UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-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
One Financial Plaza
Hartford, CT 06103-2608
(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, 2019
FormN-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 Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-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.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Virtus Newfleet Core Plus Bond Fund (f/k/a: Virtus Newfleet Bond Fund) |
Virtus Newfleet High Yield Fund* |
Virtus Newfleet Low Duration Core Plus Bond Fund (f/k/a: 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 |
Message to Shareholders | 1 | |
Disclosure of Fund Expenses | 2 | |
Key Investment Terms | 4 | |
Fund | Fund Summary | Schedule of Investments |
Virtus Newfleet Core Plus Bond Fund (“Newfleet Core Plus Bond Fund”) | 6 | 23 |
Virtus Newfleet High Yield Fund (“Newfleet High Yield Fund”) | 8 | 32 |
Virtus Newfleet Low Duration Core Plus Bond Fund (“Newfleet Low Duration Core Plus Bond Fund”) | 11 | 39 |
Virtus Newfleet Multi-Sector Intermediate Bond Fund (“Newfleet Multi-Sector Intermediate Bond Fund”) | 13 | 51 |
Virtus Newfleet Senior Floating Rate Fund (“Newfleet Senior Floating Rate Fund”) | 16 | 63 |
Virtus Newfleet Tax-Exempt Bond Fund (“Newfleet Tax-Exempt Bond Fund”) | 20 | 71 |
Statements of Assets and Liabilities | 76 | |
Statements of Operations | 80 | |
Statements of Changes in Net Assets | 82 | |
Financial Highlights | 85 | |
Notes to Financial Statements | 90 | |
Report of Independent Registered Public Accounting Firm | 104 | |
Tax Information Notice | 105 | |
Fund Management Tables | 106 |
President, Virtus Funds
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Newfleet Core Plus Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 1,056.34 | 0.85 % | $ 4.38 | ||||
Class C | 1,000.00 | 1,051.48 | 1.60 | 8.23 | ||||
Class I | 1,000.00 | 1,056.95 | 0.60 | 3.09 | ||||
Class R6 | 1,000.00 | 1,058.50 | 0.48 | 2.48 | ||||
Newfleet High Yield Fund | ||||||||
Class A | 1,000.00 | 1,037.74 | 1.00 | 5.11 | ||||
Class C | 1,000.00 | 1,034.09 | 1.75 | 8.92 | ||||
Class I | 1,000.00 | 1,039.05 | 0.75 | 3.83 | ||||
Class R6 | 1,000.00 | 1,039.27 | 0.69 | 3.53 | ||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||
Class A | 1,000.00 | 1,025.64 | 0.75 | 3.81 | ||||
Class C | 1,000.00 | 1,022.76 | 1.50 | 7.61 | ||||
Class I | 1,000.00 | 1,026.93 | 0.50 | 2.54 | ||||
Class R6 | 1,000.00 | 1,028.27 | 0.43 | 2.19 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||
Class A | 1,000.00 | 1,040.39 | 0.99 | 5.06 | ||||
Class C | 1,000.00 | 1,036.02 | 1.74 | 8.88 | ||||
Class I | 1,000.00 | 1,041.07 | 0.74 | 3.79 | ||||
Class R6 | 1,000.00 | 1,042.04 | 0.60 | 3.07 | ||||
Newfleet Senior Floating Rate Fund | ||||||||
Class A | 1,000.00 | 1,021.29 | 1.05 | 5.32 | ||||
Class C | 1,000.00 | 1,017.47 | 1.80 | 9.10 | ||||
Class I | 1,000.00 | 1,022.55 | 0.80 | 4.06 | ||||
Class R6 | 1,000.00 | 1,024.39 | 0.66 | 3.35 | ||||
Newfleet Tax-Exempt Bond Fund | ||||||||
Class A | 1,000.00 | 1,033.66 | 0.85 | 4.33 | ||||
Class C | 1,000.00 | 1,029.79 | 1.60 | 8.14 | ||||
Class I | 1,000.00 | 1,034.95 | 0.60 | 3.06 |
* | 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. |
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Newfleet Core Plus 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 | ||||
Class R6 | 1,000.00 | 1,022.66 | 0.48 | 2.43 | ||||
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 Core Plus Bond 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 | ||||
Class R6 | 1,000.00 | 1,022.91 | 0.43 | 2.18 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||
Class A | 1,000.00 | 1,020.10 | 0.99 | 5.01 | ||||
Class C | 1,000.00 | 1,016.34 | 1.74 | 8.80 | ||||
Class I | 1,000.00 | 1,021.36 | 0.74 | 3.75 | ||||
Class R6 | 1,000.00 | 1,022.06 | 0.60 | 3.04 | ||||
Newfleet Senior Floating Rate Fund | ||||||||
Class A | 1,000.00 | 1,019.80 | 1.05 | 5.32 | ||||
Class C | 1,000.00 | 1,016.04 | 1.80 | 9.10 | ||||
Class I | 1,000.00 | 1,021.06 | 0.80 | 4.05 | ||||
Class R6 | 1,000.00 | 1,021.76 | 0.66 | 3.35 | ||||
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. |
September 30, 2019
Ticker Symbols: |
Class A: SAVAX |
Class C: SAVCK |
Class I: SAVYX |
Class R6: VBFRX |
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, 2019, the Fund’s Class A shares at NAV returned 9.64%, Class C shares at NAV returned 8.78%, Class I shares at NAV returned 9.90%, and Class R6 shares at NAV returned 10.03%†. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, which serves as both the Fund’s broad-based and style-specific benchmark index appropriate for comparison, returned 10.30%. |
Corporate Bonds and Notes | 44% | |
Financials | 17% | |
Energy | 4 | |
Materials | 3 | |
All other Corporate Bonds and Notes | 20 | |
Mortgage-Backed Securities | 26 | |
Asset-Backed Securities | 11 | |
U.S. Government Securities | 9 | |
Leveraged Loans | 5 | |
Municipal Bonds | 3 | |
Other | 2 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 9.64 % | 3.41 % | 4.51 % | — % | — | |||||||
Class A shares at POP3,4 | 5.53 | 2.62 | 4.11 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 8.78 | 2.63 | 3.73 | — | — | |||||||
Class I shares at NAV2 | 9.90 | 3.69 | 4.78 | — | — | |||||||
Class R6 shares at NAV2 | 10.03 5 | — | — | 4.44 | 11/3/16 | |||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 10.30 | 3.38 | 3.75 | 3.286 | — | |||||||
Fund Expense Ratios7: Class A shares: Gross 1.14%, Net 0.87%; Class C shares: Gross 1.89%, Net 1.62%; Class I shares: Gross 0.86%, Net 0.62%; Class R6 shares: Gross 0.81%, 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 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 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 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 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 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: PHCHX |
Class C: PGHCX |
Class I: PHCIX |
Class R6: VRHYX |
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, 2019, the Fund’s Class A shares at NAV returned 4.99%, Class C shares at NAV returned 3.94%, Class I shares at NAV returned 5.25%, and Class R6 shares at NAV returned 5.30%. For the same period, the Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index, which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned 6.35%. |
Corporate Bonds and Notes | 84% | |
Communication Services | 14% | |
Consumer Discretionary | 13 | |
Materials | 10 | |
All other Corporate Bonds and Notes | 47 | |
Leveraged Loans | 9 | |
Securities Lending Collateral | 4 | |
Other | 3 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 4.99 % | 4.30 % | 6.74 % | — % | — | |||||||
Class A shares at POP3,4 | 1.05 | 3.50 | 6.33 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 3.94 | 3.50 | 5.91 | — | — | |||||||
Class I shares at NAV2 | 5.25 | 4.55 | — | 5.49 | 8/8/12 | |||||||
Class R6 shares at NAV2 | 5.30 | — | — | 5.60 | 11/3/16 | |||||||
Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index | 6.35 | 5.38 | 7.92 | —5 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 1.35%, Net 1.01%; Class C shares: Gross 2.09%, Net 1.76%; Class I shares: Gross 1.15%, Net 0.76%; Class R6 shares: Gross 1.01%, 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 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 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 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 6.04% for the inception date of Class I shares and 6.40% for 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 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: HIMXZX |
Class C: PCMZX |
Class I: HIBIX |
Class R6: VLDRX |
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, 2019, the Fund’s Class A shares at NAV returned 4.92%†, Class C shares at NAV returned 4.14%†, Class I shares at NAV returned 5.09%, and Class R6 shares at NAV from December 19, 2018 (inception date) through September 30, 2019, returned 5.08%*. For the fiscal year ended September 30, 2019, the Newfleet Low Duration Core Plus Linked Benchmark returned 6.02%, and the ICE BofA Merrill Lynch 1-5 Year Corporate & Government Bond Index returned 6.02%. |
* Returns less than 1 year are not annualized.
Mortgage-Backed Securities | 37% | |
Asset-Backed Securities | 31 | |
Corporate Bonds and Notes | 21 | |
Financials | 8% | |
Utilities | 2 | |
Energy | 2 | |
All other Corporate Bonds and Notes | 9 | |
U.S. Government Securities | 4 | |
Leveraged Loans | 3 | |
Short-Term Investment | 2 | |
Other (includes securities lending collateral) | 2 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 4.92 %3 | 2.15 % | 3.02 % | — % | — | |||||||
Class A shares at POP4,5 | 2.56 | 1.68 | 2.79 | — | — | |||||||
Class C shares at NAV2 and with CDSC5 | 4.14 3 | 1.38 | 2.25 | — | — | |||||||
Class I shares at NAV2 | 5.09 | 2.40 | 3.27 | — | — | |||||||
Class R6 shares at NAV2 | — | — | — | 5.08 | 12/19/18 | |||||||
Newfleet Low Duration Core Plus Linked Benchmark | 6.02 | 2.25 | 2.83 | 4.946 | — | |||||||
ICE BofA Merrill Lynch 1-5 Year Corporate & Government Bond Index | 6.02 | 2.05 | 2.18 | 4.946 | — | |||||||
Fund Expense Ratios7: Class A shares: Gross 0.94%, Net 0.75%; Class C shares: Gross 1.67%, Net 1.50%; Class I shares: Gross 0.68%, Net 0.50%; Class R6 shares: Gross 0.61%, Net 0.43%. |
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 | 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. |
4 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 2.25% sales charge. |
5 | “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 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. |
6 | The since inception index return is 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 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: NAMFX |
Class C: NCMFX |
Class I: VMFIX |
Class R6: VMFRX |
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, 2019, the Fund’s Class A shares at NAV returned 6.43%, Class C shares at NAV returned 5.57%, Class I shares at NAV returned 6.57%, and Class R6 shares at NAV returned 6.77%. 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 10.30%. |
Corporate Bonds and Notes | 47% | |
Financials | 10% | |
Energy | 8 | |
Industrials | 5 | |
All other Corporate Bonds and Notes | 24 | |
Mortgage-Backed Securities | 21 | |
Leveraged Loans | 10 | |
Asset-Backed Securities | 8 | |
Foreign Government Securities | 8 | |
U.S. Government Securities | 3 | |
Preferred Stocks | 2 | |
Other (includes securities lending collateral) | 1 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 6.43 % | 3.62 % | 5.80 % | — % | — | |||||||
Class A shares at POP3,4 | 2.44 | 2.83 | 5.40 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 5.57 | 2.83 | 5.01 | — | — | |||||||
Class I shares at NAV2 | 6.57 | 3.86 | — | 6.07 | 10/1/09 | |||||||
Class R6 shares at NAV2 | 6.77 | — | — | 4.00 | 11/12/14 | |||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 10.30 | 3.38 | 3.75 | —5 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 1.13%, Net 1.02%; Class C shares: Gross 1.86%, Net 1.77%; Class I shares: Gross 0.86%, Net 0.77%; Class R6 shares: Gross 0.79%, 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 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 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 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 3.71% for the inception date of Class I shares and 3.27% for 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 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: PSFRX |
Class C: PFSRX |
Class I: PSFIX |
Class R6: VRSFX |
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, 2019, the Fund’s Class A shares at NAV returned 1.80%, Class C shares at NAV returned 1.05%, Class I shares at NAV returned 2.05%, and Class R6 shares at NAV returned 2.31%. For the same period, the Credit Suisse Leveraged Loan Index, which serves as both the Fund’s broad-based and style-specific index, returned 3.11%. |
Leveraged Loans | 94% | |
Healthcare | 10% | |
Service | 9 | |
Gaming / Leisure | 8 | |
Information Technology | 6 | |
Manufacturing | 5 | |
Housing | 5 | |
Media / Telecom - Cable/Wireless Video | 4 | |
All other Leveraged Loans | 47 | |
Corporate Bonds and Notes | 3 | |
Short-Term Investment | 2 | |
Other | 1 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 1.80 % | 3.04 % | 4.32 % | — % | — | |||||||
Class A shares at POP3,4 | -1.00 | 2.47 | 4.03 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 1.05 | 2.27 | 3.55 | — | — | |||||||
Class I shares at NAV2 | 2.05 | 3.30 | 4.58 | — | — | |||||||
Class R6 shares at NAV2 | 2.31 | — | — | 3.86 | 11/3/16 | |||||||
Credit Suisse Leveraged Loan Index5 | 3.11 | 4.11 | 5.38 | 4.646 | — | |||||||
S&P/LSTA Leveraged Loan Index5 | 3.10 | 3.98 | 5.22 | 4.456 | — | |||||||
Fund Expense Ratios7: Class A shares: Gross 1.12%, Net 1.09%; Class C shares: Gross 1.91%, Net 1.84%; Class I shares: Gross 0.90%, Net 0.84%; Class R6 shares: Gross 0.86%, 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 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 2.75% 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 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 | Effective January 28, 2019 the Fund’s primary benchmark is the Credit Suisse Leveraged Loan Index, replacing the Fund’s previous primary benchmark, the S&P/LSTA Leveraged Loan Index. The Credit Suisse Leveraged Loan Index has been selected for the Fund’s primary benchmark because it is more widely used within the industry and the Fund’s subadviser believes that the new index provides investors with a better correlated statistical tool for investment analysis and research than the prior index. |
6 | The since inception index return is 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 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: HXBZX |
Class C: PXCZX |
Class I: HXBIX |
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, 2019, the Fund’s Class A shares at NAV returned 7.50%, Class C shares at NAV returned 6.60%, and Class I shares at NAV returned 7.76%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, a broad-based fixed income index, returned 10.30%, and the Tax-Exempt Bond Linked Benchmark, which is the Fund’s style-specific benchmark appropriate for comparison, returned 7.87%. |
Texas | 15% |
Illinois | 10 |
Florida | 10 |
Colorado | 6 |
New Jersey | 6 |
Pennsylvania | 5 |
Arizona | 5 |
Other (includes short-term investment) | 43 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 7.50% | 2.79% | 3.54% | |||||
Class A shares at POP3,4 | 4.54 | 2.22 | 3.25 | |||||
Class C shares at NAV2 and with CDSC4 | 6.60 | 2.00 | 2.77 | |||||
Class I shares at NAV2 | 7.76 | 3.05 | 3.80 | |||||
Bloomberg Barclays U.S. Aggregate Bond Index | 10.30 | 3.38 | 3.75 | |||||
Tax-Exempt Bond Fund Linked Benchmark | 7.87 | 3.26 | 3.90 | |||||
Fund Expense Ratios5: Class A shares: Gross 0.99%, Net 0.85%; Class C shares: Gross 1.73%, Net 1.60%; Class I shares: Gross 0.74%, 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 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 2.75% 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 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 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
September 30, 2019
Par Value | Value | ||
U.S. Government Securities—9.2% | |||
U.S. Treasury Bond | |||
2.500%, 2/15/46 | $1,855 | $1,999 | |
3.000%, 8/15/48 | 4,515 | 5,373 | |
U.S. Treasury Note | |||
2.250%, 3/31/21 | 215 | 217 | |
2.000%, 2/15/25 | 480 | 490 | |
2.625%, 2/15/29 | 585 | 633 | |
Total U.S. Government Securities (Identified Cost $7,497) | 8,712 | ||
Municipal Bonds—2.5% | |||
California—1.1% | |||
State of California, Build America Bonds Taxable 7.600%, 11/1/40 | 520 | 880 | |
University of California, Series B-A, Taxable 4.428%, 5/15/48 | 140 | 155 | |
1,035 | |||
Georgia—0.3% | |||
Rockdale County Water & Sewerage Authority Revenue Taxable 3.060%, 7/1/24 | 255 | 262 | |
Idaho—0.2% | |||
Idaho Health Facilities Authority Saint Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 170 | 217 | |
New York—0.6% | |||
New York City Transitional Finance Authority Future Tax Secured Revenue 4.000%, 5/1/42 | 485 | 552 | |
Virginia—0.3% | |||
City of Bristol, General Obligation Taxable 4.210%, 1/1/42 | 285 | 300 | |
Total Municipal Bonds (Identified Cost $2,228) | 2,366 | ||
Foreign Government Securities—1.1% | |||
Dominican Republic 144A 6.000%, 7/19/28(1) | 150 | 164 | |
Kingdom of Jordan 144A 5.750%, 1/31/27(1) | 200 | 205 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Kingdom of Saudi Arabia 144A 4.375%, 4/16/29(1) | $200 | $224 | |
Republic of Turkey | |||
7.375%, 2/5/25 | 85 | 90 | |
4.875%, 10/9/26 | 200 | 185 | |
Sultanate of Oman 144A 5.375%, 3/8/27(1) | 200 | 197 | |
Total Foreign Government Securities (Identified Cost $1,036) | 1,065 | ||
Mortgage-Backed Securities—25.3% | |||
Agency—1.8% | |||
Federal National Mortgage Association | |||
Pool #812352 5.000%, 4/1/20 | 4 | 4 | |
Pool #323702 6.000%, 5/1/29 | 14 | 16 | |
Pool #535371 6.500%, 5/1/30 | 1 | 1 | |
Pool #590108 7.000%, 7/1/31 | 5 | 6 | |
Pool #880117 5.500%, 4/1/36 | 25 | 28 | |
Pool #938574 5.500%, 9/1/36 | 88 | 100 | |
Pool #909092 6.000%, 9/1/37 | 13 | 15 | |
Pool #909220 6.000%, 8/1/38 | 120 | 138 | |
Pool #986067 6.000%, 8/1/38 | 8 | 8 | |
Pool #AA7001 5.000%, 6/1/39 | 359 | 396 | |
Pool #MA3692 3.500%, 7/1/49 | 922 | 949 | |
Government National Mortgage Association Pool #443000 6.500%, 9/15/28 | 19 | 21 | |
1,682 | |||
Non-Agency—23.5% | |||
Ajax Mortgage Loan Trust 2019-D, A1 144A 2.956%, 9/25/65(1)(2) | 351 | 350 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(1) | 195 | 211 |
Par Value | Value | ||
Non-Agency—continued | |||
2015-SFR1, A 144A 3.467%, 4/17/52(1) | $207 | $215 | |
2015-SFR2, C 144A 4.691%, 10/17/52(1) | 125 | 136 | |
Angel Oak Mortgage Trust I LLC | |||
2018-1, A1 144A 3.258%, 4/27/48(1)(2) | 73 | 73 | |
2018-2, A1 144A 3.674%, 7/27/48(1)(2) | 315 | 318 | |
2019-1, A1 144A 3.920%, 11/25/48(1)(2) | 200 | 203 | |
2019-2, A1 144A 3.628%, 3/25/49(1)(2) | 275 | 279 | |
Angel Oak Mortgage Trust LLC 2019-3, A1 144A 2.930%, 5/25/59(1)(2) | 250 | 252 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(2) | 316 | 322 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(2) | 145 | 148 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(2) | 145 | 147 | |
Aventura Mall Trust 2013-AVM, C 144A 3.867%, 12/5/32(1)(2) | 325 | 329 | |
Banc of America Funding Trust | |||
2004-B, 2A1 4.943%, 11/20/34(2) | 29 | 29 | |
2005-1, 1A1 5.500%, 2/25/35 | 57 | 58 | |
Banc of America Mortgage Trust 2005-3, 1A15 5.500%, 4/25/35 | 40 | 42 | |
Bank of America (Merrill Lynch - Countrywide) Home Loan Mortgage Pass-Through-Trust 2004-6, 1A2 4.614%, 5/25/34(2) | 138 | 139 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(1) | 160 | 167 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(1)(2) | 100 | 104 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(1)(2) | 100 | 104 |
Par Value | Value | ||
Non-Agency—continued | |||
Bunker Hill Loan Depositary Trust 2019-1, A1 144A 3.613%, 10/26/48(1)(2) | $340 | $344 | |
BX Trust 2018-MCSF, A (1 month LIBOR + 0.577%) 144A 2.604%, 4/15/35(1)(2) | 161 | 161 | |
Caesars Palace Las Vegas Trust 2017-VICI, C 144A 4.138%, 10/15/34(1) | 250 | 261 | |
Chase Home Lending Mortgage Trust 2019-ATR1, A4 144A 4.000%, 4/25/49(1)(2) | 140 | 142 | |
Citigroup Commercial Mortgage Trust | |||
2013-375P, B 144A 3.635%, 5/10/35(1)(2) | 205 | 212 | |
2019-SST2, A (1 month LIBOR + 0.920%) 144A 2.948%, 12/15/36(1)(2) | 200 | 200 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(2) | 225 | 225 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(2) | 400 | 410 | |
COLT Mortgage Loan Trust Funding LLC | |||
2018-1, A1 144A 2.930%, 2/25/48(1)(2) | 43 | 43 | |
2019-1, A1 144A 3.705%, 3/25/49(1)(2) | 199 | 202 | |
2019-3, A1 144A 2.764%, 8/25/49(1)(2) | 375 | 377 | |
CoreVest American Finance Trust 2018-2, A 144A 4.026%, 11/15/52(1) | 120 | 126 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 3.008%, 5/15/36(1)(2) | 265 | 265 | |
Ellington Financial Mortgage Trust | |||
2017-1, A1 144A 2.687%, 10/25/47(1)(2) | 280 | 278 | |
2018-1, A1FX 144A 4.140%, 10/25/58(1)(2) | 367 | 372 | |
2019-1, A1 144A 2.934%, 6/25/59(1)(2) | 189 | 189 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(2) | 68 | 69 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(2) | 62 | 62 |
Par Value | Value | ||
Non-Agency—continued | |||
2018-2, A41 144A 4.500%, 10/25/58(1)(2) | $205 | $209 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(2) | 169 | 171 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(1) | 255 | 262 | |
GSAA Home Equity Trust 2005-12, AF3W 4.999%, 9/25/35(2) | 42 | 44 | |
Homeward Opportunities Fund I Trust | |||
2018-2, A1 144A 3.985%, 11/25/58(1)(2) | 391 | 398 | |
2019-1, A1 144A 3.454%, 1/25/59(1)(2) | 189 | 191 | |
JPMorgan Chase (WaMu) Mortgage Pass-Through Certificates 2003-S11, 3A5 5.950%, 11/25/33 | 63 | 64 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
2014-C22, A4 3.801%, 9/15/47 | 195 | 209 | |
2015-C31, AS 4.106%, 8/15/48 | 215 | 232 | |
JPMorgan Chase Mortgage Trust | |||
2016-SH1, M2 144A 3.750%, 4/25/45(1)(2) | 215 | 222 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(2) | 292 | 305 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(2) | 106 | 106 | |
2017-5, A1 144A 3.178%, 10/26/48(1)(2) | 224 | 227 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 2.828%, 5/15/36(1)(2) | 215 | 215 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(2)(3) | 195 | 197 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(1)(2) | 43 | 44 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 3.218%, 6/25/52(1)(2)(3) | 85 | 85 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.716%, 4/25/55(1)(2) | 100 | 104 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-1A, A1A 144A 3.750%, 4/25/58(1)(2) | $397 | $410 | |
Mill City Mortgage Loan Trust 2018-4, A1B 144A 3.500%, 4/25/66(1)(2) | 440 | 450 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust | |||
2013-C13, AS 4.266%, 11/15/46 | 360 | 386 | |
2015-C22, AS 3.561%, 4/15/48 | 310 | 324 | |
New Residential Mortgage Loan Trust | |||
2018-4A, A1S (1 month LIBOR + 0.750%) 144A 2.768%, 1/25/48(1)(2) | 71 | 71 | |
2014-1A, A 144A 3.750%, 1/25/54(1)(2) | 130 | 134 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(2) | 101 | 105 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(2) | 80 | 83 | |
2016-4A, B1A 144A 4.500%, 11/25/56(1)(2) | 161 | 173 | |
2017-2A, A3 144A 4.000%, 3/25/57(1)(2) | 180 | 188 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(2) | 227 | 236 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(1)(2)(3) | 265 | 265 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 3.743%, 3/25/35(2) | 98 | 99 | |
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 11/25/48(1)(2) | 333 | 336 | |
2019-INV1, A3 144A 4.500%, 11/25/48(1)(2) | 161 | 166 | |
One Market Plaza Trust 2017-1MKT, A 144A 3.614%, 2/10/32(1) | 150 | 155 | |
Pretium Mortgage Credit Partners I LLC 2019-NPL3, A1 144A 3.105%, 7/27/59(1)(2) | 100 | 100 | |
Progress Residential Trust | |||
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 100 | 102 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 235 | 234 | |
PRPM LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(1)(2) | 458 | 461 | |
2019-2A, A1 144A 3.967%, 4/25/24(1)(2) | 399 | 403 |
Par Value | Value | ||
Non-Agency—continued | |||
RCO V Mortgage LLC 2019-1, A1 144A 3.721%, 5/24/24(1)(2) | $420 | $422 | |
Residential Asset Securitization Trust 2005-A1, A3 5.500%, 4/25/35 | 96 | 99 | |
Residential Mortgage Loan Trust | |||
2019-1, A1 144A 3.936%, 10/25/58(1)(2) | 75 | 76 | |
2019-2, A1 144A 2.913%, 5/25/59(1)(2) | 312 | 313 | |
Sequoia Mortgage Trust | |||
2013-8, B1 3.529%, 6/25/43(2) | 98 | 100 | |
2018-CH2, A12 144A 4.000%, 6/25/48(1)(2) | 72 | 73 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(1)(2) | 131 | 133 | |
Thornburg Mortgage Securities Trust 2004-2, A1 (1 month LIBOR + 0.620%) 2.638%, 6/25/44(2) | 383 | 384 | |
Towd Point Mortgage Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 2.918%, 4/25/48(1)(2) | 319 | 319 | |
2015-1, A2 144A 3.250%, 10/25/53(1)(2) | 150 | 150 | |
2016-1, A1B 144A 2.750%, 2/25/55(1)(2) | 70 | 70 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(2) | 220 | 224 | |
2017-1, M1 144A 3.750%, 10/25/56(1)(2) | 100 | 104 | |
2018-6, A2 144A 3.750%, 3/25/58(1)(2) | 370 | 389 | |
2019-1, A1 144A 3.750%, 3/25/58(1)(2) | 297 | 312 | |
2018-4, A1 144A 3.000%, 6/25/58(1)(2) | 404 | 414 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(2) | 70 | 71 | |
2015-2, 1M1 144A 3.250%, 11/25/60(1)(2) | 165 | 168 | |
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(1) | 199 | 200 | |
2019-SFR1, C 144A 3.149%, 3/17/38(1) | 190 | 190 | |
VCAT LLC 2019-NPL1, A1 144A 4.360%, 2/25/49(1)(2) | 102 | 102 |
Par Value | Value | ||
Non-Agency—continued | |||
Vericrest Opportunity Loan Trust 2019-NPL2, A1 144A 3.967%, 2/25/49(1)(2) | $132 | $133 | |
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A 3.375%, 10/25/47(1)(2) | 87 | 87 | |
Vericrest Opportunity Loan Trust LXIX LLC 2018-NPL5, A1A 144A 4.213%, 8/25/48(1)(2) | 154 | 154 | |
Vericrest Opportunity Loan Trust LXX LLC 2018-NPL6, A1A 144A 4.115%, 9/25/48(1)(2) | 78 | 78 | |
Vericrest Opportunity Loan Trust LXXI LLC 2018-NPL7, A1A 144A 3.967%, 9/25/48(1)(2) | 44 | 44 | |
Vericrest Opportunity Loan Trust LXXV LLC 2019-NPL1, A1A 144A 4.336%, 1/25/49(1)(2) | 195 | 196 | |
Verus Securitization Trust | |||
2017-2A, A1 144A 2.485%, 7/25/47(1)(2) | 73 | 73 | |
2018-1, A1 144A 2.929%, 2/25/48(1)(2) | 63 | 63 | |
2018-2, B1 144A 4.426%, 6/1/58(1)(2) | 240 | 243 | |
2018-3, A1 144A 4.108%, 10/25/58(1)(2) | 119 | 120 | |
2019-1, A1 144A 3.836%, 2/25/59(1)(2) | 200 | 202 | |
2019-INV1, A1 144A 3.402%, 12/25/59(1)(2) | 137 | 138 | |
Wells Fargo Commercial Mortgage Trust | |||
2014-C24, AS 3.931%, 11/15/47 | 215 | 229 | |
2015-LC20, A5 3.184%, 4/15/50 | 210 | 220 | |
2015-LC20, B 3.719%, 4/15/50 | 300 | 315 | |
22,338 | |||
Total Mortgage-Backed Securities (Identified Cost $23,619) | 24,020 | ||
Asset-Backed Securities—10.5% | |||
Automobiles—6.5% | |||
ACC Trust | |||
2018-1, A 144A 3.700%, 12/21/20(1) | 24 | 24 | |
2018-1, B 144A 4.820%, 5/20/21(1) | 165 | 166 | |
2019-1, A 144A 3.750%, 5/20/22(1) | 257 | 259 |
Par Value | Value | ||
Automobiles—continued | |||
American Credit Acceptance Receivables Trust | |||
2018-4, C 144A 3.970%, 1/13/25(1) | $195 | $198 | |
2019-2, C 144A 3.170%, 6/12/25(1) | 220 | 222 | |
Avis Budget Rental Car Funding LLC (AESOP) 2016-1A, A 144A 2.990%, 6/20/22(1) | 200 | 202 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(1) | 185 | 187 | |
Carvana Auto Receivables Trust 2019-1A, D 144A 3.880%, 10/15/24(1) | 225 | 232 | |
Centre Point Funding LLC 2012-2A, 1 144A 2.610%, 8/20/21(1) | 54 | 53 | |
CPS Auto Receivables Trust 2017-D, B 144A 2.430%, 1/18/22(1) | 156 | 157 | |
Drive Auto Receivables Trust | |||
2017-2, C 2.750%, 9/15/23 | 68 | 68 | |
2019-4, C 2.510%, 11/17/25 | 240 | 240 | |
DT Auto Owner Trust | |||
2018-3A, C 144A 3.790%, 7/15/24(1) | 145 | 148 | |
2019-2A, B 144A 2.990%, 4/17/23(1) | 215 | 217 | |
2019-2A, C 144A 3.180%, 2/18/25(1) | 215 | 218 | |
Exeter Automobile Receivables Trust | |||
2015-2A, C 144A 3.900%, 3/15/21(1) | 40 | 41 | |
2018-3A, C 144A 3.710%, 6/15/23(1) | 205 | 209 | |
2019-2A, C 144A 3.300%, 3/15/24(1) | 225 | 229 | |
Flagship Credit Auto Trust | |||
2016-2, B 144A 3.840%, 9/15/22(1) | 136 | 137 | |
2017-3, C 144A 2.910%, 9/15/23(1) | 220 | 221 | |
2019-1, C 144A 3.600%, 2/18/25(1) | 150 | 155 | |
2019-2, C 144A 3.090%, 5/15/25(1) | 260 | 265 | |
Foursight Capital Automobile Receivables Trust 2017-1, B 144A 3.050%, 12/15/22(1) | 175 | 176 | |
GLS Auto Receivables Issuer Trust 2019-2A, B 144A 3.320%, 3/15/24(1) | 260 | 263 |
Par Value | Value | ||
Automobiles—continued | |||
GLS Auto Receivables Trust | |||
2017-1A, B 144A 2.980%, 12/15/21(1) | $195 | $195 | |
2018-3A, C 144A 4.180%, 7/15/24(1) | 240 | 248 | |
Hertz Vehicle Financing II LP 2019-1A, A 144A 3.710%, 3/25/23(1) | 160 | 165 | |
Hyundai Auto Lease Securitization Trust 2018-A, A2A 144A 2.550%, 8/17/20(1) | 23 | 23 | |
OneMain Direct Auto Receivables Trust | |||
2017-2A, C 144A 2.820%, 7/15/24(1) | 185 | 186 | |
2018-1A, C 144A 3.850%, 10/14/25(1) | 145 | 149 | |
Prestige Auto Receivables Trust 2017-1A, C 144A 2.810%, 1/17/23(1) | 220 | 221 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(1) | 240 | 240 | |
Tesla Auto Lease Trust 2018-A, A 144A 2.320%, 12/20/19(1) | 5 | 5 | |
United Auto Credit Securitization Trust 2019-1, D 144A 3.470%, 8/12/24(1) | 215 | 217 | |
Westlake Automobile Receivables Trust 2017-2A, C 144A 2.590%, 12/15/22(1) | 220 | 220 | |
6,156 | |||
Other—4.0% | |||
Aqua Finance Trust 2017-A, A 144A 3.720%, 11/15/35(1) | 122 | 123 | |
Arby’s Funding LLC 2015-1A, A2 144A 4.969%, 10/30/45(1) | 135 | 139 | |
CCG Receivables Trust 2018-1, A2 144A 2.500%, 6/16/25(1) | 268 | 268 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(1) | 182 | 186 | |
Dell Equipment Finance Trust 2017-2, A3 144A 2.190%, 10/24/22(1) | 113 | 113 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(1) | 67 | 68 | |
Drug Royalty II LP 2 2014-1, A2 144A 3.484%, 7/15/23(1) | 16 | 16 | |
Foundation Finance Trust 2019-1A, A 144A 3.860%, 11/15/34(1) | 188 | 193 |
Par Value | Value | ||
Other—continued | |||
Lendmark Funding Trust 2019-1A, A 144A 3.000%, 12/20/27(1) | $270 | $271 | |
Marlette Funding Trust 2019-2A, A 144A 3.130%, 7/16/29(1) | 208 | 210 | |
MVW Owner Trust | |||
2017-1A, A 144A 2.420%, 12/20/34(1) | 109 | 109 | |
2019-1A, A 144A 2.890%, 11/20/36(1) | 243 | 247 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(1) | 180 | 183 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(1) | 250 | 253 | |
Orange Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(1) | 238 | 242 | |
Primose Funding LLC 2019-1A, A2 144A 4.475%, 7/30/49(1) | 235 | 235 | |
Small Business Lending Trust 2019-A, A 144A 2.850%, 7/15/26(1) | 235 | 235 | |
SoFi Consumer Loan Program LLC 2017-1, A 144A 3.280%, 1/26/26(1) | 48 | 48 | |
SoFi Consumer Loan Program Trust 2019-3, A 144A 2.900%, 5/25/28(1) | 223 | 225 | |
Stack Infrastructure Issuer LLC 2019-1A, A2 144A 4.540%, 2/25/44(1) | 189 | 198 | |
TGIF Funding LLC 2017-1A, A2 144A 6.202%, 4/30/47(1) | 100 | 98 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(1) | 183 | 190 | |
3,850 | |||
Student Loan—0.0% | |||
SoFi Professional Loan Program LLC 2015-A, A2 144A 2.420%, 3/25/30(1) | 22 | 22 | |
Total Asset-Backed Securities (Identified Cost $9,917) | 10,028 | ||
Corporate Bonds and Notes—43.5% | |||
Communication Services—1.8% | |||
AT&T, Inc. | |||
4.100%, 2/15/28 | 204 | 221 |
Par Value | Value | ||
Communication Services—continued | |||
(3 month LIBOR + 1.180%) 3.312%, 6/12/24(2) | $85 | $86 | |
Comcast Corp. | |||
3.950%, 10/15/25 | 87 | 95 | |
4.150%, 10/15/28 | 42 | 47 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 100 | 104 | |
144A 6.625%, 8/15/27(1) | 55 | 57 | |
Discovery Communications LLC 3.950%, 3/20/28 | 280 | 292 | |
DISH DBS Corp. 5.875%, 7/15/22 | 95 | 99 | |
Frontier Communications Corp. 144A 8.500%, 4/1/26(1) | 70 | 70 | |
iHeartCommunications, Inc. 144A 5.250%, 8/15/27(1) | 20 | 21 | |
Meredith Corp. 6.875%, 2/1/26 | 90 | 91 | |
Sirius XM Radio, Inc. 144A 5.500%, 7/1/29(1) | 60 | 64 | |
Sprint Spectrum Co. LLC 144A 4.738%, 3/20/25(1) | 200 | 213 | |
Verizon Communications, Inc. | |||
4.125%, 3/16/27 | 100 | 110 | |
(3 month LIBOR + 1.100%) 3.258%, 5/15/25(2) | 170 | 173 | |
1,743 | |||
Consumer Discretionary—2.9% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 145 | 138 | |
Brookfield Residential Properties, Inc. 144A 6.250%, 9/15/27(1) | 190 | 191 | |
Bunge Ltd. Finance Corp. 4.350%, 3/15/24 | 150 | 158 | |
Dollar Tree, Inc. 4.000%, 5/15/25 | 115 | 122 | |
Eldorado Resorts, Inc. 6.000%, 9/15/26 | 45 | 49 | |
Expedia Group, Inc. 144A 3.250%, 2/15/30(1) | 140 | 140 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(1) | 95 | 99 | |
General Motors Financial Co., Inc. 3.450%, 4/10/22 | 30 | 30 | |
GLP Capital LP 5.750%, 6/1/28 | 215 | 245 | |
IAA, Inc. 144A 5.500%, 6/15/27(1) | 20 | 21 | |
Lear Corp. 3.800%, 9/15/27 | 250 | 251 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
MGM Growth Properties Operating Partnership LP 144A 5.750%, 2/1/27(1) | $95 | $107 | |
Panther BF Aggregator 2 LP 144A 6.250%, 5/15/26(1) | 5 | 5 | |
PulteGroup, Inc. 6.375%, 5/15/33 | 120 | 133 | |
QVC, Inc. 4.375%, 3/15/23 | 295 | 305 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(1) | 130 | 134 | |
144A 8.250%, 3/15/26(1) | 70 | 75 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 100 | 106 | |
Under Armour, Inc. 3.250%, 6/15/26 | 100 | 96 | |
William Lyon Homes, Inc. 6.000%, 9/1/23 | 130 | 135 | |
Wyndham Worldwide Corp. 5.750%, 4/1/27 | 170 | 184 | |
2,724 | |||
Consumer Staples—1.4% | |||
Anheuser-Busch InBev Worldwide, Inc. | |||
4.000%, 4/13/28 | 200 | 221 | |
4.750%, 1/23/29 | 52 | 60 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(1) | 170 | 186 | |
Conagra Brands, Inc. 4.300%, 5/1/24 | 270 | 290 | |
Flowers Foods, Inc. 4.375%, 4/1/22 | 305 | 318 | |
Kraft Heinz Foods Co. (The) 3.000%, 6/1/26 | 295 | 292 | |
1,367 | |||
Energy—4.1% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 120 | 118 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 185 | 198 | |
Cheniere Energy Partners LP 5.625%, 10/1/26 | 70 | 74 | |
CrownRock LP 144A 5.625%, 10/15/25(1) | 115 | 116 | |
Energy Transfer Operating LP 4.200%, 4/15/27 | 210 | 221 | |
Energy Transfer Partners LP 4.500%, 11/1/23 | 45 | 48 | |
Helmerich & Payne, Inc. 4.650%, 3/15/25 | 115 | 124 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 210 | 235 |
Par Value | Value | ||
Energy—continued | |||
Kinder Morgan Energy Partners LP 7.500%, 11/15/40 | $320 | $436 | |
MPLX LP | |||
4.875%, 12/1/24 | 120 | 132 | |
4.000%, 3/15/28 | 90 | 94 | |
144A 4.250%, 12/1/27(1) | 205 | 217 | |
NuStar Logistics LP 5.625%, 4/28/27 | 150 | 158 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(1) | 300 | 386 | |
Petroleos Mexicanos 144A 7.690%, 1/23/50(1) | 190 | 198 | |
Sabine Pass Liquefaction LLC | |||
6.250%, 3/15/22 | 140 | 151 | |
4.200%, 3/15/28 | 195 | 207 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(4) | 200 | 239 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 44 | 45 | |
USA Compression Partners LP 6.875%, 4/1/26 | 135 | 140 | |
Valero Energy Partners LP 4.500%, 3/15/28 | 285 | 312 | |
3,849 | |||
Financials—16.3% | |||
AerCap Ireland Capital DAC | |||
3.950%, 2/1/22 | 200 | 207 | |
3.650%, 7/21/27 | 150 | 153 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53(5) | 200 | 213 | |
Apollo Management Holdings LP 144A 4.000%, 5/30/24(1) | 215 | 227 | |
Ares Finance Co. LLC 144A 4.000%, 10/8/24(1) | 270 | 266 | |
Athene Holding Ltd. 4.125%, 1/12/28 | 200 | 206 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(1) | 305 | 304 | |
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 5.125%, 1/18/33(1) | 200 | 191 | |
Banco de Credito e Inversiones 144A 3.500%, 10/12/27(1) | 300 | 314 | |
Banco Santander Chile 144A 3.875%, 9/20/22(1) | 215 | 223 | |
Bank of America Corp. | |||
3.004%, 12/20/23 | 285 | 291 | |
4.200%, 8/26/24 | 448 | 481 | |
(3 month LIBOR + 0.770%) 3.057%, 2/5/26(2) | 225 | 223 |
Par Value | Value | ||
Financials—continued | |||
Bank of Montreal 3.803%, 12/15/32 | $338 | $351 | |
Brighthouse Financial, Inc. 3.700%, 6/22/27 | 220 | 217 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 200 | 209 | |
Brookfield Finance, Inc. 4.000%, 4/1/24 | 342 | 364 | |
Capital One Financial Corp. | |||
4.200%, 10/29/25 | 200 | 213 | |
3.750%, 7/28/26 | 225 | 234 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 190 | 194 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 371 | 383 | |
(3 month LIBOR + 1.250%) 3.349%, 7/1/26(2) | 600 | 609 | |
Discover Bank 4.682%, 8/9/28 | 500 | 523 | |
E*TRADE Financial Corp. 4.500%, 6/20/28 | 175 | 191 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 225 | 243 | |
FS KKR Capital Corp. 4.250%, 1/15/20 | 185 | 185 | |
Goldman Sachs Group, Inc. (The) 5.750%, 1/24/22 | 610 | 657 | |
Guanay Finance Ltd. 144A 6.000%, 12/15/20(1) | 114 | 115 | |
ICAHN Enterprises LP 144A 6.250%, 5/15/26(1) | 225 | 236 | |
Jefferies Financial Group, Inc. 5.500%, 10/18/23 | 170 | 185 | |
Jefferies Group LLC | |||
6.875%, 4/15/21 | 27 | 29 | |
5.125%, 1/20/23 | 39 | 42 | |
4.850%, 1/15/27 | 115 | 122 | |
JPMorgan Chase & Co. 3.300%, 4/1/26 | 845 | 885 | |
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42(1) | 215 | 288 | |
Liberty Mutual Group, Inc. | |||
144A 4.250%, 6/15/23(1) | 65 | 69 | |
144A 4.569%, 2/1/29(1) | 210 | 234 | |
MetLife, Inc. Series D 5.875%(6) | 88 | 95 | |
Morgan Stanley | |||
3.125%, 7/27/26 | 410 | 422 | |
6.375%, 7/24/42 | 655 | 953 | |
Navient Corp. 6.750%, 6/25/25 | 135 | 139 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 85 | 92 | |
5.625%, 6/15/43(5) | 270 | 290 |
Par Value | Value | ||
Financials—continued | |||
Santander Holdings USA, Inc. | |||
3.700%, 3/28/22 | $169 | $173 | |
3.500%, 6/7/24 | 180 | 185 | |
4.400%, 7/13/27 | 80 | 86 | |
SBA Tower Trust | |||
144A 2.877%, 7/9/21(1) | 320 | 321 | |
144A 2.836%, 1/15/25(1) | 190 | 190 | |
Societe Generale S.A. 144A 4.750%, 11/24/25(1) | 200 | 215 | |
Springleaf Finance Corp. 6.875%, 3/15/25 | 110 | 121 | |
Synchrony Financial 3.950%, 12/1/27 | 190 | 195 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 90 | 95 | |
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54(1) | 160 | 167 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 270 | 279 | |
Trinity Acquisition plc 4.400%, 3/15/26 | 90 | 98 | |
UBS AG 7.625%, 8/17/22 | 500 | 564 | |
Wells Fargo & Co. | |||
3.550%, 9/29/25 | 490 | 518 | |
Series S 5.900%(6) | 155 | 166 | |
15,441 | |||
Health Care—2.7% | |||
AbbVie, Inc. | |||
2.850%, 5/14/23 | 155 | 158 | |
3.600%, 5/14/25 | 75 | 78 | |
Anthem, Inc. 2.875%, 9/15/29 | 185 | 183 | |
Bausch Health Cos., Inc. | |||
144A 7.000%, 3/15/24(1) | 15 | 16 | |
144A 5.500%, 11/1/25(1) | 65 | 68 | |
144A 5.750%, 8/15/27(1) | 125 | 135 | |
Becton Dickinson & Co. | |||
3.363%, 6/6/24 | 128 | 134 | |
3.700%, 6/6/27 | 92 | 97 | |
(3 month LIBOR + 0.875%) 2.979%, 12/29/20(2) | 50 | 50 | |
Catalent Pharma Solutions, Inc. 144A 5.000%, 7/15/27(1) | 30 | 31 | |
CVS Health Corp. 2.875%, 6/1/26 | 290 | 290 | |
HCA, Inc. | |||
5.375%, 2/1/25 | 55 | 60 | |
5.125%, 6/15/39 | 90 | 98 | |
5.250%, 6/15/49 | 140 | 154 |
Par Value | Value | ||
Health Care—continued | |||
Mylan NV 3.950%, 6/15/26 | $280 | $290 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 65 | 59 | |
Perrigo Finance Unlimited Co. 4.375%, 3/15/26 | 200 | 207 | |
Tenet Healthcare Corp. 144A 5.125%, 11/1/27(1) | 63 | 65 | |
Zimmer Biomet Holdings, Inc. | |||
3.550%, 4/1/25 | 160 | 168 | |
(3 month LIBOR + 0.750%) 2.914%, 3/19/21(2) | 245 | 245 | |
2,586 | |||
Industrials—3.0% | |||
American Airlines Pass-Through-Trust 2019-1, A 3.500%, 2/15/32 | 230 | 238 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(1) | 280 | 288 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(1) | 215 | 222 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 253 | 268 | |
DP World plc 144A 6.850%, 7/2/37(1) | 140 | 184 | |
Hillenbrand, Inc. 4.500%, 9/15/26 | 245 | 248 | |
Oshkosh Corp. 4.600%, 5/15/28 | 316 | 341 | |
Owens Corning | |||
3.400%, 8/15/26 | 225 | 226 | |
3.950%, 8/15/29 | 84 | 85 | |
Penske Truck Leasing Co., LP 144A 4.125%, 8/1/23(1) | 190 | 201 | |
Pentair Finance S.a.r.l 4.500%, 7/1/29 | 315 | 327 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(1) | 95 | 102 | |
United Air Lines, Inc. Pass-Through-Trust 2007-1, A 6.636%, 7/2/22 | 156 | 165 | |
2,895 | |||
Information Technology—2.5% | |||
Broadcom Corp. | |||
3.000%, 1/15/22 | 90 | 91 | |
3.625%, 1/15/24 | 165 | 169 | |
Citrix Systems, Inc. 4.500%, 12/1/27 | 230 | 249 |
Par Value | Value | ||
Information Technology—continued | |||
Dell International LLC | |||
144A 6.020%, 6/15/26(1) | $45 | $51 | |
144A 4.900%, 10/1/26(1) | 120 | 128 | |
144A 8.100%, 7/15/36(1) | 95 | 121 | |
Hewlett Packard Enterprise Co. 4.900%, 10/15/25 | 255 | 283 | |
Juniper Networks, Inc. 3.750%, 8/15/29 | 210 | 211 | |
Micron Technology, Inc. 4.185%, 2/15/27 | 230 | 237 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 166 | 179 | |
4.600%, 5/23/29 | 85 | 93 | |
Verisk Analytics, Inc. 4.000%, 6/15/25 | 215 | 231 | |
VMware, Inc. | |||
2.950%, 8/21/22 | 109 | 110 | |
3.900%, 8/21/27 | 235 | 242 | |
2,395 | |||
Materials—3.3% | |||
Anglo American Capital plc 144A 4.000%, 9/11/27(1) | 220 | 228 | |
ArcelorMittal 6.125%, 6/1/25 | 245 | 276 | |
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75(1)(5) | 200 | 234 | |
CRH America Finance, Inc. 144A 3.400%, 5/9/27(1) | 400 | 413 | |
CRH America, Inc. 144A 3.875%, 5/18/25(1) | 35 | 37 | |
DuPont de Nemours, Inc. 4.493%, 11/15/25 | 212 | 234 | |
Glencore Funding LLC 144A 4.000%, 3/27/27(1) | 290 | 298 | |
Greif, Inc. 144A 6.500%, 3/1/27(1) | 85 | 90 | |
Inversiones CMPC S.A. 144A 4.375%, 5/15/23(1) | 375 | 391 | |
Olin Corp. 5.625%, 8/1/29 | 225 | 234 | |
SABIC Capital II BV 144A 4.500%, 10/10/28(1) | 200 | 222 | |
Syngenta Finance N.V. 144A 4.441%, 4/24/23(1) | 200 | 209 | |
Vulcan Materials Co. 3.900%, 4/1/27 | 210 | 220 | |
3,086 | |||
Real Estate—3.2% | |||
Alexandria Real Estate Equities, Inc. 3.950%, 1/15/27 | 135 | 145 |
Par Value | Value | ||
Real Estate—continued | |||
Corporate Office Properties LP 3.600%, 5/15/23 | $295 | $301 | |
EPR Properties 4.750%, 12/15/26 | 275 | 296 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(1) | 145 | 145 | |
Healthcare Realty Trust, Inc. 3.875%, 5/1/25 | 140 | 146 | |
Healthcare Trust of America Holdings LP 3.750%, 7/1/27 | 215 | 225 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(1) | 190 | 193 | |
Kilroy Realty LP 4.375%, 10/1/25 | 215 | 231 | |
Life Storage LP | |||
3.500%, 7/1/26 | 220 | 226 | |
3.875%, 12/15/27 | 85 | 90 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 80 | 84 | |
4.625%, 8/1/29 | 45 | 46 | |
Office Properties Income Trust 4.500%, 2/1/25 | 215 | 222 | |
Physicians Realty LP 3.950%, 1/15/28 | 225 | 236 | |
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24 | 155 | 158 | |
Service Properties Trust 4.950%, 2/15/27 | 245 | 248 | |
2,992 | |||
Utilities—2.3% | |||
CenterPoint Energy, Inc. 4.250%, 11/1/28 | 260 | 286 | |
DPL, Inc. 144A 4.350%, 4/15/29(1) | 263 | 260 | |
Exelon Corp. 3.497%, 6/1/22 | 190 | 195 | |
FirstEnergy Transmission LLC 144A 4.350%, 1/15/25(1) | 235 | 254 | |
Pennsylvania Electric Co. 144A 3.600%, 6/1/29(1) | 240 | 255 | |
PSEG Power LLC 3.850%, 6/1/23 | 231 | 244 | |
Southern Power Co. 4.150%, 12/1/25 | 255 | 276 |
Par Value | Value | ||
Utilities—continued | |||
Talen Energy Supply LLC 144A 6.625%, 1/15/28(1) | $105 | $103 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(1) | 110 | 114 | |
Vistra Operations Co. LLC 144A 4.300%, 7/15/29(1) | 230 | 236 | |
2,223 | |||
Total Corporate Bonds and Notes (Identified Cost $39,170) | 41,301 | ||
Leveraged Loans(2)—4.7% | |||
Aerospace—0.3% | |||
Atlantic Aviation FBO, Inc. (1 month LIBOR + 3.750%) 5.800%, 12/6/25 | 20 | 20 | |
TransDigm, Inc. 2018, Tranche E (1 month LIBOR + 2.500%) 4.544%, 5/30/25 | 233 | 232 | |
252 | |||
Consumer Non-Durables—0.1% | |||
Kronos Acquisition Holdings, Inc. Tranche B-3 (3 month LIBOR + 4.000%) 6.256%, 5/15/23 | 138 | 130 | |
Energy—0.1% | |||
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 5.000%) 7.104%, 3/27/24 | 85 | 85 | |
Financial—0.2% | |||
Financial & Risk US Holdings, Inc. (1 month LIBOR + 3.750%) 5.794%, 10/1/25 | 184 | 184 | |
Food / Tobacco—0.2% | |||
CHG PPC Parent LLC First Lien (1 month LIBOR + 2.750%) 4.794%, 3/31/25 | 69 | 69 | |
H-Food Holdings LLC | |||
(1 month LIBOR + 3.688%) 5.731%, 5/23/25 | 20 | 19 |
Par Value | Value | ||
Food / Tobacco—continued | |||
2018, Tranche B-2 (1 month LIBOR + 4.000%) 6.044%, 5/23/25 | $79 | $75 | |
163 | |||
Forest Prod / Containers—0.1% | |||
Berry Global, Inc. Tranche U (1 month LIBOR + 2.500%) 4.549%, 7/1/26 | 90 | 90 | |
Gaming / Leisure—0.4% | |||
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 3.794%, 7/8/24 | 157 | 158 | |
Station Casinos LLC Tranche B (1 month LIBOR + 2.500%) 4.550%, 6/8/23 | 83 | 83 | |
Wyndham Hotels & Resorts, Inc. Tranche B (1 month LIBOR + 1.750%) 3.794%, 5/30/25 | 104 | 104 | |
345 | |||
Healthcare—0.5% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 4.789%, 11/27/25 | 31 | 31 | |
(1 month LIBOR + 3.000%) 5.039%, 6/2/25 | 17 | 17 | |
CHG Healthcare Services, Inc. (1 month LIBOR + 3.000%) 5.044%, 6/7/23 | 118 | 118 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 3.854%, 6/11/25 | 128 | 128 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 4.500%) 6.554%, 11/16/25 | 139 | 139 | |
NVA Holdings, Inc. Tranche B-4 (1 month LIBOR + 3.500%) 5.544%, 2/2/25 | 15 | 15 | |
448 | |||
Par Value | Value | ||
Housing—0.7% | |||
American Builders & Contractors Supply Co., Inc. Tranche B-2 (1 month LIBOR + 2.000%) 4.044%, 10/31/23 | $172 | $172 | |
Capital Automotive LP 2017, Tranche B-2 (1 month LIBOR + 2.500%) 4.550%, 3/25/24 | 116 | 116 | |
CPG International LLC (3 month LIBOR + 3.750%) 5.933%, 5/6/24 | 129 | 128 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 4.044%, 11/21/24 | 228 | 228 | |
644 | |||
Information Technology—0.2% | |||
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 6.294%, 10/2/25 | 134 | 129 | |
Kronos, Inc. 2018 (3 month LIBOR + 3.000%) 5.253%, 11/1/23 | 103 | 103 | |
232 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (3 month LIBOR + 2.750%) 0.000%, 9/18/26(7) | 145 | 146 | |
Media / Telecom - Cable/Wireless Video—0.1% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 4.278%, 1/15/26 | 149 | 149 | |
Media / Telecom - Telecommunications—0.2% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.750%) 4.794%, 1/31/25 | 172 | 171 | |
Media / Telecom - Wireless Communications—0.3% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 5.294%, 4/4/26 | 130 | 130 | |
SBA Senior Finance II LLC (1 month LIBOR + 2.000%) 4.050%, 4/11/25 | 208 | 208 | |
338 | |||
Par Value | Value | ||
Service—0.5% | |||
Dun & Bradstreet Corp. (The) (1 month LIBOR + 5.000%) 7.054%, 2/6/26 | $120 | $121 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 5.294%, 12/31/25 | 219 | 215 | |
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 5.800%, 2/1/23 | 111 | 109 | |
445 | |||
Transportation - Automotive—0.2% | |||
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 5.530%, 11/6/24 | 94 | 93 | |
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 5.544%, 4/30/26 | 140 | 139 | |
232 | |||
Utility—0.5% | |||
Brookfield WEC Holdings, Inc. First Lien (1 month LIBOR + 3.500%) 5.544%, 8/1/25 | 214 | 215 | |
Calpine Corp. 2019 (3 month LIBOR + 2.750%) 4.860%, 4/5/26 | 149 | 150 | |
Pacific Gas and Electric Co. | |||
(1 month LIBOR + 2.250%) 4.320%, 12/31/20 | 55 | 55 | |
(4 month LIBOR + 1.125%) 1.125%, 12/31/20(8) | 20 | 20 | |
440 | |||
Total Leveraged Loans (Identified Cost $4,503) | 4,494 | ||
Shares | ||
Preferred Stocks—1.3% | ||
Financials—1.1% | ||
Bank of New York Mellon Corp. (The) Series E, 4.950% | 245(9) | 246 |
JPMorgan Chase & Co. Series Z, 5.300% | 225(9) | 227 |
KeyCorp Series D, 5.000% | 140(9) | 145 |
M&T Bank Corp. Series F, 5.125% | 126(9) | 132 |
Shares | Value | ||
Financials—continued | |||
PNC Financial Services Group, Inc. (The) Series R, 4.850% | 80(9) | $82 | |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 220(9) | 228 | |
1,060 | |||
Industrials—0.2% | |||
General Electric Co. Series D, 5.000% | 231(9) | 219 | |
Total Preferred Stocks (Identified Cost $1,243) | 1,279 | ||
Total Long-Term Investments—98.1% (Identified Cost $89,213) | 93,265 | ||
TOTAL INVESTMENTS—98.1% (Identified Cost $89,213) | $93,265 | ||
Other assets and liabilities, net—1.9% | 1,777 | ||
NET ASSETS—100.0% | $95,042 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
Footnote Legend: | |
(1) | 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, 2019, these securities amounted to a value of $41,349 or 43.5% of net assets. |
(2) | Variable rate security. Rate disclosed is as of September 30, 2019. 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) | 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 after the Schedule of Investments. |
(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) | Interest payments may be deferred. |
(6) | No contractual maturity date. |
(7) | This loan will settle after September 30, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(8) | Represents unfunded portion of security and commitment fee earned on this portion. |
(9) | Value shown as par value. |
Country Weightings (Unaudited)† | |
United States | 90% |
Canada | 2 |
Netherlands | 1 |
Chile | 1 |
Luxembourg | 1 |
Ireland | 1 |
Switzerland | 1 |
Other | 3 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Asset-Backed Securities | $10,028 | $10,028 | $— | ||
Corporate Bonds and Notes | 41,301 | 41,301 | — | ||
Foreign Government Securities | 1,065 | 1,065 | — | ||
Leveraged Loans | 4,494 | 4,494 | — | ||
Mortgage-Backed Securities | 24,020 | 23,473 | 547 | ||
Municipal Bonds | 2,366 | 2,366 | — | ||
U.S. Government Securities | 8,712 | 8,712 | — | ||
Equity Securities: | |||||
Preferred Stocks | 1,279 | 1,279 | — | ||
Total Investments | $93,265 | $92,718 | $547 |
Total | Mortgage-Backed Securities | ||
Investments in Securities | |||
Balance as of September 30, 2018: | $— | $— | |
Accrued discount/(premium) | —(a) | —(a) | |
Change in unrealized appreciation (depreciation)(b) | 2 | 2 | |
Purchases | 545 | 545 | |
Balance as of September 30, 2019 | $547 | $547 |
September 30, 2019
Par Value | Value | ||
Foreign Government Securities—0.5% | |||
Republic of Egypt 144A 7.600%, 3/1/29(1) | $200 | $212 | |
Republic of Turkey 7.375%, 2/5/25 | 115 | 122 | |
Total Foreign Government Securities (Identified Cost $320) | 334 | ||
Mortgage-Backed Security—0.3% | |||
Non-Agency—0.3% | |||
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(2)(3) | 180 | 182 | |
Total Mortgage-Backed Security (Identified Cost $180) | 182 | ||
Asset-Backed Security—0.1% | |||
Other—0.1% | |||
TGIF Funding LLC 2017-1A, A2 144A 6.202%, 4/30/47(1) | 67 | 66 | |
Total Asset-Backed Security (Identified Cost $65) | 66 | ||
Corporate Bonds and Notes—85.3% | |||
Communication Services—13.8% | |||
Altice France S.A. 144A 7.375%, 5/1/26(1) | 340 | 365 | |
Cablevision Systems Corp. 5.875%, 9/15/22 | 150 | 162 | |
CCO Holdings LLC | |||
144A 5.125%, 5/1/27(1) | 350 | 365 | |
144A 4.750%, 3/1/30(1) | 325 | 329 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1) | 265 | 245 | |
Clear Channel Worldwide Holdings, Inc. | |||
144A 9.250%, 2/15/24(1) | 163 | 179 | |
144A 5.125%, 8/15/27(1) | 100 | 104 | |
Consolidated Communications, Inc. 6.500%, 10/1/22(4) | 315 | 291 | |
CSC Holdings LLC | |||
144A 5.500%, 4/15/27(1) | 135 | 143 | |
144A 7.500%, 4/1/28(1) | 200 | 225 | |
144A 5.750%, 1/15/30(1) | 600 | 627 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 105 | 109 | |
144A 6.625%, 8/15/27(1) | 280 | 290 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 95 | 99 | |
5.000%, 3/15/23 | 210 | 212 | |
7.750%, 7/1/26 | 160 | 163 | |
Frontier Communications Corp. | |||
8.500%, 4/15/20(4) | 396 | 206 | |
11.000%, 9/15/25 | 175 | 79 |
Par Value | Value | ||
Communication Services—continued | |||
144A 8.500%, 4/1/26(1) | $100 | $100 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1) | 290 | 296 | |
iHeartCommunications, Inc. | |||
6.375%, 5/1/26(4) | 17 | 19 | |
8.375%, 5/1/27 | 32 | 34 | |
144A 5.250%, 8/15/27(1) | 25 | 26 | |
Escrow 0.000%, 5/1/23(2) | 290 | — | |
Level 3 Financing, Inc. | |||
5.375%, 1/15/24 | 245 | 250 | |
5.250%, 3/15/26 | 135 | 140 | |
Live Nation Entertainment, Inc. 144A 5.625%, 3/15/26(1) | 290 | 308 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(1) | 210 | 182 | |
Meredith Corp. 6.875%, 2/1/26 | 330 | 335 | |
Sinclair Television Group, Inc. 144A 5.125%, 2/15/27(1) | 200 | 201 | |
Sirius XM Radio, Inc. | |||
144A 4.625%, 7/15/24(1) | 55 | 57 | |
144A 5.500%, 7/1/29(1) | 305 | 326 | |
Sprint Corp. 7.875%, 9/15/23 | 390 | 428 | |
Telenet Finance Luxembourg Notes S.a.r.l. 144A 5.500%, 3/1/28(1) | 200 | 210 | |
Telesat Canada 144A 6.500%, 10/15/27(1) | 375 | 382 | |
T-Mobile USA, Inc. 0.000%, 1/15/24(2) | 275 | — | |
Univision Communications, Inc. 144A 5.125%, 2/15/25(1) | 325 | 316 | |
Virgin Media Secured Finance plc 144A 5.500%, 5/15/29(1) | 300 | 313 | |
West Corp. 144A 8.500%, 10/15/25(1) | 145 | 117 | |
Zayo Group LLC | |||
6.000%, 4/1/23 | 70 | 72 | |
6.375%, 5/15/25 | 70 | 72 | |
8,377 | |||
Consumer Discretionary—13.6% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 410 | 390 | |
American Greetings Corp. 144A 8.750%, 4/15/25(1) | 165 | 150 | |
Avis Budget Car Rental LLC 144A 5.750%, 7/15/27(1) | 140 | 144 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Beazer Homes USA, Inc. | |||
6.750%, 3/15/25 | $95 | $97 | |
5.875%, 10/15/27 | 250 | 243 | |
Boyd Gaming Corp. | |||
6.375%, 4/1/26 | 255 | 270 | |
6.000%, 8/15/26 | 145 | 153 | |
Brookfield Residential Properties, Inc. 144A 6.250%, 9/15/27(1) | 460 | 462 | |
Caesars Resort Collection LLC 144A 5.250%, 10/15/25(1) | 165 | 169 | |
Diamond Resorts International, Inc. 144A 10.750%, 9/1/24(1) | 250 | 257 | |
Downstream Development Authority of The Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(1) | 115 | 122 | |
Eldorado Resorts, Inc. 6.000%, 9/15/26 | 180 | 197 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(1) | 315 | 327 | |
GLP Capital LP | |||
5.250%, 6/1/25 | 235 | 259 | |
5.750%, 6/1/28 | 115 | 131 | |
Golden Nugget, Inc. | |||
144A 6.750%, 10/15/24(1) | 290 | 297 | |
144A 8.750%, 10/1/25(1) | 145 | 151 | |
IAA, Inc. 144A 5.500%, 6/15/27(1) | 70 | 74 | |
International Game Technology plc | |||
144A 6.250%, 2/15/22(1) | 200 | 211 | |
144A 6.250%, 1/15/27(1) | 200 | 222 | |
Lennar Corp. 5.250%, 6/1/26 | 265 | 287 | |
MGM Growth Properties Operating Partnership LP | |||
5.625%, 5/1/24 | 65 | 71 | |
4.500%, 1/15/28 | 120 | 125 | |
144A 5.750%, 2/1/27(1) | 155 | 174 | |
MGM Resorts International 5.750%, 6/15/25 | 170 | 187 | |
Michaels Stores, Inc. 144A 8.000%, 7/15/27(1) | 95 | 95 | |
Neiman Marcus Group Ltd. LLC 144A 8.000%, 10/25/24(1) | 332 | 97 | |
Panther BF Aggregator 2 LP | |||
144A 6.250%, 5/15/26(1) | 15 | 16 | |
144A 8.500%, 5/15/27(1) | 255 | 258 | |
PetSmart, Inc. 144A 7.125%, 3/15/23(1) | 115 | 108 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 180 | 220 | |
Scientific Games International, Inc. | |||
6.625%, 5/15/21 | 205 | 208 | |
144A 5.000%, 10/15/25(1) | 250 | 258 | |
144A 8.250%, 3/15/26(1) | 120 | 128 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Sonic Automotive, Inc. 6.125%, 3/15/27 | $200 | $203 | |
Tenneco, Inc. 5.000%, 7/15/26(4) | 240 | 197 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 345 | 367 | |
Twin River Worldwide Holdings, Inc. 144A 6.750%, 6/1/27(1) | 50 | 53 | |
Viking Cruises Ltd. 144A 5.875%, 9/15/27(1) | 200 | 212 | |
Vista Outdoor, Inc. 5.875%, 10/1/23 | 185 | 170 | |
Weekley Homes LLC 6.625%, 8/15/25 | 305 | 306 | |
William Lyon Homes, Inc. 6.000%, 9/1/23 | 200 | 208 | |
8,274 | |||
Consumer Staples—3.5% | |||
Albertson’s Cos. LLC | |||
5.750%, 3/15/25 | 195 | 201 | |
144A 7.500%, 3/15/26(1) | 45 | 50 | |
144A 5.875%, 2/15/28(1) | 25 | 27 | |
Chobani LLC 144A 7.500%, 4/15/25(1) | 315 | 302 | |
Cumberland Farms, Inc. 144A 6.750%, 5/1/25(1) | 315 | 337 | |
Dole Food Co., Inc. 144A 7.250%, 6/15/25(1) | 325 | 306 | |
H-Food Holdings LLC 144A 8.500%, 6/1/26(1) | 135 | 101 | |
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23(1) | 195 | 172 | |
Post Holdings, Inc. | |||
144A 5.500%, 3/1/25(1) | 65 | 68 | |
144A 5.000%, 8/15/26(1) | 305 | 316 | |
Prestige Brands, Inc. 144A 6.375%, 3/1/24(1) | 255 | 265 | |
2,145 | |||
Energy—7.5% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 285 | 281 | |
American Midstream Partners LP 144A 9.500%, 12/15/21(1) | 175 | 165 | |
Blue Racer Midstream LLC 144A 6.125%, 11/15/22(1) | 165 | 166 | |
California Resources Corp. | |||
6.000%, 11/15/24 | 16 | 6 | |
144A 8.000%, 12/15/22(1)(4) | 104 | 51 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 141 | 139 |
Par Value | Value | ||
Energy—continued | |||
Cheniere Corpus Christi Holdings LLC 5.875%, 3/31/25 | $295 | $328 | |
Cheniere Energy Partners LP 5.625%, 10/1/26 | 160 | 170 | |
Chesapeake Energy Corp. 8.000%, 6/15/27(4) | 310 | 208 | |
CrownRock LP 144A 5.625%, 10/15/25(1) | 260 | 262 | |
CSI Compressco LP 7.250%, 8/15/22 | 205 | 185 | |
Denbury Resources, Inc. | |||
144A 9.250%, 3/31/22(1) | 178 | 156 | |
144A 7.750%, 2/15/24(1) | 285 | 220 | |
EP Energy LLC | |||
144A 9.375%, 5/1/24(1)(5) | 70 | 2 | |
144A 8.000%, 11/29/24(1)(4)(5) | 45 | 17 | |
144A 8.000%, 2/15/25(1)(5) | 80 | 2 | |
144A 7.750%, 5/15/26(1)(5) | 35 | 26 | |
Geopark Ltd. 144A 6.500%, 9/21/24(1) | 215 | 221 | |
Kosmos Energy Ltd. 144A 7.125%, 4/4/26(1) | 200 | 206 | |
Nabors Industries, Inc. 5.750%, 2/1/25 | 165 | 122 | |
NuStar Logistics LP 5.625%, 4/28/27 | 155 | 164 | |
Petrobras Global Finance B.V. | |||
5.299%, 1/27/25 | 120 | 131 | |
5.750%, 2/1/29 | 125 | 138 | |
Range Resources Corp. 4.875%, 5/15/25(4) | 140 | 116 | |
Rowan Cos., Inc. 5.400%, 12/1/42 | 265 | 110 | |
Sanchez Energy Corp. 144A 7.250%, 2/15/23(1)(4)(5) | 115 | 83 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 175 | 185 | |
Transocean, Inc. | |||
6.800%, 3/15/38 | 300 | 185 | |
144A 7.500%, 1/15/26(1) | 65 | 58 | |
USA Compression Partners LP | |||
6.875%, 4/1/26 | 230 | 239 | |
144A 6.875%, 9/1/27(1) | 30 | 31 | |
Vine Oil & Gas LP 144A 8.750%, 4/15/23(1) | 205 | 93 | |
Weatherford International Ltd. 8.250%, 6/15/23(5) | 190 | 67 | |
4,533 | |||
Financials—6.2% | |||
Acrisure LLC | |||
144A 8.125%, 2/15/24(1) | 95 | 102 | |
144A 7.000%, 11/15/25(1) | 240 | 224 |
Par Value | Value | ||
Financials—continued | |||
Ally Financial, Inc. 5.750%, 11/20/25 | $235 | $263 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 305 | 311 | |
Fairstone Financial, Inc. 144A 7.875%, 7/15/24(1) | 35 | 37 | |
ICAHN Enterprises LP | |||
5.875%, 2/1/22 | 175 | 177 | |
6.375%, 12/15/25 | 145 | 152 | |
144A 6.250%, 5/15/26(1) | 220 | 230 | |
ING Groep N.V. 6.000%(6)(7) | 200 | 202 | |
Nationstar Mortgage Holdings, Inc. 144A 8.125%, 7/15/23(1) | 115 | 120 | |
Nationstar Mortgage LLC 6.500%, 7/1/21 | 250 | 251 | |
Navient Corp. | |||
5.875%, 10/25/24 | 305 | 307 | |
6.750%, 6/25/25 | 250 | 258 | |
Springleaf Finance Corp. | |||
6.875%, 3/15/25 | 370 | 408 | |
7.125%, 3/15/26 | 85 | 94 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 310 | 328 | |
Tempo Acquisition LLC 144A 6.750%, 6/1/25(1) | 60 | 62 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 205 | 216 | |
3,742 | |||
Health Care—9.8% | |||
Advanz Pharma Corp. 8.000%, 9/6/24 | 41 | 40 | |
Avantor, Inc. | |||
144A 6.000%, 10/1/24(1) | 130 | 139 | |
144A 9.000%, 10/1/25(1) | 380 | 427 | |
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(1) | 135 | 153 | |
144A 8.500%, 1/31/27(1) | 270 | 303 | |
Bausch Health Cos., Inc. | |||
144A 5.500%, 11/1/25(1) | 350 | 366 | |
144A 7.000%, 1/15/28(1) | 190 | 205 | |
Catalent Pharma Solutions, Inc. 144A 5.000%, 7/15/27(1) | 75 | 78 | |
Centene Corp. 144A 5.375%, 6/1/26(1) | 60 | 63 | |
Change Healthcare Holdings LLC 144A 5.750%, 3/1/25(1) | 85 | 86 | |
Charles River Laboratories International, Inc. 144A 5.500%, 4/1/26(1) | 195 | 207 | |
Eagle Holding Co. II LLC | |||
PIK Interest Capitalization, 144A 7.625%, 5/15/22(1)(8) | 355 | 358 |
Par Value | Value | ||
Health Care—continued | |||
PIK Interest Capitalization, 144A 7.750%, 5/15/22(1)(9) | $305 | $307 | |
Endo Finance LLC 144A 5.375%, 1/15/23(1) | 250 | 152 | |
HCA, Inc. | |||
5.375%, 2/1/25 | 330 | 361 | |
5.625%, 9/1/28 | 315 | 351 | |
5.875%, 2/1/29 | 35 | 39 | |
Ortho-Clinical Diagnostics, Inc. 144A 6.625%, 5/15/22(1) | 275 | 269 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 115 | 105 | |
Perrigo Finance Unlimited Co. 4.375%, 3/15/26 | 210 | 217 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 120 | 125 | |
Sotera Health Holdings LLC 144A 6.500%, 5/15/23(1) | 325 | 332 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(1)(4) | 55 | 49 | |
144A 10.000%, 4/15/27(1) | 130 | 132 | |
Tenet Healthcare Corp. | |||
8.125%, 4/1/22 | 85 | 92 | |
7.000%, 8/1/25(4) | 180 | 183 | |
144A 4.875%, 1/1/26(1) | 180 | 185 | |
144A 6.250%, 2/1/27(1) | 130 | 135 | |
144A 5.125%, 11/1/27(1) | 60 | 62 | |
Teva Pharmaceutical Finance Netherlands III BV 3.150%, 10/1/26 | 115 | 81 | |
WellCare Health Plans, Inc. 5.250%, 4/1/25 | 135 | 141 | |
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25(1) | 220 | 202 | |
5,945 | |||
Industrials—9.5% | |||
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(1) | 300 | 310 | |
Beacon Roofing Supply, Inc. 144A 4.500%, 11/15/26(1) | 25 | 25 | |
Bombardier, Inc. | |||
144A 6.125%, 1/15/23(1) | 95 | 97 | |
144A 7.500%, 12/1/24(1) | 155 | 156 | |
144A 7.875%, 4/15/27(1) | 70 | 70 | |
Delhi International Airport Ltd. 144A 6.450%, 6/4/29(1) | 200 | 212 |
Par Value | Value | ||
Industrials—continued | |||
Fortress Transportation & Infrastructure Investors LLC | |||
144A 6.750%, 3/15/22(1) | $175 | $183 | |
144A 6.500%, 10/1/25(1) | 220 | 226 | |
Garda World Security Corp. 144A 8.750%, 5/15/25(1) | 305 | 313 | |
GFL Environmental, Inc. | |||
144A 7.000%, 6/1/26(1) | 165 | 174 | |
144A 8.500%, 5/1/27(1) | 120 | 133 | |
Granite Holdings US Acquisition Co. 144A 11.000%, 10/1/27(1) | 300 | 290 | |
Hillman Group, Inc. (The) 144A 6.375%, 7/15/22(1) | 190 | 178 | |
New Enterprise Stone & Lime Co., Inc. 144A 10.125%, 4/1/22(1) | 235 | 241 | |
Norwegian Air Shuttle ASA Pass-Through-Trust 2016-1, A 144A 4.875%, 5/10/28(1) | 613 | 598 | |
Owens Corning 3.950%, 8/15/29 | 202 | 205 | |
Patrick Industries, Inc. 144A 7.500%, 10/15/27(1) | 210 | 216 | |
Pentair Finance S.a.r.l 4.500%, 7/1/29 | 230 | 239 | |
RBS Global, Inc. 144A 4.875%, 12/15/25(1) | 175 | 180 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(1) | 210 | 197 | |
Topaz Marine S.A. 144A 9.125%, 7/26/22(1) | 360 | 376 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(1) | 905 | 972 | |
Vertiv Intermediate Holding Corp. PIK Interest Capitalization, 144A 12.000%, 2/15/22(1)(8) | 220 | 197 | |
5,788 | |||
Information Technology—3.4% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(1) | 170 | 162 | |
CommScope, Inc. 144A 8.250%, 3/1/27(1) | 225 | 219 | |
Dell International LLC | |||
144A 4.900%, 10/1/26(1) | 155 | 166 | |
144A 5.300%, 10/1/29(1) | 155 | 169 | |
Dun & Bradstreet Corp. (The) 144A 10.250%, 2/15/27(1) | 140 | 155 | |
Everi Payments, Inc. 144A 7.500%, 12/15/25(1) | 65 | 69 | |
Exela Intermediate LLC 144A 10.000%, 7/15/23(1) | 110 | 61 |
Par Value | Value | ||
Information Technology—continued | |||
Infor US, Inc. 6.500%, 5/15/22 | $200 | $203 | |
Radiate Holdco LLC 144A 6.625%, 2/15/25(1) | 240 | 242 | |
SS&C Technologies, Inc. 144A 5.500%, 9/30/27(1) | 300 | 314 | |
ViaSat, Inc. 144A 5.625%, 9/15/25(1) | 305 | 307 | |
2,067 | |||
Materials—10.7% | |||
AK Steel Corp. | |||
7.500%, 7/15/23 | 150 | 151 | |
7.000%, 3/15/27(4) | 170 | 146 | |
ArcelorMittal 6.125%, 6/1/25 | 130 | 146 | |
ARD Securities Finance S.a.r.l. PIK Interest Capitalization, 144A 8.750%, 1/31/23(1)(4)(10) | 319 | 330 | |
Ardagh Packaging Finance plc | |||
144A 6.000%, 2/15/25(1) | 200 | 209 | |
144A 5.250%, 8/15/27(1) | 200 | 203 | |
Atotech Alpha 3 BV 144A 6.250%, 2/1/25(1) | 280 | 281 | |
Calumet Specialty Products Partners LP 7.625%, 1/15/22(4) | 160 | 154 | |
Cascades, Inc. | |||
144A 5.500%, 7/15/22(1) | 140 | 142 | |
144A 5.750%, 7/15/23(1)(4) | 115 | 116 | |
CPG Merger Sub LLC 144A 8.000%, 10/1/21(1) | 320 | 320 | |
Element Solutions, Inc. 144A 5.875%, 12/1/25(1) | 175 | 183 | |
Greif, Inc. 144A 6.500%, 3/1/27(1) | 195 | 207 | |
Hexion, Inc. 144A 7.875%, 7/15/27(1) | 100 | 99 | |
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24(1)(4) | 315 | 324 | |
James Hardie International Finance DAC | |||
144A 4.750%, 1/15/25(1) | 200 | 206 | |
144A 5.000%, 1/15/28(1) | 200 | 208 | |
Kraton Polymers LLC 144A 7.000%, 4/15/25(1) | 310 | 323 | |
LSB Industries, Inc. 144A 9.625%, 5/1/23(1)(4) | 260 | 274 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(1) | 220 | 208 | |
Olin Corp. 5.625%, 8/1/29 | 320 | 333 |
Par Value | Value | ||
Materials—continued | |||
Owens-Brockway Glass Container, Inc. 144A 6.375%, 8/15/25(1) | $180 | $191 | |
Reynolds Group Issuer, Inc. | |||
144A 7.000%, 7/15/24(1) | 165 | 171 | |
RegS 7.000%, 7/15/24(11) | 125 | 130 | |
Schweitzer-Mauduit International, Inc. 144A 6.875%, 10/1/26(1) | 250 | 264 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 150 | 170 | |
TPC Group, Inc. 144A 10.500%, 8/1/24(1) | 200 | 209 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(1) | 150 | 147 | |
144A 6.625%, 11/1/25(1) | 265 | 232 | |
United States Steel Corp. 6.250%, 3/15/26 | 235 | 197 | |
Vedanta Resources plc 144A 6.375%, 7/30/22(1) | 200 | 196 | |
6,470 | |||
Real Estate—3.2% | |||
ESH Hospitality, Inc. | |||
144A 5.250%, 5/1/25(1) | 240 | 248 | |
144A 4.625%, 10/1/27(1) | 365 | 366 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(1) | 315 | 320 | |
iStar, Inc. | |||
6.000%, 4/1/22 | 170 | 175 | |
5.250%, 9/15/22 | 335 | 342 | |
4.750%, 10/1/24 | 125 | 127 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 130 | 136 | |
4.625%, 8/1/29 | 50 | 52 | |
Uniti Group, Inc. 144A 7.125%, 12/15/24(1)(4) | 185 | 160 | |
1,926 | |||
Utilities—4.1% | |||
Calpine Corp. 5.375%, 1/15/23 | 350 | 354 | |
DPL, Inc. 144A 4.350%, 4/15/29(1) | 305 | 301 | |
Ferrellgas Partners LP 8.625%, 6/15/20 | 140 | 105 | |
Suburban Propane Partners LP 5.500%, 6/1/24 | 145 | 148 | |
Talen Energy Supply LLC | |||
144A 7.250%, 5/15/27(1) | 105 | 107 | |
144A 6.625%, 1/15/28(1) | 205 | 201 | |
TerraForm Power Operating LLC | |||
144A 4.250%, 1/31/23(1) | 175 | 179 |
Par Value | Value | ||
Utilities—continued | |||
144A 5.000%, 1/31/28(1) | $240 | $250 | |
Texas Competitive Electric Holdings Co. 144A 0.000%, 10/1/49(1)(2) | 500 | 1 | |
Transportadora de Gas Internacional SA ESP 144A 5.550%, 11/1/28(1) | 205 | 236 | |
Vistra Operations Co. LLC | |||
144A 5.625%, 2/15/27(1) | 450 | 474 | |
144A 4.300%, 7/15/29(1) | 150 | 154 | |
2,510 | |||
Total Corporate Bonds and Notes (Identified Cost $51,969) | 51,777 | ||
Leveraged Loans(3)—9.6% | |||
Aerospace—0.4% | |||
Dynasty Acquisition Co., Inc. | |||
Tranche B-1 (3 month LIBOR + 4.000%) 6.104%, 4/6/26 | 91 | 91 | |
Tranche B-2 (3 month LIBOR + 4.000%) 6.104%, 4/6/26 | 49 | 49 | |
DynCorp International, Inc. Tranche B, First Lien (1 month LIBOR + 6.000%) 8.028%, 8/15/25 | 95 | 93 | |
233 | |||
Chemicals—0.4% | |||
Omnova Solutions, Inc. Tranche B-2 (1 month LIBOR + 3.250%) 5.294%, 8/25/23 | 165 | 165 | |
US Salt LLC (1 month LIBOR + 4.750%) 6.794%, 1/16/26 | 55 | 55 | |
220 | |||
Consumer Durables—0.2% | |||
Global Appliance, Inc. Tranche B (1 month LIBOR + 4.000%) 6.050%, 9/29/24 | 145 | 144 | |
Consumer Non-Durables—0.9% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 6.544%, 4/6/24 | 94 | 93 | |
Diamond (BC) B.V. (3 month LIBOR + 3.000%) 5.256%, 9/6/24 | 187 | 178 |
Par Value | Value | ||
Consumer Non-Durables—continued | |||
Kronos Acquisition Holdings, Inc. Tranche B-3 (3 month LIBOR + 4.000%) 6.256%, 5/15/23 | $128 | $121 | |
Parfums Holding Co., Inc. First Lien (3 month LIBOR + 4.250%) 6.374%, 6/30/24 | 173 | 172 | |
564 | |||
Energy—1.0% | |||
California Resources Corp. | |||
2016 (1 month LIBOR + 10.375%) 12.419%, 12/31/21 | 155 | 134 | |
2017 (1 month LIBOR + 4.750%) 6.794%, 12/31/22 | 55 | 49 | |
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 5.000%) 7.104%, 3/27/24 | 94 | 95 | |
Fieldwood Energy LLC First Lien (3 month LIBOR + 5.250%) 7.506%, 4/11/22 | 245 | 212 | |
McDermott International, Inc. (3 month LIBOR + 5.000%) 0.000%, 5/12/25(12) | 160 | 100 | |
590 | |||
Financial—0.5% | |||
Asurion LLC Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 8.544%, 8/4/25 | 128 | 130 | |
Financial & Risk US Holdings, Inc. (1 month LIBOR + 3.750%) 5.794%, 10/1/25 | 164 | 165 | |
295 | |||
Food / Tobacco—0.4% | |||
Chobani LLC Tranche B (1 month LIBOR + 3.500%) 5.544%, 10/10/23 | 122 | 120 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 6.044%, 8/16/23 | 144 | 139 | |
259 | |||
Par Value | Value | ||
Food and Drug—0.3% | |||
Albertsons LLC 2019, Tranche B-7 (1 month LIBOR + 2.750%) 4.794%, 11/17/25 | $142 | $143 | |
Sage Borrowco LLC Tranche B, First Lien (1 month LIBOR + 4.750%) 6.794%, 6/20/26 | 65 | 65 | |
208 | |||
Forest Prod / Containers—0.6% | |||
BWay Holding Co. (3 month LIBOR + 3.250%) 5.590%, 4/3/24 | 160 | 156 | |
Klockner Pentaplast of America, Inc. (1 month LIBOR + 4.250%) 6.294%, 6/30/22 | 204 | 180 | |
336 | |||
Gaming / Leisure—0.6% | |||
Gateway Casinos & Entertainment Ltd. (3 month LIBOR + 3.000%) 5.104%, 12/1/23 | 44 | 44 | |
PCI Gaming Authority Tranche B (1 month LIBOR + 3.000%) 5.044%, 5/15/26 | 55 | 55 | |
UFC Holdings LLC Tranche B (1 month LIBOR + 3.250%) 3.250%, 4/29/26 | 284 | 284 | |
383 | |||
Healthcare—0.6% | |||
21st Century Oncology, Inc. Tranche B (3 month LIBOR + 6.125%) 8.455%, 1/16/23 | 154 | 137 | |
Aldevron LLC Tranche B (3 month LIBOR + 4.250%) 0.000%, 9/18/26(12) | 35 | 35 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 5.794%, 10/10/25 | 135 | 110 | |
Ortho-Clinical Diagnostics, Inc. (3 month LIBOR + 3.250%) 5.563%, 6/30/25 | 89 | 86 | |
368 | |||
Par Value | Value | ||
Housing—0.5% | |||
Capital Automotive LP Tranche B, Second Lien (1 month LIBOR + 6.000%) 8.044%, 3/24/25 | $156 | $156 | |
CPG International LLC (3 month LIBOR + 3.750%) 5.933%, 5/6/24 | 146 | 146 | |
302 | |||
Information Technology—0.4% | |||
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 6.294%, 10/2/25 | 139 | 134 | |
Kronos, Inc. Second Lien (3 month LIBOR + 8.250%) 10.503%, 11/1/24 | 78 | 79 | |
213 | |||
Media / Telecom - Broadcasting—0.1% | |||
iHeartCommunications, Inc. (1 month LIBOR + 4.000%) 6.100%, 5/1/26 | 60 | 61 | |
Media / Telecom - Telecommunications—0.5% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.750%) 4.794%, 1/31/25 | 163 | 161 | |
Securus Technologies Holdings, Inc. | |||
First Lien (1 month LIBOR + 4.500%) 6.544%, 11/1/24 | 59 | 52 | |
Second Lien (1 month LIBOR + 8.250%) 10.294%, 11/1/25 | 100 | 88 | |
301 | |||
Media / Telecom - Wireless Communications—0.3% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 5.294%, 4/4/26 | 60 | 60 | |
Sprint Communications, Inc. (1 month LIBOR + 2.500%) 4.563%, 2/2/24 | 112 | 111 | |
171 | |||
Service—1.1% | |||
Argus Media Ltd. (3 month LIBOR + 3.500%) 0.000%, 9/24/26(12) | 70 | 70 |
Par Value | Value | ||
Service—continued | |||
Dun & Bradstreet Corp. (The) (1 month LIBOR + 5.000%) 7.054%, 2/6/26 | $150 | $151 | |
Pi US Mergerco, Inc. Tranche B-1 (1 month LIBOR + 3.250%) 5.294%, 1/3/25 | 158 | 157 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 5.294%, 12/31/25 | 164 | 161 | |
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 5.800%, 2/1/23 | 154 | 151 | |
690 | |||
Transportation - Automotive—0.3% | |||
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 5.544%, 4/30/26 | 195 | 193 | |
Utility—0.5% | |||
APLP Holdings LP (1 month LIBOR + 2.750%) 4.794%, 4/13/23 | 134 | 134 | |
Brookfield WEC Holdings, Inc. First Lien (1 month LIBOR + 3.500%) 5.544%, 8/1/25 | 79 | 79 | |
Lightstone Holdco LLC | |||
2018, Tranche B (1 month LIBOR + 3.750%) 5.794%, 1/30/24 | 88 | 84 | |
2018, Tranche C (1 month LIBOR + 3.750%) 5.794%, 1/30/24 | 5 | 5 | |
302 | |||
Total Leveraged Loans (Identified Cost $6,014) | 5,833 | ||
Shares | ||
Preferred Stocks—0.8% | ||
Financials—0.8% | ||
Citigroup, Inc. Series T, 6.250% | 190(13) | 212 |
Shares | Value | ||
Financials—continued | |||
KeyCorp Series D, 5.000% | 250(13) | $258 | |
470 | |||
Total Preferred Stocks (Identified Cost $441) | 470 | ||
Common Stocks—0.1% | |||
Communication Services—0.0% | |||
Clear Channel Outdoor Holdings, Inc.(14) | 7,282 | 18 | |
Energy—0.1% | |||
Frontera Energy Corp. | 1,088 | 11 | |
Sabine Oil & Gas Holdings, Inc.(2) | 160 | 8 | |
19 | |||
Total Common Stocks (Identified Cost $62) | 37 | ||
Exchange-Traded Funds—1.0% | |||
iShares iBoxx High Yield Corporate Bond ETF(15) | 3,471 | 303 | |
SPDR Bloomberg Barclays High Yield Bond Index Fund(15) | 2,862 | 311 | |
Total Exchange-Traded Funds (Identified Cost $609) | 614 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(2)(14) | 8,563 | 7 | |
Total Rights (Identified Cost $7) | 7 | ||
Warrants—0.1% | |||
Communication Services—0.1% | |||
iHeartMedia, Inc.(2)(14) | 3,097 | 44 | |
Energy—0.0% | |||
Sabine Oil & Gas Holdings, Inc.(2)(14) | 105 | 1 | |
Sabine Oil & Gas Holdings, Inc.(2)(14) | 501 | 4 | |
5 | |||
Total Warrants (Identified Cost $58) | 49 | ||
Total Long-Term Investments—97.8% (Identified Cost $59,725) | 59,369 | ||
Shares | Value | ||
Securities Lending Collateral—3.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(15)(16) | 2,315,385 | $2,315 | |
Total Securities Lending Collateral (Identified Cost $2,315) | 2,315 | ||
TOTAL INVESTMENTS—101.6% (Identified Cost $62,040) | $61,684 | ||
Other assets and liabilities, net—(1.6)% | (953) | ||
NET ASSETS—100.0% | $60,731 |
Abbreviations: | |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
SPDR | S&P Depositary Receipt |
Footnote Legend: | |
(1) | 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, 2019, these securities amounted to a value of $35,018 or 57.7% of net assets. |
(2) | 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 after the Schedule of Investments. |
(3) | Variable rate security. Rate disclosed is as of September 30, 2019. 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. |
(4) | All or a portion of security is on loan. |
(5) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(6) | Interest payments may be deferred. |
(7) | No contractual maturity date. |
(8) | 100% of the income received was in cash. |
(9) | First pay date will be in November 2019. |
(10) | 100% of the income received was in PIK. |
(11) | 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. |
(12) | This loan will settle after September 30, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(13) | Value shown as par value. |
(14) | Non-income producing. |
(15) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(16) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 81% |
Canada | 6 |
Luxembourg | 3 |
United Kingdom | 2 |
Ireland | 2 |
Netherlands | 2 |
Norway | 1 |
Other | 3 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Security | $66 | $— | $66 | $— | |||
Corporate Bonds and Notes | 51,777 | — | 51,776 | 1 | |||
Foreign Government Securities | 334 | — | 334 | — | |||
Leveraged Loans | 5,833 | — | 5,833 | — | |||
Mortgage-Backed Security | 182 | — | — | 182 | |||
Equity Securities: | |||||||
Exchange-Traded Funds | 614 | 614 | — | — | |||
Common Stocks | 37 | 29 | — | 8 | |||
Preferred Stocks | 470 | — | 470 | — | |||
Rights | 7 | — | — | 7 | |||
Warrants | 49 | — | — | 49 | |||
Securities Lending Collateral | 2,315 | 2,315 | — | — | |||
Total Investments | $61,684 | $2,958 | $58,479 | $247 |
September 30, 2019
Par Value | Value | ||
U.S. Government Securities—4.0% | |||
U.S. Treasury Bill | |||
0.000%, 12/26/19 | $910 | $906 | |
0.000%, 8/13/20 | 5,500 | 5,416 | |
U.S. Treasury Notes | |||
1.750%, 6/15/22 | 10,940 | 10,990 | |
1.250%, 8/31/24 | 1,105 | 1,090 | |
Total U.S. Government Securities (Identified Cost $18,396) | 18,402 | ||
Foreign Government Securities—0.6% | |||
Kingdom of Saudi Arabia 144A 4.000%, 4/17/25(1) | 200 | 214 | |
Republic of Indonesia 144A 5.875%, 1/15/24(1) | 755 | 849 | |
Republic of Kazakhstan 144A 5.125%, 7/21/25(1) | 570 | 645 | |
Republic of South Africa | |||
4.665%, 1/17/24 | 325 | 341 | |
5.875%, 9/16/25 | 575 | 626 | |
Total Foreign Government Securities (Identified Cost $2,663) | 2,675 | ||
Mortgage-Backed Securities—36.8% | |||
Agency—1.0% | |||
Federal National Mortgage Association | |||
Pool #AD6058 4.000%, 8/1/25 | 36 | 37 | |
Pool #AO5149 3.000%, 6/1/27 | 129 | 132 | |
Pool #AL7532 3.000%, 11/1/27 | 499 | 513 | |
Pool #AS5730 3.000%, 9/1/30 | 985 | 1,011 | |
Pool #AS5927 3.000%, 10/1/30 | 449 | 461 | |
Pool #MA0908 4.000%, 11/1/31 | 246 | 261 | |
Pool #AC3654 5.000%, 10/1/39 | 160 | 176 | |
Pool #AD3841 4.500%, 4/1/40 | 68 | 74 | |
Pool #MA3663 3.500%, 5/1/49 | 1,653 | 1,697 | |
Federal National Mortgage Association REMIC 1997-70, PE (P.O.) 0.000%, 4/25/22 | 1 | 1 | |
Government National Mortgage Association | |||
Pool #345039 7.000%, 9/15/23 | 3 | 4 |
Par Value | Value | ||
Agency—continued | |||
Pool #780023 7.000%, 9/15/24 | $3 | $3 | |
Pool #407660 7.000%, 7/15/25 | 8 | 8 | |
4,378 | |||
Non-Agency—35.8% | |||
Access Point Funding I LLC 2017-A, A 144A 3.060%, 4/15/29(1) | 87 | 87 | |
Ajax Mortgage Loan Trust | |||
2017-B, A 144A 3.163%, 9/25/56(1)(2) | 493 | 494 | |
2019-D, A1 144A 2.956%, 9/25/65(1)(2) | 1,066 | 1,063 | |
American Homes 4 Rent Trust 2015-SFR1, A 144A 3.467%, 4/17/52(1) | 184 | 191 | |
Angel Oak Mortgage Trust I LLC | |||
2018-1, A1 144A 3.258%, 4/27/48(1)(2) | 532 | 534 | |
2018-2, A1 144A 3.674%, 7/27/48(1)(2) | 1,124 | 1,134 | |
2018-3, A1 144A 3.649%, 9/25/48(1)(2) | 2,048 | 2,071 | |
2019-1, A1 144A 3.920%, 11/25/48(1)(2) | 1,191 | 1,209 | |
Angel Oak Mortgage Trust LLC | |||
2017-3, A1 144A 2.708%, 11/25/47(1)(2) | 206 | 205 | |
2019-3, A1 144A 2.930%, 5/25/59(1)(2) | 1,228 | 1,236 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(2) | 1,728 | 1,759 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(2) | 920 | 941 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(2) | 929 | 943 | |
Ashford Hospitality Trust 2018-KEYS, B (1 month LIBOR + 1.450%) 144A 3.478%, 5/15/35(1)(2) | 1,100 | 1,098 | |
Aventura Mall Trust | |||
2013-AVM, A 144A 3.867%, 12/5/32(1)(2) | 1,721 | 1,741 | |
2013-AVM, C 144A 3.867%, 12/5/32(1)(2) | 1,130 | 1,143 | |
Banc of America Funding Trust | |||
2004-B, 2A1 4.943%, 11/20/34(2) | 19 | 20 | |
2005-1, 1A1 5.500%, 2/25/35 | 96 | 99 |
Par Value | Value | ||
Non-Agency—continued | |||
2006-2, 3A1 6.000%, 3/25/36 | $21 | $21 | |
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust | |||
2004-22CB, 1A1 6.000%, 10/25/34 | 1,748 | 1,790 | |
2004-24CB, 1A1 6.000%, 11/25/34 | 150 | 155 | |
Bank of America (Merrill Lynch) Investors Trust 2004-A4, A1 4.380%, 8/25/34(2) | 345 | 349 | |
Bayview Commercial Asset Trust 2006-2A, A2 (1 month LIBOR + 0.280%) 144A 2.298%, 7/25/36(1)(2) | 221 | 213 | |
Bayview Koitere Fund Trust 2017-RT4, A 144A 3.500%, 7/28/57(1)(2) | 226 | 230 | |
Bayview Opportunity Master Fund IVa Trust 2017-RT1, A1 144A 3.000%, 3/28/57(1)(2) | 554 | 559 | |
Bayview Opportunity Master Fund IVb Trust 2017-SPL4, A 144A 3.500%, 1/28/55(1)(2) | 419 | 426 | |
Bear Stearns ARM Trust 2004-9, 22A1 4.453%, 11/25/34(2) | 303 | 313 | |
Bunker Hill Loan Depositary Trust | |||
2019-1, A1 144A 3.613%, 10/26/48(1)(2) | 2,796 | 2,828 | |
2019-2, A1 144A 2.879%, 7/25/49(1)(2) | 1,769 | 1,781 | |
BX Trust | |||
2018-MCSF, A (1 month LIBOR + 0.577%) 144A 2.604%, 4/15/35(1)(2) | 550 | 548 | |
2018-GW, B (1 month LIBOR + 1.020%) 144A 3.048%, 5/15/35(1)(2) | 1,265 | 1,263 | |
Caesars Palace Las Vegas Trust 2017-VICI, C 144A 4.138%, 10/15/34(1) | 590 | 617 | |
Citigroup Commercial Mortgage Trust | |||
2013-375P, B 144A 3.635%, 5/10/35(1)(2) | 695 | 719 | |
2019-SST2, A (1 month LIBOR + 0.920%) 144A 2.948%, 12/15/36(1)(2) | 1,200 | 1,198 |
Par Value | Value | ||
Non-Agency—continued | |||
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | $110 | $121 | |
2014-A, A 144A 4.000%, 1/25/35(1)(2) | 252 | 261 | |
2013-A, A 144A 3.000%, 5/25/42(1)(2) | 673 | 660 | |
2015-PS1, A1 144A 3.750%, 9/25/42(1)(2) | 178 | 182 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(2) | 1,266 | 1,265 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(2) | 383 | 387 | |
2018-RP3, A1 144A 3.250%, 3/25/61(1)(2) | 827 | 838 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(2) | 916 | 939 | |
COLT Mortgage Loan Trust Funding LLC | |||
2018-1, A1 144A 2.930%, 2/25/48(1)(2) | 519 | 519 | |
2018-2, A1 144A 3.470%, 7/27/48(1)(2) | 301 | 302 | |
2018-3, A1 144A 3.692%, 10/26/48(1)(2) | 1,074 | 1,081 | |
2019-1, A1 144A 3.705%, 3/25/49(1)(2) | 1,304 | 1,322 | |
2019-3, A1 144A 2.764%, 8/25/49(1)(2) | 389 | 391 | |
Commercial Mortgage Lease-Backed Certificates 2001-CMLB, A3 144A 7.471%, 6/20/31(1)(2) | 460 | 472 | |
Commercial Mortgage Trust 2014-277P, A 144A 3.732%, 8/10/49(1)(2) | 2,595 | 2,763 | |
CoreVest American Finance Trust | |||
2017-1, A 144A 2.968%, 10/15/49(1) | 1,231 | 1,237 | |
2018-1, A 144A 3.804%, 6/15/51(1) | 668 | 690 | |
2018-2, A 144A 4.026%, 11/15/52(1) | 1,025 | 1,078 | |
Credit Suisse First Boston Mortgage Securities Corp. | |||
2003-27, 5A3 5.250%, 11/25/33 | 30 | 31 | |
2003-AR30, 5A1 4.478%, 1/25/34(2) | 154 | 158 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 3.008%, 5/15/36(1)(2) | 1,455 | 1,455 | |
Credit Suisse Mortgage Capital Trust | |||
2013-HYB1, A16 144A 3.063%, 4/25/43(1)(2) | 459 | 458 | |
2014-IVR2, A2 144A 3.761%, 4/25/44(1)(2) | 540 | 543 |
Par Value | Value | ||
Non-Agency—continued | |||
2018-RPL8, A1 144A 4.125%, 7/25/58(1)(2) | $614 | $619 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A1 144A 2.725%, 12/26/46(1)(2) | 101 | 101 | |
2017-1A, A2 144A 2.928%, 12/26/46(1)(2) | 165 | 164 | |
2017-2A, A1 144A 2.453%, 6/25/47(1)(2) | 172 | 171 | |
2017-3A, A3 144A 2.813%, 10/25/47(1)(2) | 247 | 246 | |
2018-2A, A1 144A 3.479%, 4/25/58(1)(2) | 902 | 908 | |
2018-3A, A1 144A 3.789%, 8/25/58(1)(2) | 210 | 211 | |
2019-1A, A1 144A 3.743%, 1/25/59(1)(2) | 911 | 919 | |
Ellington Financial Mortgage Trust | |||
2017-1, A1 144A 2.687%, 10/25/47(1)(2) | 760 | 756 | |
2018-1, A1FX 144A 4.140%, 10/25/58(1)(2) | 1,582 | 1,602 | |
2019-1, A1 144A 2.934%, 6/25/59(1)(2) | 793 | 795 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(2) | 666 | 676 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(2) | 461 | 465 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(2) | 542 | 555 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(2) | 985 | 996 | |
GSAA Home Equity Trust | |||
2005-1, AF4 5.619%, 11/25/34(2) | 31 | 30 | |
2005-12, AF3W 4.999%, 9/25/35(2) | 33 | 34 | |
GSR Mortgage Loan Trust 2003-3F, 1A6 6.000%, 4/25/33 | 287 | 304 | |
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(1) | 1,070 | 1,069 | |
Homeward Opportunities Fund I Trust | |||
2018-1, A1 144A 3.766%, 6/25/48(1)(2) | 764 | 771 | |
2018-2, A1 144A 3.985%, 11/25/58(1)(2) | 2,012 | 2,046 | |
2019-1, A1 144A 3.454%, 1/25/59(1)(2) | 1,212 | 1,222 | |
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 67 | 67 | |
JP Morgan Chase Mortgage Trust 2005-A5, 1A2 4.080%, 8/25/35(2) | 392 | 398 |
Par Value | Value | ||
Non-Agency—continued | |||
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust 2004-10, 21A1 4.564%, 1/25/35(2) | $316 | $324 | |
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust | |||
2003-AR6, A1 4.709%, 6/25/33(2) | 140 | 144 | |
2003-AR4, 2A1 4.075%, 8/25/33(2) | 67 | 67 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
2011-C4, A4 144A 4.388%, 7/15/46(1) | 288 | 295 | |
2014-C22, A4 3.801%, 9/15/47 | 1,695 | 1,814 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, AM 144A 3.370%, 6/25/29(1)(2) | 927 | 938 | |
2014-2, 2A2 144A 3.500%, 6/25/29(1)(2) | 699 | 715 | |
2006-A2, 4A1 4.702%, 8/25/34(2) | 69 | 72 | |
2014-1, 2A12 144A 3.500%, 1/25/44(1)(2) | 573 | 579 | |
2015-1, AM1 144A 3.589%, 12/25/44(1)(2) | 255 | 254 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(2) | 542 | 559 | |
2015-5, A2 144A 3.338%, 5/25/45(1)(2) | 365 | 365 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(2) | 867 | 903 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(2) | 841 | 837 | |
2017-5, A1 144A 3.178%, 10/26/48(1)(2) | 2,326 | 2,355 | |
2017-4, A3 144A 3.500%, 11/25/48(1)(2) | 180 | 183 | |
2018-8, A3 144A 4.000%, 1/25/49(1)(2) | 286 | 291 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 2.828%, 5/15/36(1)(2) | 1,040 | 1,040 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(2)(3) | 1,195 | 1,208 | |
MASTR Alternative Loan Trust | |||
2003-8, 2A1 5.750%, 11/25/33 | 72 | 75 | |
2004-4, 6A1 5.500%, 4/25/34 | 92 | 97 | |
2004-7, 9A1 6.000%, 8/25/34 | 84 | 89 | |
2005-2, 2A1 6.000%, 1/25/35 | 325 | 344 |
Par Value | Value | ||
Non-Agency—continued | |||
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(1)(2) | $143 | $145 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 3.218%, 6/25/52(1)(2)(3) | 1,040 | 1,040 | |
MetLife Securitization Trust 2019-1A, A1A 144A 3.750%, 4/25/58(1)(2) | 1,316 | 1,359 | |
Mill City Mortgage Loan Trust | |||
2015-1, A3 144A 3.000%, 6/25/56(1)(2) | 446 | 447 | |
2016-1, A1 144A 2.500%, 4/25/57(1)(2) | 1,608 | 1,610 | |
2017-1, A1 144A 2.750%, 11/25/58(1)(2) | 1,204 | 1,207 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 1,515 | 1,624 | |
Morgan Stanley Capital Barclays Bank Trust 2016-MART, A 144A 2.200%, 9/13/31(1) | 1,660 | 1,659 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%) 144A 2.728%, 11/15/34(1)(2) | 1,080 | 1,080 | |
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 3.067%, 6/25/44(1)(2) | 347 | 344 | |
Motel 6 Trust 2017-MTL6, A (1 month LIBOR + 0.920%) 144A 2.948%, 8/15/34(1)(2) | 1,567 | 1,567 | |
National City Mortgage Capital Trust 2008-1, 2A1 6.000%, 3/25/38 | 107 | 111 | |
New Residential Mortgage Loan Trust | |||
2016-2A, A1 144A 3.750%, 11/26/35(1)(2) | 1,789 | 1,847 | |
2018-4A, A1S (1 month LIBOR + 0.750%) 144A 2.768%, 1/25/48(1)(2) | 1,425 | 1,420 | |
2019-NQM1, A1 144A 3.675%, 1/25/49(1)(2) | 2,242 | 2,276 | |
2014-1A, A 144A 3.750%, 1/25/54(1)(2) | 1,133 | 1,173 | |
2014-2A, A3 144A 3.750%, 5/25/54(1)(2) | 109 | 111 | |
2014-3A, AFX3 144A 3.750%, 11/25/54(1)(2) | 948 | 980 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(2) | 1,343 | 1,390 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(2) | 756 | 779 |
Par Value | Value | ||
Non-Agency—continued | |||
2016-3A, A1 144A 3.750%, 9/25/56(1)(2) | $761 | $784 | |
2016-4A, A1 144A 3.750%, 11/25/56(1)(2) | 3,141 | 3,246 | |
2017-2A, A3 144A 4.000%, 3/25/57(1)(2) | 1,384 | 1,442 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(2) | 1,556 | 1,614 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(1)(2)(3) | 1,430 | 1,430 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 3.743%, 3/25/35(2) | 824 | 831 | |
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 11/25/48(1)(2) | 1,448 | 1,464 | |
2019-INV1, A3 144A 4.500%, 11/25/48(1)(2) | 478 | 494 | |
2018-1, A2 (1 month LIBOR + 0.650%) 144A 2.668%, 6/25/57(1)(2) | 764 | 761 | |
Pretium Mortgage Credit Partners I LLC | |||
2019-NPL3, A1 144A 3.105%, 7/27/59(1)(2) | 1,625 | 1,626 | |
2019-NPL1, A1 144A 4.213%, 7/25/60(1)(2) | 762 | 768 | |
Progress Residential Trust | |||
2017-SFR1, B 144A 3.017%, 8/17/34(1) | 690 | 692 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 1,750 | 1,778 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 685 | 682 | |
PRPM LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(1)(2) | 1,771 | 1,784 | |
2019-2A, A1 144A 3.967%, 4/25/24(1)(2) | 968 | 978 | |
RCO V Mortgage LLC 2019-1, A1 144A 3.721%, 5/24/24(1)(2) | 944 | 948 | |
Residential Mortgage Loan Trust | |||
2019-1, A1 144A 3.936%, 10/25/58(1)(2) | 1,044 | 1,057 | |
2019-2, A1 144A 2.913%, 5/25/59(1)(2) | 587 | 589 | |
Sequoia Mortgage Trust | |||
2015-4, A1 144A 3.000%, 11/25/30(1)(2) | 1,857 | 1,888 | |
2018-CH2, A12 144A 4.000%, 6/25/48(1)(2) | 434 | 438 | |
Spruce Hill Mortgage Loan Trust 2019-SH1, A1 144A 3.395%, 4/29/49(1)(2) | 2,143 | 2,156 | |
Starwood Mortgage Residential Trust | |||
2018-IMC1, A1 144A 3.793%, 3/25/48(1)(2) | 2,018 | 2,048 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-IMC1, A1 144A 3.468%, 2/25/49(1)(2) | $871 | $881 | |
Starwood Waypoint Homes Trust 2017-1, A (1 month LIBOR + 0.950%) 144A 2.978%, 1/17/35(1)(2) | 652 | 652 | |
Structured Adjustable Rate Mortgage Loan Trust | |||
2004-1, 6A 4.665%, 2/25/34(2) | 394 | 401 | |
2004-4, 3A1 4.608%, 4/25/34(2) | 71 | 73 | |
2004-4, 3A2 4.608%, 4/25/34(2) | 341 | 354 | |
2004-14, 7A 4.385%, 10/25/34(2) | 128 | 130 | |
Structured Asset Securities Corp. 2003-37A, 2A 4.449%, 12/25/33(2) | 83 | 85 | |
Structured Asset Securities Corp. Mortgage-Pass-Through Certificates 2003-34A, 6A 4.622%, 11/25/33(2) | 205 | 209 | |
Sutherland Commercial Mortgage Loans 2018-SBC7, A 144A 4.720%, 5/25/39(1)(2) | 765 | 773 | |
Thornburg Mortgage Securities Trust 2004-2, A1 (1 month LIBOR + 0.620%) 2.638%, 6/25/44(2) | 1,121 | 1,122 | |
Towd Point Mortgage Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 2.918%, 4/25/48(1)(2) | 929 | 930 | |
2015-3, A1B 144A 3.000%, 3/25/54(1)(2) | 228 | 229 | |
2016-1, A1B 144A 2.750%, 2/25/55(1)(2) | 377 | 378 | |
2015-5, A1B 144A 2.750%, 5/25/55(1)(2) | 465 | 466 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(2) | 275 | 280 | |
2016-2, A1 144A 3.000%, 8/25/55(1)(2) | 1,645 | 1,658 | |
2016-3, A1 144A 2.250%, 4/25/56(1)(2) | 572 | 570 | |
2016-4, A1 144A 2.250%, 7/25/56(1)(2) | 984 | 978 | |
2017-1, A1 144A 2.750%, 10/25/56(1)(2) | 1,782 | 1,799 | |
2018-6, A1A 144A 3.750%, 3/25/58(1)(2) | 629 | 646 | |
2019-1, A1 144A 3.750%, 3/25/58(1)(2) | 699 | 734 | |
2018-4, A1 144A 3.000%, 6/25/58(1)(2) | 1,631 | 1,671 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(2) | 986 | 994 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-MH1, A1 144A 3.000%, 11/25/58(1)(2) | $1,355 | $1,364 | |
Tricon American Homes Trust 2017-SFR1, A 144A 2.716%, 9/17/34(1) | 777 | 781 | |
VCAT LLC 2019-NPL1, A1 144A 4.360%, 2/25/49(1)(2) | 665 | 670 | |
Velocity Commercial Capital Loan Trust 2017-1, AFX 144A 3.000%, 5/25/47(1)(2) | 74 | 74 | |
Vericrest Opportunity Loan Trust 2019-NPL2, A1 144A 3.967%, 2/25/49(1)(2) | 790 | 793 | |
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A 3.375%, 10/25/47(1)(2) | 891 | 892 | |
Vericrest Opportunity Loan Trust LXIX LLC 2018-NPL5, A1A 144A 4.213%, 8/25/48(1)(2) | 1,429 | 1,432 | |
Vericrest Opportunity Loan Trust LXX LLC 2018-NPL6, A1A 144A 4.115%, 9/25/48(1)(2) | 281 | 282 | |
Vericrest Opportunity Loan Trust LXXV LLC 2019-NPL1, A1A 144A 4.336%, 1/25/49(1)(2) | 988 | 995 | |
Verus Securitization Trust | |||
2017-1A, A1 144A 2.853%, 1/25/47(1)(2) | 92 | 92 | |
2017-2A, A1 144A 2.485%, 7/25/47(1)(2) | 467 | 465 | |
2018-1, A1 144A 2.929%, 2/25/48(1)(2) | 1,766 | 1,766 | |
2018-INV1, A3 144A 4.052%, 3/25/58(1)(2) | 456 | 458 | |
2018-2, A1 144A 3.677%, 6/1/58(1)(2) | 2,520 | 2,534 | |
2018-2, B1 144A 4.426%, 6/1/58(1)(2) | 445 | 451 | |
2019-1, A1 144A 3.836%, 2/25/59(1)(2) | 1,235 | 1,249 | |
2019-2, A1 144A 3.211%, 4/25/59(1)(2) | 935 | 940 | |
2019-INV2, A1 144A 2.913%, 7/25/59(1)(2) | 493 | 491 | |
2019-INV1, A1 144A 3.402%, 12/25/59(1)(2) | 907 | 914 | |
Wells Fargo Commercial Mortgage Trust | |||
2014-C24, AS 3.931%, 11/15/47 | 1,035 | 1,102 |
Par Value | Value | ||
Non-Agency—continued | |||
2015-LC20, A5 3.184%, 4/15/50 | $1,030 | $1,077 | |
Wells Fargo Mortgage Backed Securities Trust | |||
2003-G, A1 4.761%, 6/25/33(2) | 34 | 35 | |
2003-J, 2A1 4.378%, 10/25/33(2) | 79 | 81 | |
2003-J, 5A1 4.482%, 10/25/33(2) | 162 | 168 | |
2004-A, A1 5.002%, 2/25/34(2) | 33 | 35 | |
2004-K, 1A2 4.992%, 7/25/34(2) | 129 | 132 | |
2004-U, A1 4.787%, 10/25/34(2) | 38 | 39 | |
2004-Z, 2A1 4.967%, 12/25/34(2) | 62 | 64 | |
2005-AR12, 2A5 4.995%, 6/25/35(2) | 941 | 977 | |
2005-14, 2A1 5.500%, 12/25/35 | 36 | 38 | |
162,875 | |||
Total Mortgage-Backed Securities (Identified Cost $165,381) | 167,253 | ||
Asset-Backed Securities—31.2% | |||
Auto Floor Plan—0.2% | |||
NextGear Floorplan Master Owner Trust 2017-2A, A2 144A 2.560%, 10/17/22(1) | 920 | 924 | |
Automobiles—18.9% | |||
ACC Trust | |||
2018-1, A 144A 3.700%, 12/21/20(1) | 125 | 125 | |
2019-1, A 144A 3.750%, 5/20/22(1) | 1,185 | 1,196 | |
American Credit Acceptance Receivables Trust | |||
2017-2, C 144A 2.860%, 6/12/23(1) | 338 | 338 | |
2018-3, C 144A 3.750%, 10/15/24(1) | 1,090 | 1,100 | |
2018-4, C 144A 3.970%, 1/13/25(1) | 1,110 | 1,128 | |
2019-1, C 144A 3.500%, 4/14/25(1) | 1,200 | 1,221 | |
2019-2, C 144A 3.170%, 6/12/25(1) | 1,040 | 1,051 |
Par Value | Value | ||
Automobiles—continued | |||
AmeriCredit Automobile Receivables Trust | |||
2015-3, C 2.730%, 3/8/21 | $136 | $136 | |
2015-4, C 2.880%, 7/8/21 | 413 | 414 | |
2016-4, C 2.410%, 7/8/22 | 725 | 726 | |
2017-1, C 2.710%, 8/18/22 | 915 | 922 | |
2018-1, D 3.820%, 3/18/24 | 975 | 1,012 | |
2019-1, C 3.360%, 2/18/25 | 1,200 | 1,232 | |
Avid Automobile Receivables Trust 2018-1, A 144A 2.840%, 8/15/23(1) | 327 | 327 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2015-2A, A 144A 2.630%, 12/20/21(1) | 910 | 913 | |
(AESOP) 2016-1A, A 144A 2.990%, 6/20/22(1) | 800 | 809 | |
(AESOP) 2017-1A, A 144A 3.070%, 9/20/23(1) | 1,110 | 1,133 | |
California Republic Auto Receivables Trust | |||
2015-3, B 2.700%, 9/15/21 | 650 | 650 | |
2016-1, B 3.430%, 2/15/22 | 785 | 792 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(1) | 920 | 929 | |
CarMax Auto Owner Trust | |||
2016-2, B 2.160%, 12/15/21 | 750 | 750 | |
2017-1, B 2.540%, 9/15/22 | 900 | 909 | |
2019-1, C 3.740%, 1/15/25 | 1,175 | 1,232 | |
CarNow Auto Receivables Trust | |||
2017-1A, A 144A 2.920%, 9/15/22(1) | 92 | 92 | |
2019-1A, A 144A 2.720%, 11/15/22(1) | 1,170 | 1,171 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(1) | 1,195 | 1,232 |
Par Value | Value | ||
Automobiles—continued | |||
2019-3A, C 144A 2.710%, 10/15/24(1) | $1,580 | $1,583 | |
Centre Point Funding LLC 2012-2A, 1 144A 2.610%, 8/20/21(1) | 362 | 361 | |
Chrysler Capital Auto Receivables Trust 2015-BA, D 144A 4.170%, 1/16/23(1) | 965 | 968 | |
CPS Auto Receivables Trust | |||
2017-C, B 144A 2.300%, 7/15/21(1) | 238 | 238 | |
2017-D, B 144A 2.430%, 1/18/22(1) | 859 | 859 | |
2018-C, D 144A 4.400%, 6/17/24(1) | 905 | 936 | |
Credit Acceptance Auto Loan Trust 2018-1A, A 144A 3.010%, 2/16/27(1) | 505 | 508 | |
Drive Auto Receivables Trust | |||
2.900%, 8/15/25 | 1,255 | 1,267 | |
2016-CA, C 144A 3.020%, 11/15/21(1) | 189 | 189 | |
2017-AA, C 144A 2.980%, 1/18/22(1) | 219 | 219 | |
2018-4, D 4.090%, 1/15/26 | 220 | 226 | |
2019-1, C 3.780%, 4/15/25 | 1,175 | 1,199 | |
2019-4, C 2.510%, 11/17/25 | 1,120 | 1,121 | |
DT Auto Owner Trust | |||
2018-1A, C 144A 3.470%, 12/15/23(1) | 910 | 915 | |
2018-3A, C 144A 3.790%, 7/15/24(1) | 1,835 | 1,874 | |
2019-1A, C 144A 3.610%, 11/15/24(1) | 800 | 816 | |
2019-2A, B 144A 2.990%, 4/17/23(1) | 1,040 | 1,049 | |
2019-2A, C 144A 3.180%, 2/18/25(1) | 1,040 | 1,055 | |
Exeter Automobile Receivables Trust | |||
2015-2A, C 144A 3.900%, 3/15/21(1) | 240 | 240 | |
2016-3A, B 144A 2.840%, 8/16/21(1) | 314 | 314 | |
2017-1A, B 144A 3.000%, 12/15/21(1) | 300 | 300 | |
2017-3A, B 144A 2.810%, 9/15/22(1) | 545 | 547 |
Par Value | Value | ||
Automobiles—continued | |||
2018-1A, C 144A 3.030%, 1/17/23(1) | $2,200 | $2,211 | |
2018-2A, C 144A 3.690%, 3/15/23(1) | 915 | 926 | |
2018-3A, C 144A 3.710%, 6/15/23(1) | 1,105 | 1,124 | |
2019-1A, C 144A 3.820%, 12/16/24(1) | 1,165 | 1,193 | |
2019-3A, C 144A 2.790%, 5/15/24(1) | 1,060 | 1,067 | |
First Investors Auto Owner Trust | |||
2016-2A, C 144A 2.530%, 7/15/22(1) | 1,490 | 1,491 | |
2017-1A, D 144A 3.600%, 4/17/23(1) | 880 | 895 | |
2017-2A, B 144A 2.650%, 11/15/22(1) | 900 | 902 | |
2018-1A, D 144A 4.110%, 6/17/24(1) | 1,175 | 1,205 | |
2019-1A, C 144A 3.260%, 3/17/25(1) | 1,240 | 1,268 | |
Flagship Credit Auto Trust | |||
2015-2, C 144A 4.080%, 12/15/21(1) | 461 | 463 | |
2016-2, B 144A 3.840%, 9/15/22(1) | 1,305 | 1,311 | |
2016-3, D 144A 3.890%, 11/15/22(1) | 1,635 | 1,665 | |
2019-1, C 144A 3.600%, 2/18/25(1) | 1,400 | 1,443 | |
2019-2, C 144A 3.090%, 5/15/25(1) | 1,250 | 1,273 | |
Foursight Capital Automobile Receivables Trust | |||
2016-1, A2 144A 2.870%, 10/15/21(1) | 103 | 103 | |
2017-1, B 144A 3.050%, 12/15/22(1) | 855 | 860 | |
2018-1, C 144A 3.680%, 8/15/23(1) | 910 | 930 | |
GLS Auto Receivables Issuer Trust | |||
2019-1A, B 144A 3.650%, 12/16/24(1) | 1,250 | 1,275 | |
2019-2A, B 144A 3.320%, 3/15/24(1) | 1,240 | 1,257 | |
2019-3A, B 144A 2.720%, 6/17/24(1) | 1,285 | 1,289 |
Par Value | Value | ||
Automobiles—continued | |||
GLS Auto Receivables Trust | |||
2017-1A, C 144A 3.500%, 7/15/22(1) | $560 | $563 | |
2018-1A, A 144A 2.820%, 7/15/22(1) | 358 | 359 | |
2018-3A, C 144A 4.180%, 7/15/24(1) | 1,340 | 1,385 | |
GM Financial Consumer Automobile 2017-1A, B 144A 2.300%, 6/16/23(1) | 915 | 916 | |
Hertz Vehicle Financing II LP | |||
2015-1A, A 144A 2.730%, 3/25/21(1) | 735 | 736 | |
2015-3A, A 144A 2.670%, 9/25/21(1) | 925 | 928 | |
2016-4A, A 144A 2.650%, 7/25/22(1) | 2,140 | 2,148 | |
2019-1A, A 144A 3.710%, 3/25/23(1) | 970 | 999 | |
Hyundai Auto Lease Securitization Trust 2018-A, A2A 144A 2.550%, 8/17/20(1) | 139 | 139 | |
Hyundai Auto Receivables Trust 2015-C, B 2.150%, 11/15/21 | 1,137 | 1,137 | |
OneMain Direct Auto Receivables Trust | |||
2017-2A, C 144A 2.820%, 7/15/24(1) | 925 | 928 | |
2018-1A, C 144A 3.850%, 10/14/25(1) | 1,030 | 1,059 | |
Santander Drive Auto Receivables Trust | |||
2016-1, C 3.090%, 4/15/22 | 417 | 418 | |
2017-1, C 2.580%, 5/16/22 | 664 | 665 | |
2018-2, C 3.350%, 7/17/23 | 920 | 930 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(1) | 1,115 | 1,115 | |
Tesla Auto Lease Trust | |||
2018-A, A 144A 2.320%, 12/20/19(1) | 32 | 32 | |
2018-B, B 144A 4.120%, 10/20/21(1) | 925 | 949 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(1) | 877 | 891 |
Par Value | Value | ||
Automobiles—continued | |||
United Auto Credit Securitization Trust 2019-1, D 144A 3.470%, 8/12/24(1) | $1,035 | $1,044 | |
US Auto Funding LLC 2019-1A, B 144A 3.990%, 12/15/22(1) | 825 | 839 | |
Westlake Automobile Receivables Trust | |||
2017-2A, C 144A 2.590%, 12/15/22(1) | 910 | 911 | |
2018-1A, C 144A 2.920%, 5/15/23(1) | 1,733 | 1,739 | |
2018-2A, D 144A 4.000%, 1/16/24(1) | 1,285 | 1,313 | |
2018-3A, C 144A 3.610%, 10/16/23(1) | 1,348 | 1,370 | |
85,988 | |||
Home Equity Loans—0.1% | |||
Asset Backed Funding Certificates 2005-AQ1, A6 4.721%, 1/25/35(2) | 23 | 24 | |
Bayview Financial Acquisition Trust 2007-A, 1A2 6.205%, 5/28/37(2) | 47 | 47 | |
Centex Home Equity Loan Trust 2004-D, AF5 5.850%, 9/25/34(2) | 132 | 133 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 2001-SB1, A2 3.375%, 8/25/31 | 62 | 61 | |
265 | |||
Other—11.5% | |||
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(1) | 646 | 650 | |
Amur Equipment Finance Receivables VI LLC 2018-2A, A2 144A 3.890%, 7/20/22(1) | 1,014 | 1,027 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 509 | 514 | |
2019-A, A 144A 3.140%, 7/16/40(1) | 1,355 | 1,355 |
Par Value | Value | ||
Other—continued | |||
Ascentium Equipment Receivables Trust 2018-1A, B 144A 3.460%, 11/13/23(1) | $1,480 | $1,515 | |
Avant Loans Funding Trust 2019-A, A 144A 3.480%, 7/15/22(1) | 734 | 737 | |
BRE Grand Islander Timeshare Issuer LLC | |||
2017-1A, A 144A 2.940%, 5/25/29(1) | 451 | 455 | |
2019-A, A 144A 3.280%, 9/26/33(1) | 1,117 | 1,138 | |
BSPRT Issuer Ltd. 2019-FL5, A (1 month LIBOR + 1.150%) 144A 3.475%, 5/15/29(1)(2) | 835 | 835 | |
BXG Receivables Note Trust | |||
2012-A, A 144A 2.660%, 12/2/27(1) | 16 | 16 | |
2013-A, A 144A 3.010%, 12/4/28(1) | 614 | 612 | |
2015-A, A 144A 2.880%, 5/2/30(1) | 174 | 173 | |
CCG Receivables Trust | |||
2018-1, A2 144A 2.500%, 6/16/25(1) | 1,706 | 1,709 | |
2019-1, B 144A 3.220%, 9/14/26(1) | 1,030 | 1,055 | |
Conn’s Receivables Funding LLC 2018-A, B 144A 4.650%, 1/15/23(1) | 410 | 413 | |
Consumer Loan Underlying Bond CLUB Credit Trust 2019-P2, A 144A 2.470%, 10/15/26(1) | 1,105 | 1,104 | |
Consumer Loan Underlying Bond Credit Trust 2018-P2, A 144A 3.470%, 10/15/25(1) | 505 | 508 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(1) | 1,128 | 1,155 | |
Dell Equipment Finance Trust 2017-2, A3 144A 2.190%, 10/24/22(1) | 552 | 552 | |
Diamond Resorts Owner Trust | |||
2017-1A, A 144A 3.270%, 10/22/29(1) | 919 | 928 | |
2019-1A, B 144A 3.530%, 2/20/32(1) | 1,270 | 1,271 | |
Foundation Finance Trust | |||
2017-1A, A 144A 3.300%, 7/15/33(1) | 839 | 843 |
Par Value | Value | ||
Other—continued | |||
2019-1A, A 144A 3.860%, 11/15/34(1) | $1,000 | $1,023 | |
Gold Key Resorts LLC 2014-A, A 144A 3.220%, 3/17/31(1) | 115 | 115 | |
GreatAmerica Leasing Receivables Funding LLC 2017-1, A4 144A 2.360%, 1/20/23(1) | 905 | 905 | |
Hilton Grand Vacations Trust | |||
2014-AA, A 144A 1.770%, 11/25/26(1) | 72 | 72 | |
2017-AA, A 144A 2.660%, 12/26/28(1) | 420 | 421 | |
2018-AA, A 144A 3.540%, 2/25/32(1) | 914 | 943 | |
Lendmark Funding Trust 2018-2A, A 144A 4.230%, 4/20/27(1) | 1,095 | 1,135 | |
Mariner Finance Issuance Trust 2019-AA, A 144A 2.960%, 7/20/32(1) | 1,045 | 1,058 | |
Marlette Funding Trust | |||
2018-1A, A 144A 2.610%, 3/15/28(1) | 54 | 54 | |
2018-3A, A 144A 3.200%, 9/15/28(1) | 313 | 314 | |
2019-2A, A 144A 3.130%, 7/16/29(1) | 1,014 | 1,022 | |
MVW Owner Trust | |||
2015-1A, B 144A 2.960%, 12/20/32(1) | 131 | 131 | |
2016-1A, A 144A 2.250%, 12/20/33(1) | 623 | 619 | |
2017-1A, A 144A 2.420%, 12/20/34(1) | 541 | 542 | |
2019-1A, A 144A 2.890%, 11/20/36(1) | 1,167 | 1,188 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(1) | 1,895 | 1,928 | |
Oportun Funding IX LLC 2018-B, A 144A 3.910%, 7/8/24(1) | 905 | 919 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(1) | 250 | 253 |
Par Value | Value | ||
Other—continued | |||
Orange Lake Timeshare Trust | |||
2015-AA, A 144A 2.880%, 9/8/27(1) | $140 | $140 | |
2018-A, A 144A 3.100%, 11/8/30(1) | 202 | 205 | |
2019-A, B 144A 3.360%, 4/9/38(1) | 1,123 | 1,142 | |
Prosper Marketplace Issuance Trust 2018-2A, B 144A 3.960%, 10/15/24(1) | 1,245 | 1,258 | |
Sierra Timeshare Conduit Receivables Funding LLC 2017-1A, A 144A 2.910%, 3/20/34(1) | 474 | 478 | |
Sierra Timeshare Receivables Funding LLC | |||
2016-1A, A 144A 3.080%, 3/21/33(1) | 143 | 144 | |
2016-2A, A 144A 2.330%, 7/20/33(1) | 183 | 182 | |
2018-2A, A 144A 3.500%, 6/20/35(1) | 483 | 493 | |
2019-1A, B 144A 3.420%, 1/20/36(1) | 893 | 908 | |
2019-2A, B 144A 2.820%, 5/20/36(1) | 973 | 982 | |
Small Business Lending Trust 2019-A, A 144A 2.850%, 7/15/26(1) | 1,300 | 1,299 | |
SoFi Consumer Loan Program LLC | |||
2016-3, A 144A 3.050%, 12/26/25(1) | 361 | 362 | |
2017-1, A 144A 3.280%, 1/26/26(1) | 514 | 518 | |
2017-5, A2 144A 2.780%, 9/25/26(1) | 489 | 490 | |
2017-6, A2 144A 2.820%, 11/25/26(1) | 851 | 854 | |
SoFi Consumer Loan Program Trust | |||
2018-2, A2 144A 3.350%, 4/26/27(1) | 2,160 | 2,178 | |
2018-3, A1 144A 3.200%, 8/25/27(1) | 101 | 101 | |
2019-3, A 144A 2.900%, 5/25/28(1) | 1,053 | 1,060 | |
Springleaf Funding Trust 2016-AA, A 144A 2.900%, 11/15/29(1) | 387 | 387 |
Par Value | Value | ||
Other—continued | |||
TRIP Rail Master Funding LLC 2017-1A, A1 144A 2.709%, 8/15/47(1) | $1,013 | $1,014 | |
Upgrade Receivables Trust 2019-1A, A 144A 3.480%, 3/15/25(1) | 792 | 795 | |
Upstart Securitization Trust | |||
2017-2, B 144A 3.748%, 3/20/25(1) | 726 | 728 | |
2019-1, A 144A 3.450%, 4/20/26(1) | 1,617 | 1,621 | |
2019-2, A 144A 2.897%, 9/20/29(1) | 1,229 | 1,232 | |
VSE VOI Mortgage LLC | |||
2016-A, A 144A 2.540%, 7/20/33(1) | 536 | 535 | |
2017-A, A 144A 2.330%, 3/20/35(1) | 512 | 511 | |
Welk Resorts LLC | |||
2013-AA, A 144A 3.100%, 3/15/29(1) | 38 | 38 | |
2015-AA, A 144A 2.790%, 6/16/31(1) | 103 | 104 | |
Westgate Resorts LLC | |||
2016-1A, A 144A 3.500%, 12/20/28(1) | 398 | 400 | |
2018-1A, A 144A 3.380%, 12/20/31(1) | 1,089 | 1,101 | |
52,467 | |||
Student Loan—0.5% | |||
Commonbond Student Loan Trust 2017-AGS, A1 144A 2.550%, 5/25/41(1) | 450 | 452 | |
DRB Prime Student Loan Trust 2015-D, A3 144A 2.500%, 1/25/36(1) | 33 | 33 | |
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(1) | 377 | 378 | |
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(1) | 920 | 933 | |
SLM Private Education Loan Trust 2013-B, A2A 144A 1.850%, 6/17/30(1) | 18 | 18 | |
SoFi Professional Loan Program LLC | |||
2014-B, A2 144A 2.550%, 8/27/29(1) | 157 | 157 |
Par Value | Value | ||
Student Loan—continued | |||
2015-A, A2 144A 2.420%, 3/25/30(1) | $58 | $58 | |
2016-A, A2 144A 2.760%, 12/26/36(1) | 210 | 212 | |
2017-C, A2A 144A 1.750%, 7/25/40(1) | 82 | 82 | |
2,323 | |||
Total Asset-Backed Securities (Identified Cost $140,440) | 141,967 | ||
Corporate Bonds and Notes—21.4% | |||
Communication Services—1.6% | |||
AT&T, Inc. | |||
(3 month LIBOR + 0.890%) 3.065%, 2/15/23(2) | 475 | 476 | |
(3 month LIBOR + 1.180%) 3.312%, 6/12/24(2) | 805 | 820 | |
Comcast Corp. 3.950%, 10/15/25 | 384 | 418 | |
Crown Castle International Corp. 4.875%, 4/15/22 | 930 | 989 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(1) | 470 | 487 | |
Discovery Communications LLC 3.300%, 5/15/22 | 1,320 | 1,351 | |
Sirius XM Radio, Inc. 144A 4.625%, 7/15/24(1) | 190 | 197 | |
Sprint Spectrum Co. LLC 144A 3.360%, 9/20/21(1) | 963 | 966 | |
Tencent Holdings Ltd. 144A 3.280%, 4/11/24(1) | 467 | 480 | |
Verizon Communications, Inc. (3 month LIBOR + 1.100%) 3.258%, 5/15/25(2) | 986 | 1,001 | |
7,185 | |||
Consumer Discretionary—1.2% | |||
Aptiv Corp. 4.150%, 3/15/24 | 735 | 778 | |
Bunge Ltd. Finance Corp. 4.350%, 3/15/24 | 735 | 774 | |
Daimler Finance North America LLC 144A 2.200%, 10/30/21(1) | 1,195 | 1,192 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
General Motors Financial Co., Inc. | |||
3.700%, 11/24/20 | $670 | $679 | |
3.200%, 7/6/21 | 975 | 985 | |
GLP Capital LP 5.250%, 6/1/25 | 640 | 705 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 175 | 187 | |
5,300 | |||
Consumer Staples—0.9% | |||
Altria Group, Inc. | |||
3.490%, 2/14/22 | 46 | 47 | |
3.800%, 2/14/24 | 1,031 | 1,078 | |
4.400%, 2/14/26 | 56 | 60 | |
BAT Capital Corp. (3 month LIBOR + 0.880%) 3.038%, 8/15/22(2) | 1,030 | 1,036 | |
Campbell Soup Co. | |||
3.300%, 3/15/21 | 225 | 228 | |
3.650%, 3/15/23 | 555 | 577 | |
Conagra Brands, Inc. 4.300%, 5/1/24 | 1,090 | 1,170 | |
4,196 | |||
Energy—1.9% | |||
Boardwalk Pipelines LP 4.950%, 12/15/24 | 630 | 674 | |
CNOOC Finance 2013 Ltd. 3.000%, 5/9/23 | 870 | 883 | |
Energy Transfer Partners LP 4.500%, 11/1/23 | 310 | 329 | |
Kinder Morgan, Inc. | |||
3.150%, 1/15/23 | 1,005 | 1,030 | |
144A 5.625%, 11/15/23(1) | 305 | 339 | |
MPLX LP 144A 3.500%, 12/1/22(1) | 1,000 | 1,028 | |
Occidental Petroleum Corp. | |||
4.850%, 3/15/21 | 422 | 436 | |
2.900%, 8/15/24 | 1,271 | 1,281 | |
Petroleos Mexicanos 4.625%, 9/21/23 | 855 | 880 | |
Sabine Pass Liquefaction LLC 6.250%, 3/15/22 | 1,475 | 1,589 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 240 | 241 | |
8,710 | |||
Financials—8.3% | |||
AerCap Ireland Capital DAC 3.950%, 2/1/22 | 1,085 | 1,121 | |
Ares Capital Corp. 3.500%, 2/10/23 | 740 | 745 |
Par Value | Value | ||
Financials—continued | |||
Aviation Capital Group LLC 144A 3.875%, 5/1/23(1) | $1,058 | $1,094 | |
Banco BBVA Peru S.A. RegS 5.000%, 8/26/22(4)(5) | 520 | 554 | |
Banco de Credito e Inversiones 144A 3.500%, 10/12/27(1) | 755 | 790 | |
Bank of America Corp. | |||
4.200%, 8/26/24 | 2,155 | 2,312 | |
3.950%, 4/21/25 | 420 | 446 | |
(3 month LIBOR + 0.770%) 3.057%, 2/5/26(2) | 705 | 698 | |
Capital One N.A. 2.950%, 7/23/21 | 1,085 | 1,099 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 450 | 459 | |
Citigroup, Inc. (3 month LIBOR + 1.250%) 3.349%, 7/1/26(2) | 1,080 | 1,096 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(1) | 935 | 947 | |
First Tennessee Bank N.A. 2.950%, 12/1/19 | 250 | 250 | |
FS KKR Capital Corp. 4.250%, 1/15/20 | 176 | 176 | |
Goldman Sachs Group, Inc. (The) | |||
2.350%, 11/15/21 | 350 | 350 | |
3.000%, 4/26/22 | 900 | 910 | |
4.250%, 10/21/25 | 715 | 766 | |
(3 month LIBOR + 1.170%) 3.328%, 5/15/26(2) | 900 | 905 | |
(3 month LIBOR + 1.750%) 4.006%, 10/28/27(2) | 2,015 | 2,077 | |
Guanay Finance Ltd. 144A 6.000%, 12/15/20(1) | 737 | 744 | |
HSBC Holdings plc | |||
2.950%, 5/25/21 | 860 | 869 | |
(3 month LIBOR + 1.500%) 3.789%, 1/5/22(2) | 476 | 485 | |
Huntington Bancshares, Inc. 7.000%, 12/15/20 | 245 | 259 | |
ICAHN Enterprises LP 144A 6.250%, 5/15/26(1) | 1,060 | 1,110 | |
Industrial & Commercial Bank of China Ltd. | |||
3.231%, 11/13/19 | 250 | 250 | |
2.957%, 11/8/22 | 370 | 373 | |
(3 month LIBOR + 0.750%) 2.937%, 11/8/20(2) | 370 | 370 |
Par Value | Value | ||
Financials—continued | |||
JPMorgan Chase & Co. 3.876%, 9/10/24 | $1,260 | $1,342 | |
Lincoln National Corp. | |||
4.200%, 3/15/22 | 470 | 492 | |
(3 month LIBOR + 2.040%) 4.318%, 4/20/67(2)(6) | 75 | 60 | |
Metropolitan Life Global Funding I 144A 2.500%, 12/3/20(1) | 650 | 654 | |
Mizuho Financial Group, Inc. 2.273%, 9/13/21 | 565 | 565 | |
Morgan Stanley | |||
4.100%, 5/22/23 | 730 | 769 | |
(3 month LIBOR + 0.930%) 3.208%, 7/22/22(2) | 725 | 731 | |
(3 month LIBOR + 1.400%) 3.683%, 10/24/23(2) | 730 | 743 | |
Navient Corp. 5.875%, 10/25/24 | 810 | 816 | |
Prudential Financial, Inc. 5.625%, 6/15/43(6) | 73 | 78 | |
Santander Holdings USA, Inc. | |||
4.450%, 12/3/21 | 932 | 973 | |
3.700%, 3/28/22 | 735 | 753 | |
3.500%, 6/7/24 | 840 | 862 | |
SBA Tower Trust | |||
144A 3.156%, 10/8/20(1) | 750 | 751 | |
144A 2.877%, 7/9/21(1) | 800 | 803 | |
144A 3.168%, 4/11/22(1) | 730 | 737 | |
Synchrony Financial 4.375%, 3/19/24 | 1,220 | 1,295 | |
Toronto-Dominion Bank (The) 2.650%, 6/12/24 | 723 | 737 | |
Turkiye Is Bankasi AS 144A 5.500%, 4/21/22(1) | 800 | 789 | |
UBS Group Funding Switzerland AG 144A 2.650%, 2/1/22(1) | 400 | 404 | |
Wells Fargo & Co. (3 month LIBOR + 1.230%) 3.486%, 10/31/23(2) | 2,060 | 2,091 | |
37,700 | |||
Health Care—1.7% | |||
AbbVie, Inc. | |||
2.300%, 5/14/21 | 495 | 496 | |
3.375%, 11/14/21 | 99 | 102 | |
3.200%, 11/6/22 | 45 | 46 | |
2.850%, 5/14/23 | 495 | 504 | |
Allergan Funding SCS 3.000%, 3/12/20 | 85 | 85 | |
Anthem, Inc. 2.375%, 1/15/25 | 665 | 661 |
Par Value | Value | ||
Health Care—continued | |||
Becton Dickinson & Co. | |||
2.894%, 6/6/22 | $322 | $327 | |
3.363%, 6/6/24 | 192 | 200 | |
CVS Health Corp. (3 month LIBOR + 0.720%) 2.822%, 3/9/21(2) | 265 | 266 | |
HCA, Inc. 5.375%, 2/1/25 | 570 | 623 | |
Shire Acquisitions Investments Ireland DAC 2.400%, 9/23/21 | 435 | 437 | |
Takeda Pharmaceutical Co., Ltd. 144A 4.000%, 11/26/21(1) | 895 | 927 | |
Tenet Healthcare Corp. 4.625%, 7/15/24 | 550 | 565 | |
Zimmer Biomet Holdings, Inc. | |||
3.150%, 4/1/22 | 1,200 | 1,223 | |
(3 month LIBOR + 0.750%) 2.914%, 3/19/21(2) | 1,100 | 1,100 | |
7,562 | |||
Industrials—1.2% | |||
America West Airlines Pass-Through-Trust 2001-1, G 7.100%, 4/2/21 | 656 | 678 | |
Avolon Holdings Funding Ltd. 144A 3.950%, 7/1/24(1) | 745 | 764 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 1,314 | 1,392 | |
Park Aerospace Holdings Ltd. 144A 4.500%, 3/15/23(1) | 319 | 331 | |
Penske Truck Leasing Co., LP 144A 4.125%, 8/1/23(1) | 895 | 947 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(1) | 445 | 478 | |
United Air Lines, Inc. Pass-Through-Trust 2007-1, A 6.636%, 7/2/22 | 880 | 930 | |
5,520 | |||
Information Technology—1.3% | |||
Broadcom Corp. 2.375%, 1/15/20 | 1,170 | 1,170 | |
Broadcom, Inc. 144A 3.625%, 10/15/24(1) | 1,315 | 1,338 | |
Dell International LLC 144A 4.000%, 7/15/24(1) | 395 | 413 | |
Hewlett Packard Enterprise Co. | |||
3.500%, 10/5/21 | 900 | 923 | |
2.250%, 4/1/23 | 660 | 658 |
Par Value | Value | ||
Information Technology—continued | |||
(3 month LIBOR + 0.720%) 3.009%, 10/5/21(2) | $145 | $145 | |
VMware, Inc. 2.950%, 8/21/22 | 1,295 | 1,314 | |
5,961 | |||
Materials—0.8% | |||
ArcelorMittal 6.125%, 6/1/25 | 585 | 658 | |
Ardagh Packaging Finance plc 144A 4.125%, 8/15/26(1) | 200 | 201 | |
DuPont de Nemours, Inc. | |||
3.766%, 11/15/20 | 146 | 149 | |
(3 month LIBOR + 0.710%) 2.868%, 11/15/20(2) | 243 | 244 | |
Glencore Funding LLC 144A 4.125%, 5/30/23(1) | 900 | 943 | |
GTL Trade Finance, Inc. 144A 5.893%, 4/29/24(1) | 312 | 341 | |
SABIC Capital II BV 144A 4.000%, 10/10/23(1) | 300 | 316 | |
Syngenta Finance NV | |||
144A 3.698%, 4/24/20(1) | 365 | 366 | |
144A 3.933%, 4/23/21(1) | 365 | 372 | |
3,590 | |||
Real Estate—0.5% | |||
Corporate Office Properties LP 3.700%, 6/15/21 | 220 | 223 | |
iStar, Inc. 5.250%, 9/15/22 | 380 | 388 | |
Office Properties Income Trust 4.150%, 2/1/22 | 580 | 593 | |
Service Properties Trust | |||
4.500%, 6/15/23 | 420 | 432 | |
4.650%, 3/15/24 | 430 | 442 | |
4.350%, 10/1/24 | 455 | 461 | |
2,539 | |||
Utilities—2.0% | |||
CenterPoint Energy, Inc. 3.850%, 2/1/24 | 1,260 | 1,330 | |
DTE Energy Co. 2.529%, 10/1/24 | 1,074 | 1,077 | |
Exelon Corp. | |||
2.850%, 6/15/20 | 805 | 808 | |
3.497%, 6/1/22 | 571 | 586 | |
NRG Energy, Inc. 144A 3.750%, 6/15/24(1) | 1,281 | 1,318 | |
PNM Resources, Inc. 3.250%, 3/9/21 | 810 | 818 |
Par Value | Value | ||
Utilities—continued | |||
PSEG Power LLC 3.850%, 6/1/23 | $297 | $314 | |
Southern Co. (The) 2.950%, 7/1/23 | 920 | 939 | |
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(1) | 735 | 750 | |
Vistra Operations Co. LLC 144A 3.550%, 7/15/24(1) | 1,040 | 1,047 | |
8,987 | |||
Total Corporate Bonds and Notes (Identified Cost $95,246) | 97,250 | ||
Leveraged Loans(2)—3.5% | |||
Aerospace—0.3% | |||
TransDigm, Inc. | |||
2018, Tranche E (1 month LIBOR + 2.500%) 4.544%, 5/30/25 | 229 | 228 | |
2018, Tranche F (1 month LIBOR + 2.500%) 4.544%, 6/9/23 | 724 | 722 | |
WestJet Airlines Ltd. Tranche B (3 month LIBOR + 3.000%) 0.000%, 8/7/26(7) | 420 | 423 | |
1,373 | |||
Energy—0.0% | |||
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 5.250%, 7/16/21(3)(8) | 1 | — | |
Financial—0.0% | |||
FinCo I LLC 2018 (1 month LIBOR + 2.000%) 4.044%, 12/27/22 | 188 | 188 | |
Food / Tobacco—0.2% | |||
Aramark Services, Inc. | |||
Tranche B-2 (1 month LIBOR + 1.750%) 3.794%, 3/28/24 | 212 | 212 | |
Tranche B-3 (1 month LIBOR + 1.750%) 3.794%, 3/11/25 | 345 | 345 | |
US Foods, Inc. 2019, Tranche B (1 month LIBOR + 2.000%) 0.000%, 9/13/26(7) | 215 | 216 | |
773 | |||
Par Value | Value | ||
Forest Prod / Containers—0.2% | |||
Berry Global, Inc. Tranche U (1 month LIBOR + 2.500%) 4.549%, 7/1/26 | $728 | $731 | |
Gaming / Leisure—0.7% | |||
Boyd Gaming Corp. Tranche B (weekly LIBOR + 2.250%) 4.166%, 9/15/23 | 699 | 700 | |
CityCenter Holdings LLC (1 month LIBOR + 2.250%) 4.294%, 4/18/24 | 608 | 609 | |
Eldorado Resorts, Inc. (3 month LIBOR + 2.250%) 4.313%, 4/17/24 | 449 | 449 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 0.000%, 6/22/26(7) | 578 | 581 | |
Station Casinos LLC Tranche B (1 month LIBOR + 2.500%) 4.550%, 6/8/23 | 355 | 356 | |
Wyndham Hotels & Resorts, Inc. Tranche B (1 month LIBOR + 1.750%) 3.794%, 5/30/25 | 515 | 517 | |
3,212 | |||
Healthcare—0.6% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 4.789%, 11/27/25 | 179 | 180 | |
(1 month LIBOR + 3.000%) 5.039%, 6/2/25 | 416 | 417 | |
HCA, Inc. Tranche B-11 (1 month LIBOR + 1.750%) 3.794%, 3/18/23 | 1,779 | 1,783 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 3.854%, 6/11/25 | 528 | 528 | |
2,908 | |||
Information Technology—0.2% | |||
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 4.050%, 9/19/25 | 819 | 822 |
Par Value | Value | ||
Manufacturing—0.0% | |||
NCR Corp. | |||
(1 month LIBOR + 2.500%) 4.550%, 8/28/26 | $62 | $62 | |
(3 month LIBOR + 0.000%) 0.000%, 8/28/26(9) | 70 | 70 | |
132 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (3 month LIBOR + 2.750%) 0.000%, 9/18/26(7) | 670 | 673 | |
Media / Telecom - Cable/Wireless Video—0.4% | |||
Charter Communications Operating LLC Tranche B (1 month LIBOR + 2.000%) 4.050%, 4/30/25 | 823 | 827 | |
CSC Holdings LLC | |||
(3 month LIBOR + 2.500%) 0.000%, 4/15/27(7) | 49 | 50 | |
2018 (1 month LIBOR + 2.250%) 4.278%, 1/15/26 | 741 | 740 | |
First Lien (3 month LIBOR + 2.500%) 0.000%, 4/15/27(7)(9) | 230 | 230 | |
1,847 | |||
Media / Telecom - Diversified Media—0.1% | |||
Crown Finance US, Inc. (1 month LIBOR + 2.250%) 4.294%, 2/28/25 | 311 | 309 | |
Media / Telecom - Telecommunications—0.1% | |||
Level 3 Financing, Inc. 2024, Tranche B (1 month LIBOR + 2.250%) 4.294%, 2/22/24 | 548 | 549 | |
Media / Telecom - Wireless Communications—0.3% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 5.294%, 4/4/26 | 760 | 757 | |
SBA Senior Finance II LLC (1 month LIBOR + 2.000%) 4.050%, 4/11/25 | 400 | 400 | |
1,157 | |||
Par Value | Value | ||
Service—0.2% | |||
J2 Acquisition Ltd. Tranche B, First Lien (3 month LIBOR + 2.500%) 0.000%, 9/25/26(7) | $150 | $150 | |
Trans Union LLC 2018, Tranche B-4 (1 month LIBOR + 2.000%) 4.112%, 6/19/25 | 791 | 793 | |
943 | |||
Utility—0.1% | |||
Pacific Gas and Electric Co. | |||
(1 month LIBOR + 2.250%) 4.320%, 12/31/20 | 345 | 347 | |
(4 month LIBOR + 1.125%) 1.125%, 12/31/20(9) | 115 | 115 | |
462 | |||
Total Leveraged Loans (Identified Cost $16,046) | 16,079 | ||
Shares | ||
Preferred Stocks—0.8% | ||
Financials—0.8% | ||
Bank of New York Mellon Corp. (The) Series E, 4.950% | 1,380(10) | 1,387 |
Citigroup, Inc. Series T, 6.250% | 1,020(10) | 1,136 |
JPMorgan Chase & Co. Series Z, 5.300% | 1,155(10) | 1,167 |
Wells Fargo & Co. Series K, 5.589% | 174(10) | 176 |
3,866 | ||
Total Preferred Stocks (Identified Cost $3,771) | 3,866 | |
Total Long-Term Investments—98.3% (Identified Cost $441,943) | 447,492(11) | |
Shares | Value | ||
Short-Term Investment—1.7% | |||
Money Market Mutual Fund—1.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(12) | 7,591,888 | $7,592 | |
Total Short-Term Investment (Identified Cost $7,592) | 7,592 | ||
Securities Lending Collateral—0.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(12)(13) | 553,250 | 553 | |
Total Securities Lending Collateral (Identified Cost $553) | 553 | ||
TOTAL INVESTMENTS—100.1% (Identified Cost $450,088) | $455,637 | ||
Other assets and liabilities, net—(0.1)% | (642) | ||
NET ASSETS—100.0% | $454,995 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
P.O. | Principal Only Security |
REMIC | Real Estate Mortgage Investment Conduit |
Footnote Legend: | |
(1) | 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, 2019, these securities amounted to a value of $300,007 or 65.9% of net assets. |
(2) | Variable rate security. Rate disclosed is as of September 30, 2019. 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) | 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 after the Schedule of Investments. |
(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) | All or a portion of security is on loan. |
(6) | Interest payments may be deferred. |
(7) | This loan will settle after September 30, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(8) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(9) | Represents unfunded portion of security and commitment fee earned on this portion. |
(10) | Value shown as par value. |
(11) | All or a portion of the Fund’s assets have been segregated for delayed delivery security. |
(12) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(13) | Represents security purchased with cash collateral received for securities on loan. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $141,967 | $— | $141,967 | $— | |||
Corporate Bonds and Notes | 97,250 | — | 97,250 | — | |||
Foreign Government Securities | 2,675 | — | 2,675 | — | |||
Leveraged Loans | 16,079 | — | 16,079 | — | |||
Mortgage-Backed Securities | 167,253 | — | 163,575 | 3,678 | |||
U.S. Government Securities | 18,402 | — | 18,402 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 3,866 | — | 3,866 | — | |||
Securities Lending Collateral | 553 | 553 | — | — | |||
Money Market Mutual Fund | 7,592 | 7,592 | — | — | |||
Total Investments | $455,637 | $8,145 | $443,814 | $3,678 |
Total | Mortgage-Backed Securities | Leveraged Loans | |||
Investments in Securities | |||||
Balance as of September 30, 2018: | $1,823 | $1,823 | $—(a) | ||
Accrued discount/(premium) | 2 | 2 | — | ||
Realized gain (loss) | — | — | — | ||
Change in unrealized appreciation (depreciation)(b) | 19 | 19 | —(a) | ||
Purchases | 3,665 | 3,665 | — | ||
Sales(c) | (1,001) | (1,001) | — | ||
Transfers from Level 3(d) | (830) | (830) | — | ||
Balance as of September 30, 2019 | $3,678{e} | $3,678 | $—(e) |
September 30, 2019
Par Value | Value | ||
U.S. Government Securities—2.6% | |||
U.S. Treasury Bill 0.000%, 8/13/20 | $ 2,300 | $2,265 | |
U.S. Treasury Note | |||
2.625%, 12/31/23 | 1,475 | 1,539 | |
2.000%, 2/15/25 | 2,100 | 2,144 | |
2.375%, 5/15/29 | 1,970 | 2,093 | |
Total U.S. Government Securities (Identified Cost $7,924) | 8,041 | ||
Municipal Bonds—0.1% | |||
Michigan—0.0% | |||
Tobacco Settlement Finance Authority Revenue Taxable Series A 7.309%, 6/1/46 | 130 | 132 | |
Virginia—0.1% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 310 | 298 | |
Total Municipal Bonds (Identified Cost $438) | 430 | ||
Foreign Government Securities—7.9% | |||
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(1) | 920 | 99 | |
RegS 7.650%, 4/21/25(1) | 1,500 | 161 | |
Dominican Republic 144A 6.000%, 7/19/28(2) | 795 | 868 | |
Federal Republic of Nigeria 144A 7.875%, 2/16/32(2) | 1,180 | 1,242 | |
Kingdom of Abu Dhabi 144A 3.125%, 9/30/49(2) | 400 | 387 | |
Kingdom of Jordan 144A 5.750%, 1/31/27(2) | 1,275 | 1,306 | |
Kingdom of Morocco 144A 5.500%, 12/11/42(2) | 800 | 954 | |
Kingdom of Saudi Arabia | |||
144A 4.375%, 4/16/29(2) | 1,160 | 1,302 | |
144A 4.500%, 10/26/46(2) | 780 | 870 | |
Republic of Angola 144A 8.250%, 5/9/28(2) | 740 | 766 | |
Republic of Egypt | |||
144A 7.600%, 3/1/29(2) | 750 | 794 | |
144A 8.500%, 1/31/47(2) | 460 | 487 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Ghana | |||
144A 7.625%, 5/16/29(2) | $395 | $395 | |
144A 8.125%, 3/26/32(2) | 420 | 421 | |
Republic of Kenya 144A 8.000%, 5/22/32(2) | 925 | 969 | |
Republic of Mongolia 144A 8.750%, 3/9/24(2) | 540 | 603 | |
Republic of Pakistan 144A 6.875%, 12/5/27(2) | 235 | 232 | |
Republic of South Africa | |||
5.875%, 9/16/25 | 250 | 272 | |
5.650%, 9/27/47 | 510 | 508 | |
Republic of Sri Lanka | |||
144A 6.750%, 4/18/28(2) | 890 | 849 | |
144A 7.550%, 3/28/30(2) | 265 | 261 | |
Republic of Turkey | |||
4.875%, 10/9/26 | 1,195 | 1,105 | |
6.000%, 3/25/27 | 625 | 614 | |
7.625%, 4/26/29 | 1,105 | 1,174 | |
Russian Federation 144A 5.625%, 4/4/42(2) | 2,000 | 2,463 | |
Sultanate of Oman | |||
144A 5.375%, 3/8/27(2) | 1,135 | 1,115 | |
144A 5.625%, 1/17/28(2) | 365 | 359 | |
Ukraine 144A 7.375%, 9/25/32(2) | 1,715 | 1,722 | |
United Mexican States | |||
4.150%, 3/28/27 | 460 | 487 | |
4.500%, 4/22/29 | 555 | 603 | |
Series M 6.500%, 6/9/22 | 16,410MXN | 827 | |
Total Foreign Government Securities (Identified Cost $25,614) | 24,215 | ||
Mortgage-Backed Securities—20.8% | |||
Agency—1.0% | |||
Federal National Mortgage Association | |||
Pool #MA3088 4.000%, 8/1/47 | 1,999 | 2,099 | |
Pool #MA3663 3.500%, 5/1/49 | 873 | 898 | |
2,997 | |||
Non-Agency—19.8% | |||
Agate Bay Mortgage Trust 2016-3, A5 144A 3.500%, 8/25/46(2)(3) | 518 | 528 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(2) | 915 | 988 |
Par Value | Value | ||
Non-Agency—continued | |||
2015-SFR1, A 144A 3.467%, 4/17/52(2) | $644 | $669 | |
2015-SFR2, C 144A 4.691%, 10/17/52(2) | 1,011 | 1,102 | |
Angel Oak Mortgage Trust I LLC | |||
2018-2, A1 144A 3.674%, 7/27/48(2)(3) | 799 | 806 | |
2019-1, A1 144A 3.920%, 11/25/48(2)(3) | 783 | 796 | |
Angel Oak Mortgage Trust LLC 2019-3, A1 144A 2.930%, 5/25/59(2)(3) | 765 | 770 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(2)(3) | 662 | 674 | |
2019-1, A1 144A 3.805%, 1/25/49(2)(3) | 473 | 484 | |
2019-2, A1 144A 3.347%, 4/25/49(2)(3) | 448 | 455 | |
Banc of America Funding Trust | |||
2004-D, 5A1 4.481%, 1/25/35(3) | 533 | 538 | |
2005-1, 1A1 5.500%, 2/25/35 | 261 | 267 | |
2006-2, 3A1 6.000%, 3/25/36 | 125 | 127 | |
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust | |||
2004-22CB, 1A1 6.000%, 10/25/34 | 242 | 248 | |
2004-24CB, 1A1 6.000%, 11/25/34 | 55 | 57 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(2) | 625 | 654 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(2)(3) | 1,000 | 1,039 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(2)(3) | 445 | 465 | |
Bunker Hill Loan Depositary Trust | |||
2019-1, A1 144A 3.613%, 10/26/48(2)(3) | 1,534 | 1,551 | |
2019-2, A1 144A 2.879%, 7/25/49(2)(3) | 345 | 347 | |
Caesars Palace Las Vegas Trust 2017-VICI, C 144A 4.138%, 10/15/34(2) | 785 | 820 | |
Chase Home Lending Mortgage Trust 2019-ATR1, A4 144A 4.000%, 4/25/49(2)(3) | 491 | 495 |
Par Value | Value | ||
Non-Agency—continued | |||
CHC Commercial Mortgage Trust 2019-CHC, A (1 month LIBOR + 1.120%) 144A 3.148%, 6/15/34(2)(3) | $495 | $496 | |
Citigroup Commercial Mortgage Trust 2013-375P, B 144A 3.635%, 5/10/35(2)(3) | 400 | 414 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2019-IMC1, A1 144A 2.720%, 7/25/49(2)(3) | 729 | 728 | |
2015-A, A1 144A 3.500%, 6/25/58(2)(3) | 225 | 228 | |
2019-RP1, A1 144A 3.500%, 1/25/66(2)(3) | 865 | 887 | |
COLT Mortgage Loan Trust Funding LLC | |||
2018-1, A1 144A 2.930%, 2/25/48(2)(3) | 227 | 227 | |
2019-1, A1 144A 3.705%, 3/25/49(2)(3) | 443 | 449 | |
2019-3, A1 144A 2.764%, 8/25/49(2)(3) | 1,126 | 1,132 | |
CoreVest American Finance Trust 2018-1, A 144A 3.804%, 6/15/51(2) | 255 | 264 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 3.008%, 5/15/36(2)(3) | 675 | 675 | |
Credit Suisse Mortgage Capital Trust 2014-IVR2, A2 144A 3.761%, 4/25/44(2)(3) | 216 | 217 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A2 144A 2.928%, 12/26/46(2)(3) | 105 | 104 | |
2017-2A, A2 144A 2.606%, 6/25/47(2)(3) | 89 | 88 | |
Ellington Financial Mortgage Trust | |||
2017-1, A1 144A 2.687%, 10/25/47(2)(3) | 596 | 594 | |
2019-1, A1 144A 2.934%, 6/25/59(2)(3) | 600 | 601 | |
Galton Funding Mortgage Trust | |||
2018-1, A23 144A 3.500%, 11/25/57(2)(3) | 403 | 406 | |
2018-2, A41 144A 4.500%, 10/25/58(2)(3) | 422 | 432 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(2)(3) | 507 | 512 | |
GSAA Home Equity Trust 2005-12, AF3W 4.999%, 9/25/35(3) | 189 | 198 |
Par Value | Value | ||
Non-Agency—continued | |||
Homeward Opportunities Fund I Trust | |||
2018-1, A1 144A 3.766%, 6/25/48(2)(3) | $442 | $447 | |
2019-1, A1 144A 3.454%, 1/25/59(2)(3) | 661 | 666 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C31, AS 4.106%, 8/15/48 | 665 | 718 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(2)(3) | 154 | 157 | |
2014-5, B2 144A 2.982%, 10/25/29(2)(3) | 297 | 293 | |
2016-SH1, M2 144A 3.750%, 4/25/45(2)(3) | 530 | 547 | |
2016-SH2, M2 144A 3.750%, 12/25/45(2)(3) | 676 | 705 | |
2017-4, A3 144A 3.500%, 11/25/48(2)(3) | 374 | 381 | |
2018-8, A3 144A 4.000%, 1/25/49(2)(3) | 484 | 493 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(2)(3)(4) | 775 | 783 | |
MASTR Alternative Loan Trust | |||
2005-5, 2A3 5.500%, 7/25/25 | 425 | 430 | |
2005-2, 2A1 6.000%, 1/25/35 | 302 | 320 | |
MASTR Specialized Loan Trust 2005-3, A2 144A 5.704%, 11/25/35(2)(3) | 113 | 114 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 3.218%, 6/25/52(2)(3)(4) | 400 | 400 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.716%, 4/25/55(2)(3) | 425 | 442 | |
2019-1A, A1A 144A 3.750%, 4/25/58(2)(3) | 739 | 763 | |
Mill City Mortgage Loan Trust 2018-4, A1B 144A 3.500%, 4/25/66(2)(3) | 1,830 | 1,873 | |
New Residential Mortgage Loan Trust | |||
2018-4A, A1S (1 month LIBOR + 0.750%) 144A 2.768%, 1/25/48(2)(3) | 684 | 682 | |
2017-2A, A3 144A 4.000%, 3/25/57(2)(3) | 602 | 627 | |
2018-1A, A1A 144A 4.000%, 12/25/57(2)(3) | 903 | 936 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(2)(3)(4) | 700 | 700 |
Par Value | Value | ||
Non-Agency—continued | |||
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 11/25/48(2)(3) | $1,204 | $1,218 | |
2019-INV1, A3 144A 4.500%, 11/25/48(2)(3) | 635 | 655 | |
Pretium Mortgage Credit Partners I LLC 2019-NPL3, A1 144A 3.105%, 7/27/59(2)(3) | 635 | 635 | |
Progress Residential Trust | |||
2017-SFR1, B 144A 3.017%, 8/17/34(2) | 940 | 943 | |
2018-SFR1, B 144A 3.484%, 3/17/35(2) | 980 | 986 | |
2018-SFR2, B 144A 3.841%, 8/17/35(2) | 1,380 | 1,402 | |
PRPM LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(2)(3) | 894 | 901 | |
2019-2A, A1 144A 3.967%, 4/25/24(2)(3) | 1,250 | 1,262 | |
RCO V Mortgage LLC 2019-1, A1 144A 3.721%, 5/24/24(2)(3) | 768 | 771 | |
Residential Asset Securitization Trust 2005-A1, A3 5.500%, 4/25/35 | 446 | 461 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(2)(3) | 974 | 977 | |
Sequoia Mortgage Trust 2013-8, B1 3.529%, 6/25/43(3) | 660 | 677 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(2)(3) | 573 | 580 | |
Towd Point Mortgage Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 2.918%, 4/25/48(2)(3) | 965 | 965 | |
2015-1, A2 144A 3.250%, 10/25/53(2)(3) | 555 | 557 | |
2016-1, M1 144A 3.500%, 2/25/55(2)(3) | 380 | 388 | |
2015-6, M1 144A 3.750%, 4/25/55(2)(3) | 760 | 804 | |
2015-5, A2 144A 3.500%, 5/25/55(2)(3) | 690 | 702 | |
2017-1, M1 144A 3.750%, 10/25/56(2)(3) | 450 | 468 | |
2019-1, A1 144A 3.750%, 3/25/58(2)(3) | 704 | 738 | |
2018-4, A1 144A 3.000%, 6/25/58(2)(3) | 356 | 364 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(2)(3) | 273 | 275 | |
2015-2, 1M1 144A 3.250%, 11/25/60(2)(3) | 710 | 722 |
Par Value | Value | ||
Non-Agency—continued | |||
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(2) | $373 | $376 | |
2019-SFR1, C 144A 3.149%, 3/17/38(2) | 610 | 611 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 5.728%, 5/10/45(2)(3) | 610 | 611 | |
VCAT LLC 2019-NPL1, A1 144A 4.360%, 2/25/49(2)(3) | 406 | 410 | |
Vericrest Opportunity Loan Trust 2019-NPL2, A1 144A 3.967%, 2/25/49(2)(3) | 507 | 509 | |
Vericrest Opportunity Loan Trust LXII LLC 2017-NPL9, A1 144A 3.125%, 9/25/47(2)(3) | 517 | 517 | |
Vericrest Opportunity Loan Trust LXIX LLC 2018-NPL5, A1A 144A 4.213%, 8/25/48(2)(3) | 710 | 712 | |
Vericrest Opportunity Loan Trust LXXI LLC 2018-NPL7, A1A 144A 3.967%, 9/25/48(2)(3) | 241 | 242 | |
Vericrest Opportunity Loan Trust LXXV LLC 2019-NPL1, A1A 144A 4.336%, 1/25/49(2)(3) | 653 | 658 | |
Verus Securitization Trust | |||
2018-1, A1 144A 2.929%, 2/25/48(2)(3) | 336 | 336 | |
2018-2, B1 144A 4.426%, 6/1/58(2)(3) | 760 | 770 | |
2019-1, A1 144A 3.836%, 2/25/59(2)(3) | 795 | 804 | |
2019-INV1, A1 144A 3.402%, 12/25/59(2)(3) | 597 | 602 | |
Wells Fargo Commercial Mortgage Trust | |||
2014-C24, AS 3.931%, 11/15/47 | 665 | 708 | |
2015-LC20, B 3.719%, 4/15/50 | 875 | 919 | |
61,245 | |||
Total Mortgage-Backed Securities (Identified Cost $63,240) | 64,242 | ||
Asset-Backed Securities—8.3% | |||
Automobiles—4.4% | |||
ACC Trust | |||
2018-1, B 144A 4.820%, 5/20/21(2) | 685 | 690 |
Par Value | Value | ||
Automobiles—continued | |||
2019-1, B 144A 4.470%, 10/20/22(2) | $640 | $654 | |
American Credit Acceptance Receivables Trust | |||
2018-1, C 144A 3.550%, 4/10/24(2) | 1,105 | 1,111 | |
2018-4, C 144A 3.970%, 1/13/25(2) | 790 | 803 | |
DT Auto Owner Trust 2017-2A, D 144A 3.890%, 1/15/23(2) | 1,180 | 1,189 | |
Exeter Automobile Receivables Trust | |||
2018-4A, D 144A 4.350%, 9/16/24(2) | 865 | 897 | |
2019-1A, D 144A 4.130%, 12/16/24(2) | 770 | 799 | |
GLS Auto Receivables Trust | |||
2017-1A, B 144A 2.980%, 12/15/21(2) | 1,045 | 1,046 | |
2017-1A, C 144A 3.500%, 7/15/22(2) | 1,180 | 1,186 | |
2018-1A, B 144A 3.520%, 8/15/23(2) | 1,155 | 1,164 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(2) | 660 | 679 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(2) | 710 | 717 | |
Skopos Auto Receivables Trust 2018-1A, B 144A 3.930%, 5/16/22(2) | 1,015 | 1,019 | |
United Auto Credit Securitization Trust 2019-1, E 144A 4.290%, 8/12/24(2) | 670 | 676 | |
Veros Automobile Receivables Trust 2018-1, B 144A 4.050%, 2/15/24(2) | 720 | 729 | |
13,359 | |||
Credit Card—0.1% | |||
Genesis Sales Finance Master Trust 2019-AA, A 144A 4.680%, 8/20/23(2) | 385 | 393 | |
Other—3.8% | |||
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(2) | 653 | 659 |
Par Value | Value | ||
Other—continued | |||
2019-A, C 144A 4.010%, 7/16/40(2) | $915 | $916 | |
Arby’s Funding LLC 2015-1A, A2 144A 4.969%, 10/30/45(2) | 905 | 931 | |
BSPRT Issuer Ltd. 2019-FL5, A (1 month LIBOR + 1.150%) 144A 3.475%, 5/15/29(2)(3) | 535 | 535 | |
Business Jet Securities LLC 2019-1, A 144A 4.212%, 7/15/34(2) | 791 | 812 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(2) | 565 | 579 | |
Drug Royalty III LP 1 2016-1A, A 144A 3.979%, 4/15/27(2) | 219 | 220 | |
ExteNet LLC 2019-1A, A2 144A 3.204%, 7/26/49(2) | 425 | 430 | |
FREED ABS Trust 2019-1, B 144A 3.870%, 6/18/26(2) | 665 | 676 | |
HOA Funding LLC 2014-1A, A2 144A 4.846%, 8/20/44(2) | 233 | 234 | |
Kabbage Funding LLC 2019-1, A 144A 3.825%, 3/15/24(2) | 730 | 738 | |
Primose Funding LLC 2019-1A, A2 144A 4.475%, 7/30/49(2) | 745 | 744 | |
Prosper Marketplace Issuance Trust 2018-2A, B 144A 3.960%, 10/15/24(2) | 795 | 803 | |
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28(2) | 655 | 670 | |
TGIF Funding LLC 2017-1A, A2 144A 6.202%, 4/30/47(2) | 301 | 295 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(2) | 652 | 676 | |
Upgrade Master Pass-Through-Trust 2019-ST1, A 144A 4.000%, 7/15/25(2)(4) | 753 | 753 | |
Upstart Securitization Trust 2018-1, B 144A 3.887%, 8/20/25(2) | 214 | 215 |
Par Value | Value | ||
Other—continued | |||
Wendy’s Funding LLC 2019-1A, A2I 144A 3.783%, 6/15/49(2) | $823 | $842 | |
11,728 | |||
Total Asset-Backed Securities (Identified Cost $25,166) | 25,480 | ||
Corporate Bonds and Notes—47.0% | |||
Communication Services—3.3% | |||
America Movil SAB de C.V. 6.450%, 12/5/22 | 50MXN | 244 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(2) | 773 | 715 | |
Clear Channel Worldwide Holdings, Inc. | |||
144A 9.250%, 2/15/24(2) | 171 | 188 | |
144A 5.125%, 8/15/27(2) | 250 | 260 | |
Consolidated Communications, Inc. 6.500%, 10/1/22 | 660 | 610 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(2) | 320 | 332 | |
144A 6.625%, 8/15/27(2) | 620 | 642 | |
Discovery Communications LLC 3.950%, 3/20/28 | 900 | 938 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 300 | 312 | |
7.750%, 7/1/26 | 280 | 285 | |
Frontier Communications Corp. | |||
8.500%, 4/15/20(5) | 254 | 132 | |
11.000%, 9/15/25 | 400 | 181 | |
144A 8.500%, 4/1/26(2) | 245 | 245 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(2) | 430 | 439 | |
iHeartCommunications, Inc. | |||
6.375%, 5/1/26(5) | 28 | 30 | |
8.375%, 5/1/27 | 51 | 55 | |
144A 5.250%, 8/15/27(2) | 55 | 57 | |
Escrow 0.000%, 5/1/23(4) | 465 | — | |
IHS Netherlands Holdco B.V. 144A 8.000%, 9/18/27(2) | 500 | 511 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(2) | 513 | 444 | |
Meredith Corp. 6.875%, 2/1/26 | 436 | 443 | |
Sirius XM Radio, Inc. | |||
144A 4.625%, 7/15/24(2) | 160 | 166 | |
144A 5.500%, 7/1/29(2) | 325 | 347 | |
Sprint Spectrum Co. LLC 144A 5.152%, 3/20/28(2) | 750 | 814 |
Par Value | Value | ||
Communication Services—continued | |||
Telesat Canada 144A 6.500%, 10/15/27(2) | $665 | $677 | |
Tencent Holdings Ltd. 144A 3.975%, 4/11/29(2) | 1,055 | 1,131 | |
10,198 | |||
Consumer Discretionary—4.2% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 625 | 595 | |
Beazer Homes USA, Inc. 5.875%, 10/15/27 | 586 | 569 | |
Boyd Gaming Corp. 6.000%, 8/15/26 | 170 | 179 | |
Brookfield Residential Properties, Inc. 144A 6.250%, 9/15/27(2) | 915 | 920 | |
Bunge Ltd. Finance Corp. 4.350%, 3/15/24 | 775 | 816 | |
Caesars Resort Collection LLC 144A 5.250%, 10/15/25(2) | 363 | 371 | |
Downstream Development Authority of The Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(2) | 451 | 480 | |
Eldorado Resorts, Inc. 6.000%, 9/15/26 | 214 | 234 | |
Expedia Group, Inc. 144A 3.250%, 2/15/30(2) | 360 | 359 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(2) | 746 | 774 | |
GLP Capital LP 5.250%, 6/1/25 | 600 | 661 | |
Golden Nugget, Inc. 144A 8.750%, 10/1/25(2) | 375 | 391 | |
IAA, Inc. 144A 5.500%, 6/15/27(2) | 160 | 169 | |
Lear Corp. 3.800%, 9/15/27 | 835 | 840 | |
MGM Growth Properties Operating Partnership LP 144A 5.750%, 2/1/27(2) | 380 | 427 | |
Michaels Stores, Inc. 144A 8.000%, 7/15/27(2) | 310 | 310 | |
Neiman Marcus Group Ltd. LLC 144A 8.000%, 10/25/24(2) | 428 | 125 | |
Panther BF Aggregator 2 LP | |||
144A 6.250%, 5/15/26(2) | 45 | 47 | |
144A 8.500%, 5/15/27(2) | 445 | 451 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 525 | 640 | |
Scientific Games International, Inc. | |||
6.625%, 5/15/21 | 383 | 388 | |
144A 8.250%, 3/15/26(2) | 240 | 256 | |
Tenneco, Inc. 5.000%, 7/15/26(5) | 440 | 361 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Under Armour, Inc. 3.250%, 6/15/26 | $640 | $617 | |
Vista Outdoor, Inc. 5.875%, 10/1/23(5) | 616 | 567 | |
Weekley Homes LLC 6.625%, 8/15/25 | 685 | 687 | |
William Lyon Homes, Inc. 6.000%, 9/1/23 | 821 | 854 | |
13,088 | |||
Consumer Staples—1.5% | |||
Albertson’s Cos. LLC | |||
5.750%, 3/15/25 | 615 | 633 | |
144A 5.875%, 2/15/28(2) | 90 | 95 | |
Altria Group, Inc. | |||
4.400%, 2/14/26 | 126 | 135 | |
4.800%, 2/14/29 | 960 | 1,053 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(2) | 780 | 852 | |
Chobani LLC 144A 7.500%, 4/15/25(2) | 785 | 752 | |
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23(2) | 434 | 383 | |
Sigma Finance Netherlands BV 144A 4.875%, 3/27/28(2) | 800 | 850 | |
4,753 | |||
Energy—8.2% | |||
Afren plc 144A 11.500%, 2/1/16(1)(2)(4) | 464 | —(6) | |
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(2) | 660 | 652 | |
Blue Racer Midstream LLC 144A 6.625%, 7/15/26(2) | 750 | 741 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 290 | 286 | |
CGG SA PIK Interest Capitalization, (3 month LIBOR + 4.000%) 144A 6.152%, 2/21/24(2)(7) | 5 | 6 | |
Cheniere Energy Partners LP 5.625%, 10/1/26 | 332 | 352 | |
Citgo Holding, Inc. 144A 9.250%, 8/1/24(2) | 55 | 58 | |
CrownRock LP 144A 5.625%, 10/15/25(2) | 670 | 674 | |
Denbury Resources, Inc. | |||
144A 9.250%, 3/31/22(2) | 251 | 220 | |
144A 7.750%, 2/15/24(2) | 327 | 253 | |
Encana Corp. 8.125%, 9/15/30 | 330 | 427 | |
EP Energy LLC | |||
144A 9.375%, 5/1/24(1)(2) | 145 | 4 |
Par Value | Value | ||
Energy—continued | |||
144A 8.000%, 11/29/24(1)(2)(5) | $217 | $83 | |
144A 7.750%, 5/15/26(1)(2) | 190 | 142 | |
Gazprom OAO Via Gaz Capital S.A. RegS 7.288%, 8/16/37(8)(9) | 730 | 967 | |
Geopark Ltd. 144A 6.500%, 9/21/24(2) | 760 | 782 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 900 | 1,008 | |
KazMunayGas National Co. JSC 144A 4.750%, 4/19/27(2) | 1,705 | 1,845 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 1,115 | 1,535 | |
Kosmos Energy Ltd. 144A 7.125%, 4/4/26(2) | 655 | 675 | |
MPLX LP 4.000%, 3/15/28 | 707 | 737 | |
Nabors Industries, Inc. 5.500%, 1/15/23 | 620 | 510 | |
Odebrecht Offshore Drilling Finance Ltd. PIK Interest Capitalization, 144A 7.720%, 12/1/26(2)(10) | 865 | 226 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000%(2)(11) | 124 | 1 | |
Pertamina Persero PT | |||
144A 3.650%, 7/30/29(2) | 255 | 262 | |
144A 6.450%, 5/30/44(2) | 2,075 | 2,669 | |
Petrobras Global Finance B.V. | |||
7.375%, 1/17/27 | 922 | 1,114 | |
5.750%, 2/1/29 | 1,395 | 1,539 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(2) | 1,580 | 126 | |
Petroleos Mexicanos | |||
4.625%, 9/21/23 | 315 | 324 | |
6.500%, 3/13/27 | 730 | 760 | |
5.350%, 2/12/28 | 560 | 535 | |
6.375%, 1/23/45 | 610 | 566 | |
144A 6.840%, 1/23/30(2) | 765 | 791 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 795 | 843 | |
Sanchez Energy Corp. 144A 7.250%, 2/15/23(1)(2)(5) | 375 | 270 | |
Sinopec Group Overseas Development 2017 Ltd. 144A 3.625%, 4/12/27(2) | 700 | 737 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30 | 855 | 1,022 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 343 | 362 |
Par Value | Value | ||
Energy—continued | |||
Transocean, Inc. 144A 9.000%, 7/15/23(2) | $301 | $312 | |
USA Compression Partners LP 144A 6.875%, 9/1/27(2) | 385 | 397 | |
Vine Oil & Gas LP 144A 8.750%, 4/15/23(2) | 573 | 261 | |
Weatherford International Ltd. 9.875%, 2/15/24(1) | 185 | 66 | |
25,140 | |||
Financials—10.4% | |||
Acrisure LLC | |||
144A 8.125%, 2/15/24(2) | 255 | 275 | |
144A 7.000%, 11/15/25(2) | 780 | 727 | |
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 975 | 993 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53(12) | 845 | 902 | |
Athene Holding Ltd. 4.125%, 1/12/28 | 935 | 961 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(2) | 725 | 777 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(2) | 1,005 | 1,002 | |
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 5.125%, 1/18/33(2) | 890 | 848 | |
Banco de Bogota S.A. 144A 6.250%, 5/12/26(2) | 530 | 598 | |
Bank of America Corp. 4.200%, 8/26/24 | 877 | 941 | |
Bank of China Ltd. 144A 5.000%, 11/13/24(2) | 875 | 952 | |
Bank of Montreal 3.803%, 12/15/32 | 529 | 549 | |
Brighthouse Financial, Inc. 3.700%, 6/22/27 | 1,155 | 1,142 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 785 | 819 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 1,030 | 1,071 | |
Citadel LP 144A 4.875%, 1/15/27(2) | 605 | 617 | |
Development Bank of Kazakhstan JSC 144A 8.950%, 5/4/23(2) | 160,000KZT | 386 | |
Discover Bank 4.682%, 8/9/28 | 865 | 904 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(2) | 645 | 653 |
Par Value | Value | ||
Financials—continued | |||
E*TRADE Financial Corp. 4.500%, 6/20/28 | $820 | $893 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 1,000 | 1,082 | |
Fairstone Financial, Inc. 144A 7.875%, 7/15/24(2) | 105 | 110 | |
FS KKR Capital Corp. 4.250%, 1/15/20 | 308 | 309 | |
Goldman Sachs Group, Inc. (The) (3 month LIBOR + 1.170%) 3.328%, 5/15/26(3) | 845 | 849 | |
Grupo de Inversiones Suramericana S.A. 144A 5.500%, 4/29/26(2)(5) | 925 | 1,028 | |
ICAHN Enterprises LP 144A 6.250%, 5/15/26(2) | 765 | 801 | |
ING Groep N.V. 6.000%(11)(12) | 665 | 671 | |
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(2) | 740 | 744 | |
Jefferies Group LLC 4.850%, 1/15/27 | 360 | 382 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 4.318%, 4/20/67(3)(12) | 300 | 238 | |
MetLife, Inc. Series D 5.875%(11) | 478 | 517 | |
Morgan Stanley 3.125%, 7/27/26 | 850 | 875 | |
Nationstar Mortgage Holdings, Inc. 144A 8.125%, 7/15/23(2) | 305 | 318 | |
Navient Corp. 6.750%, 6/25/25 | 791 | 816 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 485 | 522 | |
5.625%, 6/15/43(12) | 450 | 484 | |
Santander Holdings USA, Inc. | |||
3.500%, 6/7/24 | 270 | 277 | |
4.400%, 7/13/27 | 700 | 749 | |
Springleaf Finance Corp. 7.125%, 3/15/26 | 365 | 405 | |
Synchrony Financial 3.950%, 12/1/27 | 1,005 | 1,030 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 437 | 463 | |
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54(2) | 740 | 775 | |
Tempo Acquisition LLC 144A 6.750%, 6/1/25(2) | 190 | 196 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 910 | 940 |
Par Value | Value | ||
Financials—continued | |||
Voya Financial, Inc. 5.650%, 5/15/53 | $615 | $649 | |
Wells Fargo & Co. Series S 5.900%(11) | 640 | 687 | |
31,927 | |||
Health Care—3.2% | |||
Advanz Pharma Corp. 8.000%, 9/6/24 | 104 | 101 | |
Anthem, Inc. 2.875%, 9/15/29 | 890 | 880 | |
Avantor, Inc. | |||
144A 6.000%, 10/1/24(2) | 302 | 324 | |
144A 9.000%, 10/1/25(2) | 388 | 436 | |
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(2) | 190 | 216 | |
144A 8.500%, 1/31/27(2) | 315 | 354 | |
Bausch Health Cos., Inc. | |||
144A 6.500%, 3/15/22(2) | 60 | 62 | |
144A 7.000%, 3/15/24(2) | 65 | 68 | |
144A 5.500%, 11/1/25(2) | 731 | 765 | |
144A 7.000%, 1/15/28(2) | 455 | 490 | |
Catalent Pharma Solutions, Inc. 144A 5.000%, 7/15/27(2) | 150 | 156 | |
Eagle Holding Co. II LLC | |||
PIK Interest Capitalization, 144A 7.625%, 5/15/22(2)(13) | 331 | 333 | |
PIK Interest Capitalization, 144A 7.750%, 5/15/22(2)(14) | 375 | 378 | |
HCA, Inc. | |||
5.375%, 2/1/25 | 319 | 349 | |
5.625%, 9/1/28 | 397 | 442 | |
5.875%, 2/1/29 | 65 | 73 | |
4.125%, 6/15/29 | 720 | 754 | |
Mylan NV 3.950%, 6/15/26 | 690 | 714 | |
Ortho-Clinical Diagnostics, Inc. 144A 6.625%, 5/15/22(2) | 305 | 298 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(2) | 335 | 305 | |
Perrigo Finance Unlimited Co. 4.375%, 3/15/26 | 600 | 620 | |
Select Medical Corp. 144A 6.250%, 8/15/26(2) | 385 | 402 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(2)(5) | 135 | 121 | |
144A 10.000%, 4/15/27(2) | 290 | 294 | |
Tenet Healthcare Corp. | |||
8.125%, 4/1/22 | 155 | 168 | |
144A 5.125%, 11/1/27(2) | 255 | 263 |
Par Value | Value | ||
Health Care—continued | |||
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25(2) | $402 | $370 | |
9,736 | |||
Industrials—5.2% | |||
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(2) | 715 | 755 | |
American Airlines Pass-Through-Trust 2019-1, A 3.500%, 2/15/32 | 735 | 761 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(2) | 870 | 895 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(2) | 807 | 834 | |
Beacon Roofing Supply, Inc. 144A 4.500%, 11/15/26(2) | 35 | 35 | |
Bombardier, Inc. 144A 7.500%, 3/15/25(2) | 280 | 280 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 708 | 750 | |
Delhi International Airport Ltd. 144A 6.450%, 6/4/29(2) | 525 | 557 | |
DP World plc 144A 6.850%, 7/2/37(2) | 500 | 659 | |
Garda World Security Corp. 144A 8.750%, 5/15/25(2) | 571 | 586 | |
GFL Environmental, Inc. | |||
144A 7.000%, 6/1/26(2) | 265 | 279 | |
144A 8.500%, 5/1/27(2) | 255 | 283 | |
Granite Holdings US Acquisition Co. 144A 11.000%, 10/1/27(2) | 610 | 589 | |
Hillenbrand, Inc. 4.500%, 9/15/26 | 790 | 799 | |
Hillman Group, Inc. (The) 144A 6.375%, 7/15/22(2) | 540 | 506 | |
New Enterprise Stone & Lime Co., Inc. 144A 10.125%, 4/1/22(2) | 319 | 328 | |
Norwegian Air Shuttle ASA Pass-Through-Trust 2016-1, A 144A 4.875%, 5/10/28(2) | 886 | 864 | |
Oshkosh Corp. 4.600%, 5/15/28 | 1,102 | 1,188 | |
Owens Corning 3.950%, 8/15/29 | 990 | 1,007 | |
Patrick Industries, Inc. 144A 7.500%, 10/15/27(2) | 535 | 551 | |
Pentair Finance S.a.r.l 4.500%, 7/1/29 | 690 | 716 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(2) | 433 | 406 |
Par Value | Value | ||
Industrials—continued | |||
Topaz Marine S.A. 144A 9.125%, 7/26/22(2) | $465 | $486 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(2) | 675 | 725 | |
United Air Lines, Inc. Pass-Through-Trust 2007-1, A 6.636%, 7/2/22 | 631 | 668 | |
Vertiv Intermediate Holding Corp. PIK Interest Capitalization, 144A 12.000%, 2/15/22(2)(13) | 475 | 426 | |
15,933 | |||
Information Technology—3.1% | |||
Alibaba Group Holding Ltd. 3.400%, 12/6/27 | 760 | 789 | |
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(2) | 83 | 79 | |
Broadcom Corp. 3.625%, 1/15/24 | 667 | 683 | |
Broadcom, Inc. 144A 3.625%, 10/15/24(2) | 445 | 453 | |
Citrix Systems, Inc. 4.500%, 12/1/27 | 855 | 925 | |
Dell International LLC | |||
144A 4.900%, 10/1/26(2) | 440 | 471 | |
144A 8.100%, 7/15/36(2) | 295 | 376 | |
Everi Payments, Inc. 144A 7.500%, 12/15/25(2) | 185 | 195 | |
Exela Intermediate LLC 144A 10.000%, 7/15/23(2)(5) | 287 | 160 | |
Juniper Networks, Inc. 3.750%, 8/15/29 | 815 | 819 | |
Micron Technology, Inc. 4.185%, 2/15/27 | 700 | 721 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 521 | 562 | |
4.600%, 5/23/29 | 270 | 294 | |
PayPal Holdings, Inc. 2.850%, 10/1/29 | 765 | 768 | |
Radiate Holdco LLC 144A 6.625%, 2/15/25(2) | 705 | 710 | |
ViaSat, Inc. 144A 5.625%, 9/15/25(2) | 830 | 836 | |
VMware, Inc. 3.900%, 8/21/27 | 636 | 654 | |
9,495 | |||
Materials—3.8% | |||
Alpek SAB de C.V. 144A 5.375%, 8/8/23(2) | 1,110 | 1,198 | |
ArcelorMittal 4.550%, 3/11/26 | 365 | 382 | |
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75(2)(12) | 680 | 795 | |
CPG Merger Sub LLC 144A 8.000%, 10/1/21(2) | 320 | 320 |
Par Value | Value | ||
Materials—continued | |||
Equate Petrochemical BV 144A 4.250%, 11/3/26(2) | $765 | $823 | |
Glencore Funding LLC 144A 4.000%, 3/27/27(2) | 950 | 977 | |
Greif, Inc. 144A 6.500%, 3/1/27(2) | 420 | 445 | |
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24(2)(5) | 335 | 345 | |
James Hardie International Finance DAC 144A 5.000%, 1/15/28(2) | 740 | 768 | |
Kraton Polymers LLC 144A 7.000%, 4/15/25(2) | 540 | 563 | |
LSB Industries, Inc. 144A 9.625%, 5/1/23(2) | 360 | 380 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(2) | 300 | 284 | |
Olin Corp. 5.625%, 8/1/29 | 690 | 718 | |
Reynolds Group Issuer, Inc. 144A 7.000%, 7/15/24(2) | 370 | 383 | |
SABIC Capital II BV 144A 4.500%, 10/10/28(2) | 795 | 883 | |
Schweitzer-Mauduit International, Inc. 144A 6.875%, 10/1/26(2) | 595 | 629 | |
Severstal OAO Via Steel Capital S.A. 144A 5.900%, 10/17/22(2)(8) | 275 | 297 | |
Syngenta Finance N.V. 144A 4.441%, 4/24/23(2) | 315 | 329 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(2) | 425 | 416 | |
144A 6.625%, 11/1/25(2) | 446 | 390 | |
Vedanta Resources Ltd. 144A 6.125%, 8/9/24(2) | 545 | 502 | |
11,827 | |||
Real Estate—2.2% | |||
EPR Properties 4.750%, 12/15/26 | 815 | 876 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(2) | 545 | 546 | |
Healthcare Trust of America Holdings LP 3.750%, 7/1/27 | 455 | 477 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(2) | 775 | 787 | |
Life Storage LP | |||
3.875%, 12/15/27 | 385 | 407 | |
4.000%, 6/15/29 | 330 | 353 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 302 | 316 |
Par Value | Value | ||
Real Estate—continued | |||
4.625%, 8/1/29 | $145 | $149 | |
Office Properties Income Trust 4.500%, 2/1/25 | 900 | 928 | |
Physicians Realty LP 4.300%, 3/15/27 | 790 | 845 | |
Service Properties Trust | |||
4.350%, 10/1/24 | 310 | 314 | |
4.950%, 2/15/27 | 900 | 912 | |
6,910 | |||
Utilities—1.9% | |||
CenterPoint Energy, Inc. 4.250%, 11/1/28 | 675 | 742 | |
DPL, Inc. 144A 4.350%, 4/15/29(2) | 803 | 793 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(2) | 300 | 309 | |
Ferrellgas Partners LP 8.625%, 6/15/20 | 135 | 102 | |
Perusahaan Listrik Negara PT 144A 4.125%, 5/15/27(2) | 1,000 | 1,056 | |
Talen Energy Supply LLC | |||
144A 7.250%, 5/15/27(2) | 145 | 147 | |
144A 6.625%, 1/15/28(2) | 560 | 550 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(2) | 581 | 604 | |
Texas Competitive Electric Escrow 0.000%, 11/1/49(4) | 200 | — | |
Texas Competitive Electric Holdings Co. 144A 0.000%, 10/1/49(2)(4) | 375 | —(6) | |
Transportadora de Gas Internacional SA ESP 144A 5.550%, 11/1/28(2) | 750 | 865 | |
Vistra Operations Co. LLC 144A 4.300%, 7/15/29(2) | 685 | 703 | |
5,871 | |||
Total Corporate Bonds and Notes (Identified Cost $142,510) | 144,878 | ||
Leveraged Loans(3)—10.2% | |||
Aerospace—0.4% | |||
Atlantic Aviation FBO, Inc. (1 month LIBOR + 3.750%) 5.800%, 12/6/25 | 149 | 150 | |
Dynasty Acquisition Co., Inc. | |||
Tranche B-1 (3 month LIBOR + 4.000%) 6.104%, 4/6/26 | 195 | 196 |
Par Value | Value | ||
Aerospace—continued | |||
Tranche B-2 (3 month LIBOR + 4.000%) 6.104%, 4/6/26 | $105 | $105 | |
DynCorp International, Inc. Tranche B, First Lien (1 month LIBOR + 6.000%) 8.028%, 8/15/25 | 340 | 331 | |
TransDigm, Inc. | |||
2018, Tranche E (1 month LIBOR + 2.500%) 4.544%, 5/30/25 | 217 | 216 | |
2018, Tranche F (1 month LIBOR + 2.500%) 4.544%, 6/9/23 | 141 | 141 | |
1,139 | |||
Chemicals—0.0% | |||
Hexion, Inc. Tranche B (3 month LIBOR + 3.500%) 5.820%, 7/1/26 | 80 | 79 | |
Consumer Durables—0.1% | |||
Global Appliance, Inc. Tranche B (1 month LIBOR + 4.000%) 6.050%, 9/29/24 | 283 | 282 | |
Consumer Non-Durables—0.8% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 6.544%, 4/6/24 | 845 | 838 | |
Kronos Acquisition Holdings, Inc. Tranche B-3 (3 month LIBOR + 4.000%) 6.256%, 5/15/23 | 374 | 354 | |
Parfums Holding Co., Inc. | |||
First Lien (3 month LIBOR + 4.250%) 6.374%, 6/30/24 | 349 | 347 | |
Second Lien (3 month LIBOR + 8.750%) 10.860%, 6/27/25 | 420 | 417 | |
Rodan & Fields LLC (1 month LIBOR + 4.000%) 6.028%, 6/16/25 | 706 | 600 | |
2,556 | |||
Energy—0.7% | |||
California Resources Corp. 2016 (1 month LIBOR + 10.375%) 12.419%, 12/31/21 | 420 | 365 | |
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 5.000%) 7.104%, 3/27/24 | 358 | 359 | |
Fieldwood Energy LLC First Lien (3 month LIBOR + 5.250%) 7.506%, 4/11/22 | 880 | 761 |
Par Value | Value | ||
Energy—continued | |||
Medallion Midland Acquisition LLC (1 month LIBOR + 3.250%) 5.294%, 10/30/24 | $625 | $605 | |
2,090 | |||
Financial—0.9% | |||
Asurion LLC Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 8.544%, 8/4/25 | 559 | 567 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 5.044%, 6/16/25 | 648 | 646 | |
Ditech Holding Corp. Tranche B (3 month PRIME + 0.000%) 0.000%, 6/30/22(1)(15) | 815 | 328 | |
Financial & Risk US Holdings, Inc. (1 month LIBOR + 3.750%) 5.794%, 10/1/25 | 506 | 509 | |
FinCo I LLC 2018 (1 month LIBOR + 2.000%) 4.044%, 12/27/22 | 145 | 145 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 4.807%, 6/28/23 | 666 | 667 | |
2,862 | |||
Food / Tobacco—0.4% | |||
H-Food Holdings LLC | |||
(1 month LIBOR + 3.688%) 5.731%, 5/23/25 | 108 | 102 | |
2018, Tranche B-2 (1 month LIBOR + 4.000%) 6.044%, 5/23/25 | 427 | 403 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 6.044%, 8/16/23 | 289 | 277 | |
Shearer’s Foods LLC Second Lien (3 month LIBOR + 6.750%) 0.000%, 6/30/22(15) | 460 | 457 | |
1,239 | |||
Food and Drug—0.0% | |||
Albertsons LLC 2019, Tranche B-7 (1 month LIBOR + 2.750%) 4.794%, 11/17/25 | 151 | 152 |
Par Value | Value | ||
Forest Prod / Containers—0.1% | |||
Spectrum Holdings III Corp. First Lien (1 month LIBOR + 3.250%) 5.294%, 1/31/25 | $278 | $245 | |
Gaming / Leisure—0.6% | |||
Affinity Gaming (1 month LIBOR + 3.250%) 5.294%, 7/3/23 | 503 | 487 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 4.790%, 4/29/24 | 270 | 262 | |
Scientific Games International, Inc. Tranche B-5 (2 month LIBOR + 2.750%) 4.876%, 8/14/24 | 335 | 332 | |
Stars Group Holdings B.V. (3 month LIBOR + 3.500%) 5.604%, 7/10/25 | 528 | 530 | |
UFC Holdings LLC Tranche B (1 month LIBOR + 3.250%) 3.250%, 4/29/26 | 256 | 256 | |
1,867 | |||
Healthcare—1.2% | |||
21st Century Oncology, Inc. Tranche B (3 month LIBOR + 6.125%) 8.455%, 1/16/23 | 156 | 139 | |
Accelerated Health Systems LLC (1 month LIBOR + 3.500%) 5.542%, 10/31/25 | 402 | 402 | |
Agiliti Health, Inc. (1 month LIBOR + 3.000%) 5.125%, 1/4/26 | 75 | 74 | |
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 6.544%, 6/30/25 | 494 | 494 | |
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 4.789%, 11/27/25 | 201 | 202 | |
(1 month LIBOR + 3.000%) 5.039%, 6/2/25 | 90 | 91 | |
CHG Healthcare Services, Inc. (1 month LIBOR + 3.000%) 5.044%, 6/7/23 | 562 | 561 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 5.794%, 10/10/25 | 288 | 234 |
Par Value | Value | ||
Healthcare—continued | |||
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 4.500%) 6.554%, 11/16/25 | $605 | $605 | |
Navicure, Inc. Tranche B, First Lien (3 month LIBOR + 4.000%) 0.000%, 9/18/26(15) | 135 | 135 | |
NVA Holdings, Inc. Tranche B-4 (1 month LIBOR + 3.500%) 5.544%, 2/2/25 | 60 | 60 | |
Ortho-Clinical Diagnostics, Inc. (3 month LIBOR + 3.250%) 5.563%, 6/30/25 | 342 | 331 | |
Phoenix Guarantor, Inc. First Lien (1 month LIBOR + 4.500%) 6.567%, 3/5/26 | 115 | 115 | |
Sotera Health holdings LLC (1 month LIBOR + 3.500%) 5.567%, 5/16/22 | 180 | 179 | |
3,622 | |||
Housing—0.4% | |||
American Builders & Contractors Supply Co., Inc. Tranche B-2 (1 month LIBOR + 2.000%) 4.044%, 10/31/23 | 516 | 515 | |
Capital Automotive LP Tranche B, Second Lien (1 month LIBOR + 6.000%) 8.044%, 3/24/25 | 183 | 183 | |
CPG International LLC (3 month LIBOR + 3.750%) 5.933%, 5/6/24 | 561 | 559 | |
1,257 | |||
Information Technology—1.1% | |||
Air Newco LLC Tranche B (3 month LIBOR + 4.250%) 0.000%, 9/18/26(15) | 275 | 272 | |
Applied Systems, Inc. Second Lien (3 month LIBOR + 7.000%) 9.104%, 9/19/25 | 305 | 307 | |
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 6.294%, 10/2/25 | 392 | 377 | |
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 4.050%, 9/19/25 | 207 | 207 |
Par Value | Value | ||
Information Technology—continued | |||
Kronos, Inc. | |||
2018 (3 month LIBOR + 3.000%) 5.253%, 11/1/23 | $822 | $824 | |
Second Lien (3 month LIBOR + 8.250%) 10.503%, 11/1/24 | 233 | 236 | |
SS&C Technologies, Inc. | |||
Tranche B-3 (1 month LIBOR + 2.250%) 4.294%, 4/16/25 | 217 | 218 | |
Tranche B-4 (1 month LIBOR + 2.250%) 4.294%, 4/16/25 | 144 | 144 | |
Vertafore, Inc. First Lien (1 month LIBOR + 3.250%) 5.294%, 7/2/25 | 794 | 771 | |
3,356 | |||
Manufacturing—0.4% | |||
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 6.710%, 8/17/22 | 604 | 467 | |
Filtration Group Corp. (1 month LIBOR + 3.000%) 5.044%, 3/29/25 | 524 | 525 | |
Hillman Group, Inc. (The) (1 month LIBOR + 4.000%) 6.044%, 5/31/25 | 271 | 263 | |
1,255 | |||
Media / Telecom - Broadcasting—0.2% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 5.300%, 8/24/26 | 280 | 281 | |
iHeartCommunications, Inc. (1 month LIBOR + 4.000%) 6.100%, 5/1/26 | 97 | 98 | |
Nexstar Broadcasting, Inc. Tranche B-4 (3 month LIBOR + 2.750%) 0.000%, 9/18/26(15) | 225 | 226 | |
605 | |||
Media / Telecom - Cable/Wireless Video—0.1% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 4.278%, 1/15/26 | 323 | 322 |
Par Value | Value | ||
Media / Telecom - Diversified Media—0.1% | |||
Crown Finance US, Inc. (1 month LIBOR + 2.250%) 4.294%, 2/28/25 | $230 | $229 | |
Media / Telecom - Telecommunications—0.4% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.750%) 4.794%, 1/31/25 | 648 | 643 | |
Securus Technologies Holdings, Inc. | |||
First Lien (1 month LIBOR + 4.500%) 6.544%, 11/1/24 | 79 | 69 | |
Second Lien (1 month LIBOR + 8.250%) 10.294%, 11/1/25 | 390 | 341 | |
West Corp. Tranche B (1 month LIBOR + 4.000%) 6.044%, 10/10/24 | 268 | 239 | |
1,292 | |||
Media / Telecom - Wireless Communications—0.2% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 5.294%, 4/4/26 | 540 | 538 | |
Metals / Minerals—0.1% | |||
Covia Holdings Corp. (3 month LIBOR + 4.000%) 6.313%, 6/2/25 | 364 | 296 | |
Retail—0.1% | |||
Neiman Marcus Group Ltd. LLC (1 month LIBOR + 6.000%) 8.057%, 10/25/23 | 330 | 250 | |
Service—1.2% | |||
Carlisle Food Service Products, Inc. First Lien (1 month LIBOR + 3.000%) 5.044%, 3/20/25 | 74 | 70 | |
Dun & Bradstreet Corp. (The) (1 month LIBOR + 5.000%) 7.054%, 2/6/26 | 390 | 392 | |
GFL Environmental, Inc. 2018 (1 month LIBOR + 3.000%) 5.044%, 5/30/25 | 569 | 564 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 5.544%, 6/30/24 | 199 | 196 |
Par Value | Value | ||
Service—continued | |||
J2 Acquisition Ltd. Tranche B, First Lien (3 month LIBOR + 2.500%) 0.000%, 9/25/26(15) | $130 | $130 | |
Pearl Intermediate Parent LLC | |||
First Lien (1 month LIBOR + 2.750%) 4.794%, 2/14/25 | 468 | 453 | |
First Lien (3 month LIBOR + 1.000%) 3.886%, 2/14/25(16) | 33 | 32 | |
First Lien (3 month LIBOR + 1.000%) 3.886%, 2/14/25 | 106 | 102 | |
Pi US Mergerco, Inc. Tranche B-1 (1 month LIBOR + 3.250%) 5.294%, 1/3/25 | 657 | 655 | |
Sedgwick Claims Management Services, Inc. Tranche B (1 month LIBOR + 4.000%) 6.044%, 9/30/26 | 459 | 459 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.500%) 5.550%, 7/17/25 | 361 | 361 | |
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 5.800%, 2/1/23 | 323 | 317 | |
3,731 | |||
Transportation - Automotive—0.1% | |||
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 5.544%, 4/30/26 | 345 | 341 | |
Utility—0.6% | |||
APLP Holdings LP (1 month LIBOR + 2.750%) 4.794%, 4/13/23 | 414 | 414 | |
Brookfield WEC Holdings, Inc. First Lien (1 month LIBOR + 3.500%) 5.544%, 8/1/25 | 701 | 702 | |
Calpine Corp. 2019 (3 month LIBOR + 2.750%) 4.860%, 4/5/26 | 389 | 390 | |
Pacific Gas and Electric Co. | |||
(1 month LIBOR + 2.250%) 4.320%, 12/31/20 | 230 | 231 |
Par Value | Value | ||
Utility—continued | |||
(4 month LIBOR + 1.125%) 1.125%, 12/31/20(16) | $75 | $75 | |
1,812 | |||
Total Leveraged Loans (Identified Cost $32,589) | 31,417 | ||
Shares | ||
Preferred Stocks—2.0% | ||
Financials—1.8% | ||
Citigroup, Inc. Series P, 5.950% | 530(17) | 561 |
Huntington Bancshares, Inc. Series E, 5.700% | 353(17) | 359 |
JPMorgan Chase & Co. Series Z, 5.300% | 1,010(17) | 1,020 |
KeyCorp Series D, 5.000% | 1,090(17) | 1,127 |
M&T Bank Corp. Series F, 5.125% | 598(17) | 628 |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 775(17) | 804 |
Zions Bancorp, 6.950%(5) | 38,525 | 1,106 |
5,605 | ||
Industrials—0.2% | ||
General Electric Co. Series D, 5.000% | 730(17) | 693 |
Total Preferred Stocks (Identified Cost $6,015) | 6,298 | |
Common Stocks—0.0% | ||
Communication Services—0.0% | ||
Clear Channel Outdoor Holdings, Inc.(18) | 11,677 | 29 |
Consumer Discretionary—0.0% | ||
Mark IV Industries(4) | 446 | 12 |
Energy—0.0% | ||
Frontera Energy Corp. | 6,656 | 64 |
Total Common Stocks (Identified Cost $176) | 105 | |
Exchange-Traded Fund—0.2% | ||
iShares iBoxx High Yield Corporate Bond ETF(19) | 5,376 | 468 |
Total Exchange-Traded Fund (Identified Cost $468) | 468 | |
Shares | Value | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(4)(18) | 6,252 | $6 | |
Total Rights (Identified Cost $5) | 6 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc.(4)(18) | 4,966 | 71 | |
Total Warrant (Identified Cost $86) | 71 | ||
Total Long-Term Investments—99.1% (Identified Cost $304,231) | 305,651 | ||
Securities Lending Collateral—0.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(19)(20) | 1,731,110 | 1,731 | |
Total Securities Lending Collateral (Identified Cost $1,731) | 1,731 | ||
TOTAL INVESTMENTS—99.7% (Identified Cost $305,962) | $307,382 | ||
Other assets and liabilities, net—0.3% | 907 | ||
NET ASSETS—100.0% | $308,289 |
Abbreviations: | |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(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, 2019, these securities amounted to a value of $173,442 or 56.3% of net assets. |
(3) | Variable rate security. Rate disclosed is as of September 30, 2019. 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. |
(4) | 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 after the Schedule of Investments. |
(5) | All or a portion of security is on loan. |
(6) | Amount is less than $500. |
(7) | 43% of the income received was in cash and 57% was in PIK. |
(8) | This Note was issued for the sole purpose of funding a loan agreement 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. |
(9) | 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. |
(10) | 87% of the income received was in cash and 13% was in PIK. |
(11) | No contractual maturity date. |
(12) | Interest payments may be deferred. |
(13) | 100% of the income received was in cash. |
(14) | First pay date will be in November 2019. |
(15) | This loan will settle after September 30, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(16) | Represents unfunded portion of security and commitment fee earned on this portion. |
(17) | Value shown as par value. |
(18) | Non-income producing. |
(19) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(20) | Represents security purchased with cash collateral received for securities on loan. |
Foreign Currencies: | |
KZT | Kazakhstani Tenge |
MXN | Mexican Peso |
Country Weightings (Unaudited)† | |
United States | 74% |
Canada | 4 |
Netherlands | 3 |
Mexico | 2 |
Indonesia | 1 |
Luxembourg | 1 |
Turkey | 1 |
Other | 14 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $25,480 | $— | $24,727 | $753 | |||
Corporate Bonds and Notes | 144,878 | — | 144,878 | —(1) | |||
Foreign Government Securities | 24,215 | — | 24,215 | — | |||
Leveraged Loans | 31,417 | — | 31,417 | — | |||
Mortgage-Backed Securities | 64,242 | — | 62,359 | 1,883 | |||
Municipal Bonds | 430 | — | 430 | — | |||
U.S. Government Securities | 8,041 | — | 8,041 | — | |||
Equity Securities: | |||||||
Exchange-Traded Fund | 468 | 468 | — | — | |||
Preferred Stocks | 6,298 | 1,106 | 5,192 | — | |||
Common Stocks | 105 | 93 | — | 12 | |||
Rights | 6 | — | — | 6 | |||
Warrant | 71 | — | — | 71 | |||
Securities Lending Collateral | 1,731 | 1,731 | — | — | |||
Total Investments | $307,382 | $3,398 | $301,259 | $2,725 |
(1) | Amount is less than $500. |
Total | Asset-Backed Securities | Corporate Bonds And Notes | Mortgage-Backed Securities | Common Stocks | Rights | Warrant | |||||||
Investments in Securities | |||||||||||||
Balance as of September 30, 2018: | $452 | $— | $431 | $— | $16 | $5 | $— | ||||||
Accrued discount/(premium) | 12 | — | 12 | — | — | — | — | ||||||
Realized gain (loss) | — | — | — | — | — | — | — | ||||||
Change in unrealized appreciation (depreciation)(a) | (67) | — | (57) | 8 | (4) | 1 | (15) | ||||||
Purchases | 2,987 | 820 | 206 | 1,875 | — | — | 86 | ||||||
Sales(b) | (273) | (67) | (206) | — | — | — | — | ||||||
Transfers from Level 3(c) | (386) | — | (386) | — | — | — | — | ||||||
Balance as of September 30, 2019 | $2,725 | $753 | $—(d)(e) | $1,883 | $12 | $6 | $71 |
September 30, 2019
Par Value | Value | ||
Corporate Bonds and Notes—2.8% | |||
Communication Services—0.5% | |||
Clear Channel Worldwide Holdings, Inc. 144A 5.125%, 8/15/27(1) | $130 | $135 | |
Diamond Sports Group LLC 144A 5.375%, 8/15/26(1) | 445 | 462 | |
DISH DBS Corp. 5.875%, 7/15/22 | 575 | 598 | |
iHeartCommunications, Inc. | |||
6.375%, 5/1/26 | 258 | 278 | |
8.375%, 5/1/27 | 467 | 505 | |
Escrow 0.000%, 5/1/23(2) | 4,288 | — | |
1,978 | |||
Consumer Discretionary—0.3% | |||
Panther BF Aggregator 2 LP 144A 6.250%, 5/15/26(1) | 50 | 53 | |
TRI Pointe Group, Inc. 4.875%, 7/1/21 | 1,165 | 1,200 | |
1,253 | |||
Consumer Staples—0.2% | |||
Dole Food Co., Inc. 144A 7.250%, 6/15/25(1) | 855 | 806 | |
Energy—0.4% | |||
Denbury Resources, Inc. | |||
144A 9.250%, 3/31/22(1) | 298 | 261 | |
144A 7.750%, 2/15/24(1) | 620 | 479 | |
Energy Transfer Operating LP 4.250%, 3/15/23 | 515 | 538 | |
1,278 | |||
Financials—0.4% | |||
Acrisure LLC 144A 8.125%, 2/15/24(1) | 220 | 237 | |
Springleaf Finance Corp. 6.125%, 5/15/22 | 1,105 | 1,182 | |
1,419 | |||
Health Care—0.6% | |||
Eagle Holding Co. II LLC | |||
PIK Interest Capitalization, 144A 7.625%, 5/15/22(1)(3) | 385 | 388 |
Par Value | Value | ||
Health Care—continued | |||
PIK Interest Capitalization, 144A 7.750%, 5/15/22(1)(4) | $595 | $599 | |
One Call Corp. PIK Interest Capitalization 144A 7.500%, 7/1/24(1)(2)(5) | 1,474 | 1,045 | |
2,032 | |||
Information Technology—0.1% | |||
Exela Intermediate LLC 144A 10.000%, 7/15/23(1) | 605 | 337 | |
Materials—0.2% | |||
Ardagh Packaging Finance plc 144A 6.000%, 2/15/25(1) | 785 | 821 | |
Real Estate—0.1% | |||
iStar, Inc. 5.250%, 9/15/22 | 280 | 286 | |
Utilities—0.0% | |||
Texas Competitive Electric Holdings Co. 144A 0.000%, 10/1/49(1)(2) | 9,165 | 11 | |
Total Corporate Bonds and Notes (Identified Cost $10,778) | 10,221 | ||
Leveraged Loans(6)—98.7% | |||
Aerospace—3.3% | |||
American Airlines, Inc. | |||
2017, Tranche B (1 month LIBOR + 2.000%) 4.044%, 4/28/23 | 718 | 717 | |
2018 (1 month LIBOR + 1.750%) 3.804%, 6/27/25 | 1,746 | 1,726 | |
Atlantic Aviation FBO, Inc. (1 month LIBOR + 3.750%) 5.800%, 12/6/25 | 332 | 335 | |
Dynasty Acquisition Co., Inc. | |||
Tranche B-1 (3 month LIBOR + 4.000%) 6.104%, 4/6/26 | 979 | 983 | |
Tranche B-2 (3 month LIBOR + 4.000%) 6.104%, 4/6/26 | 526 | 528 | |
DynCorp International, Inc. Tranche B, First Lien (1 month LIBOR + 6.000%) 8.028%, 8/15/25 | 635 | 618 |
Par Value | Value | ||
Aerospace—continued | |||
TransDigm, Inc. 2018, Tranche F (1 month LIBOR + 2.500%) 4.544%, 6/9/23 | $5,814 | $5,795 | |
WestJet Airlines Ltd. Tranche B (3 month LIBOR + 3.000%) 0.000%, 8/7/26(7) | 1,610 | 1,621 | |
12,323 | |||
Chemicals—4.0% | |||
Ascend Performance Materials Operations LLC (3 month LIBOR + 5.250%) 7.354%, 8/14/26 | 465 | 465 | |
H.B. Fuller Co. Tranche B (1 month LIBOR + 2.000%) 0.000%, 10/20/24(7) | 1,041 | 1,036 | |
Hexion, Inc. Tranche B (3 month LIBOR + 3.500%) 5.820%, 7/1/26 | 1,197 | 1,193 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 4.044%, 4/1/24 | 4,293 | 4,240 | |
Kraton Polymers LLC (1 month LIBOR + 2.500%) 4.544%, 3/8/25 | 755 | 753 | |
Omnova Solutions, Inc. Tranche B-2 (1 month LIBOR + 3.250%) 5.294%, 8/25/23 | 2,433 | 2,433 | |
Platform Specialty Products Corp. (1 month LIBOR + 2.250%) 4.294%, 1/30/26 | 2,020 | 2,025 | |
Univar USA, Inc. Tranche B-3 (1 month LIBOR + 2.250%) 4.294%, 7/1/24 | 2,216 | 2,221 | |
US Salt LLC (1 month LIBOR + 4.750%) 6.794%, 1/16/26 | 667 | 669 | |
15,035 | |||
Consumer Durables—1.4% | |||
Edgewell Personal Care Co. Tranche B, First Lien (3 month LIBOR + 3.000%) 0.000%, 9/18/26(7) | 920 | 921 | |
Global Appliance, Inc. Tranche B (1 month LIBOR + 4.000%) 6.050%, 9/29/24 | 2,134 | 2,123 |
Par Value | Value | ||
Consumer Durables—continued | |||
Serta Simmons Bedding LLC First Lien (1 month LIBOR + 3.500%) 5.543%, 11/8/23 | $1,671 | $1,022 | |
Zodiac Pool Solutions LLC (1 month LIBOR + 2.250%) 4.294%, 7/2/25 | 1,319 | 1,319 | |
5,385 | |||
Consumer Non-Durables—3.6% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 6.544%, 4/6/24 | 889 | 881 | |
Diamond (BC) B.V. (3 month LIBOR + 3.000%) 5.256%, 9/6/24 | 1,754 | 1,668 | |
HLF Financing S.a.r.l. LLC Tranche B (1 month LIBOR + 3.250%) 5.294%, 8/18/25 | 673 | 674 | |
Isagenix International LLC (3 month LIBOR + 5.750%) 8.080%, 6/16/25 | 1,537 | 1,166 | |
Kronos Acquisition Holdings, Inc. Tranche B-3 (3 month LIBOR + 4.000%) 6.256%, 5/15/23 | 2,663 | 2,520 | |
Libbey Glass, Inc. (1 month LIBOR + 3.000%) 5.042%, 4/9/21 | 1,740 | 1,358 | |
Parfums Holding Co., Inc. First Lien (3 month LIBOR + 4.250%) 6.374%, 6/30/24 | 1,560 | 1,550 | |
Revlon Consumer Products Corp. Tranche B (3 month LIBOR + 3.500%) 5.624%, 9/7/23 | 1,415 | 1,083 | |
Rodan & Fields LLC (1 month LIBOR + 4.000%) 6.028%, 6/16/25 | 1,315 | 1,118 | |
Sunshine Luxembourg VII S.a.r.l. First Lien (3 month LIBOR + 4.250%) 0.000%, 10/2/26(7) | 635 | 638 | |
ZEP, Inc. First Lien (3 month LIBOR + 4.000%) 6.044%, 8/12/24 | 1,201 | 936 | |
13,592 | |||
Energy—3.2% | |||
California Resources Corp. 2017 (1 month LIBOR + 4.750%) 6.794%, 12/31/22 | 1,000 | 886 |
Par Value | Value | ||
Energy—continued | |||
Citgo Holding, Inc. (1 month LIBOR + 7.000%) 9.044%, 8/1/23 | $315 | $320 | |
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 5.000%) 7.104%, 3/27/24 | 1,990 | 1,995 | |
Fieldwood Energy LLC | |||
2018, Second Lien (3 month LIBOR + 7.250%) 9.506%, 4/11/23 | 990 | 732 | |
First Lien (3 month LIBOR + 5.250%) 7.506%, 4/11/22 | 733 | 634 | |
Gavilan Resources LLC Second Lien (1 month LIBOR + 6.000%) 8.044%, 3/1/24 | 790 | 341 | |
McDermott International, Inc. (3 month LIBOR + 5.000%) 0.000%, 5/12/25(7) | 2,283 | 1,436 | |
Medallion Midland Acquisition LLC (1 month LIBOR + 3.250%) 5.294%, 10/30/24 | 1,678 | 1,626 | |
MRC Global US, Inc. 2018 (1 month LIBOR + 3.000%) 5.044%, 9/20/24 | 1,685 | 1,685 | |
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 5.250%, 7/16/21(2)(8) | 11 | — | |
Seadrill Operating LP (3 month LIBOR + 6.000%) 0.000%, 2/21/21(7) | 1,012 | 553 | |
Traverse Midstream Partners LLC (1 month LIBOR + 4.000%) 6.050%, 9/27/24 | 1,025 | 900 | |
Ultra Resources, Inc. (1 month LIBOR + 4.000%) 6.054%, 4/12/24 | 1,170 | 769 | |
11,877 | |||
Financial—3.0% | |||
Asurion LLC | |||
Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 8.544%, 8/4/25 | 1,245 | 1,264 | |
Tranche B-4 (1 month LIBOR + 3.000%) 5.044%, 8/4/22 | 1,277 | 1,281 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 5.044%, 6/16/25 | 1,799 | 1,791 |
Par Value | Value | ||
Financial—continued | |||
Ditech Holding Corp. Tranche B (3 month PRIME + 0.000%) 0.000%, 6/30/22(7)(8) | $3,212 | $1,293 | |
Ellie Mae, Inc. First Lien (1 month LIBOR + 4.000%) 6.044%, 4/17/26 | 1,540 | 1,541 | |
Financial & Risk US Holdings, Inc. (1 month LIBOR + 3.750%) 5.794%, 10/1/25 | 2,084 | 2,095 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 4.807%, 6/28/23 | 1,823 | 1,825 | |
11,090 | |||
Food / Tobacco—3.6% | |||
CHG PPC Parent LLC First Lien (1 month LIBOR + 2.750%) 4.794%, 3/31/25 | 1,414 | 1,414 | |
Chobani LLC Tranche B (1 month LIBOR + 3.500%) 5.544%, 10/10/23 | 1,837 | 1,819 | |
Dole Food Co., Inc. Tranche B (3 month PRIME + 1.750%) 4.808%, 4/6/24 | 1,457 | 1,436 | |
H-Food Holdings LLC (1 month LIBOR + 3.688%) 5.731%, 5/23/25 | 1,348 | 1,263 | |
Hostess Brands LLC 2017, Tranche B (3 month LIBOR + 2.250%) 0.000%, 8/3/22(7) | 1,808 | 1,807 | |
JBS USA Lux S.A. (1 month LIBOR + 2.500%) 4.544%, 5/1/26 | 1,672 | 1,679 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 6.044%, 8/16/23 | 1,144 | 1,100 | |
Shearer’s Foods LLC (3 month LIBOR + 4.250%) 0.000%, 3/27/22(7) | 840 | 837 | |
Sigma Bidco B.V. Tranche B-2 (3 month LIBOR + 3.000%) 5.320%, 7/2/25 | 1,486 | 1,477 | |
US Foods, Inc. 2019, Tranche B (1 month LIBOR + 2.000%) 0.000%, 9/13/26(7) | 495 | 497 | |
13,329 | |||
Food and Drug—0.8% | |||
Albertsons LLC | |||
2019, Tranche B-7 (1 month LIBOR + 2.750%) 4.794%, 11/17/25 | 1,085 | 1,091 |
Par Value | Value | ||
Food and Drug—continued | |||
2019, Tranche B-8 (1 month LIBOR + 2.750%) 4.794%, 8/17/26 | $1,184 | $1,191 | |
Sage Borrowco LLC Tranche B, First Lien (1 month LIBOR + 4.750%) 6.794%, 6/20/26 | 609 | 611 | |
2,893 | |||
Forest Prod / Containers—4.7% | |||
Anchor Glass Container Corp. | |||
2017, First Lien (1 month LIBOR + 2.750%) 4.807%, 12/7/23 | 980 | 764 | |
Second Lien (1 month LIBOR + 7.750%) 9.807%, 12/7/24 | 808 | 452 | |
Berlin Packaging LLC First Lien (3 month LIBOR + 3.000%) 5.101%, 11/7/25 | 1,427 | 1,400 | |
Berry Global, Inc. | |||
Tranche Q (1 month LIBOR + 2.250%) 4.299%, 10/3/22 | 514 | 516 | |
Tranche R (1 month LIBOR + 2.250%) 4.299%, 1/19/24 | 268 | 269 | |
Tranche U (1 month LIBOR + 2.500%) 4.549%, 7/1/26 | 2,624 | 2,635 | |
BWay Holding Co. (3 month LIBOR + 3.250%) 5.590%, 4/3/24 | 1,305 | 1,276 | |
Clearwater Paper Corp. (3 month LIBOR + 3.250%) 5.313%, 7/26/26(2) | 290 | 291 | |
Klockner Pentaplast of America, Inc. (1 month LIBOR + 4.250%) 6.294%, 6/30/22 | 2,281 | 2,013 | |
LABL, Inc. (1 month LIBOR + 4.500%) 6.600%, 7/1/26 | 650 | 652 | |
Reynolds Group Holdings, Inc. (1 month LIBOR + 2.750%) 4.794%, 2/5/23 | 3,115 | 3,119 | |
Spectrum Holdings III Corp. First Lien (1 month LIBOR + 3.250%) 5.294%, 1/31/25 | 1,165 | 1,027 |
Par Value | Value | ||
Forest Prod / Containers—continued | |||
Tricorbraun Holding, Inc. First Lien (3 month LIBOR + 3.750%) 5.859%, 11/30/23 | $1,935 | $1,880 | |
Trident TPI Holdings, Inc. Tranche B-1 (1 month LIBOR + 3.250%) 5.294%, 10/17/24 | 1,161 | 1,120 | |
17,414 | |||
Gaming / Leisure—8.5% | |||
Affinity Gaming (1 month LIBOR + 3.250%) 5.294%, 7/3/23 | 1,000 | 967 | |
Aristocrat Leisure Ltd. Tranche B-3 (3 month LIBOR + 1.750%) 4.028%, 10/19/24 | 1,484 | 1,488 | |
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 0.000%, 12/23/24(7) | 4,246 | 4,216 | |
CityCenter Holdings LLC (1 month LIBOR + 2.250%) 4.294%, 4/18/24 | 2,215 | 2,219 | |
Eldorado Resorts, Inc. (3 month LIBOR + 2.250%) 4.313%, 4/17/24 | 1,122 | 1,120 | |
Everi Payments, Inc. Tranche B (1 month LIBOR + 3.000%) 5.044%, 5/9/24 | 1,744 | 1,744 | |
Golden Nugget, Inc. Tranche B (1 month LIBOR + 2.750%) 4.800%, 10/4/23 | 2,368 | 2,364 | |
GVC Holdings plc Tranche B-2 (6 month LIBOR + 2.250%) 4.446%, 3/29/24 | 1,423 | 1,424 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 0.000%, 6/22/26(7) | 2,849 | 2,865 | |
MGM Growth Properties Operating Partnership LP Tranche B (1 month LIBOR + 2.000%) 4.044%, 3/21/25 | 2,054 | 2,057 | |
PCI Gaming Authority Tranche B (1 month LIBOR + 3.000%) 5.044%, 5/15/26 | 1,372 | 1,378 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 4.790%, 4/29/24 | $1,714 | $1,663 | |
Scientific Games International, Inc. Tranche B-5 (2 month LIBOR + 2.750%) 4.876%, 8/14/24 | 2,260 | 2,239 | |
Stars Group Holdings B.V. (3 month LIBOR + 3.500%) 5.604%, 7/10/25 | 1,128 | 1,132 | |
Station Casinos LLC Tranche B (1 month LIBOR + 2.500%) 4.550%, 6/8/23 | 1,984 | 1,990 | |
UFC Holdings LLC Tranche B (1 month LIBOR + 3.250%) 3.250%, 4/29/26 | 2,755 | 2,760 | |
31,626 | |||
Healthcare—10.9% | |||
21st Century Oncology, Inc. Tranche B (3 month LIBOR + 6.125%) 8.455%, 1/16/23 | 1,310 | 1,162 | |
Agiliti Health, Inc. (1 month LIBOR + 3.000%) 5.125%, 1/4/26 | 881 | 878 | |
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 6.544%, 6/30/25 | 1,620 | 1,622 | |
Aldevron LLC Tranche B (3 month LIBOR + 4.250%) 0.000%, 9/18/26(7) | 145 | 145 | |
Amneal Pharmaceuticals LLC (1 month LIBOR + 3.500%) 0.000%, 5/4/25(7) | 1,797 | 1,527 | |
Avantor, Inc. Tranche B-2 (1 month LIBOR + 3.000%) 5.044%, 11/21/24 | 713 | 718 | |
Azalea TopCo, Inc. First Lien (1 month LIBOR + 3.500%) 5.435%, 7/24/26 | 615 | 613 | |
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 4.789%, 11/27/25 | 512 | 513 |
Par Value | Value | ||
Healthcare—continued | |||
(1 month LIBOR + 3.000%) 5.039%, 6/2/25 | $3,093 | $3,104 | |
Change Healthcare Holdings, Inc. (1 month LIBOR + 2.500%) 4.544%, 3/1/24 | 2,142 | 2,131 | |
CHG Healthcare Services, Inc. (1 month LIBOR + 3.000%) 5.044%, 6/7/23 | 942 | 940 | |
Concordia International Corp. (1 month LIBOR + 5.500%) 7.528%, 9/6/24 | 735 | 691 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 5.794%, 10/10/25 | 2,921 | 2,374 | |
Explorer Holdings, Inc. (3 month LIBOR + 3.750%) 3.750%, 5/2/23 | 420 | 419 | |
Gentiva Health Services, Inc. First Lien (1 month LIBOR + 3.750%) 5.813%, 7/2/25 | 643 | 647 | |
Greatbatch Ltd. Tranche B (1 month LIBOR + 3.000%) 5.050%, 10/27/22 | 462 | 463 | |
Heartland Dental LLC | |||
(1 month LIBOR + 3.750%) 5.794%, 4/30/25 | 1,283 | 1,254 | |
(3 month LIBOR + 3.750%) 3.750%, 4/30/25(9) | 29 | 28 | |
IQVIA, Inc. | |||
Tranche B-1 (3 month LIBOR + 2.000%) 4.104%, 3/7/24 | 913 | 916 | |
Tranche B-2 (1 month LIBOR + 2.000%) 4.104%, 1/17/25 | 103 | 103 | |
Tranche B-3 (3 month LIBOR + 1.750%) 3.854%, 6/11/25 | 2,094 | 2,095 | |
Jaguar Holding Co. II LLC 2018 (1 month LIBOR + 2.500%) 4.544%, 8/18/22 | 2,204 | 2,205 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 4.500%) 6.554%, 11/16/25 | 2,059 | 2,060 | |
National Mentor Holdings, Inc. | |||
First Lien (1 month LIBOR + 4.250%) 6.300%, 3/9/26 | 309 | 310 |
Par Value | Value | ||
Healthcare—continued | |||
Tranche C, First Lien (1 month LIBOR + 4.250%) 6.300%, 3/9/26 | $19 | $19 | |
Navicure, Inc. Tranche B, First Lien (3 month LIBOR + 4.000%) 0.000%, 9/18/26(7) | 340 | 340 | |
NVA Holdings, Inc. | |||
Tranche B-3, First Lien (1 month LIBOR + 2.750%) 4.794%, 2/2/25 | 1,724 | 1,722 | |
Tranche B-4 (1 month LIBOR + 3.500%) 5.544%, 2/2/25 | 50 | 50 | |
Ortho-Clinical Diagnostics, Inc. (3 month LIBOR + 3.250%) 5.563%, 6/30/25 | 2,388 | 2,306 | |
Parexel International Corp. (1 month LIBOR + 2.750%) 4.794%, 9/27/24 | 1,612 | 1,528 | |
Phoenix Guarantor, Inc. First Lien (1 month LIBOR + 4.500%) 6.567%, 3/5/26 | 309 | 310 | |
Select Medical Corp. Tranche B (3 month LIBOR + 2.500%) 4.580%, 3/6/25 | 1,357 | 1,359 | |
Sotera Health holdings LLC (1 month LIBOR + 3.500%) 5.567%, 5/16/22 | 938 | 935 | |
Sterigenics-Nordion Holdings LLC (1 month LIBOR + 3.000%) 5.044%, 5/15/22 | 2,152 | 2,125 | |
Surgery Center Holdings, Inc. (1 month LIBOR + 3.250%) 5.300%, 9/2/24 | 1,549 | 1,512 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 6.080%, 7/2/25 | 490 | 457 | |
Zelis Cost Management Buyer, Inc. (3 month LIBOR + 4.750%) 0.000%, 9/30/26(7) | 1,225 | 1,214 | |
40,795 | |||
Housing—4.8% | |||
84 Lumber Co. Tranche B-1 (1 month LIBOR + 5.250%) 7.268%, 10/25/23 | 1,401 | 1,403 |
Par Value | Value | ||
Housing—continued | |||
American Builders & Contractors Supply Co., Inc. Tranche B-2 (1 month LIBOR + 2.000%) 4.044%, 10/31/23 | $3,452 | $3,449 | |
Capital Automotive LP | |||
2017, Tranche B-2 (1 month LIBOR + 2.500%) 4.550%, 3/25/24 | 364 | 364 | |
Tranche B, Second Lien (1 month LIBOR + 6.000%) 8.044%, 3/24/25 | 1,080 | 1,082 | |
CPG International LLC (3 month LIBOR + 3.750%) 5.933%, 5/6/24 | 4,110 | 4,090 | |
HD Supply, Inc. Tranche B-5 (1 month LIBOR + 1.750%) 3.794%, 10/17/23 | 1,337 | 1,341 | |
Quikrete Holdings, Inc. First Lien (1 month LIBOR + 2.750%) 4.794%, 11/15/23 | 1,562 | 1,555 | |
SiteOne Landscape Supply LLC Tranche E (1 month LIBOR + 2.750%) 4.800%, 10/29/24 | 1,743 | 1,744 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 4.044%, 11/21/24 | 3,006 | 3,009 | |
18,037 | |||
Information Technology—6.5% | |||
Air Newco LLC Tranche B (3 month LIBOR + 4.250%) 0.000%, 9/18/26(7) | 505 | 500 | |
Applied Systems, Inc. | |||
First Lien (3 month LIBOR + 3.000%) 5.104%, 9/19/24 | 448 | 447 | |
Second Lien (3 month LIBOR + 7.000%) 9.104%, 9/19/25 | 1,108 | 1,117 | |
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 6.294%, 10/2/25 | 3,075 | 2,956 | |
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 4.050%, 9/19/25 | 3,272 | 3,287 | |
Go Daddy Operating Co. LLC Tranche B-1 (1 month LIBOR + 2.000%) 4.044%, 2/15/24 | 1,461 | 1,463 |
Par Value | Value | ||
Information Technology—continued | |||
Kronos, Inc. | |||
2018 (3 month LIBOR + 3.000%) 5.253%, 11/1/23 | $3,730 | $3,736 | |
Second Lien (3 month LIBOR + 8.250%) 10.503%, 11/1/24 | 965 | 978 | |
Presidio Holdings, Inc. (3 month LIBOR + 2.750%) 5.054%, 2/2/24 | 1,141 | 1,142 | |
Rackspace Hosting, Inc. Tranche B, First Lien (3 month LIBOR + 3.000%) 5.287%, 11/3/23 | 1,409 | 1,291 | |
SS&C Technologies, Inc. | |||
Tranche B-3 (1 month LIBOR + 2.250%) 4.294%, 4/16/25 | 1,680 | 1,684 | |
Tranche B-4 (1 month LIBOR + 2.250%) 4.294%, 4/16/25 | 1,110 | 1,113 | |
Vertafore, Inc. First Lien (1 month LIBOR + 3.250%) 5.294%, 7/2/25 | 3,435 | 3,333 | |
Vertiv Group Corp. Tranche B (1 month LIBOR + 4.000%) 6.044%, 11/30/23 | 1,260 | 1,197 | |
24,244 | |||
Manufacturing—5.5% | |||
Brand Energy & Infrastructure Services, Inc. (3 month LIBOR + 4.250%) 6.514%, 6/21/24 | 1,690 | 1,648 | |
Circor International, Inc. (1 month LIBOR + 3.500%) 5.539%, 12/11/24 | 1,015 | 1,016 | |
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 6.710%, 8/17/22 | 2,257 | 1,746 | |
Crosby US Acquisition Corp. First Lien (1 month LIBOR + 4.750%) 6.796%, 6/26/26 | 973 | 951 | |
Filtration Group Corp. (1 month LIBOR + 3.000%) 5.044%, 3/29/25 | 829 | 831 | |
Gardner Denver, Inc. Tranche B-1 (1 month LIBOR + 2.750%) 4.794%, 7/30/24 | 2,282 | 2,289 | |
Gates Global LLC Tranche B-2 (1 month LIBOR + 2.750%) 4.794%, 4/1/24 | 2,121 | 2,085 | |
Hillman Group, Inc. (The) (1 month LIBOR + 4.000%) 6.044%, 5/31/25 | 1,580 | 1,531 |
Par Value | Value | ||
Manufacturing—continued | |||
KSBR Holding Corp. (1 month LIBOR + 4.250%) 6.307%, 4/15/26 | $1,067 | $1,071 | |
NCR Corp. | |||
(1 month LIBOR + 2.500%) 4.550%, 8/28/26 | 279 | 280 | |
(3 month LIBOR + 0.000%) 0.000%, 8/28/26(9) | 319 | 320 | |
NN, Inc. | |||
2017 (1 month LIBOR + 3.250%) 5.294%, 4/2/21 | 900 | 884 | |
Tranche B (1 month LIBOR + 3.750%) 5.794%, 10/19/22 | 1,397 | 1,372 | |
Rexnord LLC (1 month LIBOR + 2.000%) 4.044%, 8/21/24 | 1,062 | 1,067 | |
Titan Acquisition Ltd. (1 month LIBOR + 3.000%) 5.044%, 3/28/25 | 2,203 | 2,112 | |
U.S. Farathane LLC Tranche B-4 (1 month LIBOR + 3.500%) 5.544%, 12/23/21 | 1,585 | 1,490 | |
20,693 | |||
Media / Telecom - Broadcasting—3.2% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 5.300%, 8/24/26 | 1,150 | 1,156 | |
iHeartCommunications, Inc. (1 month LIBOR + 4.000%) 6.100%, 5/1/26 | 889 | 894 | |
Nexstar Broadcasting, Inc. Tranche B-4 (3 month LIBOR + 2.750%) 0.000%, 9/18/26(7) | 2,710 | 2,721 | |
Sinclair Television Group, Inc. Tranche B (1 month LIBOR + 2.250%) 4.300%, 1/3/24 | 2,432 | 2,437 | |
Univision Communications, Inc. 2017 (1 month LIBOR + 2.750%) 4.794%, 3/15/24 | 4,881 | 4,740 | |
11,948 | |||
Media / Telecom - Cable/Wireless Video—4.8% | |||
Charter Communications Operating LLC Tranche B (1 month LIBOR + 2.000%) 4.050%, 4/30/25 | 4,752 | 4,779 |
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—continued | |||
CSC Holdings LLC | |||
2017 (1 month LIBOR + 2.250%) 4.278%, 7/17/25 | $3,246 | $3,241 | |
2018 (1 month LIBOR + 2.250%) 4.278%, 1/15/26 | 1,015 | 1,013 | |
2018 (1 month LIBOR + 2.500%) 4.528%, 1/25/26 | 346 | 346 | |
MCC Iowa LLC Tranche M (weekly LIBOR + 2.000%) 3.930%, 1/15/25 | 1,577 | 1,586 | |
Radiate Holdco LLC (1 month LIBOR + 3.000%) 5.044%, 2/1/24 | 1,747 | 1,739 | |
Telenet Financing LLC (1 month LIBOR + 2.250%) 4.278%, 8/17/26 | 1,915 | 1,914 | |
Virgin Media Bristol LLC Tranche K (1 month LIBOR + 2.500%) 4.528%, 1/15/26 | 1,570 | 1,570 | |
Ziggo Secured Finance Partnership Tranche E (1 month LIBOR + 2.500%) 4.528%, 4/15/25 | 1,845 | 1,840 | |
18,028 | |||
Media / Telecom - Diversified Media—2.8% | |||
Alpha Topco Ltd. 2018, Tranche B-3 (1 month LIBOR + 2.500%) 4.544%, 2/1/24 | 1,528 | 1,506 | |
CDS US Intermediate Holdings, Inc. Tranche B (3 month LIBOR + 3.750%) 5.854%, 7/8/22 | 1,637 | 1,548 | |
Clear Channel Outdoor Holdings, Inc. Tranche B (1 month LIBOR + 3.500%) 5.544%, 8/21/26 | 1,175 | 1,178 | |
Crown Finance US, Inc. (1 month LIBOR + 2.250%) 4.294%, 2/28/25 | 1,334 | 1,325 | |
Fort Dearborn Holding Co., Inc. First Lien (3 month LIBOR + 4.000%) 6.307%, 10/19/23 | 1,770 | 1,738 | |
McGraw-Hill Global Education Holdings LLC Tranche B, First Lien (1 month LIBOR + 4.000%) 6.044%, 5/4/22 | 2,560 | 2,403 |
Par Value | Value | ||
Media / Telecom - Diversified Media—continued | |||
Meredith Corp. Tranche B-1 (1 month LIBOR + 2.750%) 4.794%, 1/31/25 | $689 | $689 | |
10,387 | |||
Media / Telecom - Telecommunications—4.7% | |||
Communications Sales & Leasing, Inc. Tranche B (1 month LIBOR + 5.000%) 7.044%, 10/24/22 | 1,658 | 1,615 | |
Consolidated Communications, Inc. 2016 (1 month LIBOR + 3.000%) 5.050%, 10/5/23 | 1,202 | 1,153 | |
Frontier Communications Corp. Tranche B-1 (1 month LIBOR + 3.750%) 0.000%, 6/17/24(7) | 2,924 | 2,914 | |
Level 3 Financing, Inc. 2024, Tranche B (1 month LIBOR + 2.250%) 4.294%, 2/22/24 | 5,792 | 5,801 | |
Neustar, Inc. Tranche B-4, First Lien (1 month LIBOR + 3.500%) 5.544%, 8/8/24 | 1,181 | 1,139 | |
Numericable U.S. LLC | |||
Tranche B-11 (1 month LIBOR + 2.750%) 4.794%, 7/31/25 | 1,335 | 1,301 | |
Tranche B-12 (1 month LIBOR + 3.688%) 5.715%, 1/31/26 | 542 | 538 | |
Tranche B-13 (1 month LIBOR + 4.000%) 6.028%, 8/14/26 | 645 | 643 | |
Securus Technologies Holdings, Inc. | |||
First Lien (1 month LIBOR + 4.500%) 6.544%, 11/1/24 | 735 | 643 | |
Second Lien (1 month LIBOR + 8.250%) 10.294%, 11/1/25 | 740 | 648 | |
West Corp. | |||
Tranche B (1 month LIBOR + 4.000%) 6.044%, 10/10/24 | 1,058 | 943 | |
Tranche B-1 (1 month LIBOR + 3.500%) 5.544%, 10/10/24 | 459 | 404 | |
17,742 | |||
Par Value | Value | ||
Media / Telecom - Wireless Communications—1.9% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 5.294%, 4/4/26 | $880 | $876 | |
SBA Senior Finance II LLC (1 month LIBOR + 2.000%) 4.050%, 4/11/25 | 2,810 | 2,811 | |
Sprint Communications, Inc. | |||
(1 month LIBOR + 2.500%) 4.563%, 2/2/24 | 2,301 | 2,283 | |
2018 (1 month LIBOR + 3.000%) 5.063%, 2/2/24 | 958 | 954 | |
6,924 | |||
Metals / Minerals—0.5% | |||
Covia Holdings Corp. (3 month LIBOR + 4.000%) 6.313%, 6/2/25 | 1,356 | 1,104 | |
Graftech International Ltd. (1 month LIBOR + 3.500%) 5.544%, 2/12/25 | 850 | 825 | |
1,929 | |||
Retail—1.8% | |||
ASHCO LLC (1 month LIBOR + 5.000%) 7.044%, 9/25/24 | 1,960 | 1,885 | |
Michaels Stores, Inc. 2018, Tranche B (1 month LIBOR + 2.500%) 4.544%, 1/30/23 | 2,063 | 2,012 | |
Neiman Marcus Group Ltd. LLC (1 month LIBOR + 6.000%) 8.057%, 10/25/23 | 1,953 | 1,480 | |
PetSmart, Inc. Tranche B-2 (1 month LIBOR + 4.000%) 6.040%, 3/11/22 | 1,577 | 1,537 | |
6,914 | |||
Service—9.1% | |||
Advantage Sales & Marketing, Inc. First Lien (1 month LIBOR + 3.250%) 5.294%, 7/23/21 | 550 | 513 | |
AlixPartners LLP 2017 (1 month LIBOR + 2.750%) 4.794%, 4/4/24 | 2,219 | 2,219 | |
Argus Media Ltd. (3 month LIBOR + 3.500%) 0.000%, 9/24/26(7) | 440 | 442 |
Par Value | Value | ||
Service—continued | |||
Carlisle Food Service Products, Inc. First Lien (1 month LIBOR + 3.000%) 5.044%, 3/20/25 | $330 | $314 | |
CSC SW Holdco, Inc. Tranche B-1 (3 month LIBOR + 3.250%) 5.572%, 11/14/22 | 1,165 | 1,144 | |
Dun & Bradstreet Corp. (The) (1 month LIBOR + 5.000%) 7.054%, 2/6/26 | 1,335 | 1,343 | |
Garda World Security Corp. Tranche B (3 month LIBOR + 3.500%) 5.637%, 5/24/24 | 787 | 787 | |
GFL Environmental, Inc. 2018 (1 month LIBOR + 3.000%) 5.044%, 5/30/25 | 1,604 | 1,589 | |
Gopher Resource LLC (1 month LIBOR + 3.250%) 5.294%, 3/6/25 | 419 | 412 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 5.544%, 6/30/24 | 1,859 | 1,831 | |
J2 Acquisition Ltd. Tranche B, First Lien (3 month LIBOR + 2.500%) 0.000%, 9/25/26(7) | 480 | 481 | |
Patriot Container Corp. First Lien (1 month LIBOR + 3.500%) 5.544%, 3/20/25 | 724 | 718 | |
Pearl Intermediate Parent LLC | |||
First Lien (1 month LIBOR + 2.750%) 4.794%, 2/14/25 | 1,416 | 1,368 | |
First Lien (3 month LIBOR + 1.000%) 3.886%, 2/14/25(9) | 100 | 97 | |
First Lien (3 month LIBOR + 1.000%) 3.886%, 2/14/25 | 319 | 308 | |
Pi US Mergerco, Inc. Tranche B-1 (1 month LIBOR + 3.250%) 5.294%, 1/3/25 | 2,565 | 2,554 | |
Prime Security Services Borrower LLC 2019, Tranche B-1 (3 month LIBOR + 3.250%) 0.000%, 9/23/26(7) | 2,085 | 2,062 |
Par Value | Value | ||
Service—continued | |||
Red Ventures LLC Tranche B-1, First Lien (1 month LIBOR + 3.000%) 5.044%, 11/8/24 | $1,474 | $1,479 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 5.294%, 12/31/25 | 3,211 | 3,154 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.500%) 5.550%, 7/17/25 | 1,446 | 1,448 | |
Tempo Acquisition LLC (1 month LIBOR + 3.000%) 5.044%, 5/1/24 | 1,549 | 1,554 | |
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 5.800%, 2/1/23 | 1,602 | 1,571 | |
Trans Union LLC 2017, Tranche B-3 (1 month LIBOR + 2.000%) 4.044%, 4/10/23 | 3,446 | 3,456 | |
Tunnel Hill Partners LP (1 month LIBOR + 3.500%) 5.544%, 2/6/26 | 1,080 | 1,072 | |
WEX, Inc. Tranche B-3 (1 month LIBOR + 2.250%) 4.294%, 5/15/26 | 1,967 | 1,976 | |
33,892 | |||
Transportation - Automotive—2.9% | |||
Accuride Corp. 2017 (3 month LIBOR + 5.250%) 7.354%, 11/17/23 | 1,412 | 1,186 | |
American Axle & Manufacturing, Inc. Tranche B (3 month LIBOR + 2.250%) 4.322%, 4/6/24 | 1,136 | 1,111 | |
DexKo Global, Inc. Tranche B (1 month LIBOR + 3.500%) 5.544%, 7/24/24 | 1,469 | 1,449 | |
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 5.700%, 11/6/24 | 1,706 | 1,695 | |
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 5.544%, 4/30/26 | 2,145 | 2,122 |
Par Value | Value | ||
Transportation - Automotive—continued | |||
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 5.044%, 10/1/25 | $2,119 | $1,987 | |
TI Group Automotive Systems LLC (1 month LIBOR + 2.500%) 4.544%, 6/30/22 | 1,195 | 1,191 | |
10,741 | |||
Utility—3.2% | |||
APLP Holdings LP (1 month LIBOR + 2.750%) 4.794%, 4/13/23 | 1,123 | 1,122 | |
Brookfield WEC Holdings, Inc. First Lien (1 month LIBOR + 3.500%) 5.544%, 8/1/25 | 1,946 | 1,951 | |
Calpine Construction Finance Co. LP Tranche B (1 month LIBOR + 2.500%) 4.544%, 1/15/25 | 1,960 | 1,960 | |
Calpine Corp. 2019 (3 month LIBOR + 2.750%) 4.860%, 4/5/26 | 833 | 835 | |
Lightstone Holdco LLC | |||
2018, Tranche B (1 month LIBOR + 3.750%) 5.794%, 1/30/24 | 777 | 744 | |
2018, Tranche C (1 month LIBOR + 3.750%) 5.794%, 1/30/24 | 44 | 42 | |
Pacific Gas and Electric Co. | |||
(1 month LIBOR + 2.250%) 4.320%, 12/31/20 | 390 | 392 | |
(4 month LIBOR + 1.125%) 1.125%, 12/31/20(9) | 130 | 131 | |
Talen Energy Supply LLC (1 month LIBOR + 3.750%) 5.792%, 7/8/26 | 1,080 | 1,077 | |
TerraForm Power Operating LLC (1 month LIBOR + 2.000%) 4.044%, 11/8/22 | 511 | 512 | |
Vistra Operations Co. LLC | |||
2018 (1 month LIBOR + 2.000%) 4.036%, 12/31/25 | 2,272 | 2,278 |
Par Value | Value | ||
Utility—continued | |||
Tranche B-1 (1 month LIBOR + 2.000%) 4.044%, 8/4/23 | $909 | $911 | |
11,955 | |||
Total Leveraged Loans (Identified Cost $380,886) | 368,793 | ||
Shares | ||
Common Stocks—0.3% | ||
Communication Services—0.3% | ||
Clear Channel Outdoor Holdings, Inc.(10) | 107,177 | 270 |
iHeartMedia, Inc. Class A(2)(10) | 45,578 | 684 |
T-Mobile USA, Inc.(2)(10) | 1,090,000 | — |
954 | ||
Energy—0.0% | ||
Sabine Oil & Gas Holdings, Inc.(2) | 727 | 36 |
Total Common Stocks (Identified Cost $1,328) | 990 | |
Exchange-Traded Fund—0.3% | ||
SPDR Bloomberg Barclays Short Term High Yield Bond(11) | 42,175 | 1,139 |
Total Exchange-Traded Fund (Identified Cost $1,144) | 1,139 | |
Rights—0.0% | ||
Utilities—0.0% | ||
Vistra Energy Corp.(2)(10) | 152,810 | 132 |
Total Rights (Identified Cost $129) | 132 | |
Warrants—0.0% | ||
Energy—0.0% | ||
Sabine Oil & Gas Holdings, Inc.(2)(10) | 477 | 4 |
Shares | Value | ||
Energy—continued | |||
Sabine Oil & Gas Holdings, Inc.(2)(10) | 2,269 | $18 | |
22 | |||
Total Warrants (Identified Cost $19) | 22 | ||
Total Long-Term Investments—102.1% (Identified Cost $394,284) | 381,297 | ||
Short-Term Investment—2.5% | |||
Money Market Mutual Fund—2.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(11) | 9,357,182 | 9,357 | |
Total Short-Term Investment (Identified Cost $9,357) | 9,357 | ||
TOTAL INVESTMENTS—104.6% (Identified Cost $403,641) | $390,654 | ||
Other assets and liabilities, net—(4.6)% | (17,087) | ||
NET ASSETS—100.0% | $373,567 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
SPDR | S&P Depositary Receipt |
Footnote Legend: | |
(1) | 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, 2019, these securities amounted to a value of $5,634 or 1.5% of net assets. |
(2) | 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 after the Schedule of Investments. |
(3) | 100% of the income received was in cash. |
(4) | First pay date will be in November 2019. |
(5) | 100% of the income received was in PIK. |
(6) | Variable rate security. Rate disclosed is as of September 30, 2019. 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. |
(7) | This loan will settle after September 30, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(8) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(9) | Represents unfunded portion of security and commitment fee earned on this portion. |
(10) | Non-income producing. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 91% |
Canada | 3 |
Luxembourg | 2 |
Netherlands | 1 |
United Kingdom | 1 |
France | 1 |
Other | 1 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $10,221 | $— | $9,165 | $1,056 | |||
Leveraged Loans | 368,793 | — | 368,502 | 291 | |||
Equity Securities: | |||||||
Rights | 132 | — | — | 132 | |||
Common Stocks | 990 | 954 | — | 36 | |||
Warrants | 22 | — | — | 22 | |||
Exchange-Traded Fund | 1,139 | 1,139 | — | — | |||
Money Market Mutual Fund | 9,357 | 9,357 | — | — | |||
Total Investments | $390,654 | $11,450 | $377,667 | $1,537 |
September 30, 2019
Par Value | Value | ||
Municipal Bonds(1)—96.5% | |||
Alabama—1.6% | |||
Black Belt Energy Gas District, Natural Gas Purchase Revenue, Mandatory Put 12/1/23, 4.000%, 12/1/48(2) | $465 | $502 | |
Pell City Special Care Facilities Financing Authority, Noland Health Services Revenue, | |||
4.000%, 12/1/25 | 500 | 524 | |
5.000%, 12/1/25 | 1,000 | 1,068 | |
2,094 | |||
Arizona—4.8% | |||
Arizona Board of Regents, Arizona State University System Revenue, | |||
5.000%, 7/1/36 | 1,000 | 1,197 | |
5.000%, 7/1/37 | 360 | 430 | |
Arizona Department of Transportation, State Highway Fund Revenue, 5.000%, 7/1/36 | 500 | 602 | |
Arizona State Health Facilities Authority, Scottsdale Lincoln Hospital Revenue, 5.000%, 12/1/24 | 565 | 662 | |
Maricopa County Industrial Development Authority, Banner Health Revenue, 4.000%, 1/1/34 | 1,000 | 1,118 | |
Northern Arizona University, Stimular Plan for Economic and Educational Development Revenue, | |||
5.000%, 8/1/24 | 1,115 | 1,254 | |
5.000%, 8/1/25 | 1,000 | 1,124 | |
6,387 | |||
Arkansas—0.5% | |||
University of Arkansas, Facility Revenue, 5.000%, 11/1/33 | 505 | 614 | |
California—2.8% | |||
California Municipal Finance Authority, Bowles Hall Foundation Revenue, | |||
4.000%, 6/1/21 | 100 | 104 | |
4.500%, 6/1/23 | 225 | 247 | |
4.500%, 6/1/24 | 150 | 168 | |
California State Health Facilities Financing Authority, Providence St. Joseph Health, 4.000%, 10/1/36 | 275 | 306 |
Par Value | Value | ||
California—continued | |||
California State Municipal Finance Authority, Community Medical Centers, 5.000%, 2/1/27 | $400 | $472 | |
California Statewide Communities Development Authority, The Culinary Institute of America Revenue, 5.000%, 7/1/28 | 200 | 239 | |
Golden State Tobacco Securitization Corp., Tobacco Settlement Revenue, 5.000%, 6/1/47 | 800 | 821 | |
Inglewood Redevelopment Agency Successor Agency, Subordinate Lien Merged Redevelopment Project, Tax Allocation Revenue, (BAM Insured) 5.000%, 5/1/32 | 545 | 668 | |
Santa Clarita Community College District, General Obligation, 3.000%, 8/1/44 | 500 | 511 | |
Temecula Valley Unified School District Financing Authority, Special Tax Revenue, (BAM Insured) 5.000%, 9/1/25 | 175 | 209 | |
3,745 | |||
Colorado—5.9% | |||
Denver Convention Center Hotel Authority Revenue, Senior Lien, 5.000%, 12/1/27 | 400 | 471 | |
E-470 Public Highway Authority Revenue, | |||
5.000%, 9/1/20 | 340 | 351 | |
(NATL Insured) 0.000%, 9/1/29 | 665 | 394 | |
Public Authority For Colorado Energy, Natural Gas Purchase Revenue, | |||
6.125%, 11/15/23 | 2,135 | 2,348 | |
6.250%, 11/15/28 | 2,250 | 2,886 | |
Regional Transportation District, Sales Tax Revenue, Fastracks Project, 5.000%, 11/1/32 | 1,195 | 1,464 | |
7,914 | |||
Par Value | Value | ||
Connecticut—2.3% | |||
Connecticut Housing Finance Authority, Mortgage Revenue, (GNMA / FNMA / FHLMC Insured) 3.200%, 11/15/33 | $425 | $445 | |
Connecticut State Health & Educational Facility Authority, Hartford Healthcare Revenue, 5.000%, 7/1/25 | 1,500 | 1,724 | |
Connecticut, State of, General Obligation, 5.000%, 9/15/34 | 750 | 923 | |
3,092 | |||
District of Columbia—3.9% | |||
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Second Lien, (AGC Insured) 6.500%, 10/1/41 | 4,000 | 5,204 | |
Florida—10.0% | |||
Brevard County Health Facilities Authority, Health First Revenue, 5.000%, 4/1/21 | 115 | 121 | |
Brevard County School Board, Certificates of Participation, 5.000%, 7/1/32 | 1,000 | 1,218 | |
Broward County School Board, Certificates of Participation, 5.000%, 7/1/32 | 300 | 360 | |
Central Florida Expressway Authority, Senior Lien Toll Revenue, 4.000%, 7/1/30 | 200 | 227 | |
Florida, State of, General Obligation, 5.000%, 7/1/31 | 4,000 | 5,162 | |
Miami Beach Redevelopment Agency, Tax Increment Revenue, 5.000%, 2/1/32 | 300 | 340 | |
Miami-Dade County Educational Facilities Authority, University of Miami Revenue, 5.000%, 4/1/30 | 200 | 234 | |
Miami-Dade County School Board, Certificates of Participation, 5.000%, 2/1/34 | 1,700 | 2,002 |
Par Value | Value | ||
Florida—continued | |||
Seminole County School Board, Certificates of Participation, 5.000%, 7/1/29 | $1,935 | $2,357 | |
South Florida Water Management District, Certificates of Participation, 5.000%, 10/1/35 | 750 | 888 | |
Tallahassee, City of, Health Facilities Revenue, Tallahassee Memorial Healthcare, 5.000%, 12/1/36 | 480 | 550 | |
13,459 | |||
Georgia—1.8% | |||
Atlanta Water & Wastewater Revenue, 5.000%, 11/1/31 | 650 | 771 | |
DeKalb County Water & Sewer Revenue, 5.250%, 10/1/26 | 1,555 | 1,673 | |
2,444 | |||
Idaho—1.4% | |||
Idaho Health Facilities Authority, St. Luke’s Health System Revenue, 5.000%, 3/1/37 | 235 | 280 | |
Idaho Housing & Finance Association, Federal Highway Grant Anticipation Revenue, 4.500%, 7/15/29 | 1,500 | 1,571 | |
1,851 | |||
Illinois—10.3% | |||
Chicago O’Hare International Airport, Passenger Facilities Charge Revenue, 5.000%, 1/1/20 | 70 | 70 | |
Chicago, City of, | |||
Sales Tax Revenue, (Pre-Refunded 1/1/22 @ 100) 5.250%, 1/1/38 | 25 | 27 | |
Sales Tax Revenue, (Escrowed to Maturity) 5.000%, 1/1/21 | 750 | 784 | |
Waterworks Revenue, Second Lien, 5.000%, 11/1/22 | 500 | 549 | |
Waterworks Revenue, Second Lien, 5.000%, 11/1/30 | 500 | 589 |
Par Value | Value | ||
Illinois—continued | |||
Waterworks Revenue, Second Lien, (AGM Insured) 5.000%, 11/1/31 | $500 | $601 | |
Waterworks Revenue, Second Lien, (AGM Insured) 5.250%, 11/1/32 | 350 | 427 | |
Illinois Finance Authority, Rush University Medical Center Revenue, 5.000%, 11/15/21 | 250 | 269 | |
Illinois State Toll Highway Authority, Toll Highway Revenue, Senior Lien, 5.000%, 1/1/32 | 1,000 | 1,192 | |
Illinois, State of, General Obligation, | |||
5.000%, 4/1/22 | 815 | 868 | |
5.000%, 2/1/26 | 1,490 | 1,633 | |
5.000%, 2/1/27 | 1,250 | 1,431 | |
Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project Revenue, (AGM Insured) 0.000%, 6/15/26 | 1,000 | 857 | |
Railsplitter Tobacco Settlement Authority, Tobacco Settlement Revenue, 5.000%, 6/1/27 | 450 | 542 | |
Sales Tax Securitization Corp., Chicago Sales Tax Revenue, Sales Tax Revenue, 5.000%, 1/1/30 | 1,500 | 1,781 | |
University of Illinois, Auxiliary Facilities System Revenue, | |||
5.500%, 4/1/31 | 1,540 | 1,623 | |
5.125%, 4/1/36 | 500 | 523 | |
13,766 | |||
Indiana—2.2% | |||
Indiana Finance Authority, | |||
Indiana University Health Center Revenue, 5.000%, 12/1/22 | 800 | 890 | |
Parkview Health System, 5.000%, 11/1/43 | 1,700 | 2,058 | |
2,948 | |||
Louisiana—0.4% | |||
New Orleans Sewerage Service Revenue, 5.000%, 6/1/20 | 550 | 563 |
Par Value | Value | ||
Maine—1.9% | |||
Portland, City of, General Airport Revenue, | |||
5.000%, 7/1/26 | $1,000 | $1,107 | |
5.000%, 7/1/29 | 580 | 640 | |
5.000%, 7/1/30 | 770 | 847 | |
2,594 | |||
Maryland—1.8% | |||
Baltimore, City of, Convention Center Hotel Revenue, 5.000%, 9/1/36 | 250 | 289 | |
Maryland Economic Development Corp., Exelon Generation Co. Revenue, Mandatory Put 6/1/20, 2.550%, 12/1/25(2) | 500 | 504 | |
Maryland Health & Higher Educational Facilities Authority, | |||
Medstar Health System Revenue, 5.000%, 8/15/26 | 800 | 939 | |
Medstar Health System Revenue, 5.000%, 5/15/42 | 600 | 708 | |
2,440 | |||
Massachusetts—0.4% | |||
Massachusetts Port Authority, Transportation Revenue, 5.000%, 7/1/31 | 500 | 610 | |
Michigan—1.9% | |||
Michigan Finance Authority, Beaumont Health Credit Group Revenue, 5.000%, 8/1/27 | 1,250 | 1,449 | |
Michigan State Building Authority, Facilities Program Lease Revenue, | |||
5.000%, 4/15/25 | 500 | 597 | |
4.000%, 10/15/36 | 500 | 555 | |
2,601 | |||
New Jersey—5.6% | |||
Camden County Improvement Authority Healthcare Redevelopment Project, Cooper Health System Revenue, 5.000%, 2/15/22 | 950 | 1,024 |
Par Value | Value | ||
New Jersey—continued | |||
New Jersey Economic Development Authority, Cigarette Tax Revenue, (AGM Insured) 5.000%, 6/15/22 | $3,000 | $3,258 | |
New Jersey Housing & Mortgage Finance Agency, Mortgage Revenue, 4.375%, 4/1/28 | 1,685 | 1,766 | |
New Jersey Turnpike Authority, Toll Revenue, 4.000%, 1/1/35 | 240 | 274 | |
Tobacco Settlement Financing Corp., Tobacco Settlement Revenue, | |||
5.000%, 6/1/31 | 250 | 304 | |
5.000%, 6/1/32 | 250 | 302 | |
5.000%, 6/1/33 | 250 | 301 | |
5.000%, 6/1/34 | 250 | 300 | |
7,529 | |||
New York—4.0% | |||
Buffalo & Erie County Industrial Land Development Corp., Catholic Health System Revenue, 5.000%, 7/1/23 | 550 | 618 | |
Dutchess County Local Development Corp., The Culinary Institute of America Revenue, 5.000%, 7/1/33 | 180 | 220 | |
New York City Industrial Development Agency, Queens Baseball Stadium Project Revenue, | |||
(AGC Insured) 6.125%, 1/1/29 | 500 | 502 | |
(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, 5.000%, 6/15/40 | 1,295 | 1,595 | |
New York State Dormitory Authority, | |||
New York University Hospitals Center Revenue, 5.000%, 7/1/33 | 150 | 180 |
Par Value | Value | ||
New York—continued | |||
Orange Regional Medical Center Revenue, 5.000%, 12/1/23(3) | $300 | $336 | |
New York Transportation Development Corp., American Airlines JFK Project Revenue, 5.000%, 8/1/26 | 250 | 263 | |
TSASC, Inc., Tobacco Settlement Revenue, 5.000%, 6/1/34 | 190 | 224 | |
5,312 | |||
North Dakota—1.0% | |||
Barnes County North Public School District Building Authority, Lease Revenue, 4.250%, 5/1/27 | 1,330 | 1,373 | |
Ohio—1.4% | |||
New Albany Community Authority, Community Facilities Revenue, 5.000%, 10/1/24 | 1,250 | 1,379 | |
Northeast Ohio Regional Sewer District Revenue, 3.000%, 11/15/40 | 500 | 517 | |
1,896 | |||
Oregon—2.1% | |||
Oregon State Housing & Community, Mortgage Revenue, Residential Finance Program Revenue, 4.500%, 1/1/49 | 445 | 487 | |
Oregon, State of, General Obligation, 5.000%, 5/1/33 | 1,095 | 1,327 | |
Washington & Multnomah Counties, Beaverton School District No. 48J, General Obligation, (SCH BD GTY Insured) 5.000%, 6/15/36 | 800 | 984 | |
2,798 | |||
Pennsylvania—5.0% | |||
Butler County Hospital Authority, Butler Health System Revenue, 5.000%, 7/1/30 | 250 | 290 | |
Delaware River Joint Toll Bridge Commission, Bridge System Revenue, 5.000%, 7/1/34 | 250 | 308 |
Par Value | Value | ||
Pennsylvania—continued | |||
Pennsylvania Turnpike Commission, Turnpike Revenue Subordinate Lien, | |||
(Pre-Refunded 12/1/20 @ 100) 6.000%, 12/1/34 | $250 | $264 | |
(Pre-Refunded 12/1/20 @ 100) 6.000%, 12/1/34 | 265 | 279 | |
(Pre-Refunded 12/1/20 @ 100) 6.000%, 12/1/34 | 1,235 | 1,302 | |
(Pre-Refunded 12/1/21 @ 100) 5.250%, 12/1/31 | 1,000 | 1,086 | |
Toll Highway Revenue, 6.375%, 12/1/38 | 2,000 | 2,613 | |
Philadelphia, City of, | |||
Water & Wastewater Revenue, 5.000%, 11/1/31 | 125 | 154 | |
Water & Wastewater Revenue, 5.000%, 10/1/42 | 300 | 361 | |
6,657 | |||
South Carolina—1.0% | |||
Dorchester County, Water & Sewer Revenue, 5.000%, 10/1/28 | 1,020 | 1,124 | |
South Carolina Association of Governmental Organizations Educational Facilities Corp., for Pickens School District Lease Revenue, 5.000%, 12/1/24 | 250 | 294 | |
1,418 | |||
Tennessee—2.4% | |||
Chattanooga-Hamilton County Hospital Authority, Erlanger Health System Revenue, 5.000%, 10/1/26 | 1,000 | 1,142 | |
Tennessee Housing Development Agency, Residential Finance Program Revenue, | |||
2.050%, 7/1/20 | 545 | 547 | |
2.300%, 1/1/21 | 310 | 313 |
Par Value | Value | ||
Tennessee—continued | |||
Tennessee State School Bond Authority, Higher Education Program Revenue, (ST HGR ED INTERCEPT PROG Insured) 5.000%, 11/1/34 | $1,000 | $1,248 | |
3,250 | |||
Texas—15.3% | |||
Corpus Christi Independent School District, General Obligation, (PSF-GTD Insured) 4.000%, 8/15/43 | 5,000 | 5,635 | |
Hidalgo County Drain District No. 1, General Obligation, 5.000%, 9/1/28 | 1,000 | 1,194 | |
Lamar Consolidated Independent School District, General Obligation, (PSF-GTD Insured) 5.000%, 2/15/34 | 1,000 | 1,221 | |
North Texas Tollway Authority, Special Project System Revenue, (Pre-Refunded 9/1/31 @ 100) 0.000%, 9/1/43 | 2,340 | 2,934 | |
Southmost Regional Water Authority, Desalination Plant Project Revenue, | |||
(AGM Insured) 5.000%, 9/1/23 | 1,085 | 1,192 | |
(AGM Insured) 5.000%, 9/1/25 | 1,015 | 1,113 | |
Texas Municipal Gas Acquisition & Supply Corp. I, Gas Supply Revenue, Senior Lien, 6.250%, 12/15/26 | 1,515 | 1,767 | |
Texas Municipal Gas Acquisition & Supply Corp. II, Gas Supply Revenue, 2.088%, 9/15/27(2) | 2,620 | 2,558 | |
Texas Water Development Board Revenue, 5.000%, 8/1/29 | 1,000 | 1,310 | |
Upper Trinity Regional Water District Authority, Regional Treated Supply System Revenue, (BAM Insured) 5.000%, 8/1/24 | 1,340 | 1,553 | |
20,477 | |||
Par Value | Value | ||
Vermont—0.3% | |||
Vermont Educational & Health Buildings Financing Agency, University of Vermont Health Network Revenue, 5.000%, 12/1/35 | $300 | $355 | |
Virginia—1.7% | |||
Riverside Regional Jail Authority, Jail Facility Revenue, 5.000%, 7/1/26 | 1,250 | 1,497 | |
Virginia College Building Authority, Marymount University Revenue, | |||
5.000%, 7/1/20(3) | 200 | 204 | |
5.000%, 7/1/21(3) | 400 | 417 | |
5.000%, 7/1/22(3) | 195 | 208 | |
2,326 | |||
Washington—1.5% | |||
King County Sewer Revenue, 5.000%, 7/1/36 | 1,630 | 1,962 | |
West Virginia—0.2% | |||
Monongalia County Building Commission, Monongalia Health System Revenue, 5.000%, 7/1/23 | 300 | 330 | |
Wisconsin—1.1% | |||
Public Finance Authority, | |||
Renown Regional Medical Center Revenue, 5.000%, 6/1/33 | 1,000 | 1,179 | |
Waste Management, Inc. Revenue, 2.875%, 5/1/27 | 250 | 262 | |
1,441 | |||
Total Municipal Bonds (Identified Cost $120,917) | 129,450 | ||
Shares | ||
Exchange-Traded Fund—1.0% | ||
VanEck Vectors High-Yield Municipal Index ETF(4) | 20,630 | 1,329 |
Total Exchange-Traded Fund (Identified Cost $1,259) | 1,329 | |
Total Long-Term Investments—97.5% (Identified Cost $122,176) | 130,779 | |
Shares | Value | ||
Short-Term Investment—1.5% | |||
Money Market Mutual Fund—1.5% | |||
Dreyfus AMT-Free Tax Exempt Cash Management (seven-day effective yield 1.390%)(4) | 2,064,649 | $2,065 | |
Total Short-Term Investment (Identified Cost $2,065) | 2,065 | ||
TOTAL INVESTMENTS—99.0% (Identified Cost $124,241) | $132,844 | ||
Other assets and liabilities, net—1.0% | 1,312 | ||
NET ASSETS—100.0% | $134,156 |
Abbreviations: | |
AGC | Assured Guaranty Corp. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
BAM | Build America Municipal Insured |
ETF | Exchange-Traded Fund |
FHLMC | Federal Home Loan Mortgage Corporation (“Freddie Mac”) |
FNMA | Federal National Mortgage Association (“Fannie Mae”) |
GNMA | Government National Mortgage Association (“Ginnie Mae”) |
NATL | National Public Finance Guarantee Corp. |
PSF-GTD | Permanent School Fund Guarantee Program |
SCH BD GTY | School Bond Guaranty |
Footnote Legend: | |
(1) | At September 30, 2019, 20.2% 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) | Variable or step coupon security; interest rate shown reflects the rate in effect at September 30, 2019. 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. |
(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, 2019, these securities amounted to a value of $1,165 or 0.9% of net assets. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Municipal Bonds | $129,450 | $— | $129,450 | ||
Equity Securities: | |||||
Exchange-Traded Fund | 1,329 | 1,329 | — | ||
Money Market Mutual Fund | 2,065 | 2,065 | — | ||
Total Investments | $132,844 | $3,394 | $129,450 |
September 30, 2019
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | |||
Assets | |||||
Investment in securities at value(1)(2) | $93,265 | $61,684 | $455,637 | ||
Cash | 1,406 | 1,789 | 2,146 | ||
Receivables | |||||
Investment securities sold | —(a) | 801 | 181 | ||
Fund shares sold | 450 | 13 | 2,016 | ||
Dividends and interest | 615 | 895 | 1,602 | ||
Securities lending income | —(a) | 4 | —(a) | ||
Prepaid Trustees’ retainer | 2 | 1 | 8 | ||
Prepaid expenses | 37 | 33 | 55 | ||
Other assets | 8 | 5 | 36 | ||
Total assets | 95,783 | 65,225 | 461,681 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 536 | 71 | 443 | ||
Investment securities purchased | 95 | 1,992 | 5,289 | ||
Collateral on securities loaned | — | 2,315 | 553 | ||
Dividend distributions | 10 | 25 | 84 | ||
Investment advisory fees | 22 | 17 | 80 | ||
Distribution and service fees | 11 | 12 | 34 | ||
Administration and accounting fees | 9 | 6 | 39 | ||
Transfer agent and sub-transfer agent fees and expenses | 13 | 11 | 71 | ||
Professional fees | 29 | 29 | 26 | ||
Trustee deferred compensation plan | 8 | 5 | 36 | ||
Other accrued expenses | 8 | 11 | 31 | ||
Total liabilities | 741 | 4,494 | 6,686 | ||
Net Assets | $95,042 | $60,731 | $454,995 | ||
Net Assets Consist of: | |||||
Common stock $0.001 par value | $— | $— | $42 | ||
Capital paid in on shares of beneficial interest | 92,946 | 65,555 | 452,426 | ||
Accumulated earnings (loss) | 2,096 | (4,824) | 2,527 | ||
Net Assets | $95,042 | $60,731 | $454,995 | ||
Net Assets: | |||||
Class A | $36,248 | $49,890 | $81,384 | ||
Class C | $3,725 | $2,207 | $20,746 | ||
Class I | $54,038 | $7,805 | $352,583 | ||
Class R6 | $1,031 | $829 | $282 | ||
Shares Outstanding (unlimited number of shares authorized, no par value):(3) | |||||
Class A | 3,148,432 | 12,182,240 | 7,496,527 | ||
Class C | 331,331 | 548,630 | 1,910,980 | ||
Class I | 4,617,908 | 1,902,526 | 32,486,352 | ||
Class R6 | 88,048 | 202,083 | 25,985 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $11.51 | $4.10 | $10.86 | ||
Class C | $11.24 | $4.02 | $10.86 | ||
Class I | $11.70 | $4.10 | $10.85 | ||
Class R6 | $11.71 | $4.10 | $10.86 |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $11.96 | $4.26 | $11.11 | ||
Maximum Sales Charge - Class A | 3.75% | 3.75% | 2.25% | ||
(1)Investment in securities at cost | $89,213 | $62,040 | $450,088 | ||
(2) Market value of securities on loan | $— | $2,188 | $533 | ||
(3) Newfleet Core Plus Bond Fund and Newfleet Low Duration Core Plus Bond Fund have a par value of $1.00, and all other funds on this page have no par value. |
(a) | Amount is less than $500. |
Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Assets | |||||
Investment in securities at value(1)(2) | $307,382 | $390,654 | $132,844 | ||
Foreign currency at value(3) | —(a) | — | — | ||
Cash | 4,031 | 3,654 | — | ||
Receivables | |||||
Investment securities sold | 286 | 2,255 | — | ||
Fund shares sold | 722 | 202 | 124 | ||
Dividends and interest | 2,712 | 841 | 1,617 | ||
Securities lending income | 8 | — | — | ||
Prepaid Trustees’ retainer | 6 | 7 | 3 | ||
Prepaid expenses | 59 | 32 | 25 | ||
Other assets | 25 | 31 | 11 | ||
Total assets | 315,231 | 397,676 | 134,624 | ||
Liabilities | |||||
Cash overdraft | — | — | —(a) | ||
Payables | |||||
Fund shares repurchased | 1,065 | 1,034 | 274 | ||
Investment securities purchased | 3,577 | 12,293 | — | ||
Borrowings (See Note 11) | — | 10,000 | — | ||
Collateral on securities loaned | 1,731 | — | — | ||
Dividend distributions | 238 | 282 | 56 | ||
Investment advisory fees | 123 | 157 | 33 | ||
Distribution and service fees | 50 | 74 | 17 | ||
Administration and accounting fees | 27 | 33 | 12 | ||
Transfer agent and sub-transfer agent fees and expenses | 49 | 50 | 31 | ||
Professional fees | 34 | 36 | 25 | ||
Trustee deferred compensation plan | 25 | 31 | 11 | ||
Interest payable on borrowings | — | 1 | — | ||
Other accrued expenses | 23 | 118 | 9 | ||
Total liabilities | 6,942 | 24,109 | 468 | ||
Net Assets | $308,289 | $373,567 | $134,156 | ||
Net Assets Consist of: | |||||
Common stock $0.001 par value | $— | $— | $12 | ||
Capital paid in on shares of beneficial interest | 327,680 | 427,095 | 125,468 | ||
Accumulated earnings (loss) | (19,391) | (53,528) | 8,676 | ||
Net Assets | $308,289 | $373,567 | $134,156 | ||
Net Assets: | |||||
Class A | $86,034 | $167,595 | $38,374 | ||
Class C | $39,778 | $47,050 | $11,194 | ||
Class I | $177,574 | $158,703 | $84,588 | ||
Class R6 | $4,903 | $219 | $— | ||
Shares Outstanding (unlimited number of shares authorized, no par value):(4) | |||||
Class A | 8,471,990 | 18,394,210 | 3,382,894 | ||
Class C | 3,876,321 | 5,156,907 | 986,774 | ||
Class I | 17,489,942 | 17,434,670 | 7,457,349 | ||
Class R6 | 482,100 | 24,023 | — |
Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $10.16 | $9.11 | $11.34 | ||
Class C | $10.26 | $9.12 | $11.34 | ||
Class I | $10.15 | $9.10 | $11.34 | ||
Class R6 | $10.17 | $9.11 | $— | ||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $10.56 | $9.37 | $11.66 | ||
Maximum Sales Charge - Class A | 3.75% | 2.75% | 2.75% | ||
(1)Investment in securities at cost | $305,962 | $403,641 | $124,241 | ||
(2) Market value of securities on loan | $1,636 | $— | $— | ||
(3) Foreign currency at cost | $—(a) | $— | $— | ||
(4) Newfleet Tax-Exempt Bond Fund has a par value of $0.001, and all other funds on this page have no par value. |
(a) | Amount is less than $500. |
YEAR ENDEDSeptember 30, 2019
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | |||
Investment Income | |||||
Dividends | $28 | $99 | $179 | ||
Dividends from affiliated fund | 25 | — | — | ||
Interest | 3,080 | 3,854 | 13,599 | ||
Security lending, net of fees | 1 | 36 | 6 | ||
Foreign taxes withheld | — | —(1) | — | ||
Total investment income | 3,134 | 3,989 | 13,784 | ||
Expenses | |||||
Investment advisory fees | 350 | 393 | 1,706 | ||
Distribution and service fees, Class A | 87 | 126 | 201 | ||
Distribution and service fees, Class C | 45 | 24 | 231 | ||
Administration and accounting fees | 90 | 71 | 429 | ||
Transfer agent fees and expenses | 41 | 39 | 178 | ||
Sub-transfer agent fees and expenses, Class A | 20 | 23 | 47 | ||
Sub-transfer agent fees and expenses, Class C | 3 | 2 | 15 | ||
Sub-transfer agent fees and expenses, Class I | 20 | 8 | 218 | ||
Custodian fees | 2 | 2 | — | ||
Printing fees and expenses | 11 | 9 | 58 | ||
Professional fees | 31 | 31 | 30 | ||
Interest expense | —(1) | —(1) | 1 | ||
Registration fees | 56 | 56 | 72 | ||
Trustees’ fees and expenses | 6 | 5 | 31 | ||
Miscellaneous expenses | 24 | 34 | 50 | ||
Total expenses | 786 | 823 | 3,267 | ||
Less expenses reimbursed and/or waived by investment adviser(2) | (189) | (220) | (816) | ||
Less low balance account fees | (2) | (3) | —(1) | ||
Net expenses | 595 | 600 | 2,451 | ||
Net investment income (loss) | 2,539 | 3,389 | 11,333 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Unaffiliated investments | 51 | (609) | (392) | ||
Affiliated fund | (75) | — | — | ||
Foreign currency transactions | (6) | (25) | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Unaffiliated investments | 5,049 | (17) | 8,918 | ||
Affiliated fund | 39 | — | — | ||
Net realized and unrealized gain (loss) on investments | 5,058 | (651) | 8,526 | ||
Net increase (decrease) in net assets resulting from operations | $7,597 | $2,738 | $19,859 |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
Newfleet Multi-Sector Intermediate Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Investment Income | |||||
Dividends | $128 | $227 | $82 | ||
Dividends from affiliated fund | 174 | — | — | ||
Interest | 14,275 | 25,447 | 4,558 | ||
Security lending, net of fees | 53 | — | — | ||
Foreign taxes withheld | (1) | — | — | ||
Total investment income | 14,629 | 25,674 | 4,640 | ||
Expenses | |||||
Investment advisory fees | 1,513 | 1,904 | 628 | ||
Distribution and service fees, Class A | 188 | 420 | 92 | ||
Distribution and service fees, Class C | 465 | 645 | 137 | ||
Administration and accounting fees | 296 | 450 | 154 | ||
Transfer agent fees and expenses | 122 | 183 | 62 | ||
Sub-transfer agent fees and expenses, Class A | 52 | 26 | 19 | ||
Sub-transfer agent fees and expenses, Class C | 31 | 43 | 7 | ||
Sub-transfer agent fees and expenses, Class I | 113 | 126 | 87 | ||
Custodian fees | 4 | — | — | ||
Printing fees and expenses | 29 | 38 | 13 | ||
Professional fees | 37 | 52 | 25 | ||
Interest expense | —(1) | 703 | —(1) | ||
Registration fees | 73 | 67 | 46 | ||
Trustees’ fees and expenses | 22 | 37 | 12 | ||
Miscellaneous expenses | 48 | 153 | 16 | ||
Total expenses | 2,993 | 4,847 | 1,298 | ||
Less expenses reimbursed and/or waived by investment adviser(2) | (330) | (158) | (231) | ||
Less low balance account fees | —(1) | —(1) | —(1) | ||
Net expenses | 2,663 | 4,689 | 1,067 | ||
Net investment income (loss) | 11,966 | 20,985 | 3,573 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Unaffiliated investments | (4,596) | (8,908) | (86) | ||
Affiliated fund | (591) | — | — | ||
Foreign currency transactions | (1,229) | — | — | ||
Net increase from payment by affiliates(3) | 6 | — | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Unaffiliated investments | 10,355 | (7,994) | 6,600 | ||
Affiliated fund | 305 | — | — | ||
Foreign currency transactions | 1 | — | — | ||
Net realized and unrealized gain (loss) on investments | 4,251 | (16,902) | 6,514 | ||
Net increase (decrease) in net assets resulting from operations | $16,217 | $4,083 | $10,087 |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
(3) | See Note 3H in the Notes to Financial Statements. |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | ||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $2,539 | $2,326 | $3,389 | $3,721 | |||
Net realized gain (loss) | (30) | (303) | (634) | 56 | |||
Net change in unrealized appreciation (depreciation) | 5,088 | (2,674) | (17) | (1,946) | |||
Increase (decrease) in net assets resulting from operations | 7,597 | (651) | 2,738 | 1,831 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (1,119) | (1,221)(1) | (2,829) | (3,001)(1) | |||
Class C | (112) | (153)(1) | (116) | (173)(1) | |||
Class I | (1,285) | (992)(1) | (377) | (353)(1) | |||
Class R6 | (23) | (18)(1) | (66) | (292)(1) | |||
Total Dividends and Distributions to Shareholders | (2,539) | (2,384) | (3,388) | (3,819) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 110 | (3,967) | (1,570) | (3,267) | |||
Class C | (1,679) | (1,251) | (984) | (235) | |||
Class I | 24,047 | 1,951 | (623) | 2,147 | |||
Class R6 | 569 | (28) | (3,512) | (704) | |||
Increase (decrease) in net assets from capital transactions | 23,047 | (3,295) | (6,689) | (2,059) | |||
Net increase (decrease) in net assets | 28,105 | (6,330) | (7,339) | (4,047) | |||
Net Assets | |||||||
Beginning of period | 66,937 | 73,267 | 68,070 | 72,117 | |||
End of Period | $95,042 | $66,937 | $60,731 | $68,070 | |||
Accumulated undistributed net investment income (loss) at end of period | N/A | $151 | N/A | $300 |
(1) | For the year ended September 30, 2018, distributions to shareholders were from net investment income. |
Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $11,333 | $8,941 | $11,966 | $15,818 | |||
Net realized gain (loss) | (392) | (1,531) | (6,416) | (5,000) | |||
Net increase from payment by affiliates(1) | — | — | 6 | — | |||
Net change in unrealized appreciation (depreciation) | 8,918 | (5,177) | 10,661 | (11,400) | |||
Increase (decrease) in net assets resulting from operations | 19,859 | 2,233 | 16,217 | (582) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (2,152) | (1,854)(2) | (2,890) | (3,326)(2) | |||
Class C | (445) | (423)(2) | (1,427) | (2,011)(2) | |||
Class I | (8,732) | (6,664)(2) | (6,137) | (8,704)(2) | |||
Class R6 | (4) | — | (217) | (792)(2) | |||
Tax Return on Capital: | |||||||
Class A | — | — | (379) | (123) | |||
Class C | — | — | (232) | (91) | |||
Class I | — | — | (744) | (302) | |||
Class R6 | — | — | (27) | (27) | |||
Total Dividends and Distributions to Shareholders | (11,333) | (8,941) | (12,053) | (15,376) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 4,937 | (5,375) | 11,432 | (10,361) | |||
Class C | (2,555) | (9,071) | (14,751) | (7,437) | |||
Class I | 81,041 | 19,203 | 13,121 | (34,563) | |||
Class R6 | 278 | — | (10,775) | (2,877) | |||
Increase (decrease) in net assets from capital transactions | 83,701 | 4,757 | (973) | (55,238) | |||
Net increase (decrease) in net assets | 92,227 | (1,951) | 3,191 | (71,196) | |||
Net Assets | |||||||
Beginning of period | 362,768 | 364,719 | 305,098 | 376,294 | |||
End of Period | $454,995 | $362,768 | $308,289 | $305,098 | |||
Accumulated undistributed net investment income (loss) at end of period | N/A | $266 | N/A | $(173) |
(1) | See Note 3H in the Notes to Financial Statements. |
(2) | For the year ended September 30, 2018, distributions to shareholders were from net investment income. |
Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | ||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $20,985 | $22,734 | $3,573 | $4,498 | |||
Net realized gain (loss) | (8,908) | 356 | (86) | 806 | |||
Net change in unrealized appreciation (depreciation) | (7,994) | (803) | 6,600 | (5,784) | |||
Increase (decrease) in net assets resulting from operations | 4,083 | 22,287 | 10,087 | (480) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (8,440) | (9,078)(1) | (1,126) | (1,358)(1) | |||
Class C | (2,767) | (3,128)(1) | (332) | (460)(1) | |||
Class I | (10,029) | (10,787)(1) | (2,973) | (3,474)(1) | |||
Class R6 | (9) | (22)(1) | — | — | |||
Total Dividends and Distributions to Shareholders | (21,245) | (23,015) | (4,431) | (5,292) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (21,646) | (26,751) | 632 | (8,931) | |||
Class C | (29,121) | (19,138) | (4,620) | (4,937) | |||
Class I | (61,367) | (22,375) | (21,504) | 6,081 | |||
Class R6 | 117 | 9 | — | — | |||
Increase (decrease) in net assets from capital transactions | (112,017) | (68,255) | (25,492) | (7,787) | |||
Net increase (decrease) in net assets | (129,179) | (68,983) | (19,836) | (13,559) | |||
Net Assets | |||||||
Beginning of period | 502,746 | 571,729 | 153,992 | 167,551 | |||
End of Period | $373,567 | $502,746 | $134,156 | $153,992 | |||
Accumulated undistributed net investment income (loss) at end of period | N/A | $369 | N/A | $217 |
(1) | For the year ended September 30, 2018, the distributions to shareholders for the Funds were as follows: |
Dividends and Distributions to Shareholders | ||||
Net investment income: | ||||
Class A | $(9,078) | $(1,166) | ||
Class C | (3,128) | (375) | ||
Class I | (10,787) | (3,044) | ||
Class R6 | (22) | — | ||
Net realized gains: | ||||
Class A | — | (192) | ||
Class C | — | (85) | ||
Class I | — | (430) | ||
Total | $(23,015) | $(5,292) |
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 | Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Core Plus Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/18 to 9/30/19 | $10.84 | 0.35 | 0.67 | 1.02 | (0.35) | — | — | (0.35) | — | 0.67 | $11.51 | 9.64 % | $36,248 | 0.85 % | 1.11 % | 3.21 % | 59 % | |
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 (6) | 39,536 | 0.84 (6) | 1.17 | 3.26 (6) | 56 | |
10/1/15 to 9/30/16 | 11.02 | 0.36 | 0.33 | 0.69 | (0.33) | — | — | (0.33) | — (7) | 0.36 | 11.38 | 6.38 (8) | 44,136 | 0.86 (9) | 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 | |
Class C | ||||||||||||||||||
10/1/18 to 9/30/19 | $10.59 | 0.27 | 0.65 | 0.92 | (0.27) | — | — | (0.27) | — | 0.65 | $11.24 | 8.78 % | $3,725 | 1.59 % | 1.85 % | 2.49 % | 59 % | |
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 (6) | 6,671 | 1.59 (6) | 1.92 | 2.51 (6) | 56 | |
10/1/15 to 9/30/16 | 10.78 | 0.27 | 0.32 | 0.59 | (0.25) | — | — | (0.25) | — (7) | 0.34 | 11.12 | 5.54 (8) | 9,409 | 1.61 (9) | 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 | |
Class I | ||||||||||||||||||
10/1/18 to 9/30/19 | $11.02 | 0.38 | 0.69 | 1.07 | (0.39) | — | — | (0.39) | — | 0.68 | $11.70 | 9.90 % | $54,038 | 0.60 % | 0.82 % | 3.39 % | 59 % | |
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 (6) | 26,597 | 0.59 (6) | 0.92 | 3.52 (6) | 56 | |
10/1/15 to 9/30/16 | 11.19 | 0.40 | 0.33 | 0.73 | (0.36) | — | — | (0.36) | — (7) | 0.37 | 11.56 | 6.63 (8) | 24,236 | 0.61 (9) | 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 | |
Class R6 | ||||||||||||||||||
10/1/18 to 9/30/19 | $11.02 | 0.40 | 0.69 | 1.09 | (0.40) | — | — | (0.40) | — | 0.69 | $11.71 | 10.13 % | $1,031 | 0.48 % | 0.77 % | 3.52 % | 59 % | |
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 (10) | 0.79 | 3.59 | 49 | |
11/3/16(11) to 9/30/17 | 11.45 | 0.38 | 0.03 | 0.41 | (0.36) | — | — | (0.36) | — | 0.05 | 11.50 | 3.66 (6) | 463 | 0.53 (6) | 0.88 | 3.33 (6) | 56 (12) | |
Newfleet High Yield Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/18 to 9/30/19 | $4.13 | 0.23 | (0.03) | 0.20 | (0.23) | — | — | (0.23) | — | (0.03) | $4.10 | 4.99 % | $49,890 | 0.99 % | 1.36 % | 5.61 % | 59 % | |
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 (6) | 56,694 | 1.00 (6)(10) | 1.41 | 5.36 (6) | 71 | |
10/1/15 to 9/30/16 | 3.98 | 0.21 | 0.20 | 0.41 | (0.21) | — | — | (0.21) | — (7) | 0.20 | 4.18 | 10.59 (8) | 64,338 | 1.15 (9) | 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 | |
Class C | ||||||||||||||||||
10/1/18 to 9/30/19 | $4.06 | 0.19 | (0.04) | 0.15 | (0.19) | — | — | (0.19) | — | (0.04) | $4.02 | 3.94 % | $2,207 | 1.75 % | 2.11 % | 4.85 % | 59 % | |
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 (6) | 3,593 | 1.75 (6)(10) | 2.17 | 4.61 (6) | 71 | |
10/1/15 to 9/30/16 | 3.92 | 0.17 | 0.20 | 0.37 | (0.18) | — | — | (0.18) | — (7) | 0.19 | 4.11 | 9.68 (8) | 4,231 | 1.90 (9) | 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 | |
Class I | ||||||||||||||||||
10/1/18 to 9/30/19 | $4.13 | 0.24 | (0.03) | 0.21 | (0.24) | — | — | (0.24) | — | (0.03) | $4.10 | 5.25 % | $7,805 | 0.75 % | 1.15 % | 5.82 % | 59 % | |
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 (6) | 6,577 | 0.75 (6)(10) | 1.17 | 5.62 (6) | 71 | |
10/1/15 to 9/30/16 | 3.98 | 0.21 | 0.21 | 0.42 | (0.22) | — | — | (0.22) | — (7) | 0.20 | 4.18 | 10.86 (8) | 7,954 | 0.90 (9) | 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 |
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 | Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet High Yield Fund (Continued) | ||||||||||||||||||
Class R6 | ||||||||||||||||||
10/1/18 to 9/30/19 | $4.13 | 0.23 | (0.02) | 0.21 | (0.24) | — | — | (0.24) | — | (0.03) | $4.10 | 5.30 % | $829 | 0.69 % | 1.04 % | 5.77 % | 59 % | |
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(11) to 9/30/17 | 4.14 | 0.22 | 0.10 | 0.32 | (0.21) | — | — | (0.21) | — | 0.11 | 4.25 | 7.93 (6) | 5,253 | 0.69 (6)(10) | 1.15 | 5.66 (6) | 71 | |
Newfleet Low Duration Core Plus Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/18 to 9/30/19 | $10.64 | 0.29 | 0.22 | 0.51 | (0.29) | — | — | (0.29) | — | 0.22 | $10.86 | 4.82 % | $81,384 | 0.75 % | 0.95 % | 2.67 % | 45 % | |
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 (9) | 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) | — (7) | (0.12) | 10.70 | 0.89 (8) | 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 (10) | 1.11 | 2.02 | 58 | |
Class C | ||||||||||||||||||
10/1/18 to 9/30/19 | $10.64 | 0.21 | 0.22 | 0.43 | (0.21) | — | — | (0.21) | — | 0.22 | $10.86 | 4.04 % | $20,746 | 1.50 % | 1.70 % | 1.92 % | 45 % | |
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 (9) | 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) | — (7) | (0.12) | 10.70 | 0.13 (8) | 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 (10) | 1.87 | 1.28 | 58 | |
Class I | ||||||||||||||||||
10/1/18 to 9/30/19 | $10.63 | 0.31 | 0.22 | 0.53 | (0.31) | — | — | (0.31) | — | 0.22 | $10.85 | 5.09 % | $352,583 | 0.50 % | 0.70 % | 2.91 % | 45 % | |
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 (9) | 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) | — (7) | (0.11) | 10.70 | 1.24 (8) | 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 (10) | 0.91 | 2.27 | 58 | |
Class R6 | ||||||||||||||||||
12/19/18(11) to 9/30/19 | $10.58 | 0.25 | 0.28 | 0.53 | (0.25) | — | — | (0.25) | — | 0.28 | $10.86 | 5.08 % | $282 | 0.43 % | 0.62 % | 3.02 % | 45 % (12) | |
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/18 to 9/30/19 | $9.97 | 0.43 | 0.19 | 0.62 | (0.38) | (0.05) | — | (0.43) | — (7) | 0.19 | $10.16 | 6.43 %(8) | $86,034 | 0.98 % | 1.10 % | 4.34 % | 81 % | |
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 (6) | 87,144 | 1.01 (6)(10) | 1.13 | 4.55 (6) | 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 (9) | 1.15 | 4.80 | 60 | |
10/1/14 to 9/30/15 | 10.70 | 0.49 | (0.85) | (0.36) | (0.40) | (0.05) | (0.13) | (0.58) | — (7) | (0.94) | 9.76 | (3.41) (8) | 104,833 | 1.10 | 1.10 | 4.81 | 66 |
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 | Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Multi-Sector Intermediate Bond Fund (Continued) | ||||||||||||||||||
Class C | ||||||||||||||||||
10/1/18 to 9/30/19 | $10.07 | 0.36 | 0.19 | 0.55 | (0.31) | (0.05) | — | (0.36) | — (7) | 0.19 | $10.26 | 5.57 %(8) | $39,778 | 1.73 % | 1.85 % | 3.63 % | 81 % | |
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 (6) | 63,919 | 1.77 (6)(10) | 1.88 | 3.80 (6) | 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 (9) | 1.90 | 4.04 | 60 | |
10/1/14 to 9/30/15 | 10.79 | 0.42 | (0.85) | (0.43) | (0.33) | (0.05) | (0.13) | (0.51) | — (7) | (0.94) | 9.85 | (4.11) (8) | 84,099 | 1.85 | 1.85 | 4.06 | 66 | |
Class I | ||||||||||||||||||
10/1/18 to 9/30/19 | $9.98 | 0.46 | 0.18 | 0.64 | (0.42) | (0.05) | — | (0.47) | — (7) | 0.17 | $10.15 | 6.57 %(8) | $177,574 | 0.73 % | 0.85 % | 4.57 % | 81 % | |
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 (6) | 205,821 | 0.75 (6)(10) | 0.88 | 4.83 (6) | 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 (9) | 0.90 | 5.04 | 60 | |
10/1/14 to 9/30/15 | 10.71 | 0.52 | (0.85) | (0.33) | (0.43) | (0.05) | (0.13) | (0.61) | — (7) | (0.94) | 9.77 | (3.17) (8) | 138,956 | 0.85 | 0.85 | 5.06 | 66 | |
Class R6 | ||||||||||||||||||
10/1/18 to 9/30/19 | $9.98 | 0.46 | 0.20 | 0.66 | (0.42) | (0.05) | — | (0.47) | — (7) | 0.19 | $10.17 | 6.77 %(8) | $4,903 | 0.59 % | 0.78 % | 4.65 % | 81 % | |
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 | 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 (6) | 19,410 | 0.67 (6)(10) | 0.82 | 4.79 (6) | 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 (9) | 0.83 | 5.12 | 60 | |
11/12/14(11) to 9/30/15 | 10.67 | 0.46 | (0.81) | (0.35) | (0.37) | (0.05) | (0.13) | (0.55) | — | (0.90) | 9.77 | (3.31) (8) | 1,778 | 0.76 | 0.77 | 5.12 | 66 (12) | |
Newfleet Senior Floating Rate Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/18 to 9/30/19 | $9.41 | 0.46 | (0.30) | 0.16 | (0.46) | — | — | (0.46) | — | (0.30) | $9.11 | 1.80 % | $167,595 | 1.10 % (14) | 1.11 % | 4.96 % | 24 % | |
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 (10) | 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)(15) | 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) | — (7) | (0.36) | 9.36 | 0.53 (8) | 268,596 | 1.20 (15) | 1.20 | 3.94 | 34 | |
Class C | ||||||||||||||||||
10/1/18 to 9/30/19 | $9.42 | 0.39 | (0.30) | 0.09 | (0.39) | — | — | (0.39) | — | (0.30) | $9.12 | 1.05 % | $47,050 | 1.86 % (14) | 1.92 % | 4.23 % | 24 % | |
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 (10) | 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)(15) | 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) | — (7) | (0.36) | 9.37 | (0.22) (8) | 138,478 | 1.95 (15) | 1.95 | 3.19 | 34 | |
Class I | ||||||||||||||||||
10/1/18 to 9/30/19 | $9.40 | 0.48 | (0.30) | 0.18 | (0.48) | — | — | (0.48) | — | (0.30) | $9.10 | 2.05 % | $158,703 | 0.86 % (14) | 0.91 % | 5.20 % | 24 % | |
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 (10) | 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)(15) | 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) | — (7) | (0.36) | 9.35 | 0.78 (8) | 284,735 | 0.95 (15) | 0.95 | 4.20 | 34 |
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 | Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Senior Floating Rate Fund (Continued) | ||||||||||||||||||
Class R6 | ||||||||||||||||||
10/1/18 to 9/30/19 | $9.40 | 0.49 | (0.28) | 0.21 | (0.50) | — | — | (0.50) | — | (0.29) | $9.11 | 2.31 % | $219 | 0.71 % (14) | 0.84 % | 5.35 % | 24 % | |
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 (10) | 0.86 | 4.70 | 37 | |
11/3/16(11) 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 (10) | 0.86 | 3.76 | 95 (12) | |
Newfleet Tax-Exempt Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/18 to 9/30/19 | $10.88 | 0.27 | 0.53 | 0.80 | (0.27) | — | (0.07) | (0.34) | — | 0.46 | $11.34 | 7.50 % | $38,374 | 0.85 % | 0.99 % | 2.47 % | 4 % | |
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 (6) | 46,657 | 0.85 (6) | 1.03 | 2.78 (6) | 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 (9) | 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) | — | — (7) | (0.32) | — | 0.55 | 11.46 | 7.94 | 79,906 | 0.85 | 0.99 | 2.73 | 22 | |
Class C | ||||||||||||||||||
10/1/18 to 9/30/19 | $10.89 | 0.19 | 0.52 | 0.71 | (0.19) | — | (0.07) | (0.26) | — | 0.45 | $11.34 | 6.60 % | $11,194 | 1.60 % | 1.73 % | 1.73 % | 4 % | |
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) (6) | 20,832 | 1.60 (6) | 1.78 | 2.03 (6) | 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 (9) | 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) | — | — (7) | (0.23) | — | 0.54 | 11.46 | 7.13 | 30,967 | 1.60 | 1.74 | 1.98 | 22 | |
Class I | ||||||||||||||||||
10/1/18 to 9/30/19 | $10.88 | 0.30 | 0.53 | 0.83 | (0.30) | — | (0.07) | (0.37) | — | 0.46 | $11.34 | 7.76 % | $84,588 | 0.60 % | 0.78 % | 2.72 % | 4 % | |
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 (6) | 100,062 | 0.60 (6) | 0.79 | 3.04 (6) | 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 (9) | 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) | — | — (7) | (0.35) | — | 0.55 | 11.46 | 8.30 | 86,459 | 0.60 | 0.79 | 2.98 | 22 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | Not annualized for periods less than one year. |
(4) | Annualized for periods less than one year. |
(5) | 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. |
(6) | 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 Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses and increase the Ratio of Net Investment Income (Loss) as follows: Newfleet Core Plus Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet High Yield Fund 0.08% (Class A), 0.08% (Class C), 0.08% (Class I), 0.00% (Class R6) Newfleet Multi-Sector Intermediate Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet Tax-Exempt Bond Fund 0.01% (Class A), 0.01% (Class C), 0.01% (Class I) Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return as follows: Newfleet Core Plus Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet High Yield Fund 0.08% (Class A), 0.08% (Class C), 0.08% (Class I), 0.00% (Class R6) Newfleet Multi-Sector Intermediate Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet Tax-Exempt Bond Fund 0.01% (Class A), 0.01% (Class C), 0.01% (Class I) |
(7) | Amount is less than $0.005 per share. |
(8) | Payment from affiliate had no impact on total return. |
(9) | Net expense ratio includes extraordinary proxy expenses. |
(10) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(11) | Inception date. |
(12) | Portfolio turnover is representative of the Fund for the entire period. |
(13) | The Fund changed its fiscal year end to September 30, during the period. |
(14) | Ratios of total expenses excluding interest expense on borrowings for the year ended September 30, 2019 were 0.16% (Class A), 0.17% (Class C), 0.17% (Class I) and 0.16% (Class R6). |
(15) | The share class is currently under its expense limitation. |
September 30, 2019
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). |
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 REITs 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, 2019, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 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. | 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 Funds 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. Each Fund records when-issued and forward commitment securities on the trade date. Each Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment 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 paydown 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 leveraged loan. A 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, 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 leveraged loan 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 a 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 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. |
Unfunded Loan Commitment | ||||||||
Newfleet | Newfleet | Newfleet | ||||||
Newfleet Core Plus | Low Duration Core Plus | Multi-Sector Intermediate | Senior Floating Rate | |||||
Borrower | Bond Fund | Bond Fund | Bond Fund | Fund | ||||
CSC Holdings LLC | $— | $230 | $— | $— | ||||
Heartland Dental LLC | — | — | — | 28 | ||||
NCR Corp. | — | 70 | — | 320 | ||||
Pacific Gas and Electric Co. | 20 | 115 | 75 | 131 | ||||
Pearl Intermediate Parent LLC | — | — | 32 | 97 |
J. | Regulation S-X |
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 Statements of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statements of Changes in Net Assets. Certain prior year amounts have been reclassified for consistency with the current year presentation (see footnotes on Statements of Changes in Net Assets for separate disclosure). These reclassifications have no effect on total net assets, total distributions, the statement of operations, financial highlights, net asset value or total return. | |
K. | Securities Lending |
The 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 lending securities a 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. | |
Securities lending transactions are entered into by each Fund under Master Securities Lending Agreements (“MSLA”) which permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
At September 30, 2019, the securities loaned were subject to a MSLA on a net payment basis as follows: |
Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | |||
Newfleet High Yield Fund | $2,188 | $ 2,188 | $— | ||
Newfleet Low Duration Core Plus Bond Fund | 533 | 533 | — | ||
Newfleet Multi-Sector Intermediate Bond Fund | 1,636 | 1,636 | — |
(1) | Collateral with a value of $2,315, $553, and $1,731, respectively, has been received in connection with securities lending transactions. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
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 Funds. The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadviser(s). | |
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 Core Plus Bond Fund | 0.45% | 0.40% | |
First $2 Billion | $2+ Billion | ||
Newfleet Low Duration Core Plus Bond Fund | 0.40% | 0.375% |
First $1 Billion | $1+ Billion through $2 Billion | $2+ Billion | |||
Newfleet High Yield Fund | 0.65 % | 0.60 % | 0.55 % | ||
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 % |
B. | Subadviser |
Newfleet Asset Management, LLC (the “Subadviser”), an indirect, wholly-owned subsidiary of Virtus, is the subadviser to the Funds. The Subadviser manages the investments of each Fund, for which it is paid a fee by the Adviser. | |
C. | Expense Limits and Fee Waivers |
The Adviser has contractually agreed to limit each Fund’s total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed on an annualized basis, the following respective percentages of average daily net assets through January 31, 2020. 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. |
Fund | Class A | Class C | Class I | Class R6 | ||||
Newfleet Core Plus Bond Fund | 0.85 % | 1.60 % | 0.60 % | 0.48 % | ||||
Newfleet High Yield Fund | 1.00 | 1.75 | 0.75 | 0.69 | ||||
Newfleet Low Duration Core Plus Bond Fund | 0.75 | 1.50 | 0.50 | 0.43 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | 0.99 | 1.74 | 0.74 | 0.60 | ||||
Newfleet Senior Floating Rate Fund | 0.94 | 1.69 | 0.69 | 0.55 | ||||
Newfleet Tax-Exempt Bond Fund | 0.85 | 1.60 | 0.60 | N/A |
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. 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 | 2020 | 2021 | 2022 | Total | ||||
Newfleet Core Plus Bond Fund | ||||||||
Class A | $ 130 | $ 98 | $89 | $317 | ||||
Class C | 26 | 21 | 12 | 59 | ||||
Class I | 78 | 68 | 84 | 230 | ||||
Class R6 | 1 | 1 | 2 | 4 | ||||
Newfleet High Yield Fund | ||||||||
Class A | 233 | 180 | 182 | 595 | ||||
Class C | 16 | 21 | 8 | 45 | ||||
Class I | 32 | 24 | 26 | 82 | ||||
Class R6 | 6 | 15 | 4 | 25 | ||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||
Class A | 336 | 274 | 158 | 768 | ||||
Class C | 144 | 87 | 46 | 277 | ||||
Class I | 907 | 842 | 612 | 2,361 | ||||
Class R6 | — | — | —(1) | —(1) | ||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||
Class A | 91 | 86 | 85 | 262 | ||||
Class C | 68 | 53 | 50 | 171 | ||||
Class I | 182 | 176 | 168 | 526 | ||||
Class R6 | 8 | 23 | 9 | 40 | ||||
Newfleet Senior Floating Rate Fund | ||||||||
Class A | 101 | 52 | 25 | 178 | ||||
Class C | 64 | 59 | 40 | 163 | ||||
Class I | 157 | 143 | 111 | 411 | ||||
Class R6 | —(1) | 1 | —(1) | 1 | ||||
Newfleet Tax-Exempt Bond Fund | ||||||||
Class A | 98 | 59 | 53 | 210 | ||||
Class C | 41 | 22 | 18 | 81 | ||||
Class I | 184 | 137 | 160 | 481 |
(1) | Amount is less than $500. |
Fund | Class A | Class C | Class I | Class R6 | Total | |||||
Newfleet Senior Floating Rate Fund | 13 | 2 | 3 | —(1) | 18 |
(1) | Amount is less than $500. |
E. | Distributor |
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, 2019, it retained net commissions of $21 for Class A shares and CDSC of $16, and $0 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 |
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, 2019, the Funds incurred administration fees totaling $1,315 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, 2019, the Funds incurred transfer agent fees totaling $588 which are included in the Statements of Operations within the line item “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Investments in Affiliates |
A summary of total long-term and short-term purchases and sales of the affiliated fund, during the period ended September 30, 2019, 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 | |||||||||
Newfleet Core Plus Bond Fund | |||||||||||||||||
Affiliated Mutual Fund—0.0% | |||||||||||||||||
Virtus Newfleet Credit Opportunities Fund Class R6(1) | $1,140 | $— | $1,104 | $(75) | $39 | $— | — | $25 | $— |
(1) | The Virtus Newfleet Credit Opportunities Fund liquidated on April 26, 2019. |
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 | |||||||||
Newfleet Multi-Sector Intermediate Bond Fund | |||||||||||||||||
Affiliated Mutual Fund—0.0% | |||||||||||||||||
Virtus Newfleet Credit Opportunities Fund Class R6(1) | $9,036 | $— | $8,750 | $(591) | $305 | $— | — | $174 | $— |
(1) | The Virtus Newfleet Credit Opportunities Fund liquidated on April 26, 2019. |
H. | Payment from Affiliate |
During the period ended September 30, 2019, the Adviser reimbursed Newfleet Multi-Sector Intermediate Bond Fund for losses. These amounts are included in “Net increase from payment by affiliates” in the Statements of Operations. There was no impact on the total return. | |
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” in the Statements of Assets and Liabilities at September 30, 2019. |
Purchases | Sales | ||
Newfleet Core Plus Bond Fund | $52,685 | $31,715 | |
Newfleet High Yield Fund | 34,053 | 39,292 | |
Newfleet Low Duration Core Plus Bond Fund | 251,335 | 163,319 | |
Newfleet Multi-Sector Intermediate Bond Fund | 188,484 | 190,401 | |
Newfleet Senior Floating Rate Fund | 104,104 | 238,103 | |
Newfleet Tax-Exempt Bond Fund | 5,950 | 30,877 |
Purchases | Sales | ||
Newfleet Core Plus Bond Fund | $15,472 | $14,009 | |
Newfleet Low Duration Core Plus Bond Fund | 19,174 | 8,784 | |
Newfleet Multi-Sector Intermediate Bond Fund | 33,476 | 32,564 |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | ||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 453 | $5,012 | 151 | $1,674 | 445 | $1,779 | 270 | $1,129 | |||||||
Reinvestment of distributions | 88 | 982 | 95 | 1,043 | 611 | 2,471 | 619 | 2,573 | |||||||
Shares repurchased and cross class conversions | (530) | (5,884) | (606) | (6,684) | (1,438) | (5,820) | (1,671) | (6,969) | |||||||
Net Increase / (Decrease) | 11 | $110 | (360) | $(3,967) | (382) | $(1,570) | (782) | $(3,267) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 165 | $1,770 | 55 | $591 | 113 | $448 | 169 | $695 | |||||||
Reinvestment of distributions | 10 | 108 | 13 | 145 | 29 | 113 | 41 | 169 | |||||||
Shares repurchased and cross class conversions | (332) | (3,557) | (184) | (1,987) | (395) | (1,545) | (269) | (1,099) | |||||||
Net Increase / (Decrease) | (157) | $(1,679) | (116) | $(1,251) | (253) | $(984) | (59) | $(235) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 2,593 | $29,141 | 638 | $7,196 | 882 | $3,588 | 1,270 | $5,264 | |||||||
Reinvestment of distributions | 113 | 1,281 | 87 | 970 | 91 | 369 | 83 | 347 | |||||||
Shares repurchased and cross class conversions | (572) | (6,375) | (555) | (6,215) | (1,140) | (4,580) | (829) | (3,464) | |||||||
Net Increase / (Decrease) | 2,134 | $24,047 | 170 | $1,951 | (167) | $(623) | 524 | $2,147 |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | ||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 62 | $707 | 16 | $183 | 32 | $127 | 128 | $535 | |||||||
Reinvestment of distributions | 2 | 20 | 1 | 15 | 14 | 57 | 69 | 287 | |||||||
Shares repurchased and cross class conversions | (14) | (158) | (20) | (226) | (909) | (3,696) | (367) | (1,526) | |||||||
Net Increase / (Decrease) | 50 | $569 | (3) | $(28) | (863) | $(3,512) | (170) | $(704) |
Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 3,909 | $41,644 | 1,964 | $21,018 | 2,942 | $29,318 | 831 | $8,487 | |||||||
Reinvestment of distributions | 170 | 1,818 | 152 | 1,627 | 289 | 2,878 | 293 | 2,979 | |||||||
Shares repurchased and cross class conversions | (3,606) | (38,525) | (2,620) | (28,020) | (2,100) | (20,764) | (2,143) | (21,827) | |||||||
Net Increase / (Decrease) | 473 | $4,937 | (504) | $(5,375) | 1,131 | $11,432 | (1,019) | $(10,361) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 1,286 | $13,665 | 289 | $3,104 | 991 | $9,890 | 616 | $6,381 | |||||||
Reinvestment of distributions | 35 | 378 | 35 | 371 | 136 | 1,370 | 169 | 1,741 | |||||||
Shares repurchased and cross class conversions | (1,555) | (16,598) | (1,171) | (12,546) | (2,593) | (26,011) | (1,517) | (15,559) | |||||||
Net Increase / (Decrease) | (234) | $(2,555) | (847) | $(9,071) | (1,466) | $(14,751) | (732) | $(7,437) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 19,386 | $207,470 | 12,640 | $135,308 | 8,464 | $84,699 | 6,922 | $71,241 | |||||||
Reinvestment of distributions | 743 | 7,981 | 574 | 6,133 | 483 | 4,810 | 617 | 6,288 | |||||||
Shares repurchased and cross class conversions | (12,589) | (134,410) | (11,428) | (122,238) | (7,723) | (76,388) | (11,003) | (112,092) | |||||||
Net Increase / (Decrease) | 7,540 | $81,041 | 1,786 | $19,203 | 1,224 | $13,121 | (3,464) | $(34,563) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 26 | $276 | — | $— | 174 | $1,749 | 220 | $2,256 | |||||||
Reinvestment of distributions | —(1) | 2 | — | — | 21 | 206 | 80 | 814 | |||||||
Shares repurchased and cross class conversions | — | — | — | — | (1,291) | (12,730) | (583) | (5,947) | |||||||
Net Increase / (Decrease) | 26 | $278 | — | $— | (1,096) | $(10,775) | (283) | $(2,877) |
(1) | Amount is less than 500 shares. |
Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | ||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 2,876 | $26,470 | 1,367 | $12,886 | 621 | $6,917 | 124 | $1,366 | |||||||
Reinvestment of distributions | 878 | 8,031 | 907 | 8,538 | 85 | 937 | 103 | 1,137 | |||||||
Shares repurchased and cross class conversions | (6,191) | (56,147) | (5,114) | (48,175) | (652) | (7,222) | (1,032) | (11,434) | |||||||
Net Increase / (Decrease) | (2,437) | $(21,646) | (2,840) | $(26,751) | 54 | $632 | (805) | $(8,931) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 442 | $4,083 | 511 | $4,813 | 178 | $1,968 | 66 | $737 | |||||||
Reinvestment of distributions | 262 | 2,398 | 289 | 2,726 | 27 | 296 | 36 | 404 | |||||||
Shares repurchased and cross class conversions | (3,885) | (35,602) | (2,828) | (26,677) | (618) | (6,884) | (549) | (6,078) | |||||||
Net Increase / (Decrease) | (3,181) | $(29,121) | (2,028) | $(19,138) | (413) | $(4,620) | (447) | $(4,937) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 8,633 | $79,413 | 8,904 | $83,832 | 1,025 | $11,335 | 3,294 | $36,424 | |||||||
Reinvestment of distributions | 665 | 6,076 | 707 | 6,652 | 204 | 2,260 | 268 | 2,967 | |||||||
Shares repurchased and cross class conversions | (16,120) | (146,856) | (11,991) | (112,859) | (3,191) | (35,099) | (3,010) | (33,310) | |||||||
Net Increase / (Decrease) | (6,822) | $(61,367) | (2,380) | $(22,375) | (1,962) | $(21,504) | 552 | $6,081 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 13 | $114 | 132 | $1,250 | — | $— | — | $— | |||||||
Reinvestment of distributions | —(1) | 3 | —(1) | 4 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (—) (1) | (—) (2) | (132) | (1,245) | — | — | — | — | |||||||
Net Increase / (Decrease) | 13 | $117 | —(1) | $9 | — | $— | — | $— |
(1) | Amount is less than 500 shares. |
(2) | Amount is less than $500. |
% of Shares Outstanding | Number of Accounts* | ||
Newfleet Core Plus Bond Fund | 40% | 2 | |
Newfleet Low Duration Core Plus Bond Fund | 39 | 2 | |
Newfleet Multi-Sector Intermediate Bond Fund | 18 | 1 | |
Newfleet Senior Floating Rate Fund | 41 | 2 | |
Newfleet Tax-Exempt Bond Fund | 12 | 1 |
* | None of the accounts are affiliated. |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Newfleet Core Plus Bond Fund | $ 89,303 | $ 4,056 | $ (94) | $ 3,962 | ||||
Newfleet High Yield Fund | 62,051 | 1,673 | (2,040) | (367) | ||||
Newfleet Low Duration Core Plus Bond Fund | 450,088 | 5,721 | (172) | 5,549 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | 306,117 | 8,787 | (7,522) | 1,265 | ||||
Newfleet Senior Floating Rate Fund | 403,718 | 988 | (14,052) | (13,064) | ||||
Newfleet Tax-Exempt Bond Fund | 124,241 | 8,678 | (75) | 8,603 |
No Expiration | Total | ||||||
Short-Term | Long-Term | Short-Term | Long-Term | ||||
Newfleet Core Plus Bond Fund | $323 | $1,586 | $323 | $1,586 | |||
Newfleet High Yield Fund | 941 | 3,141 | 941 | 3,141 | |||
Newfleet Low Duration Core Plus Bond Fund | 1,808 | 1,151 | 1,808 | 1,151 | |||
Newfleet Multi-Sector Intermediate Bond Fund | 3,173 | 12,834 | 3,173 | 12,834 | |||
Newfleet Senior Floating Rate Fund | 1,745 | 30,011 | 1,745 | 30,011 |
Fund | |
Newfleet High Yield Fund | $ 24 |
Newfleet Senior Floating Rate Fund | 819 |
Capital Loss Deferred | Capital Loss Recognized | |||
Newfleet Core Plus Bond Fund | $ 103 | $ (410) | ||
Newfleet High Yield Fund | 698 | (241) | ||
Newfleet Low Duration Core Plus Bond Fund | 328 | (1,675) | ||
Newfleet Multi-Sector Intermediate Bond Fund | 4,622 | — | ||
Newfleet Senior Floating Rate Fund | 9,330 | (1,335) | ||
Newfleet Tax-Exempt Bond Fund | 145 | — |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Undistributed Tax-Exempt Income | |||
Newfleet Core Plus Bond Fund | $151 | $— | $ — | ||
Newfleet High Yield Fund | 329 | — | — | ||
Newfleet Low Duration Core Plus Bond Fund | 298 | — | — | ||
Newfleet Senior Floating Rate Fund | 663 | — | — | ||
Newfleet Tax-Exempt Bond Fund | — | — | 231 |
Ordinary Income | Long-Term Capital Gains | Tax-Exempt Distributions | Return of Capital | Total | |||||
Newfleet Core Plus Bond Fund | |||||||||
9/30/19 | $ 2,539 | $ — | $ — | $ — | $2,539 | ||||
9/30/18 | 2,384 | — | — | — | 2,384 | ||||
Newfleet High Yield Fund | |||||||||
9/30/19 | 3,388 | — | — | — | 3,388 | ||||
9/30/18 | 3,819 | — | — | — | 3,819 | ||||
Newfleet Low Duration Core Plus Bond Fund | |||||||||
9/30/19 | 11,333 | — | — | — | 11,333 | ||||
9/30/18 | 8,941 | — | — | — | 8,941 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | |||||||||
9/30/19 | 10,672 | — | — | 1,381 | 12,053 | ||||
9/30/18 | 14,833 | — | — | 543 | 15,376 | ||||
Newfleet Senior Floating Rate Fund | |||||||||
9/30/19 | 21,245 | — | — | — | 21,245 | ||||
9/30/18 | 23,015 | — | — | — | 23,015 | ||||
Newfleet Tax-Exempt Bond Fund | |||||||||
9/30/19 | 5 | 858 | 3,568 | — | 4,431 | ||||
9/30/18 | 47 | 703 | 4,542 | — | 5,292 |
Capital Paid in on Shares of Beneficial Interest | Accumulated Earnings (Loss) | ||
Newfleet Core Plus Bond Fund | $ —(1) | $ —(1) | |
Newfleet High Yield Fund | —(1) | —(1) | |
Newfleet Low Duration Core Plus Bond Fund | —(1) | —(1) | |
Newfleet Multi-Sector Intermediate Bond Fund | —(1) | —(1) | |
Newfleet Tax-Exempt Bond Fund | —(1) | —(1) |
(1) | Amount is less than $500. |
Intermediate Bond Fund, Virtus Newfleet Senior Floating Rate Fund and Virtus Newfleet Tax-Exempt Bond Fund (six of the Funds
constituting Virtus Opportunities Trust, hereafter collectively referred to as the “Funds”) as of September 30, 2019, the related
statements of operations for the year ended September 30, 2019, the statements of changes in net assets for each of the two years in the period ended September 30, 2019, 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, 2019, 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, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
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, 2019 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 opinions.
began serving as auditor.
QDI | DRD | LTCG | |||
Newfleet Tax-Exempt Bond Fund | — % | — % | $ 59 |
(800) 243-4361.
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 67 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 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 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 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). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 67 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 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (56 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 ( since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2016 67 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 (56 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 67 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 (56 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 67 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 (56 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 75 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 MLP and Midstream Energy 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 (56 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 71 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 (56 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2000 71 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 MLP and Midstream Energy 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 (56 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2000 67 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 (56 portfolios). |
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; and 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 MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013),Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (4 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 (56 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter YOB: 1970 | Senior Vice President (since 2017), Vice President (2008 to 2017). | Senior Vice President, Product Development (since 2017), and Vice President, Product Development (2008 to 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2008) with Virtus affiliates; Senior Vice President (since 2017), and Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), and Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), and Vice President (2013 to 2016), Virtus Alternative Solutions Trust; and Senior Vice President (since 2017) and Vice President (2016 to 2017), Virtus Closed-End Funds. |
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), and 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), 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 and Midstream Energy 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. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of 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), and Assistant Secretary (2013 to 2014 and since 2017), 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), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy 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 and Chief Compliance Officer (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 MLP and Midstream Energy 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 (since 2018), Virtus Closed-End Funds; 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 and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; and Executive Vice President (since 2017), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Virtus Newfleet High Yield Fund | David L. Albrycht, CFA (since 2011) William J. Eastwood, CFA (since August 2019) Eric Hess, CFA (since August 2019) Kyle A. Jennings, CFA (since 2011) Francesco Ossino (since 2012) |
Accounting Firm
Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
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.
please contact us at1-800-243-1574, orVirtus.com.
8639 | 11-19 |
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 |
Message to Shareholders | 1 | |
Disclosure of Fund Expenses | 2 | |
Key Investment Terms | 6 | |
Fund | Fund Summary | Schedule of Investments |
Virtus Duff & Phelps Global Infrastructure Fund (“Duff & Phelps Global Infrastructure Fund”) | 10 | 48 |
Virtus Duff & Phelps Global Real Estate Securities Fund (“Duff & Phelps Global Real Estate Securities Fund”) | 13 | 50 |
Virtus Duff & Phelps International Real Estate Securities Fund (“Duff & Phelps International Real Estate Securities Fund”) | 16 | 52 |
Virtus Herzfeld Fund (“Herzfeld Fund”) | 19 | 54 |
Virtus Horizon Wealth Masters Fund (“Horizon Wealth Masters Fund”) | 22 | 55 |
Virtus KAR Emerging Markets Small-Cap Fund (“KAR Emerging Markets Small-Cap Fund”) | 24 | 57 |
Virtus KAR International Small-Cap Fund (“KAR International Small-Cap Fund”) | 27 | 59 |
Virtus Rampart Alternatives Diversifier Fund (“Rampart Alternatives Diversifier Fund”) | 30 | 61 |
Virtus Rampart Equity Trend Fund (“Rampart Equity Trend Fund”) | 33 | 62 |
Virtus Rampart Multi-Asset Trend Fund (“Rampart Multi-Asset Trend Fund”) | 36 | 65 |
Virtus Rampart Sector Trend Fund (“Rampart Sector Trend Fund”) | 39 | 68 |
Virtus Vontobel Global Opportunities Fund (“Vontobel Global Opportunities Fund”) | 42 | 72 |
Virtus Vontobel Greater European Opportunities Fund (“Vontobel Greater European Opportunities Fund”) | 45 | 74 |
Statements of Assets and Liabilities | 76 | |
Statements of Operations | 85 | |
Statements of Changes in Net Assets | 90 | |
Financial Highlights | 97 | |
Notes to Financial Statements | 106 | |
Report of Independent Registered Public Accounting Firm | 124 | |
Tax Information Notice | 125 | |
Results of Shareholder Meeting | 126 | |
Fund Management Tables | 127 |
President, Virtus Funds
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class A | $ 1,000.00 | $ 1,070.86 | 1.26 % | $ 6.54 | ||||
Class C | 1,000.00 | 1,067.09 | 2.00 | 10.36 | ||||
Class I | 1,000.00 | 1,072.21 | 1.01 | 5.25 | ||||
Class R6 | 1,000.00 | 1,073.30 | 0.89 | 4.63 | ||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,087.79 | 1.40 | 7.33 | ||||
Class C | 1,000.00 | 1,083.66 | 2.15 | 11.23 | ||||
Class I | 1,000.00 | 1,089.15 | 1.15 | 6.02 | ||||
Class R6 | 1,000.00 | 1,090.30 | 0.92 | 4.82 | ||||
Duff & Phelps International Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,043.25 | 1.50 | 7.68 | ||||
Class C | 1,000.00 | 1,039.37 | 2.25 | 11.50 | ||||
Class I | 1,000.00 | 1,043.67 | 1.25 | 6.40 | ||||
Herzfeld Fund | ||||||||
Class A | 1,000.00 | 1,016.99 | 1.60 | 8.09 | ||||
Class C | 1,000.00 | 1,013.25 | 2.35 | 11.86 | ||||
Class I | 1,000.00 | 1,018.51 | 1.35 | 6.83 | ||||
Horizon Wealth Masters Fund | ||||||||
Class A | 1,000.00 | 1,014.88 | 1.25 | 6.31 | ||||
Class C | 1,000.00 | 1,010.95 | 2.00 | 10.08 | ||||
Class I | 1,000.00 | 1,016.00 | 1.00 | 5.05 | ||||
KAR Emerging Markets Small-Cap Fund | ||||||||
Class A | 1,000.00 | 982.14 | 1.86 | 9.24 | ||||
Class C | 1,000.00 | 978.05 | 2.61 | 12.94 | ||||
Class I | 1,000.00 | 983.82 | 1.61 | 8.01 | ||||
Class R6** | 1,000.00 | 983.82 | 1.51 | 2.46 | ||||
KAR International Small-Cap Fund | ||||||||
Class A | 1,000.00 | 999.41 | 1.55 | 7.77 | ||||
Class C | 1,000.00 | 995.81 | 2.29 | 11.46 | ||||
Class I | 1,000.00 | 1,000.00 | 1.31 | 6.57 | ||||
Class R6 | 1,000.00 | 1,001.17 | 1.19 | 5.97 | ||||
Rampart Alternatives Diversifier Fund | ||||||||
Class A | 1,000.00 | 1,007.97 | 0.77 | 3.88 | ||||
Class C | 1,000.00 | 1,003.54 | 1.52 | 7.63 | ||||
Class I | 1,000.00 | 1,008.89 | 0.53 | 2.67 |
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Rampart Equity Trend Fund | ||||||||
Class A | $1,000.00 | $1,049.86 | 1.55% | $7.96 | ||||
Class C | 1,000.00 | 1,045.72 | 2.29 | 11.74 | ||||
Class I | 1,000.00 | 1,051.30 | 1.30 | 6.68 | ||||
Class R6 | 1,000.00 | 1,051.67 | 1.21 | 6.22 | ||||
Rampart Multi-Asset Trend Fund | ||||||||
Class A | 1,000.00 | 1,040.40 | 1.69 | 8.64 | ||||
Class C | 1,000.00 | 1,036.59 | 2.43 | 12.41 | ||||
Class I | 1,000.00 | 1,041.97 | 1.46 | 7.47 | ||||
Rampart Sector Trend Fund | ||||||||
Class A | 1,000.00 | 1,074.69 | 1.00 | 5.20 | ||||
Class C | 1,000.00 | 1,070.18 | 1.75 | 9.08 | ||||
Class I | 1,000.00 | 1,075.65 | 0.78 | 4.06 | ||||
Vontobel Global Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,074.85 | 1.36 | 7.07 | ||||
Class C | 1,000.00 | 1,070.98 | 2.11 | 10.95 | ||||
Class I | 1,000.00 | 1,076.17 | 1.09 | 5.67 | ||||
Class R6 | 1,000.00 | 1,077.43 | 0.90 | 4.69 | ||||
Vontobel Greater European Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,068.46 | 1.45 | 7.52 | ||||
Class C | 1,000.00 | 1,064.58 | 2.20 | 11.39 | ||||
Class I | 1,000.00 | 1,069.44 | 1.20 | 6.23 |
* | 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. |
** | August 2, 2019, is the date the Class started accruing expenses. Expenses are equal to the Class’ 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 (60) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class A | $ 1,000.00 | $ 1,018.75 | 1.26 % | $ 6.38 | ||||
Class C | 1,000.00 | 1,015.04 | 2.00 | 10.10 | ||||
Class I | 1,000.00 | 1,020.00 | 1.01 | 5.11 | ||||
Class R6 | 1,000.00 | 1,020.61 | 0.89 | 4.51 | ||||
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 | 1,020.46 | 0.92 | 4.66 | ||||
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 | 1,015.74 | 1.86 | 9.40 | ||||
Class C | 1,000.00 | 1,011.98 | 2.61 | 13.16 | ||||
Class I | 1,000.00 | 1,017.00 | 1.61 | 8.14 | ||||
Class R6 | 1,000.00 | 1,017.50 | 1.51 | 7.64 | ||||
KAR International Small-Cap Fund | ||||||||
Class A | 1,000.00 | 1,017.30 | 1.55 | 7.84 | ||||
Class C | 1,000.00 | 1,013.59 | 2.29 | 11.56 | ||||
Class I | 1,000.00 | 1,018.50 | 1.31 | 6.63 | ||||
Class R6 | 1,000.00 | 1,019.10 | 1.19 | 6.02 | ||||
Rampart Alternatives Diversifier Fund | ||||||||
Class A | 1,000.00 | 1,021.21 | 0.77 | 3.90 | ||||
Class C | 1,000.00 | 1,017.45 | 1.52 | 7.69 | ||||
Class I | 1,000.00 | 1,022.41 | 0.53 | 2.69 | ||||
Rampart Equity Trend Fund | ||||||||
Class A | 1,000.00 | 1,017.30 | 1.55 | 7.84 | ||||
Class C | 1,000.00 | 1,013.59 | 2.29 | 11.56 | ||||
Class I | 1,000.00 | 1,018.55 | 1.30 | 6.58 | ||||
Class R6 | 1,000.00 | 1,019.00 | 1.21 | 6.12 | ||||
Rampart Multi-Asset Trend Fund | ||||||||
Class A | 1,000.00 | 1,016.60 | 1.69 | 8.54 | ||||
Class C | 1,000.00 | 1,012.89 | 2.43 | 12.26 | ||||
Class I | 1,000.00 | 1,017.75 | 1.46 | 7.38 | ||||
Rampart Sector Trend 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 | 1,021.16 | 0.78 | 3.95 |
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Vontobel Global Opportunities Fund | ||||||||
Class A | $1,000.00 | $1,018.25 | 1.36% | $6.88 | ||||
Class C | 1,000.00 | 1,014.49 | 2.11 | 10.66 | ||||
Class I | 1,000.00 | 1,019.60 | 1.09 | 5.52 | ||||
Class R6 | 1,000.00 | 1,020.56 | 0.90 | 4.56 | ||||
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. |
September 30, 2019
September 30, 2019
September 30, 2019
Ticker Symbols: |
Class A: PGUAX |
Class C: PGUCX |
Class I: PGIUX |
Class R6: VGIRX |
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, 2019, the Fund’s Class A shares at NAV returned 19.13%, Class C shares at NAV returned 18.32%, Class I shares at NAV returned 19.50%, and Class R6 shares at NAV returned 19.60%. For the same period, the FTSE Developed Core Infrastructure 50/50 Index (net), a broad-based equity index, returned 17.10%, and the Global Infrastructure Linked Benchmark, the Fund’s style-specific benchmark appropriate for comparison, returned 17.10%. |
Utilities | 47% |
Industrials | 25 |
Energy | 17 |
Real Estate | 9 |
Communication Services | 2 |
Other (includes short-term investment) | 0 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 19.13 % | 6.63 % | 9.51 % | — % | — | |||||||
Class A shares at POP3,4 | 12.28 | 5.37 | 8.86 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 18.32 | 5.83 | 8.70 | — | — | |||||||
Class I shares at NAV2 | 19.50 | 6.91 | 9.80 | — | — | |||||||
Class R6 shares at NAV2 | 19.60 | — | — | 10.23 | 1/30/18 | |||||||
FTSE Developed Core Infrastructure 50/50 Index (net) | 17.10 | 7.74 | — | 9.705 | — | |||||||
Global Infrastructure Linked Benchmark | 17.10 | 5.93 | 8.17 | 9.705 | — | |||||||
Fund Expense Ratios6: Class A shares: 1.25%; Class C shares: 2.00%; Class I shares: 1.01%; Class R6 shares: Gross 0.93%, Net 0.85%. |
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 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 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 R6 shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: VGSAX |
Class C: VGSCX |
Class I: VGISX |
Class R6: VRGEX |
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, 2019, the Fund’s Class A shares at NAV returned 16.68%†, Class C shares at NAV returned 15.80%†, Class I shares at NAV returned 16.97%†, and Class R6 shares at NAV returned 17.19%†. For the same period, the FTSE EPRA NAREIT Developed Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned 13.00%. |
Industrial/Office REITs | 20% |
Residential REITs | 19 |
Real Estate Operating Companies | 13 |
Retail REITs | 12 |
Office REITs | 7 |
Health Care REITs | 7 |
Data Centers REITs | 4 |
Other | 18 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 16.68 %3 | 9.19 % | 10.99 % | — % | — | |||||||
Class A shares at POP4,5 | 9.97 | 7.90 | 10.33 | — | — | |||||||
Class C shares at NAV2 and with CDSC5 | 15.80 3 | 8.37 | 10.16 | — | — | |||||||
Class I shares at NAV2 | 16.97 3 | 9.46 | 11.27 | — | — | |||||||
Class R6 shares at NAV2 | 17.19 3 | — | — | 12.51 | 11/3/16 | |||||||
FTSE EPRA NAREIT Developed Index (net) | 13.00 | 6.81 | 8.63 | 8.806 | — | |||||||
Fund Expense Ratios7: Class A shares: Gross 2.51%, Net 1.40%; Class C shares: Gross 2.21%, Net 2.15%; Class I shares: Gross 1.19%, Net 1.15%; Class R6 shares: Gross 1.09%, Net 0.89%. |
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 | 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. |
4 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
5 | “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 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. |
6 | The since inception index return is 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 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: PXRAX |
Class C: PXRCX |
Class I: PXRIX |
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, 2019, the Fund’s Class A shares at NAV returned 11.65%, Class C shares at NAV returned 10.84%, and Class I shares at NAV returned 11.84%. For the same period, the FTSE EPRA NAREIT Developed ex-U.S. Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned 8.86%. |
Real Estate Operating Companies | 26% |
Retail REITs | 15 |
Office REITs | 15 |
Industrial/Office REITs | 13 |
Residential REITs | 11 |
Diversified Real Estate Activities REITs | 6 |
Diversified REITs | 6 |
Other (includes short-term investment) | 8 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 11.65% | 6.77% | 8.36% | |||||
Class A shares at POP3,4 | 5.23 | 5.52 | 7.72 | |||||
Class C shares at NAV2 and with CDSC4 | 10.84 | 6.01 | 7.56 | |||||
Class I shares at NAV2 | 11.84 | 7.05 | 8.63 | |||||
FTSE EPRA NAREIT Developed ex-U.S. Index (net) | 8.86 | 5.00 | 6.47 | |||||
Fund Expense Ratios5: Class A shares: Gross 1.85%, Net 1.50%; Class C shares: Gross 2.59%, Net 2.25%; Class I shares: Gross 1.53%, 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 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 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 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 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: VHFAX |
Class C: VHFCX |
Class I: VHFIX |
Thomas J. Herzfeld Advisors, Inc.
■ | The Fund is 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, 2019, the Fund’s Class A shares at NAV returned -0.37%, Class C shares at NAV returned -1.14%, and Class I shares at NAV returned -0.08%†. 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 Index, returned 5.25%. |
Fixed Income Funds | 33% |
International Equity Funds | 33 |
Equity Funds | 25 |
Preferred Stocks | 5 |
International Fixed Income Funds | 2 |
Other (includes securities lending collateral) | 2 |
Total | 100% |
1 Year | 5 Years | Since inception | Inception date | |||||||
Class A shares at NAV2 | -0.37 % | 5.69 % | 6.89 % | 9/5/12 | ||||||
Class A shares at POP3,4 | -6.10 | 4.44 | 6.00 | 9/5/12 | ||||||
Class C shares at NAV2 and with CDSC4 | -1.14 | 4.90 | 6.11 | 9/5/12 | ||||||
Class I shares at NAV2 | -0.08 5 | 5.95 | 7.17 | 9/5/12 | ||||||
Herzfeld Composite Benchmark | 5.25 | 5.52 | 6.786 | — | ||||||
Fund Expense Ratios7: Class A shares: Gross 3.28%, Net 3.26%; Class C shares: Gross 4.02%, Net 4.01%; Class I shares: Gross 2.99%, Net: 3.01% |
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 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 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 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: VWMAX |
Class C: VWMCX |
Class I: VWMIX |
Horizon Kinetics Asset 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, 2019, the Fund’s Class A shares at NAV returned -5.83%, Class C shares at NAV returned -6.55%, and Class I shares at NAV returned -5.62%. For the same period, the S&P 500® Index, which serves as both the Fund’s broad-based equity index and style-specific index, returned 4.25%. |
Consumer Discretionary | 23% |
Financials | 13 |
Communication Services | 13 |
Industrials | 11 |
Real Estate | 8 |
Information Technology | 8 |
Consumer Staples | 7 |
Other (includes securities lending collateral) | 17 |
Total | 100% |
1 Year | 5 Years | Since inception | Inception date | |||||||
Class A shares at NAV2 | -5.83 % | 5.23 % | 9.49 % | 9/5/12 | ||||||
Class A shares at POP3,4 | -11.24 | 3.99 | 8.58 | 9/5/12 | ||||||
Class C shares at NAV2 and with CDSC4 | -6.55 | 4.45 | 8.67 | 9/5/12 | ||||||
Class I shares at NAV2 | -5.62 | 5.50 | 9.76 | 9/5/12 | ||||||
S&P 500® Index | 4.25 | 10.84 | 13.555 | — | ||||||
Fund Expense Ratios6: Class A shares: Gross 1.47%, Net 1.25%; Class C shares: Gross 2.23%, Net 2.00%; Class I shares: Gross 1.22%, 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 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 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 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 Fund’s inception date. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: VAESX |
Class C: VCESX |
Class I: VIESX |
Class R6: VRESX |
Kayne Anderson Rudnick Investment Management, LLC
■ | The Fund is non-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, 2019, the Fund’s Class A shares at NAV returned 4.10%, Class C shares at NAV returned 3.26%, Class I shares at NAV returned 4.33%, and Class R6 shares at NAV from August 1, 2019 (inception date) through September 30, 2019, returned -1.62%*. For the same period, the MSCI Emerging Markets Small Cap Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned -5.49%. |
■ | Sea operates an e-commerce business as well as an online game development/publishing business in Southeast Asia. The company announced strong results during the first and second quarters of 2019, and also raised guidance for the full year. The results were strong across all of Sea’s business segments, and exceeded expectations by a wide margin. |
■ | Totvs, a Brazil-based Enterprise Resource Planning (ERP) company, produced a strong set of results despite a stagnant economy. |
■ | Other top contributors included Linx, PT Sarana Menara Nusantara, and Vostok New Ventures. |
■ | Cafe24 underperformed as business fundamentals failed to meet market expectations. In particular, profit margins were threatened as the company increased spending on a variety of initiatives which involve significant uncertainty. Although we believe that Cafe24 has interesting growth prospects, we exited the position as we no longer |
felt confident about the future economics of the business. | |
■ | Sentiment on SINA turned negative due to concerns about the downturn in advertising spending from a slowing Chinese economy. In addition, Weibo, a SINA venture and one of the largest social media platforms in China, faced increased competition from newer platforms such as the short video app Douyin. Despite our belief that the valuation of the stock is attractive, we sold SINA during the third quarter of 2019. |
■ | Other bottom contributors included CARE Ratings, Sarine Technologies, and Corporacion Moctezuma. |
Industrials | 27% |
Communication Services | 22 |
Consumer Staples | 11 |
Consumer Discretionary | 11 |
Financials | 8 |
Information Technology | 7 |
Materials | 4 |
Other (includes short-term investment) | 10 |
Total | 100% |
1 Year | 5 Years | Since inception | Inception date | |||||||
Class A shares at NAV2 | 4.10 % | 4.95 % | 4.87 % | 12/17/13 | ||||||
Class A shares at POP3,4 | -1.89 | 3.71 | 3.81 | 12/17/13 | ||||||
Class C shares at NAV2 and with CDSC4 | 3.26 | 4.17 | 4.09 | 12/17/13 | ||||||
Class I shares at NAV2 | 4.33 | 5.19 | 5.12 | 12/17/13 | ||||||
Class R6 shares at NAV2 | — | — | -1.62 | 8/1/19 | ||||||
MSCI Emerging Markets Small Cap Index (net) | -5.49 | -0.13 | —5 | — | ||||||
Fund Expense Ratios6: Class A shares: Gross 2.27%, Net 1.89%; Class C shares: Gross 2.94%, Net 2.64%; Class I shares: Gross 1.97%, Net 1.64%; Class R6 shares: Gross 1.89%, Net 1.54%. |
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 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 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 -2.11% from the inception date of Class R6 shares and 1.44% from the inception date of Class A shares, Class C shares, and Class I shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: VISAX |
Class C: VCISX |
Class I: VIISX |
Class R6: VRISX |
Kayne Anderson Rudnick Investment Management, LLC
■ | The Fund is non-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, 2019, the Fund’s Class A shares at NAV returned -0.11%†, Class C shares at NAV returned -0.78%, Class I shares at NAV returned 0.18%, and Class R6 shares at NAV returned 0.24%. For the same period, the MSCI All Country World ex U.S. Small Cap Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned -5.63%. |
■ | After selling its largest investment in February 2019 and paying a large special dividend, Vostok’s shares were trading at a substantial discount to the estimated value of its investment portfolio. The strong performance was driven by the narrowing of this discount and an increase in the estimated value of some of its holdings. |
■ | Headhunter Group recently completed an initial public offering (IPO) in which we participated. The company has reported extremely strong revenue and profit growth since this time, and the shares reacted favorably during the 12-month period. |
■ | Other top contributors included CTS Eventim, Scout24, and Rightmove. |
■ | Sentiment on SINA turned negative due to concerns about the downturn in advertising spending from a slowing Chinese economy. In addition, Weibo, a SINA venture and one of the largest social media platforms in China, faced |
increased competition from newer platforms such as the short video app Douyin. Despite our belief that the valuation of the stock is attractive, we sold SINA during the third quarter of 2019. | |
■ | Cafe24 underperformed as business fundamentals failed to meet market expectations. In particular, profit margins were threatened as the company increased spending on a variety of initiatives which involve significant uncertainty. Although we believe that Café24 has interesting growth prospects, we exited the position as we no longer felt confident about the future economics of the business. |
■ | Other bottom contributors included CARE Ratings, Money Forward, and JOST Werke. |
Industrials | 27% |
Communication Services | 27 |
Financials | 14 |
Information Technology | 10 |
Energy | 4 |
Health Care | 3 |
Consumer Staples | 2 |
Other (includes short-term investment) | 13 |
Total | 100% |
1 Year | 5 Years | Since inception | Inception date | |||||||
Class A shares at NAV2 | -0.11 %3 | 8.28 % | 11.16 % | 9/5/12 | ||||||
Class A shares at POP4,5 | -5.86 | 7.00 | 10.24 | 9/5/12 | ||||||
Class C shares at NAV2 and with CDSC5 | -0.78 | 7.49 | 10.35 | 9/5/12 | ||||||
Class I shares at NAV2 | 0.18 | 8.53 | 11.44 | 9/5/12 | ||||||
Class R6 shares at NAV2 | 0.24 | — | 9.35 | 11/12/14 | ||||||
MSCI All Country World ex U.S. Small Cap Index (net) | -5.63 | 3.98 | —6 | — | ||||||
Fund Expense Ratios7: Class A shares: 1.58%; Class C shares: 2.29%; 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 gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | 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. |
4 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.75% sales charge. |
5 | “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 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. |
6 | The since inception index returned 4.73% from the inception date of Class R6 shares and 6.97% from the inception date of Class A shares, Class C shares, and Class I shares. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: PDPAX |
Class C: PDPCX |
Class I: VADIX |
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, 2019, the Fund’s Class A shares at NAV returned 0.18%, Class C shares at NAV returned -0.56%†, and Class I shares at NAV returned 0.44%. For the same period, the S&P 500® Index, a broad-based equity index, returned 4.25%, and the Alternatives Diversifier Composite Benchmark, the Fund’s style-specific index appropriate for comparison, returned 0.00%. |
Affiliated Mutual Funds | 53% | |
Exchange-Traded Funds | 47 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 0.18 % | 1.67 % | 3.44 % | — % | — | |||||||
Class A shares at POP3,4 | -5.58 | 0.47 | 2.83 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | -0.56 5 | 0.91 | 2.66 | — | — | |||||||
Class I shares at NAV2 | 0.44 | 1.93 | — | 3.88 | 10/1/09 | |||||||
S&P 500® Index | 4.25 | 10.84 | 13.24 | 13.536 | — | |||||||
Alternatives Diversifier Composite Benchmark | — | 0.59 | 3.49 | 3.496 | — | |||||||
Fund Expense Ratios7: Class A shares: 1.50%; Class C shares: 2.25%; Class I shares: 1.24%. |
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 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 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 I shares. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Expense ratios include fees and expenses associated with the underlying funds. |
Ticker Symbols: |
Class A: VAPAX |
Class C: VAPCX |
Class I: VAPIX |
Class R6: VRPAX |
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, 2019, the Fund’s Class A shares at NAV returned -3.99%, Class C shares at NAV returned -4.70%, Class I shares at NAV returned -3.76%, and Class R6 shares at NAV returned -3.61%. For the same period, the S&P 500® Index, which serves as both the broad-based equity index and the style-specific index, returned 4.25%. |
Consumer Discretionary | 18% |
Information Technology | 18 |
Industrials | 11 |
Consumer Staples | 10 |
Health Care | 8 |
Materials | 8 |
Real Estate | 8 |
Other | 19 |
Total | 100% |
1 Year | 5 Years | Since inception | Inception date | |||||||
Class A shares at NAV2 | -3.99 % | 1.72 % | 7.75 % | 7/1/10 | ||||||
Class A shares at POP3,4 | -9.51 | 0.52 | 7.06 | 7/1/10 | ||||||
Class C shares at NAV2 and with CDSC4 | -4.70 | 0.99 | 6.96 | 7/1/10 | ||||||
Class I shares at NAV2 | -3.76 | 1.97 | 8.00 | 7/1/10 | ||||||
Class R6 shares at NAV2 | -3.61 | — | 2.42 | 11/12/14 | ||||||
S&P 500® Index | 4.25 | 10.84 | —5 | — | ||||||
Fund Expense Ratios6: Class A shares: 1.56%; Class C shares: 2.29%; Class I shares: 1.30%; Class R6 shares: 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 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 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 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 14.55% from the inception date of Class A shares, Class C shares, and Class I shares and returned 10.31% 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 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: VAAAX |
Class C: VAACX |
Class I: VAISX |
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, 2019, the Fund’s Class A shares at NAV returned 2.65%, Class C shares at NAV returned 1.94%, and Class I shares at NAV returned 2.92%. For the same period, the Dow Jones Global Moderate Portfolio IndexSM, the Fund’s style-specific index appropriate for comparison, returned 3.85%. |
Exchange-Traded Funds | 64% | |
Common Stocks | 36 | |
Information Technology | 6% | |
Consumer Discretionary | 6 | |
Industrials | 4 | |
Consumer Staples | 4 | |
Health Care | 3 | |
Materials | 3 | |
Financials | 3 | |
All Other Common Stocks | 7 | |
Total | 100% |
1 Year | 5 Years | Since inception | Inception date | |||||||
Class A shares at NAV2 | 2.65 % | 1.21 % | 3.13 % | 3/15/11 | ||||||
Class A shares at POP3,4 | -3.25 | 0.02 | 2.41 | 3/15/11 | ||||||
Class C shares at NAV2 and with CDSC4 | 1.94 | 0.47 | 2.37 | 3/15/11 | ||||||
Class I shares at NAV2 | 2.92 | 1.47 | 3.38 | 3/15/11 | ||||||
Dow Jones Global Moderate Portfolio IndexSM | 3.85 | 5.86 | 6.765 | — | ||||||
Fund Expense Ratios6: Class A shares: 1.84%; Class C shares: 2.57%; Class I shares: 1.60%. |
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 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 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 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 Fund’s inception date. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: PWBAX |
Class C: PWBCX |
Class I: VARIX |
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, 2019, the Fund’s Class A shares at NAV returned 0.52%, Class C shares at NAV returned -0.29%, and Class I shares at NAV returned 0.72%. For the same period, the S&P 500® Index, which serves as both the broad-based equity index and the Fund’s style-specific index, returned 4.25%. |
Information Technology | 20% |
Utilities | 20 |
Consumer Discretionary | 15 |
Communication Services | 15 |
Health Care | 5 |
Materials | 5 |
Consumer Staples | 5 |
Other | 15 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 0.52 % | 3.95 % | 8.87 % | — % | — | |||||||
Class A shares at POP3,4 | -5.26 | 2.72 | 8.23 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | -0.29 | 3.16 | 8.06 | — | — | |||||||
Class I shares at NAV2 | 0.72 | 4.21 | — | 9.41 | 10/1/09 | |||||||
S&P 500® Index | 4.25 | 10.84 | 13.24 | 13.535 | — | |||||||
Fund Expense Ratios6: Class A shares: 0.98%; Class C shares: 1.74%; Class I shares: 0.74%. |
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 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 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 I shares. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective January 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: NWWOX |
Class C: WWOCX |
Class I: WWOIX |
Class R6: VRGOX |
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, 2019, the Fund’s Class A shares at NAV returned 7.62%, Class C shares at NAV returned 6.89%, Class I shares at NAV returned 7.98%, and Class R6 shares at NAV returned 8.19%. For the same period, the MSCI All Country World Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned 1.38%. |
Consumer Staples | 21% |
Consumer Discretionary | 19 |
Information Technology | 16 |
Health Care | 13 |
Financials | 13 |
Communication Services | 7 |
Industrials | 7 |
Other (includes short-term investment) | 4 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 7.62 % | 10.15 % | 11.80 % | — % | — | |||||||
Class A shares at POP3,4 | 1.43 | 8.86 | 11.14 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 6.89 | 9.34 | 10.96 | — | — | |||||||
Class I shares at NAV2 | 7.98 | 10.44 | — | 11.32 | 8/8/12 | |||||||
Class R6 shares at NAV2 | 8.19 | — | — | 4.14 | 1/30/18 | |||||||
MSCI All Country World Index (net) | 1.38 | 6.65 | 8.35 | —5 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 1.40%, Net 1.36%; Class C shares: Gross 2.16%, Net 2.11%; Class I shares: Gross 1.16%, Net 1.09%; Class R6 shares: Gross 1.11%, 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 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 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 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 -0.20% from the inception date of Class R6 shares and 9.13% 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 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: |
Class A: VGEAX |
Class C: VGECX |
Class I: VGEIX |
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, 2019, the Fund’s Class A shares at NAV returned 2.14%, Class C shares at NAV returned 1.34%, and Class I shares at NAV returned 2.36%. For the same period, the MSCI Europe Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned -0.75%. |
Consumer Staples | 26% |
Industrials | 26 |
Consumer Discretionary | 14 |
Information Technology | 11 |
Health Care | 9 |
Financials | 5 |
Materials | 5 |
Other (includes securities lending collateral) | 4 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 2.14% | 4.05% | 6.62% | |||||
Class A shares at POP3,4 | -3.74 | 2.83 | 5.99 | |||||
Class C shares at NAV2 and with CDSC4 | 1.34 | 3.27 | 5.82 | |||||
Class I shares at NAV2 | 2.36 | 4.31 | 6.88 | |||||
MSCI Europe Index (net) | -0.75 | 2.38 | 4.61 | |||||
Fund Expense Ratios5: Class A shares: Gross 2.20%, Net 1.45%; Class C shares: Gross 2.92%, Net 2.20%; Class I shares: Gross 1.89%, 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 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 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 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 28, 2019, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlight tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
September 30, 2019
Shares | Value | ||
Common Stocks—98.4% | |||
Communication Services—1.6% | |||
Cellnex Telecom SA 144A (Spain)(1)(2) | 43,340 | $1,791 | |
Energy—16.5% | |||
Cheniere Energy, Inc. (United States)(2) | 35,975 | 2,269 | |
Enbridge, Inc. (Canada) | 67,270 | 2,360 | |
Golar LNG Ltd. (Bermuda) | 69,400 | 902 | |
Kinder Morgan, Inc. (United States) | 110,261 | 2,272 | |
ONEOK, Inc. (United States) | 20,955 | 1,544 | |
Pembina Pipeline Corp. (Canada) | 51,368 | 1,904 | |
Plains GP Holdings LP Class A (United States) | 50,193 | 1,066 | |
Targa Resources Corp. (United States) | 33,661 | 1,352 | |
TC Energy Corp. (Canada) | 52,739 | 2,731 | |
Williams Cos., Inc. (The) (United States) | 84,933 | 2,043 | |
18,443 | |||
Industrials—25.0% | |||
Aena SME SA 144A (Spain)(1) | 15,016 | 2,750 | |
Atlantia SpA (Italy) | 116,869 | 2,827 | |
Auckland International Airport Ltd. (New Zealand) | 237,576 | 1,361 | |
East Japan Railway Co. (Japan) | 16,890 | 1,611 | |
Ferrovial SA (Spain) | 62,938 | 1,819 | |
Fraport AG Frankfurt Airport Services Worldwide (Germany) | 17,148 | 1,454 | |
Norfolk Southern Corp. (United States) | 11,015 | 1,979 | |
Sydney Airport (Australia) | 247,689 | 1,342 | |
Transurban Group (Australia) | 643,690 | 6,382 | |
Union Pacific Corp. (United States) | 17,696 | 2,866 | |
Vinci SA (France) | 34,001 | 3,662 | |
28,053 | |||
Real Estate—8.7% | |||
American Tower Corp. (United States) | 26,412 | 5,840 |
Shares | Value | ||
Real Estate—continued | |||
Crown Castle International Corp. (United States) | 28,435 | $3,953 | |
9,793 | |||
Utilities—46.6% | |||
American Electric Power Co., Inc. (United States) | 42,943 | 4,023 | |
American Water Works Co., Inc. (United States) | 19,244 | 2,391 | |
Aqua America, Inc. (United States) | 36,311 | 1,628 | |
Atmos Energy Corp. (United States) | 20,663 | 2,353 | |
CenterPoint Energy, Inc. (United States) | 74,835 | 2,259 | |
CMS Energy Corp. (United States) | 33,064 | 2,114 | |
Dominion Energy, Inc. (United States) | 51,184 | 4,148 | |
DTE Energy Co. (United States) | 9,867 | 1,312 | |
Edison International (United States) | 30,569 | 2,306 | |
Enel SpA (Italy) | 214,840 | 1,604 | |
Evergy, Inc. (United States) | 31,059 | 2,067 | |
Fortis, Inc. (Canada) | 53,059 | 2,243 | |
Iberdrola SA (Spain) | 196,633 | 2,044 | |
National Grid plc (United Kingdom) | 139,340 | 1,511 | |
Naturgy Energy Group SA (Spain) | 57,293 | 1,520 | |
NextEra Energy, Inc. (United States) | 30,194 | 7,035 | |
NiSource, Inc. (United States) | 59,252 | 1,773 | |
Orsted A/S 144A (Denmark)(1) | 33,015 | 3,068 | |
Public Service Enterprise Group, Inc. (United States) | 39,017 | 2,422 | |
Sempra Energy (United States) | 29,925 | 4,417 | |
52,238 | |||
Total Common Stocks (Identified Cost $89,158) | 110,318 | ||
Total Long-Term Investments—98.4% (Identified Cost $89,158) | 110,318 | ||
Shares | Value | ||
Short-Term Investment—0.5% | |||
Money Market Mutual Fund—0.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(3) | 537,976 | $538 | |
Total Short-Term Investment (Identified Cost $538) | 538 | ||
TOTAL INVESTMENTS—98.9% (Identified Cost $89,696) | $110,856 | ||
Other assets and liabilities, net—1.1% | 1,248 | ||
NET ASSETS—100.0% | $112,104 |
Abbreviation: | |
LP | Limited Partnership |
Footnote Legend: | |
(1) | 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, 2019, these securities amounted to a value of $7,609 or 6.8% of net assets. |
(2) | Non-income producing. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 60% |
Spain | 9 |
Canada | 8 |
Australia | 7 |
Italy | 4 |
France | 3 |
Denmark | 3 |
Other | 6 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $110,318 | $110,318 | |
Money Market Mutual Fund | 538 | 538 | |
Total Investments | $110,856 | $110,856 |
September 30, 2019
Shares | Value | ||
Common Stocks—97.7% | |||
Australia—3.1% | |||
Dexus | 306,339 | $2,467 | |
GPT Group (The) - In Specie(1)(2) | 13,566 | — | |
National Storage REIT | 2,427,044 | 2,940 | |
Scentre Group | 735,389 | 1,951 | |
7,358 | |||
Belgium—0.3% | |||
Shurgard Self Storage SA | 18,561 | 592 | |
Canada—3.7% | |||
Boardwalk Real Estate Investment Trust | 108,600 | 3,640 | |
Granite Real Estate Investment Trust | 110,429 | 5,347 | |
8,987 | |||
France—1.8% | |||
Klepierre SA | 124,580 | 4,231 | |
Germany—4.4% | |||
Deutsche Wohnen SE | 67,500 | 2,464 | |
TLG Immobilien AG | 112,300 | 3,054 | |
Vonovia SE | 97,419 | 4,942 | |
10,460 | |||
Hong Kong—4.2% | |||
Link REIT | 292,504 | 3,226 | |
Swire Properties Ltd. | 1,008,000 | 3,164 | |
Wharf Real Estate Investment Co., Ltd. | 682,600 | 3,728 | |
10,118 | |||
India—1.0% | |||
Ascendas India Trust | 2,160,800 | 2,439 | |
Ireland—1.9% | |||
Green REIT plc | 1,312,082 | 2,726 | |
Irish Residential Properties REIT plc | 936,000 | 1,752 | |
4,478 | |||
Japan—11.3% | |||
Invesco Office J-REIT, Inc. | 18,800 | 3,736 | |
Invincible Investment Corp. | 2,849 | 1,757 | |
Kenedix Office Investment Corp. | 347 | 2,741 | |
Kenedix Residential Next Investment Corp. | 1,810 | 3,569 | |
Mitsubishi Estate Co., Ltd. | 439,000 | 8,461 | |
Mitsui Fudosan Logistics Park, Inc. | 840 | 3,500 | |
Nippon Prologis REIT, Inc. | 1,286 | 3,522 | |
27,286 | |||
Shares | Value | ||
Netherlands—0.4% | |||
Unibail-Rodamco-Westfield | 7,278 | $1,061 | |
Norway—1.5% | |||
Entra ASA 144A(3) | 228,833 | 3,587 | |
Singapore—0.5% | |||
Mapletree Industrial Trust | 720,100 | 1,266 | |
Spain—3.0% | |||
Inmobiliaria Colonial Socimi SA | 297,500 | 3,590 | |
Merlin Properties Socimi SA | 263,000 | 3,672 | |
7,262 | |||
Sweden—2.8% | |||
Catena AB | 74,000 | 2,428 | |
Kungsleden AB | 468,500 | 4,255 | |
6,683 | |||
United Kingdom—5.8% | |||
Derwent London plc | 45,410 | 1,882 | |
Empiric Student Property plc | 524,923 | 602 | |
Safestore Holdings plc | 262,557 | 2,158 | |
Segro plc | 193,928 | 1,933 | |
UNITE Group plc (The) | 365,900 | 4,913 | |
Workspace Group plc | 212,800 | 2,518 | |
14,006 | |||
United States—52.0% | |||
Alexandria Real Estate Equities, Inc. | 38,265 | 5,894 | |
American Homes 4 Rent Class A | 137,550 | 3,561 | |
Americold Realty Trust | 164,111 | 6,084 | |
Apartment Investment & Management Co. Class A | 68,231 | 3,558 | |
AvalonBay Communities, Inc. | 28,165 | 6,065 | |
Brixmor Property Group, Inc. | 153,533 | 3,115 | |
Cousins Properties, Inc. | 117,600 | 4,421 | |
CubeSmart | 98,975 | 3,454 | |
CyrusOne, Inc. | 42,185 | 3,337 | |
Digital Realty Trust, Inc. | 41,615 | 5,402 | |
Douglas Emmett, Inc. | 69,695 | 2,985 | |
Duke Realty Corp. | 126,496 | 4,297 | |
Equity Residential | 68,915 | 5,945 | |
Essex Property Trust, Inc. | 8,427 | 2,753 | |
Extra Space Storage, Inc. | 26,565 | 3,103 | |
HCP, Inc. | 218,400 | 7,782 | |
Healthcare Trust of America, Inc. Class A | 136,500 | 4,010 | |
Host Hotels & Resorts, Inc. | 95,606 | 1,653 | |
Mid-America Apartment Communities, Inc. | 23,500 | 3,055 | |
Paramount Group, Inc. | 83,140 | 1,110 |
Shares | Value | ||
United States—continued | |||
Prologis, Inc. | 89,934 | $7,664 | |
Regency Centers Corp. | 45,950 | 3,193 | |
RLJ Lodging Trust | 102,507 | 1,742 | |
Ryman Hospitality Properties, Inc. | 43,800 | 3,583 | |
Simon Property Group, Inc. | 17,831 | 2,776 | |
Spirit Realty Capital, Inc. | 82,016 | 3,925 | |
STORE Capital Corp. | 96,800 | 3,621 | |
Sun Communities, Inc. | 36,006 | 5,345 | |
Taubman Centers, Inc. | 54,550 | 2,227 | |
Ventas, Inc. | 56,870 | 4,153 | |
VICI Properties, Inc. | 236,550 | 5,358 | |
125,171 | |||
Total Common Stocks (Identified Cost $189,994) | 234,985 | ||
Total Long-Term Investments—97.7% (Identified Cost $189,994) | 234,985 | ||
TOTAL INVESTMENTS—97.7% (Identified Cost $189,994) | $234,985 | ||
Other assets and liabilities, net—2.3% | 5,642 | ||
NET ASSETS—100.0% | $240,627 |
Abbreviation: | |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | 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 after the Schedule of Investments. |
(2) | Non-income producing. |
(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, 2019, these securities amounted to a value of $3,587 or 1.5% of net assets. |
Country Weightings (Unaudited)† | |
United States | 53% |
Japan | 12 |
United Kingdom | 6 |
Germany | 4 |
Hong Kong | 4 |
Canada | 4 |
Australia | 3 |
Other | 14 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | Level 3 Significant Unobservable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $234,985 | $234,985 | $—(1) | ||
Total Investments | $234,985 | $234,985 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
September 30, 2019
Shares | Value | ||
Common Stocks—96.3% | |||
Australia—7.5% | |||
Dexus | 172,718 | $1,391 | |
GPT Group (The) - In Specie(1)(2) | 588,920 | — | |
National Storage REIT | 1,098,765 | 1,331 | |
Scentre Group | 499,171 | 1,324 | |
4,046 | |||
Belgium—0.4% | |||
Shurgard Self Storage SA | 7,096 | 226 | |
Canada—7.1% | |||
Boardwalk Real Estate Investment Trust | 41,000 | 1,374 | |
First Capital Realty, Inc. | 27,405 | 456 | |
Granite Real Estate Investment Trust | 41,876 | 2,028 | |
3,858 | |||
China—0.9% | |||
GDS Holdings Ltd. ADR(2) | 11,700 | 469 | |
France—3.8% | |||
Klepierre SA | 36,331 | 1,234 | |
Mercialys SA | 60,300 | 802 | |
2,036 | |||
Germany—9.0% | |||
Deutsche Wohnen SE | 37,200 | 1,358 | |
TLG Immobilien AG | 38,300 | 1,041 | |
Vonovia SE | 48,674 | 2,470 | |
4,869 | |||
Hong Kong—10.6% | |||
Hysan Development Co., Ltd. | 168,000 | 678 | |
Link REIT | 182,441 | 2,012 | |
Swire Properties Ltd. | 492,000 | 1,544 | |
Wharf Real Estate Investment Co., Ltd. | 278,000 | 1,518 | |
5,752 | |||
India—1.4% | |||
Ascendas India Trust | 651,100 | 735 | |
Ireland—4.0% | |||
Green REIT plc | 580,542 | 1,206 | |
Irish Residential Properties REIT plc | 512,000 | 959 | |
2,165 | |||
Shares | Value | ||
Japan—23.3% | |||
Invesco Office J-REIT, Inc. | 7,993 | $1,589 | |
Invincible Investment Corp. | 1,212 | 748 | |
Kenedix Office Investment Corp. | 190 | 1,501 | |
Kenedix Residential Next Investment Corp. | 765 | 1,508 | |
Kenedix Retail REIT Corp. | 354 | 887 | |
Mitsubishi Estate Co., Ltd. | 168,700 | 3,251 | |
Mitsui Fudosan Logistics Park, Inc. | 363 | 1,512 | |
Nippon Prologis REIT, Inc. | 591 | 1,618 | |
12,614 | |||
Netherlands—3.0% | |||
Unibail-Rodamco-Westfield | 11,175 | 1,629 | |
Norway—2.4% | |||
Entra ASA 144A(3) | 84,528 | 1,325 | |
Singapore—1.1% | |||
Mapletree Industrial Trust | 337,600 | 594 | |
Spain—5.5% | |||
Inmobiliaria Colonial Socimi SA | 111,500 | 1,345 | |
Merlin Properties Socimi SA | 118,000 | 1,648 | |
2,993 | |||
Sweden—4.1% | |||
Catena AB | 16,800 | 551 | |
Kungsleden AB | 182,200 | 1,655 | |
2,206 | |||
United Kingdom—12.2% | |||
Derwent London plc | 20,646 | 856 | |
Empiric Student Property plc | 428,850 | 492 | |
Safestore Holdings plc | 128,776 | 1,058 | |
Segro plc | 118,368 | 1,180 | |
UNITE Group plc (The) | 124,700 | 1,674 | |
Workspace Group plc | 112,100 | 1,327 | |
6,587 | |||
Total Common Stocks (Identified Cost $44,892) | 52,104 | ||
Total Long-Term Investments—96.3% (Identified Cost $44,892) | 52,104 | ||
Shares | Value | ||
Short-Term Investment—1.6% | |||
Money Market Mutual Fund—1.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(4) | 860,411 | $860 | |
Total Short-Term Investment (Identified Cost $860) | 860 | ||
TOTAL INVESTMENTS—97.9% (Identified Cost $45,752) | $52,964 | ||
Other assets and liabilities, net—2.1% | 1,150 | ||
NET ASSETS—100.0% | $54,114 |
Abbreviations: | |
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | 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 after the Schedule of Investments. |
(2) | Non-income producing. |
(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, 2019, these securities amounted to a value of $1,325 or 2.4% of net assets. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
Japan | 24% |
United Kingdom | 12 |
Hong Kong | 11 |
Germany | 9 |
Australia | 8 |
Canada | 7 |
Spain | 6 |
Other | 23 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | Level 3 Significant Unobservable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $52,104 | $52,104 | $—(1) | ||
Money Market Mutual Fund | 860 | 860 | — | ||
Total Investments | $52,964 | $52,964 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
September 30, 2019
Shares | Value | ||
Closed End Funds(1)—93.1% | |||
Equity Funds—25.0% | |||
Boulder Growth & Income Fund, Inc. | 241,988 | $2,710 | |
Central Securities Corp.(2) | 79,819 | 2,506 | |
Cornerstone Strategic Value Fund, Inc. | 258,134 | 2,932 | |
Cornerstone Total Return Fund, Inc. | 44,012 | 484 | |
First Trust Energy Infrastructure Fund | 63,420 | 1,047 | |
Franklin Universal Trust | 23,267 | 176 | |
General American Investors Co., Inc. | 43,471 | 1,580 | |
Kayne Anderson Midstream/Energy Fund, Inc. | 7,699 | 83 | |
Tortoise Power and Energy Infrastructure Fund, Inc. | 60,342 | 1,087 | |
12,605 | |||
Fixed Income Funds—33.1% | |||
Apollo Tactical Income Fund, Inc. | 119,264 | 1,807 | |
BlackRock Core Bond Trust | 80,325 | 1,161 | |
BlackRock Credit Allocation Income Trust | 75,000 | 1,022 | |
Brookfield Real Assets Income Fund, Inc. | 22,371 | 505 | |
Eaton Vance Ltd. Duration Income Fund | 175,505 | 2,194 | |
Highland Income Fund | 199,537 | 2,664 | |
Nuveen Credit Strategies Income Fund | 330,943 | 2,475 | |
Nuveen Floating Rate Income Opportunity Fund | 130,600 | 1,246 | |
OFS Credit Co., Inc.(2) | 70,203 | 1,231 |
Shares | Value | ||
Fixed Income Funds—continued | |||
PGIM High Yield Bond Fund, Inc.(2) | 158,189 | $2,365 | |
16,670 | |||
International Equity Funds—32.7% | |||
Aberdeen Global Dynamic Dividend Fund(2) | 77,686 | 750 | |
Aberdeen Total Dynamic Dividend Fund | 138,069 | 1,151 | |
Brookfield Global Listed Infrastructure Income Fund, Inc.(2) | 37,680 | 517 | |
India Fund, Inc. (The) | 25,787 | 529 | |
Macquarie Global Infrastructure Total Return Fund, Inc. | 10,281 | 248 | |
Morgan Stanley India Investment Fund, Inc.(3) | 50,000 | 948 | |
New Germany Fund, Inc. (The) | 88,694 | 1,229 | |
NexPoint Strategic Opportunities Fund | 450,883 | 8,084 | |
RMR Real Estate Income Fund | 45,256 | 923 | |
Source Capital, Inc.(2) | 20,883 | 763 | |
Taiwan Fund, Inc. (The) | 73,590 | 1,359 | |
16,501 | |||
International Fixed Income Funds—2.3% | |||
PGIM Global High Yield Fund, Inc.(2) | 82,682 | 1,188 | |
Total Closed End Funds (Identified Cost $44,922) | 46,964 | ||
Preferred Stocks—4.6% | |||
Financials—4.6% | |||
Eagle Point Credit Co., Inc., 6.750%(2) | 22,854 | 583 |
Shares | Value | ||
Financials—continued | |||
Medallion Financial Corp., 9.000% | 66,421 | $1,727 | |
2,310 | |||
Total Preferred Stocks (Identified Cost $2,237) | 2,310 | ||
Total Long-Term Investments—97.7% (Identified Cost $47,159) | 49,274 | ||
Securities Lending Collateral—1.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(1)(4) | 855,215 | 855 | |
Total Securities Lending Collateral (Identified Cost $855) | 855 | ||
TOTAL INVESTMENTS—99.4% (Identified Cost $48,014) | $50,129 | ||
Other assets and liabilities, net—0.6% | 295 | ||
NET ASSETS—100.0% | $50,424 |
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) | Non-income producing. |
(4) | Represents security purchased with cash collateral received for securities on loan. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Closed End Funds | $46,964 | $46,964 | |
Preferred Stocks | 2,310 | 2,310 | |
Securities Lending Collateral | 855 | 855 | |
Total Investments | $50,129 | $50,129 |
September 30, 2019
Shares | Value | ||
Common Stocks—100.2% | |||
Communication Services—13.3% | |||
Alphabet, Inc. Class C(1) | 254 | $310 | |
AMC Networks, Inc. Class A(1) | 6,141 | 302 | |
CBS Corp. Class B | 7,207 | 291 | |
Comcast Corp. Class A | 6,665 | 300 | |
Discovery, Inc. Class C(1) | 12,293 | 303 | |
DISH Network Corp. Class A(1) | 8,794 | 299 | |
Facebook, Inc. Class A(1) | 1,662 | 296 | |
Fox Corp. Class A | 9,582 | 302 | |
GCI Liberty, Inc. Class A(1) | 4,897 | 304 | |
IAC/InterActiveCorp(1) | 1,340 | 292 | |
Liberty Braves Group Class C(1) | 10,592 | 294 | |
Liberty Broadband Corp. Class C(1) | 2,873 | 301 | |
Liberty Formula One Class C(1) | 7,473 | 311 | |
Liberty Global plc Class C(1) | 11,726 | 279 | |
Liberty Latin America Ltd. Class C(1) | 16,984 | 290 | |
Liberty Sirius XM Group Class C(1) | 7,440 | 312 | |
Liberty TripAdvisor Holdings, Inc. Class A(1) | 31,430 | 296 | |
Lions Gate Entertainment Corp. Class B | 32,083 | 280 | |
Madison Square Garden Co. (The) Class A(1) | 1,166 | 307 | |
MSG Networks, Inc. Class A(1)(2) | 18,243 | 296 | |
News Corp. Class A | 21,974 | 306 | |
Viacom, Inc. Class B | 12,140 | 292 | |
6,563 | |||
Consumer Discretionary—24.6% | |||
Amazon.com, Inc.(1) | 172 | 299 | |
American Eagle Outfitters, Inc. | 18,719 | 304 | |
AutoNation, Inc.(1) | 6,198 | 314 | |
Buckle, Inc. (The)(2) | 15,646 | 322 | |
Caesars Entertainment Corp.(1) | 26,258 | 306 | |
Carnival Corp. | 6,405 | 280 | |
Choice Hotels International, Inc. | 3,363 | 299 | |
Columbia Sportswear Co. | 3,227 | 313 | |
Designer Brands, Inc. Class A | 18,061 | 309 | |
Dick’s Sporting Goods, Inc. | 8,322 | 340 | |
Dillard’s, Inc. Class A(2) | 5,252 | 347 | |
eBay, Inc. | 7,743 | 302 | |
Expedia Group, Inc. | 2,337 | 314 | |
Gap, Inc. (The) | 17,437 | 303 | |
Garmin Ltd. | 3,640 | 308 | |
Horton (D.R.), Inc. | 6,207 | 327 | |
Hyatt Hotels Corp. Class A | 4,130 | 304 | |
L Brands, Inc. | 16,490 | 323 | |
Lands’ End, Inc.(1)(2) | 23,820 | 270 | |
Las Vegas Sands Corp. | 5,360 | 310 | |
Lennar Corp. Class A | 5,763 | 322 |
Shares | Value | ||
Consumer Discretionary—continued | |||
Marriott International, Inc. Class A | 2,403 | $299 | |
Marriott Vacations Worldwide Corp. | 2,920 | 302 | |
Mohawk Industries, Inc.(1) | 2,541 | 315 | |
Newell Brands, Inc. | 16,983 | 318 | |
Nordstrom, Inc. | 9,578 | 322 | |
Penn National Gaming, Inc.(1) | 15,583 | 290 | |
Penske Automotive Group, Inc. | 6,798 | 321 | |
Qurate Retail, Inc. Class A(1) | 28,302 | 292 | |
Ralph Lauren Corp. | 3,176 | 303 | |
Red Rock Resorts, Inc. Class A | 14,311 | 291 | |
Restaurant Brands International, Inc. | 4,267 | 304 | |
Sears Hometown and Outlet Stores, Inc.(1)(2) | 89,700 | 309 | |
Tenneco, Inc. Class A | 24,422 | 306 | |
Tesla, Inc.(1)(2) | 1,284 | 309 | |
Under Armour, Inc. Class C(1) | 16,570 | 300 | |
Urban Outfitters, Inc.(1) | 13,122 | 369 | |
Wendy’s Co. (The) | 15,552 | 311 | |
WW International, Inc.(1) | 8,946 | 338 | |
12,115 | |||
Consumer Staples—7.0% | |||
Boston Beer Co., Inc. (The) Class A(1) | 873 | 318 | |
Brown-Forman Corp. Class B | 4,839 | 304 | |
Constellation Brands, Inc. Class A | 1,508 | 312 | |
Estee Lauder Cos., Inc. (The) Class A | 1,630 | 324 | |
Hostess Brands, Inc.(1) | 22,017 | 308 | |
Lancaster Colony Corp. | 2,140 | 297 | |
Monster Beverage Corp.(1) | 5,359 | 311 | |
Nomad Foods Ltd.(1) | 15,027 | 308 | |
PriceSmart, Inc. | 5,063 | 360 | |
Spectrum Brands Holdings, Inc. | 6,015 | 317 | |
Tootsie Roll Industries, Inc.(2) | 8,368 | 311 | |
3,470 | |||
Energy—4.8% | |||
Cheniere Energy, Inc.(1) | 4,713 | 297 | |
Continental Resources, Inc.(1) | 9,124 | 281 | |
CVR Energy, Inc. | 7,150 | 315 | |
Exterran Corp.(1) | 23,533 | 307 | |
Hess Corp. | 4,671 | 283 | |
Par Pacific Holdings, Inc.(1) | 13,820 | 316 | |
RPC, Inc.(2) | 54,400 | 305 | |
W&T Offshore, Inc.(1) | 61,747 | 270 | |
2,374 | |||
Financials—13.5% | |||
American Financial Group, Inc. | 2,865 | 309 |
Shares | Value | ||
Financials—continued | |||
Berkley (W.R.) Corp. | 4,338 | $313 | |
Berkshire Hathaway, Inc. Class B(1) | 1,483 | 309 | |
BOK Financial Corp. | 3,871 | 307 | |
Brown & Brown, Inc. | 8,604 | 310 | |
Charles Schwab Corp. (The) | 7,234 | 303 | |
Cohen & Steers, Inc. | 5,777 | 317 | |
Erie Indemnity Co. Class A | 1,521 | 282 | |
First Citizens BancShares, Inc. Class A | 649 | 306 | |
Franklin Resources, Inc. | 10,628 | 307 | |
Greenlight Capital Re Ltd. Class A(1) | 29,499 | 310 | |
Hilltop Holdings, Inc. | 12,655 | 302 | |
Interactive Brokers Group, Inc. Class A | 6,049 | 325 | |
Jefferies Financial Group, Inc. | 15,860 | 292 | |
Loews Corp. | 6,087 | 313 | |
Mercury General Corp. | 5,611 | 314 | |
Morningstar, Inc. | 1,965 | 287 | |
National General Holdings Corp. | 12,825 | 295 | |
PJT Partners, Inc. Class A | 7,412 | 302 | |
Raymond James Financial, Inc. | 3,642 | 300 | |
Third Point Reinsurance Ltd.(1) | 30,967 | 309 | |
Virtu Financial, Inc. Class A | 15,494 | 254 | |
6,666 | |||
Health Care—3.0% | |||
AquaBounty Technologies, Inc.(1)(2) | 106,036 | 265 | |
Bruker Corp. | 7,283 | 320 | |
Danaher Corp. | 2,174 | 314 | |
Intrexon Corp.(1)(2) | 49,913 | 286 | |
NantKwest, Inc.(1)(2) | 229,856 | 280 | |
1,465 | |||
Industrials—12.0% | |||
Air Lease Corp. | 7,195 | 301 | |
Cintas Corp. | 1,252 | 336 | |
Colfax Corp.(1) | 10,861 | 316 | |
Covanta Holding Corp. | 17,894 | 309 | |
FedEx Corp. | 2,074 | 302 | |
Fortive Corp. | 4,489 | 308 | |
Heartland Express, Inc. | 14,678 | 316 | |
Herc Holdings, Inc.(1) | 6,641 | 309 | |
Hertz Global Holdings, Inc.(1) | 22,364 | 309 | |
MasTec, Inc.(1) | 4,822 | 313 | |
MSC Industrial Direct Co., Inc. Class A | 4,454 | 323 | |
Navistar International Corp.(1) | 10,764 | 302 | |
Rollins, Inc. | 9,038 | 308 | |
Seaspan Corp.(2) | 27,463 | 292 | |
Timken Co. (The) | 7,013 | 305 | |
W.W. Grainger, Inc. | 1,067 | 317 | |
Welbilt, Inc.(1) | 18,056 | 304 | |
Werner Enterprises, Inc. | 9,089 | 321 |
Shares | Value | ||
Industrials—continued | |||
XPO Logistics, Inc.(1) | 4,249 | $304 | |
5,895 | |||
Information Technology—8.1% | |||
Amkor Technology, Inc.(1) | 34,150 | 311 | |
Anixter International, Inc.(1) | 4,676 | 323 | |
Conduent, Inc.(1) | 44,771 | 279 | |
EchoStar Corp. Class A(1) | 7,795 | 309 | |
Intuit, Inc. | 1,166 | 310 | |
Oracle Corp. | 5,949 | 327 | |
Paychex, Inc. | 3,778 | 313 | |
Pegasystems, Inc. | 4,326 | 294 | |
RealPage, Inc.(1) | 4,924 | 310 | |
salesforce.com, Inc.(1) | 2,049 | 304 | |
SS&C Technologies Holdings, Inc. | 6,209 | 320 | |
TTEC Holdings, Inc. | 6,312 | 302 | |
Xerox Holdings Corp. | 10,219 | 306 | |
4,008 | |||
Materials—5.0% | |||
Element Solutions, Inc.(1) | 29,614 | 301 | |
LyondellBasell Industries NV Class A | 3,536 | 316 | |
NewMarket Corp. | 681 | 322 | |
Novagold Resources, Inc.(1) | 50,604 | 307 | |
Scotts Miracle-Gro Co. (The) | 3,062 | 312 | |
Silgan Holdings, Inc. | 10,536 | 316 | |
TimkenSteel Corp.(1) | 44,314 | 279 | |
Westlake Chemical Corp. | 4,838 | 317 | |
2,470 | |||
Real Estate—8.9% | |||
American Homes 4 Rent Class A | 12,539 | 325 | |
Colony Capital, Inc. | 55,189 | 332 |
Shares | Value | ||
Real Estate—continued | |||
Equity LifeStyle Properties, Inc. | 2,343 | $313 | |
Equity Residential | 3,666 | 316 | |
Gaming and Leisure Properties, Inc. | 8,064 | 309 | |
Host Hotels & Resorts, Inc. | 18,063 | 312 | |
Howard Hughes Corp. (The)(1) | 2,408 | 312 | |
JBG SMITH Properties | 7,957 | 312 | |
Marcus & Millichap, Inc.(1) | 8,460 | 300 | |
Seritage Growth Properties Class A | 7,158 | 304 | |
Simon Property Group, Inc. | 2,008 | 312 | |
Taubman Centers, Inc. | 7,493 | 306 | |
Urban Edge Properties | 16,164 | 320 | |
Vornado Realty Trust | 4,969 | 317 | |
4,390 | |||
Total Common Stocks (Identified Cost $36,505) | 49,416 | ||
Total Long-Term Investments—100.2% (Identified Cost $36,505) | 49,416 | ||
Securities Lending Collateral—5.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(3)(4) | 2,587,553 | 2,588 | |
Total Securities Lending Collateral (Identified Cost $2,588) | 2,588 | ||
Value | ||
TOTAL INVESTMENTS—105.5% (Identified Cost $39,093) | $52,004 | |
Other assets and liabilities, net—(5.5)% | (2,699) | |
NET ASSETS—100.0% | $49,305 |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | All or a portion of security is on loan. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(4) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 94% |
Canada | 2 |
Bermuda | 1 |
Netherlands | 1 |
Cayman Islands | 1 |
Virgin Islands(British) | 1 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $49,416 | $49,416 | |
Securities Lending Collateral | 2,588 | 2,588 | |
Total Investments | $52,004 | $52,004 |
September 30, 2019
Shares | Value | ||
Common Stocks—90.9% | |||
Communication Services—22.0% | |||
58.com, Inc. ADR (China)(1) | 66,637 | $3,286 | |
Addcn Technology Co., Ltd. (Taiwan) | 469,000 | 3,734 | |
Auto Trader Group plc (United Kingdom) | 457,250 | 2,867 | |
Autohome, Inc. ADR (China)(1) | 37,711 | 3,135 | |
carsales.com Ltd. (Australia) | 222,608 | 2,297 | |
Pico Far East Holdings Ltd. (Hong Kong) | 3,224,780 | 1,020 | |
Sarana Menara Nusantara Tbk PT (Indonesia) | 55,820,800 | 2,576 | |
Sea Ltd. ADR (Thailand)(1) | 110,600 | 3,423 | |
Wirtualna Polska Holding SA (Poland) | 165,290 | 2,762 | |
25,100 | |||
Consumer Discretionary—10.5% | |||
Ace Hardware Indonesia Tbk PT (Indonesia) | 21,065,500 | 2,627 | |
Baozun, Inc. Sponsored ADR (China)(1) | 66,716 | 2,849 | |
Fila Korea Ltd. (South Korea) | 36,011 | 1,743 | |
Samyang Optics Co., Ltd. (South Korea) | 115,390 | 1,254 | |
Union Auction PCL (Thailand) | 12,000,000 | 3,492 | |
11,965 | |||
Consumer Staples—11.4% | |||
Compania Cervecerias Unidas SA Sponsored ADR (Chile) | 103,903 | 2,306 | |
Distell Group Holdings Ltd. (South Africa) | 314,150 | 2,821 | |
Heineken Malaysia Bhd (Malaysia) | 616,200 | 3,532 | |
Taisun International Holding Corp. (Taiwan) | 869,074 | 3,515 | |
Union de Cervecerias Peruanas Backus y Johnston SAA Foreign Shares Class I (Peru) | 123,200 | 866 | |
13,040 | |||
Financials—7.5% | |||
CARE Ratings Ltd. (India) | 140,887 | 1,031 | |
Tisco Financial Group PCL Foreign Shares (Thailand) | 528,900 | 1,772 |
Shares | Value | ||
Financials—continued | |||
Vostok New Ventures Ltd. SDR (Sweden)(1) | 853,542 | $5,766 | |
8,569 | |||
Health Care—1.5% | |||
Riverstone Holdings Ltd. (Singapore) | 2,446,000 | 1,690 | |
Industrials—26.6% | |||
104 Corp. (Taiwan) | 275,000 | 1,471 | |
51job, Inc. ADR (China)(1) | 42,061 | 3,113 | |
HeadHunter Group plc ADR (Russia) | 313,142 | 6,041 | |
Kerry TJ Logistics Co., Ltd. (Taiwan) | 2,810,000 | 3,297 | |
Lumax International Corp., Ltd. (Taiwan) | 618,379 | 1,630 | |
NICE Information Service Co. Ltd. (South Korea) | 253,600 | 2,788 | |
S-1 Corp. (South Korea) | 30,511 | 2,502 | |
SaraminHR Co. Ltd. (South Korea) | 42,689 | 985 | |
Sporton International Inc. (Taiwan) | 436,720 | 2,844 | |
Taiwan Secom Co., Ltd. (Taiwan) | 796,874 | 2,260 | |
Voltronic Power Technology Corp. (Taiwan) | 163,500 | 3,373 | |
30,304 | |||
Information Technology—7.3% | |||
Douzone Bizon Co., Ltd. (South Korea) | 63,339 | 3,463 | |
Humanica PCL Foreign Shares (Thailand) | 8,849,700 | 2,373 | |
TOTVS SA (Brazil) | 180,326 | 2,507 | |
8,343 | |||
Materials—4.1% | |||
Corp. Moctezuma SAB de C.V. (Mexico) | 1,148,083 | 3,312 | |
Sniezka SA (Poland) | 82,183 | 1,342 | |
4,654 | |||
Total Common Stocks (Identified Cost $95,344) | 103,665 | ||
Total Long-Term Investments—90.9% (Identified Cost $95,344) | 103,665 | ||
Shares | Value | ||
Short-Term Investment—8.8% | |||
Money Market Mutual Fund—8.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(2) | 10,024,289 | $10,024 | |
Total Short-Term Investment (Identified Cost $10,024) | 10,024 | ||
TOTAL INVESTMENTS—99.7% (Identified Cost $105,368) | $113,689 | ||
Other assets and liabilities, net—0.3% | 323 | ||
NET ASSETS—100.0% | $114,012 |
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 (Unaudited)† | |
Taiwan | 19% |
South Korea | 11 |
China | 11 |
Thailand | 10 |
United States | 9 |
Russia | 5 |
Sweden | 5 |
Other | 30 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $103,665 | $103,665 | |
Money Market Mutual Fund | 10,024 | 10,024 | |
Total Investments | $113,689 | $113,689 |
September 30, 2019
Shares | Value | ||
Common Stocks—90.2% | |||
Communication Services—26.3% | |||
Addcn Technology Co., Ltd. (Taiwan) | 2,497,000 | $19,880 | |
Ascential plc (United Kingdom) | 10,906,662 | 50,825 | |
Auto Trader Group plc (United Kingdom) | 12,246,060 | 76,791 | |
Autohome, Inc. ADR (China)(1) | 501,717 | 41,708 | |
carsales.com Ltd. (Australia) | 2,461,602 | 25,404 | |
CTS Eventim AG & Co. KGaA (Germany) | 389,600 | 21,954 | |
MarkLines Co., Ltd. (Japan) | 239,200 | 3,995 | |
REA Group Ltd. (Australia) | 351,690 | 25,688 | |
Rightmove plc (United Kingdom) | 11,621,210 | 78,674 | |
Scout24 AG (Germany) | 973,575 | 55,498 | |
400,417 | |||
Consumer Discretionary—1.9% | |||
Asante, Inc. (Japan) | 260,000 | 4,740 | |
GoCo Group plc (United Kingdom) | 763,792 | 756 | |
Goldlion Holdings Ltd. (Hong Kong) | 30,226,816 | 9,834 | |
Moneysupermarket.com Group plc (United Kingdom) | 2,912,934 | 13,553 | |
28,883 | |||
Consumer Staples—2.4% | |||
Heineken Malaysia Bhd (Malaysia) | 4,725,700 | 27,088 | |
Taisun International Holding Corp. (Taiwan) | 2,280,626 | 9,225 | |
36,313 | |||
Energy—3.4% | |||
Computer Modelling Group Ltd. (Canada) | 5,150,990 | 23,756 | |
Pason Systems, Inc. (Canada) | 2,273,270 | 27,711 | |
51,467 | |||
Financials—14.1% | |||
CARE Ratings Ltd. (India) | 1,051,451 | 7,693 | |
Euroz Ltd. (Australia) | 6,082,168 | 4,105 | |
Gruppo Mutuionline SpA (Italy) | 1,658,016 | 29,818 | |
Korea Ratings Corp. (South Korea) | 61,420 | 3,174 |
Shares | Value | ||
Financials—continued | |||
Mortgage Advice Bureau Holdings Ltd. (United Kingdom) | 6,544,976 | $44,582 | |
Numis Corp. plc (United Kingdom) | 5,214,997 | 14,620 | |
Sabre Insurance Group plc (United Kingdom) | 13,736,973 | 49,826 | |
Vostok New Ventures Ltd. SDR (Sweden)(1) | 8,912,828 | 60,209 | |
214,027 | |||
Health Care—3.0% | |||
Haw Par Corp., Ltd. (Singapore) | 4,781,019 | 46,283 | |
Industrials—26.8% | |||
AIT Corp. (Japan) | 918,500 | 8,095 | |
Asiakastieto Group Oyj (Finland) | 1,058,191 | 30,795 | |
en-japan, Inc. (Japan) | 1,244,200 | 47,582 | |
Golden Friends Corp. (Taiwan) | 4,932,000 | 9,268 | |
Haitian International Holdings Ltd. (Hong Kong) | 18,848,000 | 38,621 | |
HeadHunter Group plc ADR (Russia) | 3,895,982 | 75,153 | |
Howden Joinery Group plc (United Kingdom) | 4,537,100 | 31,262 | |
Hy-Lok Corp. (South Korea) | 674,759 | 10,239 | |
JOST Werke AG (Germany) | 1,031,288 | 29,619 | |
Kerry TJ Logistics Co., Ltd. (Taiwan) | 13,140,000 | 15,417 | |
Lumax International Corp., Ltd. (Taiwan) | 7,818,259 | 20,614 | |
Rotork plc (United Kingdom) | 1,221,115 | 4,677 | |
SJR in Scandinavia AB Class B (Sweden) | 1,625,740 | 4,475 | |
VAT Group AG (Switzerland) | 322,500 | 40,666 | |
WABCO Holdings, Inc. (United States)(1) | 307,100 | 41,075 | |
407,558 | |||
Information Technology—10.1% | |||
Alten SA (France) | 419,453 | 47,913 | |
Bouvet ASA (Norway) | 998,491 | 33,145 | |
Douzone Bizon Co., Ltd. (South Korea) | 732,460 | 40,048 | |
e-Credible Co., Ltd. (South Korea) | 390,500 | 5,974 | |
Fortnox AB (Sweden) | 471,333 | 7,910 | |
SimCorp A/S (Denmark) | 92,233 | 8,099 |
Shares | Value | ||
Information Technology—continued | |||
Webstep AS (Norway) | 3,831,491 | $9,939 | |
153,028 | |||
Materials—2.2% | |||
Corp. Moctezuma SAB de C.V. (Mexico) | 7,404,046 | 21,359 | |
Sniezka SA (Poland) | 751,375 | 12,273 | |
33,632 | |||
Total Common Stocks (Identified Cost $1,322,231) | 1,371,608 | ||
Total Long-Term Investments—90.2% (Identified Cost $1,322,231) | 1,371,608 | ||
Short-Term Investment—8.5% | |||
Money Market Mutual Fund—8.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(2) | 129,901,209 | 129,901 | |
Total Short-Term Investment (Identified Cost $129,901) | 129,901 | ||
TOTAL INVESTMENTS—98.7% (Identified Cost $1,452,132) | $1,501,509 | ||
Other assets and liabilities, net—1.3% | 20,077 | ||
NET ASSETS—100.0% | $1,521,586 |
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 (Unaudited)† | |
United Kingdom | 24% |
United States | 11 |
Germany | 7 |
Russia | 5 |
Taiwan | 5 |
Sweden | 5 |
Japan | 4 |
Other | 39 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $1,371,608 | $1,371,608 | |
Money Market Mutual Fund | 129,901 | 129,901 | |
Total Investments | $1,501,509 | $1,501,509 |
September 30, 2019
Shares | Value | ||
Affiliated Mutual Funds(1)—52.2% | |||
Equity Funds—43.4% | |||
Virtus Duff & Phelps Global Infrastructure Fund Class R6 | 398,025 | $6,476 | |
Virtus Duff & Phelps Global Real Estate Securities Fund Class I | 111,001 | 3,811 | |
Virtus Duff & Phelps International Real Estate Securities Fund Class I | 495,649 | 3,930 | |
Virtus Duff & Phelps Real Estate Securities Fund Class I | 103,113 | 2,710 | |
16,927 | |||
Fixed Income Fund—8.8% | |||
Virtus Newfleet Senior Floating Rate Fund Class I | 378,835 | 3,447 | |
Total Affiliated Mutual Funds (Identified Cost $13,160) | 20,374 | ||
Shares | Value | ||
Exchange-Traded Funds(1)—46.0% | |||
Invesco DB Commodity Index Tracking Fund | 355,722 | $5,350 | |
Invesco DB G10 Currency Harvest Fund | 160,646 | 3,933 | |
iShares S&P North American Natural Resources Sector ETF | 220,898 | 6,424 | |
VanEck Vectors Agribusiness ETF | 22,404 | 1,475 | |
VanEck Vectors Coal ETF | 72,790 | 791 | |
Total Exchange-Traded Funds (Identified Cost $17,094) | 17,973 | ||
Total Long-Term Investments—98.2% (Identified Cost $30,254) | 38,347 | ||
TOTAL INVESTMENTS—98.2% (Identified Cost $30,254) | $38,347 | ||
Other assets and liabilities, net—1.8% | 694 | ||
NET ASSETS—100.0% | $39,041 |
Abbreviation: | |
ETF | Exchange-Traded Fund |
Footnote Legend: | |
(1) | Shares of these funds are publicly offered, and the prospectus and annual reports of each are publicly available. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Exchange-Traded Funds | $17,973 | $17,973 | |
Affiliated Mutual Funds | 20,374 | 20,374 | |
Total Investments | $38,347 | $38,347 |
September 30, 2019
Shares | Value | ||
Common Stocks—98.9% | |||
Communication Services—4.8% | |||
Alphabet, Inc. Class A(1) | 1,239 | $1,513 | |
Alphabet, Inc. Class C(1) | 1,249 | 1,522 | |
Charter Communications, Inc. Class A(1) | 2,874 | 1,184 | |
Comcast Corp. Class A | 80,768 | 3,641 | |
DISH Network Corp. Class A(1) | 4,286 | 146 | |
Facebook, Inc. Class A(1) | 9,926 | 1,768 | |
Netflix, Inc.(1) | 6,050 | 1,619 | |
TripAdvisor, Inc.(1) | 432 | 17 | |
Twitter, Inc.(1) | 3,180 | 131 | |
Viacom, Inc. Class B | 4,877 | 117 | |
Walt Disney Co. (The) | 24,882 | 3,243 | |
14,901 | |||
Consumer Discretionary—17.6% | |||
Advance Auto Parts, Inc. | 4,271 | 706 | |
Amazon.com, Inc.(1) | 2,425 | 4,210 | |
AutoZone, Inc.(1) | 1,470 | 1,594 | |
Booking Holdings, Inc.(1) | 248 | 487 | |
CarMax, Inc.(1) | 9,894 | 871 | |
Carnival Corp. | 18,529 | 810 | |
Chipotle Mexican Grill, Inc.(1) | 374 | 314 | |
Darden Restaurants, Inc. | 1,790 | 212 | |
Dollar General Corp. | 10,407 | 1,654 | |
Dollar Tree, Inc.(1) | 9,555 | 1,091 | |
eBay, Inc. | 4,567 | 178 | |
Expedia Group, Inc. | 812 | 109 | |
Gap, Inc. (The) | 9,172 | 159 | |
Garmin Ltd. | 58,354 | 4,942 | |
Hasbro, Inc. | 41,652 | 4,944 | |
Hilton Worldwide Holdings, Inc. | 13,345 | 1,242 | |
Home Depot, Inc. (The) | 16,078 | 3,730 | |
Horton (D.R.), Inc. | 30,330 | 1,599 | |
L Brands, Inc. | 9,991 | 196 | |
Lennar Corp. Class A | 25,615 | 1,431 | |
Lowe’s Cos., Inc. | 11,361 | 1,249 | |
Marriott International, Inc. Class A | 12,636 | 1,571 | |
McDonald’s Corp. | 11,139 | 2,392 | |
NIKE, Inc. Class B | 53,362 | 5,012 | |
Norwegian Cruise Line Holdings Ltd.(1) | 9,987 | 517 | |
NVR, Inc.(1) | 310 | 1,152 | |
O’Reilly Automotive, Inc.(1) | 4,568 | 1,820 | |
PulteGroup, Inc. | 23,245 | 850 | |
Ross Stores, Inc. | 15,736 | 1,729 | |
Royal Caribbean Cruises Ltd. | 7,974 | 864 | |
Starbucks Corp. | 17,604 | 1,556 | |
Target Corp. | 20,662 | 2,209 | |
TJX Cos., Inc. (The) | 52,013 | 2,899 | |
Yum! Brands, Inc. | 4,466 | 507 | |
54,806 | |||
Shares | Value | ||
Consumer Staples—9.6% | |||
Brown-Forman Corp. Class B | 19,741 | $1,239 | |
Church & Dwight Co., Inc. | 2,656 | 200 | |
Clorox Co. (The) | 1,360 | 207 | |
Coca-Cola Co. (The) | 45,193 | 2,460 | |
Colgate-Palmolive Co. | 9,188 | 675 | |
Constellation Brands, Inc. Class A | 17,988 | 3,729 | |
Costco Wholesale Corp. | 7,355 | 2,119 | |
Coty, Inc. Class A | 31,652 | 333 | |
Estee Lauder Cos., Inc. (The) Class A | 23,540 | 4,683 | |
Kimberly-Clark Corp. | 3,701 | 526 | |
Monster Beverage Corp.(1) | 4,515 | 262 | |
PepsiCo, Inc. | 16,389 | 2,247 | |
Procter & Gamble Co. (The) | 26,790 | 3,332 | |
Sysco Corp. | 62,684 | 4,977 | |
Walmart, Inc. | 23,826 | 2,828 | |
29,817 | |||
Financials—7.9% | |||
Allstate Corp. (The) | 7,265 | 790 | |
American Express Co. | 19,797 | 2,342 | |
Aon plc | 8,489 | 1,643 | |
Bank of America Corp. | 38,847 | 1,133 | |
Capital One Financial Corp. | 13,653 | 1,242 | |
Chubb Ltd. | 10,090 | 1,629 | |
Cincinnati Financial Corp. | 3,362 | 392 | |
Citigroup, Inc. | 10,493 | 725 | |
Discover Financial Services | 9,222 | 748 | |
Everest Re Group Ltd. | 18,587 | 4,946 | |
Gallagher (Arthur J.) & Co. | 6,678 | 598 | |
JPMorgan Chase & Co. | 14,790 | 1,741 | |
Loews Corp. | 5,758 | 296 | |
Marsh & McLennan Cos., Inc. | 18,209 | 1,822 | |
Progressive Corp. (The) | 12,946 | 1,000 | |
Synchrony Financial | 17,677 | 603 | |
Travelers Cos., Inc. (The) | 5,774 | 858 | |
U.S. Bancorp | 6,701 | 371 | |
Wells Fargo & Co. | 18,666 | 941 | |
Willis Towers Watson plc | 4,542 | 876 | |
24,696 | |||
Health Care—8.0% | |||
Abbott Laboratories | 10,428 | 872 | |
ABIOMED, Inc.(1) | 268 | 48 | |
Agilent Technologies, Inc. | 6,076 | 466 | |
Anthem, Inc. | 3,842 | 922 | |
Baxter International, Inc. | 3,002 | 263 | |
Becton, Dickinson & Co. | 1,585 | 401 | |
Boston Scientific Corp.(1) | 8,211 | 334 | |
Centene Corp.(1) | 6,194 | 268 | |
Cerner Corp. | 72,409 | 4,936 | |
Danaher Corp. | 3,755 | 542 | |
Edwards Lifesciences Corp.(1) | 1,231 | 271 | |
HCA Healthcare, Inc. | 30,353 | 3,655 | |
Hologic, Inc.(1) | 1,571 | 79 | |
Humana, Inc. | 2,023 | 517 |
Shares | Value | ||
Health Care—continued | |||
IDEXX Laboratories, Inc.(1) | 509 | $138 | |
Illumina, Inc.(1) | 2,888 | 879 | |
Intuitive Surgical, Inc.(1) | 677 | 366 | |
IQVIA Holdings, Inc.(1) | 3,585 | 536 | |
Medtronic plc | 7,889 | 857 | |
Mettler-Toledo International, Inc.(1) | 483 | 340 | |
PerkinElmer, Inc. | 2,179 | 186 | |
ResMed, Inc. | 848 | 115 | |
Stryker Corp. | 1,888 | 408 | |
Teleflex, Inc. | 271 | 92 | |
Thermo Fisher Scientific, Inc. | 7,876 | 2,294 | |
UnitedHealth Group, Inc. | 14,264 | 3,100 | |
Universal Health Services, Inc. Class B | 9,215 | 1,371 | |
Varian Medical Systems, Inc.(1) | 539 | 64 | |
Waters Corp.(1) | 1,308 | 292 | |
WellCare Health Plans, Inc.(1) | 754 | 195 | |
Zimmer Biomet Holdings, Inc. | 1,205 | 165 | |
24,972 | |||
Industrials—11.1% | |||
Arconic, Inc. | 2,854 | 74 | |
Boeing Co. (The) | 3,941 | 1,499 | |
Cintas Corp. | 10,730 | 2,877 | |
Copart, Inc.(1) | 26,046 | 2,092 | |
CSX Corp. | 17,030 | 1,180 | |
Deere & Co. | 29,557 | 4,986 | |
Dover Corp. | 3,535 | 352 | |
Fastenal Co. | 68,657 | 2,243 | |
Flowserve Corp. | 3,194 | 149 | |
Fortive Corp. | 7,164 | 491 | |
General Dynamics Corp. | 1,724 | 315 | |
Huntington Ingalls Industries, Inc. | 304 | 64 | |
IDEX Corp. | 1,849 | 303 | |
Illinois Tool Works, Inc. | 7,155 | 1,120 | |
Ingersoll-Rand plc | 5,861 | 722 | |
Kansas City Southern | 2,155 | 287 | |
L3Harris Technologies, Inc. | 1,640 | 342 | |
Lockheed Martin Corp. | 1,830 | 714 | |
Norfolk Southern Corp. | 5,618 | 1,009 | |
Northrop Grumman Corp. | 1,157 | 434 | |
Parker-Hannifin Corp. | 3,115 | 563 | |
Pentair plc | 4,097 | 155 | |
Raytheon Co. | 2,061 | 404 | |
Republic Services, Inc. | 15,618 | 1,352 | |
Rollins, Inc. | 10,346 | 352 | |
Snap-on, Inc. | 1,338 | 209 | |
Stanley Black & Decker, Inc. | 3,691 | 533 | |
Textron, Inc. | 1,694 | 83 | |
TransDigm Group, Inc. | 366 | 191 | |
Union Pacific Corp. | 15,005 | 2,431 | |
United Rentals, Inc.(1) | 9,279 | 1,157 | |
United Technologies Corp. | 5,978 | 816 |
Shares | Value | ||
Industrials—continued | |||
W.W. Grainger, Inc. | 5,312 | $1,578 | |
Waste Management, Inc. | 28,708 | 3,301 | |
Xylem, Inc. | 4,369 | 348 | |
34,726 | |||
Information Technology—17.6% | |||
Adobe, Inc.(1) | 5,550 | 1,533 | |
Advanced Micro Devices, Inc.(1) | 6,271 | 182 | |
Akamai Technologies, Inc.(1) | 23,682 | 2,164 | |
Alliance Data Systems Corp. | 201 | 26 | |
Amphenol Corp. Class A | 28,924 | 2,791 | |
Analog Devices, Inc. | 2,124 | 237 | |
ANSYS, Inc.(1) | 959 | 212 | |
Apple, Inc. | 20,272 | 4,540 | |
Applied Materials, Inc. | 43,715 | 2,181 | |
Arista Networks, Inc.(1) | 1,013 | 242 | |
Autodesk, Inc.(1) | 2,496 | 369 | |
Automatic Data Processing, Inc. | 2,124 | 343 | |
Broadcom, Inc. | 2,296 | 634 | |
Broadridge Financial Solutions, Inc. | 561 | 70 | |
Cadence Design Systems, Inc.(1) | 3,190 | 211 | |
Cisco Systems, Inc. | 78,579 | 3,883 | |
Citrix Systems, Inc. | 1,395 | 135 | |
Corning, Inc. | 76,333 | 2,177 | |
F5 Networks, Inc.(1) | 1,119 | 157 | |
Fidelity National Information Services, Inc. | 3,011 | 400 | |
Fiserv, Inc.(1) | 2,795 | 290 | |
FleetCor Technologies, Inc.(1) | 425 | 122 | |
FLIR Systems, Inc. | 26,434 | 1,390 | |
Fortinet, Inc.(1) | 588 | 45 | |
Global Payments, Inc. | 1,474 | 234 | |
Hewlett Packard Enterprise Co. | 6,296 | 96 | |
HP, Inc. | 7,078 | 134 | |
Intel Corp. | 25,515 | 1,315 | |
Intuit, Inc. | 2,966 | 789 | |
IPG Photonics Corp.(1) | 4,859 | 659 | |
Jack Henry & Associates, Inc. | 377 | 55 | |
Juniper Networks, Inc. | 6,437 | 159 | |
Keysight Technologies, Inc.(1) | 36,651 | 3,564 | |
KLA Corp. | 7,529 | 1,201 | |
Lam Research Corp. | 6,880 | 1,590 | |
Mastercard, Inc. Class A | 4,359 | 1,184 | |
Maxim Integrated Products, Inc. | 1,565 | 91 | |
Microchip Technology, Inc. | 1,375 | 128 | |
Micron Technology, Inc.(1) | 6,408 | 275 | |
Microsoft Corp. | 31,486 | 4,377 | |
Motorola Solutions, Inc. | 3,088 | 526 |
Shares | Value | ||
Information Technology—continued | |||
NetApp, Inc. | 1,178 | $62 | |
NVIDIA Corp. | 3,508 | 611 | |
Oracle Corp. | 9,065 | 499 | |
Paychex, Inc. | 1,564 | 129 | |
PayPal Holdings, Inc.(1) | 5,756 | 596 | |
Qorvo, Inc.(1) | 677 | 50 | |
QUALCOMM, Inc. | 7,058 | 538 | |
salesforce.com, Inc.(1) | 10,028 | 1,489 | |
Seagate Technology plc | 1,140 | 61 | |
Skyworks Solutions, Inc. | 985 | 78 | |
Symantec Corp. | 2,353 | 56 | |
Synopsys, Inc.(1) | 1,703 | 234 | |
TE Connectivity Ltd. | 46,226 | 4,307 | |
Texas Instruments, Inc. | 5,389 | 696 | |
VeriSign, Inc.(1) | 15,044 | 2,838 | |
Visa, Inc. Class A | 8,475 | 1,458 | |
Western Digital Corp. | 1,433 | 85 | |
Western Union Co. (The) | 2,082 | 48 | |
Xerox Holdings Corp. | 915 | 27 | |
Xilinx, Inc. | 1,463 | 140 | |
54,713 | |||
Materials—8.0% | |||
Air Products & Chemicals, Inc. | 7,252 | 1,609 | |
Albemarle Corp. | 2,494 | 173 | |
Ball Corp. | 68,058 | 4,955 | |
Celanese Corp. | 2,920 | 357 | |
DuPont de Nemours, Inc. | 17,553 | 1,252 | |
Ecolab, Inc. | 5,898 | 1,168 | |
International Flavors & Fragrances, Inc. | 2,511 | 308 | |
Linde plc | 17,478 | 3,386 | |
Martin Marietta Materials, Inc. | 8,423 | 2,309 | |
Newmont Goldcorp Corp. | 131,575 | 4,989 | |
PPG Industries, Inc. | 5,557 | 659 | |
Sherwin-Williams Co. (The) | 1,932 | 1,062 | |
Vulcan Materials Co. | 17,819 | 2,695 | |
24,922 | |||
Real Estate—7.9% | |||
American Tower Corp. | 6,457 | 1,428 | |
Apartment Investment & Management Co. Class A | 6,248 | 326 | |
AvalonBay Communities, Inc. | 5,857 | 1,261 | |
CBRE Group, Inc. Class A(1) | 92,929 | 4,926 | |
Crown Castle International Corp. | 6,043 | 840 | |
Digital Realty Trust, Inc. | 3,051 | 396 | |
Duke Realty Corp. | 26,967 | 916 | |
Equinix, Inc. | 1,240 | 715 | |
Equity Residential | 14,597 | 1,259 | |
Essex Property Trust, Inc. | 2,756 | 900 | |
Extra Space Storage, Inc. | 1,883 | 220 | |
HCP, Inc. | 29,876 | 1,064 | |
Iron Mountain, Inc. | 4,190 | 136 |
Shares | Value | ||
Real Estate—continued | |||
Mid-America Apartment Communities, Inc. | 4,787 | $622 | |
Prologis, Inc. | 46,991 | 4,005 | |
Public Storage | 2,193 | 538 | |
SBA Communications, Corp. | 1,635 | 394 | |
UDR, Inc. | 12,253 | 594 | |
Ventas, Inc. | 22,837 | 1,668 | |
Welltower, Inc. | 24,641 | 2,234 | |
Weyerhaeuser Co. | 10,853 | 301 | |
24,743 | |||
Utilities—6.4% | |||
AES Corp. | 157,553 | 2,574 | |
Alliant Energy Corp. | 2,162 | 117 | |
Ameren Corp. | 4,235 | 339 | |
American Electric Power Co., Inc. | 4,509 | 422 | |
American Water Works Co., Inc. | 39,720 | 4,934 | |
CenterPoint Energy, Inc. | 8,623 | 260 | |
CMS Energy Corp. | 4,881 | 312 | |
Consolidated Edison, Inc. | 5,710 | 539 | |
Dominion Energy, Inc. | 14,160 | 1,148 | |
DTE Energy Co. | 3,159 | 420 | |
Duke Energy Corp. | 6,651 | 638 | |
Edison International | 3,265 | 246 | |
Entergy Corp. | 1,818 | 213 | |
Evergy, Inc. | 2,148 | 143 | |
Eversource Energy | 2,945 | 252 | |
Exelon Corp. | 8,874 | 429 | |
FirstEnergy Corp. | 4,929 | 238 | |
NextEra Energy, Inc. | 4,434 | 1,033 | |
NiSource, Inc. | 6,445 | 193 | |
NRG Energy, Inc. | 60,189 | 2,383 | |
Pinnacle West Capital Corp. | 1,025 | 100 | |
PPL Corp. | 6,578 | 207 | |
Public Service Enterprise Group, Inc. | 8,717 | 541 | |
Sempra Energy | 4,700 | 694 | |
Southern Co. (The) | 9,533 | 589 | |
WEC Energy Group, Inc. | 5,427 | 516 | |
Xcel Energy, Inc. | 4,817 | 313 | |
19,793 | |||
Total Common Stocks (Identified Cost $269,974) | 308,089 | ||
Total Long-Term Investments—98.9% (Identified Cost $269,974) | 308,089 | ||
TOTAL INVESTMENTS—98.9% (Identified Cost $269,974) | $308,089 | ||
Other assets and liabilities, net—1.1% | 3,293 | ||
NET ASSETS—100.0% | $311,382 |
Footnote Legend: | |
(1) | Non-income producing. |
Country Weightings (Unaudited)† | |
United States | 92% |
Switzerland | 3 |
Bermuda | 2 |
Ireland | 2 |
United Kingdom | 1 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $308,089 | $308,089 | |
Total Investments | $308,089 | $308,089 |
September 30, 2019
Shares | Value | ||
Common Stocks—35.6% | |||
Communication Services—1.7% | |||
Alphabet, Inc. Class A(1) | 72 | $88 | |
Alphabet, Inc. Class C(1) | 72 | 88 | |
Charter Communications, Inc. Class A(1) | 166 | 68 | |
Comcast Corp. Class A | 4,659 | 210 | |
DISH Network Corp. Class A(1) | 247 | 8 | |
Facebook, Inc. Class A(1) | 572 | 102 | |
Netflix, Inc.(1) | 347 | 93 | |
TripAdvisor, Inc.(1) | 25 | 1 | |
Twitter, Inc.(1) | 184 | 8 | |
Viacom, Inc. Class B | 280 | 7 | |
Walt Disney Co. (The) | 1,436 | 187 | |
860 | |||
Consumer Discretionary—6.3% | |||
Advance Auto Parts, Inc. | 244 | 40 | |
Amazon.com, Inc.(1) | 141 | 245 | |
AutoZone, Inc.(1) | 84 | 91 | |
Booking Holdings, Inc.(1) | 14 | 27 | |
CarMax, Inc.(1) | 567 | 50 | |
Carnival Corp. | 1,069 | 47 | |
Chipotle Mexican Grill, Inc.(1) | 21 | 18 | |
Darden Restaurants, Inc. | 103 | 12 | |
Dollar General Corp. | 597 | 95 | |
Dollar Tree, Inc.(1) | 547 | 62 | |
eBay, Inc. | 264 | 10 | |
Expedia Group, Inc. | 47 | 6 | |
Gap, Inc. (The) | 526 | 9 | |
Garmin Ltd. | 3,374 | 286 | |
Hasbro, Inc. | 2,382 | 283 | |
Hilton Worldwide Holdings, Inc. | 768 | 72 | |
Home Depot, Inc. (The) | 926 | 215 | |
Horton (D.R.), Inc. | 1,745 | 92 | |
L Brands, Inc. | 569 | 11 | |
Lennar Corp. Class A | 1,469 | 82 | |
Lowe’s Cos., Inc. | 653 | 72 | |
Marriott International, Inc. Class A | 726 | 90 | |
McDonald’s Corp. | 642 | 138 | |
NIKE, Inc. Class B | 3,071 | 288 | |
Norwegian Cruise Line Holdings Ltd.(1) | 576 | 30 | |
NVR, Inc.(1) | 18 | 67 | |
O’Reilly Automotive, Inc.(1) | 261 | 104 | |
PulteGroup, Inc. | 1,334 | 49 | |
Ross Stores, Inc. | 903 | 99 | |
Royal Caribbean Cruises Ltd. | 457 | 49 | |
Starbucks Corp. | 1,015 | 90 | |
Target Corp. | 1,181 | 126 | |
TJX Cos., Inc. (The) | 2,971 | 166 | |
Yum! Brands, Inc. | 256 | 29 | |
3,150 | |||
Consumer Staples—3.4% | |||
Brown-Forman Corp. Class B | 1,137 | 71 | |
Church & Dwight Co., Inc. | 153 | 11 |
Shares | Value | ||
Consumer Staples—continued | |||
Clorox Co. (The) | 78 | $12 | |
Coca-Cola Co. (The) | 2,606 | 142 | |
Colgate-Palmolive Co. | 529 | 39 | |
Constellation Brands, Inc. Class A | 1,038 | 215 | |
Costco Wholesale Corp. | 423 | 122 | |
Coty, Inc. Class A | 1,805 | 19 | |
Estee Lauder Cos., Inc. (The) Class A | 1,346 | 268 | |
Kimberly-Clark Corp. | 213 | 30 | |
Monster Beverage Corp.(1) | 260 | 15 | |
PepsiCo, Inc. | 941 | 129 | |
Procter & Gamble Co. (The) | 1,544 | 192 | |
Sysco Corp. | 3,612 | 287 | |
Walmart, Inc. | 1,370 | 163 | |
1,715 | |||
Financials—2.9% | |||
Allstate Corp. (The) | 419 | 46 | |
American Express Co. | 1,136 | 134 | |
Aon plc | 489 | 95 | |
Bank of America Corp. | 2,247 | 66 | |
Capital One Financial Corp. | 789 | 72 | |
Chubb Ltd. | 582 | 94 | |
Cincinnati Financial Corp. | 194 | 23 | |
Citigroup, Inc. | 605 | 42 | |
Discover Financial Services | 531 | 43 | |
Everest Re Group Ltd. | 1,076 | 286 | |
Gallagher (Arthur J.) & Co. | 385 | 34 | |
JPMorgan Chase & Co. | 854 | 100 | |
Loews Corp. | 332 | 17 | |
Marsh & McLennan Cos., Inc. | 1,049 | 105 | |
Progressive Corp. (The) | 746 | 58 | |
Synchrony Financial | 1,017 | 35 | |
Travelers Cos., Inc. (The) | 332 | 49 | |
U.S. Bancorp | 384 | 21 | |
Wells Fargo & Co. | 1,081 | 54 | |
Willis Towers Watson plc | 266 | 51 | |
1,425 | |||
Health Care—2.9% | |||
Abbott Laboratories | 593 | 50 | |
ABIOMED, Inc.(1) | 15 | 3 | |
Agilent Technologies, Inc. | 349 | 27 | |
Anthem, Inc. | 222 | 53 | |
Baxter International, Inc. | 172 | 15 | |
Becton, Dickinson & Co. | 91 | 23 | |
Boston Scientific Corp.(1) | 473 | 19 | |
Centene Corp.(1) | 357 | 15 | |
Cerner Corp. | 4,168 | 284 | |
Danaher Corp. | 216 | 31 | |
Edwards Lifesciences Corp.(1) | 71 | 16 | |
HCA Healthcare, Inc. | 1,747 | 210 | |
Hologic, Inc.(1) | 90 | 4 | |
Humana, Inc. | 118 | 30 | |
IDEXX Laboratories, Inc.(1) | 29 | 8 | |
Illumina, Inc.(1) | 167 | 51 | |
Intuitive Surgical, Inc.(1) | 39 | 21 | |
IQVIA Holdings, Inc.(1) | 206 | 31 |
Shares | Value | ||
Health Care—continued | |||
Medtronic plc | 455 | $49 | |
Mettler-Toledo International, Inc.(1) | 28 | 20 | |
PerkinElmer, Inc. | 126 | 11 | |
ResMed, Inc. | 49 | 7 | |
Stryker Corp. | 109 | 24 | |
Teleflex, Inc. | 16 | 5 | |
Thermo Fisher Scientific, Inc. | 453 | 132 | |
UnitedHealth Group, Inc. | 823 | 179 | |
Universal Health Services, Inc. Class B | 529 | 79 | |
Varian Medical Systems, Inc.(1) | 31 | 4 | |
Waters Corp.(1) | 75 | 17 | |
WellCare Health Plans, Inc.(1) | 43 | 11 | |
Zimmer Biomet Holdings, Inc. | 69 | 9 | |
1,438 | |||
Industrials—4.0% | |||
Arconic, Inc. | 165 | 4 | |
Boeing Co. (The) | 228 | 87 | |
Cintas Corp. | 618 | 166 | |
Copart, Inc.(1) | 1,503 | 121 | |
CSX Corp. | 981 | 68 | |
Deere & Co. | 1,706 | 288 | |
Dover Corp. | 204 | 20 | |
Fastenal Co. | 3,950 | 129 | |
Flowserve Corp. | 184 | 9 | |
Fortive Corp. | 413 | 28 | |
General Dynamics Corp. | 99 | 18 | |
Huntington Ingalls Industries, Inc. | 18 | 4 | |
IDEX Corp. | 106 | 17 | |
Illinois Tool Works, Inc. | 411 | 64 | |
Ingersoll-Rand plc | 338 | 42 | |
Kansas City Southern | 124 | 16 | |
L3Harris Technologies, Inc. | 95 | 20 | |
Lockheed Martin Corp. | 105 | 41 | |
Norfolk Southern Corp. | 324 | 58 | |
Northrop Grumman Corp. | 67 | 25 | |
Parker-Hannifin Corp. | 180 | 33 | |
Pentair plc | 235 | 9 | |
Raytheon Co. | 119 | 23 | |
Republic Services, Inc. | 901 | 78 | |
Rollins, Inc. | 592 | 20 | |
Snap-on, Inc. | 77 | 12 | |
Stanley Black & Decker, Inc. | 211 | 30 | |
Textron, Inc. | 97 | 5 | |
TransDigm Group, Inc. | 21 | 11 | |
Union Pacific Corp. | 862 | 140 | |
United Rentals, Inc.(1) | 537 | 67 | |
United Technologies Corp. | 345 | 47 | |
W.W. Grainger, Inc. | 306 | 91 | |
Waste Management, Inc. | 1,651 | 190 | |
Xylem, Inc. | 252 | 20 | |
2,001 | |||
Shares | Value | ||
Information Technology—6.3% | |||
Adobe, Inc.(1) | 321 | $89 | |
Advanced Micro Devices, Inc.(1) | 365 | 11 | |
Akamai Technologies, Inc.(1) | 1,365 | 125 | |
Alliance Data Systems Corp. | 12 | 2 | |
Amphenol Corp. Class A | 1,662 | 160 | |
Analog Devices, Inc. | 123 | 14 | |
ANSYS, Inc.(1) | 55 | 12 | |
Apple, Inc. | 1,167 | 261 | |
Applied Materials, Inc. | 2,519 | 126 | |
Arista Networks, Inc.(1) | 59 | 14 | |
Autodesk, Inc.(1) | 145 | 21 | |
Automatic Data Processing, Inc. | 123 | 20 | |
Broadcom, Inc. | 133 | 37 | |
Broadridge Financial Solutions, Inc. | 32 | 4 | |
Cadence Design Systems, Inc.(1) | 184 | 12 | |
Cisco Systems, Inc. | 4,524 | 224 | |
Citrix Systems, Inc. | 81 | 8 | |
Corning, Inc. | 4,355 | 124 | |
F5 Networks, Inc.(1) | 64 | 9 | |
Fidelity National Information Services, Inc. | 173 | 23 | |
Fiserv, Inc.(1) | 161 | 17 | |
FleetCor Technologies, Inc.(1) | 25 | 7 | |
FLIR Systems, Inc. | 1,522 | 80 | |
Fortinet, Inc.(1) | 34 | 3 | |
Global Payments, Inc. | 85 | 13 | |
Hewlett Packard Enterprise Co. | 361 | 5 | |
HP, Inc. | 405 | 8 | |
Intel Corp. | 1,472 | 76 | |
Intuit, Inc. | 171 | 45 | |
IPG Photonics Corp.(1) | 279 | 38 | |
Jack Henry & Associates, Inc. | 22 | 3 | |
Juniper Networks, Inc. | 370 | 9 | |
Keysight Technologies, Inc.(1) | 2,107 | 205 | |
KLA Corp. | 436 | 69 | |
Lam Research Corp. | 397 | 92 | |
Mastercard, Inc. Class A | 252 | 68 | |
Maxim Integrated Products, Inc. | 90 | 5 | |
Microchip Technology, Inc. | 79 | 7 | |
Micron Technology, Inc.(1) | 372 | 16 | |
Microsoft Corp. | 1,819 | 253 | |
Motorola Solutions, Inc. | 178 | 30 | |
NetApp, Inc. | 68 | 4 | |
NVIDIA Corp. | 203 | 35 | |
Oracle Corp. | 522 | 29 | |
Paychex, Inc. | 90 | 7 | |
PayPal Holdings, Inc.(1) | 335 | 35 | |
Qorvo, Inc.(1) | 39 | 3 | |
QUALCOMM, Inc. | 406 | 31 | |
salesforce.com, Inc.(1) | 579 | 86 | |
Seagate Technology plc | 66 | 4 | |
Skyworks Solutions, Inc. | 56 | 4 |
Shares | Value | ||
Information Technology—continued | |||
Symantec Corp. | 135 | $3 | |
Synopsys, Inc.(1) | 99 | 14 | |
TE Connectivity Ltd. | 2,650 | 247 | |
Texas Instruments, Inc. | 309 | 40 | |
VeriSign, Inc.(1) | 866 | 163 | |
Visa, Inc. Class A | 489 | 84 | |
Western Digital Corp. | 84 | 5 | |
Western Union Co. (The) | 120 | 3 | |
Xerox Holdings Corp. | 52 | 2 | |
Xilinx, Inc. | 84 | 8 | |
3,152 | |||
Materials—2.9% | |||
Air Products & Chemicals, Inc. | 417 | 93 | |
Albemarle Corp. | 143 | 10 | |
Ball Corp. | 3,914 | 285 | |
Celanese Corp. | 167 | 20 | |
DuPont de Nemours, Inc. | 1,009 | 72 | |
Ecolab, Inc. | 339 | 67 | |
International Flavors & Fragrances, Inc. | 144 | 18 | |
Linde plc | 1,009 | 195 | |
Martin Marietta Materials, Inc. | 481 | 132 | |
Newmont Goldcorp Corp. | 7,474 | 283 | |
PPG Industries, Inc. | 321 | 38 | |
Sherwin-Williams Co. (The) | 111 | 61 | |
Vulcan Materials Co. | 1,022 | 155 | |
1,429 | |||
Real Estate—2.9% | |||
American Tower Corp. | 372 | 82 | |
Apartment Investment & Management Co. Class A | 358 | 19 | |
AvalonBay Communities, Inc. | 337 | 72 | |
CBRE Group, Inc. Class A(1) | 5,337 | 283 | |
Crown Castle International Corp. | 347 | 48 | |
Digital Realty Trust, Inc. | 175 | 23 | |
Duke Realty Corp. | 1,551 | 53 | |
Equinix, Inc. | 71 | 41 | |
Equity Residential | 840 | 72 | |
Essex Property Trust, Inc. | 158 | 52 | |
Extra Space Storage, Inc. | 108 | 13 | |
HCP, Inc. | 1,714 | 61 | |
Iron Mountain, Inc. | 242 | 8 | |
Mid-America Apartment Communities, Inc. | 275 | 36 | |
Prologis, Inc. | 2,708 | 231 | |
Public Storage | 126 | 31 | |
SBA Communications, Corp. | 94 | 23 | |
UDR, Inc. | 705 | 34 | |
Ventas, Inc. | 1,313 | 96 | |
Welltower, Inc. | 1,418 | 128 | |
Weyerhaeuser Co. | 624 | 17 | |
1,423 | |||
Shares | Value | ||
Utilities—2.3% | |||
AES Corp. | 9,114 | $149 | |
Alliant Energy Corp. | 125 | 7 | |
Ameren Corp. | 244 | 19 | |
American Electric Power Co., Inc. | 259 | 24 | |
American Water Works Co., Inc. | 2,291 | 284 | |
CenterPoint Energy, Inc. | 496 | 15 | |
CMS Energy Corp. | 280 | 18 | |
Consolidated Edison, Inc. | 329 | 31 | |
Dominion Energy, Inc. | 815 | 66 | |
DTE Energy Co. | 182 | 24 | |
Duke Energy Corp. | 383 | 37 | |
Edison International | 189 | 14 | |
Entergy Corp. | 105 | 12 | |
Evergy, Inc. | 123 | 8 | |
Eversource Energy | 169 | 14 | |
Exelon Corp. | 511 | 25 | |
FirstEnergy Corp. | 284 | 14 | |
NextEra Energy, Inc. | 256 | 60 | |
NiSource, Inc. | 371 | 11 | |
NRG Energy, Inc. | 3,462 | 137 | |
Pinnacle West Capital Corp. | 59 | 6 | |
PPL Corp. | 378 | 12 | |
Public Service Enterprise Group, Inc. | 501 | 31 | |
Sempra Energy | 269 | 40 | |
Southern Co. (The) | 549 | 34 | |
WEC Energy Group, Inc. | 313 | 30 | |
Xcel Energy, Inc. | 276 | 18 | |
1,140 | |||
Total Common Stocks (Identified Cost $15,525) | 17,733 | ||
Exchange-Traded Funds(2)—63.3% | |||
Invesco DB Gold Fund | 36,172 | 1,626 | |
Invesco DB US Dollar Index Bullish Fund | 60,436 | 1,638 | |
iShares 20+ Year Treasury Bond ETF | 41,523 | 5,941 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 23,226 | 2,961 | |
iShares iBoxx High Yield Corporate Bond ETF | 33,865 | 2,952 | |
iShares JP Morgan USD Emerging Markets Bond ETF | 26,007 | 2,948 | |
iShares MSCI Australia ETF | 66,369 | 1,477 | |
iShares MSCI Brazil ETF | 35,046 | 1,476 | |
iShares MSCI Canada ETF | 50,900 | 1,471 | |
iShares MSCI Hong Kong ETF | 64,737 | 1,469 | |
iShares MSCI Italy ETF | 53,680 | 1,480 | |
iShares MSCI Japan ETF | 26,173 | 1,485 | |
iShares MSCI Switzerland ETF | 39,193 | 1,478 | |
iShares MSCI Taiwan ETF | 40,485 | 1,472 |
Shares | Value | ||
iShares U.S. Real Estate ETF | 17,509 | $1,638 | |
Total Exchange-Traded Funds (Identified Cost $29,460) | 31,512 | ||
Total Long-Term Investments—98.9% (Identified Cost $44,985) | 49,245 | ||
Value | ||
TOTAL INVESTMENTS—98.9% (Identified Cost $44,985) | $49,245 | |
Other assets and liabilities, net—1.1% | 557 | |
NET ASSETS—100.0% | $49,802 |
Abbreviation: | |
ETF | Exchange-Traded Fund |
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. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $17,733 | $17,733 | |
Exchange-Traded Funds | 31,512 | 31,512 | |
Total Investments | $49,245 | $49,245 |
September 30, 2019
Shares | Value | ||
Common Stocks—99.0% | |||
Communication Services—14.8% | |||
Activision Blizzard, Inc. | 25,112 | $1,329 | |
Alphabet, Inc. Class A(1) | 2,883 | 3,521 | |
Alphabet, Inc. Class C(1) | 2,909 | 3,546 | |
AT&T, Inc. | 37,062 | 1,402 | |
CBS Corp. Class B | 12,953 | 523 | |
CenturyLink, Inc. | 38,859 | 485 | |
Charter Communications, Inc. Class A(1) | 3,302 | 1,361 | |
Comcast Corp. Class A | 29,970 | 1,351 | |
Discovery, Inc. Class A(1) | 6,256 | 167 | |
Discovery, Inc. Class C(1) | 13,734 | 338 | |
DISH Network Corp. Class A(1) | 9,523 | 324 | |
Electronic Arts, Inc.(1) | 11,665 | 1,141 | |
Facebook, Inc. Class A(1) | 30,579 | 5,445 | |
Fox Corp. Class A | 14,030 | 442 | |
Fox Corp. Class B | 6,427 | 203 | |
Interpublic Group of Cos., Inc. (The) | 15,328 | 330 | |
Netflix, Inc.(1) | 4,776 | 1,278 | |
News Corp. Class A | 15,265 | 212 | |
News Corp. Class B | 4,820 | 69 | |
Omnicom Group, Inc. | 8,610 | 674 | |
Take-Two Interactive Software, Inc.(1) | 4,480 | 562 | |
T-Mobile US, Inc.(1) | 12,514 | 986 | |
TripAdvisor, Inc.(1) | 4,156 | 161 | |
Twitter, Inc.(1) | 30,599 | 1,261 | |
Verizon Communications, Inc. | 23,432 | 1,414 | |
Viacom, Inc. Class B | 14,011 | 337 | |
Walt Disney Co. (The) | 10,180 | 1,327 | |
30,189 | |||
Consumer Discretionary—14.9% | |||
Advance Auto Parts, Inc. | 950 | 157 | |
Amazon.com, Inc.(1) | 3,845 | 6,675 | |
Aptiv plc | 3,410 | 298 | |
AutoZone, Inc.(1) | 327 | 355 | |
Best Buy Co., Inc. | 3,087 | 213 | |
Booking Holdings, Inc.(1) | 566 | 1,111 | |
BorgWarner, Inc. | 2,749 | 101 | |
Capri Holdings Ltd.(1) | 2,018 | 67 | |
CarMax, Inc.(1) | 2,204 | 194 | |
Carnival Corp. | 5,330 | 233 | |
Chipotle Mexican Grill, Inc.(1) | 339 | 285 | |
Darden Restaurants, Inc. | 1,635 | 193 | |
Dollar General Corp. | 3,422 | 544 | |
Dollar Tree, Inc.(1) | 3,150 | 360 | |
eBay, Inc. | 10,495 | 409 | |
Expedia Group, Inc. | 1,861 | 250 | |
Ford Motor Co. | 52,166 | 478 | |
Gap, Inc. (The) | 2,851 | 49 | |
Garmin Ltd. | 1,923 | 163 | |
General Motors Co. | 16,724 | 627 | |
Genuine Parts Co. | 1,944 | 194 | |
H&R Block, Inc. | 2,672 | 63 | |
Hanesbrands, Inc. | 4,813 | 74 | |
Harley-Davidson, Inc. | 2,086 | 75 |
Shares | Value | ||
Consumer Discretionary—continued | |||
Hasbro, Inc. | 1,562 | $185 | |
Hilton Worldwide Holdings, Inc. | 3,818 | 355 | |
Home Depot, Inc. (The) | 14,578 | 3,382 | |
Horton (D.R.), Inc. | 4,480 | 236 | |
Kohl’s Corp. | 2,118 | 105 | |
L Brands, Inc. | 3,090 | 61 | |
Leggett & Platt, Inc. | 1,750 | 72 | |
Lennar Corp. Class A | 3,786 | 211 | |
LKQ Corp.(1) | 4,103 | 129 | |
Lowe’s Cos., Inc. | 10,273 | 1,130 | |
Macy’s, Inc. | 4,112 | 64 | |
Marriott International, Inc. Class A | 3,639 | 453 | |
McDonald’s Corp. | 10,109 | 2,170 | |
MGM Resorts International | 6,941 | 192 | |
Mohawk Industries, Inc.(1) | 797 | 99 | |
Newell Brands, Inc. | 5,072 | 95 | |
NIKE, Inc. Class B | 16,664 | 1,565 | |
Nordstrom, Inc. | 1,423 | 48 | |
Norwegian Cruise Line Holdings Ltd.(1) | 2,870 | 149 | |
NVR, Inc.(1) | 41 | 152 | |
O’Reilly Automotive, Inc.(1) | 1,018 | 406 | |
PulteGroup, Inc. | 3,431 | 125 | |
PVH Corp. | 987 | 87 | |
Ralph Lauren Corp. | 690 | 66 | |
Ross Stores, Inc. | 4,854 | 533 | |
Royal Caribbean Cruises Ltd. | 2,287 | 248 | |
Starbucks Corp. | 15,933 | 1,409 | |
Tapestry, Inc. | 3,818 | 99 | |
Target Corp. | 6,801 | 727 | |
Tiffany & Co. | 1,447 | 134 | |
TJX Cos., Inc. (The) | 16,092 | 897 | |
Tractor Supply Co. | 1,588 | 144 | |
Ulta Beauty, Inc.(1) | 783 | 196 | |
Under Armour, Inc. Class A(1) | 2,504 | 50 | |
Under Armour, Inc. Class C(1) | 2,587 | 47 | |
VF Corp. | 4,346 | 387 | |
Whirlpool Corp. | 846 | 134 | |
Wynn Resorts Ltd. | 1,289 | 140 | |
Yum! Brands, Inc. | 4,050 | 459 | |
30,309 | |||
Consumer Staples—5.0% | |||
Altria Group, Inc. | 11,024 | 451 | |
Archer-Daniels-Midland Co. | 3,287 | 135 | |
Brown-Forman Corp. Class B | 1,074 | 67 | |
Campbell Soup Co. | 995 | 47 | |
Church & Dwight Co., Inc. | 1,458 | 110 | |
Clorox Co. (The) | 742 | 113 | |
Coca-Cola Co. (The) | 20,630 | 1,123 | |
Colgate-Palmolive Co. | 5,063 | 372 | |
Conagra Brands, Inc. | 2,872 | 88 | |
Constellation Brands, Inc. Class A | 987 | 205 | |
Costco Wholesale Corp. | 1,535 | 442 | |
Coty, Inc. Class A | 1,736 | 18 |
Shares | Value | ||
Consumer Staples—continued | |||
Estee Lauder Cos., Inc. (The) Class A | 1,305 | $260 | |
General Mills, Inc. | 3,561 | 196 | |
Hershey Co. (The) | 879 | 136 | |
Hormel Foods Corp. | 1,639 | 72 | |
J.M. Smucker Co. (The) | 673 | 74 | |
Kellogg Co. | 1,467 | 94 | |
Kimberly-Clark Corp. | 2,031 | 288 | |
Kraft Heinz Co.(The) | 3,672 | 103 | |
Kroger Co. (The) | 4,714 | 121 | |
Lamb Weston Holdings, Inc. | 860 | 62 | |
McCormick & Co., Inc. | 726 | 113 | |
Molson Coors Brewing Co. Class B | 1,109 | 64 | |
Mondelez International, Inc. Class A | 8,510 | 471 | |
Monster Beverage Corp.(1) | 2,283 | 132 | |
PepsiCo, Inc. | 7,495 | 1,028 | |
Philip Morris International, Inc. | 6,133 | 466 | |
Procter & Gamble Co. (The) | 13,416 | 1,669 | |
Spectrum Brands Holdings, Inc. | 20 | 1 | |
Sysco Corp. | 3,028 | 240 | |
Tyson Foods, Inc. Class A | 1,739 | 150 | |
Walgreens Boots Alliance, Inc. | 4,477 | 248 | |
Walmart, Inc. | 7,624 | 905 | |
10,064 | |||
Financials—4.9% | |||
Affiliated Managers Group, Inc. | 158 | 13 | |
Aflac, Inc. | 2,317 | 121 | |
Allstate Corp. (The) | 1,030 | 112 | |
American Express Co. | 2,129 | 252 | |
American International Group, Inc. | 2,723 | 152 | |
Ameriprise Financial, Inc. | 410 | 60 | |
Aon plc | 738 | 143 | |
Assurant, Inc. | 191 | 24 | |
Bank of America Corp. | 26,220 | 765 | |
Bank of New York Mellon Corp. (The) | 2,685 | 121 | |
BB&T Corp. | 2,398 | 128 | |
Berkshire Hathaway, Inc. Class B(1) | 6,137 | 1,277 | |
BlackRock, Inc. | 368 | 164 | |
Capital One Financial Corp. | 1,472 | 134 | |
Cboe Global Markets, Inc. | 350 | 40 | |
Charles Schwab Corp. (The) | 3,641 | 152 | |
Chubb Ltd. | 1,426 | 230 | |
Cincinnati Financial Corp. | 475 | 55 | |
Citigroup, Inc. | 7,070 | 488 | |
Citizens Financial Group, Inc. | 1,399 | 49 | |
CME Group, Inc. | 1,121 | 237 | |
Comerica, Inc. | 467 | 31 | |
Discover Financial Services | 996 | 81 | |
E*TRADE Financial Corp. | 751 | 33 |
Shares | Value | ||
Financials—continued | |||
Everest Re Group Ltd. | 128 | $34 | |
Fifth Third Bancorp | 2,286 | 63 | |
First Republic Bank | 527 | 51 | |
Franklin Resources, Inc. | 883 | 26 | |
Gallagher (Arthur J.) & Co. | 582 | 52 | |
Globe Life, Inc. | 314 | 30 | |
Goldman Sachs Group, Inc. (The) | 1,013 | 210 | |
Hartford Financial Services Group, Inc. (The) | 1,132 | 69 | |
Huntington Bancshares, Inc. | 3,248 | 46 | |
Intercontinental Exchange, Inc. | 1,754 | 162 | |
Invesco Ltd. | 1,206 | 20 | |
JPMorgan Chase & Co. | 10,008 | 1,178 | |
KeyCorp | 3,140 | 56 | |
Lincoln National Corp. | 627 | 38 | |
Loews Corp. | 814 | 42 | |
M&T Bank Corp. | 418 | 66 | |
MarketAxess Holdings, Inc. | 118 | 39 | |
Marsh & McLennan Cos., Inc. | 1,585 | 159 | |
MetLife, Inc. | 2,491 | 117 | |
Moody’s Corp. | 509 | 104 | |
Morgan Stanley | 3,931 | 168 | |
MSCI, Inc. | 265 | 58 | |
Nasdaq, Inc. | 361 | 36 | |
Northern Trust Corp. | 673 | 63 | |
People’s United Financial, Inc. | 1,248 | 20 | |
PNC Financial Services Group, Inc. (The) | 1,394 | 195 | |
Principal Financial Group, Inc. | 812 | 46 | |
Progressive Corp. (The) | 1,830 | 141 | |
Prudential Financial, Inc. | 1,258 | 113 | |
Raymond James Financial, Inc. | 387 | 32 | |
Regions Financial Corp. | 3,123 | 49 | |
S&P Global, Inc. | 771 | 189 | |
State Street Corp. | 1,166 | 69 | |
SunTrust Banks, Inc. | 1,389 | 96 | |
SVB Financial Group(1) | 161 | 34 | |
Synchrony Financial | 1,910 | 65 | |
T. Rowe Price Group, Inc. | 737 | 84 | |
Travelers Cos., Inc. (The) | 815 | 121 | |
U.S. Bancorp | 4,488 | 248 | |
Unum Group | 653 | 19 | |
Wells Fargo & Co. | 12,549 | 633 | |
Willis Towers Watson plc | 404 | 78 | |
Zions Bancorp NA | 554 | 25 | |
10,006 | |||
Health Care—5.0% | |||
Abbott Laboratories | 5,295 | 443 | |
AbbVie, Inc. | 4,430 | 335 | |
ABIOMED, Inc.(1) | 136 | 24 | |
Agilent Technologies, Inc. | 927 | 71 |
Shares | Value | ||
Health Care—continued | |||
Alexion Pharmaceuticals, Inc.(1) | 672 | $66 | |
Align Technology, Inc.(1) | 218 | 39 | |
Allergan plc | 983 | 165 | |
AmerisourceBergen Corp. | 456 | 38 | |
Amgen, Inc. | 1,797 | 348 | |
Anthem, Inc. | 766 | 184 | |
Baxter International, Inc. | 1,530 | 134 | |
Becton, Dickinson & Co. | 809 | 205 | |
Biogen, Inc.(1) | 553 | 129 | |
Boston Scientific Corp.(1) | 4,173 | 170 | |
Bristol-Myers Squibb Co. | 4,901 | 249 | |
Cardinal Health, Inc. | 893 | 42 | |
Celgene Corp.(1) | 2,123 | 211 | |
Centene Corp.(1) | 1,239 | 54 | |
Cerner Corp. | 954 | 65 | |
Cigna Corp. | 1,131 | 172 | |
Cooper Cos., Inc. (The) | 149 | 44 | |
CVS Health Corp. | 3,896 | 246 | |
Danaher Corp. | 1,913 | 276 | |
DaVita, Inc.(1) | 290 | 17 | |
DENTSPLY SIRONA, Inc. | 672 | 36 | |
Edwards Lifesciences Corp.(1) | 623 | 137 | |
Eli Lilly & Co. | 2,545 | 285 | |
Gilead Sciences, Inc. | 3,794 | 240 | |
HCA Healthcare, Inc. | 797 | 96 | |
Henry Schein, Inc.(1) | 444 | 28 | |
Hologic, Inc.(1) | 801 | 40 | |
Humana, Inc. | 405 | 104 | |
IDEXX Laboratories, Inc.(1) | 258 | 70 | |
Illumina, Inc.(1) | 440 | 134 | |
Incyte Corp.(1) | 535 | 40 | |
Intuitive Surgical, Inc.(1) | 345 | 186 | |
IQVIA Holdings, Inc.(1) | 546 | 82 | |
Johnson & Johnson | 7,907 | 1,023 | |
Laboratory Corporation of America Holdings(1) | 293 | 49 | |
McKesson Corp. | 554 | 76 | |
Medtronic plc | 4,020 | 437 | |
Merck & Co., Inc. | 7,671 | 646 | |
Mettler-Toledo International, Inc.(1) | 74 | 52 | |
Mylan NV(1) | 1,546 | 31 | |
Nektar Therapeutics(1) | 525 | 10 | |
PerkinElmer, Inc. | 333 | 28 | |
Perrigo Co. plc | 408 | 23 | |
Pfizer, Inc. | 16,571 | 595 | |
Quest Diagnostics, Inc. | 403 | 43 | |
Regeneron Pharmaceuticals, Inc.(1) | 239 | 66 | |
ResMed, Inc. | 430 | 58 | |
Stryker Corp. | 961 | 208 | |
Teleflex, Inc. | 139 | 47 | |
Thermo Fisher Scientific, Inc. | 1,200 | 349 | |
UnitedHealth Group, Inc. | 2,839 | 617 | |
Universal Health Services, Inc. Class B | 243 | 36 | |
Varian Medical Systems, Inc.(1) | 273 | 32 |
Shares | Value | ||
Health Care—continued | |||
Vertex Pharmaceuticals, Inc.(1) | 770 | $130 | |
Waters Corp.(1) | 200 | 45 | |
WellCare Health Plans, Inc.(1) | 151 | 39 | |
Zimmer Biomet Holdings, Inc. | 615 | 84 | |
Zoetis, Inc. | 1,431 | 178 | |
10,107 | |||
Industrials—4.9% | |||
3M Co. | 2,501 | 411 | |
A.O. Smith Corp. | 601 | 29 | |
Alaska Air Group, Inc. | 536 | 35 | |
Allegion plc | 406 | 42 | |
American Airlines Group, Inc. | 1,723 | 47 | |
AMETEK, Inc. | 993 | 91 | |
Arconic, Inc. | 1,684 | 44 | |
Boeing Co. (The) | 2,324 | 884 | |
Caterpillar, Inc. | 2,446 | 309 | |
Cintas Corp. | 361 | 97 | |
Copart, Inc.(1) | 877 | 70 | |
CSX Corp. | 3,470 | 240 | |
Cummins, Inc. | 686 | 112 | |
Deere & Co. | 1,369 | 231 | |
Delta Air Lines, Inc. | 2,516 | 145 | |
Dover Corp. | 632 | 63 | |
Eaton Corp. plc | 1,826 | 152 | |
Emerson Electric Co. | 2,674 | 179 | |
Equifax, Inc. | 526 | 74 | |
Expeditors International of Washington, Inc. | 742 | 55 | |
Fastenal Co. | 2,493 | 81 | |
FedEx Corp. | 1,043 | 152 | |
Flowserve Corp. | 570 | 27 | |
Fortive Corp. | 1,284 | 88 | |
Fortune Brands Home & Security, Inc. | 608 | 33 | |
General Dynamics Corp. | 1,017 | 186 | |
General Electric Co. | 37,941 | 339 | |
Honeywell International, Inc. | 3,128 | 529 | |
Hunt (JB) Transport Services, Inc. | 371 | 41 | |
Huntington Ingalls Industries, Inc. | 180 | 38 | |
IDEX Corp. | 330 | 54 | |
IHS Markit Ltd.(1) | 1,744 | 117 | |
Illinois Tool Works, Inc. | 1,280 | 200 | |
Ingersoll-Rand plc | 1,050 | 129 | |
Jacobs Engineering Group, Inc. | 589 | 54 | |
Johnson Controls International plc | 3,459 | 152 | |
Kansas City Southern | 437 | 58 | |
L3Harris Technologies, Inc. | 971 | 203 | |
Lockheed Martin Corp. | 1,080 | 421 | |
Masco Corp. | 1,258 | 52 | |
Nielsen Holdings plc | 1,546 | 33 |
Shares | Value | ||
Industrials—continued | |||
Norfolk Southern Corp. | 1,145 | $206 | |
Northrop Grumman Corp. | 684 | 256 | |
PACCAR, Inc. | 1,506 | 105 | |
Parker-Hannifin Corp. | 558 | 101 | |
Pentair plc | 731 | 28 | |
Quanta Services, Inc. | 618 | 23 | |
Raytheon Co. | 1,211 | 238 | |
Republic Services, Inc. | 920 | 80 | |
Robert Half International, Inc. | 511 | 28 | |
Robinson (C.H.) Worldwide, Inc. | 589 | 50 | |
Rockwell Automation, Inc. | 509 | 84 | |
Rollins, Inc. | 612 | 21 | |
Roper Technologies, Inc. | 452 | 161 | |
Snap-on, Inc. | 240 | 38 | |
Southwest Airlines Co. | 2,103 | 114 | |
Stanley Black & Decker, Inc. | 660 | 95 | |
Textron, Inc. | 1,000 | 49 | |
TransDigm Group, Inc. | 216 | 113 | |
Union Pacific Corp. | 3,063 | 496 | |
United Airlines Holdings, Inc.(1) | 961 | 85 | |
United Parcel Service, Inc. Class B | 3,036 | 364 | |
United Rentals, Inc.(1) | 335 | 42 | |
United Technologies Corp. | 3,526 | 481 | |
Verisk Analytics, Inc. | 711 | 112 | |
W.W. Grainger, Inc. | 192 | 57 | |
Wabtec Corp. | 792 | 57 | |
Waste Management, Inc. | 1,697 | 195 | |
Xylem, Inc. | 783 | 62 | |
10,038 | |||
Information Technology—19.9% | |||
Accenture plc Class A | 4,760 | 916 | |
Adobe, Inc.(1) | 3,627 | 1,002 | |
Advanced Micro Devices, Inc.(1) | 8,110 | 235 | |
Akamai Technologies, Inc.(1) | 1,233 | 113 | |
Alliance Data Systems Corp. | 306 | 39 | |
Amphenol Corp. Class A | 2,222 | 214 | |
Analog Devices, Inc. | 2,760 | 308 | |
ANSYS, Inc.(1) | 628 | 139 | |
Apple, Inc. | 31,738 | 7,108 | |
Applied Materials, Inc. | 6,902 | 344 | |
Arista Networks, Inc.(1) | 407 | 97 | |
Autodesk, Inc.(1) | 1,641 | 242 | |
Automatic Data Processing, Inc. | 3,242 | 523 | |
Broadcom, Inc. | 2,974 | 821 | |
Broadridge Financial Solutions, Inc. | 854 | 106 | |
Cadence Design Systems, Inc.(1) | 2,093 | 138 | |
CDW Corp. | 1,081 | 133 | |
Cisco Systems, Inc. | 31,717 | 1,567 | |
Citrix Systems, Inc. | 919 | 89 |
Shares | Value | ||
Information Technology—continued | |||
Cognizant Technology Solutions Corp. Class A | 4,126 | $249 | |
Corning, Inc. | 5,834 | 166 | |
DXC Technology Co. | 1,957 | 58 | |
F5 Networks, Inc.(1) | 449 | 63 | |
Fidelity National Information Services, Inc. | 4,583 | 608 | |
Fiserv, Inc.(1) | 4,265 | 442 | |
FleetCor Technologies, Inc.(1) | 647 | 186 | |
FLIR Systems, Inc. | 1,013 | 53 | |
Fortinet, Inc.(1) | 1,060 | 81 | |
Gartner, Inc.(1) | 673 | 96 | |
Global Payments, Inc. | 2,242 | 357 | |
Hewlett Packard Enterprise Co. | 9,754 | 148 | |
HP, Inc. | 11,072 | 210 | |
Intel Corp. | 33,097 | 1,706 | |
International Business Machines Corp. | 6,619 | 963 | |
Intuit, Inc. | 1,943 | 517 | |
IPG Photonics Corp.(1) | 266 | 36 | |
Jack Henry & Associates, Inc. | 575 | 84 | |
Juniper Networks, Inc. | 2,584 | 64 | |
Keysight Technologies, Inc.(1) | 1,401 | 136 | |
KLA Corp. | 1,190 | 190 | |
Lam Research Corp. | 1,080 | 250 | |
Leidos Holdings, Inc. | 1,010 | 87 | |
Mastercard, Inc. Class A | 6,670 | 1,811 | |
Maxim Integrated Products, Inc. | 2,027 | 117 | |
Microchip Technology, Inc. | 1,778 | 165 | |
Micron Technology, Inc.(1) | 8,247 | 353 | |
Microsoft Corp. | 57,045 | 7,931 | |
Motorola Solutions, Inc. | 1,237 | 211 | |
NetApp, Inc. | 1,777 | 93 | |
NVIDIA Corp. | 4,550 | 792 | |
Oracle Corp. | 16,449 | 905 | |
Paychex, Inc. | 2,389 | 198 | |
PayPal Holdings, Inc.(1) | 8,791 | 911 | |
Qorvo, Inc.(1) | 880 | 65 | |
QUALCOMM, Inc. | 9,082 | 693 | |
salesforce.com, Inc.(1) | 6,552 | 973 | |
Seagate Technology plc | 1,769 | 95 | |
Skyworks Solutions, Inc. | 1,283 | 102 | |
Symantec Corp. | 4,248 | 100 | |
Synopsys, Inc.(1) | 1,123 | 154 | |
TE Connectivity Ltd. | 2,510 | 234 | |
Texas Instruments, Inc. | 6,975 | 902 | |
VeriSign, Inc.(1) | 778 | 147 | |
Visa, Inc. Class A | 12,902 | 2,219 | |
Western Digital Corp. | 2,211 | 132 | |
Western Union Co. (The) | 3,167 | 73 | |
Xerox Holdings Corp. | 1,422 | 43 | |
Xilinx, Inc. | 1,887 | 181 | |
40,484 | |||
Shares | Value | ||
Materials—5.0% | |||
Air Products & Chemicals, Inc. | 3,301 | $732 | |
Albemarle Corp. | 1,588 | 110 | |
Amcor plc | 24,336 | 237 | |
Avery Dennison Corp. | 1,261 | 143 | |
Ball Corp. | 4,974 | 362 | |
Celanese Corp. | 1,854 | 227 | |
CF Industries Holdings, Inc. | 3,271 | 161 | |
Corteva, Inc. | 11,219 | 314 | |
Dow, Inc. | 11,133 | 531 | |
DuPont de Nemours, Inc. | 11,168 | 796 | |
Eastman Chemical Co. | 2,052 | 152 | |
Ecolab, Inc. | 3,750 | 743 | |
FMC Corp. | 1,954 | 171 | |
Freeport-McMoRan, Inc. | 21,735 | 208 | |
International Flavors & Fragrances, Inc. | 1,600 | 196 | |
International Paper Co. | 5,885 | 246 | |
Linde plc | 8,098 | 1,569 | |
LyondellBasell Industries NV Class A | 3,867 | 346 | |
Martin Marietta Materials, Inc. | 935 | 256 | |
Mosaic Co. (The) | 5,318 | 109 | |
Newmont Goldcorp Corp. | 12,282 | 466 | |
Nucor Corp. | 4,541 | 231 | |
Packaging Corporation of America | 1,418 | 151 | |
PPG Industries, Inc. | 3,540 | 420 | |
Sealed Air Corp. | 2,315 | 96 | |
Sherwin-Williams Co. (The) | 1,230 | 676 | |
Vulcan Materials Co. | 1,982 | 300 | |
Westrock Co. | 3,855 | 141 | |
10,090 | |||
Real Estate—4.9% | |||
Alexandria Real Estate Equities, Inc. | 1,430 | 220 | |
American Tower Corp. | 5,581 | 1,234 | |
Apartment Investment & Management Co. Class A | 1,877 | 98 | |
AvalonBay Communities, Inc. | 1,761 | 379 | |
Boston Properties, Inc. | 1,812 | 235 | |
CBRE Group, Inc. Class A(1) | 4,240 | 225 | |
Crown Castle International Corp. | 5,242 | 729 | |
Digital Realty Trust, Inc. | 2,627 | 341 | |
Duke Realty Corp. | 4,557 | 155 | |
Equinix, Inc. | 1,069 | 617 | |
Equity Residential | 4,395 | 379 | |
Essex Property Trust, Inc. | 829 | 271 | |
Extra Space Storage, Inc. | 1,620 | 189 | |
Federal Realty Investment Trust | 879 | 120 | |
HCP, Inc. | 6,192 | 221 | |
Host Hotels & Resorts, Inc. | 9,202 | 159 | |
Iron Mountain, Inc. | 3,620 | 117 | |
Kimco Realty Corp. | 5,322 | 111 | |
Macerich Co. (The) | 1,389 | 44 |
Shares | Value | ||
Real Estate—continued | |||
Mid-America Apartment Communities, Inc. | 1,438 | $187 | |
Prologis, Inc. | 7,957 | 678 | |
Public Storage | 1,893 | 464 | |
Realty Income Corp. | 4,012 | 308 | |
Regency Centers Corp. | 2,113 | 147 | |
SBA Communications, Corp. | 1,426 | 344 | |
Simon Property Group, Inc. | 3,883 | 604 | |
SL Green Realty Corp. | 1,039 | 85 | |
UDR, Inc. | 3,692 | 179 | |
Ventas, Inc. | 4,697 | 343 | |
Vornado Realty Trust | 1,997 | 127 | |
Welltower, Inc. | 5,109 | 463 | |
Weyerhaeuser Co. | 9,392 | 260 | |
10,033 | |||
Utilities—19.7% | |||
AES Corp. | 30,010 | 490 | |
Alliant Energy Corp. | 10,737 | 579 | |
Ameren Corp. | 11,112 | 890 | |
American Electric Power Co., Inc. | 22,323 | 2,091 |
Shares | Value | ||
Utilities—continued | |||
American Water Works Co., Inc. | 8,167 | $1,015 | |
Atmos Energy Corp. | 5,343 | 609 | |
CenterPoint Energy, Inc. | 22,703 | 685 | |
CMS Energy Corp. | 12,829 | 820 | |
Consolidated Edison, Inc. | 15,015 | 1,418 | |
Dominion Energy, Inc. | 37,156 | 3,011 | |
DTE Energy Co. | 8,286 | 1,102 | |
Duke Energy Corp. | 32,937 | 3,157 | |
Edison International | 16,188 | 1,221 | |
Entergy Corp. | 8,988 | 1,055 | |
Evergy, Inc. | 10,645 | 709 | |
Eversource Energy | 14,629 | 1,250 | |
Exelon Corp. | 43,921 | 2,122 | |
FirstEnergy Corp. | 24,411 | 1,177 | |
NextEra Energy, Inc. | 22,094 | 5,148 | |
NiSource, Inc. | 16,878 | 505 | |
NRG Energy, Inc. | 11,437 | 453 | |
Pinnacle West Capital Corp. | 5,077 | 493 | |
PPL Corp. | 32,650 | 1,028 | |
Public Service Enterprise Group, Inc. | 22,858 | 1,419 | |
Sempra Energy | 12,411 | 1,832 |
Shares | Value | ||
Utilities—continued | |||
Southern Co. (The) | 47,251 | $2,919 | |
WEC Energy Group, Inc. | 14,260 | 1,356 | |
Xcel Energy, Inc. | 23,705 | 1,538 | |
40,092 | |||
Total Common Stocks (Identified Cost $180,410) | 201,412 | ||
Total Long-Term Investments—99.0% (Identified Cost $180,410) | 201,412 | ||
TOTAL INVESTMENTS—99.0% (Identified Cost $180,410) | $201,412 | ||
Other assets and liabilities, net—1.0% | 2,091 | ||
NET ASSETS—100.0% | $203,503 |
Footnote Legend: | |
(1) | Non-income producing. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $201,412 | $201,412 | |
Total Investments | $201,412 | $201,412 |
September 30, 2019
Shares | Value | ||
Common Stocks—95.8% | |||
Communication Services—6.8% | |||
Alphabet, Inc. Class C (United States)(1) | 9,455 | $11,525 | |
Tencent Holdings Ltd. (China) | 96,342 | 4,059 | |
Walt Disney Co. (The) (United States) | 47,253 | 6,158 | |
21,742 | |||
Consumer Discretionary—18.4% | |||
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 38,327 | 6,410 | |
Amazon.com, Inc. (United States)(1) | 5,142 | 8,926 | |
Booking Holdings, Inc. (Netherlands)(1) | 3,475 | 6,820 | |
EssilorLuxottica SA (France) | 15,181 | 2,188 | |
Flutter Entertainment plc (Ireland) | 62,609 | 5,852 | |
Industria de Diseno Textil SA (Spain) | 151,893 | 4,702 | |
NIKE, Inc. Class B (United States) | 72,900 | 6,847 | |
O’Reilly Automotive, Inc. (United States)(1) | 8,224 | 3,277 | |
Royal Caribbean Cruises Ltd. (United States) | 34,914 | 3,782 | |
Starbucks Corp. (United States) | 24,683 | 2,183 | |
TJX Cos., Inc. (The) (United States) | 134,470 | 7,495 | |
58,482 | |||
Consumer Staples—20.5% | |||
Alimentation Couche-Tard, Inc. Class B (Canada) | 327,748 | 10,044 | |
Ambev S.A. ADR (Brazil) | 723,996 | 3,345 | |
Anheuser-Busch InBev NV (Belgium) | 77,482 | 7,383 | |
Coca-Cola Co. (The) (United States) | 130,399 | 7,099 | |
Nestle S.A. Registered Shares (Switzerland) | 90,989 | 9,871 | |
PepsiCo, Inc. (United States) | 48,754 | 6,684 | |
Reckitt Benckiser Group plc (United Kingdom) | 42,234 | 3,294 | |
Unilever NV (Netherlands) | 212,377 | 12,766 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 1,622,798 | 4,810 | |
65,296 | |||
Shares | Value | ||
Financials—12.2% | |||
Berkshire Hathaway, Inc. Class B (United States)(1) | 36,233 | $7,537 | |
CME Group, Inc. (United States) | 33,098 | 6,995 | |
HDFC Bank Ltd. (India) | 663,604 | 11,494 | |
HDFC Bank Ltd. ADR (India) | 35,922 | 2,050 | |
Housing Development Finance Corp., Ltd. (India) | 262,649 | 7,327 | |
M&T Bank Corp. (United States) | 21,335 | 3,370 | |
38,773 | |||
Health Care—12.8% | |||
Becton, Dickinson & Co. (United States) | 30,764 | 7,782 | |
Boston Scientific Corp. (United States)(1) | 101,893 | 4,146 | |
Johnson & Johnson (United States) | 54,857 | 7,097 | |
Medtronic plc (United States) | 93,598 | 10,167 | |
UnitedHealth Group, Inc. (United States) | 52,897 | 11,496 | |
40,688 | |||
Industrials—6.7% | |||
Canadian National Railway Co. (Canada) | 50,502 | 4,535 | |
RELX plc (United Kingdom) | 162,589 | 3,869 | |
Safran SA (France) | 81,480 | 12,828 | |
21,232 | |||
Information Technology—16.0% | |||
Keyence Corp. (Japan) | 7,342 | 4,543 | |
Mastercard, Inc. Class A (United States) | 42,318 | 11,492 | |
Microsoft Corp. (United States) | 80,748 | 11,226 | |
SAP SE (Germany) | 70,209 | 8,255 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 88,182 | 4,099 | |
Visa, Inc. Class A (United States) | 65,127 | 11,203 | |
50,818 | |||
Materials—1.0% | |||
Martin Marietta Materials, Inc. (United States) | 12,429 | 3,407 |
Shares | Value | ||
Real Estate—1.4% | |||
American Tower Corp. (United States) | 19,739 | $4,365 | |
Total Common Stocks (Identified Cost $208,467) | 304,803 | ||
Total Long-Term Investments—95.8% (Identified Cost $208,467) | 304,803 | ||
Short-Term Investment—1.9% | |||
Money Market Mutual Fund—1.9% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(2) | 5,976,329 | 5,976 | |
Total Short-Term Investment (Identified Cost $5,976) | 5,976 | ||
TOTAL INVESTMENTS—97.7% (Identified Cost $214,443) | $310,779 | ||
Other assets and liabilities, net—2.3% | 7,363 | ||
NET ASSETS—100.0% | $318,142 |
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 (Unaudited)† | |
United States | 55% |
India | 7 |
Netherlands | 6 |
France | 5 |
Canada | 5 |
China | 3 |
Switzerland | 3 |
Other | 16 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $304,803 | $304,803 | |
Money Market Mutual Fund | 5,976 | 5,976 | |
Total Investments | $310,779 | $310,779 |
September 30, 2019
Shares | Value | ||
Preferred Stock—2.8% | |||
Health Care—2.8% | |||
Grifols SA (Preference Shares), Class B, 1.840% (Spain) | 5,806 | $118 | |
Total Preferred Stock (Identified Cost $94) | 118 | ||
Common Stocks—92.1% | |||
Communication Services—1.2% | |||
Cellnex Telecom SA 144A (Spain)(1)(2) | 1,240 | 51 | |
Consumer Discretionary—12.8% | |||
adidas AG (Germany) | 251 | 78 | |
Booking Holdings, Inc. (Netherlands)(2) | 84 | 165 | |
EssilorLuxottica SA (France) | 636 | 92 | |
Flutter Entertainment plc (Ireland) | 910 | 85 | |
Hermes International (France) | 12 | 8 | |
Industria de Diseno Textil SA (Spain) | 1,065 | 33 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 144 | 57 | |
Prosus NV (Netherlands)(2) | 313 | 23 | |
541 | |||
Consumer Staples—25.0% | |||
Anheuser-Busch InBev NV (Belgium) | 1,687 | 161 | |
Diageo plc (United Kingdom) | 1,764 | 72 | |
Heineken NV (Netherlands) | 915 | 99 | |
L’Oreal SA (France) | 161 | 45 | |
Nestle S.A. Registered Shares (Switzerland) | 2,290 | 248 | |
Pernod Ricard SA (France) | 259 | 46 | |
Philip Morris International, Inc. (United States) | 1,326 | 101 | |
Reckitt Benckiser Group plc (United Kingdom) | 719 | 56 | |
Unilever NV (Netherlands) | 3,876 | 233 | |
1,061 | |||
Financials—4.9% | |||
ABN AMRO Bank NV CVA 144A (Netherlands)(1) | 1,826 | 32 | |
Groupe Bruxelles Lambert SA (Belgium) | 42 | 4 | |
London Stock Exchange Group plc (United Kingdom) | 1,730 | 156 |
Shares | Value | ||
Financials—continued | |||
Pargesa Holding SA (Switzerland) | 181 | $14 | |
206 | |||
Health Care—8.1% | |||
Alcon, Inc. (Switzerland)(2) | 752 | 44 | |
Coloplast A/S Class B (Denmark) | 383 | 46 | |
Eurofins Scientific SE (Luxembourg)(3) | 6 | 3 | |
Fresenius Medical Care AG & Co. KGaA (Germany) | 633 | 43 | |
Lonza Group AG (Switzerland) | 140 | 47 | |
Medtronic plc (United States) | 1,475 | 160 | |
343 | |||
Industrials—25.0% | |||
Aena SME SA 144A (Spain)(1) | 481 | 88 | |
Ashtead Group plc (United Kingdom) | 2,559 | 71 | |
DCC plc (Ireland) | 849 | 74 | |
IMCD NV (Netherlands) | 57 | 4 | |
Kingspan Group plc (Ireland) | 1,253 | 61 | |
RELX plc (United Kingdom) | 5,235 | 125 | |
Rentokil Initial plc (United Kingdom) | 16,309 | 94 | |
Safran SA (France) | 963 | 152 | |
Teleperformance (France) | 599 | 130 | |
Vinci SA (France) | 1,365 | 147 | |
Wolters Kluwer NV (Netherlands) | 1,577 | 115 | |
1,061 | |||
Information Technology—10.5% | |||
Accenture plc Class A (United States) | 965 | 186 | |
Amadeus IT Group SA (Spain) | 1,041 | 74 | |
SAP SE (Germany) | 1,572 | 185 | |
445 | |||
Materials—4.6% | |||
Air Liquide SA (France) | 825 | 117 | |
Sika AG Registered Shares (Switzerland) | 524 | 77 | |
194 | |||
Total Common Stocks (Identified Cost $2,385) | 3,902 | ||
Total Long-Term Investments—94.9% (Identified Cost $2,479) | 4,020 | ||
Shares | Value | ||
Securities Lending Collateral—0.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(4)(5) | 2,474 | $2 | |
Total Securities Lending Collateral (Identified Cost $2) | 2 | ||
TOTAL INVESTMENTS—94.9% (Identified Cost $2,481) | $4,022 | ||
Other assets and liabilities, net—5.1% | 215 | ||
NET ASSETS—100.0% | $4,237 |
Footnote Legend: | |
(1) | 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, 2019, these securities amounted to a value of $171 or 4.0% of net assets. |
(2) | Non-income producing. |
(3) | All or a portion of security is on loan. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(5) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
France | 20% |
Netherlands | 17 |
United Kingdom | 14 |
United States | 11 |
Switzerland | 11 |
Spain | 9 |
Germany | 8 |
Other | 10 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $3,902 | $3,902 | |
Preferred Stock | 118 | 118 | |
Securities Lending Collateral | 2 | 2 | |
Total Investments | $4,022 | $4,022 |
September 30, 2019
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) | $110,856 | $234,985 | $52,964 | ||
Foreign currency at value(2) | — | —(a) | —(a) | ||
Cash | 2,934 | 4,777 | 971 | ||
Receivables | |||||
Investment securities sold | 2,246 | — | — | ||
Fund shares sold | 168 | 581 | 51 | ||
Dividends | 125 | 889 | 142 | ||
Tax reclaims | 29 | 71 | 31 | ||
Prepaid Trustees’ retainer | 2 | 4 | 1 | ||
Prepaid expenses | 25 | 35 | 30 | ||
Other assets | 9 | 19 | 4 | ||
Total assets | 116,394 | 241,361 | 54,194 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 107 | 398 | —(a) | ||
Investment securities purchased | 4,037 | — | — | ||
Investment advisory fees | 57 | 154 | 32 | ||
Distribution and service fees | 20 | 12 | 1 | ||
Administration and accounting fees | 10 | 21 | 5 | ||
Transfer agent and sub-transfer agent fees and expenses | 19 | 90 | 9 | ||
Professional fees | 23 | 25 | 25 | ||
Trustee deferred compensation plan | 9 | 19 | 4 | ||
Other accrued expenses | 8 | 15 | 4 | ||
Total liabilities | 4,290 | 734 | 80 | ||
Net Assets | $112,104 | $240,627 | $54,114 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $88,330 | $187,166 | $47,604 | ||
Accumulated earnings (loss) | 23,774 | 53,461 | 6,510 | ||
Net Assets | $112,104 | $240,627 | $54,114 | ||
Net Assets: | |||||
Class A | $37,533 | $21,612 | $2,318 | ||
Class C | $15,046 | $9,399 | $736 | ||
Class I | $50,089 | $206,723 | $51,060 | ||
Class R6 | $9,436 | $2,893 | $— | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 2,308,577 | 620,732 | 291,278 | ||
Class C | 928,955 | 281,274 | 92,963 | ||
Class I | 3,079,318 | 6,021,841 | 6,436,388 | ||
Class R6 | 580,139 | 84,073 | — | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $16.26 | $34.82 | $7.96 | ||
Class C | $16.20 | $33.42 | $7.92 | ||
Class I | $16.27 | $34.33 | $7.93 | ||
Class R6 | $16.27 | $34.41 | $— |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $17.25 | $36.94 | $8.45 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1)Investment in securities at cost | $89,696 | $189,994 | $45,752 | ||
(2) Foreign currency at cost | $— | $—(a) | $—(a) |
(a) | Amount is less than $500. |
Herzfeld Fund | Horizon Wealth Masters Fund | KAR Emerging Markets Small-Cap Fund | |||
Assets | |||||
Investment in securities at value(1)(2) | $50,129 | $52,004 | $113,689 | ||
Foreign currency at value(3) | — | — | 33 | ||
Cash | 1,059 | 155 | 436 | ||
Receivables | |||||
Investment securities sold | 250 | 2,655 | 2 | ||
Fund shares sold | 118 | 1 | 492 | ||
Dividends | 80 | 49 | 254 | ||
Tax reclaims | — | — | 4 | ||
Securities lending income | 4 | 17 | — | ||
Prepaid Trustees’ retainer | 1 | 1 | 2 | ||
Prepaid expenses | 30 | 30 | 78 | ||
Other assets | 4 | 4 | 9 | ||
Total assets | 51,675 | 54,916 | 114,999 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 269 | 52 | 128 | ||
Investment securities purchased | — | 2,887 | 684 | ||
Collateral on securities loaned | 855 | 2,588 | — | ||
Investment advisory fees | 40 | 23 | 89 | ||
Distribution and service fees | 14 | 15 | 6 | ||
Administration and accounting fees | 5 | 5 | 10 | ||
Transfer agent and sub-transfer agent fees and expenses | 8 | 11 | 25 | ||
Professional fees | 15 | 21 | 27 | ||
Trustee deferred compensation plan | 4 | 4 | 9 | ||
Other accrued expenses | 4 | 5 | 9 | ||
Other payables | 37 | — | — | ||
Total liabilities | 1,251 | 5,611 | 987 | ||
Net Assets | $50,424 | $49,305 | $114,012 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $48,864 | $37,889 | $108,027 | ||
Accumulated earnings (loss) | 1,560 | 11,416 | 5,985 | ||
Net Assets | $50,424 | $49,305 | $114,012 | ||
Net Assets: | |||||
Class A | $4,956 | $13,275 | $27,479 | ||
Class C | $15,347 | $15,134 | $736 | ||
Class I | $30,121 | $20,896 | $85,699 | ||
Class R6 | $— | $— | $98 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 444,799 | 810,927 | 2,271,524 | ||
Class C | 1,384,021 | 964,560 | 61,150 | ||
Class I | 2,702,042 | 1,265,721 | 7,048,719 | ||
Class R6 | — | — | 8,091 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $11.14 | $16.37 | $12.10 | ||
Class C | $11.09 | $15.69 | $12.03 | ||
Class I | $11.15 | $16.51 | $12.16 | ||
Class R6 | $— | $— | $12.16 |
Herzfeld Fund | Horizon Wealth Masters Fund | KAR Emerging Markets Small-Cap Fund | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $11.82 | $17.37 | $12.84 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1)Investment in securities at cost | $48,014 | $39,093 | $105,368 | ||
(2) Market value of securities on loan | $838 | $2,501 | $— | ||
(3) Foreign currency at cost | $— | $— | $33 |
KAR International Small-Cap Fund | Rampart Alternatives Diversifier Fund | Rampart Equity Trend Fund | |||
Assets | |||||
Investment in unaffiliated securities at value(1) | $1,501,509 | $17,973 | $308,089 | ||
Investment in affiliated funds at value(2) | — | 20,374 | — | ||
Foreign currency at value(3) | 838 | — | — | ||
Cash | 21,200 | 758 | 1,599 | ||
Receivables | |||||
Investment securities sold | 1,287 | — | 21,598 | ||
Fund shares sold | 4,632 | 2 | 56 | ||
Dividends | 1,636 | 14 | 281 | ||
Tax reclaims | 242 | — | — | ||
Prepaid Trustees’ retainer | 28 | 1 | 6 | ||
Prepaid expenses | 116 | 33 | 37 | ||
Other assets | 123 | 3 | 25 | ||
Total assets | 1,531,611 | 39,158 | 331,691 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 1,305 | 64 | 956 | ||
Investment securities purchased | 6,766 | 14 | 18,786 | ||
Investment advisory fees | 1,227 | — | 259 | ||
Distribution and service fees | 46 | 5 | 130 | ||
Administration and accounting fees | 131 | 4 | 27 | ||
Transfer agent and sub-transfer agent fees and expenses | 338 | 9 | 79 | ||
Professional fees | 21 | 15 | 22 | ||
Trustee deferred compensation plan | 123 | 3 | 25 | ||
Other accrued expenses | 68 | 3 | 25 | ||
Total liabilities | 10,025 | 117 | 20,309 | ||
Net Assets | $1,521,586 | $39,041 | $311,382 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $1,493,270 | $58,828 | $706,474 | ||
Accumulated earnings (loss) | 28,316 | (19,787) | (395,092) | ||
Net Assets | $1,521,586 | $39,041 | $311,382 | ||
Net Assets: | |||||
Class A | $70,958 | $15,897 | $108,998 | ||
Class C | $37,210 | $2,126 | $128,143 | ||
Class I | $1,372,552 | $21,018 | $73,639 | ||
Class R6 | $40,866 | $— | $602 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 4,185,490 | 1,397,380 | 7,189,445 | ||
Class C | 2,236,458 | 187,782 | 8,892,904 | ||
Class I | 80,573,781 | 1,852,328 | 4,791,676 | ||
Class R6 | 2,396,458 | — | 38,925 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $16.95 | $11.38 | $15.16 | ||
Class C | $16.64 | $11.32 | $14.41 | ||
Class I | $17.03 | $11.35 | $15.37 | ||
Class R6 | $17.05 | $— | $15.47 |
KAR International Small-Cap Fund | Rampart Alternatives Diversifier Fund | Rampart Equity Trend Fund | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $17.98 | $12.07 | $16.08 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1)Investment in unaffiliated securities at cost | $1,452,132 | $17,094 | $269,974 | ||
(2) Investment in affiliated funds at cost | $— | $13,160 | $— | ||
(3) Foreign currency at cost | $844 | $— | $— |
Rampart Multi-Asset Trend Fund | Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | |||
Assets | |||||
Investment in securities at value(1) | $49,245 | $201,412 | $310,779 | ||
Foreign currency at value(2) | — | — | 18 | ||
Cash | 636 | 1,174 | 7,101 | ||
Receivables | |||||
Investment securities sold | 3,077 | 4,488 | — | ||
Fund shares sold | 9 | 23 | 665 | ||
Dividends | 18 | 193 | 238 | ||
Tax reclaims | — | — | 236 | ||
Prepaid Trustees’ retainer | 1 | 4 | 6 | ||
Prepaid expenses | 18 | 32 | 48 | ||
Other assets | 4 | 17 | 26 | ||
Total assets | 53,008 | 207,343 | 319,117 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 38 | 577 | 212 | ||
Investment securities purchased | 3,054 | 3,012 | — | ||
Foreign capital gains tax | — | — | 322 | ||
Investment advisory fees | 41 | 76 | 209 | ||
Distribution and service fees | 26 | 64 | 44 | ||
Administration and accounting fees | 5 | 18 | 28 | ||
Transfer agent and sub-transfer agent fees and expenses | 12 | 38 | 47 | ||
Professional fees | 21 | 21 | 31 | ||
Trustee deferred compensation plan | 4 | 17 | 26 | ||
Other accrued expenses | 5 | 17 | 56 | ||
Total liabilities | 3,206 | 3,840 | 975 | ||
Net Assets | $49,802 | $203,503 | $318,142 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $66,594 | $192,816 | $217,911 | ||
Accumulated earnings (loss) | (16,792) | 10,687 | 100,231 | ||
Net Assets | $49,802 | $203,503 | $318,142 | ||
Net Assets: | |||||
Class A | $12,441 | $98,647 | $99,951 | ||
Class C | $28,019 | $51,461 | $28,147 | ||
Class I | $9,342 | $53,395 | $124,340 | ||
Class R6 | $— | $— | $65,704 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 1,082,055 | 7,215,628 | 6,106,545 | ||
Class C | 2,535,780 | 3,834,892 | 2,072,268 | ||
Class I | 807,524 | 3,911,652 | 7,585,649 | ||
Class R6 | — | — | 4,002,520 | ||
Net Asset Value and Redemption Price Per Share: | |||||
Class A | $11.50 | $13.67 | $16.37 | ||
Class C | $11.05 | $13.42 | $13.58 | ||
Class I | $11.57 | $13.65 | $16.39 | ||
Class R6 | $— | $— | $16.42 |
Rampart Multi-Asset Trend Fund | Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | |||
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $12.20 | $14.50 | $17.37 | ||
Maximum Sales Charge - Class A | 5.75% | 5.75% | 5.75% | ||
(1)Investment in securities at cost | $44,985 | $180,410 | $214,443 | ||
(2) Foreign currency at cost | $— | $— | $18 |
Vontobel Greater European Opportunities Fund | |
Assets | |
Investment in securities at value(1)(2) | $4,022 |
Cash | 175 |
Receivables | |
Fund shares sold | —(a) |
Receivable from adviser | 6 |
Dividends | 4 |
Tax reclaims | 51 |
Prepaid Trustees’ retainer | —(a) |
Prepaid expenses | 18 |
Other assets | —(a) |
Total assets | 4,276 |
Liabilities | |
Payables | |
Fund shares repurchased | 6 |
Investment securities purchased | 2 |
Collateral on securities loaned | 2 |
Distribution and service fees | 1 |
Administration and accounting fees | 1 |
Transfer agent and sub-transfer agent fees and expenses | 1 |
Professional fees | 24 |
Trustee deferred compensation plan | —(a) |
Other accrued expenses | 2 |
Total liabilities | 39 |
Net Assets | $4,237 |
Net Assets Consist of: | |
Capital paid in on shares of beneficial interest | $2,246 |
Accumulated earnings (loss) | 1,991 |
Net Assets | $4,237 |
Net Assets: | |
Class A | $1,378 |
Class C | $579 |
Class I | $2,280 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 119,283 |
Class C | 51,673 |
Class I | 197,450 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $11.55 |
Class C | $11.21 |
Class I | $11.55 |
Maximum Offering Price per Share (NAV/(1-Maximum Sales Charge)): | |
Class A | $12.25 |
Maximum Sales Charge - Class A | 5.75% |
(1)Investment in securities at cost | $2,481 |
(2) Market value of securities on loan | $2 |
(a) | Amount is less than $500. |
YEAR ENDEDSeptember 30, 2019
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | |||
Investment Income | |||||
Dividends | $2,971 | $6,453 | $1,676 | ||
Foreign taxes withheld | (197) | (347) | (177) | ||
Total investment income | 2,774 | 6,106 | 1,499 | ||
Expenses | |||||
Investment advisory fees | 609 | 1,708 | 447 | ||
Distribution and service fees, Class A | 82 | 47 | 6 | ||
Distribution and service fees, Class C | 163 | 91 | 8 | ||
Administration and accounting fees | 106 | 218 | 44 | ||
Transfer agent fees and expenses | 42 | 87 | 19 | ||
Sub-transfer agent fees and expenses, Class A | 27 | 239 | 2 | ||
Sub-transfer agent fees and expenses, Class C | 14 | 11 | 1 | ||
Sub-transfer agent fees and expenses, Class I | 32 | 190 | 40 | ||
Printing fees and expenses | 14 | 29 | 8 | ||
Professional fees | 24 | 27 | 28 | ||
Interest expense | —(1) | —(1) | —(1) | ||
Registration fees | 57 | 67 | 47 | ||
Trustees’ fees and expenses | 7 | 15 | 4 | ||
Miscellaneous expenses | 11 | 22 | 6 | ||
Total expenses | 1,188 | 2,751 | 660 | ||
Less expenses reimbursed and/or waived by investment adviser(2) | (2) | (306) | (87) | ||
Less low balance account fees | —(1) | — | — | ||
Net expenses | 1,186 | 2,445 | 573 | ||
Net investment income (loss) | 1,588 | 3,661 | 926 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 3,252 | 6,961 | 1,841 | ||
Foreign currency transactions | (8) | (5) | (1) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 11,188 | 22,132 | 2,363 | ||
Foreign currency transactions | (1) | (2) | —(1) | ||
Net realized and unrealized gain (loss) on investments | 14,431 | 29,086 | 4,203 | ||
Net increase (decrease) in net assets resulting from operations | $16,019 | $32,747 | $5,129 |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
Herzfeld Fund | Horizon Wealth Masters Fund | KAR Emerging Markets Small-Cap Fund | |||
Investment Income | |||||
Dividends | $2,191 | $811 | $3,728 | ||
Security lending, net of fees | 67 | 141 | — | ||
Foreign taxes withheld | — | (2) | (318) | ||
Total investment income | 2,258 | 950 | 3,410 | ||
Expenses | |||||
Investment advisory fees | 546 | 471 | 913 | ||
Distribution and service fees, Class A | 13 | 38 | 50 | ||
Distribution and service fees, Class C | 167 | 169 | 5 | ||
Administration and accounting fees | 65 | 66 | 88 | ||
Transfer agent fees and expenses | 24 | 24 | 32 | ||
Sub-transfer agent fees and expenses, Class A | 4 | 13 | 22 | ||
Sub-transfer agent fees and expenses, Class C | 15 | 16 | —(1) | ||
Sub-transfer agent fees and expenses, Class I | 17 | 21 | 68 | ||
Custodian fees | —(1) | 5 | 3 | ||
Printing fees and expenses | 8 | 8 | 15 | ||
Professional fees | 14 | 21 | 37 | ||
Interest expense | —(1) | —(1) | 4 | ||
Registration fees | 47 | 47 | 61 | ||
Trustees’ fees and expenses | 5 | 5 | 5 | ||
Miscellaneous expenses | 7 | 10 | 18 | ||
Total expenses | 932 | 914 | 1,321 | ||
Less expenses reimbursed and/or waived by investment adviser(2) | (15) | (153) | (41) | ||
Less low balance account fees | — | —(1) | — | ||
Net expenses | 917 | 761 | 1,280 | ||
Net investment income (loss) | 1,341 | 189 | 2,130 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | (1,651) | 2,379 | (4,173) | ||
Foreign currency transactions | — | — | (40) | ||
Capital gain received from investments in underlying funds | 1,374 | — | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (1,880) | (7,204) | 7,448 | ||
Foreign currency transactions | — | — | —(1) | ||
Net realized and unrealized gain (loss) on investments | (2,157) | (4,825) | 3,235 | ||
Net increase (decrease) in net assets resulting from operations | $(816) | $(4,636) | $5,365 |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
KAR International Small-Cap Fund | Rampart Alternatives Diversifier Fund | Rampart Equity Trend Fund | |||
Investment Income | |||||
Dividends | $53,903 | $424 | $6,104 | ||
Dividends from affiliated funds | — | 658 | — | ||
Foreign taxes withheld | (2,689) | — | — | ||
Total investment income | 51,214 | 1,082 | 6,104 | ||
Expenses | |||||
Investment advisory fees | 11,970 | — | 3,526 | ||
Distribution and service fees, Class A | 151 | 32 | 242 | ||
Distribution and service fees, Class C | 363 | 56 | 1,695 | ||
Administration and accounting fees | 1,267 | 50 | 376 | ||
Transfer agent fees and expenses | 516 | 18 | 191 | ||
Sub-transfer agent fees and expenses, Class A | 65 | 14 | 79 | ||
Sub-transfer agent fees and expenses, Class C | 35 | 6 | 134 | ||
Sub-transfer agent fees and expenses, Class I | 1,151 | 25 | 76 | ||
Custodian fees | 21 | — | 1 | ||
Printing fees and expenses | 233 | 8 | 45 | ||
Professional fees | 48 | 24 | 26 | ||
Interest expense | 2 | —(1) | 1 | ||
Registration fees | 167 | 49 | 61 | ||
Trustees’ fees and expenses | 85 | 3 | 31 | ||
Miscellaneous expenses | 80 | 6 | 46 | ||
Total expenses | 16,154 | 291 | 6,530 | ||
Less low balance account fees | — | —(1) | —(1) | ||
Net expenses | 16,154 | 291 | 6,530 | ||
Net investment income (loss) | 35,060 | 791 | (426) | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Unaffiliated investments | (53,634) | (122) | 48,622 | ||
Affiliated funds | — | 218 | — | ||
Foreign currency transactions | (470) | — | — | ||
Net increase from payment by affiliates(2) | 19 | — | — | ||
Capital gain received from investments in affiliated funds | — | 577 | — | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Unaffiliated investments | 27,987 | (2,608) | (71,222) | ||
Affiliated funds | — | 1,221 | — | ||
Foreign currency transactions | (51) | — | — | ||
Net realized and unrealized gain (loss) on investments | (26,149) | (714) | (22,600) | ||
Net increase (decrease) in net assets resulting from operations | $8,911 | $77 | $(23,026) |
(1) | Amount is less than $500. |
(2) | See Note 3H in the Notes to Financial Statements. |
Rampart Multi-Asset Trend Fund | Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | |||
Investment Income | |||||
Dividends | $1,228 | $4,802 | $4,181 | ||
Security lending, net of fees | — | — | 4 | ||
Foreign taxes withheld | — | — | (211) | ||
Total investment income | 1,228 | 4,802 | 3,974 | ||
Expenses | |||||
Investment advisory fees | 577 | 986 | 2,226 | ||
Distribution and service fees, Class A | 33 | 238 | 259 | ||
Distribution and service fees, Class C | 326 | 654 | 291 | ||
Administration and accounting fees | 69 | 237 | 282 | ||
Transfer agent fees and expenses | 31 | 105 | 125 | ||
Sub-transfer agent fees and expenses, Class A | 11 | 57 | 57 | ||
Sub-transfer agent fees and expenses, Class C | 26 | 50 | 23 | ||
Sub-transfer agent fees and expenses, Class I | 12 | 50 | 88 | ||
Custodian fees | 5 | 5 | 7 | ||
Printing fees and expenses | 10 | 27 | 39 | ||
Professional fees | 23 | 23 | 33 | ||
Interest expense | —(1) | —(1) | —(1) | ||
Registration fees | 44 | 46 | 66 | ||
Trustees’ fees and expenses | 5 | 18 | 19 | ||
Miscellaneous expenses | 12 | 37 | 48 | ||
Total expenses | 1,184 | 2,533 | 3,563 | ||
Less expenses reimbursed and/or waived by investment adviser(2) | — | — | (168) | ||
Less low balance account fees | —(1) | —(1) | (2) | ||
Net expenses | 1,184 | 2,533 | 3,393 | ||
Net investment income (loss) | 44 | 2,269 | 581 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 2,697 | 14,546 | 5,388 | ||
Foreign currency transactions | — | — | (53) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (2,016) | (19,111) | 19,062 | ||
Foreign currency transactions | — | — | (6) | ||
Net realized and unrealized gain (loss) on investments | 681 | (4,565) | 24,391 | ||
Net increase (decrease) in net assets resulting from operations | $725 | $(2,296) | $24,972 |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
Vontobel Greater European Opportunities Fund | |
Investment Income | |
Dividends | $125 |
Security lending, net of fees | 1 |
Foreign taxes withheld | (12) |
Total investment income | 114 |
Expenses | |
Investment advisory fees | 46 |
Distribution and service fees, Class A | 5 |
Distribution and service fees, Class C | 9 |
Administration and accounting fees | 14 |
Transfer agent fees and expenses | 3 |
Sub-transfer agent fees and expenses, Class A | 3 |
Sub-transfer agent fees and expenses, Class C | 1 |
Sub-transfer agent fees and expenses, Class I | 3 |
Custodian fees | 1 |
Printing fees and expenses | 2 |
Professional fees | 30 |
Interest expense | —(1) |
Registration fees | 42 |
Trustees’ fees and expenses | 1 |
Miscellaneous expenses | 3 |
Total expenses | 163 |
Less expenses reimbursed and/or waived by investment adviser(2) | (83) |
Net expenses | 80 |
Net investment income (loss) | 34 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 521 |
Foreign currency transactions | (1) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | (688) |
Foreign currency transactions | (1) |
Net realized and unrealized gain (loss) on investments | (169) |
Net increase (decrease) in net assets resulting from operations | $(135) |
(1) | Amount is less than $500. |
(2) | See Note 3D in the Notes to Financial Statements. |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | ||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $1,588 | $1,994 | $3,661 | $4,925 | |||
Net realized gain (loss) | 3,244 | 3,834 | 6,956 | 3,470 | |||
Net change in unrealized appreciation (depreciation) | 11,187 | (6,964) | 22,130 | 4,685 | |||
Increase (decrease) in net assets resulting from operations | 16,019 | (1,136) | 32,747 | 13,080 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (1,763) | (1,072)(1) | (245) | (366)(1) | |||
Class C | (815) | (490)(1) | (192) | (174)(1) | |||
Class I | (1,856) | (1,448)(1) | (4,838) | (3,322)(1) | |||
Class R6 | (506) | (174)(1) | (62) | (171)(1) | |||
Total Dividends and Distributions to Shareholders | (4,940) | (3,184) | (5,337) | (4,033) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 1,297 | (3,553) | (554) | (5,316) | |||
Class C | (4,772) | (6,325) | (1,321) | (1,680) | |||
Class I | 15,215 | (24,109) | 37,767 | (16,015) | |||
Class R6 | (3,202) | 11,888 | (3,984) | (1,619) | |||
Increase (decrease) in net assets from capital transactions | 8,538 | (22,099) | 31,908 | (24,630) | |||
Net increase (decrease) in net assets | 19,617 | (26,419) | 59,318 | (15,583) | |||
Net Assets | |||||||
Beginning of period | 92,487 | 118,906 | 181,309 | 196,892 | |||
End of Period | $112,104 | $92,487 | $240,627 | $181,309 | |||
Accumulated undistributed net investment income (loss) at end of period | N/A | $(6) | N/A | $3,839 |
(1) | For the year ended September 30, 2018, the distributions to shareholders for the Funds were as follows: |
Dividends and Distributions to Shareholders | ||||
Net investment income: | ||||
Class A | $(697) | $(323) | ||
Class C | (254) | (154) | ||
Class I | (904) | (3,038) | ||
Class R6 | (173) | (157) | ||
Net realized gains: | ||||
Class A | (375) | (43) | ||
Class C | (236) | (20) | ||
Class I | (544) | (284) | ||
Class R6 | (1) | (14) | ||
Total | $(3,184) | $(4,033) |
Duff & Phelps International Real Estate Securities Fund | Herzfeld Fund | ||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $926 | $1,265 | $1,341 | $1,312 | |||
Net realized gain (loss) | 1,840 | 2,007 | (277) | 5,182 | |||
Net change in unrealized appreciation (depreciation) | 2,363 | (1,193) | (1,880) | (2,017) | |||
Increase (decrease) in net assets resulting from operations | 5,129 | 2,079 | (816) | 4,477 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (70) | (41)(1) | (548) | (236)(1) | |||
Class C | (28) | (9)(1) | (1,673) | (411)(1) | |||
Class I | (1,620) | (500)(1) | (3,605) | (1,211)(1) | |||
Tax Return on Capital: | |||||||
Class A | — | — | (30) | — | |||
Class C | — | — | (92) | — | |||
Class I | — | — | (179) | — | |||
Total Dividends and Distributions to Shareholders | (1,718) | (550) | (6,127) | (1,858) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 18 | (528) | (580) | (2,309) | |||
Class C | (261) | (90) | (1,744) | (679) | |||
Class I | 7,864 | 17,135 | (2,608) | (1,270) | |||
Increase (decrease) in net assets from capital transactions | 7,621 | 16,517 | (4,932) | (4,258) | |||
Net increase (decrease) in net assets | 11,032 | 18,046 | (11,875) | (1,639) | |||
Net Assets | |||||||
Beginning of period | 43,082 | 25,036 | 62,299 | 63,938 | |||
End of Period | $54,114 | $43,082 | $50,424 | $62,299 | |||
Accumulated undistributed net investment income (loss) at end of period | N/A | $733 | N/A | $79 |
(1) | For the year ended September 30, 2018, the distributions to shareholders for the Funds were as follows: |
Dividends and Distributions to Shareholders | ||||
Net investment income: | ||||
Class A | $(41) | $(181) | ||
Class C | (9) | (310) | ||
Class I | (500) | (1,011) | ||
Net realized gains: | ||||
Class A | — | (55) | ||
Class C | — | (101) | ||
Class I | — | (200) | ||
Total | $(550) | $(1,858) |
Horizon Wealth Masters Fund | KAR Emerging Markets Small-Cap Fund | ||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $189 | $(119) | $2,130 | $213 | |||
Net realized gain (loss) | 2,379 | 5,266 | (4,213) | 212 | |||
Net change in unrealized appreciation (depreciation) | (7,204) | 2,266 | 7,448 | (90) | |||
Increase (decrease) in net assets resulting from operations | (4,636) | 7,413 | 5,365 | 335 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (1,150) | (170)(1) | (30) | (7)(1) | |||
Class C | (1,290) | (182)(1) | — | — | |||
Class I | (1,724) | (247)(1) | (172) | (102)(1) | |||
Total Dividends and Distributions to Shareholders | (4,164) | (599) | (202) | (109) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (3,268) | (3,701) | 21,148 | 2,998 | |||
Class C | (2,611) | (2,929) | 366 | 24 | |||
Class I | (4,486) | (4,312) | 53,589 | 19,761 | |||
Class R6 | — | — | 100 | — | |||
Increase (decrease) in net assets from capital transactions | (10,365) | (10,942) | 75,203 | 22,783 | |||
Net increase (decrease) in net assets | (19,165) | (4,128) | 80,366 | 23,009 | |||
Net Assets | |||||||
Beginning of period | 68,470 | 72,598 | 33,646 | 10,637 | |||
End of Period | $49,305 | $68,470 | $114,012 | $33,646 | |||
Accumulated undistributed net investment income (loss) at end of period | N/A | $(5) | N/A | $192 |
(1) | For the year ended September 30, 2018, the distributions to shareholders for the Funds were as follows: |
Dividends and Distributions to Shareholders | ||||
Net investment income: | ||||
Class A | $— | $(7) | ||
Class I | — | (102) | ||
Net realized gains: | ||||
Class A | (170) | — | ||
Class C | (182) | — | ||
Class I | (247) | — | ||
Total | $(599) | $(109) |
KAR International Small-Cap Fund | Rampart Alternatives Diversifier Fund | ||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $35,060 | $5,736 | $791 | $425 | |||
Net realized gain (loss) | (54,104) | 6,223 | 673 | 1,853 | |||
Net increase from payment by affiliates(1) | 19 | — | — | — | |||
Net change in unrealized appreciation (depreciation) | 27,936 | (3,949) | (1,387) | 229 | |||
Increase (decrease) in net assets resulting from operations | 8,911 | 8,010 | 77 | 2,507 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (477) | (336)(2) | (216) | (109)(2) | |||
Class C | (225) | (208)(2) | (73) | (71)(2) | |||
Class I | (10,947) | (3,359)(2) | (601) | (214)(2) | |||
Class R6 | (400) | (839)(2) | — | — | |||
Total Dividends and Distributions to Shareholders | (12,049) | (4,742) | (890) | (394) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 23,261 | 29,130 | 5,493 | (1,342) | |||
Class C | 1,790 | 22,067 | (7,376) | (3,979) | |||
Class I | 598,708 | 597,500 | 1,216 | (653) | |||
Class R6 | (28,632) | 32,554 | — | — | |||
Increase (decrease) in net assets from capital transactions | 595,127 | 681,251 | (667) | (5,974) | |||
Net increase (decrease) in net assets | 591,989 | 684,519 | (1,480) | (3,861) | |||
Net Assets | |||||||
Beginning of period | 929,597 | 245,078 | 40,521 | 44,382 | |||
End of Period | $1,521,586 | $929,597 | $39,041 | $40,521 | |||
Accumulated undistributed net investment income (loss) at end of period | N/A | $4,388 | N/A | $290 |
(1) | See Note 3H in the Notes to Financial Statements. |
(2) | For the year ended September 30, 2018, the distributions to shareholders for the Funds were as follows: |
Dividends and Distributions to Shareholders | ||||
Net investment income: | ||||
Class A | $(117) | $(109) | ||
Class C | (42) | (71) | ||
Class I | (1,302) | (214) | ||
Class R6 | (337) | — | ||
Net realized gains: | ||||
Class A | (219) | — | ||
Class C | (166) | — | ||
Class I | (2,057) | — | ||
Class R6 | (502) | — | ||
Total | $(4,742) | $(394) |
Rampart Equity Trend Fund | Rampart Multi-Asset Trend Fund | ||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $(426) | $(1,036) | $44 | $227 | |||
Net realized gain (loss) | 48,622 | 62,877 | 2,697 | 4,913 | |||
Net change in unrealized appreciation (depreciation) | (71,222) | 12,227 | (2,016) | (2,296) | |||
Increase (decrease) in net assets resulting from operations | (23,026) | 74,068 | 725 | 2,844 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | — | — | (44) | — | |||
Class I | — | — | (92) | — | |||
Total Dividends and Distributions to Shareholders | — | — | (136) | — | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 3,272 | (43,609) | (2,564) | (4,030) | |||
Class C | (77,294) | (73,514) | (11,924) | (12,942) | |||
Class I | (31,631) | (56,832) | (5,959) | (2,920) | |||
Class R6 | — | 353 | — | — | |||
Increase (decrease) in net assets from capital transactions | (105,653) | (173,602) | (20,447) | (19,892) | |||
Net increase (decrease) in net assets | (128,679) | (99,534) | (19,858) | (17,048) | |||
Net Assets | |||||||
Beginning of period | 440,061 | 539,595 | 69,660 | 86,708 | |||
End of Period | $311,382 | $440,061 | $49,802 | $69,660 | |||
Accumulated undistributed net investment income (loss) at end of period | N/A | $(814) | N/A | $79 |
Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | ||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $2,269 | $1,363 | $581 | $311 | |||
Net realized gain (loss) | 14,546 | 37,146 | 5,335 | 20,844 | |||
Net change in unrealized appreciation (depreciation) | (19,111) | (5,473) | 19,056 | 2,604 | |||
Increase (decrease) in net assets resulting from operations | (2,296) | 33,036 | 24,972 | 23,759 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (859) | (902)(1) | (9,904) | (6,247)(1) | |||
Class C | (63) | (24)(1) | (3,484) | (2,000)(1) | |||
Class I | (778) | (790)(1) | (7,873) | (4,710)(1) | |||
Class R6 | — | — | (42) | — | |||
Total Dividends and Distributions to Shareholders | (1,700) | (1,716) | (21,303) | (12,957) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 2,723 | (15,737) | (3,343) | (14,507) | |||
Class C | (33,744) | (29,070) | (2,189) | 923 | |||
Class I | (5,247) | (19,857) | 42,310 | 536 | |||
Class R6 | — | — | 60,096 | 407 | |||
Increase (decrease) in net assets from capital transactions | (36,268) | (64,664) | 96,874 | (12,641) | |||
Net increase (decrease) in net assets | (40,264) | (33,344) | 100,543 | (1,839) | |||
Net Assets | |||||||
Beginning of period | 243,767 | 277,111 | 217,599 | 219,438 | |||
End of Period | $203,503 | $243,767 | $318,142 | $217,599 | |||
Accumulated undistributed net investment income (loss) at end of period | N/A | $575 | N/A | $178 |
(1) | For the year ended September 30, 2018, the distributions to shareholders for the Funds were as follows: |
Dividends and Distributions to Shareholders | ||||
Net investment income: | ||||
Class A | $(902) | $(7) | ||
Class C | (24) | — | ||
Class I | (790) | (256) | ||
Net realized gains: | ||||
Class A | — | (6,240) | ||
Class C | — | (2,000) | ||
Class I | — | (4,454) | ||
Total | $(1,716) | $(12,957) |
Vontobel Greater European Opportunities Fund | |||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $34 | $63 | |
Net realized gain (loss) | 520 | 2,205 | |
Net change in unrealized appreciation (depreciation) | (689) | (2,206) | |
Increase (decrease) in net assets resulting from operations | (135) | 62 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (723) | (479)(1) | |
Class C | (365) | (237)(1) | |
Class I | (594) | (587)(1) | |
Total Dividends and Distributions to Shareholders | (1,682) | (1,303) | |
Change in Net Assets from Capital Transactions (See Note 5): | |||
Class A | (1,107) | (449) | |
Class C | (800) | (114) | |
Class I | 225 | (6,714) | |
Increase (decrease) in net assets from capital transactions | (1,682) | (7,277) | |
Net increase (decrease) in net assets | (3,499) | (8,518) | |
Net Assets | |||
Beginning of period | 7,736 | 16,254 | |
End of Period | $4,237 | $7,736 | |
Accumulated undistributed net investment income (loss) at end of period | N/A | $47 |
(1) | For the year ended September 30, 2018, the distributions to shareholders for the Funds were as follows: |
Dividends and Distributions to Shareholders | ||
Net investment income: | ||
Class A | $(58) | |
Class C | (17) | |
Class I | (84) | |
Net realized gains: | ||
Class A | (421) | |
Class C | (220) | |
Class I | (503) | |
Total | $(1,303) |
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 Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payments from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate | ||
Duff & Phelps Global Infrastructure Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $14.45 | 0.25 | — | 2.38 | 2.63 | (0.27) | — | (0.55) | (0.82) | — | 1.81 | $16.26 | 19.13 % | $37,533 | 1.26 % | 1.26 % | 1.69 % | 30 % | |
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 (6) | 37,401 | 1.29 (6) | 1.30 | 2.04 (6) | 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 (7) | 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 | |
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $14.39 | 0.14 | — | 2.37 | 2.51 | (0.15) | — | (0.55) | (0.70) | — | 1.81 | $16.20 | 18.32 % | $15,046 | 2.01 % | 2.01 % | 0.97 % | 30 % | |
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 (6) | 25,144 | 2.04 (6) | 2.05 | 1.30 (6) | 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 (7) | 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 | |
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $14.45 | 0.29 | — | 2.39 | 2.68 | (0.31) | — | (0.55) | (0.86) | — | 1.82 | $16.27 | 19.50 % | $50,089 | 1.02 % | 1.02 % | 1.94 % | 30 % | |
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 (6) | 56,361 | 1.04 (6) | 1.04 | 2.29 (6) | 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 (7) | 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 | |
Class R6 | |||||||||||||||||||
10/1/18 to 9/30/19 | $14.45 | 0.30 | — | 2.39 | 2.69 | (0.32) | — | (0.55) | (0.87) | — | 1.82 | $16.27 | 19.60 % | $9,436 | 0.91 % (8) | 0.93 % | 2.02 % | 30 % | |
1/30/18(9) 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 (10) | |
Duff & Phelps Global Real Estate Securities Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $30.30 | 0.51 | — | 4.46 | 4.97 | (0.44) | — | (0.01) | (0.45) | — | 4.52 | $34.82 | 16.72 % | $21,612 | 1.40 % | 2.61 % | 1.63 % | 31 % | |
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 (7) | 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 | |
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $29.50 | 0.25 | — | 4.29 | 4.54 | (0.61) | — | (0.01) | (0.62) | — | 3.92 | $33.42 | 15.84 % | $9,399 | 2.15 % | 2.20 % | 0.84 % | 31 % | |
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 (7) | 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 |
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 Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payments from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate | ||
Duff & Phelps Global Real Estate Securities Fund (Continued) | |||||||||||||||||||
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $30.33 | 0.59 | — | 4.35 | 4.94 | (0.93) | — | (0.01) | (0.94) | — | 4.00 | $34.33 | 17.01 % | $206,723 | 1.15 % | 1.19 % | 1.90 % | 31 % | |
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 (7) | 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 | |
Class R6 | |||||||||||||||||||
10/1/18 to 9/30/19 | $30.37 | 0.54 | — | 4.47 | 5.01 | (0.96) | — | (0.01) | (0.97) | — | 4.04 | $34.41 | 17.23 % | $2,893 | 0.94 % (8) | 1.08 % | 1.75 % | 31 % | |
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 (8) | 1.09 | 2.92 | 41 | |
11/3/16(9) 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 (10) | |
Duff & Phelps International Real Estate Securities Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $7.41 | 0.14 | — | 0.68 | 0.82 | (0.27) | — | — | (0.27) | — | 0.55 | $7.96 | 11.65 % | $2,318 | 1.50 % | 1.71 % | 1.87 % | 34 % | |
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 (7) | 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 | |
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $7.38 | 0.08 | — | 0.68 | 0.76 | (0.22) | — | — | (0.22) | — | 0.54 | $7.92 | 10.84 % | $736 | 2.25 % | 2.44 % | 1.06 % | 34 % | |
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 (7) | 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 | |
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $7.40 | 0.16 | — | 0.67 | 0.83 | (0.30) | — | — | (0.30) | — | 0.53 | $7.93 | 11.84 % | $51,060 | 1.25 % | 1.44 % | 2.10 % | 34 % | |
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 (7) | 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 |
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 Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payments from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate | ||
Herzfeld Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $12.64 | 0.29 | 0.28 | (0.78) | (0.21) | (0.36) | (0.06) | (0.87) | (1.29) | — | (1.50) | $11.14 | (0.37) % | $4,956 | 1.60 % | 1.63 % | 2.55 % | 61 % | |
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 (7) | 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 | |
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $12.59 | 0.20 | 0.28 | (0.78) | (0.30) | (0.27) | (0.06) | (0.87) | (1.20) | — | (1.50) | $11.09 | (1.14) % | $15,347 | 2.35 % | 2.40 % | 1.80 % | 61 % | |
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 (7) | 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 | |
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $12.66 | 0.31 | 0.29 | (0.79) | (0.19) | (0.39) | (0.06) | (0.87) | (1.32) | — | (1.51) | $11.15 | (0.16) % | $30,121 | 1.35 % | 1.37 % | 2.78 % | 61 % | |
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 (7) | 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 | |
Horizon Wealth Masters Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $18.80 | 0.07 | — | (1.33) | (1.26) | — | — | (1.17) | (1.17) | — | (2.43) | $16.37 | (5.83) % | $13,275 | 1.25 % | 1.52 % | 0.46 % | 25 % | |
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 (8) | 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 (7) | 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 | |
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $18.21 | (0.04) | — | (1.31) | (1.35) | — | — | (1.17) | (1.17) | — | (2.52) | $15.69 | (6.55) % | $15,134 | 2.00 % | 2.28 % | (0.29) % | 25 % | |
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 (8) | 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 (7) | 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 | |
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $18.91 | 0.12 | — | (1.35) | (1.23) | — | — | (1.17) | (1.17) | — | (2.40) | $16.51 | (5.62) % | $20,896 | 1.00 % | 1.27 % | 0.72 % | 25 % | |
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 (8) | 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 (7) | 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 |
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 Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payments from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate | ||
KAR Emerging Markets Small-Cap Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $11.66 | 0.32 | — | 0.15 | 0.47 | (0.03) | — | — | (0.03) | — | 0.44 | $12.10 | 4.10 % | $27,479 | 1.86 % | 1.90 % | 2.70 % | 44 % | |
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 (7) | 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 | |
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $11.65 | 0.17 | — | 0.21 | 0.38 | — | — | — | — | — | 0.38 | $12.03 | 3.26 % | $736 | 2.61 % | 2.62 % | 1.47 % | 44 % | |
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 (7) | 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 | |
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $11.70 | 0.34 | — | 0.16 | 0.50 | (0.04) | — | — | (0.04) | — | 0.46 | $12.16 | 4.33 % | $85,699 | 1.61 % | 1.67 % | 2.85 % | 44 % | |
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 (7) | 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 | |
Class R6 | |||||||||||||||||||
8/1/19(9) to 9/30/19 | $12.36 | 0.03 | — | (0.23) | (0.20) | — | — | — | — | — | (0.20) | $12.16 | (1.62) % | $98 | 1.51 % (7) | 1.62 % | 1.44 % | 44 % (10) | |
KAR International Small-Cap Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $17.15 | 0.44 | — | (0.47) | (0.03) | (0.06) | — | (0.11) | (0.17) | — (11) | (0.20) | $16.95 | (0.05) % (12) | $70,958 | 1.55 % (13) | 1.55 % | 2.66 % | 30 % | |
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 (7) | 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 | |
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $16.89 | 0.32 | — | (0.46) | (0.14) | — | — | (0.11) | (0.11) | — (11) | (0.25) | $16.64 | (0.78) % (12) | $37,210 | 2.29 % (13) | 2.29 % | 1.93 % | 30 % | |
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 (13) | 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 (7) | 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 | |
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $17.24 | 0.50 | — | (0.49) | 0.01 | (0.11) | — | (0.11) | (0.22) | — (11) | (0.21) | $17.03 | 0.18 % (12) | $1,372,552 | 1.30 % (13) | 1.30 % | 2.96 % | 30 % | |
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 (7) | 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 |
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 Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payments from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate | ||
KAR International Small-Cap Fund (Continued) | |||||||||||||||||||
Class R6 | |||||||||||||||||||
10/1/18 to 9/30/19 | $17.26 | 0.43 | — | (0.41) | 0.02 | (0.12) | — | (0.11) | (0.23) | — (11) | (0.21) | $17.05 | 0.24 % (12) | $40,866 | 1.19 % (13) | 1.19 % | 2.60 % | 30 % | |
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 (13) | 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 (7) | 1.52 | 2.19 | 40 | |
11/12/14(9) 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 (10) | |
Rampart Alternatives Diversifier Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $11.63 | 0.14 | 0.16 | (0.31) | (0.01) | (0.24) | — | — | (0.24) | — | (0.25) | $11.38 | 0.18 % | $15,897 | 0.76 % | 0.76 % | 1.25 % | 13 % | |
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 (7) | 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 | |
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $11.50 | 0.27 | 0.16 | (0.52) | (0.09) | (0.09) | — | — | (0.09) | — | (0.18) | $11.32 | (0.65) % | $2,126 | 1.50 % | 1.50 % | 2.44 % | 13 % | |
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 | — (11) | 0.31 | 0.56 | 0.87 | (0.04) | — | — | (0.04) | — | 0.83 | 10.73 | 8.86 | 19,611 | 1.49 (7) | 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 | |
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $11.62 | 0.25 | 0.16 | (0.39) | 0.02 | (0.29) | — | — | (0.29) | — | (0.27) | $11.35 | 0.44 % | $21,018 | 0.51 % | 0.51 % | 2.26 % | 13 % | |
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 (7) | 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 | |
Rampart Equity Trend Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $15.79 | 0.03 | — | (0.66) | (0.63) | — | — | — | — | — | (0.63) | $15.16 | (3.99) % | $108,998 | 1.56 % (13) | 1.56 % | 0.19 % | 228 % | |
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 (13) | 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 (8) | 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)(8) | 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 (13) | 1.60 | (0.22) | 674 |
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 Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payments from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate | ||
Rampart Equity Trend Fund (Continued) | |||||||||||||||||||
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $15.12 | (0.08) | — | (0.63) | (0.71) | — | — | — | — | — | (0.71) | $14.41 | (4.70) % | $128,143 | 2.30 % (13) | 2.30 % | (0.57) % | 228 % | |
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 (13) | 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 (8) | 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)(8) | 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 (13) | 2.36 | (0.97) | 674 | |
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $15.97 | 0.06 | — | (0.66) | (0.60) | — | — | — | — | — | (0.60) | $15.37 | (3.76) % | $73,639 | 1.31 % (13) | 1.31 % | 0.42 % | 228 % | |
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 (13) | 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 (8) | 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)(8) | 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 (13) | 1.35 | 0.04 | 674 | |
Class R6 | |||||||||||||||||||
10/1/18 to 9/30/19 | �� | $16.05 | 0.08 | — | (0.66) | (0.58) | — | — | — | — | — | (0.58) | $15.47 | (3.61) % | $602 | 1.21 % (13) | 1.21 % | 0.53 % | 228 % |
10/1/17 to 9/30/18 | 13.77 | 0.08 | — | 2.20 | 2.28 | — | — | — | — | — | 2.28 | 16.05 | 16.56 | 625 | 1.20 (13) | 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 (8) | 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)(8) | 1.25 | 0.49 | 229 | |
11/12/14(9) 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 (13) | 1.28 | 0.10 | 674 (10) | |
Rampart Multi-Asset Trend Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $11.24 | 0.05 | — | 0.25 | 0.30 | (0.04) | — | — | (0.04) | — | 0.26 | $11.50 | 2.65 % | $12,441 | 1.68 % (13) | 1.68 % | 0.45 % | 233 % | |
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 (13) | 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 (13) | 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 (7)(13) | 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 (13) | 1.62 | (0.15) | 519 | |
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $10.84 | (0.03) | — | 0.24 | 0.21 | — | — | — | — | — | 0.21 | $11.05 | 1.94 % | $28,019 | 2.42 % (13) | 2.42 % | (0.29) % | 233 % | |
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 (13) | 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 (13) | 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 (7)(13) | 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 (13) | 2.37 | (0.89) | 519 | |
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $11.33 | 0.07 | — | 0.26 | 0.33 | (0.09) | — | — | (0.09) | — | 0.24 | $11.57 | 2.92 % | $9,342 | 1.44 % (13) | 1.44 % | 0.68 % | 233 % | |
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 (13) | 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 (13) | 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 (7)(13) | 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 (13) | 1.36 | 0.11 | 519 |
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 Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payments from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate | ||
Rampart Sector Trend Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $13.74 | 0.15 | — | (0.10) | 0.05 | (0.12) | — | — | (0.12) | — | (0.07) | $13.67 | 0.52 % | $98,647 | 0.99 % | 0.99 % | 1.20 % | 347 % | |
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 (6) | 99,321 | 1.03 (6) | 1.03 | 0.98 (6) | 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 (7) | 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 | |
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $13.47 | 0.05 | — | (0.09) | (0.04) | (0.01) | — | — | (0.01) | — | (0.05) | $13.42 | (0.29) % | $51,461 | 1.75 % | 1.75 % | 0.43 % | 347 % | |
10/1/17 to 9/30/18 | 11.94 | — (11) | — | 1.53 | 1.53 | — (11) | — | — | — | — | 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 (6) | 105,603 | 1.78 (6) | 1.78 | 0.22 (6) | 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 (7) | 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 | |
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $13.73 | 0.18 | — | (0.10) | 0.08 | (0.16) | — | — | (0.16) | — | (0.08) | $13.65 | 0.72 % | $53,395 | 0.76 % | 0.76 % | 1.44 % | 347 % | |
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 (6) | 72,187 | 0.78 (6) | 0.78 | 1.22 (6) | 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 (7) | 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 | |
Vontobel Global Opportunities Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $17.02 | 0.02 | — | 0.97 | 0.99 | — (11) | — | (1.64) | (1.64) | — | (0.65) | $16.37 | 7.62 % | $99,951 | 1.37 % (8) | 1.40 % | 0.11 % | 35 % | |
10/1/17 to 9/30/18 | 16.22 | 0.02 | — | 1.68 | 1.70 | — (11) | — | (0.90) | (0.90) | — | 0.80 | 17.02 | 10.80 | 104,081 | 1.40 (13) | 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 (6) | 113,151 | 1.45 (6) | 1.46 | 0.05 (6) | 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 (7) | 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 | |
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $14.51 | (0.08) | — | 0.79 | 0.71 | — | — | (1.64) | (1.64) | — | (0.93) | $13.58 | 6.89 % | $28,147 | 2.12 % (8) | 2.16 % | (0.64) % | 35 % | |
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 (13) | 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 (6) | 30,065 | 2.21 (6) | 2.22 | (0.68) (6) | 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 (7) | 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 | |
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $17.02 | 0.06 | — | 0.99 | 1.05 | (0.04) | — | (1.64) | (1.68) | — | (0.63) | $16.39 | 7.98 % | $124,340 | 1.10 % (8) | 1.17 % | 0.41 % | 35 % | |
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 (13) | 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 (6) | 76,222 | 1.20 (6) | 1.21 | 0.38 (6) | 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 (7) | 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 | |
Class R6 | |||||||||||||||||||
10/1/18 to 9/30/19 | $17.03 | 0.13 | — | 0.94 | 1.07 | (0.04) | — | (1.64) | (1.68) | — | (0.61) | $16.42 | 8.19 % | $65,704 | 0.90 % (8) | 1.08 % | 0.80 % | 35 % | |
1/30/18(9) to 9/30/18 | 17.27 | 0.06 | — | (0.30) | (0.24) | — | — | — | — | — | (0.24) | 17.03 | 1.39 | 425 | 1.11 (13) | 1.11 | 0.56 | 38 (10) |
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 Tax Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payments from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate | ||
Vontobel Greater European Opportunities Fund | |||||||||||||||||||
Class A | |||||||||||||||||||
10/1/18 to 9/30/19 | $15.62 | 0.07 | — | (0.38) | (0.31) | (0.14) | — | (3.62) | (3.76) | — | (4.07) | $11.55 | 2.14 % | $1,378 | 1.45 % | 2.99 % | 0.62 % | 16 % | |
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 (7) | 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 | |
Class C | |||||||||||||||||||
10/1/18 to 9/30/19 | $15.22 | (0.04) | — | (0.35) | (0.39) | — | — | (3.62) | (3.62) | — | (4.01) | $11.21 | 1.34 % | $579 | 2.20 % | 3.73 % | (0.32) % | 16 % | |
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 (7) | 2.58 | 0.26 | 49 | |
10/1/14 to 9/30/15 | 15.08 | 0.05 | — | 0.01 | 0.06 | — (11) | — | (0.19) | (0.19) | — | (0.13) | 14.95 | 0.43 | 1,564 | 2.20 | 2.64 | 0.34 | 35 | |
Class I | |||||||||||||||||||
10/1/18 to 9/30/19 | $15.65 | 0.12 | — | (0.41) | (0.29) | (0.19) | — | (3.62) | (3.81) | — | (4.10) | $11.55 | 2.36 % | $2,280 | 1.20 % | 2.72 % | 1.00 % | 16 % | |
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 (7) | 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 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | Not annualized for periods less than one year. |
(4) | Annualized for periods less than one year. |
(5) | 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. |
(6) | 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 and increase the Ratio of Net Investment Income (Loss) as follows: Duff & Phelps Global Infrastructure Fund No Impact (Class A), No Impact (Class C), No Impact (Class I) Rampart Sector Trend No Impact (Class A), No Impact (Class C), No Impact (Class I) Vontobel Global Opportunities Fund 0.06% (Class A), 0.05% (Class C), 0.05% (Class I) 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 No Impact (Class A), No Impact (Class C), No Impact (Class I) Rampart Sector Trend No Impact (Class A), No Impact (Class C), No Impact (Class I) Vontobel Global Opportunities Fund 0.06% (Class A), 0.05% (Class C), 0.05% (Class I) |
(7) | Net expense ratio includes extraordinary proxy expenses. |
(8) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(9) | Inception date. |
(10) | Portfolio turnover is representative of the Fund for the entire year ended September 30, 2019. |
(11) | Amount is less than $0.005 per share. |
(12) | Payment from affiliate had no impact on total return. |
(13) | The share class is currently under its expense limitation. |
September 30, 2019
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). |
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, 2019, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 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 that 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 expense 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. | Regulation S-X |
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 Statements of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statements of Changes in Net Assets. Certain prior year amounts have been reclassified for consistency with the current year presentation (see footnotes on Statements of Changes in Net Assets for separate disclosure). These reclassifications have no effect on total net assets, total distributions, the statement of operations, financial highlights, net asset value or total return. | |
H. | Securities Lending |
The 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 lending securities a 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. | |
Securities lending transactions are entered into by each Fund under Master Securities Lending Agreements (“MSLA”) which permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
At September 30, 2019, the securities loaned were subject to a MSLA on a net payment basis as follows: |
Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | |||
Herzfeld Fund | $ 838 | $ 838 | $— | ||
Horizon Wealth Masters Fund | 2,501 | 2,501 | — | ||
Vontobel Greater European Opportunities Fund | 2 | 2 | — |
(1) | Collateral with a value of $855, $2,588, and $2, respectively, has been received in connection with securities lending transactions. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
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 Funds. 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 (except as otherwise noted) of the following Funds: |
First $2 Billion | $2+ Billion through $4 Billion | Over $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 |
First $1 Billion | $1+ Billion | ||
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 |
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 |
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 | |
Duff & Phelps Global Infrastructure Fund | DPIM(1) | |
Duff & Phelps Global Real Estate Securities Fund | DPIM(1) | |
Duff & Phelps International Real Estate Securities Fund | DPIM(1) | |
Herzfeld Fund | Thomas J. Herzfeld Advisors, Inc. | |
Horizon Wealth Masters Fund | Horizon Kinetics Asset Management, LLC(2) | |
KAR Emerging Markets Small-Cap Fund | KAR(3) | |
KAR International Small-Cap Fund | KAR(3) | |
Rampart Alternatives Diversifier Fund | Rampart(4) | |
Rampart Equity Trend Fund | Rampart(4) | |
Rampart Multi-Asset Trend Fund | Rampart(4) | |
Rampart Sector Trend Fund | Rampart(4) | |
Vontobel Global Opportunities Fund | Vontobel(5) | |
Vontobel Greater European Opportunities Fund | Vontobel(5) |
(1) | Duff & Phelps Investment Management Co. (“DPIM”), an indirect, wholly-owned subsidiary of Virtus. |
(2) | Formerly, Horizon Asset Management LLC. |
(3) | Kayne Anderson Rudnick Investment Management, LLC (“KAR”), an indirect, wholly-owned subsidiary of Virtus. |
(4) | Rampart Investment Management Company, LLC (“Rampart”), an indirect, wholly-owned subsidiary of Virtus. |
(5) | Vontobel Asset Management, Inc. (“Vontobel”). |
C. | Expense Limits and Fee Waivers |
The Adviser has contractually agreed to limit certain Funds’ total operating expenses subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through January 31, 2020 (excepted as noted). Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
Fund | Class A | Class C | Class I | Class R6 | ||||
Duff & Phelps Global Infrastructure Fund | N/A % | N/A % | N/A % | 0.85 %(1) | ||||
Duff & Phelps Global Real Estate Securities Fund | 1.40 | 2.15 | 1.15 | 0.89 (2) | ||||
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 | 1.50 (3) | ||||
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 |
Fund | Class A | Class C | Class I | Class R6 | ||||
Vontobel Global Opportunities Fund(4) | 1.36 % | 2.11 % | 1.09 % | 0.90 % | ||||
Vontobel Greater European Opportunities Fund | 1.45 | 2.20 | 1.20 | N/A |
‡ | Each share class is currently below its expense cap. |
(1) | Effective July 1, 2019. |
(2) | Effective July 1, 2019. For the period October 1, 2018 through June 30, 2019, the Class R6 expense cap was 0.95%. |
(3) | Effective July 31, 2019 and through January 31, 2021. |
(4) | For the period October 1, 2018 through November 30, 2018, the expense caps were as follows for Class A shares, Class C shares, Class I shares and Class R6 shares, respectively: 1.55%, 2.30%, 1.30% and 1.27%. For the period December 1, 2018 through January 27, 2019, the expense cap for Class R6 shares was 1.06%. Effective January 28, 2019, the expense cap for Class R6 shares is 0.90%. |
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. 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 | 2020 | 2021 | 2022 | Total | ||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class R6 | $ — | $ — | $2 | $2 | ||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||
Class A | 107 | 235 | 226 | 568 | ||||
Class C | 19 | 7 | 5 | 31 | ||||
Class I | 218 | 66 | 71 | 355 | ||||
Class R6 | 1 | 7 | 4 | 12 | ||||
Duff & Phelps International Real Estate Securities Fund | ||||||||
Class A | 26 | 9 | 4 | 39 | ||||
Class C | 6 | 4 | 2 | 12 | ||||
Class I | 98 | 93 | 81 | 272 | ||||
Herzfeld Fund | ||||||||
Class A | 6 | 3 | 2 | 11 | ||||
Class C | 12 | 3 | 8 | 23 | ||||
Class I | 19 | 1 | 5 | 25 | ||||
Horizon Wealth Masters Fund | ||||||||
Class A | 19 | 34 | 42 | 95 | ||||
Class C | 17 | 38 | 48 | 103 | ||||
Class I | 19 | 51 | 63 | 133 | ||||
KAR Emerging Markets Small-Cap Fund | ||||||||
Class A | 6 | 8 | 12 | 26 | ||||
Class C | 2 | 1 | —(1) | 3 | ||||
Class I | 69 | 56 | 40 | 165 | ||||
Class R6 | — | — | —(1) | —(1) | ||||
Rampart Equity Trend Fund | ||||||||
Class A | 164 | — | — | 164 | ||||
Class C | 474 | — | — | 474 | ||||
Class I | 119 | — | — | 119 | ||||
Class R6 | —(1) | — | — | —(1) |
Expiration | ||||||||
Fund | 2020 | 2021 | 2022 | Total | ||||
Vontobel Global Opportunities Fund | ||||||||
Class A | $— | $— | $34 | $34 | ||||
Class C | — | — | 13 | 13 | ||||
Class I | — | — | 66 | 66 | ||||
Class R6 | — | — | 55 | 55 | ||||
Vontobel Greater European Opportunities Fund | ||||||||
Class A | 25 | 30 | 34 | 89 | ||||
Class C | 10 | 15 | 14 | 39 | ||||
Class I | 56 | 30 | 35 | 121 |
(1) | Amount is less than $500. |
Fund | Class A | Class C | Class I | Class R6 | Total | |||||
Duff & Phelps Global Real Estate Securities Fund | $— | $—(1) | $— | $—(1) | $—(1) | |||||
Herzfeld Fund | —(1) | — | —(1) | — | —(1) | |||||
KAR Emerging Markets Small-Cap Fund | 4 | —(1) | 7 | — | 11 |
(1) | Amount is less than $500. |
E. | Distributor |
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, 2019, it retained net commissions of $64 of Class A shares and CDSC of $32 and $28 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. |
F. | Administrator and Transfer Agent |
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, 2019, the Funds incurred administration fees totaling $2,803 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, 2019, the Funds incurred transfer agent fees totaling $1,139 which are included in the Statements of Operations within the line item “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Investments in Affiliates |
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, 2019, is as follows: |
Value, beginning of period | Purchases(2) | 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 Funds—52.2%(3) | |||||||||||||||||
Virtus Duff & Phelps Global Infrastructure Fund Class R6 | $5,955 | $566 | $815 | $44 | $726 | $6,476 | 398,025 | $133 | $233 | ||||||||
Virtus Duff & Phelps Global Real Estate Securities Fund Class I | 3,710 | 115 | 490 | 93 | 383 | 3,811 | 111,001 | 114 | 1 | ||||||||
Virtus Duff & Phelps International Real Estate Securities Fund Class I | 3,993 | 367 | 710 | 86 | 194 | 3,930 | 495,649 | 168 | — | ||||||||
Virtus Duff & Phelps Real Estate Securities Fund Class I | 2,508 | 402 | 230 | 5 | 25 | 2,710 | 103,113 | 58 | 343 | ||||||||
Virtus Newfleet Senior Floating Rate Fund Class I | 3,665 | 284 | 385 | (10) | (107) | 3,447 | 378,835 | 185 | — | ||||||||
Total | $19,831 | $1,734 | $2,630 | $218 | $1,221 | $20,374 | $658 | $577 |
(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, 2019, 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. |
H. | Payment from Affiliate |
During the period ended September 30, 2019, the Adviser reimbursed KAR International Small-Cap Fund for losses. These amounts are included in “Net increase from payment by affiliates” in the Statements of Operations. There was no impact on the total return. | |
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” in the Statements of Assets and Liabilities at September 30, 2019. | |
J. | Cross Trades |
Cross trades for the period ended September 30, 2019, were executed by certain Funds pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment adviser (or affiliated investment advisers), common directors/ trustees and/or common officers. At its regularly scheduled meetings, the Funds’ CCO provides written representation that certain transactions effected pursuant to 17a-7 complied with procedures adopted by the Board. Pursuant to these procedures, for the period ended September 30, 2019, the KAR Emerging Markets Small-Cap Fund engaged in Rule 17a-7 securities purchases of $2,870 and the KAR International Small-Cap Fund engaged in Rule 17a-7 securities sales of $2,870, which resulted in a net realized gain of $51. |
Purchases | Sales | ||
Duff & Phelps Global Infrastructure Fund | $32,898 | $28,112 | |
Duff & Phelps Global Real Estate Securities Fund | 91,737 | 60,965 | |
Duff & Phelps International Real Estate Securities Fund | 20,065 | 14,520 | |
Herzfeld Fund | 31,545 | 37,502 | |
Horizon Wealth Masters Fund | 13,974 | 27,807 | |
KAR Emerging Markets Small-Cap Fund | 101,537 | 30,195 | |
KAR International Small-Cap Fund | 902,675 | 327,964 | |
Rampart Alternatives Diversifier Fund | 5,766 | 5,135 | |
Rampart Equity Trend Fund | 638,688 | 743,075 | |
Rampart Multi-Asset Trend Fund | 112,031 | 120,477 | |
Rampart Sector Trend Fund | 657,588 | 693,113 | |
Vontobel Global Opportunities Fund | 103,837 | 88,074 | |
Vontobel Greater European Opportunities Fund | 851 | 4,157 |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 494 | $7,590 | 201 | $3,002 | 295 | $9,202 | 169 | $4,993 | |||||||
Reinvestment of distributions | 121 | 1,699 | 69 | 1,014 | 6 | 180 | 10 | 285 | |||||||
Shares repurchased and cross class conversions | (554) | (7,992) | (516) | (7,569) | (323) | (9,936) | (361) | (10,594) | |||||||
Net Increase / (Decrease) | 61 | $1,297 | (246) | $(3,553) | (22) | $(554) | (182) | $(5,316) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 77 | $1,149 | 55 | $814 | 28 | $867 | 42 | $1,194 | |||||||
Reinvestment of distributions | 55 | 760 | 31 | 452 | 7 | 189 | 6 | 171 | |||||||
Shares repurchased and cross class conversions | (452) | (6,681) | (521) | (7,591) | (79) | (2,377) | (107) | (3,045) | |||||||
Net Increase / (Decrease) | (320) | $(4,772) | (435) | $(6,325) | (44) | $(1,321) | (59) | $(1,680) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 1,517 | $23,388 | 548 | $8,108 | 2,559 | $79,502 | 1,742 | $51,658 | |||||||
Reinvestment of distributions | 127 | 1,809 | 93 | 1,367 | 168 | 4,704 | 112 | 3,250 | |||||||
Shares repurchased and cross class conversions | (674) | (9,982) | (2,288) | (33,584) | (1,507) | (46,439) | (2,429) | (70,923) | |||||||
Net Increase / (Decrease) | 970 | $15,215 | (1,647) | $(24,109) | 1,220 | $37,767 | (575) | $(16,015) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 56 | $822 | 909 | $13,479 | 86 | $2,587 | 36 | $1,072 | |||||||
Reinvestment of distributions | 35 | 500 | 12 | 172 | 2 | 45 | 6 | 172 | |||||||
Shares repurchased and cross class conversions | (311) | (4,524) | (121) | (1,763) | (221) | (6,616) | (95) | (2,863) | |||||||
Net Increase / (Decrease) | (220) | $(3,202) | 800 | $11,888 | (133) | $(3,984) | (53) | $(1,619) |
Duff & Phelps International Real Estate Securities Fund | Herzfeld Fund | ||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Shares sold and cross class conversions | 58 | $434 | 32 | $237 | 131 | $1,458 | 309 | $3,816 | |||||||
Reinvestment of distributions | 10 | 67 | 5 | 40 | 57 | 575 | 19 | 235 | |||||||
Shares repurchased and cross class conversions | (66) | (483) | (110) | (805) | (233) | (2,613) | (509) | (6,360) | |||||||
Net Increase / (Decrease) | 2 | $18 | (73) | $(528) | (45) | $(580) | (181) | $(2,309) | |||||||
Shares sold and cross class conversions | 2 | 18 | 26 | 183 | 277 | 3,100 | 227 | 2,820 | |||||||
Reinvestment of distributions | 4 | 27 | 1 | 8 | 176 | 1,759 | 33 | 410 | |||||||
Shares repurchased and cross class conversions | (41) | (306) | (38) | (281) | (596) | (6,603) | (315) | (3,909) | |||||||
Net Increase / (Decrease) | (35) | $(261) | (11) | $(90) | (143) | $(1,744) | (55) | $(679) | |||||||
Shares sold and cross class conversions | 1,990 | 15,105 | 3,267 | 24,362 | 679 | 7,714 | 1,016 | 12,659 | |||||||
Reinvestment of distributions | 238 | 1,620 | 69 | 499 | 373 | 3,778 | 97 | 1,208 | |||||||
Shares repurchased and cross class conversions | (1,196) | (8,861) | (1,041) | (7,726) | (1,263) | (14,100) | (1,212) | (15,137) | |||||||
Net Increase / (Decrease) | 1,032 | $7,864 | 2,295 | $17,135 | (211) | $(2,608) | (99) | $(1,270) |
Horizon Wealth Masters Fund | KAR Emerging Markets Small-Cap Fund | ||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 100 | $1,582 | 57 | $1,021 | 3,674 | $42,412 | 427 | $5,081 | |||||||
Reinvestment of distributions | 77 | 1,107 | 9 | 163 | 3 | 29 | 1 | 7 | |||||||
Shares repurchased and cross class conversions | (370) | (5,957) | (271) | (4,885) | (1,805) | (21,293) | (178) | (2,090) | |||||||
Net Increase / (Decrease) | (193) | $(3,268) | (205) | $(3,701) | 1,872 | $21,148 | 250 | $2,998 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 33 | $493 | 53 | $931 | 48 | $568 | 13 | $155 | |||||||
Reinvestment of distributions | 80 | 1,107 | 9 | 158 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (273) | (4,211) | (230) | (4,018) | (18) | (202) | (11) | (131) | |||||||
Net Increase / (Decrease) | (160) | $(2,611) | (168) | $(2,929) | 30 | $366 | 2 | $24 | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 120 | $1,924 | 239 | $4,372 | 9,490 | $111,996 | 1,860 | $22,164 | |||||||
Reinvestment of distributions | 118 | 1,713 | 13 | 233 | 14 | 156 | 8 | 97 | |||||||
Shares repurchased and cross class conversions | (512) | (8,123) | (491) | (8,917) | (4,902) | (58,563) | (211) | (2,500) | |||||||
Net Increase / (Decrease) | (274) | $(4,486) | (239) | $(4,312) | 4,602 | $53,589 | 1,657 | $19,761 |
Horizon Wealth Masters Fund | KAR Emerging Markets Small-Cap Fund | ||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | — | $— | — | $— | 8 | $100 | — | $— | |||||||
Net Increase / (Decrease) | — | $— | — | $— | 8 | $100 | — | $— |
KAR International Small-Cap Fund | Rampart Alternatives Diversifier Fund | ||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 3,708 | $61,363 | 3,206 | $56,125 | 700 | $7,659 | 164 | $1,870 | |||||||
Reinvestment of distributions | 31 | 475 | 21 | 336 | 18 | 184 | 8 | 96 | |||||||
Shares repurchased and cross class conversions | (2,346) | (38,577) | (1,573) | (27,331) | (211) | (2,350) | (289) | (3,308) | |||||||
Net Increase / (Decrease) | 1,393 | $23,261 | 1,654 | $29,130 | 507 | $5,493 | (117) | $(1,342) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 831 | $13,399 | 1,503 | $25,725 | 4 | $47 | 15 | $173 | |||||||
Reinvestment of distributions | 15 | 224 | 13 | 205 | 7 | 70 | 6 | 64 | |||||||
Shares repurchased and cross class conversions | (739) | (11,833) | (224) | (3,863) | (688) | (7,493) | (373) | (4,216) | |||||||
Net Increase / (Decrease) | 107 | $1,790 | 1,292 | $22,067 | (677) | $(7,376) | (352) | $(3,979) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 60,562 | $1,005,248 | 38,418 | $674,226 | 723 | $7,978 | 581 | $6,663 | |||||||
Reinvestment of distributions | 718 | 10,919 | 205 | 3,334 | 58 | 590 | 18 | 202 | |||||||
Shares repurchased and cross class conversions | (25,568) | (417,459) | (4,585) | (80,060) | (670) | (7,352) | (663) | (7,518) | |||||||
Net Increase / (Decrease) | 35,712 | $598,708 | 34,038 | $597,500 | 111 | $1,216 | (64) | $(653) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 795 | $13,619 | 2,462 | $42,126 | — | $— | — | $— | |||||||
Reinvestment of distributions | 26 | 398 | 52 | 839 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (2,606) | (42,649) | (602) | (10,411) | — | — | — | — | |||||||
Net Increase / (Decrease) | (1,785) | $(28,632) | 1,912 | $32,554 | — | $— | — | $— |
Rampart Equity Trend Fund | Rampart Multi-Asset Trend Fund | ||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 2,103 | $30,695 | 274 | $4,147 | 116 | $1,287 | 202 | $2,287 | |||||||
Reinvestment of distributions | — | — | — | — | 4 | 42 | — | — | |||||||
Shares repurchased and cross class conversions | (1,875) | (27,423) | (3,189) | (47,756) | (350) | (3,893) | (566) | (6,317) | |||||||
Net Increase / (Decrease) | 228 | $3,272 | (2,915) | $(43,609) | (230) | $(2,564) | (364) | $(4,030) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 109 | $1,517 | 109 | $1,569 | 75 | $790 | 86 | $940 | |||||||
Shares repurchased and cross class conversions | (5,669) | (78,811) | (5,260) | (75,083) | (1,198) | (12,714) | (1,279) | (13,882) | |||||||
Net Increase / (Decrease) | (5,560) | $(77,294) | (5,151) | $(73,514) | (1,123) | $(11,924) | (1,193) | $(12,942) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 499 | $7,385 | 1,282 | $19,512 | 103 | $1,150 | 376 | $4,197 | |||||||
Reinvestment of distributions | — | — | — | — | 8 | 89 | — | — | |||||||
Shares repurchased and cross class conversions | (2,655) | (39,016) | (5,131) | (76,344) | (650) | (7,198) | (630) | (7,117) | |||||||
Net Increase / (Decrease) | (2,156) | $(31,631) | (3,849) | $(56,832) | (539) | $(5,959) | (254) | $(2,920) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | — | $— | 24 | $353 | — | $— | — | $— | |||||||
Net Increase / (Decrease) | — | $— | 24 | $353 | — | $— | — | $— |
Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | ||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 1,867 | $23,407 | 275 | $3,599 | 2,000 | $28,958 | 477 | $7,932 | |||||||
Reinvestment of distributions | 56 | 662 | 54 | 696 | 656 | 9,077 | 359 | 5,810 | |||||||
Shares repurchased and cross class conversions | (1,643) | (21,346) | (1,537) | (20,032) | (2,665) | (41,378) | (1,695) | (28,249) | |||||||
Net Increase / (Decrease) | 280 | $2,723 | (1,208) | $(15,737) | (9) | $(3,343) | (859) | $(14,507) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 164 | $2,057 | 127 | $1,638 | 426 | $5,263 | 442 | $6,289 | |||||||
Reinvestment of distributions | 5 | 57 | 2 | 22 | 283 | 3,269 | 136 | 1,893 | |||||||
Shares repurchased and cross class conversions | (2,896) | (35,858) | (2,415) | (30,730) | (842) | (10,721) | (511) | (7,259) | |||||||
Net Increase / (Decrease) | (2,727) | $(33,744) | (2,286) | $(29,070) | (133) | $(2,189) | 67 | $923 |
Rampart Sector Trend Fund | Vontobel Global Opportunities Fund | ||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 1,179 | $15,765 | 792 | $10,251 | 4,465 | $67,974 | 2,420 | $40,329 | |||||||
Reinvestment of distributions | 65 | 769 | 58 | 744 | 543 | 7,501 | 195 | 3,157 | |||||||
Shares repurchased and cross class conversions | (1,709) | (21,781) | (2,396) | (30,852) | (2,186) | (33,165) | (2,547) | (42,950) | |||||||
Net Increase / (Decrease) | (465) | $(5,247) | (1,546) | $(19,857) | 2,822 | $42,310 | 68 | $536 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | — | $— | — | $— | 570 | $9,095 | 89 | $1,496 | |||||||
Shares issued-merger (See Note 12) | — | — | — | — | 3,524 | 52,884 | — | — | |||||||
Reinvestment of distributions | — | — | — | — | 2 | 32 | — | — | |||||||
Shares repurchased and cross class conversions | — | — | — | — | (119) | (1,915) | (64) | (1,089) | |||||||
Net Increase / (Decrease) | — | $— | — | $— | 3,977 | $60,096 | 25 | $407 |
Vontobel Greater European Opportunities Fund | |||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 16 | $198 | 50 | $821 | |||
Reinvestment of distributions | 73 | 720 | 30 | 476 | |||
Shares repurchased and cross class conversions | (180) | (2,025) | (110) | (1,746) | |||
Net Increase / (Decrease) | (91) | $(1,107) | (30) | $(449) | |||
Class C | |||||||
Shares sold and cross class conversions | 1 | $13 | 20 | $319 | |||
Reinvestment of distributions | 38 | 363 | 15 | 237 | |||
Shares repurchased and cross class conversions | (107) | (1,176) | (43) | (670) | |||
Net Increase / (Decrease) | (68) | $(800) | (8) | $(114) | |||
Class I | |||||||
Shares sold and cross class conversions | 101 | $1,128 | 72 | $1,173 | |||
Reinvestment of distributions | 60 | 594 | 37 | 587 | |||
Shares repurchased and cross class conversions | (132) | (1,497) | (497) | (8,474) | |||
Net Increase / (Decrease) | 29 | $225 | (388) | $(6,714) |
% of Shares Outstanding | Number of Accounts* | ||
Duff & Phelps Global Infrastructure Fund | 13% | 1 | |
Duff & Phelps Global Real Estate Securities Fund | 37 | 3 | |
Duff & Phelps International Real Estate Securities Fund | 76 | 3 | |
Herzfeld Fund | 57 | 3 | |
Horizon Wealth Masters Fund | 13 | 1 | |
KAR Emerging Markets Small-Cap Fund | 62 | 4 | |
KAR International Small-Cap Fund | 59 | 4 | |
Rampart Alternatives Diversifier Fund | 33 | 3 | |
Rampart Equity Trend Fund | 11 | 1 | |
Rampart Multi-Asset Trend Fund | 23 | 1 | |
Rampart Sector Trend Fund | 11 | 1 | |
Vontobel Global Opportunities Fund | 10 | 1 | |
Vontobel Greater European Opportunities Fund | 32 | 2 |
* | None of the accounts are affiliated. |
Fund | Sector | Percentage of Total Investments | ||
Duff & Phelps Global Infrastructure Fund | Utilities | 47% | ||
Duff & Phelps Global Infrastructure Fund | Industrials | 25 | ||
Duff & Phelps International Real Estate Securities Fund | Real Estate Operating Companies | 26 | ||
KAR Emerging Markets Small-Cap Fund | Industrials | 27 | ||
KAR International Small-Cap Fund | Industrials | 27 | ||
KAR International Small-Cap Fund | Communication Services | 27 | ||
Vontobel Greater European Opportunities Fund | Consumer Staples | 26 | ||
Vontobel Greater European Opportunities Fund | Industrials | 26 |
Fund | Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | ||||
KAR Emerging Markets Small-Cap Fund | $4 | $6,650 | 3.73% | 6 |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Duff & Phelps Global Infrastructure Fund | $ 89,995 | $ 24,241 | $ (3,380) | $ 20,861 | ||||
Duff & Phelps Global Real Estate Securities Fund | 197,223 | 44,164 | (6,402) | 37,762 | ||||
Duff & Phelps International Real Estate Securities Fund | 49,808 | 6,229 | (3,073) | 3,156 | ||||
Herzfeld Fund | 48,059 | 3,433 | (1,363) | 2,070 | ||||
Horizon Wealth Masters Fund | 42,722 | 11,402 | (2,120) | 9,282 | ||||
KAR Emerging Markets Small-Cap Fund | 106,470 | 11,860 | (4,641) | 7,219 | ||||
KAR International Small-Cap Fund | 1,455,979 | 147,004 | (101,471) | 45,533 | ||||
Rampart Alternatives Diversifier Fund | 58,135 | 4,742 | (24,530) | (19,788) | ||||
Rampart Equity Trend Fund | 274,415 | 36,980 | (3,306) | 33,674 | ||||
Rampart Multi-Asset Trend Fund | 45,318 | 4,217 | (290) | 3,927 | ||||
Rampart Sector Trend Fund | 181,506 | 23,115 | (3,209) | 19,906 | ||||
Vontobel Global Opportunities Fund | 215,681 | 100,448 | (5,350) | 95,099 | ||||
Vontobel Greater European Opportunities Fund | 2,508 | 1,657 | (143) | 1,514 |
No Expiration | Total | ||||||
Short-Term | Long-Term | Short-Term | Long-Term | ||||
Duff & Phelps International Real Estate Securities Fund | $320 | $— | $320 | $— | |||
Herzfeld Fund | 160 | 50 | 160 | 50 | |||
KAR Emerging Markets Small-Cap Fund | — | 94 | — | 94 | |||
KAR International Small-Cap Fund | 828 | 147 | 828 | 147 | |||
Rampart Alternatives Diversifier Fund | — | —(1) | — | —(1) | |||
Rampart Equity Trend Fund | 422,036 | — | 422,036 | — | |||
Rampart Multi-Asset Trend Fund | 20,734 | — | 20,734 | — | |||
Rampart Sector Trend Fund | 1,528 | — | 1,528 | — |
(1) | Amount is less than $500. |
Fund | |
Duff & Phelps International Real Estate Securities Fund | $ 886 |
KAR Emerging Markets Small-Cap Fund | 99 |
Rampart Equity Trend Fund | 56,954 |
Rampart Multi-Asset Trend Fund | 1,832 |
Rampart Sector Trend Fund | 20,530 |
Fund | |
Duff & Phelps International Real Estate Securities Fund | $ 884 |
Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Deferred | Capital Loss Recognized | |||||
Duff & Phelps Global Infrastructure Fund | $ — | $ — | $ 442 | $ — | ||||
Duff & Phelps Global Real Estate Securities Fund | — | — | — | (17) | ||||
Duff & Phelps International Real Estate Securities Fund | — | — | — | (312) | ||||
Herzfeld Fund | — | — | 295 | — | ||||
Horizon Wealth Masters Fund | — | (48) | — | — | ||||
KAR Emerging Markets Small-Cap Fund | — | — | 3,708 | — | ||||
KAR International Small-Cap Fund | — | — | 52,302 | — | ||||
Rampart Alternatives Diversifier Fund | — | — | 206 | — | ||||
Rampart Equity Trend Fund | 100 | (775) | 6,587 | — | ||||
Rampart Multi-Asset Trend Fund | — | — | — | (901) | ||||
Rampart Sector Trend Fund | — | — | 8,842 | — |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | ||
Duff & Phelps Global Infrastructure Fund | $— | $3,364 | |
Duff & Phelps Global Real Estate Securities Fund | 10,566 | 5,154 | |
Duff & Phelps International Real Estate Securities Fund | 3,679 | — | |
Horizon Wealth Masters Fund | 105 | 2,035 | |
KAR Emerging Markets Small-Cap Fund | 2,572 | — | |
KAR International Small-Cap Fund | 36,120 | — | |
Rampart Alternatives Diversifier Fund | 211 | — | |
Rampart Multi-Asset Trend Fund | 23 | — | |
Rampart Sector Trend Fund | 1,173 | — | |
Vontobel Global Opportunities Fund | 516 | 4,965 | |
Vontobel Greater European Opportunities Fund | 26 | 454 |
Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | ||||
Duff & Phelps Global Infrastructure Fund | |||||||
9/30/19 | $ 2,205 | $ 2,735 | $ — | $4,940 | |||
9/30/18 | 3,184 | — | — | 3,184 | |||
Duff & Phelps Global Real Estate Securities Fund | |||||||
9/30/19 | 5,276 | 61 | — | 5,337 | |||
9/30/18 | 3,788 | 245 | — | 4,033 | |||
Duff & Phelps International Real Estate Securities Fund | |||||||
9/30/19 | 1,718 | — | — | 1,718 | |||
9/30/18 | 550 | — | — | 550 | |||
Herzfeld Fund | |||||||
9/30/19 | 2,586 | 3,240 | 301 | 6,127 | |||
9/30/18 | 1,664 | 194 | — | 1,858 | |||
Horizon Wealth Masters Fund | |||||||
9/30/19 | 683 | 3,481 | — | 4,164 | |||
9/30/18 | 476 | 123 | — | 599 | |||
KAR Emerging Markets Small-Cap Fund | |||||||
9/30/19 | 202 | — | — | 202 | |||
9/30/18 | 109 | — | — | 109 | |||
KAR International Small-Cap Fund | |||||||
9/30/19 | 8,704 | 3,345 | — | 12,049 | |||
9/30/18 | 4,742 | — | — | 4,742 | |||
Rampart Alternatives Diversifier Fund | |||||||
9/30/19 | 890 | — | — | 890 | |||
9/30/18 | 394 | — | — | 394 | |||
Rampart Multi-Asset Trend Fund | |||||||
9/30/19 | 136 | — | — | 136 | |||
Rampart Sector Trend Fund | |||||||
9/30/19 | 1,700 | — | — | 1,700 | |||
9/30/18 | 1,716 | — | — | 1,716 | |||
Vontobel Global Opportunities Fund | |||||||
9/30/19 | 799 | 20,504 | — | 21,303 | |||
9/30/18 | 3,156 | 9,801 | — | 12,957 | |||
Vontobel Greater European Opportunities Fund | |||||||
9/30/19 | 86 | 1,596 | — | 1,682 | |||
9/30/18 | 203 | 1,100 | — | 1,303 |
Capital Paid in on Shares of Beneficial Interest | Accumulated Earnings (Loss) | ||
Duff & Phelps Global Real Estate Securities Fund | $ (2) | $ 2 | |
Duff & Phelps International Real Estate Securities Fund | (883) | 884 | |
KAR Emerging Markets Small-Cap Fund | (1) | 1 | |
Rampart Equity Trend Fund | (1,099) | 1,099 | |
Vontobel Global Opportunities Fund | 158 | (158) |
Merged Fund | Shares Outstanding | Acquiring Fund | Shares Converted | Merged Fund Net Assets Value of Converted Shares | ||||||
Vontobel Global Equity Institutional Fund | Class I Shares 3,976,178 | Vontobel Global Opportunities Fund | Class R6 Shares 3,523,715 | $52,884 |
Merged Fund | Net Assets | Unrealized Appreciation (Depreciation) | Acquiring Fund | Net Assets | ||||
Vontobel Global Equity Institutional Fund | $52,884 | $9,853 | Vontobel Global Opportunities Fund | $447 |
Net investment income (loss) | $655(a) |
Net realized and unrealized gain (loss) on investments | 23,777(b) |
Net increase (decrease) in net assets resulting from operations | $24,432 |
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, 2019, the related statements of operations for the year ended September 30, 2019, the statements of changes in net assets for each of the two years in the period ended September 30, 2019, 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, 2019, 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, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles
generally accepted in the United States of America.
securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
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, 2019 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 opinions.
began serving as auditor.
Qualified REIT Dividends | QDI | DRD | LTCG | ||||
Duff & Phelps Global Infrastructure Fund | — % | 100% | 69% | $3,479 | |||
Duff & Phelps Global Real Estate Securities Fund | 21 | 17 | — | 5,215 | |||
Duff & Phelps International Real Estate Securities Fund | — | 23 | — | — | |||
Herzfeld Fund | — | 33 | 18 | — | |||
Horizon Wealth Masters Fund | — | 100 | 100 | 2,036 | |||
KAR Emerging Markets Small-Cap Fund | — | 38 | — | — | |||
KAR International Small-Cap Fund | — | 61 | — | — | |||
Rampart Alternatives Diversifier Fund | — | 63 | 35 | — | |||
Rampart Multi-Asset Trend Fund | — | 100 | 100 | — | |||
Rampart Sector Trend Fund | — | 100 | 100 | — | |||
Vontobel Global Opportunities Fund | — | 100 | 100 | 6,027 | |||
Vontobel Greater European Opportunities Fund | — | 100 | 25 | 502 |
Foreign Source Income Recognized | Foreign Taxes Paid on Foreign Source Income | ||
Duff & Phelps International Real Estate Securities Fund | $ 1,643 | $ 177 | |
Herzfeld Fund | 406 | 8 | |
KAR Emerging Markets Small-Cap Fund | 3,554 | 318 | |
KAR International Small-Cap Fund | 51,482 | 2,689 | |
Rampart Alternatives Diversifier Fund | 216 | 16 | |
Vontobel Greater European Opportunities Fund | 114 | 12 |
Proposal 1. |
Number of Eligible Votes: | FOR | AGAINST | ABSTAIN | |||
To consider and act upon a Plan providing for the acquisition of all of the property and assets of Vontobel Global Equity Fund by Virtus Vontobel Global Opportunities Fund (“Virtus Global Opportunities Fund”), a series of Virtus Opportunities Trust, in exchange solely for shares of Virtus Global Opportunities Fund and the assumption by Virtus Global Opportunities Fund of all of the liabilities of Vontobel Global Equity Fund. | 2,045,663.831 | 0.000 | 0.000 |
(800) 243-4361.
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 67 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 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 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 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). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 67 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 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (56 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 ( since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2016 67 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 (56 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 67 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 (56 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 67 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 (56 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 75 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 MLP and Midstream Energy 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 (56 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 71 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 (56 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2000 71 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 MLP and Midstream Energy 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 (56 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2000 67 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 (56 portfolios). |
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; and 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 MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013),Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (4 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 (56 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter YOB: 1970 | Senior Vice President (since 2017), Vice President (2008 to 2017). | Senior Vice President, Product Development (since 2017), and Vice President, Product Development (2008 to 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2008) with Virtus affiliates; Senior Vice President (since 2017), and Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), and Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), and Vice President (2013 to 2016), Virtus Alternative Solutions Trust; and Senior Vice President (since 2017) and Vice President (2016 to 2017), Virtus Closed-End Funds. |
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), and 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), 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 and Midstream Energy 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. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of 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), and Assistant Secretary (2013 to 2014 and since 2017), 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), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy 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 and Chief Compliance Officer (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 MLP and Midstream Energy 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 (since 2018), Virtus Closed-End Funds; 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 and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; and Executive Vice President (since 2017), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
and the Statutory Prospectus, each dated July 31, 2019
Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) | Class A | Class C | Class I | Class R6 |
Management Fees | 0.65% | 0.65% | 0.65% | 0.65% |
Distribution and Shareholder Servicing (12b-1) Fees | 0.25% | 1.00% | None | None |
Other Expenses | 0.35% | 0.35% | 0.36% | 0.28% |
Total Annual Fund Operating Expenses | 1.25% | 2.00% | 1.01% | 0.93% |
Less: Fee Waiver and/or Expense Reimbursement(b) | N/A | N/A | N/A | (0.08)% |
Total Annual Fund Operating Expenses After Expense Reimbursement(b) | 1.25% | 2.00% | 1.01% | 0.85% |
Class A Shares | Class C Shares | Class C1 Shares | Class I Shares | Class R6 Shares | Through Date | |
Class R6 | N/A | N/A | N/A | N/A | 0.85% | January 31, 2020 |
Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) | Class R6 |
Management Fees | 0.85% |
Distribution and Shareholder Servicing (12b-1) Fees | None |
Other Expenses | 0.24% |
Total Annual Fund Operating Expenses | 1.09% |
Less: Fee Waiver and/or Expense Reimbursement(b) | (0.20%) |
Total Annual Fund Operating Expenses After Expense Reimbursement(b) | 0.89% |
Share Status | 1 Year | 3 Years | 5 Years | 10 Years | |
Class R6 | Sold or Held | $91 | $327 | $581 | $1,311 |
Class A Shares | Class C Shares | Class C1 Shares | Class I Shares | Class R6 Shares | Through Date | |
Virtus Duff & Phelps Global Real Estate Securities Fund | 1.40% | 2.15% | N/A | 1.15% | 0.89% | January 31, 2020 |
FUND TO REFLECT THAT WHICH HAD BEEN IN EFFECT PRIOR TO THE UPDATED
PROSPECTUS DATED JULY 31, 2019, AS THE CHANGE WAS NOT INTENTIONALLY MADE.
Prospectuses for future reference.
Accounting Firm
Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
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.
please contact us at1-800-243-1574, orVirtus.com.
8637 | 11-19 |
Virtus Duff & Phelps Real Estate Securities Fund* |
Message to Shareholders | 1 |
Disclosure of Fund Expenses | 2 |
Key Investment Terms | 4 |
Fund Summary | 6 |
Schedule of Investments | 11 |
Statement of Assets and Liabilities | 13 |
Statement of Operations | 15 |
Statements of Changes in Net Assets | 16 |
Financial Highlights | 18 |
Notes to Financial Statements | 21 |
Report of Independent Registered Public Accounting Firm | 31 |
Tax Information Notice | 32 |
Fund Management Tables | 33 |
President, Virtus Funds
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,106.18 | 1.36 % | $ 7.18 | |||
Class C | 1,000.00 | 1,102.41 | 2.08 | 10.96 | |||
Class I | 1,000.00 | 1,108.45 | 1.08 | 5.71 | |||
Class R6 | 1,000.00 | 1,109.13 | 0.84 | 4.44 |
* | 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. |
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,018.25 | 1.36 % | $ 6.88 | |||
Class C | 1,000.00 | 1,014.64 | 2.08 | 10.50 | |||
Class I | 1,000.00 | 1,019.65 | 1.08 | 5.47 | |||
Class R6 | 1,000.00 | 1,020.86 | 0.84 | 4.26 |
* | 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. |
September 30, 2019
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, 2019, the Fund’s Class A shares at NAV returned 17.33%, Class C shares at NAV returned 16.53%†, Class I shares at NAV returned 17.73%, and Class R6 shares at NAV returned 17.94%. For the same period, the FTSE NAREIT Equity REITs Index, the Fund’s style-specific index appropriate for comparison, returned 18.42%. |
Apartments | 17% |
Industrial | 13 |
Health Care | 12 |
Office | 11 |
Data Centers | 8 |
Shopping Centers | 6 |
Lodging/Resorts | 5 |
Other | 28 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 17.33 % | 9.59 % | 12.45 % | — % | — | |||||||
Class A shares at POP3,4 | 10.58 | 8.30 | 11.78 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 16.53 5 | 8.79 | 11.62 | — | — | |||||||
Class I shares at NAV2 | 17.73 | 9.89 | 12.74 | — | — | |||||||
Class R6 shares at NAV2 | 17.94 | — | — | 8.17 | 11/12/14 | |||||||
FTSE NAREIT Equity REITs Index | 18.42 | 10.26 | 13.04 | 8.486 | — | |||||||
Fund Expense Ratios7: Class A shares: 1.38%; Class C shares: 2.07%; Class I shares: 1.08%; Class R6 shares: Gross 0.95%, Net 0.79%. |
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 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 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 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 28, 2019, 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 a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
September 30, 2019
Shares | Value | ||
Common Stocks—98.4% | |||
Real Estate Investment Trusts—98.4% | |||
Data Centers—8.4% | |||
CyrusOne, Inc. | 171,698 | $13,581 | |
Digital Realty Trust, Inc. | 198,113 | 25,717 | |
Equinix, Inc. | 18,901 | 10,902 | |
50,200 | |||
Diversified—0.4% | |||
Vornado Realty Trust | 37,395 | 2,381 | |
Health Care—12.3% | |||
HCP, Inc. | 901,300 | 32,113 | |
Healthcare Trust of America, Inc. Class A | 722,000 | 21,213 | |
Ventas, Inc. | 283,350 | 20,693 | |
74,019 | |||
Industrial/Office—24.4% | |||
Industrial—13.1% | |||
Americold Realty Trust | 622,903 | 23,091 | |
Duke Realty Corp. | 644,193 | 21,883 | |
Prologis, Inc. | 394,704 | 33,637 | |
78,611 | |||
Office—11.3% | |||
Alexandria Real Estate Equities, Inc. | 182,905 | 28,175 | |
Cousins Properties, Inc. | 562,609 | 21,148 | |
Douglas Emmett, Inc. | 288,508 | 12,357 | |
Paramount Group, Inc. | 447,241 | 5,971 | |
67,651 | |||
Total Industrial/Office | 146,262 | ||
Lodging/Resorts—5.4% | |||
Host Hotels & Resorts, Inc. | 352,294 | 6,091 |
Shares | Value | ||
Lodging/Resorts—continued | |||
RLJ Lodging Trust | 624,105 | $10,604 | |
Ryman Hospitality Properties, Inc. | 143,650 | 11,752 | |
Summit Hotel Properties, Inc. | 357,926 | 4,152 | |
32,599 | |||
Residential—24.7% | |||
Apartments—17.2% | |||
Apartment Investment & Management Co. Class A | 380,938 | 19,862 | |
AvalonBay Communities, Inc. | 143,815 | 30,968 | |
Equity Residential | 337,795 | 29,138 | |
Essex Property Trust, Inc. | 39,704 | 12,969 | |
Mid-America Apartment Communities, Inc. | 81,100 | 10,544 | |
103,481 | |||
Manufactured Homes—4.1% | |||
Sun Communities, Inc. | 167,180 | 24,818 | |
Single Family Homes—3.4% | |||
American Homes 4 Rent Class A | 782,600 | 20,262 | |
Total Residential | 148,561 | ||
Retail—14.3% | |||
Free Standing—5.3% | |||
Spirit Realty Capital, Inc. | 299,396 | 14,329 | |
STORE Capital Corp. | 462,400 | 17,298 | |
31,627 | |||
Regional Malls—3.3% | |||
Simon Property Group, Inc. | 70,841 | 11,027 |
Shares | Value | ||
Regional Malls—continued | |||
Taubman Centers, Inc. | 210,191 | $8,582 | |
19,609 | |||
Shopping Centers—5.7% | |||
Brixmor Property Group, Inc. | 729,596 | 14,803 | |
Regency Centers Corp. | 282,500 | 19,631 | |
34,434 | |||
Total Retail | 85,670 | ||
Self Storage—5.0% | |||
CubeSmart | 355,850 | 12,419 | |
Extra Space Storage, Inc. | 99,929 | 11,674 | |
Public Storage | 23,780 | 5,832 | |
29,925 | |||
Shares | Value | ||
Specialty—3.5% | |||
VICI Properties, Inc. | 925,300 | $20,958 | |
Total Common Stocks (Identified Cost $395,948) | 590,575 | ||
Total Long-Term Investments—98.4% (Identified Cost $395,948) | 590,575 | ||
TOTAL INVESTMENTS—98.4% (Identified Cost $395,948) | $590,575 | ||
Other assets and liabilities, net—1.6% | 9,578 | ||
NET ASSETS—100.0% | $600,153 |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $590,575 | $590,575 | |
Total Investments | $590,575 | $590,575 |
September 30, 2019
Assets | |
Investment in securities at value(1) | $590,575 |
Cash | 7,892 |
Receivables | |
Fund shares sold | 711 |
Dividends | 2,495 |
Prepaid Trustees’ retainer | 11 |
Prepaid expenses | 71 |
Other assets | 48 |
Total assets | 601,803 |
Liabilities | |
Payables | |
Fund shares repurchased | 892 |
Investment advisory fees | 362 |
Distribution and service fees | 46 |
Administration and accounting fees | 51 |
Transfer agent and sub-transfer agent fees and expenses | 179 |
Professional fees | 23 |
Trustee deferred compensation plan | 48 |
Other accrued expenses | 49 |
Total liabilities | 1,650 |
Net Assets | $600,153 |
Net Assets Consist of: | |
Capital paid in on shares of beneficial interest | $326,199 |
Accumulated earnings (loss) | 273,954 |
Net Assets | $600,153 |
Net Assets: | |
Class A | $175,112 |
Class C | $12,325 |
Class I | $373,801 |
Class R6 | $38,915 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 6,649,739 |
Class C | 469,342 |
Class I | 14,226,325 |
Class R6 | 1,479,526 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $26.33 |
Class C | $26.26 |
Class I | $26.28 |
Class R6 | $26.30 |
Maximum Offering Price per Share (NAV/(1-5.75%*)): | |
Class A | $27.94 |
* Maximum sales charge | |
(1)Investment in securities at cost | $395,948 |
YEAR ENDED September 30, 2019
Investment Income | |
Dividends | $17,501 |
Total investment income | 17,501 |
Expenses | |
Investment advisory fees | 4,535 |
Distribution and service fees, Class A | 444 |
Distribution and service fees, Class C | 165 |
Administration and accounting fees | 640 |
Transfer agent fees and expenses | 265 |
Sub-transfer agent fees and expenses, Class A | 311 |
Sub-transfer agent fees and expenses, Class C | 22 |
Sub-transfer agent fees and expenses, Class I | 521 |
Printing fees and expenses | 77 |
Professional fees | 32 |
Interest expense | 1 |
Registration fees | 80 |
Trustees’ fees and expenses | 52 |
Miscellaneous expenses | 62 |
Total expenses | 7,207 |
Less expenses reimbursed and/or waived by investment adviser(1) | (26) |
Less low balance account fees | —(2) |
Net expenses | 7,181 |
Net investment income (loss) | 10,320 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 100,046 |
Net change in unrealized appreciation (depreciation) on: | |
Investments | (16,066) |
Net realized and unrealized gain (loss) on investments | 83,980 |
Net increase (decrease) in net assets resulting from operations | $94,300 |
(1) | See Note 3D in the Notes to Financial Statements. |
(2) | Amount is less than $500. |
Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $10,320 | $10,617 | |
Net realized gain (loss) | 100,046 | 81,919 | |
Net change in unrealized appreciation (depreciation) | (16,066) | (63,040) | |
Increase (decrease) in net assets resulting from operations | 94,300 | 29,496 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (28,231) | (49,347)(1) | |
Class C | (3,510) | (6,009)(1) | |
Class I | (59,954) | (77,621)(1) | |
Class R6 | (4,621) | (3,291)(1) | |
Total Dividends and Distributions to Shareholders | (96,316) | (136,268) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (1,575 and 2,209 shares, respectively) | 37,370 | 58,452 | |
Class C (51 and 46 shares, respectively) | 1,174 | 1,216 | |
Class I (3,585 and 4,719 shares, respectively) | 84,112 | 124,722 | |
Class R6 (610 and 464 shares, respectively) | 14,664 | 12,381 | |
Reinvestment of distributions: | |||
Class A (1,213 and 1,799 shares, respectively) | 26,465 | 46,925 | |
Class C (154 and 221 shares, respectively) | 3,333 | 5,744 | |
Class I (2,718 and 2,922 shares, respectively) | 59,275 | 76,104 | |
Class R6 (210 and 126 shares, respectively) | 4,600 | 3,281 | |
Shares repurchased and cross class conversions: | |||
Class A ((4,213) and (6,842) shares, respectively) | (102,877) | (181,209) | |
Class C ((734) and (692) shares, respectively) | (16,810) | (18,140) | |
Class I ((8,443) and (9,016) shares, respectively) | (207,408) | (243,762) | |
Class R6 ((322) and (264) shares, respectively) | (7,823) | (7,002) | |
Increase (decrease) in net assets from capital transactions | (103,925) | (121,288) | |
Net increase (decrease) in net assets | (105,941) | (228,060) | |
Net Assets | |||
Beginning of period | 706,094 | 934,154 | |
End of Period | $600,153 | $706,094 | |
Accumulated undistributed net investment income (loss) at end of period | N/A | $692 |
(1) | For the year ended September 30, 2018, the distributions to shareholders for the Fund were as follows: |
Dividends and Distributions to Shareholders | ||
Net investment income: | ||
Class A | $(3,085) | |
Class C | (129) | |
Class I | (6,332) | |
Class R6 | (335) | |
Net realized gains: | ||
Class A | (46,262) | |
Class C | (5,880) | |
Class I | (71,289) | |
Class R6 | (2,956) | |
Total | $(136,268) |
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 | |||||||
10/1/18 to 9/30/19 | $26.76 | 0.37 | 3.34 | 3.71 | (0.42) | (3.72) | (4.14) |
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) |
Class C | |||||||
10/1/18 to 9/30/19 | $26.69 | 0.19 | 3.32 | 3.51 | (0.22) | (3.72) | (3.94) |
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) |
Class I | |||||||
10/1/18 to 9/30/19 | $26.71 | 0.44 | 3.34 | 3.78 | (0.49) | (3.72) | (4.21) |
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) |
Class R6 | |||||||
10/1/18 to 9/30/19 | $26.72 | 0.51 | 3.32 | 3.83 | (0.53) | (3.72) | (4.25) |
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(9) to 9/30/15 | 40.32 | 0.79 | (0.06) | 0.73 | (0.69) | (1.94) | (2.63) |
Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate |
(0.43) | $26.33 | 17.33 % | $175,112 | 1.38 % | 1.38 % | 1.50 % | 30 % |
(3.67) | 26.76 | 4.03 | 216,062 | 1.38 | 1.38 | 1.16 | 12 |
(6.44) | 30.43 | 0.63 (6) | 331,957 | 1.39 (6) | 1.39 | 1.21 (6) | 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 |
(0.43) | $26.26 | 16.49 % | $12,325 | 2.09 % | 2.09 % | 0.78 % | 30 % |
(3.66) | 26.69 | 3.28 | 26,643 | 2.07 | 2.07 | 0.45 | 12 |
(6.42) | 30.35 | (0.09) (6) | 43,219 | 2.13 (6) | 2.13 | 0.48 (6) | 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 |
(0.43) | $26.28 | 17.73 % | $373,801 | 1.09 % | 1.09 % | 1.81 % | 30 % |
(3.68) | 26.71 | 4.31 | 437,179 | 1.08 | 1.08 | 1.49 | 12 |
(6.44) | 30.39 | 0.90 (6) | 539,098 | 1.13 (6) | 1.13 | 1.49 (6) | 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 |
(0.42) | $26.30 | 17.94 % | $38,915 | 0.87 % (8) | 0.95 % | 2.11 % | 30 % |
(3.67) | 26.72 | 4.50 | 26,210 | 0.93 (8) | 0.95 | 1.75 | 12 |
(6.45) | 30.39 | 1.06 (6) | 19,880 | 0.98 (6) | 0.98 | 1.62 (6) | 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 (10) |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | Not annualized for periods less than one year. |
(4) | Annualized for periods less than one year. |
(5) | 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. |
(6) | 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%. |
(7) | Net expense ratio includes extraordinary proxy expenses. |
(8) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(9) | Inception date. |
(10) | Portfolio turnover is representative of the Fund for the entire year ended September 30, 2015. |
September 30, 2019
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 and out of Level 3 at the end of the reporting period. |
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 REITs 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 their 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 Fund’s intention 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, |
2019, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 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 that 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 pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Regulation S-X |
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 Statements of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statements of Changes in Net Assets. Certain prior year amounts have been reclassified for consistency with the current year presentation (see footnotes on Statements of Changes in Net Assets for separate disclosure). These reclassifications have no effect on total net assets, total distributions, the statement of operations, financial highlights, net asset value or total return. | |
G. | 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. At September 30, 2019, the Fund did not loan securities. |
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 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 July 1, 2019, the Adviser has contractually agreed to limit the Fund’s total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, 0.79% of average daily net assets for Class R6 shares through January 31, 2020. 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. Prior to July 1, 2019, the expense cap for Class R6 shares was 0.90%. | |
From July 1, 2019 through September 24, 2019, the exclusions included 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). As of September 25, 2019, the exclusions include front-end or contingent deferred loads, taxes, leverage and borrowing expenses (such as commitment, amendment and renewal expenses on credit or redemption facilities), 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. | |
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 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 | 2022 | Total | |||
Class R6 | $ 4 | $26 | $30 | ||
E. | Distributor |
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, 2019, it retained net commissions of $6 for Class A shares and CDSC of $1 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 following 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. | |
F. | Administrator and Transfer Agent |
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, 2019, the Fund incurred administration fees totaling $576 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, 2019, the Fund incurred transfer agent fees totaling $258 which are included in the Statement of Operations within the line items “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | 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, 2019. |
Purchases | Sales | |
$181,649 | $362,269 |
% of Shares Outstanding | Number of Accounts | |
27% | 2* |
* | The shareholders are not affiliated with Virtus. |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 403,756 | $ 194,981 | $ (8,162) | $ 186,819 |
Undistributed Long-Term Capital Gains |
$87,203 |
Year Ended | Year Ended | ||
2019 | 2018 | ||
Ordinary Income | $11,842 | $10,469 | |
Long-Term Capital Gains | 84,474 | 125,799 |
Year Ended | Year Ended | ||
2019 | 2018 | ||
Total | $96,316 | $136,268 |
Philadelphia, Pennsylvania
Qualified REIT Dividends | QDI | DRD | LTCG | ||||
88% | —% | —% | $94,262 |
(800) 243-4361.
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 67 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 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 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 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). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 67 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 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (56 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 ( since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2016 67 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 (56 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 67 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 (56 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 67 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 (56 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. |
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 75 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 MLP and Midstream Energy 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 (56 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 71 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 (56 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2000 71 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 MLP and Midstream Energy 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 (56 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2000 67 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 (56 portfolios). |
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; and 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 MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013),Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (4 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 (56 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter YOB: 1970 | Senior Vice President (since 2017), Vice President (2008 to 2017). | Senior Vice President, Product Development (since 2017), and Vice President, Product Development (2008 to 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2008) with Virtus affiliates; Senior Vice President (since 2017), and Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), and Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), and Vice President (2013 to 2016), Virtus Alternative Solutions Trust; and Senior Vice President (since 2017) and Vice President (2016 to 2017), Virtus Closed-End Funds. |
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), and 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), 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 and Midstream Energy 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. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of 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), and Assistant Secretary (2013 to 2014 and since 2017), 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), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy 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 and Chief Compliance Officer (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 MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Virtus Closed-End Funds; 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 and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; and Executive Vice President (since 2017), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) | Class R6 |
Management Fees | 0.75% |
Distribution and Shareholder Servicing (12b-1) Fees | None |
Other Expenses | 0.20% |
Total Annual Fund Operating Expenses | 0.95% |
Less: Fee Waiver and/or Expense Reimbursement(b) | (0.16%) |
Total Annual Fund Operating Expenses After Expense Reimbursement(b) | 0.79% |
Share Status | 1 Year | 3 Years | 5 Years | 10 Years | |
Class R6 | Sold or Held | $81 | $287 | $510 | $1,152 |
Class A Shares | Class C Shares | Class C1 Shares | Class I Shares | Class R6 Shares | Through Date | |
Virtus Duff & Phelps Real Estate Securities Fund | N/A | N/A | N/A | N/A | 0.79% | January 31, 2020 |
Accounting Firm
Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
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.
please contact us at1-800-243-1574, orVirtus.com.
8009 | 11-19 |
Virtus Vontobel Foreign Opportunities Fund |
Message to Shareholders | 1 |
Disclosure of Fund Expenses | 2 |
Key Investment Terms | 4 |
Fund Summary | 6 |
Schedule of Investments | 12 |
Statement of Assets and Liabilities | 15 |
Statement of Operations | 17 |
Statements of Changes in Net Assets | 18 |
Financial Highlights | 20 |
Notes to Financial Statements | 23 |
Report of Independent Registered Public Accounting Firm | 35 |
Tax Information Notice | 36 |
Results of Shareholder Meeting | 37 |
Fund Management Tables | 38 |
President, Virtus Funds
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,072.21 | 1.39 % | $ 7.22 | |||
Class C | 1,000.00 | 1,068.74 | 2.05 | 10.63 | |||
Class I | 1,000.00 | 1,073.75 | 1.07 | 5.56 | |||
Class R6 | 1,000.00 | 1,074.48 | 0.95 | 4.94 |
* | 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. |
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,018.10 | 1.39 % | $ 7.03 | |||
Class C | 1,000.00 | 1,014.79 | 2.05 | 10.35 | |||
Class I | 1,000.00 | 1,019.70 | 1.07 | 5.42 | |||
Class R6 | 1,000.00 | 1,020.31 | 0.95 | 4.81 |
* | 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. |
September 30, 2019
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 achieve its objective. |
■ | For the fiscal year ended September 30, 2019, the Fund’s Class A shares at NAV returned 7.08%, Class C shares at NAV returned 6.40%, Class I shares at NAV returned 7.43%, and Class R6 shares at NAV returned 7.57%. For the same period, the MSCI EAFE® Index (net), which serves as both the Fund’s broad-based and style-specific index appropriate for comparison, returned -1.34%. |
Industrials | 31% |
Consumer Staples | 19 |
Information Technology | 15 |
Consumer Discretionary | 10 |
Financials | 9 |
Health Care | 7 |
Communication Services | 6 |
Other (includes securities lending collateral) | 3 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 7.08 % | 6.23 % | 7.65 % | — % | — | |||||||
Class A shares at POP3,4 | 0.92 | 4.97 | 7.02 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 6.40 | 5.47 | 6.87 | — | — | |||||||
Class I shares at NAV2 | 7.43 | 6.52 | 7.94 | — | — | |||||||
Class R6 shares at NAV2 | 7.57 | — | — | 6.39 | 11/12/14 | |||||||
MSCI EAFE® Index (net) | -1.34 | 3.27 | 4.90 | 3.75 5 | — | |||||||
Fund Expense Ratios6: Class A shares: Gross 1.43%, Net 1.39%; Class C shares: Gross 2.10%, Net 2.05%; Class I shares: Gross 1.12%, Net 1.07%; Class R6 shares: Gross 1.03%, 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 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 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 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 28, 2019, 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 a contractual expense limitation in effect through March 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
September 30, 2019
Shares | Value | ||
Common Stocks—97.6% | |||
Communication Services—5.7% | |||
Alphabet, Inc. Class C (United States)(1) | 21,081 | $25,698 | |
Cellnex Telecom SA 144A (Spain)(1)(2) | 541,211 | 22,357 | |
Tencent Holdings Ltd. (China) | 286,211 | 12,058 | |
60,113 | |||
Consumer Discretionary—9.5% | |||
adidas AG (Germany) | 68,962 | 21,471 | |
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 124,796 | 20,870 | |
Booking Holdings, Inc. (Netherlands)(1) | 15,741 | 30,893 | |
Flutter Entertainment plc (Ireland) | 118,309 | 11,059 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 39,497 | 15,698 | |
99,991 | |||
Consumer Staples—18.4% | |||
Alimentation Couche-Tard, Inc. Class B (Canada) | 1,313,392 | 40,249 | |
Anheuser-Busch InBev NV (Belgium) | 395,450 | 37,680 | |
Heineken NV (Netherlands) | 98,088 | 10,602 | |
Nestle S.A. Registered Shares (Switzerland) | 413,887 | 44,903 | |
Unilever NV (Netherlands) | 651,679 | 39,173 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 7,393,946 | 21,915 | |
194,522 | |||
Financials—8.3% | |||
HDFC Bank Ltd. (India) | 2,037,662 | 35,293 | |
Housing Development Finance Corp., Ltd. (India) | 738,110 | 20,591 |
Shares | Value | ||
Financials—continued | |||
Itau Unibanco Holding SA Sponsored ADR (Brazil) | 1,774,115 | $14,920 | |
London Stock Exchange Group plc (United Kingdom) | 190,618 | 17,128 | |
87,932 | |||
Health Care—7.2% | |||
Alcon, Inc. (Switzerland)(1) | 271,627 | 15,840 | |
CSL Ltd. (Australia) | 86,497 | 13,643 | |
Grifols SA (Spain)(3) | 982,814 | 28,966 | |
Medtronic plc (United States) | 165,544 | 17,981 | |
76,430 | |||
Industrials—30.2% | |||
Ashtead Group plc (United Kingdom) | 560,318 | 15,598 | |
Bunzl plc (United Kingdom) | 843,327 | 22,034 | |
CAE, Inc. (Canada) | 836,636 | 21,256 | |
Canadian National Railway Co. (Canada) | 257,935 | 23,160 | |
DCC plc (Ireland) | 225,806 | 19,701 | |
IMCD NV (Netherlands) | 68,100 | 5,036 | |
Kingspan Group plc (Ireland) | 307,157 | 14,999 | |
Kingspan Group plc (Ireland)(1) | 11,408 | 558 | |
RELX plc (United Kingdom) | 1,377,061 | 32,765 | |
Rentokil Initial plc (United Kingdom) | 4,898,371 | 28,175 | |
Safran SA (France) | 225,498 | 35,503 | |
Techtronic Industries Co., Ltd. (Hong Kong) | 2,511,167 | 17,478 | |
Teleperformance (France) | 128,926 | 27,950 | |
Vinci SA (France) | 223,572 | 24,081 |
Shares | Value | ||
Industrials—continued | |||
Wolters Kluwer NV (Netherlands) | 431,125 | $31,474 | |
319,768 | |||
Information Technology—15.1% | |||
Constellation Software, Inc. (Canada) | 23,048 | 23,018 | |
Keyence Corp. (Japan) | 35,440 | 21,928 | |
Mastercard, Inc. Class A (United States) | 129,336 | 35,124 | |
SAP SE (Germany) | 221,348 | 26,027 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 480,377 | 22,328 | |
Tata Consultancy Services Ltd. (India) | 1,063,231 | 31,495 | |
159,920 | |||
Materials—1.8% | |||
Air Liquide SA (France) | 135,859 | 19,339 | |
Utilities—1.4% | |||
Equatorial Energia S.A. (Brazil) | 628,689 | 15,196 | |
Total Common Stocks (Identified Cost $740,237) | 1,033,211 | ||
Total Long-Term Investments—97.6% (Identified Cost $740,237) | 1,033,211 | ||
Securities Lending Collateral—0.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(4)(5) | 4,543,057 | 4,543 | |
Total Securities Lending Collateral (Identified Cost $4,543) | 4,543 | ||
Value | ||
TOTAL INVESTMENTS—98.0% (Identified Cost $744,780) | $1,037,754 | |
Other assets and liabilities, net—2.0% | 21,097 | |
NET ASSETS—100.0% | $1,058,851 |
Abbreviation: | |
ADR | American Depositary Receipt |
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, 2019, these securities amounted to a value of $22,357 or 2.1% of net assets. |
(3) | All or a portion of security is on loan. |
(4) | Represents security purchased with cash collateral received for securities on loan. |
(5) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
France | 12% |
Netherlands | 11 |
United Kingdom | 11 |
Canada | 10 |
India | 8 |
United States | 8 |
Switzerland | 6 |
Other | 34 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $1,033,211 | $1,033,211 | |
Securities Lending Collateral | 4,543 | 4,543 | |
Total Investments | $1,037,754 | $1,037,754 |
September 30, 2019
Assets | |
Investment in securities at value(1)(2) | $1,037,754 |
Foreign currency at value(3) | 149 |
Cash | 24,751 |
Receivables | |
Fund shares sold | 952 |
Dividends | 619 |
Tax reclaims | 2,557 |
Securities lending income | 3 |
Prepaid Trustees’ retainer | 20 |
Prepaid expenses | 58 |
Other assets | 86 |
Total assets | 1,066,949 |
Liabilities | |
Payables | |
Fund shares repurchased | 1,520 |
Foreign capital gains tax | 698 |
Collateral on securities loaned | 4,543 |
Investment advisory fees | 727 |
Distribution and service fees | 73 |
Administration and accounting fees | 92 |
Transfer agent and sub-transfer agent fees and expenses | 229 |
Professional fees | 31 |
Trustee deferred compensation plan | 86 |
Other accrued expenses | 99 |
Total liabilities | 8,098 |
Net Assets | $1,058,851 |
Net Assets Consist of: | |
Common stock $0.001 par value | $35 |
Capital paid in on shares of beneficial interest | 709,115 |
Accumulated earnings (loss) | 349,701 |
Net Assets | $1,058,851 |
Net Assets: | |
Class A | $186,206 |
Class C | $41,638 |
Class I | $761,809 |
Class R6 | $69,198 |
Shares Outstanding (unlimited number of shares authorized, $0.001 par value): | |
Class A | 6,116,399 |
Class C | 1,409,715 |
Class I | 25,032,593 |
Class R6 | 2,273,512 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $30.44 |
Class C | $29.54 |
Class I | $30.43 |
Class R6 | $30.44 |
Maximum Offering Price per Share (NAV/(1-5.75%*)): | |
Class A | $32.30 |
* Maximum sales charge | |
(1)Investment in securities at cost | $744,780 |
(2) Market value of securities on loan | $4,305 |
(3) Foreign currency at cost | $149 |
YEAR ENDED September 30, 2019
Investment Income | |
Dividends | $20,774 |
Security lending, net of fees | 55 |
Foreign taxes withheld | (1,755) |
Total investment income | 19,074 |
Expenses | |
Investment advisory fees | 9,155 |
Distribution and service fees, Class A | 470 |
Distribution and service fees, Class C | 539 |
Administration and accounting fees | 1,132 |
Transfer agent fees and expenses | 476 |
Sub-transfer agent fees and expenses, Class A | 254 |
Sub-transfer agent fees and expenses, Class C | 43 |
Sub-transfer agent fees and expenses, Class I | 664 |
Custodian fees | 24 |
Printing fees and expenses | 72 |
Professional fees | 54 |
Interest expense | 8 |
Registration fees | 83 |
Trustees’ fees and expenses | 92 |
Miscellaneous expenses | 172 |
Total expenses | 13,238 |
Less expenses reimbursed and/or waived by investment adviser(1) | (520) |
Less low balance account fees | (2) |
Net expenses | 12,716 |
Net investment income (loss) | 6,358 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 71,645 |
Foreign currency transactions | (444) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | (24,888) |
Foreign currency transactions | 6 |
Net realized and unrealized gain (loss) on investments | 46,319 |
Net increase (decrease) in net assets resulting from operations | $52,677 |
(1) | See Note 3D in the Notes to Financial Statements. |
Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $6,358 | $6,614 | |
Net realized gain (loss) | 71,201 | 194,612 | |
Net change in unrealized appreciation (depreciation) | (24,882) | (166,104) | |
Increase (decrease) in net assets resulting from operations | 52,677 | 35,122 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (32,698) | (515)(1) | |
Class C | (11,388) | — | |
Class I | (145,852) | (5,658)(1) | |
Class R6 | (3,798) | (120)(1) | |
Total Dividends and Distributions to Shareholders | (193,736) | (6,293) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (1,512 and 858 shares, respectively) | 42,627 | 30,148 | |
Class C (107 and 156 shares, respectively) | 2,798 | 5,400 | |
Class I (6,586 and 7,445 shares, respectively) | 184,884 | 262,701 | |
Class R6 (758 and 654 shares, respectively) | 24,044 | 23,114 | |
Net assets from merger(2): | |||
Class R6 (1,227 and — shares, respectively) | 34,204 | — | |
Reinvestment of distributions: | |||
Class A (1,117 and 13 shares, respectively) | 28,438 | 455 | |
Class C (434 and — shares, respectively) | 10,767 | — | |
Class I (5,494 and 153 shares, respectively) | 139,385 | 5,358 | |
Class R6 (127 and 3 shares, respectively) | 3,231 | 98 | |
Shares repurchased and cross class conversions: | |||
Class A ((2,631) and (2,962) shares, respectively) | (75,225) | (104,332) | |
Class C ((1,359) and (722) shares, respectively) | (37,018) | (24,787) | |
Class I ((15,432) and (10,439) shares, respectively) | (438,307) | (366,169) | |
Class R6 ((805) and (259) shares, respectively) | (25,427) | (9,118) | |
Increase (decrease) in net assets from capital transactions | (105,599) | (177,132) | |
Net increase (decrease) in net assets | (246,658) | (148,303) | |
Net Assets | |||
Beginning of period | 1,305,509 | 1,453,812 | |
End of Period | $1,058,851 | $1,305,509 | |
Accumulated undistributed net investment income (loss) at end of period | N/A | $7,130 |
(1) | For the year ended September 30, 2018, distributions to shareholders were from net investment income. |
(2) | See Note 12 in Notes to Financial Statements. |
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 | |||||||
10/1/18 to 9/30/19 | $34.62 | 0.11 | 1.25 | 1.36 | (0.15) | (5.39) | (5.54) |
10/1/17 to 9/30/18 | 33.95 | 0.10 | 0.64 | 0.74 | (0.07) | — | (0.07) |
10/1/16 to 9/30/17 | 29.62 | 0.09 | 4.42 | 4.51 | (0.18) | — | (0.18) |
10/1/15 to 9/30/16 | 27.21 | 0.19 | 2.47 | 2.66 | (0.25) | — | (0.25) |
10/1/14 to 9/30/15 | 28.12 | 0.25 | (0.92) | (0.67) | (0.24) | — | (0.24) |
Class C | |||||||
10/1/18 to 9/30/19 | $33.83 | (0.10) | 1.23 | 1.13 | (0.03) | (5.39) | (5.42) |
10/1/17 to 9/30/18 | 33.34 | (0.14) | 0.63 | 0.49 | — | — | — |
10/1/16 to 9/30/17 | 29.23 | (0.11) | 4.33 | 4.22 | (0.11) | — | (0.11) |
10/1/15 to 9/30/16 | 26.95 | (0.02) | 2.42 | 2.40 | (0.12) | — | (0.12) |
10/1/14 to 9/30/15 | 27.88 | 0.04 | (0.91) | (0.87) | (0.06) | — | (0.06) |
Class I | |||||||
10/1/18 to 9/30/19 | $34.70 | 0.20 | 1.24 | 1.44 | (0.32) | (5.39) | (5.71) |
10/1/17 to 9/30/18 | 34.03 | 0.20 | 0.65 | 0.85 | (0.18) | — | (0.18) |
10/1/16 to 9/30/17 | 29.63 | 0.20 | 4.40 | 4.60 | (0.20) | — | (0.20) |
10/1/15 to 9/30/16 | 27.23 | 0.26 | 2.46 | 2.72 | (0.32) | — | (0.32) |
10/1/14 to 9/30/15 | 28.14 | 0.32 | (0.91) | (0.59) | (0.32) | — | (0.32) |
Class R6 | |||||||
10/1/18 to 9/30/19 | $34.72 | 0.29 | 1.18 | 1.47 | (0.36) | (5.39) | (5.75) |
10/1/17 to 9/30/18 | 34.06 | 0.23 | 0.64 | 0.87 | (0.21) | — | (0.21) |
10/1/16 to 9/30/17 | 29.63 | 0.24 | 4.39 | 4.63 | (0.20) | — | (0.20) |
10/1/15 to 9/30/16 | 27.24 | 0.33 | 2.42 | 2.75 | (0.36) | — | (0.36) |
11/12/14(9) to 9/30/15 | 28.66 | 0.36 | (1.45) | (1.09) | (0.33) | — | (0.33) |
Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate |
(4.18) | $30.44 | 7.08 % | $186,206 | 1.40 % (6) | 1.44 % | 0.38 % | 64 % |
0.67 | 34.62 | 2.17 | 211,755 | 1.43 | 1.43 | 0.27 | 39 |
4.33 | 33.95 | 15.41 (7) | 278,667 | 1.45 (7) | 1.46 | 0.28 (7) | 31 |
2.41 | 29.62 | 9.77 | 367,684 | 1.44 (8) | 1.45 | 0.68 | 25 |
(0.91) | 27.21 | (2.41) | 406,429 | 1.41 | 1.41 | 0.89 | 32 |
(4.29) | $29.54 | 6.40 % | $41,638 | 2.07 % (6) | 2.13 % | (0.34) % | 64 % |
0.49 | 33.83 | 1.47 | 75,379 | 2.10 | 2.10 | (0.41) | 39 |
4.11 | 33.34 | 14.55 (7) | 93,166 | 2.19 (7) | 2.20 | (0.39) (7) | 31 |
2.28 | 29.23 | 8.94 | 112,180 | 2.19 (8) | 2.20 | (0.06) | 25 |
(0.93) | 26.95 | (3.13) | 117,568 | 2.17 | 2.17 | 0.15 | 32 |
(4.27) | $30.43 | 7.43 % | $761,809 | 1.08 % (6) | 1.13 % | 0.68 % | 64 % |
0.67 | 34.70 | 2.48 | 984,802 | 1.12 | 1.12 | 0.57 | 39 |
4.40 | 34.03 | 15.69 (7) | 1,062,609 | 1.19 (7) | 1.20 | 0.64 (7) | 31 |
2.40 | 29.63 | 10.05 | 958,835 | 1.19 (8) | 1.20 | 0.90 | 25 |
(0.91) | 27.23 | (2.16) | 1,231,349 | 1.17 | 1.17 | 1.14 | 32 |
(4.28) | $30.44 | 7.57 % | $69,198 | 0.96 % (6) | 1.04 % | 0.97 % | 64 % |
0.66 | 34.72 | 2.55 | 33,573 | 1.03 | 1.03 | 0.66 | 39 |
4.43 | 34.06 | 15.82 (7) | 19,370 | 1.08 (7) | 1.09 | 0.75 (7) | 31 |
2.39 | 29.63 | 10.16 | 6,587 | 1.09 (8) | 1.10 | 1.14 | 25 |
(1.42) | 27.24 | (3.84) | 4,502 | 1.07 | 1.07 | 1.44 | 32 (10) |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | 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. |
(6) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(7) | 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% |
(8) | Net expense ratio includes extraordinary proxy expenses. |
(9) | Inception date. |
(10) | Portfolio turnover is represented of the Fund for the entire year ended September 2015. |
September 30, 2019
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 and out of Level 3 at the end of the reporting period. |
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 REITs 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 their 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 Fund’s intention 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, |
2019, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 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 that 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 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. | Regulation S-X |
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 Statements of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statements of Changes in Net Assets. Certain prior year amounts have been reclassified for consistency with the current year presentation (see footnotes on Statements of Changes in Net Assets for separate disclosure). These reclassifications have no effect on total net assets, total distributions, the statement of operations, financial highlights, net asset value or total return. | |
H. | 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. | |
Securities lending transactions are entered into by the Fund under Master Securities Lending Agreements (“MSLA”) which permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
At September 30, 2019, the securities loaned were subject to a MSLA on a net payment basis as follows: |
Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | ||
$ 4,305 | $ 4,305 | $— |
(1) | Collateral with a value of $4,543 has been received in connection with securities lending transactions. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
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 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 $2 billion | $2+ Billion through $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. | Expense Limits and Fee Waivers |
Effective December 1, 2018, the Adviser has contractually agreed to limit the Fund’s total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following percentages of the Fund’s average net asset values through March 31, 2021. Following the contractual period, the Adviser may discontinue this expense reimbursement arrangements at any time. The waivers and reimbursements are calculated daily and received monthly. |
Class A | Class C | Class I | Class R6* | |||
1.39 % | 2.05 % | 1.07 % | 0.95 % |
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 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 | |
2022 | |
Class A | $71 |
Class C | 32 |
Class I | 383 |
Class R6 | 34 |
E. | Distributor |
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, 2019, it retained net commissions of $9 for Class A shares and CDSC of $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 following |
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. | |
F. | Administrator and Transfer Agent |
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, 2019, the Fund incurred administration fees totaling $1,027 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, 2019, the Fund incurred transfer agent fees totaling $459 which are included in the Statement of Operations within the line items “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | 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, 2019. |
Purchases | Sales | |
$674,097 | $995,593 |
% of Shares Outstanding | Number of Accounts | |
30% | 1* |
* | The shareholders are not affiliated with Virtus. |
Sector | Percentage of Total Investments | |
Industrials | 31% |
Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | |||
$7 | $21,333 | 3.73% | 3 |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 761,143 | $ 313,063 | $ (36,452) | $ 276,611 |
No Expiration | Total | |||||||
Short-Term | Long-Term | Short-Term | Long-Term | |||||
$456 | $268 | $456 | $268 |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | |
$3,746 | $71,029 |
Year Ended | Year Ended | ||
2019 | 2018 | ||
Ordinary Income | $9,326 | $6,293 | |
Long-Term Capital Gains | 184,410 | — | |
Total | $193,736 | $6,293 |
Capital Paid in on Shares of Beneficial Interest | Accumulated Earnings (Loss) | |
$ 1,438 | $ (1,438) |
Merged Fund | Shares Outstanding | Acquiring Fund | Shares Converted | Merged Fund Net Asset Value of Converted Shares | ||||
Vontobel International Equity Institutional Fund | Class I Shares 2,898,624 | Vontobel Foreign Opportunities Fund | Class R6 Shares 1,227,250 | $34,204 |
Merged Fund | Net Assets | Unrealized Appreciation (Depreciation) | Acquiring Fund | Net Assets | ||||
Vontobel International Equity Institutional Fund | $34,204 | $4,066 | Vontobel Foreign Opportunities Fund | $22,244 |
Net investment income (loss) | $6,402 (a) |
Net realized and unrealized gain (loss) on investments | 45,798 (b) |
Net increase (decrease) in net assets resulting from operations | $52,200 |
Philadelphia, Pennsylvania
QDI | DRD | LTCG | ||
100% | 7 % | $82,365 |
Proposal 1. | |||
Number of Eligible Votes: | FOR | AGAINST | ABSTAIN | |||
To consider and act upon a Plan providing for the acquisition of all of the property and assets of Vontobel International Equity Fund by Virtus Vontobel Foreign Opportunities Fund (“Virtus Foreign Opportunities Fund”), a series of Virtus Opportunities Trust, in exchange solely for shares of Virtus Foreign Opportunities Fund and the assumption by Virtus Foreign Opportunities Fund of all of the liabilities of Vontobel International Equity Fund. | 1,658,031.573 | 0.000 | 0.000 |
(800) 243-4361.
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 67 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 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 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 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). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 67 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 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (56 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 ( since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2016 67 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 (56 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 67 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 (56 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 67 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 (56 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. |
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 75 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 MLP and Midstream Energy 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 (56 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 71 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 (56 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2000 71 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 MLP and Midstream Energy 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 (56 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2000 67 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 (56 portfolios). |
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; and 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 MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013),Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (4 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 (56 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter YOB: 1970 | Senior Vice President (since 2017), Vice President (2008 to 2017). | Senior Vice President, Product Development (since 2017), and Vice President, Product Development (2008 to 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2008) with Virtus affiliates; Senior Vice President (since 2017), and Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), and Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), and Vice President (2013 to 2016), Virtus Alternative Solutions Trust; and Senior Vice President (since 2017) and Vice President (2016 to 2017), Virtus Closed-End Funds. |
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), and 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), 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 and Midstream Energy 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. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of 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), and Assistant Secretary (2013 to 2014 and since 2017), 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), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy 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 and Chief Compliance Officer (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 MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Virtus Closed-End Funds; 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 and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; and Executive Vice President (since 2017), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Accounting Firm
Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
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.
please contact us at1-800-243-1574, orVirtus.com.
8011 | 11-19 |
Virtus Newfleet Multi-Sector Short Term Bond Fund |
Message to Shareholders | 1 |
Disclosure of Fund Expenses | 2 |
Key Investment Terms | 4 |
Fund Summary | 6 |
Schedule of Investments | 11 |
Statement of Assets and Liabilities | 46 |
Statement of Operations | 48 |
Statements of Changes in Net Assets | 49 |
Financial Highlights | 52 |
Notes to Financial Statements | 55 |
Report of Independent Registered Public Accounting Firm | 68 |
Tax Information Notice | 69 |
Fund Management Tables | 70 |
President, Virtus Funds
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,026.03 | 0.97 % | $ 4.93 | |||
Class C | 1,000.00 | 1,024.39 | 1.21 | 6.14 | |||
Class C1 | 1,000.00 | 1,021.85 | 1.71 | 8.67 | |||
Class I | 1,000.00 | 1,025.09 | 0.72 | 3.66 | |||
Class R6 | 1,000.00 | 1,027.66 | 0.55 | 2.80 |
* | 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. |
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,020.21 | 0.97 % | $ 4.91 | |||
Class C | 1,000.00 | 1,019.00 | 1.21 | 6.12 | |||
Class C1 | 1,000.00 | 1,016.50 | 1.71 | 8.64 | |||
Class I | 1,000.00 | 1,021.46 | 0.72 | 3.65 | |||
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. |
September 30, 2019
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, 2019, the Fund’s Class A shares at NAV returned 4.62%, Class C shares at NAV returned 4.31%, Class C1 shares at NAV returned 3.80%, Class I shares at NAV returned 4.66%, and Class R6 shares at NAV returned 4.96%. 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 5.42%. |
Corporate Bonds and Notes | 32% | |
Financials | 11% | |
Energy | 4 | |
Health Care | 2 | |
All other Corporate Bonds and Notes | 15 | |
Mortgage-Backed Securities | 30 | |
Asset-Backed Securities | 23 | |
Leveraged Loans | 7 | |
Foreign Government Securities | 5 | |
Other (includes securities lending collateral) | 3 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 4.62 % | 2.46 % | 4.09 % | — % | — | |||||||
Class A shares at POP3,4 | 2.27 | 2.00 | 3.85 | — | — | |||||||
Class C shares at NAV2 | 4.31 | 2.22 | 3.82 | — | — | |||||||
Class C1 shares at NAV2 and with CDSC4 | 3.80 | 1.72 | 3.32 | — | — | |||||||
Class I shares at NAV2 | 4.66 | 2.72 | 4.34 | — | — | |||||||
Class R6 shares at NAV2 | 4.96 | — | — | 3.04 | 11/3/16 | |||||||
ICE BofA Merrill Lynch 1-3 Year A-BBB US Corporate Index | 5.42 | 2.34 | 2.86 | 2.72 5 | — | |||||||
Fund Expense Ratios6: Class A shares: 0.99%; Class C shares: 1.22%; Class C1 shares: 1.72%; Class I shares: 0.72%; Class R6 shares: Gross 0.66%, Net 0.56%. |
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 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 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 28, 2019, 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 a contractual expense limitation in effect through January 31, 2020. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
September 30, 2019
Par Value | Value | ||
U.S. Government Securities—2.0% | |||
U.S. Treasury Bill 0.000%, 8/13/20 | $ 65,000 | $64,011 | |
U.S. Treasury Notes | |||
2.500%, 12/31/20 | 25,100 | 25,317 | |
1.750%, 6/15/22 | 34,895 | 35,054 | |
Total U.S. Government Securities (Identified Cost $124,403) | 124,382 | ||
Municipal Bond—0.1% | |||
Virginia—0.1% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 4,500 | 4,326 | |
Total Municipal Bond (Identified Cost $4,212) | 4,326 | ||
Foreign Government Securities—4.5% | |||
Arab Republic of Egypt 144A 5.875%, 6/11/25(1)(2) | 14,915 | 15,251 | |
Bolivarian Republic of Venezuela | |||
RegS 7.000%, 12/1/18(3)(4) | 20,999 | 2,257 | |
RegS 7.750%, 10/13/19(3)(4) | 9,851 | 1,059 | |
Dominican Republic 144A 6.600%, 1/28/24(1) | 7,115 | 7,818 | |
Federal Republic of Nigeria 144A 7.625%, 11/21/25(1) | 25,700 | 28,215 | |
Kingdom of Abu Dhabi 2.125%, 9/30/24(1) | 6,800 | 6,759 | |
Kingdom of Saudi Arabia 144A 4.000%, 4/17/25(1) | 14,625 | 15,665 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Indonesia | |||
144A 3.375%, 4/15/23(1)(2) | $18,000 | $18,454 | |
144A 5.875%, 1/15/24(1) | 15,230 | 17,130 | |
144A 4.125%, 1/15/25(1) | 9,800 | 10,428 | |
Republic of Kazakhstan 144A 5.125%, 7/21/25(1) | 1,830 | 2,070 | |
Republic of Kenya 144A 7.000%, 5/22/27(1) | 12,600 | 13,072 | |
Republic of Mongolia 144A 8.750%, 3/9/24(1) | 5,755 | 6,432 | |
Republic of Pakistan 144A 8.250%, 9/30/25(1) | 2,500 | 2,700 | |
Republic of South Africa | |||
4.665%, 1/17/24 | 6,725 | 7,044 | |
5.875%, 9/16/25 | 9,225 | 10,048 | |
Republic of Sri Lanka | |||
144A 6.350%, 6/28/24(1) | 3,250 | 3,249 | |
144A 6.850%, 11/3/25(1) | 7,550 | 7,566 | |
Republic of Turkey | |||
6.250%, 9/26/22 | 11,600 | 11,890 | |
7.250%, 12/23/23 | 6,675 | 7,057 | |
6.350%, 8/10/24 | 10,945 | 11,140 | |
7.375%, 2/5/25 | 4,290 | 4,556 | |
Russian Federation 144A 4.875%, 9/16/23(1) | 29,200 | 31,886 | |
Sultanate of Oman | |||
144A 4.125%, 1/17/23(1) | 12,560 | 12,529 | |
144A 4.750%, 6/15/26(1) | 6,295 | 6,046 | |
Ukraine 144A 7.750%, 9/1/25(1) | 13,345 | 13,995 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
United Mexican States Series M 6.500%, 6/9/22 | 250,769MXN | $12,640 | |
Total Foreign Government Securities (Identified Cost $307,124) | 286,956 | ||
Mortgage-Backed Securities—30.3% | |||
Agency—2.0% | |||
Federal National Mortgage Association | |||
Pool #784263 5.500%, 3/1/20 | $1 | 1 | |
Pool #811881 5.500%, 3/1/20 | 1 | 1 | |
Pool #819916 5.500%, 3/1/20 | 7 | 7 | |
Pool #819922 5.500%, 4/1/20 | 13 | 12 | |
Pool #811451 5.000%, 6/1/20 | 23 | 24 | |
Pool #AD6058 4.000%, 8/1/25 | 3,280 | 3,419 | |
Pool #AO5149 3.000%, 6/1/27 | 421 | 432 | |
Pool #AS5927 3.000%, 10/1/30 | 13,356 | 13,709 | |
Pool #AZ4794 3.000%, 10/1/30 | 21,011 | 21,580 | |
Pool #890710 3.000%, 2/1/31 | 8,715 | 8,951 | |
Pool #254549 6.000%, 12/1/32 | 20 | 23 | |
Pool #695237 5.500%, 2/1/33 | 28 | 31 | |
Pool #773385 5.500%, 5/1/34 | 140 | 158 | |
Pool #725762 6.000%, 8/1/34 | 112 | 129 | |
Pool #806318 5.500%, 11/1/34 | 132 | 143 |
Par Value | Value | ||
Agency—continued | |||
Pool #806328 5.500%, 11/1/34 | $121 | $131 | |
Pool #800267 5.500%, 12/1/34 | 32 | 36 | |
Pool #808018 5.500%, 1/1/35 | 130 | 147 | |
Pool #941322 6.000%, 7/1/37 | 7 | 7 | |
Pool #889578 6.000%, 4/1/38 | 68 | 79 | |
Pool #AC6992 5.000%, 12/1/39 | 2,436 | 2,669 | |
Pool #AD3841 4.500%, 4/1/40 | 3,591 | 3,888 | |
Pool #AD4224 5.000%, 8/1/40 | 3,274 | 3,619 | |
Pool #AE4799 4.000%, 10/1/40 | 89 | 95 | |
Pool #AH4009 4.000%, 3/1/41 | 3,215 | 3,436 | |
Pool #AI2472 4.500%, 5/1/41 | 2,732 | 2,961 | |
Pool #AS6515 4.000%, 1/1/46 | 8,852 | 9,337 | |
Pool #AS9393 4.000%, 4/1/47 | 5,427 | 5,689 | |
Pool #MA3058 4.000%, 7/1/47 | 26,639 | 27,832 | |
Pool #MA3692 3.500%, 7/1/49 | 18,551 | 19,088 | |
Government National Mortgage Association | |||
Pool #563381 6.500%, 11/15/31 | 16 | 17 | |
Pool #581072 6.500%, 2/15/32 | 2 | 3 | |
127,654 | |||
Non-Agency—28.3% | |||
Access Point Funding I LLC 2017-A, A 144A 3.060%, 4/15/29(1) | 1,665 | 1,664 |
Par Value | Value | ||
Non-Agency—continued | |||
Adjustable Rate Mortgage Trust 2005-1, 3A1 4.325%, 5/25/35(5) | $1,875 | $1,931 | |
Agate Bay Mortgage Trust 2016-3, A5 144A 3.500%, 8/25/46(1)(5) | 5,070 | 5,160 | |
Ajax Mortgage Loan Trust | |||
2017-B, A 144A 3.163%, 9/25/56(1)(5) | 8,082 | 8,096 | |
2019-D, A1 144A 2.956%, 9/25/65(1)(5) | 7,897 | 7,871 | |
2018-C, A 144A 4.360%, 9/25/65(1)(5) | 6,957 | 7,038 | |
American Homes 4 Rent Trust 2015-SFR1, A 144A 3.467%, 4/17/52(1) | 11,210 | 11,662 | |
Angel Oak Mortgage Trust I LLC | |||
2018-1, A1 144A 3.258%, 4/27/48(1)(5) | 11,731 | 11,761 | |
2018-2, A1 144A 3.674%, 7/27/48(1)(5) | 19,595 | 19,776 | |
2018-3, A1 144A 3.649%, 9/25/48(1)(5) | 5,333 | 5,393 | |
2019-1, A1 144A 3.920%, 11/25/48(1)(5) | 19,283 | 19,585 | |
2019-2, A1 144A 3.628%, 3/25/49(1)(5) | 7,828 | 7,938 | |
Angel Oak Mortgage Trust LLC | |||
2017-1, A3 144A 3.644%, 1/25/47(1)(5) | 297 | 297 | |
2017-3, A1 144A 2.708%, 11/25/47(1)(5) | 2,845 | 2,836 | |
2019-3, A1 144A 2.930%, 5/25/59(1)(5) | 17,811 | 17,927 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(5) | 36,431 | 37,090 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(5) | 14,109 | 14,422 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-2, A1 144A 3.347%, 4/25/49(1)(5) | $10,597 | $10,756 | |
Ashford Hospitality Trust 2018-KEYS, B (1 month LIBOR + 1.450%) 144A 3.478%, 5/15/35(1)(5) | 11,745 | 11,727 | |
Aventura Mall Trust 2013-AVM, A 144A 3.867%, 12/5/32(1)(5) | 10,350 | 10,472 | |
Banc of America Funding Trust | |||
2004-B, 2A1 4.943%, 11/20/34(5) | 255 | 261 | |
2004-D, 5A1 4.481%, 1/25/35(5) | 2,395 | 2,417 | |
2005-1, 1A1 5.500%, 2/25/35 | 291 | 298 | |
2006-2, 3A1 6.000%, 3/25/36 | 1,272 | 1,295 | |
Banc of America Mortgage Trust 2005-3, 1A15 5.500%, 4/25/35 | 752 | 779 | |
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust 2004-22CB, 1A1 6.000%, 10/25/34 | 12,755 | 13,063 | |
Bank of America (Merrill Lynch - Countrywide) Home Loan Mortgage Pass-Through-Trust | |||
2004-6, 1A2 4.614%, 5/25/34(5) | 728 | 734 | |
2004-4, A6 5.500%, 5/25/34 | 89 | 89 | |
Bank of America (Merrill Lynch) Investors Trust 2004-A4, A1 4.380%, 8/25/34(5) | 686 | 695 |
Par Value | Value | ||
Non-Agency—continued | |||
Bayview Commercial Asset Trust 2006-2A, A2 (1 month LIBOR + 0.280%) 144A 2.298%, 7/25/36(1)(5) | $4,179 | $4,022 | |
Bayview Koitere Fund Trust 2017-RT4, A 144A 3.500%, 7/28/57(1)(5) | 6,387 | 6,506 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(1) | 8,108 | 8,481 | |
2017-RT1, A1 144A 3.000%, 3/28/57(1)(5) | 2,934 | 2,963 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(1)(5) | 5,910 | 6,139 | |
Bayview Opportunity Master Fund IVb Trust | |||
2016-SPL2, B1 144A 4.250%, 6/28/53(1)(5) | 5,822 | 6,079 | |
2017-SPL4, A 144A 3.500%, 1/28/55(1)(5) | 2,204 | 2,239 | |
BBCMS Mortgage Trust 2018-TALL, A (1 month LIBOR + 0.722%) 144A 2.750%, 3/15/37(1)(5) | 5,490 | 5,476 | |
Bunker Hill Loan Depositary Trust | |||
2019-1, A1 144A 3.613%, 10/26/48(1)(5) | 16,616 | 16,806 | |
2019-2, A1 144A 2.879%, 7/25/49(1)(5) | 7,607 | 7,656 | |
BX Trust | |||
2018-MCSF, A (1 month LIBOR + 0.577%) 144A 2.604%, 4/15/35(1)(5) | 11,145 | 11,107 | |
2018-GW, B (1 month LIBOR + 1.020%) 144A 3.048%, 5/15/35(1)(5) | 19,910 | 19,873 |
Par Value | Value | ||
Non-Agency—continued | |||
Caesars Palace Las Vegas Trust 2017-VICI, C 144A 4.138%, 10/15/34(1) | $12,170 | $12,720 | |
Chase Home Lending Mortgage Trust 2019-ATR1, A4 144A 4.000%, 4/25/49(1)(5) | 15,934 | 16,080 | |
CHC Commercial Mortgage Trust 2019-CHC, A (1 month LIBOR + 1.120%) 144A 3.148%, 6/15/34(1)(5) | 17,640 | 17,662 | |
Citigroup Commercial Mortgage Trust 2019-SST2, A (1 month LIBOR + 0.920%) 144A 2.948%, 12/15/36(1)(5) | 7,195 | 7,186 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 7,062 | 7,764 | |
2014-A, A 144A 4.000%, 1/25/35(1)(5) | 4,462 | 4,625 | |
2015-PS1, A1 144A 3.750%, 9/25/42(1)(5) | 3,612 | 3,692 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(5) | 3,459 | 3,454 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(5) | 1,364 | 1,378 | |
2018-RP3, A1 144A 3.250%, 3/25/61(1)(5) | 7,745 | 7,846 | |
2018-RP1, A1 144A 3.000%, 9/25/64(1)(5) | 12,707 | 12,808 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(5) | 5,869 | 6,016 | |
COLT Mortgage Loan Trust Funding LLC | |||
2018-1, A1 144A 2.930%, 2/25/48(1)(5) | 6,580 | 6,576 | |
2018-2, A1 144A 3.470%, 7/27/48(1)(5) | 1,981 | 1,987 |
Par Value | Value | ||
Non-Agency—continued | |||
2018-3, A1 144A 3.692%, 10/26/48(1)(5) | $1,549 | $1,559 | |
2019-1, A1 144A 3.705%, 3/25/49(1)(5) | 15,236 | 15,450 | |
2019-3, A1 144A 2.764%, 8/25/49(1)(5) | 28,508 | 28,654 | |
Commercial Mortgage Lease-Backed Certificates 2001-CMLB, A3 144A 7.471%, 6/20/31(1)(5) | 4,080 | 4,188 | |
Commercial Mortgage Trust 2014-277P, A 144A 3.732%, 8/10/49(1)(5) | 8,705 | 9,269 | |
CoreVest American Finance Trust | |||
2017-1, A 144A 2.968%, 10/15/49(1) | 3,355 | 3,372 | |
2018-1, A 144A 3.804%, 6/15/51(1) | 12,545 | 12,961 | |
2018-2, A 144A 4.026%, 11/15/52(1) | 6,280 | 6,603 | |
Credit Suisse First Boston Mortgage Securities Corp. | |||
2003-27, 5A3 5.250%, 11/25/33 | 609 | 626 | |
2003-AR30, 5A1 4.478%, 1/25/34(5) | 2,725 | 2,786 | |
2004-8, 7A1 6.000%, 12/25/34 | 3,883 | 4,093 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 3.008%, 5/15/36(1)(5) | 25,155 | 25,155 | |
Credit Suisse Mortgage Capital Trust | |||
2013-HYB1, A16 144A 3.063%, 4/25/43(1)(5) | 1,934 | 1,929 |
Par Value | Value | ||
Non-Agency—continued | |||
2014-IVR2, A2 144A 3.761%, 4/25/44(1)(5) | $7,412 | $7,451 | |
2018-RPL8, A1 144A 4.125%, 7/25/58(1)(5) | 2,017 | 2,034 | |
Deephaven Residential Mortgage Trust | |||
2017-1A, A1 144A 2.725%, 12/26/46(1)(5) | 1,462 | 1,458 | |
2017-1A, A2 144A 2.928%, 12/26/46(1)(5) | 371 | 370 | |
2017-2A, A1 144A 2.453%, 6/25/47(1)(5) | 1,749 | 1,743 | |
2017-2A, A2 144A 2.606%, 6/25/47(1)(5) | 789 | 787 | |
2017-3A, A3 144A 2.813%, 10/25/47(1)(5) | 1,821 | 1,815 | |
2018-2A, A1 144A 3.479%, 4/25/58(1)(5) | 12,989 | 13,080 | |
2018-3A, A1 144A 3.789%, 8/25/58(1)(5) | 1,741 | 1,749 | |
2019-1A, A1 144A 3.743%, 1/25/59(1)(5) | 4,126 | 4,165 | |
Ellington Financial Mortgage Trust | |||
2017-1, A1 144A 2.687%, 10/25/47(1)(5) | 6,522 | 6,491 | |
2018-1, A1FX 144A 4.140%, 10/25/58(1)(5) | 7,496 | 7,590 | |
2019-1, A1 144A 2.934%, 6/25/59(1)(5) | 12,931 | 12,955 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(5) | 11,279 | 11,460 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(5) | 7,663 | 7,722 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(5) | 8,812 | 9,016 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(1)(5) | 12,557 | 12,694 |
Par Value | Value | ||
Non-Agency—continued | |||
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(1) | $12,721 | $13,088 | |
GSAA Home Equity Trust | |||
2005-1, AF4 5.619%, 11/25/34(5) | 65 | 65 | |
2005-12, AF3W 4.999%, 9/25/35(5) | 2,650 | 2,780 | |
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(1) | 22,020 | 21,995 | |
Homeward Opportunities Fund I Trust | |||
2018-1, A1 144A 3.766%, 6/25/48(1)(5) | 9,789 | 9,886 | |
2018-2, A1 144A 3.985%, 11/25/58(1)(5) | 11,830 | 12,029 | |
2019-1, A1 144A 3.454%, 1/25/59(1)(5) | 15,893 | 16,016 | |
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 1,488 | 1,484 | |
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust | |||
2004-10, 14A1 4.436%, 1/25/35(5) | 690 | 693 | |
2004-10, 21A1 4.564%, 1/25/35(5) | 3,835 | 3,934 | |
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust | |||
2003-AR6, A1 4.709%, 6/25/33(5) | 357 | 367 | |
2003-AR4, 2A1 4.075%, 8/25/33(5) | 88 | 88 |
Par Value | Value | ||
Non-Agency—continued | |||
2004-CB1, 2A 5.000%, 6/25/34 | $1,052 | $1,088 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
2011-C4, A4 144A 4.388%, 7/15/46(1) | 5,044 | 5,171 | |
2014-C22, A4 3.801%, 9/15/47 | 16,998 | 18,188 | |
2015-C31, AS 4.106%, 8/15/48 | 4,670 | 5,040 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, AM 144A 3.370%, 6/25/29(1)(5) | 3,097 | 3,134 | |
2014-2, 2A2 144A 3.500%, 6/25/29(1)(5) | 5,345 | 5,467 | |
2014-5, B1 144A 2.982%, 10/25/29(1)(5) | 2,350 | 2,349 | |
2014-5, B2 144A 2.982%, 10/25/29(1)(5) | 1,106 | 1,092 | |
2006-A2, 4A1 4.702%, 8/25/34(5) | 663 | 692 | |
2005-A2, 4A1 4.379%, 4/25/35(5) | 427 | 436 | |
2006-A6, 3A3L 4.009%, 10/25/36(5) | 687 | 608 | |
2014-1, 2A12 144A 3.500%, 1/25/44(1)(5) | 3,481 | 3,515 | |
2015-1, AM1 144A 3.589%, 12/25/44(1)(5) | 5,221 | 5,209 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(5) | 11,122 | 11,477 | |
2015-5, A2 144A 3.338%, 5/25/45(1)(5) | 5,996 | 5,992 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(5) | 12,039 | 12,546 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(5) | 7,965 | 7,935 | |
2017-5, A1 144A 3.178%, 10/26/48(1)(5) | 28,538 | 28,884 |
Par Value | Value | ||
Non-Agency—continued | |||
2017-4, A3 144A 3.500%, 11/25/48(1)(5) | $10,586 | $10,769 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 2.828%, 5/15/36(1)(5) | 5,740 | 5,740 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(5)(6) | 18,755 | 18,960 | |
MASTR Alternative Loan Trust | |||
2003-8, 2A1 5.750%, 11/25/33 | 2,935 | 3,061 | |
2004-4, 6A1 5.500%, 4/25/34 | 1,501 | 1,578 | |
2004-7, 9A1 6.000%, 8/25/34 | 8,070 | 8,576 | |
2005-2, 2A1 6.000%, 1/25/35 | 2,174 | 2,308 | |
2005-2, 1A1 6.500%, 3/25/35 | 5,595 | 5,842 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 3.218%, 6/25/52(1)(5)(6) | 18,395 | 18,395 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.716%, 4/25/55(1)(5) | 7,930 | 8,241 | |
2019-1A, A1A 144A 3.750%, 4/25/58(1)(5) | 10,906 | 11,265 | |
Mill City Mortgage Loan Trust | |||
2015-1, A3 144A 3.000%, 6/25/56(1)(5) | 8,855 | 8,857 | |
2016-1, A1 144A 2.500%, 4/25/57(1)(5) | 1,725 | 1,728 | |
2017-1, A1 144A 2.750%, 11/25/58(1)(5) | 6,582 | 6,599 |
Par Value | Value | ||
Non-Agency—continued | |||
2018-4, A1B 144A 3.500%, 4/25/66(1)(5) | $14,095 | $14,428 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 1,735 | 1,860 | |
Morgan Stanley Capital Barclays Bank Trust 2016-MART, A 144A 2.200%, 9/13/31(1) | 14,805 | 14,797 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%) 144A 2.728%, 11/15/34(1)(5) | 11,154 | 11,154 | |
Morgan Stanley Mortgage Loan Trust 2004-2AR, 3A 4.546%, 2/25/34(5) | 603 | 620 | |
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 3.067%, 6/25/44(1)(5) | 4,072 | 4,035 | |
Motel 6 Trust 2017-MTL6, A (1 month LIBOR + 0.920%) 144A 2.948%, 8/15/34(1)(5) | 22,272 | 22,265 | |
National City Mortgage Capital Trust 2008-1, 2A1 6.000%, 3/25/38 | 775 | 806 | |
New Residential Mortgage Loan Trust | |||
2016-2A, A1 144A 3.750%, 11/26/35(1)(5) | 10,357 | 10,692 | |
2018-4A, A1S (1 month LIBOR + 0.750%) 144A 2.768%, 1/25/48(1)(5) | 9,338 | 9,311 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-NQM1, A1 144A 3.675%, 1/25/49(1)(5) | $3,392 | $3,444 | |
2014-1A, A 144A 3.750%, 1/25/54(1)(5) | 8,596 | 8,895 | |
2014-2A, A3 144A 3.750%, 5/25/54(1)(5) | 813 | 827 | |
2014-3A, AFX3 144A 3.750%, 11/25/54(1)(5) | 6,907 | 7,141 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(5) | 8,224 | 8,517 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(5) | 4,483 | 4,617 | |
2016-3A, A1 144A 3.750%, 9/25/56(1)(5) | 5,121 | 5,273 | |
2016-4A, A1 144A 3.750%, 11/25/56(1)(5) | 6,293 | 6,503 | |
2017-2A, A3 144A 4.000%, 3/25/57(1)(5) | 17,628 | 18,359 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(5) | 14,718 | 15,265 | |
2018-2A, A1 144A 4.500%, 2/25/58(1)(5) | 16,745 | 17,508 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(1)(5)(6) | 15,364 | 15,365 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 3.743%, 3/25/35(5) | 1,879 | 1,894 | |
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 11/25/48(1)(5) | 13,751 | 13,904 | |
2019-INV1, A3 144A 4.500%, 11/25/48(1)(5) | 8,314 | 8,583 | |
2018-1, A2 (1 month LIBOR + 0.650%) 144A 2.668%, 6/25/57(1)(5) | 9,594 | 9,553 | |
One Market Plaza Trust 2017-1MKT, A 144A 3.614%, 2/10/32(1) | 10,700 | 11,084 |
Par Value | Value | ||
Non-Agency—continued | |||
Pretium Mortgage Credit Partners I LLC | |||
2019-NPL3, A1 144A 3.105%, 7/27/59(1)(5) | $16,545 | $16,556 | |
2019-NPL1, A1 144A 4.213%, 7/25/60(1)(5) | 12,104 | 12,204 | |
Progress Residential Trust | |||
2017-SFR1, B 144A 3.017%, 8/17/34(1) | 4,000 | 4,014 | |
2018-SFR1, A 144A 3.255%, 3/17/35(1) | 3,146 | 3,163 | |
2018-SFR1, B 144A 3.484%, 3/17/35(1) | 2,515 | 2,530 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 9,350 | 9,502 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 10,340 | 10,295 | |
PRPM LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(1)(5) | 21,675 | 21,828 | |
2019-2A, A1 144A 3.967%, 4/25/24(1)(5) | 13,733 | 13,872 | |
RCO V Mortgage LLC 2019-1, A1 144A 3.721%, 5/24/24(1)(5) | 14,806 | 14,867 | |
Residential Asset Mortgage Products Trust | |||
2004-SL2, A3 7.000%, 10/25/31 | 964 | 1,015 | |
2004-SL1, A8 6.500%, 11/25/31 | 1,359 | 1,432 | |
Residential Asset Securitization Trust | |||
2003-A11, A9 5.750%, 11/25/33 | 1,693 | 1,756 | |
2004-A1, A5 5.500%, 4/25/34 | 7,073 | 7,239 | |
Residential Mortgage Loan Trust | |||
2019-1, A1 144A 3.936%, 10/25/58(1)(5) | 5,937 | 6,009 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-2, A1 144A 2.913%, 5/25/59(1)(5) | $12,354 | $12,397 | |
Seasoned Credit Risk Transfer Trust 2016-1, M1 144A 3.000%, 9/25/55(1)(5) | 6,500 | 6,324 | |
Sequoia Mortgage Trust | |||
2015-4, A1 144A 3.000%, 11/25/30(1)(5) | 6,511 | 6,622 | |
2013-8, B1 3.529%, 6/25/43(5) | 5,970 | 6,120 | |
2018-CH2, A12 144A 4.000%, 6/25/48(1)(5) | 13,069 | 13,203 | |
Spruce Hill Mortgage Loan Trust 2019-SH1, A1 144A 3.395%, 4/29/49(1)(5) | 5,613 | 5,648 | |
Starwood Mortgage Residential Trust | |||
2018-IMC1, A1 144A 3.793%, 3/25/48(1)(5) | 2,987 | 3,031 | |
2019-IMC1, A1 144A 3.468%, 2/25/49(1)(5) | 13,575 | 13,730 | |
Starwood Waypoint Homes Trust 2017-1, A (1 month LIBOR + 0.950%) 144A 2.978%, 1/17/35(1)(5) | 13,254 | 13,245 | |
Structured Adjustable Rate Mortgage Loan Trust | |||
2004-4, 3A1 4.608%, 4/25/34(5) | 262 | 271 | |
2004-4, 3A2 4.608%, 4/25/34(5) | 1,156 | 1,201 | |
2004-4, 3A4 4.608%, 4/25/34(5) | 892 | 925 | |
2004-14, 7A 4.385%, 10/25/34(5) | 4,288 | 4,356 | |
Structured Asset Securities Corp. Mortgage-Pass-Through Certificates 2003-34A, 6A 4.622%, 11/25/33(5) | 1,328 | 1,354 |
Par Value | Value | ||
Non-Agency—continued | |||
Sutherland Commercial Mortgage Loans | |||
2017-SBC6, A 144A 3.192%, 5/25/37(1)(5) | $3,463 | $3,426 | |
2018-SBC7, A 144A 4.720%, 5/25/39(1)(5) | 11,256 | 11,372 | |
Sutherland Commercial Mortgage Trust 2019-SBC8, A 144A 2.860%, 12/25/35(1)(5) | 9,389 | 9,417 | |
Thornburg Mortgage Securities Trust 2004-2, A1 (1 month LIBOR + 0.620%) 2.638%, 6/25/44(5) | 3,433 | 3,436 | |
Towd Point Mortgage Trust | |||
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 2.918%, 4/25/48(1)(5) | 17,323 | 17,325 | |
2015-1, A2 144A 3.250%, 10/25/53(1)(5) | 11,184 | 11,216 | |
2015-3, A1B 144A 3.000%, 3/25/54(1)(5) | 1,706 | 1,711 | |
2016-1, A1B 144A 2.750%, 2/25/55(1)(5) | 3,066 | 3,070 | |
2015-6, M1 144A 3.750%, 4/25/55(1)(5) | 11,010 | 11,653 | |
2015-5, A1B 144A 2.750%, 5/25/55(1)(5) | 3,011 | 3,022 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(5) | 3,901 | 3,970 | |
2016-2, A1 144A 3.000%, 8/25/55(1)(5) | 4,026 | 4,058 | |
2016-3, A1 144A 2.250%, 4/25/56(1)(5) | 3,032 | 3,019 | |
2016-4, A1 144A 2.250%, 7/25/56(1)(5) | 3,818 | 3,795 | |
2017-1, A1 144A 2.750%, 10/25/56(1)(5) | 1,439 | 1,452 | |
2017-1, M1 144A 3.750%, 10/25/56(1)(5) | 3,665 | 3,813 | |
2017-6, A2 144A 3.000%, 10/25/57(1)(5) | 3,930 | 3,975 | |
2018-6, A1A 144A 3.750%, 3/25/58(1)(5) | 11,326 | 11,624 |
Par Value | Value | ||
Non-Agency—continued | |||
2018-4, A1 144A 3.000%, 6/25/58(1)(5) | $16,600 | $17,014 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(5) | 6,959 | 7,018 | |
2019-MH1, A1 144A 3.000%, 11/25/58(1)(5) | 2,885 | 2,903 | |
2015-2, 1M1 144A 3.250%, 11/25/60(1)(5) | 8,448 | 8,590 | |
Tricon American Homes Trust | |||
2016-SFR1, C 144A 3.487%, 11/17/33(1) | 4,640 | 4,679 | |
2017-SFR1, A 144A 2.716%, 9/17/34(1) | 6,585 | 6,627 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 5.728%, 5/10/45(1)(5) | 7,206 | 7,215 | |
VCAT LLC 2019-NPL1, A1 144A 4.360%, 2/25/49(1)(5) | 6,854 | 6,911 | |
Velocity Commercial Capital Loan Trust 2017-1, AFX 144A 3.000%, 5/25/47(1)(5) | 1,470 | 1,467 | |
Vericrest Opportunity Loan Trust 2019-NPL2, A1 144A 3.967%, 2/25/49(1)(5) | 12,517 | 12,559 | |
Vericrest Opportunity Loan Trust LXII LLC 2017-NPL9, A1 144A 3.125%, 9/25/47(1)(5) | 5,017 | 5,020 | |
Vericrest Opportunity Loan Trust LXIX LLC 2018-NPL5, A1A 144A 4.213%, 8/25/48(1)(5) | 19,391 | 19,441 |
Par Value | Value | ||
Non-Agency—continued | |||
Vericrest Opportunity Loan Trust LXX LLC 2018-NPL6, A1A 144A 4.115%, 9/25/48(1)(5) | $1,200 | $1,203 | |
Vericrest Opportunity Loan Trust LXXI LLC 2018-NPL7, A1A 144A 3.967%, 9/25/48(1)(5) | 1,464 | 1,472 | |
Vericrest Opportunity Loan Trust LXXV LLC 2019-NPL1, A1A 144A 4.336%, 1/25/49(1)(5) | 13,265 | 13,355 | |
Verus Securitization Trust | |||
2017-1A, A1 144A 2.853%, 1/25/47(1)(5) | 2,305 | 2,302 | |
2017-2A, A1 144A 2.485%, 7/25/47(1)(5) | 6,868 | 6,830 | |
2018-1, A1 144A 2.929%, 2/25/48(1)(5) | 9,170 | 9,170 | |
2018-INV1, A3 144A 4.052%, 3/25/58(1)(5) | 3,056 | 3,072 | |
2018-2, A1 144A 3.677%, 6/1/58(1)(5) | 15,514 | 15,595 | |
2018-2, B1 144A 4.426%, 6/1/58(1)(5) | 4,975 | 5,038 | |
2018-3, A1 144A 4.108%, 10/25/58(1)(5) | 12,214 | 12,349 | |
2019-1, A1 144A 3.836%, 2/25/59(1)(5) | 19,641 | 19,857 | |
2019-2, A1 144A 3.211%, 4/25/59(1)(5) | 14,389 | 14,468 | |
2019-INV2, A1 144A 2.913%, 7/25/59(1)(5) | 7,315 | 7,288 | |
2019-INV1, A1 144A 3.402%, 12/25/59(1)(5) | 14,082 | 14,199 |
Par Value | Value | ||
Non-Agency—continued | |||
Wells Fargo Commercial Mortgage Trust | |||
2014-C24, AS 3.931%, 11/15/47 | $14,340 | $15,267 | |
2015-LC20, A5 3.184%, 4/15/50 | 7,415 | 7,751 | |
Wells Fargo Mortgage Backed Securities Trust | |||
2003-G, A1 4.761%, 6/25/33(5) | 543 | 559 | |
2003-J, 5A1 4.482%, 10/25/33(5) | 229 | 237 | |
2004-4, A9 5.500%, 5/25/34 | 925 | 957 | |
2004-U, A1 4.787%, 10/25/34(5) | 411 | 420 | |
2004-Z, 2A1 4.967%, 12/25/34(5) | 1,811 | 1,856 | |
2004-CC, A1 4.984%, 1/25/35(5) | 697 | 719 | |
2005-12, 1A1 5.500%, 11/25/35 | 1,658 | 1,669 | |
2005-14, 2A1 5.500%, 12/25/35 | 1,121 | 1,173 | |
2007-16, 1A1 6.000%, 12/28/37 | 733 | 733 | |
1,802,312 | |||
Total Mortgage-Backed Securities (Identified Cost $1,906,414) | 1,929,966 | ||
Asset-Backed Securities—22.6% | |||
Auto Floor Plan—0.2% | |||
NextGear Floorplan Master Owner Trust | |||
2017-2A, A2 144A 2.560%, 10/17/22(1) | 12,410 | 12,459 |
Par Value | Value | ||
Auto Floor Plan—continued | |||
2018-1A, A2 144A 3.220%, 2/15/23(1) | $4,420 | $4,479 | |
16,938 | |||
Automobiles—11.9% | |||
ACC Trust | |||
2018-1, A 144A 3.700%, 12/21/20(1) | 1,340 | 1,342 | |
2018-1, B 144A 4.820%, 5/20/21(1) | 9,245 | 9,315 | |
2019-1, A 144A 3.750%, 5/20/22(1) | 12,262 | 12,369 | |
2019-1, B 144A 4.470%, 10/20/22(1) | 3,355 | 3,428 | |
American Credit Acceptance Receivables Trust | |||
2018-1, C 144A 3.550%, 4/10/24(1) | 8,145 | 8,185 | |
2018-3, C 144A 3.750%, 10/15/24(1) | 6,295 | 6,353 | |
2018-4, C 144A 3.970%, 1/13/25(1) | 2,400 | 2,440 | |
2019-1, C 144A 3.500%, 4/14/25(1) | 8,800 | 8,956 | |
2019-2, C 144A 3.170%, 6/12/25(1) | 12,600 | 12,733 | |
AmeriCredit Automobile Receivables Trust | |||
2016-4, C 2.410%, 7/8/22 | 8,723 | 8,738 |
Par Value | Value | ||
Automobiles—continued | |||
2017-1, C 2.710%, 8/18/22 | $10,360 | $10,440 | |
2017-2, C 2.970%, 3/20/23 | 2,840 | 2,877 | |
2018-1, D 3.820%, 3/18/24 | 8,090 | 8,397 | |
2019-1, C 3.360%, 2/18/25 | 8,800 | 9,038 | |
Avid Automobile Receivables Trust | |||
2018-1, A 144A 2.840%, 8/15/23(1) | 1,409 | 1,410 | |
2018-1, B 144A 3.850%, 7/15/24(1) | 4,000 | 4,026 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2015-2A, A 144A 2.630%, 12/20/21(1) | 21,560 | 21,638 | |
(AESOP) 2017-1A, A 144A 3.070%, 9/20/23(1) | 2,260 | 2,307 | |
California Republic Auto Receivables Trust | |||
2015-3, B 2.700%, 9/15/21 | 3,705 | 3,705 | |
2016-1, B 3.430%, 2/15/22 | 4,615 | 4,654 | |
2017-1, B 2.910%, 12/15/22 | 7,000 | 7,036 | |
Capital Auto Receivables Asset Trust | |||
2017-1, C 144A 2.700%, 9/20/22(1) | 3,630 | 3,664 | |
2017-1, D 144A 3.150%, 2/20/25(1) | 1,980 | 2,007 | |
Carnow Auto Receivables Trust 2019-1A, D 144A 4.620%, 12/16/24(1) | 4,140 | 4,135 |
Par Value | Value | ||
Automobiles—continued | |||
CarNow Auto Receivables Trust 2017-1A, A 144A 2.920%, 9/15/22(1) | $683 | $683 | |
Carvana Auto Receivables Trust | |||
2019-1A, D 144A 3.880%, 10/15/24(1) | 6,620 | 6,827 | |
2019-3A, C 144A 2.710%, 10/15/24(1) | 6,990 | 7,005 | |
Centre Point Funding LLC 2012-2A, 1 144A 2.610%, 8/20/21(1) | 959 | 955 | |
Chrysler Capital Auto Receivables Trust 2015-BA, D 144A 4.170%, 1/16/23(1) | 8,400 | 8,423 | |
CPS Auto Receivables Trust 2018-C, D 144A 4.400%, 6/17/24(1) | 1,440 | 1,490 | |
Credit Acceptance Auto Loan Trust | |||
2018-1A, A 144A 3.010%, 2/16/27(1) | 10,000 | 10,060 | |
2018-2A, B 144A 3.940%, 7/15/27(1) | 5,500 | 5,658 | |
Drive Auto Receivables Trust | |||
2.900%, 8/15/25 | 12,770 | 12,892 | |
2018-4, D 4.090%, 1/15/26 | 13,505 | 13,890 | |
2019-1, C 3.780%, 4/15/25 | 6,450 | 6,582 | |
2019-4, C 2.510%, 11/17/25 | 6,410 | 6,417 | |
DT Auto Owner Trust | |||
2017-1A, D 144A 3.550%, 11/15/22(1) | 10,000 | 10,066 |
Par Value | Value | ||
Automobiles—continued | |||
2017-2A, D 144A 3.890%, 1/15/23(1) | $10,070 | $10,148 | |
2018-1A, C 144A 3.470%, 12/15/23(1) | 8,950 | 9,002 | |
2018-3A, C 144A 3.790%, 7/15/24(1) | 8,910 | 9,100 | |
2019-1A, C 144A 3.610%, 11/15/24(1) | 3,900 | 3,977 | |
2019-2A, B 144A 2.990%, 4/17/23(1) | 2,840 | 2,865 | |
2019-2A, C 144A 3.180%, 2/18/25(1) | 3,655 | 3,709 | |
Exeter Automobile Receivables Trust | |||
2017-3A, B 144A 2.810%, 9/15/22(1) | 14,185 | 14,234 | |
2018-1A, C 144A 3.030%, 1/17/23(1) | 19,510 | 19,612 | |
2018-2A, C 144A 3.690%, 3/15/23(1) | 6,995 | 7,077 | |
2018-3A, C 144A 3.710%, 6/15/23(1) | 7,970 | 8,106 | |
2018-4A, D 144A 4.350%, 9/16/24(1) | 7,335 | 7,607 | |
2019-1A, C 144A 3.820%, 12/16/24(1) | 8,305 | 8,506 | |
2019-1A, D 144A 4.130%, 12/16/24(1) | 10,200 | 10,588 | |
2019-2A, C 144A 3.300%, 3/15/24(1) | 6,775 | 6,894 | |
2019-3A, C 144A 2.790%, 5/15/24(1) | 4,580 | 4,611 |
Par Value | Value | ||
Automobiles—continued | |||
First Investors Auto Owner Trust | |||
2017-1A, D 144A 3.600%, 4/17/23(1) | $2,057 | $2,093 | |
2017-2A, B 144A 2.650%, 11/15/22(1) | 2,160 | 2,165 | |
2019-1A, C 144A 3.260%, 3/17/25(1) | 4,690 | 4,795 | |
Flagship Credit Auto Trust | |||
2015-2, C 144A 4.080%, 12/15/21(1) | 5,922 | 5,953 | |
2016-2, B 144A 3.840%, 9/15/22(1) | 3,920 | 3,937 | |
2016-3, D 144A 3.890%, 11/15/22(1) | 4,990 | 5,082 | |
2017-1, C 144A 3.220%, 5/15/23(1) | 7,500 | 7,558 | |
2017-3, C 144A 2.910%, 9/15/23(1) | 6,980 | 7,024 | |
2019-1, C 144A 3.600%, 2/18/25(1) | 3,160 | 3,257 | |
2019-2, C 144A 3.090%, 5/15/25(1) | 2,360 | 2,404 | |
Foursight Capital Automobile Receivables Trust | |||
2017-1, B 144A 3.050%, 12/15/22(1) | 8,965 | 9,018 | |
2017-1, C 144A 3.470%, 12/15/22(1) | 4,458 | 4,498 | |
2018-1, C 144A 3.680%, 8/15/23(1) | 1,685 | 1,722 |
Par Value | Value | ||
Automobiles—continued | |||
2018-1, D 144A 4.190%, 11/15/23(1) | $1,630 | $1,674 | |
2018-2, D 144A 4.330%, 7/15/24(1) | 4,650 | 4,830 | |
GLS Auto Receivables Issuer Trust | |||
2019-2A, B 144A 3.320%, 3/15/24(1) | 8,380 | 8,492 | |
2019-3A, B 144A 2.720%, 6/17/24(1) | 3,495 | 3,505 | |
GLS Auto Receivables Trust | |||
2017-1A, B 144A 2.980%, 12/15/21(1) | 13,282 | 13,306 | |
2017-1A, C 144A 3.500%, 7/15/22(1) | 11,090 | 11,142 | |
2018-1A, A 144A 2.820%, 7/15/22(1) | 1,149 | 1,152 | |
2018-1A, B 144A 3.520%, 8/15/23(1) | 11,975 | 12,069 | |
Hertz Vehicle Financing II LP | |||
2015-1A, A 144A 2.730%, 3/25/21(1) | 29,000 | 29,041 | |
2015-3A, A 144A 2.670%, 9/25/21(1) | 27,702 | 27,801 | |
2016-4A, A 144A 2.650%, 7/25/22(1) | 12,335 | 12,379 | |
2019-1A, A 144A 3.710%, 3/25/23(1) | 12,000 | 12,358 | |
Hyundai Auto Receivables Trust 2017-B, B 2.230%, 2/15/23 | 3,560 | 3,572 |
Par Value | Value | ||
Automobiles—continued | |||
OneMain Direct Auto Receivables Trust | |||
2017-2A, C 144A 2.820%, 7/15/24(1) | $6,220 | $6,237 | |
2018-1A, C 144A 3.850%, 10/14/25(1) | 11,840 | 12,179 | |
Prestige Auto Receivables Trust | |||
2017-1A, C 144A 2.810%, 1/17/23(1) | 8,355 | 8,394 | |
2018-1A, D 144A 4.140%, 10/15/24(1) | 3,785 | 3,952 | |
2019-1A, D 144A 3.010%, 8/15/25(1) | 7,060 | 7,130 | |
Santander Drive Auto Receivables Trust | |||
2017-2, C 2.790%, 8/15/22 | 3,197 | 3,202 | |
2017-3, C 2.760%, 12/15/22 | 4,510 | 4,526 | |
2018-2, C 3.350%, 7/17/23 | 12,425 | 12,554 | |
Skopos Auto Receivables Trust | |||
2018-1A, A 144A 3.190%, 9/15/21(1) | 1,287 | 1,288 | |
2018-1A, B 144A 3.930%, 5/16/22(1) | 2,465 | 2,475 | |
2019-1A, C 144A 3.630%, 9/16/24(1) | 3,695 | 3,695 | |
TCF Auto Receivables Owner Trust 2016-PT1A, C 144A 3.210%, 1/17/23(1) | 10,900 | 10,975 | |
Tesla Auto Lease Trust | |||
2018-A, C 144A 2.970%, 4/20/20(1) | 2,000 | 2,003 |
Par Value | Value | ||
Automobiles—continued | |||
2018-A, D 144A 3.300%, 5/20/20(1) | $2,970 | $2,978 | |
2018-B, B 144A 4.120%, 10/20/21(1) | 2,410 | 2,473 | |
2018-B, C 144A 4.360%, 10/20/21(1) | 3,250 | 3,336 | |
Tidewater Auto Receivables Trust 2018-AA, B 144A 3.450%, 11/15/24(1) | 3,165 | 3,197 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(1) | 2,540 | 2,579 | |
United Auto Credit Securitization Trust | |||
2019-1, D 144A 3.470%, 8/12/24(1) | 15,480 | 15,608 | |
2019-1, E 144A 4.290%, 8/12/24(1) | 1,605 | 1,620 | |
US Auto Funding LLC 2019-1A, B 144A 3.990%, 12/15/22(1) | 9,370 | 9,531 | |
Veros Automobile Receivables Trust 2018-1, B 144A 4.050%, 2/15/24(1) | 3,945 | 3,991 | |
Westlake Automobile Receivables Trust | |||
2017-2A, C 144A 2.590%, 12/15/22(1) | 11,730 | 11,738 | |
2018-1A, C 144A 2.920%, 5/15/23(1) | 22,494 | 22,567 | |
2018-2A, D 144A 4.000%, 1/16/24(1) | 10,000 | 10,221 |
Par Value | Value | ||
Automobiles—continued | |||
2018-3A, C 144A 3.610%, 10/16/23(1) | $1,350 | $1,372 | |
2018-3A, D 144A 4.000%, 10/16/23(1) | 10,900 | 11,192 | |
758,017 | |||
Consumer Loans—0.1% | |||
Consumer Loan Underlying Bond CLUB Credit Trust 2019-P2, B 144A 2.830%, 10/15/26(1) | 5,250 | 5,226 | |
Credit Card—0.1% | |||
Genesis Sales Finance Master Trust 2019-AA, A 144A 4.680%, 8/20/23(1) | 5,145 | 5,253 | |
Home Equity Loans—0.0% | |||
Asset Backed Funding Certificates 2005-AQ1, A6 4.721%, 1/25/35(5) | 424 | 437 | |
Bayview Financial Acquisition Trust 2007-A, 1A2 6.205%, 5/28/37(5) | 774 | 774 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 2001-SB1, A2 3.375%, 8/25/31 | 614 | 605 | |
1,816 | |||
Par Value | Value | ||
Other—10.0% | |||
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(1) | $7,318 | $7,367 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 8,408 | 8,486 | |
2019-A, A 144A 3.140%, 7/16/40(1) | 6,485 | 6,484 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 6,130 | 6,134 | |
Ascentium Equipment Receivables 2019-1A, D 144A 3.470%, 5/12/25(1) | 3,980 | 4,078 | |
Ascentium Equipment Receivables Trust | |||
2017-1A, B 144A 2.850%, 10/10/21(1) | 7,764 | 7,823 | |
2018-1A, B 144A 3.460%, 11/13/23(1) | 8,675 | 8,881 | |
Avant Loans Funding Trust 2019-A, A 144A 3.480%, 7/15/22(1) | 5,310 | 5,330 | |
BRE Grand Islander Timeshare Issuer LLC | |||
2017-1A, A 144A 2.940%, 5/25/29(1) | 5,633 | 5,682 | |
2019-A, A 144A 3.280%, 9/26/33(1) | 7,482 | 7,621 | |
BSPRT Issuer Ltd. 2019-FL5, A (1 month LIBOR + 1.150%) 144A 3.475%, 5/15/29(1)(5) | 5,780 | 5,781 |
Par Value | Value | ||
Other—continued | |||
Business Jet Securities LLC 2019-1, A 144A 4.212%, 7/15/34(1) | $16,002 | $16,421 | |
BXG Receivables Note Trust | |||
2012-A, A 144A 2.660%, 12/2/27(1) | 874 | 874 | |
2013-A, A 144A 3.010%, 12/4/28(1) | 2,441 | 2,434 | |
2015-A, A 144A 2.880%, 5/2/30(1) | 2,373 | 2,368 | |
2017-A, A 144A 2.950%, 10/4/32(1) | 5,674 | 5,675 | |
CCG Receivables Trust 2019-1, B 144A 3.220%, 9/14/26(1) | 1,970 | 2,019 | |
Conn’s Receivables Funding LLC 2018-A, B 144A 4.650%, 1/15/23(1) | 2,132 | 2,145 | |
Consumer Loan Underlying Bond CLUB Credit Trust 2019-P2, A 144A 2.470%, 10/15/26(1) | 6,715 | 6,707 | |
Consumer Loan Underlying Bond Credit Trust 2018-P2, A 144A 3.470%, 10/15/25(1) | 3,183 | 3,200 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(1) | 12,429 | 12,727 | |
Diamond Resorts Owner Trust | |||
2017-1A, A 144A 3.270%, 10/22/29(1) | 7,972 | 8,051 |
Par Value | Value | ||
Other—continued | |||
2018-1, B 144A 4.190%, 1/21/31(1) | $4,318 | $4,421 | |
2019-1A, B 144A 3.530%, 2/20/32(1) | 8,361 | 8,363 | |
Drug Royalty II LP 2 2014-1, A2 144A 3.484%, 7/15/23(1) | 1,640 | 1,640 | |
Drug Royalty III LP 1 | |||
2016-1A, A 144A 3.979%, 4/15/27(1) | 2,474 | 2,479 | |
2017-1A, A1 (3 month LIBOR + 2.500%) 144A 4.803%, 4/15/27(1)(5) | 1,895 | 1,907 | |
ExteNet LLC 2019-1A, A2 144A 3.204%, 7/26/49(1) | 7,800 | 7,896 | |
Foundation Finance Trust | |||
2016-1A, A 144A 3.960%, 6/15/35(1) | 779 | 784 | |
2017-1A, A 144A 3.300%, 7/15/33(1) | 6,088 | 6,115 | |
2019-1A, A 144A 3.860%, 11/15/34(1) | 6,371 | 6,521 | |
Freed ABS Trust 2018-2, B 144A 4.610%, 10/20/25(1) | 6,200 | 6,370 | |
FREED ABS Trust 2019-1, B 144A 3.870%, 6/18/26(1) | 4,030 | 4,096 | |
Gold Key Resorts LLC 2014-A, A 144A 3.220%, 3/17/31(1) | 2,276 | 2,277 | |
Hardee’s Funding LLC 2018-1A, A2I 144A 4.250%, 6/20/48(1) | 20,587 | 20,883 |
Par Value | Value | ||
Other—continued | |||
Hilton Grand Vacations Trust | |||
2014-AA, A 144A 1.770%, 11/25/26(1) | $2,902 | $2,891 | |
2017-AA, A 144A 2.660%, 12/26/28(1) | 3,437 | 3,446 | |
2018-AA, A 144A 3.540%, 2/25/32(1) | 5,870 | 6,056 | |
HOA Funding LLC 2014-1A, A2 144A 4.846%, 8/20/44(1) | 9,042 | 9,087 | |
Kabbage Funding LLC 2019-1, A 144A 3.825%, 3/15/24(1) | 16,975 | 17,160 | |
Lendmark Funding Trust | |||
2018-2A, A 144A 4.230%, 4/20/27(1) | 8,445 | 8,756 | |
2019-1A, A 144A 3.000%, 12/20/27(1) | 8,835 | 8,868 | |
Mariner Finance Issuance Trust | |||
2018-AA, A 144A 4.200%, 11/20/30(1) | 10,000 | 10,236 | |
2019-AA, A 144A 2.960%, 7/20/32(1) | 7,255 | 7,343 | |
Marlette Funding Trust | |||
2018-3A, A 144A 3.200%, 9/15/28(1) | 3,072 | 3,080 | |
2019-2A, A 144A 3.130%, 7/16/29(1) | 6,706 | 6,758 | |
MVW Owner Trust | |||
2015-1A, B 144A 2.960%, 12/20/32(1) | 474 | 475 |
Par Value | Value | ||
Other—continued | |||
2016-1A, A 144A 2.250%, 12/20/33(1) | $2,216 | $2,202 | |
2017-1A, A 144A 2.420%, 12/20/34(1) | 2,011 | 2,014 | |
2019-1A, A 144A 2.890%, 11/20/36(1) | 7,607 | 7,744 | |
OneMain Financial Issuance Trust | |||
2017-1A, A1 144A 2.370%, 9/14/32(1) | 5,500 | 5,496 | |
2018-1A, A 144A 3.300%, 3/14/29(1) | 22,200 | 22,591 | |
Oportun Funding IX LLC 2018-B, A 144A 3.910%, 7/8/24(1) | 8,455 | 8,584 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(1) | 8,745 | 8,842 | |
Orange Lake Timeshare Trust | |||
2014-AA, A 144A 2.290%, 7/9/29(1) | 920 | 917 | |
2015-AA, A 144A 2.880%, 9/8/27(1) | 2,373 | 2,382 | |
2018-A, A 144A 3.100%, 11/8/30(1) | 3,978 | 4,042 | |
2019-A, B 144A 3.360%, 4/9/38(1) | 10,603 | 10,785 | |
Primose Funding LLC 2019-1A, A2 144A 4.475%, 7/30/49(1) | 3,710 | 3,706 | |
Prosper Marketplace Issuance Trust | |||
2018-2A, B 144A 3.960%, 10/15/24(1) | 17,400 | 17,585 |
Par Value | Value | ||
Other—continued | |||
2019-3A, A 144A 3.190%, 7/15/25(1) | $6,346 | $6,377 | |
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28(1) | 3,100 | 3,171 | |
Sierra Timeshare Conduit Receivables Funding LLC 2017-1A, A 144A 2.910%, 3/20/34(1) | 3,012 | 3,039 | |
Sierra Timeshare Receivables Funding LLC | |||
2016-1A, A 144A 3.080%, 3/21/33(1) | 1,760 | 1,771 | |
2016-2A, A 144A 2.330%, 7/20/33(1) | 1,646 | 1,641 | |
2018-2A, A 144A 3.500%, 6/20/35(1) | 3,965 | 4,049 | |
2019-1A, B 144A 3.420%, 1/20/36(1) | 3,923 | 3,990 | |
2019-2A, B 144A 2.820%, 5/20/36(1) | 14,639 | 14,767 | |
Small Business Lending Trust 2019-A, A 144A 2.850%, 7/15/26(1) | 2,300 | 2,299 | |
SoFi Consumer Loan Program LLC | |||
2016-3, A 144A 3.050%, 12/26/25(1) | 4,201 | 4,218 | |
2017-1, A 144A 3.280%, 1/26/26(1) | 5,490 | 5,528 | |
2017-3, A 144A 2.770%, 5/25/26(1) | 4,463 | 4,477 |
Par Value | Value | ||
Other—continued | |||
2017-5, A2 144A 2.780%, 9/25/26(1) | $12,629 | $12,663 | |
2017-6, A2 144A 2.820%, 11/25/26(1) | 11,845 | 11,875 | |
SoFi Consumer Loan Program Trust | |||
2018-2, A2 144A 3.350%, 4/26/27(1) | 19,780 | 19,948 | |
2019-3, A 144A 2.900%, 5/25/28(1) | 5,724 | 5,765 | |
Springleaf Funding Trust 2016-AA, A 144A 2.900%, 11/15/29(1) | 4,114 | 4,114 | |
Stack Infrastructure Issuer LLC 2019-1A, A2 144A 4.540%, 2/25/44(1) | 18,581 | 19,475 | |
TGIF Funding LLC 2017-1A, A2 144A 6.202%, 4/30/47(1) | 7,098 | 6,961 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(1) | 8,272 | 8,589 | |
TRIP Rail Master Funding LLC 2017-1A, A1 144A 2.709%, 8/15/47(1) | 6,015 | 6,018 | |
Upgrade Master Pass-Through-Trust 2019-ST1, A 144A 4.000%, 7/15/25(1)(6) | 6,574 | 6,574 | |
Upgrade Master Pass-Thru Trust Series 2019-ST3, A 144A 3.750%, 11/15/25(1)(6) | 7,500 | 7,500 | |
Upgrade Receivables Trust 2019-1A, A 144A 3.480%, 3/15/25(1) | 3,212 | 3,224 |
Par Value | Value | ||
Other—continued | |||
Upstart Securitization Trust | |||
2018-1, B 144A 3.887%, 8/20/25(1) | $1,531 | $1,533 | |
2019-1, A 144A 3.450%, 4/20/26(1) | 1,978 | 1,982 | |
2019-1, B 144A 4.190%, 4/20/26(1) | 9,380 | 9,504 | |
2019-2, A 144A 2.897%, 9/20/29(1) | 8,163 | 8,180 | |
2019-2, B 144A 3.734%, 9/20/29(1) | 7,487 | 7,528 | |
Volvo Financial Equipment LLC 2017-1A, B 144A 2.400%, 1/18/22(1) | 3,600 | 3,612 | |
VSE VOI Mortgage LLC | |||
2016-A, A 144A 2.540%, 7/20/33(1) | 3,005 | 2,999 | |
2017-A, A 144A 2.330%, 3/20/35(1) | 5,930 | 5,923 | |
Welk Resorts LLC | |||
2013-AA, A 144A 3.100%, 3/15/29(1) | 914 | 914 | |
2015-AA, A 144A 2.790%, 6/16/31(1) | 2,056 | 2,058 | |
2019-AA, B 144A 2.990%, 6/15/38(1) | 6,577 | 6,639 | |
Wendy’s Funding LLC | |||
2018-1A, A2I 144A 3.573%, 3/15/48(1) | 9,309 | 9,457 | |
2019-1A, A2I 144A 3.783%, 6/15/49(1) | 9,107 | 9,313 |
Par Value | Value | ||
Other—continued | |||
Westgate Resorts LLC | |||
2016-1A, A 144A 3.500%, 12/20/28(1) | $2,982 | $2,993 | |
2018-1A, A 144A 3.380%, 12/20/31(1) | 4,411 | 4,459 | |
636,213 | |||
Residential Mortgage-Backed Securities—0.2% | |||
Pretium Mortgage Credit Partners I LLC 2018-NPL4, A1 144A 4.826%, 9/25/58(1)(5) | 6,140 | 6,174 | |
PRPM LLC 2019-3A, A1 3.351%, 7/25/24(1)(5) | 6,376 | 6,388 | |
12,562 | |||
Student Loan—0.1% | |||
DRB Prime Student Loan Trust 2015-D, A3 144A 2.500%, 1/25/36(1) | 349 | 349 | |
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(1) | 2,645 | 2,653 | |
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(1) | 3,150 | 3,195 | |
SoFi Professional Loan Program LLC 2015-A, A2 144A 2.420%, 3/25/30(1) | 908 | 908 | |
7,105 | |||
Total Asset-Backed Securities (Identified Cost $1,427,086) | 1,443,130 | ||
Par Value | Value | ||
Corporate Bonds and Notes—31.3% | |||
Communication Services—2.1% | |||
Altice France S.A. 144A 7.375%, 5/1/26(1) | $6,355 | $6,822 | |
AT&T, Inc. | |||
(3 month LIBOR + 0.890%) 3.065%, 2/15/23(5) | 8,918 | 8,933 | |
(3 month LIBOR + 1.180%) 3.312%, 6/12/24(5) | 11,930 | 12,148 | |
Clear Channel Worldwide Holdings, Inc. | |||
144A 9.250%, 2/15/24(1) | 3,690 | 4,054 | |
144A 5.125%, 8/15/27(1) | 3,265 | 3,402 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 4,545 | 4,715 | |
144A 6.625%, 8/15/27(1) | 4,370 | 4,528 | |
Discovery Communications LLC 3.300%, 5/15/22 | 11,200 | 11,465 | |
DISH DBS Corp. 5.875%, 7/15/22 | 6,245 | 6,495 | |
Frontier Communications Corp. | |||
8.500%, 4/15/20(2) | 3,200 | 1,664 | |
8.875%, 9/15/20 | 3,380 | 1,622 | |
iHeartCommunications, Inc. | |||
6.375%, 5/1/26(2) | 117 | 127 | |
8.375%, 5/1/27 | 213 | 230 | |
Escrow 0.000%, 5/1/23(6) | 1,945 | — | |
Sirius XM Radio, Inc. 144A 4.625%, 7/15/24(1) | 3,565 | 3,696 |
Par Value | Value | ||
Communication Services—continued | |||
Sprint Spectrum Co. LLC | |||
144A 3.360%, 9/20/21(1) | $9,975 | $10,012 | |
144A 4.738%, 3/20/25(1) | 8,210 | 8,727 | |
Tencent Holdings Ltd. | |||
144A 2.985%, 1/19/23(1) | 7,050 | 7,161 | |
144A 3.280%, 4/11/24(1) | 18,933 | 19,446 | |
Verizon Communications, Inc. (3 month LIBOR + 1.100%) 3.258%, 5/15/25(5) | 16,061 | 16,309 | |
131,556 | |||
Consumer Discretionary—1.7% | |||
American Axle & Manufacturing, Inc. 6.250%, 4/1/25 | 6,440 | 6,231 | |
Aptiv Corp. 4.150%, 3/15/24 | 17,960 | 19,014 | |
Boyd Gaming Corp. 6.375%, 4/1/26 | 6,635 | 7,033 | |
Bunge Ltd. Finance Corp. 4.350%, 3/15/24 | 14,290 | 15,054 | |
Discovery Communications LLC 2.950%, 3/20/23 | 6,325 | 6,427 | |
General Motors Financial Co., Inc. | |||
4.200%, 3/1/21 | 7,300 | 7,457 | |
3.550%, 4/9/21 | 2,847 | 2,888 | |
GLP Capital LP 5.250%, 6/1/25 | 13,175 | 14,513 | |
International Game Technology plc 144A 6.250%, 2/15/22(1) | 5,190 | 5,477 | |
MGM Growth Properties Operating Partnership LP 144A 5.750%, 2/1/27(1) | 6,370 | 7,152 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Panther BF Aggregator 2 LP 144A 6.250%, 5/15/26(1) | $595 | $626 | |
Scientific Games International, Inc. 144A 5.000%, 10/15/25(1) | 7,150 | 7,377 | |
TRI Pointe Group, Inc. 5.875%, 6/15/24 | 10,130 | 10,788 | |
110,037 | |||
Consumer Staples—1.2% | |||
Albertson’s Cos. LLC 5.750%, 3/15/25 | 6,390 | 6,582 | |
Altria Group, Inc. | |||
3.490%, 2/14/22 | 928 | 952 | |
3.800%, 2/14/24 | 16,788 | 17,551 | |
4.400%, 2/14/26 | 1,349 | 1,442 | |
BAT Capital Corp. 2.764%, 8/15/22 | 14,195 | 14,330 | |
Campbell Soup Co. | |||
3.300%, 3/15/21 | 4,613 | 4,679 | |
3.650%, 3/15/23 | 11,370 | 11,829 | |
Conagra Brands, Inc. 4.300%, 5/1/24 | 17,135 | 18,387 | |
75,752 | |||
Energy—3.9% | |||
Afren plc 144A 11.500%, 2/1/16(1)(3)(6) | 4,675 | 4 | |
Blue Racer Midstream LLC 144A 6.125%, 11/15/22(1) | 6,070 | 6,102 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 12,645 | 13,524 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 4,327 | 4,262 | |
Citgo Holding, Inc. 144A 9.250%, 8/1/24(1) | 780 | 829 | |
CITGO Petroleum Corp. Senior Secured Notes 144A 6.250%, 8/15/22(1) | 6,973 | 7,051 |
Par Value | Value | ||
Energy—continued | |||
CNOOC Finance 2013 Ltd. 3.000%, 5/9/23 | $6,930 | $7,038 | |
CNOOC Finance Property Ltd. 2.625%, 5/5/20 | 5,800 | 5,806 | |
Encana Corp. | |||
3.900%, 11/15/21 | 7,960 | 8,154 | |
8.125%, 9/15/30 | 8,110 | 10,504 | |
Energy Transfer Partners LP | |||
5.000%, 10/1/22 | 4,794 | 5,087 | |
4.500%, 11/1/23 | 10,760 | 11,403 | |
EP Energy LLC | |||
144A 9.375%, 5/1/24(1)(3) | 3,680 | 101 | |
144A 8.000%, 11/29/24(1)(2)(3) | 2,435 | 931 | |
Kinder Morgan, Inc. 144A 5.625%, 11/15/23(1) | 20,300 | 22,547 | |
Kosmos Energy Ltd. 144A 7.125%, 4/4/26(1) | 6,670 | 6,871 | |
MPLX LP 3.375%, 3/15/23 | 15,635 | 16,051 | |
Occidental Petroleum Corp. | |||
4.850%, 3/15/21 | 3,062 | 3,166 | |
2.900%, 8/15/24 | 15,493 | 15,611 | |
Petrobras Global Finance B.V. 5.299%, 1/27/25 | 33,900 | 37,003 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(3) | 9,545 | 764 | |
Petroleos Mexicanos | |||
4.625%, 9/21/23 | 26,405 | 27,171 | |
4.875%, 1/18/24 | 5,950 | 6,121 | |
Range Resources Corp. 4.875%, 5/15/25(2) | 7,005 | 5,779 | |
Sabine Pass Liquefaction LLC | |||
5.625%, 2/1/21 | 8,000 | 8,264 |
Par Value | Value | ||
Energy—continued | |||
6.250%, 3/15/22 | $11,580 | $12,477 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 3,520 | 3,538 | |
Transocean, Inc. 144A 9.000%, 7/15/23(1) | 3,680 | 3,818 | |
Weatherford International Ltd. 9.875%, 2/15/24(3) | 4,795 | 1,714 | |
251,691 | |||
Financials—10.6% | |||
AerCap Ireland Capital DAC 3.950%, 2/1/22 | 6,835 | 7,060 | |
Ares Capital Corp. | |||
3.625%, 1/19/22 | 4,475 | 4,549 | |
3.500%, 2/10/23 | 7,365 | 7,412 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(1) | 14,195 | 15,206 | |
Aviation Capital Group LLC 144A 3.875%, 5/1/23(1) | 18,262 | 18,886 | |
Banco BBVA Peru S.A. RegS 5.000%, 8/26/22(2)(4) | 16,280 | 17,354 | |
Bank of America Corp. | |||
4.200%, 8/26/24 | 10,473 | 11,234 | |
3.950%, 4/21/25 | 6,325 | 6,711 | |
(3 month LIBOR + 0.770%) 3.057%, 2/5/26(5) | 11,312 | 11,197 | |
(3 month LIBOR + 1.000%) 3.283%, 4/24/23(5) | 14,445 | 14,558 | |
Barclays plc 3.200%, 8/10/21 | 10,345 | 10,436 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 9,490 | 9,963 |
Par Value | Value | ||
Financials—continued | |||
Capital One Financial Corp. 3.750%, 7/28/26 | $6,325 | $6,578 | |
Capital One N.A. 2.950%, 7/23/21 | 14,425 | 14,613 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 6,370 | 6,496 | |
Citigroup, Inc. | |||
2.350%, 8/2/21 | 6,604 | 6,634 | |
3.200%, 10/21/26 | 2,927 | 3,022 | |
(3 month LIBOR + 1.250%) 3.349%, 7/1/26(5) | 21,935 | 22,258 | |
(3 month LIBOR + 1.430%) 3.568%, 9/1/23(5) | 7,115 | 7,237 | |
Corp Financiera de Desarrollo SA 144A 4.750%, 7/15/25(1) | 6,000 | 6,593 | |
Development Bank of Kazakhstan JSC 144A 8.950%, 5/4/23(1) | 3,330,000KZT | 8,037 | |
Discover Bank 8.700%, 11/18/19 | 1,750 | 1,764 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(1) | 14,685 | 14,874 | |
First Tennessee Bank N.A. 2.950%, 12/1/19 | 4,500 | 4,501 | |
FS KKR Capital Corp. 4.250%, 1/15/20 | 4,528 | 4,539 | |
Goldman Sachs Group, Inc. (The) | |||
2.350%, 11/15/21 | 4,425 | 4,430 | |
4.250%, 10/21/25 | 24,315 | 26,065 | |
(3 month LIBOR + 1.170%) 3.328%, 5/15/26(5) | 28,975 | 29,124 | |
Guanay Finance Ltd. 144A 6.000%, 12/15/20(1) | 10,535 | 10,641 | |
HSBC Holdings plc | |||
2.950%, 5/25/21 | 10,000 | 10,103 |
Par Value | Value | ||
Financials—continued | |||
(3 month LIBOR + 1.500%) 3.789%, 1/5/22(5) | $6,524 | $6,646 | |
Huntington Bancshares, Inc. 7.000%, 12/15/20 | 17,065 | 18,006 | |
ICAHN Enterprises LP | |||
6.250%, 2/1/22 | 10,285 | 10,552 | |
144A 6.250%, 5/15/26(1) | 10,030 | 10,506 | |
Industrial & Commercial Bank of China Ltd. | |||
3.231%, 11/13/19 | 6,275 | 6,280 | |
2.957%, 11/8/22 | 19,380 | 19,514 | |
(3 month LIBOR + 0.750%) 2.937%, 11/8/20(5) | 630 | 631 | |
Jefferies Group LLC 6.875%, 4/15/21 | 2,594 | 2,757 | |
JPMorgan Chase & Co. | |||
2.295%, 8/15/21 | 4,495 | 4,507 | |
3.876%, 9/10/24 | 9,490 | 10,111 | |
(3 month LIBOR + 0.900%) 3.175%, 4/25/23(5) | 18,055 | 18,157 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 4.318%, 4/20/67(5)(7) | 2,885 | 2,294 | |
Macquarie Group Ltd. 144A 6.000%, 1/14/20(1) | 10,950 | 11,065 | |
Mizuho Financial Group, Inc. 144A 2.632%, 4/12/21(1) | 19,145 | 19,226 | |
Morgan Stanley | |||
(3 month LIBOR + 0.930%) 3.208%, 7/22/22(5) | 18,055 | 18,192 | |
(3 month LIBOR + 1.400%) 3.683%, 10/24/23(5) | 25,080 | 25,532 | |
Navient Corp. 5.875%, 10/25/24 | 11,732 | 11,820 |
Par Value | Value | ||
Financials—continued | |||
Prudential Financial, Inc. 5.625%, 6/15/43(7) | $13,774 | $14,806 | |
Santander Holdings USA, Inc. | |||
4.450%, 12/3/21 | 11,379 | 11,884 | |
3.700%, 3/28/22 | 5,808 | 5,954 | |
3.500%, 6/7/24 | 12,715 | 13,046 | |
SBA Tower Trust | |||
144A 3.156%, 10/8/20(1) | 6,050 | 6,056 | |
144A 3.168%, 4/11/22(1) | 18,490 | 18,669 | |
144A 2.836%, 1/15/25(1) | 3,625 | 3,630 | |
Sberbank of Russia RegS 5.717%, 6/16/21(4)(8) | 7,000 | 7,342 | |
Springleaf Finance Corp. 6.875%, 3/15/25 | 8,580 | 9,454 | |
Synchrony Financial 4.375%, 3/19/24 | 12,785 | 13,568 | |
Toronto-Dominion Bank (The) 2.650%, 6/12/24 | 16,021 | 16,340 | |
UBS Group Funding Switzerland AG 144A 2.650%, 2/1/22(1) | 8,475 | 8,551 | |
Wells Fargo & Co. | |||
2.500%, 3/4/21 | 7,465 | 7,499 | |
(3 month LIBOR + 1.230%) 3.486%, 10/31/23(5) | 10,770 | 10,933 | |
Wells Fargo Bank N.A. 3.550%, 8/14/23 | 9,555 | 10,039 | |
675,642 | |||
Health Care—2.4% | |||
AbbVie, Inc. | |||
3.375%, 11/14/21 | 1,901 | 1,948 | |
3.200%, 11/6/22 | 1,940 | 1,990 | |
3.750%, 11/14/23 | 3,000 | 3,154 | |
Allergan Funding SCS | |||
3.000%, 3/12/20 | 2,825 | 2,833 |
Par Value | Value | ||
Health Care—continued | |||
3.450%, 3/15/22 | $3,815 | $3,910 | |
Anthem, Inc. 2.375%, 1/15/25 | 9,655 | 9,598 | |
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1) | 6,675 | 7,491 | |
Bausch Health Cos., Inc. | |||
144A 6.500%, 3/15/22(1) | 2,190 | 2,264 | |
144A 5.750%, 8/15/27(1) | 745 | 805 | |
Becton Dickinson & Co. | |||
3.363%, 6/6/24 | 7,740 | 8,074 | |
(3 month LIBOR + 0.875%) 2.979%, 12/29/20(5) | 4,693 | 4,695 | |
Cigna Corp. | |||
3.750%, 7/15/23 | 5,765 | 6,029 | |
(3 month LIBOR + 0.890%) 3.193%, 7/15/23(5) | 7,542 | 7,559 | |
CVS Health Corp. (3 month LIBOR + 0.720%) 2.822%, 3/9/21(5) | 6,510 | 6,541 | |
HCA, Inc. 5.375%, 2/1/25 | 7,250 | 7,921 | |
Mylan NV 3.950%, 6/15/26 | 17,310 | 17,913 | |
Perrigo Finance Unlimited Co. 3.900%, 12/15/24 | 2,000 | 2,050 | |
Shire Acquisitions Investments Ireland DAC 2.400%, 9/23/21 | 9,275 | 9,318 | |
Takeda Pharmaceutical Co., Ltd. 144A 4.000%, 11/26/21(1) | 10,075 | 10,431 | |
Tenet Healthcare Corp. | |||
4.625%, 7/15/24 | 4,350 | 4,471 | |
144A 4.875%, 1/1/26(1) | 8,215 | 8,431 |
Par Value | Value | ||
Health Care—continued | |||
Teva Pharmaceutical Finance Netherlands III B.V. 6.000%, 4/15/24(2) | $800 | $689 | |
Zimmer Biomet Holdings, Inc. 3.150%, 4/1/22 | 25,115 | 25,601 | |
153,716 | |||
Industrials—2.7% | |||
Alfa SAB de CV 144A 5.250%, 3/25/24(1) | 6,775 | 7,303 | |
America West Airlines Pass-Through-Trust 2001-1, G 7.100%, 4/2/21 | 15,108 | 15,604 | |
American Airlines Pass-Through-Trust 2019-1, A 3.500%, 2/15/32 | 7,720 | 7,998 | |
Avolon Holdings Funding Ltd. 144A 3.950%, 7/1/24(1) | 13,475 | 13,821 | |
Beacon Roofing Supply, Inc. | |||
144A 4.875%, 11/1/25(1) | 6,355 | 6,236 | |
144A 4.500%, 11/15/26(1) | 290 | 292 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 15,130 | 16,032 | |
Continental Airlines Pass-Through-Trust 1999-2, C2 6.236%, 3/15/20 | 777 | 779 | |
Doric Nimrod Air Alpha Pass-Through-Trust 2013-1, A 144A 5.250%, 5/30/23(1) | 10,845 | 11,145 | |
Doric Nimrod Air Finance Alpha Pass-Through Trust 2012-1, A 144A 5.125%, 11/30/22(1) | 7,703 | 7,828 |
Par Value | Value | ||
Industrials—continued | |||
Hawaiian Airlines Pass-Through Certificates 2013-1, B 4.950%, 1/15/22 | $5,514 | $5,612 | |
Navistar International Corp. 144A 6.625%, 11/1/25(1) | 6,040 | 6,131 | |
Norwegian Air Shuttle ASA Pass-Through-Trust 2016-1, A 144A 4.875%, 5/10/28(1) | 23,520 | 22,951 | |
Park Aerospace Holdings Ltd. 144A 4.500%, 3/15/23(1) | 5,426 | 5,615 | |
PayPal Holdings, Inc. 2.650%, 10/1/26 | 15,095 | 15,160 | |
Penske Truck Leasing Co., LP 144A 4.125%, 8/1/23(1) | 7,770 | 8,223 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(1) | 12,555 | 13,481 | |
United Air Lines, Inc. Pass-Through-Trust 2007-1, A 6.636%, 7/2/22 | 4,416 | 4,668 | |
168,879 | |||
Information Technology—2.0% | |||
Alibaba Group Holding Ltd. 3.600%, 11/28/24 | 12,500 | 13,154 | |
Analog Devices, Inc. 2.950%, 1/12/21 | 18,570 | 18,709 | |
Broadcom Corp. | |||
2.375%, 1/15/20 | 13,820 | 13,819 | |
2.650%, 1/15/23 | 9,730 | 9,721 | |
Broadcom, Inc. 144A 3.625%, 10/15/24(1) | 16,180 | 16,467 | |
Dell International LLC 144A 5.450%, 6/15/23(1) | 6,380 | 6,947 |
Par Value | Value | ||
Information Technology—continued | |||
Hewlett Packard Enterprise Co. | |||
3.500%, 10/5/21 | $4,545 | $4,660 | |
2.250%, 4/1/23 | 9,470 | 9,442 | |
(3 month LIBOR + 0.720%) 3.009%, 10/5/21(5) | 2,830 | 2,830 | |
Motorola Solutions, Inc. 3.750%, 5/15/22 | 1,208 | 1,254 | |
ViaSat, Inc. 144A 5.625%, 9/15/25(1) | 10,250 | 10,327 | |
VMware, Inc. 2.950%, 8/21/22 | 22,120 | 22,434 | |
129,764 | |||
Materials—1.7% | |||
Anglo American Capital plc 144A 3.625%, 9/11/24(1) | 12,120 | 12,494 | |
ArcelorMittal 6.125%, 6/1/25 | 8,280 | 9,318 | |
Ardagh Packaging Finance plc 144A 4.125%, 8/15/26(1) | 5,400 | 5,434 | |
Equate Petrochemical BV 144A 3.000%, 3/3/22(1) | 9,535 | 9,574 | |
Glencore Funding LLC 144A 4.125%, 5/30/23(1) | 17,615 | 18,462 | |
James Hardie International Finance DAC 144A 4.750%, 1/15/25(1) | 12,975 | 13,364 | |
NOVA Chemicals Corp. 144A 5.000%, 5/1/25(1) | 7,820 | 7,957 | |
Reynolds Group Issuer, Inc. 144A 7.000%, 7/15/24(1) | 5,065 | 5,249 | |
SABIC Capital II BV 144A 4.000%, 10/10/23(1) | 8,700 | 9,146 |
Par Value | Value | ||
Materials—continued | |||
Syngenta Finance NV | |||
144A 3.698%, 4/24/20(1) | $8,635 | $8,664 | |
144A 3.933%, 4/23/21(1) | 8,635 | 8,793 | |
108,455 | |||
Real Estate—0.8% | |||
iStar, Inc. 4.750%, 10/1/24 | 1,600 | 1,626 | |
Office Properties Income Trust | |||
4.150%, 2/1/22 | 18,910 | 19,337 | |
4.000%, 7/15/22 | 7,345 | 7,486 | |
Service Properties Trust | |||
4.500%, 6/15/23 | 10,780 | 11,099 | |
4.350%, 10/1/24 | 9,585 | 9,704 | |
49,252 | |||
Utilities—2.2% | |||
CenterPoint Energy, Inc. 2.500%, 9/1/24 | 12,700 | 12,684 | |
DTE Energy Co. 2.529%, 10/1/24 | 15,896 | 15,945 | |
Exelon Corp. | |||
2.850%, 6/15/20 | 18,845 | 18,924 | |
3.497%, 6/1/22 | 8,261 | 8,477 | |
NRG Energy, Inc. 144A 3.750%, 6/15/24(1) | 19,197 | 19,756 | |
PNM Resources, Inc. 3.250%, 3/9/21 | 11,070 | 11,174 | |
PSEG Power LLC 3.850%, 6/1/23 | 18,125 | 19,167 | |
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(1) | 18,640 | 19,013 | |
Texas Competitive Electric Holdings Co. 144A 0.000%, 10/1/49(1)(6) | 5,925 | 7 |
Par Value | Value | ||
Utilities—continued | |||
Toledo Edison Co. (The) 7.250%, 5/1/20 | $224 | $229 | |
Vistra Operations Co. LLC 144A 3.550%, 7/15/24(1) | 15,540 | 15,645 | |
141,021 | |||
Total Corporate Bonds and Notes (Identified Cost $1,968,142) | 1,995,765 | ||
Leveraged Loans(5)—7.3% | |||
Aerospace—0.2% | |||
Atlantic Aviation FBO, Inc. (1 month LIBOR + 3.750%) 5.800%, 12/6/25 | 2,318 | 2,332 | |
TransDigm, Inc. | |||
2018, Tranche E (1 month LIBOR + 2.500%) 4.544%, 5/30/25 | 3,295 | 3,279 | |
2018, Tranche F (1 month LIBOR + 2.500%) 4.544%, 6/9/23 | 3,832 | 3,820 | |
WestJet Airlines Ltd. Tranche B (3 month LIBOR + 3.000%) 0.000%, 8/7/26(9) | 4,270 | 4,299 | |
13,730 | |||
Chemicals—0.0% | |||
Hexion, Inc. Tranche B (3 month LIBOR + 3.500%) 5.820%, 7/1/26 | 1,247 | 1,242 | |
Consumer Durables—0.1% | |||
Global Appliance, Inc. Tranche B (1 month LIBOR + 4.000%) 6.050%, 9/29/24 | 3,829 | 3,810 |
Par Value | Value | ||
Consumer Non-Durables—0.2% | |||
Kronos Acquisition Holdings, Inc. Tranche B-3 (3 month LIBOR + 4.000%) 6.256%, 5/15/23 | $14,825 | $14,031 | |
Energy—0.1% | |||
Medallion Midland Acquisition LLC (1 month LIBOR + 3.250%) 5.294%, 10/30/24 | 7,941 | 7,696 | |
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 0.000%, 7/16/21(3)(6) | 66 | — | |
7,696 | |||
Financial—0.6% | |||
Asurion LLC Tranche B-6 (1 month LIBOR + 3.000%) 5.044%, 11/3/23 | 6,852 | 6,876 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 5.044%, 6/16/25 | 9,702 | 9,662 | |
Delos Finance S.a.r.l. 2018 (3 month LIBOR + 2.500%) 3.854%, 10/6/23 | 6,874 | 6,893 | |
FinCo I LLC 2018 (1 month LIBOR + 2.000%) 4.044%, 12/27/22 | 3,775 | 3,781 |
Par Value | Value | ||
Financial—continued | |||
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 4.807%, 6/28/23 | $11,944 | $11,959 | |
39,171 | |||
Food / Tobacco—0.4% | |||
Aramark Services, Inc. | |||
Tranche B-2 (1 month LIBOR + 1.750%) 3.794%, 3/28/24 | 3,575 | 3,576 | |
Tranche B-3 (1 month LIBOR + 1.750%) 3.794%, 3/11/25 | 1,909 | 1,910 | |
Chobani LLC Tranche B (1 month LIBOR + 3.500%) 5.544%, 10/10/23 | 6,258 | 6,199 | |
H-Food Holdings LLC (1 month LIBOR + 3.688%) 5.731%, 5/23/25 | 2,355 | 2,207 | |
Hostess Brands LLC 2017, Tranche B (3 month LIBOR + 2.250%) 0.000%, 8/3/22(9) | 7,195 | 7,190 | |
US Foods, Inc. 2019, Tranche B (1 month LIBOR + 2.000%) 0.000%, 9/13/26(9) | 3,195 | 3,205 | |
24,287 | |||
Food and Drug—0.1% | |||
Albertsons LLC 2019, Tranche B-7 (1 month LIBOR + 2.750%) 4.794%, 11/17/25 | 7,386 | 7,428 |
Par Value | Value | ||
Forest Prod / Containers—0.2% | |||
Berry Global, Inc. | |||
Tranche Q (1 month LIBOR + 2.250%) 4.299%, 10/3/22 | $6,109 | $6,134 | |
Tranche R (1 month LIBOR + 2.250%) 4.299%, 1/19/24 | 1,019 | 1,022 | |
Tranche U (1 month LIBOR + 2.500%) 4.549%, 7/1/26 | 2,543 | 2,555 | |
Spectrum Holdings III Corp. First Lien (1 month LIBOR + 3.250%) 5.294%, 1/31/25 | 2,662 | 2,347 | |
12,058 | |||
Gaming / Leisure—0.8% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 0.000%, 12/23/24(9) | 9,082 | 9,018 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 0.000%, 6/22/26(9) | 9,796 | 9,852 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 4.790%, 4/29/24 | 8,958 | 8,689 | |
Scientific Games International, Inc. Tranche B-5 (2 month LIBOR + 2.750%) 4.876%, 8/14/24 | 4,253 | 4,214 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 3.794%, 7/8/24 | $11,128 | $11,174 | |
UFC Holdings LLC Tranche B (1 month LIBOR + 3.250%) 3.250%, 4/29/26 | 5,459 | 5,469 | |
48,416 | |||
Healthcare—0.4% | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 4.789%, 11/27/25 | 1,846 | 1,849 | |
(1 month LIBOR + 3.000%) 5.039%, 6/2/25 | 5,979 | 6,001 | |
Change Healthcare Holdings, Inc. (1 month LIBOR + 2.500%) 4.544%, 3/1/24 | 4,025 | 4,003 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 5.794%, 10/10/25 | 6,402 | 5,204 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 3.854%, 6/11/25 | 7,694 | 7,699 | |
24,756 | |||
Housing—0.2% | |||
CPG International LLC (3 month LIBOR + 3.750%) 5.933%, 5/6/24 | 11,849 | 11,790 | |
Information Technology—0.5% | |||
Dell International LLC Tranche B-1 (1 month LIBOR + 2.000%) 4.050%, 9/19/25 | 7,598 | 7,631 |
Par Value | Value | ||
Information Technology—continued | |||
Kronos, Inc. | |||
2018 (3 month LIBOR + 3.000%) 5.253%, 11/1/23 | $13,972 | $13,994 | |
Second Lien (3 month LIBOR + 8.250%) 10.503%, 11/1/24 | 3,782 | 3,834 | |
SS&C Technologies, Inc. | |||
Tranche B-3 (1 month LIBOR + 2.250%) 4.294%, 4/16/25 | 3,145 | 3,153 | |
Tranche B-4 (1 month LIBOR + 2.250%) 4.294%, 4/16/25 | 2,077 | 2,082 | |
Tranche B-5 (1 month LIBOR + 2.250%) 4.294%, 4/16/25 | 3,786 | 3,800 | |
34,494 | |||
Manufacturing—0.3% | |||
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 6.710%, 8/17/22 | 9,501 | 7,350 | |
NCR Corp. | |||
(1 month LIBOR + 2.500%) 4.550%, 8/28/26 | 1,138 | 1,140 | |
(3 month LIBOR + 0.000%) 0.000%, 8/28/26(10) | 1,301 | 1,302 | |
Titan Acquisition Ltd. (1 month LIBOR + 3.000%) 5.044%, 3/28/25 | 6,412 | 6,147 | |
15,939 | |||
Par Value | Value | ||
Media / Telecom - Broadcasting—0.3% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 5.300%, 8/24/26 | $3,670 | $3,688 | |
iHeartCommunications, Inc. (1 month LIBOR + 4.000%) 6.100%, 5/1/26 | 405 | 408 | |
Nexstar Broadcasting, Inc. Tranche B-4 (3 month LIBOR + 2.750%) 0.000%, 9/18/26(9) | 8,770 | 8,806 | |
Sinclair Television Group, Inc. Tranche B (1 month LIBOR + 2.250%) 4.300%, 1/3/24 | 8,021 | 8,035 | |
20,937 | |||
Media / Telecom - Cable/Wireless Video—0.5% | |||
Charter Communications Operating LLC Tranche B (1 month LIBOR + 2.000%) 4.050%, 4/30/25 | 9,474 | 9,526 | |
CSC Holdings LLC | |||
(3 month LIBOR + 2.500%) 0.000%, 4/15/27(9) | 696 | 697 | |
2017 (1 month LIBOR + 2.250%) 4.278%, 7/17/25 | 4,435 | 4,428 | |
2018 (1 month LIBOR + 2.250%) 4.278%, 1/15/26 | 7,293 | 7,282 | |
First Lien (3 month LIBOR + 2.500%) 0.000%, 4/15/27(9) | 3,040 | 3,040 | |
First Lien (3 month LIBOR + 2.500%) 0.000%, 4/15/27(9)(10) | 230 | 230 |
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—continued | |||
Virgin Media Bristol LLC Tranche K (1 month LIBOR + 2.500%) 4.528%, 1/15/26 | $6,845 | $6,845 | |
32,048 | |||
Media / Telecom - Diversified Media—0.3% | |||
CDS US Intermediate Holdings, Inc. Tranche B (3 month LIBOR + 3.750%) 5.854%, 7/8/22 | 4,763 | 4,505 | |
Clear Channel Outdoor Holdings, Inc. Tranche B (1 month LIBOR + 3.500%) 5.544%, 8/21/26 | 6,470 | 6,484 | |
Crown Finance US, Inc. (1 month LIBOR + 2.250%) 4.294%, 2/28/25 | 3,203 | 3,180 | |
McGraw-Hill Global Education Holdings LLC Tranche B, First Lien (1 month LIBOR + 4.000%) 6.044%, 5/4/22 | 6,372 | 5,980 | |
20,149 | |||
Media / Telecom - Telecommunications—0.6% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.750%) 4.794%, 1/31/25 | 6,050 | 6,006 | |
Consolidated Communications, Inc. 2016 (1 month LIBOR + 3.000%) 5.050%, 10/5/23 | 6,663 | 6,393 |
Par Value | Value | ||
Media / Telecom - Telecommunications—continued | |||
Frontier Communications Corp. Tranche B-1 (1 month LIBOR + 3.750%) 0.000%, 6/17/24(9) | $11,476 | $11,439 | |
Level 3 Financing, Inc. 2024, Tranche B (1 month LIBOR + 2.250%) 4.294%, 2/22/24 | 11,304 | 11,321 | |
Securus Technologies Holdings, Inc. First Lien (1 month LIBOR + 4.500%) 6.544%, 11/1/24 | 3,227 | 2,824 | |
37,983 | |||
Media / Telecom - Wireless Communications—0.2% | |||
CommScope, Inc. (1 month LIBOR + 3.250%) 5.294%, 4/4/26 | 9,410 | 9,368 | |
Retail—0.1% | |||
Michaels Stores, Inc. 2018, Tranche B (1 month LIBOR + 2.500%) 4.544%, 1/30/23 | 7,090 | 6,916 | |
Service—0.6% | |||
GFL Environmental, Inc. 2018 (1 month LIBOR + 3.000%) 5.044%, 5/30/25 | 6,448 | 6,391 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 5.544%, 6/30/24 | 4,481 | 4,414 | |
J2 Acquisition Ltd. Tranche B, First Lien (3 month LIBOR + 2.500%) 0.000%, 9/25/26(9) | 2,685 | 2,692 |
Par Value | Value | ||
Service—continued | |||
Sedgwick Claims Management Services, Inc. Tranche B (1 month LIBOR + 4.000%) 6.044%, 9/30/26 | $10,100 | $10,107 | |
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 5.800%, 2/1/23 | 5,982 | 5,866 | |
Trans Union LLC 2018, Tranche B-4 (1 month LIBOR + 2.000%) 4.112%, 6/19/25 | 8,823 | 8,845 | |
38,315 | |||
Transportation - Automotive—0.2% | |||
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 5.544%, 4/30/26 | 6,950 | 6,876 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 5.044%, 10/1/25 | 6,074 | 5,694 | |
12,570 | |||
Utility—0.4% | |||
Brookfield WEC Holdings, Inc. First Lien (1 month LIBOR + 3.500%) 5.544%, 8/1/25 | 8,204 | 8,224 | |
Calpine Corp. 2019 (3 month LIBOR + 2.750%) 4.860%, 4/5/26 | 9,826 | 9,844 | |
Pacific Gas and Electric Co. | |||
(1 month LIBOR + 2.250%) 4.320%, 12/31/20 | 5,705 | 5,734 |
Par Value | Value | ||
Utility—continued | |||
(4 month LIBOR + 1.125%) 1.125%, 12/31/20(10) | $1,900 | $1,909 | |
25,711 | |||
Total Leveraged Loans (Identified Cost $468,504) | 462,845 |
Shares | ||
Preferred Stocks—0.4% | ||
Financials—0.4% | ||
Bank of New York Mellon Corp. (The) Series E, 4.950% | 12,070(11) | 12,130 |
Huntington Bancshares, Inc. Series E, 5.700% | 3,303(11) | 3,364 |
JPMorgan Chase & Co. Series Z, 5.300% | 3,985(11) | 4,025 |
Wells Fargo & Co. Series K, 5.589% | 8,684(11) | 8,793 |
28,312 | ||
Total Preferred Stocks (Identified Cost $28,049) | 28,312 | |
Common Stocks—0.0% | ||
Communication Services—0.0% | ||
Clear Channel Outdoor Holdings, Inc.(12) | 48,842 | 123 |
Energy—0.0% | ||
Frontera Energy Corp. | 148,014 | 1,430 |
Total Common Stocks (Identified Cost $2,826) | 1,553 | |
Exchange-Traded Fund—0.7% | ||
iShares iBoxx High Yield Corporate Bond ETF(13) | 490,408 | 42,749 |
Total Exchange-Traded Fund (Identified Cost $42,689) | 42,749 | |
Shares | Value | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(6)(12) | 98,789 | $85 | |
Total Rights (Identified Cost $84) | 85 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc.(6)(12) | 20,771 | 296 | |
Total Warrant (Identified Cost $361) | 296 | ||
Total Long-Term Investments—99.2% (Identified Cost $6,279,894) | 6,320,365(14) | ||
Securities Lending Collateral—0.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(13)(15) | 21,964,823 | 21,965 | |
Total Securities Lending Collateral (Identified Cost $21,965) | 21,965 | ||
TOTAL INVESTMENTS—99.5% (Identified Cost $6,301,859) | $6,342,330 | ||
Other assets and liabilities, net—0.5% | 29,147 | ||
NET ASSETS—100.0% | $6,371,477 |
Abbreviations: | |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
Foreign Currencies: | |
KZT | Kazakhstani Tenge |
MXN | Mexican Peso |
Footnote Legend: | |
(1) | 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, 2019, these securities amounted to a value of $3,809,020 or 59.8% of net assets. |
(2) | All or a portion of security is on loan. |
(3) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(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) | Variable rate security. Rate disclosed is as of September 30, 2019. 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. |
(6) | 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 after the Schedule of Investments. |
(7) | Interest payments may be deferred. |
(8) | This Note was issued for the sole purpose of funding a loan agreement 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. |
(9) | This loan will settle after September 30, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(10) | Represents unfunded portion of security and commitment fee earned on this portion. |
(11) | Value shown as par value. |
(12) | Non-income producing. |
(13) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(14) | All or a portion of the Fund’s assets have been segregated for delayed delivery security. |
(15) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 86% |
Netherlands | 2 |
Canada | 2 |
Cayman Islands | 1 |
Mexico | 1 |
United Kingdom | 1 |
Indonesia | 1 |
Other | 6 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $1,443,130 | $— | $1,429,056 | $14,074 | |||
Corporate Bonds and Notes | 1,995,765 | — | 1,995,754 | 11 | |||
Foreign Government Securities | 286,956 | — | 286,956 | — | |||
Leveraged Loans | 462,845 | — | 462,845 | —(1) | |||
Mortgage-Backed Securities | 1,929,966 | — | 1,877,246 | 52,720 | |||
Municipal Bond | 4,326 | — | 4,326 | — | |||
U.S. Government Securities | 124,382 | — | 124,382 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 28,312 | — | 28,312 | — | |||
Exchange-Traded Fund | 42,749 | 42,749 | — | — | |||
Common Stocks | 1,553 | 1,553 | — | — | |||
Rights | 85 | — | — | 85 | |||
Warrant | 296 | — | — | 296 | |||
Securities Lending Collateral | 21,965 | 21,965 | — | — | |||
Total Investments | $6,342,330 | $66,267 | $6,208,877 | $67,186 |
(1) | Security held by the Fund with an end of period value of $0 was categorized as Level 3 in this table. |
Total | Asset-Backed Securities | Corporate Bonds and Notes | Leveraged Loans | Mortgage-Backed Securities | Rights | Warrant | |||||||
Investments in Securities | |||||||||||||
Balance as of September 30, 2018: | $30,574 | $— | $8,981 | $—(a) | $21,519 | $74 | $— | ||||||
Accrued discount/(premium) | 23 | — | 16 | — | 7 | — | — | ||||||
Realized gain (loss) | (81) | — | — | — | (81) | — | —(b) | ||||||
Change in unrealized appreciation (depreciation)(c) | (719) | — | (949) | — | 284 | 11 | (65) | ||||||
Purchases | 68,393 | 14,655 | 863 | — | 52,514 | — | 361 | ||||||
Sales(d) | (19,183) | (581) | (863) | — | (17,739) | — | — | ||||||
Transfers into Level 3(e) | — | — | — | — | — | — | — | ||||||
Transfers from Level 3(e) | (11,821) | — | (8,037) | — | (3,784) | — | — | ||||||
Balance as of September 30, 2019 | $67,186 | $14,074 | $11(a) | $—(a) | $52,720 | $85 | $296 |
September 30, 2019
Assets | |
Investment in securities at value(1)(2) | $6,342,330 |
Foreign currency at value(3) | —(a) |
Cash | 78,425 |
Receivables | |
Investment securities sold | 4,770 |
Fund shares sold | 11,303 |
Dividends and interest | 31,392 |
Securities lending income | 24 |
Prepaid Trustees’ retainer | 118 |
Prepaid expenses | 192 |
Other assets | 516 |
Total assets | 6,469,070 |
Liabilities | |
Payables | |
Fund shares repurchased | 10,729 |
Investment securities purchased | 57,516 |
Collateral on securities loaned | 21,965 |
Dividend distributions | 1,814 |
Investment advisory fees | 2,478 |
Distribution and service fees | 585 |
Administration and accounting fees | 546 |
Transfer agent and sub-transfer agent fees and expenses | 1,087 |
Professional fees | 48 |
Trustee deferred compensation plan | 516 |
Other accrued expenses | 309 |
Total liabilities | 97,593 |
Net Assets | $6,371,477 |
Net Assets Consist of: | |
Capital paid in on shares of beneficial interest | $6,509,569 |
Accumulated earnings (loss) | (138,092) |
Net Assets | $6,371,477 |
Net Assets: | |
Class A | $898,392 |
Class C | $575,524 |
Class C1 | $195,185 |
Class I | $4,695,968 |
Class R6 | $6,408 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 190,502,331 |
Class C | 120,387,635 |
Class C1 | 40,927,767 |
Class I | 994,242,380 |
Class R6 | 1,356,995 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $4.72 |
Class C | $4.78 |
Class C1 | $4.77 |
Class I | $4.72 |
Class R6 | $4.72 |
Maximum Offering Price per Share (NAV/(1-2.25%*)): | |
Class A | $4.83 |
* Maximum sales charge | |
(1)Investment in securities at cost | $6,301,859 |
(2) Market value of securities on loan | $20,889 |
(3) Foreign currency at cost | $—(a) |
(a) | Amount is less than $500. |
YEAR ENDEDSeptember 30, 2019
Investment Income | |
Dividends | $2,147 |
Dividends from affiliated fund | 2,324 |
Interest | 251,419 |
Security lending, net of fees | 329 |
Foreign taxes withheld | (46) |
Total investment income | 256,173 |
Expenses | |
Investment advisory fees | 30,469 |
Distribution and service fees, Class A | 2,010 |
Distribution and service fees, Class C | 3,783 |
Distribution and service fees, Class C1 | 2,543 |
Administration and accounting fees | 6,722 |
Transfer agent fees and expenses | 2,762 |
Sub-transfer agent fees and expenses, Class A | 584 |
Sub-transfer agent fees and expenses, Class C | 451 |
Sub-transfer agent fees and expenses, Class C1 | 160 |
Sub-transfer agent fees and expenses, Class I | 3,251 |
Custodian fees | 46 |
Printing fees and expenses | 393 |
Professional fees | 117 |
Interest expense | 24 |
Registration fees | 219 |
Trustees’ fees and expenses | 536 |
Miscellaneous expenses | 702 |
Total expenses | 54,772 |
Less expenses reimbursed and/or waived by investment adviser(1) | (167) |
Less low balance account fees | (1) |
Net expenses | 54,604 |
Net investment income (loss) | 201,569 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Unaffiliated investments | (53,993) |
Affiliated fund | (4,605) |
Foreign currency transactions | (13,426) |
Net change in unrealized appreciation (depreciation) on: | |
Unaffiliated investments | 153,700 |
Affiliated fund | 2,280 |
Foreign currency transactions | 28 |
Net realized and unrealized gain (loss) on investments | 83,984 |
Net increase (decrease) in net assets resulting from operations | $285,553 |
(1) | See Note 3A and 3D in the Notes to Financial Statements. |
Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $201,569 | $220,047 | |
Net realized gain (loss) | (72,024) | (26,384) | |
Net change in unrealized appreciation (depreciation) | 156,008 | (182,285) | |
Increase (decrease) in net assets resulting from operations | 285,553 | 11,378 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (21,847) | (22,809)(1) | |
Class C | (18,208) | (28,615)(1) | |
Class C1 | (4,893) | (6,597)(1) | |
Class I | (136,183) | (147,031)(1) | |
Class R6 | (160) | (89)(1) | |
Tax Return on Capital: | |||
Class A | (2,625) | (987) | |
Class C | (2,471) | (1,365) | |
Class C1 | (831) | (407) | |
Class I | (15,080) | (5,803) | |
Class R6 | (17) | (3) | |
Total Dividends and Distributions to Shareholders | (202,315) | (213,706) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (131,106 and 37,818 shares, respectively) | 608,263 | 178,253 | |
Class C (43,334 and 40,660 shares, respectively) | 203,366 | 194,702 | |
Class C1 (3,765 and 2,859 shares, respectively) | 17,803 | 13,634 | |
Class I (271,045 and 352,160 shares, respectively) | 1,266,053 | 1,661,170 | |
Class R6 (929 and 311 shares, respectively) | 4,325 | 1,463 | |
Reinvestment of distributions: | |||
Class A (4,600 and 4,368 shares, respectively) | 21,489 | 20,546 | |
Class C (4,348 and 6,236 shares, respectively) | 20,532 | 29,715 | |
Class C1 (839 and 1,051 shares, respectively) | 3,953 | 4,993 | |
Class I (28,436 and 28,458 shares, respectively) | 132,925 | 133,907 | |
Class R6 (25 and 19 shares, respectively) | 115 | 87 | |
Shares repurchased and cross class conversions: | |||
Class A ((98,212) and (82,884) shares, respectively) | (456,110) | (389,256) | |
Class C ((147,719) and (87,948) shares, respectively) | (694,497) | (419,167) | |
Class C1 ((28,461) and (17,377) shares, respectively) | (134,319) | (82,623) | |
Class I ((374,977) and (316,253) shares, respectively) | (1,744,061) | (1,488,659) | |
Class R6 ((277) and (180) shares, respectively) | (1,296) | (846) | |
Increase (decrease) in net assets from capital transactions | (751,459) | (142,081) | |
Net increase (decrease) in net assets | (668,221) | (344,409) | |
Net Assets | |||
Beginning of period | 7,039,698 | 7,384,107 | |
End of Period | $6,371,477 | $7,039,698 |
Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||
Accumulated undistributed net investment income (loss) at end of period | $N/A | $$(1,935) |
(1) | For the year ended September 30, 2018, distributions to shareholders were from net investment income. |
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 | Tax Return of Capital | Total Distributions | |
Class A | |||||||
10/1/18 to 9/30/19 | $4.65 | 0.14 | 0.07 | 0.21 | (0.12) | (0.02) | (0.14) |
10/1/17 to 9/30/18 | 4.78 | 0.14 | (0.14) | — | (0.12) | (0.01) | (0.13) |
10/1/16 to 9/30/17 | 4.78 | 0.14 | — | 0.14 | (0.14) | — | (0.14) |
10/1/15 to 9/30/16 | 4.69 | 0.15 | 0.08 | 0.23 | (0.14) | — | (0.14) |
10/1/14 to 9/30/15 | 4.84 | 0.15 | (0.16) | (0.01) | (0.11) | (0.03) | (0.14) |
Class C | |||||||
10/1/18 to 9/30/19 | $4.71 | 0.13 | 0.07 | 0.20 | (0.11) | (0.02) | (0.13) |
10/1/17 to 9/30/18 | 4.84 | 0.13 | (0.14) | (0.01) | (0.11) | (0.01) | (0.12) |
10/1/16 to 9/30/17 | 4.84 | 0.13 | — | 0.13 | (0.13) | — | (0.13) |
10/1/15 to 9/30/16 | 4.75 | 0.14 | 0.07 | 0.21 | (0.12) | — | (0.12) |
10/1/14 to 9/30/15 | 4.89 | 0.14 | (0.15) | (0.01) | (0.10) | (0.03) | (0.13) |
Class C1 | |||||||
10/1/18 to 9/30/19 | $4.70 | 0.11 | 0.07 | 0.18 | (0.09) | (0.02) | (0.11) |
10/1/17 to 9/30/18 | 4.83 | 0.10 | (0.13) | (0.03) | (0.09) | (0.01) | (0.10) |
10/1/16 to 9/30/17 | 4.83 | 0.11 | — | 0.11 | (0.11) | — | (0.11) |
10/1/15 to 9/30/16 | 4.73 | 0.12 | 0.08 | 0.20 | (0.10) | — | (0.10) |
10/1/14 to 9/30/15 | 4.88 | 0.12 | (0.17) | (0.05) | (0.07) | (0.03) | (0.10) |
Class I | |||||||
10/1/18 to 9/30/19 | $4.66 | 0.15 | 0.06 | 0.21 | (0.13) | (0.02) | (0.15) |
10/1/17 to 9/30/18 | 4.79 | 0.15 | (0.14) | 0.01 | (0.13) | (0.01) | (0.14) |
10/1/16 to 9/30/17 | 4.78 | 0.16 | 0.01 | 0.17 | (0.16) | — | (0.16) |
10/1/15 to 9/30/16 | 4.69 | 0.16 | 0.08 | 0.24 | (0.15) | — | (0.15) |
10/1/14 to 9/30/15 | 4.84 | 0.16 | (0.16) | — | (0.12) | (0.03) | (0.15) |
Class R6 | |||||||
10/1/18 to 9/30/19 | $4.65 | 0.16 | 0.07 | 0.23 | (0.14) | (0.02) | (0.16) |
10/1/17 to 9/30/18 | 4.78 | 0.15 | (0.13) | 0.02 | (0.14) | (0.01) | (0.15) |
11/3/16(10) to 9/30/17 | 4.76 | 0.15 | 0.02 | 0.17 | (0.15) | — | (0.15) |
Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate |
0.07 | $4.72 | 4.62 % | $898,392 | 0.97 % (6) | 0.98 % | 3.01 % | 58 % |
(0.13) | 4.65 | 0.05 | 711,425 | 0.97 (6) | 0.98 | 2.88 | 55 |
— | 4.78 | 3.07 (7) | 925,677 | 1.00 (6)(7) | 1.01 | 3.04 (7) | 69 |
0.09 | 4.78 | 4.90 | 1,307,484 | 1.00 (6)(8) | 1.01 | 3.19 | 53 |
(0.15) | 4.69 | (0.23) | 1,575,629 | 0.97 (6) | 0.97 | 3.15 | 37 |
0.07 | $4.78 | 4.31 % | $575,524 | 1.21 % (6) | 1.21 % | 2.78 % | 58 % |
(0.13) | 4.71 | (0.18) | 1,039,109 | 1.20 (6) | 1.21 | 2.66 | 55 |
— | 4.84 | 2.78 (7) | 1,266,378 | 1.25 (6)(7) | 1.25 | 2.80 (7) | 69 |
0.09 | 4.84 | 4.58 | 1,321,202 | 1.25 (6)(8) | 1.26 | 2.94 | 53 |
(0.14) | 4.75 | (0.27) | 1,460,120 | 1.22 (6) | 1.22 | 2.90 | 37 |
0.07 | $4.77 | 3.80 % | $195,185 | 1.71 % (6) | 1.72 % | 2.28 % | 58 % |
(0.13) | 4.70 | (0.68) | 304,444 | 1.70 (6) | 1.71 | 2.16 | 55 |
— | 4.83 | 2.28 (7) | 377,835 | 1.75 (6)(7) | 1.75 | 2.30 (7) | 69 |
0.10 | 4.83 | 4.29 | 489,924 | 1.75 (6)(8) | 1.76 | 2.44 | 53 |
(0.15) | 4.73 | (0.98) | 583,694 | 1.72 (6) | 1.72 | 2.40 | 37 |
0.06 | $4.72 | 4.66 % | $4,695,968 | 0.72 % (6) | 0.72 % | 3.26 % | 58 % |
(0.13) | 4.66 | 0.32 | 4,981,559 | 0.71 (6) | 0.71 | 3.16 | 55 |
0.01 | 4.79 | 3.54 (7) | 4,811,684 | 0.75 (6)(7) | 0.76 | 3.30 (7) | 69 |
0.09 | 4.78 | 5.16 | 4,033,610 | 0.75 (6)(8) | 0.76 | 3.44 | 53 |
(0.15) | 4.69 | 0.02 | 4,095,547 | 0.72 (6) | 0.72 | 3.40 | 37 |
0.07 | $4.72 | 4.96 % | $6,408 | 0.55 % | 0.65 % | 3.42 % | 58 % |
(0.13) | 4.65 | 0.38 | 3,161 | 0.59 (9) | 0.65 | 3.29 | 55 |
0.02 | 4.78 | 3.54 (7) | 2,533 | 0.70 (7) | 0.71 | 3.05 (7) | 69 (11) |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | Not annualized for periods less than one year. |
(4) | Annualized for periods less than one year. |
(5) | 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. |
(6) | The share class is currently under its expense limitation. |
(7) | 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 and increase the Ratio of Net Investment Income (Loss) 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%. |
(8) | Net expense ratio includes extraordinary proxy expenses. |
(9) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(10) | Inception date. |
(11) | Portfolio turnover is representative of the Fund for the entire period. |
September 30, 2019
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. |
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 REITs 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 their 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 Fund’s intention 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, 2019, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 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 that 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 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. | 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 when-issued and forward commitment securities on the trade date. The Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment 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 leveraged loan. The 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, 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 leveraged loan 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 prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
At September 30, 2019, the Fund had the following unfunded loan commitment: |
Borrower | Unfunded Loan Commitment | |
CSC Holdings LLC | $230 | |
NCR Corp. | 1,302 | |
Pacific Gas and Electric | 1,909 |
I. | Regulation S-X |
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 Statements of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statements of Changes in Net Assets. Certain prior year amounts have been reclassified for consistency with the current year presentation (see footnotes on Statements of Changes in Net Assets for separate disclosure). These reclassifications have no effect on total net assets, total distributions, the statement of operations, financial highlights, net asset value or total return. | |
J. | 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. | |
Securities lending transactions are entered into by the Fund under Master Securities Lending Agreements (“MSLA”) which permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. |
At September 30, 2019, the securities loaned were subject to a MSLA on a net payment basis as follows: |
Value of Securities on loan | Cash Collateral Received(1) | Net Amount(2) | ||
20,889 | $ 20,889 | $— |
(1) | Collateral with a value of $21,965 has been received in connection with securities lending transactions. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
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 through $2 Billion | $2+ Billion through $10 Billion | Over $10 Billion | |||
0.55 % | 0.50 % | 0.45 % | 0.425% |
B. | Subadviser |
Newfleet Asset Management, LLC (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 Limits and Fee Waivers |
The Adviser has contractually agreed to limit the Fund’s total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following percentages of the Fund’s average net asset values through January 31, 2020. 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. |
Class A | Class C | Class C1 | Class I | Class R6 | ||||
1.10 %* | 1.35 %* | 1.85 %* | 0.85 %* | 0.55 % |
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 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 | 2022 | Total | |||
Class R6 | $ 2 | $5 | $7 | ||
E. | Distributor |
($ 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, 2019, it retained net commissions of $18 for Class A shares, and CDSC of $30, $6 and $6 for Class A shares, Class C shares, and Class C1 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 following annual rates: 0.25% for Class A shares , 0.50% for Class C shares, and 1.00% for Class C1 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 |
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, 2019, the Fund incurred administration fees totaling $6,136 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, 2019, the Fund incurred transfer agent fees totaling $2,745 which are included in the Statement of Operations within the line items “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Investments in Affiliates |
A summary of total long-term and short-term purchases and sales of the affiliated fund, during the period ended September 30, 2019, 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—0.0% | |||||||||||||||||
Virtus Newfleet Credit Opportunities Fund Class R6* | $67,585 | $— | $65,260 | $(4,605) | $2,280 | $— | — | $2,324 | $— |
* | The Virtus Newfleet Credit Opportunities Fund liquidated on April 26, 2019. |
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, 2019. |
Purchases | Sales | |
$3,082,572 | $3,668,341 |
Purchases | Sales | |
$639,609 | $801,860 |
% of Shares Outstanding | Number of Accounts | |
34% | 2* |
* | The shareholders are not affiliated with Virtus. |
Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | |||
$14 | $14,000 | 3.67% | 10 |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 6,303,067 | $ 95,872 | $ (56,609) | $ 39,263 |
No Expiration | Total | |||||||
Short-Term | Long-Term | Short-Term | Long-Term | |||||
$57,923 | $74,292 | $57,923 | $74,292 |
Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Deferred | Capital Loss Recognized | |||
$ — | $ — | $ 44,562 | $ — |
Year Ended | Year Ended | ||
2019 | 2018 | ||
Ordinary Income | $181,291 | $205,141 | |
Return of Capital | 21,024 | 8,565 | |
Total | $202,315 | $213,706 |
Capital Paid in on Shares of Beneficial Interest | Accumulated Earnings (Loss) | |
$ (4,216) | $ 4,216 |
Philadelphia, Pennsylvania
QDI | DRD | LTCG | |||
—% | —% | $— |
(800) 243-4361.
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 67 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 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 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 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). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 67 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 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (56 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 ( since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2016 67 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 (56 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 67 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 (56 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 67 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 (56 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. |
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 75 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 MLP and Midstream Energy 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 (56 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 71 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 (56 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2000 71 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 MLP and Midstream Energy 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 (56 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2000 67 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 (56 portfolios). |
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; and 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 MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013),Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (4 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 (56 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter YOB: 1970 | Senior Vice President (since 2017), Vice President (2008 to 2017). | Senior Vice President, Product Development (since 2017), and Vice President, Product Development (2008 to 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2008) with Virtus affiliates; Senior Vice President (since 2017), and Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), and Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), and Vice President (2013 to 2016), Virtus Alternative Solutions Trust; and Senior Vice President (since 2017) and Vice President (2016 to 2017), Virtus Closed-End Funds. |
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), and 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), 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 and Midstream Energy 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. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of 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), and Assistant Secretary (2013 to 2014 and since 2017), 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), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy 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 and Chief Compliance Officer (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 MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Virtus Closed-End Funds; 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 and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; and Executive Vice President (since 2017), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Accounting Firm
Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
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.
please contact us at1-800-243-1574, orVirtus.com.
8010 | 11-19 |
Virtus Vontobel Emerging Markets Opportunities Fund |
Message to Shareholders | 1 |
Disclosure of Fund Expenses | 2 |
Key Investment Terms | 4 |
Fund Summary | 6 |
Schedule of Investments | 12 |
Statement of Assets and Liabilities | 15 |
Statement of Operations | 17 |
Statements of Changes in Net Assets | 18 |
Financial Highlights | 20 |
Notes to Financial Statements | 23 |
Report of Independent Registered Public Accounting Firm | 36 |
Tax Information Notice | 37 |
Results of Shareholder Meeting | 38 |
Fund Management Tables | 39 |
President, Virtus Funds
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 997.19 | 1.55 % | $ 7.76 | |||
Class C | 1,000.00 | 994.19 | 2.23 | 11.15 | |||
Class I | 1,000.00 | 998.19 | 1.22 | 6.11 | |||
Class R6 | 1,000.00 | 1,000.00 | 0.98 | 4.91 |
* | 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. |
Beginning Account Value April 1, 2019 | Ending Account Value September 30, 2019 | Annualized Expense Ratio | Expenses Paid During Period* | ||||
Class A | $ 1,000.00 | $ 1,017.30 | 1.55 % | $ 7.84 | |||
Class C | 1,000.00 | 1,013.89 | 2.23 | 11.26 | |||
Class I | 1,000.00 | 1,018.95 | 1.22 | 6.17 | |||
Class R6 | 1,000.00 | 1,020.16 | 0.98 | 4.96 |
* | 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. |
September 30, 2019
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, 2019, the Fund’s Class A shares at NAV returned 5.64%, Class C shares at NAV returned 4.93%, Class I shares at NAV returned 5.91% and Class R6 shares at NAV returned 6.11%. For the same period, the MSCI Emerging Markets Index (net), which serves as both the broad-based and style-specific index appropriate for comparison returned -2.02%. |
Financials | 29% |
Consumer Staples | 25 |
Communication Services | 13 |
Consumer Discretionary | 12 |
Information Technology | 12 |
Utilities | 4 |
Industrials | 3 |
Other (includes securities lending collateral) | 2 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 5.64 % | 2.55 % | 6.11 % | — % | — | |||||||
Class A shares at POP3,4 | -0.44 | 1.34 | 5.49 | — | — | |||||||
Class C shares at NAV2 and with CDSC4 | 4.93 | 1.81 | 5.35 | — | — | |||||||
Class I shares at NAV2 | 5.91 | 2.83 | 6.40 | — | — | |||||||
Class R6 shares at NAV2 | 6.11 | — | — | 2.64 | 11/12/14 | |||||||
MSCI Emerging Markets Index (net) | -2.02 | 2.33 | 3.37 | 2.55 5 | — | |||||||
Fund Expense Ratios6: Class A shares: 1.58%; Class C shares: 2.25%; Class I shares: 1.23%; Class R6: Gross 1.15%, Net 0.98%. |
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 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 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 28, 2019, 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 a contractual expense limitation in effect through March 31, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
September 30, 2019
Shares | Value | ||
Common Stocks—98.0% | |||
Communication Services—12.7% | |||
Bharti Infratel Ltd. (India) | 18,850,004 | $68,438 | |
NCSoft Corp. (South Korea) | 261,773 | 114,019 | |
NetEase, Inc. ADR (China) | 617,424 | 164,346 | |
Telekomunikasi Indonesia Persero Tbk PT (Indonesia) | 575,627,387 | 174,777 | |
Tencent Holdings Ltd. (China) | 6,787,637 | 285,961 | |
Zee Entertainment Enterprises Ltd. (India) | 21,322,110 | 79,880 | |
887,421 | |||
Consumer Discretionary—12.0% | |||
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 2,320,777 | 388,104 | |
Eicher Motors Ltd. (India) | 256,963 | 64,415 | |
Lojas Renner S.A. (Brazil) | 7,253,724 | 87,936 | |
Naspers Ltd. Class N (South Africa) | 538,579 | 81,615 | |
Prosus NV (Netherlands)(1) | 538,579 | 39,536 | |
Sands China Ltd. (China) | 7,614,733 | 34,490 | |
Yum China Holdings, Inc. (China) | 3,133,571 | 142,358 | |
838,454 | |||
Consumer Staples—23.8% | |||
Ambev S.A. ADR (Brazil) | 62,212,455 | 287,422 | |
Anheuser-Busch InBev NV (Belgium) | 1,796,500 | 171,177 | |
CP ALL PCL (Thailand) | 30,707,676 | 81,325 | |
Fomento Economico Mexicano SAB de C.V. Sponsored ADR (Mexico) | 2,568,597 | 235,232 | |
Heineken NV (Netherlands) | 2,016,712 | 217,966 | |
ITC Ltd. (India) | 31,016,236 | 113,725 | |
LG Household & Health Care Ltd. (South Korea) | 67,089 | 73,306 |
Shares | Value | ||
Consumer Staples—continued | |||
Unilever NV (Netherlands) | 4,363,432 | $262,290 | |
Vietnam Dairy Products JSC (Vietnam) | 6,714,729 | 37,537 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 59,260,260 | 175,643 | |
1,655,623 | |||
Energy—0.7% | |||
Ultrapar Participacoes S.A. (Brazil) | 11,030,527 | 49,060 | |
Financials—28.8% | |||
B3 SA - Brasil Bolsa Balcao (Brazil) | 6,478,663 | 68,327 | |
Bancolombia SA Sponsored ADR (Colombia) | 2,217,942 | 109,677 | |
Bank Central Asia Tbk PT (Indonesia) | 60,848,325 | 130,098 | |
Bank Polska Kasa Opieki SA (Poland) | 2,625,758 | 67,050 | |
Bank Rakyat Persero Tbk PT (Indonesia) | 442,865,798 | 128,539 | |
Credicorp Ltd. (Peru) | 488,647 | 101,854 | |
HDFC Bank Ltd. (India) | 20,569,008 | 356,256 | |
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)(2) | 3,116,437 | 91,453 | |
Housing Development Finance Corp., Ltd. (India) | 6,695,380 | 186,783 | |
Itau Unibanco Holding SA Sponsored ADR (Brazil) | 21,586,997 | 181,547 | |
Kasikornbank PCL (Thailand) | 25,454,966 | 130,666 | |
Malayan Banking Bhd (Malaysia) | 29,565,400 | 60,091 | |
Public Bank Bhd (Malaysia) | 21,736,125 | 104,242 | |
Samsung Fire & Marine Insurance Co., Ltd. (South Korea) | 559,587 | 104,325 |
Shares | Value | ||
Financials—continued | |||
United Overseas Bank Ltd. (Singapore) | 9,800,285 | $181,945 | |
2,002,853 | |||
Industrials—2.9% | |||
Grupo Aeroportuario del Pacifico SAB de C.V. Class B (Mexico) | 3,940,805 | 38,034 | |
Techtronic Industries Co., Ltd. (Hong Kong) | 23,443,070 | 163,163 | |
201,197 | |||
Information Technology—12.0% | |||
HCL Technologies Ltd. (India) | 11,538,518 | 175,938 | |
SK Hynix, Inc. (South Korea) | 2,992,353 | 205,636 | |
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 19,026,721 | 166,812 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 1,684,171 | 78,280 | |
Tata Consultancy Services Ltd. (India) | 7,131,858 | 211,263 | |
837,929 | |||
Real Estate—1.3% | |||
Link REIT (Hong Kong) | 8,025,815 | 88,525 | |
Utilities—3.8% | |||
Equatorial Energia S.A. (Brazil) | 3,118,052 | 75,367 | |
Infraestructura Energetica Nova SAB de C.V. (Mexico) | 17,617,215 | 70,107 | |
Power Grid Corp. of India Ltd. (India) | 42,225,134 | 118,598 | |
264,072 | |||
Total Common Stocks (Identified Cost $6,275,097) | 6,825,134 | ||
Shares | Value | ||
Warrant—1.4% | |||
Consumer Staples—1.4% | |||
Wuliangye Yibin Co., Ltd. (China) | 5,072,296 | $92,275 | |
Total Warrant (Identified Cost $75,648) | 92,275 | ||
Total Long-Term Investments—99.4% (Identified Cost $6,350,745) | 6,917,409 | ||
Securities Lending Collateral—0.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.854%)(3)(4) | 1,237,023 | 1,237 | |
Total Securities Lending Collateral (Identified Cost $1,237) | 1,237 | ||
TOTAL INVESTMENTS—99.4% (Identified Cost $6,351,982) | $6,918,646 | ||
Other assets and liabilities, net—0.6% | 44,434 | ||
NET ASSETS—100.0% | $6,963,080 |
Abbreviations: | |
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | All or a portion of security is on loan. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(4) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
India | 20% |
China | 16 |
Brazil | 11 |
Netherlands | 8 |
Mexico | 7 |
South Korea | 7 |
Indonesia | 6 |
Other | 25 |
Total | 100% |
† % of total investments as of September 30, 2019. |
Total Value at September 30, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $6,825,134 | $6,825,134 | $— | ||
Warrant | 92,275 | — | 92,275 | ||
Securities Lending Collateral | 1,237 | 1,237 | — | ||
Total Investments | $6,918,646 | $6,826,371 | $92,275 |
September 30, 2019
Assets | |
Investment in securities at value(1)(2) | $6,918,646 |
Foreign currency at value(3) | 4,954 |
Cash | 99,231 |
Receivables | |
Investment securities sold | 21,734 |
Fund shares sold | 7,917 |
Dividends | 5,277 |
Tax reclaims | 1,997 |
Securities lending income | 11 |
Prepaid Trustees’ retainer | 129 |
Prepaid expenses | 154 |
Other assets | 569 |
Total assets | 7,060,619 |
Liabilities | |
Payables | |
Fund shares repurchased | 4,911 |
Investment securities purchased | 78,374 |
Foreign capital gains tax | 3,754 |
Collateral on securities loaned | 1,237 |
Investment advisory fees | 5,514 |
Distribution and service fees | 216 |
Administration and accounting fees | 602 |
Transfer agent and sub-transfer agent fees and expenses | 1,948 |
Professional fees | 45 |
Trustee deferred compensation plan | 569 |
Other accrued expenses | 369 |
Total liabilities | 97,539 |
Net Assets | $6,963,080 |
Net Assets Consist of: | |
Common stock $0.001 par value | $634 |
Capital paid in on shares of beneficial interest | 6,478,717 |
Accumulated earnings (loss) | 483,729 |
Net Assets | $6,963,080 |
Net Assets: | |
Class A | $479,456 |
Class C | $135,668 |
Class I | $6,228,010 |
Class R6 | $119,946 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class A | 45,039,818 |
Class C | 13,212,190 |
Class I | 564,528,839 |
Class R6 | 10,861,149 |
Net Asset Value and Redemption Price Per Share: | |
Class A | $10.65 |
Class C | $10.27 |
Class I | $11.03 |
Class R6 | $11.04 |
Maximum Offering Price per Share (NAV/(1-5.75%*)): | |
Class A | $11.30 |
* Maximum sales charge | |
(1)Investment in securities at cost | $6,351,982 |
(2) Market value of securities on loan | $1,177 |
(3) Foreign currency at cost | $4,975 |
YEAR ENDED September 30, 2019
Investment Income | |
Dividends | $201,646 |
Security lending, net of fees | 212 |
Foreign taxes withheld | (11,260) |
Total investment income | 190,598 |
Expenses | |
Investment advisory fees | 65,096 |
Distribution and service fees, Class A | 1,273 |
Distribution and service fees, Class C | 1,644 |
Administration and accounting fees | 7,104 |
Transfer agent fees and expenses | 2,915 |
Sub-transfer agent fees and expenses, Class A | 943 |
Sub-transfer agent fees and expenses, Class C | 192 |
Sub-transfer agent fees and expenses, Class I | 6,724 |
Printing fees and expenses | 478 |
Professional fees | 140 |
Interest expense | 33 |
Registration fees | 142 |
Trustees’ fees and expenses | 562 |
Miscellaneous expenses | 696 |
Total expenses | 87,942 |
Less expenses reimbursed and/or waived by investment adviser(1) | (118) |
Less low balance account fees | —(2) |
Net expenses | 87,824 |
Net investment income (loss) | 102,774 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 34,764 |
Foreign currency transactions | 1,763 |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 204,650 |
Foreign currency transactions | (93) |
Net realized and unrealized gain (loss) on investments | 241,084 |
Net increase (decrease) in net assets resulting from operations | $343,858 |
(1) | See Note 3D in the Notes to Financial Statements. |
(2) | Amount is less than $500. |
Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $102,774 | $71,181 | |
Net realized gain (loss) | 36,527 | 593,573 | |
Net change in unrealized appreciation (depreciation) | 204,557 | (1,087,258) | |
Increase (decrease) in net assets resulting from operations | 343,858 | (422,504) | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (16,597) | (1,486)(1) | |
Class C | (4,721) | — | |
Class I | (209,847) | (29,806)(1) | |
Class R6 | (3,906) | (580)(1) | |
Total Dividends and Distributions to Shareholders | (235,071) | (31,872) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class A (13,820 and 14,839 shares, respectively) | 141,802 | 170,071 | |
Class C (1,150 and 2,402 shares, respectively) | 11,447 | 26,872 | |
Class I (155,904 and 139,649 shares, respectively) | 1,683,600 | 1,645,535 | |
Class R6 (3,183 and 5,411 shares, respectively) | 34,320 | 64,324 | |
Net assets from merger(2): | |||
Class R6 (2,289 and — shares, respectively) | 24,973 | — | |
Reinvestment of distributions: | |||
Class A (1,476 and 112 shares, respectively) | 13,991 | 1,286 | |
Class C (479 and — shares, respectively) | 4,405 | — | |
Class I (18,775 and 2,299 shares, respectively) | 183,998 | 27,363 | |
Class R6 (346 and 48 shares, respectively) | 3,402 | 573 | |
Shares repurchased and cross class conversions: | |||
Class A ((22,963) and (25,904) shares, respectively) | (236,775) | (292,626) | |
Class C ((6,551) and (4,197) shares, respectively) | (65,681) | (45,703) | |
Class I ((204,994) and (173,663) shares, respectively) | (2,169,445) | (2,039,773) | |
Class R6 ((6,589) and (4,836) shares, respectively) | (69,215) | (56,887) | |
Increase (decrease) in net assets from capital transactions | (439,178) | (498,965) | |
Net increase (decrease) in net assets | (330,391) | (953,341) | |
Net Assets | |||
Beginning of period | 7,293,471 | 8,246,812 | |
End of Period | $6,963,080 | $7,293,471 | |
Accumulated undistributed net investment income (loss) at end of period | N/A | $60,938 |
(1) | For the year ended September 30, 2018, distributions to shareholders were from net investment income. |
(2) | See Note 12 in Notes to Financial Statements. |
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 | |||||||
10/1/18 to 9/30/19 | $10.44 | 0.12 | 0.42 | 0.54 | (0.06) | (0.27) | (0.33) |
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(6) | 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) |
Class C | |||||||
10/1/18 to 9/30/19 | $10.08 | 0.04 | 0.42 | 0.46 | — | (0.27) | (0.27) |
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(6) | 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) |
Class I | |||||||
10/1/18 to 9/30/19 | $10.82 | 0.17 | 0.42 | 0.59 | (0.11) | (0.27) | (0.38) |
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(6) | 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) |
Class R6 | |||||||
10/1/18 to 9/30/19 | $10.82 | 0.19 | 0.42 | 0.61 | (0.12) | (0.27) | (0.39) |
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(6) | 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(9) to 12/31/14 | 10.42 | (0.01) | (0.45) | (0.46) | (0.06) | (0.01) | (0.07) |
Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate |
0.21 | $10.65 | 5.64 % | $479,456 | 1.57 % | 1.57 % | 1.20 % | 30 % |
(0.67) | 10.44 | (5.83) | 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 (7) | 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 |
0.19 | $10.27 | 4.93 % | $135,668 | 2.25 % | 2.25 % | 0.41 % | 30 % |
(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 (7) | 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 |
0.21 | $11.03 | 5.91 % | $6,228,010 | 1.25 % | 1.25 % | 1.56 % | 30 % |
(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 (7) | 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 |
0.22 | $11.04 | 6.11 % | $119,946 | 1.03 % (8) | 1.13 % | 1.80 % | 30 % |
(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 (7) | 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 (10) |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | 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. |
(6) | The Fund changed its fiscal year end to September 30 during the period. |
(7) | Net expense ratio includes extraordinary proxy expenses. |
(8) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(9) | Inception date. |
(10) | Portfolio turnover is representative of the Fund for the entire year ended December 31, 2014. |
September 30, 2019
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 and out of Level 3 at the end of the reporting period. |
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 REITs 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 their 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 Fund’s intention 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, |
2019, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2016 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 that 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 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. | Regulation S-X |
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 Statements of Changes in Net Assets; and state the book basis amount of undistributed net investment income on the Statements of Changes in Net Assets. Certain prior year amounts have been reclassified for consistency with the current year presentation (see footnotes on Statements of Changes in Net Assets for separate disclosure). These reclassifications have no effect on total net assets, total distributions, the statement of operations, financial highlights, net asset value or total return. | |
H. | 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. | |
Securities lending transactions are entered into by the Fund under Master Securities Lending Agreements (“MSLA”) which permit the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
At September 30, 2019, the securities loaned were subject to a MSLA on a net payment basis as follows: |
Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | ||
$ 1,177 | $ 1,177 | $— |
(1) | Collateral with a value of $1,237 has been received in connection with securities lending transactions. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
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 | Over $1 Billion | |
1.00 % | 0.95 % |
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. | Expense Limitation |
Effective January 28, 2019, the Adviser has contractually agreed to limit the Fund’s total operating expenses, subject to the exceptions listed below, so that such expenses do |
not exceed, on an annualized basis, 0.98% of average daily net assets for Class R6 shares through March 31, 2021. Following the contractual period, the Adviser may discontinue this expense reimbursement arrangement at any time. The waivers and reimbursements are calculated daily and received monthly. | |
From January 28, 2019 through September 24, 2019, the exclusions included 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). As of September 25, 2019, the exclusions include front-end or contingent deferred loads, taxes, leverage and borrowing expenses (such as commitment, amendment and renewal expenses on credit or redemption facilities), 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. | |
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 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 | |
2022 | |
Class R6 | $118 |
E. | Distributor |
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, 2019, it retained net commissions of $22 for Class A shares and CDSC of $3 for Class A and $14 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 following 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. | |
F. | Administrator and Transfer Agent |
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, 2019, the Fund incurred administration fees totaling $6,482 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, 2019, the Fund incurred transfer agent fees totaling $2,900 which are included in the Statement of Operations within the line items “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | 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, 2019. |
Purchases | Sales | |
$2,015,396 | $2,370,869 |
% of Shares Outstanding | Number of Accounts | |
49% | 2* |
* | The shareholders are not affiliated with Virtus. |
Sector | Percentage of Total Investments | |
Financials | 29% | |
Consumer Staples | 25 |
Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | |||
$23 | $38,167 | 3.60% | 6 |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$ 6,417,328 | $ 1,033,408 | $ (532,090) | $ 501,318 |
No Expiration | Total | |||||||
Short-Term | Long-Term | Short-Term | Long-Term | |||||
$70,654 | $70,940 | $70,654 | $70,940 |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | |
$113,519 | $15,029 |
Year Ended | Year Ended | ||
2019 | 2018 | ||
Ordinary Income | $63,071 | $31,872 | |
Long-Term Capital Gains | 172,000 | — |
Year Ended | Year Ended | ||
2019 | 2018 | ||
Total | $235,071 | $31,872 |
Capital Paid in on Shares of Beneficial Interest | Accumulated Earnings (Loss) | |
$ 142,213 | $ (142,213) |
Merged Fund | Shares Outstanding | Acquiring Fund | Shares Converted | Merged Fund Net Asset Value of Converted Shares | ||||
Vontobel Global Emerging Markets Equity Institutional Fund | Class I Shares 2,394,040 | Vontobel Emerging Markets Opportunities Fund | Class R6 Shares 2,288,639 | $24,973 |
Merged Fund | Net Assets | Unrealized Appreciation (Depreciation) | Acquiring Fund | Net Assets | ||||
Vontobel Global Emerging Markets Equity Institutional Fund | $24,973 | 1,877 | Vontobel Emerging Markets Opportunities Fund | $97,783 |
Net investment income (loss) | $102,795(a) |
Net realized and unrealized gain (loss) on investments | 242,422(b) |
Net increase (decrease) in net assets resulting from operations | $345,217 |
Philadelphia, Pennsylvania
QDI | DRD | LTCG | ||
100% | — % | $ 40,108 |
Proposal 1. | |||
Number of Eligible Votes: | FOR | AGAINST | ABSTAIN | |||
To consider and act upon an Agreement and Plan of Reorganization (the “Plan”) providing for the acquisition of all of the property and assets of Vontobel Emerging Markets Fund by Virtus Vontobel Emerging Markets Opportunities Fund (“Virtus Emerging Markets Fund”), a series of Virtus Opportunities Trust, in exchange solely for shares of Virtus Emerging Markets Fund and the assumption by Virtus Emerging Markets Fund of all of the liabilities of Vontobel Emerging Markets Fund. | 1,212,664.815 | 5,705.310 | 0.000 |
(800) 243-4361.
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 67 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 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 71 Portfolios | Retired. Trustee (since 2016), Virtus Mutual Fund Family (56 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). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 67 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 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (56 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 ( since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2016 67 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 (56 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 67 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 (56 portfolios); Director (since 2010), Barnes Group, Inc. (diversified global components manufacturer and logistical services company); and Trustee (since 2008), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 67 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 (56 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. |
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 75 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 MLP and Midstream Energy 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 (56 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2001 71 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 (56 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2000 71 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 MLP and Midstream Energy 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 (56 portfolios). |
Segerson, Richard E. YOB: 1946 Served Since: 2000 67 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 (56 portfolios). |
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; and 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 MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013),Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (4 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 (56 portfolios); and Director, President and Chief Executive Officer (since 2006), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter YOB: 1970 | Senior Vice President (since 2017), Vice President (2008 to 2017). | Senior Vice President, Product Development (since 2017), and Vice President, Product Development (2008 to 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2008) with Virtus affiliates; Senior Vice President (since 2017), and Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017), and Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017), and Vice President (2013 to 2016), Virtus Alternative Solutions Trust; and Senior Vice President (since 2017) and Vice President (2016 to 2017), Virtus Closed-End Funds. |
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), and 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), 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 and Midstream Energy 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. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of 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), and Assistant Secretary (2013 to 2014 and since 2017), 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), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy 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 and Chief Compliance Officer (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 MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President (since 2018), Virtus Closed-End Funds; 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 and Midstream Energy Fund Inc.; Director (since 2013), Virtus Global Funds PLC; Executive Vice President (since 2013), Virtus Alternative Solutions Trust; and Executive Vice President (since 2017), Virtus Global Dividend & Income Fund Inc. and Virtus Total Return Fund Inc. |
Accounting Firm
Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
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.
please contact us at1-800-243-1574, orVirtus.com.
8004 | 11-19 |
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. |
(c) | 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 FormN-CSR. |
(d) | 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 FormN-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 FormN-CSR. |
(a)(3) | Not applicable. |
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 statementmust 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 $473,550 for 2018 and $445,400 for 2019. |
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 $74,539 for 2018 and $63,579 for 2019. 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 $84,825 for 2018 and $81,628 for 2019. |
“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 ofyear-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 2018 and $0 for 2019. |
(e)(1) | Disclose the audit committee’spre-approval policies and procedures described in paragraph (c)(7) of Rule2-01 of RegulationS-X. |
The Virtus Opportunities Trust (the “Fund”) Board has adopted policies and procedures with regard to thepre-approval of services provided by PwC. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specificpre-approval by the Audit Committee. The Audit Committee must approve othernon-audit services provided to the Fund and thosenon-audit services provided to the Fund’s Affiliated Service Providers that relate directly to the operations and financial reporting of the Fund. Certain of thesenon-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 auditors may be approved by the Audit Committee without consideration on a specificcase-by-case basis (“generalpre-approval”).
The Audit Committee has determined that Thomas J. Brown, Chair of the Audit Committee, may providepre-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 generalpre-approval at the next regularly scheduledin-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 Rule2-01 of RegulationS-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 aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-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 $159,364* for 2018 and $145,207 for 2019.
*Prior year fees were restated to removenon-audit fees paid by affiliated registrants not requested by the item.
(h) | The registrant’s audit committee of the board of directorshas considered whether the provision ofnon-audit services that were rendered to the registrant’s investment adviser (not including anysub-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 notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-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. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-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 RegulationS-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR240.14a-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 Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-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 Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities forClosed-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 Rule30a-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 Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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 | 12/6/2019 |
|
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 | 12/6/2019 |
|
By (Signature and Title)* | /s/ W. Patrick Bradley |
| ||
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer | ||||
(principal financial officer) |
Date | 12/6/2019 |
|
* Print the name and title of each signing officer under his or her signature.