,225 | 424 | ||||||
Paychex, Inc. | 5,455 | 402 | ||||||
Pegasystems, Inc. | 6,169 | 386 | ||||||
RealPage, Inc.(1) | 6,475 | 427 | ||||||
salesforce.com, Inc.(1) | 2,614 | 416 | ||||||
SS&C Technologies Holdings, Inc. | 7,281 | 414 | ||||||
Syntel, Inc.(1) | 9,879 | 405 | ||||||
TTEC Holdings, Inc. | 16,767 | 434 | ||||||
Xerox Corp. | 14,427 | 389 | ||||||
|
| |||||||
7,718 | ||||||||
|
| |||||||
Materials—5.3% | ||||||||
Freeport-McMoRan, Inc. | 29,542 | 411 | ||||||
LyondellBasell Industries N.V. Class A | 3,915 | 401 | ||||||
NewMarket Corp. | 1,014 | 411 | ||||||
Novagold Resources, Inc.(1)(2) | 110,026 | 408 | ||||||
Platform Specialty Products Corp.(1) | 31,645 | 395 | ||||||
Scotts Miracle-Gro Co. (The) | 5,126 | 404 | ||||||
Silgan Holdings, Inc. | 14,384 | 400 | ||||||
TimkenSteel Corp.(1) | 28,339 | 421 | ||||||
Westlake Chemical Corp. | 4,718 | 392 | ||||||
|
| |||||||
3,643 | ||||||||
|
| |||||||
Real Estate—8.7% | ||||||||
Altisource Portfolio Solutions SA(1) | 11,799 | 380 | ||||||
American Homes 4 Rent Class A | 17,692 | 387 | ||||||
Colony Capital, Inc. | 64,623 | 394 | ||||||
Equity LifeStyle Properties, Inc. | 4,173 | 402 | ||||||
Equity Residential | 5,920 | 392 | ||||||
Gaming and Leisure Properties, Inc. | 11,559 | 407 | ||||||
Host Hotels & Resorts, Inc. | 18,924 | 399 | ||||||
Howard Hughes Corp. (The)(1) | 3,219 | 400 |
SHARES | VALUE | |||||||
Real Estate—continued | ||||||||
JBG SMITH Properties | 11,021 | $ | 406 | |||||
Marcus & Millichap, Inc.(1) | 11,541 | 401 | ||||||
Seritage Growth Properties Class A(2) | 8,102 | 385 | ||||||
Simon Property Group, Inc. | 2,206 | 390 | ||||||
Taubman Centers, Inc. | 6,570 | 393 | ||||||
Urban Edge Properties | 18,199 | 402 | ||||||
Vornado Realty Trust | 5,379 | 393 | ||||||
|
| |||||||
5,931 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $48,146) |
| 68,261 | ||||||
TOTAL LONG-TERM INVESTMENTS—99.7% |
| |||||||
(Identified Cost $48,146) | 68,261 | |||||||
SECURITIES LENDING COLLATERAL—6.9% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%)(3)(4) | 4,721,767 | 4,722 | ||||||
TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $4,722) |
| 4,722 | ||||||
TOTAL INVESTMENTS—106.6% (Identified Cost $52,868) |
| 72,983 | ||||||
Other assets and liabilities, net—(6.6)% |
| (4,513 | ) | |||||
|
| |||||||
NET ASSETS—100.0% | $ | 68,470 | ||||||
|
|
Footnote Legend:
(1) | Non-income producing. |
(2) | All or a portion of security is on loan. |
(3) | Represents security purchased with cash collateral received for securities on loan. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 68,261 | $ | 68,261 | ||||
Securities Lending Collateral | 4,722 | 4,722 | ||||||
|
|
|
| |||||
Total Investments | $ | 72,983 | $ | 72,983 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
See Notes to Financial Statements
55
Table of Contents
KAR EMERGING MARKETS SMALL-CAP FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—86.4% | ||||||||
Consumer Discretionary—8.5% | ||||||||
Ace Hardware Indonesia Tbk PT (Indonesia) | 5,573,000 | $ | 538 | |||||
Fila Korea Ltd. (South Korea) | 17,100 | 692 | ||||||
Goldlion Holdings Ltd. (Hong Kong) | 1,025,284 | 427 | ||||||
Pico Far East Holdings Ltd. (Hong Kong) | 1,516,780 | 597 | ||||||
Samyang Optics Co., Ltd. (South Korea) | 38,200 | 553 | ||||||
Whirlpool SA (Brazil) | 46,761 | 56 | ||||||
|
| |||||||
2,863 | ||||||||
|
| |||||||
Consumer Staples—10.8% | ||||||||
AVI Ltd. (South Africa) | 73,660 | 554 | ||||||
Compania Cervecerias Unidas SA Sponsored ADR (Chile) | 18,120 | 505 | ||||||
Heineken Malaysia Bhd (Malaysia) | 133,500 | 649 | ||||||
Taisun International Holding Corp. (Taiwan) | 193,074 | 841 | ||||||
Union de Cervecerias Peruanas Backus y Johnston SAA Class I (Peru) | 85,200 | 580 | ||||||
Wawel SA (Poland) | 2,246 | 489 | ||||||
|
| |||||||
3,618 | ||||||||
|
| |||||||
Financials—8.0% | ||||||||
CARE Ratings Ltd. (India) | 38,400 | 629 | ||||||
Korea Ratings Corp. (South Korea) | 4,450 | 209 | ||||||
Tisco Financial Group PCL Foreign Share (Thailand) | 121,900 | 316 | ||||||
Vostok New Ventures Ltd. (Sweden)(1) | 197,145 | 1,530 | ||||||
|
| |||||||
2,684 | ||||||||
|
| |||||||
Industrials—21.2% | ||||||||
104 Corp. (Taiwan) | 140,000 | 768 | ||||||
Hsin Yung Chien Co., Ltd. (Taiwan) | 163,000 | 501 | ||||||
Hy-Lok Corp. (South Korea) | 12,635 | 270 | ||||||
Kerry TJ Logistics Co., Ltd. (Taiwan) | 597,000 | 778 | ||||||
Lumax International Corp., Ltd. (Taiwan) | 441,379 | 1,015 | ||||||
S-1 Corp. (South Korea) | 10,800 | 890 | ||||||
Sarine Technologies Ltd. (Israel) | 371,000 | 178 | ||||||
Sinmag Equipment Corp. (Taiwan) | 126,513 | 574 | ||||||
Sporton International Inc. (Taiwan) | 154,720 | 679 | ||||||
Taiwan Secom Co., Ltd. (Taiwan) | 231,874 | 670 | ||||||
Voltronic Power Technology Corp. (Taiwan) | 47,000 | 825 | ||||||
|
| |||||||
7,148 | ||||||||
|
| |||||||
Information Technology—28.6% | ||||||||
Addcn Technology Co., Ltd, (Taiwan) | 123,000 | 1,128 | ||||||
Auto Trader Group plc (United Kingdom) | 198,752 | 1,157 | ||||||
Autohome, Inc. ADR (China) | 18,285 | 1,415 | ||||||
Baozun, Inc. Sponsored ADR (China)(1) | 13,490 | 655 | ||||||
Cafe24 Corp. (South Korea)(1) | 8,010 | 1,080 | ||||||
Douzone Bizon Co., Ltd. (South Korea) | 12,460 | 686 | ||||||
Linx SA (Brazil) | 131,200 | 529 | ||||||
Sea Ltd. ADR (Singapore)(1) | 67,955 | 940 | ||||||
SINA Corp. (China)(1) | 13,940 | 969 | ||||||
Wirtualna Polska Holding SA (Poland) | 28,562 | 400 | ||||||
Yandex N.V. Class A (Russia)(1) | 20,260 | 666 | ||||||
|
| |||||||
9,625 | ||||||||
|
| |||||||
Materials—7.5% | ||||||||
Corp. Moctezuma SAB de C.V. (Mexico) | 164,300 | 685 | ||||||
Enaex SA (Chile) | 7,708 | 107 | ||||||
SH Kelkar & Co., Ltd. (India) | 263,492 | 742 | ||||||
Sniezka SA (Poland) | 19,522 | 381 | ||||||
Transpaco Ltd. (South Africa) | 86,660 | 130 |
SHARES | VALUE | |||||||
Materials—continued | ||||||||
Yung Chi Paint & Varnish Manufacturing Co., Ltd. (Taiwan) | 178,000 | $ | 464 | |||||
|
| |||||||
2,509 | ||||||||
|
| |||||||
Telecommunication Services—1.8% | ||||||||
Sarana Menara Nusantara Tbk PT (Indonesia) | 18,344,000 | 601 | ||||||
TOTAL COMMON STOCKS (Identified Cost $28,175) |
| 29,048 | ||||||
TOTAL LONG-TERM INVESTMENTS—86.4% |
| |||||||
(Identified Cost $28,175) | 29,048 | |||||||
SHORT-TERM INVESTMENT—13.7% | ||||||||
Money Market Mutual Fund—13.7% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%)(2) | 4,618,346 | 4,618 | ||||||
TOTAL SHORT-TERM INVESTMENT (Identified Cost $4,618) | 4,618 | |||||||
TOTAL INVESTMENTS—100.1% (Identified Cost $32,793) | 33,666 | |||||||
Other assets and liabilities, net—(0.1)% | (20 | ) | ||||||
|
| |||||||
NET ASSETS—100.0% | $ | 33,646 | ||||||
|
|
Abbreviation:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | ||||
Taiwan | 24 | % | ||
United States | 14 | |||
South Korea | 13 | |||
China | 9 | |||
Sweden | 5 | |||
India | 4 | |||
Poland | 4 | |||
Other | 27 | |||
Total | 100 | % | ||
† % of total investments as of September 30, 2018. |
|
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 29,048 | $ | 29,048 | ||||
Short-Term Investment | 4,618 | 4,618 | ||||||
|
|
|
| |||||
Total Invest | $ | 33,666 | $ | 33,666 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
For information regarding the abbreviation, see the Key Investment Terms starting on page 5.
See Notes to Financial Statements
56
Table of Contents
KAR INTERNATIONAL SMALL-CAP FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—88.5% | ||||||||
Consumer Discretionary—6.1% | ||||||||
Asante, Inc. (Japan) | 296,000 | $ | 6,357 | |||||
Ascential plc (United Kingdom) | 3,340,689 | 18,201 | ||||||
Goldlion Holdings Ltd. (Hong Kong) | 33,980,316 | 14,150 | ||||||
Pico Far East Holdings Ltd. (Hong Kong) | 45,005,668 | 17,707 | ||||||
|
| |||||||
56,415 | ||||||||
|
| |||||||
Consumer Staples—4.9% | ||||||||
Heineken Malaysia Bhd (Malaysia) | 3,193,300 | 15,525 | ||||||
Taisun International Holding Corp. (Taiwan) | 2,316,626 | 10,091 | ||||||
Union de Cervecerias Peruanas Backus y Johnston SAA Class I (Peru) | 634,583 | 4,321 | ||||||
Wawel SA (Poland) | 71,182 | 15,484 | ||||||
|
| |||||||
45,421 | ||||||||
|
| |||||||
Energy—3.6% | ||||||||
Computer Modelling Group Ltd. (Canada) | 1,409,700 | 9,222 | ||||||
Pason Systems, Inc. (Canada) | 1,611,795 | 24,446 | ||||||
|
| |||||||
33,668 | ||||||||
|
| |||||||
Financials—11.2% | ||||||||
Euroz Ltd. (Australia) | 5,509,017 | 5,018 | ||||||
Gruppo MutuiOnline SpA (Italy) | 207,132 | 4,050 | ||||||
Korea Ratings Corp. (South Korea) | 88,578 | 4,168 | ||||||
Mortgage Advice Bureau Holdings Ltd. (United Kingdom) | 679,278 | 5,206 | ||||||
Numis Corp. plc (United Kingdom) | 1,214,907 | 5,305 | ||||||
Sabre Insurance Group plc (United Kingdom) | 10,638,700 | 36,746 | ||||||
Vostok New Ventures Ltd. (Sweden)(1) | 5,650,849 | 43,872 | ||||||
|
| |||||||
104,365 | ||||||||
|
| |||||||
Health Care—5.2% | ||||||||
DVx, Inc. (Japan) | 344,300 | 4,412 | ||||||
Haw Par Corp., Ltd. (Singapore) | 3,425,919 | 33,857 | ||||||
WIN-Partners Co., Ltd. (Japan) | 858,665 | 9,772 | ||||||
|
| |||||||
48,041 | ||||||||
|
| |||||||
Industrials—20.6% | ||||||||
104 Corp. (Taiwan) | 248,000 | 1,360 | ||||||
AIT Corp. (Japan) | 865,600 | 8,083 | ||||||
Asiakastieto Group Oyj (Finland) | 556,164 | 18,081 | ||||||
Carel Industries SPA (Italy)(1) | 868,500 | 9,944 | ||||||
Golden Friends Corp. (Taiwan) | 4,257,000 | 7,947 | ||||||
Haitian International Holdings Ltd. (China) | 6,541,000 | 14,555 | ||||||
Howden Joinery Group plc (United Kingdom) | 3,738,400 | 22,848 | ||||||
Hy-Lok Corp. (South Korea) | 594,695 | 12,733 | ||||||
JOST Werke AG (Germany) | 612,888 | 23,020 | ||||||
Kerry TJ Logistics Co., Ltd. (Taiwan) | 8,296,000 | 10,814 | ||||||
Lumax International Corp., Ltd. (Taiwan) | 7,063,259 | 16,239 | ||||||
Sinmag Equipment Corp. (Taiwan) | 1,122,020 | 5,090 | ||||||
SJR in Scandinavia AB Class B (Sweden) | 1,337,049 | 7,462 | ||||||
WABCO Holdings, Inc. (United States)(1) | 280,000 | 33,023 | ||||||
|
| |||||||
191,199 | ||||||||
|
| |||||||
Information Technology—31.9% | ||||||||
Addcn Technology Co., Ltd, (Taiwan) | 1,703,000 | 15,617 | ||||||
Alten SA (France) | 282,444 | 29,055 | ||||||
Auto Trader Group plc (United Kingdom) | 7,829,445 | 45,575 | ||||||
Autohome, Inc. ADR (China) | 397,270 | 30,753 | ||||||
Bouvet ASA (Norway) | 474,245 | 14,568 |
SHARES | VALUE | |||||||
Information Technology—continued | ||||||||
Douzone Bizon Co., Ltd. (South Korea) | 140,519 | $ | 7,740 | |||||
e-Credible Co., Ltd. (South Korea) | 381,716 | 5,196 | ||||||
Money Forward, Inc. (Japan)(1) | 343,500 | 15,267 | ||||||
REA Group Ltd. (Australia) | 116,010 | 7,206 | ||||||
Rightmove plc (United Kingdom) | 7,065,200 | 43,374 | ||||||
Scout24 AG (Germany) | 855,141 | 39,873 | ||||||
SINA Corp. (China)(1) | 416,425 | 28,933 | ||||||
Webstep AS (Norway) | 3,831,491 | 13,982 | ||||||
|
| |||||||
297,139 | ||||||||
|
| |||||||
Materials—5.0% | ||||||||
Corp. Moctezuma SAB de C.V. (Mexico) | 4,704,896 | 19,610 | ||||||
SH Kelkar & Co., Ltd. (India) | 2,547,208 | 7,175 | ||||||
Sniezka SA (Poland) | 796,322 | 15,552 | ||||||
Transpaco Ltd. (South Africa) | 2,641,410 | 3,960 | ||||||
|
| |||||||
46,297 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $801,155) |
| 822,545 | ||||||
TOTAL LONG-TERM INVESTMENTS—88.5% |
| |||||||
(Identified Cost $801,155) |
| 822,545 | ||||||
SHORT-TERM INVESTMENT—9.6% | ||||||||
Money Market Mutual Fund—9.6% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%)(2) | 89,652,864 | 89,653 | ||||||
TOTAL SHORT-TERM INVESTMENT (Identified Cost $89,653) |
| 89,653 | ||||||
TOTAL INVESTMENTS—98.1% (Identified Cost $890,808) |
| 912,198 | ||||||
Other assets and liabilities, net—1.9% |
| 17,399 | ||||||
|
| |||||||
NET ASSETS—100.0% |
| $ | 929,597 | |||||
|
|
Abbreviation:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | ||||
United Kingdom | 19 | % | ||
United States | 13 | |||
China | 8 | |||
Taiwan | 7 | |||
Germany | 7 | |||
Sweden | 6 | |||
Japan | 5 | |||
Other | 35 | |||
Total | 100 | % | ||
† % of total investments as of September 30, 2018. |
|
For information regarding the abbreviation, see the Key Investment Terms starting on page 5.
See Notes to Financial Statements
57
Table of Contents
KAR INTERNATIONAL SMALL-CAP FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 822,545 | $ | 822,545 | ||||
Short-Term Investment | 89,653 | 89,653 | ||||||
|
|
|
| |||||
Total Investments | $ | 912,198 | $ | 912,198 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or using significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
See Notes to Financial Statements
58
Table of Contents
RAMPART ALTERNATIVES DIVERSIFIER FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
AFFILIATED MUTUAL FUNDS(2)—49.0% | ||||||||
Equity Funds—39.9% | ||||||||
Virtus Duff & Phelps Global Infrastructure Fund – Class R6 | 412,097 | $ | 5,955 | |||||
Virtus Duff & Phelps Global Real Estate Securities Fund – Class I | 122,340 | 3,710 | ||||||
Virtus Duff & Phelps International Real Estate Securities Fund – Class I | 539,551 | 3,993 | ||||||
Virtus Duff & Phelps Real Estate Securities Fund – Class I | 93,895 | 2,508 | ||||||
|
| |||||||
16,166 | ||||||||
|
| |||||||
Fixed Income Fund—9.1% | ||||||||
Virtus Newfleet Senior Floating Rate Fund – Class I | 389,892 | 3,665 | ||||||
TOTAL AFFILIATED MUTUAL FUNDS (Identified Cost $13,838) |
| 19,831 | ||||||
EXCHANGE-TRADED FUNDS(2)—47.3% | ||||||||
Invesco DB Commodity Index Tracking Fund(1) | 332,910 | 5,982 | ||||||
Invesco DB G10 Currency Harvest Fund(1) | 138,715 | 3,336 | ||||||
iShares S&P North American Natural Resources Sector Index Fund | 192,457 | 6,899 | ||||||
VanEck Vectors Agribusiness Index Fund | 25,534 | 1,678 | ||||||
VanEck Vectors Coal Index Fund | 82,962 | 1,283 | ||||||
TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $15,691) |
| 19,178 | ||||||
TOTAL LONG-TERM INVESTMENTS—96.3% |
| |||||||
(Identified Cost $29,529) |
| 39,009 | ||||||
SHORT-TERM INVESTMENT—0.3% | ||||||||
Money Market Mutual Fund(2)—0.3% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%) | 127,818 | 128 | ||||||
TOTAL SHORT-TERM INVESTMENT (Identified Cost $128) |
| 128 | ||||||
TOTAL INVESTMENTS—96.6% (Identified Cost $29,657) |
| 39,137 | ||||||
Other assets and liabilities, net—3.4% |
| 1,384 | ||||||
|
| |||||||
NET ASSETS—100.0% |
| $ | 40,521 | |||||
|
|
Footnote Legend:
(1) | Non-income producing. |
(2) | Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available. |
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at, September 30, 2018 | Level 1 Quoted Prices | |||||||
Affiliated Mutual Funds | $ | 19,831 | $ | 19,831 | ||||
Exchange-Traded Funds | 19,178 | 19,178 | ||||||
Short-Term Investment | 128 | 128 | ||||||
|
|
|
| |||||
Total Investments | $ | 39,137 | $ | 39,137 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
See Notes to Financial Statements
59
Table of Contents
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—99.0% | ||||||||
Consumer Discretionary—18.2% | ||||||||
Amazon.com, Inc.(1) | 2,714 | $ | 5,436 | |||||
Aptiv plc | 60,662 | 5,089 | ||||||
Best Buy Co., Inc. | 91,998 | 7,301 | ||||||
Booking Holdings, Inc.(1) | 324 | 643 | ||||||
BorgWarner, Inc. | 45,249 | 1,936 | ||||||
Carnival Corp. | 25,609 | 1,633 | ||||||
Chipotle Mexican Grill, Inc.(1) | 701 | 319 | ||||||
Darden Restaurants, Inc. | 3,550 | 395 | ||||||
Expedia Group, Inc. | 815 | 106 | ||||||
Garmin Ltd. | 107,417 | 7,524 | ||||||
Hilton Worldwide Holdings, Inc. | 17,624 | 1,424 | ||||||
Home Depot, Inc. (The) | 26,304 | 5,449 | ||||||
Horton (D.R.), Inc. | 68,374 | 2,884 | ||||||
Kohl’s Corp. | 38,616 | 2,879 | ||||||
Lennar Corp. Class A | 54,469 | 2,543 | ||||||
Lowe’s Cos., Inc. | 18,743 | 2,152 | ||||||
Macy’s, Inc. | 70,322 | 2,442 | ||||||
Marriott International, Inc. Class A | 18,723 | 2,472 | ||||||
McDonald’s Corp. | 22,519 | 3,767 | ||||||
MGM Resorts International | 135,387 | 3,779 | ||||||
Netflix, Inc.(1) | 2,929 | 1,096 | ||||||
NIKE, Inc. Class B | 89,044 | 7,544 | ||||||
Nordstrom, Inc. | 26,961 | 1,612 | ||||||
Norwegian Cruise Line Holdings Ltd.(1) | 13,040 | 749 | ||||||
PulteGroup, Inc. | 52,294 | 1,295 | ||||||
Royal Caribbean Cruises Ltd. | 10,686 | 1,388 | ||||||
Starbucks Corp. | 39,578 | 2,250 | ||||||
TripAdvisor, Inc.(1) | 722 | 37 | ||||||
Wynn Resorts Ltd. | 22,884 | 2,908 | ||||||
Yum! Brands, Inc. | 9,270 | 843 | ||||||
|
| |||||||
79,895 | ||||||||
|
| |||||||
Consumer Staples—6.5% | ||||||||
Brown-Forman Corp. Class B | 39,402 | 1,992 | ||||||
Constellation Brands, Inc. Class A | 25,273 | 5,449 | ||||||
Costco Wholesale Corp. | 13,325 | 3,130 | ||||||
Kroger Co. (The) | 232,313 | 6,763 | ||||||
Sysco Corp. | 97,826 | 7,166 | ||||||
Walmart, Inc. | 43,953 | 4,127 | ||||||
|
| |||||||
28,627 | ||||||||
|
| |||||||
Energy—1.6% | ||||||||
Andeavor | 5,952 | 914 | ||||||
HollyFrontier Corp. | 7,471 | 522 | ||||||
Marathon Petroleum Corp. | 19,548 | 1,563 | ||||||
Phillips 66 | 17,762 | 2,002 | ||||||
Valero Energy Corp. | 18,238 | 2,075 | ||||||
|
| |||||||
7,076 | ||||||||
|
| |||||||
Financials—12.9% | ||||||||
Affiliated Managers Group, Inc. | 1,637 | 224 | ||||||
Allstate Corp. (The) | 12,894 | 1,273 | ||||||
American Express Co. | 30,106 | 3,206 | ||||||
Ameriprise Financial, Inc. | 4,359 | 644 | ||||||
AON plc | 16,109 | 2,477 | ||||||
Bank of America Corp. | 57,308 | 1,688 | ||||||
Bank of New York Mellon Corp. (The) | 30,466 | 1,553 | ||||||
BB&T Corp. | 17,799 | 864 | ||||||
Berkshire Hathaway, Inc. Class B(1) | 34,464 | 7,379 | ||||||
BlackRock, Inc. | 3,717 | 1,752 |
SHARES | VALUE | |||||||
Financials—continued | ||||||||
Capital One Financial Corp. | 20,508 | $ | 1,947 | |||||
Charles Schwab Corp. (The) | 36,820 | 1,810 | ||||||
Chubb Ltd. | 17,088 | 2,284 | ||||||
Cincinnati Financial Corp. | 5,480 | 421 | ||||||
Citigroup, Inc. | 15,497 | 1,112 | ||||||
Citizens Financial Group, Inc. | 11,064 | 427 | ||||||
Comerica, Inc. | 3,925 | 354 | ||||||
Discover Financial Services | 14,712 | 1,125 | ||||||
E*TRADE Financial Corp.(1) | 8,092 | 424 | ||||||
Fifth Third Bancorp | 15,647 | 437 | ||||||
Franklin Resources, Inc. | 9,608 | 292 | ||||||
Gallagher (Arthur J.) & Co. | 12,008 | 894 | ||||||
Goldman Sachs Group, Inc. (The) | 10,772 | 2,415 | ||||||
Huntington Bancshares, Inc. | 25,222 | 376 | ||||||
Invesco Ltd. | 12,381 | 283 | ||||||
Jefferies Financial Group, Inc. | 5,428 | 119 | ||||||
JPMorgan Chase & Co. | 20,693 | 2,335 | ||||||
KeyCorp | 24,232 | 482 | ||||||
M&T Bank Corp. | 3,315 | 545 | ||||||
Marsh & McLennan Cos., Inc. | 33,428 | 2,765 | ||||||
Morgan Stanley | 41,798 | 1,946 | ||||||
Northern Trust Corp. | 6,375 | 651 | ||||||
People’s United Financial, Inc. | 7,940 | 136 | ||||||
PNC Financial Services Group, Inc. (The) | 10,717 | 1,459 | ||||||
Progressive Corp. (The) | 21,365 | 1,518 | ||||||
Raymond James Financial, Inc. | 3,980 | 366 | ||||||
Regions Financial Corp. | 25,636 | 470 | ||||||
State Street Corp. | 11,015 | 923 | ||||||
SunTrust Banks, Inc. | 10,610 | 709 | ||||||
SVB Financial Group(1) | 1,209 | 376 | ||||||
Synchrony Financial | 29,911 | 930 | ||||||
T. Rowe Price Group, Inc. | 7,299 | 797 | ||||||
Travelers Cos., Inc. (The) | 9,914 | 1,286 | ||||||
U.S. Bancorp | 9,483 | 501 | ||||||
Wells Fargo & Co. | 26,654 | 1,401 | ||||||
Willis Towers Watson plc | 8,686 | 1,224 | ||||||
Zions Bancorp NA | 4,499 | 226 | ||||||
|
| |||||||
56,826 | ||||||||
|
| |||||||
Health Care—8.4% | ||||||||
Aetna, Inc. | 4,669 | 947 | ||||||
Agilent Technologies, Inc. | 10,163 | 717 | ||||||
Align Technology, Inc.(1) | 10,667 | 4,173 | ||||||
Anthem, Inc. | 3,643 | 998 | ||||||
Centene Corp.(1) | 2,928 | 424 | ||||||
Cerner Corp.(1) | 112,427 | 7,242 | ||||||
Cigna Corp. | 3,472 | 723 | ||||||
Cooper Cos., Inc. (The) | 7,249 | 2,009 | ||||||
DENTSPLY SIRONA, Inc. | 33,633 | 1,269 | ||||||
HCA Healthcare, Inc. | 41,893 | 5,828 | ||||||
Humana, Inc. | 1,965 | 665 | ||||||
Illumina, Inc.(1) | 4,669 | 1,714 | ||||||
IQVIA Holdings, Inc.(1) | 5,141 | 667 | ||||||
Mettler-Toledo International, Inc.(1) | 807 | 492 | ||||||
PerkinElmer, Inc. | 3,514 | 342 | ||||||
Thermo Fisher Scientific, Inc. | 12,779 | 3,119 | ||||||
UnitedHealth Group, Inc. | 13,718 | 3,650 | ||||||
Universal Health Services, Inc. Class B | 13,065 | 1,670 | ||||||
Waters Corp.(1) | 2,488 | 484 | ||||||
|
| |||||||
37,133 | ||||||||
|
|
See Notes to Financial Statements
60
Table of Contents
RAMPART EQUITY TREND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Industrials—16.7% | ||||||||
Arconic, Inc. | 4,846 | $ | 107 | |||||
Boeing Co. (The) | 6,247 | 2,323 | ||||||
Caterpillar, Inc. | 33,910 | 5,171 | ||||||
Cintas Corp. | 20,124 | 3,981 | ||||||
Copart, Inc.(1) | 47,045 | 2,424 | ||||||
CSX Corp. | 26,394 | 1,954 | ||||||
Cummins, Inc. | 8,784 | 1,283 | ||||||
Deere & Co. | 50,900 | 7,652 | ||||||
Dover Corp. | 5,987 | 530 | ||||||
Fastenal Co. | 43,985 | 2,552 | ||||||
Flowserve Corp. | 5,065 | 277 | ||||||
Fortive Corp. | 11,874 | 1,000 | ||||||
General Dynamics Corp. | 3,151 | 645 | ||||||
Harris Corp. | 1,354 | 229 | ||||||
Hunt (JB) Transport Services, Inc. | 60,616 | 7,210 | ||||||
Huntington Ingalls Industries, Inc. | 507 | 130 | ||||||
Illinois Tool Works, Inc. | 11,803 | 1,666 | ||||||
Ingersoll-Rand plc | 9,599 | 982 | ||||||
Kansas City Southern | 3,094 | 350 | ||||||
L3 Technologies, Inc. | 896 | 191 | ||||||
Lockheed Martin Corp. | 2,834 | 980 | ||||||
Norfolk Southern Corp. | 8,519 | 1,538 | ||||||
Northrop Grumman Corp. | 1,989 | 631 | ||||||
PACCAR, Inc. | 19,953 | 1,361 | ||||||
Parker-Hannifin Corp. | 5,147 | 947 | ||||||
Pentair plc | 6,284 | 272 | ||||||
Raytheon Co. | 3,277 | 677 | ||||||
Republic Services, Inc. | 28,239 | 2,052 | ||||||
Robert Half International, Inc. | 93,622 | 6,589 | ||||||
Rockwell Collins, Inc. | 1,874 | 263 | ||||||
Snap-on, Inc. | 2,191 | 402 | ||||||
Stanley Black & Decker, Inc. | 5,974 | 875 | ||||||
Stericycle, Inc.(1) | 10,838 | 636 | ||||||
Textron, Inc. | 2,921 | 209 | ||||||
TransDigm Group, Inc.(1) | 557 | 207 | ||||||
Union Pacific Corp. | 23,385 | 3,808 | ||||||
United Rentals, Inc.(1) | 12,784 | 2,091 | ||||||
United Technologies Corp. | 8,489 | 1,187 | ||||||
W.W. Grainger, Inc. | 7,795 | 2,786 | ||||||
Waste Management, Inc. | 50,376 | 4,552 | ||||||
Xylem, Inc. | 6,965 | 556 | ||||||
|
| |||||||
73,276 | ||||||||
|
| |||||||
Information Technology—18.4% | ||||||||
Activision Blizzard, Inc. | 53,084 | 4,416 | ||||||
Adobe Systems, Inc.(1) | 9,397 | 2,537 | ||||||
Advanced Micro Devices, Inc.(1) | 6,846 | 212 | ||||||
Akamai Technologies, Inc.(1) | 1,005 | 74 | ||||||
Alliance Data Systems Corp. | 435 | 103 | ||||||
Alphabet, Inc. Class A(1) | 1,760 | 2,124 | ||||||
Alphabet, Inc. Class C(1) | 1,789 | 2,135 | ||||||
Amphenol Corp. Class A | 39,164 | 3,682 | ||||||
Analog Devices, Inc. | 3,082 | 285 | ||||||
ANSYS, Inc.(1) | 1,604 | 299 | ||||||
Apple, Inc. | 28,826 | 6,507 | ||||||
Arista Networks, Inc.(1) | 1,240 | 330 | ||||||
Autodesk, Inc.(1) | 4,181 | 653 | ||||||
Automatic Data Processing, Inc. | 3,975 | 599 | ||||||
Broadcom, Inc. | 3,335 | 823 | ||||||
Broadridge Financial Solutions, Inc. | 1,064 | 140 | ||||||
CA, Inc. | 2,157 | 95 | ||||||
Cadence Design Systems, Inc.(1) | 5,379 | 244 | ||||||
Cisco Systems, Inc. | 122,417 | 5,956 |
SHARES | VALUE | |||||||
Information Technology—continued | ||||||||
Citrix Systems, Inc.(1) | 2,457 | $ | 273 | |||||
Corning, Inc. | 107,884 | 3,808 | ||||||
eBay, Inc.(1) | 5,447 | 180 | ||||||
Electronic Arts, Inc.(1) | 21,398 | 2,578 | ||||||
F5 Networks, Inc.(1) | 1,591 | 317 | ||||||
Facebook, Inc. Class A(1) | 14,132 | 2,324 | ||||||
Fidelity National Information Services, Inc. | 2,988 | 326 | ||||||
Fiserv, Inc.(1) | 3,695 | 304 | ||||||
FleetCor Technologies, Inc.(1) | 809 | 184 | ||||||
FLIR Systems, Inc. | 116,662 | 7,171 | ||||||
Global Payments, Inc. | 1,440 | 183 | ||||||
Hewlett Packard Enterprise Co. | 8,954 | 146 | ||||||
HP, Inc. | 9,625 | 248 | ||||||
Intel Corp. | 38,714 | 1,831 | ||||||
Intuit, Inc. | 4,652 | 1,058 | ||||||
IPG Photonics Corp.(1) | 7,110 | 1,110 | ||||||
Juniper Networks, Inc. | 9,089 | 272 | ||||||
Mastercard, Inc. Class A | 8,274 | 1,842 | ||||||
Microchip Technology, Inc. | 1,953 | 154 | ||||||
Micron Technology, Inc.(1) | 9,635 | 436 | ||||||
Microsoft Corp. | 53,038 | 6,066 | ||||||
Motorola Solutions, Inc. | 4,221 | 549 | ||||||
NetApp, Inc. | 1,571 | 135 | ||||||
NVIDIA Corp. | 5,043 | 1,417 | ||||||
Oracle Corp. | 20,572 | 1,061 | ||||||
Paychex, Inc. | 2,886 | 213 | ||||||
PayPal Holdings, Inc.(1) | 10,073 | 885 | ||||||
Qorvo, Inc.(1) | 1,051 | 81 | ||||||
QUALCOMM, Inc. | 12,317 | 887 | ||||||
Red Hat, Inc.(1) | 1,227 | 167 | ||||||
salesforce.com, Inc.(1) | 13,460 | 2,141 | ||||||
Seagate Technology plc | 1,684 | 80 | ||||||
Skyworks Solutions, Inc. | 1,513 | 137 | ||||||
Symantec Corp. | 4,290 | 91 | ||||||
Synopsys, Inc.(1) | 2,843 | 280 | ||||||
Take-Two Interactive Software, Inc.(1) | 7,977 | 1,101 | ||||||
TE Connectivity Ltd. | 66,228 | 5,823 | ||||||
Texas Instruments, Inc. | 8,133 | 873 | ||||||
Total System Services, Inc. | 1,497 | 148 | ||||||
Twitter, Inc.(1) | 3,858 | 110 | ||||||
VeriSign, Inc.(1) | 566 | 91 | ||||||
Visa, Inc. Class A | 16,120 | 2,419 | ||||||
Western Digital Corp. | 1,755 | 103 | ||||||
Western Union Co. (The) | 4,157 | 79 | ||||||
Xerox Corp. | 1,255 | 34 | ||||||
Xilinx, Inc. | 2,105 | 169 | ||||||
|
| |||||||
81,099 | ||||||||
|
| |||||||
Materials—8.1% | ||||||||
Air Products & Chemicals, Inc. | 19,588 | 3,272 | ||||||
Albemarle Corp. | 6,486 | 647 | ||||||
DowDuPont, Inc. | 96,183 | 6,185 | ||||||
Eastman Chemical Co. | 5,916 | 566 | ||||||
Ecolab, Inc. | 15,205 | 2,384 | ||||||
International Flavors & Fragrances, Inc. | 4,622 | 643 | ||||||
LyondellBasell Industries N.V. Class A | 64,899 | 6,653 | ||||||
Nucor Corp. | 117,110 | 7,431 | ||||||
PPG Industries, Inc. | 14,599 | 1,593 | ||||||
Praxair, Inc. | 25,680 | 4,128 | ||||||
Sherwin-Williams Co. (The) | 4,820 | 2,194 | ||||||
|
| |||||||
35,696 | ||||||||
|
|
See Notes to Financial Statements
61
Table of Contents
RAMPART EQUITY TREND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Real Estate—4.8% | ||||||||
American Tower Corp. | 11,920 | $ | 1,732 | |||||
CBRE Group, Inc. Class A(1) | 149,957 | 6,613 | ||||||
Crown Castle International Corp. | 11,196 | 1,247 | ||||||
Digital Realty Trust, Inc. | 5,558 | 625 | ||||||
Duke Realty Corp. | 49,825 | 1,414 | ||||||
Equinix, Inc. | 2,144 | 928 | ||||||
Extra Space Storage, Inc. | 3,404 | 295 | ||||||
Iron Mountain, Inc. | 7,596 | 262 | ||||||
Prologis, Inc. | 87,822 | 5,954 | ||||||
Public Storage | 4,044 | 815 | ||||||
SBA Communications, Corp.(1) | 3,108 | 499 | ||||||
Weyerhaeuser Co. | 20,431 | 659 | ||||||
|
| |||||||
21,043 | ||||||||
|
| |||||||
Telecommunication Services—1.7% | ||||||||
CenturyLink, Inc. | 342,690 | 7,265 | ||||||
|
| |||||||
Utilities—1.7% | ||||||||
AES Corp. | 248,397 | 3,477 | ||||||
NRG Energy, Inc. | 112,347 | 4,202 | ||||||
|
| |||||||
7,679 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $326,278) | 435,615 | |||||||
TOTAL LONG-TERM INVESTMENTS—99.0% | ||||||||
(Identified Cost $326,278) | 435,615 | |||||||
TOTAL INVESTMENTS—99.0% (Identified Cost $326,278) | 435,615 | |||||||
Other assets and liabilities, net—1.0% | 4,446 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 440,061 | ||||||
|
|
Footnote Legend:
(1) | Non-income producing. |
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Schedules of Investments):
Total Value at September 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 435,615 | $ | 435,615 | ||||
|
|
|
| |||||
Total Investments | $ | 435,615 | $ | 435,615 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
For information regarding the abbreviation, see the Key Investment Terms starting on page 5.
See Notes to Financial Statements
62
Table of Contents
RAMPART MULTI-ASSET TREND FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—35.6% | ||||||||
Consumer Discretionary—6.5% | ||||||||
Amazon.com, Inc.(1) | 155 | $ | 310 | |||||
Aptiv plc | 3,456 | 290 | ||||||
Best Buy Co., Inc. | 5,241 | 416 | ||||||
Booking Holdings, Inc.(1) | 19 | 38 | ||||||
BorgWarner, Inc. | 2,577 | 110 | ||||||
Carnival Corp. | 1,459 | 93 | ||||||
Chipotle Mexican Grill, Inc.(1) | 40 | 18 | ||||||
Darden Restaurants, Inc. | 202 | 22 | ||||||
Expedia Group, Inc. | 46 | 6 | ||||||
Garmin Ltd. | 6,120 | 429 | ||||||
Hilton Worldwide Holdings, Inc. | 1,004 | 81 | ||||||
Home Depot, Inc. (The) | 1,498 | 310 | ||||||
Horton (D.R.), Inc. | 3,896 | 164 | ||||||
Kohl’s Corp. | 2,200 | 164 | ||||||
Lennar Corp. Class A | 3,103 | 145 | ||||||
Lowe’s Cos., Inc. | 1,068 | 123 | ||||||
Macy’s, Inc. | 4,006 | 139 | ||||||
Marriott International, Inc. Class A | 1,066 | 141 | ||||||
McDonald’s Corp. | 1,283 | 215 | ||||||
MGM Resorts International | 7,713 | 215 | ||||||
Netflix, Inc.(1) | 167 | 62 | ||||||
NIKE, Inc. Class B | 5,073 | 430 | ||||||
Nordstrom, Inc. | 1,536 | 92 | ||||||
Norwegian Cruise Line Holdings Ltd.(1) | 743 | 43 | ||||||
PulteGroup, Inc. | 2,979 | 74 | ||||||
Royal Caribbean Cruises Ltd. | 608 | 79 | ||||||
Starbucks Corp. | 2,254 | 128 | ||||||
TripAdvisor, Inc.(1) | 41 | 2 | ||||||
Wynn Resorts Ltd. | 1,303 | 166 | ||||||
Yum! Brands, Inc. | 528 | 48 | ||||||
|
| |||||||
4,553 | ||||||||
|
| |||||||
Consumer Staples—2.4% | ||||||||
Brown-Forman Corp. Class B | 2,245 | 114 | ||||||
Constellation Brands, Inc. Class A | 1,439 | 311 | ||||||
Costco Wholesale Corp. | 759 | 178 | ||||||
Kroger Co. (The) | 13,235 | 385 | ||||||
Sysco Corp. | 5,573 | 408 | ||||||
Walmart, Inc. | 2,504 | 235 | ||||||
|
| |||||||
1,631 | ||||||||
|
| |||||||
Energy—0.6% | ||||||||
Andeavor | 336 | 52 | ||||||
HollyFrontier Corp. | 425 | 30 | ||||||
Marathon Petroleum Corp. | 1,113 | 89 | ||||||
Phillips 66 | 1,012 | 114 | ||||||
Valero Energy Corp. | 1,039 | 118 | ||||||
|
| |||||||
403 | ||||||||
|
| |||||||
Financials—4.7% | ||||||||
Affiliated Managers Group, Inc. | 94 | 13 | ||||||
Allstate Corp. (The) | 734 | 72 | ||||||
American Express Co. | 1,715 | 183 | ||||||
Ameriprise Financial, Inc. | 248 | 37 | ||||||
AON plc | 918 | 141 | ||||||
Bank of America Corp. | 3,265 | 96 | ||||||
Bank of New York Mellon Corp. (The) | 1,736 | 89 | ||||||
BB&T Corp. | 1,014 | 49 | ||||||
Berkshire Hathaway, Inc. Class B(1) | 1,963 | 420 | ||||||
BlackRock, Inc. | 212 | 100 |
SHARES | VALUE | |||||||
Financials—continued | ||||||||
Capital One Financial Corp. | 1,169 | $ | 111 | |||||
Charles Schwab Corp. (The) | 2,098 | 103 | ||||||
Chubb Ltd. | 974 | 130 | ||||||
Cincinnati Financial Corp. | 312 | 24 | ||||||
Citigroup, Inc. | 883 | 63 | ||||||
Citizens Financial Group, Inc. | 630 | 24 | ||||||
Comerica, Inc. | 223 | 20 | ||||||
Discover Financial Services | 838 | 64 | ||||||
E*TRADE Financial Corp.(1) | 461 | 24 | ||||||
Fifth Third Bancorp | 891 | 25 | ||||||
Franklin Resources, Inc. | 547 | 17 | ||||||
Gallagher (Arthur J.) & Co. | 684 | 51 | ||||||
Goldman Sachs Group, Inc. (The) | 613 | 138 | ||||||
Huntington Bancshares, Inc. | 1,437 | 21 | ||||||
Invesco Ltd. | 706 | 16 | ||||||
Jefferies Financial Group, Inc. | 309 | 7 | ||||||
JPMorgan Chase & Co. | 1,178 | 133 | ||||||
KeyCorp | 1,380 | 27 | ||||||
M&T Bank Corp. | 189 | 31 | ||||||
Marsh & McLennan Cos., Inc. | 1,904 | 158 | ||||||
Morgan Stanley | 2,381 | 111 | ||||||
Northern Trust Corp. | 363 | 37 | ||||||
People’s United Financial, Inc. | 453 | 8 | ||||||
PNC Financial Services Group, Inc. (The) | 610 | 83 | ||||||
Progressive Corp. (The) | 1,217 | 86 | ||||||
Raymond James Financial, Inc. | 226 | 21 | ||||||
Regions Financial Corp. | 1,461 | 27 | ||||||
State Street Corp. | 627 | 53 | ||||||
SunTrust Banks, Inc. | 604 | 40 | ||||||
SVB Financial Group(1) | 69 | 21 | ||||||
Synchrony Financial | 1,704 | 53 | ||||||
T. Rowe Price Group, Inc. | 415 | 45 | ||||||
Travelers Cos., Inc. (The) | 565 | 73 | ||||||
U.S. Bancorp | 540 | 29 | ||||||
Wells Fargo & Co. | 1,518 | 80 | ||||||
Willis Towers Watson plc | 495 | 70 | ||||||
Zions Bancorp NA | 256 | 13 | ||||||
|
| |||||||
3,237 | ||||||||
|
| |||||||
Health Care—3.0% | ||||||||
Aetna, Inc. | 266 | 54 | ||||||
Agilent Technologies, Inc. | 579 | 41 | ||||||
Align Technology, Inc.(1) | 607 | 237 | ||||||
Anthem, Inc. | 208 | 57 | ||||||
Centene Corp.(1) | 166 | 24 | ||||||
Cerner Corp.(1) | 6,405 | 413 | ||||||
Cigna Corp. | 198 | 41 | ||||||
Cooper Cos., Inc. (The) | 413 | 114 | ||||||
DENTSPLY SIRONA, Inc. | 1,916 | 72 | ||||||
HCA Healthcare, Inc. | 2,386 | 332 | ||||||
Humana, Inc. | 112 | 38 | ||||||
Illumina, Inc.(1) | 266 | 98 | ||||||
IQVIA Holdings, Inc.(1) | 292 | 38 | ||||||
Mettler-Toledo International, Inc.(1) | 46 | 28 | ||||||
PerkinElmer, Inc. | 200 | 19 | ||||||
Thermo Fisher Scientific, Inc. | 728 | 178 | ||||||
UnitedHealth Group, Inc. | 782 | 208 | ||||||
Universal Health Services, Inc. Class B | 744 | 95 | ||||||
Waters Corp.(1) | 142 | 28 | ||||||
|
| |||||||
2,115 | ||||||||
|
|
See Notes to Financial Statements
63
Table of Contents
RAMPART MULTI-ASSET TREND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Industrials—6.0% | ||||||||
Arconic, Inc. | 276 | $ | 6 | |||||
Boeing Co. (The) | 356 | 132 | ||||||
Caterpillar, Inc. | 1,932 | 295 | ||||||
Cintas Corp. | 1,147 | 227 | ||||||
Copart, Inc.(1) | 2,680 | 138 | ||||||
CSX Corp. | 1,503 | 111 | ||||||
Cummins, Inc. | 500 | 73 | ||||||
Deere & Co. | 2,899 | 436 | ||||||
Dover Corp. | 342 | 30 | ||||||
Fastenal Co. | 2,506 | 145 | ||||||
Flowserve Corp. | 288 | 16 | ||||||
Fortive Corp. | 676 | 57 | ||||||
General Dynamics Corp. | 179 | 37 | ||||||
Harris Corp. | 77 | 13 | ||||||
Hunt (JB) Transport Services, Inc. | 3,454 | 411 | ||||||
Huntington Ingalls Industries, Inc. | 29 | 7 | ||||||
Illinois Tool Works, Inc. | 672 | 95 | ||||||
Ingersoll-Rand plc | 546 | 56 | ||||||
Kansas City Southern | 176 | 20 | ||||||
L3 Technologies, Inc. | 51 | 11 | ||||||
Lockheed Martin Corp. | 161 | 56 | ||||||
Norfolk Southern Corp. | 485 | 88 | ||||||
Northrop Grumman Corp. | 113 | 36 | ||||||
PACCAR, Inc. | 1,137 | 77 | ||||||
Parker-Hannifin Corp. | 293 | 54 | ||||||
Pentair plc | 358 | 15 | ||||||
Raytheon Co. | 187 | 39 | ||||||
Republic Services, Inc. | 1,609 | 117 | ||||||
Robert Half International, Inc. | 5,334 | 375 | ||||||
Rockwell Collins, Inc. | 106 | 15 | ||||||
Snap-on, Inc. | 125 | 23 | ||||||
Stanley Black & Decker, Inc. | 341 | 50 | ||||||
Stericycle, Inc.(1) | 617 | 36 | ||||||
Textron, Inc. | 166 | 12 | ||||||
TransDigm Group, Inc.(1) | 32 | 12 | ||||||
Union Pacific Corp. | 1,332 | 217 | ||||||
United Rentals, Inc.(1) | 729 | 119 | ||||||
United Technologies Corp. | 483 | 67 | ||||||
W.W. Grainger, Inc. | 444 | 159 | ||||||
Waste Management, Inc. | 2,870 | 259 | ||||||
Xylem, Inc. | 397 | 32 | ||||||
|
| |||||||
4,174 | ||||||||
|
| |||||||
Information Technology—6.6% | ||||||||
Activision Blizzard, Inc. | 3,024 | 252 | ||||||
Adobe Systems, Inc.(1) | 536 | 145 | ||||||
Advanced Micro Devices, Inc.(1) | 390 | 12 | ||||||
Akamai Technologies, Inc.(1) | 57 | 4 | ||||||
Alliance Data Systems Corp. | 25 | 6 | ||||||
Alphabet, Inc. Class A(1) | 100 | 121 | ||||||
Alphabet, Inc. Class C(1) | 102 | 122 | ||||||
Amphenol Corp. Class A | 2,231 | 210 | ||||||
Analog Devices, Inc. | 175 | 16 | ||||||
ANSYS, Inc.(1) | 92 | 17 | ||||||
Apple, Inc. | 1,642 | 371 | ||||||
Arista Networks, Inc.(1) | 71 | 19 | ||||||
Autodesk, Inc.(1) | 238 | 37 | ||||||
Automatic Data Processing, Inc. | 226 | 34 | ||||||
Broadcom, Inc. | 190 | 47 | ||||||
Broadridge Financial Solutions, Inc. | 61 | 8 | ||||||
CA, Inc. | 123 | 5 | ||||||
Cadence Design Systems, Inc.(1) | 306 | 14 | ||||||
Cisco Systems, Inc. | 6,974 | 339 |
SHARES | VALUE | |||||||
Information Technology—continued | ||||||||
Citrix Systems, Inc.(1) | 140 | $ | 16 | |||||
Corning, Inc. | 6,146 | 217 | ||||||
eBay, Inc.(1) | 310 | 10 | ||||||
Electronic Arts, Inc.(1) | 1,219 | 147 | ||||||
F5 Networks, Inc.(1) | 91 | 18 | ||||||
Facebook, Inc. Class A(1) | 805 | 132 | ||||||
Fidelity National Information Services, Inc. | 170 | 19 | ||||||
Fiserv, Inc.(1) | 211 | 17 | ||||||
FleetCor Technologies, Inc.(1) | 46 | 10 | ||||||
FLIR Systems, Inc. | 6,646 | 409 | ||||||
Global Payments, Inc. | 82 | 10 | ||||||
Hewlett Packard Enterprise Co. | 510 | 8 | ||||||
HP, Inc. | 548 | 14 | ||||||
Intel Corp. | 2,205 | 104 | ||||||
Intuit, Inc. | 265 | 60 | ||||||
IPG Photonics Corp.(1) | 405 | 63 | ||||||
Juniper Networks, Inc. | 518 | 15 | ||||||
Mastercard, Inc. Class A | 472 | 105 | ||||||
Microchip Technology, Inc. | 111 | 9 | ||||||
Micron Technology, Inc.(1) | 549 | 25 | ||||||
Microsoft Corp. | 3,021 | 345 | ||||||
Motorola Solutions, Inc. | 240 | 31 | ||||||
NetApp, Inc. | 90 | 8 | ||||||
NVIDIA Corp. | 287 | 81 | ||||||
Oracle Corp. | 1,172 | 60 | ||||||
Paychex, Inc. | 164 | 12 | ||||||
PayPal Holdings, Inc.(1) | 574 | 50 | ||||||
Qorvo, Inc.(1) | 60 | 5 | ||||||
QUALCOMM, Inc. | 702 | 51 | ||||||
Red Hat, Inc.(1) | 70 | 10 | ||||||
salesforce.com, Inc.(1) | 767 | 122 | ||||||
Seagate Technology plc | 96 | 5 | ||||||
Skyworks Solutions, Inc. | 87 | 8 | ||||||
Symantec Corp. | 244 | 5 | ||||||
Synopsys, Inc.(1) | 162 | 16 | ||||||
Take-Two Interactive Software, Inc.(1) | 455 | 63 | ||||||
TE Connectivity Ltd. | 3,773 | 332 | ||||||
Texas Instruments, Inc. | 464 | 50 | ||||||
Total System Services, Inc. | 86 | 8 | ||||||
Twitter, Inc.(1) | 220 | 6 | ||||||
VeriSign, Inc.(1) | 32 | 5 | ||||||
Visa, Inc. Class A | 919 | 138 | ||||||
Western Digital Corp. | 100 | 6 | ||||||
Western Union Co. (The) | 237 | 4 | ||||||
Xerox Corp. | 72 | 2 | ||||||
Xilinx, Inc. | 120 | 10 | ||||||
|
| |||||||
4,620 | ||||||||
|
| |||||||
Materials—2.9% | ||||||||
Air Products & Chemicals, Inc. | 1,115 | 186 | ||||||
Albemarle Corp. | 369 | 37 | ||||||
DowDuPont, Inc. | 5,480 | 353 | ||||||
Eastman Chemical Co. | 337 | 32 | ||||||
Ecolab, Inc. | 866 | 136 | ||||||
International Flavors & Fragrances, Inc. | 263 | 37 | ||||||
LyondellBasell Industries N.V. Class A | 3,698 | 379 | ||||||
Nucor Corp. | 6,672 | 423 | ||||||
PPG Industries, Inc. | 832 | 91 | ||||||
Praxair, Inc. | 1,463 | 235 | ||||||
Sherwin-Williams Co. (The) | 275 | 125 | ||||||
|
| |||||||
2,034 | ||||||||
|
|
See Notes to Financial Statements
64
Table of Contents
RAMPART MULTI-ASSET TREND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Real Estate—1.7% | ||||||||
American Tower Corp. | 679 | $ | 99 | |||||
CBRE Group, Inc. Class A(1) | 8,543 | 377 | ||||||
Crown Castle International Corp. | 638 | 71 | ||||||
Digital Realty Trust, Inc. | 317 | 36 | ||||||
Duke Realty Corp. | 2,838 | 80 | ||||||
Equinix, Inc. | 122 | 53 | ||||||
Extra Space Storage, Inc. | 194 | 17 | ||||||
Iron Mountain, Inc. | 433 | 15 | ||||||
Prologis, Inc. | 5,003 | 339 | ||||||
Public Storage | 230 | 46 | ||||||
SBA Communications, Corp.(1) | 177 | 28 | ||||||
Weyerhaeuser Co. | 1,164 | 38 | ||||||
|
| |||||||
1,199 | ||||||||
|
| |||||||
Telecommunication Services—0.6% | ||||||||
CenturyLink, Inc. | 19,522 | 414 | ||||||
|
| |||||||
Utilities—0.6% | ||||||||
AES Corp. | 14,151 | 198 | ||||||
NRG Energy, Inc. | 6,400 | 239 | ||||||
|
| |||||||
437 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $18,589) |
| 24,817 | ||||||
EXCHANGE-TRADED FUNDS(2)—46.3% | ||||||||
Invesco DB Commodity Index Tracking Fund(1) | 135,516 | 2,435 | ||||||
Invesco DB US Dollar Index Bullish Fund(1) | 93,497 | 2,362 | ||||||
iShares 1-3 Year Treasury Bond Index Fund | 152,607 | 12,680 | ||||||
iShares 20+ Year Treasury Bond Index Fund | 35,038 | 4,109 | ||||||
iShares Dow Jones U.S. Real Estate Index Fund | 28,314 | 2,266 | ||||||
iShares MSCI Japan Index Fund | 34,186 | 2,059 | ||||||
iShares MSCI Taiwan Capped Index Fund | 55,879 | 2,106 | ||||||
iShares TIPS Bond Index Fund | 37,821 | 4,184 | ||||||
TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $32,153) |
| 32,201 | ||||||
TOTAL LONG-TERM INVESTMENTS—81.9% |
| |||||||
(Identified Cost $50,742) |
| 57,018 | ||||||
SHORT-TERM INVESTMENT—18.1% | ||||||||
Money Market Mutual Fund(2)—18.1% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%) | 12,633,617 | 12,634 | ||||||
TOTAL SHORT-TERM INVESTMENT (Identified Cost $12,634) |
| 12,634 | ||||||
TOTAL INVESTMENTS—100.0% (Identified Cost $63,376) |
| 69,652 | ||||||
Other assets and liabilities, net—0.0% |
| 8 | ||||||
|
| |||||||
NET ASSETS—100.0% |
| $ | 69,660 | |||||
|
|
Abbreviation:
TIPS | U.S. Treasury Inflation-Protected Securities |
Footnote Legend:
(1) | Non-income producing. |
(2) | Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available. |
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 24,817 | $ | 24,817 | ||||
Exchange-Traded Funds | 32,201 | 32,201 | ||||||
Short-Term Investment | 12,634 | 12,634 | ||||||
|
|
|
| |||||
Total Investments | $ | 69,652 | $ | 69,652 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
For information regarding the abbreviation, see the Key Investment Terms starting on page 5.
See Notes to Financial Statements
65
Table of Contents
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—99.2% | ||||||||
Consumer Discretionary—20.1% | ||||||||
Advance Auto Parts, Inc. | 1,120 | $ | 189 | |||||
Amazon.com, Inc.(1) | 6,084 | 12,186 | ||||||
Aptiv plc | 4,025 | 338 | ||||||
AutoZone, Inc.(1) | 415 | 322 | ||||||
Best Buy Co., Inc. | 3,850 | 306 | ||||||
Booking Holdings, Inc.(1) | 738 | 1,464 | ||||||
BorgWarner, Inc. | 2,996 | 128 | ||||||
CarMax, Inc.(1) | 2,738 | 204 | ||||||
Carnival Corp. | 6,147 | 392 | ||||||
CBS Corp. Class B | 5,226 | 300 | ||||||
Charter Communications, Inc. Class A(1) | 2,816 | 918 | ||||||
Chipotle Mexican Grill, Inc.(1) | 373 | 170 | ||||||
Comcast Corp. Class A | 70,170 | 2,485 | ||||||
Darden Restaurants, Inc. | 1,870 | 208 | ||||||
Discovery, Inc. Class A(1) | 2,353 | 75 | ||||||
Discovery, Inc. Class C(1) | 5,147 | 152 | ||||||
DISH Network Corp. Class A(1) | 3,449 | 123 | ||||||
Dollar General Corp. | 3,904 | 427 | ||||||
Dollar Tree, Inc.(1) | 3,588 | 293 | ||||||
Expedia Group, Inc. | 1,853 | 242 | ||||||
Foot Locker, Inc. | 1,835 | 94 | ||||||
Ford Motor Co. | 59,076 | 546 | ||||||
Gap, Inc. (The) | 3,296 | 95 | ||||||
Garmin Ltd. | 1,676 | 117 | ||||||
General Motors Co. | 19,116 | 644 | ||||||
Genuine Parts Co. | 2,221 | 221 | ||||||
Goodyear Tire & Rubber Co. (The) | 3,636 | 85 | ||||||
H&R Block, Inc. | 3,162 | 81 | ||||||
Hanesbrands, Inc. | 5,452 | 101 | ||||||
Harley-Davidson, Inc. | 2,548 | 115 | ||||||
Hasbro, Inc. | 1,711 | 180 | ||||||
Hilton Worldwide Holdings, Inc. | 4,286 | 346 | ||||||
Home Depot, Inc. (The) | 17,678 | 3,662 | ||||||
Horton (D.R.), Inc. | 5,179 | 218 | ||||||
Interpublic Group of Cos., Inc. (The) | 5,817 | 133 | ||||||
Kohl’s Corp. | 2,544 | 190 | ||||||
L Brands, Inc. | 3,716 | 113 | ||||||
Leggett & Platt, Inc. | 2,003 | 88 | ||||||
Lennar Corp. Class A | 4,134 | 193 | ||||||
LKQ Corp.(1) | 4,684 | 148 | ||||||
Lowe’s Cos., Inc. | 12,565 | 1,443 | ||||||
Macy’s, Inc. | 4,612 | 160 | ||||||
Marriott International, Inc. Class A | 4,545 | 600 | ||||||
Mattel, Inc.(1) | 5,204 | 82 | ||||||
McDonald’s Corp. | 12,068 | 2,019 | ||||||
MGM Resorts International | 7,715 | 215 | ||||||
Michael Kors Holdings Ltd.(1) | 2,303 | 158 | ||||||
Mohawk Industries, Inc.(1) | 958 | 168 | ||||||
Netflix, Inc.(1) | 6,570 | 2,458 | ||||||
Newell Brands, Inc. | 7,343 | 149 | ||||||
News Corp. Class A | 5,796 | 76 | ||||||
News Corp. Class B | 1,842 | 25 | ||||||
NIKE, Inc. Class B | 19,649 | 1,665 | ||||||
Nordstrom, Inc. | 1,771 | 106 | ||||||
Norwegian Cruise Line Holdings Ltd.(1) | 3,121 | 179 | ||||||
O’Reilly Automotive, Inc.(1) | 1,268 | 440 | ||||||
Omnicom Group, Inc. | 3,487 | 237 | ||||||
PulteGroup, Inc. | 3,986 | 99 | ||||||
PVH Corp. | 1,165 | 168 | ||||||
Ralph Lauren Corp. | 839 | 115 | ||||||
Ross Stores, Inc. | 5,785 | 573 | ||||||
Royal Caribbean Cruises Ltd. | 2,589 | 336 |
SHARES | VALUE | |||||||
Consumer Discretionary—continued | ||||||||
Starbucks Corp. | 21,275 | $ | 1,209 | |||||
Tapestry, Inc. | 4,312 | 217 | ||||||
Target Corp. | 8,228 | 726 | ||||||
Tiffany & Co. | 1,544 | 199 | ||||||
TJX Cos., Inc. (The) | 9,571 | 1,072 | ||||||
Tractor Supply Co. | 1,893 | 172 | ||||||
TripAdvisor, Inc.(1) | 1,644 | 84 | ||||||
Twenty-First Century Fox, Inc. Class A | 15,958 | 739 | ||||||
Twenty-First Century Fox, Inc. Class B | 6,648 | 305 | ||||||
Ulta Beauty, Inc.(1) | 878 | 248 | ||||||
Under Armour, Inc. Class A(1) | 2,804 | 60 | ||||||
Under Armour, Inc. Class C(1) | 2,788 | 54 | ||||||
VF Corp. | 4,984 | 466 | ||||||
Viacom, Inc. Class B | 5,340 | 180 | ||||||
Walt Disney Co. (The) | 22,765 | 2,662 | ||||||
Whirlpool Corp. | 1,070 | 127 | ||||||
Wyndham Destinations, Inc. | 1,508 | 65 | ||||||
Wyndham Hotels & Resorts, Inc. | 1,509 | 84 | ||||||
Wynn Resorts Ltd. | 1,281 | 163 | ||||||
Yum! Brands, Inc. | 5,036 | 458 | ||||||
|
| |||||||
49,053 | ||||||||
|
| |||||||
Consumer Staples—4.9% | ||||||||
Altria Group, Inc. | 6,346 | 383 | ||||||
Archer-Daniels-Midland Co. | 7,716 | 388 | ||||||
Brown-Forman Corp. Class B | 6,996 | 354 | ||||||
Campbell Soup Co. | 9,103 | 333 | ||||||
Church & Dwight Co., Inc. | 6,661 | 395 | ||||||
Clorox Co. (The) | 2,753 | 414 | ||||||
Coca-Cola Co. (The) | 7,987 | 369 | ||||||
Colgate-Palmolive Co. | 5,556 | 372 | ||||||
Conagra Brands, Inc. | 10,142 | 344 | ||||||
Constellation Brands, Inc. Class A | 1,772 | 382 | ||||||
Costco Wholesale Corp. | 1,702 | 400 | ||||||
Coty, Inc. Class A | 27,766 | 349 | ||||||
Estee Lauder Cos., Inc. (The) Class A | 2,758 | 401 | ||||||
General Mills, Inc. | 8,084 | 347 | ||||||
Hershey Co. (The) | 3,791 | 387 | ||||||
Hormel Foods Corp. | 10,351 | 408 | ||||||
J.M. Smucker Co. (The) | 3,350 | 344 | ||||||
Kellogg Co. | 5,242 | 367 | ||||||
Kimberly-Clark Corp. | 3,270 | 372 | ||||||
Kraft Heinz Co.(The) | 6,180 | 340 | ||||||
Kroger Co. (The) | 12,839 | 374 | ||||||
McCormick & Co., Inc. | 3,167 | 417 | ||||||
Molson Coors Brewing Co. Class B | 5,557 | 342 | ||||||
Mondelez International, Inc. Class A | 8,583 | 369 | ||||||
Monster Beverage Corp.(1) | 6,204 | 361 | ||||||
PepsiCo, Inc. | 3,238 | 362 | ||||||
Philip Morris International, Inc. | 4,314 | 352 | ||||||
Procter & Gamble Co. (The) | 4,604 | 383 | ||||||
Sysco Corp. | 5,540 | 406 | ||||||
Tyson Foods, Inc. Class A | 6,459 | 384 | ||||||
Walgreens Boots Alliance, Inc. | 5,507 | 401 | ||||||
Walmart, Inc. | 4,174 | 392 | ||||||
|
| |||||||
11,992 | ||||||||
|
| |||||||
Energy—5.0% | ||||||||
Anadarko Petroleum Corp. | 4,294 | 289 | ||||||
Andeavor | 1,166 | 179 | ||||||
Apache Corp. | 3,181 | 152 | ||||||
Baker Hughes a GE Co. | 3,450 | 117 | ||||||
Cabot Oil & Gas Corp. | 3,826 | 86 |
See Notes to Financial Statements
66
Table of Contents
RAMPART SECTOR TREND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Energy—continued | ||||||||
Chevron Corp. | 15,910 | $ | 1,945 | |||||
Cimarex Energy Co. | 797 | 74 | ||||||
Concho Resources, Inc.(1) | 1,593 | 243 | ||||||
ConocoPhillips | 9,790 | 758 | ||||||
Devon Energy Corp. | 4,400 | 176 | ||||||
EOG Resources, Inc. | 4,810 | 614 | ||||||
EQT Corp. | 2,134 | 94 | ||||||
Exxon Mobil Corp. | 35,400 | 3,010 | ||||||
Halliburton Co. | 7,578 | 307 | ||||||
Helmerich & Payne, Inc. | 917 | 63 | ||||||
Hess Corp. | 2,181 | 156 | ||||||
Kinder Morgan, Inc. | 16,156 | 286 | ||||||
Marathon Oil Corp. | 7,121 | 166 | ||||||
Marathon Petroleum Corp. | 3,861 | 309 | ||||||
National Oilwell Varco, Inc. | 3,251 | 140 | ||||||
Newfield Exploration Co.(1) | 1,690 | 49 | ||||||
Noble Energy, Inc. | 4,020 | 125 | ||||||
Occidental Petroleum Corp. | 6,456 | 531 | ||||||
ONEOK, Inc. | 3,484 | 236 | ||||||
Phillips 66 | 3,539 | 399 | ||||||
Pioneer Natural Resources Co. | 1,399 | 244 | ||||||
Range Resources Corp. | 3,969 | 67 | ||||||
Schlumberger Ltd. | 11,779 | 718 | ||||||
TechnipFMC plc | 3,641 | 114 | ||||||
Valero Energy Corp. | 3,634 | 413 | ||||||
Williams Cos., Inc. (The) | 6,974 | 190 | ||||||
|
| |||||||
12,250 | ||||||||
|
| |||||||
Financials—14.4% | ||||||||
Affiliated Managers Group, Inc. | 575 | 79 | ||||||
Aflac, Inc. | 8,260 | 389 | ||||||
Allstate Corp. (The) | 3,764 | 372 | ||||||
American Express Co. | 7,604 | 810 | ||||||
American International Group, Inc. | 9,548 | 508 | ||||||
Ameriprise Financial, Inc. | 1,544 | 228 | ||||||
AON plc | 2,613 | 402 | ||||||
Assurant, Inc. | 566 | 61 | ||||||
Bank of America Corp. | 100,723 | 2,967 | ||||||
Bank of New York Mellon Corp. (The) | 10,643 | 543 | ||||||
BB&T Corp. | 8,343 | 405 | ||||||
Berkshire Hathaway, Inc. Class B(1) | 20,498 | 4,389 | ||||||
BlackRock, Inc. | 1,317 | 621 | ||||||
Brighthouse Financial, Inc.(1) | 1,275 | 56 | ||||||
Capital One Financial Corp. | 5,212 | 495 | ||||||
CBOE Global Markets, Inc. | 1,210 | 116 | ||||||
Charles Schwab Corp. (The) | 12,848 | 632 | ||||||
Chubb Ltd. | 4,969 | 664 | ||||||
Cincinnati Financial Corp. | 1,603 | 123 | ||||||
Citigroup, Inc. | 26,978 | 1,935 | ||||||
Citizens Financial Group, Inc. | 5,256 | 203 | ||||||
CME Group, Inc. | 3,663 | 624 | ||||||
Comerica, Inc. | 1,846 | 167 | ||||||
Discover Financial Services | 3,740 | 286 | ||||||
E*TRADE Financial Corp.(1) | 2,817 | 148 | ||||||
Everest Re Group Ltd. | 441 | 101 | ||||||
Fifth Third Bancorp | 7,287 | 203 | ||||||
Franklin Resources, Inc. | 3,387 | 103 | ||||||
Gallagher (Arthur J.) & Co. | 1,957 | 146 | ||||||
Goldman Sachs Group, Inc. (The) | 3,721 | 834 | ||||||
Hartford Financial Services Group, Inc. (The) | 3,845 | 192 | ||||||
Huntington Bancshares, Inc. | 11,973 | 179 | ||||||
Intercontinental Exchange, Inc. | 6,213 | 465 | ||||||
Invesco Ltd. | 4,345 | 99 |
SHARES | VALUE | |||||||
Financials—continued | ||||||||
Jefferies Financial Group, Inc. | 3,204 | $ | 70 | |||||
JPMorgan Chase & Co. | 36,222 | 4,087 | ||||||
KeyCorp | 11,337 | 226 | ||||||
Lincoln National Corp. | 2,312 | 156 | ||||||
Loews Corp. | 2,802 | 141 | ||||||
M&T Bank Corp. | 1,565 | 258 | ||||||
Marsh & McLennan Cos., Inc. | 5,436 | 450 | ||||||
MetLife, Inc. | 10,773 | 503 | ||||||
Moody’s Corp. | 1,789 | 299 | ||||||
Morgan Stanley | 14,481 | 674 | ||||||
MSCI, Inc. | 959 | 170 | ||||||
Nasdaq, Inc. | 1,255 | 108 | ||||||
Northern Trust Corp. | 2,249 | 230 | ||||||
People’s United Financial, Inc. | 3,756 | 64 | ||||||
PNC Financial Services Group, Inc. (The) | 5,046 | 687 | ||||||
Principal Financial Group, Inc. | 2,840 | 166 | ||||||
Progressive Corp. (The) | 6,265 | 445 | ||||||
Prudential Financial, Inc. | 4,430 | 449 | ||||||
Raymond James Financial, Inc. | 1,389 | 128 | ||||||
Regions Financial Corp. | 12,064 | 221 | ||||||
S&P Global, Inc. | 2,683 | 524 | ||||||
State Street Corp. | 3,868 | 324 | ||||||
SunTrust Banks, Inc. | 4,972 | 332 | ||||||
SVB Financial Group(1) | 572 | 178 | ||||||
Synchrony Financial | 7,570 | 235 | ||||||
T. Rowe Price Group, Inc. | 2,594 | 283 | ||||||
Torchmark Corp. | 1,131 | 98 | ||||||
Travelers Cos., Inc. (The) | 2,890 | 375 | ||||||
U.S. Bancorp | 16,763 | 885 | ||||||
Unum Group | 2,357 | 92 | ||||||
Wells Fargo & Co. | 46,720 | 2,456 | ||||||
Willis Towers Watson plc | 1,407 | 198 | ||||||
Zions Bancorp NA | 2,183 | 109 | ||||||
|
| |||||||
35,166 | ||||||||
|
| |||||||
Health Care—15.2% | ||||||||
Abbott Laboratories | 8,665 | 636 | ||||||
AbbVie, Inc. | 5,004 | 473 | ||||||
Aetna, Inc. | 2,990 | 607 | ||||||
Agilent Technologies, Inc. | 8,306 | 586 | ||||||
Alexion Pharmaceuticals, Inc.(1) | 4,376 | 608 | ||||||
Align Technology, Inc.(1) | 1,804 | 706 | ||||||
Allergan plc | 3,339 | 636 | ||||||
AmerisourceBergen Corp. | 6,139 | 566 | ||||||
Amgen, Inc. | 3,008 | 624 | ||||||
Anthem, Inc. | 2,282 | 625 | ||||||
Baxter International, Inc. | 7,470 | 576 | ||||||
Becton, Dickinson & Co. | 2,359 | 616 | ||||||
Biogen, Inc.(1) | 1,882 | 665 | ||||||
Boston Scientific Corp.(1) | 17,506 | 674 | ||||||
Bristol-Myers Squibb Co. | 10,032 | 623 | ||||||
Cardinal Health, Inc. | 9,780 | 528 | ||||||
Celgene Corp.(1) | 6,605 | 591 | ||||||
Centene Corp.(1) | 4,594 | 665 | ||||||
Cerner Corp.(1) | 8,434 | 543 | ||||||
Cigna Corp. | 2,949 | 614 | ||||||
Cooper Cos., Inc. (The) | 2,296 | 636 | ||||||
CVS Health Corp. | 8,051 | 634 | ||||||
Danaher Corp. | 5,262 | 572 | ||||||
DaVita, Inc.(1) | 7,846 | 562 | ||||||
DENTSPLY SIRONA, Inc. | 11,058 | 417 | ||||||
Edwards Lifesciences Corp.(1) | 3,910 | 681 | ||||||
Eli Lilly & Co. | 6,481 | 696 |
See Notes to Financial Statements
67
Table of Contents
RAMPART SECTOR TREND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Health Care—continued | ||||||||
Envision Healthcare Corp.(1) | 12,479 | $ | 571 | |||||
Express Scripts Holding Co.(1) | 6,906 | 656 | ||||||
Gilead Sciences, Inc. | 7,820 | 604 | ||||||
HCA Healthcare, Inc. | 5,119 | 712 | ||||||
Henry Schein, Inc.(1) | 7,293 | 620 | ||||||
Hologic, Inc.(1) | 13,642 | 559 | ||||||
Humana, Inc. | 1,816 | 615 | ||||||
IDEXX Laboratories, Inc.(1) | 2,705 | 675 | ||||||
Illumina, Inc.(1) | 1,968 | 722 | ||||||
Incyte Corp.(1) | 7,888 | 545 | ||||||
Intuitive Surgical, Inc.(1) | 1,158 | 665 | ||||||
IQVIA Holdings, Inc.(1) | 5,265 | 683 | ||||||
Johnson & Johnson | 4,282 | 592 | ||||||
Laboratory Corp. of America Holdings(1) | 2,999 | 521 | ||||||
McKesson Corp. | 3,519 | 467 | ||||||
Medtronic plc | 6,245 | 614 | ||||||
Merck & Co., Inc. | 8,960 | 636 | ||||||
Mettler-Toledo International, Inc.(1) | 939 | 572 | ||||||
Mylan NV(1) | 13,364 | 489 | ||||||
Nektar Therapeutics(1) | 6,441 | 393 | ||||||
PerkinElmer, Inc. | 7,101 | 691 | ||||||
Perrigo Co., plc | 6,943 | 492 | ||||||
Pfizer, Inc. | 14,918 | 657 | ||||||
Quest Diagnostics, Inc. | 5,207 | 562 | ||||||
Regeneron Pharmaceuticals, Inc.(1) | 1,723 | 696 | ||||||
ResMed, Inc. | 5,214 | 601 | ||||||
Stryker Corp. | 3,086 | 548 | ||||||
Thermo Fisher Scientific, Inc. | 2,500 | 610 | ||||||
UnitedHealth Group, Inc. | 2,174 | 578 | ||||||
Universal Health Services, Inc. Class B | 4,444 | 568 | ||||||
Varian Medical Systems, Inc.(1) | 4,467 | 500 | ||||||
Vertex Pharmaceuticals, Inc.(1) | 3,383 | 652 | ||||||
Waters Corp.(1) | 2,760 | 537 | ||||||
Zimmer Biomet Holdings, Inc. | 4,613 | 606 | ||||||
Zoetis, Inc. | 6,377 | 584 | ||||||
|
| |||||||
37,153 | ||||||||
|
| |||||||
Industrials—5.0% | ||||||||
3M Co. | 809 | 170 | ||||||
A.O. Smith Corp. | 2,831 | 151 | ||||||
Alaska Air Group, Inc. | 2,662 | 183 | ||||||
Allegion plc | 2,053 | 186 | ||||||
American Airlines Group, Inc. | 4,262 | 176 | ||||||
AMETEK, Inc. | 2,183 | 173 | ||||||
Arconic, Inc. | 7,961 | 175 | ||||||
Boeing Co. (The) | 473 | 176 | ||||||
Caterpillar, Inc. | 1,188 | 181 | ||||||
Cintas Corp. | 818 | 162 | ||||||
Copart, Inc.(1) | 2,953 | 152 | ||||||
CSX Corp. | 2,363 | 175 | ||||||
Cummins, Inc. | 1,209 | 177 | ||||||
Deere & Co. | 1,201 | 181 | ||||||
Delta Air Lines, Inc. | 3,087 | 178 | ||||||
Dover Corp. | 2,051 | 182 | ||||||
Eaton Corp. plc | 2,079 | 180 | ||||||
Emerson Electric Co. | 2,353 | 180 | ||||||
Equifax, Inc. | 1,322 | 173 | ||||||
Expeditors International of Washington, Inc. | 2,222 | 163 | ||||||
Fastenal Co. | 2,960 | 172 | ||||||
FedEx Corp. | 691 | 166 | ||||||
Flowserve Corp. | 3,835 | 210 | ||||||
Fluor Corp. | 3,275 | 190 | ||||||
Fortive Corp. | 2,082 | 175 |
SHARES | VALUE | |||||||
Industrials—continued | ||||||||
Fortune Brands Home & Security, Inc. | 2,938 | $ | 154 | |||||
General Dynamics Corp. | 846 | 173 | ||||||
General Electric Co. | 12,621 | 142 | ||||||
Harris Corp. | 1,104 | 187 | ||||||
Honeywell International, Inc. | 1,058 | 176 | ||||||
Hunt (JB) Transport Services, Inc. | 1,409 | 168 | ||||||
Huntington Ingalls Industries, Inc. | 728 | 186 | ||||||
IHS Markit Ltd.(1) | 3,139 | 169 | ||||||
Illinois Tool Works, Inc. | 1,189 | 168 | ||||||
Ingersoll-Rand plc | 1,708 | 175 | ||||||
Jacobs Engineering Group, Inc. | 2,480 | 190 | ||||||
Johnson Controls International plc | 4,558 | 160 | ||||||
Kansas City Southern | 1,434 | 162 | ||||||
L3 Technologies, Inc. | 786 | 167 | ||||||
Lockheed Martin Corp. | 519 | 180 | ||||||
Masco Corp. | 4,207 | 154 | ||||||
Nielsen Holdings plc | 7,211 | 199 | ||||||
Norfolk Southern Corp. | 986 | 178 | ||||||
Northrop Grumman Corp. | 563 | 179 | ||||||
PACCAR, Inc. | 2,554 | 174 | ||||||
Parker-Hannifin Corp. | 1,015 | 187 | ||||||
Pentair plc | 3,829 | 166 | ||||||
Quanta Services, Inc.(1) | 4,990 | 167 | ||||||
Raytheon Co. | 859 | 177 | ||||||
Republic Services, Inc. | 2,320 | 169 | ||||||
Robert Half International, Inc. | 2,209 | 155 | ||||||
Robinson (C.H.) Worldwide, Inc. | 1,835 | 180 | ||||||
Rockwell Automation, Inc. | 909 | 170 | ||||||
Rockwell Collins, Inc. | 1,207 | 170 | ||||||
Roper Technologies, Inc. | 564 | 167 | ||||||
Snap-on, Inc. | 993 | 182 | ||||||
Southwest Airlines Co. | 2,868 | 179 | ||||||
Stanley Black & Decker, Inc. | 1,144 | 168 | ||||||
Stericycle, Inc.(1) | 2,391 | 140 | ||||||
Textron, Inc. | 2,492 | 178 | ||||||
TransDigm Group, Inc.(1) | 453 | 169 | ||||||
Union Pacific Corp. | 1,118 | 182 | ||||||
United Continental Holdings, Inc.(1) | 2,074 | 185 | ||||||
United Parcel Service, Inc. Class B | 1,399 | 163 | ||||||
United Rentals, Inc.(1) | 1,141 | 187 | ||||||
United Technologies Corp. | 1,247 | 174 | ||||||
Verisk Analytics, Inc.(1) | 1,518 | 183 | ||||||
W.W. Grainger, Inc. | 494 | 177 | ||||||
Waste Management, Inc. | 1,868 | 169 | ||||||
Xylem, Inc. | 2,371 | 189 | ||||||
|
| |||||||
12,161 | ||||||||
|
| |||||||
Information Technology—18.6% | ||||||||
Accenture plc Class A | 4,303 | 732 | ||||||
Activision Blizzard, Inc. | 5,293 | 440 | ||||||
Adobe Systems, Inc.(1) | 3,430 | 926 | ||||||
Advanced Micro Devices, Inc.(1) | 5,745 | 178 | ||||||
Akamai Technologies, Inc.(1) | 1,186 | 87 | ||||||
Alliance Data Systems Corp. | 337 | 80 | ||||||
Alphabet, Inc. Class A(1) | 2,081 | 2,512 | ||||||
Alphabet, Inc. Class C(1) | 2,125 | 2,536 | ||||||
Amphenol Corp. Class A | 2,131 | 200 | ||||||
Analog Devices, Inc. | 2,580 | 239 | ||||||
ANSYS, Inc.(1) | 585 | 109 | ||||||
Apple, Inc. | 35,406 | 7,993 | ||||||
Applied Materials, Inc. | 7,331 | 283 | ||||||
Autodesk, Inc.(1) | 1,536 | 240 | ||||||
Automatic Data Processing, Inc. | 3,094 | 466 |
See Notes to Financial Statements
68
Table of Contents
RAMPART SECTOR TREND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Information Technology—continued | ||||||||
Broadcom, Inc. | 2,864 | $ | 707 | |||||
CA, Inc. | 2,181 | 96 | ||||||
Cadence Design Systems, Inc.(1) | 1,973 | 89 | ||||||
Cisco Systems, Inc. | 33,615 | 1,635 | ||||||
Citrix Systems, Inc.(1) | 902 | 100 | ||||||
Cognizant Technology Solutions Corp. Class A | 4,104 | 317 | ||||||
Corning, Inc. | 6,063 | 214 | ||||||
DXC Technology Co. | 1,991 | 186 | ||||||
eBay, Inc.(1) | 6,567 | 217 | ||||||
Electronic Arts, Inc.(1) | 2,141 | 258 | ||||||
F5 Networks, Inc.(1) | 432 | 86 | ||||||
Facebook, Inc. Class A(1) | 16,717 | 2,749 | ||||||
Fidelity National Information Services, Inc. | 2,311 | 252 | ||||||
Fiserv, Inc.(1) | 2,884 | 238 | ||||||
FLIR Systems, Inc. | 969 | 60 | ||||||
Gartner, Inc.(1) | 634 | 101 | ||||||
Global Payments, Inc. | 1,110 | 141 | ||||||
Hewlett Packard Enterprise Co. | 10,933 | 178 | ||||||
HP, Inc. | 11,425 | 294 | ||||||
Intel Corp. | 32,657 | 1,544 | ||||||
International Business Machines Corp. | 5,977 | 904 | ||||||
Intuit, Inc. | 1,697 | 386 | ||||||
IPG Photonics Corp.(1) | 264 | 41 | ||||||
Juniper Networks, Inc. | 2,396 | 72 | ||||||
KLA-Tencor Corp. | 1,093 | 111 | ||||||
Lam Research Corp. | 1,136 | 172 | ||||||
Mastercard, Inc. Class A | 6,442 | 1,434 | ||||||
Microchip Technology, Inc. | 1,635 | 129 | ||||||
Micron Technology, Inc.(1) | 8,069 | 365 | ||||||
Microsoft Corp. | 53,728 | 6,145 | ||||||
Motorola Solutions, Inc. | 1,131 | 147 | ||||||
NetApp, Inc. | 1,871 | 161 | ||||||
NVIDIA Corp. | 4,221 | 1,186 | ||||||
Oracle Corp. | 21,087 | 1,087 | ||||||
Paychex, Inc. | 2,230 | 164 | ||||||
PayPal Holdings, Inc.(1) | 7,873 | 692 | ||||||
Perspecta, Inc. | 996 | 26 | ||||||
Qorvo, Inc.(1) | 883 | 68 | ||||||
QUALCOMM, Inc. | 10,329 | 744 | ||||||
Red Hat, Inc.(1) | 1,235 | 168 | ||||||
salesforce.com, Inc.(1) | 4,788 | 761 | ||||||
Seagate Technology plc | 1,987 | 94 | ||||||
Skyworks Solutions, Inc. | 1,274 | 116 | ||||||
Symantec Corp. | 4,324 | 92 | ||||||
Synopsys, Inc.(1) | 1,037 | 102 | ||||||
Take-Two Interactive Software, Inc.(1) | 799 | 110 | ||||||
TE Connectivity Ltd. | 2,451 | 216 | ||||||
Texas Instruments, Inc. | 6,864 | 736 | ||||||
Total System Services, Inc. | 1,154 | 114 | ||||||
VeriSign, Inc.(1) | 584 | 94 | ||||||
Visa, Inc. Class A | 12,578 | 1,888 | ||||||
Western Digital Corp. | 2,076 | 122 | ||||||
Western Union Co. (The) | 3,203 | 61 | ||||||
Xerox Corp. | 1,491 | 40 | ||||||
Xilinx, Inc. | 1,778 | 143 | ||||||
|
| |||||||
45,374 | ||||||||
|
| |||||||
Materials—4.9% | ||||||||
Air Products & Chemicals, Inc. | 3,007 | 502 | ||||||
Albemarle Corp. | 5,274 | 526 | ||||||
Avery Dennison Corp. | 4,764 | 516 | ||||||
Ball Corp. | 11,981 | 527 | ||||||
CF Industries Holdings, Inc. | 9,729 | 530 |
SHARES | VALUE | |||||||
Materials—continued | ||||||||
DowDuPont, Inc. | 7,142 | $ | 459 | |||||
Eastman Chemical Co. | 5,132 | 491 | ||||||
Ecolab, Inc. | 3,339 | 524 | ||||||
FMC Corp. | 5,894 | 514 | ||||||
Freeport-McMoRan, Inc. | 35,429 | 493 | ||||||
International Flavors & Fragrances, Inc. | 3,860 | 537 | ||||||
International Paper Co. | 9,691 | 476 | ||||||
LyondellBasell Industries N.V. Class A | 4,411 | 452 | ||||||
Martin Marietta Materials, Inc. | 2,459 | 447 | ||||||
Mosaic Co. (The) | 16,001 | 520 | ||||||
Newmont Mining Corp. | 16,145 | 488 | ||||||
Nucor Corp. | 7,984 | 507 | ||||||
Packaging Corp. of America | 4,501 | 494 | ||||||
PPG Industries, Inc. | 4,530 | 494 | ||||||
Praxair, Inc. | 3,175 | 510 | ||||||
Sealed Air Corp. | 12,445 | 500 | ||||||
Sherwin-Williams Co. (The) | 1,099 | 500 | ||||||
Vulcan Materials Co. | 4,470 | 497 | ||||||
WestRock Co. | 9,028 | 483 | ||||||
|
| |||||||
11,987 | ||||||||
|
| |||||||
Real Estate—4.9% | ||||||||
Alexandria Real Estate Equities, Inc. | 2,795 | 352 | ||||||
American Tower Corp. | 2,554 | 371 | ||||||
Apartment Investment & Management Co. Class A | 8,544 | 377 | ||||||
AvalonBay Communities, Inc. | 2,108 | 382 | ||||||
Boston Properties, Inc. | 2,880 | 355 | ||||||
Brookfield Property Partners LP | 6,286 | 131 | ||||||
CBRE Group, Inc. Class A(1) | 7,436 | 328 | ||||||
Crown Castle International Corp. | 3,442 | 383 | ||||||
Digital Realty Trust, Inc. | 3,261 | 367 | ||||||
Duke Realty Corp. | 12,327 | 350 | ||||||
Equinix, Inc. | 895 | 387 | ||||||
Equity Residential | 5,498 | 364 | ||||||
Essex Property Trust, Inc. | 1,461 | 361 | ||||||
Extra Space Storage, Inc. | 3,601 | 312 | ||||||
Federal Realty Investment Trust | 2,948 | 373 | ||||||
HCP, Inc. | 14,590 | 384 | ||||||
Host Hotels & Resorts, Inc. | 15,959 | 337 | ||||||
Iron Mountain, Inc. | 10,284 | 355 | ||||||
Kimco Realty Corp. | 22,066 | 369 | ||||||
Macerich Co. (The) | 6,234 | 345 | ||||||
Mid-America Apartment Communities, Inc. | 3,704 | 371 | ||||||
Prologis, Inc. | 5,308 | 360 | ||||||
Public Storage | 1,648 | 332 | ||||||
Realty Income Corp. | 6,652 | 378 | ||||||
Regency Centers Corp. | 5,999 | 388 | ||||||
SBA Communications, Corp.(1) | 2,235 | 359 | ||||||
Simon Property Group, Inc. | 2,151 | 380 | ||||||
SL Green Realty Corp. | 3,579 | 349 | ||||||
UDR, Inc. | 9,498 | 384 | ||||||
Ventas, Inc. | 6,461 | 351 | ||||||
Vornado Realty Trust | 4,937 | 360 | ||||||
Welltower, Inc. | 6,126 | 394 | ||||||
Weyerhaeuser Co. | 9,262 | 299 | ||||||
|
| |||||||
11,688 | ||||||||
|
| |||||||
Telecommunication Services—1.3% | ||||||||
AT&T, Inc. | 49,239 | 1,654 | ||||||
CenturyLink, Inc. | 5,574 | 118 | ||||||
Verizon Communications, Inc. | 23,655 | 1,263 | ||||||
|
| |||||||
3,035 | ||||||||
|
|
See Notes to Financial Statements
69
Table of Contents
RAMPART SECTOR TREND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Utilities—4.9% | ||||||||
AES Corp. | 11,433 | $ | 160 | |||||
Alliant Energy Corp. | 4,053 | 173 | ||||||
Ameren Corp. | 4,256 | 269 | ||||||
American Electric Power Co., Inc. | 8,664 | 614 | ||||||
American Water Works Co., Inc. | 3,106 | 273 | ||||||
CenterPoint Energy, Inc. | 7,493 | 207 | ||||||
CMS Energy Corp. | 4,929 | 242 | ||||||
Consolidated Edison, Inc. | 5,430 | 414 | ||||||
Dominion Energy, Inc. | 11,388 | 800 | ||||||
DTE Energy Co. | 3,162 | 345 | ||||||
Duke Energy Corp. | 12,225 | 978 | ||||||
Edison International | 5,684 | 385 | ||||||
Entergy Corp. | 3,190 | 259 | ||||||
Evergy, Inc. | 4,727 | 260 | ||||||
Eversource Energy | 5,538 | 340 | ||||||
Exelon Corp. | 16,841 | 735 | ||||||
FirstEnergy Corp. | 7,865 | 292 | ||||||
NextEra Energy, Inc. | 7,266 | 1,218 | ||||||
NiSource, Inc. | 5,893 | 147 | ||||||
NRG Energy, Inc. | 5,256 | 197 | ||||||
PG&E Corp. | 9,068 | 417 | ||||||
Pinnacle West Capital Corp. | 1,961 | 155 | ||||||
PPL Corp. | 12,138 | 355 | ||||||
Public Service Enterprise Group, Inc. | 8,752 | 462 | ||||||
SCANA Corp. | 2,486 | 97 | ||||||
Sempra Energy | 4,584 | 521 | ||||||
Southern Co. (The) | 17,616 | 768 | ||||||
WEC Energy Group, Inc. | 5,509 | 368 | ||||||
Xcel Energy, Inc. | 8,896 | 420 | ||||||
|
| |||||||
11,871 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $201,617) | 241,730 | |||||||
TOTAL LONG-TERM INVESTMENTS—99.2% | ||||||||
(Identified Cost $201,617) | 241,730 | |||||||
TOTAL INVESTMENTS—99.2% (Identified Cost $201,617) | 241,730 | |||||||
Other assets and liabilities, net—0.8% | 2,037 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 243,767 | ||||||
|
|
Footnote Legend:
(1) | Non-income producing. |
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 241,730 | $ | 241,730 | ||||
|
|
|
| |||||
Total Investments | $ | 241,730 | $ | 241,730 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
See Notes to Financial Statements
70
Table of Contents
VONTOBEL GLOBAL OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—98.1% | ||||||||
Consumer Discretionary—19.6% | ||||||||
Amazon.com, Inc. (United States)(1) | 3,673 | $ | 7,357 | |||||
Booking Holdings, Inc. (Netherlands)(1) | 2,158 | 4,281 | ||||||
Industria de Diseno Textil SA (Spain) | 132,997 | 4,032 | ||||||
NIKE, Inc. Class B (United States) | 53,551 | 4,537 | ||||||
O’Reilly Automotive, Inc. (United States)(1) | 6,777 | 2,354 | ||||||
Paddy Power Betfair plc (Ireland) | 54,203 | 4,626 | ||||||
Royal Caribbean Cruises Ltd. (United States) | 19,143 | 2,487 | ||||||
Starbucks Corp. (United States) | 61,577 | 3,500 | ||||||
TJX Cos., Inc. (The) (United States) | 42,931 | 4,809 | ||||||
Walt Disney Co. (The) (United States) | 40,453 | 4,731 | ||||||
|
| |||||||
42,714 | ||||||||
|
| |||||||
Consumer Staples—20.5% | ||||||||
Alimentation Couche-Tard, Inc. Class B (Canada) | 149,325 | 7,470 | ||||||
Ambev S.A. ADR (Brazil) | 511,179 | 2,336 | ||||||
Amorepacific Corp. (South Korea) | 9,940 | 2,339 | ||||||
Anheuser-Busch InBev NV (Belgium) | 43,961 | 3,839 | ||||||
British American Tobacco plc (United Kingdom)(2) | 43,560 | 2,035 | ||||||
LG Household & Health Care Ltd. (South Korea) | 2,572 | 2,959 | ||||||
Nestle S.A. Registered Shares (Switzerland) | 47,430 | 3,954 | ||||||
PepsiCo, Inc. (United States) | 46,333 | 5,180 | ||||||
Reckitt Benckiser Group plc (United Kingdom) | 77,074 | 7,048 | ||||||
Unilever N.V. CVA (Netherlands) | 134,431 | 7,486 | ||||||
|
| |||||||
44,646 | ||||||||
|
| |||||||
Financials—15.9% | ||||||||
Berkshire Hathaway, Inc. Class B (United States)(1) | 30,514 | 6,533 | ||||||
CME Group, Inc. (United States) | 36,938 | 6,287 | ||||||
HDFC Bank Ltd. (India) | 293,900 | 8,133 | ||||||
Housing Development Finance Corp., Ltd. (India) | 230,028 | 5,568 | ||||||
M&T Bank Corp. (United States) | 12,546 | 2,064 | ||||||
PNC Financial Services Group, Inc. (The) (United States) | 15,296 | 2,083 | ||||||
Wells Fargo & Co. (United States) | 75,638 | 3,976 | ||||||
|
| |||||||
34,644 | ||||||||
|
| |||||||
Health Care—12.6% | ||||||||
Abbott Laboratories (United States) | 35,221 | 2,584 | ||||||
Becton, Dickinson & Co. (United States) | 18,339 | 4,787 | ||||||
Fresenius SE & Co KGaA (Germany) | 36,655 | 2,691 | ||||||
Johnson & Johnson (United States) | 21,930 | 3,030 | ||||||
Medtronic plc (United States) | 63,152 | 6,212 | ||||||
UnitedHealth Group, Inc. (United States) | 30,328 | 8,069 | ||||||
|
| |||||||
27,373 | ||||||||
|
| |||||||
Industrials—5.3% | ||||||||
Canadian National Railway Co. (Canada) | 33,867 | 3,039 | ||||||
RELX plc (United Kingdom) | 167,335 | 3,515 | ||||||
Safran SA (France) | 35,213 | 4,935 | ||||||
|
| |||||||
11,489 | ||||||||
|
| |||||||
Information Technology—21.5% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 28,423 | 4,683 | ||||||
Alphabet, Inc. Class C (United States)(1) | 5,957 | 7,109 | ||||||
Facebook, Inc. Class A (United States)(1) | 20,027 | 3,294 | ||||||
Mastercard, Inc. Class A (United States) | 35,998 | 8,014 | ||||||
SAP SE (Germany) | 50,469 | 6,211 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 130,375 | 5,757 | ||||||
Tencent Holdings Ltd. (China) | 91,145 | 3,763 |
SHARES | VALUE | |||||||
Information Technology—continued | ||||||||
Visa, Inc. Class A (United States) | 53,029 | $ | 7,959 | |||||
|
| |||||||
46,790 | ||||||||
|
| |||||||
Materials—1.2% | ||||||||
Martin Marietta Materials, Inc. (United States) | 13,520 | 2,460 | ||||||
|
| |||||||
Real Estate—1.5% | ||||||||
American Tower Corp. (United States) | 22,574 | 3,280 | ||||||
TOTAL COMMON STOCKS (Identified Cost $146,285) |
| 213,396 | ||||||
TOTAL LONG-TERM INVESTMENTS—98.1% |
| |||||||
(Identified Cost $146,285) |
| 213,396 | ||||||
TOTAL INVESTMENTS—98.1% (Identified Cost $146,285) |
| 213,396 | ||||||
Other assets and liabilities, net—1.9% |
| 4,203 | ||||||
|
| |||||||
NET ASSETS—100.0% |
| $ | 217,599 | |||||
|
|
Abbreviation:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Non-income producing. |
(2) | Shares traded on Johannesburg Exchange. |
Country Weightings (Unaudited)† | ||||
United States | 53 | % | ||
India | 6 | |||
United Kingdom | 6 | |||
Netherlands | 6 | |||
Canada | 5 | |||
Germany | 4 | |||
China | 4 | |||
Other | 16 | |||
Total | 100 | % | ||
† % of total investments as of September 30, 2018. |
|
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 213,396 | $ | 213,396 | ||||
|
|
|
| |||||
Total Investments | $ | 213,396 | $ | 213,396 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
For information regarding the abbreviation, see the Key Investment Terms starting on page 5.
See Notes to Financial Statements
71
Table of Contents
VONTOBEL GREATER EUROPEAN OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
PREFERRED STOCK—2.5% | ||||||||
Health Care—2.5% | ||||||||
Grifols SA Class B, 1.780% (Spain) | 8,999 | $ | 191 | |||||
TOTAL PREFERRED STOCK (Identified Cost $146) | 191 | |||||||
COMMON STOCKS—94.4% | ||||||||
Consumer Discretionary—11.4% | ||||||||
adidas AG (Germany) | 419 | 103 | ||||||
Booking Holdings, Inc. (Netherlands)(1) | 132 | 262 | ||||||
Brunello Cucinelli S.p.A (Italy) | 372 | 14 | ||||||
Domino’s Pizza Group plc (United Kingdom) | 38,703 | 141 | ||||||
Hermes International (France) | 29 | 19 | ||||||
Industria de Diseno Textil SA (Spain) | 2,813 | 85 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 279 | 99 | ||||||
Paddy Power Betfair plc (Ireland) | 1,883 | 161 | ||||||
|
| |||||||
884 | ||||||||
|
| |||||||
Consumer Staples—25.4% | ||||||||
Anheuser-Busch InBev NV (Belgium) | 2,138 | 187 | ||||||
British American Tobacco plc (United Kingdom)(3) | 3,756 | 175 | ||||||
Diageo plc (United Kingdom) | 2,759 | 98 | ||||||
Heineken NV (Netherlands) | 1,525 | 143 | ||||||
L’Oreal SA (France) | 320 | 77 | ||||||
Nestle S.A. Registered Shares (Switzerland) | 3,841 | 320 | ||||||
Pernod Ricard SA (France) | 473 | 78 | ||||||
Philip Morris International, Inc. (Switzerland) | 2,428 | 198 | ||||||
Reckitt Benckiser Group plc (United Kingdom) | 3,541 | 324 | ||||||
Unilever NV CVA (Netherlands) | 6,579 | 366 | ||||||
|
| |||||||
1,966 | ||||||||
|
| |||||||
Financials—10.1% | ||||||||
ABN AMRO Group NV CVA (Netherlands)(2) | 3,043 | 83 | ||||||
AIB Group plc (Ireland) | 17,496 | 90 | ||||||
Bankinter SA (Spain) | 8,469 | 78 | ||||||
Groupe Bruxelles Lambert SA (Belgium) | 770 | 81 | ||||||
KBC Group NV (Belgium) | 982 | 73 | ||||||
London Stock Exchange Group plc (United Kingdom) | 2,243 | 134 | ||||||
Pargesa Holding SA (Switzerland) | 552 | 44 | ||||||
Svenska Handelsbanken AB Class A (Sweden) | 4,354 | 55 | ||||||
Swedbank AB Class A (Sweden) | 1,690 | 42 | ||||||
UBS Group AG Registered Shares (Switzerland) | 6,527 | 103 | ||||||
|
| |||||||
783 | ||||||||
|
| |||||||
Health Care—10.4% | ||||||||
Coloplast A/S Class B (Denmark) | 746 | 76 | ||||||
Essilor International Cie Generale d’Optique SA (France) | 1,069 | 158 | ||||||
Eurofins Scientific SE (France) | 193 | 109 | ||||||
Fresenius Medical Care AG & Co. KGaA (Germany) | 1,581 | 163 | ||||||
Fresenius SE & Co. KGaA (Germany) | 1,442 | 106 | ||||||
Medtronic plc (United States) | 1,911 | 188 | ||||||
|
| |||||||
800 | ||||||||
|
| |||||||
Industrials—20.0% | ||||||||
Aena SME SA (Spain)(2) | 1,115 | 194 | ||||||
Bunzl plc (United Kingdom) | 3,705 | 117 | ||||||
DCC plc (Ireland) | 1,513 | 137 | ||||||
DKSH Holding AG (Switzerland) | 1,082 | 74 | ||||||
Kingspan Group plc (Ireland) | 2,112 | 98 | ||||||
RELX plc (United Kingdom) | 11,632 | 244 |
SHARES | VALUE | |||||||
Industrials—continued | ||||||||
Rentokil Initial plc (United Kingdom) | 29,960 | $ | 124 | |||||
Safran SA (France) | 1,263 | 177 | ||||||
Teleperformance (France) | 1,007 | 190 | ||||||
Vinci SA (France) | 1,991 | 190 | ||||||
|
| |||||||
1,545 | ||||||||
|
| |||||||
Information Technology—10.6% | ||||||||
Accenture plc Class A (United States) | 1,673 | 285 | ||||||
Amadeus IT Group SA (Spain) | 2,132 | 198 | ||||||
SAP SE (Germany) | 2,759 | 339 | ||||||
|
| |||||||
822 | ||||||||
|
| |||||||
Materials—5.6% | ||||||||
Air Liquide SA (France) | 1,506 | 198 | ||||||
HeidelbergCement AG (Germany) | 1,568 | 123 | ||||||
Sika AG (Switzerland) | 792 | 115 | ||||||
|
| |||||||
436 | ||||||||
|
| |||||||
Real Estate—0.9% | ||||||||
Unibail-Rodamco-Westfield (Netherlands) | 327 | 66 | ||||||
TOTAL COMMON STOCKS (Identified Cost $5,118) | 7,302 | |||||||
TOTAL LONG-TERM INVESTMENTS—96.9% | ||||||||
(Identified Cost $5,264) | 7,493 | |||||||
TOTAL INVESTMENTS—96.9% (Identified Cost $5,264) | 7,493 | |||||||
Other assets and liabilities, net—3.1% | 243 | |||||||
|
| |||||||
NET ASSETS—100.0% | $ | 7,736 | ||||||
|
|
Footnote Legend:
(1) | Non-income producing. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to a value of $277 or 3.6% of net assets. |
(3) | Shares traded on Johannesburg Exchange. |
Country Weightings (Unaudited)† | ||||
United Kingdom | 18 | % | ||
France | 17 | |||
Netherlands | 12 | |||
Switzerland | 11 | |||
Germany | 11 | |||
Spain | 10 | |||
Ireland | 6 | |||
Other | 15 | |||
Total | 100 | % | ||
† % of total investments as of September 30, 2018. |
|
See Notes to Financial Statements
72
Table of Contents
VONTOBEL GREATER EUROPEAN OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Preferred Stock | $ | 191 | $ | 191 | ||||
Common Stocks | 7,302 | 7,302 | ||||||
|
|
|
| |||||
Total Investments | $ | 7,493 | $ | 7,493 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
See Notes to Financial Statements
73
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2018
($ reported in thousands except shares and per share amounts)
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | ||||||||||
Assets | ||||||||||||
Investment in securities at value(1) | $ | 91,310 | $ | 175,997 | $ | 42,355 | ||||||
Foreign currency at value(2) | — | 40 | 22 | |||||||||
Cash | 1,177 | 4,921 | 615 | |||||||||
Receivables | ||||||||||||
Investment securities sold | — | 1,475 | — | |||||||||
Fund shares sold | 53 | 352 | 11 | |||||||||
Dividends and interest | 121 | 543 | 116 | |||||||||
Tax reclaims | 31 | 59 | 17 | |||||||||
Prepaid expenses | 24 | 28 | 31 | |||||||||
Prepaid trustee retainer | 2 | 3 | 1 | |||||||||
Other assets | 5 | 10 | 3 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 92,723 | 183,428 | 43,171 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payables | ||||||||||||
Fund shares repurchased | 96 | 135 | 3 | |||||||||
Investment securities purchased | — | 1,712 | — | |||||||||
Investment advisory fees | 50 | 113 | 27 | |||||||||
Distribution and service fees | 22 | 12 | 1 | |||||||||
Administration and accounting fees | 8 | 15 | 4 | |||||||||
Transfer agent and sub-transfer agent fees and expenses | 21 | 79 | 10 | |||||||||
Professional fees | 25 | 27 | 23 | |||||||||
Trustee deferred compensation plan | 5 | 10 | 3 | |||||||||
Other accrued expenses | 9 | 16 | 18 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 236 | 2,119 | 89 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 92,487 | $ | 181,309 | $ | 43,082 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 79,792 | $ | 155,260 | $ | 40,866 | ||||||
Accumulated undistributed net investment income (loss) | (6 | ) | 3,839 | 733 | ||||||||
Accumulated undistributed net realized gain (loss) | 2,730 | (646 | ) | (3,365 | ) | |||||||
Net unrealized appreciation (depreciation) on investments | 9,971 | 22,856 | 4,848 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 92,487 | $ | 181,309 | $ | 43,082 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 32,466 | $ | 19,470 | $ | 2,145 | ||||||
Class C | $ | 17,972 | $ | 9,580 | $ | 945 | ||||||
Class I | $ | 30,488 | $ | 145,648 | $ | 39,992 | ||||||
Class R6 | $ | 11,561 | $ | 6,611 | $ | — | ||||||
Shares Outstanding (unlimited number of shares authorized, no par value): | ||||||||||||
Class A | 2,247,350 | 642,614 | 289,327 | |||||||||
Class C | 1,248,632 | 324,750 | 128,026 | |||||||||
Class I | 2,109,455 | 4,802,149 | 5,404,683 | |||||||||
Class R6 | 800,114 | 217,646 | — | |||||||||
Net Asset Value and Redemption Price Per Share: | ||||||||||||
Class A | $ | 14.45 | $ | 30.30 | $ | 7.41 | ||||||
Class C | $ | 14.39 | $ | 29.50 | $ | 7.38 | ||||||
Class I | $ | 14.45 | $ | 30.33 | $ | 7.40 | ||||||
Class R6 | $ | 14.45 | $ | 30.37 | $ | — | ||||||
Class A Offering price per share (NAV/(1-5.75%)): | $ | 15.33 | $ | 32.15 | $ | 7.86 | ||||||
(1) Investment in securities at cost | $ | 81,338 | $ | 153,138 | $ | 37,506 | ||||||
(2) Foreign currency at cost | $ | — | $ | 40 | $ | 22 |
See Notes to Financial Statements
74
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
SEPTEMBER 30, 2018
($ reported in thousands except shares and per share amounts)
Herzfeld Fund | Horizon Wealth Masters Fund | KAR Emerging Markets Small-Cap Fund | ||||||||||
Assets | ||||||||||||
Investment in securities at value(1)(2) | $ | 63,856 | $ | 72,983 | $ | 33,666 | ||||||
Foreign currency at value(3) | — | — | 66 | |||||||||
Cash | 1,932 | 144 | 188 | |||||||||
Receivables | ||||||||||||
Investment securities sold | — | 4,296 | 466 | |||||||||
Fund shares sold | 34 | 15 | 253 | |||||||||
Dividends and interest | 80 | 63 | 34 | |||||||||
Tax reclaims | — | 1 | 1 | |||||||||
Securities lending receivable | 2 | 11 | — | |||||||||
Prepaid expenses | 31 | 31 | 13 | |||||||||
Prepaid trustee retainer | 1 | 1 | 1 | |||||||||
Other assets | 4 | 4 | 2 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 65,940 | 77,549 | 34,690 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payables | ||||||||||||
Fund shares repurchased | 1,841 | 23 | 8 | |||||||||
Investment securities purchased | — | 4,220 | 969 | |||||||||
Collateral on securities loaned | 1,681 | 4,722 | — | |||||||||
Investment advisory fees | 59 | 40 | 23 | |||||||||
Distribution and service fees | 17 | 21 | 1 | |||||||||
Administration and accounting fees | 6 | 6 | 3 | |||||||||
Transfer agent and sub-transfer agent fees and expenses | 11 | 16 | 5 | |||||||||
Professional fees | 17 | 22 | 28 | |||||||||
Trustee deferred compensation plan | 4 | 4 | 2 | |||||||||
Other accrued expenses | 5 | 5 | 5 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 3,641 | 9,079 | 1,044 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 62,299 | $ | 68,470 | $ | 33,646 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 54,097 | $ | 48,254 | $ | 32,825 | ||||||
Accumulated undistributed net investment income (loss) | 79 | (5 | ) | 192 | ||||||||
Accumulated undistributed net realized gain (loss) | 4,127 | 106 | (244 | ) | ||||||||
Net unrealized appreciation (depreciation) on investments | 3,996 | 20,115 | 873 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 62,299 | $ | 68,470 | $ | 33,646 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 6,198 | $ | 18,883 | $ | 4,658 | ||||||
Class C | $ | 19,231 | $ | 20,484 | $ | 358 | ||||||
Class I | $ | 36,870 | $ | 29,103 | $ | 28,630 | ||||||
Shares Outstanding (unlimited number of shares authorized, no par value): | ||||||||||||
Class A | 490,198 | 1,004,182 | 399,409 | |||||||||
Class C | 1,527,802 | 1,124,890 | 30,758 | |||||||||
Class I | 2,913,404 | 1,539,174 | 2,446,683 | |||||||||
Net Asset Value and Redemption Price Per Share: | ||||||||||||
Class A | $ | 12.64 | $ | 18.80 | $ | 11.66 | ||||||
Class C | $ | 12.59 | $ | 18.21 | $ | 11.65 | ||||||
Class I | $ | 12.66 | $ | 18.91 | $ | 11.70 | ||||||
Class A Offering price per share (NAV/(1-5.75%)): | $ | 13.41 | $ | 19.95 | $ | 12.37 | ||||||
(1) Investment in securities at cost | $ | 59,860 | $ | 52,868 | $ | 32,793 | ||||||
(2) Market value of securities on loan | $ | 1,639 | $ | 3,827 | $ | — | ||||||
(3) Foreign currency at cost | $ | — | $ | — | $ | 69 |
See Notes to Financial Statements
75
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
SEPTEMBER 30, 2018
($ reported in thousands except shares and per share amounts)
KAR International Small-Cap Fund | Rampart Alternatives Diversifier Fund | Rampart Equity Trend Fund | ||||||||||
Assets | ||||||||||||
Investment in unaffiliated securities at value(1) | $ | 912,198 | $ | 19,306 | $ | 435,615 | ||||||
Investments in affiliated funds at value(2) | — | 19,831 | — | |||||||||
Foreign currency at value(3) | 794 | — | — | |||||||||
Cash | 21,195 | 930 | 478 | |||||||||
Receivables | ||||||||||||
Investment securities sold | 5,373 | — | 4,989 | |||||||||
Fund shares sold | 6,818 | 535 | 35 | |||||||||
Dividends and interest | 583 | 50 | 350 | |||||||||
Tax reclaims | 107 | — | — | |||||||||
Prepaid expenses | 95 | 33 | 37 | |||||||||
Prepaid trustee retainer | 15 | 1 | 8 | |||||||||
Other assets | 51 | 2 | 26 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 947,229 | 40,688 | 441,538 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payables | ||||||||||||
Fund shares repurchased | 393 | 107 | 644 | |||||||||
Investment securities purchased | 16,107 | 14 | — | |||||||||
Investment advisory fees | 724 | — | 368 | |||||||||
Distribution and service fees | 39 | 10 | 205 | |||||||||
Administration and accounting fees | 78 | 3 | 38 | |||||||||
Transfer agent and sub-transfer agent fees and expenses | 147 | 11 | 142 | |||||||||
Professional fees | 29 | 17 | 22 | |||||||||
Trustee deferred compensation plan | 51 | 2 | 26 | |||||||||
Other accrued expenses | 64 | 3 | 32 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 17,632 | 167 | 1,477 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 929,597 | $ | 40,521 | $ | 440,061 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 898,143 | $ | 59,495 | $ | 813,226 | ||||||
Accumulated undistributed net investment income (loss) | 4,388 | 290 | (814 | ) | ||||||||
Accumulated undistributed net realized gain (loss) | 5,629 | (28,744 | ) | (481,688 | ) | |||||||
Net unrealized appreciation (depreciation) on investments | 21,437 | 9,480 | 109,337 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 929,597 | $ | 40,521 | $ | 440,061 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 47,909 | $ | 10,348 | $ | 109,943 | ||||||
Class C | $ | 35,966 | $ | 9,948 | $ | 218,543 | ||||||
Class I | $ | 773,571 | $ | 20,225 | $ | 110,950 | ||||||
Class R6 | $ | 72,151 | $ | — | $ | 625 | ||||||
Shares Outstanding (unlimited number of shares authorized, no par value): | ||||||||||||
Class A | 2,792,780 | 890,080 | 6,961,461 | |||||||||
Class C | 2,129,334 | 865,093 | 14,452,513 | |||||||||
Class I | 44,862,250 | 1,740,861 | 6,948,056 | |||||||||
Class R6 | 4,181,283 | — | 38,925 | |||||||||
Net Asset Value and Redemption Price Per Share: | ||||||||||||
Class A | $ | 17.15 | $ | 11.63 | $ | 15.79 | ||||||
Class C | $ | 16.89 | $ | 11.50 | $ | 15.12 | ||||||
Class I | $ | 17.24 | $ | 11.62 | $ | 15.97 | ||||||
Class R6 | $ | 17.26 | $ | — | $ | 16.05 | ||||||
Class A Offering price per share (NAV/(1-5.75%)): | $ | 18.20 | $ | 12.34 | $ | 16.75 | ||||||
(1) Investment in unaffiliated securities at cost | $ | 890,808 | $ | 15,819 | $ | 326,278 | ||||||
(2) Investments in affiliated funds at cost | $ | — | $ | 13,838 | $ | — | ||||||
(3) Foreign currency at cost | $ | 794 | $ | — | $ | — |
See Notes to Financial Statements
76
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
SEPTEMBER 30, 2018
($ reported in thousands except shares and per share amounts)
Rampart Multi-Asset Trend Fund | Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | ||||||||||
Assets | ||||||||||||
Investment in securities at value(1) | $ | 69,652 | $ | 241,730 | $ | 213,396 | ||||||
Foreign currency at value(2) | — | — | 82 | |||||||||
Cash | 2,217 | 2,128 | 2,742 | |||||||||
Receivables | ||||||||||||
Investment securities sold | — | — | 1,188 | |||||||||
Fund shares sold | 2 | 25 | 233 | |||||||||
Dividends and interest | 58 | 201 | 82 | |||||||||
Tax reclaims | — | — | 219 | |||||||||
Prepaid expenses | 17 | 29 | 34 | |||||||||
Prepaid trustee retainer | 1 | 5 | 4 | |||||||||
Other assets | 4 | 14 | 13 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 71,951 | 244,132 | 217,993 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payables | ||||||||||||
Fund shares repurchased | 81 | 54 | 59 | |||||||||
Investment securities purchased | 2,059 | — | — | |||||||||
Foreign capital gain taxes payable | — | — | 12 | |||||||||
Investment advisory fees | 58 | 91 | 153 | |||||||||
Distribution and service fees | 36 | 93 | 48 | |||||||||
Administration and accounting fees | 6 | 21 | 19 | |||||||||
Transfer agent and sub-transfer agent fees and expenses | 21 | 53 | 53 | |||||||||
Professional fees | 20 | 23 | 25 | |||||||||
Trustee deferred compensation plan | 4 | 14 | 13 | |||||||||
Other accrued expenses | 6 | 16 | 12 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 2,291 | 365 | 394 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 69,660 | $ | 243,767 | $ | 217,599 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in on shares of beneficial interest | $ | 87,041 | $ | 229,084 | $ | 130,732 | ||||||
Accumulated undistributed net investment income (loss) | 79 | 575 | 178 | |||||||||
Accumulated undistributed net realized gain (loss) | (23,736 | ) | (26,005 | ) | 19,591 | |||||||
Net unrealized appreciation (depreciation) on investments | 6,276 | 40,113 | 67,098 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 69,660 | $ | 243,767 | $ | 217,599 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 14,744 | $ | 95,318 | $ | 104,081 | ||||||
Class C | $ | 39,671 | $ | 88,354 | $ | 32,003 | ||||||
Class I | $ | 15,245 | $ | 60,095 | $ | 81,090 | ||||||
Class R6 | $ | — | $ | — | $ | 425 | ||||||
Shares Outstanding (unlimited number of shares authorized, no par value): | ||||||||||||
Class A | 1,312,188 | 6,935,699 | 6,115,527 | |||||||||
Class C | 3,659,080 | 6,561,305 | 2,205,108 | |||||||||
Class I | 1,345,952 | 4,377,140 | 4,763,957 | |||||||||
Class R6 | — | — | 24,972 | |||||||||
Net Asset Value and Redemption Price Per Share: | ||||||||||||
Class A | $ | 11.24 | $ | 13.74 | $ | 17.02 | ||||||
Class C | $ | 10.84 | $ | 13.47 | $ | 14.51 | ||||||
Class I | $ | 11.33 | $ | 13.73 | $ | 17.02 | ||||||
Class R6 | $ | — | $ | — | $ | 17.03 | ||||||
Class A Offering price per share (NAV/(1-5.75%)): | $ | 11.93 | $ | 14.58 | $ | 18.06 | ||||||
(1) Investment in securities at cost | $ | 63,376 | $ | 201,617 | $ | 146,285 | ||||||
(2) Foreign currency at cost | $ | — | $ | — | $ | 82 |
See Notes to Financial Statements
77
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
SEPTEMBER 30, 2018
($ reported in thousands except shares and per share amounts)
Vontobel Greater European Opportunities Fund | ||||
Assets | ||||
Investment in securities at value(1) | $ | 7,493 | ||
Foreign currency at value(2) | 3 | |||
Cash | 113 | |||
Receivables | ||||
Investment securities sold | 103 | |||
Fund shares sold | — | (3) | ||
Dividends and interest | 6 | |||
Tax reclaims | 74 | |||
Prepaid expenses | 16 | |||
Prepaid trustee retainer | — | (3) | ||
Other assets | — | (3) | ||
|
| |||
Total assets | 7,808 | |||
|
| |||
Liabilities | ||||
Payables | ||||
Fund shares repurchased | 34 | |||
Investment advisory fees | 3 | |||
Distribution and service fees | 2 | |||
Administration and accounting fees | 1 | |||
Transfer agent and sub-transfer agent fees and expenses | 3 | |||
Professional fees | 23 | |||
Trustee deferred compensation plan | — | (3) | ||
Other accrued expenses | 6 | |||
|
| |||
Total liabilities | 72 | |||
|
| |||
Net Assets | $ | 7,736 | ||
|
| |||
Net Assets Consist of: | ||||
Capital paid in on shares of beneficial interest | $ | 3,928 | ||
Accumulated undistributed net investment income (loss) | 47 | |||
Accumulated undistributed net realized gain (loss) | 1,533 | |||
Net unrealized appreciation (depreciation) on investments | 2,228 | |||
|
| |||
Net Assets | $ | 7,736 | ||
|
| |||
Net Assets: | ||||
Class A | $ | 3,283 | ||
Class C | $ | 1,827 | ||
Class I | $ | 2,626 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | ||||
Class A | 210,122 | |||
Class C | 120,077 | |||
Class I | 167,862 | |||
Net Asset Value and Redemption Price Per Share: | ||||
Class A | $ | 15.62 | ||
Class C | $ | 15.22 | ||
Class I | $ | 15.65 | ||
Class A Offering price per share (NAV/(1-5.75%)): | $ | 16.57 | ||
(1) Investment in securities at cost | $ | 5,264 | ||
(2) Foreign currency at cost | $ | 3 | ||
(3) Amount is less than $500. |
See Notes to Financial Statements
78
Table of Contents
VIRTUS OPPORTUNITIES TRUST
YEAR ENDED SEPTEMBER 30, 2018
($ reported in thousands)
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | ||||||||||
Investment Income |
| |||||||||||
Dividends | $ | 3,609 | $ | 7,509 | $ | 1,818 | ||||||
Interest | — | (1) | — | (1) | — | (1) | ||||||
Security lending, net of fees | — | — | — | (1) | ||||||||
Foreign taxes withheld | (248 | ) | (301 | ) | (117 | ) | ||||||
|
|
|
|
|
| |||||||
Total investment income | 3,361 | 7,208 | 1,701 | |||||||||
|
|
|
|
|
| |||||||
Expenses |
| |||||||||||
Investment advisory fees | 691 | 1,580 | 337 | |||||||||
Distribution and service fees, Class A | 88 | 53 | 6 | |||||||||
Distribution and service fees, Class C | 216 | 102 | 10 | |||||||||
Administration and accounting fees | 113 | 197 | 36 | |||||||||
Transfer agent fees and expenses | 52 | 85 | 15 | |||||||||
Sub-transfer agent fees and expenses, Class A | 27 | 247 | 2 | |||||||||
Sub-transfer agent fees and expenses, Class C | 18 | 12 | 1 | |||||||||
Sub-transfer agent fees and expenses, Class I | 38 | 147 | 28 | |||||||||
Registration fees | 60 | 72 | 46 | |||||||||
Printing fees and expenses | 13 | 22 | 6 | |||||||||
Custodian fees | 5 | 9 | 13 | |||||||||
Professional fees | 28 | 31 | 26 | |||||||||
Trustees’ fees and expenses | 8 | 14 | 2 | |||||||||
Interest expense | — | 1 | — | |||||||||
Miscellaneous expenses | 10 | 13 | 4 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,367 | 2,585 | 532 | |||||||||
Less expenses reimbursed and/or waived by investment adviser | — | (302 | ) | (96 | ) | |||||||
Low balance account fees | — | (1) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 1,367 | 2,283 | 436 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 1,994 | 4,925 | 1,265 | |||||||||
|
|
|
| �� |
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments: |
| |||||||||||
Net realized gain (loss) from: |
| |||||||||||
Unaffiliated investments | 3,827 | 3,488 | 2,012 | |||||||||
Foreign Currency Transactions | 7 | (18 | ) | (5 | ) | |||||||
Net change in unrealized appreciation (depreciation) on: |
| |||||||||||
Unaffiliated investments | (6,963 | ) | 4,688 | (1,192 | ) | |||||||
Foreign Currency Transactions | (1 | ) | (3 | ) | (1 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | (3,130 | ) | 8,155 | 814 | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | (1,136 | ) | $ | 13,080 | $ | 2,079 | |||||
|
|
|
|
|
|
(1) Amount is less than $500.
See Notes to Financial Statements
79
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF OPERATIONS (Continued)
YEAR ENDED SEPTEMBER 30, 2018
($ reported in thousands)
Herzfeld Fund | Horizon Wealth Masters Fund | KAR Emerging Markets Small-Cap Fund | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 2,406 | $ | 881 | $ | 606 | ||||||
Interest | — | (1) | — | — | (1) | |||||||
Security lending, net of fees | 2 | 11 | — | |||||||||
Foreign taxes withheld | — | (2 | ) | (78 | ) | |||||||
|
|
|
|
|
| |||||||
Total investment income | 2,408 | 890 | 528 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fees | 655 | 603 | 230 | |||||||||
Distribution and service fees, Class A | 20 | 50 | 5 | |||||||||
Distribution and service fees, Class C | 192 | 212 | 4 | |||||||||
Administration and accounting fees | 70 | 76 | 21 | |||||||||
Transfer agent fees and expenses | 30 | 34 | 10 | |||||||||
Sub-transfer agent fees and expenses, Class A | 6 | 16 | 2 | |||||||||
Sub-transfer agent fees and expenses, Class C | 16 | 18 | — | (1) | ||||||||
Sub-transfer agent fees and expenses, Class I | 20 | 25 | 12 | |||||||||
Registration fees | 45 | 45 | 47 | |||||||||
Printing fees and expenses | 8 | 12 | 3 | |||||||||
Custodian fees | 2 | 5 | 10 | |||||||||
Professional fees | 17 | 24 | 32 | |||||||||
Trustees’ fees and expenses | 5 | 5 | 1 | |||||||||
Miscellaneous expenses | 6 | 7 | 3 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,092 | 1,132 | 380 | |||||||||
Less expenses reimbursed and/or waived by investment adviser | — | (123 | ) | (65 | ) | |||||||
Less low balance account fees | — | — | (1) | — | ||||||||
Plus expenses recaptured | 4 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net expenses | 1,096 | 1,009 | 315 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 1,312 | (119 | ) | 213 | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Unaffiliated investments | 3,641 | 5,266 | 219 | |||||||||
Foreign Currency Transactions | — | — | (7 | ) | ||||||||
Capital gain distributions from underlying funds | 1,541 | — | — | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Unaffiliated investments | (2,017 | ) | 2,266 | (90 | ) | |||||||
Foreign Currency Transactions | — | — | — | (1) | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | 3,165 | 7,532 | 122 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 4,477 | $ | 7,413 | $ | 335 | ||||||
|
|
|
|
|
|
(1) Amount is less than $500.
See Notes to Financial Statements
80
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF OPERATIONS (Continued)
YEAR ENDED SEPTEMBER 30, 2018
($ reported in thousands)
KAR International Small-Cap Fund | Rampart Alternatives Diversifier Fund | Rampart Equity Trend Fund | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 14,149 | $ | 221 | $ | 8,011 | ||||||
Dividends from affiliated funds | — | 538 | — | |||||||||
Interest | — | (1) | — | — | (1) | |||||||
Foreign taxes withheld | (1,224 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 12,925 | 759 | 8,011 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fees | 5,146 | — | 4,890 | |||||||||
Distribution and service fees, Class A | 87 | 28 | 313 | |||||||||
Distribution and service fees, Class C | 257 | 118 | 2,397 | |||||||||
Administration and accounting fees | 542 | 45 | 516 | |||||||||
Transfer agent fees and expenses | 227 | 21 | 264 | |||||||||
Sub-transfer agent fees and expenses, Class A | 38 | 12 | 109 | |||||||||
Sub-transfer agent fees and expenses, Class C | 18 | 12 | 193 | |||||||||
Sub-transfer agent fees and expenses, Class I | 350 | 19 | 112 | |||||||||
Registration fees | 87 | 47 | 65 | |||||||||
Printing fees and expenses | 62 | 8 | 60 | |||||||||
Custodian fees | 34 | 1 | 9 | |||||||||
Professional fees | 37 | 17 | 54 | |||||||||
Trustees’ fees and expenses | 29 | 3 | 38 | |||||||||
Miscellaneous expenses | 22 | 3 | 27 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 6,936 | 334 | 9,047 | |||||||||
Plus expenses recaptured | 253 | — | — | |||||||||
Low balance account fees | — | — | (1) | — | (1) | |||||||
|
|
|
|
|
| |||||||
Net expenses | 7,189 | 334 | 9,047 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 5,736 | 425 | (1,036 | ) | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Unaffiliated investments | 6,732 | 494 | 62,877 | |||||||||
Affiliated funds | — | 875 | — | |||||||||
Foreign Currency Transactions | (509 | ) | — | — | ||||||||
Capital gain distributions from underlying funds | — | 484 | — | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Affiliated Investments | — | (994 | ) | — | ||||||||
Unaffiliated investments | (4,001 | ) | 1,223 | 12,227 | ||||||||
Foreign Currency Transactions | 52 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | 2,274 | 2,082 | 75,104 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 8,010 | $ | 2,507 | $ | 74,068 | ||||||
|
|
|
|
|
|
(1) Amount is less than $500.
See Notes to Financial Statements
81
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF OPERATIONS (Continued)
YEAR ENDED SEPTEMBER 30, 2018
($ reported in thousands)
Rampart Multi-Asset Trend Fund | Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 1,827 | $ | 4,472 | $ | 3,799 | ||||||
Interest | — | (1) | — | (1) | — | (1) | ||||||
Foreign taxes withheld | — | — | (207 | ) | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 1,827 | 4,472 | 3,592 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Investment advisory fees | 799 | 1,163 | 1,971 | |||||||||
Distribution and service fees, Class A | 40 | 243 | 274 | |||||||||
Distribution and service fees, Class C | 465 | 967 | 328 | |||||||||
Administration and accounting fees | 85 | 273 | 245 | |||||||||
Transfer agent fees and expenses | 45 | 140 | 140 | |||||||||
Sub-transfer agent fees and expenses, Class A | 13 | 47 | 57 | |||||||||
Sub-transfer agent fees and expenses, Class C | 35 | 67 | 25 | |||||||||
Sub-transfer agent fees and expenses, Class I | 18 | 44 | 65 | |||||||||
Registration fees | 47 | 49 | 72 | |||||||||
Printing fees and expenses | 12 | 35 | 27 | |||||||||
Custodian fees | 2 | 6 | 11 | |||||||||
Professional fees | 27 | 40 | 35 | |||||||||
Trustees’ fees and expenses | 6 | 20 | 17 | |||||||||
Miscellaneous expenses | 6 | 16 | 17 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,600 | 3,110 | 3,284 | |||||||||
Low balance account fees | — | (1) | (1 | ) | (3 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 1,600 | 3,109 | 3,281 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 227 | 1,363 | 311 | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Unaffiliated investments | 4,913 | 37,146 | 20,893 | |||||||||
Foreign Currency Transactions | — | — | (49 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Unaffiliated investments | (2,296 | ) | (5,473 | ) | 2,622 | |||||||
Foreign Currency Transactions | — | — | (6 | ) | ||||||||
Foreign taxes on unrealized capital gains | — | — | (12 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | 2,617 | 31,673 | 23,448 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 2,844 | $ | 33,036 | $ | 23,759 | ||||||
|
|
|
|
|
|
(1) Amount is less than $500.
See Notes to Financial Statements
82
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF OPERATIONS (Continued)
YEAR ENDED SEPTEMBER 30, 2018
($ reported in thousands)
Vontobel Greater European Opportunities Fund | ||||
Investment Income | ||||
Dividends | $ | 245 | ||
Interest | — | (1) | ||
Foreign taxes withheld | (25 | ) | ||
|
| |||
Total investment income | 220 | |||
|
| |||
Expenses | ||||
Investment advisory fees | 89 | |||
Distribution and service fees, Class A | 10 | |||
Distribution and service fees, Class C | 21 | |||
Administration and accounting fees | 12 | |||
Transfer agent fees and expenses | 6 | |||
Sub-transfer agent fees and expenses, Class A | 5 | |||
Sub-transfer agent fees and expenses, Class C | 2 | |||
Sub-transfer agent fees and expenses, Class I | 4 | |||
Registration fees | 45 | |||
Printing fees and expenses | 3 | |||
Custodian fees | 5 | |||
Professional fees | 25 | |||
Trustees’ fees and expenses | 1 | |||
Miscellaneous expenses | 4 | |||
|
| |||
Total expenses | 232 | |||
Less expenses reimbursed and/or waived by investment adviser | (75 | ) | ||
|
| |||
Net expenses | 157 | |||
|
| |||
Net investment income (loss) | 63 | |||
|
| |||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||
Net realized gain (loss) from: | ||||
Unaffiliated investments | 2,206 | |||
Foreign Currency Transactions | (1 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Unaffiliated investments | (2,204 | ) | ||
Foreign Currency Transactions | (2 | ) | ||
|
| |||
Net realized and unrealized gain (loss) on investments | (1 | ) | ||
|
| |||
Net increase (decrease) in net assets resulting from operations | $ | 62 | ||
|
|
(1) Amount is less than $500.
See Notes to Financial Statements
83
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
($ reported in thousands)
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | |||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||||||||||
Net investment income (loss) | $ | 1,994 | $ | 2,240 | $ | 4,925 | $ | 3,322 | ||||||||
Net realized gain (loss) | 3,834 | 391 | 3,470 | 406 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (6,964 | ) | 8,609 | 4,685 | (126 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from operations | (1,136 | ) | 11,240 | 13,080 | 3,602 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (697 | ) | (788 | ) | (323 | ) | (1,218 | ) | ||||||||
Class C | (254 | ) | (315 | ) | (154 | ) | (207 | ) | ||||||||
Class I | (904 | ) | (1,075 | ) | (3,038 | ) | (4,025 | ) | ||||||||
Class R6 | (173 | ) | — | (157 | ) | (3 | ) | |||||||||
Net Realized Gains: | ||||||||||||||||
Class A | (375 | ) | (1,310 | ) | (43 | ) | (139 | ) | ||||||||
Class C | (236 | ) | (742 | ) | (20 | ) | (32 | ) | ||||||||
Class I | (544 | ) | (1,001 | ) | (284 | ) | (311 | ) | ||||||||
Class R6 | (1 | ) | — | (14 | ) | — | (1) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders | (3,184 | ) | (5,231 | ) | (4,033 | ) | (5,935 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Net Assets From Capital Transactions (See Note 6) | ||||||||||||||||
Class A | (3,553 | ) | (15,417 | ) | (5,316 | ) | (40,947 | ) | ||||||||
Class C | (6,325 | ) | (5,698 | ) | (1,680 | ) | (2,559 | ) | ||||||||
Class I | (24,109 | ) | 12,192 | (16,015 | ) | 39,016 | ||||||||||
Class R6 | 11,888 | — | (1,619 | ) | 7,640 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets from capital transactions | (22,099 | ) | (8,923 | ) | (24,630 | ) | 3,150 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (26,419 | ) | (2,914 | ) | (15,583 | ) | 817 | |||||||||
Net Assets | ||||||||||||||||
Beginning of period | 118,906 | 121,820 | 196,892 | 196,075 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 92,487 | $ | 118,906 | $ | 181,309 | $ | 196,892 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | (6 | ) | $ | 3 | $ | 3,839 | $ | (612 | ) |
(1) Amount is less than $500.
See Notes to Financial Statements
84
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
Duff & Phelps International Real Estate Securities Fund | Herzfeld Fund | |||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||||||||||
Net investment income (loss) | $ | 1,265 | $ | 629 | $ | 1,312 | $ | 1,338 | ||||||||
Net realized gain (loss) | 2,007 | 2,477 | 5,182 | 1,587 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (1,193 | ) | (3,092 | ) | (2,017 | ) | 5,377 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from operations | 2,079 | 14 | 4,477 | 8,302 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (41 | ) | (519 | ) | (181 | ) | (280 | ) | ||||||||
Class C | (9 | ) | (96 | ) | (310 | ) | (448 | ) | ||||||||
Class I | (500 | ) | (1,479 | ) | (1,011 | ) | (1,121 | ) | ||||||||
Net Realized Gains: | ||||||||||||||||
Class A | — | — | (55 | ) | — | |||||||||||
Class C | — | — | (101 | ) | — | |||||||||||
Class I | — | — | (200 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders | (550 | ) | (2,094 | ) | (1,858 | ) | (1,849 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Net Assets From Capital Transactions (See Note 6) | ||||||||||||||||
Class A | (528 | ) | (5,430 | ) | (2,309 | ) | (3,880 | ) | ||||||||
Class C | (90 | ) | (893 | ) | (679 | ) | 1,632 | |||||||||
Class I | 17,135 | (1,595 | ) | (1,270 | ) | 12,594 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets from capital transactions | 16,517 | (7,918 | ) | (4,258 | ) | 10,346 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 18,046 | (9,998 | ) | (1,639 | ) | 16,799 | ||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 25,036 | 35,034 | 63,938 | 47,139 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 43,082 | $ | 25,036 | $ | 62,299 | $ | 63,938 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | 733 | $ | (1,353 | ) | $ | 79 | $ | 8 |
See Notes to Financial Statements
85
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
Horizon Wealth Masters Fund | KAR Emerging Markets Small-Cap Fund | |||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||||||||||
Net investment income (loss) | $ | (119 | ) | $ | 94 | $ | 213 | $ | 110 | |||||||
Net realized gain (loss) | 5,266 | 5,270 | 212 | 143 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 2,266 | 6,681 | (90 | ) | 908 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from operations | 7,413 | 12,045 | 335 | 1,161 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | — | (191 | ) | (7 | ) | (10 | ) | |||||||||
Class C | — | — | — | (2 | ) | |||||||||||
Class I | — | (192 | ) | (102 | ) | (93 | ) | |||||||||
Net Realized Gains: | ||||||||||||||||
Class A | (170 | ) | (23 | ) | — | — | ||||||||||
Class C | (182 | ) | — | — | — | |||||||||||
Class I | (247 | ) | (23 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders | (599 | ) | (429 | ) | (109 | ) | (105 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Net Assets From Capital Transactions (See Note 6) | ||||||||||||||||
Class A | (3,701 | ) | (16,754 | ) | 2,998 | 1,173 | ||||||||||
Class C | (2,929 | ) | (6,811 | ) | 24 | 167 | ||||||||||
Class I | (4,312 | ) | 6,393 | 19,761 | 3,322 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets from capital transactions | (10,942 | ) | (17,172 | ) | 22,783 | 4,662 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (4,128 | ) | (5,556 | ) | 23,009 | 5,718 | ||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 72,598 | 78,154 | 10,637 | 4,919 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 68,470 | $ | 72,598 | $ | 33,646 | $ | 10,637 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | (5 | ) | $ | (3 | ) | $ | 192 | $ | 95 |
See Notes to Financial Statements
86
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
KAR International Small-Cap Fund | Rampart Alternatives Diversifier Fund | |||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||||||||||
Net investment income (loss) | $ | 5,736 | $ | 1,642 | $ | 425 | $ | 732 | ||||||||
Net realized gain (loss) | 6,223 | 4,518 | 1,853 | 1,690 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (3,949 | ) | 24,065 | 229 | (1,023 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from operations | 8,010 | 30,225 | 2,507 | 1,399 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (117 | ) | (76 | ) | (109 | ) | (265 | ) | ||||||||
Class C | (42 | ) | (29 | ) | (71 | ) | (59 | ) | ||||||||
Class I | (1,302 | ) | (1,315 | ) | (214 | ) | (486 | ) | ||||||||
Class R6 | (337 | ) | (107 | ) | — | — | ||||||||||
Net Realized Gains: | ||||||||||||||||
Class A | (219 | ) | — | — | — | |||||||||||
Class C | (166 | ) | — | — | — | |||||||||||
Class I | (2,057 | ) | — | — | | — | | |||||||||
Class R6 | (502 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders | (4,742 | ) | (1,527 | ) | (394 | ) | (810 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Net Assets From Capital Transactions (See Note 6) | ||||||||||||||||
Class A | 29,130 | 14,841 | (1,342 | ) | (8,106 | ) | ||||||||||
Class C | 22,067 | 10,909 | (3,979 | ) | (6,514 | ) | ||||||||||
Class I | 597,500 | 114,178 | (653 | ) | (146 | ) | ||||||||||
Class R6 | 32,554 | 32,466 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets from capital transactions | 681,251 | 172,394 | (5,974 | ) | (14,766 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 684,519 | 201,092 | (3,861 | ) | (14,177 | ) | ||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 245,078 | 43,986 | 44,382 | 58,559 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 929,597 | $ | 245,078 | $ | 40,521 | $ | 44,382 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | 4,388 | $ | 959 | $ | 290 | $ | 190 |
See Notes to Financial Statements
87
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
Rampart Equity Trend Fund | Rampart Multi-Asset Trend Fund | |||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||||||||||
Net investment income (loss) | $ | (1,036 | ) | $ | (253 | ) | $ | 227 | $ | 137 | ||||||
Net realized gain (loss) | 62,877 | 54,229 | 4,913 | 6,518 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 12,227 | 10,493 | (2,296 | ) | (2,842 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from operations | 74,068 | 64,469 | 2,844 | 3,813 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Net Assets From Capital Transactions (See Note 6) | ||||||||||||||||
Class A | (43,609 | ) | (128,152 | ) | (4,030 | ) | (12,574 | ) | ||||||||
Class C | (73,514 | ) | (195,885 | ) | (12,942 | ) | (31,888 | ) | ||||||||
Class I | (56,832 | ) | (152,621 | ) | (2,920 | ) | (11,925 | ) | ||||||||
Class R6 | 353 | — | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets from capital transactions | (173,602 | ) | (476,658 | ) | (19,892 | ) | (56,387 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (99,534 | ) | (412,189 | ) | (17,048 | ) | (52,574 | ) | ||||||||
Net Assets | ||||||||||||||||
Beginning of period | 539,595 | 951,784 | 86,708 | 139,282 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 440,061 | $ | 539,595 | $ | 69,660 | $ | 86,708 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | (814 | ) | $ | (676 | ) | $ | 79 | $ | (151 | ) |
See Notes to Financial Statements
88
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | |||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||||||||||
Net investment income (loss) | $ | 1,363 | $ | 2,444 | $ | 311 | $ | 211 | ||||||||
Net realized gain (loss) | 37,146 | 1,328 | 20,844 | 11,765 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (5,473 | ) | 22,855 | 2,604 | 22,951 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from operations | 33,036 | 26,627 | 23,759 | 34,927 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (902 | ) | (1,573 | ) | (7 | ) | (350 | ) | ||||||||
Class C | (24 | ) | (716 | ) | — | — | ||||||||||
Class I | (790 | ) | (1,366 | ) | (256 | ) | (243 | ) | ||||||||
Net Realized Gains: | ||||||||||||||||
Class A | — | — | (6,240 | ) | (583 | ) | ||||||||||
Class B | — | — | — | (1 | ) | |||||||||||
Class C | — | — | (2,000 | ) | (147 | ) | ||||||||||
Class I | — | — | (4,454 | ) | (265 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders | (1,716 | ) | (3,655 | ) | (12,957 | ) | (1,589 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Net Assets From Capital Transactions (See Note 6) | ||||||||||||||||
Class A | (15,737 | ) | (40,023 | ) | (14,507 | ) | (11,025 | ) | ||||||||
Class B | — | — | — | (266 | ) | |||||||||||
Class C | (29,070 | ) | (70,833 | ) | 923 | 2,706 | ||||||||||
Class I | (19,857 | ) | (36,564 | ) | 536 | 17,234 | ||||||||||
Class R6 | — | — | 407 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets from capital transactions | (64,664 | ) | (147,420 | ) | (12,641 | ) | 8,649 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (33,344 | ) | (124,448 | ) | (1,839 | ) | 41,987 | |||||||||
Net Assets | ||||||||||||||||
Beginning of period | 277,111 | 401,559 | 219,438 | 177,451 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 243,767 | $ | 277,111 | $ | 217,599 | $ | 219,438 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed net investment income (loss) at end of period | $ | 575 | $ | 933 | $ | 178 | $ | 172 |
See Notes to Financial Statements
89
Table of Contents
VIRTUS OPPORTUNITIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
($ reported in thousands)
Vontobel Greater European Opportunities Fund | ||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||
Net investment income (loss) | $ | 63 | $ | 136 | ||||
Net realized gain (loss) | 2,205 | 1,426 | ||||||
Net change in unrealized appreciation (depreciation) | (2,206 | ) | 493 | |||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from operations | 62 | 2,055 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Net Investment income | ||||||||
Class A | (58 | ) | (110 | ) | ||||
Class C | (17 | ) | (28 | ) | ||||
Class I | (84 | ) | (196 | ) | ||||
Net Realized Gains: | ||||||||
Class A | (421 | ) | — | |||||
Class C | (220 | ) | — | |||||
Class I | (503 | ) | — | |||||
|
|
|
| |||||
Dividends and distributions to shareholders | (1,303 | ) | (334 | ) | ||||
|
|
|
| |||||
Change in Net Assets From Capital Transactions (See Note 6) | ||||||||
Class A | (449 | ) | (7,127 | ) | ||||
Class C | (114 | ) | (284 | ) | ||||
Class I | (6,714 | ) | (605 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets from capital transactions | (7,277 | ) | (8,016 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | (8,518 | ) | (6,295 | ) | ||||
Net Assets | ||||||||
Beginning of period | 16,254 | 22,549 | ||||||
|
|
|
| |||||
End of period | $ | 7,736 | $ | 16,254 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income (loss) at end of period | $ | 47 | $ | 86 |
See Notes to Financial Statements
90
Table of Contents
VIRTUS OPPORTUNITIES TRUST
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets (before waivers, reimbursements and recaptures (where applicable))(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Duff & Phelps Global | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Infrastructure Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 15.00 | 0.28 | (0.39 | ) | (0.11 | ) | (0.29 | ) | (0.15 | ) | (0.44 | ) | (0.55 | ) | $ | 14.45 | (0.75 | )% | $ | 32,466 | 1.25 | % | 1.25 | % | 1.91 | % | 36 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 14.22 | 0.29 | 1.15 | 1.44 | (0.28 | ) | (0.38 | ) | (0.66 | ) | 0.78 | 15.00 | 10.70 | (13) | 37,401 | 1.29 | (13) | 1.30 | 2.04 | (13) | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 13.62 | 0.29 | 1.54 | 1.83 | (0.33 | ) | (0.90 | ) | (1.23 | ) | 0.60 | 14.22 | 14.79 | 51,148 | 1.34 | (12) | 1.34 | 2.16 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 15.38 | 0.36 | (1.60 | ) | (1.24 | ) | (0.39 | ) | (0.13 | ) | (0.52 | ) | (1.76 | ) | 13.62 | (8.27 | ) | 60,744 | 1.22 | 1.22 | 2.38 | 27 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 13.94 | 0.71 | 1.40 | 2.11 | (0.67 | ) | — | (0.67 | ) | 1.44 | 15.38 | 15.21 | 60,673 | 1.29 | 1.29 | 4.69 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 14.94 | 0.17 | (0.39 | ) | (0.22 | ) | (0.18 | ) | (0.15 | ) | (0.33 | ) | (0.55 | ) | $ | 14.39 | (1.54 | )% | $ | 17,972 | 2.00 | % | 2.00 | % | 1.16 | % | 36 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 14.17 | 0.18 | 1.14 | 1.32 | (0.17 | ) | (0.38 | ) | (0.55 | ) | 0.77 | 14.94 | 9.84 | (13) | 25,144 | 2.04 | (13) | 2.05 | 1.30 | (13) | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 13.57 | 0.19 | 1.53 | 1.72 | (0.22 | ) | (0.90 | ) | (1.12 | ) | 0.60 | 14.17 | 13.94 | 29,616 | 2.08 | (12) | 2.08 | 1.42 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 15.33 | 0.25 | (1.59 | ) | (1.34 | ) | (0.29 | ) | (0.13 | ) | (0.42 | ) | (1.76 | ) | 13.57 | (8.94 | ) | 41,039 | 1.97 | 1.97 | 1.66 | 27 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 13.90 | 0.58 | 1.41 | 1.99 | (0.56 | ) | — | (0.56 | ) | 1.43 | 15.33 | 14.37 | 26,322 | 2.04 | 2.04 | 3.82 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 15.00 | 0.31 | (0.38 | ) | (0.07 | ) | (0.33 | ) | (0.15 | ) | (0.48 | ) | (0.55 | ) | $ | 14.45 | (0.52 | )% | $ | 30,488 | 1.01 | % | 1.01 | % | 2.12 | % | 36 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 14.23 | 0.33 | 1.14 | 1.47 | (0.32 | ) | (0.38 | ) | (0.70 | ) | 0.77 | 15.00 | 10.92 | (13) | 56,361 | 1.04 | (13) | 1.04 | 2.29 | (13) | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 13.63 | 0.32 | 1.54 | 1.86 | (0.36 | ) | (0.90 | ) | (1.26 | ) | 0.60 | 14.23 | 15.07 | 41,056 | 1.08 | (12) | 1.08 | 2.37 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 15.38 | 0.39 | (1.58 | ) | (1.19 | ) | (0.43 | ) | (0.13 | ) | (0.56 | ) | (1.75 | ) | 13.63 | (7.98 | ) | 50,522 | 0.97 | 0.97 | 2.61 | 27 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 13.94 | 0.74 | 1.41 | 2.15 | (0.71 | ) | — | (0.71 | ) | 1.44 | 15.38 | 15.49 | 55,557 | 1.04 | 1.04 | 4.87 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/30/18(6) to 9/30/18 | $ | 15.06 | 0.23 | (0.60 | ) | (0.37 | ) | (0.24 | ) | — | (0.24 | ) | (0.61 | ) | $ | 14.45 | (2.44 | )% | $ | 11,561 | 0.93 | % | 0.93 | % | 2.41 | % | 36 | %(14) | |||||||||||||||||||||||||||||||||||||||||||||||||
Duff & Phelps Global Real | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Estate Securities Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 28.64 | 0.74 | 1.38 | 2.12 | (0.40 | ) | (0.06 | ) | (0.46 | ) | 1.66 | $ | 30.30 | 7.48 | % | $ | 19,470 | 1.40 | % | 2.51 | % | 2.53 | % | 41 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 28.97 | 0.39 | 0.07 | 0.46 | (0.72 | ) | (0.07 | ) | (0.79 | ) | (0.33 | ) | 28.64 | 1.82 | 23,626 | 1.40 | 1.68 | 1.41 | 36 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 26.19 | 0.40 | 3.12 | 3.52 | (0.33 | ) | (0.41 | ) | (0.74 | ) | 2.78 | 28.97 | 13.75 | 68,087 | 1.41 | (12) | 1.54 | 1.45 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 25.18 | 0.66 | 1.08 | 1.74 | (0.64 | ) | (0.09 | ) | (0.73 | ) | 1.01 | 26.19 | 6.83 | 36,315 | 1.40 | 1.50 | 2.45 | 27 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 23.14 | 0.38 | 2.19 | 2.57 | (0.36 | ) | (0.17 | ) | (0.53 | ) | 2.04 | 25.18 | 11.36 | 21,502 | 1.40 | 1.57 | 1.52 | 29 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 28.12 | 0.50 | 1.36 | 1.86 | (0.42 | ) | (0.06 | ) | (0.48 | ) | 1.38 | $ | 29.50 | 6.68 | % | $ | 9,580 | 2.15 | % | 2.21 | % | 1.73 | % | 41 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 28.41 | 0.23 | 0.02 | 0.25 | (0.47 | ) | (0.07 | ) | (0.54 | ) | (0.29 | ) | 28.12 | 1.06 | 10,771 | 2.15 | 2.31 | 0.86 | 36 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 25.71 | 0.20 | 3.06 | 3.26 | (0.15 | ) | (0.41 | ) | (0.56 | ) | 2.70 | 28.41 | 12.89 | 13,560 | 2.16 | (12) | 2.29 | 0.73 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 24.77 | 0.45 | 1.07 | 1.52 | (0.49 | ) | (0.09 | ) | (0.58 | ) | 0.94 | 25.71 | 6.07 | 8,421 | 2.15 | 2.26 | 1.68 | 27 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 22.78 | 0.22 | 2.13 | 2.35 | (0.19 | ) | (0.17 | ) | (0.36 | ) | 1.99 | 24.77 | 10.51 | 5,850 | 2.15 | 2.32 | 0.92 | 29 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
91
Table of Contents
VIRTUS OPPORTUNITIES TRUST
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets (before waivers, reimbursements and recaptures (where applicable))(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 28.77 | 0.80 | — | 1.39 | 2.19 | (0.57 | ) | (0.06 | ) | (0.63 | ) | 1.56 | $ | 30.33 | 7.70 | % | $ | 145,648 | 1.15 | % | 1.19 | % | 2.72 | % | 41 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 29.19 | 0.54 | — | (0.02 | ) | 0.52 | (0.87 | ) | (0.07 | ) | (0.94 | ) | (0.42 | ) | 28.77 | 2.02 | 154,704 | 1.15 | 1.31 | 1.93 | 36 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 26.37 | 0.51 | — | 3.11 | 3.62 | (0.39 | ) | (0.41 | ) | (0.80 | ) | 2.82 | 29.19 | 14.06 | 114,428 | 1.16 | (12) | 1.29 | 1.79 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 25.33 | 0.73 | — | 1.10 | 1.83 | (0.70 | ) | (0.09 | ) | (0.79 | ) | 1.04 | 26.37 | 7.11 | 32,659 | 1.15 | 1.25 | 2.69 | 27 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 23.28 | 0.41 | — | 2.22 | 2.63 | (0.41 | ) | (0.17 | ) | (0.58 | ) | 2.05 | 25.33 | 11.60 | 26,985 | 1.15 | 1.32 | 1.65 | 29 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 28.79 | 0.86 | — | 1.38 | 2.24 | (0.60 | ) | (0.06 | ) | (0.66 | ) | 1.58 | $ | 30.37 | 7.90 | % | $ | 6,611 | 1.00 | %(7) | 1.09 | % | 2.92 | % | 41 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
11/3/16(6) to 9/30/17 | 26.78 | 0.50 | 2.47 | 2.97 | (0.89 | ) | (0.07 | ) | (0.96 | ) | 2.01 | 28.79 | 11.39 | 7,791 | 1.04 | 1.12 | 1.92 | 36 | (14) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Duff & Phelps International | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Securities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 6.93 | 0.30 | — | 0.30 | 0.60 | (0.12 | ) | �� | — | (0.12 | ) | 0.48 | $ | 7.41 | 8.72 | % | $ | 2,145 | 1.50 | % | 1.85 | % | 4.07 | % | 38 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 7.25 | 0.13 | — | (0.01 | ) | 0.12 | (0.44 | ) | — | (0.44 | ) | (0.32 | ) | 6.93 | 2.53 | 2,506 | 1.50 | 1.99 | 1.94 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 6.63 | 0.11 | — | 0.58 | 0.69 | (0.07 | ) | — | (0.07 | ) | 0.62 | 7.25 | 10.47 | 8,680 | 1.51 | (12) | 1.91 | 1.60 | 26 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 7.03 | 0.28 | — | (0.21 | ) | 0.07 | (0.47 | ) | — | (0.47 | ) | (0.40 | ) | 6.63 | 0.94 | 12,415 | 1.50 | 1.78 | 4.09 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 6.61 | 0.16 | — | 0.39 | 0.55 | (0.13 | ) | — | (0.13 | ) | 0.42 | 7.03 | 8.61 | 11,257 | 1.50 | 1.73 | 2.38 | 32 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 6.89 | 0.25 | — | 0.30 | 0.55 | (0.06 | ) | — | (0.06 | ) | 0.49 | $ | 7.38 | 7.97 | % | $ | 945 | 2.25 | % | 2.59 | % | 3.35 | % | 38 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 7.21 | 0.09 | — | (0.02 | ) | 0.07 | (0.39 | ) | — | (0.39 | ) | (0.32 | ) | 6.89 | 1.72 | 957 | 2.25 | 2.73 | 1.32 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 6.59 | 0.07 | — | 0.57 | 0.64 | (0.02 | ) | — | (0.02 | ) | 0.62 | 7.21 | 9.69 | 2,006 | 2.26 | (12) | 2.68 | 0.97 | 26 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 6.97 | 0.23 | — | (0.20 | ) | 0.03 | (0.41 | ) | — | (0.41 | ) | (0.38 | ) | 6.59 | 0.29 | 2,226 | 2.25 | 2.52 | 3.36 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 6.56 | 0.12 | — | 0.38 | 0.50 | (0.09 | ) | — | (0.09 | ) | 0.41 | 6.97 | 7.75 | 2,553 | 2.25 | 2.48 | 1.68 | 32 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 6.94 | 0.28 | — | 0.34 | 0.62 | (0.16 | ) | — | (0.16 | ) | 0.46 | $ | 7.40 | 9.03 | % | $ | 39,992 | 1.25 | % | 1.53 | % | 3.74 | % | 38 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 7.26 | 0.16 | — | (0.03 | ) | 0.13 | (0.45 | ) | — | (0.45 | ) | (0.32 | ) | 6.94 | 2.79 | 21,573 | 1.25 | 1.72 | 2.45 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 6.64 | 0.14 | — | 0.56 | 0.70 | (0.08 | ) | — | (0.08 | ) | 0.62 | 7.26 | 10.72 | 24,348 | 1.26 | (12) | 1.68 | 1.98 | 26 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 7.03 | 0.30 | — | (0.20 | ) | 0.10 | (0.49 | ) | — | (0.49 | ) | (0.39 | ) | 6.64 | 1.31 | 24,999 | 1.25 | 1.52 | 4.36 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 6.61 | 0.18 | — | 0.39 | 0.57 | (0.15 | ) | �� | — | (0.15 | ) | 0.42 | 7.03 | 8.87 | 28,738 | 1.25 | 1.48 | 2.64 | 32 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Herzfeld Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 12.15 | 0.26 | 0.31 | 0.28 | 0.85 | (0.29 | ) | (0.07 | ) | (0.36 | ) | 0.49 | $ | 12.64 | 7.06 | % | $ | 6,198 | 1.60 | % | 1.62 | % | 2.11 | % | 69 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.92 | 0.27 | 0.22 | 1.10 | 1.59 | (0.36 | ) | — | (0.36 | ) | 1.23 | 12.15 | 14.78 | 8,146 | 1.59 | 1.67 | 2.39 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.91 | 0.34 | — | 1.20 | 1.54 | (0.43 | ) | (0.10 | ) | (0.53 | ) | 1.01 | 10.92 | 16.04 | 11,060 | 1.61 | (12) | 1.74 | 3.33 | 53 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 11.37 | 0.35 | — | (1.12 | ) | (0.77 | ) | (0.37 | ) | (0.32 | ) | (0.69 | ) | (1.46 | ) | 9.91 | (7.17 | ) | 8,324 | 1.60 | 1.73 | 3.20 | 57 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 10.45 | 0.34 | — | 1.02 | 1.36 | (0.36 | ) | (0.08 | ) | (0.44 | ) | 0.92 | 11.37 | 13.21 | 9,212 | 1.60 | 1.93 | 3.04 | 53 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
92
Table of Contents
VIRTUS OPPORTUNITIES TRUST
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Tax Return of Capital | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets (before waivers, reimbursements and recaptures (where applicable))(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Herzfeld Fund (Continued) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 12.10 | 0.16 | 0.29 | 0.31 | 0.76 | (0.20 | ) | (0.07 | ) | — | (0.27 | ) | 0.49 | $ | 12.59 | 6.31 | % | $ | 19,231 | 2.35 | % | 2.36 | % | 1.32 | % | 69 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.88 | 0.18 | 0.19 | 1.13 | 1.50 | (0.28 | ) | — | — | (0.28 | ) | 1.22 | 12.10 | 13.94 | 19,147 | 2.34 | 2.42 | 1.58 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.87 | 0.27 | — | 1.19 | 1.46 | (0.35 | ) | (0.10 | ) | — | (0.45 | ) | 1.01 | 10.88 | 15.22 | 15,568 | 2.36 | (12) | 2.49 | 2.61 | 53 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 11.34 | 0.26 | — | (1.11 | ) | (0.85 | ) | (0.30 | ) | (0.32 | ) | — | (0.62 | ) | (1.47 | ) | 9.87 | (7.94 | ) | 14,761 | 2.35 | 2.48 | 2.39 | 57 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 10.43 | 0.26 | — | 1.01 | 1.27 | (0.28 | ) | (0.08 | ) | — | (0.36 | ) | 0.91 | 11.34 | 12.34 | 10,624 | 2.35 | 2.70 | 2.35 | 53 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 12.17 | 0.29 | 0.29 | 0.31 | 0.89 | (0.33 | ) | (0.07 | ) | — | (0.40 | ) | 0.49 | $ | 12.66 | 7.38 | % | $ | 36,870 | 1.33 | % | 1.35 | % | 2.32 | % | 69 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.94 | 0.30 | 0.18 | 1.14 | 1.62 | (0.39 | ) | — | — | (0.39 | ) | 1.23 | 12.17 | 15.07 | 36,645 | 1.35 | 1.41 | 2.64 | 44 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.92 | 0.37 | — | 1.21 | 1.58 | (0.46 | ) | (0.10 | ) | — | (0.56 | ) | 1.02 | 10.94 | 16.40 | 20,511 | 1.36 | (12) | 1.49 | 3.59 | 53 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 11.39 | 0.37 | — | (1.12 | ) | (0.75 | ) | (0.40 | ) | (0.32 | ) | — | (0.72 | ) | (1.47 | ) | 9.92 | (7.01 | ) | 15,148 | 1.35 | 1.47 | 3.39 | 57 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 10.46 | 0.38 | — | 1.01 | 1.39 | (0.38 | ) | (0.08 | ) | — | (0.46 | ) | 0.93 | 11.39 | 13.54 | 3,441 | 1.35 | 1.71 | 3.40 | 53 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Horizon Wealth | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Masters Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 17.07 | (0.01 | ) | — | 1.89 | 1.88 | — | (0.15 | ) | — | (0.15 | ) | 1.73 | $ | 18.80 | 11.04 | % | $ | 18,883 | 1.30 | %(7) | 1.47 | % | (0.05 | )% | 27 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 14.60 | 0.05 | — | 2.52 | 2.57 | (0.10 | ) | — | — | (0.10 | ) | 2.47 | 17.07 | 17.67 | 20,639 | 1.45 | 1.52 | 0.32 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 13.25 | 0.07 | — | 1.55 | 1.62 | (0.03 | ) | (0.24 | ) | — | (0.27 | ) | 1.35 | 14.60 | 12.44 | 33,204 | 1.46 | (12) | 1.54 | 0.53 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 14.50 | 0.05 | — | (0.98 | ) | (0.93 | ) | (0.05 | ) | (0.27 | ) | — | (0.32 | ) | (1.25 | ) | 13.25 | (6.74 | ) | 54,109 | 1.45 | 1.46 | 0.36 | 51 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 13.12 | 0.02 | — | 1.37 | 1.39 | — | (0.01 | ) | — | (0.01 | ) | 1.38 | 14.50 | 10.67 | 55,881 | 1.45 | 1.46 | 0.11 | 62 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 16.65 | (0.14 | ) | — | 1.85 | 1.71 | — | (0.15 | ) | — | (0.15 | ) | 1.56 | $ | 18.21 | 10.29 | % | $ | 20,484 | 2.05 | %(7) | 2.23 | % | (0.80 | )% | 27 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 14.26 | (0.07 | ) | — | 2.46 | 2.39 | — | — | — | — | 2.39 | 16.65 | 16.76 | 21,533 | 2.20 | 2.27 | (0.48 | ) | 30 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 13.02 | (0.03 | ) | — | 1.51 | 1.48 | — | (0.24 | ) | — | (0.24 | ) | 1.24 | 14.26 | 11.56 | 24,816 | 2.21 | (12) | 2.29 | (0.22 | ) | 30 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 14.32 | (0.06 | ) | — | (0.97 | ) | (1.03 | ) | — | (0.27 | ) | — | (0.27 | ) | (1.30 | ) | 13.02 | (7.41 | ) | 34,171 | 2.20 | 2.21 | (0.39 | ) | 51 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 13.04 | (0.09 | ) | — | 1.38 | 1.29 | — | (0.01 | ) | — | (0.01 | ) | 1.28 | 14.32 | 9.90 | 30,511 | 2.20 | 2.22 | (0.65 | ) | 62 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 17.12 | 0.04 | — | 1.90 | 1.94 | — | (0.15 | ) | — | (0.15 | ) | 1.79 | $ | 18.91 | 11.36 | % | $ | 29,103 | 1.05 | %(7) | 1.22 | % | 0.20 | % | 27 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 14.66 | 0.07 | — | 2.55 | 2.62 | (0.16 | ) | — | — | (0.16 | ) | 2.46 | 17.12 | 17.97 | 30,426 | 1.20 | 1.26 | 0.46 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 13.30 | 0.08 | — | 1.58 | 1.66 | (0.06 | ) | (0.24 | ) | — | (0.30 | ) | 1.36 | 14.66 | 12.75 | 20,134 | 1.21 | (12) | 1.29 | 0.61 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 14.56 | 0.09 | — | (1.00 | ) | (0.91 | ) | (0.08 | ) | (0.27 | ) | — | (0.35 | ) | (1.26 | ) | 13.30 | (6.53 | ) | 32,495 | 1.20 | 1.21 | 0.62 | 51 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 13.14 | 0.05 | — | 1.39 | 1.44 | (0.01 | ) | (0.01 | ) | — | (0.02 | ) | 1.42 | 14.56 | 10.96 | 48,918 | 1.20 | 1.20 | 0.33 | 62 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
KAR Emerging Markets | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small-Cap Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.95 | 0.10 | — | 0.68 | 0.78 | (0.07 | ) | — | — | (0.07 | ) | 0.71 | $ | 11.66 | 7.10 | % | $ | 4,658 | 1.85 | % | 2.23 | % | 0.83 | % | 24 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 9.29 | 0.15 | — | 1.68 | 1.83 | (0.17 | ) | — | — | (0.17 | ) | 1.66 | 10.95 | 20.12 | 1,647 | 1.84 | 2.97 | 1.47 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 7.85 | 0.18 | — | 1.41 | 1.59 | (0.15 | ) | — | — | (0.15 | ) | 1.44 | 9.29 | 20.66 | 382 | 1.86 | (12) | 3.77 | 2.18 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 10.32 | 0.16 | — | (2.28 | ) | (2.12 | ) | (0.12 | ) | (0.23 | ) | — | (0.35 | ) | (2.47 | ) | 7.85 | (21.20 | ) | 332 | 1.85 | 3.62 | 1.73 | 35 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/17/13(6) to 9/30/14 | 10.00 | 0.18 | — | 0.16 | 0.34 | (0.02 | ) | — | — | (0.02 | ) | 0.32 | 10.32 | 3.45 | 217 | 1.85 | 4.82 | 2.25 | 44 | (14) |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
93
Table of Contents
VIRTUS OPPORTUNITIES TRUST
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets (before waivers, reimbursements and recaptures (where applicable))(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
KAR Emerging Markets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small-Cap Fund (Continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.96 | 0.01 | — | 0.68 | 0.69 | — | — | — | 0.69 | $ | 11.65 | 6.30 | % | $ | 358 | 2.60 | % | 2.90 | % | 0.08 | % | 24 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 9.31 | 0.08 | — | 1.69 | 1.77 | (0.12 | ) | — | (0.12 | ) | 1.65 | 10.96 | 19.31 | 317 | 2.59 | 3.73 | 0.78 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 7.80 | 0.12 | — | 1.41 | 1.53 | (0.02 | ) | — | (0.02 | ) | 1.51 | 9.31 | 19.62 | 117 | 2.61 | (12) | 4.51 | 1.39 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 10.26 | 0.07 | — | (2.24 | ) | (2.17 | ) | (0.06 | ) | (0.23 | ) | (0.29 | ) | (2.46 | ) | 7.80 | (21.68 | ) | 128 | 2.60 | 4.34 | 0.76 | 35 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/17/13(6) to 9/30/14 | 10.00 | 0.12 | — | 0.16 | 0.28 | (0.02 | ) | — | (0.02 | ) | 0.26 | 10.26 | 2.82 | 159 | 2.60 | 5.59 | 1.54 | 44 | (14) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.99 | 0.14 | — | 0.67 | 0.81 | (0.10 | ) | — | (0.10 | ) | 0.71 | $ | 11.70 | 7.36 | % | $ | 28,630 | 1.60 | % | 1.93 | % | 1.16 | % | 24 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 9.31 | 0.16 | — | 1.70 | 1.86 | (0.18 | ) | — | (0.18 | ) | 1.68 | 10.99 | 20.42 | 8,673 | 1.59 | 2.75 | 1.60 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 7.88 | 0.20 | — | 1.41 | 1.61 | (0.18 | ) | — | (0.18 | ) | 1.43 | 9.31 | 20.82 | 4,420 | 1.61 | (12) | 3.53 | 2.44 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 10.34 | 0.18 | — | (2.28 | ) | (2.10 | ) | (0.13 | ) | (0.23 | ) | (0.36 | ) | (2.46 | ) | 7.88 | (20.96 | ) | 3,871 | 1.60 | 3.35 | 1.87 | 35 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/17/13(6) to 9/30/14 | 10.00 | 0.20 | — | 0.17 | 0.37 | (0.03 | ) | — | (0.03 | ) | 0.34 | 10.34 | 3.66 | 3,480 | 1.60 | 4.64 | 2.50 | 44 | (14) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
KAR International | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small-Cap Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 16.22 | 0.16 | — | 1.01 | 1.17 | (0.08 | ) | (0.16 | ) | (0.24 | ) | 0.93 | $ | 17.15 | 7.31 | % | $ | 47,909 | 1.60 | % | 1.56 | % | 0.92 | % | 21 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 13.01 | 0.16 | — | 3.34 | 3.50 | (0.29 | ) | — | (0.29 | ) | 3.21 | 16.22 | 27.42 | 18,479 | 1.60 | 1.66 | 1.07 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 10.85 | 0.21 | — | 2.38 | 2.59 | (0.20 | ) | (0.23 | ) | (0.43 | ) | 2.16 | 13.01 | 24.58 | 1,985 | 1.61 | (12) | 1.87 | 1.80 | 40 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 13.70 | 0.17 | — | (1.83 | ) | (1.66 | ) | (0.23 | ) | (0.96 | ) | (1.19 | ) | (2.85 | ) | 10.85 | (12.58 | ) | 1,916 | 1.60 | 1.74 | 1.41 | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 13.20 | 0.47 | — | 0.41 | 0.88 | (0.25 | ) | (0.13 | ) | (0.38 | ) | 0.50 | 13.70 | 6.65 | 2,477 | 1.60 | 1.73 | 3.31 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 16.04 | 0.03 | — | 1.02 | 1.05 | (0.04 | ) | (0.16 | ) | (0.20 | ) | 0.85 | $ | 16.89 | 6.60 | % | $ | 35,966 | 2.31 | %(11) | 2.27 | % | 0.18 | % | 21 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 12.92 | 0.06 | — | 3.29 | 3.35 | (0.23 | ) | — | (0.23 | ) | 3.12 | 16.04 | 26.41 | 13,442 | 2.35 | 2.41 | 0.38 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 10.72 | 0.12 | — | 2.37 | 2.49 | (0.06 | ) | (0.23 | ) | (0.29 | ) | 2.20 | 12.92 | 23.76 | 1,465 | 2.36 | (12) | 2.63 | 1.02 | 40 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 13.63 | 0.08 | — | (1.82 | ) | (1.74 | ) | (0.21 | ) | (0.96 | ) | (1.17 | ) | (2.91 | ) | 10.72 | (13.28 | ) | 1,464 | 2.35 | 2.49 | 0.65 | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 13.16 | 0.24 | — | 0.54 | 0.78 | (0.18 | ) | (0.13 | ) | (0.31 | ) | 0.47 | 13.63 | 5.89 | 1,194 | 2.35 | 2.49 | 1.73 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 16.28 | 0.21 | — | 1.01 | 1.22 | (0.10 | ) | (0.16 | ) | (0.26 | ) | 0.96 | $ | 17.24 | 7.58 | % | $ | 773,571 | 1.35 | % | 1.29 | % | 1.20 | % | 21 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 13.04 | 0.20 | — | 3.35 | 3.55 | (0.31 | ) | — | (0.31 | ) | 3.24 | 16.28 | 27.73 | 176,216 | 1.35 | 1.42 | 1.33 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 10.89 | 0.23 | — | 2.40 | 2.63 | (0.25 | ) | (0.23 | ) | (0.48 | ) | 2.15 | 13.04 | 24.94 | 40,424 | 1.36 | (12) | 1.62 | 1.95 | 40 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 13.74 | 0.21 | — | (1.85 | ) | (1.64 | ) | (0.25 | ) | (0.96 | ) | (1.21 | ) | (2.85 | ) | 10.89 | (12.43 | ) | 40,512 | 1.35 | 1.49 | 1.70 | 64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 13.21 | 0.36 | — | 0.57 | 0.93 | (0.27 | ) | (0.13 | ) | (0.40 | ) | 0.53 | 13.74 | 7.04 | 46,599 | 1.35 | 1.49 | 2.57 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 16.28 | 0.18 | — | 1.07 | 1.25 | (0.11 | ) | (0.16 | ) | (0.27 | ) | 0.98 | $ | 17.26 | 7.74 | % | $ | 72,151 | 1.21 | %(11) | 1.20 | % | 1.06 | % | 21 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 13.03 | 0.26 | — | 3.30 | 3.56 | (0.31 | ) | — | (0.31 | ) | 3.25 | 16.28 | 27.82 | 36,941 | 1.24 | 1.28 | 1.66 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 10.89 | 0.25 | — | 2.39 | 2.64 | (0.27 | ) | (0.23 | ) | (0.50 | ) | 2.14 | 13.03 | 25.06 | 112 | 1.27 | (12) | 1.52 | 2.19 | 40 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11/12/14(6) to 9/30/15 | 13.43 | 0.22 | — | (1.55 | ) | (1.33 | ) | (0.25 | ) | (0.96 | ) | (1.21 | ) | (2.54 | ) | 10.89 | (10.41 | ) | 90 | 1.27 | 1.41 | 2.02 | 64 | (14) |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
94
Table of Contents
VIRTUS OPPORTUNITIES TRUST
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets (before waivers, reimbursements and recaptures (where applicable))(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rampart | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Alternatives | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Diversifier Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.05 | 0.12 | 0.13 | 0.44 | 0.69 | (0.11 | ) | — | (0.11 | ) | 0.58 | $ | 11.63 | 6.25 | % | $ | 10,348 | 0.71 | % | 0.71 | % | 1.06 | % | 17 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.89 | 0.18 | 0.22 | (0.04 | ) | 0.36 | (0.20 | ) | — | (0.20 | ) | 0.16 | 11.05 | 3.34 | 11,118 | 0.74 | 0.74 | 1.65 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.99 | 0.08 | 0.31 | 0.58 | 0.97 | (0.07 | ) | — | (0.07 | ) | 0.90 | 10.89 | 9.74 | 19,171 | 0.74 | (12) | 0.74 | 0.80 | 56 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 11.31 | 0.19 | 0.09 | (1.39 | ) | (1.11 | ) | (0.21 | ) | — | (0.21 | ) | (1.32 | ) | 9.99 | (10.02 | ) | 25,377 | 0.64 | 0.64 | 1.77 | 46 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 10.97 | 0.15 | 0.07 | 0.25 | 0.47 | (0.13 | ) | — | (0.13 | ) | 0.34 | 11.31 | 4.28 | 39,076 | 0.65 | 0.65 | 1.32 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.97 | 0.04 | 0.14 | 0.41 | 0.59 | (0.06 | ) | — | (0.06 | ) | 0.53 | $ | 11.50 | 5.40 | % | $ | 9,948 | 1.46 | % | 1.46 | % | 0.39 | % | 17 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.73 | 0.09 | 0.19 | — | 0.28 | (0.04 | ) | — | (0.04 | ) | 0.24 | 10.97 | 2.65 | 13,354 | 1.50 | 1.50 | 0.80 | 4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.90 | — | (5) | 0.31 | 0.56 | 0.87 | (0.04 | ) | — | (0.04 | ) | 0.83 | 10.73 | 8.86 | 19,611 | 1.49 | (12) | 1.49 | 0.04 | 56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 11.21 | 0.11 | 0.09 | (1.39 | ) | (1.19 | ) | (0.12 | ) | — | (0.12 | ) | (1.31 | ) | 9.90 | (10.66 | ) | 25,637 | 1.39 | 1.39 | 1.02 | 46 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 10.83 | 0.07 | 0.07 | 0.25 | 0.39 | (0.01 | ) | — | (0.01 | ) | 0.38 | 11.21 | 3.47 | 38,005 | 1.40 | 1.40 | 0.58 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.03 | 0.16 | 0.13 | 0.42 | 0.71 | (0.12 | ) | — | (0.12 | ) | 0.59 | $ | 11.62 | 6.49 | % | $ | 20,225 | 0.45 | % | 0.45 | % | 1.43 | % | 17 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.89 | 0.19 | 0.16 | 0.04 | 0.39 | (0.25 | ) | — | (0.25 | ) | 0.14 | 11.03 | 3.69 | 19,910 | 0.49 | 0.49 | 1.73 | 4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.98 | 0.11 | 0.31 | 0.56 | 0.98 | (0.07 | ) | — | (0.07 | ) | 0.91 | 10.89 | 9.94 | 19,777 | 0.49 | (12) | 0.49 | 1.04 | 56 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 11.30 | 0.22 | 0.09 | (1.39 | ) | (1.08 | ) | (0.24 | ) | — | (0.24 | ) | (1.32 | ) | 9.98 | (9.77 | ) | 30,543 | 0.39 | 0.39 | 1.99 | 46 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 10.98 | 0.18 | 0.08 | 0.24 | 0.50 | (0.18 | ) | — | (0.18 | ) | 0.32 | 11.30 | 4.52 | 47,949 | 0.40 | 0.40 | 1.56 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rampart Equity Trend Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 13.60 | 0.01 | — | 2.18 | 2.19 | — | — | — | 2.19 | $ | 15.79 | 16.10 | % | $ | 109,943 | 1.56 | %(11) | 1.56 | % | 0.08 | % | 57 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 12.23 | 0.03 | — | 1.34 | 1.37 | — | — | — | 1.37 | 13.60 | 11.20 | 134,267 | 1.51 | (7) | 1.60 | 0.23 | 92 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 12.14 | (0.01 | ) | — | 0.10 | 0.09 | — | — | — | 0.09 | 12.23 | 0.74 | 245,109 | 1.50 | (7)(12) | 1.58 | (0.05 | ) | 229 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 17.39 | (0.03 | ) | — | (1.79 | ) | (1.82 | ) | (0.01 | ) | (3.42 | ) | (3.43 | ) | (5.25 | ) | 12.14 | (12.79 | ) | 520,337 | 1.60 | (11) | 1.60 | (0.22 | ) | 674 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 15.52 | 0.06 | — | 2.29 | 2.35 | (0.04 | ) | (0.44 | ) | (0.48 | ) | 1.87 | 17.39 | 15.31 | 2,044,955 | 1.61 | (11) | 1.61 | 0.36 | 227 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 13.11 | (0.09 | ) | — | 2.10 | 2.01 | — | — | — | 2.01 | $ | 15.12 | 15.33 | % | $ | 218,543 | 2.29 | %(11) | 2.29 | % | (0.65 | )% | 57 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 11.88 | (0.06 | ) | — | 1.29 | 1.23 | — | — | — | 1.23 | 13.11 | 10.35 | 257,078 | 2.21 | (7) | 2.35 | (0.47 | ) | 92 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 11.87 | (0.08 | ) | — | 0.09 | 0.01 | — | — | — | 0.01 | 11.88 | 0.08 | 423,675 | 2.16 | (7)(12) | 2.33 | (0.69 | ) | 229 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 17.16 | (0.13 | ) | — | (1.76 | ) | (1.89 | ) | — | (3.40 | ) | (3.40 | ) | (5.29 | ) | 11.87 | (13.45 | ) | 746,390 | 2.36 | (11) | 2.36 | (0.97 | ) | 674 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 15.39 | (0.06 | ) | — | 2.27 | 2.21 | — | (0.44 | ) | (0.44 | ) | 1.77 | 17.16 | 14.48 | 1,988,290 | 2.36 | (11) | 2.36 | (0.38 | ) | 227 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 13.71 | 0.05 | — | 2.21 | 2.26 | — | — | — | 2.26 | $ | 15.97 | 16.48 | % | $ | 110,950 | 1.30 | %(11) | 1.30 | % | 0.34 | % | 57 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 12.31 | 0.06 | — | 1.34 | 1.40 | — | — | — | 1.40 | 13.71 | 11.37 | 148,047 | 1.29 | (7) | 1.35 | 0.45 | 92 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 12.19 | 0.02 | — | 0.10 | 0.12 | — | — | — | 0.12 | 12.31 | 0.98 | 282,818 | 1.29 | (7)(12) | 1.33 | 0.16 | 229 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 17.42 | 0.01 | — | (1.80 | ) | (1.79 | ) | (0.02 | ) | (3.42 | ) | (3.44 | ) | (5.23 | ) | 12.19 | (12.57 | ) | 594,460 | 1.35 | (11) | 1.35 | 0.04 | 674 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 15.54 | 0.10 | — | 2.30 | 2.40 | (0.08 | ) | (0.44 | ) | (0.52 | ) | 1.88 | 17.42 | 15.61 | 3,840,271 | 1.36 | (11) | 1.36 | 0.62 | 227 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
95
Table of Contents
VIRTUS OPPORTUNITIES TRUST
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets (before waivers, reimbursements and recaptures (where applicable))(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rampart Equity Trend Fund (Continued) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 13.77 | 0.08 | 2.20 | 2.28 | — | — | — | 2.28 | $ | 16.05 | 16.56 | % | $ | 625 | 1.20 | %(11) | 1.20 | % | 0.50 | % | 57 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 12.34 | 0.08 | 1.35 | 1.43 | — | — | — | 1.43 | 13.77 | 11.59 | 203 | 1.16 | (7) | 1.23 | 0.58 | 92 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 12.20 | 0.06 | 0.08 | 0.14 | — | — | — | 0.14 | 12.34 | 1.15 | 182 | 1.10 | (7)(12) | 1.25 | 0.49 | 229 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
11/12/14(6) to 9/30/15 | 17.20 | 0.01 | (1.57 | ) | (1.56 | ) | (0.02 | ) | (3.42 | ) | (3.44 | ) | (5.00 | ) | 12.20 | (11.39 | ) | 89 | 1.28 | (11) | 1.28 | 0.10 | 674 | (14) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Rampart Multi-Asset | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trend Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.84 | 0.07 | 0.33 | 0.40 | — | — | — | 0.40 | $ | 11.24 | 3.69 | % | $ | 14,744 | 1.63 | %(11) | 1.63 | % | 0.67 | % | 117 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.31 | 0.05 | 0.48 | 0.53 | — | — | — | 0.53 | 10.84 | 5.14 | 18,160 | 1.65 | (11) | 1.65 | 0.52 | 167 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.94 | (0.01 | ) | 0.39 | 0.38 | (0.01 | ) | — | (0.01 | ) | 0.37 | 10.31 | 3.82 | 29,798 | 1.61 | (11)(12) | 1.61 | (0.07 | ) | 223 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 11.85 | (0.02 | ) | (0.92 | ) | (0.94 | ) | (0.04 | ) | (0.93 | ) | (0.97 | ) | (1.91 | ) | 9.94 | (8.58 | ) | 55,214 | 1.62 | (11) | 1.62 | (0.15 | ) | 519 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 11.28 | 0.10 | 0.69 | 0.79 | (0.07 | ) | (0.15 | ) | (0.22 | ) | 0.57 | 11.85 | 6.97 | 143,765 | 1.62 | (11) | 1.62 | 0.83 | 337 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.53 | (0.01 | ) | 0.32 | 0.31 | — | — | — | 0.31 | $ | 10.84 | 2.94 | % | $ | 39,671 | 2.36 | %(11) | 2.36 | % | (0.08 | )% | 117 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.10 | (0.02 | ) | 0.45 | 0.43 | — | — | — | 0.43 | 10.53 | 4.26 | 51,105 | 2.39 | (11) | 2.39 | (0.23 | ) | 167 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.80 | (0.08 | ) | 0.38 | 0.30 | — | — | — | 0.30 | 10.10 | 3.06 | 80,962 | 2.36 | (11)(12) | 2.36 | (0.80 | ) | 223 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 11.73 | (0.09 | ) | (0.91 | ) | (1.00 | ) | — | (0.93 | ) | (0.93 | ) | (1.93 | ) | 9.80 | (9.23 | ) | 139,223 | 2.36 | (11) | 2.37 | (0.89 | ) | 519 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 11.19 | 0.01 | 0.68 | 0.69 | — | (0.15 | ) | (0.15 | ) | 0.54 | 11.73 | 6.15 | 331,980 | 2.35 | (11) | 2.37 | 0.09 | 337 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.90 | 0.10 | 0.33 | 0.43 | — | — | — | 0.43 | $ | 11.33 | 3.94 | % | $ | 15,245 | 1.39 | %(11) | 1.39 | % | 0.90 | % | 117 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.34 | 0.08 | 0.48 | 0.56 | — | — | — | 0.56 | 10.90 | 5.42 | 17,443 | 1.40 | (11) | 1.40 | 0.76 | 167 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 9.99 | 0.02 | 0.38 | 0.40 | (0.05 | ) | — | (0.05 | ) | 0.35 | 10.34 | 3.97 | 28,522 | 1.36 | (11)(12) | 1.36 | 0.16 | 223 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 11.88 | 0.01 | (0.91 | ) | (0.90 | ) | (0.06 | ) | (0.93 | ) | (0.99 | ) | (1.89 | ) | 9.99 | (8.36 | ) | 73,528 | 1.36 | (11) | 1.36 | 0.11 | 519 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 11.31 | 0.13 | 0.69 | 0.82 | (0.10 | ) | (0.15 | ) | (0.25 | ) | 0.57 | 11.88 | 7.20 | 316,599 | 1.37 | (11) | 1.37 | 1.06 | 337 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rampart Sector Trend Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 12.20 | 0.10 | 1.56 | 1.66 | (0.12 | ) | — | (0.12 | ) | 1.54 | $ | 13.74 | 13.64 | % | $ | 95,318 | 0.98 | % | 0.98 | % | 0.76 | % | 324 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 11.29 | 0.11 | 0.94 | 1.05 | (0.14 | ) | — | (0.14 | ) | 0.91 | 12.20 | 9.46 | (13) | 99,321 | 1.03 | (13) | 1.03 | 0.98 | 259 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 11.00 | 0.11 | 0.26 | 0.37 | (0.08 | ) | — | (0.08 | ) | 0.29 | 11.29 | 3.36 | 131,389 | 1.05 | (12) | 1.05 | 1.00 | 337 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 15.21 | 0.05 | (0.71 | ) | (0.66 | ) | (0.05 | ) | (3.50 | ) | (3.55 | ) | (4.21 | ) | 11.00 | (6.19 | ) | 156,759 | 0.98 | 0.98 | 0.39 | 576 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 13.87 | 0.15 | 2.25 | 2.40 | (0.13 | ) | (0.93 | ) | (1.06 | ) | 1.34 | 15.21 | 17.81 | 316,571 | 0.98 | 0.98 | 1.02 | 129 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.94 | — | (5) | 1.53 | 1.53 | — | (5) | — | — | 1.53 | $ | 13.47 | 12.84 | % | $ | 88,354 | 1.74 | % | 1.74 | % | (0.01 | )% | 324 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 11.04 | 0.02 | 0.93 | 0.95 | (0.05 | ) | — | (0.05 | ) | 0.90 | 11.94 | 8.68 | (13) | 105,603 | 1.78 | (13) | 1.78 | 0.22 | 259 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 10.76 | 0.03 | 0.25 | 0.28 | — | — | — | 0.28 | 11.04 | 2.60 | 167,265 | 1.80 | (12) | 1.80 | 0.24 | 337 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 15.02 | (0.04 | ) | (0.69 | ) | (0.73 | ) | (0.02 | ) | (3.51 | ) | (3.53 | ) | (4.26 | ) | 10.76 | (6.86 | ) | 206,556 | 1.74 | 1.74 | (0.34 | ) | 576 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 13.73 | 0.04 | 2.21 | 2.25 | (0.03 | ) | (0.93 | ) | (0.96 | ) | 1.29 | 15.02 | 16.89 | 296,160 | 1.73 | 1.73 | 0.28 | 129 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
96
Table of Contents
VIRTUS OPPORTUNITIES TRUST
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets (before waivers, reimbursements and recaptures (where applicable))(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rampart Sector Trend Fund (Continued) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 12.19 | 0.13 | 1.56 | 1.69 | (0.15 | ) | — | (0.15 | ) | 1.54 | $ | 13.73 | 13.94 | % | $ | 60,095 | 0.74 | % | 0.74 | % | 0.99 | % | 324 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 11.28 | 0.14 | 0.94 | 1.08 | (0.17 | ) | — | (0.17 | ) | 0.91 | 12.19 | 9.77 | (13) | 72,187 | 0.78 | (13) | 0.78 | 1.22 | 259 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 11.02 | 0.13 | 0.27 | 0.40 | (0.14 | ) | — | (0.14 | ) | 0.26 | 11.28 | 3.65 | 102,905 | 0.80 | (12) | 0.80 | 1.21 | 337 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 15.21 | 0.08 | (0.71 | ) | (0.63 | ) | (0.05 | ) | (3.51 | ) | (3.56 | ) | (4.19 | ) | 11.02 | (5.90 | ) | 169,977 | 0.73 | 0.73 | 0.65 | 576 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 13.87 | 0.19 | 2.25 | 2.44 | (0.17 | ) | (0.93 | ) | (1.10 | ) | 1.34 | 15.21 | 18.08 | 313,147 | 0.73 | 0.73 | 1.29 | 129 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Vontobel Global | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Opportunities Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 16.22 | 0.02 | 1.68 | 1.70 | — | (5) | (0.90 | ) | (0.90 | ) | 0.80 | $ | 17.02 | 10.80 | % | $ | 104,081 | 1.40 | %(11) | 1.40 | % | 0.12 | % | 38 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 13.69 | 0.02 | 2.64 | 2.66 | (0.05 | ) | (0.08 | ) | (0.13 | ) | 2.53 | 16.22 | 19.54 | (13) | 113,151 | 1.45 | (13) | 1.46 | 0.05 | (13) | 37 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 12.32 | 0.05 | 1.35 | 1.40 | (0.03 | ) | — | (0.03 | ) | 1.37 | �� | 13.69 | 11.38 | 105,967 | 1.47 | (12) | 1.48 | 0.37 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 12.12 | 0.05 | 0.21 | 0.26 | (0.06 | ) | — | (0.06 | ) | 0.20 | 12.32 | 2.15 | 87,769 | 1.45 | 1.45 | 0.42 | 40 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 11.07 | 0.08 | 1.04 | 1.12 | (0.07 | ) | — | (0.07 | ) | 1.05 | 12.12 | 10.18 | 77,738 | 1.48 | 1.46 | 0.70 | 41 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 14.06 | (0.09 | ) | 1.44 | 1.35 | — | (0.90 | ) | (0.90 | ) | 0.45 | $ | 14.51 | 9.92 | % | $ | 32,003 | 2.16 | %(11) | 2.16 | % | (0.61 | )% | 38 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 11.93 | (0.08 | ) | 2.29 | 2.21 | — | (0.08 | ) | (0.08 | ) | 2.13 | 14.06 | 18.61 | (13) | 30,065 | 2.21 | (13) | 2.22 | (0.68 | )(13) | 37 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 10.79 | (0.04 | ) | 1.18 | 1.14 | — | — | — | 1.14 | 11.93 | 10.57 | 23,070 | 2.23 | (12) | 2.24 | (0.34 | ) | 29 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 10.66 | (0.01 | ) | 0.16 | 0.15 | (0.02 | ) | — | (0.02 | ) | 0.13 | 10.79 | 1.42 | 14,431 | 2.21 | 2.21 | (0.13 | ) | 40 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 9.76 | — | (5) | 0.91 | 0.91 | (0.01 | ) | — | (0.01 | ) | 0.90 | 10.66 | 9.32 | 3,455 | 2.23 | 2.21 | (0.04 | ) | 41 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 16.23 | 0.07 | 1.67 | 1.74 | (0.05 | ) | (0.90 | ) | (0.95 | ) | 0.79 | $ | 17.02 | 11.07 | % | $ | 81,090 | 1.16 | %(11) | 1.16 | % | 0.43 | % | 38 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 13.69 | 0.06 | 2.63 | 2.69 | (0.07 | ) | (0.08 | ) | (0.15 | ) | 2.54 | 16.23 | 19.83 | (13) | 76,222 | 1.20 | (13) | 1.21 | 0.38 | (13) | 37 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 12.32 | 0.08 | 1.35 | 1.43 | (0.06 | ) | — | (0.06 | ) | 1.37 | 13.69 | 11.65 | 48,155 | 1.23 | (12) | 1.23 | 0.64 | 29 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 12.11 | 0.08 | 0.21 | 0.29 | (0.08 | ) | — | (0.08 | ) | 0.21 | 12.32 | 2.37 | 38,104 | 1.20 | 1.20 | 0.67 | 40 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 11.07 | 0.11 | 1.05 | 1.16 | (0.12 | ) | — | (0.12 | ) | 1.04 | 12.11 | 10.49 | 33,917 | 1.23 | 1.21 | 0.97 | 41 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
1/30/18(6) to 9/30/18 | $ | 17.27 | 0.06 | (0.30 | ) | (0.24 | ) | — | — | — | (0.24 | ) | $ | 17.03 | 1.39 | % | $ | 425 | 1.11 | %(11) | 1.11 | % | 0.56 | % | 38 | %(14) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Vontobel Greater European | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Opportunities Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 17.62 | 0.13 | (0.16 | ) | (0.03 | ) | (0.24 | ) | (1.73 | ) | (1.97 | ) | (2.00 | ) | $ | 15.62 | (0.49 | )% | $ | 3,283 | 1.45 | % | 2.20 | % | 0.77 | % | 22 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 15.86 | 0.04 | 1.96 | 2.00 | (0.24 | ) | — | (0.24 | ) | 1.76 | 17.62 | 12.89 | 4,224 | 1.44 | 1.90 | 0.26 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 15.20 | 0.17 | 0.59 | 0.76 | (0.10 | ) | — | (0.10 | ) | 0.66 | 15.86 | 4.99 | 11,364 | 1.46 | (12) | 1.82 | 1.06 | 49 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 15.32 | 0.16 | 0.01 | 0.17 | (0.10 | ) | (0.19 | ) | (0.29 | ) | (0.12 | ) | 15.20 | 1.19 | 13,306 | 1.45 | 1.89 | 1.02 | 35 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 15.87 | 0.09 | (0.22 | ) | (0.13 | ) | (0.06 | ) | (0.36 | ) | (0.42 | ) | (0.55 | ) | 15.32 | (0.88 | ) | 12,703 | 1.45 | 1.91 | 0.54 | 65 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
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VIRTUS OPPORTUNITIES TRUST
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(4) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets (before waivers, reimbursements and recaptures (where applicable))(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(3) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Vontobel Greater European | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Opportunities Fund (Continued) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 17.22 | 0.01 | (0.15 | ) | (0.14 | ) | (0.13 | ) | (1.73 | ) | (1.86 | ) | (2.00 | ) | $ | 15.22 | (1.17 | )% | $ | 1,827 | 2.20 | % | 2.92 | % | 0.07 | % | 22 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 15.58 | (0.02 | ) | 1.86 | 1.84 | (0.20 | ) | — | (0.20 | ) | 1.64 | 17.22 | 12.06 | 2,208 | 2.19 | 2.66 | (0.10 | ) | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 14.95 | 0.04 | 0.59 | 0.63 | — | — | — | 0.63 | 15.58 | 4.21 | 2,292 | 2.23 | (12) | 2.58 | 0.26 | 49 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 15.08 | 0.05 | 0.01 | 0.06 | — | (5) | (0.19 | ) | (0.19 | ) | (0.13 | ) | 14.95 | 0.43 | 1,564 | 2.20 | 2.64 | 0.34 | 35 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 15.71 | (0.02 | ) | (0.23 | ) | (0.25 | ) | (0.02 | ) | (0.36 | ) | (0.38 | ) | (0.63 | ) | 15.08 | (1.62 | ) | 1,130 | 2.20 | 2.67 | (0.12 | ) | 65 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 17.65 | 0.12 | (0.10 | ) | 0.02 | (0.29 | ) | (1.73 | ) | (2.02 | ) | (2.00 | ) | $ | 15.65 | (0.19 | )% | $ | 2,626 | 1.20 | % | 1.89 | % | 0.75 | % | 22 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 15.91 | 0.17 | 1.87 | 2.04 | (0.30 | ) | — | (0.30 | ) | 1.74 | 17.65 | 13.21 | 9,822 | 1.19 | 1.67 | 1.02 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 15.26 | 0.25 | 0.54 | 0.79 | (0.14 | ) | — | (0.14 | ) | 0.65 | 15.91 | 5.22 | 8,893 | 1.22 | (12) | 1.56 | 1.57 | 49 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 15.38 | 0.24 | (0.02 | ) | 0.22 | (0.15 | ) | (0.19 | ) | (0.34 | ) | (0.12 | ) | 15.26 | 1.47 | 5,751 | 1.20 | 1.63 | 1.55 | 35 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 15.92 | 0.14 | (0.24 | ) | (0.10 | ) | (0.08 | ) | (0.36 | ) | (0.44 | ) | (0.54 | ) | 15.38 | (0.64 | ) | 2,751 | 1.20 | 1.68 | 0.89 | 65 |
Footnote Legend
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | Annualized for periods less than one year. |
(4) | Not annualized for periods less than one year. |
(5) | Amount is less than $0.005 per share. |
(6) | Inception date. |
(7) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(8) | The Funds will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(9) | See Note 4D in the Notes to Financial Statements for information on recapture of expense previously waived. |
(10) | The Fund is currently under its expense limitation. |
(11) | Net expense ratios include extraordinary proxy expenses. |
(12) | State Street Bank & Trust, custodian for some of the Funds through January 29, 2010, reimbursed the Funds for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and the Ratio of Net Investment Income (Loss) to Average Net Assets. If included the impact would have been to lower the Ratio of Net Expenses to Average Net Assets and increase the Ratio of Net Investment Income (Loss) to Average Net Assets as follows: |
Duff& Phelps Global Infrastructure Fund | Rampart Sector Trend Fund | VontobelGlobal Opportunities Fund |
| |||||||||
Class A | —* | Class A | —* | Class A | 0.06 | % | ||||||
Class C | —* | Class C | —* | Class C | 0.05 | % | ||||||
Class I | —* | Class I | —* | Class I | 0.05 | % |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
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FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Custody fees reimbursed were included in Total Return. If excluded the impact would have been to lower the Total Return as follows: |
Duff& Phelps Global Infrastructure Fund | Rampart Sector Trend Fund | VontobelGlobal Opportunities Fund |
| |||||||||
Class A | —* | Class A | —* | Class A | 0.06 | % | ||||||
Class C | —* | Class C | —* | Class C | 0.05 | % | ||||||
Class I | —* | Class I | —* | Class I | 0.05 | % |
* | no impact |
(13) | Portfolio Turnover is representative of the Fund for the entire year. |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
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SEPTEMBER 30, 2018
Note 1. Organization
Virtus Opportunities Trust (the “Trust”) is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
As of the date of this report, 24 funds of the Trust are offered for sale, of which 13 (each a “Fund”) are reported in this annual report.
Each Fund has a distinct investment objective and all of the Funds except the Herzfeld Fund are diversified. Each Fund’s investment objective is outlined in its respective summary page. There is no guarantee that a Fund will achieve its objective(s).
All of the Funds offer Class A shares, Class C shares, and Class I shares. The Duff & Phelps Global Infrastructure Fund, Duff & Phelps Global Real Estate Securities Fund, KAR International Small-Cap Fund, Rampart Equity Trend Fund, and Vontobel Global Opportunities Fund also offer Class R6 shares. Class A shares are sold with a front-end sales charge of up to 5.75% with some exceptions. Generally, Class A shares are not subject to any charges by the Funds when redeemed; however, a 0.50% – 1% contingent deferred sales charge (“CDSC”) may be imposed on certain redemptions made within a certain period following purchases on which a finder’s fee has been paid. The period for which such CDSC applies for the Funds is 18 months. The CDSC period begins on the last day of the month preceding the month in which the purchase was made.
Class C shares are generally sold with a 1% CDSC, applicable if redeemed within one year of purchase. Class I shares and Class R6 shares are sold without a sales charge or CDSC.
Class R6 shares are available only to the following investors without a minimum initial investment or minimum additional purchases: certain employer-sponsored retirement plans, including Section 401(k), 403(b) and 457 plans, profit-sharing plans, money purchase pension plans, and defined benefit plans and nonqualified deferred compensation plans, in each case provided that plan level or omnibus accounts are held on the books of the Funds. Other institutional investors may be permitted to purchase Class R6 shares subject to the applicable Fund’s determination of eligibility and may be subject to a minimum initial investment requirement. Class R6 shares do not carry sales commissions or pay Rule 12b-1 fees. No compensation, administrative payments, sub-transfer agency payments or service payments are paid to brokers or other entities from Fund assets or the Funds’ distributor’s or an affiliate’s resources on sales of or investments on Class R6 shares.
The Funds may impose an annual fee on accounts having balances of less than $2,500. The small account fee may be waived in certain circumstances, as disclosed in the prospectuses and/or statements of additional information. The fees collected will be used to offset certain expenses of the Funds. These fees are reflected as “Low balance account fees” in each Fund’s Statement of Operations for the period, as applicable.
Each class of shares has identical voting, dividend, liquidation and other rights and the same terms and conditions, except that each class bears any expenses attributable specifically to that class (“class-specific expenses”) and has exclusive voting rights with respect to any Rule 12b-1 and/or shareholder service plan (“12b-1 Plan”) approved by the Board. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. Class-specific expenses may include shareholder servicing fees, sub-transfer agency fees, and fees under a 12b-1 Plan, as well as certain other expenses as designated by the Funds’ Treasurer and approved by the Board. Investment income, common operating expenses and realized and unrealized gains and losses of each Fund are borne pro-rata by the holders of each class of shares.
Note 2. Significant Accounting Policies
The Trust is an investment company that follows the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to Investment Companies. The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be significant.
A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels.
The Fund’s policy is to recognize transfers into or out of the Level 3 at the end of the reporting period.
• Level 1 – | quoted prices in active markets for identical securities (security types generally include listed equities). |
• Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• Level 3 – | prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to a Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are illiquid or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Funds fair value non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
investments such as ADRs, financial futures, ETFs, and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value a Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for each Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds.
Dividend income from REIT investments is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
C. | Income Taxes |
Each Fund is treated as a separate taxable entity. It is the intention of each Fund to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made.
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
Management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of September 30, 2018, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2015 forward (with limited exceptions).
D. | Distributions to Shareholders |
Distributions are recorded by each Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP.
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each fund or an alternative allocation method can be more appropriately used.
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests.
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
G. | Securities Lending |
($ reported in thousands)
Certain Funds may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when a Fund lends securities the Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
At September 30, 2018, the following Funds had securities on loan (reported in thousands):
Fund | Market Value | Cash Collateral | ||||||
Herzfeld Fund | $ | 1,639 | $ | 1,681 | ||||
Horizon Wealth Masters Fund | 3,827 | 4,722 |
Note 3. Derivative Financial Instruments and Transactions
($ reported in thousands)
Disclosures about derivative instruments and hedging activities are intended to enable investors to understand how and why a Fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect a Fund’s results of operations and financial position. Summarized below are such disclosures and accounting policies for each specific type of derivative instrument used by certain Funds.
A. | Foreign Currency Contracts |
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of the contract changes unfavorably due to movements in the value of the referenced foreign currencies. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency.
B. | Options Contracts |
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. Certain Funds may purchase or write both put and call options on portfolio securities for hedging purposes or to facilitate the rapid implementation of investment strategies if the Fund anticipates a significant market or sector advance. A Fund doing so is subject to equity price risk in the normal course of pursuing its investment objectives.
When a Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments. Purchased options are reported as an asset within “Investment securities at value” in the Statement of Assets and Liabilities. Written options are reported as a liability within “Written options at value.” Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) on investments” in the Statement of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) on written options.” in the Statement of Operations.
If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain/(loss) on investments” in the Statement of Operations. Gain or loss on written options is presented separately as “Net realized gain/(loss) on written options” in the Statement of Operations.
The risk in writing call options is that the Fund gives up the opportunity for profit if the market price/foreign currency rate of the referenced security/currency increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price/foreign currency rate of the referenced security/currency decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value.
Note 4. Investment Advisory Fees and Related Party Transactions
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Trust. The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadvisers.
As compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly, based upon the following annual rates as a percentage of the average daily net assets of the following Funds:
First $2 Billion | $2+ Billion through $4 Billion | $4+ Billion | ||||||||||
Rampart Multi-Asset Trend Fund | 1.00 | % | 0.95 | % | 0.90 | % | ||||||
First $1 Billion | $1+ Billion | |||||||||||
Herzfeld Fund | 1.00 | % | 0.95 | % | ||||||||
Horizon Wealth Masters Fund | 0.85 | 0.80 | ||||||||||
KAR Emerging Markets Small-Cap Fund | 1.20 | 1.15 | ||||||||||
KAR International Small-Cap Fund | 1.00 | 0.95 | ||||||||||
Rampart Equity Trend Fund | 1.00 | 0.95 | ||||||||||
Rampart Sector Trend Fund | 0.45 | 0.40 | ||||||||||
Vontobel Greater European Opportunities Fund | 0.85 | 0.80 |
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
First $1 Billion | $1+ Billion through $2 Billion | $2+ Billion | ||||||||||
Duff & Phelps Global Infrastructure Fund | 0.65 | % | 0.60 | % | 0.55 | % | ||||||
Duff & Phelps Global Real Estate Securities Fund | 0.85 | 0.80 | 0.75 | |||||||||
Duff & Phelps International Real Estate Securities Fund | 1.00 | 0.95 | 0.90 | |||||||||
Vontobel Global Opportunities Fund | 0.85 | 0.80 | 0.75 |
Rampart Alternatives Diversifier Fund – the Adviser has discontinued charging an advisory fee.
B. | Subadvisers |
The subadvisers manage the investments of each Fund for which they are paid a fee by the Adviser. A list of the subadvisers and the Funds they serve as of the end of the period is as follows:
Fund | Subadviser | Fund | Subadviser | |||
Duff & Phelps Global Infrastructure Fund | DPIM(1) | KAR International Small-Cap Fund | KAR(2) | |||
Duff & Phelps Global Real Estate Securities Fund | DPIM(1) | Rampart Alternatives Diversifier Fund | Rampart(3) | |||
Duff & Phelps International Real Estate Securities Fund | DPIM(1) | Rampart Equity Trend Fund | Rampart(3) | |||
Herzfeld Fund | Thomas J. Herzfeld Advisors, Inc. | Rampart Multi-Asset Trend Fund | Rampart(3) | |||
Rampart Sector Trend Fund | Rampart(3) | |||||
Horizon Wealth Masters Fund | Horizon Asset Management, LLC | Vontobel Global Opportunities Fund | Vontobel(4) | |||
KAR Emerging Markets Small-Cap Fund | KAR(2) | Vontobel Greater European Opportunities Fund | Vontobel(4) |
(1) | Duff & Phelps Investment Management Co., an indirect, wholly-owned subsidiary of Virtus. |
(2) | Kayne Anderson Rudnick Investment Management, LLC, an indirect, wholly-owned subsidiary of Virtus. |
(3) | Rampart Investment Management Co. LLC, an indirect, wholly-owned subsidiary of Virtus. |
(4) | Vontobel Asset Management, Inc. |
C. | Expense Limits and Fee Waivers |
The Adviser has contractually agreed to limit certain Funds’ annual total operating expenses (excluding front-end or contingent deferred loads, taxes, leverage expenses, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, unusual or infrequently occurring expenses (such as litigation), acquired fund fees and expenses, and dividend expenses, if any), so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through January 31, 2019. The waivers and reimbursements are calculated daily and received monthly.
Class A | Class C | Class I | Class R6 | |||||||||||||
Duff & Phelps Global Real Estate Securities Fund | 1.40 | % | 2.15 | % | 1.15 | % | 0.95 | %# | ||||||||
Duff & Phelps International Real Estate Securities Fund | 1.50 | 2.25 | 1.25 | N/A | ||||||||||||
Herzfeld Fund | 1.60 | 2.35 | 1.35 | N/A | ||||||||||||
Horizon Wealth Masters Fund* | 1.25 | 2.00 | 1.00 | N/A | ||||||||||||
KAR Emerging Markets Small-Cap Fund | 1.85 | 2.60 | 1.60 | N/A | ||||||||||||
KAR International Small-Cap Fund | 1.60 | 2.35 | 1.35 | 1.24 | ||||||||||||
Rampart Equity Trend Fund† | 1.60 | 2.35 | 1.35 | 1.26 | ||||||||||||
Rampart Multi-Asset Trend Fund† | 1.75 | 2.50 | 1.50 | N/A | ||||||||||||
Vontobel Global Opportunities Fund† | 1.55 | 2.30 | 1.30 | 1.27 | ||||||||||||
Vontobel Greater European Opportunities Fund | 1.45 | 2.20 | 1.20 | N/A |
† | Each share class is currently below its expense cap. |
* | Effective January 1, 2018. For the period October 1, 2017, through December 31, 2017, the expense caps were as follows for Class A, Class C, and Class I, respectively: 1.45%, 2.20%, and 1.20%. |
# | Effective March 29, 2018. For the period October 1, 2017, through March 28, 2018, the expense cap was 1.04% for Class R6. |
D. | Expense Recapture |
($ reported in thousands)
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements, within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser-reimbursed expenses may be recaptured by the fiscal year ending:
Fund | 2019 | 2020 | 2021 | Total | ||||||||||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||||
Class A | $ | 63 | $ | 107 | $ | 235 | $ | 405 | ||||||||
Class C | 13 | 19 | 7 | 39 | ||||||||||||
Class I | 83 | 218 | 66 | 367 | ||||||||||||
Class R6 | — | 1 | 7 | 8 | ||||||||||||
Duff & Phelps International Real Estate Securities Fund | ||||||||||||||||
Class A | 43 | 26 | 9 | 78 | ||||||||||||
Class C | 9 | 6 | 4 | 19 | ||||||||||||
Class I | 100 | 98 | 93 | 291 |
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Fund | 2019 | 2020 | 2021 | Total | ||||||||||||
Herzfeld Fund | ||||||||||||||||
Class A | $ | 8 | $ | 6 | $ | 3 | $ | 17 | ||||||||
Class C | 18 | 12 | 3 | 33 | ||||||||||||
Class I | 24 | 19 | 1 | 44 | ||||||||||||
Horizon Wealth Masters Fund | ||||||||||||||||
Class A | 34 | 19 | 34 | 87 | ||||||||||||
Class C | 24 | 17 | 38 | 79 | ||||||||||||
Class I | 19 | 19 | 51 | 89 | ||||||||||||
KAR Emerging Markets Small-Cap Fund | ||||||||||||||||
Class A | 6 | 9 | 8 | 23 | ||||||||||||
Class C | 2 | 2 | 1 | 5 | ||||||||||||
Class I | 78 | 69 | 56 | 203 | ||||||||||||
Rampart Equity Trend Fund | ||||||||||||||||
Class A | 284 | 164 | — | 448 | ||||||||||||
Class C | 998 | 474 | — | * | 1,472 | |||||||||||
Class I | 158 | 119 | — | 277 | ||||||||||||
Class R6 | — | * | — | * | — | — | * | |||||||||
Vontobel Greater European Opportunities Fund | ||||||||||||||||
Class A | 48 | 25 | 30 | 103 | ||||||||||||
Class C | 6 | 10 | 15 | 31 | ||||||||||||
Class I | 37 | 56 | 30 | 123 |
* | Amount is less than $500. |
E. | Distributor |
($ reported in thousands)
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Fund’s shares. VP Distributors has advised the Funds that for the fiscal year (the “period”) ended September 30, 2018, it retained net commissions of $91 of Class A shares and CDSC of $2 and $19 for Class A shares and Class C shares, respectively.
In addition, each Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the annual rates of 0.25%(1) for Class A shares and 1.00%(1)(2) for Class C shares; Class I shares and Class R6 shares are not subject to a 12b-1 Plan.
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply.
(1) | Some of the Funds invest in ETFs. In addition to the fees listed, the Funds bear their proportionate shares of any distribution and shareholder servicing fees of the ETFs. |
(2) | The Funds’ distributor has contractually agreed to waive its 12b-1 fees applicable to Class C shares to the extent that the Funds’ investments in underlying ETFs with their own 12b-1 fees would otherwise cause the total 12b-1 fees paid directly or indirectly by the Fund to exceed the limits set forth in applicable law or regulation. |
F. | Administrator and Transfer Agent |
($ reported in thousands)
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds.
For the period ended September 30, 2018, the Funds incurred administration fees in aggregate totaling $1,991 which are included in the Statements of Operations within the line item “Administration and accounting fees”. The fees are calculated daily and paid monthly.
For the period ended September 30, 2018, the Funds incurred transfer agent fees in aggregate totaling $2,777 which are included in the Statements of Operations within the line items “Transfer agent fees and expenses” and “Sub-transfer agent fees and expenses.” A portion of these fees was paid to outside entities that also provide services to the Trust. The fees are calculated daily and paid monthly.
G. | Affiliated Shareholders |
($ reported in thousands)
At September 30, 2018, Virtus and its affiliates, and the retirement plans of Virtus and its affiliates, held shares of certain Funds which may be redeemed at any time that aggregated to the following:
Shares | Aggregate Net Asset Value | |||||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class R6 | 658,092 | $ | 9,509 | |||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||
Class I | 122,340 | 3,711 | ||||||
Class R6 | 194,653 | 5,912 | ||||||
Duff & Phelps International Real Estate Securities Fund | ||||||||
Class I | 539,551 | 3,993 |
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VIRTUS OPPORTUNITIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Shares | Aggregate Net Asset Value | |||||||
KAR Emerging Markets Small-Cap Fund | ||||||||
Class A | 10,853 | $ | 127 | |||||
Class C | 10,485 | 122 | ||||||
Class I | 306,330 | 3,584 | ||||||
KAR International Small-Cap Fund | ||||||||
Class R6 | 213,784 | 3,690 | ||||||
Rampart Equity Trend Fund | ||||||||
Class R6 | 14,720 | 236 | ||||||
Vontobel Global Opportunities Fund | ||||||||
Class R6 | 5,807 | 99 |
H. | Investments in Affiliates |
($ reported in thousands)
A summary of the Rampart Alternatives Diversifier Fund’s total long-term and short-term purchases and sales of the respective shares of the affiliated underlying funds(1) during the period ended September 30, 2018, is as follows:
Value, beginning of period | Purchases(2) | Sales Proceeds | Net realized gain (loss) on affiliated funds | Net change in unrealized appreciation (depreciation) on affiliated funds | Value, end of period | Shares | Dividend Income | Distributions of Realized Gains | ||||||||||||||||||||||||||||
AFFILIATED MUTUAL FUNDS(2)—49.0% |
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Equity Funds—40% | ||||||||||||||||||||||||||||||||||||
Duff & Phelps Global Infrastructure Fund, Class I(3) | $ | 7,267 | $ | 112 | $ | 5,124 | $ | 125 | $ | (2,380 | ) | $ | — | — | $ | 45 | $ | 67 | ||||||||||||||||||
Duff & Phelps Global Infrastructure Fund, Class R6(3) | — | 4,863 | 930 | 268 | 1,754 | 5,955 |
| 412,097 |
| 100 | — | |||||||||||||||||||||||||
Duff & Phelps Global Real Estate Securities Fund, Class I(3) | 4,029 | 229 | 740 | 192 | — | 3,710 | 122,340 | 76 | 7 | |||||||||||||||||||||||||||
Duff & Phelps International Real Estate Securities Fund, Class I(3) | 4,466 | 260 | 1,025 | 233 | 59 | 3,993 | 539,551 | 100 | — | |||||||||||||||||||||||||||
Duff & Phelps Real Estate Securities Fund, Class I(3) | 2,922 | 549 | 600 | 55 | (418 | ) | 2,508 | 93,895 | 39 | 410 | ||||||||||||||||||||||||||
Fixed Income Fund—9% | ||||||||||||||||||||||||||||||||||||
Newfleet Senior Floating Rate Fund, Class I(3) | 4,111 | 316 | 755 | 2 | (9 | ) | 3,665 | 389,892 | 178 | — | ||||||||||||||||||||||||||
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$ | 22,795 | $ | 6,329 | $ | 9,174 | $ | 875 | $ | (994 | ) | $ | 19,831 | $ | 538 | $ | 484 | ||||||||||||||||||||
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(1) | The Rampart Alternatives Diversifier Fund does not invest in the underlying funds for the purpose of exercising management or control; however, investments made by the Fund within each of its principal investment strategies may represent a significant portion of an underlying fund’s net assets. At September 30, 2018, the Fund was the owner of record of less than 10% of each affiliated underlying fund. |
(2) | Includes reinvested dividends from income and capital gain distributions. |
(3) | Shares of these funds are publicly offered, and the prospectus and annual report of each are publicly available. |
I. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other Assets” on the Statement of Assets and Liabilities at September 30, 2018.
Note 5. Purchases and Sales of Securities
($ reported in thousands)
Purchases and sales of securities (excluding U.S. Government and agency securities and short-term securities) during the period ended September 30, 2018, were as follows:
Purchases | Sales | |||||||
Duff & Phelps Global Infrastructure Fund | $ | 37,522 | $ | 60,345 | ||||
Duff & Phelps Global Real Estate Securities Fund | 74,364 | 98,842 | ||||||
Duff & Phelps International Real Estate Securities Fund | 29,187 | 12,115 | ||||||
Herzfeld Fund | 48,416 | 40,594 | ||||||
Horizon Wealth Masters Fund | 18,759 | 30,274 | ||||||
KAR Emerging Markets Small-Cap Fund | 23,558 | 4,233 | ||||||
KAR International Small-Cap Fund | 696,625 | 95,307 | ||||||
Rampart Alternatives Diversifier Fund | 7,141 | 13,636 | ||||||
Rampart Equity Trend Fund | 274,590 | 450,340 |
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Purchases | Sales | |||||||
Rampart Multi-Asset Trend Fund | $ | 87,315 | $ | 118,657 | ||||
Rampart Sector Trend Fund | 827,853 | 893,873 | ||||||
Vontobel Global Opportunities Fund | 85,391 | 105,469 | ||||||
Vontobel Greater European Opportunities Fund | 2,217 | 10,637 |
There were no purchases or sales of long-term U.S. Government and agency securities for the Funds during the period ended September 30, 2018.
Note 6. Capital Share Transactions
(reported in thousands)
Transactions in shares of capital stock, during the periods ended as indicated below, were as follows:
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | |||||||||||||||||||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Sale of shares | 201 | $ | 3,002 | 702 | $ | 9,629 | 169 | $ | 4,993 | 569 | $ | 15,499 | ||||||||||||||||||||
Reinvestment of distributions | 69 | 1,014 | 146 | 1,965 | 10 | 285 | 49 | 1,295 | ||||||||||||||||||||||||
Shares repurchased | (516 | ) | (7,569 | ) | (1,951 | ) | (27,011 | ) | (361 | ) | (10,594 | ) | (2,143 | ) | (57,741 | ) | ||||||||||||||||
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Net Increase / (Decrease) | (246 | ) | $ | (3,553 | ) | (1,103 | ) | $ | (15,417 | ) | (182 | ) | $ | (5,316 | ) | (1,525 | ) | $ | (40,947 | ) | ||||||||||||
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Class C | ||||||||||||||||||||||||||||||||
Sale of shares | 55 | $ | 814 | 217 | $ | 2,983 | 42 | $ | 1,194 | 73 | $ | 1,939 | ||||||||||||||||||||
Reinvestment of distributions | 31 | 452 | 68 | 912 | 6 | 171 | 9 | 237 | ||||||||||||||||||||||||
Shares repurchased | (521 | ) | (7,591 | ) | (693 | ) | (9,593 | ) | (107 | ) | (3,045 | ) | (176 | ) | (4,735 | ) | ||||||||||||||||
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Net Increase / (Decrease) | (435 | ) | $ | (6,325 | ) | (408 | ) | $ | (5,698 | ) | (59 | ) | $ | (1,680 | ) | (94 | ) | $ | (2,559 | ) | ||||||||||||
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Class I | ||||||||||||||||||||||||||||||||
Sale of shares | 548 | $ | 8,108 | 2,260 | $ | 31,812 | 1,742 | $ | 51,658 | 3,140 | $ | 85,671 | ||||||||||||||||||||
Reinvestment of distributions | 93 | 1,367 | 134 | 1,843 | 112 | 3,250 | 157 | 4,220 | ||||||||||||||||||||||||
Shares repurchased | (2,288 | ) | (33,584 | ) | (1,523 | ) | (21,463 | ) | (2,429 | ) | (70,923 | ) | (1,839 | ) | (50,875 | ) | ||||||||||||||||
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Net Increase / (Decrease) | (1,647 | ) | $ | (24,109 | ) | 871 | $ | 12,192 | (575 | ) | $ | (16,015 | ) | 1,458 | $ | 39,016 | ||||||||||||||||
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Class R6 | ||||||||||||||||||||||||||||||||
Sale of shares | 909 | $ | 13,479 | — | $ | — | 36 | $ | 1,072 | 284 | $ | 8,017 | ||||||||||||||||||||
Reinvestment of distributions | 12 | 172 | — | — | 6 | 172 | — | (1) | 3 | |||||||||||||||||||||||
Shares repurchased | (121 | ) | (1,763 | ) | — | — | (95 | ) | (2,863 | ) | (13 | ) | (380 | ) | ||||||||||||||||||
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Net Increase / (Decrease) | 800 | $ | 11,888 | — | $ | — | (53 | ) | $ | (1,619 | ) | 271 | $ | 7,640 | ||||||||||||||||||
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Duff & Phelps International Real Estate Securities Fund | Herzfeld Fund | |||||||||||||||||||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Sale of shares | 32 | $ | 237 | 90 | $ | 591 | 309 | $ | 3,816 | 571 | $ | 6,540 | ||||||||||||||||||||
Reinvestment of distributions | 5 | 40 | 84 | 505 | 19 | 235 | 24 | 277 | ||||||||||||||||||||||||
Shares repurchased | (110 | ) | (805 | ) | (1,009 | ) | (6,526 | ) | (509 | ) | (6,360 | ) | (938 | ) | (10,697 | ) | ||||||||||||||||
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Net Increase / (Decrease) | (73 | ) | $ | (528 | ) | (835 | ) | $ | (5,430 | ) | (181 | ) | $ | (2,309 | ) | (343 | ) | $ | (3,880 | ) | ||||||||||||
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Class C | ||||||||||||||||||||||||||||||||
Sale of shares | 26 | $ | 183 | 8 | $ | 55 | 227 | $ | 2,820 | 460 | $ | 5,183 | ||||||||||||||||||||
Reinvestment of distributions | 1 | 8 | 15 | 88 | 33 | 410 | 39 | 447 | ||||||||||||||||||||||||
Shares repurchased | (38 | ) | (281 | ) | (162 | ) | (1,036 | ) | (315 | ) | (3,909 | ) | (347 | ) | (3,998 | ) | ||||||||||||||||
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Net Increase / (Decrease) | (11 | ) | $ | (90 | ) | (139 | ) | $ | (893 | ) | (55 | ) | $ | (679 | ) | 152 | $ | 1,632 | ||||||||||||||
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Class I | ||||||||||||||||||||||||||||||||
Sale of shares | 3,267 | $ | 24,362 | 1,130 | $ | 7,371 | 1,016 | $ | 12,659 | 2,471 | $ | 28,062 | ||||||||||||||||||||
Reinvestment of distributions | 69 | 499 | 238 | 1,434 | 97 | 1,208 | 96 | 1,119 | ||||||||||||||||||||||||
Shares repurchased | (1,041 | ) | (7,726 | ) | (1,612 | ) | (10,400 | ) | (1,212 | ) | (15,137 | ) | (1,430 | ) | (16,587 | ) | ||||||||||||||||
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Net Increase / (Decrease) | 2,295 | $ | 17,135 | (244 | ) | $ | (1,595 | ) | (99 | ) | $ | (1,270 | ) |
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(1) | Amount is less than 500 shares. |
106
Table of Contents
VIRTUS OPPORTUNITIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Horizon Wealth Masters Fund | KAR Emerging Markets Small-Cap Fund | |||||||||||||||||||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Sale of shares | 57 | $ | 1,021 | 163 | $ | 2,547 | 427 | $ | 5,081 | 136 | $ | 1,445 | ||||||||||||||||||||
Reinvestment of distributions | 9 | 163 | 13 | 207 | 1 | 7 | 1 | 10 | ||||||||||||||||||||||||
Shares repurchased | (271 | ) | (4,885 | ) | (1,241 | ) | (19,508 | ) | (178 | ) | (2,090 | ) | (28 | ) | (282 | ) | ||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (205 | ) | $ | (3,701 | ) | (1,065 | ) | $ | (16,754 | ) | 250 | $ | 2,998 | 109 | $ | 1,173 | ||||||||||||||||
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| |||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Sale of shares | 53 | $ | 931 | 106 | $ | 1,635 | 13 | $ | 155 | 16 | $ | 169 | ||||||||||||||||||||
Reinvestment of distributions | 9 | 158 | — | — | — | — | — | (1) | 2 | |||||||||||||||||||||||
Shares repurchased | (230 | ) | (4,018 | ) | (553 | ) | (8,446 | ) | (11 | ) | (131 | ) | — | (1) | (4 | ) | ||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (168 | ) | $ | (2,929 | ) | (447 | ) | $ | (6,811 | ) | 2 | $ | 24 | 16 | $ | 167 | ||||||||||||||||
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| |||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Sale of shares | 239 | $ | 4,372 | 1,013 | $ | 16,032 | 1,860 | $ | 22,164 | 384 | $ | 4,056 | ||||||||||||||||||||
Reinvestment of distributions | 13 | 233 | 13 | 198 | 8 | 97 | 10 | 93 | ||||||||||||||||||||||||
Shares repurchased | (491 | ) | (8,917 | ) | (622 | ) | (9,837 | ) | (211 | ) | (2,500 | ) | (80 | ) | (827 | ) | ||||||||||||||||
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|
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (239 | ) | $ | (4,312 | ) | 404 | $ | 6,393 | 1,657 | $ | 19,761 | 314 | $ | 3,322 | ||||||||||||||||||
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| |||||||||||||||||
KAR International Small-Cap Fund | Rampart Alternatives Diversifier Fund | |||||||||||||||||||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Sale of shares | 3,206 | $ | 56,125 | 1,332 | $ | 19,861 | 164 | $ | 1,870 | 270 | $ | 2,927 | ||||||||||||||||||||
Reinvestment of distributions | 21 | 336 | 5 | 76 | 8 | 96 | 22 | 240 | ||||||||||||||||||||||||
Shares repurchased | (1,573 | ) | (27,331 | ) | (351 | ) | (5,096 | ) | (289 | ) | (3,308 | ) | (1,048 | ) | (11,273 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | 1,654 | $ | 29,130 | 986 | $ | 14,841 | (117 | ) | $ | (1,342 | ) | (756 | ) | $ | (8,106 | ) | ||||||||||||||||
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| |||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Sale of shares | 1,503 | $ | 25,725 | 771 | $ | 11,570 | 15 | $ | 173 | 25 | $ | 268 | ||||||||||||||||||||
Reinvestment of distributions | 13 | 205 | 3 | 29 | 6 | 64 | 5 | 53 | ||||||||||||||||||||||||
Shares repurchased | (224 | ) | (3,863 | ) | (49 | ) | (690 | ) | (373 | ) | (4,216 | ) | (640 | ) | (6,835 | ) | ||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | 1,292 | $ | 22,067 | 725 | $ | 10,909 | (352 | ) | $ | (3,979 | ) | (610 | ) | $ | (6,514 | ) | ||||||||||||||||
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| |||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Sale of shares | 38,418 | $ | 674,226 | 8,528 | $ | 126,312 | 581 | $ | 6,663 | 808 | $ | 8,672 | ||||||||||||||||||||
Reinvestment of distributions | 205 | 3,334 | 94 | 1,288 | 18 | 202 | 42 | 449 | ||||||||||||||||||||||||
Shares repurchased | (4,585 | ) | (80,060 | ) | (897 | ) | (13,422 | ) | (663 | ) | (7,518 | ) | (861 | ) | (9,267 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | 34,038 | $ | 597,500 | 7,725 | $ | 114,178 | (64 | ) | $ | (653 | ) | (11 | ) | $ | (146 | ) | ||||||||||||||||
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| |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||
Sale of shares | 2,462 | $ | 42,126 | 2,429 | $ | 35,194 | — | $ | — | — | $ | — | ||||||||||||||||||||
Reinvestment of distributions | 52 | 839 | 7 | 107 | — | — | — | — | ||||||||||||||||||||||||
Shares repurchased | (602 | ) | (10,411 | ) | (175 | ) | (2,835 | ) | — | — | — | — | ||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | 1,912 | $ | 32,554 | 2,261 | $ | 32,466 | — | $ | — | — | $ | — | ||||||||||||||||||||
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(1) | Amount is less than 500 shares. |
107
Table of Contents
VIRTUS OPPORTUNITIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Rampart Equity Trend Fund | Rampart Multi-Asset Trend Fund | |||||||||||||||||||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Sale of shares | 274 | $ | 4,147 | 402 | $ | 5,102 | 202 | $ | 2,287 | 70 | $ | 729 | ||||||||||||||||||||
Reinvestment of distributions | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Shares repurchased | (3,189 | ) | (47,756 | ) | (10,567 | ) | (133,254 | ) | (566 | ) | (6,317 | ) | (1,284 | ) | (13,303 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (2,915 | ) | $ | (43,609 | ) | (10,165 | ) | $ | (128,152 | ) | (364 | ) | $ | (4,030 | ) | (1,214 | ) | $ | (12,574 | ) | ||||||||||||
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|
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|
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|
|
| |||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Sale of shares | 109 | $ | 1,569 | 185 | $ | 2,274 | 86 | $ | 940 | 108 | $ | 1,092 | ||||||||||||||||||||
Reinvestment of distributions | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Shares repurchased | (5,260 | ) | (75,083 | ) | (16,244 | ) | (198,159 | ) | (1,279 | ) | (13,882 | ) | (3,274 | ) | (32,980 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (5,151 | ) | $ | (73,514 | ) | (16,059 | ) | $ | (195,885 | ) | (1,193 | ) | $ | (12,942 | ) | (3,166 | ) | $ | (31,888 | ) | ||||||||||||
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|
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| |||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Sale of shares | 1,282 | $ | 19,512 | 3,598 | $ | 46,378 | 376 | $ | 4,197 | 296 | $ | 3,118 | ||||||||||||||||||||
Reinvestment of distributions | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Shares repurchased | (5,131 | ) | (76,344 | ) | (15,780 | ) | (198,999 | ) | (630 | ) | (7,117 | ) | (1,453 | ) | (15,043 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (3,849 | ) | $ | (56,832 | ) | (12,182 | ) | $ | (152,621 | ) | (254 | ) | $ | (2,920 | ) | (1,157 | ) | $ | (11,925 | ) | ||||||||||||
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| |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||
Sale of shares | 24 | $ | 353 | — | $ | — | — | $ | — | — | $ | — | ||||||||||||||||||||
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|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | 24 | $ | 353 | — | $ | — | — | $ | — | — | $ | — | ||||||||||||||||||||
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| |||||||||||||||||
Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | |||||||||||||||||||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Sale of shares | 275 | $ | 3,599 | 1,370 | $ | 15,660 | 477 | $ | 7,932 | 1,510 | $ | 22,056 | ||||||||||||||||||||
Conversion from Class B shares(2) | — | — | — | — | — | — | 10 | 149 | ||||||||||||||||||||||||
Reinvestment of distributions | 54 | 696 | 124 | 1,376 | 359 | 5,810 | 64 | 855 | ||||||||||||||||||||||||
Shares repurchased | (1,537 | ) | (20,032 | ) | (4,990 | ) | (57,059 | ) | (1,695 | ) | (28,249 | ) | (2,347 | ) | (34,085 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (1,208 | ) | $ | (15,737 | ) | (3,496 | ) | $ | (40,023 | ) | (859 | ) | $ | (14,507 | ) | (763 | ) | $ | (11,025 | ) | ||||||||||||
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| |||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||
Reinvestment of distributions | — | $ | — | — | $ | — | — | $ | — | — | (1) | $ | 1 | |||||||||||||||||||
Shares repurchased | — | — | — | — | — | — | (10 | ) | (119 | ) | ||||||||||||||||||||||
Conversion to Class A shares(2) | — | — | — | — | — | — | (12 | ) | (148 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | — | $ | — | — | $ | — | — | $ | — | (22 | ) | $ | (266 | ) | ||||||||||||||||||
|
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| |||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Sale of shares | 127 | $ | 1,638 | 639 | $ | 7,011 | 442 | $ | 6,289 | 666 | $ | 8,575 | ||||||||||||||||||||
Reinvestment of distributions | 2 | 22 | 52 | 569 | 136 | 1,893 | 12 | 139 | ||||||||||||||||||||||||
Shares repurchased | (2,415 | ) | (30,730 | ) | (6,991 | ) | (78,413 | ) | (511 | ) | (7,259 | ) | (474 | ) | (6,008 | ) | ||||||||||||||||
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (2,286 | ) | $ | (29,070 | ) | (6,300 | ) | $ | (70,833 | ) | 67 | $ | 923 | 204 | $ | 2,706 | ||||||||||||||||
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| |||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Sale of shares | 792 | $ | 10,251 | 3,160 | $ | 35,992 | 2,420 | $ | 40,329 | 2,580 | $ | 38,503 | ||||||||||||||||||||
Reinvestment of distributions | 58 | 744 | 107 | 1,180 | 195 | 3,157 | 14 | 185 | ||||||||||||||||||||||||
Shares repurchased | (2,396 | ) | (30,852 | ) | (6,464 | ) | (73,736 | ) | (2,547 | ) | (42,950 | ) | (1,416 | ) | (21,454 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | (1,546 | ) | $ | (19,857 | ) | (3,197 | ) | $ | (36,564 | ) | 68 | $ | 536 | 1,178 | $ | 17,234 | ||||||||||||||||
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| |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||
Sale of shares | — | $ | — | — | $ | — | 89 | $ | 1,496 | — | $ | — | ||||||||||||||||||||
Reinvestment of distributions | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Shares repurchased | — | — | — | — | (64 | ) | (1,089 | ) | — | — | ||||||||||||||||||||||
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Increase / (Decrease) | — | $ | — | — | $ | — | 25 | $ | 407 | — | $ | — | ||||||||||||||||||||
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|
|
|
(1) | Amount is less than 500 shares. |
(2) | See Note 1 in Notes to Financial Statements for more information. |
108
Table of Contents
VIRTUS OPPORTUNITIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Vontobel Greater European Opportunities Fund | ||||||||||||||||||||||||||||||||
Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||||||||||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | |||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Sale of shares | 50 | $ | 821 | 113 | $ | 1,829 | ||||||||||||||||||||||||||
Reinvestment of distributions | 30 | 476 | 8 | 110 | ||||||||||||||||||||||||||||
Shares repurchased | (110 | ) | (1,746 | ) | (597 | ) | (9,066 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net Increase / (Decrease) | (30 | ) | $ | (449 | ) | (476 | ) | $ | (7,127 | ) | ||||||||||||||||||||||
|
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|
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|
|
| |||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Sale of shares | 20 | $ | 319 | 33 | $ | 533 | ||||||||||||||||||||||||||
Reinvestment of distributions | 15 | 237 | 2 | 28 | ||||||||||||||||||||||||||||
Shares repurchased | (43 | ) | (670 | ) | (54 | ) | (845 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net Increase / (Decrease) | (8 | ) | $ | (114 | ) | (19 | ) | $ | (284 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Sale of shares | 72 | $ | 1,173 | 847 | $ | 13,291 | ||||||||||||||||||||||||||
Reinvestment of distributions | 37 | 587 | 14 | 196 | ||||||||||||||||||||||||||||
Shares repurchased | (497 | ) | (8,474 | ) | (863 | ) | (14,092 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net Increase / (Decrease) | (388 | ) | $ | (6,714 | ) | (2 | ) | $ | (605 | ) | ||||||||||||||||||||||
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|
Note 7. Indemnifications
Under the Trust’s organizational documents, and in separate agreements between each Trustee and the Trust, its Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust and its funds. In addition, in the normal course of business, the Trust and the Funds enter into contracts that provide a variety of indemnifications to other parties. The Trust’s and/or the Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust or the Funds and that have not occurred. However, neither the Trust nor the Funds have had prior claims or losses pursuant to these arrangements, and they expect the risk of loss to be remote.
Note 8. Credit Risk and Asset Concentration
In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as a Fund’s ability to repatriate such amounts.
High-yield/high-risk securities typically entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield/high-risk securities may be complex, and as a result, it may be more difficult for the Adviser and/or Subadvisers to accurately predict risk.
Certain Funds may invest a high percentage of their assets in specific sectors of the market in the pursuit of their investment objectives. Fluctuations in these sectors of concentration may have a greater impact on a Fund, positive or negative, than if the Fund did not concentrate its investments in such sectors.
At September 30, 2018, the following Funds held securities issued by various companies in specific sectors as detailed below:
Fund | Sector | Percentage of Total Investments | ||||
Duff & Phelps Global Infrastructure Fund | Utilities | 41 | % | |||
Duff & Phelps Global Infrastructure Fund | Industrials | 29 | % | |||
Duff & Phelps Global Real Estate Fund | Real Estate Operating Companies | 25 | % | |||
Duff & Phelps International Real Estate Securities Fund | Real Estate Operating Companies | 47 | % | |||
Horizon Wealth Masters Fund | Consumer Discretionary | 34 | % | |||
KAR Emerging Markets Small-Cap Fund | Information Technology | 29 | % | |||
KAR International Small-Cap Fund | Information Technology | 33 | % | |||
Vontobel Greater European Opportunities Fund | Consumer Staples | 26 | % |
Note 9. 10% Shareholders
As of September 30, 2018, certain Funds had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of each such Fund as detailed below:
% of Shares Outstanding | Number of Accounts | |||||||
Duff & Phelps Global Real Estate Securities Fund# | 36 | % | 3 | |||||
Duff & Phelps International Real Estate Securities Fund# | 58 | 2 | ||||||
Herzfeld Fund | 51 | 3 | ||||||
Horizon Wealth Masters Fund | 13 | 1 |
109
Table of Contents
VIRTUS OPPORTUNITIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
% of Shares Outstanding | Number of Accounts | |||||||
KAR Emerging Markets Small-Cap Fund | 55 | % | 2 | * | ||||
KAR International Small-Cap Fund | 59 | 4 | ||||||
Rampart Equity Trend Fund | 22 | 2 | ||||||
Rampart Multi-Asset Trend Fund | 23 | 1 | ||||||
Rampart Sector Trend Fund | 10 | 1 | ||||||
Vontobel Global Opportunities Fund | 13 | 1 | ||||||
Vontobel Greater European Opportunities Fund | 46 | 3 |
* | Includes affiliated shareholder account. |
# | The Fund is owned by Rampart Alternatives Diversifier Fund. Rampart Alternatives Diversifier Fund does not invest in the underlying Funds for the purpose of exercising management or control; however, investments made may represent a significant portion of an underlying Fund’s net assets. At September 30, 2018, the affiliated funds held by the Rampart Alternatives Diversifier Fund were less than 10% each. |
Note 10. Federal Income Tax Information
($ reported in thousands)
At September 30, 2018, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Funds were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Duff & Phelps Global Infrastructure Fund | $ | 81,665 | $ | 13,220 | $ | (3,575 | ) | $ | 9,645 | |||||||
Duff & Phelps Global Real Estate Securities Fund | 155,078 | 24,110 | (3,191 | ) | 20,919 | |||||||||||
Duff & Phelps International Real Estate Securities Fund | 39,387 | 3,816 | (848 | ) | 2,968 | |||||||||||
Herzfeld Fund | 59,907 | 4,580 | (631 | ) | 3,949 | |||||||||||
Horizon Wealth Masters Fund | 56,839 | 17,925 | (1,781 | ) | 16,144 | |||||||||||
KAR Emerging Markets Small-Cap Fund | 32,843 | 2,405 | (1,582 | ) | 823 | |||||||||||
KAR International Small-Cap Fund | 892,814 | 43,209 | (23,825 | ) | 19,384 | |||||||||||
Rampart Alternatives Diversifier Fund | 58,401 | 5,057 | (24,321 | ) | (19,264 | ) | ||||||||||
Rampart Equity Trend Fund | 328,997 | 111,644 | (5,026 | ) | 106,618 | |||||||||||
Rampart Multi-Asset Trend Fund | 63,660 | 6,678 | (686 | ) | 5,992 | |||||||||||
Rampart Sector Trend Fund | 205,557 | 39,336 | (3,163 | ) | 36,173 | |||||||||||
Vontobel Global Opportunities Fund | 146,743 | 70,155 | (3,502 | ) | 66,653 | |||||||||||
Vontobel Greater European Opportunities Fund | 5,315 | 2,241 | (63 | ) | 2,178 |
Certain Funds have capital loss carryovers available to offset future realized capital gains, through the indicated expiration dates shown below:
2019 | No Expiration | Total | ||||||||||||||||||||||
Short-Term | Long-Term | Short-Term | Long-Term | Short-Term | Long-Term | |||||||||||||||||||
Duff & Phelps International Real Estate Securities Fund | $ | 884 | $ | — | $ | 1,204 | $ | — | $ | 2,088 | $ | — | ||||||||||||
KAR Emerging Markets Small-Cap Fund | — | — | — | 193 | — | 193 | ||||||||||||||||||
Rampart Equity Trend Fund | — | — | 478,968 | — | 478,968 | — | ||||||||||||||||||
Rampart Multi-Asset Trend Fund | — | — | 22,620 | — | 22,620 | — | ||||||||||||||||||
Rampart Sector Trend Fund | — | — | 22,065 | — | 22,065 | — |
The Trust may not realize the benefit of these losses to the extent each Fund does not realize gains on investments prior to the expiration of the capital loss carryovers.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized for tax years beginning after December 22, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
For the period ended September 30, 2018, the following Funds utilized losses deferred in prior years against current year capital gains:
Fund | ||||
Duff & Phelps International Real Estate Securities Fund | $ | 492 | ||
Herzfeld Fund | 365 | |||
KAR Emerging Markets Small-Cap Fund | 194 | |||
Rampart Alternatives Diversifier Fund | 1,735 | |||
Rampart Equity Trend Fund | 62,573 | |||
Rampart Multi-Asset Trend Fund | 5,568 | |||
Rampart Sector Trend Fund | 35,256 |
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SEPTEMBER 30, 2018
The following funds had capital loss carryovers which expired:
Fund | ||||
Duff & Phelps International Real Estate Securities Fund | $ | 3,884 | ||
Rampart Alternatives Diversifier Fund | 47,036 | |||
Rampart Sector Trend Fund | 1,080 |
Capital losses realized after October 31, and certain late year ordinary losses may be deferred and treated as occurring on the first day of the following fiscal year. For the fiscal year ended September 30, 2018, the Funds deferred and recognized post-October losses as follows:
Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Deferred | Capital Loss Recognized | |||||||||||||
Duff & Phelps Global Infrastructure Fund | $ | — | $ | — | $ | — | $ | — | ||||||||
Duff & Phelps Global Real Estate Securities Fund | — | — | 17 | — | ||||||||||||
Duff & Phelps International Real Estate Securities Fund | — | — | 312 | 107 | ||||||||||||
Herzfeld Fund | — | — | — | — | ||||||||||||
Horizon Wealth Masters Fund | — | 11 | — | — | ||||||||||||
KAR Emerging Markets Small-Cap Fund | — | — | — | — | ||||||||||||
KAR International Small-Cap Fund | — | — | — | — | ||||||||||||
Rampart Alternatives Diversifier Fund | — | — | — | — | ||||||||||||
Rampart Equity Trend Fund | 779 | 601 | — | — | ||||||||||||
Rampart Multi-Asset Trend Fund | — | 124 | 832 | — | ||||||||||||
Rampart Sector Trend Fund | — | — | — | 2,359 | ||||||||||||
Vontobel Global Opportunities Fund | — | — | — | — | ||||||||||||
Vontobel Greater European Opportunities Fund | — | — | — | — |
The components of distributable earnings on a tax basis (excluding unrealized appreciation (depreciation) which are disclosed above) consist of the following:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | |||||||
Duff & Phelps Global Infrastructure Fund | $ | 436 | $ | 2,620 | ||||
Duff & Phelps Global Real Estate Securities Fund | 5,161 | — | ||||||
Duff & Phelps International Real Estate Securities Fund | 1,650 | — | ||||||
Herzfeld Fund | 1,018 | 3,240 | ||||||
Horizon Wealth Masters Fund | 597 | 3,480 | ||||||
KAR Emerging Markets Small-Cap Fund | 192 | — | ||||||
KAR International Small-Cap Fund | 8,703 | 3,345 | ||||||
Rampart Alternatives Diversifier Fund | 293 | — | ||||||
Rampart Multi-Asset Trend Fund | 85 | — | ||||||
Rampart Sector Trend Fund | 593 | — | ||||||
Vontobel Global Opportunities Fund | 798 | 19,443 | ||||||
Vontobel Greater European Opportunities Fund | 85 | 1,549 |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term gain distributions reported in the Statements of Changes in Net Assets, if any, are reported as ordinary income for federal tax purposes. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
The tax character of dividends and distributions paid during the periods ended September 30, 2018, and September 30, 2017, respectively, was as follows:
2018 | 2017 | |||||||||||||||||||||||
Ordinary Income | Long-Term Capital Gains | Total | Ordinary Income | Long-Term Capital Gains | Total | |||||||||||||||||||
Duff & Phelps Global Infrastructure Fund | $ | 3,184 | $ | — | $ | 3,184 | $ | 2,178 | $ | 3,053 | $ | 5,231 | ||||||||||||
Duff & Phelps Global Real Estate Securities Fund | 3,788 | 245 | 4,033 | 5,721 | 214 | 5,935 | ||||||||||||||||||
Duff & Phelps International Real Estate Securities Fund | 550 | — | 550 | 2,094 | — | 2,094 | ||||||||||||||||||
Herzfeld Fund | 1,664 | 194 | 1,858 | 1,849 | — | 1,849 | ||||||||||||||||||
Horizon Wealth Masters Fund | 476 | 123 | 599 | 429 | — | 429 | ||||||||||||||||||
KAR Emerging Markets Small-Cap Fund | 109 | — | 109 | 105 | — | 105 | ||||||||||||||||||
KAR International Small-Cap Fund | | 4,742 | | | — | | | 4,742 | | 1,527 | — | 1,527 | ||||||||||||
Rampart Alternatives Diversifier Fund | 394 | — | 394 | 810 | — | 810 | ||||||||||||||||||
Rampart Equity Trend Fund | — | — | — | — | — | — | ||||||||||||||||||
Rampart Multi-Asset Trend Fund | — | — | — | — | — | — | ||||||||||||||||||
Rampart Sector Trend Fund | 1,716 | — | 1,716 | 3,654 | — | 3,654 | ||||||||||||||||||
Vontobel Global Opportunities Fund | 3,156 | 9,801 | 12,957 | 593 | 996 | 1,589 | ||||||||||||||||||
Vontobel Greater European Opportunities Fund | 203 | 1,100 | 1,303 | 334 | — | 334 |
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
For financial reporting purposes, book basis capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Permanent reclassifications can arise from differing treatment of certain income and gain transactions, nondeductible current year net operating losses, expiring capital loss carryovers and investments in passive foreign investment companies. The reclassifications have no impact on the net assets or NAV of the Funds. As of September 30, 2018, the Funds recorded reclassifications to increase (decrease) the accounts as listed below:
Capital Paid in on Shares of Beneficial Interest | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) | ||||||||||
Duff & Phelps Global Infrastructure Fund | $ | — | $ | 25 | $ | (25 | ) | |||||
Duff & Phelps Global Real Estate Securities Fund | — | (1) | 3,198 | (3,198 | ) | |||||||
Duff & Phelps International Real Estate Securities Fund | (3,884 | ) | 1,371 | 2,513 | ||||||||
Herzfeld Fund | — | 261 | (261 | ) | ||||||||
Horizon Wealth Masters Fund | — | 117 | (117 | ) | ||||||||
KAR Emerging Markets Small-Cap Fund | — | (7 | ) | 7 | ||||||||
KAR International Small-Cap Fund | — | (509 | ) | 509 | ||||||||
Rampart Alternatives Diversifier Fund | (47,035 | ) | 69 | 46,966 | ||||||||
Rampart Equity Trend Fund | (902 | ) | 898 | 4 | ||||||||
Rampart Multi-Asset Trend Fund | — | 3 | (3 | ) | ||||||||
Rampart Sector Trend Fund | (1,080 | ) | (5 | ) | 1,085 | |||||||
Vontobel Global Opportunities Fund | — | (42 | ) | 42 | ||||||||
Vontobel Greater European Opportunities Fund | — | 57 | (57 | ) |
(1) | Amount is less than $500. |
Note 11. Redemption Facility
($ reported in thousands)
On September 18, 2017, the Funds and certain other affiliated funds entered into an $150,000 unsecured line of credit (“Credit Agreement”). This Credit Agreement, as amended, is with a commercial bank that allows the Funds to borrow cash from the bank to manage large unexpected redemptions and trade fails, up to a limit of one-third of each Fund’s total net assets in accordance with the terms of the agreement. This Credit Agreement has a term of 364 days and has been renewed for a period up to March 14, 2019. Interest is charged at the higher of the London Interbank Offered Rate (“LIBOR”) or the Federal Funds rate plus an additional percentage rate on the amount borrowed. Commitment fees are charged on the undrawn balance. The Funds and other affiliated funds that are parties are individually, and not jointly, liable for their particular advances, if any, under the line of credit. The lending bank has the ability to require repayment of outstanding borrowings under this Credit Agreement upon certain circumstances such as an event of default.
From March 22, 2018, to March 26, 2018, the Duff & Phelps Global Real Estate Securities Fund made borrowings. The average daily borrowings under the Agreement and the weighted daily average interest rate were $2,520 and 3.12%, respectively. No other Funds made borrowings during the period and no Fund had any outstanding borrowings as of September 30, 2018.
Note 12. Illiquid and Restricted Securities
($ reported in thousands)
Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by a Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment.
Restricted securities are not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.
Each Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.
The following Funds held securities considered to be illiquid at September 30, 2018:
Fund | Aggregate Value | % of Fund’s net assets | ||||||
Duff & Phelps Global Real Estate Securities Fund | $ | — | (1) | 0.0 | % | |||
Duff & Phelps International Real Estate Securities Fund | $ | — | (1) | 0.0 |
(1) | Amount is less than $500. |
At September 30, 2018, the Funds did not hold any securities that were restricted.
Note 13. Exemptive Order
On August 23, 2010, the SEC issued an amended order under Section 12(d)(1)(J) of the 1940 Act granting an exemption from Sections 12(d)(1)(A) and (B) of the 1940 Act and under Sections 6(c) and 17(b) of the 1940 Act granting an exemption from Section 17(a) of the 1940 Act, which permits the Trust to invest in other affiliated and unaffiliated funds, including ETFs, in each case subject to certain conditions.
Note 14. Regulatory Matters and Litigation
From time to time, the Trust, the Funds’ Adviser and/or Subadvisers and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client
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SEPTEMBER 30, 2018
investment guidelines, laws governing the activities of broker dealers and other laws and regulations affecting their products and other activities. At this time, the Adviser believes that the outcomes of such matters are not likely, either individually or in aggregate, to be material to these financial statements.
On February 20, 2015, a putative class action complaint (In re Virtus Investment Partners, Inc. Securities Litigation; formerly styled as Tom Cummins v. Virtus Investment Partners Inc., et al.) alleging violations of certain provisions of the federal securities laws was filed by an individual shareholder against Virtus and certain of its officers (the “defendants”) in the United States District Court for the Southern District of New York. On August 21, 2015, the lead plaintiff filed a Consolidated Class Action Complaint (the “Consolidated Complaint”) amending the originally filed complaint and adding the Trust as a defendant. The Consolidated Complaint was purportedly filed on behalf of all purchasers of Virtus common stock between January 25, 2013 and May 11, 2015 (the “Class Period”). The Consolidated Complaint alleges that during the Class Period, the defendants disseminated materially false and misleading statements and concealed material adverse facts relating to certain funds previously subadvised by F-Squared Investments, Inc. and/or its affiliates (“F-Squared”). The plaintiff seeks to recover unspecified damages. A motion to dismiss the Consolidated Complaint was filed on behalf of the defendants on October 21, 2015. Pursuant to an Opinion & Order (“Order”) filed on July 1, 2016, the court granted in part and denied in part the defendants’ motion to dismiss. Although the Order narrows the scope of the claims asserted and dismisses one of the defendants from the suit, claims under Sections 10(b) and 20(a) of the Exchange Act and Rule 10b-5 thereunder survive the motion. The remaining defendants filed an Answer to the Consolidated Complaint on August 5, 2016. Pursuant to an Opinion & Order filed on May 15, 2017, the plaintiff’s motion for class certification, was granted by the court. Discovery has since been completed. On October 6, 2017, defendants moved for summary judgment. Briefing on the motion for summary judgment was completed on December 22, 2017, and oral argument was held on January 18, 2018, where the Court reserved decision. Virtus and its affiliates, including the Adviser, believe that the suit is without merit. Nevertheless, on February 6, 2018, Virtus reached an agreement in principle with the plaintiffs, subject to Court approval, settling all claims in the litigation, in order to avoid the cost, distractions, disruption, and inherent litigation uncertainty. The Court gave its preliminary approval by order dated June 28, 2018, and a hearing for final approval was held on October 24, 2018, with no objections to the settlement presented. Upon approval by the Court, which Virtus believes is likely, the resolution of this matter will not have a material impact on the results of operations, cash flows or its consolidated financial condition for Virtus. Whether or not the settlement is approved by the Court, the Trust believes that the risk of loss to the Funds as a result of this suit is remote and the Adviser does not believe that the suit will have any impact on its ability to provide services to the Funds.
Note 15. Recent Accounting Pronouncements
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”), ASU No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the policy for the timing of transfers between levels and the valuation process for Level 3 fair value measurements. For public companies, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Management has evaluated the implications of certain provisions of ASU No. 2018-13 and has determined to early adopt all aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately.
In August 2018, the SEC adopted amendments to Regulation S-X which are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the information provided to investors. The amendments include eliminating the requirement to: separately state book basis components of net assets on the Statement of Assets & Liabilities; separately state the sources of distributions paid (except tax return of capital distributions must still be separately disclosed) on the Statement of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statement of Changes in Net Assets. The compliance date for the amendments to Regulation S-X is for filings made with the SEC after November 5, 2018. The adoption will have no effect on the Funds’ net assets or results of operations.
Note 16. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available for issuance and has determined that there are no subsequent events requiring recognition or disclosure in these financial statements.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Virtus Opportunities Trust and Shareholders of Virtus Duff & Phelps Global Infrastructure Fund, Virtus Duff & Phelps Global Real Estate Securities Fund, Virtus Duff & Phelps International Real Estate Securities Fund, Virtus Herzfeld Fund, Virtus Horizon Wealth Masters Fund, Virtus KAR Emerging Markets Small-Cap Fund, Virtus KAR International Small-Cap Fund, Virtus Rampart Alternatives Diversifier Fund, Virtus Rampart Equity Trend Fund, Virtus Rampart Multi-Asset Trend Fund, Virtus Rampart Sector Trend Fund, Virtus Vontobel Global Opportunities Fund and Virtus Vontobel Greater European Opportunities Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Virtus Duff & Phelps Global Infrastructure Fund, Virtus Duff & Phelps Global Real Estate Securities Fund, Virtus Duff & Phelps International Real Estate Securities Fund, Virtus Herzfeld Fund, Virtus Horizon Wealth Masters Fund, Virtus KAR Emerging Markets Small-Cap Fund, Virtus KAR International Small-Cap Fund, Virtus Rampart Alternatives Diversifier Fund, Virtus Rampart Equity Trend Fund, Virtus Rampart Multi-Asset Trend Fund, Virtus Rampart Sector Trend Fund, Virtus Vontobel Global Opportunities Fund and Virtus Vontobel Greater European Opportunities Fund (thirteen of the Funds constituting Virtus Opportunities Trust, hereafter collectively referred to as the “Funds”) as of September 30, 2018, the related statements of operations for the year ended September 30, 2018, the statements of changes in net assets for each of the two years in the period ended September 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2018 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018 by correspondence with the custodian, transfer agents and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 20, 2018
We have served as the Virtus Mutual Funds’ auditor since at least 1977. We have not been able to determine the specific year we began serving as auditor.
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TAX INFORMATION NOTICE (Unaudited)
SEPTEMBER 30, 2018
For the fiscal year ended September 30, 2018, the Funds make the following disclosures for federal income tax purposes. Below is listed the percentages, or the maximum amount allowable, of its ordinary income dividends (“QDI”) to qualify for the lower tax rates applicable to individual shareholders, and the percentage of ordinary income dividends earned by the Funds which qualifies for the dividends received deduction (“DRD”) for corporate shareholders. The actual percentage of QDI and DRD for the calendar year will be designated in year-end tax statements. The Funds designate the amounts below as long-term capital gains dividends (“LTCG”) taxable at a 20% rate, or lower depending on the shareholder’s income ($ reported in thousands). LTCG amounts, if subsequently different, will be designated in the next annual report.
QDI | DRD | LTCG | ||||||||||
Duff & Phelps Global Infrastructure Fund | 100 | % | 46 | % | $ | 2,620 | ||||||
Duff & Phelps Global Real Estate Securities Fund | 19 | — | 245 | |||||||||
Duff & Phelps International Real Estate Securities Fund | 23 | — | — | |||||||||
Herzfeld Fund | 34 | 7 | 3,434 | |||||||||
Horizon Wealth Masters Fund | 100 | 98 | 3,603 | |||||||||
KAR Emerging Markets Small-Cap Fund | 87 | — | — | |||||||||
KAR International Small-Cap Fund | 78 | — | 3,345 | |||||||||
Rampart Alternatives Diversifier Fund | 100 | 46 | — | |||||||||
Rampart Equity Trend Fund | — | — | — | |||||||||
Rampart Multi-Asset Trend Fund | | 100 | | | 100 | | | — | | |||
Rampart Sector Trend Fund | 100 | 100 | — | |||||||||
Vontobel Global Opportunities Fund | 100 | 93 | 20,018 | |||||||||
Vontobel Greater European Opportunities Fund | 100 | 11 | 2,037 |
For the fiscal year ended September 30, 2018, certain Funds are disclosing the following information pursuant to notice requirements of Section 853(a) and 855(d) of the Internal Revenue Code, as amended, and the Treasury Regulations thereunder ($ reported in thousands).
Foreign Source Income Recognized | Foreign Taxes Paid on Foreign Source Income | |||||||
Duff & Phelps Global Infrastructure Fund | $ | — | $ | — | ||||
Duff & Phelps Global Real Estate Securities Fund | — | — | ||||||
Duff & Phelps International Real Estate Securities Fund | 1,797 | 117 | ||||||
Herzfeld Fund | 233 | 24 | ||||||
Horizon Wealth Masters Fund | — | — | ||||||
KAR Emerging Markets Small-Cap Fund | 575 | 78 | ||||||
KAR International Small-Cap Fund | 13,211 | 1,224 | ||||||
Rampart Alternatives Diversifier Fund | 136 | 12 | ||||||
Rampart Equity Trend Fund | — | — | ||||||
Rampart Multi-Asset Trend Fund | — | — | ||||||
Rampart Sector Trend Fund | — | — | ||||||
Vontobel Global Opportunities Fund | — | — | ||||||
Vontobel Greater European Opportunities Fund | 228 | 25 |
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FUND MANAGEMENT TABLES (Unaudited)
Information pertaining to the Trustees and officers of the Trust as of the date of issuance of this report, is set forth below. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling (800) 243-4361.
The address of each individual, unless otherwise noted, is c/o Virtus Opportunities Trust, 100 Pearl Street, Hartford, CT 06103. There is no stated term of office for Trustees or officers of the Trust.
Independent Trustees
Name, Year of Birth, Length of Time Served and | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee | |
Brown, Thomas J. YOB: 1945 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). | |
Burke, Donald C. YOB: 1960 Served Since: 2016 75 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014) closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). | |
Gelfenbien, Roger A. YOB: 1943 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2000), Virtus Variable Insurance Trust (8 portfolios); and Director (1999 to 2017), USAllianz Variable Insurance Product Trust (42 portfolios). | |
Harris, Sidney E. YOB: 1949 Served Since: 2017 71 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University; Trustee (since 2017), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Trustee (since 1999) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (2012 to 2017), International University of the Grand Bassam; and Trustee (2011 to 2015), Genspring Family Offices, LLC. | |
Mallin, John R. YOB: 1950 Served Since: 2016 71 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm), Real Property Practice Group; and Member (since 2014), Counselors of Real Estate. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). | |
McClellan, Hassell H. YOB: 1945 Served Since: 2015 71 Portfolios | Retired (since 2013); and Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Mutual Fund Family (60 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). | |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 71 Portfolios | Retired (since 2013); and Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President Global Finance Transformation (2007 to 2009); Vice President and Controller (1999 to 2007), The Coca-Cola Company; Trustee (since 2017), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2014), Total System Services, Inc.; and Trustee (2005 to 2017), RidgeWorth Funds. | |
McLoughlin, Philip YOB: 1946 Served Since: 1999 79 Portfolios | Retired. Director and Chairman (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Director and Chairman (since 2014) Duff & Phelps Select Energy MLP Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (since 1991) and Chairman (since 2010), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (60 portfolios). | |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 75 Portfolios | Retired. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (60 portfolios). | |
Oates, James M. YOB: 1946 Served Since: 2000 75 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). Director (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (60 portfolios). |
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FUND MANAGEMENT TABLES (Unaudited) (Continued)
Independent Trustees (Continued)
Name, Year of Birth, Length of Time Served and | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee | |
Segerson, Richard E. YOB: 1946 Served Since: 2000 71 Portfolios | Retired; and Managing Director (1998 to 2013), Northway Management Company. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (60 portfolios). |
Interested Trustee
Name, Year of Birth, Year Elected and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee | |
Aylward, George R.* Trustee and President YOB: 1964 Elected: 2006 77 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions with Virtus affiliates (since 2005). Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (3 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (60 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
* Mr. Aylward is an “interested person,” as defined in the 1940 Act, by reason of his position as President and Chief Executive Officer of Virtus Investment Partners, Inc. (“Virtus”), the ultimate parent company of the Adviser, and various positions with its affiliates, including the Adviser.
Officers of the Trust Who Are Not Trustees
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years | ||
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Global Utility Income Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. | ||
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013); Vice President (2005 to 2013); Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2005) with Virtus affiliates; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President(2011 to 2013), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select Energy MLP Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
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FUND MANAGEMENT TABLES (Unaudited) (Continued)
Officers of the Trust Who Are Not Trustees (Continued)
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years | ||
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2003) with Virtus affiliates; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. | ||
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; Senior Vice President (since 2018), Virtus Closed-End Funds; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). | ||
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Director (since 2013), Virtus Global Funds PLC; and Executive Vice President (since 2013), Virtus Alternative Solutions Trust. |
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Virtus Duff & Phelps Global Infrastructure Fund,
a series of Virtus Opportunities Trust
Supplement dated September 28, 2018 to the
Prospectuses dated January 29, 2018, as supplemented
IMPORTANT NOTICETO INVESTORS
Effective September 28, 2018, Steven Wittwer is added as a portfolio manager of Virtus Duff & Phelps Global Infrastructure Fund, (the “Fund”). The resulting disclosure changes to the Fund’s prospectuses are described below.
The following disclosure is hereby added under “Portfolio Management” in the summary prospectus for the Fund, and in the summary section of the Fund’s statutory prospectus:
> | Steven Wittwer, CFA, CPA, Managing Director of Duff & Phelps, is a manager of the fund since September 2018. |
In the section “Portfolio Management” on page 186 of the statutory prospectus, the table under the subheading “Duff & Phelps” is hereby amended for the Fund with the following:
Virtus Duff & Phelps Global Infrastructure Fund | Connie M. Luecke, CFA (since the fund’s inception in 2004) Steven Wittwer, CFA, CPA (since September 2018) |
The portfolio manager biographies under the referenced table are hereby amended by adding the following information for Mr. Wittwer:
Steven Wittwer, CFA, CPA. Mr. Wittwer joined Duff & Phelps in January 2017 and serves as Managing Director, Portfolio Manager and Senior Analyst for the Global Listed Infrastructure Strategy. Mr. Wittwer concentrates his research on the global communications and transportation sectors. Prior to joining Duff & Phelps in 2017, he was a Portfolio Manager and Senior Equity Analyst at Great Lakes Advisors in Chicago (2013 to 2016), and previously worked for UBS Global Asset Management for 14 years in various capacities.
All other disclosure concerning the Fund, including fees, expenses, investment objective, strategies and risks remains unchanged.
Investors should retain this supplement with the Prospectuses for future reference.
VOT 8020/GlobalInfraPMChanges (09/2018)
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Virtus Herzfeld Fund, a series of Virtus Opportunities Trust
Supplement dated September 28, 2018 to the
Prospectuses dated January 29, 2018, as supplemented
IMPORTANT NOTICETO INVESTORS
Effective September 28, 2018, Ryan Paylor is added as a portfolio manager of Virtus Herzfeld Fund (the “Fund”). The resulting disclosure changes to the Fund’s prospectuses are described below.
The following disclosure is hereby added under “Portfolio Management” in the summary prospectus for the Fund, and in the summary section of the Fund’s statutory prospectus:
> | Ryan Paylor, Portfolio Manager at Herzfeld. Mr. Paylor has served as a Portfolio Manager of the fund since September 2018. |
In the section “Portfolio Management” on page 187 of the statutory prospectus, the table under the subheading “Herzfeld” is hereby amended for the Fund with the following:
Virtus Herzfeld Fund | Erik M. Herzfeld (since the fund’s inception in September 2012) Thomas J. Herzfeld (since the fund’s inception in September 2012) Ryan Paylor (since September 2018) |
The portfolio manager biographies under the referenced table are hereby amended by adding the following information for Mr. Paylor:
Ryan Paylor. Mr. Paylor is a Portfolio Manager at Herzfeld and is responsible for research, trading, and portfolio management activities. He also serves as a portfolio manager for a closed-end fund managed by Herzfeld. Before joining the firm as a Senior Trader in 2012, Mr. Paylor served in various roles at JP Morgan Chase on the FX Derivatives Operations team (2005 to 2012).
All other disclosure concerning the Fund, including fees, expenses, investment objective, strategies and risks remains unchanged.
Investors should retain this supplement with the Prospectuses for future reference.
VOT 8020/HerzfeldPMChanges (9/2018)
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VIRTUS OPPORTUNITIES TRUST
101 Munson Street
Greenfield, MA 01301-9668
Trustees
Philip R. McLoughlin, Chairman
George R. Aylward
Thomas J. Brown
Donald C. Burke
Roger A. Gelfenbien
Sidney E. Harris
John R. Mallin
Hassell H. McClellan
Connie D. McDaniel
Geraldine M. McNamara
James M. Oates
Richard E. Segerson
Officers
George R. Aylward, President
Peter Batchelar, Senior Vice President
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer
Kevin J. Carr, Senior Vice President, Chief Legal Officer, Counsel and Secretary
Nancy J. Engberg, Senior Vice President and Chief Compliance Officer
Julia R. Short, Senior Vice President
Francis G. Waltman, Executive Vice President
Investment Adviser
Virtus Investment Advisers, Inc.
100 Pearl Street
Hartford, CT 06103-4506
Principal Underwriter
VP Distributors, LLC
100 Pearl Street
Hartford, CT 06103-4506
Administrator and Transfer Agent
Virtus Fund Services, LLC
100 Pearl Street
Hartford, CT 06103-4506
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286-1048
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
2001 Market Street
Philadelphia, PA 19103-7042
How to Contact Us
Mutual Fund Services | 1-800-243-1574 | |
Adviser Consulting Group | 1-800-243-4361 | |
Website | Virtus.com |
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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| ||
P.O. Box 9874 Providence, RI 02940-8074 |
For more information about Virtus Mutual Funds,
please call your financial representative, contact us
at 1-800-243-1574, or visit Virtus.com.
8637 | 11-18 |
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ANNUAL REPORT VIRTUS OPPORTUNITIES TRUST |
September 30, 2018
Virtus Duff & Phelps Real Estate Securities Fund |
Not FDIC Insured
No Bank Guarantee
May Lose Value
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Virtus Duff & Phelps Real Estate Securities Fund
(“Duff & Phelps Real Estate Securities Fund”)
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PROXY VOTING PROCEDURES AND VOTING RECORD (FORM N-PX)
The subadviser votes proxies relating to portfolio securities in accordance with procedures that have been approved by the Board of Trustees of the Trust (“Trustees,” or the “Board”). You may obtain a description of these procedures, along with information regarding how the Fund voted proxies during the most recent 12-month period ended June 30, free of charge, by calling toll-free 1-800-243-1574. This information is also available through the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.
FORM N-Q INFORMATION
The Trust files a complete schedule of portfolio holdings for the Fund with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov. Form N-Q may be reviewed and copied at the SEC’s Public Reference Room. Information on the operation of the SEC’s Public Reference Room can be obtained by calling toll-free 1-800-SEC-0330.
This report is not authorized for distribution to prospective investors in the Duff & Phelps Real Estate Securities Fund unless preceded or accompanied by an effective prospectus which includes information concerning the sales charge, the Fund’s record and other pertinent information.
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To My Fellow Shareholders of Virtus Mutual Funds:
I am pleased to present this annual report that reviews the performance of your fund for the 12 months ended September 30, 2018.
U.S. economic growth and strong corporate earnings were consistent themes during the period, which began on an optimistic note with the sweeping tax overhaul that was signed into law at the end of 2017. As growth heated up, inflation fears caused stock markets to plunge in early February, ushering in the return of volatility after being conspicuously absent throughout 2017. Global trade war concerns sparked by the Trump administration’s tariff talk caused markets to remain unsettled into March before resuming an upward course through the spring and late summer. Meanwhile, persistent economic strength moved the Federal | ||
Reserve to hike its key interest rate four times in the period, most recently in late September, to end at 2.25%, its highest level in nearly a decade.
For the 12 months ended September 30, 2018, U.S. large-cap stocks, as measured by the S&P 500® Index, returned 17.91%, outpacing small-cap stocks, which returned 15.24%, as measured by the Russell 2000® Index. Within international equities, performance was mixed with developed markets up 2.74%, as measured by the MSCI EAFE® Index (net), and emerging markets down 0.81%, as measured by the MSCI Emerging Markets Index (net).
In the fixed income markets, the yield on the 10-year Treasury steadily climbed, to reach 3.05% at September 30, 2018, up from 2.33% at September 30, 2017. The broader U.S. fixed income market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index, which tracks Treasuries and other investment-grade debt securities, declined 1.22% for the 12 months. Non-investment grade bonds eked out a positive return of 3.05%, as measured by the Bloomberg Barclays U.S. Corporate High Yield Bond Index.
Market uncertainty is an ever-present reminder of the importance of portfolio diversification, including exposure to traditional and alternative asset classes. While diversification cannot guarantee a profit or prevent a loss, owning a variety of asset classes may cushion your portfolio against inevitable market fluctuations. Your financial advisor can help you ensure that your portfolio is adequately diversified across asset classes and investment strategies, with a broad array of Virtus Funds available through your fund exchange privileges. These include distinctive equity, fixed income, international, and asset allocation funds managed by Virtus affiliates and select subadvisers. We invite you to learn more about the Virtus family of funds at Virtus.com.
On behalf of our investment affiliates, thank you for entrusting the Virtus Funds with your assets. Should you have questions about your account or require assistance, please visit Virtus.com, or call our customer service team at 1-800-243-1574. We appreciate your business and remain committed to your long-term financial success. | ||
Sincerely,
George R. Aylward President, Virtus Mutual Funds
October 2018
Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. |
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
DISCLOSURE OF FUND EXPENSES (Unaudited)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Duff & Phelps Real Estate Securities Fund (the “Fund”) you may incur two types of costs: (1) transaction costs, including sales charges on purchases of Class A shares and contingent deferred sales charges on Class C shares; and (2) ongoing costs, including investment advisory fees, distribution and service fees, and other expenses. Class I shares and Class R6 shares are sold without sales charges and do not incur distribution fees. Class R6 shares also do not incur shareholder servicing fees. For further information regarding applicable sales charges, see Note 1 in the Notes to Financial Statements. These examples are 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 mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period. The Annualized Expense Ratio may be different from the expense ratio in the Financial Highlights which is for the fiscal year ended September 30, 2018.
Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges or contingent deferred sales charges. Therefore, the accompanying tables are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information below, 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 table under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,091.80 | 1.35 | % | $ | 7.08 | ||||||||
Class C | 1,000.00 | 1,087.70 | 2.05 | 10.73 | ||||||||||||
Class I | 1,000.00 | 1,093.60 | 1.06 | 5.56 | ||||||||||||
Class R6 | 1,000.00 | 1,094.30 | 0.90 | 4.73 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
The Fund may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expense ratios would have been higher.
You can find more information about the Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to the Fund’s prospectus.
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
DISCLOSURE OF FUND EXPENSES (Unaudited) (Continued)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values 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 your 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 this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other mutual funds.
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.30 | 1.35 | % | $ | 6.83 | ||||||||
Class C | 1,000.00 | 1,014.79 | 2.05 | 10.35 | ||||||||||||
Class I | 1,000.00 | 1,019.75 | 1.06 | 5.37 | ||||||||||||
Class R6 | 1,000.00 | 1,020.56 | 0.90 | 4.56 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
The Fund may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expense ratios would have been higher.
You can find more information about the Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to the Fund’s prospectus.
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
KEY INVESTMENT TERMS (Unaudited)
SEPTEMBER 30, 2018
American Depositary Receipt (“ADR”)
Represents shares of foreign companies traded in U.S. dollars on U.S. exchanges that are held by a U.S. bank or a trust. Foreign companies use ADRs in order to make it easier for Americans to buy their shares.
Bloomberg Barclays U.S. Aggregate Bond Index
The Bloomberg Barclays U.S. Aggregate Bond Index measures the U.S. investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Bloomberg Barclays U.S. Corporate High Yield Bond Index
The Bloomberg Barclays U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Exchange-Traded Funds (“ETFs”)
An open-end fund that is traded on a stock exchange. Most ETFs have a portfolio of stocks or bonds that track a specific market index.
Federal Reserve (the “Fed”)
The Central Bank of the U.S., responsible for controlling money supply, interest rates, and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 Branches, and all national and state banks that are part of the system.
FTSE NAREIT Equity REITs Index
The FTSE NAREIT Equity REITs Index is a free-float market capitalization index measuring equity tax-qualified real estate investment trusts, which meet minimum size and liquidity criteria, that are listed on the New York Stock Exchange, the American Stock Exchange and the NASDAQ National Market System. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
London Interbank Offered Rate (“LIBOR”)
A benchmark rate that some of the world’s leading banks charge each other for short-term loans and that serves as the first step to calculating interest rates on various loans throughout the world.
MSCI EAFE® Index (net)
The MSCI EAFE® (Europe, Australasia, Far East) Index (net) is a free float-adjusted market capitalization-weighted index that measures developed foreign market equity performance, excluding the U.S. and Canada. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI Emerging Markets Index (net)
The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization-weighted index designed to measure equity market performance in the global emerging markets. The
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
KEY INVESTMENT TERMS (Unaudited) (Continued)
SEPTEMBER 30, 2018
index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Real Estate Investment Trust (“REIT”)
A publicly traded company that owns, develops, and operates income-producing real estate such as apartments, office buildings, hotels, shopping centers, and other commercial properties.
Russell 2000® Index
The Russell 2000® Index is a market capitalization-weighted index of the 2,000 smallest companies in the Russell Universe, which comprises the 3,000 largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
S&P 500® Index
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
Portfolio Manager Commentary by Duff & Phelps Investment Management Co. | Ticker Symbols: Class A: PHRAX Class C: PHRCX Class I: PHRIX Class R6: VRREX |
⬛ | The Fund is diversified and has investment objectives of capital appreciation and income with approximately equal emphasis. There is no guarantee that the Fund will meet its objectives. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 4.03%, Class C shares at NAV returned 3.28%, Class I shares at NAV returned 4.31%, and Class R6 shares at NAV returned 4.50%. For the same period, the FTSE NAREIT Equity REITs Index, the Fund’s style-specific index appropriate for comparison, returned 3.80%. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
⬛ | Over the course of the fiscal year, U.S. real estate equities delivered positive returns, yet trailed U.S. equities, as demonstrated by the 3.8% increase in the FTSE NAREIT Equity REITs Index versus the 17.9% gain in the S&P 500® Index during the period. Relative to U.S. real estate equities, broader U.S. equities benefitted even more from the continued pick-up in global economic growth, which translated into superior earnings growth. |
⬛ | Taking a closer look at the performance of the individual property sectors that are represented within the FTSE NAREIT Equity REITs Index, the top performing property sectors |
during the fiscal year on a total return basis included manufactured homes, lodging/resorts, regional malls, freestanding retail, and industrial. Key factors in the outperformance of manufactured homes included strong organic growth, lack of new competitive supply, and external growth driven by site expansions. |
⬛ | The five bottom performing property sectors during the fiscal year were diversified, health care, data centers, office, and shopping centers. Diversified was a material underperformer due to the performance of a number of names the Fund did not own, including Colony Capital. |
⬛ | The significant amount of capital looking to find a home in global real estate, particularly from private real estate fund managers, large institutional investors, and sovereign wealth funds, is a theme we have highlighted many times in the past, and this fiscal year’s activity continued to demonstrate its relevance. We witnessed a lift in mergers and acquisitions (M&A). This was not a surprise given that real estate was priced cheaper on Wall Street via equities than it was on Main Street via private real estate. |
What factors affected the Fund’s performance during its fiscal year?
⬛ | Overall, the Fund outperformed the FTSE NAREIT Equity REITs Index for the 12 months ended September 30, 2018. Security selection and property sector allocation contributed to relative performance for the period. |
⬛ | Combining property sector allocation and security selection, the top positive relative contributors to performance for the fiscal year were industrial, diversified, self storage, manufactured homes, and shopping centers. Security selection in industrial was positive due to the Fund’s position in DCT Industrial REIT, which was acquired by ProLogis. The |
For information regarding the indexes and certain investment terms, see the Key Investment Terms on page 4.
6
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DUFF & PHELPS REAL ESTATE SECURITIES FUND (Continued) |
Fund’s overweight allocation and DCT’s outperformance both contributed positively. In fact, all the sectors noted benefitted from security selection. In addition, diversified benefitted notably due to its underweight given the sector’s underperformance, while manufactured homes benefitted from its overweight on that sector’s outperformance. |
⬛ | From a property sector allocation perspective, the Fund’s overweight exposures to manufactured homes and industrial were two of the largest contributors, along with underweights to health care and diversified. The industrial property sector continued to benefit from strong secular-driven demand for supply chain reconfiguration and e-commerce, while new supply remained contained. As evidence of the secular demand of e-commerce benefitting industrial, real estate investment management firm JLL released its industrial data for the quarter ended September 30, 2018. It noted visible strength, with rent growth of 6%, vacancy down to 4.8% and an accelerating level of preleasing on deliveries. |
⬛ | At the security level, the Fund’s aforementioned position in DCT Industrial, which was acquired by ProLogis, was the largest positive contributor for the fiscal year. The Fund’s position in self storage REIT Cubesmart was the second largest positive contributor on a security basis. Cubesmart started the fiscal year off following a pullback, and outperformed its peers for the period. |
⬛ | Combining property sector allocation and security selection, the top detractors were lodging, freestanding, apartments, regional malls, and office. Property sector allocation and security selection hurt lodging. Positive security selection in regional malls and office was offset by property allocation. And freestanding was also hurt by property sector allocation. Apartments benefitted from an overweight property sector allocation, yet experienced an adverse impact from security selection. M&A activity in lodging and apartments among names the Fund did not own were detractors. |
⬛ | From a property sector allocation viewpoint, the Fund’s underweight exposure to lodging was the largest detractor from performance during the fiscal year. The second largest property sector allocation detractor was regional malls, given the Fund’s underweight and its outperformance, driven by a value bounce. Freestanding was the third largest detractor from an allocation standpoint given the Fund’s underweight and the sector’s relative outperformance. |
⬛ | At the security level, the Fund’s overweight exposure to Health Care Trust of America, an owner of medical office buildings within the health care sector, was the largest negative contributor to security selection for the fiscal year. The company’s shares performed poorly over the period as investors rotated into other healthcare names with operational and oversupply concerns in areas such as senior housing and skilled nursing facilities. The Fund’s overweight exposure to lodging REIT Summit Hotel Properties was the second largest detractor to security selection for the fiscal year. Shares of the company suffered as the company was a net seller of hotels into the strong private bid, and patient in its redeployment of capital. In addition, operating results and expectations lagged some of its peers. |
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
For information regarding the indexes and certain investment terms, see the Key Investment Terms on page 4.
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DUFF & PHELPS REAL ESTATE SECURITIES FUND (Continued) |
Real Estate: The Fund may be negatively affected by factors specific to the real estate market, including interest rates, leverage, property, and management.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Prospectus: For additional information on risks, please see the Fund’s prospectus.
Asset Allocations | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018. |
| |||
Apartments | 19 | % | ||
Office | 17 | |||
Industrials | 12 | |||
Lodging/Resorts | 9 | |||
Data Centers | 9 | |||
Shopping Centers | 8 | |||
Self Storage | 7 | |||
Other | 19 | |||
|
| |||
Total | 100 | % | ||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms on page 4.
8
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DUFF & PHELPS REAL ESTATE SECURITIES FUND (Continued) |
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||||||
1 Year | 5 Years | 10 Years | Since Inception | Inception Date | ||||||||||||||||
Class A shares at NAV2 | 4.03 | % | 8.72 | % | 7.00 | % | — | — | ||||||||||||
Class A shares at POP3,4 | -1.95 | 7.44 | 6.36 | — | — | |||||||||||||||
Class C shares at NAV2 and with CDSC4 | 3.28 | 7.91 | 6.20 | — | — | |||||||||||||||
Class I shares at NAV | 4.31 | 9.00 | 7.27 | — | — | |||||||||||||||
Class R6 shares at NAV | 4.50 | — | — | 5.80 | % | 11/12/14 | ||||||||||||||
FTSE NAREIT Equity REITs Index | 3.80 | 9.26 | 7.49 | 6.07 | 5 | — |
Fund Expense Ratios6: Class A shares: 1.41%; Class C shares: 2.08%; Class I shares: 1.11%; Class R6 shares: Gross 0.97%, Net 0.90%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights table for more current expense ratios. Net Expense: Expenses reduced by a contractual fee waiver in effect through January 31, 2019. Gross Expense: Does not reflect the effect of the fee waiver. Expense ratios include fees and expenses associated with underlying funds. |
9
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DUFF & PHELPS REAL ESTATE SECURITIES FUND (Continued) |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. The performance of the other share class may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The indexes are unmanaged and not available for direct investment; therefore, their performance does not reflect the expenses associated with active management of an actual portfolio.
10
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—98.0% | ||||||||
REAL ESTATE INVESTMENT TRUSTS—98.0% | ||||||||
DATA CENTERS—8.4% | ||||||||
CoreSite Realty Corp. | 45,981 | $ | 5,111 | |||||
CyrusOne, Inc. | 266,596 | 16,902 | ||||||
Digital Realty Trust, Inc. | 329,551 | 37,068 | ||||||
|
| |||||||
59,081 | ||||||||
|
| |||||||
DIVERSIFIED—1.8% | ||||||||
Vornado Realty Trust | 178,195 | 13,008 | ||||||
|
| |||||||
HEALTH CARE—4.2% | ||||||||
Healthcare Realty Trust, Inc. | 261,675 | 7,657 | ||||||
Healthcare Trust of America, Inc. Class A | 839,500 | 22,389 | ||||||
|
| |||||||
30,046 | ||||||||
|
| |||||||
INDUSTRIAL/OFFICE—28.6% | ||||||||
Industrial—12.2% | ||||||||
Duke Realty Corp. | 986,559 | 27,989 | ||||||
Prologis, Inc. | 858,332 | 58,186 | ||||||
|
| |||||||
86,175 | ||||||||
|
| |||||||
Office—16.4% | ||||||||
Alexandria Real Estate Equities, Inc. | 270,005 | 33,964 | ||||||
Cousins Properties, Inc. | 1,941,339 | 17,258 | ||||||
Douglas Emmett, Inc. | 491,169 | 18,527 | ||||||
Highwoods Properties, Inc. | 218,028 | 10,304 | ||||||
Kilroy Realty Corp. | 246,266 | 17,655 | ||||||
Paramount Group, Inc. | 1,184,841 | 17,879 | ||||||
|
| |||||||
115,587 | ||||||||
|
| |||||||
Total Industrial / Office | 201,762 | |||||||
|
| |||||||
LODGING/RESORTS—8.5% | ||||||||
Host Hotels & Resorts, Inc. | 1,455,286 | 30,706 | ||||||
RLJ Lodging Trust | 864,302 | 19,041 | ||||||
Summit Hotel Properties, Inc. | 740,000 | 10,012 | ||||||
|
| |||||||
59,759 | ||||||||
|
| |||||||
RESIDENTIAL—26.7% | ||||||||
Apartments—18.3% | ||||||||
Apartment Investment & Management Co. Class A | 539,300 | 23,799 |
SHARES | VALUE | |||||||
Apartments (continued) | ||||||||
AvalonBay Communities, Inc. | 210,690 | $ | 38,167 | |||||
Equity Residential | 301,145 | 19,954 | ||||||
Essex Property Trust, Inc. | 86,104 | 21,243 | ||||||
Mid-America Apartment Communities, Inc. | 261,800 | 26,227 | ||||||
|
| |||||||
129,390 | ||||||||
|
| |||||||
Manufactured Homes—4.9% | ||||||||
Equity LifeStyle Properties, Inc. | 86,403 | 8,333 | ||||||
Sun Communities, Inc. | 254,133 | 25,805 | ||||||
|
| |||||||
34,138 | ||||||||
|
| |||||||
Single Family Homes—3.5% | ||||||||
American Homes 4 Rent Class A | 1,135,600 | 24,858 | ||||||
|
| |||||||
Total Residential | 188,386 | |||||||
|
| |||||||
RETAIL—13.1% | ||||||||
Regional Malls—5.4% | ||||||||
Simon Property Group, Inc. | 214,841 | 37,973 | ||||||
|
| |||||||
Shopping Centers—7.7% | ||||||||
Brixmor Property Group, Inc. | 971,596 | 17,012 | ||||||
Federal Realty Investment Trust | 89,900 | 11,370 | ||||||
Regency Centers Corp. | 408,300 | 26,405 | ||||||
|
| |||||||
54,787 | ||||||||
|
| |||||||
Total Retail | 92,760 | |||||||
|
| |||||||
SELF STORAGE—6.7% | ||||||||
CubeSmart | 781,550 | 22,298 | ||||||
Extra Space Storage, Inc. | 285,087 | 24,700 | ||||||
|
| |||||||
46,998 | ||||||||
TOTAL COMMON STOCKS |
| 691,800 | ||||||
TOTAL LONG-TERM INVESTMENTS—98.0% |
| |||||||
(Identified Cost $481,107) |
| 691,800 | ||||||
TOTAL INVESTMENTS—98.0% (Identified Cost $481,107) | 691,800 | |||||||
Other assets and liabilities, net—2.0% |
| 14,294 | ||||||
|
| |||||||
NET ASSETS—100.0% | $706,094 | |||||||
|
|
See Notes to Financial Statements
11
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 691,800 | $ | 691,800 | ||||
|
|
|
| |||||
Total Investments | $ | 691,800 | $ | 691,800 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
See Notes to Financial Statements
12
Table of Contents
DUFF & PHELPS REAL ESTATE SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2018
(Reported in thousands except shares and per share amounts)
Assets | ||||
Investment in securities at value(1) | $ | 691,800 | ||
Cash | 6,764 | |||
Receivables | ||||
Investment securities sold | 22,423 | |||
Fund shares sold | 695 | |||
Dividends and interest receivable | 2,558 | |||
Prepaid expenses | 39 | |||
Prepaid trustee retainer | 14 | |||
Other assets | 42 | |||
|
| |||
Total assets | 724,335 | |||
|
| |||
Liabilities | ||||
Payables | ||||
Fund shares repurchased | 3,089 | |||
Investment securities purchased | 14,156 | |||
Investment advisory fees | 446 | |||
Distribution and service fees | 68 | |||
Administration and accounting fees | 61 | |||
Transfer agent and sub-transfer agent fees and expenses | 291 | |||
Professional fees | 26 | |||
Trustee deferred compensation plan | 42 | |||
Other accrued expenses | 62 | |||
|
| |||
Total liabilities | 18,241 | |||
|
| |||
Net Assets | $ | 706,094 | ||
|
| |||
Net Assets Consist of: | ||||
Capital paid in on shares of beneficial interest | $ | 430,124 | ||
Accumulated undistributed net investment income (loss) | 692 | |||
Accumulated undistributed net realized gain (loss) | 64,585 | |||
Net unrealized appreciation (depreciation) on investments | 210,693 | |||
|
| |||
Net Assets | $ | 706,094 | ||
|
| |||
Net Assets: | ||||
Class A | $ | 216,062 | ||
Class C | $ | 26,643 | ||
Class I | $ | 437,179 | ||
Class R6 | $ | 26,210 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | ||||
Class A | 8,074,574 | |||
Class C | 998,423 | |||
Class I | 16,366,639 | |||
Class R6 | 980,773 | |||
Net Asset Value and Redemption Price Per Share: | ||||
Class A | $ | 26.76 | ||
Class C | $ | 26.69 | ||
Class I | $ | 26.71 | ||
Class R6 | $ | 26.72 | ||
Maximum Offering Price Per Share (NAV/(1-5.75%)): | ||||
Class A | $ | 28.39 | ||
(1) Investment in securities at cost | $ | 481,107 |
See Notes to Financial Statements
13
Table of Contents
DUFF & PHELPS REAL ESTATE SECURITIES FUND
YEAR ENDED SEPTEMBER 30, 2018
($ reported in thousands)
Investment Income |
| |||
Dividends | $ | 20,363 | ||
|
| |||
Total investment income | 20,363 | |||
|
| |||
Expenses |
| |||
Investment advisory fees | 5,970 | |||
Distribution and service fees, Class A | 704 | |||
Distribution and service fees, Class C | 338 | |||
Administration and accounting fees | 841 | |||
Transfer agent fees and expenses | 371 | |||
Sub-transfer agent fees and expenses, Class A | 503 | |||
Sub-transfer agent fees and expenses, Class C | 41 | |||
Sub-transfer agent fees and expenses, Class I | 631 | |||
Registration fees | 84 | |||
Printing fees and expenses | 106 | |||
Custodian fees | 11 | |||
Professional fees | 38 | |||
Trustees’ fees and expenses | 63 | |||
Miscellaneous expenses | 49 | |||
|
| |||
Total expenses | 9,750 | |||
Less expenses reimbursed and/or waived by investment adviser | (4 | ) | ||
Low balance account fees | — | (1) | ||
|
| |||
Net expenses | 9,746 | |||
|
| |||
Net investment income (loss) | 10,617 | |||
|
| |||
Net Realized and Unrealized Gain (Loss) on Investments |
| |||
Net realized gain (loss) from investments | 81,919 | |||
Net change in unrealized appreciation (depreciation) on investments | (63,040 | ) | ||
|
| |||
Net realized and unrealized gain (loss) on investments | 18,879 | |||
|
| |||
Net increase (decrease) in net assets resulting from operations | $ | 29,496 | ||
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
14
Table of Contents
DUFF & PHELPS REAL ESTATE SECURITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Reported in thousands)
Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||
Net investment income (loss) | $ | 10,617 | $ | 13,978 | ||||
Net realized gain (loss) | 81,919 | 140,137 | ||||||
Net change in unrealized appreciation (depreciation) | (63,040 | ) | (155,585 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from operations | 29,496 | (1,470 | ) | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders | ||||||||
Net Investment Income: | ||||||||
Class A | (3,085 | ) | (4,982 | ) | ||||
Class B | — | (1 | ) | |||||
Class C | (129 | ) | (240 | ) | ||||
Class I | (6,332 | ) | (8,403 | ) | ||||
Class R6 | (335 | ) | (379 | ) | ||||
Net Realized Gains: | ||||||||
Class A | (46,262 | ) | (79,777 | ) | ||||
Class B | — | (55 | ) | |||||
Class C | (5,880 | ) | (9,928 | ) | ||||
Class I | (71,289 | ) | (92,737 | ) | ||||
Class R6 | (2,956 | ) | (3,626 | ) | ||||
|
|
|
| |||||
Dividends and distributions to shareholders | (136,268 | ) | (200,128 | ) | ||||
|
|
|
| |||||
Change in Net Assets From Capital Transactions | ||||||||
Sale of shares: | ||||||||
Class A (2,209 and 3,198 shares, respectively) | 58,452 | 98,006 | ||||||
Class B (0 and 0 shares, respectively) | — | 9 | ||||||
Class C (46 and 81 shares, respectively) | 1,216 | 2,483 | ||||||
Class I (4,719 and 6,727 shares, respectively) | 124,722 | 204,608 | ||||||
Class R6 (464 and 287 shares, respectively) | 12,381 | 8,936 | ||||||
Reinvestment of distributions: | ||||||||
Class A (1,799 and 2,756 shares, respectively) | 46,925 | 80,809 | ||||||
Class B (0 and 2 shares, respectively) | — | 46 | ||||||
Class C (221 and 322 shares, respectively) | 5,744 | 9,397 | ||||||
Class I (2,922 and 3,384 shares, respectively) | 76,104 | 99,159 | ||||||
Class R6 (126 and 137 shares, respectively) | 3,281 | 4,005 | ||||||
Conversion of shares(1): | ||||||||
To Class A (0 and 9 shares, respectively) | — | 275 | ||||||
From Class B (0 and 9 shares, respectively) | — | (275 | ) | |||||
Shares repurchased: | ||||||||
Class A (6,842 and 9,424 shares, respectively) | (181,209 | ) | (289,076 | ) | ||||
Class B (0 and 16 shares, respectively) | — | (508 | ) | |||||
Class C (692 and 806 shares, respectively) | (18,140 | ) | (24,952 | ) | ||||
Class I (9,016 and 9,200 shares, respectively) | (243,762 | ) | (285,514 | ) | ||||
Class R6 (264 and 356 shares, respectively) | (7,002 | ) | (10,953 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets from capital transactions | (121,288 | ) | (103,545 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | (228,060 | ) | (305,143 | ) | ||||
Net Assets | ||||||||
Beginning of period | 934,154 | 1,239,297 | ||||||
|
|
|
| |||||
End of period | $ | 706,094 | $ | 934,154 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income (loss) at end of period | $ | 692 | $ | (44 | ) |
(1) | See Note 1 in Notes to Financial Statements for more information. |
See Notes to Financial Statements
15
Table of Contents
DUFF & PHELPS REAL ESTATE SECURITIES FUND
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 30.43 | 0.31 | 0.75 | 1.06 | (0.30 | ) | (4.43 | ) | (4.73 | ) | ||||||||||||||||||||||||
10/1/16 to 9/30/17 | 36.87 | 0.38 | (0.48 | ) | (0.10 | ) | (0.40 | ) | (5.94 | ) | (6.34 | ) | |||||||||||||||||||||||
10/1/15 to 9/30/16 | 38.45 | 0.47 | 4.80 | 5.27 | (0.48 | ) | (6.37 | ) | (6.85 | ) | |||||||||||||||||||||||||
10/1/14 to 9/30/15 | 36.65 | 0.51 | 3.76 | 4.27 | (0.53 | ) | (1.94 | ) | (2.47 | ) | |||||||||||||||||||||||||
10/1/13 to 9/30/14 | 35.10 | 0.29 | 3.86 | 4.15 | (0.29 | ) | (2.31 | ) | (2.60 | ) | |||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 30.35 | 0.12 | 0.76 | 0.88 | (0.11 | ) | (4.43 | ) | (4.54 | ) | ||||||||||||||||||||||||
10/1/16 to 9/30/17 | 36.77 | 0.15 | (0.47 | ) | (0.32 | ) | (0.16 | ) | (5.94 | ) | (6.10 | ) | |||||||||||||||||||||||
10/1/15 to 9/30/16 | 38.37 | 0.20 | 4.78 | 4.98 | (0.21 | ) | (6.37 | ) | (6.58 | ) | |||||||||||||||||||||||||
10/1/14 to 9/30/15 | 36.59 | 0.22 | 3.73 | 3.95 | (0.23 | ) | (1.94 | ) | (2.17 | ) | |||||||||||||||||||||||||
10/1/13 to 9/30/14 | 35.04 | 0.01 | 3.87 | 3.88 | (0.02 | ) | (2.31 | ) | (2.33 | ) |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
16
Table of Contents
DUFF & PHELPS REAL ESTATE SECURITIES FUND
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(6) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(5) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(3)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||
(3.67 | ) | $ | 26.76 | 4.03 | % | $ | 216,062 | 1.38 | % | 1.38 | % | 1.16 | % | 12 | % | ||||||||||||||||||||||||
(6.44 | ) | 30.43 | 0.63 | (8) | 331,957 | 1.39 | (8) | 1.39 | 1.21 | (8) | 20 | ||||||||||||||||||||||||||||
(1.58 | ) | 36.87 | 15.58 | 530,135 | 1.39 | (7) | 1.39 | 1.29 | 31 | ||||||||||||||||||||||||||||||
1.80 | 38.45 | 11.34 | 621,507 | 1.36 | 1.36 | 1.26 | 22 | ||||||||||||||||||||||||||||||||
1.55 | 36.65 | 12.75 | 745,473 | 1.38 | 1.38 | 0.79 | 28 | ||||||||||||||||||||||||||||||||
(3.66 | ) | $ | 26.69 | 3.28 | % | $ | 26,643 | 2.07 | % | 2.07 | % | 0.45 | % | 12 | % | ||||||||||||||||||||||||
(6.42 | ) | 30.35 | (0.09 | )(8) | 43,219 | 2.13 | (8) | 2.13 | 0.48 | (8) | 20 | ||||||||||||||||||||||||||||
(1.60 | ) | 36.77 | 14.70 | 67,216 | 2.15 | (7) | 2.15 | 0.55 | 31 | ||||||||||||||||||||||||||||||
1.78 | 38.37 | 10.49 | 66,023 | 2.11 | 2.11 | 0.56 | 22 | ||||||||||||||||||||||||||||||||
1.55 | 36.59 | 11.91 | 62,889 | 2.13 | 2.13 | 0.04 | 28 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
17
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 30.39 | 0.40 | 0.73 | 1.13 | (0.38 | ) | (4.43 | ) | (4.81 | ) | ||||||||||||||||||||||||
10/1/16 to 9/30/17 | 36.83 | 0.46 | (0.48 | ) | (0.02 | ) | (0.48 | ) | (5.94 | ) | (6.42 | ) | |||||||||||||||||||||||
10/1/15 to 9/30/16 | 38.42 | 0.56 | 4.80 | 5.36 | (0.58 | ) | (6.37 | ) | (6.95 | ) | |||||||||||||||||||||||||
10/1/14 to 9/30/15 | 36.62 | 0.62 | 3.75 | 4.37 | (0.63 | ) | (1.94 | ) | (2.57 | ) | |||||||||||||||||||||||||
10/1/13 to 9/30/14 | 35.07 | 0.39 | 3.86 | 4.25 | (0.39 | ) | (2.31 | ) | (2.70 | ) | |||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 30.39 | 0.47 | 0.71 | 1.18 | (0.42 | ) | (4.43 | ) | (4.85 | ) | ||||||||||||||||||||||||
10/1/16 to 9/30/17 | 36.84 | 0.50 | (0.48 | ) | 0.02 | (0.53 | ) | (5.94 | ) | (6.47 | ) | ||||||||||||||||||||||||
10/1/15 to 9/30/16 | 38.42 | 0.70 | 4.73 | 5.43 | (0.64 | ) | (6.37 | ) | (7.01 | ) | |||||||||||||||||||||||||
11/12/14(4) to 9/30/15 | 40.32 | 0.79 | (0.06 | ) | 0.73 | (0.69 | ) | (1.94 | ) | (2.63 | ) |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
18
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(6) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(5) | Ratio of Gross Expenses to Average Net Assets (before waivers and reimbursements)(3)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||
(3.68 | ) | $ | 26.71 | 4.31 | % | $ | 437,179 | 1.08 | % | 1.08 | % | 1.49 | % | 12 | % | ||||||||||||||||||||||||
(6.44 | ) | 30.39 | 0.90 | (8) | 539,098 | 1.13 | (8) | 1.13 | 1.49 | (8) | 20 | ||||||||||||||||||||||||||||
(1.59 | ) | 36.83 | 15.85 | 619,818 | 1.14 | (7) | 1.14 | 1.52 | 31 | ||||||||||||||||||||||||||||||
1.80 | 38.42 | 11.63 | 647,976 | 1.11 | 1.11 | 1.55 | 22 | ||||||||||||||||||||||||||||||||
1.55 | 36.62 | 13.04 | 673,005 | 1.13 | 1.13 | 1.07 | 28 | ||||||||||||||||||||||||||||||||
(3.67 | ) | $ | 26.72 | 4.50 | % | $ | 26,210 | 0.93 | %(10) | 0.95 | % | 1.75 | % | 12 | % | ||||||||||||||||||||||||
(6.45 | ) | 30.39 | 1.06 | (8) | 19,880 | 0.98 | (8) | 0.98 | 1.62 | (8) | 20 | ||||||||||||||||||||||||||||
(1.58 | ) | 36.84 | 16.06 | 21,604 | 0.98 | (7) | 0.98 | 1.93 | 31 | ||||||||||||||||||||||||||||||
(1.90 | ) | 38.42 | 1.54 | 1,647 | 0.94 | 0.94 | 2.30 | 22 | (9) |
Footnote Legend
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(4) | Inception date. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | Net expense ratios include extraordinary proxy expenses. |
(8) | State Street Bank & Trust, custodian for the Fund through January 29, 2010, reimbursed the Fund for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses to Average Net Assets and increase the Ratio of Net Investment Income (Loss) to Average Net Assets by less than 0.01%. Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return by less than 0.01%. |
(9) | Portfolio Turnover is representative of the Fund for the entire year ended September 30, 2015. |
(10) | Due to addition of expense cap, the ratio shown is a blended expense ratio. |
See Notes to Financial Statements
19
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
SEPTEMBER 30, 2018
Note 1. Organization
Virtus Opportunities Trust (the “Trust”) is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
As of the date of this report, 24 funds of the Trust are offered for sale, of which the Duff & Phelps Real Estate Securities Fund (the “Fund”) is reported in this annual report. The Fund’s investment objectives are outlined in the Fund Summary Page. There is no guarantee the Fund will achieve its objectives.
The Fund offers Class A shares, Class C shares, Class I shares, and Class R6 shares. Effective March 6, 2017, all Class B shares were converted to Class A shares. Prior to March 6, 2017, Class B shares could be purchased by existing shareholders through qualifying transactions.
Class A shares are sold with a front-end sales charge of up to 5.75% with some exceptions. Generally, Class A shares are not subject to any charges by the Fund when redeemed; however, a 1% contingent deferred sales charge (“CDSC”) may be imposed on certain redemptions made within a certain period following purchases on which a finder’s fee has been paid. The period for which the CDSC applies for the Fund is 18 months. The CDSC period begins on the last day of the month preceding the month in which the purchase was made.
Class C shares are generally sold with a 1% CDSC, applicable if redeemed within one year of purchase. Class I shares and Class R6 shares are sold without a front-end sales charge or CDSC.
Class R6 shares are available only to the following investors without a minimum initial investment or minimum additional purchases: certain employer-sponsored retirement plans, including Section 401(k), 403(b) and 457 plans, profit-sharing plans, money purchase pension plans, and defined benefit plans and nonqualified deferred compensation plans, in each case provided that plan level or omnibus accounts are held on the books of the Fund. Other institutional investors may be permitted to purchase Class R6 shares subject to the Fund’s determination of eligibility and may be subject to a minimum initial investment requirement. Class R6 shares do not carry sales commissions or pay Rule 12b-1 fees. No compensation, administrative payments, sub-transfer agency payments or service payments are paid to brokers or other entities from Fund assets or the Fund’s distributor’s or an affiliate’s resources on sales of or investments in Class R6 shares.
The Fund may impose an annual fee on accounts having balances of less than $2,500. The small account fee may be waived in certain circumstances, as disclosed in the prospectuses and/or statements of additional information. The fees collected will be used to offset certain expenses of the Fund. These fees are reflected as “Low balance account fees” in the Fund’s Statement of Operations for the period, as applicable.
Each class of shares has identical voting, dividend, liquidation and other rights and the same terms and conditions, except that each class bears any expenses attributable specifically to that class (“class-specific expenses”) and has exclusive voting rights with respect to any Rule 12b-1 and/or shareholder service plan (“12b-1 Plan”) approved by the Board. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. Class-specific expenses may include shareholder servicing fees, sub-transfer agency fees, and fees under a 12b-1 Plan, as well as certain other expenses as designated by the Fund’s Treasurer and approved by the Board. Investment income, common operating expenses and realized and unrealized gains and losses of the Fund are borne pro-rata by the holders of each class of shares.
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Note 2. Significant Accounting Policies
The Trust is an investment company that follows the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to Investment Companies. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be significant.
A. | Security Valuation |
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• Level 1 – | quoted prices in active markets for identical securities (security types generally include listed equities). |
• Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• Level 3 – | prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) (at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, ETFs, and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds.
Dividend income from REIT investments is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
C. | Income Taxes |
The Fund is treated as a separate taxable entity. It is the intention of the Fund to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made.
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
Management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of September 30, 2018, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2015 forward (with limited exceptions).
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
D. | Distributions to Shareholders |
Distributions are recorded by the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP.
E. | Expenses |
Expenses incurred together by the Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each fund or an alternative allocation method can be more appropriately used.
In addition to the net annual operating expenses that the Fund bears directly, the shareholders of the Fund indirectly bear the Fund’s pro-rata expenses of any underlying mutual funds in which the Fund invests.
Note 3. Investment Advisory Fees and Related Party Transactions
A. | Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Trust. The Adviser manages the Fund’s investment program and general operations of the Fund, including oversight of the Fund’s subadviser.
As compensation for its services to the Fund, the Adviser is entitled to a fee, which is calculated daily and paid monthly, based upon the following annual rates as a percentage of the average daily net assets of the Fund:
First $1 Billion | $1 Billion through $2 Billion | $2+ Billion | ||
0.75% | 0.70% | 0.65% |
B. | Subadviser |
Duff & Phelps Investment Management Co. (the “Subadviser”), an indirect, wholly-owned subsidiary of Virtus, is the subadviser to the Fund. The subadviser manages the investments of the Fund for which it is paid a fee by the Adviser.
C. | Expense Limitation |
Effective March 29, 2018, the Adviser has contractually agreed to limit the Fund’s annual total operating expenses (excluding front-end or contingent deferred loads, taxes, leverage expenses, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, unusual or infrequently occurring expenses (such as litigation), acquired fund fees and expenses, and dividend expenses, if any) so that such expenses do not exceed, on an annualized basis, 0.90% of average daily net assets for Class R6 shares through January 31, 2019. Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The waivers and reimbursements are calculated daily and received monthly.
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements, within three years after the date on which such amounts were incurred or waived. The Fund must pay its ordinary operating expenses
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations, or if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser-reimbursed expenses may be recaptured by the fiscal year ending:
2021 | ||||
Class R6 | 4 |
E. | Distributor |
($ reported in thousands)
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of the Fund’s shares. VP Distributors has advised the Fund that for the fiscal year (the “period”) ended September 30, 2018, it retained net commissions of $6 for Class A shares and deferred sales charges of $—* for Class A and $2 for Class C shares.
In addition, the Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the annual rates: 0.25% for Class A shares, and 1.00% for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 plan.
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply.
* | Amount is less than $500. |
F. | Administrator and Transfer Agent |
($ reported in thousands)
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as administrator and transfer agent to the Fund.
For the period ended September 30, 2018, the Fund incurred administration fees totaling $754 which are included in the Statement of Operations within the line item “Administration and accounting fees”. The fees are calculated daily and paid monthly.
For the period ended September 30, 2018, the Fund incurred transfer agent fees totaling $1,513 which are included in the Statement of Operations within the line items “Transfer agent fees and expenses” and “Sub-transfer agent fees and expenses.” A portion of these fees was paid to outside entities that also provide services to the Trust. The fees are calculated daily and paid monthly.
G. | Affiliated Shareholders |
($ reported in thousands)
At September 30, 2018, Virtus and its affiliates, and the retirement plans of Virtus and its affiliates, held shares of the Fund which may be redeemed at any time that aggregated to the following:
Shares | Aggregate Net Asset Value | |||||||
Class I |
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
H. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other Assets” in the Statement of Assets and Liabilities at September 30, 2018.
Note 4. Purchases and Sales of Securities
($ reported in thousands)
Purchases and sales of securities (excluding U.S. Government and agency securities and short-term securities) during the period ended September 30, 2018, were as follows:
Purchases | Sales | |||||||
$ | 98,607 | $ | 347,192 |
There were no purchases or sales of long-term U.S. Government and agency securities during the period ended September 30, 2018.
Note 5. Indemnifications
Under the Trust’s organizational documents, and in separate agreements between each Trustee and the Trust, its Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust and its funds. In addition, in the normal course of business, the Trust and the Fund enter into contracts that provide a variety of indemnifications to other parties. The Trust’s and/or the Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust or the Fund and that have not occurred. However, neither the Trust nor the Fund has had prior claims or losses pursuant to these arrangements, and they expect the risk of loss to be remote.
Note 6. Credit Risk and Asset Concentrations
The Fund may invest a high percentage of its assets in specific sectors of the market in the pursuit of its investment objective. Fluctuations in these sectors of concentration may have a greater impact on the Fund, positive or negative, than if the Fund did not concentrate its investments in such sectors.
Note 7. 10% Shareholders
As of September 30, 2018, the Fund had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of the Fund as detailed below:
% of Shares Outstanding | Number of Accounts | |||||||
27 | % | 2* |
* | The shareholders are not affiliated with Virtus. |
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Note 8. Federal Income Tax Information
($ reported in thousands)
At September 30, 2018, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Fund were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$493,938 | $210,316 | $(12,454) | $197,862 |
The components of distributable earnings on a tax basis (excluding unrealized appreciation (depreciation) (which are disclosed above) consist of the following:
Undistributed Ordinary Income | Undistributed Long-term Capital Gains | |||
$748 | $77,416 |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term gain distributions reported in the Statements of Changes in Net Assets, if any, are reported as ordinary income for federal tax purposes. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
The tax character of dividends and distributions paid during the periods ended September 30, 2018, and September 30, 2017, respectively, was as follows:
Year Ended | ||||||||
2018 | 2017 | |||||||
Ordinary Income | $ | 10,469 | $ | 26,226 | ||||
Long-Term Capital Gains | 125,799 | 173,902 | ||||||
|
|
|
| |||||
Total | $ | 136,268 | $ | 200,128 | ||||
|
|
|
|
Note 9. Redemption Facility
($ reported in thousands)
On September 18, 2017, the Fund and certain other affiliated funds entered into an $150,000 unsecured line of credit (“Credit Agreement”). This Credit Agreement, as amended, is with a commercial bank that allows the Fund to borrow cash from the bank to manage large unexpected redemptions and trade fails, up to a limit of one-third of the Fund’s total net assets in accordance with the terms of the agreement. This Credit Agreement has a term of 364 days and has been renewed for a period up to March 14, 2019. Interest is charged at the higher of the LIBOR or the Federal Funds rate plus an additional percentage rate on the amount borrowed. Commitment fees are charged on the undrawn balance. The Fund and other affiliated funds that are parties are individually, and not jointly, liable for their particular advances, if any, under the line of credit. The lending bank has the ability to require repayment of outstanding borrowings under this Credit Agreement upon certain circumstances such as an event of default.
The Fund made no borrowings at any time during the period and did not have any outstanding borrowings under this Credit Agreement at September 30, 2018.
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Note 10. Illiquid and Restricted Securities
Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment.
Restricted securities are not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.
The Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.
At September 30, 2018, the Fund did not hold any securities that were illiquid or restricted.
Note 11. Regulatory Matters and Litigation
From time to time, the Trust, the Fund’s Adviser and/or Subadviser and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations affecting their products and other activities. At this time, the Adviser believes that the outcomes of such matters are not likely, either individually or in aggregate, to be material to these financial statements.
On February 20, 2015, a putative class action complaint (In re Virtus Investment Partners, Inc. Securities Litigation; formerly styled as Tom Cummins v. Virtus Investment Partners Inc., et al.) alleging violations of certain provisions of the federal securities laws was filed by an individual shareholder against Virtus and certain of its officers (the “defendants”) in the United States District Court for the Southern District of New York. On August 21, 2015, the lead plaintiff filed a Consolidated Class Action Complaint (the “Consolidated Complaint”) amending the originally filed complaint and adding the Trust as a defendant. The Consolidated Complaint was purportedly filed on behalf of all purchasers of Virtus common stock between January 25, 2013 and May 11, 2015 (the “Class Period”). The Consolidated Complaint alleges that during the Class Period, the defendants disseminated materially false and misleading statements and concealed material adverse facts relating to certain funds previously subadvised by F-Squared Investments, Inc. and/or its affiliates (“F-Squared”). The plaintiff seeks to recover unspecified damages. A motion to dismiss the Consolidated Complaint was filed on behalf of the defendants on October 21, 2015. Pursuant to an Opinion & Order (“Order”) filed on July 1, 2016, the court granted in part and denied in part the defendants’ motion to dismiss. Although the Order narrows the scope of the claims asserted and dismisses one of the defendants from the suit, claims under Sections 10(b) and 20(a) of the Exchange Act and Rule 10b-5 thereunder survive the motion. The remaining defendants filed an Answer to the Consolidated Complaint on August 5, 2016. Pursuant to an Opinion & Order filed on May 15, 2017, the plaintiff’s motion for class certification, was granted by the court. Discovery has since been completed. On October 6, 2017, defendants moved for summary judgment. Briefing on the motion for summary judgment was completed on December 22, 2017, and oral argument was held on January 18, 2018, where the Court reserved decision. Virtus and its affiliates, including the
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Adviser, believe that the suit is without merit. Nevertheless, on February 6, 2018, Virtus reached an agreement in principle with the plaintiffs, subject to Court approval, settling all claims in the litigation, in order to avoid the cost, distraction, disruption, and inherent litigation uncertainty. The court gave its preliminary approval by order dated June 28, 2018, and a hearing for final approval was held on October 24, 2018, with no objections to the settlement presented. Upon approval by the Court, which Virtus believes is likely, the resolution of this matter will not have a material impact on the results of operations, cash flows or its consolidated financial condition for Virtus. Whether or not the settlement is approved by the Court, the Trust believes that the risk of loss to the Fund as a result of this suit is remote and the Adviser does not believe that the suit will have any impact on its ability to provide services to the Fund.
Note 12. Recent Accounting Pronouncements
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”), ASU No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the policy for the timing of transfers between levels and the valuation process for Level 3 fair value measurements. For public companies, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Management has evaluated the implications of certain provisions of ASU No. 2018-13 and has determined to early adopt all aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately.
In August 2018, the SEC adopted amendments to Regulation S-X which are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the information provided to investors. The amendments include eliminating the requirement to: separately state book basis components of net assets on the Statement of Assets & Liabilities; separately state the sources of distributions paid (except tax return of capital distributions must still be separately disclosed) on the Statement of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statement of Changes in Net Assets. The compliance date for the amendments to Regulation S-X is for filings made with the SEC after November 5, 2018. The adoption will have no effect on the Fund’s net assets or results of operations.
Note 13. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were available for issuance and has determined that there are no subsequent events requiring recognition or disclosure in these financial statements.
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Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of
Virtus Opportunities Trust and Shareholders of
Virtus Duff & Phelps Real Estate Securities Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Virtus Duff & Phelps Real Estate Securities Fund (one of the funds constituting Virtus Opportunities Trust, hereafter referred to as the “Fund”) as of September 30, 2018, the related statement of operations for the year ended September 30, 2018, the statements of changes in net assets for each of the two years in the period ended September 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2018 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 20, 2018
We have served as the Virtus Mutual Funds’ auditor since at least 1977. We have not been able to determine the specific year we began serving as auditor.
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DUFF & PHELPS REAL ESTATE SECURITIES FUND
TAX INFORMATION NOTICE (Unaudited)
SEPTEMBER 30, 2018
For the fiscal year ended September 30, 2018, the Fund makes the following disclosures for federal income tax purposes. Below is listed the percentage, or the maximum amount allowable, of its ordinary income dividends (“QDI”) to qualify for the lower tax rates applicable to individual shareholders, and the percentage of ordinary income dividends earned by the Fund which qualifies for the dividends received deduction (“DRD”) for corporate shareholders. The actual percentage of QDI and DRD for the calendar year will be designated in year-end tax statements. The Fund designates the amount below as long-term capital gains dividends (“LTCG”) taxable at a 20% rate, or lower depending on the shareholder’s income ($ reported in thousands). LTCG amount, if subsequently different, will be designated in the next annual report.
QDI | DRD | LTCG | ||
—% | —% | $77,443 |
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Information pertaining to the Trustees and officers of the Trust as of the date of issuance of this report, is set forth below. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling (800) 243-4361.
The address of each individual, unless otherwise noted, is c/o Virtus Opportunities Trust, 100 Pearl Street, Hartford, CT 06103. There is no stated term of office for Trustees or officers of the Trust.
Independent Trustees
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex | Principal Occupation(s) Other Directorships Held by Trustee | |
Brown, Thomas J. YOB: 1945 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). | |
Burke, Donald C. YOB: 1960 Served Since: 2016 75 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014) closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). | |
Gelfenbien, Roger A. YOB: 1943 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2000), Virtus Variable Insurance Trust (8 portfolios); and Director (1999 to 2017), USAllianz Variable Insurance Product Trust (42 portfolios). | |
Harris, Sidney E. YOB: 1949 Served Since: 2017 71 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University; Trustee (since 2017), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Trustee (since 1999) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (2012 to 2017), International University of the Grand Bassam; and Trustee (2011 to 2015), Genspring Family Offices, LLC. | |
Mallin, John R. YOB: 1950 Served Since: 2016 71 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm), Real Property Practice Group; and Member (since 2014), Counselors of Real Estate. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). | |
McClellan, Hassell H. YOB: 1945 Served Since: 2015 71 Portfolios | Retired (since 2013); and Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Mutual Fund Family (60 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). | |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 71 Portfolios | Retired (since 2013); and Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President Global Finance Transformation (2007 to 2009); Vice President and Controller (1999 to 2007), The Coca-Cola Company; Trustee (since 2017), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2014), Total System Services, Inc.; and Trustee (2005 to 2017), RidgeWorth Funds. |
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FUND MANAGEMENT TABLES (Continued)
Independent Trustees (Continued)
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex | Principal Occupation(s) Other Directorships Held by Trustee | |
McLoughlin, Philip YOB: 1946 Served Since: 1999 79 Portfolios | Retired. Director and Chairman (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Director and Chairman (since 2014) Duff & Phelps Select Energy MLP Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (since 1991) and Chairman (since 2010), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (60 portfolios). | |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 75 Portfolios | Retired. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (60 portfolios). | |
Oates, James M. YOB: 1946 Served Since: 2000 75 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). Director (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (60 portfolios). | |
Segerson, Richard E. YOB: 1946 Served Since: 2000 71 Portfolios | Retired; and Managing Director (1998 to 2013), Northway Management Company. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (60 portfolios). |
Interested Trustee
Name, Year of Birth, Year Elected and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years and | |
Aylward, George R.* Trustee and President YOB: 1964 Elected: 2006 77 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions with Virtus affiliates (since 2005). Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (3 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (60 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
* | Mr. Aylward is an “interested person,” as defined in the 1940 Act, by reason of his position as President and Chief Executive Officer of Virtus Investment Partners, Inc. (“Virtus”), the ultimate parent company of the Adviser, and various positions with its affiliates, including the Adviser. |
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FUND MANAGEMENT TABLES (Continued)
Officers of the Trust Who Are Not Trustees
Name, Address and Year of Birth | Position(s) Held with Time Served | Principal Occupation(s) During Past 5 Years | ||
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Global Utility Income Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. | ||
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013); Vice President (2005 to 2013); Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2005) with Virtus affiliates; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select Energy MLP Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
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FUND MANAGEMENT TABLES (Continued)
Officers of the Trust Who Are Not Trustees (Continued)
Name, Address and Year of Birth | Position(s) Held with Time Served | Principal Occupation(s) During Past 5 Years | ||
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2003) with Virtus affiliates; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. | ||
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; Senior Vice President (since 2018), Virtus Closed-End Funds; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). | ||
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Director (since 2013), Virtus Global Funds PLC; and Executive Vice President (since 2013), Virtus Alternative Solutions Trust. |
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VIRTUS OPPORTUNITIES TRUST
101 Munson Street
Greenfield, MA 01301-9668
Trustees
Philip R. McLoughlin, Chairman
George R. Aylward
Thomas J. Brown
Donald C. Burke
Roger A. Gelfenbien
Sidney E. Harris
John R. Mallin
Hassell H. McClellan
Connie D. McDaniel
Geraldine M. McNamara
James M. Oates
Richard E. Segerson
Officers
George R. Aylward, President
Peter Batchelar, Senior Vice President
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer
Kevin J. Carr, Senior Vice President, Chief Legal Officer, Counsel and Secretary
Nancy J. Engberg, Senior Vice President and Chief Compliance Officer
Julia R. Short, Senior Vice President
Francis G. Waltman, Executive Vice President
Investment Adviser
Virtus Investment Advisers, Inc.
100 Pearl Street
Hartford, CT 06103-4506
Principal Underwriter
VP Distributors, LLC
100 Pearl Street
Hartford, CT 06103-4506
Administrator and Transfer Agent
Virtus Fund Services, LLC
100 Pearl Street
Hartford, CT 06103-4506
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286-1048
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
2001 Market Street
Philadelphia, PA 19103-7042
How to Contact Us
Mutual Fund Services | 1-800-243-1574 | |||
Adviser Consulting Group | 1-800-243-4361 | |||
Website | Virtus.com |
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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For more information about
Virtus Mutual Funds, please call
your financial representative, or
contact us at 1-800-243-1574
or Virtus.com
8009 | 11-18 |
P.O. Box 9874
Providence, RI 02940-8074
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ANNUAL REPORT VIRTUS OPPORTUNITIES TRUST |
September 30, 2018
Virtus Vontobel Foreign Opportunities Fund |
Not FDIC Insured
No Bank Guarantee
May Lose Value
Table of Contents
Virtus Vontobel Foreign Opportunities Fund
(“Vontobel Foreign Opportunities Fund”)
1 | ||||
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6 | ||||
10 | ||||
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PROXY VOTING PROCEDURES AND VOTING RECORD (FORM N-PX)
The subadviser votes proxies relating to portfolio securities in accordance with procedures that have been approved by the Board of Trustees of the Trust (“Trustees,” or the “Board”). You may obtain a description of these procedures, along with information regarding how the Fund voted proxies during the most recent 12-month period ended June 30, free of charge, by calling toll-free 1-800-243-1574. This information is also available through the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.
FORM N-Q INFORMATION
The Trust files a complete schedule of portfolio holdings for the Fund with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov. Form N-Q may be reviewed and copied at the SEC’s Public Reference Room. Information on the operation of the SEC’s Public Reference Room can be obtained by calling toll-free 1-800-SEC-0330.
This report is not authorized for distribution to prospective investors in the Vontobel Foreign Opportunities Fund unless preceded or accompanied by an effective prospectus which includes information concerning the sales charge, the Fund’s record and other pertinent information.
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To My Fellow Shareholders of Virtus Mutual Funds:
I am pleased to present this annual report that reviews the performance of your fund for the 12 months ended September 30, 2018.
U.S. economic growth and strong corporate earnings were consistent themes during the period, which began on an optimistic note with the sweeping tax overhaul that was signed into law at the end of 2017. As growth heated up, inflation fears caused stock markets to plunge in early February, ushering in the return of volatility after being conspicuously absent throughout 2017. Global trade war concerns sparked by the Trump administration’s tariff talk caused markets to remain unsettled into March before resuming an upward course through the spring and late summer. Meanwhile, persistent economic strength moved the Federal | ||
Reserve to hike its key interest rate four times in the period, most recently in late September, to end at 2.25%, its highest level in nearly a decade.
For the 12 months ended September 30, 2018, U.S. large-cap stocks, as measured by the S&P 500® Index, returned 17.91%, outpacing small-cap stocks, which returned 15.24%, as measured by the Russell 2000® Index. Within international equities, performance was mixed with developed markets up 2.74%, as measured by the MSCI EAFE® Index (net), and emerging markets down 0.81%, as measured by the MSCI Emerging Markets Index (net).
In the fixed income markets, the yield on the 10-year Treasury steadily climbed, to reach 3.05% at September 30, 2018, up from 2.33% at September 30, 2017. The broader U.S. fixed income market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index, which tracks Treasuries and other investment-grade debt securities, declined 1.22% for the 12 months. Non-investment grade bonds eked out a positive return of 3.05%, as measured by the Bloomberg Barclays U.S. Corporate High Yield Bond Index.
Market uncertainty is an ever-present reminder of the importance of portfolio diversification, including exposure to traditional and alternative asset classes. While diversification cannot guarantee a profit or prevent a loss, owning a variety of asset classes may cushion your portfolio against inevitable market fluctuations. Your financial advisor can help you ensure that your portfolio is adequately diversified across asset classes and investment strategies, with a broad array of Virtus Funds available through your fund exchange privileges. These include distinctive equity, fixed income, international, and asset allocation funds managed by Virtus affiliates and select subadvisers. We invite you to learn more about the Virtus family of funds at Virtus.com.
On behalf of our investment affiliates, thank you for entrusting the Virtus Funds with your assets. Should you have questions about your account or require assistance, please visit Virtus.com, or call our customer service team at 1-800-243-1574. We appreciate your business and remain committed to your long-term financial success.
Sincerely,
George R. Aylward President, Virtus Mutual Funds
October 2018
Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. |
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VONTOBEL FOREIGN OPPORTUNITIES FUND
DISCLOSURE OF FUND EXPENSES (Unaudited)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Vontobel Foreign Opportunities Fund (the “Fund”) you may incur two types of costs: (1) transaction costs, including sales charges on purchases of Class A shares and contingent deferred sales charges on Class C shares; and (2) ongoing costs, including investment advisory fees, distribution and service fees, and other expenses. Class I shares and Class R6 shares are sold without sales charges and do not incur distribution fees. Class R6 shares also do not incur shareholder servicing fees. For further information regarding applicable sales charges, see Note 1 in the Notes to Financial Statements. These examples are 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 mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period. The Annualized Expense Ratio may be different from the expense ratio in the Financial Highlights which is for the fiscal year ended September 30, 2018.
Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges or contingent deferred sales charges. Therefore, the accompanying tables are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information below, 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 table under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
Class A | $ | 1,000.00 | $ | 997.70 | 1.40 | % | $ | 7.01 | ||||||||
Class C | 1,000.00 | 994.10 | 2.07 | 10.35 | ||||||||||||
Class I | 1,000.00 | 999.10 | 1.10 | 5.51 | ||||||||||||
Class R6 | 1,000.00 | 999.40 | 1.02 | 5.11 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
The Fund may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expense ratios would have been higher.
You can find more information about the Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to the Fund’s prospectus.
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VONTOBEL FOREIGN OPPORTUNITIES FUND
DISCLOSURE OF FUND EXPENSES (Unaudited) (Continued)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values 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 your 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 this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other mutual funds.
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.05 | 1.40 | % | $ | 7.08 | ||||||||
Class C | 1,000.00 | 1,014.69 | 2.07 | 10.45 | ||||||||||||
Class I | 1,000.00 | 1,019.55 | 1.10 | 5.57 | ||||||||||||
Class R6 | 1,000.00 | 1,019.95 | 1.02 | 5.16 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
The Fund may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expense ratios would have been higher.
You can find more information about the Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to the Fund’s prospectus.
3
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VONTOBEL FOREIGN OPPORTUNITIES FUND
KEY INVESTMENT TERMS (Unaudited)
SEPTEMBER 30, 2018
American Depositary Receipt (ADR)
Represents shares of foreign companies traded in U.S. dollars on U.S. exchanges that are held by a U.S. bank or a trust. Foreign companies use ADRs in order to make it easier for Americans to buy their shares.
Bloomberg Barclays U.S. Aggregate Bond Index
The Bloomberg Barclays U.S. Aggregate Bond Index measures the U.S. investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Bloomberg Barclays U.S. Corporate High Yield Bond Index
The Bloomberg Barclays U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Brexit
A combination of the words “Britain” and “exit” which refers to Britain’s withdrawal from the European Union.
European Central Bank (“ECB”)
The ECB is responsible for conducting monetary policy for the euro area. The ECB was established as the core of the Euro-system and the European System of Central Banks (“ESCB”). The ESCB comprises the ECB and the National Central Banks (“NCBs”) of all 17 European Union Member States whether they have adopted the Euro or not.
Exchange-Traded Funds (“ETFs”)
An open-end fund that is tradeda on a stock exchange. Most ETFs have a portfolio of stocks or bonds that track a specific market index.
Federal Reserve (the “Fed”)
The Central Bank of the U.S., responsible for controlling the money supply, interest rates, and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 branches, and all national and state banks that are part of the system.
London Interbank Offered Rate (“LIBOR”)
A benchmark rate that some of the world’s leading banks charge each other for short-term loans and that serves as the first step to calculating interest rates on various loans throughout the world.
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VONTOBEL FOREIGN OPPORTUNITIES FUND
KEY INVESTMENT TERMS (Unaudited) (Continued)
SEPTEMBER 30, 2018
MSCI EAFE® Index (net)
The MSCI EAFE® (Europe, Australasia, Far East) Index (net) is a free float-adjusted market capitalization-weighted index that measures developed foreign market equity performance, excluding the U.S. and Canada. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI Emerging Markets Index (net)
The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization-weighted index designed to measure equity market performance in the global emerging markets. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Quantitative Easing (“QE”)
An unconventional monetary policy in which a central bank purchases government securities or other securities from the market in order to lower interest rates and increase the money supply. Quantitative easing increases the money supply by flooding financial institutions with capital in an effort to promote increased lending and liquidity. Quantitative easing is considered when short-term interest rates are at or approaching zero, and does not involve the printing of new banknotes.
Russell 2000® Index
The Russell 2000® Index is a market capitalization-weighted index of the 2,000 smallest companies in the Russell Universe, which comprises the 3,000 largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
S&P 500® Index
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Sponsored ADR
An ADR which is issued with the cooperation of the company whose stock will underlie the ADR. Sponsored ADRs generally carry the same rights normally given to stockholders, such as voting rights. ADRs must be sponsored to be able to trade on a major U.S. exchange such as the New York Stock Exchange (“NYSE”).
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VONTOBEL FOREIGN OPPORTUNITIES FUND
Portfolio Manager Commentary by Vontobel Asset Management, Inc. | Ticker Symbols: Class A: JVIAX Class C: JVICX Class I: JVXIX Class R6: VFOPX |
⬛ | The Fund is diversified and has an investment objective of long-term capital appreciation. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 2.17%, Class C shares at NAV returned 1.47%, Class I shares at NAV returned 2.48%, and Class R6 shares at NAV returned 2.55%. For the same period, the MSCI EAFE® Index (net), which serves as the Fund’s broad-based and style-specific index appropriate for comparison, returned 2.74%. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
The MSCI EAFE® Index (net) was positive in the fiscal first quarter, negative in the fiscal second and third quarters, and positive in the fiscal fourth quarter.
In the fourth quarter of 2017, returns were positive across all major markets, with the MSCI EAFE® Index (net) returning 4.23%. Europe’s economic momentum continued to build steam despite noise around Brexit , immigration, Polish nationalism, and Catalonia. The ultra-low interest rates of the European Central Bank (ECB) provided substantial support across all Eurozone countries. Emerging market (EM) equities performed well. Returns were driven by ongoing growth and stable outlooks for major EM
economies such as China and India. Asian information technology (IT) companies in particular contributed to emerging market performance.
While the MSCI EAFE® Index (net) fell 1.53% in the first quarter of 2018, emerging markets delivered a small positive return. The Eurozone recovery, supported by low interest rates and quantitative easing , continued in January, but in February expectations of rising inflation and interest rates, primarily in the U.S., sparked a sell-off in European equities. And although the U.S. temporarily exempted the EU from its planned steel and aluminum tariffs, the threat of a trade war between the U.S. and China weighed on EU markets. Emerging markets were strong in January, supported by strong commodity prices and Asian IT names. In early February however, the EM benchmark declined alongside developed markets due to concerns around inflation and interest rates rising at a faster-than-expected pace. By mid-March, the markets had recovered somewhat, before selling off again on escalating U.S.-China trade tensions.
Volatility continued in the global equity markets through the second quarter of 2018. Despite solid economic growth momentum in the U.S., Europe, Japan, and many emerging markets, activity around the globe led investors to favor less-risky securities. Concerns that prompted a change in the outlook included: the U.S. continuing to lift rates on the back of accelerating inflation; a strong dollar alongside a sell-off in EM currencies; a continued rise in oil prices; and the U.S. appearing set to impose tariffs, with China threatening retaliation. In Europe, political unrest in Italy and Germany dominated headlines over the quarter. Emerging markets struggled again, with 11 countries delivering double-digit negative returns in U.S. dollar terms. We viewed higher U.S. interest rates and trade fears as important drivers behind the EM sell-off. Brazil was the weakest market following a 10-day trucker strike resulting from
For information regarding the indexes and certain investment terms, see Key Investment Terms starting on page 4.
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VONTOBEL FOREIGN OPPORTUNITIES FUND (Continued) |
the government’s heavy-handed adjustment to fuel prices – an attempt to track the rising oil price alongside the collapsing Brazilian currency while keeping fuel taxes unchanged.
Volatility continued throughout the third quarter of 2018, as a host of geopolitical and macroeconomic risks, stemming from different corners of the earth, impacted markets. Investor concerns over a possible slowdown in global growth, escalating trade tensions, country-specific political turmoil, rising oil prices, and a sell-off in EM currencies weighed on the markets at times. Developed market equities proved to be more resilient than emerging markets. European equities turned in lackluster performance for the third quarter as the region came under pressure in August and September. After gaining momentum in 2017, the EU economy slowed in 2018, and the region faced risks stemming from Italy’s budget deal and Brexit negotiations. Emerging markets came under pressure again with a sell-off in many EM currencies.
What factors affected the Fund’s performance during its fiscal year?
The following discussion highlights specific stocks – those that provided the largest contribution to absolute performance and those that were the largest detractors for the fiscal year ended September 30, 2018. As bottom-up stock pickers, we hope that you find this useful and gain a greater understanding of how we invest your capital.
Stocks that helped absolute performance
Mastercard reported consistently strong results, with constant currency revenue growth in the mid-teens. Additionally, Mastercard reported its strongest purchase volume growth in recent years. Mastercard is a dominant card payment network second only to Visa. The company continues to benefit from strong secular tailwinds such as the cash-to-card conversion, and enjoys durable competitive protections as an indispensable component of the payment ecosystem.
Visa reported consistently strong results, with constant currency revenue growth in the mid-teens. Visa also increased its earnings guidance for 2018. Visa is a dominant card payment network that processes industry-leading global payment volumes outside of China. Visa has durable competitive protections as an indispensable component of the payment ecosystem, and continues to benefit from strong secular tailwinds driven by cash-to-card conversion. Visa operates with a high barrier to entry as a result of scale-based network effects and duopolistic market structure, and consistently returns cash to shareholders in terms of buybacks and dividends, driven by strong return on invested capital (ROIC) and robust free cash flow conversion.
Stocks that hurt absolute performance
British American Tobacco (BAT) was weak this year after uncertainty increased in the tobacco space as new nicotine delivery products were launched and the U.S. Food & Drug Administration (FDA) threatened to increase regulations. Despite the changes to the sector, we believe that nicotine consumption is not going away and BAT is well positioned to remain a leader in the field of nicotine delivery. British American Tobacco is the world’s largest tobacco company, with market leadership in more than 50 countries. Its global brands include Dunhill, Kent, Lucky Strike, Pall Mall, and Rothmans. It also has a full suite of next generation products that seek to offer nicotine delivery in a potentially less harmful way than traditional cigarettes.
Philip Morris International (PMI) is the global leader in heat not burn (HNB) products, one of the two technologies of next generation nicotine delivery products. The stock was weak this year as the growth rate slowed in its initial launch market of Japan. That said, we continue to believe in PMI’s positioning in the nicotine delivery space. Philip Morris produces and sells cigarettes under brands such as Marlboro and L&M, and is investing in leading next generation products such as IQOS, the leading HNB product.
For information regarding the indexes and certain investment terms, see the Key Investment Terms on page 4.
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VONTOBEL FOREIGN OPPORTUNITIES FUND (Continued) |
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Past performance is not indicative of future results. Any performance results portrayed reflect the reinvestment of dividends and other earnings. Any companies described in this commentary may or may not currently represent a position in the subadviser’s client portfolios. Also, any sector and industry weights described in the commentary may or may not have changed since the writing of this commentary. The information and methodology described in this commentary should not be construed as a recommendation to purchase or sell securities.
Any projections, forecasts or estimates contained in this commentary are based on a variety of estimates and assumptions. There can be no assurance that the estimates or assumptions made will prove accurate, and actual results may differ materially.
In the event a company described in this commentary is a position in the subadviser’s client portfolios, the securities identified and described do not represent all of the securities purchased, sold or recommended. The reader should not assume that an investment in any securities identified was or will be profitable or that investment recommendations or investment decisions we make in the future will be profitable.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Prospectus: For additional information on risks, please see the Fund’s prospectus.
Asset Allocations | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Consumer Staples | 27 | % | ||
Information Technology | 19 | |||
Industrials | 18 | |||
Consumer Discretionary | 15 | |||
Financials | 12 | |||
Health Care | 6 | |||
Materials | 1 | |||
Other (includes Securities-Lending Collateral) | 2 | |||
|
| |||
Total | 100 | % | ||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms on page 4.
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VONTOBEL FOREIGN OPPORTUNITIES FUND (Continued) |
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||||||
1 Year | 5 Years | 10 Years | Since Inception | Inception Date | ||||||||||||||||
Class A shares at NAV2 | 2.17 | % | 5.75 | % | 6.42 | % | — | — | ||||||||||||
Class A shares at POP3,4 | -3.71 | 4.51 | 5.79 | — | — | |||||||||||||||
Class C shares at NAV2 and with CDSC4 | 1.47 | 4.98 | 5.63 | — | — | |||||||||||||||
Class I shares at NAV | 2.48 | 6.03 | 6.70 | — | — | |||||||||||||||
Class R6 shares at NAV | 2.55 | — | — | 6.10 | % | 11/12/14 | ||||||||||||||
MSCI EAFE® Index (net) | 2.74 | 4.42 | 5.38 | 5.11 | 5 | — |
Fund Expense Ratios6: Class A shares: 1.49%; Class C shares: 2.15%; Class I shares: 1.17%; Class R6 shares: 1.09%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | The since inception index return is from the inception date of Class R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. The performance of the other share class may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
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VONTOBEL FOREIGN OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—97.7% | ||||||||
Consumer Discretionary—15.3% | ||||||||
Aptiv plc (United Kingdom) | 181,877 | $ | 15,260 | |||||
Booking Holdings, Inc. (Netherlands)(1) | 21,655 | 42,964 | ||||||
Domino’s Pizza Group plc (United Kingdom) | 5,271,577 | 19,198 | ||||||
Industria de Diseno Textil SA (Spain) | 771,304 | 23,382 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 63,919 | 22,605 | ||||||
Paddy Power Betfair plc (Ireland) | 339,644 | 28,984 | ||||||
Shimano, Inc. (Japan) | 143,300 | 23,093 | ||||||
Techtronic Industries Co., Ltd. (Hong Kong) | 3,657,144 | 23,358 | ||||||
|
| |||||||
198,844 | ||||||||
|
| |||||||
Consumer Staples—26.1% | ||||||||
Alimentation Couche-Tard, Inc. Class B (Canada) | 891,642 | 44,601 | ||||||
Ambev S.A. ADR (Brazil) | 2,819,043 | 12,883 | ||||||
Anheuser-Busch InBev NV (Belgium) | 302,134 | 26,387 | ||||||
British American Tobacco plc (United Kingdom)(5) | 586,725 | 27,412 | ||||||
Diageo plc (United Kingdom) | 795,833 | 28,204 | ||||||
Heineken NV (Netherlands) | 198,088 | 18,574 | ||||||
L’Oreal SA (France) | 60,733 | 14,646 | ||||||
Nestle S.A. Registered Shares (Switzerland) | 437,876 | 36,506 | ||||||
Philip Morris International, Inc. (Switzerland) | 383,756 | 31,291 | ||||||
Reckitt Benckiser Group plc (United Kingdom) | 449,571 | 41,112 | ||||||
Unilever NV CVA (Netherlands) | 807,034 | 44,943 | ||||||
Wal-Mart de Mexico SAB de C.V. (Mexico) | 4,477,850 | 13,584 | ||||||
|
| |||||||
340,143 | ||||||||
|
|
SHARES | VALUE | |||||||
Financials—11.5% | ||||||||
AIB Group plc (Ireland)(3) | 2,281,415 | $ | 11,681 | |||||
HDFC Bank Ltd. (India) | 1,837,836 | 50,859 | ||||||
Housing Development Finance Corp., Ltd. (India) | 1,180,916 | 28,582 | ||||||
London Stock Exchange Group plc (United Kingdom) | 332,782 | 19,892 | ||||||
Svenska Handelsbanken AB Class A (Sweden) | 1,050,474 | 13,268 | ||||||
UBS Group AG Registered Shares (Switzerland) | 814,132 | 12,858 | ||||||
United Overseas Bank Ltd. (Singapore) | 671,100 | 13,294 | ||||||
|
| |||||||
150,434 | ||||||||
|
| |||||||
Health Care—5.6% | ||||||||
Fresenius SE & Co. KGaA (Germany) | 248,377 | 18,237 | ||||||
Grifols SA (Spain) | 1,129,171 | 31,805 | ||||||
Medtronic plc (United States) | 233,536 | 22,973 | ||||||
|
| |||||||
73,015 | ||||||||
|
| |||||||
Industrials—17.2% | ||||||||
Aena SME SA (Spain) | 162,721 | 28,245 | ||||||
Bunzl plc (United Kingdom) | 647,378 | 20,361 | ||||||
Canadian National Railway Co. (Canada) | 388,717 | 34,880 | ||||||
DCC plc (Ireland) | 286,448 | 26,004 | ||||||
Kingspan Group plc (Ireland) | 285,962 | 13,334 | ||||||
RELX plc (United Kingdom) | 1,546,521 | 32,491 | ||||||
Rentokil Initial plc (United Kingdom) | 3,135,709 | 13,013 | ||||||
Safran SA (France) | 198,371 | 27,799 | ||||||
Teleperformance (France) | 150,542 | 28,403 | ||||||
|
| |||||||
224,530 | ||||||||
|
| |||||||
Information Technology—19.1% | ||||||||
Accenture plc Class A (United States) | 87,551 | 14,901 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 150,058 | 24,724 |
See Notes to Financial Statements
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VONTOBEL FOREIGN OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Information Technology (continued) | ||||||||
Constellation Software, Inc. (Canada) | 35,697 | $ | 26,251 | |||||
Keyence Corp. (Japan) | 33,600 | 19,512 | ||||||
Mastercard, Inc. Class A (United States) | 147,881 | 32,920 | ||||||
SAP SE (Germany) | 288,140 | 35,462 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 852,000 | 37,624 | ||||||
Tencent Holdings Ltd. (China) | 662,863 | 27,367 | ||||||
Visa, Inc. Class A (United States) | 206,517 | 30,996 | ||||||
|
| |||||||
249,757 | ||||||||
|
| |||||||
Materials—1.5% | ||||||||
HeidelbergCement AG (Germany) | 252,692 | 19,751 | ||||||
|
| |||||||
Utilities—1.4% | ||||||||
Power Grid Corp. of India Ltd. (India) | 7,052,603 | 18,330 | ||||||
TOTAL COMMON STOCKS (Identified Cost $961,706) |
| 1,274,804 | ||||||
TOTAL LONG-TERM INVESTMENTS—97.7% |
| |||||||
(Identified Cost $961,706) |
| 1,274,804 | ||||||
SECURITIES LENDING COLLATERAL—0.2% | ||||||||
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 1.950%)(2)(4) | 3,168,369 | 3,168 | ||||||
TOTAL SECURITIES LENDING COLLATERAL |
| |||||||
(Identified Cost $3,168) |
| 3,168 | ||||||
TOTAL INVESTMENTS—97.9% (Identified Cost $964,874) | 1,277,972 | |||||||
Other assets and liabilities, net—2.1% |
| 27,537 | ||||||
|
| |||||||
NET ASSETS—100.0% | $1,305,509 | |||||||
|
|
Abbreviation:
ADR | American Depositary Receipt |
Footnote Legend:
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(3) | All or a portion of security is on loan. |
(4) | Represents security purchased with cash collateral received for securities on loan. |
(5) | Shares traded on Johannesburg Exchange. |
Country Weightings (Unaudited)† | ||||
United Kingdom | 17 | % | ||
Netherlands | 8 | |||
Canada | 8 | |||
United States | 8 | |||
India | 8 | |||
France | 7 | |||
Spain | 7 | |||
Other | 37 | |||
Total | 100 | % |
† | % of total investments as of September 30, 2018. |
For information regarding the abbreviation, see Key Investment Terms starting on page 4.
See Notes to Financial Statements
11
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VONTOBEL FOREIGN OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | |||||||
Equity Securities: | ||||||||
Common Stocks | $ | 1,274,804 | $ | 1,274,804 | ||||
Securities Lending Collateral | 3,168 | 3,168 | ||||||
|
|
|
| |||||
Total Investments | $ | 1,277,972 | $ | 1,277,972 | ||||
|
|
|
|
There were no securities valued using significant observable inputs (Level 2) or significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
See Notes to Financial Statements
12
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VONTOBEL FOREIGN OPPORTUNITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2018
(Reported in thousands except shares and per share amounts)
Assets | ||||
Investment in securities at value(1)(2) | $ | 1,277,972 | ||
Foreign currency at value(3) | 594 | |||
Cash | 23,659 | |||
Receivables | ||||
Investment securities sold | 6,770 | |||
Fund shares sold | 1,616 | |||
Dividends and interest receivable | 868 | |||
Tax reclaims | 5,732 | |||
Securities lending receivable | — | (4) | ||
Prepaid expenses | 53 | |||
Prepaid trustee retainer | 25 | |||
Other assets | 76 | |||
|
| |||
Total assets | 1,317,365 | |||
|
| |||
Liabilities | ||||
Payables | ||||
Fund shares repurchased | 2,536 | |||
Investment securities purchased | 4,481 | |||
Collateral on securities loaned | 3,168 | |||
Investment advisory fees | 917 | |||
Distribution and service fees | 107 | |||
Administration and accounting fees | 111 | |||
Transfer agent and sub-transfer agent fees and expenses | 354 | |||
Professional fees | 30 | |||
Trustee deferred compensation plan | 76 | |||
Other accrued expenses | 76 | |||
|
| |||
Total liabilities | 11,856 | |||
|
| |||
Net Assets | $ | 1,305,509 | ||
|
| |||
Net Assets Consist of: | ||||
Common stock $0.001 par value | $ | 38 | ||
Capital paid in on shares of beneficial interest | 817,339 | |||
Accumulated undistributed net investment income (loss) | 7,130 | |||
Accumulated undistributed net realized gain (loss) | 168,068 | |||
Net unrealized appreciation (depreciation) on investments | 312,934 | |||
|
| |||
Net Assets | $ | 1,305,509 | ||
|
| |||
Net Assets: | ||||
Class A | $ | 211,755 | ||
Class C | $ | 75,379 | ||
Class I | $ | 984,802 | ||
Class R6 | $ | 33,573 | ||
Shares Outstanding (unlimited number of shares authorized, $0.001 par value): | ||||
Class A | 6,117,237 | |||
Class C | 2,228,322 | |||
Class I | 28,384,468 | |||
Class R6 | 966,882 | |||
Net Asset Value and Redemption Price Per Share: | ||||
Class A | $ | 34.62 | ||
Class C | $ | 33.83 | ||
Class I | $ | 34.70 | ||
Class R6 | $ | 34.72 | ||
Maximum Offering Price Per Share (NAV/(1-5.75%)): | ||||
Class A | $ | 36.73 | ||
(1) Investment in securities at cost | $ | 964,874 | ||
(2) Market value of securities on loan | $ | 2,907 | ||
(3) Foreign currency at cost | $ | 594 | ||
(4) Amount is less than $500. |
See Notes to Financial Statements
13
Table of Contents
VONTOBEL FOREIGN OPPORTUNITIES FUND
STATEMENT OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2018
($ reported in thousands)
Investment Income | ||||
Dividends | $ | 26,396 | ||
Interest | 3 | |||
Security lending, net of fees | — | (1) | ||
Foreign taxes withheld | (2,112 | ) | ||
|
| |||
Total investment income | 24,287 | |||
|
| |||
Expenses | ||||
Investment advisory fees | 12,186 | |||
Distribution and service fees, Class A | 648 | |||
Distribution and service fees, Class C | 863 | |||
Administration and accounting fees | 1,512 | |||
Transfer agent fees and expenses | 673 | |||
Sub-transfer agent fees and expenses, Class A | 352 | |||
Sub-transfer agent fees and expenses, Class C | 62 | |||
Sub-transfer agent fees and expenses, Class I | 934 | |||
Registration fees | 89 | |||
Printing fees and expenses | 86 | |||
Custodian fees | 35 | |||
Professional fees | 30 | |||
Trustees’ fees and expenses | 108 | |||
Miscellaneous expenses | 97 | |||
|
| |||
Total expenses | 17,675 | |||
Low balance account fees | (2 | ) | ||
|
| |||
Net expenses | 17,673 | |||
|
| |||
Net investment income (loss) | 6,614 | |||
|
| |||
Net Realized and Unrealized Gain (Loss) on Investments | ||||
Net realized gain (loss) from: | ||||
Investments | 194,970 | |||
Foreign currency transactions | (358 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (166,000 | ) | ||
Foreign currency transactions | (104 | ) | ||
|
| |||
Net realized and unrealized gain (loss) on investments | 28,508 | |||
|
| |||
Net increase (decrease) in net assets resulting from operations | $ | 35,122 | ||
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
14
Table of Contents
VONTOBEL FOREIGN OPPORTUNITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
($ Reported in thousands)
Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||
Net investment income (loss) | $ | 6,614 | $ | 6,810 | ||||
Net realized gain (loss) | 194,612 | 166,326 | ||||||
Net change in unrealized appreciation (depreciation) | (166,104 | ) | 18,780 | |||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from operations | 35,122 | 191,916 | ||||||
|
|
|
| |||||
Dividends to Shareholders | ||||||||
Net Investment Income: | ||||||||
Class A | (515 | ) | (2,073 | ) | ||||
Class C | — | (399 | ) | |||||
Class I | (5,658 | ) | (6,072 | ) | ||||
Class R6 | (120 | ) | (47 | ) | ||||
|
|
|
| |||||
Dividends to shareholders | (6,293 | ) | (8,591 | ) | ||||
|
|
|
| |||||
Change in Net Assets From Capital Transactions | ||||||||
Sale of shares: | ||||||||
Class A (858 and 1,641 shares, respectively) | 30,148 | 48,810 | ||||||
Class C (156 and 281 shares, respectively) | 5,400 | 8,490 | ||||||
Class I (7,445 and 11,182 shares, respectively) | 262,701 | 333,095 | ||||||
Class R6 (654 and 403 shares, respectively) | 23,114 | 12,528 | ||||||
Reinvestment of distributions: | ||||||||
Class A (13 and 72 shares, respectively) | 455 | 1,916 | ||||||
Class C (0, and 14 shares, respectively) | — | 362 | ||||||
Class I (153 and 217 shares, respectively) | 5,358 | 5,789 | ||||||
Class R6 (3 and 2 shares, respectively) | 98 | 47 | ||||||
Shares repurchased: | ||||||||
Class A (2,962 and 5,920 shares, respectively) | (104,332 | ) | (174,178 | ) | ||||
Class C (722 and 1,337 shares, respectively) | (24,787 | ) | (39,376 | ) | ||||
Class I (10,439 and 12,532 shares, respectively) | (366,169 | ) | (370,468 | ) | ||||
Class R6 (259 and 58 shares, respectively) | (9,118 | ) | (1,814 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets from capital transactions | (177,132 | ) | (174,799 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | (148,303 | ) | 8,526 | |||||
Net Assets | ||||||||
Beginning of period | 1,453,812 | 1,445,286 | ||||||
|
|
|
| |||||
End of period | $ | 1,305,509 | $ | 1,453,812 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income (loss) at end of period | $ | 7,130 | $ | 6,175 |
See Notes to Financial Statements
15
Table of Contents
VONTOBEL FOREIGN OPPORTUNITIES FUND
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | |||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 33.95 | 0.10 | 0.64 | 0.74 | (0.07 | ) | (0.07 | ) | 0.67 | $ | 34.62 | ||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 29.62 | 0.09 | 4.42 | 4.51 | (0.18 | ) | (0.18 | ) | 4.33 | 33.95 | ||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 27.21 | | 0.19 | 2.47 | 2.66 | (0.25 | ) | (0.25 | ) | 2.41 | 29.62 | |||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 28.12 | 0.25 | (0.92 | ) | (0.67 | ) | (0.24 | ) | (0.24 | ) | (0.91 | ) | 27.21 | |||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 27.01 | 0.24 | 1.03 | 1.27 | (0.16 | ) | (0.16 | ) | 1.11 | 28.12 | ||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 33.34 | (0.14 | ) | 0.63 | 0.49 | — | — | 0.49 | $ | 33.83 | |||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 29.23 | (0.11 | ) | 4.33 | 4.22 | (0.11 | ) | (0.11 | ) | 4.11 | 33.34 | |||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 26.95 | (0.02 | ) | 2.42 | 2.40 | (0.12 | ) | (0.12 | ) | 2.28 | 29.23 | |||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 27.88 | 0.04 | (0.91 | ) | (0.87 | ) | (0.06 | ) | (0.06 | ) | (0.93 | ) | 26.95 | |||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 26.82 | 0.04 | 1.02 | 1.06 | — | — | 1.06 | 27.88 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
16
Table of Contents
VONTOBEL FOREIGN OPPORTUNITIES FUND
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Total Return(2)(6) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(5) | Ratio of Gross Expenses to Average Net Assets(3)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||
2.17 | % | $ | 211,755 | 1.43 | % | 1.43 | % | 0.27 | % | 39 | % | ||||||||||||||||||
15.41 | (9) | 278,667 | 1.45 | (9) | 1.46 | 0.28 | (9) | 31 | |||||||||||||||||||||
9.77 | 367,684 | 1.44 | (7) | 1.45 | 0.68 | 25 | |||||||||||||||||||||||
(2.41 | ) | 406,429 | 1.41 | 1.41 | 0.89 | 32 | |||||||||||||||||||||||
4.72 | 477,036 | 1.43 | 1.43 | 0.85 | 31 | ||||||||||||||||||||||||
1.47 | % | $ | 75,379 | 2.10 | % | 2.10 | % | (0.41 | )% | 39 | % | ||||||||||||||||||
14.55 | (9) | 93,166 | 2.19 | (9) | 2.20 | (0.39 | )(9) | 31 | |||||||||||||||||||||
8.94 | 112,180 | 2.19 | (7) | 2.20 | (0.06 | ) | 25 | ||||||||||||||||||||||
(3.13 | ) | 117,568 | 2.17 | 2.17 | 0.15 | 32 | |||||||||||||||||||||||
3.95 | 117,906 | 2.18 | 2.18 | 0.15 | 31 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
17
Table of Contents
VONTOBEL FOREIGN OPPORTUNITIES FUND
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | |||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 34.03 | 0.20 | 0.65 | 0.85 | (0.18 | ) | (0.18 | ) | 0.67 | $ | 34.70 | ||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 29.63 | 0.20 | 4.40 | 4.60 | (0.20 | ) | (0.20 | ) | 4.40 | 34.03 | ||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 27.23 | 0.26 | 2.46 | 2.72 | (0.32 | ) | (0.32 | ) | 2.40 | 29.63 | ||||||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 28.14 | 0.32 | (0.91 | ) | (0.59 | ) | (0.32 | ) | (0.32 | ) | (0.91 | ) | 27.23 | |||||||||||||||||||||||||||
10/1/13 to 9/30/14 | 27.03 | 0.32 | 1.02 | 1.34 | (0.23 | ) | (0.23 | ) | 1.11 | 28.14 | ||||||||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 34.06 | 0.23 | 0.64 | 0.87 | (0.21 | ) | (0.21 | ) | 0.66 | $ | 34.72 | ||||||||||||||||||||||||||||
10/1/16 to 9/30/17 | 29.63 | 0.24 | 4.39 | 4.63 | (0.20 | ) | (0.20 | ) | 4.43 | 34.06 | ||||||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 27.24 | 0.33 | 2.42 | 2.75 | (0.36 | ) | (0.36 | ) | 2.39 | 29.63 | ||||||||||||||||||||||||||||||
11/12/14(4) to 9/30/15 | 28.66 | 0.36 | (1.45 | ) | (1.09 | ) | (0.33 | ) | (0.33 | ) | (1.42 | ) | 27.24 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
18
Table of Contents
VONTOBEL FOREIGN OPPORTUNITIES FUND
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Total Return(2)(6) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(5) | Ratio of Gross Expenses to Average Net Assets(3)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(5) | Portfolio Turnover Rate | ||||||||||||||||||||||||
2.48 | % | $ | 984,802 | 1.12 | % | 1.12 | % | 0.57 | % | 39 | % | ||||||||||||||||||
15.69 | (9) | 1,062,609 | 1.19 | (9) | 1.20 | 0.64 | (9) | 31 | |||||||||||||||||||||
10.05 | 958,835 | 1.19 | (7) | 1.20 | 0.90 | 25 | |||||||||||||||||||||||
(2.16 | ) | 1,231,349 | 1.17 | 1.17 | 1.14 | 32 | |||||||||||||||||||||||
4.97 | 1,263,398 | 1.18 | 1.18 | 1.13 | 31 | ||||||||||||||||||||||||
2.55 | % | $ | 33,573 | 1.03 | % | 1.03 | % | 0.66 | % | 39 | % | ||||||||||||||||||
15.82 | (9) | 19,370 | 1.08 | (9) | 1.09 | 0.75 | (9) | 31 | |||||||||||||||||||||
10.16 | 6,587 | 1.09 | (7) | 1.10 | 1.14 | 25 | |||||||||||||||||||||||
(3.84 | ) | 4,502 | 1.07 | 1.07 | 1.44 | 32 | (8) |
Footnote Legend
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(4) | Inception date. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | Net expense ratios include extraordinary proxy expenses. |
(8) | Portfolio Turnover is representative of the Fund for the entire year ended September 30, 2015. |
(9) | State Street Bank & Trust, custodian for the Fund through January 29, 2010, reimbursed the Fund for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses to Average Net Assets and increase the Ratio of Net Investment Income (Loss) to Average Net Assets by 0.01%. Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return by 0.01%. |
See Notes to Financial Statements
19
Table of Contents
VONTOBEL FOREIGN OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2018
Note 1. Organization
Virtus Opportunities Trust (the “Trust”) is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
As of the date of this report, 24 funds of the Trust are offered for sale, of which the Vontobel Foreign Opportunities Fund (the “Fund”) is reported in this annual report. The Fund’s investment objective is outlined in the Fund Summary Page. There is no guarantee the Fund will achieve its objective.
The Fund offers Class A shares, Class C shares, Class I shares, and Class R6 shares.
Class A shares are sold with a front-end sales charge of up to 5.75% with some exceptions. Generally, Class A shares are not subject to any charges by the Fund when redeemed; however, a 1% contingent deferred sales charge (“CDSC”) may be imposed on certain redemptions made within a certain period following purchases on which a finder’s fee has been paid. The period for which the CDSC applies for the Fund is 18 months. The CDSC period begins on the last day of the month preceding the month in which the purchase was made.
Class C shares are generally sold with a 1% CDSC, applicable if redeemed within one year of purchase. Class I shares and Class R6 shares are sold without a front-end sales charge or CDSC.
Class R6 shares are available only to the following investors without a minimum initial investment or minimum additional purchases: certain employer-sponsored retirement plans, including Section 401(k), 403(b) and 457 plans, profit-sharing plans, money purchase pension plans, and defined benefit plans and nonqualified deferred compensation plans, in each case provided that plan level or omnibus accounts are held on the books of the Fund. Other institutional investors may be permitted to purchase Class R6 shares subject to the Fund’s determination of eligibility and may be subject to a minimum initial investment requirement. Class R6 shares do not carry sales commissions or pay Rule 12b-1 fees. No compensation, administrative payments, sub-transfer agency payments or service payments are paid to brokers or other entities from Fund assets or the Fund’s distributor’s or an affiliate’s resources on sales of or investments in Class R6 shares.
The Fund may impose an annual fee on accounts having balances of less than $2,500. The small account fee may be waived in certain circumstances, as disclosed in the prospectuses and/or statements of additional information. The fees collected will be used to offset certain expenses of the Fund. These fees are reflected as “Low balance account fees” in the Fund’s Statement of Operations for the period, as applicable.
Each class of shares has identical voting, dividend, liquidation and other rights and the same terms and conditions, except that each class bears any expenses attributable specifically to that class (“class-specific expenses”) and has exclusive voting rights with respect to any Rule 12b-1 and/or shareholder service plan (“12b-1 Plan”) approved by the Board. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. Class-specific expenses may include shareholder servicing fees, sub-transfer agency fees, and fees under a 12b-1 Plan, as well as certain other expenses as designated by the Fund’s Treasurer and approved by the Board. Investment income, common operating expenses and realized and unrealized gains and losses of the Fund are borne pro-rata by the holders of each class of shares.
20
Table of Contents
VONTOBEL FOREIGN OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Note 2. Significant Accounting Policies
The Trust is an investment company that follows the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to Investment Companies. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be significant.
A. | Security Valuation |
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• Level 1 – | quoted prices in active markets for identical securities (security types generally include listed equities). |
• Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• Level 3 – | prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, ETFs, and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
21
Table of Contents
VONTOBEL FOREIGN OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the disbursements as designated by the underlying funds.
Dividend income from REIT investments is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
C. | Income Taxes |
The Fund is treated as a separate taxable entity. It is the intention of the Fund to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made.
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
Management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of September 30, 2018, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2015 forward (with limited exceptions).
22
Table of Contents
VONTOBEL FOREIGN OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
D. | Distributions to Shareholders |
Distributions are recorded by the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP.
E. | Expenses |
Expenses incurred together by the Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each fund or an alternative allocation method can be more appropriately used.
In addition to the net annual operating expenses that the Fund bears directly, the shareholders of the Fund indirectly bear the Fund’s pro-rata expenses of any underlying mutual funds in which the Fund invests.
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Fund does not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
G. | Securities Lending |
($ reported in thousands)
The Fund may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities, the Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. At September 30, 2018, the Fund had securities on loan with a market value of $2,907 and cash collateral of $3,168.
23
Table of Contents
VONTOBEL FOREIGN OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Note 3. Investment Advisory Fees and Related Party Transactions
A. | Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Trust. The Adviser manages the Fund’s investment program and general operations of the Fund, including oversight of the Fund’s subadviser.
As compensation for its services to the Fund, the Adviser is entitled to a fee, which is calculated daily and paid monthly, based upon the following annual rates as a percentage of the average daily net assets of the Fund:
First $2 Billion | $2+ Billion – $4 Billion | $4+ Billion | ||
0.85% | 0.80% | 0.75% |
B. | Subadviser |
Vontobel Asset Management, Inc. (the “Subadviser”) is the subadviser to the Fund. The subadviser manages the investments of the Fund for which it is paid a fee by the Adviser.
C. | Distributor |
($ reported in thousands)
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of the Fund’s shares. VP Distributors has advised the Fund that for the fiscal year (the “period”) ended September 30, 2018, it retained net commissions of $13 for Class A shares and CDSC of $0 for Class A shares and $4 for Class C shares.
In addition, the Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan, as a percentage of the average daily net assets of each respective class at the annual rates: 0.25% for Class A shares, and 1.00% for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan.
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply.
D. | Administrator and Transfer Agent |
($ reported in thousands)
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Fund.
For the period ended September 30, 2018, the Fund incurred administration fees in aggregate totaling $1,358 which are included in the Statement of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly.
For the period ended September 30, 2018, the Fund incurred transfer agent fees in aggregate totaling $1,958 which are included in the Statement of Operations within the line items “Transfer agent fees and expenses” and “Sub-transfer agent fees and expenses.” A portion of these fees was paid to outside entities that also provide services to the Trust. The fees are calculated daily and paid monthly.
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VONTOBEL FOREIGN OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
E. | Affiliated Shareholders |
($ reported in thousands)
At September 30, 2018, Virtus and its affiliates, and the retirement plans of Virtus and its affiliates, held shares of the Fund which may be redeemed at any time that aggregated to the following:
Shares | Aggregate Net Asset Value | |||||||
Class R6 Shares | 156,411 | $ | 5,431 |
F. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other Assets” in the Statement of Assets and Liabilities at September 30, 2018.
Note 4. Purchases and Sales of Securities
($ reported in thousands)
Purchases and sales of securities (excluding U.S. Government and agency securities and short-term securities) during the period ended September 30, 2018, were as follows:
Purchases | Sales | |||||||
$ | 542,507 | $ | 699,830 |
There were no purchases or sales of long-term U.S. Government and agency securities during the period ended September 30, 2018.
Note 5. Indemnifications
Under the Trust’s organizational documents, and in separate agreements between each Trustee and the Trust, its Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust and its funds. In addition, in the normal course of business, the Trust and the Fund enter into contracts that provide a variety of indemnifications to other parties. The Trust’s and/or the Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust or the Fund and that have not occurred. However, neither the Trust nor the Fund has had prior claims or losses pursuant to these arrangements, and they expect the risk of loss to be remote.
Note 6. Credit Risk and Asset Concentration
In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.
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VONTOBEL FOREIGN OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
The Fund may invest a high percentage of its assets in specific sectors or countries of the market in the pursuit of its investment objective. Fluctuations in these sectors of concentration may have a greater impact on the Fund, positive or negative, than if the Fund did not concentrate its investments in such sectors.
At September 30, 2018, the Fund held securities issued by various companies in specific sectors as detailed below:
Sector | Percentage of Total Investments | |||||||
Consumer Staples | 27 | % |
Note 7. 10% Shareholders
As of September 30, 2018, the Fund had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of the Fund as detailed below:
% of Shares Outstanding | Number of Accounts | |||||||
29 | % | 1* |
* | The shareholder is not affiliated with Virtus. |
Note 8. Federal Income Tax Information
($ reported in thousands)
At September 30, 2018, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Fund were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$969,881 | $344,109 | $(36,018) | $308,091 |
For the period ended September 30, 2018, the Fund utilized losses of $19,701 deferred in prior years against current year capital gains.
Capital losses realized after October 31 and certain late year losses may be deferred and treated as occurring on the first day of the following fiscal year. For the period ended September 30, 2018, the Fund deferred and recognized qualified late-year losses as follows:
Late Year | Late Year | Capital | Capital | |||
$— | $— | $— | $798 |
The components of distributable earnings on a tax basis (excluding unrealized appreciation (depreciation) (which is disclosed above) consist of the following:
Undistributed | Undistributed | |
$7,216 | $173,075 |
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VONTOBEL FOREIGN OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term gain distributions reported in the Statements of Changes in Net Assets, if any, are reported as ordinary income for federal tax purposes. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
The tax character of dividends and distributions paid during the periods ended September 30, 2018, and September 30, 2017, respectively was as follows:
Year Ended | ||||||||
2018 | 2017 | |||||||
Ordinary Income | $ | 6,293 | $ | 8,591 | ||||
|
|
|
| |||||
Total | $ | 6,293 | $ | 8,591 | ||||
|
|
|
|
For financial reporting purposes, book basis capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Permanent reclassifications can arise from differing treatment of certain income and gain transactions, nondeductible current year net operating losses, expiring capital loss carryovers and investments in passive foreign investment companies. The reclassifications have no impact on the net assets or NAV of the Fund. As of September 30, 2018, the Fund recorded reclassifications to increase (decrease) the accounts as listed below:
Capital Paid | Undistributed | Accumulated | ||
$— | $634 | $(634) |
Note 9. Redemption Facility
($ reported in thousands)
On September 18, 2017, the Fund and certain other affiliated funds entered into an $150,000 unsecured line of credit (“Credit Agreement”). This Credit Agreement, as amended, is with a commercial bank that allows the Fund to borrow cash from the bank to manage large unexpected redemptions and trade fails, up to a limit of one-third of the Fund’s total net assets in accordance with the terms of the agreement. This Credit Agreement has a term of 364 days and has been renewed for a period up to March 14, 2019. Interest is charged at the higher of the LIBOR or the Federal Funds rate plus an additional percentage rate on the amount borrowed. Commitment fees are charged on the undrawn balance. The Fund and other affiliated funds that are parties are individually, and not jointly, liable for their particular advances, if any, under the line of credit. The lending bank has the ability to require repayment of outstanding borrowings under this Credit Agreement upon certain circumstances such as an event of default.
The Fund made no borrowings at any time during the period and did not have any outstanding borrowings under this Credit Agreement at September 30, 2018.
Note 10. Illiquid and Restricted Securities
Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities
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VONTOBEL FOREIGN OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
have been valued by the Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment.
Restricted securities are not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.
The Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.
At September 30, 2018, the Fund did not hold any securities that were illiquid or restricted.
Note 11. Regulatory Matters and Litigation
From time to time, the Trust, the Fund’s Adviser and/or Subadviser and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations affecting their products and other activities. At this time, the Adviser believes that the outcomes of such matters are not likely, either individually or in aggregate, to be material to these financial statements.
On February 20, 2015, a putative class action complaint (In re Virtus Investment Partners, Inc. Securities Litigation; formerly styled as Tom Cummins v. Virtus Investment Partners Inc., et al.) alleging violations of certain provisions of the federal securities laws was filed by an individual shareholder against Virtus and certain of its officers (the “defendants”) in the United States District Court for the Southern District of New York. On August 21, 2015, the lead plaintiff filed a Consolidated Class Action Complaint (the “Consolidated Complaint”) amending the originally filed complaint and adding the Trust as a defendant. The Consolidated Complaint was purportedly filed on behalf of all purchasers of Virtus common stock between January 25, 2013 and May 11, 2015 (the “Class Period”). The Consolidated Complaint alleges that during the Class Period, the defendants disseminated materially false and misleading statements and concealed material adverse facts relating to certain funds previously subadvised by F-Squared Investments, Inc. and/or its affiliates (“F-Squared”). The plaintiff seeks to recover unspecified damages. A motion to dismiss the Consolidated Complaint was filed on behalf of the defendants on October 21, 2015. Pursuant to an Opinion & Order (“Order”) filed on July 1, 2016, the court granted in part and denied in part the defendants’ motion to dismiss. Although the Order narrows the scope of the claims asserted and dismisses one of the defendants from the suit, claims under Sections 10(b) and 20(a) of the Exchange Act and Rule 10b-5 thereunder survive the motion. The remaining defendants filed an Answer to the Consolidated Complaint on August 5, 2016. Pursuant to an Opinion & Order filed on May 15, 2017, the plaintiff’s motion for class certification, was granted by the court. Discovery has since been completed. On October 6, 2017, defendants moved for summary judgment. Briefing on the motion for summary judgment was completed on December 22, 2017, and oral argument was held on January 18, 2018, where the Court reserved decision. Virtus and its affiliates, including the Adviser, believe that the suit is without merit. Nevertheless, on February 6, 2018, Virtus reached an agreement in principle with the plaintiffs, subject to Court approval, settling all claims in the litigation, in order to avoid the cost, distraction, disruption, and inherent
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VONTOBEL FOREIGN OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
litigation uncertainty. The court gave its preliminary approval by order dated June 28, 2018, and a hearing for final approval was held on October 24, 2018, with no objections to the settlement presented. Upon approval by the Court, which Virtus believes is likely, the resolution of this matter will not have a material impact on the results of operations, cash flows or its consolidated financial condition for Virtus. Whether or not the settlement is approved by the Court, the Trust believes that the risk of loss to the Fund as a result of this suit is remote and the Adviser does not believe that the suit will have any impact on its ability to provide services to the Fund.
Note 12. Recent Accounting Pronouncements
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”), ASU No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the policy for the timing of transfers between levels and the valuation process for Level 3 fair value measurements. For public companies, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Management has evaluated the implications of certain provisions of ASU No. 2018-13 and has determined to early adopt all aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately.
In August 2018, the SEC adopted amendments to Regulation S-X which are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the information provided to investors. The amendments include eliminating the requirement to: separately state book basis components of net assets on the Statement of Assets & Liabilities; separately state the sources of distributions paid (except tax return of capital distributions must still be separately disclosed) on the Statement of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statement of Changes in Net Assets. The compliance date for the amendments to Regulation S-X is for filings made with the SEC after November 5, 2018. The adoption will have no effect on the Fund’s net assets or results of operations.
Note 13. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were available for issuance and has determined that there are no subsequent events requiring recognition or disclosure in these financial statements.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of
Virtus Opportunities Trust and Shareholders of
Virtus Vontobel Foreign Opportunities Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Virtus Vontobel Foreign Opportunities Fund (one of the funds constituting Virtus Opportunities Trust, referred to hereafter as the “Fund”) as of September 30, 2018, the related statement of operations for the year ended September 30, 2018, the statements of changes in net assets for each of the two years in the period ended September 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2018 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 20, 2018
We have served as the Virtus Mutual Funds’ auditor since at least 1977. We have not been able to determine the specific year we began serving as auditor.
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VONTOBEL FOREIGN OPPORTUNITIES FUND
TAX INFORMATION NOTICE (Unaudited)
SEPTEMBER 30, 2018
For the fiscal year ended September 30, 2018, the Fund makes the following disclosures for federal income tax purposes. Below is listed the percentage, or the maximum amount allowable, of its ordinary income dividends (“QDI”) to qualify for the lower tax rates applicable to individual shareholders, and the percentage of ordinary income dividends earned by the Fund which qualifies for the dividends received deduction (“DRD”) for corporate shareholders. The actual percentage of QDI and DRD for the calendar year will be designated in year-end tax statements. The Fund designates the amounts below as long-term capital gains dividends (“LTCG”) taxable at a 20% rate, or lower depending on the shareholder’s income ($ reported in thousands). LTCG amounts, if subsequently different, will be designated in the next annual report.
QDI | DRD | LTCG | ||
100% | 28% | $173,075 |
For the fiscal year ended September 30, 2018, the Fund recognized $23,588 ($ reported in thousands), of foreign source income on which the Fund paid foreign taxes of $2,112 ($ reported in thousands). This information is being furnished to you pursuant to notice requirements of Section 853(a) and 855(d) of the Internal Revenue Code, as amended, and the Treasury Regulations thereunder.
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Information pertaining to the Trustees and officers of the Trust as of the date of issuance of this report, is set forth below. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling (800) 243-4361.
The address of each individual, unless otherwise noted, is c/o Virtus Opportunities Trust, 100 Pearl Street, Hartford, CT 06103. There is no stated term of office for Trustees or officers of the Trust.
Independent Trustees
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee | |
Brown, Thomas J. YOB: 1945 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). | |
Burke, Donald C. YOB: 1960 Served Since: 2016 75 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014) closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). | |
Gelfenbien, Roger A. YOB: 1943 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2000), Virtus Variable Insurance Trust (8 portfolios); and Director (1999 to 2017), USAllianz Variable Insurance Product Trust (42 portfolios). | |
Harris, Sidney E. YOB: 1949 Served Since: 2017 71 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University; Trustee (since 2017), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Trustee (since 1999) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (2012 to 2017), International University of the Grand Bassam; and Trustee (2011 to 2015), Genspring Family Offices, LLC. | |
Mallin, John R. YOB: 1950 Served Since: 2016 71 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm), Real Property Practice Group; and Member (since 2014), Counselors of Real Estate. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). | |
McClellan, Hassell H. YOB: 1945 Served Since: 2015 71 Portfolios | Retired (since 2013); and Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Mutual Fund Family (60 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). | |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 71 Portfolios | Retired (since 2013); and Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President Global Finance Transformation (2007 to 2009); Vice President and Controller (1999 to 2007), The Coca-Cola Company; Trustee (since 2017), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2014), Total System Services, Inc.; and Trustee (2005 to 2017), RidgeWorth Funds. |
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FUND MANAGEMENT TABLES (Continued)
Independent Trustees (Continued)
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee | |
McLoughlin, Philip YOB: 1946 Served Since: 1999 79 Portfolios | Retired. Director and Chairman (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Director and Chairman (since 2014) Duff & Phelps Select Energy MLP Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (since 1991) and Chairman (since 2010), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (60 portfolios). | |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 75 Portfolios | Retired. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (60 portfolios). | |
Oates, James M. YOB: 1946 Served Since: 2000 75 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). Director (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (60 portfolios). | |
Segerson, Richard E. YOB: 1946 Served Since: 2000 71 Portfolios | Retired; and Managing Director (1998 to 2013), Northway Management Company. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (60 portfolios). |
Interested Trustee
Name, Year of Birth, Year Elected and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee | |
Aylward, George R.* Trustee and President YOB: 1964 Elected: 2006 77 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions with Virtus affiliates (since 2005). Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (3 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (60 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
* | Mr. Aylward is an “interested person,” as defined in the 1940 Act, by reason of his position as President and Chief Executive Officer of Virtus Investment Partners, Inc. (“Virtus”), the ultimate parent company of the Adviser, and various positions with its affiliates, including the Adviser. |
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FUND MANAGEMENT TABLES (Continued)
Officers of the Trust Who Are Not Trustees
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years | ||
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Global Utility Income Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. | ||
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013); Vice President (2005 to 2013); Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2005) with Virtus affiliates; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President(2013 to 2014), Vice President(2011 to 2013), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select Energy MLP Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
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FUND MANAGEMENT TABLES (Continued)
Officers of the Trust Who Are Not Trustees (Continued)
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years | ||
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2003) with Virtus affiliates; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. | ||
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; Senior Vice President (since 2018), Virtus Closed-End Funds; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). | ||
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Director (since 2013), Virtus Global Funds PLC; and Executive Vice President (since 2013), Virtus Alternative Solutions Trust. |
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VIRTUS OPPORTUNITIES TRUST
101 Munson Street
Greenfield, MA 01301-9668
Trustees
Philip R. McLoughlin, Chairman
George R. Aylward
Thomas J. Brown
Donald C. Burke
Roger A. Gelfenbein
Sidney E. Harris
John R. Mallin
Hassell H. McClellan
Connie D. McDaniel
Geraldine M. McNamara
James M. Oates
Richard E. Segerson
Officers
George R. Aylward, President
Peter Batchelar, Senior Vice President
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer
Kevin J. Carr, Senior Vice President, Chief Legal Officer, Counsel and Secretary
Nancy J. Engberg, Senior Vice President and Chief Compliance Officer
Julia R. Short, Senior Vice President
Francis G. Waltman, Executive Vice President
Investment Adviser
Virtus Investment Advisers, Inc.
100 Pearl Street
Hartford, CT 06103-4506
Principal Underwriter
VP Distributors, LLC
100 Pearl Street
Hartford, CT 06103-4506
Administrator and Transfer Agent
Virtus Fund Services, LLC
100 Pearl Street
Hartford, CT 06103-4506
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286-1048
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
2001 Market Street
Philadelphia, PA 19103-7042
How to Contact Us
Mutual Fund Services 1-800-243-1574
Adviser Consulting Group 1-800-243-4361
Website Virtus.com
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
Table of Contents
For more information about
Virtus Mutual Funds, please call
your financial representative,
contact us at 1-800-243-1574,
or visit Virtus.com.
8011 | 11-18 |
P.O. Box 9874
Providence, RI 02940-8074
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ANNUAL REPORT VIRTUS OPPORTUNITIES TRUST |
September 30, 2018
Virtus Newfleet Multi-Sector Short Term Bond Fund |
Not FDIC Insured
No Bank Guarantee
May Lose Value
Table of Contents
Virtus Newfleet Multi-Sector Short Term Bond Fund
(“Newfleet Multi-Sector Short Term Bond Fund”)
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64 |
PROXY VOTING PROCEDURES AND VOTING RECORD (FORM N-PX)
The subadviser votes proxies if any relating to portfolio securities in accordance with procedures that have been approved by the Board of Trustees of the Trust (“Trustees,” or the “Board”). You may obtain a description of these procedures, along with information regarding how the Fund voted proxies during the most recent 12-month period ended June 30, free of charge, by calling toll-free 1-800-243-1574. This information is also available through the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.
FORM N-Q INFORMATION
The Trust files a complete schedule of portfolio holdings for the Fund with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov. Form N-Q may be reviewed and copied at the SEC’s Public Reference Room. Information on the operation of the SEC’s Public Reference Room can be obtained by calling toll-free 1-800-SEC-0330.
This report is not authorized for distribution to prospective investors in the Newfleet Multi-Sector Short Term Bond Fund unless preceded or accompanied by an effective prospectus which includes information concerning the sales charge, the Fund’s record and other pertinent information.
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To My Fellow Shareholders of Virtus Mutual Funds:
I am pleased to present this annual report that reviews the performance of your fund for the 12 months ended September 30, 2018.
U.S. economic growth and strong corporate earnings were consistent themes during the period, which began on an optimistic note with the sweeping tax overhaul that was signed into law at the end of 2017. As growth heated up, inflation fears caused stock markets to plunge in early February, ushering in the return of volatility after being conspicuously absent throughout 2017. Global trade war concerns sparked by the Trump administration’s tariff talk caused markets to remain unsettled into March before resuming an upward course through the spring and late | ||
summer. Meanwhile, persistent economic strength moved the Federal Reserve to hike its key interest rate four times in the period, most recently in late September, to end at 2.25%, its highest level in nearly a decade.
For the 12 months ended September 30, 2018, U.S. large-cap stocks, as measured by the S&P 500® Index, returned 17.91%, outpacing small-cap stocks, which returned 15.24%, as measured by the Russell 2000® Index. Within international equities, performance was mixed with developed markets up 2.74%, as measured by the MSCI EAFE® Index (net), and emerging markets down 0.81%, as measured by the MSCI Emerging Markets Index (net).
In the fixed income markets, the yield on the 10-year Treasury steadily climbed, to reach 3.05% at September 30, 2018, up from 2.33% at September 30, 2017. The broader U.S. fixed income market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index, which tracks Treasuries and other investment-grade debt securities, declined 1.22% for the 12 months. Non-investment grade bonds eked out a positive return of 3.05%, as measured by the Bloomberg Barclays U.S. Corporate High Yield Bond Index.
Market uncertainty is an ever-present reminder of the importance of portfolio diversification, including exposure to traditional and alternative asset classes. While diversification cannot guarantee a profit or prevent a loss, owning a variety of asset classes may cushion your portfolio against inevitable market fluctuations. Your financial advisor can help you ensure that your portfolio is adequately diversified across asset classes and investment strategies, with a broad array of Virtus Funds available through your fund exchange privileges. These include distinctive equity, fixed income, international, and asset allocation funds managed by Virtus affiliates and select subadvisers. We invite you to learn more about the Virtus family of funds at Virtus.com.
On behalf of our investment affiliates, thank you for entrusting the Virtus Funds with your assets. Should you have questions about your account or require assistance, please visit Virtus.com, or call our customer service team at 1-800-243-1574. We appreciate your business and remain committed to your long-term financial success.
Sincerely,
George R. Aylward President, Virtus Mutual Funds
October 2018
Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. |
1
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
DISCLOSURE OF FUND EXPENSES (Unaudited)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Newfleet Multi-Sector Short Term Bond Fund (the “Fund”) you may incur two types of costs; (1) transaction costs, including sales charges on purchases of Class A shares and contingent deferred sales charges on Class C1 shares; and (2) ongoing costs, including investment advisory fees, distribution and service fees, and other expenses. Class C shares are sold without a sales charge. Class I shares and Class R6 shares are sold without sales charges and do not incur distribution fees. Class R6 shares also do not incur shareholder servicing fees. For further information regarding applicable sales charges, see Note 1 in the Notes to Financial Statements. These examples are 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 mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period. The Annualized Expense Ratios may be different from the expense ratios in the Financial Highlights which is for the fiscal year ended September 30, 2018.
Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges or contingent deferred sales charges. Therefore, the accompanying tables are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
Actual Expenses
The table below provides information about the Fund’s actual account values and actual expenses. You may use the information in this section, 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 table under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses paid During Period* | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,001.30 | 0.96 | % | $ | 4.82 | ||||||||
Class C | 1,000.00 | 1,000.10 | 1.19 | 5.97 | ||||||||||||
Class C1 | 1,000.00 | 997.60 | 1.69 | 8.46 | ||||||||||||
Class I | 1,000.00 | 1,004.70 | 0.71 | 3.57 | ||||||||||||
Class R6 | 1,000.00 | 1,002.90 | 0.55 | 2.76 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
The Fund may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expense ratios would have been higher.
You can find more information about the Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to the Fund’s prospectus.
2
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
DISCLOSURE OF FUND EXPENSES (Unaudited) (Continued)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
Hypothetical Example for Comparison Purposes
The accompanying table below provides information about hypothetical account values 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 your 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 your Fund and other funds. To do so, compare this 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses paid During Period* | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,020.26 | 0.96 | % | $ | 4.86 | ||||||||
Class C | 1,000.00 | 1,019.10 | 1.19 | 6.02 | ||||||||||||
Class C1 | 1,000.00 | 1,016.60 | 1.69 | 8.54 | ||||||||||||
Class I | 1,000.00 | 1,021.51 | 0.71 | 3.60 | ||||||||||||
Class R6 | 1,000.00 | 1,022.31 | 0.55 | 2.79 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
The Fund may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expense ratios would have been higher.
You can find more information about the Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to the Fund’s prospectus.
3
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
KEY INVESTMENT TERMS (Unaudited)
SEPTEMBER 30, 2018
American Depositary Receipt (“ADR”)
Represents shares of foreign companies traded in U.S. dollars on U.S. exchanges that are held by a U.S. bank or a trust. Foreign companies use ADRs in order to make it easier for Americans to buy their shares.
Bloomberg Barclays U.S. Aggregate Bond Index
The Bloomberg Barclays U.S. Aggregate Bond Index measures the U.S. investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Bloomberg Barclays U.S. Corporate High Yield Bond Index
The Bloomberg Barclays U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Exchange-Traded Funds (“ETF”)
An open-end fund that is traded on a stock exchange. Most ETFs have a portfolio of stocks or bonds that track a specific market index.
Federal Reserve (the “Fed”)
The Central Bank of the U.S., responsible for controlling money supply, interest rates, and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 branches, and all national and state banks that are part of the system.
ICE BofA Merrill Lynch 1–3 Year A–BBB US Corporate Index
The ICE BofA Merrill Lynch 1–3 Year A–BBB US Corporate Index measures performance of U.S. investment grade corporate bond issues rated “BBB” and “A” by Standard & Poor’s/Moody’s with maturities between one and three years. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges and it is not available for direct investment.
London Interbank Offered Rate (“LIBOR”)
A benchmark rate that some of the world’s leading banks charge each other for short-term loans and that serves as the first step to calculating interest rates on various loans throughout the world.
MSCI EAFE® Index (net)
The MSCI EAFE® (Europe, Australasia, Far East) Index (net) is a free float-adjusted market capitalization-weighted index that measures developed foreign market equity performance, excluding the U.S. and Canada. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
KEY INVESTMENT TERMS (Unaudited) (Continued)
SEPTEMBER 30, 2018
MSCI Emerging Markets Index (net)
The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization-weighted index designed to measure equity market performance in the global emerging markets. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Real Estate Investment Trust (“REIT”)
A publicly traded company that owns, develops, and operates income-producing real estate such as apartments, office buildings, hotels, shopping centers, and other commercial properties.
Russell 2000® Index
The Russell 2000® Index is a market capitalization-weighted index of the 2,000 smallest companies in the Russell Universe, which comprises the 3,000 largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
S&P 500® Index
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
5
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND (Unaudited)
Portfolio Manager Commentary by Newfleet Asset Management, LLC | Ticker Symbols: Class A: NARAX Class C: PSTCX Class C1: PMSTX Class I: PIMSX Class R6: VMSSX |
⬛ | The Fund is diversified and has an investment objective of providing high current income while attempting to limit changes in the Fund’s net asset value per share caused by interest rate changes. There is no guarantee that the Fund will meet its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned 0.05%; Class C shares returned -0.18%; Class C1 shares returned -0.68%; Class I shares returned 0.32%†; and Class R6 shares returned 0.38%†. For the same period, the ICE BofA Merrill Lynch 1–3 Year A–BBB US Corporate Index, which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned 0.83%. |
† | See footnote 7 on page 8. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
⬛ | Most spread sectors outperformed during the fiscal year ended September 30, 2018, led by corporate high yield and high yield bank loans. Within spread sectors, assets with longer duration underperformed on a total return basis, as yields rose and bond prices fell. Non-U.S. dollar-denominated securities and emerging markets high yield were the largest underperformers during the period. |
⬛ | The 12-month period presented multiple challenges, including several bouts of elevated volatility. Market participants continued to wrestle with periods of instability caused by geopolitical developments, trade rhetoric, mixed global economic signals, and the evolution of the various quantitative easing (QE) programs that began after the now decade-old financial crisis. During the period, oil prices continued their ascent, driven higher by the outlook for supply/demand dynamics. U.S. economic data stayed on a positive trend, which contrasted with other global economies. |
⬛ | As anticipated, the Federal Reserve (the Fed) raised its target rate 0.25% on four separate occasions during the 12 months to a range of 2.00% to 2.25%. |
⬛ | Over the last 12 months, yields increased overall, but more so for shorter maturity bonds than for longer term securities. |
What factors affected the Fund’s performance during its fiscal year?
⬛ | The underperformance of U.S. Treasuries relative to most fixed income spread sectors was the key driver of the Fund’s outperformance for the fiscal year ended September 30, 2018. |
⬛ | Among fixed income sectors, the Fund’s allocations to corporate high yield, bank loans, residential mortgages, and asset-backed securities were the largest positive contributors to performance for the fiscal year. Issue selection within corporate high quality and asset-backed securities was also beneficial. |
⬛ | During the fiscal year, the Fund’s allocations to emerging markets high yield and non-U.S. dollar-denominated securities were the largest detractors from performance. |
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such
For information regarding the indexes and certain investment terms, see the Key Investment Terms on page 4
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND (Unaudited) (Continued) |
opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.
ABS/MBS: Changes in interest rates can cause both extension and prepayment risks for asset- and mortgage-backed securities. These securities are also subject to risks associated with the repayment of underlying collateral.
Bank Loans: Loans may be unsecured or not fully collateralized, may be subject to restrictions on resale and/or trade infrequently on the secondary market. Loans can carry significant credit and call risk, can be difficult to value and have longer settlement times than other investments, which can make loans relatively illiquid at times.
Prospectus: For additional information on risks, please see the Fund’s prospectus.
Asset Allocations | ||||||||
The following table presents the asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||||||
Corporate Bonds and Notes | 32 | % | ||||||
Financials | 10 | % | ||||||
Energy | 5 | |||||||
Consumer Discretionary | 4 | |||||||
All other Corporate Bonds and Notes | 13 | |||||||
Asset-Backed Securities | 23 | |||||||
Mortgage-Backed Securities | 22 | |||||||
Leveraged Loans | 12 | |||||||
Foreign Government Securities | 3 | |||||||
Other (includes short-term investment and Securities Lending Collateral) | 8 | |||||||
|
| |||||||
Total | 100 | % | ||||||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms on page 4.
7
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND (Continued) |
Average Annual Total Returns1 for periods ended 9/30/18 | ||||||||||||||||||||
1 Year | 5 Years | 10 Years | Since Inception | Inception Date | ||||||||||||||||
Class A shares at NAV2 | 0.05 | % | 2.15 | % | 5.07 | % | — | — | ||||||||||||
Class A shares at POP3,4 | -2.20 | 1.68 | 4.83 | — | — | |||||||||||||||
Class C shares at NAV2 and with CDSC4 | -0.18 | 1.91 | 4.82 | — | — | |||||||||||||||
Class C1 shares at NAV2 and with CDSC4 | -0.68 | 1.41 | 4.31 | — | — | |||||||||||||||
Class I shares at NAV | 0.32 | 2.45 | 5.35 | — | — | |||||||||||||||
Class R6 shares at NAV | 0.38 | — | — | 2.05 | % | 11/3/16 | ||||||||||||||
ICE BofA Merrill Lynch 1–3 Year A–BBB US Corporate Index | 0.83 | 1.66 | 3.59 | 1.33 | 5 | — |
Fund Expense Ratios6: Class A shares: 1.02%; Class C shares: 1.24%; Class C1 shares: 1.74%; Class I shares: 0.75%; Class R6 shares: 0.55%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.25% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C1 shares are 1% within the first year and 0% thereafter. |
5 | The index returns are from Class R6 shares’ inception date. |
6 | The expense ratios for the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares, Class C shares, Class C1 shares, and Class I shares including any applicable sales charges or fees. The performance of the other share class may be greater or less than that shown based on differences in inception dates, fees and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The indexes are unmanaged and not available for direct investment; therefore, their performance does not reflect the expenses associated with active management of an actual portfolio.
8
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
U.S. GOVERNMENT SECURITIES—2.9% | ||||||||
U.S. Treasury Note | ||||||||
1.125%, 2/28/19 | $ | 53,000 | $ | 52,735 | ||||
1.375%, 1/15/20 | 36,520 | 35,899 | ||||||
1.375%, 4/30/20 | 93,495 | 91,472 | ||||||
2.625%, 8/31/20(15) | 28,000 | 27,901 | ||||||
TOTAL U.S. GOVERNMENT SECURITIES |
| |||||||
(Identified Cost $208,597) |
| 208,007 | ||||||
MUNICIPAL BONDS—0.1% | ||||||||
Virginia—0.1% | ||||||||
Tobacco Settlement Financing Corp. Revenue Taxable | 4,565 | 4,525 | ||||||
TOTAL MUNICIPAL BONDS (Identified Cost $4,268) |
| 4,525 | ||||||
FOREIGN GOVERNMENT SECURITIES—3.4% | ||||||||
Argentine Republic | ||||||||
5.625%, 1/26/22(15) | 7,647 | 6,898 | ||||||
4.625%, 1/11/23 | 8,400 | 7,090 | ||||||
Bolivarian Republic of Venezuela | ||||||||
RegS, | 20,999 | 5,171 | ||||||
RegS, | 9,851 | 2,627 | ||||||
Dominican Republic | 7,115 | 7,501 | ||||||
Federal Republic of Nigeria | 18,000 | 18,243 | ||||||
Federative Republic of Brazil | ||||||||
Notas do Tesouro Nacional | 25,125 | BRL | 6,204 | |||||
Notas do Tesouro Nacional | 47,335 | BRL | 11,687 |
PAR VALUE | VALUE | |||||||
FOREIGN GOVERNMENT SECURITIES (continued) | ||||||||
Provincia de Buenos Aires 144A 6.500%, 2/15/23(3) | $ | 11,460 | $ | 10,070 | ||||
Republic of Chile | 11,647,000 | CLP | 18,228 | |||||
Republic of Colombia | ||||||||
Treasury Note | 21,072,000 | COP | 7,182 | |||||
4.375%, 3/21/23 | 33,056,000 | COP | 10,599 | |||||
Republic of Costa Rica 144A | 9,940 | 8,589 | ||||||
Republic of Indonesia FR70 | 237,108,000 | IDR | 16,023 | |||||
Republic of South Africa | ||||||||
Series 2023, | 145,000 | ZAR | 10,020 | |||||
4.665%, 1/17/24 | 6,725 | 6,565 | ||||||
Republic of Turkey | 20,015 | 19,605 | ||||||
Russian Federation Series 6216 | 1,391,005 | RUB | 21,182 | |||||
Sultanate of Oman | 18,855 | 18,373 | ||||||
Ukraine 144A 7.750%, 9/1/23(3) | 13,715 | 13,465 | ||||||
United Mexican States Series M | 250,769 | MXN | 12,860 | |||||
TOTAL FOREIGN GOVERNMENT SECURITIES |
| |||||||
(Identified Cost $285,483) |
| 238,182 | ||||||
MORTGAGE-BACKED SECURITIES—22.3% | ||||||||
Agency—2.8% | ||||||||
Federal National Mortgage Association |
| |||||||
Pool #792432, | 25 | 26 | ||||||
Pool #784263, | 7 | 7 | ||||||
Pool #811881, | 4 | 4 |
See Notes to Financial Statements
9
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Agency (continued) | ||||||||
Pool #819916, | $ | 24 | $ | 25 | ||||
Pool #819922, | 42 | 42 | ||||||
Pool #811451, | 75 | 78 | ||||||
Pool #AD6058, | 4,363 | 4,454 | ||||||
Pool #AO5149, | 596 | 592 | ||||||
Pool #AS5927, | 16,414 | 16,272 | ||||||
Pool #AZ4794, | 25,274 | 25,055 | ||||||
Pool #890707, | 28,472 | 27,496 | ||||||
Pool #890710, | 10,539 | 10,421 | ||||||
Pool #254549, | 24 | 26 | ||||||
Pool #695237, | 30 | 32 | ||||||
Pool #773385, | 164 | 177 | ||||||
Pool #725762, | 131 | 145 | ||||||
Pool #806318, | 138 | 147 | ||||||
Pool #806328, | 127 | 135 | ||||||
Pool #806316, | 82 | 89 | ||||||
Pool #800267, | 34 | 36 | ||||||
Pool #808018, | 155 | 166 | ||||||
Pool #941322, | 7 | 8 | ||||||
Pool #889578, | 84 | 92 | ||||||
Pool #AC6992, | 3,069 | 3,265 | ||||||
Pool #AD3841, | 4,282 | 4,458 | ||||||
Pool #AD4224, | 3,787 | 3,996 |
PAR VALUE | VALUE | |||||||
Agency (continued) | ||||||||
Pool #AE4799, | $ | 107 | $ | 109 | ||||
Pool #AH4009, | 3,506 | 3,566 | ||||||
Pool #AI2472, | 3,133 | 3,261 | ||||||
Pool #AX2491, | 16,367 | 16,574 | ||||||
Pool #AS6515, | 10,360 | 10,475 | ||||||
Pool #AS9393, | 6,434 | 6,501 | ||||||
Pool #MA3058, | 31,055 | 31,378 | ||||||
Pool #MA3088, | 25,747 | 26,013 | ||||||
Government National Mortgage Association |
| |||||||
Pool #563381, | 17 | 18 | ||||||
Pool #581072, | 9 | 10 | ||||||
|
| |||||||
195,149 | ||||||||
|
| |||||||
Non-Agency—19.5% | ||||||||
Access Point Funding I LLC 2017-A, A | 5,543 | 5,507 | ||||||
Adjustable Rate Mortgage Trust 2005-1, 3A1 | 2,332 | 2,357 | ||||||
Agate Bay Mortgage Trust 2016-3, A5 144A 3.500%, 8/25/46(2)(3) | 6,000 | 5,940 | ||||||
Ajax Mortgage Loan Trust 2018-C, 144A | 7,795 | 7,793 | ||||||
American Homes 4 Rent Trust 2015-SFR1, A 144A 3.467%, 4/17/52(3) | 11,433 | 11,232 | ||||||
Ameriquest Mortgage Securities, Inc. 2003-10, AF6, | 234 | 240 |
See Notes to Financial Statements
10
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Non-Agency (continued) | ||||||||
2003-10, AV1, (1 month LIBOR + 0.760%) 2.976%, 12/25/33(2) | $ | 3,293 | $ | 3,275 | ||||
AMSR Trust 2016-SFR1, A 144A, (1 month LIBOR + 1.400%) | 4,170 | 4,174 | ||||||
2016-SFR1, C | 3,495 | 3,500 | ||||||
2016-SFR1, D | 425 | 427 | ||||||
Angel Oak Mortgage Trust I LLC | 13,381 | 13,380 | ||||||
2018-2, A1 144A, | 7,840 | 7,840 | ||||||
2018-3, A1 144A, | 4,271 | 4,276 | ||||||
Angel Oak Mortgage Trust LLC | 653 | 652 | ||||||
2017-3, A1 144A, 2.708%, 11/25/47(2)(3) | 5,537 | 5,499 | ||||||
Arroyo Mortgage Trust | 44,144 | 44,158 | ||||||
Asset Backed Funding Certificates 2005-AQ1, A6 | 678 | 695 | ||||||
Aventura Mall Trust 2013-AVM, A 144A | 10,350 | 10,488 | ||||||
Banc of America Funding Trust 2004-4, 3A1, | 353 | 300 |
PAR VALUE | VALUE | |||||||
Non-Agency (continued) | ||||||||
2004-B, 2A1, | $ | 320 | $ | 321 | ||||
2004-D, 5A1, | 2,907 | 2,904 | ||||||
2005-1, 1A1, | 326 | 326 | ||||||
2006-2, 3A1, | 1,472 | 1,480 | ||||||
Banc of America Mortgage Trust 2005-3, 1A15 | 878 | 890 | ||||||
Bank of America (Countrywide) Asset-Backed Certificates 2005-1, AF5A | 6,922 | 7,095 | ||||||
Bank of America (Merrill Lynch—Countrywide) Alternative Loan Trust | 14,810 | 15,225 | ||||||
Bank of America (Merrill Lynch—Countrywide) Asset-Backed Certificates Trust 2004-10, AF6 | 61 | 62 | ||||||
Bank of America (Merrill Lynch—Countrywide) Home Loan Mortgage Pass-Through-Trust | 906 | 905 | ||||||
2004-4, A6, 5.500%, 5/25/34 | 360 | 362 | ||||||
Bank of America (Merrill Lynch) Investors Trust 2004-A4, A1 | 1,011 | 1,011 |
See Notes to Financial Statements
11
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Non-Agency (continued) | ||||||||
Bayview Commercial Asset Trust | $ | 4,883 | $ | 4,733 | ||||
Bayview Financial Acquisition Trust 2007-A, 1A2 | 2,331 | 2,367 | ||||||
Bayview Koitere Fund Trust 2017-RT4, A | 8,121 | 8,047 | ||||||
Bayview Opportunity Master Fund IIIa Trust | 2,826 | 2,813 | ||||||
Bayview Opportunity Master Fund IVa Trust | 7,758 | 7,843 | ||||||
2017-RT1, A1 144A, | 3,745 | 3,658 | ||||||
2017-SPL5, B1 144A, | 5,910 | 5,914 | ||||||
Bayview Opportunity Master Fund IVb Trust | 5,532 | 5,592 | ||||||
2017-SPL4, A 144A, 3.500%, 1/28/55(2)(3) | 2,768 | 2,749 | ||||||
BX Trust | ||||||||
2018-MCSF, A | 11,145 | 11,103 | ||||||
2018-GW, B | 19,910 | 19,922 | ||||||
Caesars Palace Las Vegas Trust | 12,170 | 12,203 |
PAR VALUE | VALUE | |||||||
Non-Agency (continued) | ||||||||
Citigroup Mortgage Loan Trust, Inc. | $ | 8,362 | $ | 8,982 | ||||
2014-A, A 144A, 4.000%, 1/25/35(2)(3) | 5,800 | 5,837 | ||||||
2015-PS1, A1 144A, 3.750%, 9/25/42(2)(3) | 4,836 | 4,831 | ||||||
2015-A, A1 144A, 3.500%, 6/25/58(2)(3) | 2,187 | 2,166 | ||||||
2018-RP3, A1 144A, 3.250%, 3/25/61(2)(3) | 8,499 | 8,452 | ||||||
2018-RP1, A1 144A, 3.000%, 9/25/64(2)(3) | 13,950 | 13,651 | ||||||
Cold Storage Trust 2017-ICE3, A 144A, (1 month LIBOR + 1.000%) | 23,505 | 23,563 | ||||||
Colony Starwood Homes Trust 2016-2A, C 144A , (1 month LIBOR + 2.150%) | 18,880 | 18,940 | ||||||
COLT Mortgage Loan Trust Funding LLC 2016-2, A1 144A, | 3,110 | 3,098 | ||||||
2017-1, A3 144A, 3.074%, 5/27/47(2)(3) | 727 | 720 | ||||||
2018-1, A1 144A, 2.930%, 2/25/48(2)(3) | 14,712 | 14,637 | ||||||
2018-2, A1 144A, 3.470%, 7/27/48(2)(3) | 4,206 | 4,191 | ||||||
2018-3, A1 144A, 3.692%, 10/26/48(2)(3) | 2,495 | 2,499 | ||||||
Commercial Mortgage Lease-Backed Certificates | 4,080 | 4,320 | ||||||
Commercial Mortgage Trust 2014-277P, A 144A | 8,705 | 8,744 |
See Notes to Financial Statements
12
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Non-Agency (continued) | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. | $ | 764 | $ | 772 | ||||
2003-AR30, 5A1, 3.963%, 1/25/34(2) | 3,786 | 3,888 | ||||||
2004-8, 7A1, 6.000%, 12/25/34 | 4,364 | 4,571 | ||||||
Credit Suisse Mortgage Capital Trust | 2,889 | 2,866 | ||||||
2014-IVR2, A2 144A, 3.760%, 4/25/44(2)(3) | 8,797 | 8,710 | ||||||
2017-FHA1, A1 144A, 3.250%, 4/25/47(2)(3) | 11,884 | 11,587 | ||||||
2018-RPL8, A1 144A, 4.125%, 7/25/58(3)(13) | 2,300 | 2,292 | ||||||
Deephaven Residential Mortgage Trust | 3,295 | 3,283 | ||||||
2017-1A, A2 144A, 2.928%, 12/26/46(2)(3) | 835 | 828 | ||||||
2017-2A, A1 144A, 2.453%, 6/25/47(2)(3) | 3,248 | 3,226 | ||||||
2017-2A, A2 144A, 2.606%, 6/25/47(2)(3) | 1,466 | 1,447 | ||||||
2017-3A, A3 144A, 2.813%, 10/25/47(2)(3) | 3,503 | 3,467 | ||||||
2018-1A, A1 144A, 2.976%, 12/25/57(2)(3) | 9,919 | 9,849 | ||||||
2018-2A, A1 144A, 3.479%, 4/25/58(2)(3) | 21,975 | 21,865 | ||||||
2018-3A, A1 144A, 3.789%, 8/25/58(2)(3)(13) | 2,900 | 2,902 | ||||||
GAHR Commercial Mortgage Trust 2015-NRF, CFX 144A 3.495%, 12/15/34(2)(3) | 16,875 | 16,824 | ||||||
Galton Funding Mortgage Trust | 14,946 | 14,752 |
PAR VALUE | VALUE | |||||||
Non-Agency (continued) | ||||||||
2018-1, A23 144A, 3.500%, 11/25/57(2)(3) | $ | 10,149 | $ | 9,942 | ||||
GMAC Mortgage Corp. Loan Trust 2004-AR1, 12A, 4.212%, 6/25/34(2) | 3,211 | 3,253 | ||||||
2005-AR1, 5A, 3.767%, 3/18/35(2) | 1,072 | 1,031 | ||||||
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(3) | 8,176 | 8,203 | ||||||
GSAA Home Equity Trust | 190 | 192 | ||||||
2005-12, AF3W, 4.999%, 9/25/35(2) | 2,969 | 2,999 | ||||||
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(3) | 22,020 | 21,491 | ||||||
Home Equity Loan Trust 2007-HSA3, AI4 6.110%, 6/25/37(2) | 3,719 | 3,717 | ||||||
Homeward Opportunities Fund I Trust 2018-1, A1 144A 3.766%, 6/25/48(2)(3) | 13,462 | 13,462 | ||||||
Hospitality Mortgage Trust 2017-HIT, B 144A , (1 month LIBOR + 1.180%) 3.313%, 5/8/30(2)(3) | 14,505 | 14,514 | ||||||
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 1,800 | 1,788 | ||||||
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust | 816 | 809 | ||||||
2004-10, 21A1, 3.912%, 1/25/35(2) | 5,203 | 5,241 |
See Notes to Financial Statements
13
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Non-Agency (continued) | ||||||||
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust 2004-CB1, 5A, 5.000%, 6/25/19 | $ | 130 | $ | 130 | ||||
2003-AR6, A1, 4.226%, 6/25/33(2) | 452 | 457 | ||||||
2003-AR4, 2A1, 3.907%, 8/25/33(2) | 149 | 149 | ||||||
2004-CB1, 2A, 5.000%, 6/25/34 | 1,552 | 1,574 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 5,335 | 5,421 | ||||||
2011-C4, A4 144A, 4.388%, 7/15/46(3) | 5,044 | 5,154 | ||||||
2006-LDP9, AM, 5.372%, 5/15/47 | 7,783 | 7,805 | ||||||
2014-C22, A4, 3.801%, 9/15/47 | 16,998 | 17,159 | ||||||
JPMorgan Chase Mortgage Trust | 3,894 | 3,857 | ||||||
2014-2, 2A2 144A, 3.500%, 6/25/29(2)(3) | 7,283 | 7,249 | ||||||
2014-5, B1 144A, 2.988%, 10/25/29(2)(3) | 2,651 | 2,478 | ||||||
2014-5, B2 144A, 2.988%, 10/25/29(2)(3) | 1,248 | 1,161 | ||||||
2006-A2, 4A1, 4.484%, 8/25/34(2) | 854 | 863 | ||||||
2004-A4, 2A1, 4.326%, 9/25/34(2) | 3,523 | 3,572 | ||||||
2005-A1, 4A1, 4.417%, 2/25/35(2) | 406 | 413 | ||||||
2005-A2, 4A1, 4.017%, 4/25/35(2) | 615 | 612 | ||||||
2005-A4, 3A1, 4.150%, 7/25/35(2) | 1,698 | 1,723 | ||||||
2006-A6, 3A3L, 3.973%, 10/25/36(2) | 851 | 735 |
PAR VALUE | VALUE | |||||||
Non-Agency (continued) | ||||||||
2014-1, 2A12 144A, 3.500%, 1/25/44(2)(3) | $ | 4,261 | $ | 4,151 | ||||
2015-1, AM1 144A, 3.039%, 12/25/44(2)(3) | 9,440 | 9,419 | ||||||
2016-1, M2 144A, 3.750%, 4/25/45(2)(3) | 12,623 | 12,373 | ||||||
2015-5, A2 144A, 3.077%, 5/25/45(2)(3) | 9,678 | 9,645 | ||||||
2016-2, M2 144A, 3.750%, 12/25/45(2)(3) | 13,563 | 13,272 | ||||||
2017-3, 2A2 144A, 2.500%, 8/25/47(2)(3) | 9,026 | 8,596 | ||||||
2017-5, A1 144A, 3.172%, 10/26/48(2)(3) | 37,240 | 36,874 | ||||||
2017-4, A3 144A, 3.500%, 11/25/48(2)(3) | 12,382 | 12,013 | ||||||
LoanDepot Station Place Agency Securitization Trust | 16,025 | 16,025 | ||||||
MASTR Adjustable Rate Mortgages Trust | 105 | 105 | ||||||
MASTR Alternative Loan Trust | 3,384 | 3,489 | ||||||
2004-4, 6A1, 5.500%, 4/25/34 | 1,878 | 1,941 | ||||||
2004-7, 9A1, 6.000%, 8/25/34 | 9,339 | 9,624 | ||||||
2005-2, 2A1, 6.000%, 1/25/35 | 2,404 | 2,488 | ||||||
2005-2, 1A1, 6.500%, 3/25/35 | 6,912 | 7,107 | ||||||
MASTR Asset Securitization Trust | 43 | 43 | ||||||
MetLife Securitization Trust 2017-1A, M1 144A 3.659%, 4/25/55(2)(3) | 7,930 | 7,764 |
See Notes to Financial Statements
14
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Non-Agency (continued) | ||||||||
Mill City Mortgage Trust 2015-1, A3 144A, 3.000%, 6/25/56(2)(3) | $ | 11,900 | $ | 11,739 | ||||
2016-1, A1 144A, 2.500%, 4/25/57(2)(3) | 2,420 | 2,364 | ||||||
2017-1, A1 144A, 2.750%, 11/25/58(2)(3) | 7,566 | 7,411 | ||||||
Morgan Stanley—Bank of America (Merrill Lynch) Trust | 1,735 | 1,769 | ||||||
Morgan Stanley Capital Barclays Bank Trust | 14,805 | 14,305 | ||||||
Morgan Stanley Capital I Trust 2017-CLS, A 144A , (1 month LIBOR + 0.700%) 2.858%, 11/15/34(2)(3) | 11,154 | 11,147 | ||||||
Morgan Stanley Mortgage Loan Trust | 631 | 639 | ||||||
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 2.971%, 6/25/44(2)(3) | 4,124 | 4,064 | ||||||
Motel 6 Trust | 25,663 | 25,671 | ||||||
National City Mortgage Capital Trust | 891 | 919 | ||||||
New Residential Mortgage Loan Trust | 12,527 | 12,508 | ||||||
2014-1A, A 144A, 3.750%, 1/25/54(2)(3) | 10,670 | 10,648 |
PAR VALUE | VALUE | |||||||
Non-Agency (continued) | ||||||||
2014-2A, A3 144A, 3.750%, 5/25/54(2)(3) | $ | 983 | $ | 983 | ||||
2014-3A, AFX3 144A, 3.750%, 11/25/54(2)(3) | 8,667 | 8,653 | ||||||
2015-2A, A1 144A, 3.750%, 8/25/55(2)(3) | 9,976 | 9,954 | ||||||
2016-1A, A1 144A, 3.750%, 3/25/56(2)(3) | 5,637 | 5,613 | ||||||
2016-3A, A1 144A, 3.750%, 9/25/56(2)(3) | 6,301 | 6,275 | ||||||
2016-4A, A1 144A, 3.750%, 11/25/56(2)(3) | 5,611 | 5,585 | ||||||
2017-2A, A3 144A, 4.000%, 3/25/57(2)(3) | 8,062 | 8,108 | ||||||
2018-1A, A1A 144A, 4.000%, 12/25/57(2)(3) | 1,386 | 1,392 | ||||||
2018-2A, A1 144A, 4.500%, 2/25/58(2)(3) | 20,433 | 20,821 | ||||||
NovaStar Mortgage Funding Trust | 2,608 | 2,640 | ||||||
Oak Hill Advisors Residential Loan Trust | 19,469 | 19,151 | ||||||
One Market Plaza Trust | 10,700 | 10,637 | ||||||
Onslow Bay Financial LLC 2018-1, A2 144A, (1 month LIBOR + 0.650%) 2.866%, 6/25/57(2)(3) | 15,336 | 15,343 | ||||||
Pretium Mortgage Credit Partners I LLC | 2,939 | 2,917 | ||||||
2017-NPL5, A1 144A, 3.327%, 12/30/32(2)(3) | 8,215 | 8,171 | ||||||
2018-NPL1 144A, 3.375%, 1/27/33(3) | 1,809 | 1,791 | ||||||
2017-NPL2, A1 144A, 3.250%, 3/28/57(3) | 10,261 | 10,210 |
See Notes to Financial Statements
15
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Non-Agency (continued) | ||||||||
Progress Residential Trust | $ | 4,000 | $ | 3,860 | ||||
2018-SFR1, A 144A, 3.255%, 3/17/35(3) | 3,150 | 3,081 | ||||||
2018-SFR1, B 144A, 3.484%, 3/17/35(3) | 2,515 | 2,469 | ||||||
2018-SFR2, B 144A, 3.841%, 8/17/35(3) | 9,350 | 9,285 | ||||||
RCO Mortgage LLC | 8,394 | 8,344 | ||||||
Residential Asset Mortgage Products Trust | 1,143 | 1,194 | ||||||
2004-SL1, A8, 6.500%, 11/25/31 | 1,457 | 1,517 | ||||||
2005-SL2, A4, 7.500%, 2/25/32 | 1,432 | 1,317 | ||||||
2004-SL4, A3, 6.500%, 7/25/32 | 557 | 556 | ||||||
Residential Asset Securitization Trust | 1,854 | 1,881 | ||||||
2004-A1, A5, 5.500%, 4/25/34 | 8,912 | 8,963 | ||||||
Residential Funding Mortgage Securities I, Inc. 2006-S12, 1A1 5.500%, 12/25/21 | 363 | 367 | ||||||
RETL 2018-RVP, C 144A , (1 month LIBOR + 2.050%) 4.208%, 3/15/33(2)(3) | 15,737 | 15,835 | ||||||
Seasoned Credit Risk Transfer Trust | 6,500 | 6,253 | ||||||
Sequoia Mortgage Trust | 8,101 | 7,956 | ||||||
2013-8, B1, 3.529%, 6/25/43(2) | 6,327 | 6,112 |
PAR VALUE | VALUE | |||||||
Non-Agency (continued) | ||||||||
2017-CH1, A2 144A, 3.500%, 8/25/47(2)(3) | $ | 4,404 | $ | 4,340 | ||||
Starwood Mortgage Residential Trust | 2,115 | 2,115 | ||||||
Starwood Waypoint Homes Trust | 13,704 | 13,704 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | 1,531 | 1,553 | ||||||
2004-4, 3A1, 4.166%, 4/25/34(2) | 346 | 348 | ||||||
2004-4, 3A4, 4.166%, 4/25/34(2) | 1,181 | 1,190 | ||||||
2004-14, 7A, 4.127%, 10/25/34(2) | 6,228 | 6,240 | ||||||
Structured Asset Securities Corp. Mortgage-Pass-Through Certificates 2003-33H, 1A1, 5.500%, 10/25/33 | 2,487 | 2,530 | ||||||
2003-34A, 6A, 4.382%, 11/25/33(2) | 1,711 | 1,709 | ||||||
Sutherland Commercial Mortgage Loans | 6,141 | 6,144 | ||||||
Towd Point Mortgage Trust | 11,184 | 11,012 | ||||||
2015-3, A1B 144A, 3.000%, 3/25/54(2)(3) | 2,610 | 2,589 | ||||||
2016-1, A1B 144A, 2.750%, 2/25/55(2)(3) | 4,431 | 4,363 | ||||||
2015-6, M1 144A, 3.750%, 4/25/55(2)(3) | 11,010 | 10,876 | ||||||
2015-5, A1B 144A, 2.750%, 5/25/55(2)(3) | 4,148 | 4,081 | ||||||
2015-5, A2 144A, 3.500%, 5/25/55(2)(3) | 3,901 | 3,850 |
See Notes to Financial Statements
16
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Non-Agency (continued) | ||||||||
2016-2, A1 144A, 3.000%, 8/25/55(2)(3) | $ | 5,105 | $ | 5,017 | ||||
2016-3, A1 144A, 2.250%, 4/25/56(2)(3) | 4,036 | 3,939 | ||||||
2016-4, A1 144A, 2.250%, 7/25/56(2)(3) | 5,027 | 4,885 | ||||||
2017-1, M1 144A, 3.750%, 10/25/56(2)(3) | 3,665 | 3,594 | ||||||
2017-6, A2 144A, 3.000%, 10/25/57(2)(3) | 3,930 | 3,653 | ||||||
2018-4, A1 144A, 3.000%, 6/25/58(2)(3) | 17,181 | 16,602 | ||||||
2015-2, 1M1 144A, 3.250%, 11/25/60(2)(3) | 22,558 | 21,648 | ||||||
Tricon American Homes Trust | 4,640 | 4,555 | ||||||
2017-SFR1, A 144A, 2.716%, 9/17/34(3) | 3,595 | 3,450 | ||||||
Velocity Commercial Capital Loan Trust | 2,272 | 2,246 | ||||||
Vericrest Opportunity Loan Trust LVI LLC | 8,846 | 8,805 | ||||||
Vericrest Opportunity Loan Trust LX LLC | 5,732 | 5,694 | ||||||
Vericrest Opportunity Loan Trust LXII LLC | 7,289 | 7,202 | ||||||
Vericrest Opportunity Loan Trust LXIII LLC | 609 | 602 | ||||||
Vericrest Opportunity Loan Trust LXIV LLC | 25,437 | 25,282 |
PAR VALUE | VALUE | |||||||
Non-Agency (continued) | ||||||||
Vericrest Opportunity Loan Trust LXIX LLC | $ | 2,575 | $ | 2,570 | ||||
Vericrest Opportunity Loan Trust LXX LLC | 1,535 | 1,534 | ||||||
Verus Securitization Trust | 4,275 | 4,242 | ||||||
2017-2A, A1 144A, 2.485%, 7/25/47(2)(3) | 13,427 | 13,107 | ||||||
2018-1, A1 144A, 2.929%, 2/25/48(2)(3) | 13,184 | 13,007 | ||||||
2018-INV1, A3 144A, 4.052%, 3/25/58(2)(3) | 4,260 | 4,260 | ||||||
2018-2, A1 144A, 3.677%, 6/1/58(2)(3) | 20,838 | 20,836 | ||||||
VSD 2017-PLT1, A 3.600%, 12/25/43 | 3,309 | 3,308 | ||||||
Wells Fargo Mortgage Backed Securities Trust | 723 | 732 | ||||||
2003-J, 5A1, 4.615%, 10/25/33(2) | 240 | 243 | ||||||
2004-4, A9, 5.500%, 5/25/34 | 1,084 | 1,104 | ||||||
2004-U, A1, 4.330%, 10/25/34(2) | 578 | 583 | ||||||
2004-Z, 2A1, 3.760%, 12/25/34(2) | 2,329 | 2,377 | ||||||
2004-CC, A1, 3.804%, 1/25/35(2) | 1,156 | 1,183 | ||||||
2005-12, 1A1, 5.500%, 11/25/35 | 2,019 | 2,046 | ||||||
2005-14, 2A1, 5.500%, 12/25/35 | 1,355 | 1,390 | ||||||
2007-16, 1A1, 6.000%, 12/28/37 | 1,029 | 1,031 | ||||||
|
| |||||||
1,376,890 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES |
| |||||||
(Identified Cost $1,588,540) |
| 1,572,039 |
See Notes to Financial Statements
17
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES—23.1% | ||||||||
Auto Floor Plan—0.2% | ||||||||
NextGear Floorplan Master Owner Trust | $ | 12,410 | $ | 12,237 | ||||
2018-1A, A2 144A, 3.220%, 2/15/23(3) | 4,420 | 4,392 | ||||||
|
| |||||||
16,629 | ||||||||
|
| |||||||
Automobiles—13.8% | ||||||||
ACC Trust | 7,057 | 7,054 | ||||||
2018-1, B 144A, 4.820%, 5/20/21(3) | 6,475 | 6,465 | ||||||
American Credit Acceptance Receivables Trust | 8,000 | 7,990 | ||||||
2016-1A, B 144A, 4.240%, 6/13/22(3) | 851 | 852 | ||||||
2017-1, C 144A, 2.880%, 3/13/23(3) | 9,000 | 8,985 | ||||||
2017-2, C 144A, 2.860%, 6/12/23(3) | 6,705 | 6,682 | ||||||
2018-1, C 144A, 3.550%, 4/10/24(3) | 8,145 | 8,126 | ||||||
2018-3, C 144A, 3.750%, 10/15/24(3) | 6,295 | 6,294 | ||||||
AmeriCredit Automobile Receivables Trust | 2,826 | 2,825 | ||||||
2014-1, D, 2.540%, 6/8/20 | 20,944 | 20,941 | ||||||
2015-3, C, 2.730%, 3/8/21 | 9,730 | 9,722 | ||||||
2016-4, C, 2.410%, 7/8/22 | 8,723 | 8,609 | ||||||
2017-1, C, 2.710%, 8/18/22 | 10,360 | 10,221 | ||||||
2017-2, C, 2.970%, 3/20/23 | 7,840 | 7,769 | ||||||
Avid Automobile Receivables Trust | 3,278 | 3,262 |
PAR VALUE | VALUE | |||||||
Automobiles (continued) | ||||||||
2018-1, B 144A, 3.850%, 7/15/24(3) | $ | 4,000 | $ | 3,942 | ||||
Avis Budget Rental Car Funding LLC (AESOP) | 21,560 | 21,239 | ||||||
California Republic Auto Receivables Trust | 5,613 | 5,611 | ||||||
2015-3, B, 2.700%, 9/15/21 | 3,705 | 3,684 | ||||||
2016-1, B, 3.430%, 2/15/22 | 4,615 | 4,598 | ||||||
2017-1, B, 2.910%, 12/15/22 | 7,000 | 6,852 | ||||||
Capital Auto Receivables Asset Trust | ||||||||
2015-2, C, 2.670%, 8/20/20 | 7,250 | 7,245 | ||||||
2017-1, C 144A, 2.700%, 9/20/22(3) | 3,630 | 3,561 | ||||||
2017-1, D 144A, 3.150%, 2/20/25(3) | 1,980 | 1,957 | ||||||
CarFinance Capital Auto Trust | 1,225 | 1,225 | ||||||
2014-2A, C 144A, 3.240%, 11/16/20(3) | 2,765 | 2,760 | ||||||
2015-1A, B 144A, 2.910%, 6/15/21(3) | 6,000 | 5,993 | ||||||
CarNow Auto Receivables Trust | 4,460 | 4,485 | ||||||
2017-1A, A 144A, 2.920%, 9/15/22(3) | 3,518 | 3,501 | ||||||
Centre Point Funding LLC 2012-2A, 1 144A 2.610%, 8/20/21(3) | 2,351 | 2,325 | ||||||
Chrysler Capital Auto Receivables Trust | 8,400 | 8,430 | ||||||
2016-BA, D 144A, 3.510%, 9/15/23(3) | 2,150 | 2,126 |
See Notes to Financial Statements
18
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Automobiles (continued) | ||||||||
CPS Auto Receivables Trust | $ | 2,384 | $ | 2,382 | ||||
2016-B, B 144A, 3.180%, 9/15/20(3) | 2,799 | 2,802 | ||||||
2017-C, B 144A, 2.300%, 7/15/21(3) | 6,610 | 6,571 | ||||||
2016-A, C 144A, 3.800%, 12/15/21(3) | 6,500 | 6,524 | ||||||
2017-D, B 144A, 2.430%, 1/18/22(3) | 6,400 | 6,336 | ||||||
2018-C, D 144A, 4.400%, 6/17/24(3) | 1,440 | 1,440 | ||||||
Credit Acceptance Auto Loan Trust | 10,000 | 9,900 | ||||||
2018-2A, B 144A, 3.940%, 7/15/27(3) | 5,500 | 5,488 | ||||||
Drive Auto Receivables Trust | 8,923 | 8,917 | ||||||
2017-BA, C 144A, 2.610%, 8/16/21(3) | 8,713 | 8,704 | ||||||
2016-CA, C 144A, 3.020%, 11/15/21(3) | 9,220 | 9,225 | ||||||
2017-AA, C 144A, 2.980%, 1/18/22(3) | 15,410 | 15,396 | ||||||
2017-3, C, 2.800%, 7/15/22 | 7,235 | 7,216 | ||||||
2015-AA, D 144A, 4.120%, 7/15/22(3) | 13,120 | 13,215 | ||||||
2017-2, C, 2.750%, 9/15/23 | 4,030 | 4,020 | ||||||
4.300%, 9/16/24 | 10,000 | 10,075 | ||||||
2018-4, D, 4.090%, 1/15/26 | 13,505 | 13,546 | ||||||
DT Auto Owner Trust 2016-2A, C 144A, 3.670%, 1/18/22(3) | 3,637 | 3,643 | ||||||
2016-3A, C 144A, 3.150%, 3/15/22(3) | 4,606 | 4,609 | ||||||
2016-4A, C 144A, 2.740%, 10/17/22(3) | 16,989 | 16,987 | ||||||
2017-1A, D 144A, 3.550%, 11/15/22(3) | 10,000 | 9,992 |
PAR VALUE | VALUE | |||||||
Automobiles (continued) | ||||||||
2017-2A, D 144A, 3.890%, 1/15/23(3) | $ | 10,070 | $ | 10,089 | ||||
2017-3A, C 144A, 3.010%, 5/15/23(3) | 11,505 | 11,455 | ||||||
2017-4A, C 144A, 2.860%, 7/17/23(3) | 20,000 | 19,912 | ||||||
2018-1A, C 144A, 3.470%, 12/15/23(3) | 8,950 | 8,926 | ||||||
Exeter Automobile Receivables Trust | 13,602 | 13,666 | ||||||
2015-2A, C 144A, 3.900%, 3/15/21(3) | 24,230 | 24,330 | ||||||
2014-3A, D 144A, 5.690%, 4/15/21(3) | 19,355 | 19,639 | ||||||
2016-3A, B 144A, 2.840%, 8/16/21(3) | 8,475 | 8,467 | ||||||
2017-1A, B 144A, 3.000%, 12/15/21(3) | 17,975 | 17,951 | ||||||
2017-2A, B 144A, 2.820%, 5/16/22(3) | 18,780 | 18,677 | ||||||
2017-3A, B 144A, 2.810%, 9/15/22(3) | 14,185 | 14,019 | ||||||
2018-1A, C 144A, 3.030%, 1/17/23(3) | 19,510 | 19,301 | ||||||
2018-2A, C 144A, 3.690%, 3/15/23(3) | 6,550 | 6,534 | ||||||
2018-3A, C 144A, 3.710%, 6/15/23(3) | 7,970 | 7,949 | ||||||
First Investors Auto Owner Trust | 5,000 | 4,987 | ||||||
2017-2A, B 144A, 2.650%, 11/15/22(3) | 2,160 | 2,131 | ||||||
Flagship Credit Auto Trust | 794 | 794 | ||||||
2014-2, D 144A, 5.210%, 2/15/21(3) | 11,010 | 11,134 | ||||||
2015-1, D 144A, 5.260%, 7/15/21(3) | 3,565 | 3,622 | ||||||
2015-2, C 144A, 4.080%, 12/15/21(3) | 6,495 | 6,541 | ||||||
2016-2, B 144A, 3.840%, 9/15/22(3) | 4,175 | 4,198 |
See Notes to Financial Statements
19
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Automobiles (continued) | ||||||||
2016-3, D 144A, 3.890%, 11/15/22(3) | $ | 4,990 | $ | 4,989 | ||||
2017-1, C 144A, 3.220%, 5/15/23(3) | 7,500 | 7,472 | ||||||
2017-3, C 144A, 2.910%, 9/15/23(3) | 6,980 | 6,861 | ||||||
Foursight Capital Automobile Receivables Trust | 2,530 | 2,526 | ||||||
2017-1, B 144A, 3.050%, 12/15/22(3) | 8,965 | 8,838 | ||||||
2017-1, C 144A, 3.470%, 12/15/22(3) | 4,458 | 4,416 | ||||||
2018-1, C 144A, 3.680%, 8/15/23(3) | 1,685 | 1,668 | ||||||
2018-1, D 144A, 4.190%, 11/15/23(3) | 1,630 | 1,615 | ||||||
GLS Auto Receivables Trust 2016-1A, B 144A, 4.390%, 1/15/21(3) | 10,366 | 10,409 | ||||||
2017-1A, B 144A, 2.980%, 12/15/21(3) | 15,005 | 14,892 | ||||||
2018-1A, A 144A, 2.820%, 7/15/22(3) | 2,367 | 2,357 | ||||||
2017-1A, C 144A, 3.500%, 7/15/22(3) | 11,090 | 11,010 | ||||||
2018-1A, B 144A, 3.520%, 8/15/23(3) | 11,975 | 11,896 | ||||||
Hertz Vehicle Financing II LP 2016-1A, A 144A, 2.320%, 3/25/20(3) | 8,800 | 8,776 | ||||||
2015-1A, A 144A, 2.730%, 3/25/21(3) | 29,000 | 28,748 | ||||||
2015-3A, A 144A, 2.670%, 9/25/21(3) | 27,702 | 27,209 | ||||||
2016-4A, A 144A, 2.650%, 7/25/22(3) | 12,335 | 11,981 | ||||||
Hyundai Auto Lease Securitization Trust | 17,175 | 17,151 |
PAR VALUE | VALUE | |||||||
Automobiles (continued) | ||||||||
Hyundai Auto Receivables Trust 2015-A, D, 2.730%, 6/15/21 | $ | 8,950 | $ | 8,945 | ||||
2017-B, B, 2.230%, 2/15/23 | 3,560 | 3,457 | ||||||
OneMain Direct Auto Receivables Trust | 6,220 | 6,120 | ||||||
Oscar US Funding Trust VIII LLC 2018-1A, A2A 144A 2.910%, 4/12/21(3) | 9,504 | 9,493 | ||||||
Prestige Auto Receivables Trust | 8,355 | 8,185 | ||||||
2018-1 144A, 4.140%, 10/15/24(3) | 3,785 | 3,784 | ||||||
Santander Drive Auto Receivables Trust | 3,899 | 3,895 | ||||||
2017-1, C, 2.580%, 5/16/22 | 9,830 | 9,765 | ||||||
2017-2, C, 2.790%, 8/15/22 | 3,795 | 3,774 | ||||||
2017-3, C, 2.760%, 12/15/22 | 4,510 | 4,456 | ||||||
2018-2, C, 3.350%, 7/17/23 | 12,425 | 12,357 | ||||||
Skopos Auto Receivables Trust | 8,050 | 8,042 | ||||||
2018-1A, B 144A, 3.930%, 5/16/22(3) | 2,465 | 2,456 | ||||||
TCF Auto Receivables Owner Trust | 10,900 | 10,807 | ||||||
Tesla Auto Lease Trust | 1,541 | 1,537 | ||||||
2018-A, B 144A, 2.750%, 2/20/20(3) | 2,500 | 2,487 |
See Notes to Financial Statements
20
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Automobiles (continued) | ||||||||
2018-A, C 144A, 2.970%, 4/20/20(3) | $ | 2,000 | $ | 1,990 | ||||
2018-A, D 144A, 3.300%, 5/20/20(3) | 2,970 | 2,956 | ||||||
Tidewater Auto Receivables Trust | 3,165 | 3,155 | ||||||
Westlake Automobile Receivables Trust | 3,002 | 3,003 | ||||||
2015-3A, D 144A, 4.400%, 5/17/21(3) | 8,459 | 8,493 | ||||||
2017-1A, B 144A, 2.300%, 10/17/22(3) | 10,000 | 9,979 | ||||||
2017-2A, C 144A, 2.590%, 12/15/22(3) | 16,230 | 16,078 | ||||||
2018-1A, C 144A, 2.920%, 5/15/23(3) | 22,494 | 22,292 | ||||||
2018-3A, D 144A, 4.000%, 10/16/23(3) | 5,900 | 5,899 | ||||||
2018-2A, D 144A, 4.000%, 1/16/24(3) | 10,000 | 10,000 | ||||||
|
| |||||||
972,860 | ||||||||
|
| |||||||
Home Equity Loans—0.0% | ||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates | 849 | 837 | ||||||
|
| |||||||
Other—8.8% | ||||||||
Ajax Mortgage Loan Trust | 9,491 | 9,262 | ||||||
Aqua Finance Trust | 11,879 | 11,611 | ||||||
Ascentium Equipment Receivables Trust | 7,764 | 7,567 |
PAR VALUE | VALUE | |||||||
Other (continued) | ||||||||
2018-1A, B 144A, 3.460%, 11/13/23(3) | $ | 8,675 | $ | 8,676 | ||||
AXIS Equipment Finance Receivables IV LLC 2018-1A, A2 144A 3.240%, 12/20/23(3) | 12,425 | 12,360 | ||||||
BRE Grand Islander Timeshare Issuer LLC | 7,711 | 7,535 | ||||||
BXG Receivables Note Trust 2012-A, A 144A, 2.660%, 12/2/27(3) | 1,486 | 1,462 | ||||||
2013-A, A 144A, 3.010%, 12/4/28(3) | 3,622 | 3,550 | ||||||
2015-A, A 144A, 2.880%, 5/2/30(3) | 3,315 | 3,244 | ||||||
2017-A, A 144A, 2.950%, 10/4/32(3) | 7,208 | 7,004 | ||||||
CCG Receivables Trust | 4,875 | 4,844 | ||||||
CLUB Credit Trust | 188 | 188 | ||||||
2017-P1, B 144A, 3.560%, 9/15/23(3) | 4,565 | 4,542 | ||||||
2017-P2, A 144A, 2.610%, 1/15/24(3) | 5,473 | 5,444 | ||||||
Conn���s Receivables Funding LLC 2017-B, B 144A, 4.520%, 4/15/21(3) | 6,965 | 7,003 | ||||||
2018-A, B 144A, 4.650%, 1/15/23(3) | 4,805 | 4,812 | ||||||
Consumer Installment Loan Trust | 179 | 179 | ||||||
Consumer Loan Underlying Bond Credit Trust | 6,840 | 6,839 |
See Notes to Financial Statements
21
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Other (continued) | ||||||||
CoreVest American Finance Trust | $ | 4,510 | $ | 4,400 | ||||
2018-1, A 144A, 3.804%, 6/15/51(3) | 13,442 | 13,450 | ||||||
DB Master Finance LLC | 2,750 | 2,751 | ||||||
2017-1A, A2I 144A, 3.629%, 11/20/47(3) | 16,108 | 15,696 | ||||||
Diamond Resorts Owner Trust 2014-1, A 144A, 2.540%, 5/20/27(3) | 3,517 | 3,515 | ||||||
2017-1A, A 144A, 3.270%, 10/22/29(3) | 5,316 | 5,264 | ||||||
2018-1, B 144A, 4.190%, 1/21/31(3) | 7,325 | 7,291 | ||||||
Drug Royalty II LP 2 | 5,826 | 5,808 | ||||||
Drug Royalty III LP 1 | 6,224 | 6,229 | ||||||
2017-1A, A1 144A, (3 month LIBOR + 2.500%) 4.839%, 4/15/27(2)(3) | 2,739 | 2,750 | ||||||
Fairway Outdoor Funding LLC | 12,952 | 12,973 | ||||||
Foundation Finance Trust 2017-1A, A 144A, 3.300%, 7/15/33(3) | 9,414 | 9,334 | ||||||
2016-1A, A 144A, 3.960%, 6/15/35(3) | 1,369 | 1,374 | ||||||
Gold Key Resorts LLC | 3,599 | 3,570 | ||||||
Hardee’s Funding LLC | 20,795 | 20,769 |
PAR VALUE | VALUE | |||||||
Other (continued) | ||||||||
Hilton Grand Vacations Trust 2013-A, A 144A, 2.280%, 1/25/26(3) | $ | 2,950 | $ | 2,933 | ||||
2014-AA, A 144A, 1.770%, 11/25/26(3) | 4,555 | 4,476 | ||||||
2017-AA, A 144A, 2.660%, 12/26/28(3) | 4,774 | 4,683 | ||||||
2018-AA, A 144A, 3.540%, 2/25/32(3) | 7,000 | 7,004 | ||||||
HOA Funding LLC | 11,863 | 11,720 | ||||||
Kabbage Asset Securitization LLC | 7,500 | 7,553 | ||||||
Mariner Finance Issuance Trust | 7,335 | 7,330 | ||||||
Marlette Funding Trust | 6,068 | 6,049 | ||||||
2018-3A, A 144A, 3.200%, 9/15/28(3) | 8,443 | 8,442 | ||||||
Marriott Vacation Club Owner Trust | 5,380 | 5,339 | ||||||
MVW Owner Trust | 683 | 668 | ||||||
2016-1A, A 144A, 2.250%, 12/20/33(3) | 3,260 | 3,153 | ||||||
2017-1A, A 144A, 2.420%, 12/20/34(3) | 3,206 | 3,102 | ||||||
OnDeck Asset Securitization Trust LLC 2018-1A, A 144A 3.500%, 4/18/22(3) | 9,380 | 9,353 | ||||||
OneMain Financial Issuance Trust | 205 | 205 | ||||||
2018-1A, A 144A, 3.300%, 3/14/29(3) | 15,360 | 15,244 |
See Notes to Financial Statements
22
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Other (continued) | ||||||||
2017-1A, A1 144A, 2.370%, 9/14/32(3) | $ | 5,500 | $ | 5,406 | ||||
Oportun Funding IX LLC 2018-B, A 144A 3.910%, 7/8/24(3) | 8,455 | 8,421 | ||||||
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(3) | 8,745 | 8,649 | ||||||
Orange Lake Timeshare Trust | 3,315 | 3,255 | ||||||
2014-AA, A 144A, 2.290%, 7/9/29(3) | 1,409 | 1,382 | ||||||
2018-A, A 144A, 3.100%, 11/8/30(3) | 5,667 | 5,584 | ||||||
Pretium Mortgage Credit Partners I LLC 2018-NPL3, A1 144A 4.125%, 8/27/33(3) | 7,771 | 7,763 | ||||||
Prosper Marketplace Issuance Trust | 17,008 | 17,030 | ||||||
2017-2A, B 144A, 3.480%, 9/15/23(3) | 16,905 | 16,879 | ||||||
2018-1A, A 144A, 3.110%, 6/17/24(3) | 4,849 | 4,849 | ||||||
2018-2A, B 144A, 3.960%, 10/15/24(3) | 9,900 | 9,905 | ||||||
Sierra Receivables Funding Co., LLC | 4,708 | 4,648 | ||||||
Sierra Timeshare Receivables Funding LLC 2014-2A, A 144A, 2.050%, 6/20/31(2)(3) | 1,217 | 1,214 | ||||||
2016-1A, A 144A, 3.080%, 3/21/33(3) | 2,780 | 2,761 | ||||||
2016-2A, A 144A, 2.330%, 7/20/33(3) | 2,599 | 2,548 | ||||||
2018-2A, A 144A, 3.500%, 6/20/35(3) | 6,763 | 6,739 |
PAR VALUE | VALUE | |||||||
Other (continued) | ||||||||
SoFi Consumer Loan Program LLC | $ | 9,629 | $ | 9,587 | ||||
2017-1, A 144A, 3.280%, 1/26/26(3) | 11,222 | 11,207 | ||||||
2017-3, A 144A, 2.770%, 5/25/26(3) | 8,370 | 8,293 | ||||||
2017-5, A2 144A, 2.780%, 9/25/26(3) | 14,080 | 13,831 | ||||||
2017-6, A2 144A, 2.820%, 11/25/26(3) | 12,870 | 12,671 | ||||||
2018-1, A2 144A, 3.140%, 2/25/27(3) | 10,685 | 10,592 | ||||||
SoFi Consumer Loan Program Trust | 18,425 | 18,392 | ||||||
Springleaf Funding Trust 2016-AA, A 144A 2.900%, 11/15/29(3) | 11,590 | 11,559 | ||||||
Taco Bell Funding LLC | 8,959 | 8,958 | ||||||
TGIF Funding LLC | 20,412 | 20,420 | ||||||
Trinity Rail Leasing LP 144A 2.266%, 1/15/43(3) | 1,789 | 1,737 | ||||||
TRIP Rail Master Funding LLC | 8,297 | 8,170 | ||||||
Upstart Securitization Trust 2018-1, B 144A 3.887%, 8/20/25(3) | 5,218 | 5,201 | ||||||
Volvo Financial Equipment LLC | 3,600 | 3,528 | ||||||
VSE VOI Mortgage LLC 2016-A, A 144A, 2.540%, 7/20/33(3) | 3,843 | 3,743 | ||||||
2017-A, A 144A, 2.330%, 3/20/35(3) | 7,875 | 7,601 | ||||||
Welk Resorts LLC | 1,486 | 1,473 | ||||||
2015-AA, A 144A, 2.790%, 6/16/31(3) | 3,120 | 3,056 |
See Notes to Financial Statements
23
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Other (continued) | ||||||||
Wendy’s Funding LLC | $ | 9,305 | $ | 9,309 | ||||
2018-1A, A2I 144A, 3.573%, 3/15/48(3) | 9,404 | 9,048 | ||||||
Westgate Resorts LLC | 5,025 | 5,001 | ||||||
2018-1A, A 144A, 3.380%, 12/20/31(3) | 6,123 | 6,088 | ||||||
|
| |||||||
615,048 | ||||||||
|
| |||||||
Student Loans—0.3% | ||||||||
DRB Prime Student Loan Trust 2015-D, A3 144A 2.500%, 1/25/36(3) | 1,445 | 1,439 | ||||||
Earnest Student Loan Program LLC | 3,997 | 3,913 | ||||||
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(3) | 3,150 | 3,052 | ||||||
SLM Private Education Loan Trust 2013-B, A2A 144A, 1.850%, 6/17/30(3) | 2,130 | 2,117 | ||||||
2013-C, A2A 144A, 2.940%, 10/15/31(3) | 1,732 | 1,733 | ||||||
SoFi Professional Loan Program LLC | 1,552 | 1,529 | ||||||
2017-B, A1FX 144A, 1.830%, 5/25/40(3) | 3,347 | 3,327 | ||||||
2017-C, A2A 144A, 1.750%, 7/25/40(3) | 3,132 | 3,105 | ||||||
|
| |||||||
20,215 | ||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||
(Identified Cost $1,635,072) |
| 1,625,589 |
PAR VALUE | VALUE | |||||||
CORPORATE BONDS AND NOTES—33.1% | ||||||||
Consumer Discretionary—3.0% | ||||||||
Alibaba Group Holding Ltd. | $ | 6,600 | $ | 6,566 | ||||
Altice France S.A. 144A 7.375%, 5/1/26(3) | 3,670 | 3,674 | ||||||
Altice US Finance I Corp. 144A 5.375%, 7/15/23(3) | 8,250 | 8,343 | ||||||
Aptiv Corp. | 17,960 | 17,992 | ||||||
Boyd Gaming Corp. | 6,635 | 6,831 | ||||||
Bunge Ltd. Finance Corp. | 14,290 | 14,145 | ||||||
Charter Communications Operating LLC | 10,990 | 11,036 | ||||||
Clear Channel Worldwide Holdings, Inc. Series B | 19,688 | 19,737 | ||||||
Discovery Communications LLC | 7,185 | 7,129 | ||||||
3.300%, 5/15/22 | 11,200 | 10,972 | ||||||
DISH DBS Corp. 5.875%, 7/15/22 | 11,015 | 10,747 | ||||||
Dollar Tree, Inc. , (3 month LIBOR + 0.700%) 3.036%, 4/17/20(2) | 4,850 | 4,857 | ||||||
General Motors Financial Co., Inc. | 9,715 | 9,755 | ||||||
4.200%, 3/1/21 | 7,300 | 7,390 | ||||||
3.550%, 4/9/21 | 2,847 | 2,846 | ||||||
GLP Capital LP 5.250%, 6/1/25 | 13,175 | 13,383 | ||||||
Horton (D.R.), Inc. 4.750%, 2/15/23 | 10,550 | 10,805 | ||||||
International Game Technology plc 144A 6.250%, 2/15/22(3) | 5,190 | 5,378 |
See Notes to Financial Statements
24
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
CORPORATE BONDS AND NOTES (continued) | ||||||||
Consumer Discretionary (continued) | ||||||||
Lennar Corp. 2.950%, 11/29/20 | $ | 17,355 | $ | 16,943 | ||||
Newell Brands, Inc. 3.150%, 4/1/21 | 6,553 | 6,448 | ||||||
Scientific Games International, Inc. 144A 5.000%, 10/15/25(3) | 7,150 | 6,792 | ||||||
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 10,130 | 10,054 | ||||||
|
| |||||||
211,823 | ||||||||
|
| |||||||
Consumer Staples—1.3% | ||||||||
Anheuser-Busch InBev Worldwide, Inc. , (3 month LIBOR + 0.740%) 3.077%, 1/12/24(2) | 4,943 | 4,965 | ||||||
BAT Capital Corp. 144A, 2.297%, 8/14/20(3) | 7,230 | 7,085 | ||||||
144A, 2.764%, 8/15/22(3) | 14,195 | 13,676 | ||||||
144A, 3.222%, 8/15/24(3) | 7,160 | 6,823 | ||||||
Campbell Soup Co. 3.300%, 3/15/21 | 4,613 | 4,569 | ||||||
3.650%, 3/15/23 | 11,370 | 11,149 | ||||||
CVS Health Corp. | ||||||||
(3 month LIBOR + 0.720%) 3.047%, 3/9/21(2) | 6,510 | 6,561 | ||||||
3.700%, 3/9/23 | 15,619 | 15,549 | ||||||
Kraft Heinz Foods Co. (The) 3.500%, 7/15/22 | 4,543 | 4,508 | ||||||
4.000%, 6/15/23(15) | 14,660 | 14,685 | ||||||
|
| |||||||
89,570 | ||||||||
|
| |||||||
Energy—5.0% | ||||||||
Afren plc 144A 11.500%, 2/1/16(3)(9)(13) | 4,674 | 2 | ||||||
Anadarko Finance Co. Series B | 3,000 | 3,678 |
PAR VALUE | VALUE | |||||||
Energy (continued) | ||||||||
Anadarko Petroleum Corp. 4.850%, 3/15/21 | $ | 3,845 | $ | 3,951 | ||||
Blue Racer Midstream LLC 144A 6.125%, 11/15/22(3) | 6,070 | 6,229 | ||||||
California Resources Corp. 144A 8.000%, 12/15/22(3)(15) | 11,930 | 11,378 | ||||||
Callon Petroleum Co. 6.125%, 10/1/24 | 9,266 | 9,428 | ||||||
Carrizo Oil & Gas, Inc. 6.250%, 4/15/23(15) | 11,090 | 11,326 | ||||||
Cheniere Corpus Christi Holdings LLC 7.000%, 6/30/24 | 7,155 | 7,835 | ||||||
Citgo Holding, Inc. 144A 10.750%, 2/15/20(3) | 6,650 | 7,049 | ||||||
CITGO Petroleum Corp. 144A 6.250%, 8/15/22(3) | 6,973 | 6,956 | ||||||
CNOOC Finance Property Ltd. 2.625%, 5/5/20 | 5,800 | 5,717 | ||||||
Continental Resources, Inc. | 4,027 | 4,085 | ||||||
4.500%, 4/15/23 | 6,535 | 6,648 | ||||||
Ecopetrol S.A. 5.875%, 9/18/23 | 16,725 | 17,820 | ||||||
Enbridge Energy Partners LP | 3,930 | 3,987 | ||||||
Encana Corp. 3.900%, 11/15/21 | 7,960 | 7,994 | ||||||
8.125%, 9/15/30 | 8,110 | 10,374 | ||||||
Energy Transfer Equity LP | 6,430 | 6,390 | ||||||
5.875%, 1/15/24 | 10,155 | 10,688 | ||||||
Energy Transfer Partners LP | 17,910 | 18,547 | ||||||
4.500%, 11/1/23 | 4,855 | 4,924 | ||||||
EP Energy LLC | 7,130 | 5,882 | ||||||
144A, 8.000%, 11/29/24(3) | 7,660 | 7,717 |
See Notes to Financial Statements
25
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
CORPORATE BONDS AND NOTES (continued) | ||||||||
Energy (continued) | ||||||||
Kinder Morgan, Inc. 144A 5.625%, 11/15/23(3) | $ | 20,300 | $ | 21,660 | ||||
Pertamina Persero PT 144A 4.300%, 5/20/23(3) | 15,000 | 14,881 | ||||||
Petrobras Global Finance BV 5.299%, 1/27/25 | 10,890 | 10,171 | ||||||
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(3)(9) | 9,545 | 2,087 | ||||||
Petroleos Mexicanos 4.875%, 1/24/22 | 37,580 | 38,012 | ||||||
PTTEP Treasury Center Co., Ltd. 144A 4.875%(3)(5) | 3,007 | 3,011 | ||||||
Range Resources Corp. 5.000%, 3/15/23 | 5,235 | 5,143 | ||||||
4.875%, 5/15/25 | 15,135 | 14,322 | ||||||
Sabine Pass Liquefaction LLC 5.625%, 2/1/21 | 8,000 | 8,321 | ||||||
6.250%, 3/15/22 | 8,415 | 9,044 | ||||||
Sunoco LP | 17,321 | 17,148 | ||||||
144A, 5.500%, 2/15/26(3) | 7,615 | 7,356 | ||||||
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(3) | 3,955 | 3,990 | ||||||
Transocean, Inc. 144A, 9.000%, 7/15/23(3) | 3,680 | 4,002 | ||||||
6.800%, 3/15/38 | 7,800 | 6,747 | ||||||
Weatherford International Ltd. 9.875%, 2/15/24(15) | 4,795 | 4,687 | ||||||
|
| |||||||
349,187 | ||||||||
|
| |||||||
Financials—9.6% | ||||||||
AerCap Ireland Capital Ltd. 3.950%, 2/1/22 | 3,670 | 3,659 | ||||||
Ares Capital Corp. 3.625%, 1/19/22 | 4,475 | 4,375 | ||||||
3.500%, 2/10/23 | 7,365 | 7,037 | ||||||
4.250%, 3/1/25 | 7,500 | 7,189 |
PAR VALUE | VALUE | |||||||
Financials (continued) | ||||||||
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3) | $ | 14,195 | $ | 13,928 | ||||
Aviation Capital Group LLC 144A 3.875%, 5/1/23(3) | 18,262 | 18,063 | ||||||
Bank of America Corp. 5.490%, 3/15/19 | 2,868 | 2,903 | ||||||
(3 month LIBOR + 1.000%) 3.342%, 4/24/23(2) | 14,445 | 14,637 | ||||||
4.200%, 8/26/24 | 10,473 | 10,520 | ||||||
(3 month LIBOR + 0.770%) 3.111%, 2/5/26(2)(15) | 11,312 | 11,120 | ||||||
Bank of Baroda 144A 4.875%, 7/23/19(3) | 11,775 | 11,856 | ||||||
Barclays plc 3.200%, 8/10/21 | 10,345 | 10,155 | ||||||
BBVA Banco Continental S.A. RegS 5.000%, 8/26/22(4) | 16,280 | 16,809 | ||||||
Capital One N.A. 2.400%, 9/5/19 | 5,000 | 4,973 | ||||||
2.950%, 7/23/21 | 14,425 | 14,183 | ||||||
Citigroup, Inc. 2.350%, 8/2/21 | 6,604 | 6,398 | ||||||
(3 month LIBOR + 1.430%) 3.751%, 9/1/23(2) | 7,115 | 7,283 | ||||||
(3 month LIBOR + 1.250%) 3.646%, 7/1/26(2) | 21,935 | 22,118 | ||||||
3.200%, 10/21/26 | 2,927 | 2,732 | ||||||
Corp Financiera de Desarrollo SA 144A 4.750%, 7/15/25(3) | 6,000 | 6,045 | ||||||
Development Bank of Kazakhstan JSC 144A 8.950%, 5/4/23(3)(13) | 3,330,000 | KZT | 8,975 | |||||
Discover Bank 8.700%, 11/18/19 | 1,750 | 1,845 |
See Notes to Financial Statements
26
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
CORPORATE BONDS AND NOTES (continued) | ||||||||
Financials (continued) | ||||||||
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(3) | $ | 14,685 | $ | 14,731 | ||||
First Tennessee Bank N.A. 2.950%, 12/1/19 | 4,500 | 4,487 | ||||||
FS Investment Corp. 4.250%, 1/15/20(15) | 7,725 | 7,730 | ||||||
Goldman Sachs Group, Inc. (The) 2.350%, 11/15/21 | 4,425 | 4,260 | ||||||
4.250%, 10/21/25 | 24,315 | 24,082 | ||||||
(3 month LIBOR + 1.170%) 3.484%, 5/15/26(2) | 28,975 | 28,993 | ||||||
Guanay Finance Ltd. 144A 6.000%, 12/15/20(3) | 18,354 | 18,400 | ||||||
HSBC Holdings plc 2.950%, 5/25/21 | 10,000 | 9,864 | ||||||
(3 month LIBOR + 1.500%) 3.837%, 1/5/22(2) | 6,524 | 6,695 | ||||||
Huntington Bancshares, Inc. 7.000%, 12/15/20 | 17,065 | 18,281 | ||||||
ICAHN Enterprises LP 6.250%, 2/1/22 | 10,285 | 10,542 | ||||||
Industrial & Commercial Bank of China Ltd. 3.231%, 11/13/19 | 6,275 | 6,250 | ||||||
(3 month LIBOR + 0.750%) 3.093%, 11/8/20(2) | 630 | 629 | ||||||
2.957%, 11/8/22 | 14,880 | 14,298 | ||||||
Jefferies Group LLC 6.875%, 4/15/21 | 2,594 | 2,782 | ||||||
JPMorgan Chase & Co. 2.295%, 8/15/21 | 4,495 | 4,370 | ||||||
(3 month LIBOR + 0.900%) 3.235%, 4/25/23(2) | 18,055 | 18,222 | ||||||
JPMorgan Chase Bank N.A. 1.650%, 9/23/19 | 8,805 | 8,708 |
PAR VALUE | VALUE | |||||||
Financials (continued) | ||||||||
Lincoln National Corp. , (3 month LIBOR + 2.040%) 4.388%, 4/20/67(2)(7) | $ | 2,885 | $ | 2,651 | ||||
Macquarie Group Ltd. 144A 6.000%, 1/14/20(3) | 10,950 | 11,314 | ||||||
Mizuho Financial Group, Inc. 144A 2.632%, 4/12/21(3)(15) | 32,105 | 31,317 | ||||||
Morgan Stanley | ||||||||
(3 month LIBOR + 0.930%) 3.277%, 7/22/22(2) | 18,055 | 18,210 | ||||||
(3 month LIBOR + 1.400%) 3.742%, 10/24/23(2) | 25,080 | 25,771 | ||||||
Navient Corp. 6.500%, 6/15/22 | 8,220 | 8,539 | ||||||
7.250%, 9/25/23 | 3,620 | 3,837 | ||||||
Nuveen Finance LLC 144A 2.950%, 11/1/19(3) | 2,850 | 2,846 | ||||||
S&P Global, Inc. 3.300%, 8/14/20 | 15,097 | 15,086 | ||||||
Santander Holdings USA, Inc. 2.650%, 4/17/20 | 7,540 | 7,441 | ||||||
3.700%, 3/28/22 | 7,190 | 7,089 | ||||||
SBA Tower Trust 144A, 3.156%, 10/8/20(3) | 6,050 | 6,005 | ||||||
144A, 3.168%, 4/11/22(3) | 18,490 | 18,133 | ||||||
Sberbank of Russia RegS 5.717%, 6/16/21(4)(6) | 7,000 | 7,125 | ||||||
Springleaf Finance Corp. 6.875%, 3/15/25 | 7,875 | 7,871 | ||||||
Toronto-Dominion Bank (The) 2.125%, 4/7/21 | 11,005 | 10,703 | ||||||
Trinity Acquisition plc 3.500%, 9/15/21 | 1,485 | 1,472 |
See Notes to Financial Statements
27
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
CORPORATE BONDS AND NOTES (continued) | ||||||||
Financials (continued) | ||||||||
Turkiye Is Bankasi AS 144A 3.750%, 10/10/18(3) | $ | 12,630 | $ | 12,567 | ||||
Turkiye Vakiflar Bankasi TAO 144A 5.625%, 5/30/22(3) | 8,665 | 7,528 | ||||||
UBS Group Funding Switzerland AG 144A 2.650%, 2/1/22(3) | 8,475 | 8,191 | ||||||
Vnesheconombank 144A 6.902%, 7/9/20(3) | 9,500 | 9,543 | ||||||
Wells Fargo & Co. 2.500%, 3/4/21 | 7,465 | 7,310 | ||||||
(3 month LIBOR + 1.230%) 3.572%, 10/31/23(2) | 10,770 | 10,983 | ||||||
Wells Fargo Bank N.A. 2.150%, 12/6/19 | 8,310 | 8,230 | ||||||
Wells Fargo Bank NA 3.550%, 8/14/23 | 9,555 | 9,508 | ||||||
XLIT Ltd. 2.300%, 12/15/18 | 9,730 | 9,723 | ||||||
|
| |||||||
679,120 | ||||||||
|
| |||||||
Health Care—2.9% | ||||||||
Abbott Laboratories 3.400%, 11/30/23 | 3,910 | 3,893 | ||||||
AbbVie, Inc. 2.500%, 5/14/20 | 11,705 | 11,572 | ||||||
3.375%, 11/14/21 | 1,901 | 1,899 | ||||||
3.200%, 11/6/22 | 1,940 | 1,906 | ||||||
3.750%, 11/14/23 | 3,000 | 2,985 | ||||||
Allergan Funding SCS 3.000%, 3/12/20 | 2,825 | 2,822 | ||||||
3.450%, 3/15/22 | 3,815 | 3,791 | ||||||
Anthem, Inc. 2.950%, 12/1/22 | 7,557 | 7,346 | ||||||
3.500%, 8/15/24 | 7,475 | 7,308 | ||||||
3.350%, 12/1/24 | 5,452 | 5,296 | ||||||
Bausch Health Cos., Inc. 144A 6.500%, 3/15/22(3) | 2,190 | 2,278 |
PAR VALUE | VALUE | |||||||
Health Care (continued) | ||||||||
Bayer US Finance II LLC | ||||||||
144A, (3 month LIBOR + 0.630%) 3.003%, 6/25/21(2)(3) | $ | 10,690 | $ | 10,731 | ||||
144A, 3.500%, 6/25/21(3) | 10,800 | 10,774 | ||||||
144A, (3 month LIBOR + 1.010%) 3.344%, 12/15/23(2)(3) | 10,975 | 10,994 | ||||||
Becton Dickinson & Co. | ||||||||
(3 month LIBOR + 0.875%) 3.261%, 12/29/20(2) | 6,257 | 6,266 | ||||||
2.894%, 6/6/22 | 11,831 | 11,501 | ||||||
3.363%, 6/6/24 | 7,740 | 7,476 | ||||||
Cardinal Health, Inc. 2.616%, 6/15/22 | 10,985 | 10,503 | ||||||
Elanco Animal Health, Inc. | 1,691 | 1,693 | ||||||
144A, 4.272%, 8/28/23(3) | 4,227 | 4,239 | ||||||
Endo Dac 144A 6.000%, 7/15/23(3) | 720 | 639 | ||||||
Fresenius U.S. Finance II, Inc. 144A 4.500%, 1/15/23(3) | 2,590 | 2,629 | ||||||
Halfmoon Parent, Inc. 144A, (3 month LIBOR + 0.890%) 3.224%, 7/15/23(2)(3)(15) | 7,542 | 7,542 | ||||||
144A, 3.750%, 7/15/23(3) | 8,938 | 8,904 | ||||||
144A, 4.125%, 11/15/25(3) | 740 | 738 | ||||||
Mylan NV 3.150%, 6/15/21 | 4,065 | 4,001 | ||||||
Mylan, Inc. 144A 3.125%, 1/15/23(3) | 14,815 | 14,134 | ||||||
Shire Acquisitions Investments Ireland DAC 2.400%, 9/23/21 | 9,275 | 8,961 | ||||||
Tenet Healthcare Corp. 4.625%, 7/15/24 | 4,350 | 4,228 | ||||||
5.125%, 5/1/25 | 4,765 | 4,693 |
See Notes to Financial Statements
28
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
CORPORATE BONDS AND NOTES (continued) | ||||||||
Health Care (continued) | ||||||||
Teva Pharmaceutical Finance Netherlands Iii BV 6.000%, 4/15/24 | $ | 800 | $ | 812 | ||||
Zimmer Biomet Holdings, Inc. 3.150%, 4/1/22 | 25,115 | 24,596 | ||||||
|
| |||||||
207,150 | ||||||||
|
| |||||||
Industrials—2.7% | ||||||||
Alfa SAB de CV 144A 5.250%, 3/25/24(3) | 6,775 | 6,926 | ||||||
America West Airlines Pass-Through-Trust 2001-1, G 7.100%, 4/2/21 | 26,129 | 27,435 | ||||||
Ashtead Capital, Inc. 144A 4.125%, 8/15/25(3) | 13,800 | 13,110 | ||||||
Bombardier, Inc. 144A 6.125%, 1/15/23(3) | 11,420 | 11,470 | ||||||
British Airways Pass-Through-Trust 2013-1, B 144A 5.625%, 6/20/20(3) | 4,505 | 4,562 | ||||||
CNH Industrial Capital LLC 4.200%, 1/15/24 | 5,870 | 5,839 | ||||||
CNH Industrial N.V. 4.500%, 8/15/23 | 15,130 | 15,363 | ||||||
Continental Airlines Pass-Through-Trust 1999-2, C2 6.236%, 3/15/20 | 3,729 | 3,803 | ||||||
Doric Nimrod Air Alpha Pass-Through-Trust 2013-1, A 144A 5.250%, 5/30/23(3) | 13,276 | 13,574 | ||||||
Doric Nimrod Air Finance Alpha Pass-Through-Trust 2012-1, A 144A 5.125%, 11/30/22(3) | 9,395 | 9,534 | ||||||
Hawaiian Airlines Pass-Through Certificates 2013-1, B 4.950%, 1/15/22 | 5,956 | 5,971 |
PAR VALUE | VALUE | |||||||
Industrials (continued) | ||||||||
Latam Finance Ltd. 144A 6.875%, 4/11/24(3) | $ | 14,725 | $ | 14,302 | ||||
Masco Corp. 5.950%, 3/15/22 | 13,945 | 14,886 | ||||||
Norwegian Air Shuttle ASA Pass Through Trust 2016-1, A 144A 4.875%, 5/10/28(3) | 7,965 | 7,802 | ||||||
Penske Truck Leasing Co., LP | ||||||||
RegS, 2.500%, 6/15/19(4) | 3,470 | 3,458 | ||||||
144A, 4.125%, 8/1/23(3) | 7,770 | 7,756 | ||||||
Pitney Bowes, Inc. 4.375%, 5/15/22(15) | 10,523 | 9,747 | ||||||
TransDigm, Inc. 6.500%, 7/15/24 | 11,820 | 12,110 | ||||||
|
| |||||||
187,648 | ||||||||
|
| |||||||
Information Technology—1.3% | ||||||||
Analog Devices, Inc. 2.950%, 1/12/21 | 18,570 | 18,406 | ||||||
Broadcom Corp. 2.375%, 1/15/20 | 10,660 | 10,535 | ||||||
3.000%, 1/15/22 | 7,550 | 7,354 | ||||||
2.650%, 1/15/23 | 9,730 | 9,185 | ||||||
Dell International LLC 144A 5.450%, 6/15/23(3) | 10,540 | 11,071 | ||||||
Hewlett Packard Enterprise Co. 2.850%, 10/5/18 | 3,840 | 3,840 | ||||||
(3 month LIBOR + 0.720%) 3.105%, 10/5/21(2) | 2,830 | 2,833 | ||||||
3.500%, 10/5/21 | 4,545 | 4,540 | ||||||
Radiate Holdco LLC 144A 6.875%, 2/15/23(3) | 3,635 | 3,499 | ||||||
Tencent Holdings Ltd. 144A 2.985%, 1/19/23(3) | 7,050 | 6,827 | ||||||
VMware, Inc. 2.300%, 8/21/20 | 4,567 | 4,477 | ||||||
2.950%, 8/21/22 | 11,670 | 11,230 | ||||||
|
| |||||||
93,797 | ||||||||
|
|
See Notes to Financial Statements
29
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
CORPORATE BONDS AND NOTES (continued) | ||||||||
Materials—2.1% | ||||||||
Anglo American Capital plc 144A 3.625%, 9/11/24(3) | $ | 18,490 | $ | 17,599 | ||||
ArcelorMittal 6.125%, 6/1/25 | 12,910 | 14,026 | ||||||
Equate Petrochemical BV 144A 3.000%, 3/3/22(3) | 9,535 | 9,187 | ||||||
Fibria Overseas Finance Ltd. 4.000%, 1/14/25 | 11,711 | 10,852 | ||||||
FMG Resources August 2006 Pty Ltd. 144A 5.125%, 3/15/23(3) | 9,330 | 9,225 | ||||||
Glencore Funding LLC 144A 4.125%, 5/30/23(3) | 17,615 | 17,593 | ||||||
James Hardie International Finance DAC 144A 4.750%, 1/15/25(3) | 12,975 | 12,556 | ||||||
NOVA Chemicals Corp. 144A, 4.875%, 6/1/24(3) | 7,565 | 7,283 | ||||||
144A, 5.000%, 5/1/25(3) | 15,350 | 14,582 | ||||||
Rusal Capital Designated Activity Co. 144A 5.125%, 2/2/22(3) | 17,980 | 11,687 | ||||||
Syngenta Finance NV 144A, 3.698%, 4/24/20(3) | 8,635 | 8,625 | ||||||
144A, 3.933%, 4/23/21(3) | 8,635 | 8,611 | ||||||
Teck Resources Ltd. 144A 8.500%, 6/1/24(3) | 5,145 | 5,625 | ||||||
|
| |||||||
147,451 | ||||||||
|
| |||||||
Real Estate—1.4% | ||||||||
Alexandria Real Estate Equities, Inc. 4.000%, 1/15/24 | 9,892 | 9,914 | ||||||
Brixmor Operating Partnership LP 3.875%, 8/15/22 | 5,570 | 5,549 |
PAR VALUE | VALUE | |||||||
Real Estate (continued) | ||||||||
Government Properties Income Trust 3.750%, 8/15/19 | $ | 2,905 | $ | 2,916 | ||||
4.000%, 7/15/22 | 7,345 | 7,260 | ||||||
Greystar Student Housing Growth & Income OP LP 4.600%, 12/1/24 | 2,040 | 2,178 | ||||||
Healthcare Trust of America Holdings LP 2.950%, 7/1/22 | 17,890 | 17,301 | ||||||
Hospitality Properties Trust 4.500%, 6/15/23 | 4,445 | 4,463 | ||||||
Select Income REIT 4.150%, 2/1/22 | 18,910 | 18,720 | ||||||
Senior Housing Properties Trust 3.250%, 5/1/19 | 6,685 | 6,682 | ||||||
Ventas Realty LP 2.700%, 4/1/20 | 2,948 | 2,922 | ||||||
Welltower, Inc. 4.125%, 4/1/19 | 4,100 | 4,113 | ||||||
West Europe Finance LLC 144A 3.250%, 10/5/20(3) | 19,265 | 19,203 | ||||||
|
| |||||||
101,221 | ||||||||
|
| |||||||
Telecommunication Services—2.5% | ||||||||
Altice France SA 144A 8.125%, 2/1/27(3) | 800 | 822 | ||||||
AT&T, Inc. 2.800%, 2/17/21 | 18,700 | 18,424 | ||||||
3.200%, 3/1/22 | 1,910 | 1,881 | ||||||
144A, (3 month LIBOR + 0.890%) 3.209%, 2/15/23(2)(3) | 8,918 | 8,837 | ||||||
(3 month LIBOR + 1.180%) 3.514%, 6/12/24(2) | 21,430 | 21,527 | ||||||
Axtel SAB de C.V. 144A 6.375%, 11/14/24(3) | 9,450 | 9,322 | ||||||
Digicel Group Ltd. 144A 8.250%, 9/30/20(3) | 10,365 | 7,903 |
See Notes to Financial Statements
30
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
CORPORATE BONDS AND NOTES (continued) | ||||||||
Telecommunication Services (continued) | ||||||||
Digicel Ltd. 144A 6.750%, 3/1/23(3)(15) | $ | 7,745 | $ | 6,457 | ||||
Frontier Communications Corp. 8.500%, 4/15/20 | 3,200 | 3,232 | ||||||
8.875%, 9/15/20 | 3,380 | 3,428 | ||||||
7.625%, 4/15/24 | 10,600 | 6,837 | ||||||
Motorola Solutions, Inc. 3.750%, 5/15/22 | 2,149 | 2,131 | ||||||
3.500%, 3/1/23 | 11,099 | 10,808 | ||||||
Sprint Corp. 7.875%, 9/15/23 | 10,000 | 10,774 | ||||||
Sprint Spectrum Co., LLC | 14,063 | 14,010 | ||||||
144A, 4.738%, 3/20/25(3) | 11,355 | 11,350 | ||||||
Verizon Communications, Inc. 3.125%, 3/16/22(15) | 9,017 | 8,928 | ||||||
(3 month LIBOR + 1.100%) 3.414%, 5/15/25(2) | 25,561 | 25,783 | ||||||
|
| |||||||
172,454 | ||||||||
|
| |||||||
Utilities—1.3% | ||||||||
Eskom Holdings SOC Ltd. 144A 5.750%, 1/26/21(3) | 13,900 | 13,516 | ||||||
Exelon Corp. 2.850%, 6/15/20 | 18,845 | 18,679 | ||||||
3.497%, 6/1/22 | 8,261 | 8,116 | ||||||
PNM Resources, Inc. 3.250%, 3/9/21 | 11,070 | 10,966 | ||||||
PSEG Power LLC 3.850%, 6/1/23 | 18,125 | 18,055 | ||||||
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(3) | 18,640 | 18,221 |
PAR VALUE | VALUE | |||||||
Utilities (continued) | ||||||||
Texas Competitive Electric Holdings Co. 144A 0.000%, 10/1/20(3)(12) | $ | 5,925 | $ | 4 | ||||
Toledo Edison Co. (The) 7.250%, 5/1/20 | 224 | 236 | ||||||
|
| |||||||
87,793 | ||||||||
TOTAL CORPORATE BONDS AND NOTES |
| |||||||
(Identified Cost $2,361,202) |
| 2,327,214 | ||||||
LEVERAGED LOANS(2)—12.3% | ||||||||
Aerospace—0.6% | ||||||||
American Airlines, Inc. Tranche B , (1 month LIBOR + 2.000%) 4.242%, 4/28/23 | 15,744 | 15,653 | ||||||
TransDigm, Inc. | ||||||||
Tranche F, (1 month LIBOR + 2.500%) 4.742%, 6/9/23 | 18,075 | 18,136 | ||||||
Tranche G, (1 month LIBOR + 2.500%) 4.742%, 8/22/24 | 1,541 | 1,545 | ||||||
Tranche E, (1 month LIBOR + 2.500%) 4.742%, 5/30/25 | 3,328 | 3,337 | ||||||
|
| |||||||
38,671 | ||||||||
|
| |||||||
Chemicals—0.2% | ||||||||
Ineos U.S. Finance LLC , (1 month LIBOR + 2.000%) 4.242%, 4/1/24 | 5,930 | 5,939 | ||||||
New Arclin U.S. Holding Corp. First Lien , (3 month LIBOR + 3.500%) 5.886%, 2/14/24 | 5,367 | 5,407 | ||||||
|
| |||||||
11,346 | ||||||||
|
| |||||||
Consumer Durables—0.2% | ||||||||
Fluidra, S.A. , (1 month LIBOR + 2.250%) 4.492%, 7/2/25 | 3,596 | 3,612 |
See Notes to Financial Statements
31
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
LEVERAGED LOANS(2) (continued) | ||||||||
Consumer Durables (continued) | ||||||||
Global Appliance, Inc. Tranche B , (1 month LIBOR + 4.000%) 6.250%, 9/29/24 | $ | 10,598 | $ | 10,174 | ||||
|
| |||||||
13,786 | ||||||||
|
| |||||||
Consumer Non-Durables—0.2% | ||||||||
Herbalife Nutrition Ltd. Tranche B , (1 month LIBOR + 3.250%) 5.492%, 8/18/25 | 2,555 | 2,576 | ||||||
Kronos Acquisition Intermediate, Inc. , (1 month LIBOR + 4.000%) 6.242%, 5/15/23 | 14,188 | 14,114 | ||||||
|
| |||||||
16,690 | ||||||||
|
| |||||||
Energy—0.4% | ||||||||
Medallion Midland Acquisition LLC , (1 month LIBOR + 3.250%) 5.492%, 10/30/24 | 7,424 | 7,366 | ||||||
Paragon Offshore Finance Co., (1 month PRIME + 0.000%) 0.000%, 7/16/21(9)(12) | 66 | — | (17) | |||||
Seadrill Operating LP , (3 month LIBOR + 6.000%) 8.386%, 2/21/21 | 8,257 | 7,825 | ||||||
Traverse Midstream Partners LLC , (3 month LIBOR + 4.000%) 6.600%, 9/27/24 | 11,475 | 11,552 | ||||||
|
| |||||||
26,743 | ||||||||
|
| |||||||
Financial—0.8% | ||||||||
Asurion LLC | ||||||||
Tranche B-6, (1 month LIBOR + 3.000%) 5.242%, 11/3/23 | 6,924 | 6,974 |
PAR VALUE | VALUE | |||||||
Financial (continued) | ||||||||
Tranche B7, (1 month LIBOR + 3.000%) 5.242%, 11/3/24 | $ | 7,042 | $ | 7,087 | ||||
Blackhawk Network Holdings, Inc. First Lien , (3 month LIBOR + 3.000%) 5.386%, 6/15/25 | 9,800 | 9,855 | ||||||
Delos Finance S.a.r.l. , (3 month LIBOR + 1.750%) 4.136%, 10/6/23 | 16,529 | 16,577 | ||||||
FinCo I LLC 2018 Replacement , (1 month LIBOR + 2.000%) 4.242%, 12/27/22 | 4,353 | 4,371 | ||||||
Franklin Square Holdings LP , (1 month LIBOR + 2.500%) 4.625%, 8/1/25 | 1,570 | 1,577 | ||||||
iStar, Inc. , (1 month LIBOR + 2.750%) 4.893%, 6/28/23 | 12,065 | 12,065 | ||||||
|
| |||||||
58,506 | ||||||||
|
| |||||||
Food and Drug—0.4% | ||||||||
Albertson’s LLC | ||||||||
Tranche B-4, (1 month LIBOR + 2.750%) 4.992%, 8/25/21 | 22,989 | 23,008 | ||||||
Tranche B-5, (3 month LIBOR + 3.000%) 5.381%, 12/21/22 | 2,139 | 2,140 | ||||||
|
| |||||||
25,148 | ||||||||
|
| |||||||
Food/Tobacco—0.5% | ||||||||
Aramark Intermediate HoldCo Corp. | ||||||||
Tranche B-2, (3 month LIBOR + 1.750%) 4.084%, 3/28/24 | 5,721 | 5,728 |
See Notes to Financial Statements
32
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
LEVERAGED LOANS(2) (continued) | ||||||||
Food/Tobacco (continued) | ||||||||
Tranche B-3, (3 month LIBOR + 1.750%) 4.084%, 3/11/25 | $ | 7,219 | $ | 7,237 | ||||
Chobani LLC First Lien , (1 month LIBOR + 3.500%) 5.742%, 10/10/23 | 6,322 | 6,164 | ||||||
H-Food Holdings, LLC , (1 month LIBOR + 3.000%) 5.242%, 5/23/25 | 2,379 | 2,370 | ||||||
Hostess Brands LLC 2017 Refinancing, Tranche B , (1 month LIBOR + 2.250%) 4.492%, 8/3/22 | 14,461 | 14,461 | ||||||
|
| |||||||
35,960 | ||||||||
|
| |||||||
Forest Prod/Containers—0.1% | ||||||||
Berry Global, Inc. | ||||||||
Tranche Q, (2 month LIBOR + 2.000%) 4.186%, 10/1/22 | 6,109 | 6,120 | ||||||
Tranche R, (2 month LIBOR + 2.000%) 4.186%, 1/19/24 | 1,029 | 1,030 | ||||||
Spectrum Holdings III Corp. First Lien , (1 month LIBOR + 3.250%) 5.492%, 1/31/25 | 2,689 | 2,665 | ||||||
|
| |||||||
9,815 | ||||||||
|
| |||||||
Gaming/Leisure—1.4% | ||||||||
Caesars Resort Collection LLC Tranche B , (1 month LIBOR + 2.750%) 4.992%, 12/23/24 | 14,262 | 14,338 | ||||||
Eldorado Resorts, Inc. , (2 month LIBOR + 2.250%) 4.408%, 4/17/24 | 2,550 | 2,560 |
PAR VALUE | VALUE | |||||||
Gaming/Leisure (continued) | ||||||||
(1 month LIBOR + 2.250%) 4.408%, 4/17/24 | $ | 2,244 | $ | 2,254 | ||||
GVC Holdings plc Tranche B-2 , (1 month LIBOR + 2.500%) 4.742%, 3/29/24 | 10,462 | 10,497 | ||||||
Hilton Worldwide Finance LLC Tranche B-2 , (1 month LIBOR + 1.750%) 3.966%, 10/25/23 | 10,738 | 10,786 | ||||||
Playa Resorts Holding B.V. , (1 month LIBOR + 2.750%) 4.990%, 4/29/24 | 20,462 | 20,298 | ||||||
Scientific Games International, Inc. Tranche B-5 , (1 month LIBOR + 2.750%) 4.992%, 8/14/24 | 1,440 | 1,437 | ||||||
(2 month LIBOR + 2.750%) 5.034%, 8/14/24 | 6,307 | 6,027 | ||||||
Seminole Tribe of Florida 2018 Replacement, Tranche B , (1 month LIBOR + 1.750%) 3.992%, 7/8/24 | 8,394 | 8,432 | ||||||
UFC Holdings LLC First Lien , (1 month LIBOR + 3.250%) 5.500%, 8/18/23 | 8,988 | 9,035 | ||||||
Wyndham Hotels & Resorts, Inc. Tranche B , (1 month LIBOR + 1.750%) 3.992%, 5/30/25 | 14,510 | 14,549 | ||||||
|
| |||||||
100,213 | ||||||||
|
|
See Notes to Financial Statements
33
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
LEVERAGED LOANS(2) (continued) | ||||||||
Healthcare—1.0% | ||||||||
Bausch Health Cos., Inc. , (1 month LIBOR + 3.000%) 5.104%, 6/2/25 | $ | 10,125 | $ | 10,173 | ||||
Change Healthcare Holdings, Inc. , (1 month LIBOR + 2.750%) 4.992%, 3/1/24 | 5,012 | 5,026 | ||||||
Endo Luxembourg Finance Co. S.a.r.l., (1 month LIBOR + 4.250%) 6.500%, 4/29/24 | 3,654 | 3,676 | ||||||
Envision Healthcare Corp. , (3 month LIBOR + 3.750%) | 14,789 | 14,696 | ||||||
Iqvia, Inc. Tranche B-3 , (3 month LIBOR + 1.750%) 4.136%, 6/11/25 | 14,474 | 14,462 | ||||||
Prospect Medical Holdings, Inc. Tranche B-1 , (1 month LIBOR + 5.500%) 7.625%, 2/22/24 | 6,870 | 6,956 | ||||||
Surgery Partners LLC , (3 month LIBOR + 3.250%) 5.570%, 9/2/24 | 8,776 | 8,773 | ||||||
Syneos Health, Inc. Tranche B , (1 month LIBOR + 2.000%) 4.242%, 8/1/24 | 6,153 | 6,161 | ||||||
|
| |||||||
69,923 | ||||||||
|
| |||||||
Housing—0.4% | ||||||||
Capital Automotive LP | ||||||||
Tranche B-2, (1 month LIBOR + 2.500%) 4.750%, 3/25/24 | 824 | 825 |
PAR VALUE | VALUE | |||||||
Housing (continued) | ||||||||
Tranche B, (1 month LIBOR + 6.000%) 8.250%, 3/24/25 | $ | 3,937 | $ | 4,016 | ||||
CPG International LLC , (3 month LIBOR + 3.750%) 6.251%, 5/5/24 | 11,971 | 12,053 | ||||||
Quikrete Holdings, Inc. First Lien , (1 month LIBOR + 2.750%) 4.992%, 11/15/23 | 10,684 | 10,704 | ||||||
|
| |||||||
27,598 | ||||||||
|
| |||||||
Information Technology—0.9% | ||||||||
Kronos, Inc. | ||||||||
First Lien, (3 month LIBOR + 3.000%) 5.343%, 11/1/23 | $ | 17,587 | $ | 17,669 | ||||
Second Lien, (3 month LIBOR + 8.250%) 10.593%, 11/1/24 | 3,287 | 3,354 | ||||||
Presidio Holdings, Inc. Tranche B, (1 month LIBOR + 2.750%) 4.992%, 2/2/24 | 75 | 75 | ||||||
(3 month LIBOR + 2.750%) 5.086%, 2/2/24 | 6,120 | 6,131 | ||||||
Renaissance Holding Corp. First Lien , (1 month LIBOR + 3.250%) 5.492%, 5/30/25 | 15,227 | 15,189 | ||||||
SS&C Technologies Holdings, Inc. |
| |||||||
Tranche B-5, (3 month LIBOR + 2.250%) 0.000%, 4/16/25(10) | 3,070 | 3,071 | ||||||
Tranche B-3, (1 month LIBOR + 2.250%) 4.492%, 4/16/25 | 14,871 | 14,880 | ||||||
Tranche B-4, (1 month LIBOR + 2.250%) 4.492%, 4/16/25 | 5,772 | 5,776 | ||||||
|
| |||||||
66,145 | ||||||||
|
|
See Notes to Financial Statements
34
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
LEVERAGED LOANS(2) (continued) | ||||||||
Manufacturing—0.1% | ||||||||
Altra Industrial Motion Corp. , (3 month LIBOR + 2.000%) 0.000%, 9/26/25(10) | $ | 2,040 | $ | 2,043 | ||||
CPI Acquisition, Inc. First Lien , (3 month LIBOR + 4.500%) 6.839%, 8/17/22 | 11,746 | 7,778 | ||||||
|
| |||||||
9,821 | ||||||||
|
| |||||||
Media/Telecom - Broadcasting—0.2% | ||||||||
Sinclair Television Group, Inc. Tranche B , (1 month LIBOR + 2.250%) 4.500%, 1/3/24 | 11,284 | 11,312 | ||||||
|
| |||||||
Media/Telecom - Cable/Wireless Video—1.0% | ||||||||
Altice US Finance I Corp. 2017 Refinancing , (1 month LIBOR + 2.250%) 4.492%, 7/28/25 | 12,614 | 12,598 | ||||||
Charter Communications Operating LLC Tranche B , (1 month LIBOR + 2.000%) 4.250%, 4/30/25 | 29,060 | 29,097 | ||||||
CSC Holdings LLC 2017 Refinancing , (1 month LIBOR + 2.250%) 4.408%, 7/17/25 | 10,853 | 10,849 | ||||||
Telenet Financing USD LLC , (1 month LIBOR + 2.250%) 4.408%, 8/15/26 | 10,545 | 10,497 | ||||||
Virgin Media Bristol LLC Tranche K , (1 month LIBOR + 2.500%) 4.658%, 1/15/26 | 6,845 | 6,855 | ||||||
|
| |||||||
69,896 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Media/Telecom - Diversified Media—0.7% | ||||||||
CDS US Intermediate Holdings, Inc. Tranche B , (3 month LIBOR + 3.750%) 6.136%, 7/8/22 | $ | 14,245 | $ | 13,975 | ||||
Crown Finance US, Inc. , (1 month LIBOR + 2.500%) 4.742%, 2/28/25 | 12,124 | 12,104 | ||||||
Formula One Management Ltd. Tranche B-3 , (1 month LIBOR + 2.500%) 4.742%, 2/1/24 | 6,931 | 6,873 | ||||||
McGraw-Hill Global Education Holdings LLC Tranche B , (1 month LIBOR + 4.000%) 6.242%, 5/4/22 | 8,626 | 8,364 | ||||||
Meredith Corp. , (1 month LIBOR + 3.000%) 5.242%, 1/31/25 | 9,635 | 9,687 | ||||||
|
| |||||||
51,003 | ||||||||
|
| |||||||
Media/Telecom - Telecommunications—1.1% | ||||||||
CenturyLink, Inc. Tranche B , (1 month LIBOR + 2.750%) 4.992%, 1/31/25 | 12,169 | 12,081 | ||||||
Frontier Communications Corp. Tranche B-1 , (1 month LIBOR + 3.750%) 6.000%, 6/15/24 | 11,593 | 11,345 | ||||||
Level 3 Financing, Inc. Tranche B , (1 month LIBOR + 2.250%) 4.432%, 2/22/24 | 14,674 | 14,713 | ||||||
Numericable U.S. LLC , (1 month LIBOR + 3.688%) 5.846%, 1/31/26 | 6,768 | 6,679 |
See Notes to Financial Statements
35
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
LEVERAGED LOANS(2) (continued) | ||||||||
Media/Telecom - Telecommunications (continued) | ||||||||
Securus Technologies Holdings, Inc. | ||||||||
(3 month LIBOR + 4.500%) 0.000%, 11/1/24 (10)(18) | $ | 2,872 | $ | 2,870 | ||||
First Lien, (1 month LIBOR + 4.500%) 6.742%, 11/1/24 | 9,944 | 9,954 | ||||||
TDC A/S Tranche B-2 , (3 month LIBOR + 3.500%) 5.839%, 6/4/25 | 5,117 | 5,167 | ||||||
West Corp. | ||||||||
Tranche B-1, (1 month LIBOR + 3.500%) 5.742%, 10/10/24 | 4,988 | 4,940 | ||||||
Tranche B, (1 month LIBOR + 4.000%) 6.242%, 10/10/24 | 10,485 | 10,447 | ||||||
|
| |||||||
78,196 | ||||||||
|
| |||||||
Media/Telecom - Wireless Communications—0.0% | ||||||||
Digicel International Finance Ltd. Tranche B , (3 month LIBOR + 3.250%) 5.570%, 5/27/24 | 2,090 | 1,977 | ||||||
|
| |||||||
Metals/Minerals—0.4% | ||||||||
Covia Holdings Corp. , (1 month LIBOR + 3.750%) 6.136%, 6/1/25 | 14,833 | 13,992 | ||||||
Graftech International Ltd. , (1 month LIBOR + 3.500%) 5.742%, 2/12/25 | 10,956 | 11,025 | ||||||
|
| |||||||
25,017 | ||||||||
|
|
PAR VALUE | VALUE | |||||||
Service—1.1% | ||||||||
Advantage Sales & Marketing, Inc. | ||||||||
First Lien, (1 month LIBOR + 3.250%) 5.492%, 7/23/21 | $ | 3,894 | $ | 3,602 | ||||
Tranche B-2, First Lien, (1 month LIBOR + 3.250%) 5.492%, 7/23/21 | 8,808 | 8,103 | ||||||
First Data Corp. Tranche-A , (1 month LIBOR + 2.000%) 4.212%, 4/26/24 | 28,576 | 28,596 | ||||||
Frontdoor, Inc. , (1 month LIBOR + 2.500%) 4.750%, 8/16/25 | 1,265 | 1,272 | ||||||
Hoya Midco LLC First Lien , (1 month LIBOR + 3.500%) 5.742%, 6/30/24 | 12,335 | 12,258 | ||||||
ServiceMaster Co., LLC Tranche C , (1 month LIBOR + 2.500%) 4.742%, 11/8/23 | 3,192 | 3,216 | ||||||
TKC Holdings, Inc. First Lien , (1 month LIBOR + 3.750%) 6.000%, 2/1/23 | 9,335 | 9,341 | ||||||
Trans Union LLC Tranche B-4 , (1 month LIBOR + 2.000%) 4.242%, 6/19/25 | 8,913 | 8,937 | ||||||
|
| |||||||
75,325 | ||||||||
|
| |||||||
Transportation - Automotive—0.1% | ||||||||
Tenneco, Inc. , (3 month LIBOR + 2.750%) 0.000%, 6/18/25(10) | 6,120 | 6,124 | ||||||
|
|
See Notes to Financial Statements
36
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
PAR VALUE | VALUE | |||||||
LEVERAGED LOANS(2) (continued) | ||||||||
Utility—0.5% | ||||||||
Brookfield WEC Holdings, Inc. (Westinghouse Electric Co., LLC) First Lien , (1 month LIBOR + 3.750%) 5.992%, 8/1/25 | $ | 11,285 | $ | 11,420 | ||||
NRG Energy, Inc. , (3 month LIBOR + 1.750%) 4.136%, 6/30/23 | 9,960 | 9,969 | ||||||
Vistra Operations Co., LLC | ||||||||
(1 month LIBOR + 2.000%) 4.242%, 8/4/23 | 5,912 | 5,917 | ||||||
(1 month LIBOR + 2.000%) 4.181%, 12/31/25 | 7,790 | 7,796 | ||||||
|
| |||||||
35,102 | ||||||||
TOTAL LEVERAGED LOANS (Identified Cost $870,028) |
| 864,317 | ||||||
SHARES | ||||||||
PREFERRED STOCKS—0.6% | ||||||||
Financials—0.6% | ||||||||
Bank of New York Mellon Corp. (The) Series E, 4.950% | 12,070 | (8) | 12,312 | |||||
Huntington Bancshares, Inc. Series E, 5.700% | 7,740 | (8) | 7,672 | |||||
JPMorgan Chase & Co. Series Z, 5.300% | 3,985 | (8) | 4,075 | |||||
Wells Fargo & Co. Series K, 6.104%+ (3 month LIBOR + 3.770%) | 16,155 | (8) | 16,372 | |||||
TOTAL PREFERRED STOCKS (Identified Cost $39,992) |
| 40,431 |
SHARES | VALUE | |||||||
COMMON STOCKS—0.0% | ||||||||
Energy—0.0% | ||||||||
Frontera Energy Corp.(1) | 148,014 | $ | 2,072 | |||||
TOTAL COMMON STOCKS (Identified Cost $2,594) |
| 2,072 | ||||||
EXCHANGE-TRADED FUND—1.1% | ||||||||
iShares iBoxx High Yield Corporate Bond Index Fund(14)(15) | 942,933 | 81,507 | ||||||
TOTAL EXCHANGE-TRADED FUND |
| |||||||
(Identified Cost $81,326) |
| 81,507 | ||||||
AFFILIATED MUTUAL FUND—1.0% | ||||||||
Virtus Newfleet Credit Opportunities Fund Class R6(14) | 6,989,143 | $ | 67,585 | |||||
TOTAL AFFILIATED MUTUAL FUND |
| |||||||
(Identified Cost $69,865) |
| 67,585 | ||||||
RIGHTS—0.0% | ||||||||
Utilities—0.0% | ||||||||
Vistra Energy Corp.(13) | 98,789 | 74 | ||||||
TOTAL RIGHTS (Identified Cost $84) |
| 74 | ||||||
TOTAL LONG-TERM INVESTMENTS—99.9% |
| |||||||
(Identified Cost $7,147,051) |
| 7,031,542 | (11) | |||||
SECURITIES LENDING COLLATERAL—2.2% | ||||||||
Dreyfus Government Cash Management Fund—Institutional Shares (seven-day effective yield 1.950%)(14)(16) | 153,975,395 | 153,975 | ||||||
TOTAL SECURITIES LENDING COLLATERAL |
| |||||||
(Identified Cost $153,975) |
| 153,975 | ||||||
TOTAL INVESTMENTS—102.1% |
| |||||||
(Identified Cost $7,301,026) | 7,185,517 | |||||||
Other assets and liabilities, net—(2.1)% |
| (145,819 | ) | |||||
|
| |||||||
NET ASSETS—100.0% | $7,039,698 | |||||||
|
|
See Notes to Financial Statements
37
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
Abbreviations:
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
Footnote Legend:
(1) | Non-income producing. |
(2) | Variable rate security. Rate disclosed is as of September 30, 2018. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to a value of $3,495,402 or 49.7% of net assets. |
(4) | Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(5) | No contractual maturity date. |
(6) | This Note was issued for the sole purpose of funding a leveraged loan between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(7) | Interest payments may be deferred. |
(8) | Value shown as par value. |
(9) | Security in default, no interest payments are being received during the bankruptcy proceedings. |
(10) | This loan will settle after September 30, 2018, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(11) | All or a portion of the Fund’s assets have been segregated for delayed delivery security. |
(12) | Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(13) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located at the end of the Schedule of Investments. |
(14) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(15) | All or a portion of security is on loan. |
(16) | Represents security purchased with cash collateral received for securities on loan. |
(17) | Amount is less than $500. |
(18) | Represents the unfunded portion of security and commitment fee earned on this portion. |
Foreign Currencies:
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
IDR | Indonesian Rupiah |
KZT | Kazakhstani Tenge |
MXN | Mexican Peso |
RUB | Russian Ruble |
ZAR | South African Rand |
Country Weightings (Unaudited)† | ||||
United States | 86 | % | ||
Canada | 1 | |||
Cayman Islands | 1 | |||
Luxembourg | 1 | |||
Mexico | 1 | |||
Netherlands | 1 | |||
United Kingdom | 1 | |||
Other | 8 | |||
Total | 100 | % |
† | % of total investments as of September 30, 2018 |
See Notes to Financial Statements
38
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Debt Securities: |
| |||||||||||||||
Asset-Backed Securities | $ | 1,625,589 | $ | — | $ | 1,625,589 | $ | — | ||||||||
Corporate Bonds And Notes | 2,327,214 | — | 2,318,233 | 8,981 | ||||||||||||
Foreign Government Securities | 238,182 | — | 238,182 | — | ||||||||||||
Leveraged Loans | 864,317 | — | 864,317 | — | ||||||||||||
Mortgage-Backed Securities | 1,572,039 | — | 1,550,520 | 21,519 | ||||||||||||
Municipal Bonds | 4,525 | — | 4,525 | — | ||||||||||||
U.S. Government Securities | 208,007 | — | 208,007 | — | ||||||||||||
Equity Securities: |
| |||||||||||||||
Common Stocks | 2,072 | 2,072 | — | — | ||||||||||||
Preferred Stocks | 40,431 | — | 40,431 | — | ||||||||||||
Affiliated Mutual Fund | 67,585 | 67,585 | — | — | ||||||||||||
Exchange-Traded Fund | 81,507 | 81,507 | — | — | ||||||||||||
Rights | 74 | — | — | 74 | ||||||||||||
Securities Lending Collateral | 153,975 | 153,975 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 7,185,517 | $ | 305,139 | $ | 6,849,804 | $ | 30,574 | ||||||||
|
|
|
|
|
|
|
|
A security with an end of period market value of $300 was transferred into Level 3 at September 30, 2018.
Some of the Fund’s investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3 securities compared to total net assets is de minimis; therefore, the roll forward of Level 3 securities and assumptions are not shown for the period ended September 30, 2018.
See Notes to Financial Statements
39
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2018
(Reported in thousands except shares and per share amounts)
Assets | ||||
Investment in securities at value(1)(2) | $ | 7,117,932 | ||
Investments in affiliated funds at value(3) | 67,585 | |||
Foreign currency at value(4) | 2,748 | |||
Cash | 2,452 | |||
Receivables | ||||
Investment securities sold | 23,698 | |||
Fund shares sold | 10,168 | |||
Dividends and interest | 37,816 | |||
Securities lending receivable | — | (5) | ||
Prepaid expenses | 134 | |||
Prepaid trustee retainer | 133 | |||
Other assets | 410 | |||
|
| |||
Total assets | 7,263,076 | |||
|
| |||
Liabilities | ||||
Payables | ||||
Fund shares repurchased | 23,648 | |||
Investment securities purchased | 37,819 | |||
Collateral on securities loaned | 153,975 | |||
Dividend distributions | 1,757 | |||
Investment advisory fees | 2,713 | |||
Distribution and service fees | 832 | |||
Administration and accounting fees | 603 | |||
Transfer agent and sub-transfer agent fees and expenses | 1,262 | |||
Professional fees | 61 | |||
Trustee deferred compensation plan | 410 | |||
Other accrued expenses | 298 | |||
|
| |||
Total liabilities | 223,378 | |||
|
| |||
Net Assets | $ | 7,039,698 | ||
|
| |||
Net Assets Consist of: | ||||
Capital paid in on shares of beneficial interest | $ | 7,286,268 | ||
Accumulated undistributed net investment income (loss) | (1,935 | ) | ||
Accumulated undistributed net realized gain (loss) | (129, 090 | ) | ||
Net unrealized appreciation (depreciation) on investments | (115,545 | ) | ||
|
| |||
Net Assets | $ | 7,039,698 | ||
|
| |||
Net Assets: | ||||
Class A | $ | 711,425 | ||
Class C | $ | 1,039,109 | ||
Class C1 | $ | 304,444 | ||
Class I | $ | 4,981,559 | ||
Class R6 | $ | 3,161 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | ||||
Class A | 153,008,828 | |||
Class C | 220,424,615 | |||
Class C1 | 64,784,979 | |||
Class I | 1,069,738,486 | |||
Class R6 | 679,697 | |||
Net Asset Value and Redemption Price Per Share: | ||||
Class A | $ | 4.65 | ||
Class C | $ | 4.71 | ||
Class C1 | $ | 4.70 | ||
Class I | $ | 4.66 | ||
Class R6 | $ | 4.65 | ||
Maximum offering price per share NAV/(1-2.25%) | $ | 4.76 | ||
(1) Investment in securities at cost | $ | 7,231,161 | ||
(2) Market value of securities on loan | 150,036 | |||
(3) Investments in affiliated funds at cost | 69,865 | |||
(4) Foreign currency at cost | 2,748 | |||
(5) Amount is less than $500. |
See Notes to Financial Statements
40
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
YEAR ENDED SEPTEMBER 30, 2018
($ reported in thousands)
Investment Income |
| |||
Dividends | $ | 945 | ||
Dividend income from affiliated funds | 4,133 | |||
Interest | 278,859 | |||
Security lending, net of fees | — | (1) | ||
Foreign taxes withheld | (403 | ) | ||
|
| |||
Total investment income | 283,534 | |||
|
| |||
Expenses |
| |||
Investment advisory fees | 34,504 | |||
Distribution and service fees, Class A | 2,112 | |||
Distribution and service fees, Class C | 5,885 | |||
Distribution and service fees, Class C1 | 3,407 | |||
Administration and accounting fees | 7,731 | |||
Transfer agent fees and expenses | 3,198 | |||
Sub-transfer agent fees and expenses, Class A | 661 | |||
Sub-transfer agent fees and expenses, Class C | 663 | |||
Sub-transfer agent fees and expenses, Class C1 | 204 | |||
Sub-transfer agent fees and expenses, Class I | 3,328 | |||
Registration fees | 287 | |||
Printing fees and expenses | 374 | |||
Custodian fees | 78 | |||
Professional fees | 172 | |||
Trustees’ fees and expenses | 547 | |||
Miscellaneous expenses | 645 | |||
|
| |||
Total expenses | 63,796 | |||
Less expenses reimbursed and/or waived by investment adviser | (308 | ) | ||
Low balance account fees | (1 | ) | ||
|
| |||
Net expenses | 63,487 | |||
|
| |||
Net investment income (loss) | 220,047 | |||
|
| |||
Net Realized and Unrealized Gain (Loss) on Investments: |
| |||
Net realized gain (loss) from: |
| |||
Unaffiliated investments | (26,287 | ) | ||
Foreign Currency Transactions | (97 | ) | ||
Net change in unrealized appreciation (depreciation) on: |
| |||
Affiliated Investments | (839 | ) | ||
Unaffiliated investments | (181,411 | ) | ||
Foreign Currency Transactions | (35 | ) | ||
|
| |||
Net realized and unrealized gain (loss) on investments | (208,669 | ) | ||
|
| |||
Net increase (decrease) in net assets resulting from operations | $ | 11,378 | ||
|
|
(1) | Amount is less than $500. |
See Notes to Financial Statements
41
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Reported in thousands)
Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||
Increase (Decrease) in Net Assets Resulting From Operations |
| |||||||
Net investment income (loss) | $ | 220,047 | $ | 223,499 | ||||
Net realized gain (loss) | (26,384 | ) | (32,143 | ) | ||||
Net change in unrealized appreciation (depreciation) | (182,285 | ) | 34,057 | |||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from operations | 11,378 | 225,413 | ||||||
|
|
|
| |||||
Dividends and Distributions to Shareholders | ||||||||
Net Investment Income: | ||||||||
Class A | (22,809 | ) | (32,514 | ) | ||||
Class B | — | (1 | ) | |||||
Class C | (28,615 | ) | (34,979 | ) | ||||
Class C1 | (6,597 | ) | (9,748 | ) | ||||
Class I | (147,031 | ) | (144,718 | ) | ||||
Class R6 | (89 | ) | (28 | ) | ||||
Tax Return on Capital | ||||||||
Class A | (987 | ) | — | |||||
Class B | — | — | ||||||
Class C | (1,365 | ) | — | |||||
Class C1 | (407 | ) | — | |||||
Class I | (5,803 | ) | — | |||||
Class R6 | (3 | ) | — | |||||
|
|
|
| |||||
Dividends and distributions to shareholders | (213,706 | ) | (221,988 | ) | ||||
|
|
|
| |||||
Change in Net Assets from Capital Transactions | ||||||||
Sale of shares | ||||||||
Class A (37,818 and 63,156 shares, respectively) | 178,253 | 300,534 | ||||||
Class C (40,660 and 61,033 shares, respectively) | 194,702 | 294,339 | ||||||
Class C1 (2,859 and 14,748 shares, respectively) | 13,634 | 22,813 | ||||||
Class I (352,160 and 419,667 shares, respectively) | 1,661,170 | 1,997,963 | ||||||
Class R6 (311 and 545 shares, respectively) | 1,463 | 2,604 | ||||||
Reinvestment of distributions | ||||||||
Class A (4,368 and 6,104 shares, respectively) | 20,546 | 29,029 | ||||||
Class B (0 and —(2) shares, respectively) | — | 1 | ||||||
Class C (6,236 and 7,133 shares, respectively) | 29,715 | 34,399 | ||||||
Class C1 (1,051 and 1,352 shares, respectively) | 4,993 | 6,495 | ||||||
Class I (28,458 and 26,523 shares, respectively) | 133,907 | 126,422 | ||||||
Class R6 (19 and 6 shares, respectively) | 87 | 28 | ||||||
Conversion of shares(1) | ||||||||
To Class A (0 and 4 shares, respectively) | — | 18 | ||||||
From Class B (0 and 4 shares, respectively) | — | (18 | ) | |||||
Shares repurchased | ||||||||
Class A (82,884 and 149,168 shares, respectively) | (389,256 | ) | (708,133 | ) | ||||
Class B ( 0 and 19 shares, respectively) | — | (90 | ) | |||||
Class C (87,948 and 79,694 shares, respectively) | (419,167 | ) | (384,088 | ) | ||||
Class C1 (17,377 and 29,376 shares, respectively) | (82,623 | ) | (141,194 | ) | ||||
Class I (316,253 and 283,905 shares, respectively) | (1,488,659 | ) | (1,352,667 | ) | ||||
Class R6 (180 and 21 shares, respectively) | (846 | ) | (101 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets from capital transactions | (142,081 | ) | 228,354 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (344,409 | ) | 231,779 | |||||
Net Assets |
| |||||||
Beginning of period | 7,384,107 | 7,152,328 | ||||||
|
|
|
| |||||
End of period | $ | 7,039,698 | $ | 7,384,107 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income (loss) at end of period | $ | (1,935 | ) | $ | (3,430 | ) |
(1) | See Note 1 in Notes to Financial Statements for more information. |
(2) | Amount is less than 500 shares. |
See Notes to Financial Statements
42
Table of Contents
THIS PAGE INTENTIONALLY BLANK.
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | |||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 4.78 | 0.14 | (0.14 | ) | — | (0.12 | ) | — | (0.01 | ) | ||||||||||||||||||||||||
10/1/16 to 9/30/17 | 4.78 | 0.14 | — | 0.14 | (0.14 | ) | — | — | |||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 4.69 | 0.15 | 0.08 | 0.23 | (0.14 | ) | — | — | |||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 4.84 | 0.15 | (0.16 | ) | (0.01 | ) | (0.11 | ) | — | (0.03 | ) | ||||||||||||||||||||||||
10/1/13 to 9/30/14 | 4.85 | 0.16 | (0.01 | ) | 0.15 | (0.16 | ) | — | (4) | — | (4) | ||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 4.84 | 0.13 | (0.14 | ) | (0.01 | ) | (0.11 | ) | — | (0.01 | ) | |||||||||||||||||||||||
10/1/16 to 9/30/17 | 4.84 | 0.13 | — | 0.13 | (0.13 | ) | — | — | |||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 4.75 | 0.14 | 0.07 | 0.21 | (0.12 | ) | — | — | |||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 4.89 | 0.14 | (0.15 | ) | (0.01 | ) | (0.10 | ) | — | (0.03 | ) | ||||||||||||||||||||||||
10/1/13 to 9/30/14 | 4.90 | 0.15 | (0.02 | ) | 0.13 | (0.14 | ) | — | (4) | — | (4) | ||||||||||||||||||||||||
Class C1 | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 4.83 | 0.10 | (0.13 | ) | (0.03 | ) | (0.09 | ) | — | (0.01 | ) | |||||||||||||||||||||||
10/1/16 to 9/30/17 | 4.83 | 0.11 | — | 0.11 | (0.11 | ) | — | — | |||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 4.73 | 0.12 | 0.08 | 0.20 | (0.10 | ) | — | — | |||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 4.88 | 0.12 | (0.17 | ) | (0.05 | ) | (0.07 | ) | — | (0.03 | ) | ||||||||||||||||||||||||
10/1/13 to 9/30/14 | 4.89 | 0.12 | (0.01 | ) | 0.11 | (0.12 | ) | — | (4) | — | (4) |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
44
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(8) | Net Assets, End of Period (000’s) | Ratio of Net Expenses to Average Net Assets(3)(7) | Ratio of Gross Expenses to Average Net Assets(3)(7) | Ratio of Net Investment Income to Average Net Assets(7) | Portfolio Turnover Rate(8) | ||||||||||||||||||||||||||||||||||||
(0.13) | (0.13 | ) | $ | 4.65 | 0.05 | % | $ | 711,425 | 0.97 | %(12) | 0.98 | % | 2.88 | % | 55 | % | ||||||||||||||||||||||||||||
(0.14) | — | 4.78 | 3.07 | (9) | 925,677 | 1.00 | (9) | 1.01 | 3.04 | (9) | 69 | |||||||||||||||||||||||||||||||||
(0.14) | 0.09 | 4.78 | 4.90 | 1,307,484 | 1.00 | (6) | 1.01 | 3.19 | 53 | |||||||||||||||||||||||||||||||||||
(0.14) | (0.15 | ) | 4.69 | (0.23 | ) | 1,575,629 | 0.97 | 0.97 | 3.15 | 37 | ||||||||||||||||||||||||||||||||||
(0.16) | (0.01 | ) | 4.84 | 3.03 | 1,894,633 | 0.99 | 0.99 | 3.30 | 39 | |||||||||||||||||||||||||||||||||||
(0.12) | (0.13 | ) | $ | 4.71 | (0.18 | )% | $ | 1,039,109 | 1.20 | %(12) | 1.21 | % | 2.66 | % | 55 | % | ||||||||||||||||||||||||||||
(0.13) | — | 4.84 | 2.78 | (9) | 1,266,378 | 1.25 | (9) | 1.25 | 2.80 | (9) | 69 | |||||||||||||||||||||||||||||||||
(0.12) | 0.09 | 4.84 | 4.58 | 1,321,202 | 1.25 | (6) | 1.26 | 2.94 | 53 | |||||||||||||||||||||||||||||||||||
(0.13) | (0.14 | ) | 4.75 | (0.27 | ) | 1,460,120 | 1.22 | 1.22 | 2.90 | 37 | ||||||||||||||||||||||||||||||||||
(0.14) | (0.01 | ) | 4.89 | 2.73 | 1,720,245 | 1.24 | 1.24 | 3.03 | 39 | |||||||||||||||||||||||||||||||||||
(0.10) | (0.13 | ) | $ | 4.70 | (0.68 | )% | $ | 304,444 | 1.70 | %(12) | 1.71 | % | 2.16 | % | 55 | % | ||||||||||||||||||||||||||||
(0.11) | — | 4.83 | 2.28 | (9) | 377,835 | 1.75 | (9) | 1.75 | 2.30 | (9) | 69 | |||||||||||||||||||||||||||||||||
(0.10) | 0.10 | 4.83 | 4.29 | 489,924 | 1.75 | (6) | 1.76 | 2.44 | 53 | |||||||||||||||||||||||||||||||||||
(0.10) | (0.15 | ) | 4.73 | (0.98 | ) | 583,694 | 1.72 | 1.72 | 2.40 | 37 | ||||||||||||||||||||||||||||||||||
(0.12) | (0.01 | ) | 4.88 | 2.23 | 719,840 | 1.74 | 1.74 | 2.53 | 39 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
45
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | |||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 4.79 | 0.15 | (0.14 | ) | 0.01 | (0.13 | ) | — | (0.01 | ) | ||||||||||||||||||||||||
10/1/16 to 9/30/17 | 4.78 | 0.16 | 0.01 | 0.17 | (0.16 | ) | — | — | |||||||||||||||||||||||||||
10/1/15 to 9/30/16 | 4.69 | 0.16 | 0.08 | 0.24 | (0.15 | ) | — | — | |||||||||||||||||||||||||||
10/1/14 to 9/30/15 | 4.84 | 0.16 | (0.16 | ) | — | (0.12 | ) | — | (0.03 | ) | |||||||||||||||||||||||||
10/1/13 to 9/30/14 | 4.85 | 0.17 | (0.01 | ) | 0.16 | (0.17 | ) | — | (4) | — | (4) | ||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 4.78 | 0.15 | (0.13 | ) | 0.02 | (0.14 | ) | — | (0.01 | ) | ||||||||||||||||||||||||
11/3/16(10) to 9/30/17 | 4.76 | 0.15 | 0.02 | 0.17 | (0.15 | ) | — | — |
See Notes to Financial Statements
46
Table of Contents
NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(8) | Net Assets, End of Period (000’s) | Ratio of Net Expenses to Average Net Assets(3)(7) | Ratio of Gross Expenses to Average Net Assets(3)(7) | Ratio of Net Investment Income to Average Net Assets(7) | Portfolio Turnover Rate(8) | ||||||||||||||||||||||||||||||||
(0.14) | (0.13 | ) | $ | 4.66 | 0.32 | % | $ | 4,981,559 | 0.71 | % | 0.71 | %(12) | 3.16 | % | 55 | % | ||||||||||||||||||||||||
(0.16) | 0.01 | 4.79 | 3.54 | (9) | 4,811,684 | 0.75 | (9) | 0.76 | 3.30 | (9) | 69 | |||||||||||||||||||||||||||||
(0.15) | 0.09 | 4.78 | 5.16 | 4,033,610 | 0.75 | (6) | 0.76 | 3.44 | 53 | |||||||||||||||||||||||||||||||
(0.15) | (0.15 | ) | 4.69 | 0.02 | 4,095,547 | 0.72 | 0.72 | 3.40 | 37 | |||||||||||||||||||||||||||||||
(0.17) | (0.01 | ) | 4.84 | 3.28 | 4,766,491 | 0.74 | 0.74 | 3.51 | 39 | |||||||||||||||||||||||||||||||
(0.15) | (0.13 | ) | $ | 4.65 | 0.38 | % | $ | 3,161 | 0.59 | % | 0.65 | %(11)(12) | 3.29 | % | 55 | % | ||||||||||||||||||||||||
(0.15) | 0.02 | 4.78 | 3.54 | (9) | 2,533 | 0.70 | (9) | 0.71 | 3.05 | (9) | 69 | (5) |
Footnote Legend
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(4) | Amount is less than $0.005 per share. |
(5) | Portfolio Turnover is representative of the Fund for the entire period. |
(6) | Net expense ratios include extraordinary proxy expenses. |
(7) | Annualized for periods less than one year. |
(8) | Not annualized for periods less than one year. |
(9) | State Street Bank & Trust, custodian for the Fund through January 29, 2010, reimbursed the Fund for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and the Ratio of Net Investment Income (Loss) to Average Net Assets. If it was included the impact would have been to lower the Ratio of Net Expenses and increase the Ratio of Net Investment Income (Loss) as follows: |
Class A | Class C | Class C1 | Class I | Class R6 | ||||
0.01 | 0.01 | 0.01 | 0.01 | 0.01 |
Custody fees reimbursed were included in Total Return. If excluded the impact would have been to lower the Total Return as follows: |
Class A | Class C | Class C1 | Class I | Class R6 | ||||
0.01 | 0.01 | 0.01 | 0.01 | 0.01 |
(10) | Inception date. |
(11) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(12) | The Fund is currently under its expense limitation. |
See Notes to Financial Statements
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Note 1. Organization
Virtus Opportunities Trust (the “Trust”) is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company.
As of the date of this report, 24 funds of the Trust are offered for sale, of which the Newfleet Multi-Sector Short Term Bond Fund (the “Fund”) is reported in this annual report. The Fund’s investment objective is outlined in the Fund Summary Page. There is no guarantee the Fund will achieve its objective.
The Fund offers Class A shares, Class C shares, Class C1 shares, Class I shares and Class R6 shares. Effective March 6, 2017, Class B shares were converted to Class A shares. Prior to March 6, 2017, Class B shares were only available to existing shareholders through qualifying transactions. Effective April 10, 2017, Class T shares of the Fund were renamed Class C1 shares.
Class A shares are sold with a front-end sales charge of up to 2.25% with some exceptions. Generally, Class A shares are not subject to any charges by the Fund when redeemed; however, a 0.50% contingent deferred sales charge (“CDSC”) may be imposed on certain redemptions made within a certain period following purchases on which a finder’s fee has been paid. The period for which the CDSC applies for the Fund is 12 months. The CDSC period begins on the last day of the month preceding the month in which the purchase was made.
Class C shares are sold without a sales charge. Class C1 shares are sold with a 1% CDSC, applicable if redeemed within one year of purchase. Class I shares and Class R6 shares are sold without a front-end sales charge or CDSC.
Class R6 shares are available only to the following investors without a minimum initial investment or minimum additional purchases: certain employer-sponsored retirement plans, including Section 401(k), 403(b) and 457 plans, profit-sharing plans, money purchase pension plans and defined benefit plans and nonqualified deferred compensation plans, in each case provided that plan level or omnibus accounts are held on the books of the fund. Other institutional investors may be permitted to purchase Class R6 shares subject to the Fund’s determination of eligibility and may be subject to a minimum initial investment requirement. Class R6 shares do not carry sales commissions or pay Rule 12b-1 fees. No compensation, administrative payments, sub-transfer agency payments or service payments are paid to brokers or other entities from Fund assets or the Fund’s distributor’s or an affiliate’s resources on sales of or investments in Class R6 shares.
The Fund may impose an annual fee on accounts having balances of less than $2,500. The small account fee may be waived in certain circumstances, as disclosed in the prospectuses and/or statements of additional information. The fees collected will be used to offset certain expenses of the Fund. These fees are reflected as “Low balance account fees” in the Fund’s Statement of Operations for the period, as applicable.
Each class of shares has identical voting, dividend, liquidation and other rights and the same terms and conditions, except that each class bears any expenses attributable specifically to that class (“class-specific expenses”) and has exclusive voting rights with respect to any Rule 12b-1 and/or shareholder service plan (“12b-1 Plan”) approved by the Board. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. Class-specific expenses may include shareholder servicing fees, sub-transfer agency fees, and fees under
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SEPTEMBER 30, 2018
a 12b-1 Plan, as well as certain other expenses as designated by the Fund’s Treasurer and approved by the Board. Investment income, common operating expenses and realized and unrealized gains and losses of the Fund are borne pro-rata by the holders of each class of shares.
Note 2. Significant Accounting Policies
The Trust is an investment company that follows the accounting and reporting guidance of Accounting Standards Topic 946 applicable to Investment Companies. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be significant.
A. | Security Valuation |
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• Level 1 – | quoted prices in active markets for identical securities (security types generally include listed equities). |
• Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• Level 3 – | prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) (at the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets
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SEPTEMBER 30, 2018
for investments such as ADRs, financial futures, ETFs, and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer-supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.
Claims are valued by brokers based on pricing models that take into account, among other factors, both cash and non-cash assets. The valuation is derived from expected cash flow of the claims and the non-cash assets, which include all real estate, private equity or other securities within the estate. To the extent that these inputs are observable, the values of the claims are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the disbursements as designated by the underlying funds.
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SEPTEMBER 30, 2018
Dividend income from REIT investments is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
C. | Income Taxes |
The Fund is treated as a separate taxable entity. It is the intention of the Fund to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made.
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
Management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of September 30, 2018, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2015 forward (with limited exceptions).
D. | Distributions to Shareholders |
Distributions are recorded by the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP.
E. | Expenses |
Expenses incurred together by the Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expense to each fund or an alternative allocation method can be more appropriately used.
In addition to the net annual operating expenses that the Fund bears directly, the shareholders of the Fund indirectly bear the Fund’s pro-rata expenses of any underlying mutual funds in which the Fund invests.
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Fund does not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
G. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
The Fund may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by the Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Fund to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. The Fund records delayed delivery securities on the trade date. The Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or delayed delivery basis begin earning interest on the settlement date.
H. | Leveraged loans |
The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund’s investment in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan.
The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers, and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due.
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the
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SEPTEMBER 30, 2018
prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.
As of September 30, 2018, the Fund had the following unfunded loan commitment:
Borrower | Unfunded Loan Commitment | |||
Securus Technologies Holdings, Inc. | $ | 2,870 |
I. | Securities Lending |
The Fund may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities the Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.
During the period ended September 30, 2018, the Fund had securities on loan as follows:
Market Value | Cash Collateral | |||||||||
$ | 150,036 | $ | 153,975 |
Note 3. Investment Advisory Fees and Related Party Transactions
A. | Investment Adviser |
($ reported in thousands)
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Fund. The Adviser manages the Fund’s investment program and general operations of the Fund, including oversight of the Fund’s subadviser.
As compensation for its services to the Fund, the Adviser is entitled to a fee, which is calculated daily and paid monthly, based upon the following annual rates as a percentage of the average daily net assets of the Fund:
First $1 Billion | $1+ Billion – $2 Billion | $2+ Billion – 10 Billion | $10+ Billion | |||
0.55% | 0.50% | 0.45% | 0.425% |
During the period covered by these financial statements, the Fund invested a portion of its assets in Virtus Newfleet Credit Opportunities Fund, an affiliated mutual fund. In order to avoid any duplication of advisory fees, the Adviser has voluntarily waived its advisory fees in an amount equal to that which would otherwise be paid by the Fund on the assets invested in the Virtus Newfleet Credit Opportunities Fund. For the period covered by these financial statements, the waiver amounted to $308. This waiver is in addition to the expense limitation and/or fee waiver covered elsewhere in these financial statements and is included in the Statement of Operations in “Less expenses reimbursed and/or waived by investment adviser.”
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SEPTEMBER 30, 2018
B. | Subadviser |
The Subadviser manages the investments of the Fund for which it is paid a fee by the Adviser.
Newfleet Asset Management, LLC (the “Subadviser”), an indirect, wholly-owned subsidiary of Virtus, is the subadviser to the Fund.
C. | Expense Limits and Fee Waivers |
The Adviser has contractually agreed to limit the Fund’s total operating expenses (excluding front-end or contingent deferred loads, taxes, leverage expenses, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, unusual or infrequently occurring expenses (such as litigation), acquired fund fees and expenses, and dividend expenses, if any) so that such expenses do not exceed, on an annualized basis, the following percentages of the Fund’s average net asset values: The waivers and reimbursements are calculated daily and received monthly.
Class A | Class C | Class C1 | Class I | Class R6 | Through Date | |||||
1.10%** | 1.35%** | 1.85%** | 0.85%** | 0.55%(1) | 01/31/19 |
** | Share class is currently below its expense cap. |
(1) | Effective March 29, 2018 for Class R6. For the period of October 1, 2017 through March 28, 2018 the Class R6 expense cap was 0.78% |
D. | Expense Recapture |
($ reported in thousands)
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements, within three years after the date on which such amounts were incurred or waived. The Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser-reimbursed expenses may be recaptured by the fiscal year ending:
2019 | 2020 | 2021 | Total | |||||||||||||
Class R6 | $ | — | $ | — | $ | — | (1) | $ | — | (1) |
(1) | Amount is less than $500. |
E. | Distributor |
($ reported in thousands)
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of the Fund’s shares. VP Distributors has advised the Fund that for the six months (the “period”) ended September 30, 2018, it retained net commissions of $21 for Class A shares and CDSC of $96, $—(1) and $12 for Class A shares, Class C shares and Class C1 shares, respectively.
(1) | Amount is less than $500. |
In addition, the Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class, at the annual rates
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SEPTEMBER 30, 2018
as follows: Class A shares 0.25%; Class C shares 0.50%; and Class C1 shares 1.00%. Class I shares and Class R6 shares are not subject to a 12b-1 Plan.
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply.
F. | Administrator and Transfer Agent |
($ reported in thousands)
Virtus Fund Services LLC, an indirect wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Fund.
For the period ended September 30, 2018, the Fund incurred administration fees in aggregate totaling $6,951 which are included in the Statement of Operations within the line item “Administration and accounting fees.”
For the period ended September 30, 2018, the Fund incurred transfer agent fees in aggregate totaling $7,977 which are included in the Statement of Operations within the line items “Transfer agent fees and expenses” and “Sub-transfer agent fees and expenses”. A portion of these fees is paid to outside entities that also provide services to the Trust.
G. | Affiliated Shareholders |
($ reported in thousands)
At September 30, 2018, Virtus and its affiliates, and the retirement plans of Virtus and its affiliates, held shares of the Fund which may be redeemed at any time that aggregated to the following:
Shares | Aggregate Net Asset Value | |||||||
Class R6 Shares | 21,833 | $ | 102 |
H. | Investments in Affiliates |
($ reported in thousands)
A summary of the total long-term and short-term purchases and sales of the affiliated underlying fund, during the period ended September 30, 2018, is as follows:
Value, beginning of period | Purchases | Sales Proceeds | Net realized gain (loss) on affiliated fund | Net change in unrealized appreciation (depreciation) on affiliated fund | Value, end of period | Shares | Dividend Income | Distributions of Realized Gains | ||||||||||||||||||||||||||||
Affiliated Mutual Fund 1.0% |
| |||||||||||||||||||||||||||||||||||
Virtus Newfleet Credit Opportunities Fund Class R6(1) | $ | 68,424 | $ | — | $ | — | $ | — | $ | (839 | ) | $ | 67,585 | 6,989,143 | $ | 4,133 | $ | — |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
The Fund does not invest in the underlying fund for the purpose of exercising management or control; however, the investments made by the Fund within each of its principal investment strategies may represent a significant portion of the underlying fund’s net assets. At September 30, 2018, the Fund was the owner of record of approximately 78% of the Virtus Newfleet Credit Opportunities Fund.
I. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other Assets” on the Statement of Assets and Liabilities at September 30, 2018.
Note 4. Purchases and Sales of Securities
($ reported in thousands)
Purchases and sales of securities (excluding U.S. Government and agency securities, and short-term securities) during the period ended September 30, 2018, were as follows:
Purchases | Sales | |||||||||
$ | 3,594,119 | $ | 3,592,300 |
Purchases and sales of long-term U.S. Government and agency securities during the period ended September 30, 2018, were as follows:
Purchases | Sales | |||||||||
$ | 408,434 | $ | 498,853 |
Note 5. Redemption Facility
($ reported in thousands)
On September 18, 2017, the Fund and certain other affiliated funds entered into an $150,000 unsecured line of credit (“Credit Agreement”). This Credit Agreement, as amended, is with a commercial bank that allows the Fund to borrow cash from the bank to manage large unexpected redemptions and trade fails, up to a limit of one-third of the Fund’s total net assets in accordance with the terms of the agreement. This Credit Agreement has a term of 364 days and has been renewed for a period up to March 14, 2019. Interest is charged at the higher of the LIBOR or the Federal Funds rate plus an additional percentage rate on the amount borrowed. Commitment fees are charged on the undrawn balance. The Fund and other affiliated funds that are parties are individually, and not jointly, liable for their particular advances, if any, under the line of credit. The lending bank has the ability to require repayment of outstanding borrowings under this Credit Agreement upon certain circumstances such as an event of default.
The Fund made no borrowings under this Credit Agreement during the period and the Fund had no borrowings outstanding under this Credit Agreement as of September 30, 2018.
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SEPTEMBER 30, 2018
Note 6. 10% Shareholders
As of September 30, 2018, the Fund had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of the Fund as detailed below.
% of Shares Outstanding | Number of Accounts | |||||||
33 | % | 2* |
* | both accounts are omnibus |
Note 7. Credit Risk and Asset Concentrations
In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.
High-yield/high-risk securities typically entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield/high-risk securities may be complex, and as a result, it may be more difficult for the Adviser and/or Subadviser to accurately predict risk.
The Fund may invest a high percentage of its assets in specific sectors of the market in the pursuit of its investment objective. Fluctuations in these sectors of concentration may have a greater impact on the Fund, positive or negative, than if the Fund did not concentrate its investments in such sectors.
Note 8. Illiquid and Restricted Securities
Investments generally are considered illiquid if they cannot be disposed of in seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund. Additionally, the following information is also considered in determining illiquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment.
Restricted securities are illiquid securities, as defined above, not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.
The Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.
At September 30, 2018, the Fund’s aggregate value of illiquid securities was $80 or 0.0% of the Fund’s net assets.
At September 30, 2018, the Fund did not hold any securities that were restricted.
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Note 9. Indemnifications
Under the Trust’s organizational documents and in separate agreements between each Trustee and the Trust, its Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust and its funds. In addition, in the normal course of business, the Trust and the Fund enter into contracts that provide a variety of indemnifications to other parties. The Trust’s and/or the Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust or the Fund and that have not occurred. However, neither the Trust nor the Fund has had prior claims or losses pursuant to these arrangements, and they expect the risk of loss to be remote.
Note 10. Federal Income Tax Information
($ reported in thousands)
At September 30, 2018, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Fund were as follows:
Federal | Unrealized | Unrealized | Net Unrealized | |||
$7,302,792 | $24,683 | $(141,958) | $(117,275) |
The Fund has capital loss carryovers available to offset future realized gains as follows:
No Expiration | Total | |||
Short-Term | Long-Term | |||
$55,683 | $73,127 | $128,810 |
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized for tax years beginning after December 22, 2010, may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses.
Capital losses realized after October 31 and certain late year losses may be deferred and treated as occurring on the first day of the following fiscal year. For the fiscal year ended September 30, 2018, the Fund deferred and recognized qualified late year losses as follows:
Late Year | Late Year | Capital | Capital | |||
$— | $— | $— | $11,969 |
The components of distributable earnings on a tax basis (excluding unrealized appreciation (depreciation) which are disclosed above) consist of the following:
Undistributed | Undistributed | |
$— | $— |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term gain distributions reported in the Statements of Changes in Net Assets, if any,
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
are reported as ordinary income for federal tax purposes. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
The tax character of dividends and distributions paid during the fiscal years ended September 30, 2018 and 2017 was as follows:
Year Ended | ||||||||
2018 | 2017 | |||||||
Ordinary Income | $ | 205,141 | $ | 221,988 | ||||
Tax Return on Capital | 8,565 | — | ||||||
|
|
|
| |||||
Total | $ | 213,706 | $ | 221,988 | ||||
|
|
|
|
For financial reporting purposes, book basis capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Permanent reclassifications can arise from differing treatment of certain income and gain transactions, nondeductible current year net operating losses, expiring capital loss carryovers and investments in passive foreign investment companies. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital paid in on shares of beneficial interest. The reclassifications have no impact on the net assets or net asset value of the Fund. As of September 30, 2018, the Fund recorded reclassifications to increase (decrease) the accounts as listed below:
Capital Paid in | Undistributed | Accumulated | ||
$—(1) | $(13,411) | $13,411 |
(1) | Amount is less than $500. |
Note 11. Regulatory Matters and Litigation
From time to time, the Trust, the Adviser and/or the Subadviser and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations affecting their products and other activities. At this time, the Adviser believes that the outcomes of such matters are not likely, either individually or in aggregate, to be material to these financial statements.
On February 20, 2015, a putative class action complaint (In re Virtus Investment Partners, Inc. Securities Litigation; formerly styled as Tom Cummins v. Virtus Investment Partners Inc., et al.) alleging violations of certain provisions of the federal securities laws was filed by an individual shareholder against Virtus and certain of its officers (the “defendants”) in the United States District Court for the Southern District of New York. On August 21, 2015, the lead plaintiff filed a Consolidated Class Action Complaint (the “Consolidated Complaint”) amending the originally filed complaint and adding the Trust as a defendant. The Consolidated Complaint was purportedly filed on behalf of all purchasers of Virtus common stock between January 25, 2013 and May 11, 2015 (the “Class Period”). The Consolidated Complaint alleges that during the Class Period, the defendants disseminated materially false and misleading statements and concealed material adverse facts relating to certain
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
funds previously subadvised by F-Squared Investments, Inc. and/or its affiliates (“F-Squared”). The plaintiff seeks to recover unspecified damages. A motion to dismiss the Consolidated Complaint was filed on behalf of the defendants on October 21, 2015. Pursuant to an Opinion & Order (“Order”) filed on July 1, 2016, the court granted in part and denied in part the defendants’ motion to dismiss. Although the Order narrows the scope of the claims asserted and dismisses one of the defendants from the suit, claims under Sections 10(b) and 20(a) of the Exchange Act and Rule 10b-5 thereunder survive the motion. The remaining defendants filed an Answer to the Consolidated Complaint on August 5, 2016. Pursuant to an Opinion & Order filed on May 15, 2017, the plaintiff’s motion for class certification was granted by the court. Discovery has since been completed. On October 6, 2017, the defendants moved for summary judgment. Briefing on the motion for summary judgment was completed on December 22, 2017, and oral argument was held on January 18, 2018, where the Court reserved decision. Virtus and its affiliates, including the Adviser, believe that the suit is without merit. Nevertheless, on February 6, 2018, Virtus reached an agreement in principle with the plaintiffs, subject to Court approval settling all claims in the litigation, in order to avoid the cost, distraction, disruption and inherent litigation uncertainty. The court gave its preliminary approval by order dated June 28, 2018, and a hearing for final approval was held on October 24, 2018, with no objections to the settlement presented. Upon approval by the Court, which Virtus believes is likely, the resolution of this matter will not have a material impact on the results of operations, cash flows or its consolidated financial condition for Virtus. Whether or not the settlement is approved by the Court, the Trust believes the risk of loss to the Fund as a result of the suit is remote and the Adviser does not believe that the suit will have any impact on its ability to provide services to the Fund.
Note 12. Recent Accounting Pronouncements
In August 2018, the Financial Accounting Standards Board issued an Accounting Standards Update (“ASU”), ASU No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the policy for the timing of transfers between levels and the valuation process for Level 3 fair value measurements. For public companies, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Management has evaluated the implications of certain provisions of ASU No. 2018-13 and has determined to early adopt all aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately.
In August 2018, the SEC adopted amendments to Regulation S-X which are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the information provided to investors. The amendments include eliminating the requirement to: separately state book basis components of net assets on the Statement of Assets & Liabilities; separately state the sources of distributions paid (except tax return of capital distributions must still be separately disclosed) on the Statement of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statement of Changes in Net Assets. The compliance date for the amendments to Regulation S-X is for filings made with the SEC after November 5, 2018. The adoption will have no effect on the Fund’s net assets or results of operations.
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NEWFLEET MULTI-SECTOR SHORT TERM BOND FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. This ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. This ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.
Note 13. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there are no subsequent events requiring recognition or disclosure in these financial statements.
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Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of
Virtus Opportunities Trust and Shareholders of
Virtus Newfleet Multi-Sector Short Term Bond Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Virtus Newfleet Multi-Sector Short Term Bond Fund (one of the funds constituting Virtus Opportunities Trust, referred to hereafter as the “Fund”) as of September 30, 2018, the related statement of operations for the year ended September 30, 2018, the statements of changes in net assets for each of the two years in the period ended September 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2018 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018 by correspondence with the custodian, transfer agents and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 20, 2018
We have served as the Virtus Mutual Funds’ auditor since at least 1977. We have not been able to determine the specific year we began serving as auditor.
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VIRTUS MULTI-SECTOR SHORT TERM BOND FUND
SEPTEMBER 30, 2018 (Unaudited)
For the fiscal year ended September 30, 2018, the Fund makes the following disclosures for federal income tax purposes. Below is listed the percentage, or the maximum amount allowable, of its ordinary income dividends (“QDI”) to qualify for the lower tax rates applicable to individual shareholders, and the percentage of ordinary income dividends earned by the Fund which qualifies for the dividends received deduction (“DRD”) for corporate shareholders. The actual percentage of QDI and DRD for the calendar year will be designated in year-end tax statements. The Fund designates the amount below as long-term capital gains dividends (“LTCG”) taxable at a 20% rate, or lower depending on the shareholder’s income ($ reported in thousands). LTCG amount, if subsequently different, will be designated in the next annual report.
QDI | DRD | LTCG | ||
—% | —% | $— |
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FUND MANAGEMENT TABLES (Unaudited)
Information pertaining to the Trustees and officers of the Trust as of the date of issuance of this report, is set forth below. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling (800) 243-4361.
The address of each individual, unless otherwise noted, is c/o Virtus Opportunities Trust, 100 Pearl Street, Hartford, CT 06103. There is no stated term of office for Trustees or officers of the Trust.
Independent Trustees
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee | |
Brown, Thomas J. YOB: 1945 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). | |
Burke, Donald C. YOB: 1960 Served Since: 2016 75 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014) closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). | |
Gelfenbien, Roger A. YOB: 1943 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2000), Virtus Variable Insurance Trust (8 portfolios); and Director (1999 to 2017), USAllianz Variable Insurance Product Trust (42 portfolios). | |
Harris, Sidney E. YOB: 1949 Served Since: 2017 71 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University; Trustee (since 2017), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Trustee (since 1999) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (2012 to 2017), International University of the Grand Bassam; and Trustee (2011 to 2015), Genspring Family Offices, LLC. | |
Mallin, John R. YOB: 1950 Served Since: 2016 71 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm), Real Property Practice Group; and Member (since 2014), Counselors of Real Estate. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). | |
McClellan, Hassell H. YOB: 1945 Served Since: 2015 71 Portfolios | Retired (since 2013); and Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Mutual Fund Family (60 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). | |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 71 Portfolios | Retired (since 2013); and Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President Global Finance Transformation (2007 to 2009); Vice President and Controller (1999 to 2007), The Coca-Cola Company; Trustee (since 2017), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2014), Total System Services, Inc.; and Trustee (2005 to 2017), RidgeWorth Funds. |
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FUND MANAGEMENT TABLES (Unaudited) (Continued)
Independent Trustees (Continued)
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee | |
McLoughlin, Philip YOB: 1946 Served Since: 1999 79 Portfolios | Retired. Director and Chairman (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Director and Chairman (since 2014) Duff & Phelps Select Energy MLP Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (since 1991) and Chairman (since 2010), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (60 portfolios). | |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 75 Portfolios | Retired. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (60 portfolios). | |
Oates, James M. YOB: 1946 Served Since: 2000 75 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). Director (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (60 portfolios). | |
Segerson, Richard E. YOB: 1946 Served Since: 2000 71 Portfolios | Retired; and Managing Director (1998 to 2013), Northway Management Company. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (60 portfolios). |
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FUND MANAGEMENT TABLES (Unaudited) (Continued)
Interested Trustee
Name, Year of Birth, Year Elected and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee | |
Aylward, George R.* Trustee and President YOB: 1964 Elected: 2006 77 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions with Virtus affiliates (since 2005). Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (3 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (60 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
* | Mr. Aylward is an “interested person,” as defined in the 1940 Act, by reason of his position as President and Chief Executive Officer of Virtus Investment Partners, Inc. (“Virtus”), the ultimate parent company of the Adviser, and various positions with its affiliates, including the Adviser. |
Officers of the Trust Who Are Not Trustees
Name, Address and Year of Birth | Position(s) Held with Time Served | Principal Occupation(s) During Past 5 Years | ||
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Global Utility Income Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. |
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FUND MANAGEMENT TABLES (Unaudited) (Continued)
Officers of the Trust Who Are Not Trustees (Continued)
Name, Address and Year of Birth | Position(s) Held with Time Served | Principal Occupation(s) During Past 5 Years | ||
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013); Vice President (2005 to 2013); Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2005) with Virtus affiliates; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President(2013 to 2014), Vice President(2011 to 2013), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select Energy MLP Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. | ||
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2003) with Virtus affiliates; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
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FUND MANAGEMENT TABLES (Unaudited) (Continued)
Officers of the Trust Who Are Not Trustees (Continued)
Name, Address and Year of Birth | Position(s) Held with Time Served | Principal Occupation(s) During Past 5 Years | ||
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; Senior Vice President (since 2018), Virtus Closed-End Funds; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). | ||
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Director (since 2013), Virtus Global Funds PLC; and Executive Vice President (since 2013), Virtus Alternative Solutions Trust. |
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VIRTUS OPPORTUNITIES TRUST
101 Munson Street
Greenfield, MA 01301-9668
Trustees
Philip R. McLoughlin, Chairman
George R. Aylward
Thomas J. Brown
Donald C. Burke
Roger A. Gelfenbien
Sidney E. Harris
John R. Mallin
Hassell H. McClellan
Connie D. McDaniel
Geraldine M. McNamara
James M. Oates
Richard E. Segerson
Officers
George R. Aylward, President
Peter Batchelar, Senior Vice President
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer
Kevin J. Carr, Senior Vice President, Chief Legal Officer, Counsel and Secretary
Nancy J. Engberg, Senior Vice President and Chief Compliance Officer
Julia R. Short, Senior Vice President
Francis G. Waltman, Executive Vice President
Investment Adviser
Virtus Investment Advisers, Inc.
100 Pearl Street
Hartford, CT 06103-4506
Principal Underwriter
VP Distributors, LLC
100 Pearl Street
Hartford, CT 06103-4506
Administrator and Transfer Agent
Virtus Fund Services, LLC
100 Pearl Street
Hartford, CT 06103-4506
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286-1048
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
2001 Market Street
Philadelphia, PA 19103-7042
How to Contact Us
Mutual Fund Services | 1-800-243-1574 | |||
Adviser Consulting Group | 1-800-243-4361 | |||
Website | Virtus.com |
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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For more information about
Virtus Mutual Funds, please call
your financial representative,
contact us at 1-800-243-1574,
or visit Virtus.com.
8010 | 11-18 |
P.O. Box 9874 Providence, RI 02940-8074 |
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ANNUAL REPORT VIRTUS OPPORTUNITIES TRUST |
September 30, 2018
Virtus Vontobel Emerging Markets Opportunities Fund |
Not FDIC Insured
No Bank Guarantee
May Lose Value
Table of Contents
Virtus Vontobel Emerging Markets Opportunities Fund
(“Vontobel Emerging Markets Opportunities Fund”)
1 | ||||
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4 | ||||
6 | ||||
10 | ||||
13 | ||||
14 | ||||
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32 |
PROXY VOTING PROCEDURES AND VOTING RECORD (FORM N-PX)
The subadviser votes proxies relating to portfolio securities in accordance with procedures that have been approved by the Board of Trustees of the Trust (“Trustees,” or the “Board”). You may obtain a description of these procedures, along with information regarding how the Fund voted proxies during the most recent 12-month period ended June 30, free of charge, by calling toll-free 1-800-243-1574. This information is also available through the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.
FORM N-Q INFORMATION
The Trust files a complete schedule of portfolio holdings for the Fund with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov. Form N-Q may be reviewed and copied at the SEC’s Public Reference Room. Information on the operation of the SEC’s Public Reference Room can be obtained by calling toll-free 1-800-SEC-0330.
This report is not authorized for distribution to prospective investors in the Vontobel Emerging Markets Opportunities Fund unless preceded or accompanied by an effective prospectus which includes information concerning the sales charge, the Fund’s record and other pertinent information.
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To My Fellow Shareholders of Virtus Mutual Funds: |
I am pleased to present this annual report that reviews the performance of your fund for the 12 months ended September 30, 2018.
U.S. economic growth and strong corporate earnings were consistent themes during the period, which began on an optimistic note with the sweeping tax overhaul that was signed into law at the end of 2017. As growth heated up, inflation fears caused stock markets to plunge in early February, ushering in the return of volatility after being conspicuously absent throughout 2017. Global trade war concerns sparked by the Trump administration’s tariff talk caused markets to remain unsettled into March before resuming an upward course through the spring and late summer. Meanwhile, persistent economic strength moved the Federal | ||
Reserve to hike its key interest rate four times in the period, most recently in late September, to end at 2.25%, its highest level in nearly a decade.
For the 12 months ended September 30, 2018, U.S. large-cap stocks, as measured by the S&P 500® Index, returned 17.91%, outpacing small-cap stocks, which returned 15.24%, as measured by the Russell 2000® Index. Within international equities, performance was mixed with developed markets up 2.74%, as measured by the MSCI EAFE® Index (net), and emerging markets down 0.81%, as measured by the MSCI Emerging Markets Index (net).
In the fixed income markets, the yield on the 10-year Treasury steadily climbed, to reach 3.05% at September 30, 2018, up from 2.33% at September 30, 2017. The broader U.S. fixed income market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index, which tracks Treasuries and other investment-grade debt securities, declined 1.22% for the 12 months. Non-investment grade bonds eked out a positive return of 3.05%, as measured by the Bloomberg Barclays U.S. Corporate High Yield Bond Index.
Market uncertainty is an ever-present reminder of the importance of portfolio diversification, including exposure to traditional and alternative asset classes. While diversification cannot guarantee a profit or prevent a loss, owning a variety of asset classes may cushion your portfolio against inevitable market fluctuations. Your financial advisor can help you ensure that your portfolio is adequately diversified across asset classes and investment strategies, with a broad array of Virtus Funds available through your fund exchange privileges. These include distinctive equity, fixed income, international, and asset allocation funds managed by Virtus affiliates and select subadvisers. We invite you to learn more about the Virtus family of funds at Virtus.com.
On behalf of our investment affiliates, thank you for entrusting the Virtus Funds with your assets. Should you have questions about your account or require assistance, please visit Virtus.com, or call our customer service team at 1-800-243-1574. We appreciate your business and remain committed to your long-term financial success.
Sincerely,
George R. Aylward President, Virtus Mutual Funds
October 2018
Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. |
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
DISCLOSURE OF FUND EXPENSES (Unaudited)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the Vontobel Emerging Markets Opportunities Fund (the “Fund”) you may incur two types of costs: (1) transaction costs, including sales charges on purchases of Class A shares and contingent deferred sales charges on Class C shares; and (2) ongoing costs, including investment advisory fees, distribution and service fees, and other expenses. Class I shares and Class R6 shares are sold without sales charges and do not incur distribution fees. Class R6 shares also do not incur shareholder servicing fees. For further information regarding applicable sales charges, see Note 1 in the Notes to Financial Statements. These examples are 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 mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period. The Annualized Expense Ratio may be different from the expense ratio in the Financial Highlights which is for the fiscal year ended September 30, 2018.
Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges or contingent deferred sales charges. Therefore, the accompanying tables are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information below, 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 table under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
Class A | $ | 1,000.00 | $ | 892.30 | 1.54 | % | $ | 7.31 | ||||||||
Class C | 1,000.00 | 888.90 | 2.23 | 10.56 | ||||||||||||
Class I | 1,000.00 | 894.20 | 1.20 | 5.70 | ||||||||||||
Class R6 | 1,000.00 | 894.20 | 1.13 | 5.37 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
The Fund may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expense ratios would have been higher.
You can find more information about the Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to the Fund’s prospectus.
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
DISCLOSURE OF FUND EXPENSES (Unaudited) (Continued)
FOR THE SIX-MONTH PERIOD OF APRIL 1, 2018 TO SEPTEMBER 30, 2018
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values 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 your 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 this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other mutual funds.
Beginning Account Value April 1, 2018 | Ending Account Value September 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.35 | 1.54 | % | $ | 7.79 | ||||||||
Class C | 1,000.00 | 1,013.89 | 2.23 | 11.26 | ||||||||||||
Class I | 1,000.00 | 1,019.05 | 1.20 | 6.07 | ||||||||||||
Class R6 | 1,000.00 | 1,019.40 | 1.13 | 5.72 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (183) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
The Fund may invest in other funds, and the annualized expense ratios noted above do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expense ratios would have been higher.
You can find more information about the Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to the Fund’s prospectus.
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
KEY INVESTMENT TERMS (Unaudited)
SEPTEMBER 30, 2018
American Depositary Receipt (“ADR”)
Represents shares of foreign companies traded in U.S. dollars on U.S. exchanges that are held by a U.S. bank or a trust. Foreign companies use ADRs in order to make it easier for Americans to buy their shares.
Bloomberg Barclays U.S. Aggregate Bond Index
The Bloomberg Barclays U.S. Aggregate Bond Index measures the U.S. investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Bloomberg Barclays U.S. Corporate High Yield Bond Index
The Bloomberg Barclays U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Exchange-Traded Funds (“ETFs”)
An open-end fund that is traded on a stock exchange. Most ETFs have a portfolio of stocks or bonds that track a specific market index.
Federal Reserve (the “Fed”)
The Central Bank of the U.S., responsible for controlling money supply, interest rates, and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 Branches, and all national and state banks that are part of the system.
London Interbank Offered Rate (“LIBOR”)
A benchmark rate that some of the world’s leading banks charge each other for short term loans and that serves as the first step to calculating interest rates on various loans throughout the world.
MSCI EAFE® Index (net)
The MSCI EAFE® (Europe, Australasia, Far East) Index (net) is a free float-adjusted market capitalization-weighted index that measures developed foreign market equity performance, excluding the U.S. and Canada. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
MSCI Emerging Markets Index (net)
The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization-weighted index designed to measure equity market performance in the global emerging markets. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Real Estate Investment Trust (“REIT”)
A publicly traded company that owns, develops, and operates income-producing real estate such as apartments, office buildings, hotels, shopping centers, and other commercial properties.
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
KEY INVESTMENTS TERMS (Unaudited) (Continued)
SEPTEMBER 30, 2018
Russell 2000® Index
The Russell 2000® Index is a market capitalization-weighted index of the 2,000 smallest companies in the Russell Universe, which comprises the 3,000 largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
S&P 500® Index
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Sponsored ADR
An ADR which is issued with the cooperation of the company whose stock will underlie the ADR. Sponsored ADRs generally carry the same rights normally given to stockholders, such as voting rights. ADRs must be sponsored to be able to trade on a major U.S. exchange such as the New York Stock Exchange (“NYSE”).
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
Portfolio Manager Commentary by Vontobel Asset Management, Inc. | Ticker Symbols: Class A: HEMZX Class C: PICEX Class I: HIEMX Class R6: VREMX |
⬛ | The Fund is diversified and has an investment objective of capital appreciation. There is no guarantee that the Fund will achieve its objective. |
⬛ | For the fiscal year ended September 30, 2018, the Fund’s Class A shares at NAV returned -5.75%†, Class C shares at NAV returned -6.41%, Class I shares at NAV returned -5.46%, and Class R6 shares at NAV returned -5.34%. For the same period the MSCI Emerging Markets Index (net) which serves as the Fund’s broad-based and style-specific index appropriate for comparison, returned -0.81%. |
† | See footnote 5 on page 9. |
All performance figures assume reinvestment of distributions and exclude the effect of sales charges. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.
How did the markets perform during the Fund’s fiscal year ended September 30, 2018?
⬛ | The MSCI Emerging Markets Index (net) (MSCI EM Index) was positive in the fiscal first quarter, slightly positive in the fiscal second quarter, negative in the fiscal third quarter, and slightly negative in the fiscal fourth quarter. |
⬛ | Returns in the first fiscal quarter were driven by ongoing growth and stable outlooks for major emerging market (EM) economies, such as China and India. Asian information technology (IT) companies in particular were major contributors to emerging market performance. In China, the 19th National Congress |
of the Communist Party took place in October 2017, an important political event that occurs every five years. The outcome heightened the authority of President Xi Jinping and reconfirmed the policy objectives of moving toward a more market-driven economy and domestic reform. South African equities rose despite the collapse of Steinhoff International, and the currency strengthened amid investor optimism that pro-reform candidate Cyril Ramaphosa, the newly elected leader of the African National Congress, would be elected president in 2019. |
⬛ |
⬛ | In the first quarter of 2018, the MSCI EM Index returned a mild 1.42%, masking a volatile period in which performance ranged from a high of 9.89% to a low of -1.35%. Emerging markets were strong in January 2018, rising 8.33% by month-end, supported by strong commodity prices and Asian IT names. Brazil and Russia, large commodity exporters, were among the five top-performing emerging markets for January and the full first quarter of 2018. In early February, however, the MSCI EM Index declined along with developed markets due to concerns around inflation and interest rates rising more quickly than expected. By mid-March, the markets had |
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND (Continued) |
recovered somewhat before selling off again on escalating U.S.-China trade tensions. |
⬛ | Volatility continued in emerging market equities through the second quarter of 2018, with the MSCI EM Index falling 7.96% in U.S. dollar terms. Despite solid economic growth momentum in many emerging economies, activity around the globe led investors to favor less-risky securities. Concerns that prompted a change in outlook included: the U.S. continuing to lift rates on the back of accelerating inflation; a strong dollar alongside a selloff in EM currencies; a continued rise in oil prices; and the U.S. appearing set to impose tariffs, with China threatening retaliation. Eleven of the MSCI EM Index countries delivered double-digit negative returns in U.S. dollar terms for the second quarter. Investor concern focused on countries that continued to run double deficits (current account and fiscal), which led to poor performance from markets such as Turkey and Argentina. All sectors of the MSCI EM Index posted negative returns in the second quarter, with financials and information technology the largest detractors. |
⬛ | Emerging markets came under pressure again in the third quarter of 2018, with a loss of 1.09% in U.S. dollar terms. Global trade frictions, a rising U.S. dollar, tighter Federal Reserve (Fed) monetary policy, and higher oil prices drove assets away from riskier countries. Rising oil prices had an impact on oil-importing EM countries such as Turkey, India and South Africa, spurring higher inflation and bigger deficits, and putting pressure on their currencies. Many EM currencies sold off, with Turkey, Argentina, and South Africa among the hardest hit. The currency impact was -1.06% for the MSCI EM Index’s third quarter performance. |
What factors affected the Fund’s performance during its fiscal year?
The following discussion highlights specific stocks – those that provided the largest
contribution to absolute performance and those that were the largest detractors for the fiscal year ended September 30, 2018. As bottom-up stock pickers, we hope that you find this useful and gain a greater understanding of how we invest your capital.
Stocks that helped absolute performance
⬛ | Tata Consultancy Services (TCS) benefited from a weakened rupee. While the company earns revenues in foreign currencies, its costs are predominately in rupees. TCS reported strong first quarter fiscal 2019 results, and ramped up several large deals. As the largest Indian IT company, TCS provides services in application development and maintenance, enterprise solutions, IT infrastructure management, consulting, and business process outsourcing. By meeting a broad range of customers’ IT needs through innovative solutions, the company delivered strong returns. |
⬛ | Wal-Mart de Mexico (Walmex) contributed to returns due to solid second quarter results. In addition, the stock traded higher after general market uncertainties were eased following the election of Andres Manuel Lopez Obrador in early July. Walmex is the premier Mexican retailer. Unlike Wal-Mart in the U.S., which offers cheap prices but not the best shopping environment, Walmex offers both low prices and a better shopping experience than most stores in the country. The company had no net debt, managed its working capital management effectively, and generated strong cash flow. |
Stocks that hurt absolute performance
⬛ | Ultrapar Participacoes is the second largest fuel distributor in Brazil. The stock was weak from the start of 2018 due to issues we viewed as temporary, not structural. These issues included a glut earlier in the year of lower-priced imported fuel that gave generic gas stations a temporary price advantage. A nationwide truckers’ strike protesting sharp increases in diesel prices further exacerbated |
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND (Continued) |
performance. Ultrapar’s second quarter earnings report evidenced the disruption from the strike and the lingering impact of the glut. Despite these short-term challenges, we continued to have confidence in the stock. In Brazil, the top three fuel distributors account for approximately 70% of a market that continues to consolidate. Fuel distribution is a business with significant operating leverage. |
⬛ | AmBev’s performance was driven by weak currencies in Brazil and Argentina, and delays in the expectations of a volume rebound this year. Volume growth was delayed because of the trucker strike in Brazil, as well as continued high inflation that tamped down consumer spending. We remained confident in the company’s longer term prospects. AmBev is the dominant Brazilian brewer, and also has a strong presence in non-alcoholic beverages. |
The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk.
Foreign & Emerging Markets: Investing internationally, especially in emerging markets, involves additional risks such as currency, political, accounting, economic, and market risk.
Geographic Concentration: A fund that focuses its investments in a particular geographic location will be highly sensitive to financial, economic, political, and other developments affecting the fiscal stability of that location.
Industry/Sector Concentration: A fund that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated fund.
Prospectus: For additional information on risks, please see the Fund’s prospectus.
Asset Allocations | ||||
The following table presents asset allocations within certain sectors as a percentage of total investments as of September 30, 2018.
|
| |||
Consumer Staples | 30 | % | ||
Financials | 25 | |||
Information Technology | 24 | |||
Consumer Discretionary | 9 | |||
Utilities | 4 | |||
Telecommunication Services | 4 | |||
Industrials | 2 | |||
Other | 2 | |||
|
| |||
Total | 100 | % | ||
|
|
For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND (Continued) |
Average Annual Total Returns1 for periods ended 09/30/18 | ||||||||||||||||||||
1 Year | 5 Years | 10 Years | Since Inception | Inception Date | ||||||||||||||||
Class A shares at NAV2,5 | -5.75 | % | 3.02 | % | 6.63 | % | — | — | ||||||||||||
Class A shares at POP3,4 | -11.17 | 1.81 | 6.00 | — | — | |||||||||||||||
Class C shares at NAV2 and with CDSC4 | -6.41 | 2.26 | 5.84 | — | — | |||||||||||||||
Class I shares at NAV | -5.46 | 3.32 | 6.90 | — | — | |||||||||||||||
Class R6 shares at NAV | -5.34 | — | — | 1.77 | % | 11/12/14 | ||||||||||||||
MSCI Emerging Markets Index (net) | -0.81 | 3.61 | 5.40 | 3.76 | 6 | — |
Fund Expense Ratios7: Class A shares 1.67%; Class C shares 2.30%; Class I shares: 1.29%; Class R6 shares 1.21%.
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gains distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC charges for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter. |
5 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
6 | The since inception index returns are from the inception date of Class R6 shares. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 29, 2018, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights tables for more current expense ratios. Expense ratios include fees and expenses associated with the underlying funds. |
Growth of $10,000 for periods ended 9/30
This chart assumes an initial investment of $10,000 made on September 30, 2008, for Class A shares, Class C shares, and Class I shares including any applicable sales charges or fees. The performance of the other share class may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
COMMON STOCKS—96.7% | ||||||||
Consumer Discretionary—9.0% | ||||||||
Lojas Renner S.A. (Brazil) | 9,884,817 | $ | 75,778 | |||||
Naspers Ltd. Class N (South Africa) | 609,372 | 131,501 | ||||||
Sands China Ltd. (China) | 23,364,601 | 105,804 | ||||||
Techtronic Industries Co., Ltd. (Hong Kong) | 19,979,783 | 127,612 | ||||||
Yum China Holdings, Inc. (China) | 2,931,344 | 102,919 | ||||||
Zee Entertainment Enterprises Ltd. (India) | 18,368,892 | 111,141 | ||||||
|
| |||||||
654,755 | ||||||||
|
| |||||||
Consumer Staples—26.9% | ||||||||
Ambev S.A. ADR (Brazil) | 62,181,399 | 284,169 | ||||||
Amorepacific Corp. (South Korea) | 572,015 | 134,592 | ||||||
Anheuser-Busch InBev NV (Belgium) | 1,449,335 | 126,576 | ||||||
CP ALL PCL (Thailand) | 59,598,849 | 127,159 | ||||||
Fomento Economico Mexicano SAB de C.V. Sponsored ADR (Mexico) | 2,873,703 | 284,410 | ||||||
Heineken NV (Netherlands) | 2,256,233 | 211,559 | ||||||
ITC Ltd. (India) | 34,900,407 | 143,352 | ||||||
LG Household & Health Care Ltd. (South Korea) | 169,315 | 194,768 | ||||||
Unilever NV CVA (Netherlands) | 4,879,843 | 271,757 | ||||||
Wal-Mart de Mexico SAB de C.V. (Mexico) | 61,302,161 | 185,964 | ||||||
|
| |||||||
1,964,306 | ||||||||
|
| |||||||
Energy—1.3% | ||||||||
Ultrapar Participacoes S.A. (Brazil) | 10,413,375 | 96,152 | ||||||
|
|
SHARES | VALUE | |||||||
Financials—25.0% | ||||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander ADR (Mexico) | 7,090,833 | $ | 55,025 | |||||
Bancolombia SA Sponsored ADR (Colombia) | 2,466,673 | 102,910 | ||||||
Bank Central Asia Tbk PT (Indonesia) | 51,052,916 | 82,738 | ||||||
Bank Polska Kasa Opieki SA (Poland) | 2,705,999 | 77,948 | ||||||
Bank Rakyat Persero Tbk PT (Indonesia) | 385,235,487 | 81,434 | ||||||
BB Seguridade Participacoes S.A. (Brazil) | 6,362,977 | 37,876 | ||||||
Credicorp Ltd. (Peru) | 403,374 | 89,985 | ||||||
HDFC Bank Ltd. (India) | 12,953,891 | 358,479 | ||||||
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 3,679,511 | 105,285 | ||||||
Housing Development Finance Corp., Ltd. (India) | 8,230,012 | 199,194 | ||||||
Itau Unibanco Holding SA Sponsored ADR (Brazil) | 10,815,100 | 118,750 | ||||||
Kasikornbank PCL (Thailand) | 12,420,475 | 83,725 | ||||||
Malayan Banking Bhd (Malaysia) | 30,457,300 | 72,050 | ||||||
Public Bank Bhd (Malaysia) | 13,597,000 | 82,137 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. (South Korea) | 493,739 | 126,411 | ||||||
United Overseas Bank Ltd. (Singapore) | 7,462,007 | 147,815 | ||||||
|
| |||||||
1,821,762 | ||||||||
|
|
See Notes to Financial Statements
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
SHARES | VALUE | |||||||
Industrials—1.8% | ||||||||
Airports of Thailand PCL (Thailand) | 14,419,400 | $ | 29,204 | |||||
CCR S.A. (Brazil) | 8,795,543 | 18,273 | ||||||
Grupo Aeroportuario del Pacifico SAB de C.V. Class B (Mexico) | 7,717,322 | 84,431 | ||||||
|
| |||||||
131,908 | ||||||||
|
| |||||||
Information Technology—23.9% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 1,984,386 | 326,947 | ||||||
Autohome, Inc. ADR (China) | 1,181,481 | 91,459 | ||||||
Cielo S.A. (Brazil) | 27,294,800 | 82,455 | ||||||
HCL Technologies Ltd. (India) | 10,711,813 | 160,744 | ||||||
NetEase, Inc. ADR (China) | 639,923 | 146,062 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 31,749,016 | 272,954 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 2,848,052 | 125,770 | ||||||
Tata Consultancy Services Ltd. (India) | 9,133,686 | 275,145 | ||||||
Tencent Holdings Ltd. (China) | 6,415,330 | 264,862 | ||||||
|
| |||||||
1,746,398 | ||||||||
|
| |||||||
Real Estate—1.1% | ||||||||
Link REIT (Hong Kong) | 7,973,517 | 78,479 | ||||||
|
| |||||||
Telecommunication Services—3.8% | ||||||||
Bharti Infratel Ltd. (India) | 21,194,460 | 76,881 | ||||||
Telekomunikasi Indonesia Persero Tbk PT (Indonesia) | 822,870,865 | 201,003 | ||||||
|
| |||||||
277,884 | ||||||||
|
|
SHARES | VALUE | |||||||
Utilities—3.9% | ||||||||
Equatorial Energia S.A. (Brazil) | 2,871,378 | $ | 40,775 | |||||
Infraestructura Energetica Nova SAB de C.V. (Mexico) | 20,083,663 | 99,807 | ||||||
Power Grid Corp. of India Ltd. (India) | 54,652,974 | 142,042 | ||||||
|
| |||||||
282,624 | ||||||||
TOTAL COMMON STOCKS (Identified Cost $6,666,548) |
| 7,054,268 | ||||||
WARRANTS—2.4% | ||||||||
Consumer Staples—2.4% | ||||||||
Inner Mongolia Yili Industrial Group Co., Ltd. (China) | 18,899,836 | 70,459 | ||||||
Wuliangye Yibin Co., Ltd. (China) | 10,096,673 | 99,664 | ||||||
TOTAL WARRANTS (Identified Cost $187,215) |
| 170,123 | ||||||
TOTAL LONG-TERM INVESTMENTS—99.1% |
| |||||||
(Identified Cost $6,853,763) |
| 7,224,391 | ||||||
TOTAL INVESTMENTS—99.1% (Identified Cost $6,853,763) | 7,224,391 | |||||||
Other assets and liabilities, net—0.9% |
| 69,080 | ||||||
|
| |||||||
NET ASSETS—100.0% | $7,293,471 | |||||||
|
|
Abbreviations:
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Footnote Legend:
(1) | Non-income producing. |
See Notes to Financial Statements
11
Table of Contents
VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
SEPTEMBER 30, 2018
($ reported in thousands)
Country Weightings (Unaudited)† | ||||
India | 20 | % | ||
China | 17 | |||
Brazil | 10 | |||
Mexico | 10 | |||
Netherlands | 7 | |||
South Korea | 6 | |||
Taiwan | 6 | |||
Other | 24 | |||
Total | 100 | % |
† | % of total investments as of September 30, 2018. |
The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
Total Value at September 30, 2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | ||||||||||
Equity Securities: |
| |||||||||||
Common Stocks | $ | 7,054,268 | $ | 7,054,268 | $ | — | ||||||
Warrants | 170,123 | — | 170,123 | |||||||||
|
|
|
|
|
| |||||||
Total Investments | $ | 7,224,391 | $ | 7,054,268 | $ | 170,123 | ||||||
|
|
|
|
|
|
There were no securities valued using significant unobservable inputs (Level 3) at September 30, 2018.
There were no transfers into or out of Level 3 related to securities held at September 30, 2018.
For information regarding the abbreviations, see the Key Investment Terms starting on page 4.
See Notes to Financial Statements
12
Table of Contents
VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2018
(Reported in thousands except shares and per share amounts)
Assets | ||||
Investment in securities at value(1) | $ | 7,224,391 | ||
Cash | 93,481 | |||
Receivables | ||||
Investment securities sold | 13,650 | |||
Fund shares sold | 12,324 | |||
Dividends and interest receivable | 8,503 | |||
Tax reclaims | 1,631 | |||
Prepaid expenses | 87 | |||
Prepaid trustee retainer | 143 | |||
Other assets | 422 | |||
|
| |||
Total assets | 7,354,632 | |||
|
| |||
Liabilities | ||||
Payables | ||||
Fund shares repurchased | 18,183 | |||
Investment securities purchased | 18,669 | |||
Unrealized capital gains tax payable | 14,245 | |||
Investment advisory fees | 5,726 | |||
Distribution and service fees | 265 | |||
Administration and accounting fees | 617 | |||
Transfer agent and sub-transfer agent fees and expenses | 1,742 | |||
Professional fees | 52 | |||
Trustee deferred compensation plan | 422 | |||
Other accrued expenses | 1,240 | |||
|
| |||
Total liabilities | 61,161 | |||
|
| |||
Net Assets | $ | 7,293,471 | ||
|
| |||
Net Assets Consist of: | ||||
Common stock $0.001 par value | $ | 677 | ||
Capital paid in on shares of beneficial interest | 6,777,516 | |||
Accumulated undistributed net investment income (loss) | 60,938 | |||
Accumulated undistributed net realized gain (loss) | 98,044 | |||
Net unrealized appreciation (depreciation) on investments | 356,296 | |||
|
| |||
Net Assets | $ | 7,293,471 | ||
|
| |||
Net Assets: | ||||
Class A | $ | 550,117 | ||
Class C | $ | 182,813 | ||
Class I | $ | 6,434,732 | ||
Class R6 | $ | 125,809 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | ||||
Class A | 52,707,731 | |||
Class C | 18,134,520 | |||
Class I | 594,842,907 | |||
Class R6 | 11,631,234 | |||
Net Asset Value and Redemption Price Per Share: | ||||
Class A | $ | 10.44 | ||
Class C | $ | 10.08 | ||
Class I | $ | 10.82 | ||
Class R6 | $ | 10.82 | ||
Offering Price Per Share (NAV/(1-5.75%)): | ||||
Class A | $ | 11.08 | ||
(1) Investment in securities at cost | $ | 6,853,763 |
See Notes to Financial Statements
13
Table of Contents
VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
STATEMENT OF OPERATIONS
YEAR ENDED SEPTEMBER 30, 2018
($ reported in thousands)
Investment Income | ||||
Dividends | $ | 192,756 | ||
Interest | 10 | |||
Foreign taxes withheld | (14,672 | ) | ||
|
| |||
Total investment income | 178,094 | |||
|
| |||
Expenses | ||||
Investment advisory fees | 79,888 | |||
Distribution and service fees, Class A | 1,694 | |||
Distribution and service fees, Class C | 2,157 | |||
Administration and accounting fees | 8,804 | |||
Transfer agent fees and expenses | 3,686 | |||
Sub-transfer agent fees and expenses, Class A | 1,225 | |||
Sub-transfer agent fees and expenses, Class C | 214 | |||
Sub-transfer agent fees and expenses, Class I | 5,610 | |||
Registration fees | 290 | |||
Printing fees and expenses | 517 | |||
Custodian fees | 1,519 | |||
Professional fees | 196 | |||
Trustees’ fees and expenses | 637 | |||
Miscellaneous expenses | 476 | |||
|
| |||
Total expenses | 106,913 | |||
Low balance account fees | — | (1) | ||
|
| |||
Net expenses | 106,913 | |||
|
| |||
Net investment income (loss) | 71,181 | |||
|
| |||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||
Net realized gain (loss) from: | ||||
Investments | 598,189 | |||
Foreign currency transactions | (4,616 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments(2) | (1,087,278 | ) | ||
Foreign currency transactions | 20 | |||
|
| |||
Net realized and unrealized gain (loss) on investments | (493,685 | ) | ||
|
| |||
Net increase (decrease) in net assets resulting from operations | $ | (422,504 | ) | |
|
|
(1) | Amount is less than $500. |
(2) | Net of foreign capital gains taxes of $(14,325). |
See Notes to Financial Statements
14
Table of Contents
VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
($ reported in thousands)
Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||
Increase (Decrease) in Net Assets Resulting From Operations | ||||||||
Net investment income (loss) | $ | 71,181 | $ | 49,438 | ||||
Net realized gain (loss) | 593,573 | 288,101 | ||||||
Net change in unrealized appreciation (depreciation) | (1,087,258 | ) | 561,473 | |||||
|
|
|
| |||||
Increase (decrease) in net assets resulting from operations | (422,504 | ) | 899,012 | |||||
|
|
|
| |||||
Dividends and Distributions to Shareholders: | ||||||||
Net Investment Income: | ||||||||
Class A | (1,486 | ) | (4,943 | ) | ||||
Class I | (29,806 | ) | (46,315 | ) | ||||
Class R6 | (580 | ) | (765 | ) | ||||
|
|
|
| |||||
Dividends to shareholders | (31,872 | ) | (52,023 | ) | ||||
|
|
|
| |||||
Change in Net Assets From Capital Transactions | ||||||||
Sale of shares: | ||||||||
Class A (14,839 and 28,775 shares, respectively) | 170,071 | 281,046 | ||||||
Class C (2,402 and 3,504 shares, respectively) | 26,872 | 34,237 | ||||||
Class I (139,649 and 242,690 shares, respectively) | 1,645,535 | 2,506,746 | ||||||
Class R6 (5,411 and 9,986 shares, respectively) | 64,324 | 99,724 | ||||||
Reinvestment of distributions: | ||||||||
Class A (112 and 488 shares, respectively) | 1,286 | 4,491 | ||||||
Class I (2,299 and 4,284 shares, respectively) | 27,363 | 42,235 | ||||||
Class R6 (48 and 74 shares, respectively) | 573 | 748 | ||||||
Shares repurchased: | ||||||||
Class A (25,904 and 74,887 shares, respectively) | (292,626 | ) | (759,735 | ) | ||||
Class C (4,197 and 6,657 shares, respectively) | (45,703 | ) | (62,016 | ) | ||||
Class I (173,663 and 227,089 shares, respectively) | (2,039,773 | ) | (2,276,706 | ) | ||||
Class R6 (4,836 and 3,461 shares, respectively) | (56,887 | ) | (34,879 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets from capital transactions | (498,965 | ) | (164,109 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | (953,341 | ) | 682,880 | |||||
Net Assets | ||||||||
Beginning of period | 8,246,812 | 7,563,932 | ||||||
|
|
|
| |||||
End of period | $ | 7,293,471 | $ | 8,246,812 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income (loss) at end of period | $ | 60,938 | $ | 26,246 |
See Notes to Financial Statements
15
Table of Contents
VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain/(Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.11 | 0.06 | (0.71 | ) | (0.65 | ) | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||||
10/1/16 to 9/30/17 | 9.90 | 0.05 | 1.21 | 1.26 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||||||
1/1/16 to 9/30/16(10) | 8.68 | 0.03 | 1.19 | 1.22 | — | — | — | ||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 9.58 | 0.07 | (0.91 | ) | (0.84 | ) | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||||||||
1/1/14 to 12/31/14 | 9.26 | 0.07 | 0.42 | 0.49 | (0.06 | ) | (0.11 | ) | (0.17 | ) | |||||||||||||||||||||||||
1/1/13 to 12/31/13 | 10.00 | 0.08 | (0.74 | ) | (0.66 | ) | (0.08 | ) | — | (4) | (0.08 | ) | |||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 10.77 | (0.01 | ) | (0.68 | ) | (0.69 | ) | — | — | — | ||||||||||||||||||||||||
10/1/16 to 9/30/17 | 9.63 | (0.03 | ) | 1.17 | 1.14 | — | — | — | |||||||||||||||||||||||||||
1/1/16 to 9/30/16(10) | 8.49 | (0.02 | ) | 1.16 | 1.14 | — | — | — | |||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 9.37 | — | (0.88 | ) | (0.88 | ) | — | — | — | ||||||||||||||||||||||||||
1/1/14 to 12/31/14 | 9.08 | (0.01 | ) | 0.42 | 0.41 | (0.01 | ) | (0.11 | ) | (0.12 | ) | ||||||||||||||||||||||||
1/1/13 to 12/31/13 | 9.82 | 0.01 | (0.72 | ) | (0.71 | ) | (0.03 | ) | — | (4) | (0.03 | ) |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
16
Table of Contents
VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(9) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(8) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||
(0.67 | ) | $ | 10.44 | (5.83 | )%(11) | $ | 550,117 | 1.58 | % | 1.58 | % | 0.54 | % | 38 | % | ||||||||||||||||||||||||
1.21 | 11.11 | 12.81 | 706,974 | 1.60 | 1.61 | 0.46 | 27 | ||||||||||||||||||||||||||||||||
1.22 | 9.90 | 14.06 | 1,082,242 | 1.59 | (5) | 1.60 | 0.40 | 25 | |||||||||||||||||||||||||||||||
(0.90 | ) | 8.68 | (8.77 | ) | 745,947 | 1.56 | 1.56 | 0.73 | 27 | ||||||||||||||||||||||||||||||
0.32 | 9.58 | 5.23 | 770,941 | 1.55 | 1.55 | 0.71 | 28 | ||||||||||||||||||||||||||||||||
(0.74 | ) | 9.26 | (6.58 | ) | 1,097,753 | 1.58 | 1.58 | 0.79 | 31 | ||||||||||||||||||||||||||||||
(0.69 | ) | $ | 10.08 | (6.41 | )% | $ | 182,813 | 2.25 | % | 2.25 | % | (0.12 | )% | 38 | % | ||||||||||||||||||||||||
1.14 | 10.77 | 11.84 | 214,738 | 2.34 | 2.35 | (0.30 | ) | 27 | |||||||||||||||||||||||||||||||
1.14 | 9.63 | 13.56 | 222,221 | 2.34 | (5) | 2.35 | (0.31 | ) | 25 | ||||||||||||||||||||||||||||||
(0.88 | ) | 8.49 | (9.50 | ) | 223,303 | 2.31 | 2.31 | (0.01 | ) | 27 | |||||||||||||||||||||||||||||
0.29 | 9.37 | 4.40 | 228,652 | 2.30 | 2.30 | (0.13 | ) | 28 | |||||||||||||||||||||||||||||||
(0.74 | ) | 9.08 | (7.21 | ) | 217,034 | 2.33 | 2.33 | 0.07 | 31 |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
17
Table of Contents
VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain/(Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.49 | 0.11 | (0.73 | ) | (0.62 | ) | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.24 | 0.07 | 1.26 | 1.33 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||||||
1/1/16 to 9/30/16(10) | 8.96 | 0.04 | 1.24 | 1.28 | — | — | — | ||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 9.89 | 0.10 | (0.95 | ) | (0.85 | ) | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||||
1/1/14 to 12/31/14 | 9.55 | 0.09 | 0.45 | 0.54 | (0.09 | ) | (0.11 | ) | (0.20 | ) | |||||||||||||||||||||||||
1/1/13 to 12/31/13 | 10.31 | 0.11 | (0.76 | ) | (0.65 | ) | (0.11 | ) | — | (4) | (0.11 | ) | |||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||
10/1/17 to 9/30/18 | $ | 11.48 | 0.12 | (0.73 | ) | (0.61 | ) | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||||||
10/1/16 to 9/30/17 | 10.25 | 0.10 | 1.23 | 1.33 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||||||
1/1/16 to 9/30/16(10) | 8.96 | 0.05 | 1.24 | 1.29 | — | — | — | ||||||||||||||||||||||||||||
1/1/15 to 12/31/15 | 9.89 | 0.08 | (0.91 | ) | (0.83 | ) | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||||
11/12/14(6) to 12/31/14 | 10.42 | (0.01 | ) | (0.45 | ) | (0.46 | ) | (0.06 | ) | (0.01 | ) | (0.07 | ) |
The footnote legend is at the end of the Financial Highlights.
See Notes to Financial Statements
18
Table of Contents
VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(9) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3)(8) | Ratio of Gross Expenses to Average Net Assets(3)(8) | Ratio of Net Investment Income (Loss) to Average Net Assets(8) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||
(0.67 | ) | $ | 10.82 | (5.46 | )% | $ | 6,434,732 | 1.23 | % | 1.23 | % | 0.91 | % | 38 | % | ||||||||||||||||||||||||
1.25 | 11.49 | 13.10 | 7,198,678 | 1.33 | 1.34 | 0.72 | 27 | ||||||||||||||||||||||||||||||||
1.28 | 10.24 | 14.29 | 6,214,272 | 1.33 | (5) | 1.34 | 0.64 | 25 | |||||||||||||||||||||||||||||||
(0.93 | ) | 8.96 | (8.55 | ) | 8,726,303 | 1.31 | 1.32 | 0.99 | 27 | ||||||||||||||||||||||||||||||
0.34 | 9.89 | 5.54 | 7,572,633 | 1.30 | 1.35 | 0.85 | 28 | ||||||||||||||||||||||||||||||||
(0.76 | ) | 9.55 | (6.32 | ) | 6,357,443 | 1.33 | 1.38 | 1.06 | 31 | ||||||||||||||||||||||||||||||
(0.66 | ) | $ | 10.82 | (5.34 | )% | $ | 125,809 | 1.15 | % | 1.15 | % | 1.01 | % | 38 | % | ||||||||||||||||||||||||
1.23 | 11.48 | 13.15 | 126,422 | 1.20 | 1.21 | 0.92 | 27 | ||||||||||||||||||||||||||||||||
1.29 | 10.25 | 14.40 | 45,197 | 1.21 | (5) | 1.22 | 0.72 | 25 | |||||||||||||||||||||||||||||||
(0.93 | ) | 8.96 | (8.44 | ) | 34,379 | 1.21 | 1.21 | 0.90 | 27 | ||||||||||||||||||||||||||||||
(0.53 | ) | 9.89 | (4.60 | ) | 95 | 1.24 | 1.24 | (0.41 | ) | 28 | (7) |
Footnote Legend:
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(4) | Amount is less than $0.005 per share. |
(5) | Net expense ratios include extraordinary proxy expenses. |
(6) | Inception date. |
(7) | Portfolio Turnover is representative of the Fund for the entire year ended December 31, 2014. |
(8) | Annualized for periods less than one year. |
(9) | Not annualized for periods less than one year. |
(10) | The Fund changed its fiscal year end to September 30, during the period. |
(11) | Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes, and as such, the net asset values for shareholder transactions and the returns based on those net asset values may differ from the net asset values and returns reported in the management’s discussion of Fund performance. |
See Notes to Financial Statements
19
Table of Contents
VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2018
Note 1. Organization
Virtus Opportunities Trust (the “Trust”) is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
As of the date of this report 24 funds of the Trust are offered for sale of which the Vontobel Emerging Markets Opportunities Fund (the “Fund”) is reported in this annual report. The Fund’s investment objective is outlined in the Fund Summary Page. There is no guarantee that the Fund will achieve its objective.
The Fund offers Class A shares, Class C shares, Class I shares, and Class R6 shares.
Class A shares are sold with a front-end sales charge of up to 5.75% with some exceptions. Generally, Class A shares are not subject to any charges by the Fund when redeemed; however, a 1% contingent deferred sales charge (“CDSC”) may be imposed on certain redemptions made within a certain period following purchases on which a finder’s fee has been paid. The period for which the CDSC applies for the Fund is 18 months. The CDSC period begins on the last day of the month preceding the month in which the purchase was made.
Class C shares are generally sold with a 1% CDSC, applicable if redeemed within one year of purchase. Class I shares and Class R6 shares are sold without a front-end sales charge or CDSC.
Class R6 shares are available only to the following investors without a minimum initial investment or minimum additional purchases: certain employer-sponsored retirement plans, including Section 401(k), 403(b) and 457 plans, profit-sharing plans, money purchase pension plans, and defined benefit plans and nonqualified deferred compensation plans, in each case provided that plan level or omnibus accounts are held on the books of the Fund. Other institutional investors may be permitted to purchase Class R6 shares subject to the Fund’s determination of eligibility and may be subject to a minimum initial investment requirement. Class R6 shares do not carry sales commissions or pay Rule 12b-1 fees. No compensation, administrative payments, sub-transfer agency payments or service payments are paid to brokers or other entities from Fund assets or the Fund’s distributor’s or an affiliate’s resources on sales of or investments in Class R6 shares.
The Fund may impose an annual fee on accounts having balances of less than $2,500. The small account fee may be waived in certain circumstances, as disclosed in the prospectuses and/or statements of additional information. The fees collected will be used to offset certain expenses of the Fund. These fees are reflected as “Low balance account fees” in the Fund’s Statement of Operations for the period, as applicable.
Each class of shares has identical voting, dividend, liquidation and other rights and the same terms and conditions, except that each class bears any expenses attributable specifically to that class (“class-specific expenses”) and has exclusive voting rights with respect to any Rule 12b-1 and/or shareholder service plan (“12b-1 Plan”) approved by the Board. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. Class-specific expenses may include shareholder servicing fees, sub-transfer agency fees, and fees under a 12b-1 Plan, as well as certain other expenses as designated by the Fund’s Treasurer and approved by the Board. Investment income, common operating expenses and realized and unrealized gains and losses of the Fund are borne pro-rata by the holders of each class of shares.
20
Table of Contents
VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Note 2. Significant Accounting Policies
The Trust is an investment company that follows the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to Investment Companies. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be significant.
A. | Security Valuation |
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• Level 1 – | quoted prices in active markets for identical securities (security types generally include listed equities). |
• Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• Level 3 – | prices determined using significant unobservable inputs (including the Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, ETFs, and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds.
Dividend income from REIT investments is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
C. | Income Taxes |
The Fund is treated as a separate taxable entity. It is the intention of the Fund to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made.
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests.
Management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of September 30, 2018, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2015 forward (with limited exceptions).
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NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
D. | Distributions to Shareholders |
Distributions are recorded by the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP.
E. | Expenses |
Expenses incurred together by the Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each fund or an alternative allocation method can be more appropriately used.
In addition to the net annual operating expenses that the Fund bears directly, the shareholders of the Fund indirectly bear the Fund’s pro-rata expenses of any underlying mutual funds in which the Fund invests.
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Fund does not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
G. | Securities Lending |
($ reported in thousands)
The Fund may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities the Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. At September 30, 2018, the Fund did not have any securities on loan.
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Note 3. Investment Advisory Fees and Related Party Transactions
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Fund. The Adviser manages the Fund’s investment program and general operations of the Fund, including oversight of the Fund’s subadviser.
As compensation for its services to the Fund, the Adviser is entitled to a fee, which is calculated daily and paid monthly, based upon the following annual rates as a percentage of the average daily net assets of the Fund:
First $1 Billion | $1+ Billion | |||
1.00% | 0.95% |
B. | Subadviser |
The subadviser manages the investments of the Fund for which it is paid a fee by the Adviser. Vontobel Asset Management, Inc. (the “Subadviser”) is the subadviser to the Fund.
C. | Distributor |
($ reported in thousands)
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of the Fund’s shares. VP Distributors has advised the Fund that for the fiscal year (the “period”) ended September 30, 2018, it retained net commissions of $64 of Class A shares and CDSC of $21 and $13 for Class A shares and Class C shares, respectively.
In addition, the Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the annual rates as follows: 0.25% for Class A shares, and 1.00% for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan.
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply.
D. | Administrator and Transfer Agent |
($ reported in thousands)
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Fund.
For the period ended September 30, 2018, the Fund incurred administration fees in aggregate totaling $7,920 which are included in the Statement of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly.
For the period ended September 30, 2018, the Fund incurred transfer agent fees in aggregate totaling $10,604 which are included in the Statement of Operations within the line items “Transfer agent fees and expenses” and “Sub-transfer agent fees and
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
expenses.” A portion of these fees was paid to outside entities that also provide services to the Trust. The fees are calculated daily and paid monthly. The Transfer Agent may from time to time temporarily waive all or a portion of its transfer agent fees.
E. | Affiliated Shareholders |
($ reported in thousands)
At September 30, 2018, Virtus and its affiliates, and the retirement plans of Virtus and its affiliates, held shares of the Fund which may be redeemed at any time that aggregated to the following:
Shares | Aggregate Net Asset Value | |||||||
Class R6 Shares | 487,280 | $ | 5,272 |
F. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other Assets” on the Statement of Assets and Liabilities at September 30, 2018.
Note 4. Purchases and Sales of Securities
($ reported in thousands)
Purchases and sales of securities (excluding U.S. Government and agency securities and short-term securities) during the period ended September 30, 2018, were as follows:
Purchases | Sales | |||||||
$ | 3,052,429 | $ | 3,195,502 |
There were no purchases or sales of long-term U.S. Government and agency securities during the period ended September 30, 2018.
Note 5. Indemnifications
Under the Trust’s organizational documents, and in separate agreements between each Trustee and the Trust, its Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust and its funds. In addition, in the normal course of business, the Trust and the Fund enter into contracts that provide a variety of indemnifications to other parties. The Trust’s and/or the Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust or the Fund and that have not occurred. However, neither the Trust nor the Fund has had prior claims or losses pursuant to these arrangements, and they expect the risk of loss to be remote.
Note 6. Credit Risk and Asset Concentration
In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
disruptive effects on the market prices of these investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.
The Fund may invest a high percentage of its assets in specific sectors or countries of the market in the pursuit of its investment objectives. Fluctuations in these sectors of concentration may have a greater impact on the Fund, positive or negative, than if the Fund did not concentrate its investments in such sectors.
At September 30, 2018, the Fund held securities issued by various companies in specific sectors as detailed below:
Sector | Percentage of Total Investments | |||||
Consumer Staples | 30 | % | ||||
Financials | 25 |
Note 7. 10% Shareholders
As of September 30, 2018, the Fund had individual shareholder account(s) and/or omnibus shareholder account(s) (comprised of a group of individual shareholders), which individually amounted to more than 10% of the total shares outstanding of the Fund as detailed below:
% of Shares Outstanding | Number of Accounts | |||
45% | 2* |
*The | shareholders are not affiliated with Virtus. |
Note 8. Federal Income Tax Information
($ reported in thousands)
At September 30, 2018, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Fund were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$6,902,640 | $1,044,934 | $(723,183) | $321,751 |
For the period ended September 30, 2018, the Fund utilized losses of $463,566.
The components of distributable earnings on a tax basis (excluding unrealized appreciation (depreciation) which are disclosed in the beginning of this note) consist of the following:
Undistributed | Undistributed | |
$61,414 | $146,921 |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term gain distributions reported in the Statements of Changes in Net Assets, if any, are reported as ordinary income for federal tax purposes. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
The tax character of dividends and distributions paid during the periods ended September 30, 2018, and September 30, 2017, respectively was as follows:
Year Ended | ||||||||
2018 | 2017 | |||||||
Ordinary Income | $ | 31,872 | $ | 52,023 | ||||
|
|
|
| |||||
Total | $ | 31,872 | $ | 52,023 | ||||
|
|
|
|
For financial reporting purposes, book basis capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Permanent reclassifications can arise from differing treatment of certain income and gain transactions, nondeductible current year net operating losses, expiring capital loss carryovers and investments in passive foreign investment companies. The reclassifications have no impact on the net assets or NAV of the Fund. As of September 30, 2018, the Fund recorded reclassifications to increase (decrease) the accounts as listed below:
Capital Paid in | Undistributed | Accumulated | ||
$— | $(4,617) | $4,617 |
Note 9. Redemption Facility
($ reported in thousands)
On September 18, 2017, the Fund and certain other affiliated funds entered into a $150,000 unsecured line of credit (“Credit Agreement”). This Credit Agreement, as amended, is with a commercial bank that allows the Fund to borrow cash from the bank to manage large unexpected redemptions and trade fails, up to a limit of one-third of the Fund’s total net assets in accordance with the terms of the agreement. This Credit Agreement has a term of 364 days and has been renewed for a period up to March 14, 2019. Interest is charged at the higher of the LIBOR or the Federal Funds rate plus an additional percentage rate on the amount borrowed. Commitment fees are charged on the undrawn balance. The Fund and other affiliated funds that are parties are individually, and not jointly, liable for their particular advances, if any, under the line of credit. The lending bank has the ability to require repayment of outstanding borrowings under this Credit Agreement upon certain circumstances such as an event of default.
The Fund made no borrowings at any time during the period and did not have any outstanding borrowings under this Credit Agreement at September 30, 2018.
Note 10. Illiquid and Restricted Securities
Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment.
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
Restricted securities are not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.
The Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.
At September 30, 2018, the Fund did not hold any securities that were illiquid or restricted.
Note 11. Regulatory Matters and Litigation
From time to time, the Trust, the Fund’s Adviser and/or Subadviser and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker dealers and other laws and regulations affecting their products and other activities. At this time, the Adviser believes that the outcomes of such matters are not likely, either individually or in aggregate, to be material to these financial statements.
On February 20, 2015, a putative class action complaint (In re Virtus Investment Partners, Inc. Securities Litigation; formerly styled as Tom Cummins v. Virtus Investment Partners Inc., et al.) alleging violations of certain provisions of the federal securities laws was filed by an individual shareholder against Virtus and certain of its officers (the “defendants”) in the United States District Court for the Southern District of New York. On August 21, 2015, the lead plaintiff filed a Consolidated Class Action Complaint (the “Consolidated Complaint”) amending the originally filed complaint and adding the Trust as a defendant. The Consolidated Complaint was purportedly filed on behalf of all purchasers of Virtus common stock between January 25, 2013 and May 11, 2015 (the “Class Period”). The Consolidated Complaint alleges that during the Class Period, the defendants disseminated materially false and misleading statements and concealed material adverse facts relating to certain funds previously subadvised by F-Squared Investments, Inc. and/or its affiliates (“F-Squared”). The plaintiff seeks to recover unspecified damages. A motion to dismiss the Consolidated Complaint was filed on behalf of the defendants on October 21, 2015. Pursuant to an Opinion & Order (“Order”) filed on July 1, 2016, the court granted in part and denied in part the defendants’ motion to dismiss. Although the Order narrows the scope of the claims asserted and dismisses one of the defendants from the suit, claims under Sections 10(b) and 20(a) of the Exchange Act and Rule 10b-5 thereunder survive the motion. The remaining defendants filed an Answer to the Consolidated Complaint on August 5, 2016. Pursuant to an Opinion & Order filed on May 15, 2017, the plaintiff’s motion for class certification, was granted by the court. Discovery has since been completed. On October 6, 2017, defendants moved for summary judgment. Briefing on the motion for summary judgment was completed on December 22, 2017, and oral argument was held on January 18, 2018, where the Court reserved decision. Virtus and its affiliates, including the Adviser, believe that the suit is without merit. Nevertheless, on February 6, 2018, Virtus reached an agreement in principle with the plaintiffs, subject to Court approval, settling all claims in the litigation, in order to avoid the cost, distraction, disruption, and inherent litigation uncertainty. The Court gave its preliminary approval by order dated June 28, 2018, and a hearing for final approval was held on October 24, 2018, with no objections to the settlement presented. Upon approval by the Court, which Virtus believes is likely, the resolution of this matter will not have a material impact on the results of operations, cash flows or its consolidated financial condition for Virtus. Whether or not the settlement is
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
SEPTEMBER 30, 2018
approved by the Court, the Trust believes that the risk of loss to the Fund as a result of this suit is remote and the Adviser does not believe that the suit will have any impact on its ability to provide services to the Fund.
Note 12. Recent Accounting Pronouncement
In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”), ASU No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the policy for the timing of transfers between levels and the valuation process for Level 3 fair value measurements. For public companies, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years.
In August 2018, the SEC adopted amendments to Regulation S-X which are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the information provided to investors. The amendments include eliminating the requirement to: separately state book basis components of net assets on the Statement of Assets & Liabilities; separately state the sources of distributions paid (except tax return of capital distributions must still be separately disclosed) on the Statement of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statement of Changes in Net Assets. The compliance date for the amendments to Regulation S-X is for filings made with the SEC after November 5, 2018. The adoption will have no effect on the Fund’s net assets or results of operations.
Note 13. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were available for issuance and has determined that there are no subsequent events requiring recognition or disclosure in these financial statements.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Virtus Opportunities Trust and Shareholders of Virtus Vontobel Emerging Markets Opportunities Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Virtus Vontobel Emerging Markets Opportunities Fund (one of the funds constituting Virtus Opportunities Trust, hereafter referred to as the “Fund”) as of September 30, 2018, the related statement of operations for the year ended September 30, 2018, the statements of changes in net assets for each of the two years in the period ended September 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2018 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 20, 2018
We have served as the Virtus Mutual Funds’ auditor since at least 1977. We have not been able to determine the specific year we began serving as auditor.
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VONTOBEL EMERGING MARKETS OPPORTUNITIES FUND
TAX INFORMATION NOTICE (Unaudited)
SEPTEMBER 30, 2018
($ reported in thousands)
For the fiscal year ended September 30, 2018, the Fund makes the following disclosures for federal income tax purposes. Below is listed the percentage, or the maximum amount allowable, of its ordinary income dividends (“QDI”) to qualify for the lower tax rates applicable to individual shareholders, and the percentage of ordinary income dividends earned by the Fund which qualifies for the dividends received deduction (“DRD”) for corporate shareholders. The actual percentage of QDI and DRD for the calendar year will be designated in year-end tax statements. The Fund designates the amounts below as long-term capital gains dividends (“LTCG”) taxable at a 20% rate, or lower depending on the shareholder’s income ($ reported in thousands). LTCG amounts, if subsequently different, will be designated in the next annual report.
QDI | DRD | LTCG | ||
100% | 8% | $146,921 |
For the fiscal year ended September 30, 2018, the Fund recognized $185,653 (reported in thousands) of foreign source income on which the Fund paid foreign taxes of $14,672 (reported in thousands). This information is being furnished to you pursuant to notice requirements of Section 853(a) and 855(d) of the Internal Revenue Code, as amended, and the Treasury Regulations thereunder.
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Information pertaining to the Trustees and officers of the Trust as of the date of issuance of this report, is set forth below. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling (800) 243-4361.
The address of each individual, unless otherwise noted, is c/o Virtus Opportunities Trust, 100 Pearl Street, Hartford, CT 06103. There is no stated term of office for Trustees or officers of the Trust.
Independent Trustees
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex | Principal Occupation(s) Other Directorships Held by Trustee | |
Brown, Thomas J. YOB: 1945 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Variable Insurance Trust (8 portfolios); Director (since 2010), D’Youville Senior Care Center; and Director (since 2005), VALIC Company Funds (49 portfolios). | |
Burke, Donald C. YOB: 1960 Served Since: 2016 75 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014) closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). | |
Gelfenbien, Roger A. YOB: 1943 Served Since: 2016 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2000), Virtus Variable Insurance Trust (8 portfolios); and Director (1999 to 2017), USAllianz Variable Insurance Product Trust (42 portfolios). | |
Harris, Sidney E. YOB: 1949 Served Since: 2017 71 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University; Trustee (since 2017), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), KIPP Metro Atlanta; Trustee (since 1999) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (2012 to 2017), International University of the Grand Bassam; and Trustee (2011 to 2015), Genspring Family Offices, LLC. | |
Mallin, John R. YOB: 1950 Served Since: 2016 71 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm), Real Property Practice Group; and Member (since 2014), Counselors of Real Estate. Trustee (since 2016), Virtus Mutual Fund Family (60 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). | |
McClellan, Hassell H. YOB: 1945 Served Since: 2015 71 Portfolios | Retired (since 2013); and Professor (1984 to 2013), Wallace E. Carroll School of Management, Boston College. Chairperson of the Board (since 2017) and Trustee (since 2000), John Hancock Fund Complex (collectively, 227 portfolios); Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Mutual Fund Family (60 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). | |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 71 Portfolios | Retired (since 2013); and Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President Global Finance Transformation (2007 to 2009); Vice President and Controller (1999 to 2007), The Coca-Cola Company; Trustee (since 2017), Virtus Mutual Fund Family (60 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2014), Total System Services, Inc.; and Trustee (2005 to 2017), RidgeWorth Funds. |
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FUND MANAGEMENT TABLES (Continued)
Independent Trustees (Continued)
Name, Year of Birth, Length of Time Served and Number of Portfolios in Complex | Principal Occupation(s) Other Directorships Held by Trustee | |
McLoughlin, Philip YOB: 1946 Served Since: 1999 79 Portfolios | Retired. Director and Chairman (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Director and Chairman (since 2014) Duff & Phelps Select Energy MLP Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (since 1991) and Chairman (since 2010), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (60 portfolios). | |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 75 Portfolios | Retired. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (60 portfolios). | |
Oates, James M. YOB: 1946 Served Since: 2000 75 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). Director (since 2016), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2011), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (60 portfolios). | |
Segerson, Richard E. YOB: 1946 Served Since: 2000 71 Portfolios | Retired; and Managing Director (1998 to 2013), Northway Management Company. Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios) and Virtus Variable Insurance Trust (8 portfolios); and Trustee (since 1983), Virtus Mutual Fund Family (60 portfolios). |
Interested Trustee
Name, Year of Birth, Year Elected and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years and | |
Aylward, George R.* Trustee and President YOB: 1964 Elected: 2006 77 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions with Virtus affiliates (since 2005). Chairman and Trustee (since 2015), Virtus ETF Trust II (2 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (3 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (60 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
* | Mr. Aylward is an “interested person,” as defined in the 1940 Act, by reason of his position as President and Chief Executive Officer of Virtus Investment Partners, Inc. (“Virtus”), the ultimate parent company of the Adviser, and various positions with its affiliates, including the Adviser. |
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FUND MANAGEMENT TABLES (Continued)
Officers of the Trust Who Are Not Trustees
Name, Address and Year of Birth | Position(s) Held with Time Served | Principal Occupation(s) During Past 5 Years | ||
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2006). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Treasurer and Chief Financial Officer (since 2010), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Vice President and Assistant Treasurer (since 2011), Duff & Phelps Global Utility Income Fund Inc.; Director (since 2013), Virtus Global Funds, PLC; and Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust. | ||
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2013); Vice President (2005 to 2013); Chief Legal Officer, Counsel and Secretary (since 2005). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2005) with Virtus affiliates; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President ( 2013 to 2014), Vice President ( 2011 to 2013), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select Energy MLP Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
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FUND MANAGEMENT TABLES (Continued)
Officers of the Trust Who Are Not Trustees (Continued)
Name, Address and Year of Birth | Position(s) Held with Time Served | Principal Occupation(s) During Past 5 Years | ||
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2003) with Virtus affiliates; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2016) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc. and Virtus Global Dividend & Income Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. | ||
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017), Virtus Mutual Fund Family; Senior Vice President (since 2018), Virtus Closed-End Funds; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). | ||
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2008 to 2013). | Executive Vice President, Product Development (since 2009), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various senior officer positions (since 2006) with Virtus affiliates; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2014), Duff & Phelps Select Energy MLP Fund Inc.; Director (since 2013), Virtus Global Funds PLC; and Executive Vice President (since 2013), Virtus Alternative Solutions Trust. |
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VIRTUS OPPORTUNITIES TRUST
101 Munson Street
Greenfield, MA 01301
Trustees
Philip R. McLoughlin, Chairman
George R. Aylward
Thomas J. Brown
Donald C. Burke
Roger A. Gelfenbien
Sidney E. Harris
John R. Mallin
Hassell H. McClellan
Connie D. McDaniel
Geraldine M. McNamara
James M. Oates
Richard E. Segerson
Officers
George R. Aylward, President
Peter Batchelar, Senior Vice President
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer
Kevin J. Carr, Senior Vice President, Chief Legal Officer, Counsel and Secretary
Nancy J. Engberg, Senior Vice President and Chief Compliance Officer
Julia R. Short, Senior Vice President
Francis G. Waltman, Executive Vice President
Investment Adviser
Virtus Investment Advisers, Inc.
100 Pearl Street
Hartford, CT 06103-4506
Principal Underwriter
VP Distributors, LLC
100 Pearl St.
Hartford, CT 06103-4506
Administrator and Transfer Agent
Virtus Fund Services, LLC
100 Pearl Street
Hartford, CT 06103-4506
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286-1048
Independent Registered Public
Accounting Firm
PricewaterhouseCoopers LLP
2001 Market Street
Philadelphia, PA 19103-7042
How to Contact Us
Mutual Fund Services 1-800-243-1574
Adviser Consulting Group 1-800-243-4361
Website Virtus.com
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
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For more information about
Virtus Mutual Funds, please
call your financial representative,
contact us at 1-800-243-1574,
or visit Virtus.com.
8004 | 11-18 |
P.O. Box 9874
Providence, RI 02940-8074
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Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(b) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics described in Item 2(b) of the instructions for completion of Form N-CSR. |
(c) | The registrant has not granted any waivers, during the period covered by this report, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of the instructions for completion of this Item. |
Item 3. Audit Committee Financial Expert.
(a)(1) | The Registrant’s Board of Trustees has determined that the Registrant has an “audit committee financial expert” serving on its Audit Committee. |
(a)(2) | The Registrant’s Board of Trustees has determined that Donald C. Burke, Thomas J. Brown and Richard E. Segerson each possess the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert.” Each of Mr. Burke, Mr. Brown and Mr. Segerson is an “independent” trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR. |
(a)(3) | Not applicable. |
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Item 4. Principal Accountant Fees and Services.
● | Registrant may incorporate the following information by reference, if this information has been disclosed in the registrant’s definitive proxy statement or definitive information statement. The proxy statement or information statement must be filed no later than 120 days after the end of the fiscal year covered by the Annual Report. |
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $750,951 for 2017 and $473,550 for 2018. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $54,554 for 2017 and $74,539 for 2018. Such audit-related fees include the out of pocket expenses. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $97,100 for 2017 and $84,825 for 2018. |
“Tax Fees” are those primarily associated with review of the Trust’s tax provision and qualification as a regulated investment company (RIC) in connection with audits of the Trust’s financial statement, review of year-end distributions by the Fund to avoid excise tax for the Trust, periodic discussion with management on tax issues affecting the Trust, and reviewing and signing the Fund’s federal income returns.
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2017 and $0 for 2018. |
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The Virtus Opportunities Trust (the “Fund”) Board has adopted policies and procedures with regard to the pre-approval of services provided by PwC. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specific pre-approval by the Audit Committee. The Audit Committee must approve other non-audit services provided to the Fund and those non-audit services provided to the Fund’s Affiliated Service Providers that relate directly to the operations and financial reporting of the Fund. Certain of these non-audit services that the Audit Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent
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auditors may be approved by the Audit Committee without consideration on a specific case-by-case basis (“general pre-approval”).
The Audit Committee has determined that Thomas J. Brown, Chair of the Audit Committee, may provide pre-approval for such services that meet the above requirements in the event such approval is sought between regularly scheduled meetings. In any event, the Audit Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person Audit Committee meeting.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) | 0% |
(c) | 0% |
(d) | N/A |
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $443,546 for 2017 and $820,610 for 2018. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
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(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
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Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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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) Virtus Opportunities Trust | ||||
By (Signature and Title)* /s/ George R. Aylward | ||||
George R. Aylward, President | ||||
(principal executive officer) | ||||
Date 12/7/2018 |
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/ George R. Aylward | ||||
George R. Aylward, President | ||||
(principal executive officer) | ||||
Date 12/7/2018 |
By (Signature and Title)* /s/ W. Patrick Bradley |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, |
(principal financial officer) |
Date 12/7/2018 |
* Print the name and title of each signing officer under his or her signature.