New York, New York 10104-0002
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Class R6 Shares
Global Allocation Fund
Hedged Option Premium Strategy Fund
Long Short Fund
Long Short Credit Fund
Multi-Asset Income Fund
Risk Balanced Commodity Strategy Fund
U.S. Equity Index PutWrite Strategy Fund
Semi-Annual Report
April 30, 2018
Contents
THE FUNDS | |||||||
President's Letter | 1 | ||||||
PORTFOLIO COMMENTARY | |||||||
Global Allocation Fund | 2 | ||||||
Hedged Option Premium Strategy Fund | 4 | ||||||
Long Short Fund | 7 | ||||||
Long Short Credit Fund | 9 | ||||||
Multi-Asset Income Fund | 11 | ||||||
Risk Balanced Commodity Strategy Fund | 13 | ||||||
U.S. Equity Index PutWrite Strategy Fund | 15 | ||||||
FUND EXPENSE INFORMATION | 21 | ||||||
SCHEDULE OF INVESTMENTS | |||||||
Global Allocation Fund | 23 | ||||||
Positions by Industry | 30 | ||||||
Hedged Option Premium Strategy Fund | 43 | ||||||
Long Short Fund | 48 | ||||||
Long Short Credit Fund | 62 | ||||||
Multi-Asset Income Fund | 75 | ||||||
Risk Balanced Commodity Strategy Fund | 96 | ||||||
U.S. Equity Index PutWrite Strategy Fund | 103 | ||||||
FINANCIAL STATEMENTS | 106 | ||||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | |||||||
Global Allocation Fund | 158 | ||||||
Hedged Option Premium Strategy Fund | 160 | ||||||
Long Short Fund | 162 | ||||||
Long Short Credit Fund | 164 | ||||||
Multi-Asset Income Fund | 166 | ||||||
Risk Balanced Commodity Strategy Fund | 168 | ||||||
U.S. Equity Index PutWrite Strategy Fund | 170 |
Directory | 176 | ||||||
Proxy Voting Policies and Procedures | 177 | ||||||
Quarterly Portfolio Schedule | 177 |
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund names in this piece are either service marks or registered service marks of Neuberger Berman Investment Advisers LLC, an affiliate of Neuberger Berman BD LLC, distributor, member FINRA. ©2018 Neuberger Berman BD LLC, distributor. All rights reserved.
President's Letter
Dear Shareholder,
I am pleased to present this semi-annual shareholder report for Neuberger Berman Alternative and Multi-Asset Class Funds.
The global financial market generated mixed results over the six months ended April 30, 2018. Global equities posted strong returns over the first half of the reporting period, as corporate profits often exceeded expectations. In the U.S., investors viewed the December 2017 tax reform bill in a positive light, feeling it could further fuel the economy and corporate profits. However, a portion of those gains were lost in February and March 2018. This was partially due to concerns that the U.S. Federal Reserve (Fed) may raise interest rates more aggressively than previously anticipated. Fears of a global trade war also negatively impacted investor sentiment.
Meanwhile, the U.S. fixed income market generated weak results over the reporting period. In the U.S., yields moved higher as the Fed raised interest rates twice and started to reduce its balance sheet in a measured fashion. Elsewhere, central banks in developed countries outside the U.S. largely maintained their accommodative monetary policies. However, the European Central Bank, among others, indicated they may begin reducing policy accommodation later this year or in 2019.
All told, the U.S. equity market, as measured by the S&P 500® Index, gained 3.82% over the reporting period. International developed and emerging market equities also posted positive results. Meanwhile, the overall U.S. bond market, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, declined 1.87% during the period. Finally, inflation was fairly well contained over the period.
Looking ahead, we believe a structural shift to higher interest rates and an uptick in inflation may be occurring. Whether now or in the future, we believe that global central banks are more likely to raise rates, curtail asset purchases and shrink their balance sheets—an important reversal from years of highly accommodative policy to which markets have grown accustomed. Should inflation expectations increase, we anticipate that market volatility is likely to remain elevated relative to its record-low recent history. From an investment perspective, we have high conviction in our portfolio managers and continue to believe their portfolios are well positioned.
Thank you for your continued support and trust. We look forward to continue serving your investment needs in the years to come.
Sincerely,
ROBERT CONTI
PRESIDENT AND CEO
NEUBERGER BERMAN MUTUAL FUNDS
1
Global Allocation Fund Commentary (Unaudited)
Neuberger Berman Global Allocation Fund Institutional Class generated a 1.99% total return for the six month period ended April 30, 2018, underperforming its benchmark, a custom blend consisting of 60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Index (the Index), which provided a 2.67% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Global equities posted gains over the six month reporting period, extending the 2017 rally into the new year. Despite an improving global macroeconomic backdrop, the threat of rising inflation and the possibility of faster rate hikes by the U.S. Federal Reserve spooked global markets, which triggered a sharp sell-off in the first half of February. Although a v-shaped recovery in global markets ensued, rising interest rates and inflation expectations led to higher volatility and a more challenging environment for markets. The rise of anti-globalization rhetoric by the U.S. presidential administration through proposed tariffs, and the resulting threats of retaliation, sparked a wave of uncertainty across global trade relations. Despite the limited impact of the proposed actions within the context of total global trade and the overall GDP of the U.S. and China, broad concerns have overshadowed a positive global macroeconomic backdrop and healthy earnings growth projections. Fixed income sub-sectors struggled over the six month period ending April 30, 2018, in part due to higher Treasury yields as well as weaker credit markets.
Over the period, the Fund's allocations to equities and opportunistic investments added value, particularly non-U.S. developed market equity exposure. Within opportunistic investments, exposure to diversified commodities and systematic tactical asset allocation provided uncorrelated sources of return. The Fund was challenged in fixed income, particularly U.S. government agency mortgage-backed securities, and also posted losses from its strategy of selling (writing) put and call option spreads on U.S. equity indices.
Following the volatility of early February, we added to our options writing allocations in order to take advantage of the significantly higher premiums associated with the VIX at elevated levels. We increased the allocations to U.S. Treasury Inflation-Protected Securities and commodities, in line with our view that inflation will accelerate.
The Fund's aggregate use of futures, forward foreign currency, swap and option contracts contributed to performance during the reporting period.
Despite the challenges of the first quarter, we think global markets continue to be characterized by moderate growth, increasing inflation, and still-accommodative monetary policy, but are now within a more fragile overall economic regime and are facing increasing challenges from short-term volatility. We believe the strong fundamental underpinnings and economic momentum will carry through the first half of calendar 2018; consequently, we reiterate our bias towards equities, particularly non-U.S. equities, where we added exposure in early calendar Q2 2018. Within fixed income, we have increased exposure to interest rate duration given the recent rise in yields, but remain shorter-than-benchmark in our positioning. We are becoming cautious on credit markets, but maintain a constructive view on credit globally, despite the return of volatility.
We continue to believe that a flexible, multi-dimensional approach to a diversified portfolio is prudent. Our multi-asset class approach seeks to offer a global go-anywhere strategy that is complemented with uncorrelated sources of return and a risk framework at both the security and portfolio level, in addition to independent firm oversight.
Sincerely,
ERIK KNUTZEN, BRAD TANK AND AJAY JAIN
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
2
Global Allocation Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | NGLIX | ||||||
Class A | NGLAX | ||||||
Class C | NGLCX |
PERFORMANCE HIGHLIGHTS3
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2018 | |||||||||||||||||||||
Date | 04/30/2018 | 1 Year | 5 Year | Life of Fund | |||||||||||||||||||
At NAV | |||||||||||||||||||||||
Institutional Class | 12/29/2010 | 1.99 | % | 10.06 | % | 4.44 | % | 6.15 | % | ||||||||||||||
Class A | 12/29/2010 | 1.75 | % | 9.68 | % | 4.06 | % | 5.77 | % | ||||||||||||||
Class C | 12/29/2010 | 1.39 | % | 8.86 | % | 3.29 | % | 4.99 | % | ||||||||||||||
With Sales Charge | |||||||||||||||||||||||
Class A | –4.06 | % | 3.39 | % | 2.83 | % | 4.92 | % | |||||||||||||||
Class C | 0.42 | % | 7.86 | % | 3.29 | % | 4.99 | % | |||||||||||||||
Index | |||||||||||||||||||||||
60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Index1,2 | 2.67 | % | 10.11 | % | 5.69 | % | 5.97 | % | |||||||||||||||
MSCI All Country World Index (Net)1,2 | 3.56 | % | 14.16 | % | 8.80 | % | 8.40 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2017 were 4.03%, 4.53% and 5.27% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratios were 0.93%, 1.32% and 2.06% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2018 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
3
Hedged Option Premium Strategy Fund Commentary (Unaudited)
Neuberger Berman Hedged Option Premium Strategy Fund Institutional Class generated a total return of –3.52% for the six month period ending April 30, 2018, underperforming its primary benchmark, the CBOE S&P 500® Iron Condor Index (the Index), which generated a total return of –1.15% for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The Fund pursues an absolute return objective and is intended to experience limited correlation to broader equity markets. The Fund seeks to achieve its goal primarily through a strategy of selling (writing) put and call option spreads on U.S. indices, including the S&P 500® Index and the Russell 2000® Index, on exchange traded funds ("ETFs") or on equity securities, and through investments in fixed income instruments. The Fund attempts to generate returns through the receipt of premiums from selling put and call option spreads, as well as through investments in fixed income instruments. Collectively, these strategies are intended to reduce volatility relative to what it would be if the Fund held the underlying reference asset (e.g., the underlying index, ETF or security) on which the options are written. In an effort to diversify exposures and limit volatility, the Fund will sell put and call option spreads at varying strike prices and with varying expiration dates on various reference assets.
The Fund's fixed income collateral holdings of short-term U.S. Treasuries detracted modestly from returns as short-term U.S. Treasury bond yields increased over the period, with the two-year U.S. Treasury yield rising roughly 90 basis points to 2.49%.
After ending calendar year 2017 at near record low levels, many investors wondered how long it would be before the CBOE S&P 500 Volatility Index (VIX) would undergo one of its characteristic 'spikes'. It was never a question of 'if', only 'when', and we now know the 'when' was February 5th, 2018. On that day, the S&P 500 fell –4.10% and the VIX surged 116% from 17.3 to 37.3. If we include the prior Friday, February 2nd, the aggregate jump in VIX was 177% and the S&P 500 decline was –6.1% over two trading days. Yet, despite the catastrophic failure of a few volatility products and increased general investor agita, the S&P 500 ended the first quarter of 2018 down a modest –0.76% while remaining up 3.82% for the semi-annual fiscal period and up 13.27% for the last 12 months. The investment industry likes to assign catchy names to market events, e.g., "vol-pocalypse" or "vol-mageddon," and act as though these events are market aberrations. However, we believe these are inherent risks in volatility markets that can only be managed and never fully avoided.
We believe that the Fund's underperformance relative to the Index for the period has been largely due to our process of diversifying and rebalancing option exposures consistently over time in an effort to reduce the variability and limit path dependence of the Fund's passive benchmark. The Index's methodology of rolling option exposures only once per month leads to a greater dependence on market timing. The Fund's more diversified option spread exposures experienced losses during the notable equity market index price reversals during the first quarter. Specifically, the significant gains in the S&P 500 during January 2018 resulted in losses from the Fund's call spread writing, while losses during February and March generated losses from the Fund's put spread writing. While we believe the Index is representative of index option spread writing, in our opinion, its methodology leads to arbitrary market timing or exposure and can be improved. Over time we seek to achieve both a higher return and better risk efficiency than the Index.
We would like to reassure our investors that we do not believe the recent results of the Fund are the product of structural changes or tactical missteps. Rather, in our view, the challenges are just a function of systematic differences that we expect to 'average out' over longer-periods of time as they have historically. We intend for our strategies to complement investor asset allocations and seek to help reduce overall portfolio volatility levels by earning equity index option premiums and short-term interest income without directly holding equities.
We anticipate equity market volatility levels to remain at levels more consistent with their longer term levels, which are well above levels experienced in 2017. Further, after relatively strong earnings reports for the majority of U.S. companies we anticipate greater economic uncertainty in the coming quarters to contribute to increased levels of variability in
4
company earnings which may lead to increased levels of equity market volatility and reduction in equity return potential. In addition, risks associated with changes in interest rate policies (inflation expectations), increased global competition, geopolitics (e.g., Brexit, North Korea) remain. Combined with the higher levels of income potential of the Fund's collateral portfolio, we believe the relative attractiveness of the Fund's investment strategy continues to grow.
Sincerely,
DEREK DEVENS
PORTFOLIO MANAGER
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio manager. The opinions are as of the date of this report and are subject to change without notice.
5
Hedged Option Premium Strategy Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | NHOIX | ||||||
Class A | NHOAX | ||||||
Class C | NHOCX | ||||||
Class R6 | NHORX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |||||||
U.S. Treasury Obligations | 98.1 | % | |||||
Options Purchased | 0.1 | ||||||
Options Written | (0.8 | ) | |||||
Short-Term Investments | 1.5 | ||||||
Other Assets Less Liabilities | 1.1 | ||||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS3
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2018 | |||||||||||||||||
Date | 04/30/2018 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 04/12/2017 | –3.52 | % | –1.91 | % | –1.59 | % | ||||||||||||
Class A | 04/12/2017 | –3.70 | % | –2.26 | % | –1.92 | % | ||||||||||||
Class C | 04/12/2017 | –4.07 | % | –2.99 | % | –2.66 | % | ||||||||||||
Class R6 | 04/12/2017 | –3.45 | % | –1.81 | % | –1.50 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –9.24 | % | –7.88 | % | –7.31 | % | |||||||||||||
Class C | –5.02 | % | –3.95 | % | –2.66 | % | |||||||||||||
Index | |||||||||||||||||||
CBOE S&P 500 Iron Condor Index1,2 | –1.15 | % | –1.01 | % | –0.46 | % | |||||||||||||
S&P 500® Index1,2 | 3.82 | % | 13.27 | % | 13.99 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2017 are 5.26%, 5.89%, 6.60% and 5.19% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios for the fiscal period ended 2017are 0.68%, 1.04%, 1.79% and 0.61% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for fiscal year 2017 have been restated to reflect actual expenses excluding organization expenses incurred during that period. The expense ratios for the semi-annual period ended April 30, 2018 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
6
Long Short Fund Commentary (Unaudited)
Neuberger Berman Long Short Fund Institutional Class generated a 2.32% total return for the six months ended April 30, 2018, underperforming its primary benchmark, the HFRX Equity Hedge Index, which returned 2.54% for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Despite periods of volatility, the U.S. stock market generated a positive return during the reporting period. The market rallied over the first half of the period, as corporate profits generally exceeded expectations and due to optimism that the December 2017 tax reform bill would lead to accelerating growth. However, the market abruptly reversed course in February and March 2018. This turnaround was triggered by several factors, including fears that the U.S. Federal Reserve would take a more aggressive approach to raising interest rates, escalating trade war rhetoric and issues in the technology sector. All told, for the six months ended April 30, 2018, the S&P 500® Index gained 3.82%.
We maintained our constructive, albeit highly selective outlook during the reporting period. This was reflected in the Fund's net long exposure during the period. We believe that the Fund continues to remain constructively positioned for an ongoing economic recovery in the U.S. Against this backdrop, the Fund's largest sector weights were in Information Technology and Industrials.
We categorize our long investment exposure into three groups: Capital Growth, Total Return and Opportunistic. Capital Growth continues to represent our largest allocation followed by Total Return and Opportunistic. We continued to identify compelling opportunities in Capital Growth relative to Total Return, as higher interest rates could negatively impact longer duration assets and cash flows. The portfolio's short exposure includes both single name "Fundamental" shorts and "Market" shorts. During the period, equity long exposure increased against the backdrop of heightened market volatility and greater sector dispersion as fundamentals came back into focus while overall total shorts decreased. Market shorts that consist primarily of sector and market cap-specific indices to help manage broader portfolio exposures slightly decreased during the period.
Equity long exposure added to Fund performance, while Fundamental shorts detracted from performance during the period given the overall positive move in markets. Fixed income long exposure also detracted for performance, but was partly offset by Fixed income shorts, which added value.
The Fund's aggregate use of futures, option and swap contracts contributed to performance during the period.
We entered 2018 with a fairly constructive, albeit increasingly selective outlook for risk assets driven by solid global economic growth, lower corporate tax rates, repatriation of foreign earnings and the continued emergence of a more pro-business environment in the U.S. Despite the recent market gyrations, we believe the economic backdrop continues to look positive. Going forward, we think that the key market debate will revolve around how much of the tax driven earnings surge should be capitalized into the future and whether an increase in interest rates and greater trade restrictions will choke off economic activity. However, we believe the path and timing of these policies will continue to be announced in an erratic manner and therefore drive near-term market volatility. We believe this, in turn, may create more dispersion and potential opportunities, both long and short.
Sincerely,
CHARLES KANTOR AND MARC REGENBAUM
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
7
Long Short Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | NLSIX | ||||||
Class A | NLSAX | ||||||
Class C | NLSCX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets)
Long | Short | ||||||||||
Common Stocks | 78.9 | % | (12.0 | )% | |||||||
Convertible Bonds | 0.2 | — | |||||||||
Corporate Bonds | 4.1 | (0.8 | ) | ||||||||
Exchange Traded Funds | — | (2.8 | ) | ||||||||
Master Limited Partnerships | 1.1 | (0.2 | ) | ||||||||
Options Purchased | 0.2 | — | |||||||||
Preferred Stocks | 0.4 | — | |||||||||
Warrants | 0.1 | — | |||||||||
Short-Term Investments | 11.2 | — | |||||||||
Other Assets Less Liabilities | 19.6 | * | — | ||||||||
Total | 115.8 | % | (15.8 | )% |
* Includes the impact of the Fund's open positions in derivatives (other than Options Purchased), if any.
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2018 | |||||||||||||||||||||
Date | 04/30/2018 | 1 Year | 5 Year | Life of Fund | |||||||||||||||||||
At NAV | |||||||||||||||||||||||
Institutional Class | 12/29/2011 | 2.32 | % | 6.21 | % | 4.43 | % | 6.39 | % | ||||||||||||||
Class A | 12/29/2011 | 2.15 | % | 5.86 | % | 4.06 | % | 6.01 | % | ||||||||||||||
Class C | 12/29/2011 | 1.79 | % | 5.09 | % | 3.29 | % | 5.22 | % | ||||||||||||||
With Sales Charge | |||||||||||||||||||||||
Class A | –3.71 | % | –0.21 | % | 2.83 | % | 5.03 | % | |||||||||||||||
Class C | 0.79 | % | 4.09 | % | 3.29 | % | 5.22 | % | |||||||||||||||
Index | |||||||||||||||||||||||
HFRX Equity Hedge Index1,2 | 2.54 | % | 6.98 | % | 2.89 | % | 3.98 | % | |||||||||||||||
S&P 500® Index1,2 | 3.82 | % | 13.27 | % | 12.96 | % | 14.96 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2017 were 1.81%, 2.17% and 2.92% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios for the semi-annual period ended April 30, 2018 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
8
Long Short Credit Fund Commentary (Unaudited)
Neuberger Berman Long Short Credit Fund Institutional Class returned –1.35% for the six months ended April 30, 2018. The Fund underperformed its primary benchmark, the HRFX Fixed Income—Credit Index (the Index), which returned 0.18% for the same period. The Fund outperformed the Bloomberg Barclays U.S. Aggregate Bond Index, which returned –1.87%. (Performance for all share classes is provided in the table immediately following this letter.)
The six months ended April 2018 were, for corporate credit, dominated by the twin drivers of U.S. tax policy and the flow-through effects of fiscal deficits and growth. Against this backdrop, the continued rate hike cycle of the U.S. Federal Reserve as well as the discussion around the commencement of a change in European Central Bank policy also dominated market sentiment. From a fundamental perspective, companies appeared to be benefitting from synchronous global growth. In addition, capital markets were robust for new debt issuance, and the demand for yield globally continued. Volatility in risk markets increased over the period, ending what has been a historical period of low volatility. This increase in the volatility regime is something that we believe is here to stay for some period of time.
Performance in credit over the reporting period can be categorized into two periods. First, the end of 2017 was a continuation of the trends from earlier in the year of solid and consistent positive performance. Then, as the calendar turned, U.S. rates began to respond to the growth stimulus of the tax policy, and rate hikes. The 10-Year U.S. Treasury yield began to rise, ultimately moving from approximately 2.4% at the beginning of the period to above 3% near the end of April, before finishing at 2.95%. Rate increases caused corporate credit to perform poorly. Notwithstanding generally good corporate profitability, investor concerns about the length of the economic cycle against a backdrop of rising rates caused some investor concerns, and participants began to be more cautious.
We have had a cautious perspective on rates and have kept the duration in the Fund relatively short. This is, for now, not a perspective that we are likely to change. One of the benefits of our strategy is that we can take advantage of sell offs in credit as they occur. As the market weakened in February, on the long side, our strategy was to buy what we believe are money good credits, with a maturity of 3 years or less. Our perspective is that if we buy credits that we believe in, ultimately we will realize the yield and return. While we will no doubt be subject to some mark-to-market volatility, we believe that the short duration nature of these bonds should help them to perform somewhat defensively. On the short side, we kept in place our relative value and capital structure arbitrage trades that we have held since the end of 2017, as we continue to believe that these will work. One of the benefits of our strategy is the ability to take advantage of opportunities in a falling market and add to our risk when we believe that the market is oversold. In our view, the weakness in short duration credit was somewhat overdone and we added exposures on the long side.
The Fund's aggregate use of futures, forward foreign currency, swap, swaption and option contracts detracted from performance during the reporting period.
As we progress though the rest of the year, we believe that credit markets are likely to remain under pressure. We intend to remain defensively positioned from a credit and rate exposure, as well as from a leverage perspective. Furthermore, from the long side, we believe we have the correct amount of exposure. We intend to selectively add to capital structure and relative value short ideas, as and when the opportunities present. The summer has traditionally been a quiet time, but we believe that we are in a new regime and are excited about the opportunity that we believe lies ahead of us.
Sincerely,
RICK DOWDLE AND NORMAN MILNER
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
9
Long Short Credit Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | NLNIX | ||||||
Class A | NLNAX | ||||||
Class C | NLNCX | ||||||
Class R6 | NRLNX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |||||||
Common Stocks | 1.1 | % | |||||
Convertible Bonds | 1.1 | ||||||
Corporate Bonds | 108.7 | ||||||
Foreign Government Securities | 0.6 | ||||||
Loan Assignments | 9.3 | ||||||
Options Purchased | 0.0 | ||||||
Short Term Investments | 1.5 | ||||||
Liabilities Less Other Assets | (22.3 | )* | |||||
Total | 100.0 | % |
* Includes the impact of the Fund's open positions in derivatives (other than Options Purchased), if any.
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2018 | |||||||||||||||||
Date | 04/30/2018 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 06/29/2015 | –1.35 | % | 0.89 | % | 0.53 | % | ||||||||||||
Class A | 06/29/2015 | –1.60 | % | 0.54 | % | 0.18 | % | ||||||||||||
Class C | 06/29/2015 | –1.83 | % | –0.17 | % | –0.48 | % | ||||||||||||
Class R6 | 06/29/2015 | –1.31 | % | 0.95 | % | 0.60 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –5.80 | % | –3.76 | % | –1.33 | % | |||||||||||||
Class C | –2.80 | % | –1.14 | % | –0.48 | % | |||||||||||||
Index | |||||||||||||||||||
HFRX Fixed Income - Credit Index1,2 | 0.18 | % | 2.06 | % | 0.78 | % | |||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index1,2 | –1.87 | % | –0.32 | % | 1.83 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2017 were 1.99%, 2.43%, 3.15% and 1.96% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratios were 0.80%, 1.18%, 1.93% and 0.74% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2018 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 4.25% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
10
Multi-Asset Income Fund Commentary (Unaudited)
Neuberger Berman Multi-Asset Income Fund Institutional Class generated a 0.16% total return for the six month period ended April 30, 2018, underperforming its custom benchmark, a custom blend consisting of 60% Bloomberg Barclays U.S. Aggregate Bond Index and 40% S&P 500® Index (the Index), which provided a 0.46% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Global equity markets generated positive returns over the six month reporting period, though in early February a sharp selloff was triggered due to the threat of rising inflation and the possibility of faster rate hikes by the U.S. Federal Reserve. Risk-on assets recovered, but volatility levels were raised and led to a more challenging market environment. This was intensified by the U.S. presidential administration outlining its trade policy, starting with tariffs on steel and aluminum imports and continuing to actions targeting China. The rising rate environment led to negative performance from the REITs allocation; and despite strong fundamentals, MLPs suffered from negative sentiment attributed to reduced distributions, tax cut impact uncertainty and weaker asset class flows. Within fixed income, most subsectors struggled over the six month period, primarily due to Treasury yields moving higher, but also on account of weaker credit markets in the latter half of the reporting period. Emerging market debt was a bright spot with performance boosted by the stabilization of fundamentals.
The Fund's gains were primarily from its equity allocations, both in developed markets and emerging markets, which performed well over the time period. Additionally, value was added from emerging market debt, bank loans and TIPS, as well as through opportunistic strategies, namely systematic tactical asset allocation and diversified currency. These gains were slightly offset by losses in REITS, MLPs, government bonds, investment grade credit and agency MBS. The Fund's strategy of selling (writing) put and call option spreads on U.S. indices also detracted from performance. The strategy's call spreads declined in value when U.S. equity markets moved higher, and as expected with a sharp market reversal, both the call and put spread strategies suffered losses during the first quarter 2018.
The Fund's aggregate use of futures, forward foreign currency, swap and option contracts contributed to performance during the reporting period.
Despite tailwinds, we think global markets continue to be characterized by moderate growth, improving inflation, and still-accommodative monetary policy, but are now within a more fragile overall economic regime and facing increasing challenges from short-term volatility. We believe the strong fundamental underpinnings and economic momentum will carry through the first half of calendar year 2018; consequently, we reiterate our bias towards equities, particularly non-US equities, where we added exposure in early Q2 2018. Implied volatility levels, e.g. VIX, began the second quarter at elevated levels, leading to significantly higher premiums and an opportunity to be well compensated when taking equity risk via options strategies.
Within fixed income, we have increased exposure to interest rate duration given the recent rise in yields, but remain shorter-than-benchmark in our positioning. We are becoming cautious on credit markets, but maintain a constructive view on credit globally, despite the return of volatility.
We continue to believe that a multi-dimensional approach to yield is prudent. Our multi-asset class approach seeks to offer diversified income sources that are complemented with uncorrelated sources of return and a risk framework that seeks to mitigate volatility and deliver an attractive return and income profile.
Sincerely,
ERIK KNUTZEN, BRAD TANK AND AJAY JAIN
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
11
Multi-Asset Income Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | NANIX | ||||||
Class A | NANAX | ||||||
Class C | NANCX | ||||||
Class R6 | NRANX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |||||||
Asset-Backed Securities | 3.1 | % | |||||
Common Stocks | 35.6 | ||||||
Convertible Bonds | 1.1 | ||||||
Corporate Bonds | 10.2 | ||||||
Exchange Traded Funds | 3.4 | ||||||
Investment Companies | 20.6 | ||||||
Mortgage-Backed Securities | 12.1 | ||||||
Master Limited Partnerships | 3.3 | ||||||
Options Purchased | 0.0 | ||||||
Preferred Stocks | 2.1 | ||||||
U.S. Government Agency Securities | 1.2 | ||||||
U.S. Treasury Obligations | 11.7 | ||||||
Short-Term Investments | 3.9 | ||||||
Liabilities Less Other Assets | (8.3 | )* | |||||
Total | 100.0 | % |
* Includes the impact of the Fund's open positions in derivatives (other than Options Purchased), if any.
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2018 | |||||||||||||||||
Date | 04/30/2018 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 03/27/2015 | 0.16 | % | 5.35 | % | 3.96 | % | ||||||||||||
Class A | 03/27/2015 | –0.02 | % | 4.97 | % | 3.58 | % | ||||||||||||
Class C | 03/27/2015 | –0.40 | % | 4.18 | % | 2.81 | % | ||||||||||||
Class R6 | 03/27/2015 | 0.19 | % | 5.42 | % | 4.03 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –4.26 | % | 0.48 | % | 2.15 | % | |||||||||||||
Class C | –1.38 | % | 3.18 | % | 2.81 | % | |||||||||||||
Index | |||||||||||||||||||
60% Bloomberg Barclays U.S. Aggregrate Bond Index and 40% S&P 500® Index1,2 | 0.46 | % | 5.02 | % | 4.98 | % | |||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index1,2 | –1.87 | % | –0.32 | % | 1.06 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
For the period ended April 30, 2018, the 30-day SEC yields were 3.87%, 3.50%, 2.75% and 3.94% for Institutional Class, Class A, Class C and Class R6 shares, respectively. Absent expense reimbursements and/or fee waivers, the 30-day SEC yields would have been 2.56%, 2.15%, 1.44% and 2.63% for Institutional Class, Class A, Class C and Class R6 shares, respectively.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2017 were 3.28%, 3.72%, 4.42% and 3.23% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratios were 0.75%, 1.12%, 1.87% and 0.68% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2018 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 4.25% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
12
Risk Balanced Commodity Strategy Fund Commentary (Unaudited)
Neuberger Berman Risk Balanced Commodity Strategy Fund1 Institutional Class generated a total return of 7.89% for the six months ended April 30, 2018 and outperformed its benchmark, the Bloomberg Commodity Index (the Index), which posted a 4.74% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The overall commodity market was impacted by a number of geopolitical events during the reporting period. These included instability in the Middle East, negotiations with North Korea and U.S. sanctions on Russia. In addition, trade war rhetoric suggesting tariffs on commodities such as aluminum, steel and soybeans impacted certain commodity markets. Meanwhile, oil was supported by synchronous global growth and OPEC's continued compliance with production cuts. Finally, the U.S. dollar was on a downward trend for most of the reporting period, which was supportive of commodity price. That being said, the U.S. dollar rallied in April 2018 because of rising interest rates, some weak economic data overseas and progress in trade talks. Within the commodity complex, cocoa generated the strongest results during the reporting period, driven by expectations for tight supply and robust demand. In contrast, sugar was the weakest performer as it reached multi-year lows due to ample global supply.
Looking at the commodity sectors in which the Fund invests, agriculture and energy were the largest contributors to performance relative to the Index. This was in part driven by overweights to Kansas wheat and soybean meal. The Fund's positioning in the energy sector, in particular, an underweight to natural gas, an out-of-benchmark allocation to gas oil and an overweight to gasoline were all additive for returns. Elsewhere, the Fund's positioning in the softs sector contributed to results, largely driven by an underweight to sugar and an out-of-benchmark allocation to cocoa. On the other hand, an underweight to Brent crude oil was a headwind for relative performance as it outperformed the Index.
The Fund seeks to gain exposure to the commodity markets by investing, directly or indirectly, in futures contracts on individual commodities and other commodity-linked derivative instruments. The Fund's tactical positioning contributed to performance during the reporting period.
Markets have recently been impacted by news of unexpected volatility and protectionist rhetoric, both of which rattled the commodity markets. As commodity investors, we remain focused on the fundamentals of the asset class, as opposed to the shorter-term speculation and noise. We continue to be encouraged by the strengthening fundamentals, including the expectation for increased demand for oil and gasoline this year, linked to what we expect will be continued synchronous global growth. We believe that signs are beginning to point toward a transition to the late stage of the business cycle (overheated stock market, rising rates, closing the output gap, inflation trending higher, tighter labor market, etc.), and we encourage investors to consider asset classes that have historically performed well during this point in the cycle. Commodities have historically shown inflation hedging properties, and we believe they will play a key role in a diversified portfolio.
Sincerely,
HAKAN KAYA, THOMAS SONTAG AND DAVID YI WAN
PORTFOLIO MANAGERS
1 Much of the Fund's investment exposure is accomplished through the use of derivatives which may not require the Fund to deposit the full notional amount of the investment with its counterparties, such as a futures commission merchant. The Fund's resulting cash balances are invested in a variety of conservative fixed income securities.
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
13
Risk Balanced Commodity Strategy Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | NRBIX | ||||||
Class A | NRBAX | ||||||
Class C | NRBCX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |||||||
Asset-Backed Securities | 18.5 | % | |||||
Corporate Bonds | 55.3 | ||||||
U.S. Treasury Obligations | 5.9 | ||||||
Short-Term Investments | 16.0 | ||||||
Other Assets Less Liabilities | 4.3 | * | |||||
Total | 100.0 | % |
* Includes the impact of the Fund's open positions in derivatives (other than Options Purchased), if any.
(as a % of Total Notional Value) | |||||||
Commodity Futures: | |||||||
Agriculture | 25.3 | % | |||||
Energy | 33.0 | ||||||
Industrial Metals | 15.6 | ||||||
Livestock | 7.0 | ||||||
Precious Metals | 16.8 | ||||||
Softs | 2.3 | ||||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS3
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2018 | |||||||||||||||||||||
Date | 04/30/2018 | 1 Year | 5 Years | Life of Fund | |||||||||||||||||||
At NAV | |||||||||||||||||||||||
Institutional Class | 08/27/2012 | 7.89 | % | 13.98 | % | –5.71 | % | –6.41 | % | ||||||||||||||
Class A | 08/27/2012 | 7.62 | % | 13.63 | % | –6.08 | % | –6.77 | % | ||||||||||||||
Class C | 08/27/2012 | 7.37 | % | 12.87 | % | –6.93 | % | –7.59 | % | ||||||||||||||
With Sales Charge | |||||||||||||||||||||||
Class A | 1.44 | % | 7.10 | % | –7.18 | % | –7.74 | % | |||||||||||||||
Class C | 6.37 | % | 11.87 | % | –6.93 | % | –7.59 | % | |||||||||||||||
Index | |||||||||||||||||||||||
Bloomberg Commodity Index1,2 | 4.74 | % | 8.02 | % | –7.32 | % | –7.84 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2017 were 1.18%,1.56% and 3.20% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratios were 0.73%, 1.09% and 1.84% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2018 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
14
U.S. Equity Index PutWrite Strategy Fund Commentary (Unaudited)
Neuberger Berman U.S. Equity Index PutWrite Strategy Fund Institutional Class generated a total return of –1.28% for the six month period ending April 30, 2018, underperforming its primary benchmark, a blend of 85% CBOE S&P 500 PutWrite Index and 15% CBOE Russell 2000 PutWrite Index (the Index), which posted a total return of 1.11% for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
After ending calendar year 2017 at near record low levels, many investors wondered how long before the CBOE S&P 500 Volatility Index (VIX) would undergo one of its characteristic 'spikes'. It was never a question of 'if', only 'when', and we now know the 'when' was February 5, 2018. On that day, the S&P 500® Index fell –4.10% and VIX surged 116% from 17.3 to 37.3. If we include the prior Friday, February 2, the aggregate jump in VIX was 177% and the S&P 500 decline was –6.1% over two trading days. Yet, despite the catastrophic failure of a few volatility products and increased general investor agita, the S&P 500 ended the first quarter of 2018 down a modest –0.76% while remaining up 3.82% for the semi-annual fiscal period and up 13.27% for the last 12 months. The investment industry likes to assign catchy names to market events, e.g., "vol-pocalypse" or "vol-mageddon,", and act as though these events are market aberrations. However, we believe these are inherent risks in volatility markets that can only be managed and never fully avoided.
We believe that the Fund's underperformance relative to the Index for the period has been largely due to our process of diversifying and rebalancing option exposures consistently over time in an effort to reduce the variability and limit path dependence of the Fund's passive benchmark. The Index's methodology of rolling option exposures only once per month leads to a greater dependence on market timing. While we believe the Index is a powerful proof of efficacy for put writing, in our opinion, its methodology leads to arbitrary market timing or exposure and can be improved. Over time we seek to achieve both a higher return and better risk efficiency than the Index.
The Fund's fixed income collateral holdings of short-term U.S. Treasuries detracted modestly from returns as short-term U.S. Treasury bond yields increased over the period, with the two-year U.S. Treasury yield rising roughly 90 basis points to 2.49%.
We would like to reassure our investors that we do not believe the recent results of the Fund are the product of structural changes or tactical missteps. Rather, in our view, the challenges are just a function of systematic differences that we expect to 'average out' over longer-periods of time as they have historically. We intend for our strategies to complement investor asset allocations and seek to help reduce overall portfolio volatility levels by earning equity index option premiums and short-term interest income without directly holding equities.
We anticipate equity market volatility levels to remain at levels more consistent with their longer term levels, which are well above levels experienced in 2017. Further, after relatively strong earnings reports for the majority of U.S. companies we believe there will be greater economic uncertainty in the coming quarters to contribute to increased levels of variability in company earnings which may lead to increased levels of equity market volatility and reduction in equity return potential. In addition, risks associated with changes in interest rate policies (inflation expectations), increased global competition, geopolitics (e.g., Brexit, North Korea) remain. Combined with the higher levels of income potential of the Fund's collateral portfolio, we believe the relative attractiveness of the Fund's investment strategy continues to grow.
Sincerely,
DEREK DEVENS
PORTFOLIO MANAGER
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio manager. The opinions are as of the date of this report and are subject to change without notice.
15
U.S. Equity Index PutWrite Strategy Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | NUPIX | ||||||
Class A | NUPAX | ||||||
Class C | NUPCX | ||||||
Class R6 | NUPRX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |||||||
U.S. Treasury Obligations | 97.8 | % | |||||
Put Options Written | (1.5 | ) | |||||
Short-Term Investments | 3.2 | ||||||
Other Assets Less Liabilities | 0.5 | ||||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS4
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2018 | |||||||||||||||||
Date | 04/30/2018 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 09/16/2016 | –1.28 | % | 3.33 | % | 7.60 | % | ||||||||||||
Class A | 09/16/2016 | –1.54 | % | 2.98 | % | 7.22 | % | ||||||||||||
Class C | 09/16/2016 | –1.81 | % | 2.19 | % | 6.45 | % | ||||||||||||
Class R6 | 09/16/2016 | –1.24 | % | 3.40 | % | 7.71 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –7.19 | % | –2.93 | % | 3.38 | % | |||||||||||||
Class C | –2.74 | % | 1.22 | % | 6.45 | % | |||||||||||||
Index | |||||||||||||||||||
85% CBOE S&P 500 PutWrite Index and 15% Russell 2000 PutWrite Index1,2 | 1.11 | % | 4.86 | % | 8.58 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the estimated total annual operating expense ratios for fiscal year 2017 are 0.98%, 1.35%, 2.12% and 0.94% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The estimated total annual operating expense ratios for the current fiscal year are 0.66%, 1.02%, 1.77% and 0.59% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2018 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
16
Endnotes
1 Please see "Glossary of Indices" on page 18 for a description of indices. Please note that individuals cannot invest directly in any index. The HFRX Equity Hedge Index and HFRX Fixed Income-Credit Index do take into account fees and expenses, but not the tax consequences, of investing since they are based on the underlying hedge funds' net returns. The other indices described in this report do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
2 The date used to calculate Life of Fund performance for the index is the inception date of the oldest share class.
3 During the period from December 2010 through April 2011, Neuberger Berman Global Allocation Fund had only one shareholder and the Fund was relatively small, which could have impacted Fund performance. During the period from May 2017 through August 2017, Neuberger Berman Hedged Option Premium Strategy Fund was relatively small, which could have impacted Fund performance. During the period from August 2012 through January 2013, Neuberger Berman Risk Balanced Commodity Strategy Fund was relatively small, which could have impacted Fund performance. The same techniques used to produce returns in a small fund may not work to produce similar returns in a larger fund.
4 The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from those other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s).
For more complete information on any of the Neuberger Berman Alternative and Multi-Asset Class Funds, see the Fund's prospectus, which can be obtained by calling us at (800) 877-9700, or visiting our website at www.nb.com.
17
Glossary of Indices
Bloomberg Barclays Global Aggregate Index: | The index measures global investment grade debt from twenty-four different local currency markets and includes fixed-rate treasury, government-related, corporate and securitized bonds from both developed and emerging markets issuers. The index is largely comprised of three major regional aggregate components: the Bloomberg Barclays U.S. Aggregate Bond Index, the Bloomberg Barclays Pan-European Aggregate Bond Index, and the Bloomberg Barclays Asian-Pacific Aggregate Index. In addition to securities from these three indices, the Bloomberg Barclays Global Aggregate Index also includes investment grade Eurodollar, Euro-Yen, Canadian, and 144A Index-eligible securities not already in these three indices. | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index: | The index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable bond market and includes Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) (agency and nonagency). | ||||||
60% Bloomberg Barclays U.S. Aggregate Bond Index and 40% S&P 500® Index: | The blended index is composed of 60% Bloomberg Barclays U.S. Aggregate Bond Index (described above) and 40% S&P 500® Index (described below), and is rebalanced monthly. | ||||||
Bloomberg Commodity Index: | The index is a rolling index composed of exchange-traded futures contracts on physical commodities. The index relies primarily on liquidity data of futures contracts, along with U.S. dollar-adjusted production data, in determining the relative quantities of included commodities. The index is designed to be a highly liquid and diversified benchmark for commodities investments. The version of the index that is calculated on a total return basis reflects the returns on a fully collateralized investment in the underlying commodity futures contracts, combined with the returns on cash collateral invested in Treasury Bills. | ||||||
CBOE Russell 2000® PutWrite Index: | The index tracks the value of a passive investment strategy which consists of overlaying Russell 2000 (RUT) short put options over a money market account invested in one-month Treasury bills. The RUT puts are struck at-the-money and are sold on a monthly basis. | ||||||
CBOE S&P 500® Iron Condor Index: | The index is designed to track the performance of a hypothetical option selling strategy that sells monthly call and put spreads and holds a money market account invested in one-month Treasury bills. The call spread consists of a short position in an out-of-the-money S&P 500 Index call option with a delta of approximately 0.20 and a long position in a further out-of-the-money S&P 500 Index call option with a delta of approximately 0.05. The put spread consists of a short position in an out-of-the-money S&P 500 Index put option with a delta of approximately –0.20 and a long position in a further out-of-the-money S&P 500 Index put option with a delta of approximately –0.05. Call and put spread positions are sized such that their notional strike differences represent 5% of the market value of the money market account. The money market account is rebalanced on option roll days and is designed to limit the downside return of the index. The delta of an option measures its price sensitivity to the price of the underlying asset. For example, if a call option has a delta of 0.20 and the price of the underlying asset increases by $1, the value of the option will increase by $0.20. | ||||||
CBOE S&P 500® PutWrite Index: | The index tracks the value of a passive investment strategy which consists of overlaying S&P 500 (SPX) short put options over a money market account invested in one- and three-months Treasury bills. The SPX puts are struck at-the-money and are sold on a monthly basis. |
18
Glossary of Indices (cont'd)
85% CBOE S&P 500® PutWrite Index and 15% CBOE Russell 2000® PutWrite Index: | The blended index is composed of 85% CBOE S&P 500 PutWrite Index (described above) and 15% CBOE Russell 2000 PutWrite Index (described above), and is rebalanced monthly. | ||||||
HFRX Fixed Income-Credit Index: | The index tracks the performance of hedge fund strategies with exposure to credit across a broad continuum of credit sub-strategies, including Corporate, Sovereign, Distressed, Convertible, Asset Backed, Capital Structure Arbitrage, Multi-Strategy and other Relative Value and Event Driven sub-strategies. The investment thesis across all strategies is predicated on realization of a valuation discrepancy between the related credit instruments. Strategies may also include and utilize equity securities, credit derivatives, government fixed income, commodities, currencies or other hybrid securities. Constituent funds are selected from an eligible pool of the more than 7,500 funds worldwide that report to the Hedge Fund Research (HFR) Database. Constituent funds must meet all of the following criteria: report monthly; report performance net of all fees; be U.S. dollar-denominated; be active and accepting new investments; have a minimum 24 months track record; and the fund's manager must have at least $50 million in assets under management. Constituents are weighted by a representative optimization methodology. The index is rebalanced quarterly. | ||||||
HFRX Equity Hedge Index: | The index comprises equity hedge strategies. Equity hedge strategies maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity hedge managers would typically maintain at least 50%, and may in some cases be substantially entirely invested, in equities, both long and short. Constituent funds are selected from an eligible pool of the more than 7,500 funds worldwide that report to the Hedge Fund Research (HFR) Database. Constituent funds must meet all of the following criteria: report monthly; report performance net of all fees; be U.S. dollar-denominated; be active and accepting new investments; have a minimum 24 months track record; and the fund's manager must have at least $50 million in assets under management. The index is rebalanced quarterly. | ||||||
MSCI All Country World Index: | The index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The index consists of 47 country indices comprising 23 developed and 24 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. |
19
Glossary of Indices (cont'd)
60% MSCI All Country World Index and 40% Bloomberg Barclays Global Aggregate Index: | The blended index is composed of 60% MSCI All Country World Index (described above) and 40% Bloomberg Barclays Global Aggregate Index (described above), and is rebalanced monthly. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. | ||||||
S&P 500® Index: | The index is a float-adjusted market capitalization-weighted index that focuses on the large-cap segment of the U.S. equity market, and includes a significant portion of the total value of the market. |
20
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds (if applicable); and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in a Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2018 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | ||||||
Hypothetical Example for Comparison Purposes: | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as sales charges (loads) (if applicable). Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
21
Expense Example (Unaudited)
Neuberger Berman Alternative Funds | |||||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES) | ||||||||||||||||||||||||||||||||||
Beginning Account Value 11/1/17 | Ending Account Value 4/30/18 | Expenses Paid During the Period(1) 11/1/17 - 4/30/18 | Expense Ratio | Beginning Account Value 11/1/17 | Ending Account Value 4/30/18 | Expenses Paid During the Period(2) 11/1/17 - 4/30/18 | Expense Ratio | ||||||||||||||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,019.90 | $ | 2.30 | 0.46 | % | $ | 1,000.00 | $ | 1,022.51 | $ | 2.31 | 0.46 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.50 | $ | 4.10 | 0.82 | % | $ | 1,000.00 | $ | 1,020.73 | $ | 4.11 | 0.82 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,013.90 | $ | 7.84 | 1.57 | % | $ | 1,000.00 | $ | 1,017.01 | $ | 7.85 | 1.57 | % | |||||||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 964.80 | $ | 3.17 | 0.65 | % | $ | 1,000.00 | $ | 1,021.57 | $ | 3.26 | 0.65 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 963.00 | $ | 4.92 | 1.01 | % | $ | 1,000.00 | $ | 1,019.79 | $ | 5.06 | 1.01 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 959.30 | $ | 8.55 | 1.76 | % | $ | 1,000.00 | $ | 1,016.07 | $ | 8.80 | 1.76 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 965.50 | $ | 2.83 | 0.58 | % | $ | 1,000.00 | $ | 1,021.92 | $ | 2.91 | 0.58 | % | |||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,023.20 | $ | 8.23 | 1.64 | % | $ | 1,000.00 | $ | 1,016.66 | $ | 8.20 | 1.64 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,021.50 | $ | 10.02 | 2.00 | % | $ | 1,000.00 | $ | 1,014.88 | $ | 9.99 | 2.00 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,017.90 | $ | 13.76 | 2.75 | % | $ | 1,000.00 | $ | 1,011.16 | $ | 13.71 | 2.75 | % | |||||||||||||||||||
Long Short Credit Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 986.50 | $ | 7.34 | 1.49 | % | $ | 1,000.00 | $ | 1,017.41 | $ | 7.45 | 1.49 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 984.00 | $ | 9.21 | 1.87 | % | $ | 1,000.00 | $ | 1,015.51 | $ | 9.35 | 1.87 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 981.70 | $ | 12.87 | 2.62 | % | $ | 1,000.00 | $ | 1,011.80 | $ | 13.07 | 2.62 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 986.90 | $ | 6.95 | 1.41 | % | $ | 1,000.00 | $ | 1,017.80 | $ | 7.05 | 1.41 | % | |||||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,001.60 | $ | 2.73 | 0.55 | % | $ | 1,000.00 | $ | 1,022.07 | $ | 2.76 | 0.55 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 999.80 | $ | 4.56 | 0.92 | % | $ | 1,000.00 | $ | 1,020.23 | $ | 4.61 | 0.92 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 996.00 | $ | 8.26 | 1.67 | % | $ | 1,000.00 | $ | 1,016.51 | $ | 8.35 | 1.67 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,001.90 | $ | 2.38 | 0.48 | % | $ | 1,000.00 | $ | 1,022.41 | $ | 2.41 | 0.48 | % | |||||||||||||||||||
Risk Balanced Commodity Strategy Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,078.90 | $ | 3.81 | 0.74 | % | $ | 1,000.00 | $ | 1,021.12 | $ | 3.71 | 0.74 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,076.20 | $ | 5.66 | 1.10 | % | $ | 1,000.00 | $ | 1,019.34 | $ | 5.51 | 1.10 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,073.70 | $ | 9.51 | 1.85 | % | $ | 1,000.00 | $ | 1,015.62 | $ | 9.25 | 1.85 | % | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 987.20 | $ | 3.20 | 0.65 | % | $ | 1,000.00 | $ | 1,021.57 | $ | 3.26 | 0.65 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 984.60 | $ | 4.97 | 1.01 | % | $ | 1,000.00 | $ | 1,019.79 | $ | 5.06 | 1.01 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 981.90 | $ | 8.65 | 1.76 | % | $ | 1,000.00 | $ | 1,016.07 | $ | 8.80 | 1.76 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 987.60 | $ | 2.86 | 0.58 | % | $ | 1,000.00 | $ | 1,021.92 | $ | 2.91 | 0.58 | % |
(1) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown), unless otherwise indicated.
(2) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
22
Schedule of Investments Global Allocation Fund (Unaudited)
April 30, 2018
Number of Shares | Value (000's omitted) | ||||||||||
Common Stocks 24.7% | |||||||||||
Australia 0.3% | |||||||||||
Amcor Ltd. | 367 | $ | 4 | ||||||||
Australia & New Zealand Banking Group Ltd. | 90 | 2 | |||||||||
Caltex Australia Ltd. | 248 | 6 | |||||||||
CIMIC Group Ltd. | 292 | 10 | |||||||||
Incitec Pivot Ltd. | 1,358 | 4 | |||||||||
Metcash Ltd. | 2,424 | 6 | |||||||||
Stockland | 2,330 | 7 | |||||||||
Wesfarmers Ltd. | 1,017 | 33 | |||||||||
72 | |||||||||||
Austria 0.2% | |||||||||||
Erste Group Bank AG | 79 | 4 | |||||||||
EVN AG | 27 | 1 | |||||||||
OMV AG | 52 | 3 | |||||||||
Telekom Austria AG | 1,641 | 16 | * | ||||||||
voestalpine AG | 391 | 20 | |||||||||
44 | |||||||||||
Belgium 0.1% | |||||||||||
Colruyt SA | 51 | 3 | |||||||||
Groupe Bruxelles Lambert SA | 73 | 9 | |||||||||
KBC Group NV | 130 | 11 | |||||||||
23 | |||||||||||
Bermuda 0.1% | |||||||||||
Marvell Technology Group Ltd. | 847 | 17 | |||||||||
Canada 0.5% | |||||||||||
Bank of Nova Scotia | 170 | 11 | |||||||||
CGI Group, Inc. Class A | 190 | 11 | * | ||||||||
Constellation Software, Inc. | 6 | 4 | |||||||||
Dream Global Real Estate Investment Trust | 395 | 4 | |||||||||
George Weston Ltd. | 155 | 13 | |||||||||
Great-West Lifeco, Inc. | 140 | 4 | |||||||||
National Bank of Canada | 275 | 13 | |||||||||
Rogers Communications, Inc. Class B | 122 | 6 | |||||||||
Royal Bank of Canada | 203 | 15 | |||||||||
TELUS Corp. | 96 | 3 |
Number of Shares | Value (000's omitted) | ||||||||||
Toronto-Dominion Bank | 528 | $ | 30 | ||||||||
114 | |||||||||||
China 0.6% | |||||||||||
Alibaba Group Holding Ltd. ADR | 334 | 59 | *(a) | ||||||||
BOC Hong Kong Holdings Ltd. | 1,500 | 8 | |||||||||
JD.com, Inc. ADR | 1,360 | 50 | * | ||||||||
117 | |||||||||||
Denmark 0.2% | |||||||||||
Carlsberg A/S Class B | 166 | 18 | |||||||||
Danske Bank A/S | 399 | 14 | |||||||||
Novo Nordisk A/S Class B | 143 | 7 | |||||||||
39 | |||||||||||
Finland 0.1% | |||||||||||
Outokumpu OYJ | 451 | 3 | |||||||||
Sampo OYJ, A Shares | 161 | 9 | |||||||||
12 | |||||||||||
France 0.5% | |||||||||||
BNP Paribas SA | 114 | 9 | |||||||||
CNP Assurances | 213 | 5 | |||||||||
Eiffage SA | 67 | 8 | |||||||||
Engie SA | 530 | 9 | |||||||||
Fonciere Des Regions | 33 | 4 | |||||||||
Ingenico Group SA | 36 | 3 | |||||||||
Peugeot SA | 438 | 11 | |||||||||
Renault SA | 79 | 8 | |||||||||
Sanofi | 61 | 5 | |||||||||
Societe BIC SA | 27 | 3 | |||||||||
Societe Generale SA | 140 | 8 | |||||||||
TOTAL SA | 214 | 13 | |||||||||
Veolia Environnement SA | 379 | 9 | |||||||||
95 | |||||||||||
Germany 0.8% | |||||||||||
Allianz SE | 131 | 31 | |||||||||
Bayer AG | 96 | 12 | |||||||||
Bayerische Motoren Werke AG | 30 | 3 | |||||||||
Bayerische Motoren Werke AG, Preference Shares | 197 | 19 | |||||||||
Daimler AG | 88 | 7 | |||||||||
Deutsche Lufthansa AG | 667 | 19 | |||||||||
Merck KGaA | 77 | 8 |
Number of Shares | Value (000's omitted) | ||||||||||
Porsche Automobil Holding SE, Preference Shares | 55 | $ | 5 | ||||||||
SAP SE | 37 | 4 | |||||||||
TUI AG | 396 | 9 | |||||||||
Uniper SE | 682 | 21 | |||||||||
Volkswagen AG, Preference Shares | 31 | 6 | |||||||||
Wuestenrot & Wuerttembergische AG | 821 | 20 | |||||||||
164 | |||||||||||
Hong Kong 0.1% | |||||||||||
CK Asset Holdings Ltd. | 1,000 | 9 | |||||||||
Great Eagle Holdings Ltd. | 1,000 | 5 | |||||||||
Hongkong Land Holdings Ltd. | 610 | 4 | |||||||||
Hopewell Holdings Ltd. | 1,000 | 3 | |||||||||
Jardine Matheson Holdings Ltd. | 36 | 2 | |||||||||
NWS Holdings Ltd. | 1,000 | 2 | |||||||||
WH Group Ltd. | 5,500 | 6 | (c) | ||||||||
31 | |||||||||||
Israel 0.0%(b) | |||||||||||
Bank Hapoalim BM | 539 | 3 | |||||||||
Bank Leumi Le-Israel BM | 640 | 4 | |||||||||
7 | |||||||||||
Italy 0.4% | |||||||||||
ASTM SpA | 618 | 17 | |||||||||
Enel SpA | 2,708 | 17 | |||||||||
Eni SpA | 1,312 | 26 | |||||||||
Intesa Sanpaolo SpA Preference Shares | 879 | 3 | |||||||||
Intesa Sanpaolo SpA | 1,005 | 4 | |||||||||
Snam SpA | 1,778 | 9 | |||||||||
76 | |||||||||||
Japan 1.6% | |||||||||||
Aozora Bank Ltd. | 100 | 4 | |||||||||
Canon, Inc. | 1,000 | 34 | |||||||||
EDION Corp. | 800 | 9 | |||||||||
FUJIFILM Holdings Corp. | 200 | 8 | |||||||||
Hamamatsu Photonics KK | 100 | 4 | |||||||||
Haseko Corp. | 200 | 3 | |||||||||
Hitachi High-Technologies Corp. | 100 | 5 | |||||||||
Hitachi Ltd. | 1,000 | 7 | |||||||||
ITOCHU Corp. | 1,300 | 26 |
See Notes to Financial Statements
23
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Japan Tobacco, Inc. | 100 | $ | 3 | ||||||||
JFE Holdings, Inc. | 200 | 4 | |||||||||
JXTG Holdings, Inc. | 800 | 5 | |||||||||
Kajima Corp. | 1,000 | 10 | |||||||||
Kirin Holdings Co. Ltd. | 400 | 11 | |||||||||
Marubeni Corp. | 1,900 | 14 | |||||||||
Mitsubishi Corp. | 500 | 14 | |||||||||
Mitsubishi Tanabe Pharma Corp. | 300 | 6 | |||||||||
Mitsui & Co. Ltd. | 1,400 | 25 | |||||||||
Mizuho Financial Group, Inc. | 4,300 | 8 | |||||||||
NEC Corp. | 800 | 22 | |||||||||
Nippon Steel & Sumitomo Metal Corp. | 100 | 2 | |||||||||
Nippon Telegraph & Telephone Corp. | 100 | 5 | |||||||||
Nissan Motor Co. Ltd. | 600 | 6 | |||||||||
Nomura Research Institute Ltd. | 100 | 5 | |||||||||
NTT DOCOMO, Inc. | 300 | 8 | |||||||||
Obayashi Corp. | 700 | 8 | |||||||||
Sekisui Chemical Co. Ltd. | 200 | 4 | |||||||||
Sojitz Corp. | 1,200 | 4 | |||||||||
Sumco Corp. | 200 | 5 | |||||||||
Sumitomo Corp. | 1,400 | 25 | |||||||||
Tosoh Corp. | 100 | 2 | |||||||||
Trend Micro, Inc. | 100 | 6 | |||||||||
TS Tech Co. Ltd. | 100 | 4 | |||||||||
Yamada Denki Co. Ltd. | 1,600 | 8 | |||||||||
Yodogawa Steel Works Ltd. | 300 | 9 | |||||||||
323 | |||||||||||
Netherlands 0.2% | |||||||||||
Heineken Holding NV | 85 | 9 | |||||||||
ING Groep NV | 427 | 7 | |||||||||
Royal Dutch Shell PLC, A Shares | 411 | 14 | |||||||||
Royal Dutch Shell PLC, B Shares | 119 | 4 | |||||||||
34 | |||||||||||
Norway 0.0%(b) | |||||||||||
Orkla ASA | 740 | 7 | |||||||||
Singapore 0.1% | |||||||||||
Ascendas Real Estate Investment Trust | 2,300 | 5 | |||||||||
Oversea-Chinese Banking Corp. Ltd. | 1,600 | 16 | |||||||||
21 |
Number of Shares | Value (000's omitted) | ||||||||||
Spain 0.1% | |||||||||||
Bankinter SA | 612 | $ | 6 | ||||||||
Repsol SA | 1,199 | 23 | |||||||||
29 | |||||||||||
Sweden 0.1% | |||||||||||
ICA Gruppen AB | 605 | 19 | |||||||||
Skandinaviska Enskilda Banken AB, Class A | 259 | 2 | |||||||||
21 | |||||||||||
Switzerland 0.6% | |||||||||||
ABB Ltd. | 55 | 1 | |||||||||
Baloise Holding AG | 55 | 9 | |||||||||
Georg Fischer AG | 11 | 14 | |||||||||
Novartis AG | 317 | 24 | |||||||||
Roche Holding AG | 51 | 11 | |||||||||
Swiss Life Holding AG | 28 | 10 | * | ||||||||
Swiss Prime Site AG | 68 | 6 | * | ||||||||
Swiss Re AG | 186 | 18 | |||||||||
Swisscom AG | 24 | 12 | |||||||||
Zurich Insurance Group AG | 43 | 14 | |||||||||
119 | |||||||||||
United Kingdom 1.0% | |||||||||||
Anglo American PLC | 48 | 1 | |||||||||
AstraZeneca PLC | 116 | 8 | |||||||||
Barclays PLC | 2,116 | 6 | |||||||||
Barratt Developments PLC | 1,211 | 9 | |||||||||
BP PLC | 565 | 4 | |||||||||
Croda International PLC | 123 | 8 | |||||||||
EI Group PLC | 2,633 | 5 | * | ||||||||
Evraz PLC | 3,944 | 25 | |||||||||
Ferrexpo PLC | 2,062 | 7 | |||||||||
Forterra PLC | 1,013 | 4 | (c) | ||||||||
GlaxoSmithKline PLC | 220 | 4 | |||||||||
Glencore PLC | 2,171 | 10 | * | ||||||||
Grafton Group PLC | 43 | 0 | (d) | ||||||||
HSBC Holdings PLC | 1,486 | 15 | |||||||||
J Sainsbury PLC | 954 | 4 | |||||||||
John Menzies PLC | 2,405 | 21 | |||||||||
Lloyds Banking Group PLC | 4,239 | 4 | |||||||||
Rio Tinto Ltd. | 105 | 6 | |||||||||
Royal Mail PLC | 811 | 7 | |||||||||
Segro PLC | 733 | 7 | |||||||||
Smith & Nephew PLC | 233 | 5 | |||||||||
Vodafone Group PLC | 6,264 | 18 | |||||||||
WM Morrison Supermarkets PLC | 7,632 | 25 | |||||||||
203 |
Number of Shares | Value (000's omitted) | ||||||||||
United States 17.1% | |||||||||||
3M Co. | 56 | $ | 11 | ||||||||
AbbVie, Inc. | 175 | 17 | |||||||||
Aetna, Inc. | 69 | 12 | (a) | ||||||||
Aflac, Inc. | 744 | 34 | |||||||||
Agilent Technologies, Inc. | 218 | 14 | |||||||||
AGNC Investment Corp. | 1,109 | 21 | |||||||||
Allergan PLC | 395 | 61 | |||||||||
Alphabet, Inc. Class A | 79 | 80 | * | ||||||||
Alphabet, Inc. Class C | 22 | 22 | *(a) | ||||||||
Amazon.com, Inc. | 66 | 103 | *(a) | ||||||||
Ameren Corp. | 91 | 5 | |||||||||
Amgen, Inc. | 184 | 32 | (a) | ||||||||
Amphenol Corp. Class A | 27 | 2 | |||||||||
Annaly Capital Management, Inc. | 2,009 | 21 | |||||||||
Anthem, Inc. | 33 | 8 | |||||||||
Apple, Inc. | 801 | 132 | (a) | ||||||||
Applied Materials, Inc. | 99 | 5 | |||||||||
Aramark | 458 | 17 | |||||||||
Archer-Daniels- Midland Co. | 587 | 27 | |||||||||
ARMOUR Residential REIT, Inc. | 269 | 6 | |||||||||
AT&T, Inc. | 636 | 21 | |||||||||
Avnet, Inc. | 229 | 9 | |||||||||
AVX Corp. | 600 | 9 | |||||||||
Bank of America Corp. | 2,478 | 74 | (a) | ||||||||
Baxter International, Inc. | 346 | 24 | |||||||||
Berkshire Hathaway, Inc. Class B | 24 | 5 | * | ||||||||
Boeing Co. | 25 | 8 | |||||||||
Booking Holdings, Inc. | 37 | 81 | * | ||||||||
Broadcom, Inc. | 253 | 58 | |||||||||
Camden Property Trust | 65 | 6 | |||||||||
Carnival Corp. | 233 | 15 | |||||||||
Carnival PLC | 174 | 11 | |||||||||
CDW Corp. | 77 | 5 | |||||||||
CenterPoint Energy, Inc. | 374 | 9 | |||||||||
Charter Communications, Inc. Class A | 177 | 48 | * | ||||||||
Cheniere Energy, Inc. | 1,130 | 66 | *(a) | ||||||||
Chevron Corp. | 391 | 49 | (a) | ||||||||
Chimera Investment Corp. | 57 | 1 | |||||||||
Cisco Systems, Inc. | 524 | 23 | (a) |
See Notes to Financial Statements
24
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Citigroup, Inc. | 233 | $ | 16 | ||||||||
Coca-Cola Co. | 220 | 10 | |||||||||
Comcast Corp. Class A | 1,643 | 52 | (a) | ||||||||
Constellation Brands, Inc. Class A | 294 | 69 | |||||||||
Corning, Inc. | 851 | 23 | (a) | ||||||||
Cummins, Inc. | 33 | 5 | |||||||||
CVS Health Corp. | 19 | 1 | |||||||||
Danaher Corp. | 142 | 14 | (a) | ||||||||
Darden Restaurants, Inc. | 113 | 10 | |||||||||
DowDuPont, Inc. | 901 | 57 | |||||||||
DTE Energy Co. | 53 | 6 | |||||||||
Duke Energy Corp. | 3 | 0 | |||||||||
Eaton Corp. PLC | 325 | 24 | (a) | ||||||||
Exelon Corp. | 119 | 5 | |||||||||
Extra Space Storage, Inc. | 68 | 6 | |||||||||
Exxon Mobil Corp. | 446 | 35 | |||||||||
Facebook, Inc. Class A | 538 | 93 | *(a) | ||||||||
Fidelity National Information Services, Inc. | 13 | 1 | |||||||||
Ford Motor Co. | 1,143 | 13 | |||||||||
Gaming and Leisure Properties, Inc. | 146 | 5 | |||||||||
Garmin Ltd. | 90 | 5 | |||||||||
General Dynamics Corp. | 25 | 5 | (a) | ||||||||
General Motors Co. | 514 | 19 | |||||||||
Gilead Sciences, Inc. | 152 | 11 | |||||||||
Goldman Sachs Group, Inc. | 243 | 58 | |||||||||
Graham Holdings Co. Class B | 24 | 14 | |||||||||
Harris Corp. | 181 | 28 | (a) | ||||||||
Hartford Financial Services Group, Inc. | 23 | 1 | |||||||||
HCA Healthcare, Inc. | 628 | 60 | |||||||||
Home Depot, Inc. | 61 | 11 | |||||||||
Honeywell International, Inc. | 66 | 10 | |||||||||
Host Hotels & Resorts, Inc. | 289 | 6 | |||||||||
HP, Inc. | 226 | 5 | |||||||||
Humana, Inc. | 21 | 6 | |||||||||
Huntsman Corp. | 640 | 19 | |||||||||
Illinois Tool Works, Inc. | 27 | 4 | |||||||||
Ingersoll-Rand PLC | 64 | 5 | |||||||||
Ingredion, Inc. | 33 | 4 | |||||||||
Intel Corp. | 1,005 | 52 | (a) | ||||||||
International Paper Co. | 95 | 5 |
Number of Shares | Value (000's omitted) | ||||||||||
Invesco Mortgage Capital, Inc. | 360 | $ | 6 | ||||||||
Jabil, Inc. | 577 | 15 | |||||||||
Johnson & Johnson | 207 | 26 | (a) | ||||||||
JPMorgan Chase & Co. | 595 | 65 | (a) | ||||||||
Kellogg Co. | 78 | 5 | |||||||||
Kohl's Corp. | 26 | 2 | |||||||||
Kronos Worldwide, Inc. | 252 | 6 | |||||||||
L3 Technologies, Inc. | 57 | 11 | |||||||||
Laboratory Corp. of America Holdings | 104 | 18 | * | ||||||||
Lam Research Corp. | 15 | 3 | |||||||||
Las Vegas Sands Corp. | 278 | 20 | |||||||||
Lear Corp. | 24 | 4 | |||||||||
Leidos Holdings, Inc. | 85 | 5 | |||||||||
Liberty Media Corp.-Liberty SiriusXM Class C | 85 | 4 | *(a) | ||||||||
Loews Corp. | 277 | 15 | |||||||||
Lululemon Athletica, Inc. | 90 | 9 | * | ||||||||
LyondellBasell Industries NV Class A | 220 | 23 | |||||||||
MasterCard, Inc. Class A | 365 | 65 | |||||||||
McDonald's Corp. | 80 | 13 | |||||||||
MDU Resources Group, Inc. | 329 | 9 | (a) | ||||||||
Medtronic PLC | 125 | 10 | (a) | ||||||||
Merck & Co., Inc. | 426 | 25 | |||||||||
MFA Financial, Inc. | 1,481 | 11 | |||||||||
Microchip Technology, Inc. | 46 | 4 | |||||||||
Micron Technology, Inc. | 310 | 14 | * | ||||||||
Microsoft Corp. | 1,324 | 124 | (a) | ||||||||
Mohawk Industries, Inc. | 308 | 65 | *(a) | ||||||||
Monsanto Co. | 524 | 66 | |||||||||
MTGE Investment Corp. | 997 | 18 | |||||||||
National Research Corp. | 16 | 1 | |||||||||
New Residential Investment Corp. | 158 | 3 | |||||||||
Newmont Mining Corp. | 145 | 6 | |||||||||
News Corp. Class A | 340 | 5 | |||||||||
Norfolk Southern Corp. | 39 | 6 | |||||||||
Northrop Grumman Corp. | 15 | 5 |
Number of Shares | Value (000's omitted) | ||||||||||
Occidental Petroleum Corp. | 82 | $ | 6 | ||||||||
OGE Energy Corp. | 28 | 1 | |||||||||
Orbital ATK, Inc. | 120 | 16 | |||||||||
Owens Corning | 223 | 15 | |||||||||
Parker-Hannifin Corp. | 12 | 2 | |||||||||
PepsiCo, Inc. | 66 | 7 | |||||||||
Pfizer, Inc. | 887 | 32 | |||||||||
Philip Morris International, Inc. | 78 | 6 | |||||||||
Phillips 66 | 274 | 30 | |||||||||
PNC Financial Services Group, Inc. | 175 | 25 | (a) | ||||||||
Procter & Gamble Co. | 125 | 9 | |||||||||
Prudential Financial, Inc. | 132 | 14 | |||||||||
Quest Diagnostics, Inc. | 93 | 9 | |||||||||
Reinsurance Group of America, Inc. | 164 | 25 | |||||||||
Reliance Steel & Aluminum Co. | 29 | 3 | |||||||||
Republic Services, Inc. | 190 | 12 | |||||||||
Royal Caribbean Cruises Ltd. | 43 | 5 | |||||||||
Sanderson Farms, Inc. | 81 | 9 | |||||||||
Shire PLC ADR | 502 | 80 | |||||||||
Stanley Black & Decker, Inc. | 14 | 2 | |||||||||
State Street Corp. | 180 | 18 | |||||||||
STERIS PLC | 256 | 24 | |||||||||
Sysco Corp. | 46 | 3 | |||||||||
Tapestry, Inc. | 255 | 14 | |||||||||
Target Corp. | 297 | 22 | |||||||||
Teradyne, Inc. | 599 | 19 | (a) | ||||||||
Texas Instruments, Inc. | 249 | 25 | (a) | ||||||||
Tiffany & Co. | 53 | 5 | |||||||||
Time Warner, Inc. | 242 | 23 | (a) | ||||||||
Twenty-First Century Fox, Inc. Class B | 154 | 6 | |||||||||
Tyson Foods, Inc. Class A | 62 | 4 | |||||||||
U.S. Bancorp | 54 | 3 | |||||||||
Union Pacific Corp. | 42 | 6 | |||||||||
UnitedHealth Group, Inc. | 172 | 41 | |||||||||
Universal Health Services, Inc. Class B | 545 | 62 | |||||||||
Valero Energy Corp. | 230 | 26 | |||||||||
Ventas, Inc. | 101 | 5 | |||||||||
Verizon Communications, Inc. | 517 | 26 |
See Notes to Financial Statements
25
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
VF Corp. | 143 | $ | 12 | ||||||||
Viacom, Inc. Class B | 166 | 5 | |||||||||
Visa, Inc. Class A | 625 | 79 | (a) | ||||||||
Vishay Intertechnology, Inc. | 196 | 3 | |||||||||
Walgreens Boots Alliance, Inc. | 119 | 8 | |||||||||
Walmart, Inc. | 410 | 36 | (a) | ||||||||
Waste Management, Inc. | 79 | 6 | |||||||||
WEC Energy Group, Inc. | 242 | 16 | |||||||||
Wells Fargo & Co. | 1,288 | 67 | |||||||||
Welltower, Inc. | 93 | 5 | |||||||||
Weyerhaeuser Co. | 658 | 24 | |||||||||
WP Carey, Inc. | 78 | 5 | |||||||||
Xcel Energy, Inc. | 354 | 17 | |||||||||
Xerox Corp. | 723 | 23 | |||||||||
3,558 | |||||||||||
Total Common Stocks (Cost $4,776) | 5,126 | ||||||||||
Principal Amount (000's omitted) | |||||||||||
U.S. Treasury Obligations 6.8% | |||||||||||
U.S. Treasury Bill, 0.09%, due 5/24/18 | $ | 100 | 100 | (e)(f) | |||||||
U.S. Treasury Bond, 3.88%, due 8/15/40 | 5 | 6 | |||||||||
U.S. Treasury Inflation- Indexed Bonds(g) | |||||||||||
1/15/26 2.00%, due | 273 | 300 | |||||||||
4/15/28 3.63%, due | 85 | 107 | |||||||||
1/15/29 2.50%, due | 46 | 54 | |||||||||
4/15/29 3.88%, due | 161 | 212 | |||||||||
4/15/32 3.38%, due | 7 | 9 | |||||||||
2/15/46 1.00%, due | 47 | 48 | |||||||||
U.S. Treasury Notes 1.38%, due 11/30/18 | 190 | 189 | |||||||||
4/15/19 0.88%, due | 260 | 257 |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
2.25 11/15/27%, due | $ | 145 | $ | 137 | |||||||
Total U.S. Treasury Obligations (Cost $1,428) | 1,419 | ||||||||||
U.S. Government Agency Securities 0.6% | |||||||||||
Federal Home Loan Bank, 5.50%, due 7/15/36 | 80 | 104 | |||||||||
Federal National Mortgage Association, 5.63%, due 7/15/37 | 20 | 26 | |||||||||
Total U.S. Government Agency Securities (Cost $134) | 130 | ||||||||||
Mortgage-Backed Securities 7.0% | |||||||||||
Collateralized Mortgage Obligations 1.8% | |||||||||||
Fannie Mae Connecticut Avenue Securities | |||||||||||
Ser. 2017-C02, Class 2M2, (1 month USD LIBOR + 3.65%), 5.55%, due 9/25/29 | 130 | 142 | (h) | ||||||||
Ser. 2017-C03, Class 1M2, (1 month USD LIBOR + 3.00%), 4.90%, due 10/25/29 | 25 | 27 | (h) | ||||||||
Ser. 2017-C04, Class 2M2, (1 month USD LIBOR + 2.85%), 4.75%, due 11/25/29 | 70 | 73 | (h) | ||||||||
Ser. 2017-C05, Class 1M2, (1 month USD LIBOR + 2.20%), 4.10%, due 1/25/30 | 75 | 76 | (h) | ||||||||
Ser. 2017-C06, Class 1M2, (1 month USD LIBOR + 2.65%), 4.55%, due 2/25/30 | 15 | 16 | (h) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Ser. 2017-C06, Class 2M2, (1 month USD LIBOR + 2.80%), 4.70%, due 2/25/30 | $ | 20 | $ | 21 | (h) | ||||||
Ser. 2018-C02, Class 2M2, (1 month USD LIBOR + 2.20%), 4.10%, due 8/25/30 | 20 | 20 | (h) | ||||||||
375 | |||||||||||
Fannie Mae 3.1% | |||||||||||
Pass-Through Certificates | |||||||||||
3.50%, TBA, 15 Year Maturity | 60 | 60 | (i) | ||||||||
3.50%, TBA, 30 Year Maturity | 120 | 119 | (i) | ||||||||
4.00%, TBA, 30 Year Maturity | 330 | 336 | (i) | ||||||||
4.50%, TBA, 30 Year Maturity | 115 | 120 | (i) | ||||||||
635 | |||||||||||
Freddie Mac 2.1% | |||||||||||
Pass-Through Certificates | |||||||||||
3.50%, TBA, 15 Year Maturity | 25 | 25 | (i) | ||||||||
3.50%, TBA, 30 Year Maturity | 115 | 114 | (i) | ||||||||
4.00%, TBA, 30 Year Maturity | 290 | 296 | (i) | ||||||||
435 | |||||||||||
Total Mortgage- Backed Securities (Cost $1,432) | 1,445 | ||||||||||
Corporate Bonds 6.1% | |||||||||||
Australia 0.2% | |||||||||||
Westpac Banking Corp., (5 year USD ICE Swap + 2.89%), 5.00%, due 12/31/99 | 35 | 32 | (h) | ||||||||
Belgium 0.2% | |||||||||||
Anheuser-Busch InBev Finance, Inc., 4.70%, due 2/1/36 | 10 | 10 | |||||||||
Anheuser-Busch InBev Worldwide, Inc., 4.75%, due 4/15/58 | 35 | 35 | |||||||||
45 |
See Notes to Financial Statements
26
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Brazil 0.1% | |||||||||||
Vale Overseas Ltd., 6.25%, due 8/10/26 | $ | 15 | $ |
| 16 | ||||||
France 0.1% | |||||||||||
BNP Paribas SA, 2.38%, due 5/21/20 | 25 | 25 | |||||||||
Mexico 0.2% | |||||||||||
Grupo Bimbo SAB de CV, 4.70%, due 11/10/47 | 25 | 23 | (j) | ||||||||
Petroleos Mexicanos, 6.50%, due 3/13/27 | 20 | 21 | |||||||||
44 | |||||||||||
Spain 0.1% | |||||||||||
Banco Santander SA, 3.80%, due 2/23/28 | 20 | 19 | |||||||||
United Kingdom 0.5% | |||||||||||
Barclays PLC, 4.38%,due 1/12/26 | 45 | 44 | |||||||||
BAT Capital Corp., 4.54%, due 8/15/47 | 40 | 37 | (j) | ||||||||
HSBC Holdings PLC, (5 year USD ICE Swap + 3.75%), 6.00%, due 11/22/66 | 30 | 30 | (h) | ||||||||
111 | |||||||||||
United States 4.7% | |||||||||||
AbbVie, Inc., 4.70%, due 5/14/45 | 20 | 20 | |||||||||
Apple, Inc., 4.65%, due 2/23/46 | 20 | 21 | |||||||||
AT&T, Inc. | |||||||||||
4.75 5/15/46%, due | 20 | 19 | |||||||||
5.45 3/1/47%, due | 30 | 30 | |||||||||
AXA Equitable Holdings, Inc., 5.00%, due 4/20/48 | 20 | 19 | (j) | ||||||||
Bank of America Corp., (3 month USD LIBOR + 1.07%), 3.97%, due 3/5/29 | 20 | 20 | (h) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Bank of America Corp., Ser. L, 3.95%, due 4/21/25 | $ | 25 | $ | 24 | |||||||
Broadcom Corp./ Broadcom Cayman Finance Ltd. | |||||||||||
3.88 1/15/27%, due | 80 | 76 | |||||||||
3.50 1/15/28%, due | 5 | 5 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | |||||||||||
4.91 7/23/25%, due | 45 | 46 | |||||||||
6.48 10/23/45%, due | 15 | 16 | |||||||||
5.38 5/1/47%, due | 5 | 5 | |||||||||
5.75 4/1/48%, due | 20 | 20 | |||||||||
Citigroup, Inc. | |||||||||||
(3 month USD LIBOR + 1.56%), 3.89%, due 1/10/28 | 10 | 10 | (h) | ||||||||
(3 month USD LIBOR + 1.15%), 3.52%, due 10/27/28 | 10 | 9 | (h) | ||||||||
CVS Health Corp. | |||||||||||
4.30 3/25/28%, due | 20 | 20 | |||||||||
5.05 3/25/48%, due | 50 | 51 | |||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. | |||||||||||
5.45 6/15/23%, due | 40 | 42 | (j) | ||||||||
6.02 6/15/26%, due | 15 | 16 | (j) | ||||||||
Discovery Communications LLC | |||||||||||
5.00 9/20/37%, due | 15 | 15 | |||||||||
5.20 9/20/47%, due | 15 | 15 | |||||||||
Energy Transfer Partners L.P. | |||||||||||
6.50 2/1/42%, due | 10 | 11 | |||||||||
Ser. B, (3 month USD LIBOR + 4.16%), 6.63%, due 12/31/99 | 30 | 28 | (h) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Ford Motor Credit Co. LLC, 3.20%, due 1/15/21 | $ | 20 | $ | 20 | |||||||
General Electric Co., Ser. D, (3 month USD LIBOR + 3.33%), 5.00%, due 12/29/49 | 80 | 79 | (h) | ||||||||
Goldman Sachs Group, Inc. | |||||||||||
2.60 4/23/20%, due | 10 | 10 | |||||||||
(3 month USD LIBOR + 1.51%), 3.69%, due 6/5/28 | 20 | 19 | (h) | ||||||||
(3 month USD LIBOR + 1.16%), 3.81%, due 4/23/29 | 35 | 33 | (h) | ||||||||
(3 month USD LIBOR + 1.37%), 4.02%, due 10/31/38 | 20 | 18 | (h) | ||||||||
5.15 5/22/45%, due | 15 | 15 | |||||||||
Hess Corp., 4.30%, due 4/1/27 | 15 | 15 | |||||||||
HP Enterprise Co. | |||||||||||
3.60 10/15/20%, due | 20 | 20 | |||||||||
4.90 10/15/25%, due | 25 | 26 | |||||||||
JPMorgan Chase & Co., (3 month USD LIBOR + 1.36%), 3.88%, due 7/24/38 | 15 | 14 | (h) | ||||||||
Kinder Morgan, Inc. | |||||||||||
5.00 2/15/21%, due | 25 | 26 | (j) | ||||||||
5.55 6/1/45%, due | 25 | 25 | |||||||||
Morgan Stanley, (3 month USD LIBOR + 1.14%), 3.77%, due 1/24/29 | 30 | 29 | (h) | ||||||||
MPLX L.P., 4.70%, due 4/15/48 | 30 | 28 | |||||||||
Noble Energy, Inc., 5.25%, due 11/15/43 | 20 | 21 | |||||||||
Synchrony Financial, 2.70%, due 2/3/20 | 10 | 10 | |||||||||
Verizon Communications, Inc., 4.67%, due 3/15/55 | 20 | 18 |
See Notes to Financial Statements
27
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Wells Fargo & Co., 2.55%, due 12/7/20 | $ | 10 | $ | 10 | |||||||
974 | |||||||||||
Total Corporate Bonds (Cost $1,311) | 1,266 | ||||||||||
Asset-Backed Securities 2.0% | |||||||||||
Ally Auto Receivables Trust, Ser. 2017-3, Class A2, 1.53%, due 3/16/20 | 6 | 6 | |||||||||
Argent Securities, Inc., Ser. 2003-W3, Class M1, (1 month USD LIBOR + 1.13%), 3.02%, due 9/25/33 | 18 | 18 | (h) | ||||||||
Bear Stearns Asset Backed Securities Trust, Ser. 2006-SD2, Class M2, (1 month USD LIBOR + 0.80%), 2.70%, due 6/25/36 | 100 | 97 | (h) | ||||||||
Capital One Multi- Asset Execution Trust, Ser. 2016-A1, Class A1, (1 month USD LIBOR + 0.45%), 2.35%, due 2/15/22 | 10 | 10 | (h) | ||||||||
Carrington Mortgage Loan Trust, Ser. 2006- OPT1, Class M1, (1 month USD LIBOR + 0.35%), 2.25%, due 2/25/36 | 100 | 98 | (h) | ||||||||
Citibank Credit Card Issuance Trust, Ser. 2017-A3, Class A3, 1.92%, due 4/7/22 | 100 | 98 |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
JP Morgan Mortgage Acquisition Corp., Ser. 2005-OPT2, Class M3, (1 month USD LIBOR + 0.48%), 2.38%, due 12/25/35 | $ | 80 | $ | 77 | (h) | ||||||
Toyota Auto Receivables Owner Trust, Ser. 2017-B, Class A2A, 1.46%, due 1/15/20 | 20 | 20 | |||||||||
Total Asset-Backed Securities (Cost $411) | 424 | ||||||||||
Number of Shares | |||||||||||
Exchange-Traded Funds 2.6% | |||||||||||
iShares TIPS Bond ETF | 2,850 | 321 | |||||||||
SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 5,506 | 151 | |||||||||
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 3,000 | 56 | |||||||||
Total Exchange- Traded Funds (Cost $532) | 528 | ||||||||||
Investment Companies(k) 52.5% | |||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 114,916 | 1,034 | |||||||||
Neuberger Berman Emerging Markets Equity Fund Class R6 | 59,894 | 1,266 | |||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 44,373 | 440 | |||||||||
Neuberger Berman Genesis Fund Class R6 | 16,650 | 958 |
Number of Shares | Value (000's omitted) | ||||||||||
Neuberger Berman High Income Bond Fund Class R6 | 113,996 | $ | 968 | ||||||||
Neuberger Berman International Select Fund Class R6 | 233,286 | 3,052 | (l) | ||||||||
Neuberger Berman Long Short Credit Fund Class R6 | 43,867 | 411 | |||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 215,888 | 1,425 | |||||||||
Neuberger Berman U.S. Equity Index PutWrite Strategy Fund Class R6 | 126,624 | 1,341 | |||||||||
Total Investment Companies (Cost $10,127) | 10,895 | ||||||||||
Total Options Purchased(m) 0.0%(b) | 1 (Cost $2) | ||||||||||
Short-Term Investments 2.3% | |||||||||||
Investment Companies 2.3% | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class, 1.64%(n) (Cost $483) | 482,794 | 483 | (l) | ||||||||
Total Investments 104.6% (Cost $20,636) | 21,717 | ||||||||||
Liabilities Less Other Assets (4.6)% | (961 | )(o) | |||||||||
Net Assets 100.0% | $ | 20,756 |
See Notes to Financial Statements
28
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
* Non-income producing security.
(a) All or a portion of the security is pledged as collateral for options written.
(b) Represents less than 0.05% of net assets.
(c) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at April 30, 2018 amounted to approximately $10,000, which represents 0.0% of net assets of the Fund.
(d) Amount less than one thousand.
(e) All or a portion of the security is pledged as collateral for futures.
(f) Rate shown was the discount rate at the date of purchase.
(g) Index-linked bond whose principal amount adjusts according to a government retail price index.
(h) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2018 and changes periodically.
Benchmarks for Variable / Floating Rates:
LIBOR = London Interbank Offered Rate
ICE = Intercontinental Exchange
(i) TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total value of all such securities (excluding forward sales contracts, if any) at April 30, 2018 amounted to approximately $1,070,000, which represents 5.2% of net assets of the Fund.
(j) Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2018, these securities amounted to approximately $163,000, which represents 0.8% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
(k) Affiliated company as defined under the Investment Company Act of 1940, as amended (see Note F of Notes to Financial Statements).
(l) All or a portion of this security is segregated in connection with obligations for to be announced securities, options written, futures, forward foreign currency contracts and/or swaps with a total value of approximately $3,534,000.
(m) See "Purchased option contracts" under Derivative Instruments.
(n) Represents 7-day effective yield as of April 30, 2018.
(o) Includes the impact of the Fund's open positions in derivatives at April 30, 2018.
See Notes to Financial Statements
29
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
POSITIONS BY INDUSTRY
Industry | Investments at Value (000's omitted) | Percentage of Net Assets | |||||||||
Investment Companies* | $ | 10,895 | 52.5 | % | |||||||
Mortgage-Backed Securities | 1,445 | 7.0 | % | ||||||||
U.S. Treasury Obligations | 1,419 | 6.8 | % | ||||||||
Banks | 819 | 3.9 | % | ||||||||
Exchange-Traded Funds | 528 | 2.6 | % | ||||||||
Asset-Backed Securities | 424 | 2.0 | % | ||||||||
Pharmaceuticals | 320 | 1.5 | % | ||||||||
Oil, Gas & Consumable Fuels | 319 | 1.5 | % | ||||||||
Media | 260 | 1.2 | % | ||||||||
Internet Software & Services | 254 | 1.2 | % | ||||||||
Internet & Direct Marketing Retail | 234 | 1.1 | % | ||||||||
Insurance | 228 | 1.1 | % | ||||||||
Technology Hardware, Storage & Peripherals | 224 | 1.1 | % | ||||||||
Health Care Providers & Services | 218 | 1.1 | % | ||||||||
Semiconductors & Semiconductor Equipment | 202 | 1.0 | % | ||||||||
Chemicals | 185 | 0.9 | % | ||||||||
Beverages | 169 | 0.8 | % | ||||||||
IT Services | 166 | 0.8 | % | ||||||||
Food & Staples Retailing | 150 | 0.7 | % | ||||||||
Biotechnology | 140 | 0.7 | % | ||||||||
Software | 138 | 0.7 | % | ||||||||
U.S. Government Agency Securities | 130 | 0.6 | % | ||||||||
Computers | 125 | 0.6 | % | ||||||||
Pipelines | 118 | 0.6 | % | ||||||||
Trading Companies & Distributors | 108 | 0.5 | % | ||||||||
Hotels, Restaurants & Leisure | 105 | 0.5 | % | ||||||||
Automobiles | 97 | 0.5 | % | ||||||||
Metals & Mining | 96 | 0.4 | % | ||||||||
Equity Real Estate Investment Trusts | 89 | 0.4 | % | ||||||||
Mortgage Real Estate Investment | 87 | 0.4 | % | ||||||||
Household Durables | 86 | 0.4 | % | ||||||||
Electronic Equipment, Instruments & Components | 85 | 0.4 | % | ||||||||
Diversified Telecommunication Services | 83 | 0.4 | % | ||||||||
Semiconductors | 81 | 0.4 | % | ||||||||
Miscellaneous Manufacturers | 79 | 0.4 | % | ||||||||
Health Care Equipment & Supplies | 77 | 0.4 | % | ||||||||
Capital Markets | 76 | 0.4 | % | ||||||||
Aerospace & Defense | 73 | 0.4 | % | ||||||||
Telecommunications | 67 | 0.3 | % | ||||||||
Multi-Utilities | 63 | 0.3 | % | ||||||||
Food Products | 62 | 0.3 | % | ||||||||
Oil & Gas | 57 | 0.3 | % | ||||||||
Electric Utilities | 41 | 0.2 | % | ||||||||
Agriculture | 37 | 0.2 | % | ||||||||
Construction & Engineering | 36 | 0.2 | % | ||||||||
Textiles, Apparel & Luxury Goods | 35 | 0.2 | % | ||||||||
Specialty Retail | 33 | 0.2 | % | ||||||||
Machinery | 32 | 0.2 | % | ||||||||
Wireless Telecommunication Services | 32 | 0.2 | % | ||||||||
Industrial Conglomerates | 28 | 0.1 | % | ||||||||
Electrical Equipment | 25 | 0.1 | % | ||||||||
Diversified Financial Services | 24 | 0.1 | % |
See Notes to Financial Statements
30
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
POSITIONS BY INDUSTRY (cont'd)
Industry | Investments at Value (000's omitted) | Percentage of Net Assets | |||||||||
Multiline Retail | $ | 24 | 0.1 | % | |||||||
Real Estate Management & Development | 24 | 0.1 | % | ||||||||
Communications Equipment | 23 | 0.1 | % | ||||||||
Food | 23 | 0.1 | % | ||||||||
Commercial Services & Supplies | 21 | 0.1 | % | ||||||||
Distributors | 21 | 0.1 | % | ||||||||
Independent Power and Renewable Electricity Producers | 21 | 0.1 | % | ||||||||
Auto Manufacturers | 20 | 0.1 | % | ||||||||
Airlines | 19 | 0.1 | % | ||||||||
Transportation Infrastructure | 17 | 0.1 | % | ||||||||
Iron—Steel | 16 | 0.1 | % | ||||||||
Building Products | 15 | 0.1 | % | ||||||||
Diversified Consumer Services | 14 | 0.1 | % | ||||||||
Life Sciences Tools & Services | 14 | 0.1 | % | ||||||||
Road & Rail | 12 | 0.1 | % | ||||||||
Containers & Packaging | 9 | 0.0 | % | ||||||||
Household Products | 9 | 0.0 | % | ||||||||
Tobacco | 9 | 0.0 | % | ||||||||
Auto Components | 8 | 0.0 | % | ||||||||
Air Freight & Logistics | 7 | 0.0 | % | ||||||||
Construction Materials | 4 | 0.0 | % | ||||||||
Short-Term Investments and Other Liabilities—Net | (478 | ) | (2.3 | )% | |||||||
$ | 20,756 | 100.0 | % |
* Each position is an Investment Company under the 1940 Act, as amended, and is not treated as an industry for purposes of the Fund's policy on industry concentration. This represents the aggregate of all investment companies.
See Notes to Financial Statements
31
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2018, open positions in futures for the Fund were as follows:
Long Futures:
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
5/2018 | 1 | HSCEI Index | $ | 78,134 | $ | 1,911 | |||||||||||||
6/2018 | 3 | Euro-Bund | 575,083 | (401 | ) | ||||||||||||||
6/2018 | 1 | Topix Index | 162,779 | 5,580 | |||||||||||||||
6/2018 | 17 | Euro STOXX 50 Index | 713,184 | 19,141 | |||||||||||||||
6/2018 | 1 | FTSE 100 Index | 102,702 | 4,991 | |||||||||||||||
6/2018 | 2 | MSCI EAFE Index | 202,650 | (1,100 | ) | ||||||||||||||
6/2018 | 13 | MSCI Emerging Markets Index | 748,930 | (43,797 | ) | ||||||||||||||
6/2018 | 4 | S&P 500 E-Mini Index | 529,400 | (40 | ) | ||||||||||||||
6/2018 | 10 | Stoxx Europe 600 | 230,048 | 11,581 | |||||||||||||||
6/2018 | 1 | Canadian Bond, 10 Year | 102,379 | (8 | ) | ||||||||||||||
6/2018 | 4 | U.S. Treasury Long Bond | 575,375 | (6,209 | ) | ||||||||||||||
6/2018 | 11 | U.S. Treasury Note, 10 Year | 1,315,875 | (3,395 | ) | ||||||||||||||
6/2018 | 1 | U.S. Treasury Note, 5 Year | 113,508 | (281 | ) | ||||||||||||||
Total Long Positions | $ | 5,450,047 | $ | (12,027 | ) |
Short Futures:
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
6/2018 | 4 | Euro-Bund | $ | (766,777 | ) | $ | (7,787 | ) | |||||||||||
6/2018 | 2 | Euro-OAT | (371,482 | ) | (5,072 | ) | |||||||||||||
6/2018 | 4 | S&P 500 E-Mini Index | (529,400 | ) | 28,400 | ||||||||||||||
6/2018 | 1 | U.S. Treasury Note, Ultra 10 Year | (127,891 | ) | (563 | ) | |||||||||||||
6/2018 | 3 | U.S. Treasury Long Bond | (431,531 | ) | (3,059 | ) | |||||||||||||
6/2018 | 3 | U.S. Treasury Note, 10 Year | (358,875 | ) | 1,023 | ||||||||||||||
6/2018 | 1 | U.S. Treasury Ultra Bond | (157,125 | ) | (2,617 | ) | |||||||||||||
Total Short Positions | $ | (2,743,081 | ) | $ | 10,325 | ||||||||||||||
Total Futures | $ | (1,702 | ) |
At April 30, 2018, the Fund had $153,724 deposited in a segregated account to cover margin requirements on open futures. The Fund had securities pledged in the amount of $99,898 to cover collateral requirements on open futures.
For the six months ended April 30, 2018, the average notional value of futures for the Fund was $4,166,359 for long positions and $(2,867,788) for short positions.
See Notes to Financial Statements
32
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Forward foreign currency contracts ("forward contracts")
At April 30, 2018, open forward contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
165,180 | USD | 217,117 | AUD | Citibank, N.A. | 7/24/2018 | $ | 1,664 | ||||||||||||||||||||
46,802 | USD | 60,099 | AUD | JPMorgan Chase Bank N.A. | 7/24/2018 | 1,540 | |||||||||||||||||||||
93,462 | USD | 120,009 | AUD | Royal Bank of Canada | 7/24/2018 | 3,080 | |||||||||||||||||||||
113,857 | USD | 146,410 | AUD | Standard Chartered Bank | 7/24/2018 | 3,592 | |||||||||||||||||||||
175,287 | USD | 225,313 | AUD | State Street Bank and Trust Company | 7/24/2018 | 5,597 | |||||||||||||||||||||
784,736 | USD | 989,638 | CAD | Goldman Sachs International | 7/24/2018 | 12,469 | |||||||||||||||||||||
25,788 | USD | 32,575 | CAD | Goldman Sachs International | 7/24/2018 | 368 | |||||||||||||||||||||
516,847 | USD | 652,114 | CAD | JPMorgan Chase Bank N.A. | 7/24/2018 | 7,969 | |||||||||||||||||||||
140,204 | USD | 175,747 | CAD | JPMorgan Chase Bank N.A. | 7/24/2018 | 3,060 | |||||||||||||||||||||
416,060 | USD | 524,986 | CAD | Royal Bank of Canada | 7/24/2018 | 6,386 | |||||||||||||||||||||
76,501 | USD | 73,305 | CHF | Citibank, N.A. | 7/24/2018 | 1,992 | |||||||||||||||||||||
163,458 | USD | 156,832 | CHF | Goldman Sachs International | 7/24/2018 | 4,049 | |||||||||||||||||||||
15,874 | USD | 15,329 | CHF | Goldman Sachs International | 7/24/2018 | 293 | |||||||||||||||||||||
130,042 | USD | 124,766 | CHF | JPMorgan Chase Bank N.A. | 7/24/2018 | 3,226 | |||||||||||||||||||||
332,553 | USD | 318,845 | CHF | Royal Bank of Canada | 7/24/2018 | 8,469 | |||||||||||||||||||||
762,675 | USD | 730,784 | CHF | Societe Generale | 7/24/2018 | 19,884 | |||||||||||||||||||||
16,589 | USD | 15,900 | CHF | Standard Chartered Bank | 7/24/2018 | 427 | |||||||||||||||||||||
611,143 | USD | 489,926 | EUR | Citibank, N.A. | 7/24/2018 | 15,732 | |||||||||||||||||||||
36,425 | USD | 29,292 | EUR | JPMorgan Chase Bank N.A. | 7/24/2018 | 826 | |||||||||||||||||||||
32,982 | USD | 26,447 | EUR | Royal Bank of Canada | 7/24/2018 | 841 | |||||||||||||||||||||
1,843,042 | USD | 1,477,714 | EUR | State Street Bank and Trust Company | 7/24/2018 | 47,162 | |||||||||||||||||||||
283,527 | USD | 227,424 | EUR | State Street Bank and Trust Company | 7/24/2018 | 7,137 | |||||||||||||||||||||
86,136 | USD | 69,008 | EUR | State Street Bank and Trust Company | 7/24/2018 | 2,270 | |||||||||||||||||||||
81,582 | USD | 65,858 | EUR | State Street Bank and Trust Company | 7/24/2018 | 1,544 | |||||||||||||||||||||
212,005 | USD | 148,474 | GBP | Citibank, N.A. | 7/24/2018 | 6,771 | |||||||||||||||||||||
113,652 | USD | 79,548 | GBP | Citibank, N.A. | 7/24/2018 | 3,694 | |||||||||||||||||||||
26,206 | USD | 18,236 | GBP | JPMorgan Chase Bank N.A. | 7/24/2018 | 998 | |||||||||||||||||||||
173,731 | USD | 121,628 | GBP | Standard Chartered Bank | 7/24/2018 | 5,606 | |||||||||||||||||||||
1,019,177 | USD | 714,238 | GBP | State Street Bank and Trust Company | 7/24/2018 | 31,896 | |||||||||||||||||||||
83,888 | USD | 58,653 | GBP | State Street Bank and Trust Company | 7/24/2018 | 2,813 | |||||||||||||||||||||
124,609 | USD | 13,269,839 | JPY | Citibank, N.A. | 7/24/2018 | 2,521 | |||||||||||||||||||||
184,016 | USD | 19,906,355 | JPY | Citibank, N.A. | 7/24/2018 | 869 | |||||||||||||||||||||
103,013 | USD | 10,977,706 | JPY | Goldman Sachs International | 7/24/2018 | 2,013 | |||||||||||||||||||||
20,826 | USD | 2,227,144 | JPY | Goldman Sachs International | 7/24/2018 | 335 | |||||||||||||||||||||
146,727 | USD | 15,617,632 | JPY | Societe Generale | 7/24/2018 | 3,038 | |||||||||||||||||||||
19,705 | USD | 2,098,467 | JPY | Standard Chartered Bank | 7/24/2018 | 399 | |||||||||||||||||||||
277,929 | USD | 29,618,797 | JPY | State Street Bank and Trust Company | 7/24/2018 | 5,424 | |||||||||||||||||||||
56,072 | USD | 5,986,807 | JPY | State Street Bank and Trust Company | 7/24/2018 | 991 | |||||||||||||||||||||
95,618 | USD | 101,575,417 | KRW | Goldman Sachs International | 7/24/2018 | 539 | |||||||||||||||||||||
64,453 | USD | 1,179,737 | MXN | State Street Bank and Trust Company | 7/24/2018 | 2,175 |
See Notes to Financial Statements
33
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
105,160 | USD | 826,301 | NOK | Citibank, N.A. | 7/24/2018 | $ | 1,844 | ||||||||||||||||||||
324,793 | USD | 2,509,806 | NOK | Goldman Sachs International | 7/24/2018 | 10,981 | |||||||||||||||||||||
52,755 | USD | 407,799 | NOK | JPMorgan Chase Bank N.A. | 7/24/2018 | 1,766 | |||||||||||||||||||||
116,557 | USD | 901,703 | NOK | State Street Bank and Trust Company | 7/24/2018 | 3,813 | |||||||||||||||||||||
404,681 | USD | 552,269 | NZD | JPMorgan Chase Bank N.A. | 7/24/2018 | 16,133 | |||||||||||||||||||||
569,101 | USD | 775,642 | NZD | Societe Generale | 7/24/2018 | 23,399 | |||||||||||||||||||||
220,089 | USD | 300,404 | NZD | Standard Chartered Bank | 7/24/2018 | 8,740 | |||||||||||||||||||||
437,877 | USD | 598,107 | NZD | State Street Bank and Trust Company | 7/24/2018 | 17,080 | |||||||||||||||||||||
58,120 | USD | 79,622 | NZD | State Street Bank and Trust Company | 7/24/2018 | 2,102 | |||||||||||||||||||||
309,161 | USD | 2,572,807 | SEK | Citibank, N.A. | 7/24/2018 | 13,448 | |||||||||||||||||||||
173,841 | USD | 1,448,243 | SEK | Goldman Sachs International | 7/24/2018 | 7,383 | |||||||||||||||||||||
47,529 | USD | 397,063 | SEK | JPMorgan Chase Bank N.A. | 7/24/2018 | 1,891 | |||||||||||||||||||||
119,438 | USD | 993,096 | SEK | Societe Generale | 7/24/2018 | 5,294 | |||||||||||||||||||||
6 | USD | 72 | ZAR | State Street Bank and Trust Company | 7/24/2018 | 0 | (a) | ||||||||||||||||||||
Total unrealized appreciation | $ | 343,533 | |||||||||||||||||||||||||
529,887 | AUD | 412,469 | USD | Citibank, N.A. | 7/24/2018 | (13,397 | ) | ||||||||||||||||||||
487,539 | AUD | 379,556 | USD | Goldman Sachs International | 7/24/2018 | (12,377 | ) | ||||||||||||||||||||
161,797 | AUD | 126,045 | USD | Societe Generale | 7/24/2018 | (4,191 | ) | ||||||||||||||||||||
136,036 | AUD | 104,745 | USD | State Street Bank and Trust Company | 7/24/2018 | (2,293 | ) | ||||||||||||||||||||
295,648 | CAD | 230,815 | USD | Citibank, N.A. | 7/24/2018 | (106 | ) | ||||||||||||||||||||
595,948 | CAD | 475,478 | USD | Citibank, N.A. | 7/24/2018 | (10,429 | ) | ||||||||||||||||||||
980,499 | CAD | 780,431 | USD | Societe Generale | 7/24/2018 | (15,297 | ) | ||||||||||||||||||||
95,668 | CAD | 76,275 | USD | Standard Chartered Bank | 7/24/2018 | (1,620 | ) | ||||||||||||||||||||
1,068,980 | CAD | 847,232 | USD | State Street Bank and Trust Company | 7/24/2018 | �� | (13,051 | ) | |||||||||||||||||||
108,059 | CHF | 112,582 | USD | Citibank, N.A. | 7/24/2018 | (2,748 | ) | ||||||||||||||||||||
28,926 | CHF | 30,212 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (811 | ) | ||||||||||||||||||||
258,927 | CHF | 269,435 | USD | State Street Bank and Trust Company | 7/24/2018 | (6,253 | ) | ||||||||||||||||||||
379,019 | CHF | 395,064 | USD | State Street Bank and Trust Company | 7/24/2018 | (9,817 | ) | ||||||||||||||||||||
102,771 | EUR | 126,351 | USD | Citibank, N.A. | 7/24/2018 | (1,452 | ) | ||||||||||||||||||||
494,784 | EUR | 616,857 | USD | Goldman Sachs International | 7/24/2018 | (15,541 | ) | ||||||||||||||||||||
572,851 | EUR | 713,990 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (17,799 | ) | ||||||||||||||||||||
9,179 | EUR | 11,459 | USD | Societe Generale | 7/24/2018 | (304 | ) | ||||||||||||||||||||
224,076 | EUR | 279,532 | USD | Standard Chartered Bank | 7/24/2018 | (7,210 | ) | ||||||||||||||||||||
76,541 | GBP | 107,274 | USD | Citibank, N.A. | 7/24/2018 | (1,472 | ) | ||||||||||||||||||||
22,014 | GBP | 31,091 | USD | Goldman Sachs International | 7/24/2018 | (661 | ) | ||||||||||||||||||||
354,845 | GBP | 506,643 | USD | Goldman Sachs International | 7/24/2018 | (16,146 | ) | ||||||||||||||||||||
287,153 | GBP | 410,059 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (13,131 | ) | ||||||||||||||||||||
235,666 | GBP | 336,709 | USD | Royal Bank of Canada | 7/24/2018 | (10,951 | ) | ||||||||||||||||||||
107,798 | GBP | 154,088 | USD | Societe Generale | 7/24/2018 | (5,080 | ) | ||||||||||||||||||||
1,414,069 | JPY | 13,288 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (278 | ) | ||||||||||||||||||||
44,852,461 | JPY | 420,698 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (8,036 | ) | ||||||||||||||||||||
28,031,634 | JPY | 263,039 | USD | Royal Bank of Canada | 7/24/2018 | (5,136 | ) | ||||||||||||||||||||
40,246,991 | KRW | 37,915 | USD | State Street Bank and Trust Company | 7/24/2018 | (242 | ) |
See Notes to Financial Statements
34
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
1,180,153 | MXN | 64,465 | USD | Goldman Sachs International | 7/24/2018 | $ | (2,164 | ) | |||||||||||||||||||
3,756,799 | NOK | 486,556 | USD | Citibank, N.A. | 7/24/2018 | (16,828 | ) | ||||||||||||||||||||
166,310 | NOK | 21,383 | USD | Goldman Sachs International | 7/24/2018 | (588 | ) | ||||||||||||||||||||
1,218,692 | NOK | 157,324 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (4,946 | ) | ||||||||||||||||||||
1,427,648 | NOK | 184,852 | USD | Royal Bank of Canada | 7/24/2018 | (6,347 | ) | ||||||||||||||||||||
2,247,380 | NOK | 291,200 | USD | Societe Generale | 7/24/2018 | (10,201 | ) | ||||||||||||||||||||
189,989 | NOK | 24,578 | USD | Standard Chartered Bank | 7/24/2018 | (822 | ) | ||||||||||||||||||||
78,796 | NZD | 57,772 | USD | Citibank, N.A. | 7/24/2018 | (2,336 | ) | ||||||||||||||||||||
462,745 | NZD | 330,074 | USD | Citibank, N.A. | 7/24/2018 | (4,510 | ) | ||||||||||||||||||||
628,923 | NZD | 460,850 | USD | Goldman Sachs International | 7/24/2018 | (18,372 | ) | ||||||||||||||||||||
174,199 | NZD | 127,776 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (5,218 | ) | ||||||||||||||||||||
243,549 | NZD | 178,465 | USD | Royal Bank of Canada | 7/24/2018 | (7,117 | ) | ||||||||||||||||||||
141,751 | NZD | 102,405 | USD | State Street Bank and Trust Company | 7/24/2018 | (2,676 | ) | ||||||||||||||||||||
216,552 | NZD | 158,990 | USD | State Street Bank and Trust Company | 7/24/2018 | (6,636 | ) | ||||||||||||||||||||
125,840 | SEK | 14,922 | USD | Goldman Sachs International | 7/24/2018 | (458 | ) | ||||||||||||||||||||
1,413,426 | SEK | 169,555 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (7,099 | ) | ||||||||||||||||||||
2,360,825 | SEK | 283,423 | USD | Royal Bank of Canada | 7/24/2018 | (12,075 | ) | ||||||||||||||||||||
2,161,008 | SEK | 259,355 | USD | Standard Chartered Bank | 7/24/2018 | (10,973 | ) | ||||||||||||||||||||
918,269 | SEK | 110,280 | USD | State Street Bank and Trust Company | 7/24/2018 | (4,736 | ) | ||||||||||||||||||||
8,902,936 | SEK | 1,068,311 | USD | State Street Bank and Trust Company | 7/24/2018 | (45,028 | ) | ||||||||||||||||||||
Total unrealized depreciation | $ | (364,959 | ) | ||||||||||||||||||||||||
Total net unrealized depreciation | $ | (21,426 | ) |
AUD = Australian Dollar
CAD = Canadian Dollar
CHF = Swiss Franc
EUR = Euro
GBP = Pound Sterling
JPY = Japanese Yen
KRW = South Korean Won(b)
MXN = Mexican Peso
NOK = Norwegian Krone
NZD = New Zealand Dollar
SEK = Swedish Krona
ZAR = South African Rand
(a) Amount less than one dollar.
(b) Non-deliverable forward contracts.
See Notes to Financial Statements
35
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
For the six months ended April 30, 2018, the Fund's investments in forward contracts had an average notional value of $27,284,085.
Total return swap contracts ("total return swaps")
At April 30, 2018, the Fund had outstanding over-the-counter total return swaps as follows:
Long Total Return Swaps
Counterparty | Reference Entity | Notional Amount(r) | Maturity Date | Variable- rate(q) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | ||||||||||||||||||||||||
Goldman Sachs International | MSCI Europe ex UK Financials Index | EUR | 78,190 | 9/15/2018 | (0.18 | )%(a) | $ | 30 | $ | 29 | $ | 59 | |||||||||||||||||||
JPMorgan Chase Bank N.A. | STOXX Europe 600 Travel & Leisure (Net Return) Index | EUR | 196,741 | 11/15/2018 | (0.45 | )%(b) | (10,886 | ) | 383 | (10,503 | ) | ||||||||||||||||||||
JPMorgan Chase Bank N.A. | STOXX Europe 600 Basic Resources (Net Return) Index | EUR | 71,529 | 3/8/2019 | (0.47 | )%(c) | 2,829 | 54 | 2,883 | ||||||||||||||||||||||
Goldman Sachs International | S&P 500 Energy Sector Total Return Index | $ | 108,466 | 6/13/2018 | 2.66 | %(d) | 7,479 | (281 | ) | 7,198 | |||||||||||||||||||||
Goldman Sachs International | S&P 500 Financials Sector Total Return Index | 99,778 | 6/13/2018 | 2.80 | %(e) | (679 | ) | (298 | ) | (977 | ) | ||||||||||||||||||||
Citibank, N.A. | S&P Industrials Sector Total Return Index | 154,392 | 6/19/2018 | 2.78 | %(f) | (5,920 | ) | (429 | ) | (6,349 | ) | ||||||||||||||||||||
JPMorgan Chase Bank N.A. | S&P 500 Total Return Index | 218,108 | 4/3/2019 | 2.40 | %(g) | 2,997 | (393 | ) | 2,604 | ||||||||||||||||||||||
Citibank, N.A. | S&P 500 Financials Sector Total Return Index | 102,779 | 4/26/2019 | 2.15 | %(h) | (986 | ) | — | (986 | ) | |||||||||||||||||||||
Total | $ | (5,136 | ) | $ | (935 | ) | $ | (6,071 | ) |
Short Total Return Swaps
Counterparty | Reference Entity | Notional Amount(r) | Maturity Date | Variable- rate(q) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | ||||||||||||||||||||||||
Goldman Sachs International | MSCI Daily Total Return Gross Europe ex UK Index | EUR | (80,538 | ) | 9/15/18 | (0.18 | )%(i) | $ | (2,901 | ) | $ | (66 | ) | $ | (2,967 | ) | |||||||||||||||
JPMorgan Chase Bank N.A. | STOXX Europe 600 (Net Return) Index | EUR | (98,318 | ) | 11/15/18 | (0.67 | )%(j) | 218 | (160 | ) | 58 | ||||||||||||||||||||
JPMorgan Chase Bank N.A. | STOXX Europe 600 Utilities (Net Return) Index | EUR | (110,594 | ) | 3/8/19 | (0.81 | )%(k) | (8,118 | ) | (84 | ) | (8,202 | ) | ||||||||||||||||||
JPMorgan Chase Bank N.A. | FTSE 100 Net of Tax Index | GBP | (89,307 | ) | 11/15/18 | (0.35 | )%(l) | (2,943 | ) | 54 | (2,889 | ) | |||||||||||||||||||
Goldman Sachs International | S&P 500 Total Return Index | $ | (202,529 | ) | 6/13/2018 | 2.62 | %(m) | (209 | ) | 552 | 343 |
See Notes to Financial Statements
36
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount(r) | Maturity Date | Variable- rate(q) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | ||||||||||||||||||||||||
Citibank, N.A. | S&P 500 Consumer Durables & Apparel Group Total Return Index | $ | (160,935 | ) | 6/19/2018 | 2.40 | %(n) | $ | (924 | ) | $ | 360 | $ | (564 | ) | ||||||||||||||||
Goldman Sachs International | MSCI U.S. REIT Index | (199,563 | ) | 7/13/18 | 2.57 | %(n) | 3,757 | 471 | 4,228 | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | S&P 500 Utilities Sector Total Return Index | (109,702 | ) | 4/3/2019 | 2.27 | %(o) | (2,716 | ) | 29 | (2,687 | ) | ||||||||||||||||||||
JPMorgan Chase Bank N.A. | S&P 500 Consumer Staples Sector Total Return Index | (104,653 | ) | 4/3/2019 | 2.27 | %(o) | 3,481 | 176 | 3,657 | ||||||||||||||||||||||
Citibank, N.A. | S&P 500 Consumer Discretionry Sector Total Return Index | (103,006 | ) | 4/26/2019 | 2.02 | %(p) | 383 | — | 383 | ||||||||||||||||||||||
Total | $ | (9,972 | ) | $ | 1,332 | $ | (8,640 | ) |
(a) Fund pays 3-month EURIBOR plus 0.15%. Payment frequency—quarterly. Fund receives return on reference entity. Payment frequency—upon termination.
(b) Fund pays 3-month EURIBOR minus 0.12%. Payment frequency—quarterly. Fund receives return on reference entity. Payment frequency—quarterly.
(c) Fund pays 3-month EURIBOR minus 0.14%. Payment frequency—quarterly. Fund receives return on reference entity. Payment frequency—quarterly.
(d) Fund pays 3-month USD LIBOR plus 0.54%. Payment frequency—quarterly. Fund receives return on reference entity. Payment frequency—upon termination.
(e) Fund pays 3-month USD LIBOR plus 0.68%. Payment frequency—quarterly. Fund receives return on reference entity. Payment frequency—upon termination.
(f) Fund pays 3-month USD LIBOR plus 0.60%. Payment frequency—quarterly. Fund receives return on reference entity. Payment frequency—upon termination.
(g) Fund pays 1-month USD LIBOR plus 0.50%. Payment frequency—monthly. Fund receives return on reference entity. Payment frequency—upon termination.
(h) Fund pays 1-month USD LIBOR plus 0.25%. Payment frequency—monthly. Fund receives return on reference entity. Payment frequency—upon termination.
(i) Fund receives 3-month EURIBOR plus 0.15%. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—upon termination.
(j) Fund receives 3-month EURIBOR minus 0.34%. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—quarterly.
(k) Fund receives 3-month EURIBOR minus 0.48%. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—quarterly.
(l) Fund receives 3-month EURIBOR minus 0.02%. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—quarterly.
(m) Fund receives 3-month USD LIBOR plus 0.50%. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—upon termination.
See Notes to Financial Statements
37
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
(n) Fund receives 3-month USD LIBOR plus 0.22%. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—upon termination.
(o) Fund receives 1-month USD LIBOR plus 0.37%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(p) Fund receives 1-month USD LIBOR plus 0.12%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
EURIBOR = Euro Interbank Offered Rate
LIBOR = London Interbank Offered Rate
(q) Effective rate at April 30, 2018.
(r) Notional amount is stated in the currency in which the contract is denominated.
EUR = Euro
GBP = Pound Sterling
For the six months ended April 30, 2018, the average notional value of total return swaps was $635,911 for long positions and $(843,457) for short positions.
Purchased option contracts ("options purchased")
At April 30, 2018, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Mini Index | 10 | $ | 264,810 | $ | 288 | 5/4/2018 | $ | 0 | (a)(b) | ||||||||||||||
S&P 500 Mini Index | 8 | 211,848 | 292.5 | 5/4/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 7 | 185,367 | 295 | 5/4/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 292.5 | 5/11/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 17 | 450,177 | 295 | 5/11/2018 | 17 | ||||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 294 | 5/18/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 8 | 211,848 | 295 | 5/18/2018 | 8 | ||||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 295 | 5/25/2018 | 14 | ||||||||||||||||||
Total calls (cost $253) | $ | 39 | |||||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Mini Index | 10 | 264,810 | 235 | 5/4/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 15 | 397,215 | 240 | 5/4/2018 | 37 | ||||||||||||||||||
S&P 500 Mini Index | 18 | 476,658 | 240 | 5/11/2018 | 171 | ||||||||||||||||||
S&P 500 Mini Index | 8 | 211,848 | 241 | 5/11/2018 | 80 | ||||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 240 | 5/18/2018 | 166 | ||||||||||||||||||
S&P 500 Mini Index | 8 | 211,848 | 241 | 5/18/2018 | 156 | ||||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 241 | 5/25/2018 | 275 | ||||||||||||||||||
Total puts (cost $1,962) | $ | 885 | |||||||||||||||||||||
Total options purchased (cost $2,215) | $ | 924 |
See Notes to Financial Statements
38
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
(a) Security fair valued as of April 30, 2018 in accordance with procedures approved by the Board of Trustees.
(b) Value determined using significant unobservable inputs.
Written option contracts ("options written")
At April 30, 2018, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Mini Index | 10 | $ | 264,810 | 267 | 5/4/2018 | $ | (755 | ) | |||||||||||||||
S&P 500 Mini Index | 8 | 211,848 | 271 | 5/4/2018 | (64 | ) | |||||||||||||||||
S&P 500 Mini Index | 7 | 185,367 | 270 | 5/4/2018 | (98 | ) | |||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 272 | 5/11/2018 | (225 | ) | |||||||||||||||||
S&P 500 Mini Index | 8 | 211,848 | 271 | 5/11/2018 | (300 | ) | |||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 270.5 | 5/11/2018 | (414 | ) | |||||||||||||||||
S&P 500 Mini Index | 17 | 450,177 | 272 | 5/18/2018 | (901 | ) | |||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 273 | 5/25/2018 | (545 | ) | |||||||||||||||||
Total calls (premium received $12,324) | $ | (3,302 | ) | ||||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Mini Index | 10 | 264,810 | 257 | 5/4/2018 | (210 | ) | |||||||||||||||||
S&P 500 Mini Index | 8 | 211,848 | 263 | 5/4/2018 | (856 | ) | |||||||||||||||||
S&P 500 Mini Index | 7 | 185,367 | 264 | 5/4/2018 | (970 | ) | |||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 261 | 5/11/2018 | (1,255 | ) | |||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 263 | 5/11/2018 | (1,751 | ) | |||||||||||||||||
S&P 500 Mini Index | 8 | 211,848 | 265 | 5/11/2018 | (2,152 | ) | |||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 262 | 5/18/2018 | (2,034 | ) | |||||||||||||||||
S&P 500 Mini Index | 8 | 211,848 | 263.5 | 5/18/2018 | (2,204 | ) | |||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 262.5 | 5/25/2018 | (2,605 | ) | |||||||||||||||||
Total puts (premium received $15,903) | $ | (14,037 | ) | ||||||||||||||||||||
Total options written (premium received $28,227) | $ | (17,339 | ) |
(a) Security fair valued as of April 30, 2018 in accordance with procedures approved by the Board of Trustees.
(b) Value determined using significant unobservable inputs.
For the six months ended April 30, 2018, the Fund had an average market value of $1,009 in options purchased and $(18,355) in options written. At April 30, 2018, the Fund had securities pledged in the amount of $1,019,891 to cover collateral requirements for options written.
See Notes to Financial Statements
39
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2018:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(c) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Australia | $ | — | $ | 72 | $ | — | $ | 72 | |||||||||||
Austria | 1 | 43 | — | 44 | |||||||||||||||
Belgium | — | 23 | — | 23 | |||||||||||||||
China | 109 | 8 | — | 117 | |||||||||||||||
Denmark | — | 39 | — | 39 | |||||||||||||||
Finland | — | �� | 12 | — | 12 | ||||||||||||||
France | — | 95 | — | 95 | |||||||||||||||
Germany | — | 164 | — | 164 | |||||||||||||||
Hong Kong | — | 31 | — | 31 | |||||||||||||||
Isreal | — | 7 | — | 7 | |||||||||||||||
Italy | — | 76 | — | 76 | |||||||||||||||
Japan | — | 323 | — | 323 | |||||||||||||||
Netherlands | — | 34 | — | 34 | |||||||||||||||
Norway | — | 7 | — | 7 | |||||||||||||||
Singapore | — | 21 | — | 21 | |||||||||||||||
Spain | — | 29 | — | 29 | |||||||||||||||
Sweden | — | 21 | — | 21 | |||||||||||||||
Switzerland | — | 119 | — | 119 | |||||||||||||||
United Kingdom | 4 | 199 | — | 203 | |||||||||||||||
United States | 3,547 | 11 | — | 3,558 | |||||||||||||||
Other Common Stocks(a) | 131 | — | — | 131 | |||||||||||||||
Total Common Stocks | 3,792 | 1,334 | — | 5,126 | |||||||||||||||
U.S. Treasury Obligations | — | 1,419 | — | 1,419 | |||||||||||||||
U.S. Government Agency Securities | — | 130 | — | 130 | |||||||||||||||
Mortgage-Backed Securities(a) | — | 1,445 | — | 1,445 | |||||||||||||||
Corporate Bonds(a) | — | 1,266 | — | 1,266 | |||||||||||||||
Asset-Backed Securities | — | 424 | — | 424 | |||||||||||||||
Exchange-Traded Funds | 528 | — | — | 528 | |||||||||||||||
Investment Companies | — | 10,895 | — | 10,895 | |||||||||||||||
Options Purchased(b) | 1 | — | 0 | 1 | |||||||||||||||
Short-Term Investments | — | 483 | — | 483 | |||||||||||||||
Total Investments | $ | 4,321 | $ | 17,396 | $ | 0 | $ | 21,717 |
(a) The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary.
(b) The "Purchased option contracts" table under Derivative Instruments provides information on the industry or sector categorization for the portfolio.
See Notes to Financial Statements
40
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
(c) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
Beginning balance, as of 11/1/2017 | Accrued discounts/ (premiums) | Realized gain/(loss) | Change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance, as of 4/30/2018 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2018 | ||||||||||||||||||||||||||||||||||
Investment in securities (000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Purchased(e) | |||||||||||||||||||||||||||||||||||||||||||
Calls | |||||||||||||||||||||||||||||||||||||||||||
Index | $ | — | $ | — | $ | — | $ | (0 | )(d) | $ | 0 | (d) | $ | — | $ | — | $ | — | $ | 0 | $ | (0 | )(d) | ||||||||||||||||||||
Puts | |||||||||||||||||||||||||||||||||||||||||||
Index | — | — | — | (1 | ) | 1 | — | — | — | 0 | (1 | ) | |||||||||||||||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (1 | ) | $ | 1 | $ | — | $ | — | $ | — | $ | 0 | $ | (1 | ) |
(d) Amount less than one thousand.
(e) As of the six months ended April 30, 2018, these investments were valued in accordance with procedures approved by the Board of Trustees. These investments did not have a material impact on the Fund's net assets and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented.
As of the six months ended April 30, 2018, certain securities were transferred from one level (as of October 31, 2017) to another. Based on beginning of period market values as of November 1, 2017, $906,000 was transferred from Level 1 to Level 2. These securities were categorized as Level 2 as of April 30, 2018, due to the use of Interactive Data Pricing and Reference Data LLC adjusted prices, as stated in the description of the valuation methods of foreign equity securities in the Notes to Financial Statements and/or foreign exchanges having been closed and, therefore, no prices having been readily available for the securities as of that date.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2018:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||||
Futures(a) | |||||||||||||||||||
Assets | $ | 73 | $ | — | $ | — | $ | 73 | |||||||||||
Liabilities | (75 | ) | — | — | (75 | ) | |||||||||||||
Forward Contracts(a) | |||||||||||||||||||
Assets | — | 344 | — | 344 | |||||||||||||||
Liabilities | — | (365 | ) | — | (365 | ) | |||||||||||||
Swaps | |||||||||||||||||||
Assets | — | 21 | — | 21 | |||||||||||||||
Liabilities | — | (36 | ) | — | (36 | ) | |||||||||||||
Options Written | |||||||||||||||||||
Liabilities | (17 | ) | — | — | (17 | ) | |||||||||||||
Total | $ | (19 | ) | $ | (36 | ) | $ | — | $ | (55 | ) |
See Notes to Financial Statements
41
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
(a) Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
(b) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
Beginning balance, as of 11/1/2017 | Accrued discounts/ (premiums) | Realized gain/(loss) | Change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance, as of 4/30/2018 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2018 | ||||||||||||||||||||||||||||||||||
Other Financial Instruments (000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Written(d) | |||||||||||||||||||||||||||||||||||||||||||
Calls | |||||||||||||||||||||||||||||||||||||||||||
Index | $ | (0 | )(c) | $ | — | $ | 0 | (c) | $ | (0 | )(c) | $ | 0 | (c) | $ | (0 | )(c) | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Puts | |||||||||||||||||||||||||||||||||||||||||||
Index | (0 | ) | — | 0 | (c) | (0 | )(c) | 0 | (c) | (0 | )(c) | — | — | — | — | ||||||||||||||||||||||||||||
Total | $ | (0 | )(c) | $ | — | $ | 0 | (c) | $ | (0 | )(c) | $ | 0 | (c) | $ | (0 | )(c) | $ | — | $ | — | $ | — | $ | — |
(c) Amount less than one thousand.
(d) At the beginning of the period, the Fund's Level 3 investments were valued in accordance with procedures approved by the Board of Trustees. The Fund held no Level 3 investments in options written at April 30, 2018.
See Notes to Financial Statements
42
Schedule of Investments Hedged Option Premium Strategy Fund (Unaudited) April 30, 2018
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) |
U.S. Treasury Obligations 98.1% | |||||||||||
U.S. Treasury Notes | |||||||||||
$ | 600 | 1.13%, due 6/15/18 | $ | 599 | |||||||
2,600 | 1.00%, due 9/15/18—3/15/19 | 2,579 | |||||||||
1,800 | 1.25%, due 12/15/18 | 1,790 | (a) | ||||||||
4,000 | 0.88%, due 6/15/19—9/15/19 | 3,927 | |||||||||
3,100 | 1.38%, due 12/15/19—9/15/20 | 3,032 | (a) | ||||||||
2,500 | 1.63%, due 3/15/20—6/30/20 | 2,458 | (a) | ||||||||
1,400 | 1.50%, due 6/15/20 | 1,370 | |||||||||
1,500 | 1.88%, due 12/15/20 | 1,473 | |||||||||
Total U.S. Treasury Obligations (Cost $17,417) | 17,228 | ||||||||||
NUMBER OF SHARES | |||||||||||
Total Options Purchased(b) 0.1% (Cost $21) | 8 | ||||||||||
Short-Term Investments 1.5% | |||||||||||
Investment Companies 1.5% | |||||||||||
266,117 | State Street Institutional U.S. Government Money Market Fund Premier Class, 1.63%(c) | 266 | (d) | ||||||||
(Cost $266) |
| ||||||||||
Total Investments 99.7% (Cost $17,704) | 17,502 | ||||||||||
Other Assets Less Liabilities 0.3% | 61 | (e) | |||||||||
Net Assets 100.0% | $ | 17,563 |
(a) All or a portion of the security is pledged as collateral for options written.
(b) See "Purchased option contracts" under Derivative Instruments.
(c) Represents 7-day effective yield as of April 30, 2018.
(d) All or a portion of this security is segregated in connection with obligations for options written with a total value of approximately $266,000.
(e) Includes the impact of the Fund's open positions in derivatives at April 30, 2018.
See Notes to Financial Statements
43
Schedule of Investments Hedged Option Premium Strategy Fund (Unaudited) (cont'd)
Derivative Instruments
Purchased option contracts ("options purchased")
At April 30, 2018, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
Russell 2000 Index | 2 | $ | 308,376 | $ | 1,685 | 5/4/2018 | $ | 0 | (a)(b) | ||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,705 | 5/4/2018 | 0 | (a)(b) | |||||||||||||||||
Russell 2000 Index | 1 | 154,188 | 1,730 | 5/4/2018 | 0 | (a)(b) | |||||||||||||||||
Russell 2000 Index | 3 | 462,564 | 1,710 | 5/11/2018 | 0 | (a)(b) | |||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,730 | 5/11/2018 | 0 | (a)(b) | |||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,710 | 5/18/2018 | 20 | ||||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,730 | 5/18/2018 | 10 | ||||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,710 | 5/25/2018 | 58 | ||||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,900 | 5/4/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,925 | 5/4/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,950 | 5/4/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,925 | 5/11/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,940 | 5/11/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,950 | 5/11/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,935 | 5/18/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,955 | 5/18/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,925 | 5/25/2018 | 180 | (a)(b) | |||||||||||||||||
Total calls (cost $1,919) | $ | 268 | |||||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
Russell 2000 Index | 2 | $ | 308,376 | $ | 1,380 | 5/4/2018 | $ | 0 | (a)(b) | ||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,395 | 5/4/2018 | 0 | (a)(b) | |||||||||||||||||
Russell 2000 Index | 1 | 154,188 | 1,415 | 5/4/2018 | 6 | ||||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,395 | 5/11/2018 | 70 | ||||||||||||||||||
Russell 2000 Index | 1 | 154,188 | 1,400 | 5/11/2018 | 40 | ||||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,415 | 5/11/2018 | 110 | ||||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,400 | 5/18/2018 | 195 | ||||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,415 | 5/18/2018 | 250 | ||||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,400 | 5/25/2018 | 400 | ||||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,375 | 5/4/2018 | 135 | ||||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,395 | 5/4/2018 | 150 | ||||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,420 | 5/4/2018 | 180 | ||||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,395 | 5/11/2018 | 540 |
See Notes to Financial Statements
44
Schedule of Investments Hedged Option Premium Strategy Fund (Unaudited) (cont'd)
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | $ | 2,400 | 5/11/2018 | $ | 555 | ||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,420 | 5/11/2018 | 645 | ||||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,400 | 5/18/2018 | 1,050 | ||||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,420 | 5/18/2018 | 1,200 | ||||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,400 | 5/25/2018 | 1,740 | ||||||||||||||||||
Total puts (cost $19,352) | $ | 7,266 | |||||||||||||||||||||
Total options purchased (cost $21,271) | $ | 7,534 |
(a) Security fair valued as of April 30, 2018 in accordance with procedures approved by the Board of Trustees.
(b) Value determined using significant unobservable inputs.
Written option contracts ("options written")
At April 30, 2018, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
Russell 2000 Index | 2 | $ | 308,376 | $ | 1,560 | 5/4/2018 | $ | (565 | ) | ||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,575 | 5/4/2018 | (135 | ) | |||||||||||||||||
Russell 2000 Index | 1 | 154,188 | 1,585 | 5/4/2018 | (25 | ) | |||||||||||||||||
Russell 2000 Index | 1 | 154,188 | 1,570 | 5/11/2018 | (400 | ) | |||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,580 | 5/11/2018 | (425 | ) | |||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,595 | 5/11/2018 | (150 | ) | |||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,580 | 5/18/2018 | (810 | ) | |||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,605 | 5/18/2018 | (195 | ) | |||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,585 | 5/25/2018 | (1,130 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,690 | 5/4/2018 | (1,485 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,700 | 5/4/2018 | (810 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,715 | 5/4/2018 | (360 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,695 | 5/11/2018 | (4,020 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,710 | 5/11/2018 | (2,250 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,730 | 5/11/2018 | (1,005 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,710 | 5/18/2018 | (4,110 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,740 | 5/18/2018 | (1,530 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,720 | 5/25/2018 | (4,830 | ) | |||||||||||||||||
Total calls (premium received $107,994) | $ | (24,235 | ) |
See Notes to Financial Statements
45
Schedule of Investments Hedged Option Premium Strategy Fund (Unaudited) (cont'd)
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
Russell 2000 Index | 2 | $ | 308,376 | $ | 1,500 | 5/4/2018 | $ | (270 | ) | ||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,525 | 5/4/2018 | (900 | ) | |||||||||||||||||
Russell 2000 Index | 1 | 154,188 | 1,555 | 5/4/2018 | (1,710 | ) | |||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,520 | 5/11/2018 | (1,590 | ) | |||||||||||||||||
Russell 2000 Index | 1 | 154,188 | 1,540 | 5/11/2018 | (1,420 | ) | |||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,550 | 5/11/2018 | (3,780 | ) | |||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,530 | 5/18/2018 | (2,820 | ) | |||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,540 | 5/18/2018 | (3,540 | ) | |||||||||||||||||
Russell 2000 Index | 2 | 308,376 | 1,525 | 5/25/2018 | (3,220 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,585 | 5/4/2018 | (1,935 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,620 | 5/4/2018 | (5,040 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,660 | 5/4/2018 | (13,740 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,605 | 5/11/2018 | (7,800 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,640 | 5/11/2018 | (13,920 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,645 | 5/11/2018 | (15,090 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,630 | 5/18/2018 | (15,300 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,635 | 5/18/2018 | (16,380 | ) | |||||||||||||||||
S&P 500 Index | 6 | 1,588,830 | 2,615 | 5/25/2018 | (15,660 | ) | |||||||||||||||||
Total puts (premium received $150,889) | $ | (124,115 | ) | ||||||||||||||||||||
Total options written (premium received $258,883) | $ | (148,350 | ) |
For the six months ended April 30, 2018, the Fund had an average market value of $8,742 in options purchased and $(164,299) in options written. At April 30, 2018, the Fund had securities pledged in the amount of $2,668,746 to cover collateral requirements for options written.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2018:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 17,228 | $ | — | $ | 17,228 | |||||||||||
Options Purchased(a) | 8 | — | 0 | (c) | 8 | ||||||||||||||
Short-Term Investments | — | 266 | — | 266 | |||||||||||||||
Total Investments | $ | 8 | $ | 17,494 | $ | 0 | (c) | $ | 17,502 |
(a) The "Purchased option contracts" table under Derivative Instruments provides information on the industry or sector categorization for the portfolio.
See Notes to Financial Statements
46
Schedule of Investments Hedged Option Premium Strategy Fund (Unaudited) (cont'd)
(b) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
Beginning balance, as of 11/1/2017 | Accrued discounts/ (premiums) | Realized gain/(loss) | Change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance, as of 4/30/2018 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2018 | ||||||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Purchased(d) | |||||||||||||||||||||||||||||||||||||||||||
Calls Index | $ | 0 | (c) | $ | — | $ | (1 | ) | $ | (1 | ) | $ | 2 | $ | — | $ | — | $ | — | $ | 0 | (c) | $ | (2 | ) | ||||||||||||||||||
Puts Index | — | — | — | (1 | ) | 1 | — | — | — | 0 | (1 | ) | |||||||||||||||||||||||||||||||
Total | $ | 0 | (c) | $ | — | $ | (1 | ) | $ | (2 | ) | $ | 3 | $ | — | $ | — | $ | — | $ | 0 | (c) | $ | (3 | ) |
(c) Amount less than one thousand.
(d) As of the six months ended April 30, 2018, these investments were valued in accordance with procedures approved by the Board of Trustees. These investments did not have a material impact on the Fund's net assets and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented.
As of the six months ended April 30, 2018, no securities were transferred from one level (as of October 31, 2017) to another.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2018:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Options Written | |||||||||||||||||||
Liabilities | $ | (148 | ) | $ | — | $ | — | $ | (148 | ) | |||||||||
Total | $ | (148 | ) | $ | — | $ | — | $ | (148 | ) |
See Notes to Financial Statements
47
Schedule of Investments Long Short Fund (Unaudited) April 30, 2018
Number of Shares | Value (000's omitted) | ||||||||||
Long Positions 96.2% | |||||||||||
Common Stocks 78.9% | |||||||||||
Aerospace & Defense 1.7% | |||||||||||
General Dynamics Corp. | 142,000 | $ | 28,586 | ||||||||
Raytheon Co. | 144,900 | 29,696 | |||||||||
58,282 | |||||||||||
Air Freight & Logistics 0.6% | |||||||||||
Expeditors International of Washington, Inc. | 294,205 | 18,788 | |||||||||
Airlines 1.2% | |||||||||||
Delta Air Lines, Inc. | 796,000 | 41,567 | |||||||||
Banks 3.7% | |||||||||||
Comerica, Inc. | 549,600 | 51,981 | |||||||||
JPMorgan Chase & Co. | 662,900 | 72,110 | |||||||||
124,091 | |||||||||||
Beverages 0.5% | |||||||||||
PepsiCo, Inc. | 182,000 | 18,371 | |||||||||
Biotechnology 1.4% | |||||||||||
Gilead Sciences, Inc. | 643,200 | 46,458 | |||||||||
Capital Markets 4.0% | |||||||||||
BlackRock, Inc. | 63,787 | 33,265 | |||||||||
Brookfield Asset Management, Inc. Class A | 1,020,898 | 40,468 | |||||||||
CME Group, Inc. | 291,000 | 45,885 | |||||||||
Goldman Sachs Group, Inc. | 65,200 | 15,539 | |||||||||
135,157 | |||||||||||
Chemicals 2.5% | |||||||||||
Ashland Global Holdings, Inc. | 895,000 | 59,231 |
Number of Shares | Value (000's omitted) | ||||||||||
PPG Industries, Inc. | 243,100 | $ | 25,740 | ||||||||
84,971 | |||||||||||
Communications Equipment 0.2% | |||||||||||
Juniper Networks, Inc. | 267,600 | 6,580 | |||||||||
Construction & Engineering 0.6% | |||||||||||
Valmont Industries, Inc. | 146,900 | 20,874 | |||||||||
Consumer Finance 0.8% | |||||||||||
Synchrony Financial | 818,628 | 27,154 | |||||||||
Containers & Packaging 0.2% | |||||||||||
Crown Holdings, Inc. | 164,700 | 8,209 | * | ||||||||
Diversified Financial Services 1.3% | |||||||||||
CF Corp. Class A | 465,000 | 4,432 | * | ||||||||
FGL Holdings | 4,023,000 | 38,339 | * | ||||||||
42,771 | |||||||||||
Electric Utilities 2.4% | |||||||||||
Brookfield Infrastructure Partners LP | 1,178,600 | 48,158 | |||||||||
NextEra Energy, Inc. | 189,900 | 31,126 | |||||||||
79,284 | |||||||||||
Electrical Equipment 1.6% | |||||||||||
Eaton Corp. PLC | 701,500 | 52,634 | |||||||||
Electronic Equipment, Instruments & Components 2.1% | |||||||||||
Amphenol Corp. Class A | 281,100 | 23,531 | |||||||||
CDW Corp. | 675,100 | 48,128 | |||||||||
71,659 | |||||||||||
Energy Equipment & Services 1.5% | |||||||||||
Cactus, Inc. Class A | 215,300 | 6,181 | * | ||||||||
Schlumberger Ltd. | 652,200 | 44,715 | |||||||||
50,896 | |||||||||||
Equity Real Estate Investment Trust 0.3% | |||||||||||
Weyerhaeuser Co. | 232,400 | 8,548 |
Number of Shares | Value (000's omitted) | ||||||||||
Food & Staples Retailing 2.7% | |||||||||||
Costco Wholesale Corp. | 157,000 | $ | 30,954 | ||||||||
Sprouts Farmers Market, Inc. | 1,063,000 | 26,607 | * | ||||||||
Walmart, Inc. | 359,100 | 31,766 | |||||||||
89,327 | |||||||||||
Food Products 3.7% | |||||||||||
Conagra Brands, Inc. | 1,671,500 | 61,963 | |||||||||
Hain Celestial Group, Inc. | 1,615,000 | 47,045* | |||||||||
Pinnacle Foods, Inc. | 288,700 | 17,437 | |||||||||
126,445 | |||||||||||
Health Care Equipment & Supplies 2.0% | |||||||||||
DENTSPLY SIRONA, Inc. | 1,343,000 | 67,607 | |||||||||
Health Care Providers & Services 4.0% | |||||||||||
CVS Health Corp. | 630,000 | 43,993 | |||||||||
DaVita, Inc. | 915,600 | 57,491 | * | ||||||||
UnitedHealth Group, Inc. | 141,600 | 33,474 | |||||||||
134,958 | |||||||||||
Hotels, Restaurants & Leisure 1.8% | |||||||||||
Marriott International, Inc. Class A | 119,200 | 16,292 | |||||||||
McDonald's Corp. | 264,000 | 44,204 | |||||||||
60,496 | |||||||||||
Internet & Direct Marketing Retail 3.1% | |||||||||||
Amazon.com, Inc. | 26,700 | 41,815 | * | ||||||||
Expedia Group, Inc. | 555,400 | 63,949 | |||||||||
105,764 | |||||||||||
Internet Software & Services 5.8% | |||||||||||
Alphabet, Inc. Class A | 62,500 | 63,661 | *(a) |
See Notes to Financial Statements
48
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Alphabet, Inc. Class C | 10,353 | $ | 10,532 | * | |||||||
eBay, Inc. | 756,500 | 28,656 | * | ||||||||
Facebook, Inc. Class A | 367,000 | 63,124 | *(a) | ||||||||
Spotify Technology SA | 194,300 | 31,413 | * | ||||||||
197,386 | |||||||||||
IT Services 4.4% | |||||||||||
PayPal Holdings, Inc. | 238,300 | 17,780 | * | ||||||||
Visa, Inc. Class A | 672,000 | 85,263 | |||||||||
WEX, Inc. | 289,900 | 46,941 | * | ||||||||
149,984 | |||||||||||
Machinery 0.7% | |||||||||||
Allison Transmission Holdings, Inc. | 96,000 | 3,743 | |||||||||
Gates Industrial Corp. PLC | 1,274,002 | 19,951 | * | ||||||||
23,694 | |||||||||||
Multi-Utilities 0.8% | |||||||||||
Vectren Corp. | 244,200 | 17,160 | |||||||||
WEC Energy Group, Inc. | 170,600 | 10,966 | |||||||||
28,126 | |||||||||||
Oil, Gas & Consumable Fuels 2.9% | |||||||||||
Cabot Oil & Gas Corp. | 689,501 | 16,486 | (a) | ||||||||
Cheniere Energy, Inc. | 401,220 | 23,335 | * | ||||||||
Enbridge, Inc. | 1,969,600 | 59,620 | |||||||||
99,441 | |||||||||||
Pharmaceuticals 0.8% | |||||||||||
Bristol- Myers Squibb Co. | 539,600 | 28,129 | |||||||||
Professional Services 3.6% | |||||||||||
Equifax, Inc. | 241,600 | 27,071 | |||||||||
IHS Markit Ltd. | 1,443,800 | 70,934 | * |
Number of Shares | Value (000's omitted) | ||||||||||
Verisk Analytics, Inc. | 233,500 | $ | 24,856 | * | |||||||
122,861 | |||||||||||
Real Estate Management & Development 0.2% | |||||||||||
Five Point Holdings LLC Class A | 541,654 | 7,204 | * | ||||||||
Road & Rail 1.9% | |||||||||||
CSX Corp. | 685,800 | 40,730 | |||||||||
Norfolk Southern Corp. | 152,800 | 21,922 | (a) | ||||||||
62,652 | |||||||||||
Semiconductors & Semiconductor Equipment 0.5% | |||||||||||
ASML Holding NV | 91,000 | 17,149 | |||||||||
Software 1.2% | |||||||||||
Microsoft Corp. | 424,400 | 39,690 | |||||||||
Specialty Retail 5.6% | |||||||||||
Asbury Automotive Group, Inc. | 216,300 | 14,503 | * | ||||||||
Home Depot, Inc. | 349,000 | 64,495 | |||||||||
Hudson Ltd. Class A | 2,690,000 | 39,893 | *(b) | ||||||||
Michaels Cos., Inc. | 769,900 | 14,335 | * | ||||||||
National Vision Holdings, Inc. | 236,800 | 7,881 | * | ||||||||
Party City Holdco, Inc. | 1,479,300 | 23,299 | * | ||||||||
Tractor Supply Co. | 352,000 | 23,936 | |||||||||
188,342 | |||||||||||
Technology Hardware, Storage & Peripherals 1.6% | |||||||||||
Apple, Inc. | 220,300 | 36,407 | |||||||||
Western Digital Corp. | 218,000 | 17,176 | |||||||||
53,583 |
Number of Shares | Value (000's omitted) | ||||||||||
Textiles, Apparel & Luxury Goods 2.3% | |||||||||||
lululemon Athletica, Inc. | 165,200 | $ | 16,487 | * | |||||||
PVH Corp. | 381,700 | 60,946 | (a) | ||||||||
77,433 | |||||||||||
Tobacco 0.4% | |||||||||||
Philip Morris International, Inc. | 163,700 | 13,423 | |||||||||
Trading Companies & Distributors 1.6% | |||||||||||
HD Supply Holdings, Inc. | 1,362,800 | 52,754 | * | ||||||||
Water Utilities 0.7% | |||||||||||
American Water Works Co., Inc. | 253,000 | 21,905 | |||||||||
Total Common Stocks (Cost $2,216,480) | 2,664,647 | ||||||||||
Preferred Stocks 0.4% | |||||||||||
Health Care 0.4% | |||||||||||
Moderna Therapeutics Ser. F | 1,315,490 | 13,234 | *(c)(d)(m) | ||||||||
Moderna Therapeutics Ser. G | 175,905 | 1,769 | *(c)(d)(m) | ||||||||
Total Preferred Stocks (Cost $13,320) | 15,003 | ||||||||||
Principal Amount (000's omitted) | |||||||||||
Corporate Bonds 4.1% | |||||||||||
Commercial Services 1.3% | |||||||||||
APX Group, Inc., 8.75%, due 12/1/20 | $ | 14,612 | 14,283 | ||||||||
IHS Markit Ltd., 4.00%, due 3/1/26 | 21,540 | 20,632 | (e) | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, due 5/15/23 | 8,100 | 8,697 | (e) | ||||||||
43,612 |
See Notes to Financial Statements
49
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Gas 0.8% | |||||||||||
Rockpoint Gas Storage Canada Ltd., 7.00%, due 3/31/23 | $ | 26,660 | $ | 26,627 | (e) | ||||||
Healthcare—Services 0.0%(f) | |||||||||||
Kindred Healthcare, Inc., 8.75%, due 1/15/23 | 925 | 991 | |||||||||
Household Products—Wares 0.3% | |||||||||||
Kronos Acquisition Holdings, Inc., 9.00%, due 8/15/23 | 11,843 | 11,310 | (e) | ||||||||
Real Estate 0.4% | |||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, due 11/15/25 | 12,422 | 12,733 | (e) | ||||||||
Retail 1.0% | |||||||||||
Bed Bath & Beyond, Inc., 5.17%, due 8/1/44 | 6,800 | 4,904 | |||||||||
PetSmart, Inc. | |||||||||||
5.88 due 6/1/25%, | 15,375 | 11,070 | (e) | ||||||||
8.88 due 6/1/25%, | 27,184 | 15,699 | (e) | ||||||||
31,673 | |||||||||||
Semiconductors 0.3% | |||||||||||
MagnaChip Semiconductor SA, 6.63%, due 7/15/21 | 11,252 | 10,830 | |||||||||
Total Corporate Bonds (Cost $146,643) | 137,776 |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Convertible Bonds 0.2% | |||||||||||
Semiconductor 0.2% | |||||||||||
MagnaChip Semiconductor Corp., 5.00%, due 3/1/21 (Cost $4,823) | $ | 4,020 | $ | 5,357 | |||||||
Number of Shares | |||||||||||
Master Limited Partnerships 1.1% | |||||||||||
Capital Markets 1.1% | |||||||||||
Blackstone Group LP (Cost $41,308) | 1,158,800 | 35,865 | |||||||||
Warrants 0.1% | |||||||||||
Diversified Financial Services 0.1% | |||||||||||
FGL Holdings (Cost $4,189) | 2,745,150 | 4,227 | * | ||||||||
Total Options Purchased(g) 0.2% (Cost $5,794) | 5,825 | ||||||||||
Short-Term Investments 11.2% | |||||||||||
Investment Companies 11.2% | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class, 1.63%(h) (Cost $378,287) | 378,286,717 | 378,287 | (i) | ||||||||
Total Long Positions (96.2%) (Cost $2,810,844) | 3,246,987 | ||||||||||
Short Positions ((15.8)%)(j) | |||||||||||
Common Stocks Sold Short (12.0)% | |||||||||||
Aerospace & Defense (0.3)% | |||||||||||
Spirit AeroSystems Holdings, Inc. Class A | (125,000 | ) | (10,046 | ) | |||||||
Auto Components (0.1)% | |||||||||||
BorgWarner, Inc. | (88,000 | ) | (4,307 | ) |
Number of Shares | Value (000's omitted) | ||||||||||
Automobiles (0.1)% | |||||||||||
Harley- Davidson, Inc. | (76,756 | ) | $ | (3,157 | ) | ||||||
Beverages (0.2)% | |||||||||||
National Beverage Corp. | (57,900 | ) | (5,116 | ) | |||||||
Capital Markets (0.7)% | |||||||||||
FactSet Research Systems, Inc. | (52,500 | ) | (9,928 | ) | |||||||
Federated Investors, Inc. Class B | (577,900 | ) | (15,297 | ) | |||||||
(25,225 | ) | ||||||||||
Chemicals (0.2)% | |||||||||||
LyondellBasell Industries NV Class A | (55,000 | ) | (5,815 | ) | |||||||
Diversified Telecommunication Services (0.2)% | |||||||||||
AT&T, Inc. | (210,400 | ) | (6,880 | ) | |||||||
Electric Utilities (0.6)% | |||||||||||
PG&E Corp. | (191,200 | ) | (8,814 | ) | |||||||
Southern Co. | (267,400 | ) | (12,333 | ) | |||||||
(21,147 | ) | ||||||||||
Energy Equipment & Services (0.5)% | |||||||||||
Core Laboratories NV | (134,400 | ) | (16,457 | ) | |||||||
Equity Real Estate Investment Trusts (1.0)% | |||||||||||
Lamar Advertising Co. Class A | (154,000 | ) | (9,811 | ) | |||||||
Realty Income Corp. | (265,300 | ) | (13,400 | ) | |||||||
STORE Capital Corp. | (407,600 | ) | (10,284 | ) | |||||||
(33,495 | ) | ||||||||||
Food Products (0.8)% | |||||||||||
General Mills, Inc. | (357,700 | ) | (15,646 | ) | |||||||
Kellogg Co. | (134,200 | ) | (7,904 | ) | |||||||
McCormick & Co., Inc. | (48,000 | ) | (5,060 | ) | |||||||
(28,610 | ) |
See Notes to Financial Statements
50
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Health Care Equipment & Supplies (0.7)% | |||||||||||
Align Technology, Inc. | (48,000 | ) | $ | (11,993 | )* | ||||||
Becton Dickinson and Co. | (44,100 | ) | (10,225 | ) | |||||||
(22,218 | ) | ||||||||||
Hotels, Restaurants & Leisure (0.6)% | |||||||||||
DineEquity, Inc. | (138,500 | ) | (10,989 | ) | |||||||
Texas Roadhouse, Inc. | (155,000 | ) | (9,932 | ) | |||||||
(20,921 | ) | ||||||||||
Internet Software & Services (0.2)% | |||||||||||
Dropbox, Inc. Class A | (279,100 | ) | (8,404 | )* | |||||||
IT Services (0.7)% | |||||||||||
CGI Group, Inc. Class A | (119,997 | ) | (6,948 | )* | |||||||
Western Union Co. | (826,323 | ) | (16,320 | ) | |||||||
(23,268 | ) | ||||||||||
Machinery (0.2)% | |||||||||||
PACCAR, Inc. | (100,000 | ) | (6,367 | ) | |||||||
Media (0.4)% | |||||||||||
Discovery, Inc. Class A | (422,600) | (9,994 | )* | ||||||||
New Media Investment Group, Inc. | (303,000 | ) | (5,024 | ) | |||||||
(15,018 | ) | ||||||||||
Multi-Utilities (0.9)% | |||||||||||
CenterPoint Energy, Inc. | (254,700 | ) | (6,452 | ) | |||||||
Consolidated Edison, Inc. | (235,000 | ) | (18,830 | ) | |||||||
SCANA Corp. | (117,000 | ) | (4,302 | ) | |||||||
(29,584 | ) | ||||||||||
Multiline Retail (0.3)% | |||||||||||
Ollie's Bargain Outlet Holdings, Inc. | (160,000 | ) | (9,952 | )* | |||||||
Oil, Gas & Consumable Fuel (0.3)% | |||||||||||
Kinder Morgan Canada Ltd. | (701,500 | ) | (9,053 | )(k) | |||||||
Semiconductors & Semiconductor Equipment (0.2)% | |||||||||||
NVIDIA Corp. | (35,800 | ) | (8,052 | ) |
Number of Shares | Value (000's omitted) | ||||||||||
Software (0.4)% | |||||||||||
Ellie Mae, Inc. | (127,000 | ) | $ | (12,303 | )* | ||||||
Specialty Retail (1.4)% | |||||||||||
Five Below, Inc. | (178,700 | ) | (12,618 | )* | |||||||
Gap, Inc. | (266,400 | ) | (7,790 | ) | |||||||
Sally Beauty Holdings, Inc. | (537,200 | ) | (9,288 | )* | |||||||
Urban Outfitters, Inc. | (242,000 | ) | (9,745 | )* | |||||||
Williams- Sonoma, Inc. | (169,500 | ) | (8,102 | ) | |||||||
(47,543 | ) | ||||||||||
Technology Hardware, Storage & Peripherals (0.4)% | |||||||||||
Seagate Technology PLC | (218,000 | ) | (12,620 | ) | |||||||
Textiles, Apparel & Luxury Goods (0.6)% | |||||||||||
NIKE, Inc. Class B | (102,700 | ) | (7,024 | ) | |||||||
Ralph Lauren Corp. | (111,000 | ) | (12,193 | ) | |||||||
(19,217 | ) | ||||||||||
Total Common Stocks Sold Short (Proceeds $(393,514)) | (404,775 | ) | |||||||||
Principal Amount (000's omitted) | |||||||||||
Corporate Bonds Sold Short (0.8)% | |||||||||||
Advertising (0.1)% | |||||||||||
Anna Merger Sub, Inc., 7.75%, due 10/1/22 | $ | (4,000 | ) | (2,410 | )(e) | ||||||
Media (0.2)% | |||||||||||
CBS Radio, Inc., 7.25%, due 11/1/24 | (7,000 | ) | (7,175 | )(e) | |||||||
Oil & Gas (0.2)% | |||||||||||
Apache Corp., 4.25%, due 1/15/44 | (4,000 | ) | (3,667 | ) | |||||||
Ultra Resources, Inc., 6.88%, due 4/15/22 | (6,000 | ) | (4,470 | )(e) | |||||||
(8,137 | ) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Real Estate (0.1)% | |||||||||||
WeWork Cos., Inc., 7.88%, due 5/1/25 | $ | (2,000 | ) | $ | (1,943 | )(e) | |||||
Retail (0.2)% | |||||||||||
Bed Bath & Beyond, Inc., 3.75%, due 8/1/24 | (3,000 | ) | (2,569 | ) | |||||||
Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/1/25 | (5,000 | ) | (4,937 | ) | |||||||
(7,506 | ) | ||||||||||
Total Corporate Bonds Sold Short (Cost $(29,605)) | (27,171 | ) | |||||||||
Number of Shares | |||||||||||
Exchange-Traded Funds Sold Short (2.8)% | |||||||||||
Consumer Discretionary Select Sector SPDR Fund | (373,000 | ) | (38,680 | ) | |||||||
iShares Core S&P Small-Cap ETF | (154,000 | ) | (11,984 | ) | |||||||
Technology Select Sector SPDR Fund | (390,000 | ) | (25,529 | ) | |||||||
Vanguard REIT ETF | (231,600 | ) | (17,623 | ) | |||||||
Total Exchange-Traded Funds Sold Short (Cost $(75,334)) | (93,816 | ) | |||||||||
Master Limited Partnerships Sold Short (0.2)% | |||||||||||
Oil, Gas & Consumable Fuels (0.2)% | |||||||||||
Tallgrass Energy Partners LP (Cost $(6,602)) | (145,000 | ) | (5,976 | ) | |||||||
Total Short Positions (Proceeds $(505,055)) | (531,738 | ) | |||||||||
Total Investments 80.4% (Cost $2,305,789) | 2,715,249 | ||||||||||
Other Assets Less Liabilities 19.6% | 662,180 | (l) | |||||||||
Net Assets 100.0% | $ | 3,377,429 |
See Notes to Financial Statements
51
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
* Non-income producing security.
(a) All or a portion of the security is pledged as collateral for options written.
(b) Affiliated company as defined under the Investment Company Act of 1940, as amended (see Note F of Notes to Financial Statements).
(c) Security fair valued as of April 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2018 amounted to approximately $15,003,000, which represents 0.4% of net assets of the Fund.
(d) Value determined using significant unobservable inputs.
(e) Securities were purchased or sold short under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2018, these securities amounted to approximately $106,768,000 of long positions and $(15,998,000) of short positions, which represents 3.2% and (0.5)%, respectively, of net assets of the Fund. Securities denoted with a (e) but without a (m) have been deemed by the investment manager to be liquid.
(f) Represents less than 0.05% of net assets.
(g) See "Purchased option contracts" under Derivative Instruments.
(h) All or a portion of this security is segregated in connection with obligations for securities sold short, options written, swaps and/or futures with a total value of approximately $378,287,000.
(i) Represents 7-day effective yield as of April 30, 2018.
(j) At April 30, 2018 the Fund had approximately $619,363,000 deposited, in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
(k) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at April 30, 2018 amounted to approximately $(9,053,000), which represents (0.3)% of net assets of the Fund.
(l) Includes the impact of the Fund's open positions in derivatives at April 30, 2018.
(m) These securities have been deemed by the investment manager to be illiquid, and are subject to restrictions on resale.
At April 30, 2018, these securities amounted to approximately $15,003,000, which represents 0.4% of net assets of the Fund.
Restricted Security (000's omitted) | Acquisition Date | Acquisition Cost | Acquisition Cost Percentage of Net Assets | Value as of 4/30/2018 | Fair Value Percentage of Net Assets as of 4/30/2018 | ||||||||||||||||||
Moderna Therapeutics (Ser. F Preferred Shares) | 8/10/2016 | $ | 11,550 | 0.5 | % | $ | 13,234 | 0.4 | % | ||||||||||||||
Moderna Therapeutics (Ser. G Preferred Shares) | 1/30/2018 | 1,769 | 0.1 | % | 1,769 | 0.0 | % | ||||||||||||||||
Total | $ | 13,319 | 0.6 | % | $ | 15,003 | 0.4 | % |
See Notes to Financial Statements
52
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2018, open positions in futures for the Fund were as follows:
Short Futures
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
6/2018 | 598 | NASDAQ 100 E-Mini Index | $ | (79,091,480 | ) | $ | 5,620,594 | ||||||||||||
6/2018 | 408 | Russell 2000 Mini Index | (31,493,520 | ) | 1,165,657 | ||||||||||||||
6/2018 | 2,053 | S&P 500 E-Mini Index | (271,714,550 | ) | 12,867,660 | ||||||||||||||
6/2018 | 50 | U.S. Treasury Long Bond | (7,192,188 | ) | 14,453 | ||||||||||||||
Total Futures | $ | (389,491,738 | ) | $ | 19,668,364 |
At April 30, 2018, the Fund had $590,937 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2018, the average notional value of futures for the Fund was $(439,624,617) for short positions.
Total return swap contracts ("total return swaps")
At April 30, 2018, the Fund had outstanding over-the-counter total return swaps as follows:
Short Total Return Swaps
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable-Rate(k) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | ||||||||||||||||||||||||
Citibank N.A. | Consumer Staples S&P U.S. Select Sector Index | $ | (12,436,068 | ) | 5/13/2019 | 1.77 | %(a) | $ | 663,821 | $ | 24,939 | $ | 688,760 | ||||||||||||||||||
Goldman Sachs International | Prospect Capital Corp. | (1,607,729 | ) | 4/1/2019 | (0.20 | )%(b) | 78,611 | (242 | ) | 78,369 | |||||||||||||||||||||
Citibank N.A. | Prospect Capital Corp. | (1,902 | ) | 2/28/2019 | (9.10 | )%(c) | 162 | (7 | ) | 155 | |||||||||||||||||||||
Citibank N.A. | Prospect Capital Corp. | (140,704 | ) | 2/28/2019 | (9.10 | )%(c) | 11,985 | (549 | ) | 11,436 | |||||||||||||||||||||
Citibank N.A. | Prospect Capital Corp. | (1,043,723 | ) | 2/28/2019 | (9.10 | )%(c) | 89,177 | (4,070 | ) | 85,107 | |||||||||||||||||||||
Citibank N.A. | Prospect Capital Corp. | (191,988 | ) | 2/28/2019 | (9.10 | )%(c) | 16,352 | (755 | ) | 15,597 | |||||||||||||||||||||
Citibank N.A. | Prospect Capital Corp. | (1,794,854 | ) | 2/28/2019 | (0.10 | )%(d) | 96,849 | (71 | ) | 96,778 |
See Notes to Financial Statements
53
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable-Rate(k) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | ||||||||||||||||||||||||
Citibank N.A. | Prospect Capital Corp. | $ | (1,794,664 | ) | 2/28/2019 | (0.10 | )%(d) | $ | 93,215 | $ | (299 | ) | $ | 92,916 | |||||||||||||||||
Citibank N.A. | Prospect Capital Corp. | (802,891 | ) | 2/28/2019 | (0.10 | )%(d) | 37,840 | (233 | ) | 37,607 | |||||||||||||||||||||
Citibank N.A. | Prospect Capital Corp. | (25,240 | ) | 2/28/2019 | (1.10 | )%(e) | 2,168 | (13 | ) | 2,155 | |||||||||||||||||||||
Goldman Sachs International | Russell Mid-Cap Index | (38,169,443 | ) | 1/31/2019 | 1.35 | %(f) | (2,604,145 | ) | 19,389 | (2,584,756 | ) | ||||||||||||||||||||
Citibank N.A. | S&P 500 Growth Index | (108,899,743 | ) | 5/13/2019 | 1.77 | %(a) | 1,164,809 | 90,893 | 1,255,702 | (l) | |||||||||||||||||||||
Citibank N.A. | S&P 500 Growth Index | (32,750,630 | ) | 5/13/2019 | 2.00 | %(a) | 350,306 | 13,774 | 364,080 | ||||||||||||||||||||||
Citibank N.A. | S&P 500 Growth Index | (11,501,709 | ) | 5/13/2019 | 2.00 | %(a) | 123,024 | 4,837 | 127,861 | ||||||||||||||||||||||
Citibank N.A. | SPDR S&P Retail ETF | (18,297,900 | ) | 7/25/2019 | 0.50 | %(g) | (149,850 | ) | 5,256 | (144,594 | ) | ||||||||||||||||||||
Citibank N.A. | Tallgrass Energy Partners LP | (4,945,200 | ) | 8/8/2019 | (2.00 | )%(h) | (172,608 | ) | (3,985 | ) | (176,593 | ) | |||||||||||||||||||
Citibank N.A. | Tallgrass Energy Partners LP | (2,765,850 | ) | 8/8/2019 | (2.00 | )%(h) | (314,425 | ) | (2,047 | ) | (316,472 | ) | |||||||||||||||||||
Citibank N.A. | Tallgrass Energy Partners LP | (1,153,880 | ) | 8/8/2019 | (4.10 | )%(i) | 283 | (1,839 | ) | (1,556 | ) | ||||||||||||||||||||
Citibank N.A. | Utilities Select Sector SPDR Fund | (22,686,400 | ) | 9/21/2018 | 1.90 | %(j) | 1,108,800 | 6,539 | 1,115,339 | ||||||||||||||||||||||
Total | $ | 596,374 | $ | 151,517 | $ | 747,891 |
(a) Fund receives 3-month USD LIBOR minus 0.35%. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—quarterly.
(b) Fund receives 1-month USD LIBOR minus 2.10%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(c) Fund receives 1-month USD LIBOR minus 11.00%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(d) Fund receives 1-month USD LIBOR minus 2.00%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(e) Fund receives 1-month USD LIBOR minus 3.00%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(f) Fund receives 1-month USD LIBOR minus 0.55%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(g) Fund receives 1-month USD LIBOR minus 1.40%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—monthly.
See Notes to Financial Statements
54
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
(h) Fund receives 1-month USD LIBOR minus 3.90%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(i) Fund receives 1-month USD LIBOR minus 6.00%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(j) Fund receives 1-month USD LIBOR. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
LIBOR = London Interbank Offered Rate
(k) Effective rate at April 30, 2018.
(l) The following table represents required component disclosures associated with the S&P 500 Growth Index as of April 30, 2018:
Description | Index Shares | Component Weighting | Fund Value | ||||||||||||
Apple Inc. | 5,074 | 7.0 | % | $ | 88,404 | ||||||||||
Microsoft Corporation | 7,700 | 6.0 | % | 75,917 | |||||||||||
Amazon.com, Inc. | 402 | 5.3 | % | 66,344 | |||||||||||
Facebook, Inc. Class A | 2,396 | 3.5 | % | 43,446 | |||||||||||
Alphabet Inc. Class C | 304 | 2.6 | % | 32,644 | |||||||||||
Alphabet Inc. Class A | 298 | 2.6 | % | 32,054 | |||||||||||
UnitedHealth Group Incorporated | 968 | 1.9 | % | 24,117 | |||||||||||
Visa Inc. Class A | 1,803 | 1.9 | % | 24,113 | |||||||||||
Home Depot, Inc. | 1,168 | 1.8 | % | 22,751 | |||||||||||
Boeing Company | 553 | 1.5 | % | 19,453 | |||||||||||
Johnson & Johnson | 1,449 | 1.5 | % | 19,320 | |||||||||||
Mastercard Incorporated Class A | 923 | 1.4 | % | 17,350 | |||||||||||
AbbVie, Inc. | 1,594 | 1.3 | % | 16,226 | |||||||||||
Intel Corporation | 2,668 | 1.2 | % | 14,517 | |||||||||||
Bank of America Corp | 4,592 | 1.2 | % | 14,486 | |||||||||||
NVIDIA Corporation | 605 | 1.1 | % | 14,345 | |||||||||||
Netflix, Inc. | 434 | 1.1 | % | 14,295 | |||||||||||
McDonald's Corporation | 797 | 1.1 | % | 14,073 | |||||||||||
3M Company | 596 | 1.0 | % | 12,204 | |||||||||||
Adobe Systems Incorporated | 492 | 0.9 | % | 11,485 | |||||||||||
Booking Holdings Inc. | 49 | 0.9 | % | 11,199 | |||||||||||
Abbott Laboratories | 1,741 | 0.8 | % | 10,667 | |||||||||||
Pfizer Inc. | 2,738 | 0.8 | % | 10,569 | |||||||||||
Texas Instruments Incorporated | 984 | 0.8 | % | 10,520 | |||||||||||
Cisco Systems, Inc. | 2,216 | 0.8 | % | 10,348 | |||||||||||
Broadcom Inc. | 410 | 0.8 | % | 9,929 | |||||||||||
PayPal Holdings Inc. | 1,128 | 0.7 | % | 8,874 | |||||||||||
salesforce.com, inc. | 686 | 0.7 | % | 8,753 | |||||||||||
Coca-Cola Company | 1,728 | 0.6 | % | 7,871 | |||||||||||
Comcast Corporation Class A | 2,318 | 0.6 | % | 7,670 | |||||||||||
Walt Disney Company | 707 | 0.6 | % | 7,475 | |||||||||||
Oracle Corporation | 1,541 | 0.6 | % | 7,421 | |||||||||||
PepsiCo, Inc. | 697 | 0.6 | % | 7,416 | |||||||||||
Amgen Inc. | 394 | 0.6 | % | 7,255 |
See Notes to Financial Statements
55
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Description | Index Shares | Component Weighting | Fund Value | ||||||||||||
Procter & Gamble Company | 933 | 0.6 | % | $ | 7,114 | ||||||||||
Charles Schwab Corporation | 1,198 | 0.6 | % | 7,035 | |||||||||||
Celgene Corporation | 752 | 0.6 | % | 6,907 | |||||||||||
Honeywell International Inc. | 444 | 0.5 | % | 6,767 | |||||||||||
Philip Morris International Inc. | 777 | 0.5 | % | 6,713 | |||||||||||
Becton, Dickinson and Company | 266 | 0.5 | % | 6,508 | |||||||||||
Gilead Sciences, Inc. | 851 | 0.5 | % | 6,484 | |||||||||||
Thermo Fisher Scientific Inc. | 289 | 0.5 | % | 6,415 | |||||||||||
American Tower Corporation | 441 | 0.5 | % | 6,338 | |||||||||||
Altria Group Inc. | 1,064 | 0.5 | % | 6,296 | |||||||||||
NIKE, Inc. Class B | 870 | 0.5 | % | 6,270 | |||||||||||
Accenture Plc Class A | 389 | 0.5 | % | 6,193 | |||||||||||
Merck & Co., Inc. | 998 | 0.5 | % | 6,192 | |||||||||||
Union Pacific Corporation | 409 | 0.5 | % | 5,767 | |||||||||||
Stryker Corporation | 322 | 0.5 | % | 5,755 | |||||||||||
Bristol-Myers Squibb Company | 1,029 | 0.5 | % | 5,653 |
At April 30, 2018, the Fund had cash collateral of $3,210,000 and $2,760,000 deposited in segregated accounts for Citibank N.A. and Goldman Sachs International, respectively, to cover collateral requirements on over-the-counter derivatives.
For the six months ended April 30, 2018, the average notional value of total return basket swaps and total return swaps for the Fund was $(255,874,452) for short positions.
Purchased option contracts ("options purchased")
At April 30, 2018, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Capital Markets | |||||||||||||||||||||||
Goldman Sachs Group, Inc. | 275 | $ | 6,554,075 | $ | 280 | 6/15/2018 | $ | 4,125 | |||||||||||||||
Food Products | |||||||||||||||||||||||
Hain Celestial Group, Inc. | 5,275 | 15,366,075 | 37 | 8/17/2018 | 131,875 | ||||||||||||||||||
Hain Celestial Group, Inc. | 1,200 | 3,495,600 | 36 | 11/16/2018 | 81,000 | ||||||||||||||||||
212,875 | |||||||||||||||||||||||
Independent Power and Renewable Electricity Producers | |||||||||||||||||||||||
NRG Yield, Inc. | 920 | $ | 1,637,600 | $ | 20 | 5/18/2018 | 4,600 | ||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Index | 1,290 | 341,598,450 | 3,000 | 12/21/2018 | 1,238,400 | ||||||||||||||||||
Oil, Gas & Consumable Fuels | |||||||||||||||||||||||
Enbridge, Inc. | 2,740 | 8,293,980 | 35 | 10/19/2018 | 102,750 | ||||||||||||||||||
Professional Services | |||||||||||||||||||||||
Equifax, Inc. | 1,064 | 11,922,120 | 130 | 1/18/2019 | 271,320 | ||||||||||||||||||
Road & Rail | |||||||||||||||||||||||
Norfolk Southern Corp. | 627 | 8,995,569 | 155 | 6/15/2018 | 54,862 |
See Notes to Financial Statements
56
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Specialty Retail | |||||||||||||||||||||||
Bed Bath & Beyond, Inc. | 5,000 | 8,730,000 | 19 | 5/4/2018 | $ | 20,000 | |||||||||||||||||
Home Depot, Inc. | 304 | 5,617,920 | 190 | 5/18/2018 | 51,984 | ||||||||||||||||||
Tractor Supply Co. | 1,238 | 8,418,400 | 65 | 7/20/2018 | 643,760 | ||||||||||||||||||
715,744 | |||||||||||||||||||||||
Textiles, Apparel & Luxury Goods | |||||||||||||||||||||||
lululemon Athletica, Inc. | 450 | 4,491,000 | 82.5 | 6/15/2018 | 828,000 | ||||||||||||||||||
PVH Corp. | 600 | 9,580,200 | 155 | 6/15/2018 | 564,000 | ||||||||||||||||||
1,392,000 | |||||||||||||||||||||||
Total calls (cost: $5,256,481) | $ | 3,996,676 | |||||||||||||||||||||
Puts | |||||||||||||||||||||||
Oil, Gas & Consumable Fuels | |||||||||||||||||||||||
Enbridge, Inc. | 6,650 | $ | 20,129,550 | $ | 32.5 | 5/18/2018 | $ | 1,828,750 | |||||||||||||||
Total puts (cost: $537,148) | $ | 1,828,750 | |||||||||||||||||||||
Total options purchased (cost: $5,793,629) | $ | 5,825,426 |
Written option contracts ("options written")
At April 30, 2018, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Chemicals | |||||||||||||||||||||||
Ashland Global Holdings, Inc. | 1,253 | $ | (8,292,354 | ) | $ | 85 | 10/19/2018 | $ | (53,252 | ) | |||||||||||||
Internet & Direct Marketing Retail | |||||||||||||||||||||||
Expedia Group, Inc. | 1,021 | (11,755,794 | ) | 120 | 5/18/2018 | (94,443 | ) | ||||||||||||||||
IT Services | |||||||||||||||||||||||
PayPal Holdings, Inc. | 1,315 | (9,811,215 | ) | 95 | 10/19/2018 | (95,995 | ) | ||||||||||||||||
Machinery | |||||||||||||||||||||||
Allison Transmission Holdings, Inc. | 920 | (3,587,080 | ) | 42 | 5/18/2018 | (44,585 | )(a)(b) | ||||||||||||||||
Oil, Gas & Consumable Fuels | |||||||||||||||||||||||
Cheniere Energy, Inc. | 1,553 | (9,032,248 | ) | 65 | 9/21/2018 | (277,210 | ) | ||||||||||||||||
Specialty Retail | |||||||||||||||||||||||
Party City Holdco, Inc. | 3,630 | $ | (5,717,250 | ) | $ | 17.5 | 7/20/2018 | (226,875 | ) | ||||||||||||||
Total calls (premium received: $1,340,988) | $ | (792,360 | ) | ||||||||||||||||||||
Puts | |||||||||||||||||||||||
Capital Markets | |||||||||||||||||||||||
BlackRock, Inc. | 128 | $ | (6,675,200 | ) | $ | 500 | 5/18/2018 | $ | (34,880 | ) | |||||||||||||
Blackstone Group LP | 2,500 | (7,737,500 | ) | 29 | 6/15/2018 | (75,000 | ) | ||||||||||||||||
Goldman Sachs Group, Inc. | 275 | (6,554,075 | ) | 250 | 6/15/2018 | (397,375 | ) | ||||||||||||||||
KKR & Co. LP | 4,600 | (9,632,400 | ) | 21 | 6/15/2018 | (425,500 | ) | ||||||||||||||||
(932,755 | ) | ||||||||||||||||||||||
Energy Equipment & Services | |||||||||||||||||||||||
Schlumberger Ltd. | 1,550 | (10,626,800 | ) | 67.5 | 6/15/2018 | (277,450 | ) |
See Notes to Financial Statements
57
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Food Products | |||||||||||||||||||||||
Hain Celestial Group, Inc. | 1,135 | (3,306,255 | ) | 30 | 8/17/2018 | $ | (283,750 | ) | |||||||||||||||
Hain Celestial Group, Inc. | 4,140 | (12,059,820 | ) | 31 | 8/17/2018 | (1,262,700 | ) | ||||||||||||||||
Hain Celestial Group, Inc. | 1,200 | (3,495,600 | ) | 28 | 11/16/2018 | (264,000 | ) | ||||||||||||||||
(1,810,450 | ) | ||||||||||||||||||||||
Index | |||||||||||||||||||||||
NASDAQ 100 Stock Index | 25 | (16,513,925 | ) | 5,700 | 7/20/2018 | (112,250 | ) | ||||||||||||||||
S&P 500 Index | 321 | (85,002,405 | ) | 2,200 | 12/21/2018 | (1,044,855 | ) | ||||||||||||||||
(1,157,105 | ) | ||||||||||||||||||||||
Internet & Direct Marketing Retail | |||||||||||||||||||||||
Expedia Group, Inc. | 1,021 | (11,755,794 | ) | 100 | 5/18/2018 | (17,867 | ) | ||||||||||||||||
Expedia Group, Inc. | 1,000 | (11,514,000 | ) | 100 | 7/20/2018 | (92,500 | ) | ||||||||||||||||
Netflix, Inc. | 310 | (9,686,260 | ) | 220 | 6/15/2018 | (11,160 | ) | ||||||||||||||||
(121,527 | ) | ||||||||||||||||||||||
Internet Software & Services | |||||||||||||||||||||||
Facebook, Inc. | 626 | (10,767,200 | ) | 155 | 7/20/2018 | (142,415 | ) | ||||||||||||||||
IT Services | |||||||||||||||||||||||
PayPal Holdings, Inc. | 1,315 | (9,811,215 | ) | 70 | 10/19/2018 | (440,525 | ) | ||||||||||||||||
Visa, Inc. | 930 | (11,799,840 | ) | 115 | 6/15/2018 | (51,615 | ) | ||||||||||||||||
(492,140 | ) | ||||||||||||||||||||||
Machinery | |||||||||||||||||||||||
Allison Transmission Holdings, Inc. | 920 | (3,587,080 | ) | 37 | 5/18/2018 | (39,985 | )(a)(b) | ||||||||||||||||
Multiline Retail | |||||||||||||||||||||||
Ollie's Bargain Outlet Holdings, Inc. | 1,600 | (9,952,000 | ) | 50 | 7/20/2018 | (92,000 | ) | ||||||||||||||||
Oil, Gas & Consumable Fuels | |||||||||||||||||||||||
Cheniere Energy, Inc. | 650 | (3,780,400 | ) | 45 | 1/18/2019 | (81,900 | ) | ||||||||||||||||
Enbridge, Inc. | 2,740 | (8,293,980 | ) | 27.5 | 10/19/2018 | (321,950 | ) | ||||||||||||||||
(403,850 | ) | ||||||||||||||||||||||
Professional Services | |||||||||||||||||||||||
Equifax, Inc. | 1,200 | (13,446,000 | ) | 105 | 1/18/2019 | (624,000 | ) | ||||||||||||||||
Road & Rail | |||||||||||||||||||||||
CSX Corp. | 1,550 | $ | (9,205,450 | ) | $ | 55 | 5/18/2018 | (30,225 | ) | ||||||||||||||
Norfolk Southern Corp. | 627 | (8,995,569 | ) | 120 | 6/15/2018 | (26,648 | ) | ||||||||||||||||
(56,873 | ) | ||||||||||||||||||||||
Software | |||||||||||||||||||||||
Activision Blizzard, Inc. | 1,116 | (7,404,660 | ) | 60 | 5/18/2018 | (54,126 | ) | ||||||||||||||||
Specialty Retail | |||||||||||||||||||||||
Home Depot, Inc. | 500 | (9,240,000 | ) | 165 | 5/18/2018 | (8,750 | ) | ||||||||||||||||
Party City Holdco, Inc. | 3,630 | (5,717,250 | ) | 14 | 7/20/2018 | (157,768 | )(a)(b) | ||||||||||||||||
Tractor Supply Co. | 1,238 | (8,418,400 | ) | 55 | 7/20/2018 | (55,710 | ) | ||||||||||||||||
(222,228 | ) |
See Notes to Financial Statements
58
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Textiles, Apparel & Luxury Goods | |||||||||||||||||||||||
lululemon Athletica, Inc. | 1,929 | (19,251,420 | ) | 70 | 6/15/2018 | $ | (55,941 | ) | |||||||||||||||
PVH Corp. | 600 | (9,580,200 | ) | 135 | 6/15/2018 | (39,000 | ) | ||||||||||||||||
(94,941 | ) | ||||||||||||||||||||||
Total puts (premium received: $10,144,106) | $ | (6,521,845 | ) | ||||||||||||||||||||
Total options written (premium received: $11,485,094) | $ | (7,314,205 | ) |
(a) Security fair valued as of April 30, 2018 in accordance with procedures approved by the Board of Trustees.
Over-the-counter option. Counterparty is Goldman Sachs International.
For the six months ended April 30, 2018, the Fund had an average market value of $9,813,670 in options purchased and $(7,997,717) in options written. At April 30, 2018, the Fund had securities pledged in the amount of $97,159,898 to cover collateral requirements for options written.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2018:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(c) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks(a) | $ | 2,664,647 | $ | — | $ | — | $ | 2,664,647 | |||||||||||
Preferred Stocks(a) | — | — | 15,003 | 15,003 | |||||||||||||||
Corporate Bonds(a) | — | 137,776 | — | 137,776 | |||||||||||||||
Convertible Bonds(a) | — | 5,357 | — | 5,357 | |||||||||||||||
Master Limited Partnerships(a) | 35,865 | — | — | 35,865 | |||||||||||||||
Warrants(a) | 4,227 | — | — | 4,227 | |||||||||||||||
Options Purchased(b) | 5,825 | — | — | 5,825 | |||||||||||||||
Short-Term Investments | — | 378,287 | — | 378,287 | |||||||||||||||
Total Long Positions | $ | 2,710,564 | $ | 521,420 | $ | 15,003 | $ | 3,246,987 |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
(b) The "Purchased option contracts" table under Derivative Instruments provides information on the industry or sector categorization for the portfolio.
See Notes to Financial Statements
59
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
(c) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
Beginning balance, as of 11/1/2017 | Accrued discounts/ (premiums) | Realized gain/(loss) | Change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance, as of 4/30/2018 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2018 | ||||||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Preferred Stocks | |||||||||||||||||||||||||||||||||||||||||||
Health Care | $ | 11,550 | $ | — | $ | — | $ | 1,684 | $ | 1,769 | $ | — | $ | — | $ | — | $ | 15,003 | $ | 1,684 | |||||||||||||||||||||||
Total | $ | 11,550 | $ | — | $ | — | $ | 1,684 | $ | 1,769 | $ | — | $ | — | $ | — | $ | 15,003 | $ | 1,684 |
The following table presents additional information about valuation approach and inputs used for investments that are measured at fair value and categorized within Level 3 as of April 30, 2018:
Asset class | Fair value at 4/30/2018 | Valuation approach | Unobservable input | Amount or range per unit | Input value per unit | Impact to valuation from decrease in input(d) | |||||||||||||||||||||
Preferred Stock | $ | 13,234 | Market Transaction Method | Transaction Price | $ | 10.06 | $ | 10.06 | Decrease | ||||||||||||||||||
Preferred Stock | 1,769 | Market Transaction Method | Transaction Price | 10.06 | 10.06 | Decrease |
(d) Represents the expected directional change in the fair value of the Level 3 investments that would result from a decrease in the corresponding input. An increase to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2018:
Liabilities Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks Sold Short(a) | $ | (404,775 | ) | $ | — | $ | — | $ | (404,775 | ) | |||||||||
Corporate Bonds Sold Short(a) | — | (27,171 | ) | — | (27,171 | ) | |||||||||||||
Exchange-Traded Funds Sold Short | (93,816 | ) | — | — | (93,816 | ) | |||||||||||||
Master Limited Partnerships Sold Short(a) | (5,976 | ) | — | — | (5,976 | ) | |||||||||||||
Total Short Positions | $ | (504,567 | ) | $ | (27,171 | ) | $ | — | $ | (531,738 | ) |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
As of the six months ended April 30, 2018, no securities were transferred from one level (as of October 31, 2017) to another.
See Notes to Financial Statements
60
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2018:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures(a) | |||||||||||||||||||
Assets | $ | 19,668 | $ | — | $ | — | $ | 19,668 | |||||||||||
Swaps | |||||||||||||||||||
Assets | — | 3,972 | — | 3,972 | |||||||||||||||
Liabilities | — | (3,224 | ) | — | (3,224 | ) | |||||||||||||
Options Written | |||||||||||||||||||
Liabilities | (7,072 | ) | (242 | ) | — | (7,314 | ) | ||||||||||||
Total | $ | 12,596 | $ | 506 | $ | — | $ | 13,102 |
(a) Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
See Notes to Financial Statements
61
Schedule of Investments Long Short Credit Fund (Unaudited)
April 30, 2018
NUMBER OF SHARES | VALUE | ||||||||||
(000's omitted) | |||||||||||
Common Stocks 1.1% | |||||||||||
Hotels, Restaurants & Leisure 0.3% | |||||||||||
5,000 | Caesars Entertainment Corp. | $ | 57 | * | |||||||
Media 0.5% | |||||||||||
6,500 | Liberty Latin America Ltd. | 117 | * | ||||||||
Metals & Mining 0.3% | |||||||||||
25,000 | B2Gold Corp. | 72 | * | ||||||||
Total Common Stocks (Cost $288) | 246 | ||||||||||
PRINCIPAL AMOUNT(n) | |||||||||||
(000's omitted) | |||||||||||
Loan Assignments(a) 9.3% | |||||||||||
Electronics—Electrical 5.2% | |||||||||||
Digicert Holdings | |||||||||||
$ | 800 | First Lien Term Loan B2, (1 month USD LIBOR + 4.75%), 6.65%, due 10/31/24 | 802 | ||||||||
400 | Second Lien Term Loan, (1 month LIBOR + 8.00%), 9.90%, due 10/31/25 | 399 | |||||||||
1,201 | |||||||||||
Health Care 1.0% | |||||||||||
233 | Grifols SA, Term Loan, (1 month USD LIBOR + 2.25%), 4.00%, due 1/31/25 | 234 | |||||||||
Metals & Mining 2.2% | |||||||||||
499 | Consol Mining, First Lien Term Loan B, (1 month USD LIBOR + 6.00%), 8.00%, due 10/26/22 | 511 | |||||||||
Steel 0.9% | |||||||||||
199 | Big River Steel, Term Loan B, (3 month USD LIBOR + 5.00%), 7.30%, due 8/23/23 | 202 | (b) | ||||||||
Total Loan Assignments (Cost $2,115) | 2,148 | ||||||||||
Convertible Bonds 1.1% | |||||||||||
Energy—Alternate Sources 1.1% | |||||||||||
250 | SolarCity Corp., 2.75%, due 11/1/18 (Cost $249) | 246 | |||||||||
Corporate Bonds 108.7% | |||||||||||
Banks 14.9% | |||||||||||
500 | Barclays Bank PLC, 7.63%, due 11/21/22 | 547 | (c) | ||||||||
550 | HSBC Holdings PLC, (5 year USD ICE Swap + 5.51%), 6.88%, due 6/1/21 | 583 | (a)(d)(k) | ||||||||
800 | JPMorgan Chase & Co., Ser. 1, (3 month USD LIBOR + 3.47%), 5.83%, due 7/30/18 | 806 | (a)(k) | ||||||||
500 | Royal Bank of Scotland Group PLC, (5 year USD Swap + 7.60%), 8.63%, due 8/15/21 | 547 | (a)(k) | ||||||||
900 | Societe Generale SA, (5 year USD Swap + 6.24%), 7.38%, due 9/13/21 | 954 | (a)(d)(e)(k) | ||||||||
3,437 |
See Notes to Financial Statements
62
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT(n) | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Chemicals 1.8% | |||||||||||
$ | 400 | Braskem Finance Ltd., 5.75%, due 4/15/21 | $ | 414 | (e) | ||||||
Commercial Services 2.0% | |||||||||||
424 | Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, due 5/15/23 | 455 | (d)(e) | ||||||||
Diversified Financial Services 6.7% | |||||||||||
300 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, due 4/1/20 | 303 | (e) | ||||||||
500 | OneMain Financial Holdings LLC, 7.25%, due 12/15/21 | 517 | (c)(e) | ||||||||
750 | SLM Corp., 5.50%, due 1/25/23 | 739 | (c) | ||||||||
1,559 | |||||||||||
Electric 0.4% | |||||||||||
100 | Pampa Energia SA, 7.38%, due 7/21/23 | 105 | (e) | ||||||||
Food 8.0% | |||||||||||
JBS USA LUX SA/JBS USA Finance, Inc. | |||||||||||
500 | 7.25%, due 6/1/21 | 503 | (d)(e) | ||||||||
500 | 7.25%, due 6/1/21 | 504 | (d)(e) | ||||||||
350 | 6.75%, due 2/15/28 | 336 | (d)(e) | ||||||||
500 | SUPERVALU, Inc., 6.75%, due 6/1/21 | 500 | (c) | ||||||||
1,843 | |||||||||||
Healthcare—Services 7.4% | |||||||||||
750 | CHS/Community Health Systems, Inc., 5.13%, due 8/1/21 | 690 | |||||||||
800 | HCA, Inc., 5.88%, due 3/15/22 | 843 | (c)(d) | ||||||||
200 | Rede D'or Finance SARL, 4.95%, due 1/17/28 | 185 | (e) | ||||||||
1,718 | |||||||||||
Iron/Steel 6.4% | |||||||||||
Allegheny Technologies, Inc. | |||||||||||
70 | 5.95%, due 1/15/21 | 71 | |||||||||
300 | 7.88%, due 8/15/23 | 325 | (d) | ||||||||
500 | BlueScope Steel Finance Ltd./BlueScope Steel Finance USA LLC, 6.50%, due 5/15/21 | 516 | (c)(e) | ||||||||
550 | Steel Dynamics, Inc., 5.13%, due 10/1/21 | 561 | (c) | ||||||||
1,473 | |||||||||||
Media 15.9% | |||||||||||
250 | Altice Financing SA, 7.50%, due 5/15/26 | 246 | (d)(e) | ||||||||
700 | Altice Luxembourg SA, 7.75%, due 5/15/22 | 668 | (c)(e) | ||||||||
500 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, due 5/1/23 | 501 | (c)(e) | ||||||||
600 | Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, due 12/15/21 | 594 | (d)(e) | ||||||||
419 | CSC Holdings LLC, 10.88%, due 10/15/25 | 491 | (d)(e) | ||||||||
700 | DISH DBS Corp., 5.00%, due 3/15/23 | 604 | (c) | ||||||||
350 | Sinclair Television Group, Inc., 5.13%, due 2/15/27 | 325 | (e) | ||||||||
250 | Univision Communications, Inc., 5.13%, due 2/15/25 | 231 | (e) | ||||||||
3,660 |
See Notes to Financial Statements
63
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT(n) | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Mining 10.2% | |||||||||||
$ | 200 | Ferroglobe PLC/Globe Specialty Metals, Inc., 9.38%, due 3/1/22 | $ | 210 | (e) | ||||||
First Quantum Minerals Ltd. | |||||||||||
800 | 7.00%, due 2/15/21 | 804 | (c)(e) | ||||||||
200 | 6.50%, due 3/1/24 | 190 | (e) | ||||||||
200 | 6.88%, due 3/1/26 | 190 | (e) | ||||||||
Hudbay Minerals, Inc. | |||||||||||
290 | 7.25%, due 1/15/23 | 302 | (d)(e) | ||||||||
310 | 7.63%, due 1/15/25 | 328 | (d)(e) | ||||||||
35 | Lundin Mining Corp., 7.88%, due 11/1/22 | 37 | (e) | ||||||||
312 | Teck Resources Ltd., 5.20%, due 3/1/42 | 293 | |||||||||
2,354 | |||||||||||
Oil & Gas 10.9% | |||||||||||
400 | PBF Holding Co. LLC/PBF Finance Corp., 7.25%, due 6/15/25 | 415 | (c) | ||||||||
450 | Petrobras Global Finance BV, 6.13%, due 1/17/22 | 475 | |||||||||
250 | Seadrill Ltd., 6.13%, due 9/15/17 | 37 | (e)(l) | ||||||||
400 | Tullow Oil PLC, 7.00%, due 3/1/25 | 406 | (e) | ||||||||
1,100 | YPF SA, 8.50%, due 3/23/21 | 1,194 | (d)(e) | ||||||||
2,527 | |||||||||||
Packaging & Containers 0.9% | |||||||||||
200 | ARD Securities Finance SARL, 8.75% Cash/8.75% PIK, due 1/31/23 | 211 | (e)(f) | ||||||||
Pharmaceuticals 3.1% | |||||||||||
800 | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, due 7/21/21 | 722 | (c) | ||||||||
Pipelines 1.8% | |||||||||||
100 | DCP Midstream Operating LP, 5.60%, due 4/1/44 | 98 | |||||||||
300 | Williams Cos., Inc., 5.75%, due 6/24/44 | 313 | |||||||||
411 | |||||||||||
Semiconductors 0.9% | |||||||||||
200 | NXP BV/NXP Funding LLC, 4.63%, due 6/1/23 | 201 | (e) | ||||||||
Software 6.5% | |||||||||||
700 | Infor Software Parent LLC/Infor Software Parent, Inc., 7.13% Cash/7.88% PIK,, due 5/1/21 | 705 | (c)(e)(f) | ||||||||
246 | Project Homestake Merger Corp., 8.88%, due 3/1/23 | 227 | (e) | ||||||||
550 | Rackspace Hosting, Inc., 8.63%, due 11/15/24 | 557 | (d)(e) | ||||||||
1,489 | |||||||||||
Storage/Warehousing 1.1% | |||||||||||
EUR | 200 | Algeco Global Finance PLC, 6.50%, due 2/15/23 | 248 | (e) |
See Notes to Financial Statements
64
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT(n) | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Telecommunications 9.8% | |||||||||||
$ | 500 | C&W Senior Financing Designated Activity Co., 6.88%, due 9/15/27 | $ | 495 | (d)(e) | ||||||
300 | CenturyLink, Inc., Ser. W, 6.75%, due 12/1/23 | 298 | (d) | ||||||||
50 | Frontier Communications Corp., 8.50%, due 4/1/26 | 49 | (e) | ||||||||
300 | Intelsat Jackson Holdings SA, 5.50%, due 8/1/23 | 252 | (d) | ||||||||
771 | Qwest Corp., 6.75%, due 12/1/21 | 829 | (c)(d) | ||||||||
300 | Telesat Canada/Telesat LLC, 8.88%, due 11/15/24 | 327 | (e) | ||||||||
2,250 | |||||||||||
Total Corporate Bonds (Cost $25,731) | 25,077 | ||||||||||
Foreign Government Securities 0.6% | |||||||||||
220 | Argentine Republic Government International Bond, 2.50%, due 12/31/38 (Cost $161) | 144 | (m) | ||||||||
NUMBER OF SHARES | |||||||||||
Total Swaptions Purchased(g) 0.0%(h) (Cost $16) | 4 | ||||||||||
Short-Term Investments 1.5% | |||||||||||
Investment Companies 1.5% | |||||||||||
348,605 | State Street Institutional U.S. Government Money Market Fund Premier Class, 1.63%(i) (Cost $349) | 349 | (d) | ||||||||
Total Investments 122.3% (Cost $28,909) | 28,214 | ||||||||||
Liabilities Less Other Assets (22.3)% | (5,139 | )(j) | |||||||||
Net Assets 100.0% | $ | 23,075 |
* Non-income producing security.
(a) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2018 and changes periodically.
Benchmarks for Variable / Floating Rates:
LIBOR - London Interbank Offered Rate
ICE - Intercontinental Exchange
(b) Value determined using significant unobservable inputs.
(c) All or a portion of this security is pledged as collateral for reverse repurchase agreements.
(d) All or a portion of this security is segregated in connection with forward foreign currency contracts, futures, reverse repurchase agreements and/or swaps with a total value of approximately $9,375,000.
(e) Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2018, these securities amounted to approximately $14,568,000, which represents 63.1% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
(f) Payment-in-kind (PIK) security.
(g) See "Purchased swaption contracts" under Derivative Instruments.
See Notes to Financial Statements
65
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
(h) Represents less than 0.05% of net assets.
(i) Represents 7-day effective yield as of April 30, 2018.
(j) Includes the impact of the Fund's open positions in derivatives at April 30, 2018.
(k) Perpetual Bond Security. The rate reflected was the rate in effect on April 30, 2018. The maturity date reflects the next call date.
(l) Defaulted security.
(m) Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of April 30, 2018.
(n) Principal amount is stated in the currency in which the security is denominated.
EUR = Euro
Reverse Repurchase Agreements
At April 30, 2018, open positions in reverse repurchase agreements for the Fund were as follows:
Counterparty | Trade Date | Maturity Date(a) | Interest Rate Paid (Received) | Principal Amount | Value including Accrued Interest | Type of Underlying Collateral | Value of Securities Pledged as Collateral | Remaining Contractual Maturity of the Agreements(a) | |||||||||||||||||||||||||||
Citigroup Global Markets, Inc.(b) | 1/24/2018 | Open/Demand | 2.40 | % | $ | 433,000 | $ | 435,800 | Corporate Bonds | $ | 537,571 | Overnight and Continuous | |||||||||||||||||||||||
Citigroup Global Markets, Inc.(b) | 1/24/2018 | Open/Demand | 2.40 | % | 539,000 | 542,485 | Corporate Bonds | 603,750 | Overnight and Continuous | ||||||||||||||||||||||||||
Citigroup Global Markets, Inc.(b) | 2/7/2018 | Open/Demand | 2.625 | % | 427,969 | 430,528 | Corporate Bonds | 546,875 | Overnight and Continuous | ||||||||||||||||||||||||||
Citigroup Global Markets, Inc.(b) | 2/7/2018 | Open/Demand | 2.625 | % | 558,750 | 562,091 | Corporate Bonds | 721,710 | Overnight and Continuous | ||||||||||||||||||||||||||
Citigroup Global Markets, Inc.(b) | 2/20/2018 | Open/Demand | 2.75 | % | 395,156 | 397,239 | Corporate Bonds | 516,250 | Overnight and Continuous | ||||||||||||||||||||||||||
Nomura Securities International Inc. | 2/13/2018 | Open/Demand | 2.00 | % | 501,038 | 503,153 | Corporate Bonds | 526,875 | Overnight and Continuous | ||||||||||||||||||||||||||
Nomura Securities International Inc. | 2/13/2018 | Open/Demand | 2.00 | % | 700,031 | 702,987 | Corporate Bonds | 738,525 | Overnight and Continuous | ||||||||||||||||||||||||||
Nomura Securities International Inc. | 2/13/2018 | Open/Demand | 2.00 | % | 381,800 | 383,412 | Corporate Bonds | 415,000 | Overnight and Continuous | ||||||||||||||||||||||||||
Nomura Securities International Inc. | 2/13/2018 | Open/Demand | 2.00 | % | 541,441 | 543,727 | Corporate Bonds | 560,313 | Overnight and Continuous | ||||||||||||||||||||||||||
Nomura Securities International Inc. | 2/13/2018 | Open/Demand | 2.00 | % | 475,594 | 477,602 | Corporate Bonds | 500,000 | Overnight and Continuous |
See Notes to Financial Statements
66
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Counterparty | Trade Date | Maturity Date(a) | Interest Rate Paid (Received) | Principal Amount | Value including Accrued Interest | Type of Underlying Collateral | Value of Securities Pledged as Collateral | Remaining Contractual Maturity of the Agreements(a) | |||||||||||||||||||||||||||
Nomura Securities International Inc. | 2/21/2018 | Open/Demand | 2.25 | % | $ | 655,200 | $ | 657,985 | Corporate Bonds | $ | 705,250 | Overnight and Continuous | |||||||||||||||||||||||
Nomura Securities International Inc. | 3/28/2018 | Open/Demand | 2.25 | % | 592,200 | 593,405 | Corporate Bonds | 668,500 | Overnight and Continuous | ||||||||||||||||||||||||||
Nomura Securities International Inc. | 3/28/2018 | Open/Demand | 2.25 | % | 460,125 | 461,074 | Corporate Bonds | 501,600 | Overnight and Continuous | ||||||||||||||||||||||||||
Nomura Securities International Inc. | 3/28/2018 | Open/Demand | 2.25 | % | 771,400 | 772,991 | Corporate Bonds | 804,500 | Overnight and Continuous |
(a) Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.
For the six months ended April 30, 2018, the average interest rate paid and the average principal amount were 2.55% and $6,132,125, respectively.
(b) At April 30, 2018, the Fund also had cash collateral of $76,000 deposited in a segregated account for Citigroup Global Markets, Inc. to cover collateral requirements on reverse repurchase agreements.
Derivative Instruments
Futures contracts ("futures")
At April 30, 2018, open positions in futures for the Fund were as follows:
Long Futures:
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
6/2018 | 20 | Euro, 90 Day | $ | 4,881,500 | $ | (4,500 | ) | ||||||||||||
Total Long Positions | $ | 4,881,500 | $ | (4,500 | ) |
Short Futures:
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
6/2018 | 10 | Euro-Bund | $ | (1,916,944 | ) | $ | (22,340 | ) | |||||||||||
6/2018 | 2 | U.S. Treasury Long Bond | (287,688 | ) | (1,282 | ) | |||||||||||||
6/2018 | 10 | U.S. Treasury Note, 10 Year | (1,196,250 | ) | 6,173 | ||||||||||||||
6/2019 | 20 | Euro, 90 day | (4,857,500 | ) | 6,125 | ||||||||||||||
Total Short Positions | $ | (8,258,382 | ) | $ | (11,324 | ) | |||||||||||||
Total Futures | $ | (15,824 | ) |
See Notes to Financial Statements
67
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
At April 30, 2018, the Fund had $116,974 deposited in a segregated account to cover margin requirements on open futures. For the the six months ended April 30, 2018, the average notional value of futures for the Fund was $1,803,425 for long positions and $(4,370,487) for short positions.
Forward foreign currency contracts ("forward contracts")
At April 30, 2018, open forward contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
218,164 | USD | 175,000 | EUR | Goldman Sachs International | 7/24/2018 | $ | 5,484 | ||||||||||||||||||||
Total unrealized appreciation | $ | 5,484 | |||||||||||||||||||||||||
31,210 | ZAR | 2,583 | USD | Goldman Sachs International | 7/24/2018 | $ | (105 | ) | |||||||||||||||||||
Total unrealized depreciation | $ | (105 | ) | ||||||||||||||||||||||||
Total net unrealized appreciation | $ | 5,379 |
EUR = Euro
ZAR = South African Rand
For the six months ended April 30, 2018, the Fund's investments in forward contracts had an average notional value of $179,392.
Credit default swap contracts ("credit default swaps")
At April 30, 2018, the Fund had outstanding credit default swaps as follows:
Over-the-counter Credit Default Swaps — Buy Protection
Swap Counterparty | Reference Entity | Notional Amount(a) | Financing Rate Paid by the Fund(b) | Maturity Date | Upfront Payments (Receipts) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||
BNP Paribas S.A. | Natixis, Senior Securities | EUR | 250,000 | 1.00 | % | 6/20/2020 | $ | (4,598 | ) | $ | (966 | ) | $ | (358 | ) | $ | (5,922 | ) | |||||||||||||||||
Bank of America, N.A. | United States Steel Corp., Senior Securities | $ | 250,000 | 5.00 | % | 6/20/2020 | (14,830 | ) | (8,881 | ) | (1,458 | ) | (25,169 | ) | |||||||||||||||||||||
Bank of America, N.A | AK Steel Corp., Senior Securities | 250,000 | 5.00 | % | 6/20/2020 | (16,757 | ) | (3,775 | ) | (1,458 | ) | (21,990 | ) | ||||||||||||||||||||||
Goldman Sachs International | KB Home, Senior Securities | 250,000 | 5.00 | % | 12/20/2022 | (38,217 | ) | 4,401 | (1,458 | ) | (35,274 | ) | |||||||||||||||||||||||
Goldman Sachs International | SuperValue, inc., Senior Securities | 500,000 | 5.00 | % | 6/20/2021 | 3,108 | (15,013 | ) | (2,917 | ) | (14,822 | ) | |||||||||||||||||||||||
Total | $ | (71,294 | ) | $ | (24,234 | ) | $ | (7,649 | ) | $ | (103,177 | ) |
(a) Notional amount is stated in the currency in which the contract is denominated.
EUR=Euro
(b) Payment frequency—quarterly.
See Notes to Financial Statements
68
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Over-the-counter Credit Default Swaps — Sell Protection
Swap Counterparty | Reference Entity | Notional Amount | Financing Rate Received by the Fund(a) | Maturity Date | Upfront Payments (Receipts) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||
Citibank N.A. | Petrobas Global Finance, Senior Securities | $ | 300,000 | 1.00 | % | 6/20/2023 | $ | (14,180 | ) | $ | (1,108 | ) | $ | 350 | $ | (14,938 | ) | ||||||||||||||||||
Goldman Sachs International | Republic of Argentina, Senior Securities | 650,000 | 5.00 | % | 6/20/2023 | 64,506 | (3,715 | ) | 3,792 | 64,583 | |||||||||||||||||||||||||
Citibank N.A. | Republic of | 500,000 | 5.00 | % | 6/20/2023 | 49,620 | (2,857 | ) | 2,917 | 49,680 | |||||||||||||||||||||||||
| Argentina, Senior Securities | | | | | | | | |||||||||||||||||||||||||||
Total | $ | 99,946 | $ | (7,680 | ) | $ | 7,059 | $ | 99,325 |
(a) Payment frequency—quarterly.
Centrally Cleared Credit Default Swaps — Sell Protection
Clearinghouse | Reference Entity | Notional Amount | Financing Rate Received by the Fund | Maturity Date | Upfront Payments (Receipts) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||
ICE Clear Credit LLC | CDX North American Investment Grade, Ser. 30. V1 | $ | 5,000,000 | 1.00 | %(a) | 6/20/2023 | $ | 86,343 | $ | 6,327 | $ | 5,833 | $ | 98,503 | |||||||||||||||||||||
Total | $ | 86,343 | $ | 6,327 | $ | 5,833 | $ | 98,503 |
(a) Payment frequency—quarterly
For the six months ended April 30, 2018, the average notional value of credit default swaps for the Fund was $4,370,430 for buy protection and $(12,344,957) for sell protection.
At April 30, 2018, the Fund had $79,490 deposited in a segregated account to cover margin requirements on centrally cleared swaps.
Total return basket swap contracts ("total return basket swaps")
At April 30, 2018, the Fund had outstanding total return basket swap(a) as follows:
Counterparty | Description | Maturity Date(s) | Value | ||||||||||||
Goldman Sachs International | The Fund receives the total return, and pays the floating rate plus or minus a spread on a portfolio of long positions. The receipts, based on the specified benchmark floating rates,* are denominated in various foreign currencies based on the local currencies of the positions within the swaps. | 3/14/2019 | $ | 27,353 |
(a) The following table represents required component disclosures associated with the total return basket swaps with Goldman Sachs International as of April 30, 2018.
See Notes to Financial Statements
69
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Percentage of Net Assets | |||||||||||||||
Long Positions | |||||||||||||||||||
GSCBEN12(b) | |||||||||||||||||||
BP PLC | 389 | $ | 30,975 | $ | 4,773 | 0.0 | % | ||||||||||||
ConocoPhillips | 307 | 35,941 | 5,538 | 0.1 | % | ||||||||||||||
Royal Dutch Shell PLC | 244 | 30,423 | 4,689 | 0.0 | % | ||||||||||||||
TOTAL SA | 263 | 29,372 | 4,527 | 0.0 | % | ||||||||||||||
Exxon Mobil Corp. | 175 | 24,367 | 3,756 | 0.0 | % | ||||||||||||||
Chevron Corp. | 122 | 27,392 | 4,221 | 0.0 | % | ||||||||||||||
$ | 178,470 | $ | 27,504 | 0.1 | % | ||||||||||||||
Accrued Net Interest Receivable/(Payable) | (151 | ) | |||||||||||||||||
Total Return Basket Swaps, at Value | $ | 27,353 |
(b) Fund pays 1-month LIBOR plus 0.50% (effective rate at 4/30/2018 was 2.40%) Payment frequency—monthly. Fund receives the return on investment. Payment frequency—upon termination.
* Benchmark Floating Rates
LIBOR - London Interbank Offered Rate
Total return swap contracts ("total return swaps")
At April 30, 2018, the Fund had outstanding over-the-counter total return swaps as follows:
Long Total Return Swaps
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(d) | Upfront Payments (Receipts) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||
BNP Paribas S.A. | DCP Midstream Operating LP, Senior Unsecured Notes, 5.60%, due 4/1/44 | $ | 371,675 | 4/15/2019 | 2.75 | %(a) | $ | — | $ | (27,867 | ) | $ | (458 | ) | $ | (28,325 | ) | ||||||||||||||||||
BNP Paribas S.A. | Antero Resources Corp., Senior Unsecured Notes, 5.38%, due 11/1/2021 | 150,638 | 4/15/2019 | 2.75 | %(a) | — | (4,185 | ) | (177 | ) | (4,362 | ) | |||||||||||||||||||||||
BNP Paribas S.A. | Chesapeake Energy Corp., Senior Unsecured Notes, 5.60%, due 4/15/2019 | 520,736 | 6/17/2019 | 2.73 | %(a) | — | 1,252 | (516 | ) | 736 | |||||||||||||||||||||||||
Goldman Sachs International | iShares iBoxx $ Investment Grade Corp. Bond ETF | 576,100 | 9/30/2019 | 2.10 | %(b) | — | (8,650 | ) | (949 | ) | (9,599 | ) | |||||||||||||||||||||||
Goldman Sachs International | Alerian MLP ETF | 50,500 | 8/26/2019 | 2.80 | %(c) | — | (1,696 | ) | (229 | ) | (1,925 | ) | |||||||||||||||||||||||
Total | $ | — | $ | (41,146 | ) | $ | (2,329 | ) | $ | (43,475 | ) |
(a) Fund pays 1-month USD LIBOR plus 0.85%. Payment frequency—monthly. Fund receives return on reference entity. Payment frequency—upon termination.
(b) Fund pays 1-month USD LIBOR plus 0.20%. Payment frequency—monthly. Fund receives return on reference entity. Payment frequency—upon termination.
See Notes to Financial Statements
70
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
(c) Fund pays 1-month USD LIBOR plus 0.90%. Payment frequency—monthly. Fund receives return on reference entity. Payment frequency—upon termination.
(d) Effective rate at April 30, 2018.
Short Total Return Swaps
Counterparty | Reference Entity | Notional Amount(a) | Maturity Date | Variable- Rate(d) | Upfront Payments/ (Receipts) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||
BNP Paribas S.A. | HCA, Inc., Senior Unsecured Notes, 5.88%, due 2/15/2026 | $ | (162,692 | ) | 6/17/2019 | 1.40 | %(b) | $ | — | $ | 2,599 | $ | 93 | $ | 2,692 | ||||||||||||||||||||
BNP Paribas S.A. | HCA, Inc., Senior Unsecured Notes, 5.88%, due 2/15/2026 | (324,188 | ) | 8/20/2018 | 1.40 | %(b) | — | 24,014 | 174 | 24,188 | |||||||||||||||||||||||||
BNP Paribas S.A. | GRIFLS SA , Senior Unsecured Notes, 3.20%, due 5/1/2025 | EUR | (225,873 | ) | 9/18/2018 | (1.37 | )%(c) | — | 1,186 | (131 | ) | 1,055 | |||||||||||||||||||||||
BNP Paribas S.A. | Care Capital Properties LP, 5.13%, due 8/15/2026 | $ | (216,225 | ) | 9/26/2018 | 1.40 | %(b) | — | 16,109 | 116 | 16,225 | ||||||||||||||||||||||||
BNP Paribas S.A. | HCA, Inc., Senior Unsecured Notes, 5.88%, due 2/15/2026 | (94,361 | ) | 11/15/2018 | 1.40 | %(b) | — | 4,292 | 69 | 4,361 | |||||||||||||||||||||||||
BNP Paribas S.A. | Macy's Retail Holdings, Inc., Senior Unsecured Notes, 3.88%, due 1/15/2022 | (503,950 | ) | 11/15/2018 | 2.40 | %(e) | — | 3,451 | 499 | 3,950 | |||||||||||||||||||||||||
BNP Paribas S.A. | Michael's Stores, Inc., Senior Subordinated Notes, 5.88%, due 12/15/2020 | (501,460 | ) | 11/15/2018 | 1.40 | %(b) | — | 1,169 | 291 | 1,460 | |||||||||||||||||||||||||
BNP Paribas S.A. | SBA Communications Corp., Senior Unsecured Notes, 4.88%, due 7/15/2022 | (256,682 | ) | 11/15/2018 | 1.40 | %(b) | — | 6,537 | 145 | 6,682 | |||||||||||||||||||||||||
BNP Paribas S.A. | CHS/Community Health Systems, Inc. Senior Unsecured Notes, 8.00%, due 11/15/2019 | (211,293 | ) | 12/15/2018 | 2.15 | %(f) | — | 11,114 | 179 | 11,293 | |||||||||||||||||||||||||
BNP Paribas S.A. | CHS/Community Health Systems, Inc. Senior Unsecured Notes, 8.00%, due 11/15/2019 | (422,853 | ) | 12/15/2018 | 2.15 | %(f) | — | 22,495 | 358 | 22,853 | |||||||||||||||||||||||||
BNP Paribas S.A. | CHS/Community Health Systems, Inc. Senior Unsecured Notes, 8.00%, due 11/15/2019 | (151,385 | ) | 12/17/2018 | 0.15 | %(g) | — | 1,376 | 9 | 1,385 | |||||||||||||||||||||||||
BNP Paribas S.A. | SFR/Numericable Group SA, 5.38%, due 5/15/2022 | EUR | (256,4 | 94) | 12/17/2018 | 1.12 | %(h) | — | 7,946 | (104 | ) | 7,842 | |||||||||||||||||||||||
Total | $ | — | $ | 102,288 | $ | 1,698 | $ | 103,986 |
(a) Notional amount is stated in the currency in which the contract is denominated.
EUR=Euro
See Notes to Financial Statements
71
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
(b) Fund receives 1-month USD LIBOR minus 0.50%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(c) Fund receives 1-month EURIBOR minus 1.00%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(d) Effective rate at April 30, 2018.
(e) Fund receives 1-month USD LIBOR plus 0.50%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(f) Fund receives 1-month USD LIBOR plus 0.25%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(g) Fund receives 1-month USD LIBOR minus 1.75%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(h) Fund receives 1-month EURIBOR minus 0.75%. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
Benchmark Floating Rates | |||
LIBOR - London Interbank Offered Rate | |||
EURIBOR - Euro Interbank Offered Rate |
For the six months ended April 30, 2018, the average notional value of total return swaps was $5,298,262 for long positions and $(6,560,751) for short positions.
At April 30, 2018, the Fund had cash collateral of $750,000 deposited in a segregated account for BNP Paribas SA to cover collateral requirements on over-the-counter derivatives.
Purchased swaption contracts ("swaptions purchased")
At April 30, 2018, the Fund had outstanding swaptions purchased as follows:
Description | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||
Puts | |||||||||||||||||||
Index | |||||||||||||||||||
CDX North American Investment Grade Index Ser. 30 V1, 5 year Swaption(a) | $ | 15,000,000 | $ | 70.0 | 5/16/2018 | $ | 3,944 | ||||||||||||
Total swaptions purchased (cost: $15,750) | $ | 3,944 |
(a) Over-the-counter swaption. Counterparty is Goldman Sachs International.
See Notes to Financial Statements
72
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2018:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(c) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks(a) | $ | 246 | $ | — | $ | — | $ | 246 | |||||||||||
Loan Assignments | |||||||||||||||||||
Steel | — | — | 202 | 202 | |||||||||||||||
Other Loan Assignments(a) | — | 1,946 | — | 1,946 | |||||||||||||||
Total Loan Assignments | — | 1,946 | 202 | 2,148 | |||||||||||||||
Convertible Bonds | — | 246 | — | 246 | |||||||||||||||
Corporate Bonds(a) | — | 25,077 | — | 25,077 | |||||||||||||||
Foreign Government Securities | — | 144 | — | 144 | |||||||||||||||
Swaptions Purchased(b) | — | 4 | — | 4 | |||||||||||||||
Short-Term Investments | — | 349 | — | 349 | |||||||||||||||
Total Investments | $ | 246 | $ | 27,766 | $ | 202 | $ | 28,214 |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
(b) The "Purchased swaption contracts" table under Derivative Instruments provides information on the industry or sector categorization for the portfolio.
(c) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
(000's omitted) | Beginning balance, as of 11/1/2017 | Accrued discounts/ (premiums) | Realized gain/(loss) | Change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers in to Level 3 | Transfers out of Level 3 | Balance as of 4/30/2018 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2018 | |||||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||||||
Loan Assignments(d) | |||||||||||||||||||||||||||||||||||||||||||
Steel | $ | 204 | $ | 0 | (e) | $ | 0 | (e) | $ | (1 | ) | $ | — | $ | (1 | ) | $ | — | $ | — | $ | 202 | $ | (1 | ) | ||||||||||||||||||
Total | $ | 204 | $ | 0 | (e) | $ | 0 | (e) | $ | (1 | ) | $ | — | $ | (1 | ) | $ | — | $ | — | $ | 202 | $ | (1 | ) |
(d) Securities categorized as Level 3 are valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
(e) Amount less than one thousand.
As of the six months ended April 30, 2018, no securities were transferred from one level (as of October 31, 2017) to another.
See Notes to Financial Statements
73
Schedule of Investments Long Short Credit Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2018:
Liability Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Reverse Repurchase Agreements | $ | — | $ | (7,464 | ) | $ | — | $ | (7,464 | ) | |||||||||
Total Reverse Repurchase Agreements | $ | — | $ | (7,464 | ) | $ | — | $ | (7,464 | ) |
As of the six months ended April 30, 2018, no securities were transferred from one level (as of October 31, 2017) to another.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2018:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures(a) | |||||||||||||||||||
Assets | $ | 12 | $ | — | $ | — | $ | 12 | |||||||||||
Liabilities | (28 | ) | — | — | (28 | ) | |||||||||||||
Forward Contracts(a) | |||||||||||||||||||
Assets | — | 5 | — | 5 | |||||||||||||||
Liabilities | — | (0 | )(b) | — | (0 | )(b) | |||||||||||||
Swaps | |||||||||||||||||||
Assets | — | 345 | — | 345 | |||||||||||||||
Liabilities | — | (162 | ) | — | (162 | ) | |||||||||||||
Total | $ | (16 | ) | $ | 188 | $ | — | $ | 172 |
(a) Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
(b) Amount less than one thousand.
See Notes to Financial Statements
74
Schedule of Investments Multi-Asset Income Fund (Unaudited) April 30, 2018
Number of Shares | Value (000's omitted) | ||||||||||
Common Stocks 35.6% | |||||||||||
Aerospace & Defense 0.6% | |||||||||||
BAE Systems PLC | 4,600 | $ | 38 | ||||||||
Boeing Co. | 74 | 25 | |||||||||
Lockheed Martin Corp. | 234 | 75 | |||||||||
138 | |||||||||||
Air Freight & Logistics 0.2% | |||||||||||
bpost SA | 428 | 9 | |||||||||
Oesterreichische Post AG | 113 | 6 | |||||||||
Royal Mail PLC | 3,391 | 27 | |||||||||
42 | |||||||||||
Airlines 0.0%(a) | |||||||||||
Copa Holdings SA Class A | 26 | 3 | |||||||||
Automobiles 0.4% | |||||||||||
Daimler AG | 245 | 19 | |||||||||
Ford Motor Co. | 2,729 | 31 | |||||||||
Nissan Motor Co. Ltd. | 2,100 | 22 | |||||||||
Renault SA | 206 | 22 | |||||||||
94 | |||||||||||
Banks 2.2% | |||||||||||
Aozora Bank Ltd. | 500 | 20 | |||||||||
Australia & New Zealand Banking Group Ltd. | 711 | 14 | |||||||||
Bank of NT Butterfield & Son Ltd. | 155 | 7 | |||||||||
BB&T Corp. | 576 | 31 | |||||||||
Citigroup, Inc. | 350 | 24 | |||||||||
Danske Bank A/S | 134 | 5 | |||||||||
First Hawaiian, Inc. | 1,330 | 37 | |||||||||
FNB Corp. | 1,400 | 18 | |||||||||
Huntington Bancshares, Inc. | 458 | 7 | |||||||||
ING Groep NV | 844 | 14 | |||||||||
Intesa Sanpaolo SpA | 2,622 | 10 | |||||||||
JPMorgan Chase & Co. | 625 | 68 | |||||||||
KBC Group NV | 242 | 21 | |||||||||
Nordea Bank AB | 882 | 9 | |||||||||
People's United Financial, Inc. | 977 | 18 | |||||||||
PNC Financial Services Group, Inc. | 200 | 29 | |||||||||
Royal Bank of Canada | 258 | 20 | |||||||||
Skandinaviska Enskilda Banken AB, Class A | 438 | 4 | |||||||||
SunTrust Banks, Inc. | 914 | 61 |
Number of Shares | Value (000's omitted) | ||||||||||
U.S. Bancorp | 528 | $ | 27 | ||||||||
Umpqua Holdings Corp. | 2,090 | 49 | |||||||||
Wells Fargo & Co. | 478 | 25 | |||||||||
518 | |||||||||||
Beverages 0.4% | |||||||||||
Coca-Cola Amatil Ltd. | 2,359 | 17 | |||||||||
Coca-Cola Co. | 625 | 27 | |||||||||
Heineken Holding NV | 209 | 21 | |||||||||
PepsiCo, Inc. | 325 | 33 | |||||||||
98 | |||||||||||
Biotechnology 0.2% | |||||||||||
Gilead Sciences, Inc. | 625 | 45 | |||||||||
Building Products 0.0%(a) | |||||||||||
JELD-WEN Holding, Inc. | 311 | 9 | * | ||||||||
Capital Markets 0.3% | |||||||||||
CME Group, Inc. | 177 | 28 | |||||||||
Virtu Financial, Inc. Class A | 1,150 | 41 | |||||||||
69 | |||||||||||
Chemicals 0.9% | |||||||||||
Air Products & Chemicals, Inc. | 46 | 7 | |||||||||
BASF SE | 206 | 21 | |||||||||
Cabot Corp. | 180 | 10 | |||||||||
DowDuPont, Inc. | 65 | 4 | |||||||||
Eastman Chemical Co. | 312 | 32 | |||||||||
Kronos Worldwide, Inc. | 281 | 6 | |||||||||
LyondellBasell Industries NV Class A | 490 | 52 | |||||||||
Nutrien Ltd. | 450 | 21 | |||||||||
Praxair, Inc. | 187 | 29 | |||||||||
Solvay SA | 150 | 21 | |||||||||
203 | |||||||||||
Commercial Services & Supplies 0.2% | |||||||||||
KAR Auction Services, Inc. | 396 | 21 | |||||||||
Societe BIC SA | 55 | 6 | |||||||||
Waste Management, Inc. | 337 | 27 | |||||||||
54 | |||||||||||
Communications Equipment 0.4% | |||||||||||
Cisco Systems, Inc. | 1,503 | 67 | |||||||||
VTech Holdings Ltd. | 1,800 | 22 | |||||||||
89 |
Number of Shares | Value (000's omitted) | ||||||||||
Construction & Engineering 0.1% | |||||||||||
Ferrovial SA | 500 | $ | 11 | ||||||||
Vinci SA | 225 | 22 | |||||||||
33 | |||||||||||
Containers & Packaging 0.5% | |||||||||||
Bemis Co., Inc. | 264 | 11 | |||||||||
International Paper Co. | 949 | 49 | |||||||||
Packaging Corp. of America | 243 | 28 | |||||||||
Sonoco Products Co. | 289 | 15 | |||||||||
WestRock Co. | 449 | 27 | |||||||||
130 | |||||||||||
Diversified Consumer Services 0.1% | |||||||||||
H&R Block, Inc. | 522 | 14 | |||||||||
Diversified Telecommunication Services 0.8% | |||||||||||
AT&T, Inc. | 785 | 26 | |||||||||
BCE, Inc. | 487 | 21 | |||||||||
Bezeq Israeli Telecommunication Corp. Ltd. | 14,201 | 18 | |||||||||
CenturyLink, Inc. | 288 | 5 | |||||||||
Elisa OYJ | 528 | 23 | |||||||||
Orange SA | 1,186 | 22 | |||||||||
Sunrise Communications Group AG | 268 | 21 | *(b) | ||||||||
Swisscom AG | 39 | 19 | |||||||||
Telefonica Deutschland Holding AG | 2,311 | 11 | |||||||||
Verizon Communications, Inc. | 614 | 30 | |||||||||
196 | |||||||||||
Electric Utilities 1.6% | |||||||||||
ALLETE, Inc. | 150 | 11 | |||||||||
American Electric Power Co., Inc. | 150 | 11 | |||||||||
CK Infrastructure Holdings Ltd. | 1,000 | 8 | |||||||||
CLP Holdings Ltd. | 1,500 | 16 | |||||||||
Endesa SA | 943 | 22 | |||||||||
Eversource Energy | 461 | 28 | |||||||||
Exelon Corp. | 1,132 | 45 | |||||||||
FirstEnergy Corp. | 930 | 32 | |||||||||
Fortum OYJ | 1,013 | 23 | |||||||||
Hawaiian Electric Industries, Inc. | 104 | 4 | |||||||||
HK Electric Investments & HK Electric Investments Ltd. | 6,000 | 6 | (b) | ||||||||
IDACORP, Inc. | 87 | 8 | |||||||||
NextEra Energy, Inc. | 300 | 49 |
See Notes to Financial Statements
75
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
PG&E Corp. | 658 | $ | 30 | ||||||||
Pinnacle West Capital Corp. | 91 | 7 | |||||||||
Portland General Electric Co. | 262 | 11 | |||||||||
Power Assets Holdings Ltd. | 3,000 | 22 | |||||||||
PPL Corp. | 889 | 26 | |||||||||
SSE PLC | 1,176 | 22 | |||||||||
Xcel Energy, Inc. | 4 | 0 | (c) | ||||||||
381 | |||||||||||
Electrical Equipment 0.3% | |||||||||||
ABB Ltd. | 402 | 9 | |||||||||
Eaton Corp. PLC | 375 | 28 | |||||||||
Emerson Electric Co. | 421 | 28 | |||||||||
65 | |||||||||||
Electronic Equipment, Instruments & Components 0.0%(a) | |||||||||||
National Instruments Corp. | 2 | 0 | (c) | ||||||||
Energy Equipment & Services 0.2% | |||||||||||
Helmerich & Payne, Inc. | 325 | 22 | |||||||||
Schlumberger Ltd. | 228 | 16 | |||||||||
38 | |||||||||||
Equity Real Estate Investment Trusts 5.3% | |||||||||||
Alexandria Real Estate Equities, Inc. | 462 | 58 | |||||||||
American Campus Communities, Inc. | 532 | 21 | |||||||||
American Tower Corp. | 297 | 41 | |||||||||
Apple Hospitality REIT, Inc. | 657 | 12 | |||||||||
Ascendas Real Estate Investment Trust | 5,200 | 10 | |||||||||
Brandywine Realty Trust | 397 | 6 | |||||||||
British Land Co. PLC | 609 | 6 | |||||||||
Camden Property Trust | 85 | 7 | |||||||||
CapitaLand Commercial Trust | 10,400 | 14 | |||||||||
CapitaLand Mall Trust | 6,300 | 10 | |||||||||
Colony NorthStar, Inc. Class A | 230 | 1 | |||||||||
CoreSite Realty Corp. | 622 | 65 | |||||||||
Crown Castle International Corp. | 902 | 91 |
Number of Shares | Value (000's omitted) | ||||||||||
Digital Realty Trust, Inc. | 240 | $ | 25 | ||||||||
Douglas Emmett, Inc. | 650 | 24 | |||||||||
Equinix, Inc. | 60 | 25 | |||||||||
Extra Space Storage, Inc. | 668 | 60 | |||||||||
Fonciere Des Regions | 49 | 6 | |||||||||
Gaming and Leisure Properties, Inc. | 586 | 20 | |||||||||
H&R Real Estate Investment Trust | 1,262 | 20 | |||||||||
Highwoods Properties, Inc. | 548 | 24 | |||||||||
Host Hotels & Resorts, Inc. | 2,400 | 47 | |||||||||
Iron Mountain, Inc. | 691 | 23 | |||||||||
Kimco Realty Corp. | 1,482 | 22 | |||||||||
Lamar Advertising Co. Class A | 131 | 8 | |||||||||
LaSalle Hotel Properties | 484 | 14 | |||||||||
Life Storage, Inc. | 85 | 8 | |||||||||
Medical Properties Trust, Inc. | 2,409 | 31 | |||||||||
Mid-America Apartment Communities, Inc. | 248 | 23 | |||||||||
Mirvac Group | 10,992 | 18 | |||||||||
National Health Investors, Inc. | 93 | 6 | |||||||||
OMEGA Healthcare Investors, Inc. | 1,174 | 31 | |||||||||
Orix JREIT, Inc. | 1 | 2 | |||||||||
Outfront Media, Inc. | 1,050 | 20 | |||||||||
Park Hotels & Resorts, Inc. | 1,122 | 32 | |||||||||
Pebblebrook Hotel Trust | 188 | 7 | |||||||||
Piedmont Office Realty Trust, Inc. Class A | 360 | 6 | |||||||||
Prologis, Inc. | 545 | 35 | |||||||||
PS Business Parks, Inc. | 81 | 9 | |||||||||
Public Storage | 122 | 25 | |||||||||
RioCan Real Estate Investment Trust | 1,057 | 19 | |||||||||
Senior Housing Properties Trust | 714 | 11 | |||||||||
Simon Property Group, Inc. | 109 | 17 | |||||||||
STAG Industrial, Inc. | 1,076 | 26 | |||||||||
Stockland | 5,693 | 18 | |||||||||
Sun Communities, Inc. | 427 | 40 | |||||||||
Ventas, Inc. | 748 | 38 |
Number of Shares | Value (000's omitted) | ||||||||||
VEREIT, Inc. | 982 | $ | 7 | ||||||||
Vicinity Centres | 7,137 | 13 | |||||||||
Vornado Realty Trust | 186 | 13 | |||||||||
Welltower, Inc. | 839 | 45 | |||||||||
Weyerhaeuser Co. | 2,223 | 82 | |||||||||
WP Carey, Inc. | 312 | 20 | |||||||||
1,262 | |||||||||||
Food & Staples Retailing 0.5% | |||||||||||
Kesko OYJ, B Shares | 384 | 23 | |||||||||
Walmart, Inc. | 754 | 67 | |||||||||
Wesfarmers Ltd. | 683 | 22 | |||||||||
112 | |||||||||||
Food Products 1.0% | |||||||||||
Archer-Daniels- Midland Co. | 556 | 25 | |||||||||
Campbell Soup Co. | 591 | 24 | |||||||||
Flowers Foods, Inc. | 1,512 | 34 | |||||||||
General Mills, Inc. | 164 | 7 | |||||||||
Hershey Co. | 302 | 28 | |||||||||
Kellogg Co. | 440 | 26 | |||||||||
Kraft Heinz Co. | 367 | 21 | |||||||||
Nestle SA | 132 | 10 | |||||||||
Orkla ASA | 1,991 | 18 | |||||||||
Salmar ASA | 467 | 22 | |||||||||
Tate & Lyle PLC | 690 | 6 | |||||||||
WH Group Ltd. | 19,000 | 20 | (b) | ||||||||
241 | |||||||||||
Gas Utilities 0.1% | |||||||||||
APA Group | 2,343 | 15 | |||||||||
Health Care Equipment & Supplies 0.1% | |||||||||||
Medtronic PLC | 351 | 28 | |||||||||
Health Care Providers & Services 0.4% | |||||||||||
Cardinal Health, Inc. | 226 | 14 | |||||||||
CVS Health Corp. | 369 | 26 | |||||||||
Encompass Health Corp. | 282 | 17 | |||||||||
Patterson Cos., Inc. | 284 | 7 | |||||||||
Quest Diagnostics, Inc. | 289 | 29 | |||||||||
93 | |||||||||||
Hotels, Restaurants & Leisure 1.1% | |||||||||||
Carnival Corp. | 1,248 | 79 | |||||||||
Carnival PLC | 309 | 20 | |||||||||
Cracker Barrel Old Country Store, Inc. | 69 | 11 | |||||||||
Crown Resorts Ltd. | 2,074 | 20 | |||||||||
Darden Restaurants, Inc. | 83 | 8 | |||||||||
Extended Stay America, Inc. | 576 | 11 |
See Notes to Financial Statements
76
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Genting Singapore PLC | 15,300 | $ | 13 | ||||||||
Las Vegas Sands Corp. | 801 | 59 | |||||||||
McDonald's Corp. | 170 | 29 | |||||||||
Playtech PLC | 559 | 6 | |||||||||
Six Flags Entertainment Corp. | 218 | 14 | |||||||||
270 | |||||||||||
Household Durables 0.2% | |||||||||||
Berkeley Group Holdings PLC | 391 | 22 | |||||||||
Garmin Ltd. | 492 | 29 | |||||||||
Tupperware Brands Corp. | 115 | 5 | |||||||||
56 | |||||||||||
Household Products 0.1% | |||||||||||
Kimberly-Clark Corp. | 64 | 7 | |||||||||
Procter & Gamble Co. | 200 | 14 | |||||||||
21 | |||||||||||
Independent Power and Renewable Electricity Producers 0.7% | |||||||||||
NextEra Energy Partners LP | 2,599 | 108 | |||||||||
NRG Yield, Inc. Class C | 3,100 | 55 | |||||||||
163 | |||||||||||
Industrial Conglomerates 0.3% | |||||||||||
3M Co. | 121 | 24 | |||||||||
General Electric Co. | 1,639 | 23 | |||||||||
Hopewell Holdings Ltd. | 2,000 | 7 | |||||||||
NWS Holdings Ltd. | 2,000 | 4 | |||||||||
Siemens AG ADR | 400 | 25 | |||||||||
83 | |||||||||||
Insurance 0.7% | |||||||||||
Baloise Holding AG | 33 | 5 | |||||||||
First American Financial Corp. | 134 | 7 | |||||||||
FNF Group | 739 | 27 | |||||||||
Legal & General Group PLC | 5,710 | 21 | |||||||||
MetLife, Inc. | 154 | 7 | |||||||||
Poste Italiane SpA | 2,735 | 27 | (b) | ||||||||
Power Corp. of Canada | 807 | 19 | |||||||||
Power Financial Corp. | 377 | 10 | |||||||||
Swiss Life Holding AG | 15 | 5 | * | ||||||||
Swiss Re AG | 109 | 10 | |||||||||
Talanx AG | 124 | 6 |
Number of Shares | Value (000's omitted) | ||||||||||
Tryg A/S | 419 | $ | 10 | ||||||||
Zurich Insurance Group AG | 17 | 6 | |||||||||
160 | |||||||||||
IT Services 0.4% | |||||||||||
Automatic Data Processing, Inc. | 170 | 20 | |||||||||
IBM Corp. | 188 | 28 | |||||||||
Paychex, Inc. | 334 | 20 | |||||||||
Western Union Co. | 1,322 | 26 | |||||||||
94 | |||||||||||
Machinery 0.1% | |||||||||||
Cummins, Inc. | 132 | 21 | |||||||||
Marine 0.0%(a) | |||||||||||
Kuehne & Nagel International AG | 35 | 5 | |||||||||
Media 0.4% | |||||||||||
Interpublic Group of Cos., Inc. | 1,650 | 39 | |||||||||
John Wiley & Sons, Inc. Class A | 139 | 9 | |||||||||
Mediaset Espana Comunicacion SA | 486 | 5 | |||||||||
Metropole Television SA | 179 | 4 | |||||||||
News Corp. Class B | 433 | 7 | |||||||||
Omnicom Group, Inc. | 390 | 29 | |||||||||
TEGNA, Inc. | 500 | 5 | |||||||||
98 | |||||||||||
Metals & Mining 1.0% | |||||||||||
BHP Billiton Ltd. | 964 | 22 | |||||||||
BHP Billiton PLC | 1,070 | 23 | |||||||||
Fortescue Metals Group Ltd. | 5,496 | 19 | |||||||||
Franco-Nevada Corp. | 335 | 24 | |||||||||
Nucor Corp. | 120 | 7 | |||||||||
Rio Tinto PLC | 414 | 22 | |||||||||
Rio Tinto PLC ADR | 1,250 | 69 | |||||||||
Southern Copper Corp. | 775 | 41 | |||||||||
227 | |||||||||||
Mortgage Real Estate Investment 0.9% | |||||||||||
AGNC Investment Corp. | 1,785 | 34 | |||||||||
Annaly Capital Management, Inc. | 5,642 | 58 | |||||||||
Apollo Commercial Real Estate Finance, Inc. | 354 | 6 | |||||||||
Blackstone Mortgage Trust, Inc. Class A | 1,276 | 39 |
Number of Shares | Value (000's omitted) | ||||||||||
Chimera Investment Corp. | 551 | $ | 10 | ||||||||
MFA Financial, Inc. | 902 | 7 | |||||||||
New Residential Investment Corp. | 562 | 10 | |||||||||
Starwood Property Trust, Inc. | 1,637 | 34 | |||||||||
Two Harbors Investment Corp. | 438 | 7 | |||||||||
205 | |||||||||||
Multi-Utilities 1.7% | |||||||||||
Ameren Corp. | 935 | 55 | |||||||||
Canadian Utilities Ltd. Class A | 204 | 5 | |||||||||
CenterPoint Energy, Inc. | 1,029 | 26 | |||||||||
Centrica PLC | 11,200 | 24 | |||||||||
Consolidated Edison, Inc. | 97 | 8 | |||||||||
DTE Energy Co. | 464 | 49 | |||||||||
Engie SA | 1,363 | 24 | |||||||||
Innogy SE | 263 | 11 | (b) | ||||||||
NiSource, Inc. | 850 | 21 | |||||||||
NorthWestern Corp. | 120 | 7 | |||||||||
Sempra Energy | 1,200 | 134 | |||||||||
Veolia Environnement SA | 218 | 5 | |||||||||
WEC Energy Group, Inc. | 486 | 31 | |||||||||
400 | |||||||||||
Multiline Retail 0.2% | |||||||||||
Marks & Spencer Group PLC | 1,403 | 5 | |||||||||
Target Corp. | 450 | 33 | |||||||||
38 | |||||||||||
Oil, Gas & Consumable Fuels 4.2% | |||||||||||
AltaGas Ltd. | 228 | 4 | |||||||||
Antero Midstream GP LP | 3,000 | 52 | |||||||||
BP PLC | 3,036 | 23 | |||||||||
Caltex Australia Ltd. | 196 | 5 | |||||||||
Chevron Corp. | 241 | 30 | |||||||||
CVR Energy, Inc. | 203 | 7 | |||||||||
Enagas SA | 781 | 23 | |||||||||
Enbridge Income Fund Holdings, Inc. | 890 | 19 | |||||||||
Eni SpA | 1,246 | 24 | |||||||||
Exxon Mobil Corp. | 391 | 30 | |||||||||
Galp Energia SGPS SA | 1,116 | 21 | |||||||||
Kinder Morgan, Inc. | 1,215 | 19 | |||||||||
Marathon Petroleum Corp. | 222 | 17 |
See Notes to Financial Statements
77
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Occidental Petroleum Corp. | 407 | $ | 32 | ||||||||
ONEOK, Inc. | 3,406 | 205 | |||||||||
PBF Energy, Inc. Class A | 329 | 13 | |||||||||
Pembina Pipeline Corp. | 1,100 | 35 | |||||||||
Phillips 66 | 291 | 32 | |||||||||
Royal Dutch Shell PLC, A Shares | 636 | 22 | |||||||||
Snam SpA | 4,727 | 23 | |||||||||
Suncor Energy, Inc. | 2,174 | 83 | |||||||||
Targa Resources Corp. | 1,750 | 82 | |||||||||
Total SA ADR | 600 | 38 | |||||||||
Valero Energy Corp. | 327 | 36 | |||||||||
Washington H Soul Pattinson & Co. Ltd. | 1,053 | 15 | |||||||||
Williams Cos., Inc. | 3,677 | 95 | |||||||||
985 | |||||||||||
Paper & Forest Products 0.3% | |||||||||||
Domtar Corp. | 146 | 6 | |||||||||
Navigator Co. SA | 1,310 | 8 | |||||||||
Stora Enso OYJ, R Shares | 134 | 3 | |||||||||
Svenska Cellulosa AB SCA, B Shares | 2,030 | 22 | |||||||||
UPM-Kymmene OYJ | 664 | 24 | |||||||||
63 | |||||||||||
Personal Products 0.1% | |||||||||||
Unilever PLC | 369 | 21 | |||||||||
Pharmaceuticals 1.6% | |||||||||||
Allergan PLC | 4 | 1 | |||||||||
AstraZeneca PLC | 311 | 22 | |||||||||
Bristol-Myers Squibb Co. | 559 | 29 | |||||||||
Eli Lilly & Co. | 372 | 30 | |||||||||
GlaxoSmithKline PLC | 1,196 | 24 | |||||||||
Johnson & Johnson | 503 | 64 | |||||||||
Merck & Co., Inc. | 513 | 30 | |||||||||
Merck KGaA | 203 | 20 | |||||||||
Novartis AG | 243 | 19 | |||||||||
Novo Nordisk A/S Class B | 87 | 4 | |||||||||
Orion OYJ Class B | 646 | 19 | |||||||||
Pfizer, Inc. | 1,781 | 65 | |||||||||
Roche Holding AG | 94 | 21 | |||||||||
Sanofi | 265 | 21 | |||||||||
Takeda Pharmaceutical Co. Ltd. | 400 | 17 | |||||||||
386 |
Number of Shares | Value (000's omitted) | ||||||||||
Professional Services 0.3% | |||||||||||
Adecco Group AG | 121 | $ | 8 | ||||||||
Nielsen Holdings PLC | 391 | 12 | |||||||||
RELX NV | 1,043 | 22 | |||||||||
RELX PLC | 1,039 | 22 | |||||||||
SGS SA | 8 | 20 | |||||||||
84 | |||||||||||
Real Estate Management & Development 0.5% | |||||||||||
Brookfield Property Partners LP | 1,548 | 30 | |||||||||
Castellum AB | 313 | 5 | |||||||||
First Capital Realty, Inc. | 1,294 | 20 | |||||||||
PSP Swiss Property AG | 113 | 11 | |||||||||
Swire Pacific Ltd. Class A | 2,000 | 20 | |||||||||
Swire Pacific Ltd. Class B | 2,500 | 4 | |||||||||
Swiss Prime Site AG | 230 | 21 | * | ||||||||
111 | |||||||||||
Road & Rail 0.1% | |||||||||||
Union Pacific Corp. | 250 | 33 | |||||||||
Semiconductors & Semiconductor Equipment 0.8% | |||||||||||
KLA-Tencor Corp. | 258 | 26 | |||||||||
Maxim Integrated Products, Inc. | 1,392 | 76 | |||||||||
QUALCOMM, Inc. | 300 | 15 | |||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 1,375 | 53 | |||||||||
Texas Instruments, Inc. | 277 | 28 | |||||||||
198 | |||||||||||
Software 0.4% | |||||||||||
CA, Inc. | 798 | 28 | |||||||||
Microsoft Corp. | 625 | 58 | |||||||||
86 | |||||||||||
Specialty Retail 0.4% | |||||||||||
CECONOMY AG | 1,529 | 17 | |||||||||
Home Depot, Inc. | 65 | 12 | |||||||||
L Brands, Inc. | 700 | 25 | |||||||||
Williams-Sonoma, Inc. | 675 | 32 | |||||||||
86 | |||||||||||
Technology Hardware, Storage & Peripherals 0.9% | |||||||||||
Apple, Inc. | 425 | 70 | |||||||||
Canon, Inc. | 600 | 21 | |||||||||
HP, Inc. | 1,346 | 29 |
Number of Shares | Value (000's omitted) | ||||||||||
Ricoh Co. Ltd. | 800 | $ | 8 | ||||||||
Seagate Technology PLC | 402 | 23 | |||||||||
Western Digital Corp. | 512 | 40 | |||||||||
Xerox Corp. | 721 | 23 | |||||||||
214 | |||||||||||
Textiles, Apparel & Luxury Goods 0.1% | |||||||||||
HUGO BOSS AG | 241 | 23 | |||||||||
Thrifts & Mortgage Finance 0.1% | |||||||||||
New York Community Bancorp, Inc. | 1,406 | 17 | |||||||||
Tobacco 0.4% | |||||||||||
Altria Group, Inc. | 444 | 25 | |||||||||
Imperial Brands PLC | 500 | 18 | |||||||||
Japan Tobacco, Inc. | 600 | 16 | |||||||||
Philip Morris International, Inc. | 309 | 26 | |||||||||
Vector Group Ltd. | 324 | 6 | |||||||||
91 | |||||||||||
Trading Companies & Distributors 0.3% | |||||||||||
ITOCHU Corp. | 1,200 | 24 | |||||||||
Marubeni Corp. | 3,000 | 23 | |||||||||
Mitsui & Co. Ltd. | 1,300 | 23 | |||||||||
Watsco, Inc. | 80 | 13 | |||||||||
83 | |||||||||||
Transportation Infrastructure 0.1% | |||||||||||
Hutchison Port Holdings Trust | 2,700 | 1 | |||||||||
Macquarie Infrastructure Corp. | 224 | 9 | |||||||||
Sydney Airport | 4,000 | 21 | |||||||||
31 | |||||||||||
Water Utilities 0.1% | |||||||||||
United Utilities Group PLC | 1,857 | 19 | |||||||||
Wireless Telecommunication Services 0.3% | |||||||||||
Freenet AG | 676 | 22 | |||||||||
NTT DOCOMO, Inc. | 700 | 18 | |||||||||
Rogers Communications, Inc. Class B | 468 | 22 | |||||||||
Telephone & Data Systems, Inc. | 7 | 0 | (c) | ||||||||
Vodafone Group PLC | 7,573 | 22 | |||||||||
84 | |||||||||||
Total Common Stocks (Cost $8,060) | 8,426 |
See Notes to Financial Statements
78
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Preferred Stocks 2.1% | |||||||||||
Equity Real Estate Investment Trusts 2.1% | |||||||||||
American Homes 4 Rent, Ser. D, 6.50% | 746 | $ | 19 | ||||||||
Ashford Hospitality Trust, Inc., Ser. F, 7.38% | 600 | 14 | |||||||||
Ashford Hospitality Trust, Inc., Ser. H, 7.50% | 1,579 | 36 | |||||||||
Cedar Realty Trust, Inc., Ser. B, 7.25% | 156 | 3 | |||||||||
Colony NorthStar, Inc., Ser. J, 7.13% | 793 | 18 | |||||||||
Digital Realty Trust, Inc., Ser. C, 6.63% | 1,923 | 50 | |||||||||
Farmland Partners, Inc., Ser. B, 6.00% | 400 | 10 | (d) | ||||||||
GGP, Inc., Ser. A, 6.38% | 1,226 | 30 | |||||||||
Gramercy Property Trust, Ser. A , 7.13% | 550 | 14 | |||||||||
Hersha Hospitality Trust, Ser. C, 6.88% | 764 | 18 | |||||||||
Hersha Hospitality Trust, Ser. D, 6.50% | 675 | 16 | |||||||||
National Retail Properties, Inc., Ser. F, 5.20% | 2,025 | 46 | |||||||||
Pebblebrook Hotel Trust, Ser. D, 6.38% | 2,221 | 54 | |||||||||
Pennsylvania Real Estate Investment Trust, Ser. L, 6.88% | 500 | 10 | |||||||||
Public Storage, Ser. E, 4.90% | 1,725 | 39 | |||||||||
QTS Realty Trust, Inc., , 7.13% | 250 | 6 | |||||||||
Rexford Industrial Realty, Inc., Ser. A, 5.88% | 533 | 13 | |||||||||
Sabra Health Care REIT, Inc., Ser. A, 7.13% | 986 | 25 | |||||||||
Saul Centers, Inc., Ser. D, 6.13% | 600 | 13 |
Number of Shares | Value (000's omitted) | ||||||||||
Sunstone Hotel Investors, Inc., Ser. E, 6.95% | 1,500 | $ | 38 | ||||||||
UMH Properties, Inc., Ser. D, 6.38% | 375 | 9 | |||||||||
VEREIT, Inc., Ser. F, 6.70% | 1,014 | 26 | |||||||||
Total Preferred Stocks (Cost $525) | 507 | ||||||||||
Principal Amount (000's omitted) | |||||||||||
Convertible Bonds 1.1% | |||||||||||
Biotechnology 0.1% | |||||||||||
BioMarin Pharmaceutical, Inc., 0.60%, due 8/1/24 | $ | 10 | 9 | ||||||||
Exact Sciences Corp., 1.00%, due 1/15/25 | 10 | 10 | |||||||||
19 | |||||||||||
Communications Equipment 0.0%(a) | |||||||||||
Finisar Corp., 0.50%, due 12/15/36 | 5 | 4 | |||||||||
Equity Real Estate Investment Trusts 0.3% | |||||||||||
Extra Space Storage LP, 3.13%, due 10/1/35 | 50 | 56 | (e) | ||||||||
IH Merger Sub LLC, 3.50%, due 1/15/22 | 10 | 11 | |||||||||
67 | |||||||||||
Independent Power and Renewable Electricity Producers 0.1% | |||||||||||
NextEra Energy Partners L.P., 1.50%, due 9/15/20 | 15 | 15 | (e) | ||||||||
Internet & Direct Marketing Retail 0.0%(a) | |||||||||||
Liberty Expedia Holdings, Inc., 1.00%, due 6/30/47 | 10 | 10 | (e) | ||||||||
Internet Software & Services 0.1% | |||||||||||
Zillow Group, Inc., 2.00%, due 12/1/21 | 10 | 12 |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Media 0.1% | |||||||||||
Gannett Co, Inc., 4.75%, due 4/15/24 | $ | 10 | $ | 10 | (e) | ||||||
Liberty Media Corp., 2.13%, due 3/31/48 | 25 | 25 | (e) | ||||||||
35 | |||||||||||
Metals & Mining 0.1% | |||||||||||
Endeavour Mining Corp., 3.00%, due 2/15/23 | 20 | 20 | (e) | ||||||||
Oil Field Equipment & Services 0.1% | |||||||||||
Ensco Jersey Finance Ltd., 3.00%, due 1/31/24 | 20 | 17 | |||||||||
Oil, Gas & Consumable Fuels 0.1% | |||||||||||
Golar LNG Ltd., 2.75%, due 2/15/22 | 15 | 17 | |||||||||
Teekay Corp., 5.00%, due 1/15/23 | 10 | 10 | (e) | ||||||||
27 | |||||||||||
Software 0.1% | |||||||||||
Guidewire Software, Inc., 1.25%, due 3/15/25 | 20 | 20 | |||||||||
PROS Holdings, Inc., 2.00%, due 6/1/47 | 10 | 10 | (e) | ||||||||
30 | |||||||||||
Total Convertible Bonds (Cost $249) | 256 | ||||||||||
Corporate Bonds 10.2% | |||||||||||
Agriculture 0.3% | |||||||||||
BAT Capital Corp., 4.54%, due 8/15/47 | 75 | 71 | (e) | ||||||||
Auto Manufacturers 0.2% | |||||||||||
Ford Motor Credit Co. LLC, 3.20%, due 1/15/21 | 50 | 50 | |||||||||
Banks 2.8% | |||||||||||
Banco Santander SA, 3.80%, due 2/23/28 | 40 | 38 |
See Notes to Financial Statements
79
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Bank of America Corp., (3 month USD LIBOR + 1.07%), 3.97%, due 3/5/29 | $ | 40 | $ | 39 | (f) | ||||||
Bank of America Corp., Ser. L, 3.95%, due 4/21/25 | 45 | 44 | |||||||||
BNP Paribas SA, 2.38%, due 5/21/20 | 50 | 49 | |||||||||
Citigroup, Inc. (3 month USD LIBOR + 1.56%), 3.89%, due 1/10/28 | 15 | 15(f) | |||||||||
(3 month USD LIBOR + 1.15%), 3.52%, due 10/27/28 | 20 | 19 | (f) | ||||||||
Goldman Sachs Group, Inc. 2.60%, due 4/23/20 | 20 | 20 | |||||||||
(3 month USD LIBOR + 1.51%), 3.69%, due 6/5/28 | 40 | 38 | (f) | ||||||||
(3 month USD LIBOR + 1.16%), 3.81%, due 4/23/29 | 75 | 71 | (f) | ||||||||
(3 month USD LIBOR + 1.37%), 4.02%, due 10/31/38 | 35 | 32 | (f) | ||||||||
5.15 5/22/45 | %, due | 30 | 31 | ||||||||
HSBC Holdings PLC, (5 year USD ICE Swap + 3.75%), 6.00%, due 11/22/66 | 65 | 64 | (f) | ||||||||
JPMorgan Chase & Co. (3 month USD LIBOR + 1.36%), 3.88%, due 7/24/38 | 30 | 28(f) | |||||||||
(3 month USD LIBOR + 1.22%),,3.90%, due 1/23/49 | 30 | 27 | (f) | ||||||||
Morgan Stanley, (3 month USD LIBOR + 1.14%), 3.77%, due 1/24/29 | 60 | 58 | (f) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Wells Fargo & Co.,2.55%, due 12/7/20 | $ | 20 | $ | 20 | |||||||
Westpac Banking Corp., (5 year USD ICE Swap + 2.89%), 5.00%, due 3/21/67 | 65 | 59 | (f) | ||||||||
652 | |||||||||||
Beverages 0.4% | |||||||||||
Anheuser-Busch InBev Finance, Inc., 4.70%, due 2/1/36 | 20 | 20 | |||||||||
Anheuser-Busch InBev Worldwide, Inc., 4.75%, due 4/15/58 | 65 | 65 | |||||||||
85 | |||||||||||
Computers 1.1% | |||||||||||
Apple, Inc., 4.65%,due 2/23/46 | 35 | 38 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. 5.45%, due 6/15/23 | 80 | 84 | (e) | ||||||||
6.02 6/15/26 | %, due | 35 | 37 | (e) | |||||||
HP Enterprise Co. 3.60%, due 10/15/20 | 40 | 40 | |||||||||
4.90 10/15/25 | %, due | 50 | 52 | ||||||||
251 | |||||||||||
Diversified Financial Services 0.1% | |||||||||||
Synchrony Financial, 2.70%, due 2/3/20 | 20 | 20 | |||||||||
Food 0.2% | |||||||||||
Grupo Bimbo SAB de CV, 4.70%, due 11/10/47 | 55 | 51 | (e) | ||||||||
Kroger Co., 3.88%, due 10/15/46 | 5 | 4 | |||||||||
55 | |||||||||||
Insurance 0.1% | |||||||||||
AXA Equitable Holdings, Inc., 5.00%, due 4/20/48 | 35 | 33 | (e) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Iron—Steel 0.1% | |||||||||||
Vale Overseas Ltd., 6.25%, due 8/10/26 | $ | 30 | $ | 33 | |||||||
Media 1.0% | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital 4.91%, due 7/23/25 | 90 | 92 | |||||||||
6.48 10/23/45 | %, due | 30 | 32 | ||||||||
5.38 due 5/1/47 | %, | 15 | 14 | ||||||||
5.75 due 4/1/48 | %, | 40 | 40 | ||||||||
Discovery Communications LLC 5.00%, due 9/20/37 | 30 | 29 | |||||||||
5.20 9/20/47 | %, due | 25 | 25 | ||||||||
232 | |||||||||||
Miscellaneous Manufacturers 0.6% | |||||||||||
General Electric Co., Ser. D, (3 month USD LIBOR + 3.33%), 5.00%, due 12/29/49 | 145 | 144 | (f) | ||||||||
Oil & Gas 0.4% | |||||||||||
Hess Corp., 4.30%, due 4/1/27 | 30 | 29 | |||||||||
Noble Energy, Inc., 5.25%, due 11/15/43 | 35 | 37 | |||||||||
Petroleos Mexicanos, 6.50%, due 3/13/27 | 40 | 41 | |||||||||
107 | |||||||||||
Pharmaceuticals 0.7% | |||||||||||
AbbVie, Inc., 4.70%, due 5/14/45 | 40 | 39 | |||||||||
CVS Health Corp. 4.30%, due 3/25/28 | 45 | 44 | |||||||||
5.05 3/25/48 | %, due | 90 | 92 | ||||||||
175 |
See Notes to Financial Statements
80
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Pipelines 1.0% | |||||||||||
Energy Transfer Partners L.P. 6.50%, due 2/1/42 | $20 | $ | 21 | ||||||||
Ser. B, (3 month USD LIBOR + 4.16%), 6.63%, due 12/31/99 | 55 | 52 | (f) | ||||||||
Kinder Morgan, Inc. 5.00%, due 2/15/21 | 45 | 46 | (e) | ||||||||
5.55 6/1/45%, due | 50 | 51 | |||||||||
MPLX L.P., 4.70%, due 4/15/48 | 60 | 57 | |||||||||
227 | |||||||||||
Semiconductors 0.6% | |||||||||||
Broadcom Corp./ Broadcom Cayman Finance Ltd. 3.88%, due 1/15/27 | 130 | 124 | |||||||||
3.50 1/15/28%, due | 10 | 9 | |||||||||
133 | |||||||||||
Telecommunications 0.6% | |||||||||||
AT&T, Inc. 4.75%, due 5/15/46 | 35 | 33 | |||||||||
5.45 due 3/1/47%, | 65 | 66 | |||||||||
Verizon Communications, Inc., 4.67%, due 3/15/55 | 40 | 36 | |||||||||
135 | |||||||||||
Total Corporate Bonds (Cost $2,462) | 2,403 | ||||||||||
Mortgage-Backed Securities 12.1% | |||||||||||
Collateralized Mortgage Obligations 3.1% | |||||||||||
Fannie Mae Connecticut Avenue Securities Ser. 2017-C02, Class 2M2, (1 month USD LIBOR + 3.65%), 5.55%, due 9/25/29 | 230 | 252 | (f) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Ser. 2017-C03, Class 1M2, (1 month USD LIBOR + 3.00%), 4.90%, due 10/25/29 | $ | 45 | $ | 48 | (f) | ||||||
Ser. 2017-C04, Class 2M2, (1 month USD LIBOR + 2.85%), 4.75%, due 11/25/29 | 120 | 126 | (f) | ||||||||
Ser. 2017-C05, Class 1M2, (1 month USD LIBOR + 2.20%), 4.10%, due 1/25/30 | 35 | 35 | (f) | ||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Ser. 2017-DNA2, Class M2, (1 month USD LIBOR + 3.45%), 5.35%, due 10/25/29 | 250 | 274 | (f) | ||||||||
735 | |||||||||||
Fannie Mae 5.4% | |||||||||||
Pass-Through Certificates | |||||||||||
3.50 15 Year Maturity%, TBA, | 120 | 121 | (g) | ||||||||
3.50 30 Year Maturity%, TBA, | 240 | 238 | (g) | ||||||||
4.00 30 Year Maturity%, TBA, | 655 | 667 | (g) | ||||||||
4.50 30 Year Maturity%, TBA, | 230 | 240 | (g) | ||||||||
1,266 | |||||||||||
Freddie Mac 3.6% | |||||||||||
Pass-Through Certificates 3.50%, TBA, 15 Year Maturity | 50 | 51 | (g) | ||||||||
3.50 30 Year Maturity%, TBA, | 225 | 223 | (g) | ||||||||
4.00 30 Year Maturity%, TBA, | 575 | 585 | (g) | ||||||||
859 | |||||||||||
Total Mortgage-Backed Securities (Cost $2,820) | 2,860 |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
U.S. Treasury Obligations 11.7% | |||||||||||
U.S. Treasury Bill, 0.09%, due 5/24/18 | $ | 100 | $ | 100 | (h)(i) | ||||||
U.S. Treasury Bonds 4.50%, due 2/15/36 | 121 | 146 | |||||||||
3.88 8/15/40%, due | 121 | 137 | |||||||||
U.S. Treasury Inflation-Indexed Bonds(j) 2.00%, due 1/15/26 | 574 | 629 | (i) | ||||||||
1.75 1/15/28%, due | 12 | 13 | |||||||||
3.63 4/15/28%, due | 77 | 98 | |||||||||
2.50 1/15/29%, due | 139 | 163 | |||||||||
3.88 4/15/29%, due | 203 | 268 | (i) | ||||||||
3.38 4/15/32%, due | 21 | 28 | |||||||||
1.00 2/15/46%, due | 100 | 102 | |||||||||
U.S. Treasury Notes 1.50%, due 8/31/18-2/28/23 | 305 | 301 | |||||||||
1.38 11/30/18-4/30/20%, due | 420 | 416 | |||||||||
2.13 12/31/21%, due | 60 | 59 | |||||||||
2.25 11/15/27-8/15/46%, due | 320 | 299 | |||||||||
Total U.S. Treasury Obligations (Cost $2,817) | 2,759 | ||||||||||
U.S. Government Agency Securities 1.2% | |||||||||||
Federal Home Loan Bank, 5.50%, due 7/15/36 | 95 | 123 | |||||||||
Federal National Mortgage Association 6.63%, due | 100 | 134 | |||||||||
11/15/30 5.63%, due 7/15/37 | 30 | 39 | |||||||||
Total U.S. Government Agency Securities (Cost $318) | 296 |
See Notes to Financial Statements
81
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Asset-Backed Securities 3.1% | |||||||||||
Ally Auto Receivables Trust, Ser. 2017-3, Class A2, 1.53%, due 3/16/20 | $ | 13 | $ | 13 | |||||||
Argent , Securities Inc., Ser. 2003-W3, Class M1, (1 month USD LIBOR + 1.13%), 3.02%, due 9/25/33 | 37 | 35 | (f) | ||||||||
Bear Stearns Asset Backed Securities Trust, Ser. 2006-SD2, Class M2, (1 month USD LIBOR + 0.80%), 2.70%, due 6/25/36 | 170 | 165 | (f) | ||||||||
Capital One Multi-Asset Execution Trust, Ser. 2016-A1, Class A1, (1 month USD LIBOR + 0.45%), 2.35%, due 2/15/22 | 20 | 20 | (f) | ||||||||
Carrington Mortgage Loan Trust, Ser. 2006-OPT1, Class M1, (1 month USD LIBOR + 0.35%), 2.25%, due 2/25/36 | 168 | 165 | (f) | ||||||||
Citibank Credit Card Issuance Trust, Ser. 2017-A3, Class A3, 1.92%, due 4/7/22 | 170 | 167 | |||||||||
JP Morgan Mortgage Acquisition Corp., Ser. 2005-OPT2, Class M3, (1 month USD LIBOR + 0.48%), 2.38%, due 12/25/35 | 135 | 129 | (f) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Toyota Auto Receivables Owner Trust, Ser. 2017-B, Class A2A, 1.46%, due 1/15/20 | $ | 34 | $ | 34 | |||||||
Total Asset-Backed Securities (Cost $706) | 728 | ||||||||||
Number of Shares | |||||||||||
Exchange-Traded Funds 3.4% | |||||||||||
SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 25,155 | 690 | |||||||||
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 6,000 | 112 | |||||||||
Total Exchange- Traded Funds (Cost $808) | 802 | ||||||||||
Master Limited Partnerships 3.3% | |||||||||||
Hotels, Restaurants & Leisure 0.4% | |||||||||||
Cedar Fair LP | 1,400 | 95 | |||||||||
Oil, Gas & Consumable Fuels 2.9% | |||||||||||
Alliance Holdings GP LP | 1,325 | 34 | |||||||||
Antero Midstream Partners LP | 2,300 | 62 | |||||||||
Dominion Energy Midstream Partners LP | 2,850 | 41 | |||||||||
Energy Transfer Equity LP | 7,000 | 110 | |||||||||
Energy Transfer Partners LP | 2,000 | 36 | |||||||||
Enterprise Products Partners LP | 5,100 | 137 | |||||||||
EQT GP Holdings LP | 2,200 | 55 | |||||||||
EQT Midstream Partners LP | 1,050 | 59 | |||||||||
NuStar Energy LP | 900 | 19 | |||||||||
Western Gas Equity Partners LP | 3,600 | 122 | |||||||||
675 | |||||||||||
Total Master Limited Partnerships (Cost $924) | 770 |
Number of Shares | Value (000's omitted) | ||||||||||
Investment Companies(k) 20.6% | |||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 158,478 | $ | 1,426 | (l) | |||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 109,044 | 1,082 | (l) | ||||||||
Neuberger Berman High Income Bond Fund Class R6 | 222,959 | 1,893 | (l) | ||||||||
Neuberger Berman Long Short Credit Fund Class R6 | 49,772 | 466 | (l) | ||||||||
Total Investment Companies (Cost $4,887) | 4,867 | ||||||||||
Total Options Purchased(m) 0.0%(a) (Cost $2) | 1 | ||||||||||
Short-Term Investments 3.9% | |||||||||||
Investment Companies 3.9% | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class, 1.63%(n) (Cost $932) | 931,973 | 932 | (l) | ||||||||
Total Investments 108.3% (Cost $25,510) | 25,607 | ||||||||||
Liabilities Less Other Assets (8.3)% | (1,956 | )(o) | |||||||||
Net Assets 100.0% | $ | 23,651 |
See Notes to Financial Statements
82
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
* Non-income producing security.
(a) Represents less than 0.05% of net assets.
(b) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at April 30, 2018 amounted to approximately $85,000, which represents 0.4% of net assets of the Fund.
(c) Amount less than one thousand.
(d) Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of April 30, 2018.
(e) Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2018, these securities amounted to approximately $478,000, which represents 2.0% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
(f) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2018 and changes periodically.
Benchmarks for Variable/Floating Rates:
LIBOR = London Interbank Offered Rate
ICE = Intercontinental Exchange
(g) TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total value of all such securities (excluding forward sales contracts, if any) at April 30, 2018 amounted to approximately $2,125,000, which represents 9.0% of net assets of the Fund.
(h) Rate shown was the discount rate at the date of purchase.
(i) All or a portion of the security is pledged as collateral for futures and/or options written.
(j) Index-linked bond whose principal amount adjusts according to a government retail price index.
(k) Affiliated company as defined under the Investment Company Act of 1940, as amended (see Note F of Notes to Financial Statements).
(l) All or a portion of this security is segregated in connection with obligations for to be announced securities, futures, forward foreign currency contracts, options written and/or swaps with a total value of approximately $5,799,000.
(m) See "Purchased option contracts" under Derivative Instruments.
(n) Represents 7-day effective yield as of April 30, 2018.
(o) Includes the impact of the Fund's open positions in derivatives at April 30, 2018.
See Notes to Financial Statements
83
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2018, open positions in futures for the Fund were as follows:
Long Futures: | |||||||||||||||||||
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
5/2018 | 1 | HSCEI Index | $ | 78,134 | $ | 1,911 | |||||||||||||
6/2018 | 3 | Euro-Bund | 575,083 | (401 | ) | ||||||||||||||
6/2018 | 2 | Topix Index | 325,558 | 11,755 | |||||||||||||||
6/2018 | 19 | Euro STOXX 50 Index | 797,088 | 21,834 | |||||||||||||||
6/2018 | 1 | FTSE 100 Index | 102,702 | 4,991 | |||||||||||||||
6/2018 | 2 | MSCI EAFE Index | 202,650 | (1,101 | ) | ||||||||||||||
6/2018 | 23 | MSCI Emerging Markets Index | 1,325,030 | (83,924 | ) | ||||||||||||||
6/2018 | 5 | S&P 500 E-Mini Index | 661,750 | (52 | ) | ||||||||||||||
6/2018 | 10 | STOXX Europe 600 | 230,048 | 11,521 | |||||||||||||||
6/2018 | 1 | Canadian Bond, 10 Year | 102,379 | (8 | ) | ||||||||||||||
6/2018 | 5 | U.S. Treasury Long Bond | 719,219 | (6,216 | ) | ||||||||||||||
6/2018 | 3 | U.S. Treasury Ultra Long Bond | 383,672 | (1,203 | ) | ||||||||||||||
6/2018 | 12 | U.S. Treasury Note, 10 Year | 1,435,500 | (3,404 | ) | ||||||||||||||
6/2018 | 8 | U.S. Treasury Note, 2 Year | 1,696,375 | 63 | |||||||||||||||
6/2018 | 8 | U.S. Treasury Note, 5 Year | 908,063 | (2,250 | ) | ||||||||||||||
Total Long Positions | $ | 9,543,251 | $ | (46,484 | ) | ||||||||||||||
Short Futures: | |||||||||||||||||||
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
6/2018 | 4 | Euro-Bund | $ | (766,777 | ) | $ | (7,787 | ) | |||||||||||
6/2018 | 3 | Euro-OAT | (557,223 | ) | (7,608 | ) | |||||||||||||
6/2018 | 4 | S&P 500 E-Mini Index | (529,400 | ) | 28,400 | ||||||||||||||
6/2018 | 2 | U.S. Dollar Interest Rate Swap, 10 Year | (186,594 | ) | 1,005 | ||||||||||||||
6/2018 | 10 | U.S. Treasury Long Bond | (1,438,438 | ) | (14,060 | ) | |||||||||||||
6/2018 | 5 | U.S. Treasury Note, 10 Year | (598,125 | ) | 1,081 | ||||||||||||||
6/2018 | 4 | U.S. Treasury Ultra Long Bond | (628,500 | ) | (10,243 | ) | |||||||||||||
Total Short Positions | $ | (4,705,057 | ) | $ | (9,212 | ) | |||||||||||||
Total Futures | $ | (55,696 | ) |
See Notes to Financial Statements
84
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
At April 30, 2018, the Fund had $252,227 deposited in a segregated account to cover margin requirements on open futures. The Fund had securities pledged in the amount of $99,898 to cover collateral requirements on open futures.
For the six months ended April 30, 2018, the average notional value of futures for the Fund was $6,141,905 for long positions and $(4,547,146) for short positions.
Forward foreign currency contracts ("forward contracts")
At April 30, 2018, open forward contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
186,051 | USD | 244,550 | AUD | Citibank, N.A. | 7/24/2018 | $ | 1,874 | ||||||||||||||||||||
49,362 | USD | 63,386 | AUD | JPMorgan Chase Bank N.A. | 7/24/2018 | 1,624 | |||||||||||||||||||||
118,692 | USD | 152,405 | AUD | Royal Bank of Canada | 7/24/2018 | 3,911 | |||||||||||||||||||||
132,247 | USD | 170,058 | AUD | Standard Chartered Bank | 7/24/2018 | 4,172 | |||||||||||||||||||||
117,406 | USD | 150,913 | AUD | State Street Bank and Trust Company | 7/24/2018 | 3,749 | |||||||||||||||||||||
714,417 | USD | 900,959 | CAD | Goldman Sachs International | 7/24/2018 | 11,352 | |||||||||||||||||||||
29,578 | USD | 37,363 | CAD | Goldman Sachs International | 7/24/2018 | 422 | |||||||||||||||||||||
582,769 | USD | 735,289 | CAD | JPMorgan Chase Bank N.A. | 7/24/2018 | 8,985 | |||||||||||||||||||||
152,056 | USD | 190,603 | CAD | JPMorgan Chase Bank N.A. | 7/24/2018 | 3,318 | |||||||||||||||||||||
171,969 | USD | 216,991 | CAD | Royal Bank of Canada | 7/24/2018 | 2,640 | |||||||||||||||||||||
34,513 | USD | 33,071 | CHF | Citibank, N.A. | 7/24/2018 | 899 | |||||||||||||||||||||
193,017 | USD | 185,193 | CHF | Goldman Sachs International | 7/24/2018 | 4,781 | |||||||||||||||||||||
18,077 | USD | 17,457 | CHF | Goldman Sachs International | 7/24/2018 | 334 | |||||||||||||||||||||
15,252 | USD | 14,788 | CHF | Goldman Sachs International | 7/24/2018 | 222 | |||||||||||||||||||||
183,861 | USD | 176,402 | CHF | JPMorgan Chase Bank N.A. | 7/24/2018 | 4,561 | |||||||||||||||||||||
349,876 | USD | 335,454 | CHF | Royal Bank of Canada | 7/24/2018 | 8,910 | |||||||||||||||||||||
525,218 | USD | 503,256 | CHF | Societe Generale | 7/24/2018 | 13,693 | |||||||||||||||||||||
16,321 | USD | 15,643 | CHF | Standard Chartered Bank | 7/24/2018 | 421 | |||||||||||||||||||||
692,625 | USD | 555,246 | EUR | Citibank, N.A. | 7/24/2018 | 17,829 | |||||||||||||||||||||
56,484 | USD | 45,423 | EUR | JPMorgan Chase Bank N.A. | 7/24/2018 | 1,281 | |||||||||||||||||||||
11,266 | USD | 9,024 | EUR | Societe Generale | 7/24/2018 | 299 | |||||||||||||||||||||
1,872,187 | USD | 1,501,082 | EUR | State Street Bank and Trust Company | 7/24/2018 | 47,908 | |||||||||||||||||||||
320,541 | USD | 257,114 | EUR | State Street Bank and Trust Company | 7/24/2018 | 8,068 | |||||||||||||||||||||
100,679 | USD | 80,659 | EUR | State Street Bank and Trust Company | 7/24/2018 | 2,653 | |||||||||||||||||||||
92,995 | USD | 75,072 | EUR | State Street Bank and Trust Company | 7/24/2018 | 1,760 | |||||||||||||||||||||
129,327 | USD | 90,519 | GBP | Citibank, N.A. | 7/24/2018 | 4,204 | |||||||||||||||||||||
28,028 | USD | 19,629 | GBP | Citibank, N.A. | 7/24/2018 | 895 | |||||||||||||||||||||
29,874 | USD | 20,789 | GBP | JPMorgan Chase Bank N.A. | 7/24/2018 | 1,138 | |||||||||||||||||||||
201,176 | USD | 140,842 | GBP | Standard Chartered Bank | 7/24/2018 | 6,492 | |||||||||||||||||||||
1,082,134 | USD | 758,358 | GBP | State Street Bank and Trust Company | 7/24/2018 | 33,867 | |||||||||||||||||||||
95,981 | USD | 67,108 | GBP | State Street Bank and Trust Company | 7/24/2018 | 3,219 | |||||||||||||||||||||
174,705 | USD | 18,604,685 | JPY | Citibank, N.A. | 7/24/2018 | 3,534 | |||||||||||||||||||||
211,214 | USD | 22,848,543 | JPY | Citibank, N.A. | 7/24/2018 | 997 | |||||||||||||||||||||
91,608 | USD | 9,762,311 | JPY | Goldman Sachs International | 7/24/2018 | 1,790 | |||||||||||||||||||||
23,752 | USD | 2,540,104 | JPY | Goldman Sachs International | 7/24/2018 | 382 |
See Notes to Financial Statements
85
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
138,562 | USD | 14,748,487 | JPY | Societe Generale | 7/24/2018 | $ | 2,869 | ||||||||||||||||||||
23,000 | USD | 2,449,265 | JPY | Standard Chartered Bank | 7/24/2018 | 465 | |||||||||||||||||||||
209,603 | USD | 22,337,332 | JPY | State Street Bank and Trust Company | 7/24/2018 | 4,091 | |||||||||||||||||||||
63,969 | USD | 6,830,010 | JPY | State Street Bank and Trust Company | 7/24/2018 | 1,130 | |||||||||||||||||||||
94,312 | USD | 100,187,520 | KRW | Goldman Sachs International | 7/24/2018 | 531 | |||||||||||||||||||||
54,607 | USD | 999,514 | MXN | State Street Bank and Trust Company | 7/24/2018 | 1,842 | |||||||||||||||||||||
116,804 | USD | 917,799 | NOK | Citibank, N.A. | 7/24/2018 | 2,048 | |||||||||||||||||||||
306,821 | USD | 2,370,928 | NOK | Goldman Sachs International | 7/24/2018 | 10,374 | |||||||||||||||||||||
39,131 | USD | 302,489 | NOK | JPMorgan Chase Bank N.A. | 7/24/2018 | 1,310 | |||||||||||||||||||||
99,180 | USD | 767,268 | NOK | State Street Bank and Trust Company | 7/24/2018 | 3,245 | |||||||||||||||||||||
977,418 | USD | 1,333,885 | NZD | JPMorgan Chase Bank N.A. | 7/24/2018 | 38,965 | |||||||||||||||||||||
415,640 | USD | 566,486 | NZD | Societe Generale | 7/24/2018 | 17,089 | |||||||||||||||||||||
229,864 | USD | 313,746 | NZD | Standard Chartered Bank | 7/24/2018 | 9,129 | |||||||||||||||||||||
98,352 | USD | 134,341 | NZD | State Street Bank and Trust Company | 7/24/2018 | 3,836 | |||||||||||||||||||||
64,388 | USD | 88,209 | NZD | State Street Bank and Trust Company | 7/24/2018 | 2,329 | |||||||||||||||||||||
375,419 | USD | 3,124,200 | SEK | Citibank, N.A. | 7/24/2018 | 16,331 | |||||||||||||||||||||
172,596 | USD | 1,437,874 | SEK | Goldman Sachs International | 7/24/2018 | 7,330 | |||||||||||||||||||||
33,880 | USD | 283,042 | SEK | JPMorgan Chase Bank N.A. | 7/24/2018 | 1,348 | |||||||||||||||||||||
106,958 | USD | 889,331 | SEK | Societe Generale | 7/24/2018 | 4,741 | |||||||||||||||||||||
6 | USD | 73 | ZAR | State Street Bank and Trust Company | 7/24/2018 | 0 | (a) | ||||||||||||||||||||
Total unrealized appreciation | $341,187 | ||||||||||||||||||||||||||
607,335 | AUD | 472,756 | USD | Citibank, N.A. | 7/24/2018 | (15,355 | ) | ||||||||||||||||||||
519,459 | AUD | 404,407 | USD | Goldman Sachs International | 7/24/2018 | (13,188 | ) | ||||||||||||||||||||
115,029 | AUD | 89,611 | USD | Societe Generale | 7/24/2018 | (2,979 | ) | ||||||||||||||||||||
165,692 | AUD | 127,580 | USD | State Street Bank and Trust Company | 7/24/2018 | (2,792 | ) | ||||||||||||||||||||
340,953 | CAD | 266,185 | USD | Citibank, N.A. | 7/24/2018 | (122 | ) | ||||||||||||||||||||
698,439 | CAD | 557,251 | USD | Citibank, N.A. | 7/24/2018 | (12,223 | ) | ||||||||||||||||||||
688,453 | CAD | 547,976 | USD | Societe Generale | 7/24/2018 | (10,741 | ) | ||||||||||||||||||||
103,739 | CAD | 82,710 | USD | Standard Chartered Bank | 7/24/2018 | (1,757 | ) | ||||||||||||||||||||
1,008,068 | CAD | 798,955 | USD | State Street Bank and Trust Company | 7/24/2018 | (12,307 | ) | ||||||||||||||||||||
123,255 | CHF | 128,415 | USD | Citibank, N.A. | 7/24/2018 | (3,134 | ) | ||||||||||||||||||||
14,981 | CHF | 15,647 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (420 | ) | ||||||||||||||||||||
78,685 | CHF | 82,016 | USD | State Street Bank and Trust Company | 7/24/2018 | (2,038 | ) | ||||||||||||||||||||
295,823 | CHF | 307,828 | USD | State Street Bank and Trust Company | 7/24/2018 | (7,144 | ) | ||||||||||||||||||||
111,664 | EUR | 137,284 | USD | Citibank, N.A. | 7/24/2018 | (1,578 | ) | ||||||||||||||||||||
421,569 | EUR | 525,578 | USD | Goldman Sachs International | 7/24/2018 | (13,241 | ) | ||||||||||||||||||||
598,837 | EUR | 746,378 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (18,606 | ) | ||||||||||||||||||||
2,998 | EUR | 3,739 | USD | Royal Bank of Canada | 7/24/2018 | (95 | ) | ||||||||||||||||||||
262,936 | EUR | 328,010 | USD | Standard Chartered Bank | 7/24/2018 | (8,461 | ) | ||||||||||||||||||||
86,980 | GBP | 121,904 | USD | Citibank, N.A. | 7/24/2018 | (1,673 | ) | ||||||||||||||||||||
25,115 | GBP | 35,470 | USD | Goldman Sachs International | 7/24/2018 | (754 | ) | ||||||||||||||||||||
234,217 | GBP | 334,412 | USD | Goldman Sachs International | 7/24/2018 | (10,657 | ) | ||||||||||||||||||||
341,602 | GBP | 487,813 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (15,621 | ) |
See Notes to Financial Statements
86
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
240,333 | GBP | 343,376 | USD | Royal Bank of Canada | 7/24/2018 | $ | (11,168 | ) | |||||||||||||||||||
103,937 | GBP | 148,569 | USD | Societe Generale | 7/24/2018 | (4,898 | ) | ||||||||||||||||||||
1,636,152 | JPY | 15,375 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (322 | ) | ||||||||||||||||||||
48,897,906 | JPY | 458,642 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (8,761 | ) | ||||||||||||||||||||
20,466,949 | JPY | 192,055 | USD | Royal Bank of Canada | 7/24/2018 | (3,750 | ) | ||||||||||||||||||||
32,184,403 | KRW | 30,320 | USD | State Street Bank and Trust Company | 7/24/2018 | (194 | ) | ||||||||||||||||||||
999,944 | MXN | 54,621 | USD | Goldman Sachs International | 7/24/2018 | (1,834 | ) | ||||||||||||||||||||
4,002,976 | NOK | 518,440 | USD | Citibank, N.A. | 7/24/2018 | (17,930 | ) | ||||||||||||||||||||
187,066 | NOK | 24,052 | USD | Goldman Sachs International | 7/24/2018 | (662 | ) | ||||||||||||||||||||
1,456,477 | NOK | 188,020 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (5,911 | ) | ||||||||||||||||||||
1,510,617 | NOK | 195,594 | USD | Royal Bank of Canada | 7/24/2018 | (6,716 | ) | ||||||||||||||||||||
2,030,667 | NOK | 263,120 | USD | Societe Generale | 7/24/2018 | (9,217 | ) | ||||||||||||||||||||
169,669 | NOK | 21,949 | USD | Standard Chartered Bank | 7/24/2018 | (735 | ) | ||||||||||||||||||||
172,705 | NZD | 126,626 | USD | Citibank, N.A. | 7/24/2018 | (5,119 | ) | ||||||||||||||||||||
525,765 | NZD | 375,026 | USD | Citibank, N.A. | 7/24/2018 | (5,124 | ) | ||||||||||||||||||||
685,923 | NZD | 502,617 | USD | Goldman Sachs International | 7/24/2018 | (20,037 | ) | ||||||||||||||||||||
176,706 | NZD | 129,615 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (5,293 | ) | ||||||||||||||||||||
56,816 | NZD | 41,633 | USD | Royal Bank of Canada | 7/24/2018 | (1,660 | ) | ||||||||||||||||||||
161,720 | NZD | 116,831 | USD | State Street Bank and Trust Company | 7/24/2018 | (3,054 | ) | ||||||||||||||||||||
244,925 | NZD | 179,821 | USD | State Street Bank and Trust Company | 7/24/2018 | (7,505 | ) | ||||||||||||||||||||
202,308 | SEK | 23,990 | USD | Goldman Sachs International | 7/24/2018 | (737 | ) | ||||||||||||||||||||
1,584,596 | SEK | 190,088 | USD | JPMorgan Chase Bank N.A. | 7/24/2018 | (7,959 | ) | ||||||||||||||||||||
2,150,531 | SEK | 258,176 | USD | Royal Bank of Canada | 7/24/2018 | (10,999 | ) | ||||||||||||||||||||
2,276,939 | SEK | 273,268 | USD | Standard Chartered Bank | 7/24/2018 | (11,562 | ) | ||||||||||||||||||||
1,042,892 | SEK | 125,247 | USD | State Street Bank and Trust Company | 7/24/2018 | (5,379 | ) | ||||||||||||||||||||
10,479,555 | SEK | 1,257,498 | USD | State Street Bank and Trust Company | 7/24/2018 | (53,001 | ) | ||||||||||||||||||||
Total unrealized depreciation | $(364,413) | ||||||||||||||||||||||||||
Total net unrealized depreciation | $(23,226) |
AUD = Australian Dollar
CAD = Canadian Dollar
CHF = Swiss Franc
EUR = Euro
GBP = Pound Sterling
JPY = Japanese Yen
KRW = South Korean Won(b)
MXN = Mexican Peso
NOK = Norwegian Krone
NZD = New Zealand Dollar
SEK = Swedish Krona
ZAR = South African Rand
See Notes to Financial Statements
87
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
(a) Amount less than one dollar.
(b) Non-deliverable forward contracts.
For the six months ended April 30, 2018, the Fund's instruments in forward contracts had an average notional value of $27,636,388.
Total return swap contracts ("total return swaps")
At April 30, 2018, the Fund had outstanding over-the-counter total return swaps as follows:
Long Total Return Swaps
Swap Counterparty | Reference Entity | Notional Amount(t) | Maturity Date | Variable-Rate(s) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | ||||||||||||||||||||||||
JPMorgan Chase Bank N.A. | STOXX Europe 600 Basic Resources (Net Return) Index | EUR | 80,725 | 3/8/2019 | (0.47 | )%(a) | $ | 5,008 | $ | 61 | $ | 5,069 | |||||||||||||||||||
Goldman Sachs International | MSCI Europe ex UK Financials Index | EUR | 83,128 | 9/15/2018 | (0.18 | )%(b) | (176 | ) | 69 | (107 | ) | ||||||||||||||||||||
JPMorgan Chase Bank N.A. | STOXX Europe 600 Travel & Leisure (Net Return) Index | EUR | 199,857 | 11/15/2018 | (0.45 | )%(c) | (2,419 | ) | 389 | (2,030 | ) | ||||||||||||||||||||
Goldman Sachs International | S&P 500 Energy Sector Total Return Index | $ | 124,641 | 6/13/2018 | 2.66 | %(d) | 8,594 | (322 | ) | 8,272 | |||||||||||||||||||||
Goldman Sachs International | S&P 500 Financial Sector Total Return Index | 114,032 | 6/13/2018 | 2.80 | %(e) | (776 | ) | (340 | ) | (1,116 | ) | ||||||||||||||||||||
Citibank, N.A. | S&P Industry Sector Total Return Index | 179,639 | 6/19/2018 | 2.78 | %(f) | (6,887 | ) | (500 | ) | (7,387 | ) | ||||||||||||||||||||
JPMorgan Chase Bank N.A. | S&P 500 Total Return Index | 238,880 | 4/3/2019 | 2.39 | %(g) | 3,282 | (92 | ) | 3,190 | ||||||||||||||||||||||
Citibank, N.A. | S&P 500 Financials Sector Total Return Index | 117,783 | 4/26/2019 | 2.16 | %(h) | (1,130 | ) | — | (1,130 | ) | |||||||||||||||||||||
Total | $ | 5,496 | $ | (735 | ) | $ | 4,761 |
See Notes to Financial Statements
88
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Short Total Return Swaps
Swap Counterparty | Reference Entity | Notional Amount(t) | Maturity Date | Variable-Rate(s) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | ||||||||||||||||||||||||
Goldman Sachs International | MSCI Daily Total Return Gross Europe ex UK Index | EUR | (85,637 | ) | 9/15/2018 | (0.18 | )%(i) | $ | (1,993 | ) | $ | (129 | ) | $ | (2,122 | ) | |||||||||||||||
JPMorgan Chase Bank N.A. | STOXX Europe 600 (Net Return) Index | EUR | (99,874 | ) | 11/15/2018 | (0.67 | )%(j) | (3,915 | ) | (166 | ) | (4,081 | ) | ||||||||||||||||||
JPMorgan Chase Bank N.A. | STOXX Europe 600 Utilities (Net Return) Index | EUR | (125,450 | ) | 3/8/2019 | (0.81 | )%(k) | (11,947 | ) | (95 | ) | (12,042 | ) | ||||||||||||||||||
JPMorgan Chase Bank N.A. | FTSE 100 Net of Tax Index | GBP | (90,727 | ) | 11/15/2018 | (0.35 | )%(l) | (5,852 | ) | (76 | ) | (5,797 | ) | ||||||||||||||||||
Goldman Sachs International | S&P 500 Total Return Index | $ | (233,687 | ) | 6/13/2018 | 2.62 | %(m) | (241 | ) | 767 | 395 | ||||||||||||||||||||
Citibank, N.A. | S&P 500 Consumer Durables & Apparel Group Total Return Index | (187,342 | ) | 6/19/2018 | 2.40 | %(n) | (1,075 | ) | 419 | (656 | ) | ||||||||||||||||||||
Goldman Sachs International | MSCI U.S. REIT Total Return Index | (218,214 | ) | 7/13/2018 | 2.58 | %(o) | 4,064 | 462 | 4,526 | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | S&P 500 Utilities Sector Total Return Index | (120,471 | ) | 4/3/2019 | 2.25 | %(p) | (2,982 | ) | 34 | (2,948 | ) | ||||||||||||||||||||
JPMorgan Chase Bank N.A. | S&P 500 Consumer Staples Sector Total Return Index | (113,754 | ) | 4/3/2019 | 2.00 | %(q) | 3,784 | 170 | 3,954 | ||||||||||||||||||||||
Citibank, N.A. | S&P 500 Consumer Discretionary Sector Total Return Index | (117,721 | ) | 4/26/2019 | 2.03 | %(r) | 438 | — | 438 | ||||||||||||||||||||||
Total | $ | (19,719 | ) | $ | 1,386 | $ | (18,333 | ) |
(a) Fund pays 3-month EURIBOR minus 0.14% upon termination. Payment frequency—quarterly. Fund receives return on reference entity. Payment frequency—quarterly.
(b) Fund pays 3-month EURIBOR plus 0.15% upon termination. Payment frequency—quarterly. Fund receives return on reference entity. Payment frequency—upon termination.
(c) Fund pays 3-month EURIBOR minus 0.12% upon termination. Payment frequency—quarterly. Fund receives return on reference entity. Payment frequency—quarterly.
See Notes to Financial Statements
89
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
(d) Fund pays 3-month USD LIBOR plus 0.54% upon termination. Payment frequency—quarterly. Fund receives return on reference entity. Payment frequency—upon termination.
(e) Fund pays 3-month USD LIBOR plus 0.68% upon termination. Payment frequency—quarterly. Fund receives return on reference entity. Payment frequency—upon termination.
(f) Fund pays 3-month USD LIBOR plus 0.60% upon termination. Payment frequency—quarterly. Fund receives return on reference entity. Payment frequency—upon termination.
(g) Fund pays 1-month USD LIBOR plus 0.50% upon termination. Payment frequency—monthly. Fund receives return on reference entity. Payment frequency—upon termination.
(h) Fund pays 1-month USD LIBOR plus 0.25% upon termination. Payment frequency—monthly. Fund receives return on reference entity. Payment frequency—upon termination.
(i) Fund receives 3-month EURIBOR plus 0.15% upon termination. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—upon termination.
(j) Fund receives 3-month EURIBOR minus 0.34% upon termination. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—quarterly.
(k) Fund receives 3-month EURIBOR minus 0.48% upon termination. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—quarterly.
(l) Fund receives 3-month EURIBOR minus 0.02% upon termination. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—quarterly.
(m) Fund receives 3-month USD LIBOR plus 0.50% upon termination. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—upon termination.
(n) Fund receives 3-month USD LIBOR plus 0.22% upon termination. Payment frequency—quarterly. Fund pays return on reference entity. Payment frequency—upon termination.
(o) Fund receives 3-month USD LIBOR plus 0.22% upon termination. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(p) Fund receives 1-month USD LIBOR plus 0.37% upon termination. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(q) Fund receives 1-month USD LIBOR plus 0.12% upon termination. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
(r) Fund receives 1-month USD LIBOR plus 0.12% upon termination. Payment frequency—monthly. Fund pays return on reference entity. Payment frequency—upon termination.
EURIBOR = Euro Interbank Offered Rate
LIBOR = London Interbank Offered Rate
(s) Effective rate at April 30, 2018.
(t) Notional amount is stated in the currency in which the contract is denominated.
EUR = Euro
GBP = Pound Sterling
For the six months ended April 30, 2018, the average notional value of total return swaps was $693,926 for long positions and $(989,514) for short positions.
See Notes to Financial Statements
90
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Purchased option contracts ("options purchased")
At April 30, 2018, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Mini Index | 10 | $ | 264,810 | $ | 288 | 5/4/2018 | $ | 0 | (a)(b) | ||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 292.5 | 5/4/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 295 | 5/4/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 10 | 264,810 | 292.5 | 5/11/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 17 | 450,177 | 295 | 5/11/2018 | 17 | ||||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 294 | 5/18/2018 | 0 | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 295 | 5/18/2018 | 9 | ||||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 295 | 5/25/2018 | 14 | ||||||||||||||||||
Total calls (cost $267) | $40 | ||||||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Mini Index | 9 | $ | 238,329 | $ | 235 | 5/4/2018 | $ | 0 | (a)(b) | ||||||||||||||
S&P 500 Mini Index | 18 | 476,658 | 240 | 5/4/2018 | 45 | ||||||||||||||||||
S&P 500 Mini Index | 19 | 503,139 | 240 | 5/11/2018 | 181 | ||||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 241 | 5/11/2018 | 90 | ||||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 240 | 5/18/2018 | 166 | ||||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 241 | 5/18/2018 | 175 | ||||||||||||||||||
S&P 500 Mini Index | 9 | 238,329 | 241 | 5/25/2018 | 275 | ||||||||||||||||||
Total puts (cost $1,994) | $932 | ||||||||||||||||||||||
Total options purchased (cost $2,261) | $972 |
(a) Security fair valued as of April 30, 2018 in accordance with procedures approved by the Board of Trustees.
(b) Value determined using significant unobservable inputs.
Written option contracts ("options written")
At April 30, 2018, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Mini Index | 10 | $ | (264,810 | ) | $ | 267 | 5/4/2018 | $ | (755 | ) | |||||||||||||
S&P 500 Mini Index | 9 | (238,329 | ) | 271 | 5/4/2018 | (72 | ) | ||||||||||||||||
S&P 500 Mini Index | 9 | (238,329 | ) | 270 | 5/4/2018 | (126 | ) | ||||||||||||||||
S&P 500 Mini Index | 10 | (264,810 | ) | 272 | 5/11/2018 | (250 | ) | ||||||||||||||||
S&P 500 Mini Index | 9 | (238,329 | ) | 271 | 5/11/2018 | (338 | ) | ||||||||||||||||
S&P 500 Mini Index | 8 | (211,848 | ) | 270.5 | 5/11/2018 | (368 | ) | ||||||||||||||||
S&P 500 Mini Index | 18 | (476,658 | ) | 272 | 5/18/2018 | (954 | ) | ||||||||||||||||
S&P 500 Mini Index | 9 | (238,329 | ) | 273 | 5/25/2018 | (544 | ) | ||||||||||||||||
Total calls (premium received $13,096) | $(3,407) |
See Notes to Financial Statements
91
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Mini Index | 9 | $ | (238,329 | ) | $ | 257 | 5/4/2018 | $ | (189 | ) | |||||||||||||
S&P 500 Mini Index | 9 | (238,329 | ) | 263 | 5/4/2018 | (963 | ) | ||||||||||||||||
S&P 500 Mini Index | 9 | (238,329 | ) | 264 | 5/4/2018 | (1,246 | ) | ||||||||||||||||
S&P 500 Mini Index | 10 | (264,810 | ) | 261 | 5/11/2018 | (1,395 | ) | ||||||||||||||||
S&P 500 Mini Index | 9 | (238,329 | ) | 263 | 5/11/2018 | (1,750 | ) | ||||||||||||||||
S&P 500 Mini Index | 9 | (238,329 | ) | 265 | 5/11/2018 | (2,421 | ) | ||||||||||||||||
S&P 500 Mini Index | 9 | (238,329 | ) | 262 | 5/18/2018 | (2,034 | ) | ||||||||||||||||
S&P 500 Mini Index | 9 | (238,329 | ) | 263.5 | 5/18/2018 | (2,480 | ) | ||||||||||||||||
S&P 500 Mini Index | 9 | (238,329 | ) | 262.5 | 5/25/2018 | (2,606 | ) | ||||||||||||||||
Total puts (premium received $16,592) | $(15,084) | ||||||||||||||||||||||
Total options written (premium received $29,688) | $(18,491) |
For the six months ended April 30, 2018, the Fund had an average market value of $1,022 in options purchased and $(19,545) in options written. At April 30, 2018, the Fund had securities pledged in the amount of $505,307 to cover collateral requirements for options written.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2018:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(c) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Aerospace & Defense | $ | 100 | $ | 38 | $ | — | $ | 138 | |||||||||||
Air Freight & Logistics | 9 | 33 | — | 42 | |||||||||||||||
Automobiles | 31 | 63 | — | 94 | |||||||||||||||
Banks | 421 | 97 | — | 518 | |||||||||||||||
Beverages | 60 | 38 | — | 98 | |||||||||||||||
Chemicals | 161 | 42 | — | 203 | |||||||||||||||
Commercial Services & Supplies | 48 | 6 | — | 54 | |||||||||||||||
Communications Equipment | 67 | 22 | — | 89 | |||||||||||||||
Construction & Engineering | — | 33 | — | 33 | |||||||||||||||
Diversified Telecommunication Services | 82 | 114 | — | 196 | |||||||||||||||
Electric Utilities | 268 | 113 | — | 381 | |||||||||||||||
Electrical Equipment | 56 | 9 | — | 65 | |||||||||||||||
Equity Real Estate Investment Trusts | 1,165 | 97 | — | 1,262 | |||||||||||||||
Food & Staples Retailing | 67 | 45 | — | 112 | |||||||||||||||
Food Products | 165 | 76 | — | 241 | |||||||||||||||
Gas Utilities | — | 15 | — | 15 | |||||||||||||||
Hotels, Restaurants & Leisure | 211 | 59 | — | 270 |
See Notes to Financial Statements
92
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Asset Valuation Inputs (cont'd) | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(c) | Total | |||||||||||||||
Household Durables | $ | 34 | $ | 22 | $ | — | $ | 56 | |||||||||||
Industrial Conglomerates | 72 | 11 | — | 83 | |||||||||||||||
Insurance | 70 | 90 | — | 160 | |||||||||||||||
Marine | — | 5 | — | 5 | |||||||||||||||
Media | 89 | 9 | — | 98 | |||||||||||||||
Metals & Mining | 141 | 86 | — | 227 | |||||||||||||||
Multi-Utilities | 336 | 64 | — | 400 | |||||||||||||||
Multiline Retail | 33 | 5 | — | 38 | |||||||||||||||
Oil, Gas & Consumable Fuels | 829 | 156 | — | 985 | |||||||||||||||
Paper & Forest Products | 6 | 57 | — | 63 | |||||||||||||||
Personal Products | — | 21 | — | 21 | |||||||||||||||
Pharmaceuticals | 219 | 167 | — | 386 | |||||||||||||||
Professional Services | 12 | 72 | — | 84 | |||||||||||||||
Real Estate Management & Development | 50 | 61 | — | 111 | |||||||||||||||
Specialty Retail | 69 | 17 | — | 86 | |||||||||||||||
Technology Hardware, Storage & Peripherals | 185 | 29 | — | 214 | |||||||||||||||
Textiles, Apparel & Luxury Goods | — | 23 | — | 23 | |||||||||||||||
Tobacco | 57 | 34 | — | 91 | |||||||||||||||
Trading Companies & Distributors | 13 | 70 | — | 83 | |||||||||||||||
Transportation Infrastructure | 9 | 22 | — | 31 | |||||||||||||||
Water Utilities | — | 19 | — | 19 | |||||||||||||||
Wireless Telecommunication Services | 22 | 62 | — | �� | 84 | ||||||||||||||
Other Common Stocks(a) | 1,267 | — | — | 1,267 | |||||||||||||||
Total Common Stocks | 6,424 | 2,002 | — | 8,426 | |||||||||||||||
Preferred Stocks(a) | 507 | — | — | 507 | |||||||||||||||
Convertible Bonds(a) | — | 256 | — | 256 | |||||||||||||||
Corporate Bonds(a) | — | 2,403 | — | 2,403 | |||||||||||||||
Mortgage-Backed Securities(a) | — | 2,860 | — | 2,860 | |||||||||||||||
U.S. Treasury Obligations | — | 2,759 | — | 2,759 | |||||||||||||||
U.S. Government Agency Securities | — | 296 | — | 296 | |||||||||||||||
Asset-Backed Securities | — | 728 | — | 728 | |||||||||||||||
Exchange-Traded Funds | 802 | — | — | 802 | |||||||||||||||
Master Limited Partnerships(a) | 770 | — | — | 770 | |||||||||||||||
Investment Companies | — | 4,867 | — | 4,867 | |||||||||||||||
Options Purchased(b) | 1 | — | 0 | 1 | |||||||||||||||
Short-Term Investments | — | 932 | — | 932 | |||||||||||||||
Total Investments | $ | 8,504 | $ | 17,103 | $ | 0 | $ | 25,607 |
(a) The Schedule of Investments provides information on the industry categorization for the portfolio.
See Notes to Financial Statements
93
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
(b) The "Purchased option contracts" table under Derivative Instruments provides information on the industry or sector categorization for the portfolio.
(c) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
Beginning balance, as of 11/1/2017 | Accrued discounts/ (premiums) | Realized gain/(loss) | Change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance, as of 4/30/2018 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2018 | ||||||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Purchased(e) | |||||||||||||||||||||||||||||||||||||||||||
Calls Index | $ | — | $ | — | $ | — | $ | (0 | )(d) | $ | 0 | (d) | $ | — | $ | — | $ | — | $ | 0 | $ | (0 | )(d) | ||||||||||||||||||||
Puts Index | — | — | — | (1 | ) | 1 | — | — | — | 0 | (1 | ) | |||||||||||||||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (1 | ) | $ | 1 | $ | — | $ | — | $ | — | $ | 0 | $ | (1 | ) |
(d) Amount less than one thousand.
(e) As of the six months ended April 30, 2018, these securities were valued in accordance with procedures approved by the Board of Trustees. These investments did not have a material impact on the Fund's net assets and, therefore, disclosure of unobservable inputs used in formulating valuations in not presented.
As of the six months ended April 30, 2018, certain securities were transferred from one level (as of October 31, 2017) to another. Based on beginning of period market values as of November 1, 2017, approximately $823,000 was transferred from Level 1 to Level 2. These securities were categorized as Level 2 as of April 30, 2018, due to the use of Interactive Data Pricing and Reference Data LLC adjusted prices, as stated in the description of the valuation methods of foreign equity securities in the Notes to Financial Statements and/or foreign exchanges having been closed and, therefore, no prices having been readily available for the securities as of that date.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2018:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||||
Futures(a) | |||||||||||||||||||
Assets | $ | 82 | $ | — | $ | — | $ | 82 | |||||||||||
Liabilities | (138 | ) | — | — | (138 | ) | |||||||||||||
Forward Contracts(a) | |||||||||||||||||||
Assets | — | 341 | — | 341 | |||||||||||||||
Liabilities | — | (364 | ) | — | (364 | ) |
See Notes to Financial Statements
94
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Other Financial Instruments (cont'd) | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||||
Swaps | |||||||||||||||||||
Assets | $ | — | $ | 26 | $ | — | $ | 26 | |||||||||||
Liabilities | — | (40 | ) | — | (40 | ) | |||||||||||||
Options Written | |||||||||||||||||||
Liabilities | (18 | ) | — | — | (18 | ) | |||||||||||||
Total | $ | (74 | ) | $ | (37 | ) | $ | — | $ | (111 | ) |
(a) Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
(b) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
Beginning balance, as of 11/1/2017 | Accrued discounts/ (premiums) | Realized gain/(loss) | Change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance, as of 4/30/2018 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2018 | ||||||||||||||||||||||||||||||||||
Other Financial Instruments: | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Written Calls Index(c) | $ | (0 | )(d) | $ | — | $ | 0 | (d) | $ | (0 | )(d) | $ | 0 | (d) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Total | $ | (0 | )(d) | $ | — | $ | 0 | (d) | $ | (0 | )(d) | $ | 0 | (d) | $ | — | $ | — | $ | — | $ | — | $ | — |
(c) At the beginning of the period, the Fund's Level 3 investments were valued in accordance with procedures approved by the Board of Trustees. The Fund held no Level 3 investments in options written at April 30, 2018.
(d) Amount less than one thousand.
See Notes to Financial Statements
95
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) April 30, 2018
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
U.S. Treasury Obligations 5.9% | |||||||||||
U.S. Treasury Bill | |||||||||||
$ | 3,000 | 0.13%, due 5/3/18 | $ | 3,000 | (a) | ||||||
6,000 | 1.38%, due 7/12/18 | 5,979 | (a) | ||||||||
Total U.S. Treasury Obligations (Cost $8,979) | 8,979 | ||||||||||
Asset-Backed Securities 18.5% | |||||||||||
Ally Auto Receivables Trust | |||||||||||
1,506 | Ser. 2017-3, Class A2, 1.53%, due 3/16/20 | 1,501 | |||||||||
376 | Ser. 2016-1, Class A3, 1.47%, due 4/15/20 | 374 | |||||||||
930 | Ser. 2017-5, Class A2, 1.81%, due 6/15/20 | 926 | |||||||||
1,840 | Ser. 2018-1, Class A2, 2.14%, due 9/15/20 | 1,834 | |||||||||
1,200 | Ser. 2018-2, Class A2, 2.64%, due 2/16/21 | 1,200 | (g) | ||||||||
1,160 | American Express Credit Account Master Trust, Ser. 2013-1, Class A, (1 month USD LIBOR + 0.42%), 2.32%, due 2/16/21 | 1,161 | (b) | ||||||||
852 | BMW Vehicle Lease Trust, Ser. 2017-1, Class A2, 1.64%, due 7/22/19 | 850 | |||||||||
750 | BMW Vehicle Owner Trust, Ser. 2018-A, Class A2A, 2.09%, due 11/25/20 | 747 | |||||||||
Canadian Pacer Auto Receivables Trust | |||||||||||
524 | Ser. 2017-1A, Class A2A, 1.77%, due 12/19/19 | 522 | (c) | ||||||||
680 | Ser. 2018-1A, Class A2A, 2.70%, due 8/19/20 | 680 | (c)(g) | ||||||||
Citibank Credit Card Issuance Trust | |||||||||||
445 | Ser. 2013-A2, Class A2, (1 month USD LIBOR + 0.28%), 2.18%, due 5/26/20 | 445 | (b) | ||||||||
1,125 | Ser. 2017-A1, Class A1, (1 month USD LIBOR + 0.25%), 2.15%, due 1/19/21 | 1,126 | (b) | ||||||||
Ford Credit Auto Owner Trust | |||||||||||
137 | Ser. 2016-C, Class A2A, 1.04%, due 9/15/19 | 137 | |||||||||
292 | Ser. 2017-A, Class A2A, 1.33%, due 12/15/19 | 291 | |||||||||
GM Financial Consumer Automobile Receivables Trust | |||||||||||
1,310 | Ser. 2017-3A, Class A2A, 1.71%, due 9/16/20 | 1,304 | (c) | ||||||||
1,080 | Ser. 2018-1, Class A2A, 2.08%, due 1/19/21 | 1,075 | |||||||||
1,220 | Ser. 2018-2, Class A2, 2.55%, due 5/17/21 | 1,220 | (g) | ||||||||
1,048 | Honda Auto Receivables Owner Trust, Ser. 2017-3, Class A2, 1.57%, due 1/21/20 | 1,043 | |||||||||
Navient Student Loan Trust | |||||||||||
219 | Ser. 2016-3A, Class A1, (1 month USD LIBOR + 0.60%), 2.50%, due 6/25/65 | 220 | (b)(c) | ||||||||
1,500 | Ser. 2018-2A, Class A1, (1 month USD LIBOR + 0.24%), 2.22%, due 3/25/67 | 1,500 | (b)(c) | ||||||||
Nissan Auto Receivables Owner Trust | |||||||||||
74 | Ser. 2016-C, Class A2A, 1.07%, due 5/15/19 | 74 | |||||||||
1,274 | Ser. 2017-B, Class A2A, 1.56%, due 5/15/20 | 1,268 | |||||||||
Securitized Term Auto Receivables Trust | |||||||||||
113 | Ser. 2017-1A, Class A2A, 1.51%, due 4/25/19 | 113 | (c) | ||||||||
451 | Ser. 2017-2A, Class A2A, 1.78%, due 1/27/20 | 449 | (c) | ||||||||
Toyota Auto Receivables Owner Trust | |||||||||||
1,735 | Ser. 2017-C, Class A2A, 1.58%, due 7/15/20 | 1,725 | |||||||||
1,090 | Ser. 2017-D, Class A2A, 1.74%, due 8/17/20 | 1,083 | |||||||||
1,320 | Verizon Owner Trust, Ser. 2018-1A, Class A1, (1 month USD LIBOR + 0.26%), 2.01%, due 9/20/22 | 1,319 | (b)(c) | ||||||||
World Omni Auto Receivables Trust | |||||||||||
1,353 | Ser.2017-B, Class A2A, 1.61%, due 2/16/21 | 1,345 | |||||||||
1,090 | Ser. 2018-A, Class A2, 2.19%, due 5/17/21 | �� | 1,086 | ||||||||
1,460 | Ser. 2018-B, Class A2, 2.57%, due 7/15/21 | 1,458 | |||||||||
Total Asset-Backed Securities (Cost $28,156) | 28,076 |
See Notes to Financial Statements
96
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Corporate Bonds 55.3% | |||||||||||
Aerospace & Defense 1.7% | |||||||||||
$ | 2,580 | Northrop Grumman Corp., 1.75%, due 6/1/18 | $ | 2,579 | |||||||
Agriculture 1.3% | |||||||||||
1,980 | BAT Capital Corp., (3 month USD LIBOR + 0.59%), 2.42%, due 8/14/20 | 1,990 | (b)(c) | ||||||||
Auto Manufacturers 4.4% | |||||||||||
American Honda Finance Corp. | |||||||||||
785 | (3 month USD LIBOR + 0.34%), 2.17%, due 2/14/20 | 788 | (b) | ||||||||
520 | (3 month USD LIBOR + 0.27%), 2.63%, due 7/20/20 | 522 | (b) | ||||||||
Daimler Finance N.A. LLC | |||||||||||
2,115 | (3 month USD LIBOR + 0.45%), 2.33%, due 5/18/18 | 2,115 | (b)(c) | ||||||||
520 | (3 month USD LIBOR + 0.25%), 2.04%, due 11/5/18 | 520 | (b)(c) | ||||||||
1,500 | Ford Motor Credit Co. LLC, (3 month USD LIBOR + 0.83%), 2.64%, due 8/12/19 | 1,508 | (b) | ||||||||
Toyota Motor Credit Corp. | |||||||||||
335 | (3 month USD LIBOR + 0.82%), 2.70%, due 2/19/19 | 337 | (b) | ||||||||
880 | (3 month USD LIBOR + 0.26%), 2.61%, due 4/17/20 | 884 | (b) | ||||||||
6,674 | |||||||||||
Banks 19.2% | |||||||||||
Bank of America Corp. | |||||||||||
865 | (3 month USD LIBOR + 0.87%), 3.18%, due 4/1/19 | 871 | (b) | ||||||||
1,495 | (3 month USD LIBOR + 1.42%), 3.78%, due 4/19/21 | 1,540 | (b) | ||||||||
2,425 | Capital One Financial Corp., (3 month USD LIBOR + 0.76%), 2.57%, due 5/12/20 | 2,438 | (b) | ||||||||
Citigroup, Inc. | |||||||||||
600 | (3 month USD LIBOR + 0.79%), 3.13%, due 1/10/20 | 604 | (b) | ||||||||
2,145 | (3 month USD LIBOR + 1.31%), 3.67%, due 10/26/20 | 2,192 | (b) | ||||||||
Goldman Sachs Group, Inc. | |||||||||||
2,630 | (3 month USD LIBOR + 0.73%), 3.02%, due 12/27/20 | 2,643 | (b) | ||||||||
540 | (3 month USD LIBOR + 1.77%), 3.71%, due 2/25/21 | 559 | (b) | ||||||||
2,925 | JPMorgan Chase Bank N.A., (3 month USD LIBOR + 0.29%), 2.65%, due 2/1/21 | 2,927 | (b) | ||||||||
2,850 | Morgan Stanley, (3 month USD LIBOR + 0.55%), 2.29%, due 2/10/21 | 2,860 | (b) | ||||||||
1,485 | National Australia Bank Ltd., (3 month USD LIBOR + 0.51%), 2.41%, due 5/22/20 | 1,493 | (b)(c) | ||||||||
2,385 | Royal Bank of Canada, (3 month USD LIBOR + 0.53%), 2.65%, due 3/15/19 | 2,393 | (b) | ||||||||
765 | Sumitomo Mitsui Banking Corp., (3 month USD LIBOR + 0.35%), 2.70%, due 1/17/20 | 766 | (b) | ||||||||
Toronto-Dominion Bank | |||||||||||
630 | (3 month USD LIBOR + 0.44%), 2.75%, due 7/2/19 | 632 | (b) | ||||||||
1,080 | (3 month USD LIBOR + 0.24%), 2.60%, due 1/25/21 | 1,079 | (b) | ||||||||
1,580 | U.S. Bank N.A., (3 month USD LIBOR + 0.32%), 2.68%, due 1/24/20 | 1,583 | (b) | ||||||||
Wells Fargo & Co. | |||||||||||
685 | (3 month USD LIBOR + 0.88%), 3.24%, due 7/22/20 | 693 | (b) | ||||||||
870 | (3 month USD LIBOR + 1.01%), 3.04%, due 12/7/20 | 884 | (b) | ||||||||
1,255 | Wells Fargo Bank N.A., (3 month USD LIBOR + 0.31%), 2.66%, due 1/15/21 | 1,255 | (b) | ||||||||
1,705 | Westpac Banking Corp., (3 month USD LIBOR + 0.43%), 2.46%, due 3/6/20 | 1,712 | (b) | ||||||||
29,124 |
See Notes to Financial Statements
97
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Beverages 1.7% | |||||||||||
Anheuser-Busch InBev Finance, Inc. | |||||||||||
$ | 600 | (3 month USD LIBOR + 0.40%), 2.76%, due 2/1/19 | $ | 601 | (b) | ||||||
1,950 | (3 month USD LIBOR + 1.26%), 3.62%, due 2/1/21 | 2,009 | (b) | ||||||||
2,610 | |||||||||||
Biotechnology 1.0% | |||||||||||
1,480 | Gilead Sciences, Inc., (3 month USD LIBOR + 0.17%), 2.37%, due 9/20/18 | 1,480 | (b) | ||||||||
Commercial Services 1.2% | |||||||||||
470 | ERAC USA Finance LLC, 2.80%, due 11/1/18 | 469 | (c) | ||||||||
1,250 | Moody's Corp., (3 month USD LIBOR + 0.35%), 2.37%, due 9/4/18 | 1,251 | (b) | ||||||||
1,720 | |||||||||||
Computers 0.3% | |||||||||||
450 | Apple, Inc., (3 month USD LIBOR + 0.82%), 2.74%, due 2/22/19 | 453 | (b) | ||||||||
Diversified Financial Services 2.7% | |||||||||||
835 | AIG Global Funding, (3 month USD LIBOR + 0.48%), 2.79%, due 7/2/20 | 836 | (b)(c) | ||||||||
2,505 | American Express Co., (3 month USD LIBOR + 0.33%), 2.69%, due 10/30/20 | 2,508 | (b) | ||||||||
785 | Protective Life Global Funding, (3 month USD LIBOR + 0.55%), 2.60%, due 6/8/18 | 785 | (b)(c) | ||||||||
4,129 | |||||||||||
Electric 5.2% | |||||||||||
2,575 | Dominion Energy, Inc., (3 month USD LIBOR + 0.55%), 2.56%, due 6/1/19 | 2,586 | (b)(c) | ||||||||
1,975 | Nevada Power Co., 6.50%, due 8/1/18 | 1,995 | |||||||||
910 | Pacific Gas & Electric Co., (3 month USD LIBOR + 0.23%), 2.21%, due 11/28/18 | 909 | (b)(c) | ||||||||
2,430 | Sempra Energy, (3 month USD LIBOR + 0.50%), 2.85%, due 1/15/21 | 2,434 | (b) | ||||||||
7,924 | |||||||||||
Insurance 2.0% | |||||||||||
915 | Berkshire Hathaway Finance Corp., (3 month USD LIBOR + 0.69%), 2.81%, due 3/15/19 | 920 | (b) | ||||||||
2,110 | Principal Life Global Funding II, (3 month USD LIBOR + 0.30%), 2.19%, due 5/21/18 | 2,110 | (b)(c) | ||||||||
3,030 | |||||||||||
Machinery—Construction & Mining 1.2% | |||||||||||
Caterpillar Financial Services Corp. | |||||||||||
930 | (3 month USD LIBOR + 0.08%), 2.15%, due 9/11/18 | 930 | (b) | ||||||||
860 | (3 month USD LIBOR + 0.28%), 2.53%, due 3/22/19 | 862 | (b) | ||||||||
1,792 | |||||||||||
Machinery-Diversified 1.5% | |||||||||||
2,230 | John Deere Capital Corp., (3 month USD LIBOR + 0.29%), 2.54%, due 6/22/20 | 2,236 | (b) |
See Notes to Financial Statements
98
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Media 0.7% | |||||||||||
$ | 410 | Comcast Corp., 5.70%, due 5/15/18 | $ | 410 | |||||||
550 | NBCUniversal Enterprise, Inc., (3 month USD LIBOR + 0.40%), 2.71%, due 4/1/21 | 553 | (b)(c) | ||||||||
963 | |||||||||||
Miscellaneous Manufacturer 2.5% | |||||||||||
2,370 | General Electric Co., (3 month USD LIBOR + 0.27%), 2.06%, due 8/7/18 | 2,370 | (b) | ||||||||
1,460 | Siemens Financieringsmaatschappij NV, (3 month USD LIBOR + 0.34%), 2.49%, due 3/16/20 | 1,467 | (b)(c) | ||||||||
3,837 | |||||||||||
Oil & Gas 3.8% | |||||||||||
750 | BP AMI Leasing, Inc., 5.52%, due 5/8/19 | 770 | (c) | ||||||||
1,600 | BP Capital Markets PLC, (3 month USD LIBOR + 0.35%), 2.18%, due 8/14/18 | 1,601 | (b) | ||||||||
740 | Phillips 66, (3 month USD LIBOR + 0.65%), 3.00%, due 4/15/19 | 740 | (b)(c) | ||||||||
Total Capital Int'l SA | |||||||||||
2,075 | (3 month USD LIBOR + 0.57%), 2.38%, due 8/10/18 | 2,079 | (b) | ||||||||
620 | (3 month USD LIBOR + 0.35%), 2.53%, due 6/19/19 | 622 | (b) | ||||||||
5,812 | |||||||||||
Pharmaceuticals 1.5% | |||||||||||
2,260 | CVS Health Corp., (3 month USD LIBOR + 0.63%), 2.69%, due 3/9/20 | 2,271 | (b) | ||||||||
Telecommunications 3.4% | |||||||||||
2,500 | AT&T, Inc., (3 month USD LIBOR + 0.93%), 3.23%, due 6/30/20 | 2,530 | (b) | ||||||||
2,575 | Verizon Communications, Inc., (3 month USD LIBOR + 0.55%), 2.45%, due 5/22/20 | 2,590 | (b) | ||||||||
5,120 | |||||||||||
Total Corporate Bonds (Cost $83,667) | 83,744 | ||||||||||
NUMBER OF SHARES | |||||||||||
Short-Term Investments 16.0% | |||||||||||
Investment Companies 16.0% | |||||||||||
3,995 | State Street Institutional Treasury Money Market Fund Premier Class, 1.59%(d) | 4 | (e) | ||||||||
24,290,509 | State Street Institutional U.S. Government Money Market Fund Premier Class, 1.63%(d) | 24,291 | (e) | ||||||||
Total Short-Term Investments (Cost $24,295) | 24,295 | ||||||||||
Total Investments 95.7% (Cost $145,097) | 145,094 | ||||||||||
Other Assets Less Liabilities 4.3% | 6,512 | (f) | |||||||||
Net Assets 100.0% | $ | 151,606 |
(a) Rate shown was the discount rate at the date of purchase.
(b) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2018 and changes periodically.
See Notes to Financial Statements
99
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
Benchmarks for Variable/Floating Rates:
LIBOR - London Interbank Offered Rate
(c) Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2018, these securities amounted to approximately $23,450,000, which represents 15.5% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
(d) Represents 7-day effective yield as of April 30, 2018.
(e) All or a portion of this security is segregated in connection with obligations for futures with a total value of approximately $24,295,000.
(f) Includes the impact of the Fund's open positions in derivatives at April 30, 2018.
(g) Value determined using significant unobservable inputs.
Derivative Instruments
Futures contracts ("futures")
At April 30, 2018, open positions in futures for the Fund were as follows:
Long Futures:
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
6/2018 | 97 | Gold 100 Oz. | $ | 12,796,240 | $ | (11,540 | ) | ||||||||||||
6/2018 | 90 | Lead | 5,221,125 | (447,262 | ) | ||||||||||||||
6/2018 | 113 | New York Harbor ULSD | 10,172,102 | 175,089 | |||||||||||||||
6/2018 | 70 | Nickel | 5,720,820 | 37,902 | |||||||||||||||
6/2018 | 66 | Primary Aluminum | 3,737,250 | 128,839 | |||||||||||||||
6/2018 | 81 | Sugar 11 | 1,065,960 | (76,379 | ) | ||||||||||||||
6/2018 | 61 | Zinc | 4,771,725 | (505,225 | ) | ||||||||||||||
7/2018 | 39 | Coffee 'C' | 1,795,950 | (63,512 | ) | ||||||||||||||
7/2018 | 71 | Copper | 5,456,350 | 101,688 | |||||||||||||||
7/2018 | 597 | Corn | 11,962,388 | 624,527 | |||||||||||||||
7/2018 | 178 | Hard Red Winter Wheat | 4,783,750 | 420,716 | |||||||||||||||
7/2018 | 156 | Platinum | 7,054,320 | (376,723 | ) | ||||||||||||||
7/2018 | 86 | Soybean | 4,508,550 | 164,046 | |||||||||||||||
7/2018 | 151 | Soybean Meal | 5,946,380 | 904,082 | |||||||||||||||
7/2018 | 171 | Wheat | 4,364,775 | 327,038 | |||||||||||||||
8/2018 | 38 | Feeder Cattle | 2,777,800 | (12,151 | ) | ||||||||||||||
8/2018 | 94 | Live Cattle | 3,930,140 | (14,893 | ) | ||||||||||||||
9/2018 | 84 | Low Sulphur Gasoil | 5,418,000 | 77,700 | |||||||||||||||
9/2018 | 129 | Natural Gas | 3,612,000 | 26,010 |
See Notes to Financial Statements
100
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
10/2018 | 148 | Brent Crude Oil | $ | 10,661,920 | $ | 784,644 | |||||||||||||
11/2018 | 131 | RBOB Gasoline | 10,399,880 | 730,388 | |||||||||||||||
11/2018 | 145 | WTI Crude Oil | 9,568,550 | 153,857 | |||||||||||||||
12/2018 | 84 | Cocoa | 2,354,520 | 154,794 | |||||||||||||||
12/2018 | 86 | Cotton No. 2 | 3,387,540 | 133,726 | |||||||||||||||
12/2018 | 161 | Lean Hogs | 3,826,970 | (283,577 | ) | ||||||||||||||
12/2018 | 67 | Silver | 5,568,035 | (112,988 | ) | ||||||||||||||
12/2018 | 75 | Soybean Oil | 1,415,250 | (67,681 | ) | ||||||||||||||
Total Long Positions | $ | 152,278,290 | $ | 2,973,115 | |||||||||||||||
Short Futures: | |||||||||||||||||||
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
6/2018 | 2 | Lead | $ | (116,025 | ) | $ | 10,512 | ||||||||||||
6/2018 | 21 | Primary Aluminum | (1,189,125 | ) | (93,664 | ) | |||||||||||||
Total Short Positions | $ | (1,305,150 | ) | $ | (83,152 | ) | |||||||||||||
Total Futures | $ | 2,889,963 |
At April 30, 2018, the Fund had $3,727,767 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2018, the average notional value of futures for the Fund was $142,443,361 for long positions and $(5,781,595) for short positions.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2018:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 8,979 | $ | — | $ | 8,979 | |||||||||||
Asset-Backed Securities | — | 24,976 | 3,100 | 28,076 | |||||||||||||||
Corporate Bonds(a) | — | 83,744 | — | 83,744 | |||||||||||||||
Short-Term Investments | — | 24,295 | — | 24,295 | |||||||||||||||
Total Investments | $ | — | $ | 141,994 | $ | 3,100 | $ | 145,094 |
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization for the portfolio.
(b) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
See Notes to Financial Statements
101
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
Beginning balance, as of 11/1/2017 | Accrued discounts/ (premiums) | Realized gain/(loss) | Change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance, as of 4/30/2018 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2018 | ||||||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities(c) | $ | 480 | $ | — | $ | — | $ | — | $ | 3,100 | $ | — | $ | — | $ | (480 | ) | $ | 3,100 | $ | — | ||||||||||||||||||||||
Total | $ | 480 | $ | — | $ | — | $ | — | $ | 3,100 | $ | — | $ | — | $ | (480 | ) | $ | 3,100 | $ | — |
(c) At the beginning of the period, these investments were valued based on a single quotation obtained from a dealer. Securities categorized as Level 3 are valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
As of the six months ended April 30, 2018, certain securities were transferred from one level (as of October 31, 2017) to another. Based on beginning of period market values as of November 1, 2017, approximately $480,000 was transferred from Level 3 to Level 2. Transfers of asset-backed securities out of Level 3 were primarily due to the pricing methodology no longer using a single quotation obtained from a dealer (Level 3). As of the six months ended April 30, 2018, the Fund had no transfers between Levels 1 and 2.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2018:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures(a) | |||||||||||||||||||
Assets | $ | 4,956 | $ | — | $ | — | $ | 4,956 | |||||||||||
Liabilities | (2,066 | ) | — | — | (2,066 | ) | |||||||||||||
Total | $ | 2,890 | $ | — | $ | — | $ | 2,890 |
(a) Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
See Notes to Financial Statements
102
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund (Unaudited) April 30, 2018
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
U.S. Treasury Obligations 97.8% | |||||||||||
U.S. Treasury Notes | |||||||||||
$ | 68,500 | 0.88%, due 6/15/19—9/15/19 | $ | 67,254 | (a) | ||||||
68,400 | 1.00%, due 9/15/18—3/15/19 | 67,902 | |||||||||
19,600 | 1.13%, due 6/15/18 | 19,585 | |||||||||
32,200 | 1.25%, due 12/15/18 | 32,026 | (a) | ||||||||
62,100 | 1.38%, due 12/15/19—9/15/20 | 60,744 | |||||||||
31,200 | 1.50%, due 6/15/20 | 30,543 | |||||||||
44,900 | 1.63%, due 3/15/20—6/30/20 | 44,158 | |||||||||
1,000 | 1.88%, due 12/15/20 | 981 | |||||||||
Total U.S. Treasury Obligations (Cost $325,312) | 323,193 | ||||||||||
NUMBER OF SHARES | |||||||||||
Short-Term Investments 3.2% | |||||||||||
Investment Companies 3.2% | |||||||||||
10,389,593 | State Street Institutional U.S. Government Money Market Fund Premier Class, 1.63%(b) (Cost $10,390) | 10,390 | (c) | ||||||||
Total Investments 101.0% (Cost $335,702) | 333,583 | ||||||||||
Liabilities Less Other Assets (1.0)% | (3,197 | )(d) | |||||||||
Net Assets 100.0% | $ | 330,386 |
(a) All or a portion of the security is pledged as collateral for options written.
(b) Represents 7-day effective yield as of April 30, 2018.
(c) All or a portion of this security is segregated in connection with obligations for options written with a total value of approximately $10,390,000.
(d) Includes the impact of the Fund's open positions in derivatives at April 30, 2018.
See Notes to Financial Statements
103
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund (Unaudited) (cont'd)
Written option contracts ("options written")
At April 30, 2018, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
Russell 2000 Index | 16 | $ | (2,467,014 | ) | $ | 1,510 | 5/4/2018 | $ | (3,600 | ) | |||||||||||||
Russell 2000 Index | 16 | (2,467,014 | ) | 1,575 | 5/4/2018 | (52,960 | ) | ||||||||||||||||
Russell 2000 Index | 15 | (2,312,826 | ) | 1,585 | 5/4/2018 | (64,200 | ) | ||||||||||||||||
Russell 2000 Index | 7 | (1,079,319 | ) | 1,510 | 5/11/2018 | (4,165 | ) | ||||||||||||||||
Russell 2000 Index | 4 | (616,754 | ) | 1,520 | 5/11/2018 | (3,180 | ) | ||||||||||||||||
Russell 2000 Index | 22 | (3,392,145 | ) | 1,535 | 5/11/2018 | (27,280 | ) | ||||||||||||||||
Russell 2000 Index | 19 | (2,929,580 | ) | 1,545 | 5/11/2018 | (31,350 | ) | ||||||||||||||||
Russell 2000 Index | 9 | (1,387,696 | ) | 1,555 | 5/11/2018 | (19,440 | ) | ||||||||||||||||
Russell 2000 Index | 19 | (2,929,580 | ) | 1,550 | 5/11/2018 | (35,910 | ) | ||||||||||||||||
Russell 2000 Index | 38 | (5,859,159 | ) | 1,565 | 5/18/2018 | (117,800 | ) | ||||||||||||||||
Russell 2000 Index | 24 | (3,700,522 | ) | 1,575 | 5/18/2018 | (90,840 | ) | ||||||||||||||||
Russell 2000 Index | 12 | (1,850,261 | ) | 1,585 | 5/18/2018 | (54,900 | ) | ||||||||||||||||
Russell 2000 Index | 6 | (925,130 | ) | 1,570 | 5/18/2018 | (20,580 | ) | ||||||||||||||||
Russell 2000 Index | 4 | (616,754 | ) | 1,565 | 5/25/2018 | (13,600 | ) | ||||||||||||||||
Russell 2000 Index | 6 | (925,130 | ) | 1,545 | 5/25/2018 | (14,130 | ) | ||||||||||||||||
Russell 2000 Index | 31 | (4,779,840 | ) | 1,555 | 5/25/2018 | (87,885 | ) | ||||||||||||||||
Russell 2000 Index | 38 | (5,859,159 | ) | 1,550 | 5/25/2018 | (98,230 | ) | ||||||||||||||||
Russell 2000 Index | 38 | (5,859,159 | ) | 1,550 | 6/1/2018 | (108,490 | ) | ||||||||||||||||
S&P 500 Index | 9 | (2,383,245 | ) | 2,640 | 5/4/2018 | (12,645 | ) | ||||||||||||||||
S&P 500 Index | 2 | (529,610 | ) | 2,560 | 5/4/2018 | (325 | ) | ||||||||||||||||
S&P 500 Index | 48 | (12,710,640 | ) | 2,615 | 5/4/2018 | (35,280 | ) | ||||||||||||||||
S&P 500 Index | 11 | (2,912,855 | ) | 2,655 | 5/4/2018 | (22,385 | ) | ||||||||||||||||
S&P 500 Index | 114 | (30,187,770 | ) | 2,605 | 5/4/2018 | (63,840 | ) | ||||||||||||||||
S&P 500 Index | 43 | (11,386,615 | ) | 2,700 | 5/4/2018 | (225,965 | ) | ||||||||||||||||
S&P 500 Index | 21 | (5,560,905 | ) | 2,710 | 5/4/2018 | (130,095 | ) | ||||||||||||||||
S&P 500 Index | 6 | (1,588,830 | ) | 2,660 | 5/4/2018 | (13,740 | ) | ||||||||||||||||
S&P 500 Index | 11 | (2,912,855 | ) | 2,665 | 5/4/2018 | (28,270 | ) | ||||||||||||||||
S&P 500 Index | 11 | (2,912,855 | ) | 2,605 | 5/11/2018 | (14,300 | ) | ||||||||||||||||
S&P 500 Index | 9 | (2,383,245 | ) | 2,630 | 5/11/2018 | (17,730 | ) | ||||||||||||||||
S&P 500 Index | 36 | (9,532,980 | ) | 2,650 | 5/11/2018 | (98,280 | ) | ||||||||||||||||
S&P 500 Index | 210 | (55,609,050 | ) | 2,660 | 5/11/2018 | (672,000 | ) | ||||||||||||||||
S&P 500 Index | 94 | (24,891,670 | ) | 2,700 | 5/18/2018 | (585,620 | ) | ||||||||||||||||
S&P 500 Index | 1 | (264,805 | ) | 2,680 | 5/18/2018 | (4,890 | ) | ||||||||||||||||
S&P 500 Index | 4 | (1,059,220 | ) | 2,660 | 5/18/2018 | (15,180 | ) | ||||||||||||||||
S&P 500 Index | 47 | (12,445,835 | ) | 2,710 | 5/18/2018 | (328,295 | ) | ||||||||||||||||
S&P 500 Index | 27 | (7,149,735 | ) | 2,685 | 5/18/2018 | (140,535 | ) | ||||||||||||||||
S&P 500 Index | 91 | (24,097,255 | ) | 2,665 | 5/18/2018 | (368,550 | ) |
See Notes to Financial Statements
104
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund (Unaudited) (cont'd)
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
S&P 500 Index | 255 | $ | (67,525,275 | ) | $ | 2,665 | 5/25/2018 | $ | (1,161,525 | ) | |||||||||||||
S&P 500 Index | 8 | (2,118,440 | ) | 2,645 | 5/25/2018 | (29,280 | ) | ||||||||||||||||
S&P 500 Index | 4 | (1,059,220 | ) | 2,630 | 5/25/2018 | (12,380 | ) | ||||||||||||||||
S&P 500 Index | 5 | (1,324,025 | ) | 2,665 | 6/1/2018 | (24,900 | ) | ||||||||||||||||
S&P 500 Index | 2 | (529,610 | ) | 2,660 | 6/1/2018 | (9,480 | ) | ||||||||||||||||
Total options written (premium received $5,257,189) | $ | (4,864,030 | ) |
For the six months ended April 30, 2018, the Fund had an average market value of $(3,111,291) in options written. At April 30, 2018, Fund had securities pledged in the amount of $63,478,860 to cover collateral requirements for options written.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of April 30, 2018:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 323,193 | $ | — | $ | 323,193 | |||||||||||
Short-Term Investments | — | 10,390 | — | 10,390 | |||||||||||||||
Total Investments | $ | — | $ | 333,583 | $ | — | $ | 333,583 |
As of the six months ended April 30, 2018, no securities were transferred from one level (as of October 31, 2017) to another.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2018:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Options Written | |||||||||||||||||||
Liabilities | $ | (4,864 | ) | $ | — | $ | — | $ | (4,864 | ) | |||||||||
Total | $ | (4,864 | ) | $ | — | $ | — | $ | (4,864 | ) |
See Notes to Financial Statements
105
Statements of Assets and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted except per share amounts)
GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | LONG SHORT CREDIT FUND | ||||||||||||||||
April 30, 2018 | April 30, 2018 | April 30, 2018 | April 30, 2018 | ||||||||||||||||
Assets | |||||||||||||||||||
Investments in securities, at value* (Notes A & F)—see Schedule of Investments: | |||||||||||||||||||
Unaffiliated issuers(a) | $ | 10,822 | $ | 17,502 | $ | 3,207,094 | $ | 28,214 | |||||||||||
Affiliated issuers(b) | 10,895 | — | 39,893 | — | |||||||||||||||
21,717 | 17,502 | 3,246,987 | 28,214 | ||||||||||||||||
Cash | — | 149 | 8,842 | 1 | |||||||||||||||
Foreign currency(c) | 11 | — | — | 2 | |||||||||||||||
Cash collateral segregated for short sales (Note A) | — | — | 619,363 | — | |||||||||||||||
Cash collateral segregated for futures contracts (Note A) | 154 | — | 591 | 117 | |||||||||||||||
Cash collateral segregated for option contracts (Note A) | — | — | 78 | — | |||||||||||||||
Cash collateral segregated for centrally cleared swap contracts (Note A) | — | — | — | 79 | |||||||||||||||
Cash collateral segregated for reverse repurchase agreements due to broker (Note A) | — | — | — | 76 | |||||||||||||||
Cash collateral segregated for over-the-counter derivatives (Note A) | — | — | 5,970 | 750 | |||||||||||||||
Dividends and interest receivable | 50 | 62 | 5,972 | 495 | |||||||||||||||
Receivable for securities sold | 57 | — | 26,818 | 736 | |||||||||||||||
Receivable for Fund shares sold | — | — | 2,111 | 48 | |||||||||||||||
Receivable from Management—net (Note B) | 26 | 19 | — | 23 | |||||||||||||||
Receivable for accumulated variation margin on futures contracts (Note A) | — | — | 19,668 | — | |||||||||||||||
Receivable for accumulated variation margin on centrally cleared swap contracts (Note A)(d) | — | — | — | 99 | |||||||||||||||
Over-the-counter swap contracts, at value(e) (Note A) | 21 | — | 3,972 | ||||||||||||||||
Receivable for forward foreign currency contracts (Note A) | 344 | — | — | 5 | |||||||||||||||
Prepaid expenses and other assets | 40 | 55 | 246 | 41 | |||||||||||||||
Total Assets | 22,420 | 17,787 | 3,940,618 | 30,932 | |||||||||||||||
Liabilities | |||||||||||||||||||
Investments sold short, at value(f) (Note A) | — | — | 531,738 | — | |||||||||||||||
Over-the-counter swap contracts, at value(e)(h) (Note A) | 36 | — | 3,224 | 162 | |||||||||||||||
Dividends and interest payable for short sales and reverse repurchase agreements | — | — | 816 | 32 | |||||||||||||||
Payable for reverse repurchase agreements (Note A) | — | — | — | 7,433 | |||||||||||||||
Payable to investment manager—net (Notes A & B) | 4 | 6 | 3,081 | 10 | |||||||||||||||
Option contracts written, at value(g) (Note A) | 17 | 148 | 7,314 | — | |||||||||||||||
Due to custodian | 2 | — | — | — | |||||||||||||||
Payable for securities purchased | 1,127 | — | 14,570 | 100 | |||||||||||||||
Payable for Fund shares redeemed | — | — | 1,774 | 34 | |||||||||||||||
Payable to administrator—net (Note B) | — | — | 536 | — | |||||||||||||||
Payable to trustees | 4 | 4 | 3 | 4 | |||||||||||||||
Payable for accumulated variation margin on futures contracts (Note A) | 2 | — | — | 16 | |||||||||||||||
Payable for accumulated variation margin on centrally cleared swap contracts (Note A) | — | — | — | — | |||||||||||||||
Payable for forward foreign currency contracts (Note A) | 365 | — | — | — | |||||||||||||||
Distributions payable | — | — | — | — | |||||||||||||||
Accrued expenses and other payables | 107 | 66 | 133 | 66 | |||||||||||||||
Total Liabilities | 1,664 | 224 | 563,189 | 7,857 | |||||||||||||||
Net Assets | $ | 20,756 | $ | 17,563 | $ | 3,377,429 | $ | 23,075 |
See Notes to Financial Statements
106
MULTI-ASSET INCOME FUND | RISK BALANCED COMMODITY STRATEGY FUND** | U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||||
April 30, 2018 | April 30, 2018 | April 30, 2018 | |||||||||||||
Assets | |||||||||||||||
Investments in securities, at value* (Notes A & F)—see Schedule of Investments: | |||||||||||||||
Unaffiliated issuers(a) | $ | 20,740 | $ | 145,094 | $ | 333,583 | |||||||||
Affiliated issuers(b) | 4,867 | — | — | ||||||||||||
25,607 | 145,094 | 333,583 | |||||||||||||
Cash | — | 554 | 559 | ||||||||||||
Foreign currency(c) | 13 | — | — | ||||||||||||
Cash collateral segregated for short sales (Note A) | — | — | — | ||||||||||||
Cash collateral segregated for futures contracts (Note A) | 252 | 3,728 | — | ||||||||||||
Cash collateral segregated for option contracts (Note A) | — | — | — | ||||||||||||
Cash collateral segregated for centrally cleared swap contracts (Note A) | — | — | — | ||||||||||||
Cash collateral segregated for reverse repurchase agreements due to broker (Note A) | — | — | — | ||||||||||||
Cash collateral segregated for over-the-counter derivatives (Note A) | — | — | — | ||||||||||||
Dividends and interest receivable | 94 | 422 | 1,043 | ||||||||||||
Receivable for securities sold | 366 | — | 96 | ||||||||||||
Receivable for Fund shares sold | — | 76 | 304 | ||||||||||||
Receivable from Management—net (Note B) | 22 | 39 | — | ||||||||||||
Receivable for accumulated variation margin on futures contracts (Note A) | — | 2,890 | — | ||||||||||||
Receivable for accumulated variation margin on centrally cleared swap contracts (Note A)(d) | — | — | — | ||||||||||||
Over-the-counter swap contracts, at value(e) (Note A) | 246 | 26 | — | ||||||||||||
Receivable for forward foreign currency contracts (Note A) | 341 | — | — | ||||||||||||
Prepaid expenses and other assets | 39 | 20 | 48 | ||||||||||||
Total Assets | 26,760 | 152,823 | 335,633 | ||||||||||||
Liabilities | |||||||||||||||
Investments sold short, at value(f) (Note A) | — | — | — | ||||||||||||
Over-the-counter swap contracts, at value(e)(h) (Note A) | 40 | — | — | ||||||||||||
Dividends and interest payable for short sales and reverse repurchase agreements | — | — | — | ||||||||||||
Payable for reverse repurchase agreements (Note A) | — | — | — | ||||||||||||
Payable to investment manager—net (Notes A & B) | 7 | 118 | 121 | ||||||||||||
Option contracts written, at value(g) (Note A) | 18 | — | 4,864 | ||||||||||||
Due to custodian | 2 | — | — | ||||||||||||
Payable for securities purchased | 2,471 | 759 | 56 | ||||||||||||
Payable for Fund shares redeemed | 35 | 222 | 110 | ||||||||||||
Payable to administrator—net (Note B) | — | — | 27 | ||||||||||||
Payable to trustees | 4 | 4 | 4 | ||||||||||||
Payable for accumulated variation margin on futures contracts (Note A) | 56 | — | — | ||||||||||||
Payable for accumulated variation margin on centrally cleared swap contracts (Note A) | — | — | — | ||||||||||||
Payable for forward foreign currency contracts (Note A) | 364 | — | — | ||||||||||||
Distributions payable | 15 | — | — | ||||||||||||
Accrued expenses and other payables | 97 | 114 | 65 | ||||||||||||
Total Liabilities | 3,109 | 1,217 | 5,247 | ||||||||||||
Net Assets | $ | 23,651 | $ | 151,606 | $ | 330,386 |
107
Statements of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted except per share amounts)
GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | LONG SHORT CREDIT FUND | ||||||||||||||||
April 30, 2018 | April 30, 2018 | April 30, 2018 | April 30, 2018 | ||||||||||||||||
Net Assets consist of: | |||||||||||||||||||
Paid-in capital | $ | 18,790 | $ | 18,248 | $ | 2,930,623 | $ | 24,728 | |||||||||||
Undistributed net investment income/(loss) | 89 | 31 | (4,003 | ) | 177 | ||||||||||||||
Distributions in excess of net investment income | — | — | — | — | |||||||||||||||
Accumulated net realized gains/(losses) on investments | 814 | (625 | ) | 16,762 | (1,187 | ) | |||||||||||||
Net unrealized appreciation/(depreciation) in value of investments | 1,063 | (91 | ) | 434,047 | (643 | ) | |||||||||||||
Net Assets | $ | 20,756 | $ | 17,563 | $ | 3,377,429 | $ | 23,075 | |||||||||||
Net Assets | |||||||||||||||||||
Institutional Class | $ | 14,667 | $ | 15,615 | $ | 3,163,060 | $ | 15,025 | |||||||||||
Class A | 3,333 | 24 | 127,569 | 2,070 | |||||||||||||||
Class C | 2,756 | 34 | 86,800 | 1,133 | |||||||||||||||
Class R6 | — | 1,890 | — | 4,847 | |||||||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||||||||||
Institutional Class | 1,250 | 644 | 217,578 | 1,604 | |||||||||||||||
Class A | 286 | 1 | 8,947 | 221 | |||||||||||||||
Class C | 243 | 1 | 6,373 | 121 | |||||||||||||||
Class R6 | — | 78 | — | 517 | |||||||||||||||
Net Asset Value, offering and redemption price per share | |||||||||||||||||||
Institutional Class | $ | 11.74 | $ | 24.23 | $ | 14.54 | $ | 9.37 | |||||||||||
Class R6 | — | 24.24 | — | 9.37 | |||||||||||||||
Net Asset Value and redemption price per share | |||||||||||||||||||
Class A | $ | 11.65 | $ | 24.23 | $ | 14.26 | $ | 9.37 | |||||||||||
Offering Price per share | |||||||||||||||||||
Class A‡ | $ | 12.36 | $ | 25.71 | $ | 15.13 | $ | 9.79 | |||||||||||
Net Asset Value and offering price per share | |||||||||||||||||||
Class C^ | $ | 11.33 | $ | 24.09 | $ | 13.62 | $ | 9.36 | |||||||||||
*Cost of Investments: | |||||||||||||||||||
(a) Unaffiliated issuers | $ | 10,509 | $ | 17,704 | $ | 2,760,711 | $ | 28,909 | |||||||||||
(b) Affiliated issuers | 10,127 | — | 50,133 | — | |||||||||||||||
Total cost of investments | $ | 20,636 | $ | 17,704 | $ | 2,810,844 | $ | 28,909 | |||||||||||
(c) Total cost of foreign currency | $ | 10 | $ | — | $ | — | $ | 2 | |||||||||||
(d) Unamortized upfront payments on centrally cleared swap contracts | $ | — | $ | — | $ | — | $ | 86 | |||||||||||
(e) Unamortized upfront receipts on over-the-counter swap contracts | $ | — | $ | — | $ | — | $ | (89 | ) | ||||||||||
(f) Proceeds from investments sold short | $ | — | $ | — | $ | 505,055 | $ | — | |||||||||||
(g) Premium received from option contracts written | $ | 28 | $ | 259 | $ | 11,485 | $ | — | |||||||||||
(h) Unamortized upfront payments on over-the-counter swap contracts | $ | — | $ | — | $ | — | $ | 117 |
** Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
‡ On single retail sales of less than $50,000. On sales of $50,000 or more or in certain other circumstances described in the Fund's prospectus, offering price is reduced.
^ Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See Notes to Financial Statements
108
MULTI-ASSET INCOME FUND | RISK BALANCED COMMODITY STRATEGY FUND** | U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||||
April 30, 2018 | April 30, 2018 | April 30, 2018 | |||||||||||||
Net Assets consist of: | |||||||||||||||
Paid-in capital | $ | 23,357 | $ | 143,566 | $ | 334,739 | |||||||||
Undistributed net investment income/(loss) | — | — | 156 | ||||||||||||
Distributions in excess of net investment income | (227 | ) | (4,069 | ) | — | ||||||||||
Accumulated net realized gains/(losses) on investments | 505 | 9,222 | (2,783 | ) | |||||||||||
Net unrealized appreciation/(depreciation) in value of investments | 16 | 2,887 | (1,726 | ) | |||||||||||
Net Assets | $ | 23,651 | $ | 151,606 | $ | 330,386 | |||||||||
Net Assets | |||||||||||||||
Institutional Class | $ | 18,124 | $ | 103,728 | $ | 305,173 | |||||||||
Class A | 791 | 47,842 | 6,562 | ||||||||||||
Class C | 721 | 36 | 978 | ||||||||||||
Class R6 | 4,015 | — | 17,673 | ||||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||||||
Institutional Class | 1,817 | 15,717 | 28,846 | ||||||||||||
Class A | 79 | 7,378 | 621 | ||||||||||||
Class C | 72 | 6 | 94 | ||||||||||||
Class R6 | 403 | — | 1,669 | ||||||||||||
Net Asset Value, offering and redemption price per share | |||||||||||||||
Institutional Class | $ | 9.97 | $ | 6.60 | $ | 10.58 | |||||||||
Class R6 | 9.97 | — | 10.59 | ||||||||||||
Net Asset Value and redemption price per share | |||||||||||||||
Class A | $ | 9.97 | $ | 6.48 | $ | 10.57 | |||||||||
Offering Price per share | |||||||||||||||
Class A‡ | $ | 10.41 | $ | 6.88 | $ | 11.21 | |||||||||
Net Asset Value and offering price per share | |||||||||||||||
Class C^ | $ | 9.97 | $ | 6.25 | $ | 10.46 | |||||||||
*Cost of Investments: | |||||||||||||||
(a) Unaffiliated issuers | $ | 20,623 | $ | 145,097 | $ | 335,702 | |||||||||
(b) Affiliated issuers | 4,887 | — | — | ||||||||||||
Total cost of investments | $ | 25,510 | $ | 145,097 | $ | 335,702 | |||||||||
(c) Total cost of foreign currency | $ | 12 | $ | — | $ | — | |||||||||
(d) Unamortized upfront payments on centrally cleared swap contracts | $ | — | $ | — | $ | — | |||||||||
(e) Unamortized upfront receipts on over-the-counter swap contracts | $ | — | $ | — | $ | — | |||||||||
(f) Proceeds from investments sold short | $ | — | $ | — | $ | — | |||||||||
(g) Premium received from option contracts written | $ | 30 | $ | — | $ | 5,257 | |||||||||
(h) Unamortized upfront payments on over-the-counter swap contracts | $ | — | $ | — | $ | — |
109
Statements of Operations (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted)
GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | LONG SHORT CREDIT FUND | ||||||||||||||||
For the Six Months Ended April 30, 2018 | For the Six Months Ended April 30, 2018 | For the Six Months Ended April 30, 2018 | For the Six Months Ended April 30, 2018 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Income (Note A): | |||||||||||||||||||
Dividend income—unaffiliated issuers | $ | 91 | $ | — | $ | 19,472 | $ | 27 | |||||||||||
Dividend income—affiliated issuers (Note F) | 159 | — | — | — | |||||||||||||||
Interest and other income—unaffiliated issuers | 59 | 124 | 11,044 | 816 | |||||||||||||||
Foreign taxes withheld (Note A) | (3 | ) | — | (336 | ) | — | |||||||||||||
Total income | $ | 306 | $ | 124 | $ | 30,180 | $ | 843 | |||||||||||
Expenses: | |||||||||||||||||||
Investment management fees (Note B) | 56 | 35 | 18,130 | 92 | |||||||||||||||
Administration fees (Note B): | |||||||||||||||||||
Institutional Class | 10 | 10 | 2,295 | 12 | |||||||||||||||
Class A | 5 | — | 169 | 4 | |||||||||||||||
Class C | 4 | — | 118 | 1 | |||||||||||||||
Class R6 | — | 1 | — | 2 | |||||||||||||||
Distribution fees (Note B): | |||||||||||||||||||
Class A | 5 | — | 163 | 4 | |||||||||||||||
Class C | 15 | — | 453 | 5 | |||||||||||||||
Shareholder servicing agent fees: | |||||||||||||||||||
Institutional Class | — | — | 33 | — | |||||||||||||||
Class A | 1 | — | 3 | — | |||||||||||||||
Class C | — | — | 1 | — | |||||||||||||||
Subsidiary Administration Fees | — | — | — | — | |||||||||||||||
Audit fees | 35 | 20 | 18 | 29 | |||||||||||||||
Custodian and accounting fees | 101 | 41 | 321 | 44 | |||||||||||||||
Insurance expense | — | — | 40 | — | |||||||||||||||
Legal fees | 43 | 44 | 63 | 41 | |||||||||||||||
Registration and filing fees | 32 | 55 | 150 | 31 | |||||||||||||||
Shareholder reports | 2 | 1 | 93 | 2 | |||||||||||||||
Trustees' fees and expenses | 21 | 21 | 24 | 21 | |||||||||||||||
Dividend and interest expense on securities sold short and reverse repurchase agreements (Note A) | — | — | 5,472 | 48 | |||||||||||||||
Interest expense | 1 | — | 22 | 6 | |||||||||||||||
Miscellaneous | 20 | — | 119 | 4 | |||||||||||||||
Total expenses | 351 | 228 | 27,687 | 346 |
See Notes to Financial Statements
110
MULTI-ASSET INCOME FUND | RISK BALANCED COMMODITY STRATEGY FUND(a) | U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||||
For the Six Months Ended April 30, 2018 | For the Six Months Ended April 30, 2018 | For the Six Months Ended April 30, 2018 | |||||||||||||
Investment Income: | |||||||||||||||
Income (Note A): | |||||||||||||||
Dividend income—unaffiliated issuers | $ | 216 | $ | — | $ | — | |||||||||
Dividend income—affiliated issuers (Note F) | 120 | — | — | ||||||||||||
Interest and other income—unaffiliated issuers | 121 | 1,135 | 1,556 | ||||||||||||
Foreign taxes withheld (Note A) | (6 | ) | — | — | |||||||||||
Total income | $ | 451 | $ | 1,135 | $ | 1,556 | |||||||||
Expenses: | |||||||||||||||
Investment management fees (Note B) | 52 | 337 | 565 | ||||||||||||
Administration fees (Note B): | |||||||||||||||
Institutional Class | 13 | 68 | 171 | ||||||||||||
Class A | 1 | 58 | 8 | ||||||||||||
Class C | 1 | — | 1 | ||||||||||||
Class R6 | 2 | — | 6 | ||||||||||||
Distribution fees (Note B): | |||||||||||||||
Class A | 1 | 56 | 7 | ||||||||||||
Class C | 4 | — | 4 | ||||||||||||
Shareholder servicing agent fees: | |||||||||||||||
Institutional Class | — | — | — | ||||||||||||
Class A | — | 2 | — | ||||||||||||
Class C | — | — | — | ||||||||||||
Subsidiary Administration Fees | — | 25 | — | ||||||||||||
Audit fees | 35 | 40 | 27 | ||||||||||||
Custodian and accounting fees | 97 | 42 | 56 | ||||||||||||
Insurance expense | — | 2 | 2 | ||||||||||||
Legal fees | 42 | 50 | 42 | ||||||||||||
Registration and filing fees | 30 | 31 | 43 | ||||||||||||
Shareholder reports | 1 | 14 | 5 | ||||||||||||
Trustees' fees and expenses | 21 | 21 | 21 | ||||||||||||
Dividend and interest expense on securities sold short and reverse repurchase agreements (Note A) | — | — | — | ||||||||||||
Interest expense | 1 | 5 | — | ||||||||||||
Miscellaneous | 4 | 23 | 7 | ||||||||||||
Total expenses | 305 | 774 | 965 |
111
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted)
GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | LONG SHORT CREDIT FUND | ||||||||||||||||
For the Six Months Ended April 30, 2018 | For the Six Months Ended April 30, 2018 | For the Six Months Ended April 30, 2018 | For the Six Months Ended April 30, 2018 | ||||||||||||||||
Expenses reimbursed by Management (Note B) | (249 | ) | (177 | ) | — | (146 | ) | ||||||||||||
Investment management fees waived (Note A) | (32 | ) | — | — | — | ||||||||||||||
Total net expenses | 70 | 51 | 27,687 | 200 | |||||||||||||||
Net investment income/(loss) | $ | 236 | $ | 73 | $ | 2,493 | $ | 643 | |||||||||||
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |||||||||||||||||||
Net realized gain/(loss) on: | |||||||||||||||||||
Transactions in investment securities of unaffiliated issuers | 417 | (170 | ) | 103,729 | (81 | ) | |||||||||||||
Transactions in investment securities of affiliated issuers | 165 | — | (46 | ) | — | ||||||||||||||
Realized gain distributions from affiliated issuers | 212 | — | — | — | |||||||||||||||
Settlement of forward foreign currency contracts | 38 | — | — | (6 | ) | ||||||||||||||
Settlement of foreign currency transactions | 3 | — | 15 | 7 | |||||||||||||||
Expiration or closing of futures contracts | 64 | — | (53,980 | ) | 5 | ||||||||||||||
Expiration or closing of option contracts and swaptions written | (55 | ) | (438 | ) | 11,198 | 65 | |||||||||||||
Expiration or closing of swap contracts | 15 | — | (12,956 | ) | (236 | ) | |||||||||||||
Change in net unrealized appreciation/(depreciation) in value of: | |||||||||||||||||||
Investment securities of unaffiliated issuers | (432 | ) | (170 | ) | (20,837 | )) | (777 | ) | |||||||||||
Investment securities of affiliated issuers | (270 | ) | — | (10,240 | ) | — | |||||||||||||
Short positions of unaffiliated issuers | — | — | 1,705 | — | |||||||||||||||
Forward foreign currency contracts | (36 | ) | — | — | 4 | ||||||||||||||
Foreign currency translations | (1 | ) | — | — | 1 | ||||||||||||||
Futures contracts | (10 | ) | — | 40,028 | (5 | ) | |||||||||||||
Option contracts and swaptions written | 7 | 90 | 4,411 | — | |||||||||||||||
Swap contracts | (5 | ) | — | 2,938 | (1 | ) | |||||||||||||
Net gain/(loss) on investments | 112 | (688 | ) | 65,965 | (1,024 | ) | |||||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 348 | $ | (615 | ) | $ | 68,458 | $ | (381 | ) |
(a) Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
See Notes to Financial Statements
112
MULTI-ASSET INCOME FUND | RISK BALANCED COMMODITY STRATEGY FUND(a) | U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||||
For the Six Months Ended April 30, 2018 | For the Six Months Ended April 30, 2018 | For the Six Months Ended April 30, 2018 | |||||||||||||
Expenses reimbursed by Management (Note B) | (224 | ) | (194 | ) | (136 | ) | |||||||||
Investment management fees waived (Note A) | (13 | ) | — | — | |||||||||||
Total net expenses | 68 | 580 | 829 | ||||||||||||
Net investment income/(loss) | $ | 383 | $ | 555 | $ | 727 | |||||||||
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |||||||||||||||
Net realized gain/(loss) on: | |||||||||||||||
Transactions in investment securities of unaffiliated issuers | 503 | 56 | (25 | ) | |||||||||||
Transactions in investment securities of affiliated issuers | — | — | — | ||||||||||||
Realized gain distributions from affiliated issuers | — | — | — | ||||||||||||
Settlement of forward foreign currency contracts | 19 | — | — | ||||||||||||
Settlement of foreign currency transactions | 15 | — | — | ||||||||||||
Expiration or closing of futures contracts | 156 | 9,250 | — | ||||||||||||
Expiration or closing of option contracts and swaptions written | (65 | ) | — | (2,291 | ) | ||||||||||
Expiration or closing of swap contracts | 31 | — | — | ||||||||||||
Change in net unrealized appreciation/(depreciation) in value of: | |||||||||||||||
Investment securities of unaffiliated issuers | (791 | ) | (105 | ) | (1,533 | ) | |||||||||
Investment securities of affiliated issuers | (93 | ) | — | — | |||||||||||
Short positions of unaffiliated issuers | — | — | — | ||||||||||||
Forward foreign currency contracts | (32 | ) | — | — | |||||||||||
Foreign currency translations | (2 | ) | — | — | |||||||||||
Futures contracts | (80 | ) | 644 | — | |||||||||||
Option contracts and swaptions written | 7 | — | (71 | ) | |||||||||||
Swap contracts | (16 | ) | — | — | |||||||||||
Net gain/(loss) on investments | (348 | ) | 9,845 | (3,920 | ) | ||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 35 | $ | 10,400 | $ | (3,193 | ) |
113
Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
(000's omitted)
GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | |||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Period from April 12, 2017 (Commencement of Operations) to October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||||||||||
From Operations: | |||||||||||||||||||||||||||
Net investment income/(loss) (Note A) | $ | 236 | $ | 281 | $ | 73 | $ | 21 | $ | 2,493 | $ | 1,564 | |||||||||||||||
Net realized gain/(loss) on investments (Note A) | 859 | 1,076 | (608 | ) | 100 | 47,960 | 60,662 | ||||||||||||||||||||
Net increase from payments by affiliates (Note B) | — | — | — | — | — | 37 | |||||||||||||||||||||
Change in net unrealized appreciation/(depreciation) of investments (Note A) | (747 | ) | 1,743 | (80 | ) | (11 | ) | 18,005 | 206,680 | ||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 348 | 3,100 | (615 | ) | 110 | 68,458 | 268,943 | ||||||||||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||||||||||
Net investment income: | |||||||||||||||||||||||||||
Institutional Class | (243 | ) | (44 | ) | (42 | ) | (11 | ) | — | — | |||||||||||||||||
Class A | (60 | ) | — | (0 | ) | (0 | ) | — | — | ||||||||||||||||||
Class C | (19 | ) | — | — | — | — | — | ||||||||||||||||||||
Class R6 | — | — | (6 | ) | (6 | ) | — | — | |||||||||||||||||||
Net realized gain on investments: | |||||||||||||||||||||||||||
Institutional Class | (448 | ) | — | (99 | ) | — | — | — | |||||||||||||||||||
Class A | (134 | ) | — | (0 | ) | — | — | — | |||||||||||||||||||
Class C | (106 | ) | — | (0 | ) | — | — | — | |||||||||||||||||||
Class R6 | — | — | (18 | ) | — | — | — | ||||||||||||||||||||
Tax return of capital: | |||||||||||||||||||||||||||
Institutional Class | — | — | — | — | — | — | |||||||||||||||||||||
Class A | — | — | — | — | — | — | |||||||||||||||||||||
Class C | — | — | — | — | — | — | |||||||||||||||||||||
Class R6 | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions to shareholders | (1,010 | ) | (44 | ) | (165 | ) | (17 | ) | — | — | |||||||||||||||||
From Fund Share Transactions (Note D): | |||||||||||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||||||||||
Institutional Class | 3,333 | 6,799 | 10,503 | 8,498 | 606,330 | 1,209,220 | |||||||||||||||||||||
Class A | 133 | 1,344 | — | 25 | 16,833 | 46,543 | |||||||||||||||||||||
Class C | 1 | 215 | — | 35 | 4,433 | 8,792 | |||||||||||||||||||||
Class R6 | — | — | — | 1,950 | — | — |
See Notes to Financial Statements
114
LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | RISK BALANCED COMMODITY STRATEGY FUND(a) | |||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||||||||||
From Operations: | |||||||||||||||||||||||||||
Net investment income/(loss) (Note A) | $ | 643 | $ | 1,065 | $ | 383 | $ | 677 | $ | 555 | $ | 222 | |||||||||||||||
Net realized gain/(loss) on investments (Note A) | (246 | ) | 330 | 659 | 331 | 9,306 | 4,087 | ||||||||||||||||||||
Net increase from payments by affiliates (Note B) | — | — | — | — | — | — | |||||||||||||||||||||
Change in net unrealized appreciation/(depreciation) of investments (Note A) | (778 | ) | 39 | (1,007 | ) | 994 | 539 | 1,630 | |||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (381 | ) | 1,434 | 35 | 2,002 | 10,400 | 5,939 | ||||||||||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||||||||||
Net investment income: | |||||||||||||||||||||||||||
Institutional Class | (243 | ) | (659 | ) | (403 | ) | (548 | ) | (3,165 | ) | — | ||||||||||||||||
Class A | (32 | ) | (100 | ) | (14 | ) | (18 | ) | (1,487 | ) | — | ||||||||||||||||
Class C | (12 | ) | (28 | ) | (12 | ) | (16 | ) | (1 | ) | — | ||||||||||||||||
Class R6 | (85 | ) | (251 | ) | (93 | ) | (142 | ) | — | — | |||||||||||||||||
Net realized gain on investments: | |||||||||||||||||||||||||||
Institutional Class | — | — | — | — | — | — | |||||||||||||||||||||
Class A | — | — | — | — | — | — | |||||||||||||||||||||
Class C | — | — | — | — | — | — | |||||||||||||||||||||
Class R6 | — | — | — | — | — | — | |||||||||||||||||||||
Tax return of capital: | |||||||||||||||||||||||||||
Institutional Class | — | — | — | (16 | ) | — | — | ||||||||||||||||||||
Class A | — | — | — | (1 | ) | — | — | ||||||||||||||||||||
Class C | — | — | — | (1 | ) | — | — | ||||||||||||||||||||
Class R6 | — | — | — | (4 | ) | — | — | ||||||||||||||||||||
Total distributions to shareholders | (372 | ) | (1,038 | ) | (522 | ) | (746 | ) | (4,653 | ) | — | ||||||||||||||||
From Fund Share Transactions (Note D): | |||||||||||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||||||||||
Institutional Class | 5,183 | 5,003 | 1,633 | 5,407 | 18,146 | 45,513 | |||||||||||||||||||||
Class A | 1,121 | 2,136 | 202 | 11 | 4,312 | 16,494 | |||||||||||||||||||||
Class C | 160 | 25 | — | 59 | 4 | — | |||||||||||||||||||||
Class R6 | 20 | 220 | — | — | — | — |
115
Statements of Changes in Net Assets (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted)
GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | |||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Period from April 12, 2017 (Commencement of Operations) to October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||||||||||||||||||
Institutional Class | 691 | 44 | 141 | 11 | — | — | |||||||||||||||||||||
Class A | 193 | — | — | — | — | — | |||||||||||||||||||||
Class C | 125 | — | — | — | — | — | |||||||||||||||||||||
Class R6 | — | — | — | — | — | — | |||||||||||||||||||||
Payments for shares redeemed: | |||||||||||||||||||||||||||
Institutional Class | (2,765 | ) | (4,963 | ) | (2,905 | ) | (8 | ) | (360,201 | ) | (672,348 | ) | |||||||||||||||
Class A | (752 | ) | (4,053 | ) | — | — | (37,699 | ) | (124,652 | ) | |||||||||||||||||
Class C | (466 | ) | (2,268 | ) | — | — | (12,035 | ) | (43,665 | ) | |||||||||||||||||
Class R6 | — | — | — | — | — | — | |||||||||||||||||||||
Net increase/(decrease) from Fund share transactions | 493 | (2,882 | ) | 7,739 | 10,511 | 217,661 | 423,890 | ||||||||||||||||||||
Net Increase/(Decrease) in Net Assets | (169 | ) | 174 | 6,959 | 10,604 | 286,119 | 692,833 | ||||||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 20,925 | 20,751 | 10,604 | — | 3,091,310 | 2,398,477 | |||||||||||||||||||||
End of period | $ | 20,756 | $ | 20,925 | $ | 17,563 | $ | 10,604 | $ | 3,377,429 | $ | 3,091,310 | |||||||||||||||
Undistributed net investment income/(loss) at end of period | $ | 89 | $ | 176 | $ | 31 | $ | 6 | $ | (4,003 | ) | $ | — | ||||||||||||||
Distributions in excess of net investment income at end of period | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (6,496 | ) |
(a) Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
See Notes to Financial Statements
116
LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | RISK BALANCED COMMODITY STRATEGY FUND(a) | |||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||||||||||||||||||
Institutional Class | 242 | 660 | 402 | 564 | 3,133 | — | |||||||||||||||||||||
Class A | 20 | 65 | 3 | 3 | 1,487 | — | |||||||||||||||||||||
Class C | 2 | 1 | 4 | 5 | 1 | — | |||||||||||||||||||||
Class R6 | 16 | 56 | — | — | — | — | |||||||||||||||||||||
Payments for shares redeemed: | |||||||||||||||||||||||||||
Institutional Class | (5,581 | ) | (12,619 | ) | (885 | ) | (1,978 | ) | (4,520 | ) | (15,387 | ) | |||||||||||||||
Class A | (2,009 | ) | (207 | ) | — | (11 | ) | (2,201 | ) | (9,373 | ) | ||||||||||||||||
Class C | (1 | ) | (11 | ) | (1 | ) | (13 | ) | — | (57 | ) | ||||||||||||||||
Class R6 | (1,060 | ) | (473 | ) | — | — | — | — | |||||||||||||||||||
Net increase/(decrease) from Fund share transactions | (1,887 | ) | (5,144 | ) | 1,358 | 4,047 | 20,362 | 37,190 | |||||||||||||||||||
Net Increase/(Decrease) in Net Assets | (2,640 | ) | (4,748 | ) | 871 | 5,303 | 26,109 | 43,129 | |||||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 25,715 | 30,463 | 22,780 | 17,477 | 125,497 | 82,368 | |||||||||||||||||||||
End of period | $ | 23,075 | $ | 25,715 | $ | 23,651 | $ | 22,780 | $ | 151,606 | $ | 125,497 | |||||||||||||||
Undistributed net investment income/(loss) at end of period | $ | 177 | $ | — | $ | — | $ | — | $ | — | $ | 29 | |||||||||||||||
Distributions in excess of net investment income at end of period | $ | — | $ | (94 | ) | $ | (227 | ) | $ | (88 | ) | $ | (4,069 | ) | $ | — |
117
Statements of Changes in Net Assets (cont'd)
Neuberger Berman Alternative Funds
(000's omitted)
U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||
From Operations: | |||||||||||
Net investment income/(loss) (Note A) | $ | 727 | $ | 496 | |||||||
Net realized gain/(loss) on investments (Note A) | (2,316 | ) | 10,197 | ||||||||
Net increase from payments by affiliates (Note B) | — | — | |||||||||
Change in net unrealized appreciation/(depreciation) of investments (Note A) | (1,604 | ) | (47 | ) | |||||||
Net increase/(decrease) in net assets resulting from operations | (3,193 | ) | 10,646 | ||||||||
Distributions to Shareholders From (Note A): | |||||||||||
Net investment income: | |||||||||||
Institutional Class | (592 | ) | (385 | ) | |||||||
Class A | (5 | ) | (2 | ) | |||||||
Class C | — | — | |||||||||
Class R6 | (47 | ) | (45 | ) | |||||||
Net realized gain on investments: | |||||||||||
Institutional Class | (8,961 | ) | (87 | ) | |||||||
Class A | (275 | ) | (2 | ) | |||||||
Class C | (45 | ) | (0 | ) | |||||||
Class R6 | (821 | ) | (14 | ) | |||||||
Institutional Class | — | — | |||||||||
Class A | — | — | |||||||||
Class C | — | — | |||||||||
Class R6 | — | — | |||||||||
Total distributions to shareholders | (10,746 | ) | (535 | ) | |||||||
From Fund Share Transactions (Note D): | |||||||||||
Proceeds from shares sold: | |||||||||||
Institutional Class | 186,751 | 137,312 | |||||||||
Class A | 3,402 | 3,952 | |||||||||
Class C | 487 | 403 | |||||||||
Class R6 | 9,311 | 10,681 |
See Notes to Financial Statements
118
Statements of Changes in Net Assets (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted)
U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||
Institutional Class | 9,449 | 471 | |||||||||
Class A | 279 | 3 | |||||||||
Class C | 35 | — | |||||||||
Class R6 | 868 | 54 | |||||||||
Payments for shares redeemed: | |||||||||||
Institutional Class | (30,501 | ) | (15,953 | ) | |||||||
Class A | (801 | ) | (503 | ) | |||||||
Class C | — | (2 | ) | ||||||||
Class R6 | (3,783 | ) | (4,235 | ) | |||||||
Net increase/(decrease) from Fund share transactions | 175,497 | 132,183 | |||||||||
Net Increase/(Decrease) in Net Assets | 161,558 | 142,294 | |||||||||
Net Assets: | |||||||||||
Beginning of period | 168,828 | 26,534 | |||||||||
End of period | $ | 330,386 | $ | 168,828 | |||||||
Undistributed net investment income/(loss) at end of period | $ | 156 | $ | 73 | |||||||
Distributions in excess of net investment income at end of period | $ | — | $ | — |
(a) Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
See Notes to Financial Statements
119
Statement of Cash Flows (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted)
Long Short Credit Fund | |||||||
For the Six Months Ended April 30, 2018 | |||||||
Increase/(decrease) in cash: | |||||||
Cash flows from operating activities: | |||||||
Net decrease in net assets resulting from operations | $ | (381 | ) | ||||
Adjustments to reconcile net decrease in net assets resulting from operations to net cash used in operating activities: | |||||||
Changes in assets and liabilities: | |||||||
Purchase of investment securities | (17,464 | ) | |||||
Proceeds from disposition of investment securities | 15,163 | ||||||
Purchase/sale of short-term investment securities, net | (347 | ) | |||||
Increase in receivable/(payable) for accumulated variation margin on centrally cleared swap contracts | (66 | ) | |||||
Unrealized appreciation of centrally cleared swap contracts | 14 | ||||||
Increase in interest receivable | (101 | ) | |||||
Decrease in receivable/(payable) for accumulated variation margin on futures contracts | 94 | ||||||
Proceeds for option contracts and swaptions written | 63 | ||||||
Proceeds for foreign currency translations and forward foreign currency contracts | 2 | ||||||
Decrease in prepaid expenses and other assets | (15 | ) | |||||
Decease in receivable for securities sold | 5 | ||||||
Increase in cash collateral | (113 | ) | |||||
Decrease in payable for securities purchased | (1,784 | ) | |||||
Increase in dividends and interest payable for short sales and reverse repurchase agreements | 32 | ||||||
Net amortization of premium/(discount) on investments | 59 | ||||||
Decrease in accrued expenses and other payables | (55 | ) | |||||
Unrealized depreciation on investment securities of unaffiliated issuers | 777 | ||||||
Unrealized appreciation on forward foreign currency contracts | (4 | ) | |||||
Unrealized appreciation on foreign currency translations | (1 | ) | |||||
Unrealized depreciation on futures contracts | 5 | ||||||
Unrealized depreciation on swap contracts | 1 | ||||||
Net realized loss from transactions in investment securities of unaffiliated issuers | 81 | ||||||
Net realized loss from settlement of forward foreign currency contracts | 6 | ||||||
Net realized gain from settlement of foreign currency transactions | (7 | ) | |||||
Net realized gain from expiration or closing of futures contracts | (5 | ) | |||||
Net realized gain from expiration or closing of option contracts and swaptions written | (65 | ) | |||||
Net realized loss from expiration or closing of swap contracts | 236 | ||||||
Net cash provided by (used in) operating activities | $ | (3,870 | ) | ||||
Cash flows from financing activities: | |||||||
Payment for shares redeemed | (8,623 | ) | |||||
Proceeds from shares sold | 6,436 | ||||||
Cash distributions paid | (92 | ) | |||||
Reverse repurchase agreements | 7,433 | ||||||
Net cash provided by (used in) financing activities | 5,154 | ||||||
Net increase/(decrease) in cash | 1,284 | ||||||
Cash and foreign currency/due to custodian: | |||||||
Beginning balance | (1,281 | ) | |||||
Ending balance | $ | 3 | |||||
Supplemental disclosure | |||||||
Cash paid for interest | $ | 22 |
See Notes to Financial Statements
120
Notes to Financial Statements Alternative Fundsß (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Alternative Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended (the "1933 Act"). Each of Neuberger Berman Global Allocation Fund ("Global Allocation"), Neuberger Berman Hedged Option Premium Strategy Fund ("Hedged Option Premium Strategy"), Neuberger Berman Long Short Fund ("Long Short"), Neuberger Berman Long Short Credit Fund ("Long Short Credit"), Neuberger Berman Multi-Asset Income Fund ("Multi-Asset Income"), Neuberger Berman Risk Balanced Commodity Strategy Fund ("Risk Balanced Commodity Strategy") and Neuberger Berman U.S. Equity Index PutWrite Strategy Fund ("U.S. Equity Index PutWrite Strategy"), (each individually a "Fund," and collectively, the "Funds") is a separate operating series of the Trust. Under the 1940 Act, the status of a Fund that was registered as non-diversified may, under certain circumstances, change to that of a diversified Fund (Global Allocation, Long Short and Risk Balanced Commodity Strategy became diversified in December 2013, December 2014 and August 2015, respectively). Hedged Option Premium Strategy, Long Short Credit, Multi-Asset Income and U.S. Equity Index PutWrite Strategy are each diversified. Hedged Option Premium Strategy had no operations until April 12, 2017, other than matters relating to its organization and its registration of shares under the 1933 Act. Each Fund offers Institutional Class shares, Class A shares and Class C shares. Hedged Option Premium Strategy, Long Short Credit, Multi-Asset Income and U.S. Equity Index PutWrite Strategy also offer Class R6 shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
A zero balance, if any, reflects an actual amount rounding to less than $1,000.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standard Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Risk Balanced Commodity Strategy invests in commodity-related instruments through Neuberger Berman Cayman Commodity Fund I Ltd. (the "RBCS Subsidiary"), which is organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Fund and the RBCS Subsidiary with the intent that Risk Balanced Commodity Strategy will remain the sole shareholder of the RBCS Subsidiary. The RBCS Subsidiary is governed by its own Board of Directors.
As of April 30, 2018, the value of Risk Balanced Commodity Strategy's investment in the RBCS Subsidiary was as follows:
Investment in RBCS Subsidiary | Percentage of Net Assets | ||||||
$ | 29,423,330 | 19.4 | % |
ß Consolidated Notes to Financial Statements for Risk Balanced Commodity Strategy
121
2 Consolidation: The accompanying financial statements of Risk Balanced Commodity Strategy present the consolidated accounts of Risk Balanced Commodity Strategy and the RBCS Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation.
3 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by each of the Funds are carried at the value that Management believes a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds' investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1 – quoted prices in active markets for identical investments
• Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3 – unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Funds' investments (long and short positions) in equity securities, convertible preferred stocks, exchange-traded funds, preferred stocks, master limited partnerships and exchange-traded options purchased and options written, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Funds' investments for long and short positions in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid or offer quotations, respectively, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Funds:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information, which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available ("Other Market Information").
Convertible Bonds. Inputs used to value convertible bonds generally include underlying stock data, dealer quotes, conversion premiums, listed bond and preferred stock prices and other market information, which may include benchmark curves, trade execution data, and sensitivity analysis, when available.
122
U.S. Treasury Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
U.S. Government Agency Securities. Inputs used to value U.S. Government Agency securities generally include obtaining benchmark quotes and Other Market Information.
Asset-Backed Securities and Mortgage-Backed Securities. Inputs used to value asset-backed securities and mortgage-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
Emerging Markets Debt, Sovereign Debt, and Quasi-Sovereign Debt. Inputs used to value emerging markets debt, sovereign debt and quasi-sovereign debt generally include dealer quotes, bond market activity, discounted cash flow models, and other relevant information such as credit spreads, benchmark curves and Other Market Information.
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward contracts is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services' networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
The value of credit default swaps is determined by Management by obtaining valuations from independent pricing services using a model that considers a number of factors, which may include default probabilities, credit curves, recovery rates and cash flows (Level 2 inputs).
The value of swaptions is determined by Management by obtaining valuations from independent pricing services using market data and an industry standard model that considers a number of factors, which may include underlying curve/spread data, default-adjusted forward spread, data sources, delta adjustment, volatility skews and skew fallbacks (Level 2 inputs).
Option contracts that are traded over-the-counter ("OTC") are generally valued on the basis of quotations provided by broker-dealers or prices provided by independent pricing services who use a series of techniques including simulated pricing models and/or curve fitting (bootstrapping), which aids in determining the present value of the contracts. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, credit curves, volatility surfaces, and exchange rates (Level 2 inputs).
The value of total return swaps and total return basket swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark interest rate (Level 2 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the
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security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, securities within the same industry with recent highly correlated performance, trading in futures or American Depositary Receipts and whether the issuer of the security being fair valued has other securities outstanding.
The value of the Funds' investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time on days the New York Stock Exchange ("NYSE") is open for business. The Board has approved the use of Interactive Data Pricing and Reference Data LLC ("Interactive") to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, Interactive will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of Interactive to evaluate the prices of foreign debt securities as of the time as of which a Fund's share price is calculated. Interactive utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which a Fund's share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time as of which a Fund's share price is calculated, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices a Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
4 Foreign currency translations: The accounting records of the Funds and RBCS Subsidiary are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain/(loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statements of Operations.
5 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as a Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of discount (adjusted for original issue discount, where applicable) and amortization of premium, where applicable, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statements of Operations. Included in net realized gain/(loss) on investments are proceeds from the settlements of class action litigation in which Global Allocation participated as a class member. The amounts of such proceeds for the six months ended April 30, 2018 was $365 for Global Allocation.
6 Income tax information: Each Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of each Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its
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net investment income and net realized capital gains to its shareholders. To the extent a Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Funds have adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statements of Operations. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of April 30, 2018, the Funds did not have any unrecognized tax positions.
The RBCS Subsidiary is a controlled foreign corporation under the U.S. Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, Risk Balanced Commodity Strategy will include in its taxable income its share of the RBCS Subsidiary's current earnings and profits (including net realized gains). Any deficit generated by the RBCS Subsidiary will be disregarded for purposes of computing Risk Balanced Commodity Strategy's taxable income in the current period and also disregarded for all future periods.
At April 30, 2018, selected Fund information for all long security positions, short security positions and derivative instruments (if any) for U.S. federal income tax purposes was as follows:
(000's omitted) | Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Global Allocation | $ | 20,675 | $ | 1,715 | $ | 723 | $ | 992 | |||||||||||
Hedged Option Premium Strategy | 17,704 | 7 | 374 | (367 | ) | ||||||||||||||
Long Short | 2,830,720 | 526,014 | 90,788 | 435,226 | |||||||||||||||
Long Short Credit | 28,957 | 258 | 999 | (741 | ) | ||||||||||||||
Multi-Asset Income | 25,450 | 1,279 | 1,346 | (67 | ) | ||||||||||||||
Risk Balanced Commodity Strategy | 149,583 | 3,482 | 6,585 | (3,103 | ) | ||||||||||||||
U.S. Equity Index PutWrite Strategy | 335,703 | 404 | 2,594 | (2,190 | ) |
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by each Fund, timing differences and differing characterization of distributions made by each Fund. The Funds may also utilize earnings and profits distributed to shareholders on redemption of their shares as a part of the dividends-paid deduction for income tax purposes.
As determined on October 31, 2017, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences may be attributed to the tax treatment of one or more of the following: net operating loss netted against short term capital gains or written-off, current and prior year partnership basis adjustments, net operating losses, return of capital distributions, non-taxable distributions from real estate investment trusts ("REITs") and other underlying investments, paydown losses on mortgage-backed and asset-backed securities, RBCS Subsidiary income and gain (loss), gains and losses on swap contracts and futures, foreign currency gains and losses, tax adjustments related to short sales gains and losses from forwards, gains and losses from passive foreign investment companies ("PFICs"), non-deductible stock issuance fees, affiliated capital gain reclass to ordinary income, distributions in excess and re-designated, deemed distributions on shareholder redemptions and deflation adjustments on U.S. Treasury inflation-indexed bonds ("TIPs"). These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of each Fund. For the year ended October 31, 2017, the Funds recorded the following permanent reclassifications:
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Paid-in Capital | Undistributed Net Investment Income/(Loss) | Accumulated Net Realized Gains/(Losses) on Investments | |||||||||||||
Global Allocation | $ | 111,919 | $ | (75,855 | ) | $ | (36,064 | ) | |||||||
Hedged Option Premium Strategy | (2,276 | ) | 2,402 | (126 | ) | ||||||||||
Long Short | (7,821,026 | ) | 1,066,836 | 6,754,190 | |||||||||||
Long Short Credit | (1,621 | ) | (58,456 | ) | 60,077 | ||||||||||
Multi-Asset Income | 1,624 | (47,087 | ) | 45,463 | |||||||||||
Risk Balanced Commodity Strategy | 3,997,848 | 75,694 | (4,073,542 | ) | |||||||||||
U.S. Equity Index PutWrite Strategy | 618,692 | 1,364 | (620,056 | ) |
The tax character of distributions paid during the years ended October 31, 2017 and October 31, 2016 was as follows:
Distributions Paid From: | |||||||||||||||||||||||||||||||||||
Taxable Income | Long-Term Capital Gain | Return of Capital | Total | ||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | ||||||||||||||||||||||||||||
Global Allocation | $ | 44,404 | $ | — | $ | — | $ | 43,247 | $ | — | $ | — | $ | 44,404 | $ | 43,247 | |||||||||||||||||||
Hedged Option Premium Strategy | 16,672 | (a) | — | — | (a) | — | — | (a) | — | 16,672 | (a) | — | |||||||||||||||||||||||
Long Short | — | 361,261 | — | — | — | — | — | 361,261 | |||||||||||||||||||||||||||
Long Short Credit | 1,038,403 | 633,046 | — | — | — | — | 1,038,403 | 633,046 | |||||||||||||||||||||||||||
Multi-Asset Income | 723,961 | 489,748 | — | — | 22,515 | 149,478 | 746,476 | 639,226 | |||||||||||||||||||||||||||
Risk Balanced Commodity Strategy | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
U.S. Equity Index PutWrite Strategy | 473,142 | — | (b) | 61,645 | — | (b) | — | — | (b) | 534,787 | — | (b) |
(a) Period from April 12, 2017 (Commencement of Operations) to October 31, 2017.
(b) Period from September 16, 2016 (Commencement of Operations) to October 31, 2016.
As of October 31, 2017, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Unrealized Appreciation/ (Depreciation) | Loss Carryforwards and Deferrals | Other Temporary Differences | Total | ||||||||||||||||||||||
Global Allocation | $ | 532,799 | $ | 368,318 | $ | 1,747,666 | $ | — | $ | (20,347 | ) | $ | 2,628,436 | ||||||||||||||
Hedged Option Premium Strategy | 55,980 | 70,070 | (28,684 | ) | — | (2,284 | ) | 95,082 | |||||||||||||||||||
Long Short | — | — | 421,699,487 | (42,465,021 | ) | (886,714 | ) | 378,347,752 | |||||||||||||||||||
Long Short Credit | 10,119 | — | 59,112 | (950,543 | ) | (19,126 | ) | (900,438 | ) | ||||||||||||||||||
Multi-Asset Income | — | — | 1,009,372 | (206,079 | ) | (22,599 | ) | 780,694 | |||||||||||||||||||
Risk Balanced Commodity Strategy | 4,516,268 | — | (3,751,983 | ) | (84,076 | ) | 1,613,259 | 2,293,468 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy | 4,357,866 | 5,819,643 | (586,289 | ) | — | (4,821 | ) | 9,586,399 |
The temporary differences between book basis and tax basis distributable earnings are primarily due to: losses disallowed and recognized on wash sales, straddles and unsettled short sales; timing differences of distribution payments, swaps, futures contracts and forward contracts; adjustments related to post-October capital loss and
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late-year ordinary loss deferrals, unamortized organization expenses, mark-to-market adjustments on option contracts and tax adjustments related to REITs, TIPs, PFICs, short sales, partnerships, futures, swap contracts and other investments.
To the extent each Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, it is the policy of each Fund not to distribute such gains. Capital loss carryforward rules allow for regulated investment companies to carry forward capital losses indefinitely and to retain the character of capital loss carryforwards as short-term or long-term. As determined at October 31, 2017, the Funds had unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains, if any, as follows:
Capital Loss Carryforwards | |||||||||||
Long-Term | Short-Term | ||||||||||
Long Short | $ | — | $ | 35,496,428 | |||||||
Long Short Credit | — | 950,543 | |||||||||
Multi-Asset Income | — | 206,079 | |||||||||
Risk Balanced Commodity Strategy | 74,165 | 9,911 |
Under current tax regulations, capital losses realized on investment transactions after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. Under the Regulated Investment Company Modernization Act of 2010, the Funds may also defer any realized late-year ordinary losses as occurring on the first day of the following fiscal year. Late-year ordinary losses represent ordinary losses realized on investment transactions after December 31 and specified losses (ordinary losses from the sale, exchange, or other disposition of property, net foreign currency losses and net passive foreign investment company mark to market losses) realized on investment transactions after October 31. For the year ended October 31, 2017, Long Short elected to defer the following late-year ordinary losses:
Late-Year Ordinary Loss Deferral | |||||||
Long Short | $ | 6,968,593 |
During the year ended October 31, 2017, Global Allocation, Long Short, Long Short Credit, Multi-Asset Income and Risk Balanced Commodity Strategy had utilized capital loss carryforwards of $264,367, $26,401,425, $314,125, $361,065 and $14,268, respectively.
7 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
Foreign capital gains on certain foreign securities may be subject to foreign taxes, which are accrued as applicable. At April 30, 2018, there were no outstanding balances of accrued capital gains taxes for any Fund.
8 Distributions to shareholders: Each Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income, if any, are recorded on the ex-date and generally distributed once a year (usually in December) for Global Allocation, Long Short and Risk Balanced Commodity Strategy, monthly for Multi-Asset Income and quarterly for Hedged Option Premium Strategy, Long Short Credit (monthly prior to October 1, 2016) and U.S. Equity Index PutWrite Strategy. Distributions from net realized capital gains, if any, generally are distributed once a year (usually in December) and are recorded on the ex-date.
It is the policy of each of Long Short and Multi-Asset Income to pass through to its shareholders substantially all REIT distributions and other income it receives, less operating expenses. The distributions received from REITs are generally composed of income, capital gains, and/or return of REIT capital, but the REITs do not report this information to these Funds until the following calendar year. At April 30, 2018, Long Short and Multi-Asset Income estimated these amounts for the period January 1, 2018 to April 30, 2018 within the financial statements because the 2018 information is not available from the REITs until after each Fund's fiscal period. All estimates are based upon REIT information sources available to these Funds together with actual IRS Forms 1099-DIV received to date. For the year ended October 31, 2017, the character of distributions paid to shareholders of Long Short and
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Multi-Asset Income disclosed within the Statements of Changes in Net Assets is based on estimates made at that time. Based on past experience it is possible that a portion of these Funds' distributions during the current fiscal year, if any, will be considered tax return of capital, but the actual amount of the tax return of capital, if any, is not determinable until after each Fund's fiscal year-end. After calendar year-end, when these Funds learn the nature of the distributions paid by REITs during that year, distributions previously identified as income are often recharacterized as return of capital and/or capital gain. After all applicable REITs have informed these Funds of the actual breakdown of distributions paid to these Funds during their fiscal year, estimates previously recorded are adjusted on the books of these Funds to reflect actual results. As a result, the composition of these Funds' distributions as reported herein may differ from the final composition determined after calendar year-end and reported to these Funds shareholders on IRS Form 1099-DIV.
9 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a Fund are charged to that Fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., a Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly. Each Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
10 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
11 Dollar rolls: The Funds may enter into dollar roll transactions with respect to mortgage-backed securities. In a dollar roll transaction, a Fund sells securities for delivery in the current month and simultaneously agrees to repurchase substantially similar (i.e., same type and coupon) securities on a specified future date from the same party. During the period before this repurchase, a Fund forgoes principal and interest payments on the securities. A Fund is compensated by the difference between the current sales price and the forward price for the future purchase (often referred to as the "drop"), as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls may increase fluctuations in a Fund's NAV and may be viewed as a form of leverage. There is a risk that the counterparty will be unable or unwilling to complete the transaction as scheduled, which may result in losses to a Fund.
12 Reverse repurchase agreements: In a reverse repurchase agreement, a Fund sells portfolio securities to another party and agrees to repurchase the securities at an agreed-upon price and date, which reflects an interest payment. In periods of increased demand for a security, the Fund may receive a payment from the counterparty for the use of the security, which is recorded as interest income. Reverse repurchase agreements involve the risk that the other party will fail to return the securities in a timely manner, or at all, which may result in losses to a Fund. A Fund could lose money if it is unable to recover the securities and the value of the collateral held by the Fund is less than the value of the securities. Reverse repurchase agreements also involve the risk that the market value of the securities sold will decline below the price at which a Fund is obligated to repurchase them. Reverse repurchase agreements may be viewed as a form of borrowing by a Fund. When the Fund enters into a reverse repurchase agreement, any fluctuations in the market value of either the securities transferred to another party or the
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securities in which the proceeds may be invested would affect the market value of the Fund's assets. During the term of the agreement, the Fund may also be obligated to pledge additional cash and/or securities in the event of a decline in the fair value of the transferred security.
13 Securities sold short: Each Fund may engage in short sales, which are sales of securities which have been borrowed from a third party on the expectation that the market price will decline. If the price of the securities decreases, a Fund will make a profit by purchasing the securities in the open market at a price lower than the one at which it sold the securities. If the price of the securities increases, a Fund may have to cover its short positions at a price higher than the short sale price, resulting in a loss. Gains are limited to the price at which a Fund sold the security short, while losses are potentially unlimited in size. The Funds pledge securities and/or other assets, which may include cash collateral from securities lending activities, to the lender as collateral. Proceeds received from short sales may be maintained by the lender as collateral or may be released to the Funds and used to purchase additional securities or for any other purpose. Proceeds maintained by the lender are included in the "Cash collateral segregated for short sales" on the Statements of Assets and Liabilities. The Funds are required to segregate an amount of cash or liquid securities in an amount at least equal to the current market value of the securities sold short (less any additional collateral pledged to the lender). The Funds are contractually responsible to remit to the lender any dividends and interest payable on securities while those securities are being borrowed by the Fund. The Funds may receive or pay the net of the interest charged by the prime broker on the borrowed securities and a financing charge for the difference in the market value of the short position and the cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. These costs related to short sales (i.e., dividend and interest remitted to the lender and interest charged by the prime broker) are recorded as an expense of the Funds and are excluded from the contractual expense limitation. A net negative expense, if any, represents a gain to the Fund as the total cash rebates received exceeded the other costs related to short sales. The net amount of fees incurred during the six months ended April 30, 2018, are included in the "Dividend and interest expense on securities sold short and reverse repurchase agreements" on the Statements of Operations and are as follows:
Long Short | $ | (2,026,579 | ) |
At April 30, 2018, Long Short had cash pledged in the amount of $619,363,183 to State Street Bank and Trust Company ("State Street") to cover collateral requirements for borrowing in connection with securities sold short.
14 Security lending: Each Fund using State Street as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender's fees. These fees, if any, disclosed within the Statements of Operations under the caption, "Income from securities loaned-net" are net of expenses retained by State Street as compensation for its services as lending agent. For the six months ended April 30, 2018, the Funds did not participate in securities lending. The Funds receive cash collateral at the beginning of each transaction equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). Some or all of the cash collateral may be used to finance short sales.
As of April 30, 2018, the Funds had no outstanding loans of securities.
15 Investment company securities and exchange-traded funds: The Funds may invest in shares of other registered investment companies, including exchange-traded funds ("ETFs"), within the limitations prescribed by the 1940 Act or pursuant to an exemptive order from the Securities and Exchange Commission that permits the Funds to invest in both affiliated and unaffiliated investment companies, including ETFs, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have an actively-managed investment objective. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. A Fund will indirectly bear its proportionate share of any
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management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
16 Derivative instruments: Certain of the Funds' use of derivatives during the six months ended April 30, 2018, is described below. Please see the Schedule of Investments for each Fund's open positions in derivatives, if any, at April 30, 2018. The Funds have adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting. Accordingly, even though a Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
Futures contracts: During the six months ended April 30, 2018, Global Allocation used futures in an effort to enhance total return and to manage or adjust the risk profile and the investment exposure of the Fund to certain asset classes, countries and regions. In addition, Global Allocation also utilized futures to provide investment exposure to certain indices and markets other than the benchmark indices. During the six months ended April 30, 2018, Long Short used futures on broader market indices and U.S. Treasuries in an effort either to enhance returns or to manage or adjust the risk profile and the investment exposure of the Fund. During the six months ended April 30, 2018, Long Short Credit used futures to manage or adjust the risk profile of the Fund or the risk of individual positions, to adjust the duration of the Fund's portfolio, to hedge risk and to alter the Fund's exposure to currencies, interest rates, sectors and individual issuers. During the six months ended April 30, 2018, Multi-Asset Income used futures to enhance total return and to manage or adjust the risk profile and the investment exposure of the Fund to certain asset classes, countries and regions. In addition, Multi-Asset Income also utilized futures to provide investment exposure to certain indices and markets other than the benchmark indices. During the six months ended April 30, 2018, Risk Balanced Commodity Strategy used commodity futures contracts (through investments in the RBCS Subsidiary) to provide investment exposure to individual commodities, as well as to manage and/or adjust the risk profile of the Fund.
At the time a Fund or RBCS Subsidiary enters into a futures contract, it is required to deposit with the futures commission merchant a specified amount of cash or liquid securities, known as "initial margin," which is a percentage of the value of the futures contract being traded that is set by the exchange upon which the futures contract is traded. Each day, the futures contract is valued at the official settlement price of the board of trade or U.S. commodity exchange on which such futures contract is traded. Subsequent payments, known as "variation margin," to and from the broker are made on a daily basis, or as needed, as the market price of the futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by a Fund or RBCS Subsidiary as unrealized gains or losses.
Although some futures by their terms call for actual delivery or acquisition of the underlying securities or currency, in most cases the contracts are closed out prior to delivery by offsetting purchases or sales of matching futures. When the contracts are closed, a Fund recognizes a gain or loss. Risks of entering into futures contracts include the possibility there may be an illiquid market, possibly at a time of rapidly declining prices, and/or a change in the value of the contract may not correlate with changes in the value of the underlying securities. Futures executed on regulated futures exchanges have minimal counterparty risk to a Fund because the exchange's clearinghouse assumes the position of the counterparty in each transaction. Thus, a Fund is exposed to risk only in connection with the clearinghouse and not in connection with the original counterparty to the transaction.
For U.S. federal income tax purposes, the futures transactions undertaken by a Fund or RBCS Subsidiary may cause the Fund or RBCS Subsidiary to recognize gains or losses from marking contracts to market even though its positions have not been sold or terminated, may affect the character of the gains or losses recognized as long-term or short-term, and may affect the timing of some capital gains and losses realized by the Fund or RBCS Subsidiary. Also, a Fund's or RBCS Subsidiary's losses on transactions involving futures contracts may be deferred rather than being taken into account currently in calculating such Fund's or RBCS Subsidiary's taxable income.
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Forward foreign currency contracts: During the six months ended April 30, 2018, Global Allocation used forward contracts to obtain or reduce exposure to certain markets, establish net short or long positions for currencies and alter the Fund's exposure to markets and currencies. During the six months ended April 30, 2018, Long Short Credit used forward contracts to alter the Fund's exposure to currencies, interest rates, sectors and individual issuers. During the six months ended April 30, 2018, Multi-Asset Income used forward contracts to obtain or reduce exposure to certain markets, establish net short or long positions for currencies and alter the Fund's exposure to markets and currencies.
A forward contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, and is individually negotiated and privately traded by currency traders and their customers in the interbank market. The market value of a forward contract fluctuates with changes in forward currency exchange rates. Forward contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain or loss. At the consummation of a forward contract to purchase or sell currency, a Fund may either exchange the currencies specified at the maturity of the forward contract or enter into a closing transaction involving the purchase or sale of an offsetting forward contract. Closing transactions with respect to forward contracts are usually performed with the counterparty to the original forward contract. The gain or loss arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing a contract is included in "Net realized gain/(loss) on forward foreign currency contracts" in the Statements of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in a Fund's Statement of Assets and Liabilities. In addition, a Fund could be exposed to risks associated with fluctuations in foreign currency and the risk the counterparty will fail to fulfill its obligation.
Credit default swap contracts: During the six months ended April 30, 2018, Long Short Credit used credit default swaps to replace more traditional direct investments, to establish net short or long positions for individual markets, currencies or securities and to hedge risk. When a Fund is the buyer of an OTC credit default swap contract, it is entitled to receive the notional amount of the swap from the counterparty if a credit event occurs. In return, the Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund would have spent the stream of payments and received no proceeds from the contract. When a Fund is the seller of an OTC credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If a Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund could be required to make (or the risk of loss) would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Fund for the same referenced obligation. As the seller, the Fund may add economic leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. The net periodic payments paid or received on the swap contract are accrued daily as a component of unrealized appreciation/(depreciation) and are recorded as realized gain upon receipt or realized loss upon payment. The Fund also records an increase or decrease to unrealized appreciation/(depreciation) in an amount equal to the daily valuation of swaps. For financial reporting purposes, unamortized upfront payments/(receipts), if any, are netted with unrealized appreciation or (depreciation) and net interest received or paid on swap contracts to determine the fair value of swaps.
Centrally cleared swap contracts: Certain clearinghouses currently offer clearing for limited types of derivative transactions, including certain credit default swaps. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty that is then cleared through a central clearinghouse. Upon
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acceptance of a swap by a central clearinghouse, the original swap is extinguished and replaced with a swap with the clearinghouse, thereby reducing or eliminating the Fund's exposure to the credit risk of the original counterparty. A Fund typically will be required to post specified levels of both initial and variation margin with the clearinghouse or at the instruction of the clearinghouse. The daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the centrally clearing party. For financial reporting purposes, unamortized upfront/(receipts) payments, if any, are netted with unrealized appreciation or (depreciation) and net interest received or paid on swap contracts to determine the fair value of swaps.
Total return basket swap contracts: During the six months ended April 30, 2018, Long Short used total return basket swaps to increase returns, reduce risks and for hedging purposes. During the six months ended April 30, 2018, Long Short Credit used total return basket swaps to replace more traditional direct investments and to hedge risk. Certain Funds may enter into a total return basket swap agreement to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. The Funds have the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation/(depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as "financing costs". Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any unrealized gains/(losses) on positions and accrued financing costs become available for cash settlement between the Funds and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of an International Swaps and Derivatives Association (ISDA) agreement between the Funds and the counterparty. A change in the market value of a total return basket swap contract is recognized as a change in unrealized appreciation/(depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as realized gains/(losses) on swap contracts in the Statements of Operations.
Total return swap contracts: During the six months ended April 30, 2018, Global Allocation used total return swaps to enhance total return and obtain or reduce exposure to certain markets. During the six months ended April 30, 2018, Long Short used total return swaps to increase returns, reduce risks and for hedging purposes. During the six months ended April 30, 2018, Long Short Credit used total return swaps to replace more traditional direct investments and to hedge risk. During the six months ended April 30, 2018, Multi-Asset Income used total return swaps to enhance total return and obtain or reduce exposure to certain markets. Total return swaps involve commitments to pay fixed or floating rate interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the reference security or index underlying the total return swap exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment or make a payment to the counterparty, respectively. For financial reporting purposes, unamortized upfront payments/(receipts), if any, are netted with unrealized appreciation or (depreciation) and net interest received or paid on swap contracts to determine the fair value of swaps, respectively. Certain risks may arise when entering into total return swap transactions, including counterparty default, liquidity or unfavorable changes in the value of the underlying reference security or index. The value of the swap is adjusted daily and the change in value, if any, is recorded as unrealized appreciation or (depreciation) in the Statements of Assets and Liabilities. Payments received or made at the end of each measurement period are recorded as realized gain or loss in the Statements of Operations.
Options: During the six months ended April 30, 2018, Global Allocation used options written to enhance total return, manage or adjust the risk profile of the Fund or the risk of individual positions, replace more traditional direct investments and obtain exposure to certain markets. During the six months ended April 30, 2018, Global Allocation used options purchased to enhance total return, manage or adjust the risk profile of the Fund and
132
replace more traditional direct investments. During the six months ended April 30, 2018, Hedged Option Premium Strategy used options written primarily to gain exposure to securities, markets, sectors or geographical areas and also to enhance total return and gain exposure more efficiently than through a direct purchase of the underlying security. During the six months ended April 30, 2018, Hedged Option Premium Strategy used options purchased primarily to hedge exposures to securities, markets, sectors or geographical areas while attempting to limit risk. During the six months ended April 30, 2018, Long Short used options written to generate incremental returns. During the six months ended April 30, 2018, Long Short used options purchased either for hedging purposes or to generate incremental returns. During the six months ended April 30, 2018, Long Short Credit used options written (including swaptions) to establish net short or long positions for individual markets, currencies or securities, hedge risk and alter the Fund's exposure to currencies, interest rates, sectors and individual issuers. During the six months ended April 30, 2018, Long Short Credit used options purchased (including swaptions and options on futures) either for either for hedging purposes or to generate incremental returns. During the six months ended April 30, 2018, Multi-Asset Income used options written to enhance total return, manage or adjust the risk profile of the Fund, and replace more traditional direct investments. During the six months ended April 30, 2018, Multi-Asset Income used options purchased to enhance total return, manage or adjust the risk profile of the Fund, and replace more traditional direct investments. During the six months ended April 30, 2018, U.S. Equity Index PutWrite Strategy used options written primarily to gain exposure to securities, markets, sectors or geographical areas and also to enhance total return and gain exposure more efficiently than through a direct purchase of the underlying security.
Premiums paid by a Fund upon purchasing a call or put option are recorded in the asset section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, a Fund realizes a gain or loss and the asset is eliminated. For purchased call options, a Fund's loss is limited to the amount of the option premium paid.
Premiums received by a Fund upon writing a call option or a put option are recorded in the liability section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, a Fund realizes a gain or loss and the liability is eliminated.
When a fund writes a call option on an underlying asset it does not own, its exposure on such an option is theoretically unlimited. When writing a covered call option, a Fund, in return for the premium, gives up the opportunity for profit from a price increase in the underlying security above the exercise price, but conversely retains the risk of loss should the price of the security decline. When writing a put option, a Fund, in return for the premium, takes the risk that it must purchase the underlying security at a price that may be higher than the current market price of the security. If a covered call or put option that a Fund has written expires unexercised, a Fund will realize a gain in the amount of the premium. All securities covering outstanding written options are held in escrow by the custodian bank.
Swaptions are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swaptions is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement at any time before the expiration of the option.
A Fund may write or purchase options on exchange-traded futures contracts ("futures option") to hedge an existing position or future investment, for speculative purposes or to manage exposure to market movements. A futures option is an option contract in which the underlying instrument is a specific futures contract.
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At April 30, 2018, a Fund had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Asset Derivatives (000's omitted) | |||||||||||||||||||||||||||||||
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | 1 | $ | — | $ | 72 | $ | — | $ | — | $ | 73 | ||||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 344 | — | — | — | 344 | ||||||||||||||||||||||||
OTC swaps | Over-the-counter swap contracts, at value(a) | — | — | 21 | — | — | 21 | ||||||||||||||||||||||||
Options purchased | Investments in securities, at value | — | — | 1 | — | — | 1 | ||||||||||||||||||||||||
Total Value—Assets | $ | 1 | $ | 344 | $ | 94 | $ | — | $ | — | $ | 439 | |||||||||||||||||||
Hedged Option Premium Strategy | |||||||||||||||||||||||||||||||
Options purchased | Investments in securities, at value | $ | — | $ | — | $ | 8 | $ | — | $ | — | $ | 8 | ||||||||||||||||||
Total Value—Assets | $ | — | $ | — | $ | 8 | $ | — | $ | — | $ | 8 | |||||||||||||||||||
Long Short | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | 15 | $ | — | $ | 19,653 | $ | — | $ | — | $ | 19,668 | ||||||||||||||||||
OTC swaps | Over-the-counter swap contracts, at value(a) | — | — | 3,972 | — | — | 3,972 | ||||||||||||||||||||||||
Options purchased | Investments in securities, at value | — | — | 5,825 | — | — | 5,825 | ||||||||||||||||||||||||
Total Value—Assets | $ | 15 | $ | — | $ | 29,450 | $ | — | $ | — | $ | 29,465 |
134
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | 12 | $ | — | $ | — | $ | — | $ | — | $ | 12 | ||||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 5 | — | — | — | 5 | ||||||||||||||||||||||||
Centrally cleared swaps | Receivable/Payable for accumulated variation margin on centrally cleared swap contracts(a) | — | — | — | 99 | — | 99 | ||||||||||||||||||||||||
OTC swaps | Over-the-counter swap contracts, at value(a) | — | — | 27 | 219 | — | 246 | ||||||||||||||||||||||||
Swaptions purchased | Investments in securities, at value | — | — | — | 4 | — | 4 | ||||||||||||||||||||||||
Total Value—Assets | $ | 12 | $ | 5 | $ | 27 | $ | 322 | $ | — | $ | 366 | |||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | 2 | $ | — | $ | 80 | $ | — | $ | — | $ | 82 | ||||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 341 | — | — | — | 341 | ||||||||||||||||||||||||
OTC swaps | Over-the-counter swap contracts, at value(a) | — | — | 26 | — | — | 26 | ||||||||||||||||||||||||
Options purchased | Investments in securities, at value | — | — | 1 | — | — | 1 | ||||||||||||||||||||||||
Total Value—Assets | $ | 2 | $ | 341 | $ | 107 | $ | — | $ | — | $ | 450 | |||||||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 4,956 | $ | 4,956 | ||||||||||||||||||
Total Value—Assets | $ | — | $ | — | $ | — | $ | — | $ | 4,956 | $ | 4,956 |
135
Liability Derivatives (000's omitted) | |||||||||||||||||||||||||||||||
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | (29 | ) | $ | — | $ | (46 | ) | $ | — | $ | — | $ | (75 | ) | |||||||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (365 | ) | — | — | — | (365 | ) | ||||||||||||||||||||||
OTC swaps | Over-the-counter swap contracts, at value(a) | — | — | (36 | ) | — | — | (36 | ) | ||||||||||||||||||||||
Options written | Option contracts written, at value | — | — | (17 | ) | — | — | (17 | ) | ||||||||||||||||||||||
Total Value—Liabilities | $ | (17 | ) | $ | (365 | ) | $ | (111 | ) | $ | — | $ | — | $ | (493 | ) | |||||||||||||||
Hedged Option Premium Strategy | |||||||||||||||||||||||||||||||
Options written | Option contracts written, at value | $ | — | $ | — | $ | (148 | ) | $ | — | $ | — | $ | (148 | ) | ||||||||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | (148 | ) | $ | — | $ | — | $ | (148 | ) | |||||||||||||||||
Long Short | |||||||||||||||||||||||||||||||
OTC swaps | Over-the-counter swap contracts, at value(a) | $ | — | $ | — | $ | (3,224 | ) | $ | — | $ | — | $ | (3,224 | ) | ||||||||||||||||
Options written | Option contracts written, at value | — | — | (7,314 | ) | — | — | (7,314 | ) | ||||||||||||||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | (10,538 | ) | $ | — | $ | — | $ | (10,538 | ) | |||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | (28 | ) | $ | — | $ | — | $ | — | $ | — | $ | (28 | ) | ||||||||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (0 | )(b) | — | — | — | (0 | )(b) | ||||||||||||||||||||||
OTC swaps | Over-the-counter swap contracts, at value(a) | — | — | (12 | ) | (150 | ) | — | (162 | ) | |||||||||||||||||||||
Total Value—Liabilities | $ | (28 | ) | $ | 0 | (b) | $ | (12 | ) | $ | (150 | ) | $ | — | $ | (190 | ) |
136
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | (53 | ) | $ | — | $ | (85 | ) | $ | — | $ | — | $ | (138 | ) | |||||||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (364 | ) | — | — | — | (364 | ) | ||||||||||||||||||||||
OTC swaps | Over-the-counter swap contracts, at value(a) | — | — | (40 | ) | — | — | (40 | ) | ||||||||||||||||||||||
Options written | Option contracts written, at value | — | — | (18 | ) | — | — | (18 | ) | ||||||||||||||||||||||
Total Value—Liabilities | $ | (53 | ) | $ | (364 | ) | $ | (143 | ) | $ | — | $ | — | $ | (560 | ) | |||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (2,066 | ) | $ | (2,066 | ) | ||||||||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | — | $ | — | $ | (2,066 | ) | $ | (2,066 | ) | |||||||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||||||
Options written | Option contracts written, at value | $ | — | $ | — | $ | (4,864 | ) | $ | — | $ | — | $ | (4,864 | ) | ||||||||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | (4,864 | ) | $ | — | $ | — | $ | (4,864 | ) |
(a) "Centrally cleared swaps" and "OTC swaps" reflect the cumulative unrealized appreciation/(depreciation) of the centrally cleared swap or OTC swap contracts plus accrued interest as of April 30, 2018, which are reflected in the Statements of Assets and Liabilities under the captions "Receivable/Payable for accumulated variation margin on centrally cleared swap contracts" and "OTC swap contracts, at value", respectively.
(b) Amount less than one thousand.
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The impact of the use of these derivative instruments on the Statements of Operations during the six months ended April 30, 2018, was as follows:
Realized Gain/(Loss) (000's omitted) | |||||||||||||||||||||||||||||||
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||
Futures | Net realized gain/(loss) on: expiration or closing of futures contracts | $ | 15 | $ | 1 | $ | 48 | $ | — | $ | — | $ | 64 | ||||||||||||||||||
Forward contracts | Net realized gain/(loss) on: settlement of forward foreign currency contracts | — | 38 | — | — | — | 38 | ||||||||||||||||||||||||
Swaps | Net realized gain/(loss) on: expiration or closing of swap contracts | — | — | 15 | — | — | 15 | ||||||||||||||||||||||||
Options purchased | Net realized gain/(loss) on: sales of investment securities of unaffiliated issuers | — | — | (15 | ) | — | — | (15 | ) | ||||||||||||||||||||||
Options written | Net realized gain/(loss) on: expiration or closing of option contracts and swaptions written | — | — | (55 | ) | — | — | (55 | ) | ||||||||||||||||||||||
Total Realized Gain/(Loss) | $ | 15 | $ | 39 | $ | (7 | ) | $ | — | $ | — | $ | 47 | ||||||||||||||||||
Hedged Option Premium Strategy | |||||||||||||||||||||||||||||||
Options purchased | Net realized gain/(loss) on: sales of investment securities of unaffiliated issuers | $ | — | $ | — | $ | (170 | ) | $ | — | $ | — | $ | (170 | ) | ||||||||||||||||
Options written | Net realized gain/(loss) on: expiration or closing of option contracts and swaptions written | — | — | (438 | ) | — | — | (438 | ) | ||||||||||||||||||||||
Total Realized Gain/(Loss) | $ | — | $ | — | $ | (608 | ) | $ | — | $ | — | $ | (608 | ) |
138
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Long Short | |||||||||||||||||||||||||||||||
Futures | Net realized gain/(loss) on: expiration or closing of futures contracts | $ | 486 | $ | — | $ | (54,466 | ) | $ | — | $ | — | $ | (53,980 | ) | ||||||||||||||||
Swaps | Net realized gain/(loss) on: expiration or closing of swap contracts | — | — | (12,956 | ) | — | — | (12,956 | ) | ||||||||||||||||||||||
Options purchased | Net realized gain/(loss) on: sales of investment securities of unaffiliated issuers | — | — | 11,937 | — | — | 11,937 | ||||||||||||||||||||||||
Options written | Net realized gain/(loss) on: expiration or closing of option contracts and swaptions written | — | — | 11,198 | — | — | 11,198 | ||||||||||||||||||||||||
Total Realized Gain/(Loss) | $ | 486 | $ | — | $ | (44,287 | ) | $ | — | $ | — | $ | (43,801 | ) | |||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||||||
Futures | Net realized gain/(loss) on: expiration or closing of futures contracts | $ | 5 | $ | — | $ | — | $ | — | $ | — | $ | 5 | ||||||||||||||||||
Forward contracts | Net realized gain/(loss) on: settlement of forward foreign currency contracts | — | (6 | ) | — | — | — | (6 | ) | ||||||||||||||||||||||
Swaps | Net realized gain/(loss) on: expiration or closing of swap contracts | — | — | 88 | (324 | ) | — | (236 | ) | ||||||||||||||||||||||
Options and swaptions purchased | Net realized gain/(loss) on: transactions in investment securities of unaffiliated issuers | — | — | 36 | — | — | 36 | ||||||||||||||||||||||||
Options and swaptions written | Net realized gain/(loss) on: expiration or closing of option contracts and swaptions written | — | — | 65 | — | — | 65 | ||||||||||||||||||||||||
Total Realized Gain/(Loss) | $ | 5 | $ | (6 | ) | $ | 189 | $ | (324 | ) | $ | — | $ | (136 | ) |
139
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||
Futures | Net realized gain/(loss) on: expiration or closing of futures contracts | $ | 71 | $ | (3 | ) | $ | 88 | $ | — | $ | — | $ | 156 | |||||||||||||||||
Forward contracts | Net realized gain/(loss) on: settlement of forward foreign currency contracts | — | 19 | — | — | — | 19 | ||||||||||||||||||||||||
Swaps | Net realized gain/(loss) on: expiration or closing of swap contracts | — | — | 31 | — | — | 31 | ||||||||||||||||||||||||
Options purchased | Net realized gain/(loss) on: sales of investment securities of unaffiliated issuers | — | — | (15 | ) | — | — | (15 | ) | ||||||||||||||||||||||
Options written | Net realized gain/(loss) on: expiration or closing of option contracts and swaptions written | — | — | (65 | ) | — | — | (65 | ) | ||||||||||||||||||||||
Total Realized Gain/(Loss) | $ | 71 | $ | 16 | $ | 39 | $ | — | $ | — | $ | 126 | |||||||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||||||
Futures | Net realized gain/(loss) on: expiration or closing of futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 9,250 | $ | 9,250 | ||||||||||||||||||
Total Realized Gain/(Loss) | $ | — | $ | — | $ | — | $ | — | $ | 9,250 | $ | 9,250 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||||||
Options written | Net realized gain/(loss) on: expiration or closing of option contracts and swaptions written | $ | — | $ | — | $ | (2,291 | ) | $ | — | $ | — | $ | (2,291 | ) | ||||||||||||||||
Total Realized Gain/(Loss) | $ | — | �� | $ | — | $ | (2,291 | ) | $ | — | $ | — | $ | (2,291 | ) |
140
Change in Appreciation/(Depreciation) (000's omitted) | |||||||||||||||||||||||||||||||
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation/(depreciation) in value of: futures contracts | $ | 5 | $ | 6 | $ | (21 | ) | $ | — | $ | — | $ | (10 | ) | ||||||||||||||||
Forward contracts | Change in net unrealized appreciation/(depreciation) in value of: forward foreign currency contracts | — | (36 | ) | — | — | — | (36 | ) | ||||||||||||||||||||||
Swaps | Change in net unrealized appreciation/(depreciation) in value of: swap contracts | — | — | (5 | ) | — | — | (5 | ) | ||||||||||||||||||||||
Options purchased | Change in net unrealized appreciation/(depreciation) in value of: investment securities of unaffiliated issuers | — | — | (1 | ) | — | — | (1 | ) | ||||||||||||||||||||||
Options written | Change in net unrealized appreciation/(depreciation) in value of: option contracts and swaptions written | — | — | 7 | — | — | 7 | ||||||||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | 5 | $ | (30 | ) | $ | (20 | ) | $ | — | $ | — | $ | (45 | ) | ||||||||||||||||
Hedged Option Premium Strategy | |||||||||||||||||||||||||||||||
Options purchased | Change in net unrealized appreciation/(depreciation) in value of: investment securities of unaffiliated issuers | $ | — | $ | — | $ | (9 | ) | $ | — | $ | — | $ | (9 | ) | ||||||||||||||||
Options written | Change in net unrealized appreciation/(depreciation) in value of: option contracts and swaptions written | — | — | 90 | — | — | 90 | ||||||||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | — | $ | — | $ | 81 | $ | — | $ | — | $ | 81 |
141
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Long Short | |||||||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation/(depreciation) in value of: futures contracts | $ | (161 | ) | $ | — | $ | 40,189 | $ | — | $ | — | $ | 40,028 | |||||||||||||||||
Swaps | Change in net unrealized appreciation/(depreciation) in value of: swap contracts | — | — | 2,938 | — | — | 2,938 | ||||||||||||||||||||||||
Options purchased | Change in net unrealized appreciation/(depreciation) in value of: investment securities of unaffiliated issuers | — | — | 411 | — | — | 411 | ||||||||||||||||||||||||
Options written | Change in net unrealized appreciation/(depreciation) in value of: option contracts and swaptions written | — | — | 4,411 | — | — | 4,411 | ||||||||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | (161 | ) | $ | — | $ | 47,949 | $ | — | $ | — | $ | 47,788 | ||||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation/(depreciation) in value of: futures contracts | $ | (5 | ) | $ | — | $ | — | $ | — | $ | — | $ | (5 | ) | ||||||||||||||||
Forward contracts | Change in net unrealized appreciation/(depreciation) in value of: forward foreign currency contracts | — | 4 | — | — | — | 4 | ||||||||||||||||||||||||
Swaps | Change in net unrealized appreciation/(depreciation) in value of: swap contracts | — | — | — | (1 | ) | — | (1 | ) | ||||||||||||||||||||||
Options purchased | Change in net unrealized appreciation/(depreciation) in value of: investment securities of unaffiliated issuers | (12 | ) | (12 | ) | ||||||||||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | (5 | ) | $ | 4 | $ | (12 | ) | $ | (1 | ) | $ | — | $ | (14 | ) |
142
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation/(depreciation) in value of: futures contracts | $ | (38 | ) | $ | 7 | $ | (49 | ) | $ | — | $ | — | $ | (80 | ) | |||||||||||||||
Forward contracts | Change in net unrealized appreciation/(depreciation) in value of: forward foreign currency contracts | — | (32 | ) | — | — | — | (32 | ) | ||||||||||||||||||||||
Swaps | Change in net unrealized appreciation/(depreciation) in value of: swap contracts | — | — | (16 | ) | — | — | (16 | ) | ||||||||||||||||||||||
Options purchased | Change in net unrealized appreciation/(depreciation) in value of: investment securities of unaffiliated issuers | — | — | (1 | ) | — | — | (1 | ) | ||||||||||||||||||||||
Options written | Change in net unrealized appreciation/(depreciation) in value of: option contracts and swaptions written | — | — | 7 | — | — | 7 | ||||||||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | (38 | ) | $ | (25 | ) | $ | (59 | ) | $ | — | $ | — | $ | (122 | ) | |||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation/(depreciation) in value of: futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 644 | $ | 644 | ||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | — | $ | — | $ | — | $ | — | $ | 644 | $ | 644 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||||||
Options written | Change in net unrealized appreciation/(depreciation) in value of: option contracts and swaptions written | $ | — | $ | — | $ | (71 | ) | $ | — | $ | — | $ | (71 | ) | ||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | — | $ | — | $ | (71 | ) | $ | — | $ | — | $ | (71 | ) |
143
While the Funds may receive redeemable preference shares, rights and warrants in connection with their investments in securities, these rights and warrants are not considered "derivative instruments" under ASC 815.
The Funds adopted the provisions of Accounting Standards Update ("ASU") 2011-11 Disclosures about Offsetting Assets and Liabilities ("ASU 2011-11"). ASU 2011-11 is intended to enhance disclosure requirements on the offsetting of financial assets and liabilities. Pursuant to ASU 2011-11, an entity is required to disclose both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. ASU 2011-11 is applicable to the Funds, except Hedged Option Premium Strategy, Risk Balanced Commodity Strategy and U.S. Equity Index PutWrite Strategy, at April 30, 2018. The Funds' derivative assets and liabilities at fair value by type are reported gross in the Statements of Assets and Liabilities. The following tables present derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting or similar agreement and net of the related collateral received by a Fund for assets and pledged by a Fund for liabilities as of April 30, 2018.
Description (000's omitted) | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Assets and Liabilities | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | ||||||||||||
Global Allocation | |||||||||||||||
Forward contracts | $ | 344 | $ | — | $ | 344 | |||||||||
OTC Swaps | 21 | — | 21 | ||||||||||||
Total | $ | 365 | $ | — | $ | 365 | |||||||||
Long Short | |||||||||||||||
Swap contracts | $ | 3,972 | $ | — | $ | 3,972 | |||||||||
Total | $ | 3,972 | $ | — | $ | 3,972 | |||||||||
Long Short Credit | |||||||||||||||
Forward contracts | $ | 5 | $ | — | $ | 5 | |||||||||
OTC swaps | 246 | — | 246 | ||||||||||||
Total | $ | 251 | $ | — | $ | 251 | |||||||||
Multi-Asset Income | |||||||||||||||
Forward contracts | $ | 341 | $ | — | $ | 341 | |||||||||
OTC Swaps | 26 | — | 26 | ||||||||||||
Total | $ | 367 | $ | — | $ | 367 |
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty (000's omitted) | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | Liabilities Available for Offset | Cash Collateral Received(a) | Net Amount(b) | |||||||||||||||
Global Allocation | |||||||||||||||||||
Citibank N.A. | $ | 49 | $ | (49 | ) | $ | — | $ | — | ||||||||||
Goldman Sachs International | 50 | (50 | ) | — | — | ||||||||||||||
JPMorgan Chase Bank N.A. | 46 | (46 | ) | — | — | ||||||||||||||
Royal Bank of Canada | 19 | (19 | ) | — | — | ||||||||||||||
Societe Generale | 52 | (35 | ) | — | 17 | ||||||||||||||
Standard Charterd Bank | 19 | (19 | ) | — | — | ||||||||||||||
State Street Bank and Trust Company | 130 | (91 | ) | — | 39 | ||||||||||||||
Total | $ | 365 | $ | (309 | ) | $ | — | $ | 56 |
144
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty (000's omitted) | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | Liabilities Available for Offset | Cash Collateral Received(a) | Net Amount(b) | |||||||||||||||
Long Short | |||||||||||||||||||
Citibank N.A. | $ | 3,894 | $ | (639 | ) | $ | — | $ | 3,255 | ||||||||||
Goldman Sachs International | 78 | (78 | ) | — | — | ||||||||||||||
Total | $ | 3,972 | $ | (717 | ) | $ | — | $ | 3,255 | ||||||||||
Long Short Credit | |||||||||||||||||||
BNP Paribas SA | $ | 105 | $ | (38 | ) | $ | — | $ | 67 | ||||||||||
Citibank N.A. | 49 | (15 | ) | — | 34 | ||||||||||||||
Goldman Sachs International | 97 | (62 | ) | — | 35 | ||||||||||||||
Total | $ | 251 | $ | (115 | ) | $ | — | $ | 136 | ||||||||||
Multi-Asset Income | |||||||||||||||||||
Citibank N.A. | $ | 49 | $ | (49 | ) | $ | — | $ | — | ||||||||||
Goldman Sachs International | 51 | (51 | ) | — | — | ||||||||||||||
JPMorgan Chase Bank N.A. | 75 | (75 | ) | — | — | ||||||||||||||
Royal Bank of Canada | 15 | (15 | ) | — | — | ||||||||||||||
Societe Generale | 39 | (28 | ) | — | 11 | ||||||||||||||
Standard Charterd Bank | 20 | (20 | ) | — | — | ||||||||||||||
State Street Bank and Trust Company | 118 | (93 | ) | — | 25 | ||||||||||||||
Total | $ | 367 | $ | (331 | ) | $ | — | $ | 36 |
Description (000's omitted) | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities | ||||||||||||
Global Allocation | |||||||||||||||
Forward contracts | $ | (365 | ) | $ | — | $ | (365 | ) | |||||||
OTC Swaps | (36 | ) | — | (36 | ) | ||||||||||
Total | $ | (401 | ) | $ | — | $ | (401 | ) | |||||||
Long Short | |||||||||||||||
OTC swaps | $ | (3,224 | ) | $ | — | $ | (3,224 | ) | |||||||
OTC options | (242 | ) | — | (242 | ) | ||||||||||
Total | $ | (3,466 | ) | $ | — | $ | (3,466 | ) | |||||||
Long Short Credit | |||||||||||||||
Forward contracts | $ | (0 | )(d) | $ | — | $ | (0 | )(d) | |||||||
OTC swaps | (162 | ) | — | (162 | ) | ||||||||||
Total | $ | (162 | ) | $ | — | $ | (162 | ) | |||||||
Multi-Asset Income | |||||||||||||||
Forward contracts | $ | (364 | ) | $ | — | (364 | ) | ||||||||
OTC Swaps | (40 | ) | — | (40 | ) | ||||||||||
Total | $ | (404 | ) | $ | — | $ | (404 | ) |
145
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty (000's omitted) | Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities | Assets Available for Offset | Cash Collateral Pledged(a) | Net Amount(c) | |||||||||||||||
Global Allocation | |||||||||||||||||||
Citibank N.A. | $ | (61 | ) | $ | 49 | $ | — | $ | (12 | ) | |||||||||
Goldman Sachs International | (70 | ) | 50 | — | (20 | ) | |||||||||||||
JPMorgan Chase Bank N.A. | (81 | ) | 46 | — | (35 | ) | |||||||||||||
Royal Bank of Canada | (42 | ) | 19 | — | (23 | ) | |||||||||||||
Societe Generale | (35 | ) | 35 | — | — | ||||||||||||||
Standard Charterd Bank | (21 | ) | 19 | — | (2 | ) | |||||||||||||
State Street Bank and Trust Company | (91 | ) | 91 | — | — | ||||||||||||||
Total | $ | (401 | ) | $ | 309 | $ | — | $ | (92 | ) | |||||||||
Long Short | |||||||||||||||||||
Citibank N.A. | $ | (639 | ) | $ | 639 | $ | — | $ | — | ||||||||||
Goldman Sachs International | (2,827 | ) | 78 | 2,749 | — | ||||||||||||||
Total | $ | (3,466 | ) | $ | 717 | $ | 2,749 | $ | — | ||||||||||
Long Short Credit | |||||||||||||||||||
Bank of America, N.A. | $ | (47 | ) | $ | — | $ | — | $ | (47 | ) | |||||||||
BNP Paribas SA | (38 | ) | 38 | — | — | ||||||||||||||
Citibank N.A. | (15 | ) | 15 | — | — | ||||||||||||||
Goldman Sachs International | (62 | ) | 62 | — | — | ||||||||||||||
Total | $ | (162 | ) | $ | 115 | $ | — | $ | (47 | ) | |||||||||
Multi-Asset Income | |||||||||||||||||||
Citibank N.A. | $ | (72 | ) | $ | 49 | $ | — | $ | (23 | ) | |||||||||
Goldman Sachs International | (64 | ) | 51 | — | (13 | ) | |||||||||||||
JPMorgan Chase Bank N.A. | (90 | ) | 75 | — | (15 | ) | |||||||||||||
Royal Bank of Canada | (34 | ) | 15 | — | (19 | ) | |||||||||||||
Societe Generale | (28 | ) | 28 | — | — | ||||||||||||||
Standard Charterd Bank | (23 | ) | 20 | — | (3 | ) | |||||||||||||
State Street Bank and Trust Company | (93 | ) | 93 | — | — | ||||||||||||||
Total | $ | (404 | ) | $ | 331 | $ | — | $ | (73 | ) |
(a) Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above, for each respective counterparty.
(b) Net Amount represents amounts subject to loss as of April 30, 2018, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized to each counterparty as of April 30, 2018.
(d) Amount less than one thousand.
Reverse repurchase agreements entered into by a Fund are subject to Master Repurchase Agreements ("MRA") or Global Master Repurchase Agreement ("GMRA"), as applicable, (MRA and GMRA collectively, "Repos"), which permit the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under Repos with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund.
146
The following table presents Long Short Credit's reverse repurchase agreements net of amounts available for offset under Repos and net of the related collateral received and/or pledged by the Fund as of April 30, 2018.
Counterparty (000's omitted) | Reverse Repurchase Agreements | Assets Available for Offset | Cash Collateral Pledged(a) | Securities Collateral Pledged(a) | Net Amount(b) | ||||||||||||||||||
Citigroup Global Markets, Inc. | $ | (2,368 | ) | $ | — | $ | 76 | $ | 2,292 | $ | — | ||||||||||||
Nomura Securities International Inc. | (5,096 | ) | — | — | 5,096 | — | |||||||||||||||||
Total | $ | (7,464 | ) | $ | — | $ | 76 | $ | 7,388 | $ | — |
(a) In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization.
(b) Net amount represents the net amount payable to the counterparty in the event of default.
17 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
18 Transactions with other funds managed by Neuberger Berman Investment Advisers LLC: Neuberger Berman Alternative Funds and Management have obtained an exemptive order from the SEC that permits the Funds to invest in both affiliated and unaffiliated investment companies, including exchange-traded funds, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, subject to the terms and conditions of such order. Through April 30, 2018, Global Allocation invested in Neuberger Berman Emerging Markets Debt Fund, Neuberger Berman Emerging Markets Equity Fund, Neuberger Berman Floating Rate Income Fund, Neuberger Berman Genesis Fund, Neuberger Berman High Income Bond Fund, Neuberger Berman International Select Fund, Long Short Credit, Risk Balanced Commodity Strategy and U.S. Equity Index PutWrite Strategy (collectively the "Underlying Funds"). Through April 30, 2018, Multi-Asset Income invested in Neuberger Berman Emerging Markets Debt Fund, Neuberger Berman Floating Rate Income Fund, Neuberger Berman High Income Bond Fund and Long Short Credit (collectively the "Underlying Funds") (See Note F).
For the Funds' investments in the Underlying Funds, Management waived a portion of its management fee equal to the management fee it received from the Underlying Funds on those assets (the "Arrangement"). For the six months ended April 30, 2018, management fees waived under this Arrangement are reflected in the Statements of Operations under the caption "Investment management fees waived." For the six months ended April 30, 2018, distributions from income and capital gains received from the Underlying Funds on Global Allocation's and Multi-Asset Income's investments is reflected in the Statements of Operations under the captions "Dividend income-affiliated issuers" and "Realized gain distributions from affiliated issuers". For the six months ended April 30, 2018, management fees waived under this Arrangement and distributions from income and capital gains received from Global Allocation's and Multi-Asset Income's investments in the Underlying Funds were as follows:
Distributions from Income | |||||||||||
Management Fees Waived | and Capital Gains | ||||||||||
Global Allocation | $ | 32,133 | $ | 371,353 | |||||||
Multi-Asset Income | 12,892 | 120,498 |
147
19 Other: All net investment income and realized and unrealized capital gains and losses of each Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions With Affiliates:
Each Fund retains Management as its investment manager under a Management Agreement. For such investment management services, each Fund pays Management a fee according to the following table:
Investment Management Fee as a Percentage of Average Daily Net Assets(a):
First $250 million | Next $250 million | Next $250 million | Next $250 million | Next $500 million | Next $500 million | Next $2 billion | Thereafter | ||||||||||||||||||||||||||||
For Global Allocation:(b) | |||||||||||||||||||||||||||||||||||
0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.525 | % | 0.525 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||
For Long Short: | |||||||||||||||||||||||||||||||||||
1.20 | % | 1.175 | % | 1.15 | % | 1.125 | % | 1.10 | % | 1.075 | % | 1.075 | % | 1.05 | % | ||||||||||||||||||||
For Long Short Credit:(c) | |||||||||||||||||||||||||||||||||||
0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||||||||||
For Multi-Asset Income: | |||||||||||||||||||||||||||||||||||
0.45 | % | 0.425 | % | 0.40 | % | 0.375 | % | 0.35 | % | 0.325 | % | 0.325 | % | 0.30 | % | ||||||||||||||||||||
For Risk Balanced Commodity Strategy and RBCS Subsidiary:(d) | |||||||||||||||||||||||||||||||||||
0.50 | % | 0.475 | % | 0.45 | % | 0.425 | % | 0.40 | % | 0.375 | % | 0.375 | % | 0.35 | % | ||||||||||||||||||||
For Hedged Option Premium Strategy: | |||||||||||||||||||||||||||||||||||
0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | ||||||||||||||||||||
For U.S. Equity Index PutWrite Strategy: | |||||||||||||||||||||||||||||||||||
0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % |
(a) Less the net asset value of the RBCS Subsidiary for Risk Balanced Commodity Strategy.
(b) 0.65% of the first $1 billion of the Fund's average daily net assets, 0.625% of the next $1 billion and 0.600% of average daily net assets in excess of $2 billion prior to February 28, 2017.
(c) 0.80% prior to February 28, 2018.
(d) 0.70% of the first $250 million of the Fund's average daily net assets, 0.675% of the next $250 million, 0.65% of the next $250 million, 0.625% of the next $250 million, 0.60% of the next $500 million, 0.575% of the next $2.5 billion, and 0.55% of average daily net assets in excess of $4 billion prior to February 28, 2017.
Accordingly, for the six months ended April 30, 2018, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of each Fund's average daily net assets(a), as follows:
Effective Rate | |||||||
Global Allocation | 0.24 | % | |||||
Long Short | 1.11 | % | |||||
Multi-Asset Income | 0.34 | % | |||||
Risk Balanced Commodity Strategy | 0.50 | % | |||||
RBCS Subsidiary | 0.50 | % |
148
(a) Less the net asset value of the RBCS Subsidiary for Risk Balanced Commodity Strategy.
Each Fund retains Management as its administrator under an Administration Agreement. Prior to July 1, 2017, each Fund paid Management an administration fee at the annual rate of 0.06% of its average daily net assets under this agreement in addition to an annual fee for certain class level services (specifically, 0.20% for each of Class A and Class C of each of Global Allocation, Hedged Option Premium Strategy, Long Short, Risk Balanced Commodity Strategy and U.S. Equity Index PutWrite Strategy; 0.21% for each of Class A and Class C of each of Long Short Credit and Multi-Asset Income; 0.09% for Institutional Class and 0.02% for Class R6, each as a percentage of average daily net assets). Effective July 1, 2017, the administration fee is assessed at the Class level and as such each share class of a Fund, as applicable, pays Management an annual administration fee equal to the following: 0.26% for each of Class A and Class C of each of Global Allocation, Hedged Option Premium Strategy, Long Short, Risk Balanced Commodity Strategy and U.S. Equity Index PutWrite Strategy; 0.27% for each of Class A and Class C of each of Long Short Credit and Multi-Asset Income; 0.15% for Institutional Class; and 0.08% for Class R6, each as a percentage of its average daily net assets. This did not result in an increase in any administration expense for any Fund or share class. Additionally, Management retains State Street as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under the Sub-Administration Agreement.
Management has contractually agreed to waive fees and/or reimburse certain expenses of the Institutional Class, Class A, Class C and Class R6 of each Fund so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the following table. These undertakings exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, and dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitations. Each Fund has agreed that each of its respective classes will repay Management for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class' annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays Management, whichever is lower. Any such repayment must be made within three years after the year in which Management incurred the expense. The expenses of the RBCS Subsidiary are included in the total expenses used to calculate the reimbursement, which Risk Balanced Commodity Strategy has agreed to share with the RBCS Subsidiary. For the six months ended April 30, 2018, these RBCS Subsidiary expenses amounted to $118,065.
During the six months ended April 30, 2018, there was no repayment to Management under these agreements.
At April 30, 2018, contingent liabilities to Management under the agreements were as follows:
Expenses Reimbursed In Year Ended October 31, | |||||||||||||||||||||||||||
2015 | 2016 | 2017 | 2018 | ||||||||||||||||||||||||
Subject to Repayment until October 31, | |||||||||||||||||||||||||||
Class | Contractual Expense Limitation(a) | Expiration | 2018 | 2019 | 2020 | 2021 | |||||||||||||||||||||
Global Allocation Institutional Class | 0.75 | %(b) | 10/31/21 | $ | 218,863 | $ | 249,350 | $ | 346,296 | $ | 167,311 | ||||||||||||||||
Global Allocation Class A | 1.11 | %(b) | 10/31/21 | 186,931 | 182,783 | 131,054 | 45,951 | ||||||||||||||||||||
Global Allocation Class C | 1.86 | %(b) | 10/31/21 | 141,948 | 149,577 | 110,994 | 35,832 | ||||||||||||||||||||
Hedged Option Premium Strategy Institutional Class | 0.65 | % | 10/31/21 | — | — | 163,736 | (c) | 154,022 | |||||||||||||||||||
Hedged Option Premium Strategy Class A | 1.01 | % | 10/31/21 | — | — | 1,070 | (c) | 325 |
149
Expenses Reimbursed In Year Ended October 31, | |||||||||||||||||||||||||||
2015 | 2016 | 2017 | 2018 | ||||||||||||||||||||||||
Subject to Repayment until October 31, | |||||||||||||||||||||||||||
Class | Contractual Expense Limitation(a) | Expiration | 2018 | 2019 | 2020 | 2021 | |||||||||||||||||||||
Hedged Option Premium Strategy Class C | 1.76 | % | 10/31/21 | $ | — | $ | — | $ | 1,213 | (c) | $ | 437 | |||||||||||||||
Hedged Option Premium Strategy Class R6 | 0.58 | % | 10/31/21 | — | — | 80,469 | (c) | 22,081 | |||||||||||||||||||
Long Short Institutional Class | 1.70 | % | 10/31/21 | — | — | — | — | ||||||||||||||||||||
Long Short Class A | 2.06 | % | 10/31/21 | — | — | — | — | ||||||||||||||||||||
Long Short Class C | 2.81 | % | 10/31/21 | — | — | — | — | ||||||||||||||||||||
Long Short Credit Institutional Class | 0.75 | %(d)(e) | 10/31/21 | 189,647 | (f) | 283,260 | 178,900 | 90,981 | |||||||||||||||||||
Long Short Credit Class A | 1.12 | %(d)(e) | 10/31/21 | 11,941 | (f) | 14,957 | 28,780 | 17,734 | |||||||||||||||||||
Long Short Credit Class C | 1.87 | %(d)(e) | 10/31/21 | 11,651 | (f) | 10,932 | 10,218 | 6,262 | |||||||||||||||||||
Long Short Credit Class R6 | 0.68 | %(d)(e) | 10/31/21 | 51,813 | (f) | 56,434 | 63,573 | 31,099 | |||||||||||||||||||
Multi-Asset Income Institutional Class | 0.65 | %(g) | 10/31/21 | 211,942 | (h) | 349,252 | 372,208 | 170,966 | |||||||||||||||||||
Multi-Asset Income Class A | 1.02 | %(g) | 10/31/21 | 11,183 | (h) | 16,514 | 14,267 | 6,695 | |||||||||||||||||||
Multi-Asset Income Class C | 1.77 | %(g) | 10/31/21 | 11,072 | (h) | 15,614 | 16,358 | 7,012 | |||||||||||||||||||
Multi-Asset Income Class R6 | 0.58 | %(g) | 10/31/21 | 77,569 | (h) | 119,681 | 94,517 | 38,982 | |||||||||||||||||||
Risk Balanced Commodity Strategy Institutional Class | 0.73 | %(i) | 10/31/21 | 93,942 | 171,296 | 211,468 | 128,333 | ||||||||||||||||||||
Risk Balanced Commodity Strategy Class A | 1.09 | %(i) | 10/31/21 | 209,027 | 150,132 | 131,093 | 65,091 | ||||||||||||||||||||
Risk Balanced Commodity Strategy Class C | 1.84 | %(i) | 10/31/21 | 17,483 | 7,166 | 545 | 186 | ||||||||||||||||||||
U.S. Equity Index PutWrite Strategy Institutional Class | 0.65 | % | 10/31/21 | — | 154,906 | (i)(j) | 290,602 | 122,552 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy Class A | 1.01 | % | 10/31/21 | — | 2,299 | (j) | 6,844 | 3,660 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy Class C | 1.76 | % | 10/31/21 | — | 912 | (j) | 628 | 564 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy Class R6 | 0.58 | % | 10/31/21 | — | 46,827 | (j) | 31,856 | 9,426 |
(a) Expense limitation per annum of the respective class' average daily net assets.
(b) Prior to February 28, 2017, the contractual expense limitation was 0.90% for Institutional Class, 1.26% for Class A and 2.01% for Class C.
(c) Period from April 12, 2017 (Commencement of Operations) to October 31, 2017.
(d) In addition, Management voluntarily waived its fees as necessary to maintain a minimum yield for Long Short Credit from June 29, 2015 to July 2, 2015, for Institutional Class, Class A, Class C and Class R6. For the period ended October 31, 2015, voluntary reimbursements for Institutional Class, Class A, Class C and Class R6 of Long
150
Short Credit amounted to $3,229, $257, $394 and $830, respectively. In addition, Management voluntarily waived its fees as necessary to maintain a minimum yield for Long Short Credit on several days in 2016, for Institutional Class, Class A, Class C and Class R6. For the year ended October 31, 2016, voluntary reimbursements for Institutional Class, Class A, Class C and Class R6 of Long Short Credit amounted to $26,236, $2,133, $2,908 and $4,880, respectively.
(e) Prior to February 28, 2018, the contractual expense limitation was 1.20% for Institutional Class, 1.57% for Class A, 2.32% for Class C and 1.13% for Class R6.
(f) Period from June 29, 2015 (Commencement of Operations) to October 31, 2015.
(g) In addition, Management voluntarily waived its fees as necessary to maintain a minimum yield for Multi-Asset Income on March 27, 2015, for Institutional Class, Class A, Class C and Class R6 and March 30, 2015, for Class A and Class C. For the period ended October 31, 2015, voluntary reimbursements for Institutional Class, Class A, Class C and Class R6 of Multi-Asset Income amounted to $456, $43, $84 and $159, respectively.
(h) Period from March 27, 2015 (Commencement of Operations) to October 31, 2015.
(i) Prior to February 28, 2017, the contractual expense limitation was 1.10% for Institutional Class, 1.46% for Class A and 2.21% for Class C.
(j) Period from September 16, 2016 (Commencement of Operations) to October 31, 2016.
Each Fund also has a distribution agreement with Neuberger Berman BD LLC (the "Distributor") with respect to each class of shares. The Distributor acts as agent in arranging for the sale of class shares without sales commission or other compensation, except as described below for Class A and Class C shares, and bears the advertising and promotion expenses.
However, the Distributor receives fees from Class A and Class C under their distribution plans (each a "Plan", collectively the "Plans") pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that, as compensation for administrative and other services provided to these classes, the Distributor's activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, the Distributor receives from each of these classes a fee at the annual rate of 0.25% of Class A's and 1.00% of Class C's average daily net assets. The Distributor receives this amount to provide distribution and shareholder servicing for these classes and pays a portion of it to institutions that provide such services. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by each class during any year may be more or less than the cost of distribution and other services provided to that class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Trust's Plans comply with those rules.
Class A shares of each Fund (except Long Short Credit and Multi-Asset Income) are generally sold with an initial sales charge of up to 5.75%. Class A shares of Long Short Credit and Multi-Asset Income are generally sold with an initial sales charge of up to 4.25%. Class A shares of each Fund are generally sold with no contingent deferred sales charge ("CDSC"), except that a CDSC of 1.00% applies to certain redemptions made within 18 months following purchases of $1 million or more without an initial sales charge. Class C shares of each Fund are sold with no initial sales charge and a 1.00% CDSC if shares are sold within one year after purchase.
151
For the six months ended April 30, 2018, Neuberger Berman, acting as underwriter and broker-dealer, received net initial sales charges from the purchase of Class A shares and CDSCs from the redemption of Class A and Class C shares as follows:
Underwriter | Broker-Dealer | ||||||||||||||||||
Net Initial Sales Charge | CDSC | Net Initial Sales Charge | CDSC | ||||||||||||||||
Global Allocation Class A | $ | 300 | $ | — | $ | — | $ | — | |||||||||||
Global Allocation Class C | — | 36 | — | — | |||||||||||||||
Hedged Option Premium Strategy Class A | — | — | — | — | |||||||||||||||
Hedged Option Premium Strategy Class C | — | — | — | — | |||||||||||||||
Long Short Class A | 17,090 | — | — | — | |||||||||||||||
Long Short Class C | — | 787 | — | — | |||||||||||||||
Long Short Credit Class A | 85 | — | — | — | |||||||||||||||
Long Short Credit Class C | — | — | — | — | |||||||||||||||
Multi-Asset Income Class A | 2 | — | — | — | |||||||||||||||
Multi-Asset Income Class C | — | — | — | — | |||||||||||||||
Risk Balanced Commodity Strategy Class A | 150 | — | — | — | |||||||||||||||
Risk Balanced Commodity Strategy Class C | — | — | — | — | |||||||||||||||
U.S. Equity Index PutWrite Strategy Class A | 6,776 | — | — | — | |||||||||||||||
U.S. Equity Index PutWrite Strategy Class C | — | — | — | — |
For the year ended October 31, 2017, Long Short recorded a capital contribution from Management in the amount of $37,124. This amount was paid in connection with losses incurred in the execution of trades.
Note C—Securities Transactions:
During the six months ended April 30, 2018, there were purchase and sale transactions of long-term securities (excluding swaps, futures, forward contracts, swaptions and option contracts) as follows:
(000's omitted) | Purchases of U.S. Government and Agency Obligations | Purchases excluding U.S. Government and Agency Obligations | Securities Sold Short | Sales and Maturities of U.S. Government and Agency Obligations | Sales and Maturities excluding U.S. Government and Agency Obligations | Covers on Securities Sold Short | |||||||||||||||||||||
Global Allocation | $ | 8,872 | $ | 6,126 | $ | — | $ | 8,660 | $ | 6,472 | $ | — | |||||||||||||||
Hedged Option Premium Strategy | 5,686 | — | — | — | — | — | |||||||||||||||||||||
Long Short | — | 1,233,820 | 411,581 | — | 925,376 | 414,768 | |||||||||||||||||||||
Long Short Credit | — | 16,883 | — | — | 13,967 | — | |||||||||||||||||||||
Multi-Asset Income | 17,358 | 9,474 | — | 17,689 | 7,866 | — |
152
(000's omitted) | Purchases of U.S. Government and Agency Obligations | Purchases excluding U.S. Government and Agency Obligations | Securities Sold Short | Sales and Maturities of U.S. Government and Agency Obligations | Sales and Maturities excluding U.S. Government and Agency Obligations | Covers on Securities Sold Short | |||||||||||||||||||||
Risk Balanced Commodity Strategy | $ | — | $ | 62,306 | $ | — | $ | — | $ | 43,887 | $ | — | |||||||||||||||
U.S. Equity Index PutWrite Strategy | 136,889 | — | — | 10,700 | — | — |
During the six months ended April 30, 2018, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2018 and for the year ended October 31, 2017 was as follows:
For the Six Months Ended April 30, 2018 | For the Year Ended October 31, 2017 | ||||||||||||||||||||||||||||||||||
(000's omitted) | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | |||||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||||||
Institutional Class | 282 | 59 | (233 | ) | 108 | 615 | 4 | (441 | ) | 178 | |||||||||||||||||||||||||
Class A | 11 | 16 | (64 | ) | (37 | ) | 123 | — | (373 | ) | (250 | ) | |||||||||||||||||||||||
Class C | 0 | (b) | 11 | (40 | ) | (29 | ) | 20 | — | (211 | ) | (191 | ) | ||||||||||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | 422 | 6 | (121 | ) | 307 | 337 | 0 | (b) | (0 | )(b) | 337 | (a) | |||||||||||||||||||||||
Class A | — | — | — | — | 1 | — | — | 1 | (a) | ||||||||||||||||||||||||||
Class C | — | 0 | (b) | — | 0 | (b) | 1 | — | — | 1 | (a) | ||||||||||||||||||||||||
Class R6 | — | — | — | — | 78 | — | — | 78 | (a) | ||||||||||||||||||||||||||
Long Short | |||||||||||||||||||||||||||||||||||
Institutional Class | 41,364 | — | (24,619 | ) | 16,745 | 88,065 | — | (50,080 | ) | 37,985 | |||||||||||||||||||||||||
Class A | 1,179 | — | (2,660 | ) | (1,481 | ) | 3,529 | — | (9,532 | ) | (6,003 | ) | |||||||||||||||||||||||
Class C | 322 | — | (878 | ) | (556 | ) | 688 | — | (3,428 | ) | (2,740 | ) | |||||||||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||||||||||
Institutional Class | 541 | 26 | (585 | ) | (18 | ) | 522 | 69 | (1,312 | ) | (721 | ) | |||||||||||||||||||||||
Class A | 117 | 2 | (212 | ) | (93 | ) | 224 | 7 | (22 | ) | 209 | ||||||||||||||||||||||||
Class C | 17 | 0 | (b) | (0 | )(b) | 17 | 2 | 0 | (b) | (1 | ) | 1 | |||||||||||||||||||||||
Class R6 | 2 | 2 | (111 | ) | (107 | ) | 23 | 6 | (49 | ) | (20 | ) |
153
For the Six Months Ended April 30, 2018 | For the Year Ended October 31, 2017 | ||||||||||||||||||||||||||||||||||
(000's omitted) | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | |||||||||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||||||
Institutional Class | 160 | 40 | (87 | ) | 113 | 553 | 57 | (198 | ) | 412 | |||||||||||||||||||||||||
Class A | 20 | 0 | (b) | (0 | )(b) | 20 | 1 | 0 | (b) | (1 | ) | 0 | (b) | ||||||||||||||||||||||
Class C | — | 0 | (b) | (0 | )(b) | 0 | (b) | 6 | 0 | (b) | (1 | ) | 5 | ||||||||||||||||||||||
Class R6 | — | — | — | — | — | 5 | (3 | ) | 2 | ||||||||||||||||||||||||||
Risk Balanced Commodity Strategy | |||||||||||||||||||||||||||||||||||
Institutional Class | 2,837 | 516 | (707 | ) | 2,646 | 7,424 | — | (2,530 | ) | 4,894 | |||||||||||||||||||||||||
Class A | 685 | 249 | (350 | ) | 584 | 2,710 | — | (1,568 | ) | 1,142 | |||||||||||||||||||||||||
Class C | 1 | 0 | (b) | — | 1 | — | — | (10 | ) | (10 | ) | ||||||||||||||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||||||||||
Institutional Class | 17,393 | 870 | (2,830 | ) | 15,433 | 12,745 | 43 | (1,475 | ) | 11,313 | |||||||||||||||||||||||||
Class A | 309 | 26 | (74 | ) | 261 | 364 | 0 | (b) | (46 | ) | 318 | ||||||||||||||||||||||||
Class C | 45 | 3 | (0 | )(b) | 48 | 36 | 0 | (b) | — | 36 | |||||||||||||||||||||||||
Class R6 | 855 | 79 | (343 | ) | 591 | 998 | 5 | (401 | ) | 602 |
(a) Period from April 12, 2017 (Commencement of Operations) to October 31, 2017.
(b) A zero balance reflects actual amounts rounding to less than one thousand.
Note E—Line of Credit:
At April 30, 2018, each Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. Each Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by such Fund and other costs incurred by such Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that an individual Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility for any Fund at April 30, 2018.
During the period ended April 30, 2018, none of the Funds utilized the Credit Facility.
154
Note F—Investments In Affiliates(a):
Balance of Shares Held October 31, 2017 | Gross Purchases and Additions | Gross Sales and Reductions | Balance of Shares Held April 30, 2018 | Value April 30, 2018 | Distributions from Investments in Affiliated Issuers(b) | Net Realized Gain/(Loss) from Investments in Affiliated Issuers | Change in Net Unrealized Appreciation/ (Depreciation) from Investments in Affiliated Issuers | ||||||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 56,739 | 58,177 | — | 114,916 | $ | 1,034,246 | $ | 22,624 | $ | — | $ | (13,282 | ) | ||||||||||||||||||||||
Neuberger Berman Emerging Markets Equity Fund Class R6 | 60,542 | 2,161 | 2,809 | 59,894 | 1,266,157 | 8,129 | 14,739 | 8,247 | |||||||||||||||||||||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 43,487 | 886 | — | 44,373 | 440,179 | 8,974 | — | (1,315 | ) | ||||||||||||||||||||||||||
Neuberger Berman Genesis Fund Class R6(c) | 21,225 | 3,582 | 8,157 | 16,650 | 957,892 | 165,517 | 23,591 | (129,018 | ) | ||||||||||||||||||||||||||
Neuberger Berman High Income Bond Fund Class R6 | 133,662 | 3,349 | 23,015 | 113,996 | 967,827 | 28,148 | (568 | ) | (38,210 | ) | |||||||||||||||||||||||||
Neuberger Berman International Select Fund Class R6 | 279,073 | 12,008 | 57,795 | 233,286 | 3,051,378 | 41,040 | 124,009 | (63,245 | ) | ||||||||||||||||||||||||||
Long Short Credit Fund Class R6 | 73,328 | 2,954 | 32,415 | 43,867 | 411,032 | 8,206 | 3,032 | $ | (17,822 | ) | |||||||||||||||||||||||||
Risk Balanced Commodity Strategy Fund Institutional Class | 144,206 | 77,860 | 6,178 | 215,888 | 1,424,862 | 33,237 | (4,726 | ) | 49,202 | ||||||||||||||||||||||||||
U.S. Equity Index PutWrite Strategy Class R6 | 91,300 | 43,755 | 8,431 | 126,624 | $ | 1,340,953 | $ | 55,478 | $ | 4,565 | $ | (64,430 | ) | ||||||||||||||||||||||
Total(d) | $ | 10,894,526 | $ | 371,353 | $ | 164,642 | $ | (269,873 | ) | ||||||||||||||||||||||||||
Long Short | |||||||||||||||||||||||||||||||||||
Hudson Ltd. Class A | — | 2,702,300 | 12,300 | 2,690,000 | $ | 39,892,700 | $ | — | * | $ | (45,875 | ) | $ | (10,240,016 | ) | ||||||||||||||||||||
Total(d) | $ | 39,892,700 | $ | — | $ | (45,875 | ) | $ | (10,240,016 | ) |
155
Balance of Shares Held October 31, 2017 | Gross Purchases and Additions | Gross Sales and Reductions | Balance of Shares Held April 30, 2018 | Value April 30, 2018 | Distributions from Investments in Affiliated Issuers(b) | Net Realized Gain/(Loss) from Investments in Affiliated Issuers | Change in Net Unrealized Appreciation/ (Depreciation) from Investments in Affiliated Issuers | ||||||||||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 114,486 | 43,992 | — | 158,478 | $ | 1,426,306 | $ | 36,923 | $ | — | $ | (2,268 | ) | ||||||||||||||||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 106,866 | 2,178 | — | 109,044 | 1,081,716 | 22,054 | — | (3,232 | ) | ||||||||||||||||||||||||||
Neuberger Berman High Income Bond Fund Class R6 | 245,375 | 6,353 | 28,769 | 222,959 | 1,892,921 | 53,957 | (470 | ) | (73,436 | ) | |||||||||||||||||||||||||
Neuberger Berman Long Short Credit Fund Class R6 | 48,970 | 802 | — | 49,772 | 466,367 | 7,564 | — | (13,762 | ) | ||||||||||||||||||||||||||
Total(d) | $ | 4,867,310 | $ | 120,498 | $ | (470 | ) | $ | (92,698 | ) |
(a) Affiliated issuers, as defined in the 1940 Act.
(b) Distributions received include distributions from net investment income and net realized capital gains, if any, from the Underlying Fund.
(c) After the close of business on December 8, 2017, the Neuberger Berman Genesis Fund Class R6 underwent a stock split at a rate of 1.0003. The capital share activity presented here has been retroactively adjusted to reflect this split.
(d) At April 30, 2018, these securities amounted to approximately 52.5%, 1.2% and 20.6% of net assets of Global Allocation, Long Short and Multi-Asset Income, respectively.
* Security did not produce income during the period.
Other: At April 30, 2018, Global Allocation held 1.78%, 0.93% and 0.41% of the outstanding shares of Long Short Credit, Risk Balanced Commodity Strategy and U.S. Equity Index PutWrite Strategy, respectively. Multi-Asset Income held 2.00% of the outstanding shares of Long Short Credit.
In addition, at April 30, 2018, there were affiliated investors owning 1.55%, 27.60%, 6.82%, 62.66% and 0.03% of Global Allocation's, Hedged Option Premium Strategy's Long Short Credit's, Multi-Asset Income's and U.S. Equity Index PutWrite Strategy's outstanding shares, respectively.
156
Note G—Custodian Out-of-Pocket Expenses Refunded:
In May 2016, Long Short's custodian, State Street, announced that it had identified inconsistencies in the way in which Long Short was invoiced for categories of expenses, particularly those deemed "out-of-pocket" costs, from 1998 through November 2015. The amounts in the table below represent the refunded expenses and interest determined to be payable to Long Short for the period in question. These amounts were refunded to Long Short by State Street during the year ended October 31, 2017.
Expenses Refunded | Interest Paid to the Fund | ||||||||||
Long Short | $ | 5,171 | $ | 32 |
Note H—Recent Accounting Pronouncement:
On August 26, 2016, FASB issued a new ASU No. 2016-15, "Statement of Cash Flows (Topic 230), Classification of Certain Cash Receipts and Cash Payments, a consensus of the FASB's Emerging Issues Task Force" ("ASU 2016-15"). ASU 2016-15 is intended to reduce diversity in practice in how certain transactions are classified in the statement of cash flows. The types of transactions addressed in ASU 2016-15 are debt prepayment or debt extinguishment costs, settlement of zero-coupon debt instruments, contingent consideration payments made after a business combination, proceeds from the settlement of insurance claims, proceeds from the settlement of corporate-owned life insurance, distributions received from equity method investees, and beneficial interests in securitization transactions. The amendments also clarify how the predominance principle should be applied. ASU 2016-15 is effective for interim and annual reporting periods beginning after December 15, 2017. Management is currently evaluating the impact, if any, of applying this provision.
In November 2016, FASB issued a new ASU No. 2016-18, "Statement of Cash Flows (Topic 230), Restricted Cash" ("ASU 2016-18"). ASU 2016-18 requires that a statement of cash flows show the changes during the period in the total of cash, cash equivalents, restricted cash and restricted cash equivalents. ASU 2016-18 is effective for interim and annual reporting periods beginning after December 15, 2017. Management is currently evaluating the impact, if any, of applying this guidance.
In March 2017, FASB issued Accounting Standards Update No. 2017-08, "Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities" ("ASU 2017-08"). ASU 2017-08 shortens the amortization period to the earliest call date for certain purchased callable debt securities held at a premium. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact of applying this guidance.
Note I—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of each Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
157
Financial Highlights
The following tables include selected data for a share outstanding throughout each year and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. Net Asset amounts with a zero balance, if any, may reflect actual amounts rounding to less than $0.1 million. A "-" indicates that the line item was not applicable in the corresponding period.
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 12.14 | $ | 0.15 | $ | 0.09 | $ | 0.24 | $ | (0.22 | ) | $ | (0.42 | ) | $ | — | $ | (0.64 | ) | $ | — | $ | 11.74 | ||||||||||||||||||||
10/31/2017 | $ | 10.49 | $ | 0.18 | $ | 1.52 | $ | 1.70 | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | 12.14 | |||||||||||||||||||||
10/31/2016 | $ | 10.42 | $ | 0.10 | $ | (0.01 | ) | $ | 0.09 | $ | (0.00 | ) | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | — | $ | 10.49 | |||||||||||||||||||
10/31/2015 | $ | 10.81 | $ | 0.06 | $ | (0.17 | ) | $ | (0.11 | ) | $ | (0.28 | ) | $ | (0.00 | ) | $ | — | $ | (0.28 | ) | $ | — | $ | 10.42 | ||||||||||||||||||
10/31/2014 | $ | 11.63 | $ | (0.12 | ) | $ | 0.29 | $ | 0.17 | $ | (0.99 | ) | $ | — | $ | — | $ | (0.99 | ) | $ | 0.00 | $ | 10.81 | ||||||||||||||||||||
10/31/2013 | $ | 10.30 | $ | (0.09 | ) | $ | 1.57 | $ | 1.48 | $ | (0.15 | ) | $ | — | $ | — | $ | (0.15 | ) | $ | — | $ | 11.63 | ||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 12.04 | $ | 0.13 | $ | 0.08 | $ | 0.21 | $ | (0.18 | ) | $ | (0.42 | ) | $ | — | $ | (0.60 | ) | $ | — | $ | 11.65 | ||||||||||||||||||||
10/31/2017 | $ | 10.40 | $ | 0.14 | $ | 1.50 | $ | 1.64 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 12.04 | |||||||||||||||||||||||
10/31/2016 | $ | 10.36 | $ | 0.06 | $ | (0.00 | ) | $ | 0.06 | $ | — | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | — | $ | 10.40 | ||||||||||||||||||||
10/31/2015 | $ | 10.76 | $ | 0.02 | $ | (0.18 | ) | $ | (0.16 | ) | $ | (0.24 | ) | $ | (0.00 | ) | $ | — | $ | (0.24 | ) | $ | — | $ | 10.36 | ||||||||||||||||||
10/31/2014 | $ | 11.57 | $ | (0.16 | ) | $ | 0.29 | $ | 0.13 | $ | (0.94 | ) | $ | — | $ | — | $ | (0.94 | ) | $ | 0.00 | $ | 10.76 | ||||||||||||||||||||
10/31/2013 | $ | 10.25 | $ | (0.14 | ) | $ | 1.58 | $ | 1.44 | $ | (0.12 | ) | $ | — | $ | — | $ | (0.12 | ) | $ | — | $ | 11.57 | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 11.66 | $ | 0.08 | $ | 0.08 | $ | 0.16 | $ | (0.07 | ) | $ | (0.42 | ) | $ | — | $ | (0.49 | ) | $ | — | $ | 11.33 | ||||||||||||||||||||
10/31/2017 | $ | 10.14 | $ | 0.05 | $ | 1.47 | $ | 1.52 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 11.66 | |||||||||||||||||||||||
10/31/2016 | $ | 10.18 | $ | (0.01 | ) | $ | (0.01 | ) | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | — | $ | 10.14 | ||||||||||||||||||
10/31/2015 | $ | 10.60 | $ | (0.06 | ) | $ | (0.18 | ) | $ | (0.24 | ) | $ | (0.18 | ) | $ | (0.00 | ) | $ | — | $ | (0.18 | ) | $ | — | $ | 10.18 | |||||||||||||||||
10/31/2014 | $ | 11.43 | $ | (0.25 | ) | $ | 0.30 | $ | 0.05 | $ | (0.88 | ) | $ | — | $ | — | $ | (0.88 | ) | $ | 0.00 | $ | 10.60 | ||||||||||||||||||||
10/31/2013 | $ | 10.13 | $ | (0.21 | ) | $ | 1.55 | $ | 1.34 | $ | (0.04 | ) | $ | — | $ | — | $ | (0.04 | ) | $ | — | $ | 11.43 |
See Notes to Financial Highlights
158
Total Returna | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | 1.99 | %* | $ | 14.7 | 3.19 | %** | 3.19 | %Ø** | 0.46 | %** | 0.46 | %Ø** | 2.50 | %** | 40 | %b* | 40 | %bØ* | |||||||||||||||||||||
10/31/2017 | 16.24 | % | $ | 13.9 | 3.59 | %h | 3.56 | % | 0.49 | %h | 0.46 | % | 1.63 | %h | 113 | %b | 101 | %b | |||||||||||||||||||||
10/31/2016 | 0.87 | % | $ | 10.1 | 4.17 | % | 3.66 | % | 1.11 | % | 0.60 | % | 0.97 | % | 176 | %b | 174 | %b | |||||||||||||||||||||
10/31/2015 | (1.12 | )% | $ | 8.9 | 3.29 | % | 2.94 | % | 1.03 | % | 0.69 | % | 0.51 | % | 195 | %b | 185 | %b | |||||||||||||||||||||
10/31/2014 | 1.37 | %c | $ | 12.5 | 3.25 | % | 2.72 | % | 1.50 | % | 0.98 | % | (1.12 | )% | 228 | % | 216 | % | |||||||||||||||||||||
10/31/2013 | 14.56 | % | $ | 17.2 | 3.23 | % | 2.73 | % | 1.48 | % | 0.98 | % | (0.85 | )% | 187 | % | 158 | % | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | 1.75 | %* | $ | 3.3 | 3.59 | %** | 3.59 | %Ø** | 0.82 | %** | 0.82 | %Ø** | 2.23 | %** | 40 | %b* | 40 | %bØ* | |||||||||||||||||||||
10/31/2017 | 15.77 | % | $ | 3.9 | 4.10 | %h | 4.05 | % | 0.89 | %h | 0.84 | % | 1.27 | %h | 113 | %b | 101 | %b | |||||||||||||||||||||
10/31/2016 | 0.59 | % | $ | 5.9 | 4.53 | % | 4.01 | % | 1.49 | % | 0.96 | % | 0.64 | % | 176 | %b | 174 | %b | |||||||||||||||||||||
10/31/2015 | (1.52 | )% | $ | 8.1 | 3.69 | % | 3.34 | % | 1.39 | % | 1.04 | % | 0.16 | % | 195 | %b | 185 | %b | |||||||||||||||||||||
10/31/2014 | 1.03 | %c | $ | 9.6 | 3.68 | % | 3.16 | % | 1.86 | % | 1.35 | % | (1.49 | )% | 228 | % | 216 | % | |||||||||||||||||||||
10/31/2013 | 14.15 | % | $ | 7.9 | 3.58 | % | 3.07 | % | 1.84 | % | 1.33 | % | (1.25 | )% | 187 | % | 158 | % | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | 1.39 | %* | $ | 2.8 | 4.32 | %** | 4.32 | %Ø** | 1.57 | %** | 1.57 | %Ø** | 1.45 | %** | 40 | %b* | 40 | %bØ* | |||||||||||||||||||||
10/31/2017 | 14.99 | % | $ | 3.2 | 4.84 | %h | 4.79 | % | 1.63 | %h | 1.59 | % | 0.50 | %h | 113 | %b | 101 | %b | |||||||||||||||||||||
10/31/2016 | (0.19 | )% | $ | 4.7 | 5.26 | % | 4.74 | % | 2.24 | % | 1.71 | % | (0.10 | )% | 176 | %b | 174 | %b | |||||||||||||||||||||
10/31/2015 | (2.29 | )% | $ | 6.6 | 4.45 | % | 4.10 | % | 2.14 | % | 1.79 | % | (0.57 | )% | 195 | %b | 185 | %b | |||||||||||||||||||||
10/31/2014 | 0.30 | %c | $ | 7.0 | 4.46 | % | 3.95 | % | 2.63 | % | 2.11 | % | (2.27 | )% | 228 | % | 216 | % | |||||||||||||||||||||
10/31/2013 | 13.30 | % | $ | 4.9 | 4.35 | % | 3.85 | % | 2.59 | % | 2.09 | % | (1.99 | )% | 187 | % | 158 | % |
159
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 25.41 | $ | 0.11 | $ | (1.00 | ) | $ | (0.89 | ) | $ | (0.07 | ) | $ | (0.22 | ) | $ | — | $ | (0.29 | ) | $ | — | $ | 24.23 | ||||||||||||||||||
Period from 4/12/2017^ to 10/31/2017 | $ | 25.00 | $ | 0.09 | $ | 0.39 | $ | 0.48 | $ | (0.07 | ) | $ | — | $ | — | $ | (0.07 | ) | $ | — | $ | 25.41 | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 25.41 | $ | 0.06 | $ | (0.99 | ) | $ | (0.93 | ) | $ | (0.03 | ) | $ | (0.22 | ) | $ | — | $ | (0.25 | ) | $ | — | $ | 24.23 | ||||||||||||||||||
Period from 4/12/2017^ to 10/31/2017 | $ | 25.00 | $ | 0.03 | $ | 0.41 | $ | 0.44 | $ | (0.03 | ) | $ | — | $ | — | $ | (0.03 | ) | $ | — | $ | 25.41 | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 25.33 | $ | (0.03 | ) | $ | (0.99 | ) | $ | (1.02 | ) | $ | — | $ | (0.22 | ) | $ | — | $ | (0.22 | ) | $ | — | $ | 24.09 | ||||||||||||||||||
Period from 4/12/2017^ to 10/31/2017 | $ | 25.00 | $ | (0.07 | ) | $ | 0.40 | $ | 0.33 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 25.33 | ||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 25.41 | $ | 0.12 | $ | (0.99 | ) | $ | (0.87 | ) | $ | (0.08 | ) | $ | (0.22 | ) | $ | — | $ | (0.30 | ) | $ | — | $ | 24.24 | ||||||||||||||||||
Period from 4/12/2017^ to 10/31/2017 | $ | 25.00 | $ | 0.09 | $ | 0.40 | $ | 0.49 | $ | (0.08 | ) | $ | — | $ | — | $ | (0.08 | ) | $ | — | $ | 25.41 |
See Notes to Financial Highlights
160
Total Returna | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (3.52 | )%* | $ | 15.6 | 2.91 | %** | 2.91 | %Ø** | 0.65 | %** | 0.65 | %Ø** | 0.94 | %** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Period from 4/12/2017^ to 10/31/2017 | 1.92 | %* | $ | 8.6 | 6.75 | %‡** | 6.75 | %؇** | 0.65 | %‡** | 0.65 | %؇** | 0.62 | %‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (3.70 | )%* | $ | 0.0 | 3.67 | %** | 3.67 | %Ø** | 1.01 | %** | 1.01 | %Ø** | 0.52 | %** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Period from 4/12/2017^ to 10/31/2017 | 1.74 | %* | $ | 0.0 | 7.39 | %‡** | 7.39 | %؇** | 1.01 | %‡** | 1.01 | %؇** | 0.24 | %‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (4.07 | )%* | $ | 0.0 | 4.34 | %** | 4.34 | %Ø** | 1.76 | %** | 1.76 | %Ø** | (0.23 | )%** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Period from 4/12/2017^ to 10/31/2017 | 1.32 | %* | $ | 0.0 | 8.10 | %‡** | 8.10 | %؇** | 1.76 | %‡** | 1.76 | %؇** | (0.50 | )%‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (3.45 | )%* | $ | 1.9 | 2.90 | %** | 2.90 | %Ø** | 0.58 | %** | 0.58 | %Ø** | 0.95 | %** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Period from 4/12/2017^ to 10/31/2017 | 1.95 | %* | $ | 2.0 | 6.69 | %‡** | 6.69 | %؇** | 0.58 | %‡** | 0.58 | %؇** | 0.67 | %‡** | 0 | %* | 0 | %Ø* |
161
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 14.21 | $ | 0.01 | $ | 0.32 | $ | 0.33 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 14.54 | |||||||||||||||||||||||
10/31/2017 | $ | 12.74 | $ | 0.02 | $ | 1.45 | $ | 1.47 | $ | — | $ | — | $ | — | $ | — | $ | 0.00 | $ | 14.21 | |||||||||||||||||||||||
10/31/2016 | $ | 12.76 | $ | (0.03 | ) | $ | 0.01 | $ | (0.02 | ) | $ | (0.00 | ) | $ | — | $ | — | $ | (0.00 | ) | $ | — | $ | 12.74 | |||||||||||||||||||
10/31/2015 | $ | 13.02 | $ | 0.02 | $ | (0.21 | ) | $ | (0.19 | ) | $ | (0.02 | ) | $ | (0.05 | ) | $ | — | $ | (0.07 | ) | $ | — | $ | 12.76 | ||||||||||||||||||
10/31/2014 | $ | 12.48 | $ | 0.02 | $ | 0.58 | $ | 0.60 | $ | — | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 0.00 | $ | 13.02 | |||||||||||||||||||||
10/31/2013 | $ | 11.09 | $ | 0.01 | $ | 1.47 | $ | 1.48 | $ | (0.01 | ) | $ | (0.08 | ) | $ | — | $ | (0.09 | ) | $ | — | $ | 12.48 | ||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 13.96 | $ | (0.01 | ) | $ | 0.31 | $ | 0.30 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 14.26 | ||||||||||||||||||||||
10/31/2017 | $ | 12.56 | $ | (0.02 | ) | $ | 1.42 | $ | 1.40 | $ | — | $ | — | $ | — | $ | — | $ | 0.00 | $ | 13.96 | ||||||||||||||||||||||
10/31/2016 | $ | 12.62 | $ | (0.07 | ) | $ | 0.01 | $ | (0.06 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 12.56 | |||||||||||||||||||||
10/31/2015 | $ | 12.91 | $ | (0.03 | ) | $ | (0.21 | ) | $ | (0.24 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | 12.62 | ||||||||||||||||||
10/31/2014 | $ | 12.41 | $ | (0.03 | ) | $ | 0.58 | $ | 0.55 | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 0.00 | $ | 12.91 | ||||||||||||||||||||
10/31/2013 | $ | 11.06 | $ | (0.03 | ) | $ | 1.47 | $ | 1.44 | $ | (0.01 | ) | $ | (0.08 | ) | $ | — | $ | (0.09 | ) | $ | — | $ | 12.41 | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 13.38 | $ | (0.06 | ) | $ | 0.30 | $ | 0.24 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 13.62 | ||||||||||||||||||||||
10/31/2017 | $ | 12.13 | $ | (0.12 | ) | $ | 1.37 | $ | 1.25 | $ | — | $ | — | $ | — | $ | — | $ | 0.00 | $ | 13.38 | ||||||||||||||||||||||
10/31/2016 | $ | 12.29 | $ | (0.16 | ) | $ | 0.00 | $ | (0.16 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 12.13 | |||||||||||||||||||||
10/31/2015 | $ | 12.66 | $ | (0.12 | ) | $ | (0.20 | ) | $ | (0.32 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | 12.29 | ||||||||||||||||||
10/31/2014 | $ | 12.26 | $ | (0.12 | ) | $ | 0.57 | $ | 0.45 | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 0.00 | $ | 12.66 | ||||||||||||||||||||
10/31/2013 | $ | 10.99 | $ | (0.12 | ) | $ | 1.46 | $ | 1.34 | $ | (0.00 | ) | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | — | $ | 12.26 |
See Notes to Financial Highlights
162
Total Returna | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | 2.32 | %* | $ | 3,163.4 | 1.64 | %** | 1.31 | %** | 1.64 | %** | 1.31 | %** | 0.20 | %** | 41 | %* | 34 | %* | |||||||||||||||||||||
10/31/2017 | 11.54 | %dg | $ | 2,853.0 | 1.80 | % | 1.33 | % | 1.80 | %e | 1.32 | %e | 0.12 | %e | 80 | % | 64 | % | |||||||||||||||||||||
10/31/2016 | (0.14 | )% | $ | 2,074.7 | 1.91 | % | 1.33 | % | 1.91 | % | 1.33 | % | (0.22 | )% | 86 | % | 72 | % | |||||||||||||||||||||
10/31/2015 | (1.45 | )% | $ | 2,719.8 | 1.66 | % | 1.31 | % | 1.66 | % | 1.31 | % | 0.16 | % | 91 | % | 69 | % | |||||||||||||||||||||
10/31/2014 | 4.83 | %c | $ | 2,627.8 | 1.72 | % | 1.48 | % | 1.72 | % | 1.48 | % | 0.17 | % | 61 | % | 44 | % | |||||||||||||||||||||
10/31/2013 | 13.47 | % | $ | 1,038.2 | 1.75 | % | 1.60 | % | 1.75 | %§ | 1.60 | %§ | 0.10 | % | 103 | % | 52 | % | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | 2.15 | %* | $ | 127.6 | 2.01 | %** | 1.67 | %** | 2.00 | %** | 1.67 | %** | (0.16 | )%** | 41 | %* | 34 | %* | |||||||||||||||||||||
10/31/2017 | 11.15 | %dg | $ | 145.6 | 2.16 | % | 1.68 | % | 2.16 | %e | 1.68 | %e | (0.18 | )%e | 80 | % | 64 | % | |||||||||||||||||||||
10/31/2016 | (0.48 | )% | $ | 206.4 | 2.28 | % | 1.69 | % | 2.28 | % | 1.69 | % | (0.59 | )% | 86 | % | 72 | % | |||||||||||||||||||||
10/31/2015 | (1.89 | )% | $ | 361.7 | 2.03 | % | 1.68 | % | 2.03 | % | 1.68 | % | (0.20 | )% | 91 | % | 69 | % | |||||||||||||||||||||
10/31/2014 | 4.47 | %c | $ | 388.6 | 2.09 | % | 1.85 | % | 2.09 | % | 1.85 | % | (0.20 | )% | 61 | % | 44 | % | |||||||||||||||||||||
10/31/2013 | 13.08 | % | $ | 502.1 | 2.08 | % | 1.94 | % | 2.08 | %§ | 1.94 | %§ | (0.23 | )% | 103 | % | 52 | % | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | 1.79 | %* | $ | 86.8 | 2.75 | %** | 2.42 | %** | 2.75 | %** | 2.42 | %** | (0.91 | )%** | 41 | %* | 34 | %* | |||||||||||||||||||||
10/31/2017 | 10.31 | %dg | $ | 92.7 | 2.90 | % | 2.43 | % | 2.90 | %e | 2.43 | %e | (0.94 | )%e | 80 | % | 64 | % | |||||||||||||||||||||
10/31/2016 | (1.30 | )% | $ | 117.3 | 3.02 | % | 2.44 | % | 3.02 | % | 2.44 | % | (1.33 | )% | 86 | % | 72 | % | |||||||||||||||||||||
10/31/2015 | (2.56 | )% | $ | 190.6 | 2.77 | % | 2.42 | % | 2.77 | % | 2.42 | % | (0.94 | )% | 91 | % | 69 | % | |||||||||||||||||||||
10/31/2014 | 3.71 | %c | $ | 211.0 | 2.84 | % | 2.60 | % | 2.84 | % | 2.60 | % | (0.94 | )% | 61 | % | 44 | % | |||||||||||||||||||||
10/31/2013 | 12.23 | % | $ | 115.1 | 2.83 | % | 2.68 | % | 2.83 | %§ | 2.68 | %§ | (1.00 | )% | 103 | % | 52 | % |
163
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Long Short Credit Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 9.65 | $ | 0.24 | $ | (0.37 | ) | $ | (0.13 | ) | $ | (0.15 | ) | $ | — | $ | — | $ | (0.15 | ) | $ | — | $ | 9.37 | |||||||||||||||||||
10/31/2017 | $ | 9.53 | $ | 0.37 | $ | 0.13 | $ | 0.50 | $ | (0.38 | ) | $ | — | $ | — | $ | (0.38 | ) | $ | — | $ | 9.65 | |||||||||||||||||||||
10/31/2016 | $ | 9.75 | $ | 0.15 | $ | (0.18 | ) | $ | (0.03 | ) | $ | (0.19 | ) | $ | — | $ | — | $ | (0.19 | ) | $ | — | $ | 9.53 | |||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.02 | $ | (0.23 | ) | $ | (0.21 | ) | $ | (0.04 | ) | $ | — | $ | — | $ | (0.04 | ) | $ | — | $ | 9.75 | |||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 9.65 | $ | 0.23 | $ | (0.38 | ) | $ | (0.15 | ) | $ | (0.13 | ) | $ | — | $ | — | $ | (0.13 | ) | $ | — | $ | 9.37 | |||||||||||||||||||
10/31/2017 | $ | 9.53 | $ | 0.34 | $ | 0.13 | $ | 0.47 | $ | (0.35 | ) | $ | — | $ | — | $ | (0.35 | ) | $ | — | $ | 9.65 | |||||||||||||||||||||
10/31/2016 | $ | 9.75 | $ | 0.11 | $ | (0.17 | ) | $ | (0.06 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | (0.16 | ) | $ | — | $ | 9.53 | |||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.01 | $ | (0.23 | ) | $ | (0.22 | ) | $ | (0.03 | ) | $ | — | $ | — | $ | (0.03 | ) | $ | — | $ | 9.75 | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 9.64 | $ | 0.19 | $ | (0.37 | ) | $ | (0.18 | ) | $ | (0.10 | ) | $ | — | $ | — | $ | (0.10 | ) | $ | — | $ | 9.36 | |||||||||||||||||||
10/31/2017 | $ | 9.53 | $ | 0.26 | $ | 0.12 | $ | 0.38 | $ | (0.27 | ) | $ | — | $ | — | $ | (0.27 | ) | $ | — | $ | 9.64 | |||||||||||||||||||||
10/31/2016 | $ | 9.75 | $ | 0.06 | $ | (0.17 | ) | $ | (0.11 | ) | $ | (0.11 | ) | $ | — | $ | — | $ | (0.11 | ) | $ | — | $ | 9.53 | |||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | $ | 10.00 | $ | (0.01 | ) | $ | (0.23 | ) | $ | (0.24 | ) | $ | (0.01 | ) | $ | — | $ | — | $ | (0.01 | ) | $ | — | $ | 9.75 |
See Notes to Financial Highlights
164
Total Returna | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
Long Short Credit Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (1.35 | )%* | $ | 15.0 | 2.63 | %** | 2.25 | %Ø** | 1.49 | %** | 1.11 | Ø** | 5.13 | %** | 51 | %* | 51 | %Ø* | |||||||||||||||||||||
10/31/2017 | 5.36 | % | $ | 15.7 | 2.23 | % | 2.19 | %Ø | 1.24 | % | 1.21 | %Ø | 3.84 | % | 123 | % | 123 | %Ø | |||||||||||||||||||||
10/31/2016 | (0.28 | )% | $ | 22.3 | 3.22 | % | 2.36 | % | 1.97 | % | 1.10 | % | 1.54 | % | 190 | % | 197 | % | |||||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | (2.06 | )%* | $ | 22.8 | 3.50 | %‡** | 3.45 | %** | 1.21 | %‡** | 1.15 | %** | 0.64 | %‡** | 32 | %* | 18 | %* | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (1.60 | )%* | $ | 2.1 | 3.02 | %** | 2.64 | %Ø** | 1.87 | %** | 1.48 | %Ø** | 4.75 | %** | 51 | %* | 51 | %Ø* | |||||||||||||||||||||
10/31/2017 | 4.98 | % | $ | 3.0 | 2.68 | % | 2.63 | %Ø | 1.62 | % | 1.58 | %Ø | 3.52 | % | 123 | % | 123 | %Ø | |||||||||||||||||||||
10/31/2016 | (0.55 | )% | $ | 1.0 | 3.72 | % | 2.82 | % | 2.29 | % | 1.40 | % | 1.16 | % | 190 | % | 197 | % | |||||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | (2.17 | )%* | $ | 1.3 | 4.28 | %‡** | 4.23 | %** | 1.55 | %‡** | 1.50 | %** | 0.28 | %‡** | 32 | %* | 18 | %* | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (1.83 | )%* | $ | 1.1 | 3.78 | %** | 3.38 | %Ø** | 2.62 | %** | 2.22 | %Ø** | 4.08 | %** | 51 | %* | 51 | %Ø* | |||||||||||||||||||||
10/31/2017 | 4.10 | % | $ | 1.0 | 3.40 | % | 3.36 | %Ø | 2.37 | % | 2.33 | %Ø | 2.74 | % | 123 | % | 123 | %Ø | |||||||||||||||||||||
10/31/2016 | (1.10 | )% | $ | 1.0 | 4.30 | % | 3.47 | % | 2.85 | % | 2.02 | % | 0.64 | % | 190 | % | 197 | % | |||||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | (2.41 | )%* | $ | 1.0 | 5.04 | %‡** | 4.98 | %** | 2.26 | %‡** | 2.20 | %** | (0.43 | )%‡** | 32 | %* | 18 | %* |
165
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Long Short Credit Fund (cont'd) | |||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 9.65 | $ | 0.24 | $ | (0.37 | ) | $ | (0.13 | ) | $ | (0.15 | ) | $ | — | $ | — | $ | (0.15 | ) | $ | — | $ | 9.37 | |||||||||||||||||||
10/31/2017 | $ | 9.54 | $ | 0.38 | $ | 0.12 | $ | 0.50 | $ | (0.39 | ) | $ | — | $ | — | $ | (0.39 | ) | $ | — | $ | 9.65 | |||||||||||||||||||||
10/31/2016 | $ | 9.75 | $ | 0.16 | $ | (0.18 | ) | $ | (0.02 | ) | $ | (0.19 | ) | $ | — | $ | — | $ | (0.19 | ) | $ | — | $ | 9.54 | |||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.02 | $ | (0.22 | ) | $ | (0.20 | ) | $ | (0.05 | ) | $ | — | $ | — | $ | (0.05 | ) | $ | — | $ | 9.75 | |||||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 10.18 | $ | 0.17 | $ | (0.15 | ) | $ | 0.02 | $ | (0.23 | ) | $ | — | $ | — | $ | (0.23 | ) | $ | — | $ | 9.97 | ||||||||||||||||||||
10/31/2017 | $ | 9.60 | $ | 0.32 | $ | 0.62 | $ | 0.94 | $ | (0.35 | ) | $ | — | $ | (0.01 | ) | $ | (0.36 | ) | $ | — | $ | 10.18 | ||||||||||||||||||||
10/31/2016 | $ | 9.43 | $ | 0.31 | $ | 0.25 | $ | 0.56 | $ | (0.30 | ) | $ | — | $ | (0.09 | ) | $ | (0.39 | ) | $ | — | $ | 9.60 | ||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.23 | $ | (0.57 | ) | $ | (0.34 | ) | $ | (0.23 | ) | $ | — | $ | — | $ | (0.23 | ) | $ | — | $ | 9.43 | |||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 10.18 | $ | 0.15 | $ | (0.15 | ) | $ | 0.00 | $ | (0.21 | ) | $ | — | $ | — | $ | (0.21 | ) | $ | — | $ | 9.97 | ||||||||||||||||||||
10/31/2017 | $ | 9.60 | $ | 0.29 | $ | 0.61 | $ | 0.90 | $ | (0.31 | ) | $ | — | $ | (0.01 | ) | $ | (0.32 | ) | $ | — | $ | 10.18 | ||||||||||||||||||||
10/31/2016 | $ | 9.43 | $ | 0.28 | $ | 0.24 | $ | 0.52 | $ | (0.26 | ) | $ | — | $ | (0.09 | ) | $ | (0.35 | ) | $ | — | $ | 9.60 | ||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.20 | $ | (0.56 | ) | $ | (0.36 | ) | $ | (0.21 | ) | $ | — | $ | — | $ | (0.21 | ) | $ | — | $ | 9.43 |
See Notes to Financial Highlights
166
Total Returna | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
Long Short Credit Fund (cont'd) | |||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (1.31 | )%* | $ | 4.8 | 2.54 | %** | 2.18 | %Ø** | 1.41 | %** | 1.05 | %Ø** | 5.14 | %** | 51 | %* | 51 | %Ø* | |||||||||||||||||||||
10/31/2017 | 5.33 | % | $ | 6.0 | 2.20 | % | 2.16 | %Ø | 1.18 | % | 1.14 | %Ø | 3.93 | % | 123 | % | 123 | %Ø | |||||||||||||||||||||
10/31/2016 | (0.12 | )% | $ | 6.1 | 3.05 | % | 2.26 | % | 1.83 | % | 1.04 | % | 1.71 | % | 190 | % | 197 | % | |||||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | (2.03 | )%* | $ | 4.9 | 3.49 | %‡** | 3.44 | %** | 1.14 | %‡** | 1.08 | %** | 0.69 | %‡** | 32 | %* | 18 | %* | |||||||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | 0.16 | %* | $ | 18.1 | 2.59 | %** | 2.59 | %Ø** | 0.55 | %** | 0.55 | %Ø** | 3.32 | %** | 52 | %* | 52 | %bØ* | |||||||||||||||||||||
10/31/2017 | 9.93 | % | $ | 17.3 | 3.03 | % | 3.03 | %Ø | 0.50 | % | 0.50 | %Ø | 3.28 | % | 84 | % | 84 | %bØ | |||||||||||||||||||||
10/31/2016 | 6.09 | % | $ | 12.4 | 3.86 | % | 3.86 | %Ø | 0.44 | % | 0.44 | %Ø | 3.33 | % | 94 | % | 94 | %Ø | |||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | (3.43 | )%* | $ | 10.6 | 3.66 | %‡** | 3.66 | %؇** | 0.43 | %‡** | 0.43 | %؇** | 3.87 | %‡** | 33 | %* | 33 | %Ø* | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (0.02 | )%* | $ | 0.8 | 2.97 | %** | 2.97 | %Ø** | 0.92 | %** | 0.92 | %Ø** | 2.96 | %** | 52 | %* | 52 | %bØ* | |||||||||||||||||||||
10/31/2017 | 9.53 | % | $ | 0.6 | 3.47 | % | 3.47 | %Ø | 0.86 | % | 0.86 | %Ø | 2.90 | % | 84 | % | 84 | %bØ | |||||||||||||||||||||
10/31/2016 | 5.70 | % | $ | 0.6 | 4.27 | % | 4.27 | %Ø | 0.81 | % | 0.81 | %Ø | 2.98 | % | 94 | % | 94 | %Ø | |||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | (3.64 | )%* | $ | 0.5 | 4.55 | %‡** | 4.55 | %؇** | 0.79 | %‡** | 0.79 | %؇** | 3.50 | %‡** | 33 | %* | 33 | %Ø* |
167
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Multi-Asset Income Fund (cont'd) | |||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 10.18 | $ | 0.11 | $ | (0.15 | ) | $ | (0.04 | ) | $ | (0.17 | ) | $ | — | $ | — | $ | (0.17 | ) | $ | — | $ | 9.97 | |||||||||||||||||||
10/31/2017 | $ | 9.60 | $ | 0.21 | $ | 0.62 | $ | 0.83 | $ | (0.24 | ) | $ | — | $ | (0.01 | ) | $ | (0.25 | ) | $ | — | $ | 10.18 | ||||||||||||||||||||
10/31/2016 | $ | 9.43 | $ | 0.20 | $ | 0.25 | $ | 0.45 | $ | (0.19 | ) | $ | — | $ | (0.09 | ) | $ | (0.28 | ) | $ | — | $ | 9.60 | ||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.16 | $ | (0.56 | ) | $ | (0.40 | ) | $ | (0.17 | ) | $ | — | $ | — | $ | (0.17 | ) | $ | — | $ | 9.43 | |||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 10.18 | $ | 0.17 | $ | (0.15 | ) | $ | 0.02 | $ | (0.23 | ) | $ | — | $ | — | $ | (0.23 | ) | $ | — | $ | 9.97 | ||||||||||||||||||||
10/31/2017 | $ | 9.60 | $ | 0.33 | $ | 0.61 | $ | 0.94 | $ | (0.35 | ) | $ | — | $ | (0.01 | ) | $ | (0.36 | ) | $ | — | $ | 10.18 | ||||||||||||||||||||
10/31/2016 | $ | 9.43 | $ | 0.32 | $ | 0.24 | $ | 0.56 | $ | (0.30 | ) | $ | — | $ | (0.09 | ) | $ | (0.39 | ) | $ | — | $ | 9.60 | ||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.23 | $ | (0.57 | ) | $ | (0.34 | ) | $ | (0.23 | ) | $ | — | $ | — | $ | (0.23 | ) | $ | — | $ | 9.43 | |||||||||||||||||||
Risk Balanced Commodity Strategy Fundf | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 6.36 | $ | 0.03 | $ | 0.45 | $ | 0.48 | $ | (0.24 | ) | $ | — | $ | — | $ | (0.24 | ) | $ | — | $ | 6.60 | |||||||||||||||||||||
10/31/2017 | $ | 5.99 | $ | 0.02 | $ | 0.35 | $ | 0.37 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 6.36 | |||||||||||||||||||||||
10/31/2016 | $ | 6.20 | $ | (0.03 | ) | $ | (0.18 | ) | $ | (0.21 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 5.99 | ||||||||||||||||||||
10/31/2015 | $ | 8.39 | $ | (0.05 | ) | $ | (2.14 | ) | $ | (2.19 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | 6.20 | ||||||||||||||||||
10/31/2014 | $ | 9.01 | $ | (0.07 | ) | $ | (0.55 | ) | $ | (0.62 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 8.39 | ||||||||||||||||||||
10/31/2013 | $ | 9.84 | $ | (0.09 | ) | $ | (0.74 | ) | $ | (0.83 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 9.01 |
See Notes to Financial Highlights
168
Total Returna | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
Multi-Asset Income Fund (cont'd) | |||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (0.40 | )%* | $ | 0.7 | 3.71 | %** | 3.71 | %Ø** | 1.67 | %** | 1.67 | %Ø** | 2.20 | %** | 52 | %* | 52 | %bØ* | |||||||||||||||||||||
10/31/2017 | 8.71 | % | $ | 0.7 | 4.16 | % | 4.16 | %Ø | 1.62 | % | 1.62 | %Ø | 2.15 | % | 84 | % | 84 | %bØ | |||||||||||||||||||||
10/31/2016 | 4.91 | % | $ | 0.6 | 4.99 | % | 4.99 | %Ø | 1.56 | % | 1.56 | %Ø | 2.20 | % | 94 | % | 94 | %Ø | |||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | (4.07 | )%* | $ | 0.5 | 5.29 | %‡** | 5.29 | %؇** | 1.53 | %‡** | 1.53 | %؇** | 2.76 | %‡** | 33 | %* | 33 | %Ø* | |||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | 0.19 | %* | $ | 4.0 | 2.52 | %** | 2.52 | %Ø** | 0.48 | %** | 0.48 | %Ø** | 3.39 | %** | 52 | %* | 52 | %bØ* | |||||||||||||||||||||
10/31/2017 | 10.01 | % | $ | 4.1 | 2.97 | % | 2.97 | %Ø | 0.42 | % | 0.42 | %Ø | 3.34 | % | 84 | % | 84 | %bØ | |||||||||||||||||||||
10/31/2016 | 6.16 | % | $ | 3.9 | 3.78 | % | 3.78 | %Ø | 0.37 | % | 0.37 | %Ø | 3.42 | % | 94 | % | 94 | %Ø | |||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | (3.39 | )%* | $ | 3.8 | 3.63 | %‡** | 3.63 | %؇** | 0.36 | %‡** | 0.36 | %؇** | 3.93 | %‡** | 33 | %* | 33 | %Ø* | |||||||||||||||||||||
Risk Balanced Commodity Strategy Fundf | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | 7.89 | %* | $ | 103.7 | 1.03 | %** | 1.03 | %Ø** | 0.74 | %** | 0.74 | %Ø** | 0.95 | %** | 49 | %* | 49 | %Ø* | |||||||||||||||||||||
10/31/2017 | 6.18 | % | $ | 83.1 | 1.18 | % | 1.18 | %Ø | 0.85 | % | 0.85 | %Ø | 0.36 | % | 105 | % | 105 | %Ø | |||||||||||||||||||||
10/31/2016 | (3.39 | )% | $ | 49.0 | 1.65 | % | 1.65 | %Ø | 1.10 | % | 1.10 | %Ø | (0.44 | )% | 58 | % | 58 | %Ø | |||||||||||||||||||||
10/31/2015 | (26.09 | )% | $ | 31.8 | 1.47 | % | 1.47 | %Ø | 1.10 | % | 1.10 | %Ø | (0.67 | )% | 35 | % | 35 | %Ø | |||||||||||||||||||||
10/31/2014 | (6.88 | )% | $ | 20.5 | 1.62 | % | 1.62 | %Ø | 1.10 | % | 1.10 | %Ø | (0.73 | )% | 21 | % | 21 | %Ø | |||||||||||||||||||||
10/31/2013 | (8.43 | )% | $ | 9.6 | 3.69 | % | 3.69 | %Ø | 1.10 | % | 1.10 | %Ø | (0.94 | )% | 5 | % | 5 | %Ø |
169
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
Risk Balanced Commodity Strategy Fundf (cont'd) | |||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 6.24 | $ | 0.02 | $ | 0.44 | $ | 0.46 | $ | (0.22 | ) | $ | — | $ | — | $ | (0.22 | ) | $ | — | $ | 6.48 | |||||||||||||||||||||
10/31/2017 | $ | 5.90 | $ | (0.00 | ) | $ | 0.34 | $ | 0.34 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 6.24 | ||||||||||||||||||||||
10/31/2016 | $ | 6.12 | $ | (0.05 | ) | $ | (0.17 | ) | $ | (0.22 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 5.90 | ||||||||||||||||||||
10/31/2015 | $ | 8.32 | $ | (0.07 | ) | $ | (2.13 | ) | $ | (2.20 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | 6.12 | ||||||||||||||||||
10/31/2014 | $ | 8.97 | $ | (0.10 | ) | $ | (0.55 | ) | $ | (0.65 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 8.32 | ||||||||||||||||||||
10/31/2013 | $ | 9.84 | $ | (0.12 | ) | $ | (0.75 | ) | $ | (0.87 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 8.97 | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 5.95 | $ | (0.01 | ) | $ | 0.44 | $ | 0.43 | $ | (0.13 | ) | $ | — | $ | — | $ | (0.13 | ) | $ | — | $ | 6.25 | ||||||||||||||||||||
10/31/2017 | $ | 5.71 | $ | (0.05 | ) | $ | 0.29 | $ | 0.24 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 5.95 | ||||||||||||||||||||||
10/31/2016 | $ | 5.98 | $ | (0.09 | ) | $ | (0.18 | ) | $ | (0.27 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 5.71 | ||||||||||||||||||||
10/31/2015 | $ | 8.19 | $ | (0.12 | ) | $ | (2.09 | ) | $ | (2.21 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | 5.98 | ||||||||||||||||||
10/31/2014 | $ | 8.88 | $ | (0.16 | ) | $ | (0.53 | ) | $ | (0.69 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 8.19 | ||||||||||||||||||||
10/31/2013 | $ | 9.83 | $ | (0.18 | ) | $ | (0.77 | ) | $ | (0.95 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 8.88 | ||||||||||||||||||||
U.S. Equity Index PutWrite Strategy Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 11.33 | $ | 0.03 | $ | (0.16 | ) | $ | (0.13 | ) | $ | (0.03 | ) | $ | (0.59 | ) | $ | — | $ | (0.62 | ) | $ | — | $ | 10.58 | ||||||||||||||||||
10/31/2017 | $ | 10.09 | $ | 0.05 | $ | 1.26 | $ | 1.31 | $ | (0.04 | ) | $ | (0.03 | ) | $ | — | $ | (0.07 | ) | $ | — | $ | 11.33 | ||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | $ | 10.00 | $ | 0.00 | $ | 0.09 | $ | 0.09 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10.09 |
See Notes to Financial Highlights
170
Total Returna | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
Risk Balanced Commodity Strategy Fundf (cont'd) | |||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | 7.62 | %* | $ | 47.8 | 1.40 | %** | 1.40 | %Ø** | 1.10 | %** | 1.10 | %Ø** | 0.58 | %** | 49 | %* | 49 | %Ø* | |||||||||||||||||||||
10/31/2017 | 5.76 | % | $ | 42.4 | 1.56 | % | 1.56 | %Ø | 1.21 | % | 1.21 | %Ø | (0.02 | )% | 105 | % | 105 | %Ø | |||||||||||||||||||||
10/31/2016 | (3.59 | )% | $ | 33.3 | 2.04 | % | 2.04 | %Ø | 1.46 | % | 1.46 | %Ø | (0.82 | )% | 58 | % | 58 | %Ø | |||||||||||||||||||||
10/31/2015 | (26.43 | )% | $ | 35.5 | 1.84 | % | 1.84 | %Ø | 1.46 | % | 1.46 | %Ø | (1.05 | )% | 35 | % | 35 | %Ø | |||||||||||||||||||||
10/31/2014 | (7.25 | )% | $ | 66.8 | 1.98 | % | 1.98 | %Ø | 1.46 | % | 1.46 | %Ø | (1.09 | )% | 21 | % | 21 | %Ø | |||||||||||||||||||||
10/31/2013 | (8.84 | )% | $ | 35.0 | 3.81 | % | 3.81 | %Ø | 1.46 | % | 1.46 | %Ø | (1.27 | )% | 5 | % | 5 | %Ø | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | 7.37 | %* | $ | 0.0 | 3.04 | %** | 3.04 | %Ø** | 1.85 | %** | 1.85 | %Ø** | (0.17 | )%** | 49 | %* | 49 | %Ø* | |||||||||||||||||||||
10/31/2017 | 4.20 | % | $ | 0.0 | 3.20 | % | 3.20 | %Ø | 2.03 | % | 2.03 | %Ø | (0.92 | )% | 105 | % | 105 | %Ø | |||||||||||||||||||||
10/31/2016 | (4.52 | )% | $ | 0.1 | 3.06 | % | 3.06 | %Ø | 2.21 | % | 2.21 | %Ø | (1.65 | )% | 58 | % | 58 | %Ø | |||||||||||||||||||||
10/31/2015 | (26.98 | )% | $ | 3.1 | 2.70 | % | 2.70 | %Ø | 2.21 | % | 2.21 | %Ø | (1.79 | )% | 35 | % | 35 | %Ø | |||||||||||||||||||||
10/31/2014 | (7.77 | )% | $ | 4.2 | 2.84 | % | 2.84 | %Ø | 2.21 | % | 2.21 | %Ø | (1.84 | )% | 21 | % | 21 | %Ø | |||||||||||||||||||||
10/31/2013 | (9.66 | )% | $ | 3.6 | 4.69 | % | �� | 4.69 | %Ø | 2.21 | % | 2.21 | %Ø | (2.03 | )% | 5 | % | 5 | %Ø | ||||||||||||||||||||
U.S. Equity Index PutWrite Strategy Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (1.28 | )%* | $ | 305.2 | 0.76 | %** | 0.76 | %Ø** | 0.65 | %** | 0.65 | %Ø** | 0.59 | %** | 5 | %* | 5 | %Ø* | |||||||||||||||||||||
10/31/2017 | 13.05 | % | $ | 152.0 | 0.98 | % | 0.98 | %Ø | 0.65 | % | 0.65 | %Ø | 0.49 | % | 0 | % | 0 | %Ø | |||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | 0.90 | %* | $ | 21.2 | 3.84 | %‡** | 3.84 | %Ø** | 0.65 | %‡** | 0.65 | %Ø** | 0.26 | %‡** | 0 | %* | 0 | %Ø* |
171
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Voluntary Contribution from Management | Net Asset Value, End of Period | ||||||||||||||||||||||||||||||||||
U.S. Equity Index PutWrite Strategy Fund (cont'd) | |||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 11.33 | $ | 0.01 | $ | (0.17 | ) | $ | (0.16 | ) | $ | (0.01 | ) | $ | (0.59 | ) | $ | — | $ | (0.60 | ) | $ | — | $ | 10.57 | ||||||||||||||||||
10/31/2017 | $ | 10.09 | $ | 0.01 | $ | 1.27 | $ | 1.28 | $ | (0.01 | ) | $ | (0.03 | ) | $ | — | $ | (0.04 | ) | $ | — | $ | 11.33 | ||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | $ | 10.00 | $ | (0.00 | ) | $ | 0.09 | $ | 0.09 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10.09 | ||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 11.24 | $ | (0.03 | ) | $ | (0.16 | ) | $ | (0.19 | ) | $ | (0.00 | ) | $ | (0.59 | ) | $ | — | $ | (0.59 | ) | $ | — | $ | 10.46 | |||||||||||||||||
10/31/2017 | $ | 10.08 | $ | (0.07 | ) | $ | 1.26 | $ | 1.19 | $ | — | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | — | $ | 11.24 | ||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | $ | 10.00 | $ | (0.01 | ) | $ | 0.09 | $ | 0.08 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10.08 | ||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | $ | 11.34 | $ | 0.04 | $ | (0.16 | ) | $ | (0.12 | ) | $ | (0.04 | ) | $ | (0.59 | ) | $ | — | $ | (0.63 | ) | $ | — | $ | 10.59 | ||||||||||||||||||
10/31/2017 | $ | 10.10 | $ | 0.06 | $ | 1.26 | $ | 1.32 | $ | (0.05 | ) | $ | (0.03 | ) | $ | — | $ | (0.08 | ) | $ | — | $ | 11.34 | ||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | $ | 10.00 | $ | 0.00 | $ | 0.10 | $ | 0.10 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10.10 |
See Notes to Financial Highlights
172
Total Returna | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements)# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||||
U.S. Equity Index PutWrite Strategy Fund (cont'd) | |||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (1.54 | )%* | $ | 6.6 | 1.14 | %** | 1.14 | %Ø** | 1.01 | %** | 1.01 | %Ø** | 0.22 | %** | 5 | %* | 5 | %Ø* | |||||||||||||||||||||
10/31/2017 | 12.70 | % | $ | 4.1 | 1.35 | % | 1.35 | %Ø | 1.01 | % | 1.01 | %Ø | 0.13 | % | 0 | % | 0 | %Ø | |||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | 0.90 | %* | $ | 0.4 | 4.26 | %‡** | 4.26 | %Ø** | 1.01 | %‡** | 1.01 | %Ø** | (0.05 | )%‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (1.81 | )%* | $ | 1.0 | 1.89 | %** | 1.89 | %Ø** | 1.76 | %** | 1.76 | %Ø** | (0.53 | )%** | 5 | %* | 5 | %Ø* | |||||||||||||||||||||
10/31/2017 | 11.81 | % | $ | 0.5 | 2.12 | % | 2.12 | %Ø | 1.76 | % | 1.76 | %Ø | (0.63 | )% | 0 | % | 0 | %Ø | |||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | 0.80 | %* | $ | 0.1 | 5.10 | %‡** | 5.10 | %Ø** | 1.76 | %‡** | 1.76 | %Ø** | (0.86 | )%‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||
4/30/2018 (Unaudited) | (1.24 | )%* | $ | 17.7 | 0.70 | %** | 0.70 | %Ø** | 0.58 | %** | 0.58 | %Ø** | 0.66 | %** | 5 | %* | 5 | %Ø* | |||||||||||||||||||||
10/31/2017 | 13.08 | % | $ | 12.2 | 0.93 | % | 0.93 | %Ø | 0.58 | % | 0.58 | %Ø | 0.55 | % | 0 | % | 0 | %Ø | |||||||||||||||||||||
Period from 9/16/2016^ to 10/31/2016 | 1.00 | %* | $ | 4.8 | 3.77 | %‡** | 3.77 | %Ø** | 0.58 | %‡** | 0.58 | %Ø** | 0.26 | %‡** | 0 | %* | 0 | %Ø* |
173
Notes to Financial Highlights (Unaudited)
@ Calculated based on the average number of shares outstanding during each fiscal period.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee and/or if certain Funds did not receive the Custodian Out-of-Pocket Expenses Refunded, as listed in Note G of the Notes to Financial Statements.
** Annualized.
^ The date investment operations commenced.
* Not annualized.
‡ Organization expense, which is a non-recurring expense, is included in these ratios on a non-annualized basis.
Ø Hedged Option Premium Strategy, Multi-Asset Income, Risk Balanced Commodity Strategy and U.S. Equity Index PutWrite Strategy did not engage in short sales. For the six months ended April 30, 2018 and for the year ended October 31, 2017, Long Short Credit did not engage in short sales. For the six months ended April 30, 2018, Global Allocation did not engage in short sales.
§ After repayment of expenses previously reimbursed and/or fees previously waived by Management, as applicable. Had the Fund not made such repayments, the annualized ratios of net expenses to average net assets would have been:
Including Dividend and Interest Expense Relating to Short Sales and Reverse Repurchase Agreements | Excluding Dividend and Interest Expense Relating to Short Sales and Reverse Repurchase Agreements | ||||||||||
Year Ended October 31, 2013 | |||||||||||
Long Short Institutional Class | 1.69 | % | 1.54 | % | |||||||
Long Short Class A | 2.06 | % | 1.92 | % | |||||||
Long Short Class C | 2.81 | % | 2.66 | % |
a Total return based on per share NAV reflects the effects of changes in NAV on the performance of each Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested, but do not reflect the effect of sales charges. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares when redeemed may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. Total return would have been higher if Management had not recouped previously reimbursed and/or waived expenses.
b The portfolio turnover rate including mortgage dollar roll transactions was 71% for the six months ended April 30, 2018 for Global Allocation. The portfolio turnover rates including mortgage dollar roll transactions, including and excluding securities sold short, 165% and 154%, respectively, for the year ended October 31, 2017, 182% and 183%, respectively, for the year ended October 31, 2016 and 198% and 189%, respectively, for the year ended October 31, 2015, for Global Allocation. The portfolio turnover rate including mortgage dollar roll transactions were 107% and 165% for the six months ended April 30, 2018 and for the year ended October 31, 2017, respectively, for Multi-Asset Income.
c The voluntary contribution received in 2014 had no impact on the Funds' total returns for the year ended October 31, 2014.
174
Notes to Financial Highlights (Unaudited) (cont'd)
d The voluntary contribution listed in Note B of the Notes to Financial Statements had no impact on the Fund's total returns for the year ended October 31, 2017.
e Custodian Out-of-Pocket Expenses Refunded, as listed in Note G of the Notes to Financial Statements, is non-recurring, and is included in these ratios. Had Long Short not received the refund the annualized ratios of net expenses to average net assets and net investment income/(loss) to average net assets would have been:
Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales and reverse repurchase agreements | Ratio of Net Investment Income/ (Loss) to Average Net Assets | |||||||||||||
Year Ended October 31, 2017 | |||||||||||||||
Long Short Institutional Class | 1.80 | % | 1.32 | % | 0.12 | % | |||||||||
Long Short Class A | 2.16 | % | 1.68 | % | (0.18 | )% | |||||||||
Long Short Class C | 2.90 | % | 2.43 | % | (0.94 | )% |
f Consolidated financial highlights, see Note A in the Notes to Financial Statements.
g The Custodian Out-of-Pocket Expenses Refunded listed in Note G of the Notes to Financial Statements had no impact on the Long Short's total returns for the year ended October 31, 2017.
h Dividend and interest expense relating to short sales, which is a non-recurring expense for Global Allocation, is included in these ratios on a non-annualized basis.
i The class action proceeds listed in Note A-5 of the Notes to Financial Statements had no impact on the Funds' total returns for the six months ended April 30, 2018.
175
Directory
Investment Manager and Administrator
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104-0002
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Distributor
Neuberger Berman BD LLC
1290 Avenue of the Americas
New York, NY 10104-0002
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Custodian
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Shareholder Servicing Agent
DST Asset Manager Solutions Inc.
30 Dan Road
Canton, MA 02021
For Institutional Class Shareholders
Address correspondence to:
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas, 22nd Floor
New York, NY 10104-0002
Intermediary Client Services 800.366.6264
For Class A, Class C and Class R6 Shareholders:
Please contact your investment provider
Legal Counsel
K&L Gates LLP
1601 K Street, NW
Washington, DC 20006-1600
Independent Registered Public Accounting Firms
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Tait, Weller & Baker LLP
1818 Market Street
Suite 2400
Philadelphia, PA 19103
176
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available, without charge upon request, by calling 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for each Fund with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll-free).
177
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178
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104-0002
Retail Services: 800.877.9700
Broker-Dealer and Institutional Services: 800.366.6264/888.556.9030
Web site: www.nb.com
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Funds. This report is prepared for the general information of shareholders and is not an offer of shares of the Funds. Shares are sold only through the currently effective prospectus which you can obtain by calling 877.628.2583. An investor should consider carefully a Fund's investment objectives, risks and fees and expenses, which are described in its prospectus, before investing.
L0088 06/18
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Class R6 Shares
Absolute Return Multi-Manager Fund
Semi-Annual Report
April 30, 2018
Contents
PRESIDENT'S LETTER | 1 | ||||||
PORTFOLIO COMMENTARY | 2 | ||||||
FUND EXPENSE INFORMATION | 6 | ||||||
CONSOLIDATED SCHEDULE OF INVESTMENTS | 8 | ||||||
CONSOLIDATED FINANCIAL STATEMENTS | 40 | ||||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | 61 | ||||||
Directory | 65 | ||||||
Proxy Voting Policies and Procedures | 66 | ||||||
Quarterly Portfolio Schedule | 66 | ||||||
Board Consideration of Additional Sub-Advisory Agreement: BH-DG Systematic Trading LLP | 67 |
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund name in this piece is either a service mark or registered service mark of Neuberger Berman Investment Advisers LLC, an affiliate of Neuberger Berman BD LLC, distributor, member FINRA. ©2018 Neuberger Berman BD LLC, distributor. All rights reserved.
President's Letter
Dear Shareholder,
I am pleased to present this semi-annual shareholder report for Neuberger Berman Absolute Return Multi-Manager Fund.
The global financial markets generated mixed results over the six months ended April 30, 2018.
Global equities posted strong returns over the first half of the reporting period, as corporate profits largely exceeded expectations. In the U.S., investors viewed the December 2017 tax reform bill as an additional tailwind to the economy. However, a portion of those gains were lost in February and March 2018, due both to concerns that the U.S. Federal Reserve (Fed) may raise interest rates more aggressively than previously anticipated and fears of a developing global trade war. Meanwhile, the U.S. fixed income market sold off, driven mainly by higher Treasury yields as the Fed raised interest rates twice and continued to reduce its balance sheet in a measured fashion. In the currency market, the U.S. dollar weakened over the first half of the period due to signs of growth abroad and concerns over an increasingly protectionist agenda. That said, the dollar began to recover in recent months due to increasing interest rate differentials between the U.S. and the rest of the world.
We continue to favor credit strategies, both corporate credit long/short and asset-backed, where we believe our subadvisers are well-positioned to outperform during periods of rising rates given their significant allocation to floating rate debt, low duration and attractive yields. We have maintained our substantial allocation to long/short equity strategies, as we anticipate low equity correlations and higher dispersion between stocks to persist as the effects of recent tax reform, trade policy and higher interest rates are priced differently in various companies' valuations. We have been trimming our allocation to merger arbitrage as, in our view, spreads have been less attractive than in recent years. Although spreads widened in April 2018, this was met with what appears to be some heightened regulatory risk. We will continue to monitor the environment before making any meaningful changes to the allocation. Finally, we have added to the global macro/managed futures allocation, as we believe that the current elevated level of market volatility has the potential to persist, and that factor has historically been a tailwind for these strategies.
Thank you for your continued support and trust. We look forward to continue serving your investment needs in the years to come.
Sincerely,
ROBERT CONTI
PRESIDENT AND CEO
NEUBERGER BERMAN MUTUAL FUNDS
1
Absolute Return Multi-Manager Fund Commentary (Unaudited)
Neuberger Berman Absolute Return Multi-Manager Fund Institutional Class generated a 0.09% total return for the six months ended April 30, 2018, outperforming its primary benchmark, the HFRX Global Hedge Fund Index, which posted a –0.13% total return for the same period. (Performance for all share classes is provided in the table following this letter.)
U.S. equities rallied with unusually low volatility for the first half of the semi-annual period until volatility picked up in the second half. U.S. fixed income sold off broadly, as 10-year U.S. Treasury yields moved higher, while 10-year government bond yields in several other developed economies were flat or slightly down. The U.S. dollar weakened overall for the period, although it started to rally in the last few weeks. Commodities rallied broadly for the period, led by a strong move higher for oil prices.
The Fund's allocation to long/short equity was the largest contributor to performance, followed by gains from credit and merger arbitrage/event driven, while global macro/managed futures detracted from results.
Positive performance from the Fund's long/short equity allocation was driven by gains from longs, which outweighed losses from shorts. From a sector perspective, large contributors included Industrials, Consumer Discretionary and equity index hedges, while Consumer Staples, Materials and Health Care were detractors.
In the credit allocation, gains from the asset-backed securities strategy came primarily from trust preferred securities, while losses in the corporate credit long/short strategy were concentrated in shorts that outpaced gains from longs.
Merger arbitrage/event driven strategies were the next largest contributors. In particular, several mergers progressed in the right direction, offsetting losses from some ongoing deals that have been relatively more volatile as a result of regulatory uncertainty.
The Fund's allocation to global macro/managed futures strategies detracted from performance. Gains from the managed futures strategy were outpaced by losses from the systematic currency strategy. Within managed futures, gains from commodities and interest rates outweighed losses from currencies. Losses in the systematic currency strategy were driven by long U.S. dollar positioning versus the euro.
The Fund's aggregate use of futures, forward foreign currency, swap and option contracts contributed to performance during the reporting period.
We continue to position the Fund in a way that we believe will meet our expectations if interest rates remain unchanged, with potential for additional upside if interest rates continue to rise. The potential upside in the latter event is supported by the sub-adviser's focus on short duration within the credit sleeve, as well as interest rate positioning in the global macro/managed futures allocation. We recently reduced the allocation to credit strategies as spreads have tightened. We also reduced the allocation to merger arbitrage/event driven strategies, as we believe that recent spread widening is accurately reflecting higher regulatory and political risks in many deals. On the other hand, we increased the allocation to global macro/managed futures strategies given our anticipation of higher volatility ahead and the fact that those strategies have historically performed well in high volatility environments.
Sincerely,
DAVID KUPPERMAN, JEFF MAJIT AND FRED INGHAM
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers and subadvisers. The opinions are as of the date of this report and are subject to change without notice.
2
Absolute Return Multi-Manager Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | NABIX | ||||||
Class A | NABAX | ||||||
Class C | NABCX | ||||||
Class R6 | NRABX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets)
Long | Short | ||||||||||
Asset-Backed Securities | 6.9 | % | — | % | |||||||
Closed End Funds | 0.4 | — | |||||||||
Collateralized Mortgage Obligations | 2.1 | — | |||||||||
Commercial Mortgage-Backed Securities | 6.4 | — | |||||||||
Common Stocks | 35.1 | (7.5 | ) | ||||||||
Convertible Bonds | 0.7 | — | |||||||||
Convertible Preferred Stocks | — | ||||||||||
Corporate Bonds | 3.4 | (0.4 | ) | ||||||||
Exchange Traded Funds | (0.8 | ) | |||||||||
Loan Assignments | 4.6 | — | |||||||||
Master Limited Partnerships | 2.0 | (0.1 | ) | ||||||||
Options Purchased | 0.0 | — | |||||||||
Preferred Stocks | 0.1 | (0.0 | ) | ||||||||
Rights | 0.0 | — | |||||||||
U.S. Treasury Obligations | 0.1 | — | |||||||||
Warrants | 0.0 | — | |||||||||
Short-Term Investments | 29.4 | — | |||||||||
Other Assets Less Liabilities | 17.6 | * | — | ||||||||
Total | 108.8 | % | (8.8 | )% |
* Includes the impact of the Fund's open positions in derivatives (other than Options Purchased), if any.
PERFORMANCE HIGHLIGHTS
Six Month | Average Annual Total Return Ended 04/30/2018 | ||||||||||||||||||||||
Inception Date | Period Ended 04/30/2018 | 1 Year | 5 Years | Life of Fund | |||||||||||||||||||
At NAV | |||||||||||||||||||||||
Institutional Class | 05/15/2012 | 0.09 | % | 2.76 | % | 1.60 | % | 2.16 | % | ||||||||||||||
Class A | 05/15/2012 | –0.09 | % | 2.41 | % | 1.23 | % | 1.79 | % | ||||||||||||||
Class C | 05/15/2012 | –0.49 | % | 1.60 | % | 0.47 | % | 1.04 | % | ||||||||||||||
Class R63 | 12/31/2013 | 0.19 | % | 2.86 | % | 1.64 | % | 2.20 | % | ||||||||||||||
With Sales Charge | |||||||||||||||||||||||
Class A | –5.84 | % | –3.45 | % | 0.03 | % | 0.79 | % | |||||||||||||||
Class C | –1.48 | % | 0.60 | % | 0.47 | % | 1.04 | % | |||||||||||||||
Index | |||||||||||||||||||||||
HFRX Global Hedge Fund Index1,2 | –0.13 | % | 2.86 | % | 1.18 | % | 1.85 | % | |||||||||||||||
S&P 500® Index1,2 | 3.82 | % | 13.27 | % | 12.96 | % | 14.50 | % | |||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index1,2 | –1.87 | % | –0.32 | % | 1.47 | % | 1.77 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Consolidated Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2017 were 2.72%, 3.16%, 3.85% and 2.43% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The total annual operating expense ratios were 2.60%, 3.02%, 3.72% and 2.40% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2018 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
3
Endnotes
1 Please see "Glossary of Indices" on page 5 for a description of indices. Please note that individuals cannot invest directly in any index. The S&P 500® and the Bloomberg Barclays U.S. Aggregate Bond indices do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track. The HFRX Global Hedge Fund index does take into account fees and expenses, but not tax consequences, of investing since it is based on the underlying hedge funds' net returns. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
2 The date used to calculate Life of Fund performance for the index is the inception date of the oldest share class.
3 The performance information for Class R6 prior to the class's inception date is that of the Institutional Class of Neuberger Berman Absolute Return Multi-Manager Fund. The performance information for the Institutional Class has not been adjusted to take into account differences in class specific operating expenses. The Institutional Class has higher expenses and typically lower returns than Class R6.
For more complete information on any of the Neuberger Berman Alternative and Multi-Asset Class Funds, see the Fund's prospectus, which can be obtained by calling us at (800) 877-9700, or visiting our website at www.nb.com.
4
Glossary of Indices
Bloomberg Barclays U.S. Aggregate Bond Index: | The index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable bond market and includes Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) (agency and nonagency). | ||||||
HFRX Global Hedge Fund Index: | The index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. Constituent funds are selected from an eligible pool of the more than 7,500 funds worldwide that report to the Hedge Fund Research (HFR) Database. Constituent funds must meet all of the following criteria: report monthly; report performance net of all fees; be U.S. dollar denominated; be active and accepting new investments; have a minimum 24 months track record; and the fund's manager must have at least $50 million in assets under management. The index is rebalanced quarterly. | ||||||
S&P 500® Index: | The index is a float-adjusted market capitalization-weighted index that focuses on the large-cap segment of the U.S. equity market, and includes a significant portion of the total value of the market. |
5
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds (if applicable); and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in a Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2018 and held for the entire period. The table illustrates each Fund's costs in two ways:
Actual Expenses and Performance: | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | ||||||
Hypothetical Example for Comparison Purposes: | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as sales charges (loads) (if applicable). Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
6
Expense Example (Unaudited)
Neuberger Berman Alternative Funds | |||||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES) | ||||||||||||||||||||||||||||||||||
Beginning Account Value 11/1/2017 | Ending Account Value 4/30/2018 | Expenses Paid During the Period(1) 11/1/2017 - 4/30/2018 | Expense Ratio | Beginning Account Value 11/1/2017 | Ending Account Value 4/30/2018 | Expenses Paid During the Period(2) 11/1/2017 - 4/30/2018 | Expense Ratio | ||||||||||||||||||||||||||||
Absolute Return Multi-Manager Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,000.90 | $ | 11.71 | (3) | 2.36 | % | $ | 1,000.00 | $ | 1,013.09 | $ | 11.78 | (3) | 2.36 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 999.10 | $ | 13.43 | (3) | 2.71 | % | $ | 1,000.00 | $ | 1,011.36 | $ | 13.51 | (3) | 2.71 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 995.10 | $ | 17.17 | (3) | 3.47 | % | $ | 1,000.00 | $ | 1,007.59 | $ | 17.27 | (3) | 3.47 | % | |||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,001.90 | $ | 11.37 | (3) | 2.29 | % | $ | 1,000.00 | $ | 1,013.44 | $ | 11.43 | (3) | 2.29 | % |
(1) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown), unless otherwise indicated.
(2) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
(3) Includes expenses of the Fund's subsidiary (See Note A of the Notes to Consolidated Financial Statements).
7
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) April 30, 2018
Investments | Shares | Value (000) | |||||||||
Long Positions 91.2% | |||||||||||
Common Stocks 35.1% | |||||||||||
Aerospace & Defense 0.8% | |||||||||||
General Dynamics Corp. | 1,900 | $ | 383 | ||||||||
Orbital ATK, Inc.(a) | 5,100 | 675 | |||||||||
Raytheon Co. | 1,905 | 390 | |||||||||
Rockwell Collins, Inc.(a) | 5,400 | 716 | |||||||||
Sparton Corp.*(a) | 5,200 | 96 | |||||||||
2,260 | |||||||||||
Air Freight & Logistics 0.5% | |||||||||||
FedEx Corp. | 5,921 | 1,464 | |||||||||
Airlines 0.0%(b) | |||||||||||
American Airlines Group, Inc.*(c)(d) | 14,383 | 17 | |||||||||
Auto Components 0.2% | |||||||||||
Aptiv plc | 5,365 | 454 | |||||||||
Automobiles 0.1% | |||||||||||
General Motors Co. | 11,060 | 406 | |||||||||
Banks 1.4% | |||||||||||
Bank of America Corp. | 21,935 | 656 | |||||||||
Barclays plc (United Kingdom) | 74,922 | 214 | |||||||||
Citigroup, Inc. | 9,650 | 659 | |||||||||
Citizens Financial Group, Inc. | 16,760 | 695 | |||||||||
Comerica, Inc. | 7,705 | 729 | |||||||||
JPMorgan Chase & Co. | 5,885 | 640 | |||||||||
Societe Generale SA (France) | 8,332 | 456 | |||||||||
4,049 | |||||||||||
Beverages 0.0%(b) | |||||||||||
Dr Pepper Snapple Group, Inc. | 500 | 60 | |||||||||
Biotechnology 0.7% | |||||||||||
Ablynx NV (Belgium)* | 14,423 | 777 | |||||||||
Avexis, Inc.*(a) | 2,900 | 617 | |||||||||
BioMarin Pharmaceutical, Inc.* | 4,810 | 402 | |||||||||
Grifols SA, ADR (Spain)(a) | 4,400 | 89 | |||||||||
Shire plc, ADR | 200 | 32 | |||||||||
1,917 | |||||||||||
Building Products 0.0%(b) | |||||||||||
USG Corp.*(a) | 700 | 28 | |||||||||
Capital Markets 0.7% | |||||||||||
Actua Corp.*(c)(d)(e) | 6,700 | 7 |
Investments | Shares | Value (000) | |||||||||
Amundi SA (France)(f) | 5,900 | $ | 502 | ||||||||
Avista Healthcare Public Acquisition Corp., Class A*(a) | 200 | 2 | |||||||||
Ditech Holding Corp.* | 2,480 | 14 | |||||||||
Goldman Sachs Group, Inc. (The) | 2,760 | 658 | |||||||||
J2 Acquisition Ltd. (United Kingdom)*(f) | 6,800 | 64 | |||||||||
Modern Media Acquisition Corp.*(a) | 13,200 | 131 | |||||||||
Mudrick Capital Acquisition Corp., Class A* | 17,596 | 182 | |||||||||
National Energy Services Reunited Corp.*(a) | 15,200 | 153 | |||||||||
Nebula Acquisition Corp.*(a) | 7,100 | 72 | |||||||||
Osprey Energy Acquisition Corp.*(a) | 18,600 | 179 | |||||||||
Pensare Acquisition Corp.*(a) | 5,800 | 57 | |||||||||
2,021 | |||||||||||
Chemicals 1.8% | |||||||||||
A Schulman, Inc.(a) | 9,200 | 395 | |||||||||
Air Products & Chemicals, Inc. | 4,334 | 703 | |||||||||
Ashland Global Holdings, Inc. | 3,660 | 242 | |||||||||
Croda International plc (United Kingdom) | 4,294 | 263 | |||||||||
DowDuPont, Inc. | 19,718 | 1,247 | |||||||||
Monsanto Co.(a) | 10,600 | 1,329 | |||||||||
WR Grace & Co. | 14,795 | 1,012 | |||||||||
5,191 | |||||||||||
Communications Equipment 0.2% | |||||||||||
Mitel Networks Corp.* | 2,900 | 32 | |||||||||
Motorola Solutions, Inc. | 5,300 | 582 | |||||||||
614 | |||||||||||
Construction Materials 0.3% | |||||||||||
HeidelbergCement AG (Germany) | 9,437 | 923 | |||||||||
Containers & Packaging 0.1% | |||||||||||
Ball Corp. | 8,758 | 351 | |||||||||
Diversified Financial Services 0.2% | |||||||||||
Voya Financial, Inc. | 11,869 | 621 |
Investments | Shares | Value (000) | |||||||||
Diversified Telecommunication Services 0.0%(b) | |||||||||||
Intelsat SA* | 2,191 | $ | 21 | ||||||||
Electric Utilities 0.6% | |||||||||||
American Electric Power Co., Inc. | 2,106 | 147 | |||||||||
Edison International | 1,125 | 74 | |||||||||
Exelon Corp. | 8,767 | 348 | |||||||||
FirstEnergy Corp. | 3,765 | 130 | |||||||||
Great Plains Energy, Inc. | 11,549 | 378 | |||||||||
NextEra Energy, Inc. | 1,271 | 208 | |||||||||
PG&E Corp. | 7,800 | 360 | |||||||||
Westar Energy, Inc.(a) | 2,298 | 124 | |||||||||
1,769 | |||||||||||
Electrical Equipment 0.1% | |||||||||||
General Cable Corp. | 14,100 | 418 | |||||||||
Electronic Equipment, Instruments & Components 0.8% | |||||||||||
Axis Communications AB (Sweden) | 16,400 | 629 | |||||||||
FLIR Systems, Inc. | 17,279 | 926 | |||||||||
Orbotech Ltd. (Israel)* | 7,500 | 438 | |||||||||
VeriFone Systems, Inc.*(a) | 8,700 | 200 | |||||||||
2,193 | |||||||||||
Energy Equipment & Services 0.3% | |||||||||||
C&J Energy Services, Inc.* | 23,141 | 691 | |||||||||
Fairmount Santrol Holdings, Inc.* | 13,279 | 73 | |||||||||
US Silica Holdings, Inc. | 1,064 | 32 | |||||||||
796 | |||||||||||
Equity Real Estate Investment Trusts (REITs) 0.4% | |||||||||||
DCT Industrial Trust, Inc. | 400 | 26 | |||||||||
GGP, Inc. | 4,100 | 82 | |||||||||
New York REIT, Inc.*(a) | 11,511 | 249 | |||||||||
VICI Properties, Inc.*(c)(d) | 6,835 | 120 | |||||||||
VICI Properties, Inc. | 43,428 | 789 | |||||||||
1,266 | |||||||||||
Food & Staples Retailing 0.3% | |||||||||||
Cia Brasileira de Distribuicao, ADR (Brazil)* | 4,459 | 100 | |||||||||
Magnit PJSC, GDR (Russia)(f) | 7,182 | 136 |
See Notes to Consolidated Financial Statements
8
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Rite Aid Corp.*(a) | 16,825 | $ | 28 | ||||||||
Wal-Mart de Mexico SAB de CV (Mexico) | 59,932 | 166 | |||||||||
Walmart, Inc. | 2,585 | 229 | |||||||||
X5 Retail Group NV, GDR (Russia)*(f) | 11,765 | 335 | |||||||||
994 | |||||||||||
Gas Utilities 0.1% | |||||||||||
Atmos Energy Corp. | 1,801 | 157 | |||||||||
Health Care Equipment & Supplies 0.7% | |||||||||||
Danaher Corp. | 8,257 | 828 | |||||||||
NxStage Medical, Inc.*(a) | 9,200 | 245 | |||||||||
Smith & Nephew plc (United Kingdom) | 7,345 | 141 | |||||||||
West Pharmaceutical Services, Inc. | 1,803 | 159 | |||||||||
Zimmer Biomet Holdings, Inc.(a) | 4,793 | 552 | |||||||||
1,925 | |||||||||||
Health Care Providers & Services 0.9% | |||||||||||
Aetna, Inc. | 7,105 | 1,272 | |||||||||
Humana, Inc. | 3,210 | 944 | |||||||||
Kindred Healthcare, Inc.* | 12,700 | 113 | |||||||||
Shanghai Pharmaceuticals Holding Co. Ltd., Class H (China) | 57,371 | 157 | |||||||||
Sinopharm Group Co. Ltd., Class H (China) | 32,206 | 136 | |||||||||
2,622 | |||||||||||
Hotels, Restaurants & Leisure 0.9% | |||||||||||
Belmond Ltd., Class A (United Kingdom)*(a) | 3,000 | 32 | |||||||||
Boyd Gaming Corp. | 20,067 | 666 | |||||||||
Carnival Corp. | 6,430 | 406 | |||||||||
Tropicana Entertainment, Inc.* | 12,249 | 867 | |||||||||
Vail Resorts, Inc. | 3,220 | 738 | |||||||||
2,709 | |||||||||||
Household Durables 0.2% | |||||||||||
Lennar Corp., Class A | 8,085 | 427 | |||||||||
Lennar Corp., Class B(a) | 5,687 | 243 | |||||||||
670 |
Investments | Shares | Value (000) | |||||||||
Household Products 0.1% | |||||||||||
HRG Group, Inc.* | 15,300 | $ | 172 | ||||||||
Independent Power and Renewable Electricity Producers 0.3% | |||||||||||
Atlantica Yield plc (Spain) | 28,108 | 565 | |||||||||
NextEra Energy Partners LP | 4,775 | 199 | |||||||||
NRG Energy, Inc. | 1,038 | 32 | |||||||||
Pattern Energy Group, Inc., Class A | 7,623 | 138 | |||||||||
934 | |||||||||||
Industrial Conglomerates 0.1% | |||||||||||
Smiths Group plc (United Kingdom) | 7,562 | 166 | |||||||||
Insurance 1.5% | |||||||||||
Admiral Group plc (United Kingdom) | 5,578 | 153 | |||||||||
AIA Group Ltd. (Hong Kong) | 108,103 | 966 | |||||||||
American International Group, Inc. | 19,661 | 1,101 | |||||||||
AmTrust Financial Services, Inc. | 5,500 | 71 | |||||||||
Aon plc | 3,950 | 563 | |||||||||
RSA Insurance Group plc (United Kingdom) | 55,776 | 503 | |||||||||
Validus Holdings Ltd.(a) | 7,100 | 481 | |||||||||
XL Group Ltd. (Bermuda)(a) | 10,900 | 606 | |||||||||
4,444 | |||||||||||
Internet & Direct Marketing Retail 1.0% | |||||||||||
Amazon.com, Inc.* | 621 | 973 | |||||||||
ASOS plc (United Kingdom)* | 1,320 | 106 | |||||||||
Booking Holdings, Inc.* | 222 | 483 | |||||||||
Expedia Group, Inc. | 3,254 | 375 | |||||||||
Netflix, Inc.* | 2,280 | 712 | |||||||||
zooplus AG (Germany)* | 1,343 | 278 | |||||||||
2,927 | |||||||||||
Internet Software & Services 2.7% | |||||||||||
Alibaba Group Holding Ltd., ADR (China)* | 6,493 | 1,159 | |||||||||
Alphabet, Inc., Class A* | 1,524 | 1,553 | |||||||||
Baidu, Inc., ADR (China)* | 1,319 | 331 |
Investments | Shares | Value (000) | |||||||||
CommerceHub, Inc.* | 5,900 | $ | 134 | ||||||||
eBay, Inc.* | 19,332 | 732 | |||||||||
Facebook, Inc., Class A* | 8,205 | 1,411 | |||||||||
Mail.Ru Group Ltd., GDR (Russia)*(f) | 4,039 | 128 | |||||||||
MercadoLibre, Inc. (Argentina) | 1,420 | 482 | |||||||||
MuleSoft, Inc., Class A* | 14,000 | 624 | |||||||||
Tencent Holdings Ltd. (China) | 20,476 | 1,007 | |||||||||
Yandex NV, Class A (Russia)* | 4,174 | 139 | |||||||||
7,700 | |||||||||||
IT Services 0.8% | |||||||||||
Blackhawk Network Holdings, Inc.* | 19,400 | 871 | |||||||||
Everi Holdings, Inc.* | 85,478 | 548 | |||||||||
MoneyGram International, Inc.*(a) | 3,100 | 27 | |||||||||
PayPal Holdings, Inc.* | 6,523 | 487 | |||||||||
Visa, Inc., Class A | 3,840 | 487 | |||||||||
2,420 | |||||||||||
Life Sciences Tools & Services 0.5% | |||||||||||
Gerresheimer AG (Germany) | 16,668 | 1,356 | |||||||||
Machinery 0.3% | |||||||||||
Dover Corp. | 6,217 | 576 | |||||||||
Evoqua Water Technologies Corp.* | 15,521 | 317 | |||||||||
893 | |||||||||||
Media 2.9% | |||||||||||
Charter Communications, Inc., Class A* | 505 | 137 | |||||||||
China Literature Ltd. (China)*(f) | 13 | — | (g) | ||||||||
Discovery, Inc., Class C* | 3,650 | 81 | |||||||||
DISH Network Corp., Class A* | 10,159 | 341 | |||||||||
GCI Liberty, Inc., Class A*(a) | 4,489 | 200 | |||||||||
Global Eagle Entertainment, Inc.* | 99,624 | 116 | |||||||||
Gray Television, Inc.* | 32,021 | 362 | |||||||||
ITV plc (United Kingdom) | 337,547 | 702 |
See Notes to Consolidated Financial Statements
9
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Liberty Global plc, Class C (United Kingdom)* | 8,040 | $ | 234 | ||||||||
Loral Space & Communications, Inc.*(a) | 12,783 | 497 | |||||||||
Nexstar Media Group, Inc., Class A | 3,582 | 223 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 13,565 | 385 | |||||||||
Sirius XM Holdings, Inc.(a) | 32,693 | 207 | |||||||||
Stroeer SE & Co. KGaA (Germany) | 31,790 | 2,327 | |||||||||
Time Warner, Inc.(a) | 19,165 | 1,817 | |||||||||
Tribune Co. Litigation, Class 1C*(c)(d)(e) | 300,000 | — | |||||||||
Tribune Media Co., Class A(a) | 13,400 | 506 | |||||||||
Twenty-First Century Fox, Inc., Class B | 3,400 | 123 | |||||||||
8,258 | |||||||||||
Metals & Mining 0.3% | |||||||||||
Constellium NV, Class A (Netherlands)* | 53,737 | 610 | |||||||||
Pretium Resources, Inc. (Canada)* | 58,941 | 397 | |||||||||
1,007 | |||||||||||
Multi-Utilities 0.2% | |||||||||||
Ameren Corp. | 1,472 | 86 | |||||||||
Public Service Enterprise Group, Inc. | 3,002 | 157 | |||||||||
Sempra Energy | 1,962 | 219 | |||||||||
462 | |||||||||||
Oil, Gas & Consumable Fuels 2.7% | |||||||||||
Alta Mesa Resources, Inc.*(a) | 200 | 2 | |||||||||
Antero Midstream GP LP | 29,144 | 502 | |||||||||
Cheniere Energy, Inc.* | 12,251 | 713 | |||||||||
Devon Energy Corp. | 15,180 | 551 | |||||||||
Enbridge Energy Management LLC*(c)(d)(e) | 2,364 | — | (g) | ||||||||
EnLink Midstream LLC | 997 | 15 | |||||||||
EOG Resources, Inc. | 3,575 | 422 | |||||||||
Gener8 Maritime, Inc.* | 19,338 | 111 |
Investments | Shares | Value (000) | |||||||||
Golar LNG Ltd. (Bermuda) | 7,662 | $ | 246 | ||||||||
Halcon Resources Corp.* | 82,191 | 441 | |||||||||
Kinder Morgan, Inc. | 20,016 | 317 | |||||||||
Midstates Petroleum Co., Inc.* | 63,383 | 887 | |||||||||
NextDecade Corp.* | 18,990 | 128 | |||||||||
ONEOK, Inc. | 8,917 | 537 | |||||||||
Pembina Pipeline Corp. (Canada) | 13,411 | 427 | |||||||||
Pioneer Natural Resources Co. | 2,400 | 484 | |||||||||
Plains GP Holdings LP, Class A | 19,560 | 474 | |||||||||
RSP Permian, Inc.* | 5,500 | 273 | |||||||||
SandRidge Energy, Inc.* | 10,859 | 158 | |||||||||
SM Energy Co. | 11,829 | 283 | |||||||||
Targa Resources Corp. | 6,746 | 317 | |||||||||
Tellurian, Inc.* | 2,152 | 20 | |||||||||
TransCanada Corp. (Canada) | 3,743 | 159 | |||||||||
Williams Cos., Inc. (The) | 6,646 | 171 | |||||||||
7,638 | |||||||||||
Paper & Forest Products 0.1% | |||||||||||
KapStone Paper and Packaging Corp. | 8,800 | 303 | |||||||||
Personal Products 0.2% | |||||||||||
Edgewell Personal Care Co.* | 12,593 | 555 | |||||||||
Pharmaceuticals 0.9% | |||||||||||
Akorn, Inc.*(a) | 14,200 | 205 | |||||||||
Allergan plc | 10,812 | 1,661 | |||||||||
Aralez Pharmaceuticals, Inc. (Canada)*(a) | 345 | — | (g) | ||||||||
Bristol-Myers Squibb Co. | 6,615 | 345 | |||||||||
Dr Reddy's Laboratories Ltd., ADR (India) | 3,864 | 125 | |||||||||
Hikma Pharmaceuticals plc (Jordan) | 17,797 | 314 | |||||||||
Teva Pharmaceutical Industries Ltd., ADR (Israel) | 3,167 | 57 | |||||||||
2,707 |
Investments | Shares | Value (000) | |||||||||
Professional Services 0.8% | |||||||||||
Ceridian HCM Holding, Inc.* | 830 | $ | 26 | ||||||||
Equifax, Inc. | 5,480 | 614 | |||||||||
IHS Markit Ltd.* | 15,910 | 782 | |||||||||
Intertrust NV (Netherlands)(f) | 1,072 | 21 | |||||||||
TriNet Group, Inc.* | 15,555 | 804 | |||||||||
2,247 | |||||||||||
Road & Rail 0.2% | |||||||||||
CSX Corp. | 7,540 | 448 | |||||||||
Semiconductors & Semiconductor Equipment 1.5% | |||||||||||
Analog Devices, Inc. | 5,710 | 499 | |||||||||
Broadcom, Inc. | 3,497 | 802 | |||||||||
Cavium, Inc.* | 9,000 | 675 | |||||||||
Lattice Semiconductor Corp.*(a) | 5,200 | 28 | |||||||||
Microsemi Corp.* | 6,900 | 446 | |||||||||
NXP Semiconductors NV (Netherlands)* | 16,050 | 1,684 | |||||||||
QUALCOMM, Inc.(a) | 1,100 | 56 | |||||||||
4,190 | |||||||||||
Software 1.0% | |||||||||||
Activision Blizzard, Inc. | 5,645 | 374 | |||||||||
Dell Technologies, Inc., Class V*(a) | 1,850 | 133 | |||||||||
Micro Focus International plc, ADR (United Kingdom) | 555 | 10 | |||||||||
Microsoft Corp. | 20,647 | 1,931 | |||||||||
salesforce.com, Inc.* | 3,170 | 383 | |||||||||
2,831 | |||||||||||
Specialty Retail 1.9% | |||||||||||
AutoZone, Inc.* | 1,437 | 897 | |||||||||
Finish Line, Inc. (The), Class A | 1,300 | 18 | |||||||||
Hennes & Mauritz AB, Class B (Sweden) | 16,569 | 285 | |||||||||
Pets at Home Group plc (United Kingdom) | 18,604 | 39 | |||||||||
Sports Direct International plc (United Kingdom)* | 426,928 | 2,364 | |||||||||
Tiffany & Co. | 17,999 | 1,851 | |||||||||
5,454 |
See Notes to Consolidated Financial Statements
10
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Technology Hardware, Storage & Peripherals 0.7% | |||||||||||
Apple, Inc. | 5,616 | $ | 928 | ||||||||
Samsung Electronics Co. Ltd., GDR (South Korea)(f) | 420 | 514 | |||||||||
Western Digital Corp. | 5,630 | 444 | |||||||||
Xerox Corp.(a) | 3,100 | 97 | |||||||||
1,983 | |||||||||||
Textiles, Apparel & Luxury Goods 0.9% | |||||||||||
Burberry Group plc (United Kingdom) | 2,333 | 59 | |||||||||
Michael Kors Holdings Ltd.* | 5,809 | 397 | |||||||||
NIKE, Inc., Class B | 7,412 | 507 | |||||||||
PVH Corp. | 6,582 | 1,051 | |||||||||
Tapestry, Inc. | 9,005 | 484 | |||||||||
2,498 | |||||||||||
Thrifts & Mortgage Finance 0.0%(b) | |||||||||||
PHH Corp.* | 6,000 | 64 | |||||||||
Tobacco 0.3% | |||||||||||
Philip Morris International, Inc. | 11,120 | 912 | |||||||||
Trading Companies & Distributors 0.5% | |||||||||||
Brenntag AG (Germany) | 26,556 | 1,521 | |||||||||
Transportation Infrastructure 0.1% | |||||||||||
Macquarie Infrastructure Corp. | 9,471 | 359 | |||||||||
Water Utilities 0.1% | |||||||||||
American Water Works Co., Inc. | 2,074 | 180 | |||||||||
Wireless Telecommunication Services 0.2% | |||||||||||
T-Mobile US, Inc.* | 7,515 | 455 | |||||||||
Total Common Stocks (Cost $95,690) | 101,000 | ||||||||||
Principal Amount | |||||||||||
Asset-Backed Securities 6.9% | |||||||||||
Allegro CLO III Ltd. Series 2015-1A, Class DR, (ICE LIBOR USD 3 Month + 2.65%), 5.01%, 7/25/2027(h)(i) | $ | 1,000,000 | 1,001 |
Investments | Principal Amount | Value (000) | |||||||||
Atlas Senior Loan Fund V Ltd. Series 2014-1A, Class DR2, (ICE LIBOR USD 3 Month + 4.00%), 6.35%, 7/16/2029(h)(i) | $ | 1,000,000 | $ | 1,011 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2013-3A, Class CR, (ICE LIBOR USD 3 Month + 2.45%), 4.80%, 10/15/2030(h)(i) | 1,000,000 | 993 | |||||||||
Catamaran CLO Ltd. Series 2015-1A, Class DR, (ICE LIBOR USD 3 Month + 2.80%), 5.16%, 4/22/2027(h)(i) | 1,000,000 | 1,001 | |||||||||
CIFC Funding Ltd. Series 2016-1A, Class D, (ICE LIBOR USD 3 Month + 4.00%), 6.36%, 10/21/2028(h)(i) | 1,000,000 | 1,012 | |||||||||
CWABS Asset-Backed Certificates Trust Series 2005-7, Class AF4, 4.87%, 10/25/2035(j) | 144,419 | 146 | |||||||||
DT Auto Owner Trust Series 2015-1A, Class D, 4.26%, 2/15/2022(h) | 1,274,434 | 1,282 | |||||||||
Jamestown CLO III Ltd. Series 2013-3A, Class C, (ICE LIBOR USD 3 Month + 3.30%), 5.65%, 1/15/2026(h)(i) | 1,250,000 | 1,252 | |||||||||
JP Morgan Mortgage Acquisition Trust Series 2007-CH1, Class AF6, 4.96%, 11/25/2036(k) | 139,750 | 140 |
Investments | Principal Amount | Value (000) | |||||||||
Madison Park Funding XIV Ltd. Series 2014-14A, Class DR, (ICE LIBOR USD 3 Month + 3.25%), 5.61%, 7/20/2026(h)(i) | $ | 1,000,000 | $ | 1,002 | |||||||
Ocean Trails CLO V Series 2014-5A, Class DR, (ICE LIBOR USD 3 Month + 3.60%), 5.94%, 10/13/2026(h)(i) | 1,000,000 | 1,002 | |||||||||
OFSI Fund V Ltd. Series 2013-5A, Class B2L, (ICE LIBOR USD 3 Month + 5.25%), 7.60%, 4/17/2025(h)(i) | 1,000,000 | 1,001 | |||||||||
OHA Loan Funding Ltd. Series 2012-1A, Class DR, (ICE LIBOR USD 3 Month + 4.15%), 6.51%, 1/23/2027(h)(i) | 1,000,000 | 1,011 | |||||||||
OZLM XII Ltd. Series 2015-12A, Class C, (ICE LIBOR USD 3 Month + 3.70%, 3.70% Floor), 6.06%, 4/30/2027(h)(i) | 1,000,000 | 1,002 | |||||||||
Sound Harbor Loan Fund Ltd. Series 2014-1A, Class CR, (ICE LIBOR USD 3 Month + 3.90%), 6.26%, 10/30/2026(h)(i) | 1,500,000 | 1,503 | |||||||||
TICP CLO I Ltd. Series 2015-1A, Class DR, (ICE LIBOR USD 3 Month + 2.50%), 4.86%, 7/20/2027(h)(i) | 1,362,500 | 1,344 |
See Notes to Consolidated Financial Statements
11
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
TICP CLO II-2 Ltd. Series 2018-IIA, Class C, (ICE LIBOR USD 3 Month + 2.95%, 2.95% Floor), 5.45%, 4/20/2028(h)(i) | $ | 1,000,000 | $ | 995 | |||||||
Voya CLO Ltd. Series 2014-3A, Class CR, (ICE LIBOR USD 3 Month + 2.65%), 5.01%, 7/25/2026(h)(i) | 1,000,000 | 1,001 | |||||||||
Z Capital Credit Partners CLO Ltd. Series 2015-1A, Class DR, (ICE LIBOR USD 3 Month + 3.10%, 3.10% Floor), 5.45%, 7/16/2027(h)(i) | 2,000,000 | 2,002 | |||||||||
Total Asset-Backed Securities (Cost $19,686) | 19,701 | ||||||||||
Commercial Mortgage-Backed Securities 6.4% | |||||||||||
BAMLL Commercial Mortgage Securities Trust Series 2013-DSNY, Class F, (ICE LIBOR USD 1 Month + 3.50%, 3.50% Floor), 5.40%, 9/15/2026(h)(i) | 3,000,000 | 2,996 | |||||||||
Series 2014-ICTS, Class E, (ICE LIBOR USD 1 Month + 2.95%, 2.95% Floor), 4.85%, 6/15/2028(h)(i) | 3,000,000 | 2,992 | |||||||||
COMM Mortgage Trust Series 2014-PAT, Class E, (ICE LIBOR USD 1 Month + 3.15%, 3.15% Floor), 5.05%, 8/13/2027(h)(i) | 4,800,000 | 4,852 |
Investments | Principal Amount | Value (000) | |||||||||
GS Mortgage Securities Trust Series 2013-GC12, Class D, 4.58%, 6/10/2046(h)(j) | $ | 2,000,000 | $ | 1,729 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-PHH, Class E, (ICE LIBOR USD 1 Month + 3.55%), 5.45%, 8/15/2027(h)(i) | 1,910,000 | 1,910 | |||||||||
Series 2014-CBM, Class E, (ICE LIBOR USD 1 Month + 3.85%, 3.85% Floor), 5.75%, 10/15/2029(h)(i) | 1,700,000 | 1,700 | |||||||||
Lone Star Portfolio Trust Series 2015-LSP, Class E, (ICE LIBOR USD 1 Month + 5.60%, 5.60% Floor), 7.50%, 9/15/2028(h)(i) | 1,109,189 | 1,119 | |||||||||
Palisades Center Trust Series 2016-PLSD, Class D, 4.74%, 4/13/2033(h) | 1,000,000 | 985 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $18,279) | 18,283 | ||||||||||
Loan Assignments 4.6% | |||||||||||
Auto Components 0.0%(b) | |||||||||||
Horizon Global Corporation, Term Loan B 2/16/2024(d)(l)(m) | 64,000 | 65 | |||||||||
Building Products 0.0%(b) | |||||||||||
Janus International Group LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 0.03%), 4.90%, 2/12/2025(i) | 51,000 | 50 |
Investments | Principal Amount | Value (000) | |||||||||
Capital Markets 0.1% | |||||||||||
Crown Finance Holdings, Inc., Term Loan (ICE LIBOR USD 1 Month + 0.03%), 4.40%, 2/28/2025(i) | $ | 178,000 | $ | 178 | |||||||
Chemicals 0.2% | |||||||||||
Cyanco Intermediate Corp. 2nd Lien Term Loan (ICE LIBOR USD 6 Month + 0.08%), 9.67%, 3/6/2026(d)(i) | 129,000 | 127 | |||||||||
GrafTech International Ltd., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 0.04%), 5.40%, 2/12/2025(d)(i) | 446,000 | 448 | |||||||||
575 | |||||||||||
Commercial Services & Supplies 0.1% | |||||||||||
Paradigm Acquisition Corp., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.25%), 6.70%, 10/11/2024(i) | 282,293 | 284 | |||||||||
Paradigm Acquisition Corp., 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 8.50%), 10.97%, 10/10/2025(d)(i) | 129,000 | 130 | |||||||||
414 | |||||||||||
Diversified Telecommunication Services 0.3% | |||||||||||
Intelsat Jackson Holdings SA, Term Loan (ICE LIBOR USD 3 Month + 0.04%), 5.71%, 11/27/2023(i) | 71,000 | 71 | |||||||||
Learning Care Group (US) No. 2 Inc., Term Loan (ICE LIBOR USD 3 Month + 0.03%), 5.42%, 3/13/2025(d)(i) | 93,000 | 93 |
See Notes to Consolidated Financial Statements
12
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
Securus Holdings, Inc., Term Loan (ICE LIBOR USD 1 Month + 0.08%), 10.15%, 11/1/2025(i) | $ | 271,000 | $ | 274 | |||||||
US TelePacific Corp., Term Loan (ICE LIBOR USD 3 Month + 0.05%), 7.30%, 5/2/2023(i) | 376,053 | 367 | |||||||||
805 | |||||||||||
Energy Equipment & Services 0.5% | |||||||||||
Seadrill Operating LP, Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 8.30%, 2/21/2021(i)(l)(m) | 1,744,601 | 1,491 | |||||||||
Food Products 0.1% | |||||||||||
Del Monte Foods, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 5.15%, 2/18/2021(i) | 81,720 | 69 | |||||||||
Give & Go Prepared Foods Corp., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.25%), 6.19%, 7/29/2023(d)(i) | 355,215 | 356 | |||||||||
425 | |||||||||||
Health Care Providers & Services 1.1% | |||||||||||
21st Century Oncology Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 0.06%), 8.48%, 1/16/2023(i) | 3,307,349 | 3,172 | |||||||||
Capital Vision Services LLC, 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 0.07%), 8.54%, 2/6/2026(d)(i) | 83,000 | 82 |
Investments | Principal Amount | Value (000) | |||||||||
Capital Vision Services LLC, Term Loan (ICE LIBOR USD 3 Month + 0.03%), 4.79%, 2/6/2025(i) | $ | 22,000 | $ | 22 | |||||||
3,276 | |||||||||||
Household Durables 0.0%(b) | |||||||||||
Traeger Pellet Grills LLC, 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 8.50%), 10.80%, 9/25/2025(d)(i) | 114,000 | 115 | |||||||||
Insurance 0.9% | |||||||||||
AmTrust Financial Services, Inc., 2nd Lien Term Loan (ICE LIBOR USD 1 Month + 0.09%), 10.40%, 3/2/2026(d)(i) | 254,000 | 253 | |||||||||
AmTrust Financial Services, Inc., Term Loan B (ICE LIBOR USD 1 Month + 0.05%), 6.40%, 2/28/2025(i) | 150,000 | 151 | |||||||||
Confie Seguros Holding II Co., 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 0.10%), 11.48%, 5/8/2019(i) | 1,218,000 | 1,183 | |||||||||
Confie Seguros Holding II Co., Term Loan B (ICE LIBOR USD 3 Month + 0.05%), 7.23%, 4/19/2022(i) | 860,113 | 861 | |||||||||
2,448 | |||||||||||
IT Services 0.2% | |||||||||||
Access CIG LLC, | 172,086 | 174 | |||||||||
Term Loan (ICE LIBOR USD 1 Month + 0.04%), 5.65%, 2/27/2025(i) |
Investments | Principal Amount | Value (000) | |||||||||
Convergint | $ | 206,839 | $206 Technologies LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 0.03%), 5.30%, 2/3/2025(d)(i) | ||||||||
Syniverse Holdings, Inc., Term Loan (ICE LIBOR USD 6 Month + 0.05%), 6.90%, 3/9/2023(i) | 139,000 | 140 | |||||||||
520 | |||||||||||
Leisure Products 0.1% | |||||||||||
PlayCore, Inc., 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 7.75%), 10.20%, 9/29/2025(d)(i) | 238,000 | 235 | |||||||||
Machinery 0.1% | |||||||||||
HydroChem LLC, 2nd Lien Term Loan (ICE LIBOR USD 1 Month + 8.50%), 10.40%, 10/11/2025(d)(i) | 218,000 | 216 | |||||||||
Media 0.2% | |||||||||||
Cenveo Corp. Term Loan (ICE LIBOR USD 1 Month + 0.08%), 9.92%, 11/2/2018(c)(d)(i) | 499,410 | 489 | |||||||||
Mortgage Real Estate Investment Trusts (REITs) 0.0%(b) | |||||||||||
DTZ US Borrower LLC, Term Loan (ICE LIBOR USD 3 Month + 0.03%), 5.36%, 11/4/2021(i) | 22,941 | 23 | |||||||||
Multiline Retail 0.2% | |||||||||||
JC Penney Corp., Inc., Term Loan (ICE LIBOR USD 3 Month + 4.25%), 6.23%, 6/23/2023(i) | 680,834 | 663 |
See Notes to Consolidated Financial Statements
13
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
Oil, Gas & Consumable Fuels 0.1% | |||||||||||
Southcross Energy Partners LP, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 6.55%, 8/4/2021(i) | $ | 334,613 | $ | 330 | |||||||
Software 0.3% | |||||||||||
Digicert Holdings, Inc., Term Loan (ICE LIBOR USD 1 Month + 8.00%), 9.90%, 10/31/2025(i) | 137,000 | 137 | |||||||||
Mcafee LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 6.40%, 9/30/2024(i) | 345,265 | 350 | |||||||||
Mcafee LLC, Term Loan (ICE LIBOR USD 1 Month + 8.50%), 10.40%, 9/29/2025(i) | 260,000 | 263 | |||||||||
750 | |||||||||||
Specialty Retail 0.1% | |||||||||||
Mavis Tire Express, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 0.03%), 5.15%, 3/15/2025(d)(i) | 127,576 | 127 | |||||||||
Mavis Tire Express, Delayed Draw 1st Lien Term Loan (ICE LIBOR USD 6 Month + 0.03%), 0.15%, 3/15/2025(d)(i) | 608 | 1 | |||||||||
Trico Group LLC, 1st Lien Term Loan (ICE LIBOR USD 6 Month + 0.07%), 8.48%, 2/2/2024(d)(i) | 75,000 | 75 | |||||||||
203 | |||||||||||
Total Loan Assignments (Cost $13,216) | 13,271 |
Investments | Principal Amount | Value (000) | |||||||||
Corporate Bonds 3.4% | |||||||||||
Beverages 0.3% | |||||||||||
CEDC Finance Corp. International, Inc. (Poland) 10.00%, 12/31/2022(h) | $ | 950,708 | $ | 776 | |||||||
Capital Markets 0.2% | |||||||||||
Compass Diversified Holdings 8.00%, 5/1/2026(h) | 469,000 | 466 | |||||||||
Chemicals 0.2% | |||||||||||
Hexion, Inc. 6.63%, 4/15/2020 | 214,000 | 201 | |||||||||
4/15/2020 10.00%, | 215,000 | 212 | |||||||||
2/1/2022(h) 10.38%, | 215,000 | 209 | |||||||||
Momentive Performance Materials, Inc. 10.00%, 10/15/2020(c)(d)(e)(n) | 613,000 | — | |||||||||
622 | |||||||||||
Commercial Services & Supplies 0.7% | |||||||||||
Corporate Risk Holdings LLC 9.50%, 7/1/2019(h) | 2,026,000 | 2,112 | |||||||||
Construction & Engineering 0.1% | |||||||||||
ABG Orphan Holdco Sarl (Spain) 5.00%, 2/28/2021(f)(o) | 238,310 | 253 | |||||||||
Diversified Telecommunication Services 0.4% | |||||||||||
Frontier Communications Corp. 9.00%, 8/15/2031 | 431,000 | 264 | |||||||||
Intelsat Jackson Holdings SA (Luxembourg) 9.75%, 7/15/2025(h) | 951,000 | 932 | |||||||||
1,196 | |||||||||||
Equity Real Estate Investment Trusts (REITs) 0.1% | |||||||||||
VICI Properties 1 LLC 8.00%, 10/15/2023 | 190,842 | 212 |
Investments | Principal Amount | Value (000) | |||||||||
Independent Power and Renewable Electricity Producers 0.5% | |||||||||||
GenOn Energy, Inc. 9.50%, 10/15/2018(n) | $ | 168,000 | $ | 137 | |||||||
10/15/2020(n) 9.88%, | 1,657,000 | 1,355 | |||||||||
1,492 | |||||||||||
Internet & Direct Marketing Retail 0.2% | |||||||||||
Netflix, Inc. 4.38%, 11/15/2026 | 777,000 | 728 | |||||||||
Media 0.3% | |||||||||||
AMC Networks, Inc. 4.75%, 8/1/2025 | 246,000 | 233 | |||||||||
Cenveo Corp. 6.00%, 8/1/2019(h)(n) | 1,569,000 | 643 | |||||||||
876 | |||||||||||
Oil, Gas & Consumable Fuels 0.4% | |||||||||||
Cobalt International Energy, Inc. 7.75%, 12/1/2023(n) | 1,001,000 | 525 | |||||||||
Denbury Resources, Inc. 9.00%, 5/15/2021(h) | 144,000 | 151 | |||||||||
3/31/2022(h) 9.25%, | 378,000 | 393 | |||||||||
Jones Energy Holdings LLC 9.25%, 3/15/2023(h) | 118,000 | 115 | |||||||||
Midstates Petroleum Co., Inc. Escrow 10.00%, 6/1/2020(c)(d)(e)(n) | 1,848,000 | — | |||||||||
1,184 | |||||||||||
Total Corporate Bonds (Cost $10,727) | 9,917 | ||||||||||
Collateralized Mortgage Obligations 2.1% | |||||||||||
Alternative Loan Trust Series 2005-21CB, Class A17, 6.00%, 6/25/2035 | 1,046,116 | 1,039 | |||||||||
Chase Mortgage Finance Trust Series 2007-A2, Class 3A2, 3.79%, 7/25/2037(j) | 261,883 | 258 |
See Notes to Consolidated Financial Statements
14
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Principal Amount | Value (000) | |||||||||
Citicorp Mortgage Securities Trust Series 2006-3, Class 1A10, 6.25%, 6/25/2036 | $ | 1,602,445 | $ | 1,642 | |||||||
FNMA Series 2016-C05, Class 2M2, (ICE LIBOR USD 1 Month + 4.45%, 4.45% Floor), 6.35%, 1/25/2029(i) | 1,000,000 | 1,126 | |||||||||
Class 1M2, (ICE LIBOR USD 1 Month + 4.25%), 6.15%, 4/25/2029(i) Series 2016-C06, | 1,000,000 | 1,138 | |||||||||
MASTR Alternative Loan Trust Series 2004-10, Class 4A1, 6.00%, 9/25/2019 | 43,303 | 44 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust Series 2004-S1, Class 1A11, 5.50%, 3/25/2034 | 91,008 | 91 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-1, Class 1A1, 5.50%, 3/25/2035 | 412,587 | 406 | |||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2007-14, Class 1A1, 6.00%, 10/25/2037 | 360,757 | 357 | |||||||||
Total Collateralized Mortgage Obligations (Cost $5,992) | 6,101 | ||||||||||
Shares | |||||||||||
Master Limited Partnerships 2.0% | |||||||||||
Capital Markets 0.2% | |||||||||||
Blackstone Group LP (The) | 14,030 | 434 | |||||||||
Energy Equipment & Services 0.1% | |||||||||||
USA Compression Partners LP | 13,843 | 248 |
Investments | Shares | Value (000) | |||||||||
Oil, Gas & Consumable Fuels 1.7% | |||||||||||
Boardwalk Pipeline | 18,201 | $207 Partners LP | |||||||||
Crestwood Equity Partners LP | 12,768 | 349 | |||||||||
Enable Midstream Partners LP | 9,627 | 138 | |||||||||
Energy Transfer Equity LP | 33,566 | 530 | |||||||||
Energy Transfer Partners LP | 12,366 | 223 | |||||||||
EnLink Midstream Partners LP | 1,473 | 21 | |||||||||
Enterprise Products Partners LP | 26,539 | 712 | |||||||||
EQT GP Holdings LP | 15,181 | 379 | |||||||||
EQT Midstream Partners LP | 752 | 42 | |||||||||
Magellan Midstream Partners LP | 4,430 | 292 | |||||||||
MPLX LP | 11,147 | 394 | |||||||||
NGL Energy Partners LP | 3,950 | 50 | |||||||||
Noble Midstream Partners LP | 11,849 | 533 | |||||||||
Oasis Midstream Partners LP | 22,053 | 394 | |||||||||
Plains All American Pipeline LP | 4,551 | 107 | |||||||||
Summit Midstream Partners LP | 1,556 | 24 | |||||||||
Western Gas Equity Partners LP | 7,786 | 264 | |||||||||
Western Gas Partners LP | 1,907 | 92 | |||||||||
Williams Partners LP | 7,312 | 266 | |||||||||
5,017 | |||||||||||
Total Master Limited Partnerships (Cost $5,921) | 5,699 | ||||||||||
Principal Amount | |||||||||||
Convertible Bonds 0.7% | |||||||||||
Internet Software & Services 0.3% | |||||||||||
Twitter, Inc. 0.25%, 9/15/2019 | $ | 743,000 | 711 | ||||||||
Media 0.4% | |||||||||||
DISH Network Corp. 3.38%, 8/15/2026 | 1,397,000 | 1,268 | |||||||||
Oil, Gas & Consumable Fuels 0.0%(b) | |||||||||||
Cobalt International Energy, Inc. 2.63%, 12/1/2019(n) | 318,000 | — | (g) | ||||||||
Total Convertible Bonds (Cost $2,293) | 1,979 |
Investments | Shares | Value (000) | |||||||||
Closed End Funds 0.4% | |||||||||||
Internet Software & Services 0.4% | |||||||||||
Altaba, Inc.*(a) (Cost $543) | 14,700 | $ | 1,030 | ||||||||
Preferred Stocks 0.1% | |||||||||||
Media 0.0%(b) | |||||||||||
GCI Liberty, Inc., Series A, 5.00%, 3/10/2039(a)(p) | 1,860 | 44 | |||||||||
Thrifts & Mortgage Finance 0.1% | |||||||||||
FNMA, Series S (ICE LIBOR USD 3 Month + 4.23%), 8.25%, 12/31/2020*(i)(p) | 27,385 | 175 | |||||||||
Total Preferred Stocks (Cost $281) | 219 | ||||||||||
Principal Amount | |||||||||||
U.S. Treasury Obligations 0.1% | |||||||||||
U.S. Treasury Bonds 3.00%, 2/15/2047 (Cost $193) | $ | 185,000 | 181 | ||||||||
No. of Rights | |||||||||||
Rights 0.0%(b) | |||||||||||
Biotechnology 0.0%(b) | |||||||||||
Ambit Biosciences Corp. (Daiichi Sankyo Co. Ltd.), CVR*(c)(d)(e) | 70,000 | 42 | |||||||||
Chelsea Therapeutics, Inc. Escrow (H Lundbeck A/S), CVR (Denmark)*(c)(d)(e) | 3,500 | — | |||||||||
Dyax Corp., CVR*(c)(d)(e) | 40,350 | 45 | |||||||||
Tobira Therapeutics, Inc., CVR*(c)(d)(e) | 6,900 | 1 | |||||||||
88 | |||||||||||
Health Care Providers & Services 0.0%(b) | |||||||||||
Community Health Systems, Inc., CVR*(a) | 19,082 | — | (g) | ||||||||
Media 0.0% | |||||||||||
Media General, Inc., CVR*(c)(d)(e) | 76,116 | — |
See Notes to Consolidated Financial Statements
15
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | No. of Rights | Value (000) | |||||||||
Pharmaceuticals 0.0% | |||||||||||
Omthera Pharmaceuticals, Inc. (AstraZeneca plc), CVR (United Kingdom)*(c)(d)(e) | 100 | $ | — | ||||||||
Total Rights (Cost $24) | 88 | ||||||||||
No. of Warrants | |||||||||||
Warrants 0.0%(b) | |||||||||||
Capital Markets 0.0%(b) | |||||||||||
J2 Acquisition Ltd., expiring 9/7/2027* | 9,800 | 5 | |||||||||
Matlin and Partners Acquisition Corp., expiring 5/28/2021* | 21,837 | 11 | |||||||||
Mudrick Capital Acquisition Corp., expiring 3/12/2019* | 17,596 | 10 | |||||||||
Osprey Energy Acquisition Corp., expiring 8/15/2022*(a) | 9,300 | 7 | |||||||||
33 | |||||||||||
Thrifts & Mortgage Finance 0.0%(b) | |||||||||||
Ditech Holding Corp., expiring 1/31/2028*(c)(e) | 7,904 | 1 | |||||||||
Total Warrants (Cost $9) | 34 | ||||||||||
Shares | |||||||||||
Short-Term Investments 29.4% | |||||||||||
Investment Companies 29.4% | |||||||||||
Morgan Stanley Institutional Liquidity Funds Treasury Portfolio Institutional Class, 1.58%(q)(r) | 84,486,084 | 84,486 | |||||||||
Western Asset Institutional US Treasury Reserves Ltd., 1.00%(q)(r) | 58,562 | 59 | |||||||||
Total Investment Companies (Cost $84,545) | 84,545 | ||||||||||
Total Options Purchased 0.0%(b)(s) (Cost $216) | 117 | ||||||||||
Total Long Positions (Cost $257,615) | 262,165 |
Investments | Shares | Value (000) | |||||||||
Short Positions (8.8)%(t) | |||||||||||
Common Stocks (7.5)% | |||||||||||
Aerospace & Defense (0.1)% | |||||||||||
United Technologies Corp. | (1,539 | ) | $ | (185 | ) | ||||||
Airlines (0.1)% | |||||||||||
Exchange Income Corp. (Canada) | (18,695 | ) | (442 | ) | |||||||
Automobiles (0.3)% | |||||||||||
Harley-Davidson, Inc. | (12,520 | ) | (515 | ) | |||||||
Tesla, Inc.* | (970 | ) | (285 | ) | |||||||
(800 | ) | ||||||||||
Banks (1.0)% | |||||||||||
Banco BPM SpA (Italy)* | (138,335 | ) | (502 | ) | |||||||
Canadian Imperial Bank of Commerce (Canada) | (4,515 | ) | (393 | ) | |||||||
Laurentian Bank of Canada (Canada) | (10,160 | ) | (390 | ) | |||||||
National Bank of Canada (Canada) | (6,460 | ) | (307 | ) | |||||||
Societe Generale SA (France) | (7,600 | ) | (416 | ) | |||||||
UniCredit SpA (Italy) | (23,000 | ) | (499 | ) | |||||||
Wells Fargo & Co. | (6,915 | ) | (359 | ) | |||||||
(2,866 | ) | ||||||||||
Capital Markets (0.2)% | |||||||||||
Deutsche Bank AG (Registered) (Germany) | (33,605 | ) | (459 | ) | |||||||
Commercial Services & Supplies (0.2)% | |||||||||||
Stericycle, Inc.* | (7,966 | ) | (468 | ) | |||||||
Construction & Engineering (0.1)% | |||||||||||
Badger Daylighting Ltd. (Canada) | (22,815 | ) | (439 | ) | |||||||
Diversified Consumer Services (0.2)% | |||||||||||
Adtalem Global Education, Inc.* | (9,490 | ) | (452 | ) | |||||||
Diversified Telecommunication Services (0.1)% | |||||||||||
AT&T, Inc. | (5,836 | ) | (191 | ) | |||||||
Electric Utilities (0.0)%(b) | |||||||||||
Great Plains Energy, Inc. | (3,600 | ) | (118 | ) | |||||||
Electrical Equipment (0.2)% | |||||||||||
Acuity Brands, Inc. | (3,965 | ) | (475 | ) |
Investments | Shares | Value (000) | |||||||||
Electronic Equipment, Instruments & Components (0.2)% | |||||||||||
Ingenico Group SA (France) | (5,995 | ) | $ | (524 | ) | ||||||
Energy Equipment & Services (0.2)% | |||||||||||
Helmerich & Payne, Inc. | (955 | ) | (67 | ) | |||||||
Keane Group, Inc.* | (6,558 | ) | (102 | ) | |||||||
Patterson-UTI Energy, Inc. | (2,429 | ) | (52 | ) | |||||||
ProPetro Holding Corp.* | (7,326 | ) | (134 | ) | |||||||
RPC, Inc. | (6,617 | ) | (119 | ) | |||||||
Superior Energy Services, Inc.* | (4,862 | ) | (52 | ) | |||||||
(526 | ) | ||||||||||
Equity Real Estate Investment Trusts (REITs) (0.4)% | |||||||||||
AvalonBay Communities, Inc. | (2,420 | ) | (395 | ) | |||||||
Equity Residential | (6,700 | ) | (413 | ) | |||||||
Prologis, Inc. | (306 | ) | (20 | ) | |||||||
Simon Property Group, Inc. | (2,820 | ) | (441 | ) | |||||||
(1,269 | ) | ||||||||||
Food & Staples Retailing (0.1)% | |||||||||||
CVS Health Corp. | (3,126 | ) | (218 | ) | |||||||
Health Care Providers & Services (0.1)% | |||||||||||
Cardinal Health, Inc. | (6,420 | ) | (412 | ) | |||||||
Hotels, Restaurants & Leisure (0.1)% | |||||||||||
Papa John's International, Inc. | (5,563 | ) | (345 | ) | |||||||
Household Durables (0.1)% | |||||||||||
Lennar Corp., Class A | (4,550 | ) | (241 | ) | |||||||
Household Products (0.1)% | |||||||||||
Spectrum Brands Holdings, Inc. | (2,453 | ) | (177 | ) | |||||||
Industrial Conglomerates (0.2)% | |||||||||||
General Electric Co. | (31,500 | ) | (443 | ) | |||||||
Internet Software & Services (0.5)% | |||||||||||
Alibaba Group Holding Ltd., ADR (China)* | (4,557 | ) | (814 | ) | |||||||
Zillow Group, Inc., Class C* | (12,900 | ) | (625 | ) | |||||||
(1,439 | ) |
See Notes to Consolidated Financial Statements
16
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
IT Services (0.3)% | |||||||||||
Alliance Data Systems Corp. | (1,705 | ) | $ | (346 | ) | ||||||
iPayment Holdings, Inc.*(c)(d) | (305,871 | ) | (123 | ) | |||||||
Western Union Co. (The) | (23,145 | ) | (457 | ) | |||||||
(926 | ) | ||||||||||
Media (0.7)% | |||||||||||
Discovery, Inc., Class A* | (2,010 | ) | (48 | ) | |||||||
EW Scripps Co. (The), Class A | (27,429 | ) | (305 | ) | |||||||
MSG Networks, Inc., Class A* | (18,669 | ) | (383 | ) | |||||||
New Media Investment Group, Inc. | (25,353 | ) | (420 | ) | |||||||
Omnicom Group, Inc. | (7,230 | ) | (533 | ) | |||||||
SES SA, FDR (Luxembourg) | (15,027 | ) | (232 | ) | |||||||
Sinclair Broadcast Group, Inc., Class A | (1,919 | ) | (54 | ) | |||||||
Twenty-First Century Fox, Inc., Class A | (3,400 | ) | (124 | ) | |||||||
(2,099 | ) | ||||||||||
Multi-Utilities (0.0)%(b) | |||||||||||
CenterPoint Energy, Inc. | (1,796 | ) | (45 | ) | |||||||
Oil, Gas & Consumable Fuels (0.1)% | |||||||||||
Concho Resources, Inc.* | (1,760 | ) | (276 | ) | |||||||
Euronav NV (Belgium) | (727 | ) | (6 | ) | |||||||
(282 | ) | ||||||||||
Personal Products (0.1)% | |||||||||||
Herbalife Nutrition Ltd.* | (3,590 | ) | (379 | ) | |||||||
Professional Services (0.1)% | |||||||||||
Nielsen Holdings plc | (11,795 | ) | (371 | ) | |||||||
Semiconductors & Semiconductor Equipment (0.2)% | |||||||||||
KLA-Tencor Corp. | (1,875 | ) | (191 | ) | |||||||
Marvell Technology Group Ltd. (Bermuda) | (19,627 | ) | (393 | ) | |||||||
(584 | ) |
Investments | Shares | Value (000) | |||||||||
Software (0.4)% | |||||||||||
Ellie Mae, Inc.* | (5,885 | ) | $ | (570 | ) | ||||||
Micro Focus International plc (United Kingdom) | (555 | ) | (10 | ) | |||||||
salesforce.com, Inc.* | (974 | ) | (118 | ) | |||||||
Snap, Inc., Class A* | (25,200 | ) | (361 | ) | |||||||
VMware, Inc., Class A* | (836 | ) | (111 | ) | |||||||
(1,170 | ) | ||||||||||
Specialty Retail (0.4)% | |||||||||||
Bed Bath & Beyond, Inc. | (6,499 | ) | (114 | ) | |||||||
Gap, Inc. (The) | (8,236 | ) | (241 | ) | |||||||
L Brands, Inc. | (3,036 | ) | (106 | ) | |||||||
Michaels Cos., Inc. (The)* | (5,236 | ) | (98 | ) | |||||||
Sally Beauty Holdings, Inc.* | (12,328 | ) | (213 | ) | |||||||
Signet Jewelers Ltd. | (2,117 | ) | (82 | ) | |||||||
Tailored Brands, Inc. | (3,213 | ) | (101 | ) | |||||||
TJX Cos., Inc. (The) | (4,020 | ) | (341 | ) | |||||||
(1,296 | ) | ||||||||||
Textiles, Apparel & Luxury Goods (0.3)% | |||||||||||
Fossil Group, Inc.* | (63,341 | ) | (947 | ) | |||||||
Thrifts & Mortgage Finance (0.4)% | |||||||||||
BofI Holding, Inc.* | (6,218 | ) | (251 | ) | |||||||
Genworth MI Canada, Inc. (Canada) | (12,600 | ) | (407 | ) | |||||||
Home Capital Group, Inc. (Canada)* | (35,960 | ) | (403 | ) | |||||||
(1,061 | ) | ||||||||||
Total Common Stocks (Proceeds $(22,158)) | (21,649 | ) | |||||||||
Exchange Traded Funds (0.8)% | |||||||||||
Alerian MLP ETF | (141,913 | ) | (1,433 | ) | |||||||
SPDR S&P Oil & Gas Equipment & Services ETF | (8,678 | ) | (148 | ) | |||||||
SPDR S&P Oil & Gas Exploration & Production ETF | (15,856 | ) | (625 | ) | |||||||
VanEck Vectors Oil Services ETF | (1,914 | ) | (52 | ) | |||||||
Total Exchange Traded Funds (Proceeds $(2,325)) | (2,258) |
Investments | Principal Amount | Value (000) | |||||||||
Corporate Bonds (0.4)% | |||||||||||
Diversified Telecommunication Services (0.1)% | |||||||||||
Frontier Communications Corp. 10.50%, 9/15/2022 | $ | (433,000 | ) | $ | (385 | ) | |||||
Multiline Retail (0.1)% | |||||||||||
Macy's Retail Holdings, Inc. 4.50%, 12/15/2034 | (406,000 | ) | (346 | ) | |||||||
Oil, Gas & Consumable Fuels (0.1)% | |||||||||||
SM Energy Co. 6.50%, 1/1/2023 | (131,000) | (133) | |||||||||
6.75%, 9/15/2026 | (115,000 | ) | (118 | ) | |||||||
(251 | ) | ||||||||||
Specialty Retail (0.1)% | |||||||||||
Gap, Inc. (The) 5.95%, 4/12/2021 | (226,000 | ) | (238 | ) | |||||||
Total Corporate Bonds (Proceeds $(1,217)) | (1,220 | ) | |||||||||
Shares | |||||||||||
Master Limited Partnerships (0.1)% | |||||||||||
Oil, Gas & Consumable Fuels (0.1)% | |||||||||||
Andeavor Logistics LP | (3,028 | ) | (128 | ) | |||||||
Shell Midstream Partners LP | (595 | ) | (13 | ) | |||||||
Spectra Energy Partners LP | (357 | ) | (13 | ) | |||||||
Total Master Limited Partnerships (Proceeds $(160)) | (154 | ) | |||||||||
Preferred Stocks (0.0)%(b) | |||||||||||
IT Services (0.0)%(b) | |||||||||||
iPayment Holdings, Inc., 0.00%,*(c)(d) (Proceeds $(306)) | (1,958 | ) | (108 | ) | |||||||
Total Short Positions (Proceeds $(26,166)) | (25,389 | ) | |||||||||
Total Investments 82.4% (Cost $231,449) | 236,776 | ||||||||||
Other Assets Less Liabilities 17.6%(u)(v) | 50,561 | ||||||||||
Net Assets 100.0% | $ | 287,337 |
See Notes to Consolidated Financial Statements
17
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
* Non-income producing security.
(a) All or a portion of this security is pledged with the custodian for securities sold short and/or options written.
(b) Represents less than 0.05% of net assets.
(c) Illiquid security.
(d) Value determined using significant unobservable inputs.
(e) Security fair valued as of April 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2018 amounted to approximately $96,000, which represents 0.0% of net assets of the Fund.
(f) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. At April 30, 2018, the total value of these securities amounted to approximately $1,953,000 which represents 0.7% of net assets of the Fund.
(g) Amount less than one thousand.
(h) Securities were purchased or sold short under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act"), or are otherwise restricted and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2018, these securities amounted to approximately $43,495,000 of long positions, which represents 15.1% of net assets of the Fund. Securities denoted with "(h)" but without "(c)" have been deemed by the investment manager to be liquid.
(i) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2018 and changes periodically.
(j) Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of April 30, 2018.
(k) Step bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future at a contingent upon predetermined trigger. The interest rate shown was the current rate as of April 30, 2018.
(l) All or a portion of this security was purchased on a delayed delivery basis.
(m) All or a portion of this security had not settled as of April 30, 2018 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
(n) Defaulted security.
(o) Payment in-kind security.
(p) Perpetual security. The rate reflected was the rate in effect on April 30, 2018. The maturity date reflects the next call date.
(q) Represents 7-day effective yield as of April 30, 2018.
(r) All or a portion of this security is segregated in connection with obligations for futures, swaps, options written, and/or forward foreign currency contracts with a total value of approximately $83,746,000.
(s) See "Purchased option contracts" under Derivative Instruments.
(t) At April 30, 2018 the Fund had approximately $20,533,000 deposited in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
See Notes to Consolidated Financial Statements
18
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
(u) Includes the impact of the Fund's open positions in derivatives at April 30, 2018.
(v) As of April 30, 2018, the value of unfunded loan commitments was approximately $87,000 (See Note A of the Notes to Consolidated Financial Statements).
Abbreviations
ADR American Depositary Receipt
CLO Collateralized Loan Obligations
CVR Contingent Value Rights
ETF Exchange Traded Fund
FDR Fiduciary Depositary Receipt
FNMA Federal National Mortgage Association
GDR Global depositary receipt
ICE Intercontinental Exchange
LIBOR London Interbank Offered Rate
PJSC Public Joint Stock Company
SA Société Anonyme
SpA Società per Azioni
SPDR Standard & Poor's Depositary Receipts
USD United States Dollar
Derivative Instruments
Futures contracts ("futures")
At April 30, 2018, open positions in futures for the Fund were as follows:
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Long Contracts | |||||||||||||||||||
Brent Crude Oil | 48 | 5/2018 | $ | 3,585,120 | $ | 37,359 | |||||||||||||
Hang Seng Index | 1 | 5/2018 | 195,352 | 3,973 | |||||||||||||||
NY Harbor ULSD | 27 | 5/2018 | 2,437,306 | 27,015 | |||||||||||||||
RBOB Gasoline | 19 | 5/2018 | 1,700,378 | 16,670 | |||||||||||||||
SGX NIFTY 50 Index | 46 | 5/2018 | 992,220 | 7,946 | |||||||||||||||
WTI Crude Oil | 32 | 5/2018 | 2,194,240 | 22,677 | |||||||||||||||
100 oz Gold | 4 | 6/2018 | 527,680 | (14,638 | ) | ||||||||||||||
EURO STOXX 50 Index | 8 | 6/2018 | 335,616 | 4,142 | |||||||||||||||
Euro-Bobl | 39 | 6/2018 | 6,169,628 | (4,839 | ) | ||||||||||||||
Euro-BTP | 9 | 6/2018 | 1,510,816 | 26,250 | |||||||||||||||
Euro-BTP | 48 | 6/2018 | 8,057,687 | 29,599 | |||||||||||||||
Euro-Bund | 25 | 6/2018 | 4,792,361 | 1,804 | |||||||||||||||
Euro-Buxl | 6 | 6/2018 | 1,184,945 | (7,758 | ) | ||||||||||||||
Euro-OAT | 2 | 6/2018 | 371,482 | (1,121 | ) | ||||||||||||||
Foreign Exchange USD/NOK | 2 | 6/2018 | 199,444 | 5,969 | |||||||||||||||
Foreign Exchange USD/SEK | 3 | 6/2018 | 298,950 | 18,166 | |||||||||||||||
FTSE 100 Index | 7 | 6/2018 | 718,913 | 8,859 |
See Notes to Consolidated Financial Statements
19
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Long Gilt | 5 | 6/2018 | $ | 841,577 | $ | 1,647 | |||||||||||||
Long Gilt | 9 | 6/2018 | 1,514,838 | 7,111 | |||||||||||||||
Low Sulphur Gasoil | 36 | 6/2018 | 2,341,800 | 33,805 | |||||||||||||||
NASDAQ 100 E-Mini Index | 1 | 6/2018 | 132,260 | (4,202 | ) | ||||||||||||||
Nikkei 225 Mini Index | 17 | 6/2018 | 350,046 | 6,187 | |||||||||||||||
Russell 2000 E-Mini Index | 3 | 6/2018 | 231,570 | (5,925 | ) | ||||||||||||||
Cocoa | 33 | 7/2018 | 932,250 | 67,022 | |||||||||||||||
Copper | 3 | 7/2018 | 230,550 | (6,768 | ) | ||||||||||||||
Corn | 20 | 7/2018 | 400,750 | 5,388 | |||||||||||||||
Cotton No. 2 | 15 | 7/2018 | 628,800 | 2,750 | |||||||||||||||
Wheat | 1 | 7/2018 | 25,525 | (127 | ) | ||||||||||||||
3 Month Sterling | 111 | 12/2019 | 18,864,851 | (102 | ) | ||||||||||||||
3 Month Euro Euribor | 107 | 9/2020 | 32,199,930 | 3,204 | |||||||||||||||
Total Long Contracts | $ | 93,966,885 | $ | 292,063 | |||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Short Contracts | |||||||||||||||||||
Canada 10 Year Bond | (27 | ) | 6/2018 | $ | (2,764,243 | ) | $ | (9,280 | ) | ||||||||||
Canada 10 Year Bond | (11 | ) | 6/2018 | (1,126,173 | ) | (1,903 | ) | ||||||||||||
CBOE Volatility Index | (1 | ) | 6/2018 | (16,925 | ) | (325 | ) | ||||||||||||
Foreign Exchange AUD/USD | (114 | ) | 6/2018 | (8,584,200 | ) | 266,066 | |||||||||||||
Foreign Exchange CAD/USD | (7 | ) | 6/2018 | (545,580 | ) | 411 | |||||||||||||
Foreign Exchange CHF/USD | (2 | ) | 6/2018 | (253,300 | ) | 10,844 | |||||||||||||
Foreign Exchange EUR/USD | (163 | ) | 6/2018 | (24,700,613 | ) | 595,929 | |||||||||||||
Foreign Exchange GBP/USD | (18 | ) | 6/2018 | (1,549,800 | ) | 3,159 | |||||||||||||
Foreign Exchange JPY/USD | (13 | ) | 6/2018 | (1,491,425 | ) | 26,788 | |||||||||||||
Foreign Exchange NZD/USD | (11 | ) | 6/2018 | (774,180 | ) | 32,890 | |||||||||||||
Japan 10 Year Bond | (11 | ) | 6/2018 | (15,157,702 | ) | 8,883 | |||||||||||||
Live Cattle | (11 | ) | 6/2018 | (466,840 | ) | (2,888 | ) | ||||||||||||
S&P 500 E-Mini Index | (21 | ) | 6/2018 | (2,779,350 | ) | 131,950 | |||||||||||||
S&P 500 E-Mini Index | (1 | ) | 6/2018 | (132,350 | ) | 1,223 | |||||||||||||
Sugar No. 11 | (49 | ) | 6/2018 | (644,840 | ) | 8,639 | |||||||||||||
U.S. Treasury 10 Year Note | (68 | ) | 6/2018 | (8,134,500 | ) | 5,929 | |||||||||||||
U.S. Treasury 10 Year Note | (13 | ) | 6/2018 | (1,555,125 | ) | (2,069 | ) | ||||||||||||
U.S. Treasury 5 Year Note | (59 | ) | 6/2018 | (6,696,961 | ) | 7,485 | |||||||||||||
U.S. Treasury Long Bond | (21 | ) | 6/2018 | (3,020,719 | ) | (12,591 | ) | ||||||||||||
Coffee 'C' | (13 | ) | 7/2018 | (598,650 | ) | (14,322 | ) | ||||||||||||
Silver | (4 | ) | 7/2018 | (328,020 | ) | 1,522 | |||||||||||||
3 Month Canadian Bankers' Acceptance | (64 | ) | 3/2019 | (12,171,814 | ) | (3,380 | ) | ||||||||||||
3 Month Eurodollar | (212 | ) | 3/2020 | (51,415,299 | ) | 54,925 |
See Notes to Consolidated Financial Statements
20
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
3 Month Eurodollar | (204 | ) | 9/2020 | $ | (49,464,900 | ) | $ | 49,489 | |||||||||||
Total Short Contracts | $ | (194,373,509 | ) | $ | 1,159,374 | ||||||||||||||
Total Futures | $ | 1,451,437 |
For the six months ended April 30, 2018, the average notional value of futures for the Fund was $38,285,725 for long positions and $(120,272,484) for short positions. The Fund had $2,466,435 deposited in segregated accounts to cover margin requirements on open futures.
Forward foreign currency contracts ("forward contracts")
At April 30, 2018, open forward contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
USD | 1,021,562 | CHF | 982,581 | JPMorgan Chase Bank, NA | 5/11/2018 | $ | 29,245 | ||||||||||||||||||||
USD | 4,349,668 | EUR | 3,524,104 | JPMorgan Chase Bank, NA | 5/11/2018 | 91,217 | |||||||||||||||||||||
USD | 4,736,290 | GBP | 3,332,902 | JPMorgan Chase Bank, NA | 5/11/2018 | 146,027 | |||||||||||||||||||||
USD | 2,430,738 | HKD | 19,064,560 | JPMorgan Chase Bank, NA | 5/11/2018 | 1,017 | |||||||||||||||||||||
USD | 296,626 | SEK | 2,491,973 | JPMorgan Chase Bank, NA | 5/11/2018 | 11,835 | |||||||||||||||||||||
AUD | 420,000 | JPY | 34,168,208 | Societe Generale | 6/20/2018 | 2,610 | |||||||||||||||||||||
CAD | 590,000 | USD | 458,396 | Societe Generale | 6/20/2018 | 1,664 | |||||||||||||||||||||
EUR | 2,139,038 | PLN | 9,040,000 | Societe Generale | 6/20/2018 | 15,475 | |||||||||||||||||||||
EUR | 650,000 | TRY | 3,170,614 | Societe Generale | 6/20/2018 | 19,463 | |||||||||||||||||||||
INR** | 36,580,000 | USD | 544,583 | Societe Generale | 6/20/2018 | 2,322 | |||||||||||||||||||||
JPY | 345,239,943 | AUD | 4,170,000 | Societe Generale | 6/20/2018 | 29,146 | |||||||||||||||||||||
KRW** | 75,310,000 | USD | 70,075 | Societe Generale | 6/20/2018 | 328 | |||||||||||||||||||||
MXN | 16,410,000 | USD | 867,095 | Societe Generale | 6/20/2018 | 3,449 | |||||||||||||||||||||
PHP** | 9,490,000 | USD | 181,912 | Societe Generale | 6/20/2018 | 1,281 | |||||||||||||||||||||
TRY | 1,475,487 | EUR | 290,000 | Societe Generale | 6/20/2018 | 6,079 | |||||||||||||||||||||
TRY | 980,000 | USD | 231,950 | Societe Generale | 6/20/2018 | 5,583 | |||||||||||||||||||||
TRY | 230,000 | ZAR | 682,863 | Societe Generale | 6/20/2018 | 1,329 | |||||||||||||||||||||
USD | 7,290,680 | AUD | 9,490,000 | Societe Generale | 6/20/2018 | 145,093 | |||||||||||||||||||||
USD | 3,016,746 | BRL** | 10,250,000 | Societe Generale | 6/20/2018 | 105,077 | |||||||||||||||||||||
USD | 1,994,765 | CAD | 2,550,000 | Societe Generale | 6/20/2018 | 6,373 | |||||||||||||||||||||
USD | 2,422,751 | CHF | 2,310,000 | Societe Generale | 6/20/2018 | 81,508 | |||||||||||||||||||||
USD | 393,250 | CLP** | 239,420,000 | Societe Generale | 6/20/2018 | 2,966 | |||||||||||||||||||||
USD | 12,251,230 | EUR | 9,940,000 | Societe Generale | 6/20/2018 | 201,509 | |||||||||||||||||||||
USD | 3,940,646 | GBP | 2,810,000 | Societe Generale | 6/20/2018 | 62,661 | |||||||||||||||||||||
USD | 669,718 | HUF | 172,159,997 | Societe Generale | 6/20/2018 | 4,915 | |||||||||||||||||||||
USD | 2,223,410 | ILS | 7,800,000 | Societe Generale | 6/20/2018 | 49,630 | |||||||||||||||||||||
USD | 4,044,049 | INR** | 267,090,000 | Societe Generale | 6/20/2018 | 50,807 | |||||||||||||||||||||
USD | 5,344,814 | JPY | 571,600,001 | Societe Generale | 6/20/2018 | 98,048 | |||||||||||||||||||||
USD | 976,901 | KRW** | 1,041,870,000 | Societe Generale | 6/20/2018 | 2,919 | |||||||||||||||||||||
USD | 2,099,639 | MXN | 39,220,000 | Societe Generale | 6/20/2018 | 19,033 | |||||||||||||||||||||
USD | 3,189,741 | NOK | 25,090,000 | Societe Generale | 6/20/2018 | 56,550 |
See Notes to Consolidated Financial Statements
21
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
USD | 3,225,280 | NZD | 4,500,000 | Societe Generale | 6/20/2018 | $ | 59,456 | ||||||||||||||||||||
USD | 2,636,040 | PLN | 9,080,000 | Societe Generale | 6/20/2018 | 47,071 | |||||||||||||||||||||
USD | 1,798,435 | SEK | 14,950,000 | Societe Generale | 6/20/2018 | 84,492 | |||||||||||||||||||||
USD | 5,388,633 | SGD | 7,100,000 | Societe Generale | 6/20/2018 | 28,283 | |||||||||||||||||||||
USD | 129,270 | THB | 4,030,000 | Societe Generale | 6/20/2018 | 1,397 | |||||||||||||||||||||
USD | 1,103,422 | TRY | 4,470,000 | Societe Generale | 6/20/2018 | 19,980 | |||||||||||||||||||||
USD | 837,958 | ZAR | 10,340,000 | Societe Generale | 6/20/2018 | 13,932 | |||||||||||||||||||||
ZAR | 1,007,818 | TRY | 330,000 | Societe Generale | 6/20/2018 | 331 | |||||||||||||||||||||
CAD | 3,638,000 | USD | 2,784,793 | JPMorgan Chase Bank, NA | 6/21/2018 | 52,061 | |||||||||||||||||||||
USD | 308,029 | CAD | 394,000 | JPMorgan Chase Bank, NA | 6/21/2018 | 794 | |||||||||||||||||||||
USD | 796,367 | EUR | 642,977 | JPMorgan Chase Bank, NA | 6/29/2018 | 16,346 | |||||||||||||||||||||
USD | 669,248 | SEK | 5,556,502 | JPMorgan Chase Bank, NA | 6/29/2018 | 31,749 | |||||||||||||||||||||
Total unrealized appreciation | $ | 1,611,051 | |||||||||||||||||||||||||
USD | 15,901 | TRY | 65,815 | JPMorgan Chase Bank, NA | 5/11/2018 | $ | (256 | ) | |||||||||||||||||||
AUD | 2,210,000 | JPY | 183,587,490 | Societe Generale | 6/20/2018 | (21,125 | ) | ||||||||||||||||||||
AUD | 5,510,000 | USD | 4,292,893 | Societe Generale | 6/20/2018 | (144,086 | ) | ||||||||||||||||||||
BRL** | 3,560,000 | USD | 1,061,360 | Societe Generale | 6/20/2018 | (50,088 | ) | ||||||||||||||||||||
CAD | 3,320,000 | USD | 2,631,534 | Societe Generale | 6/20/2018 | (42,724 | ) | ||||||||||||||||||||
CHF | 1,580,000 | USD | 1,659,574 | Societe Generale | 6/20/2018 | (58,205 | ) | ||||||||||||||||||||
CLP** | 889,760,000 | USD | 1,478,931 | Societe Generale | 6/20/2018 | (28,510 | ) | ||||||||||||||||||||
EUR | 65,683 | PLN | 280,000 | Societe Generale | 6/20/2018 | (212 | ) | ||||||||||||||||||||
EUR | 650,000 | TRY | 3,329,745 | Societe Generale | 6/20/2018 | (19,107 | ) | ||||||||||||||||||||
EUR | 9,840,000 | USD | 12,214,553 | Societe Generale | 6/20/2018 | (286,059 | ) | ||||||||||||||||||||
GBP | 5,130,000 | USD | 7,224,206 | Societe Generale | 6/20/2018 | (144,472 | ) | ||||||||||||||||||||
HUF | 250,370,001 | USD | 994,343 | Societe Generale | 6/20/2018 | (27,527 | ) | ||||||||||||||||||||
ILS | 3,140,000 | USD | 913,539 | Societe Generale | 6/20/2018 | (38,454 | ) | ||||||||||||||||||||
INR** | 139,070,000 | USD | 2,120,535 | Societe Generale | 6/20/2018 | (41,309 | ) | ||||||||||||||||||||
JPY | 66,007,878 | AUD | 810,000 | Societe Generale | 6/20/2018 | (4,005 | ) | ||||||||||||||||||||
JPY | 604,950,001 | USD | 5,716,841 | Societe Generale | 6/20/2018 | (163,951 | ) | ||||||||||||||||||||
KRW** | 3,265,860,000 | USD | 3,075,440 | Societe Generale | 6/20/2018 | (22,387 | ) | ||||||||||||||||||||
MXN | 68,520,000 | USD | 3,723,713 | Societe Generale | 6/20/2018 | (88,751 | ) | ||||||||||||||||||||
NOK | 27,950,000 | USD | 3,607,313 | Societe Generale | 6/20/2018 | (116,973 | ) | ||||||||||||||||||||
NZD | 4,320,000 | USD | 3,163,993 | Societe Generale | 6/20/2018 | (124,801 | ) | ||||||||||||||||||||
PLN | 9,340,000 | EUR | 2,220,601 | Societe Generale | 6/20/2018 | (28,812 | ) | ||||||||||||||||||||
PLN | 9,100,000 | USD | 2,676,403 | Societe Generale | 6/20/2018 | (81,731 | ) | ||||||||||||||||||||
SEK | 4,570,000 | USD | 551,207 | Societe Generale | 6/20/2018 | (27,279 | ) | ||||||||||||||||||||
SGD | 10,290,000 | USD | 7,847,413 | Societe Generale | 6/20/2018 | (78,679 | ) | ||||||||||||||||||||
THB | 39,670,000 | USD | 1,273,031 | Societe Generale | 6/20/2018 | (14,300 | ) | ||||||||||||||||||||
TRY | 2,145,719 | EUR | 430,000 | Societe Generale | 6/20/2018 | (1,183 | ) | ||||||||||||||||||||
TRY | 4,320,000 | USD | 1,057,363 | Societe Generale | 6/20/2018 | (10,276 | ) | ||||||||||||||||||||
TRY | 60,000 | ZAR | 182,903 | Societe Generale | 6/20/2018 | (33 | ) | ||||||||||||||||||||
USD | 1,975,330 | CAD | 2,550,000 | Societe Generale | 6/20/2018 | (13,063 | ) | ||||||||||||||||||||
USD | 812,072 | GBP | 590,000 | Societe Generale | 6/20/2018 | (2,167 | ) | ||||||||||||||||||||
USD | 303,157 | INR** | 20,380,000 | Societe Generale | 6/20/2018 | (1,543 | ) |
See Notes to Consolidated Financial Statements
22
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
USD | 532,706 | JPY | 58,060,000 | Societe Generale | 6/20/2018 | $ | (232 | ) | |||||||||||||||||||
USD | 1,637,838 | KRW** | 1,760,360,000 | Societe Generale | 6/20/2018 | (7,816 | ) | ||||||||||||||||||||
USD | 1,713,653 | MXN | 32,560,000 | Societe Generale | 6/20/2018 | (13,644 | ) | ||||||||||||||||||||
USD | 1,809,656 | PHP** | 94,950,000 | Societe Generale | 6/20/2018 | (23,239 | ) | ||||||||||||||||||||
USD | 1,712,656 | SGD | 2,270,000 | Societe Generale | 6/20/2018 | (1,147 | ) | ||||||||||||||||||||
USD | 21,531 | THB | 680,000 | Societe Generale | 6/20/2018 | (46 | ) | ||||||||||||||||||||
USD | 829,503 | TRY | 3,460,000 | Societe Generale | 6/20/2018 | (9,134 | ) | ||||||||||||||||||||
ZAR | 1,605,672 | TRY | 550,000 | Societe Generale | 6/20/2018 | (5,348 | ) | ||||||||||||||||||||
ZAR | 15,000,000 | USD | 1,247,203 | Societe Generale | 6/20/2018 | (51,804 | ) | ||||||||||||||||||||
CAD | 461,000 | USD | 362,920 | JPMorgan Chase Bank, NA | 6/21/2018 | (3,440 | ) | ||||||||||||||||||||
EUR | 1,602,000 | USD | 1,979,554 | JPMorgan Chase Bank, NA | 6/21/2018 | (37,377 | ) | ||||||||||||||||||||
USD | 101,205 | CAD | 130,000 | JPMorgan Chase Bank, NA | 6/21/2018 | (167 | ) | ||||||||||||||||||||
SEK | 64,051 | USD | 7,756 | JPMorgan Chase Bank, NA | 6/29/2018 | (407 | ) | ||||||||||||||||||||
Total unrealized depreciation | $ | (1,835,869 | ) | ||||||||||||||||||||||||
Net unrealized depreciation | $ | (224,818 | ) |
** Non-deliverable forward.
For the six months ended April 30, 2018, the average notional value of forward contracts for the Fund was $(11,011,125). The Fund had cash collateral of $125,468 and $1,757,684 deposited in a segregated account for JPMorgan Chase Bank, NA and Societe Generale, respectively.
Credit default swap contracts ("credit default swaps")
At April 30, 2018, the Fund had outstanding credit default swap contracts as follows:
OTC Credit Default Swaps — Buy Protection
Reference Entity | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Maturity Date | Notional Amount | Upfront Payments/ (Receipts) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | ||||||||||||||||||||||||||||||
Assured Guaranty Municipal Corp., debt obligations | 5.00 | % | quarterly | JPMorgan Chase Bank, NA | 12/20/2021 | $ | 2,000,000 | $ | (216,124 | ) | $ | (80,544 | ) | $ | (11,666 | ) | $ | (308,334 | ) | ||||||||||||||||||||
Gap, Inc. (The), 5.95%, 04/12/2021 | 1.00 | quarterly | JPMorgan Chase Bank, NA | 12/20/2021 | 1,000,000 | 84,176 | (94,153 | ) | (1,167 | ) | (11,144 | ) | |||||||||||||||||||||||||||
Hertz Corp. (The), 5.88%, 10/15/2020 | 5.00 | quarterly | JPMorgan Chase Bank, NA | 12/20/2020 | 1,000,000 | — | (5,462 | ) | (5,833 | ) | (11,295 | ) | |||||||||||||||||||||||||||
Hertz Corp. (The), 5.88%, 10/15/2020 | 5.00 | quarterly | JPMorgan Chase Bank, NA | 6/20/2022 | 1,000,000 | 161,223 | (110,615 | ) | (5,833 | ) | 44,775 |
See Notes to Consolidated Financial Statements
23
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Maturity Date | Notional Amount | Upfront Payments/ (Receipts) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | ||||||||||||||||||||||||||||||
International Lease Finance Corp., 8.25%, 12/15/2020 | 5.00 | % | quarterly | JPMorgan Chase Bank, NA | 12/20/2021 | $ | 1,000,000 | $ | (108,172 | ) | $ | (43,999 | ) | $ | (5,833 | ) | $ | (158,004 | ) | ||||||||||||||||||||
Kohl's Corp., 4.00%, 11/01/2021 | 1.00 | quarterly | JPMorgan Chase Bank, NA | 12/20/2021 | 1,000,000 | 46,421 | (55,256 | ) | (1,167 | ) | (10,002 | ) | |||||||||||||||||||||||||||
Macy's, Inc., 3.45%, 01/15/2021 | 1.00 | quarterly | JPMorgan Chase Bank, NA | 12/20/2022 | 1,000,000 | 96,776 | (64,540 | ) | (1,167 | ) | 31,069 | ||||||||||||||||||||||||||||
Nordstrom, Inc., 6.95%, 03/15/2028 | 1.00 | quarterly | JPMorgan Chase Bank, NA | 12/20/2021 | 1,000,000 | 20,098 | (12,827 | ) | (1,167 | ) | 6,104 | ||||||||||||||||||||||||||||
Staples, Inc., 2.75%, 01/12/2018 | 1.00 | quarterly | JPMorgan Chase Bank, NA | 12/20/2021 | 2,000,000 | 93,707 | 112,102 | (2,334 | ) | 203,475 | |||||||||||||||||||||||||||||
Total credit default swaps | $ | 178,105 | $ | (355,294 | ) | $ | (36,167 | ) | $ | (213,356 | ) |
For the six months ended April 30, 2018, the average notional value of credit default swaps for the Fund was $16,373,686 for buy protection.
Currency Abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
EUR Euro
GBP Pound Sterling
HKD Hong Kong Dollar
HUF Hungarian Forint
ILS Israeli New Shekel
INR Indian Rupee
JPY Japanese Yen
KRW Korean Won
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PHP Philippine Peso
PLN Polish Zloty
SEK Swedish Krona
SGD Singapore Dollar
THB Thailand Baht
TRY Turkish Lira
USD United States Dollar
ZAR South African Rand
See Notes to Consolidated Financial Statements
24
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Equity swap contracts ("equity swaps")
At April 30, 2018, the Fund had outstanding equity swaps* as follows:
Counterparty | Description | Maturity Dates | Absolute Notional Value | Net Unrealized Appreciation/ (Depreciation) | Financing Costs and Other Receivables/ (Payables) | Value | |||||||||||||||||||||
JPMorgan Chase Bank, NA | The Fund receives the total return, and pays floating rates plus or minus a spread on a portfolio of long positions. The Fund pays the total return, and receives floating rates plus or minus a spread on a portfolio of short positions. The specified spreads range from –3.57% to 0.75%. The payments/ receipts, based on the specified benchmark floating rates (see table below), are denominated in various foreign currencies based on the local currencies of the positions within the swaps. Payments, if any, will be made at maturity. | 5/17/2018- 5/2/2019 | $32,265,282 | $789,871 | $(6,787) | $783,084 |
* The following table represents required component disclosures associated with the equity swaps as of April 30, 2018.
Reference Entity | Shares | Notional Amount(a) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Australia | |||||||||||||||
Mantra Group Ltd. | 101,736 | $ | 302,538 | $ | 3,888 | ||||||||||
Sirtex Medical Ltd. | 12,400 | 259,709 | 3,334 | ||||||||||||
7,222 | |||||||||||||||
Belgium | |||||||||||||||
TiGenix NV | 30,700 | 65,471 | 2,081 | ||||||||||||
Canada | |||||||||||||||
Cott Corp. | 43,130 | 616,759 | (45,504 | ) | |||||||||||
Germany | |||||||||||||||
Gerresheimer AG | 3,720 | 303,678 | 4,859 | ||||||||||||
Innogy SE | 1,000 | 44,114 | 258 | ||||||||||||
Linde AG | 569 | 126,465 | (3,092 | ) | |||||||||||
2,025 | |||||||||||||||
Ireland | |||||||||||||||
Smurfit Kappa Group plc | 250 | 10,675 | 314 |
See Notes to Consolidated Financial Statements
25
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Amount(a) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Italy | |||||||||||||||
Ansaldo STS SpA | 1,417 | $ | 21,219 | $ | 1,626 | ||||||||||
Buzzi Unicem SpA | 25,670 | 368,889 | (34,448 | ) | |||||||||||
Luxottica Group SpA | 1,500 | 93,758 | 81 | ||||||||||||
Yoox Net-A-Porter Group SpA | 13,600 | 622,281 | 4,747 | ||||||||||||
(27,994 | ) | ||||||||||||||
Netherlands | |||||||||||||||
Akzo Nobel NV | 4,625 | 418,328 | (30,385 | ) | |||||||||||
Gemalto NV | 8,225 | 495,434 | 4,097 | ||||||||||||
(26,288 | ) | ||||||||||||||
Spain | |||||||||||||||
Abertis Infraestructuras SA | 34,854 | 768,558 | 20,904 | ||||||||||||
Axiare Patrimonio SOCIMI SA | 9,965 | 211,553 | (9,922 | ) | |||||||||||
Obrascon Huarte Lain SA | 8,950 | 42,011 | (9,438 | ) | |||||||||||
1,544 | |||||||||||||||
Sweden | |||||||||||||||
Wilson Therapeutics AB | 1,068 | 28,174 | 343 | ||||||||||||
United Kingdom | |||||||||||||||
CityFibre Infrastructure Holdings plc | 21,591 | 23,690 | 208 | ||||||||||||
Fenner plc | 23,700 | 198,377 | (938 | ) | |||||||||||
Intu Properties plc | 3,100 | 8,335 | (1,760 | ) | |||||||||||
Ladbrokes Coral Group plc, CVR | 22,680 | 1,093 | 1,129 | (b)(c) | |||||||||||
Laird plc | 32,000 | 86,743 | (109 | ) | |||||||||||
Melrose Industries plc | 7,799 | 24,480 | 2,607 | ||||||||||||
NEX Group plc | 3,350 | 45,566 | (186 | ) | |||||||||||
Sky plc | 52,383 | 993,754 | 267,185 | ||||||||||||
Spire Healthcare Group plc | 7,267 | 22,810 | (1,223 | ) | |||||||||||
UBM plc | 4,650 | 61,968 | 5,603 | ||||||||||||
272,516 | |||||||||||||||
United States | |||||||||||||||
Associated Banc-Corp. | 24,704 | 653,421 | 45,643 | ||||||||||||
Broadcom, Inc. | 1,435 | 329,218 | (27,630 | ) | |||||||||||
CSX Corp. | 18,870 | 1,120,689 | 72,655 | ||||||||||||
DowDuPont, Inc. | 2,000 | 126,480 | (15,064 | ) | |||||||||||
DXC Technology Co. | 12,185 | 1,255,786 | 16,067 | ||||||||||||
EQT Corp. | 12,020 | 603,284 | 31,524 | ||||||||||||
Humana, Inc. | 925 | 272,117 | 21,081 | ||||||||||||
Tiffany & Co. | 1,655 | 170,184 | 8,330 |
See Notes to Consolidated Financial Statements
26
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Amount(a) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
United Technologies Corp. | 7,405 | $ | 889,711 | $ | (81,505 | ) | |||||||||
Wells Fargo & Co. | 14,946 | 776,594 | (70,386 | ) | |||||||||||
Worldpay, Inc. | 9,230 | 749,661 | 61,355 | ||||||||||||
Zayo Group Holdings, Inc. | 19,045 | 691,334 | 4,891 | ||||||||||||
Zimmer Biomet Holdings, Inc. | 6,200 | 714,054 | (10,927 | ) | |||||||||||
56,034 | |||||||||||||||
Total Long Positions of Equity Swaps | $ | 242,293 | |||||||||||||
Short Positions | |||||||||||||||
Belgium | |||||||||||||||
Euronav NV | (13,334 | ) | (108,126 | ) | 6,053 | ||||||||||
Canada | |||||||||||||||
Magna International, Inc. | (5,103 | ) | (301,077 | ) | (24,347 | ) | |||||||||
Maxar Technologies Ltd. | (3,760 | ) | (170,366 | ) | 50,212 | ||||||||||
National Bank of Canada | (12,600 | ) | (598,425 | ) | 33,093 | ||||||||||
58,958 | |||||||||||||||
Denmark | |||||||||||||||
Vestas Wind Systems A/S | (5,530 | ) | (358,706 | ) | 30,018 | ||||||||||
France | |||||||||||||||
Essilor International Cie Generale d'Optique SA | (691 | ) | (94,335 | ) | 927 | ||||||||||
Publicis Groupe SA | (6,165 | ) | (461,581 | ) | (36,533 | ) | |||||||||
(35,606 | ) | ||||||||||||||
Italy | |||||||||||||||
Buzzi Unicem SpA | (13,472 | ) | (340,994 | ) | 30,755 | ||||||||||
Netherlands | |||||||||||||||
Philips Lighting NV | (8,315 | ) | (253,440 | ) | 47,642 | ||||||||||
Spain | |||||||||||||||
Grifols SA | (3,214 | ) | (90,627 | ) | 310 | ||||||||||
Sweden | |||||||||||||||
Autoliv, Inc. | (1,605 | ) | (215,150 | ) | 11,590 | ||||||||||
Switzerland | |||||||||||||||
Roche Holding AG | (2,336 | ) | (520,591 | ) | 31,916 | ||||||||||
United Kingdom | |||||||||||||||
Informa plc | (5,052 | ) | (51,398 | ) | (4,828 | ) | |||||||||
Tesco plc | (1 | ) | (3 | ) | (1 | ) | |||||||||
(4,829 | ) | ||||||||||||||
United States | |||||||||||||||
Abercrombie & Fitch Co. | (11,012 | ) | (282,127 | ) | 13,043 | ||||||||||
American Eagle Outfitters, Inc. | (14,620 | ) | (302,342 | ) | (277 | ) | |||||||||
Apple, Inc. | (4,542 | ) | (750,611 | ) | 10,162 |
See Notes to Consolidated Financial Statements
27
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Amount(a) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Armstrong World Industries, Inc. | (5,294 | ) | $ | (296,464 | ) | $ | 32,921 | ||||||||
Boeing Co. (The) | (945 | ) | (315,214 | ) | (9,837 | ) | |||||||||
Campbell Soup Co. | (8,660 | ) | (353,155 | ) | 47,891 | ||||||||||
Cardinal Health, Inc. | (4,755 | ) | (305,128 | ) | 9,562 | ||||||||||
Children's Place, Inc. (The) | (1,781 | ) | (227,167 | ) | (4,187 | ) | |||||||||
Cigna Corp. | (1,925 | ) | (330,753 | ) | (10,098 | ) | |||||||||
Clorox Co. (The) | (1,830 | ) | (214,476 | ) | 28,335 | ||||||||||
CME Group, Inc. | (149 | ) | (23,494 | ) | 304 | ||||||||||
CubeSmart | (5,350 | ) | (157,504 | ) | (3,880 | ) | |||||||||
Dollar General Corp. | (3,213 | ) | (310,151 | ) | (783 | ) | |||||||||
Domino's Pizza, Inc. | (695 | ) | (168,002 | ) | (23,738 | ) | |||||||||
Flowers Foods, Inc. | (14,420 | ) | (326,036 | ) | (22,104 | ) | |||||||||
Fulton Financial Corp. | (22,645 | ) | (382,700 | ) | 13,050 | ||||||||||
Gap, Inc. (The) | (10,052 | ) | (293,920 | ) | 4,744 | ||||||||||
General Dynamics Corp. | (1,100 | ) | (221,441 | ) | 4,797 | ||||||||||
General Mills, Inc. | (7,005 | ) | (306,399 | ) | 61,884 | ||||||||||
Hologic, Inc. | (7,785 | ) | (301,980 | ) | 32,153 | ||||||||||
Home Depot, Inc. (The) | (2,227 | ) | (411,550 | ) | (12,762 | ) | |||||||||
Hormel Foods Corp. | (9,190 | ) | (333,137 | ) | (16,481 | ) | |||||||||
JM Smucker Co. (The) | (3,959 | ) | (451,643 | ) | 19,397 | ||||||||||
Kennametal, Inc. | (11,540 | ) | (420,633 | ) | 39,009 | ||||||||||
Landstar System, Inc. | (1,460 | ) | (148,409 | ) | 5,411 | ||||||||||
Lennox International, Inc. | (1,965 | ) | (379,972 | ) | 17,066 | ||||||||||
LyondellBasell Industries NV | (4,390 | ) | (464,155 | ) | 41,083 | ||||||||||
Middleby Corp. (The) | (2,470 | ) | (310,825 | ) | (5,572 | ) | |||||||||
Nielsen Holdings plc | (9,570 | ) | (300,976 | ) | 51,980 | ||||||||||
Omnicom Group, Inc. | (6,235 | ) | (459,270 | ) | 16,792 | ||||||||||
PACCAR, Inc. | (5,786 | ) | (368,395 | ) | 3,268 | ||||||||||
Praxair, Inc. | (876 | ) | (133,608 | ) | 1,600 | ||||||||||
Qorvo, Inc. | (6,245 | ) | (420,913 | ) | 51,114 | ||||||||||
Ralph Lauren Corp. | (2,165 | ) | (237,825 | ) | (3,570 | ) | |||||||||
Range Resources Corp. | (16,520 | ) | (228,802 | ) | (13,606 | ) | |||||||||
Realty Income Corp. | (5,990 | ) | (302,555 | ) | (12,377 | ) | |||||||||
Rexnord Corp. | (7,910 | ) | (217,604 | ) | 6,029 | ||||||||||
Robert Half International, Inc. | (8,210 | ) | (498,757 | ) | (32,734 | ) | |||||||||
Scotts Miracle-Gro Co. (The) | (4,520 | ) | (377,782 | ) | 70,932 | ||||||||||
Starbucks Corp. | (10,635 | ) | (612,257 | ) | 5,106 | ||||||||||
Tesla, Inc. | (1,082 | ) | (318,000 | ) | (6,378 | ) |
See Notes to Consolidated Financial Statements
28
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Amount(a) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Tractor Supply Co. | (2,430 | ) | $ | (165,240 | ) | $ | (19,750 | ) | |||||||
VF Corp. | (4,255 | ) | (344,102 | ) | (21,785 | ) | |||||||||
Whirlpool Corp. | (1,975 | ) | (306,026 | ) | 3,057 | ||||||||||
370,771 | |||||||||||||||
Total Short Positions of Equity Swaps | $ | 547,578 | |||||||||||||
Total Long and Short Positions of Equity Swaps JPMorgan Chase Bank, NA | $ | 789,871 |
Counterparty | Description | Maturity Dates | Absolute Notional Value | Net Unrealized Appreciation/ (Depreciation) | Financing Costs and Other Receivables/ (Payables) | Value | |||||||||||||||||||||
Morgan Stanley Capital Services LLC | The Fund receives the total return, and pays floating rates plus or minus a spread on a portfolio of long positions. The Fund pays the total return, and receives floating rates plus or minus a spread on a portfolio of short positions. The specified spreads range from –0.40% to 1.40%. The payments/receipts, based on the specified benchmark floating rates (see table below), are denominated in various foreign currencies based on the local currencies of the positions within the swaps. Payments, if any, will be made at maturity. | 9/17/2018- 12/3/2019 | $21,170,499 | $(406,888) | $3,320 | $ | (403,568 | ) |
* The following table represents required component disclosures associated with the equity swaps as of April 30, 2018.
Reference Entity | Shares | Notional Amount(a) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Brazil | |||||||||||||||
Hypera SA | 20,020 | $ | 180,015 | $ | 53,745 | ||||||||||
France | |||||||||||||||
Amundi SA | 1,968 | 167,500 | 63,862 | ||||||||||||
BNP Paribas SA | 7,675 | 592,988 | 122,986 | ||||||||||||
Danone SA | 16,278 | 1,318,809 | 64,074 | ||||||||||||
Iliad SA | 3,030 | 607,216 | (202,851 | ) | |||||||||||
JCDecaux SA | 3,589 | 128,375 | (29,591 | ) | |||||||||||
Publicis Groupe SA | 5,576 | 417,482 | 9,776 | ||||||||||||
28,256 |
See Notes to Consolidated Financial Statements
29
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Amount(a) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Ireland | |||||||||||||||
Ryanair Holdings plc | 55,326 | $ | 1,036,249 | $ | 57,816 | ||||||||||
Jordan | |||||||||||||||
Hikma Pharmaceuticals plc | 1,440 | 25,534 | 5,159 | ||||||||||||
Luxembourg | |||||||||||||||
Eurofins Scientific SE | 910 | 492,095 | 126,078 | ||||||||||||
South Africa | |||||||||||||||
Aspen Pharmacare Holdings Ltd. | 10,218 | 220,648 | 23,052 | ||||||||||||
South Korea | |||||||||||||||
NAVER Corp. | 312 | 209,159 | 40,292 | ||||||||||||
Switzerland | |||||||||||||||
LafargeHolcim Ltd. (Registered) | 12,993 | 725,825 | 141,616 | ||||||||||||
Nestle SA (Registered) | 23,703 | 1,841,228 | 103,021 | ||||||||||||
244,637 | |||||||||||||||
Turkey | |||||||||||||||
Migros Ticaret A/S | 25,481 | 143,021 | (63,423 | ) | |||||||||||
United Kingdom | |||||||||||||||
Admiral Group plc | 3,056 | 83,849 | 2,997 | ||||||||||||
Barclays plc | 47,721 | 136,158 | 8,930 | ||||||||||||
Burberry Group plc | 13,825 | 347,065 | 48,648 | ||||||||||||
Croda International plc | 3,368 | 206,844 | 8,320 | ||||||||||||
ITV plc | 26,308 | 54,925 | (3,016 | ) | |||||||||||
Pets at Home Group plc | 15,218 | 32,054 | (4,618 | ) | |||||||||||
Reckitt Benckiser Group plc | 7,590 | 595,811 | (17,594 | ) | |||||||||||
Smith & Nephew plc | 58,652 | 1,127,217 | 89,212 | ||||||||||||
Smiths Group plc | 607 | 13,350 | 979 | ||||||||||||
Sports Direct International plc | 65,638 | 363,986 | 22,563 | ||||||||||||
156,421 | |||||||||||||||
Total Long Positions of Equity Swaps | $ | 672,033 | |||||||||||||
Short Positions | |||||||||||||||
France | |||||||||||||||
Air France-KLM | (31,071 | ) | (305,349 | ) | (11,237 | ) | |||||||||
Electricite de France SA | (14,197 | ) | (199,731 | ) | (36,373 | ) | |||||||||
Kering SA | (1,125 | ) | (651,561 | ) | (414,465 | ) | |||||||||
Lagardere SCA | (12,685 | ) | (362,740 | ) | 38,757 | ||||||||||
LVMH Moet Hennessy Louis Vuitton SE | (3,289 | ) | (1,149,041 | ) | (439,070 | ) | |||||||||
Orange SA | (23,010 | ) | (419,999 | ) | 17,280 | ||||||||||
Pernod Ricard SA | (5,440 | ) | (903,613 | ) | 11,999 | ||||||||||
(833,109 | ) |
See Notes to Consolidated Financial Statements
30
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Reference Entity | Shares | Notional Amount(a) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Germany | |||||||||||||||
adidas AG | (2,392 | ) | $ | (588,981 | ) | $ | (127,193 | ) | |||||||
Deutsche Lufthansa AG (Registered) | (13,330 | ) | (389,072 | ) | (151,388 | ) | |||||||||
Deutsche Telekom AG (Registered) | (26,627 | ) | (466,083 | ) | 61,368 | ||||||||||
(217,213 | ) | ||||||||||||||
Italy | |||||||||||||||
Eni SpA | (23,038 | ) | (450,695 | ) | (60,161 | ) | |||||||||
Netherlands | |||||||||||||||
Koninklijke Ahold Delhaize NV | (25,992 | ) | (627,916 | ) | 29,909 | ||||||||||
Switzerland | |||||||||||||||
Givaudan SA (Registered) | (190 | ) | (425,439 | ) | (59,904 | ) | |||||||||
Roche Holding AG | (836 | ) | (186,307 | ) | 39,903 | ||||||||||
(20,001 | ) | ||||||||||||||
United Kingdom | |||||||||||||||
Bunzl plc | (15,134 | ) | (439,826 | ) | 50 | ||||||||||
GlaxoSmithKline plc | (13,508 | ) | (271,769 | ) | (33,712 | ) | |||||||||
Marks & Spencer Group plc | (323,679 | ) | (1,282,017 | ) | 112,401 | ||||||||||
Unilever NV | (9,490 | ) | (543,783 | ) | (6,467 | ) | |||||||||
72,272 | |||||||||||||||
United States | |||||||||||||||
Merck & Co., Inc. | (3,610 | ) | (212,521 | ) | (20,582 | ) | |||||||||
Pfizer, Inc. | (6,191 | ) | (226,653 | ) | (30,036 | ) | |||||||||
(50,618 | ) | ||||||||||||||
Total Short Positions of Equity Swaps | $ | (1,078,921 | ) | ||||||||||||
Total Long and Short Positions of Equity Swaps Morgan Stanley Capital Services LLC | $ | (406,888 | ) |
(a) For the six months ended April 30, 2018, the average notional value of equity swaps for the Fund as $22,129,726 for long positions and $(22,842,964) for short positions.
(b) Illiquid security.
(c) Value determined using significant unobservable input.
At April 30, 2018, the Fund had cash collateral of $6,534,531 and $4,630,000 deposited in a segregated account for JPMorgan Chase Bank, NA and Morgan Stanley Capital Services LLC, respectively, to cover collateral requirements on OTC derivatives.
Benchmark Floating Rates | Value at Period End | ||||||
Australian Bank-Bill Swap Reference Rate | 1.90 | % | |||||
CDOR — Canadian Dollar Offered Rate | 1.64 | ||||||
CIBOR — Copenhagen Interbank Rate | (0.35 | ) |
See Notes to Consolidated Financial Statements
31
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Benchmark Floating Rates | Value at Period End | ||||||
EONIA — Euro Overnight Index Average Rate | (0.36 | )% | |||||
EURIBOR — Euro Interbank Offered Rate | (0.37 | ) | |||||
Federal Funds Floating Rate | 1.69 | ||||||
LIBOR (CHF) — London Interbank Offered Rate | (0.79 | ) | |||||
LIBOR (EUR) — London Interbank Offered Rate | (0.40 | ) | |||||
LIBOR (GBP) — London Interbank Offered Rate | 0.51 | ||||||
LIBOR (USD) — London Interbank Offered Rate | 1.91 | ||||||
SARON — Swiss Average Overnight Rate | (0.73 | ) | |||||
SONIA — Sterling Overnight Index Average Rate | 0.45 | ||||||
STIBOR — Stockholm Interbank Offered Rate | (0.47 | ) |
Purchased option contracts ("options purchased")
At April 30, 2018, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Oil, Gas & Consumable Fuels | |||||||||||||||||||||||
Boardwalk Pipeline Partners LP | 67 | $ | 76,179 | $ | 11 | 6/15/2018 | $ | 4,187 | |||||||||||||||
Boardwalk Pipeline Partners LP | 295 | 335,415 | 13 | 6/15/2018 | 4,425 | ||||||||||||||||||
Boardwalk Pipeline Partners LP | 164 | 186,468 | 13 | 9/21/2018 | 4,510 | ||||||||||||||||||
Energy Transfer Equity LP | 121 | 191,180 | 15 | 6/15/2018 | 12,705 | ||||||||||||||||||
Energy Transfer Equity LP | 166 | 262,280 | 18 | 7/20/2018 | 2,490 | ||||||||||||||||||
Energy Transfer Partners LP | 52 | 93,704 | 17 | 6/15/2018 | 5,850 | ||||||||||||||||||
Enterprise Products Partners LP | 261 | 700,524 | 27 | 6/15/2018 | 19,575 | ||||||||||||||||||
Kinder Morgan, Inc. | 241 | 381,262 | 17 | 6/15/2018 | 3,253 | ||||||||||||||||||
Kinder Morgan, Inc. | 177 | 280,014 | 18 | 6/15/2018 | 797 | ||||||||||||||||||
Kinder Morgan, Inc. | 57 | 90,174 | 15 | 9/21/2018 | 8,094 | ||||||||||||||||||
65,886 | |||||||||||||||||||||||
Total calls | $ | 65,886 | |||||||||||||||||||||
Puts | |||||||||||||||||||||||
Automobiles | |||||||||||||||||||||||
Tesla, Inc. | 5 | 146,950 | 265 | 9/21/2018 | 12,487 | ||||||||||||||||||
Exchange Traded Funds | |||||||||||||||||||||||
iShares Russell 2000 ETF | 451 | 6,914,732 | 140 | 6/29/2018 | 38,561 | ||||||||||||||||||
Total puts | $ | 51,048 | |||||||||||||||||||||
Total options purchased (cost $215,916) | $ | 116,934 |
See Notes to Consolidated Financial Statements
32
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Written option contracts ("options written")
At April 30, 2018, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Electronic Equipment, Instruments & Components | |||||||||||||||||||||||
VeriFone Systems, Inc. | 11 | $ | (25,311 | ) | $ | 23 | 7/20/2018 | $ | (440 | ) | |||||||||||||
Food Products | |||||||||||||||||||||||
Blue Buffalo Pet Products, Inc.(a) | 7 | (28,000 | ) | 40 | 5/18/2018 | (35 | ) | ||||||||||||||||
Technology Hardware, Storage & Peripherals | |||||||||||||||||||||||
Xerox Corp. | 13 | (40,885 | ) | 31 | 5/18/2018 | (1,586 | ) | ||||||||||||||||
Total calls | $ | (2,061 | ) | ||||||||||||||||||||
Puts | |||||||||||||||||||||||
Exchange Traded Funds | |||||||||||||||||||||||
iShares Russell 2000 ETF | 451 | (6,914,732 | ) | 120 | 6/29/2018 | (7,893 | ) | ||||||||||||||||
Total puts | $ | (7,893 | ) | ||||||||||||||||||||
Total options written (premium received $29,379) | $(9,954) |
(a) Value determined using significant unobservable input.
For the six months ended April 30, 2018, the Fund had an average notional value of $127,772 in options purchased, and $(15,068) in options written, respectively.
The following is a summary, categorized by Level (see Note A of Notes to Consolidated Financial Statements), of inputs used to value the Fund's investments as of April 30, 2018:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Airlines | $ | — | $ | — | $ | 17 | $ | 17 | |||||||||||
Banks | 3,379 | 670 | — | 4,049 | |||||||||||||||
Biotechnology | 1,140 | 777 | — | 1,917 | |||||||||||||||
Capital Markets | 1,512 | 502 | 7 | 2,021 | |||||||||||||||
Chemicals | 4,928 | 263 | — | 5,191 | |||||||||||||||
Construction Materials | — | 923 | — | 923 | |||||||||||||||
Equity Real Estate Investment Trusts (REITs) | 1,146 | — | 120 | 1,266 | |||||||||||||||
Food & Staples Retailing | 523 | 471 | — | 994 | |||||||||||||||
Health Care Equipment & Supplies | 1,784 | 141 | — | 1,925 | |||||||||||||||
Health Care Providers & Services | 2,329 | 293 | — | 2,622 | |||||||||||||||
Industrial Conglomerates | — | 166 | — | 166 | |||||||||||||||
Insurance | 2,822 | 1,622 | — | 4,444 | |||||||||||||||
Internet & Direct Marketing Retail | 2,543 | 384 | — | 2,927 | |||||||||||||||
Internet Software & Services | 6,565 | 1,135 | — | 7,700 |
See Notes to Consolidated Financial Statements
33
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Asset Valuation Inputs (cont'd) | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Life Sciences Tools & Services | $ | — | $ | 1,356 | $ | — | $ | 1,356 | |||||||||||
Media | 5,229 | 3,029 | — | (b) | 8,258 | ||||||||||||||
Oil, Gas & Consumable Fuels | 7,638 | — | — | (b) | 7,638 | ||||||||||||||
Pharmaceuticals | 2,393 | 314 | — | 2,707 | |||||||||||||||
Professional Services | 2,226 | 21 | — | 2,247 | |||||||||||||||
Specialty Retail | 2,805 | 2,649 | — | 5,454 | |||||||||||||||
Technology Hardware, Storage & Peripherals | 1,469 | 514 | — | 1,983 | |||||||||||||||
Textiles, Apparel & Luxury Goods | 2,439 | 59 | — | 2,498 | |||||||||||||||
Trading Companies & Distributors | — | 1,521 | — | 1,521 | |||||||||||||||
Other Common Stocks(a) | 31,176 | — | — | 31,176 | |||||||||||||||
Total Common Stocks | 84,046 | 16,810 | 144 | 101,000 | |||||||||||||||
Asset-Backed Securities | — | 19,701 | — | 19,701 | |||||||||||||||
Commercial Mortgage-Backed Securities | — | 18,283 | — | 18,283 | |||||||||||||||
Loan Assignments | |||||||||||||||||||
Auto Components | — | — | 65 | 65 | |||||||||||||||
Chemicals | — | — | 575 | 575 | |||||||||||||||
Commercial Services & Supplies | — | 284 | 130 | 414 | |||||||||||||||
Diversified Telecommunication Services | — | 712 | 93 | 805 | |||||||||||||||
Food Products | — | 69 | 356 | 425 | |||||||||||||||
Health Care Providers & Services | — | 3,194 | 82 | 3,276 | |||||||||||||||
Household Durables | — | — | 115 | 115 | |||||||||||||||
Insurance | — | 2,195 | 253 | 2,448 | |||||||||||||||
IT Services | — | 314 | 206 | 520 | |||||||||||||||
Leisure Products | — | — | 235 | 235 | |||||||||||||||
Machinery | — | — | 216 | 216 | |||||||||||||||
Media | — | — | 489 | 489 | |||||||||||||||
Specialty Retail | — | — | 203 | 203 | |||||||||||||||
Other Loan Assignments(a) | — | 3,625 | — | 3,625 | |||||||||||||||
Total Loan Assignments | — | 10,253 | 3,018 | 13,271 | |||||||||||||||
Corporate Bonds | |||||||||||||||||||
Chemicals | — | 622 | — | (b) | 622 | ||||||||||||||
Oil, Gas & Consumable Fuels | — | 1,184 | — | (b) | 1,184 | ||||||||||||||
Other Corporate Bonds(a) | — | 8,111 | — | 8,111 | |||||||||||||||
Total Corporate Bonds | — | 9,917 | — | 9,917 | |||||||||||||||
Collateralized Mortgage Obligations | — | 6,101 | — | 6,101 | |||||||||||||||
Master Limited Partnerships(a) | 5,699 | — | — | 5,699 | |||||||||||||||
Convertible Bonds(a) | — | 1,979 | — | 1,979 | |||||||||||||||
Closed End Funds(a) | — | 1,030 | — | 1,030 | |||||||||||||||
Preferred Stocks(a) | 219 | — | — | 219 | |||||||||||||||
U.S. Treasury Obligations | — | 181 | — | 181 |
See Notes to Consolidated Financial Statements
34
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Asset Valuation Inputs (cont'd) | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Rights | |||||||||||||||||||
Biotechnology | $ | — | $ | — | $ | 88 | $ | 88 | |||||||||||
Health Care Providers & Services | — | — | — | (b) | — | (b) | |||||||||||||
Media | — | — | — | (b) | — | (b) | |||||||||||||
Pharmaceuticals | — | — | — | (b) | — | (b) | |||||||||||||
Total Rights | — | (b) | — | 88 | 88 | ||||||||||||||
Warrants | |||||||||||||||||||
Capital Markets | 33 | — | — | 33 | |||||||||||||||
Thrifts & Mortgage Finance | — | 1 | — | 1 | |||||||||||||||
Total Warrants | 33 | 1 | — | 34 | |||||||||||||||
Short-Term Investments | — | 84,545 | — | 84,545 | |||||||||||||||
Options Purchased | 117 | — | — | 117 | |||||||||||||||
Total Long Positions | $ | 90,114 | $ | 168,801 | $ | 3,250 | $ | 262,165 |
(a) The Consolidated Schedule of Investments provides information on the industry categorization for the portfolio.
(b) Amount less than one thousand.
* The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
(000's omitted) | Beginning balance as of 11/1/2017 | Accrued discounts/ (premiums) | Realized gain/loss and change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 4/30/2018 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2018 | ||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||
Common Stock | |||||||||||||||||||||||||||||||||||||||
Airlines(b) | $ | 19 | $ | — | $ | (2 | ) | $ | — | $ | — | $ | — | $ | — | $ | 17 | $ | (2 | ) | |||||||||||||||||||
Capital Markets(a) | — | (c) | — | (84 | ) | 53 | (1 | ) | 39 | — | 7 | (74 | ) | ||||||||||||||||||||||||||
Equity Real Estate Investment Trusts (REITs)(b) | — | — | (6 | ) | 126 | — | — | — | 120 | (6 | ) | ||||||||||||||||||||||||||||
Media(a) | 1 | — | (1 | ) | — | — | — | — | (c) | — | (c) | (1 | ) | ||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels(a) | — | (c) | — | — | (c) | — | — | — | — | — | (c) | — | (c) | ||||||||||||||||||||||||||
Loan Assignments(b) | |||||||||||||||||||||||||||||||||||||||
Auto Components | — | — | 2 | 63 | — | — | — | 65 | 2 | ||||||||||||||||||||||||||||||
Chemicals | — | — | (c) | 4 | 571 | — | — | — | 575 | 4 | |||||||||||||||||||||||||||||
Commercial Services & Supplies | 464 | — | (c) | 3 | — | (466 | ) | 129 | — | 130 | 1 |
See Notes to Consolidated Financial Statements
35
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
(000's omitted) | Beginning balance as of 11/1/2017 | Accrued discounts/ (premiums) | Realized gain/loss and change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 4/30/2018 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2018 | ||||||||||||||||||||||||||||||
Diversified Telecommunication Services | $ | — | $ | — | (c) | $ | 1 | $ | 92 | $ | — | $ | — | $ | — | $ | 93 | $ | 1 | ||||||||||||||||||||
Food Products | 490 | — | (c) | (4 | ) | — | (130 | ) | — | — | 356 | (6 | ) | ||||||||||||||||||||||||||
Health Care Providers & Services | — | — | (c) | — | (c) | 101 | (19 | ) | — | — | 82 | — | (c) | ||||||||||||||||||||||||||
Household Durables | 60 | — | (c) | 1 | — | (60 | ) | 114 | — | 115 | 1 | ||||||||||||||||||||||||||||
Insurance | — | — | (c) | 3 | 250 | — | — | — | 253 | 3 | |||||||||||||||||||||||||||||
IT Services | — | — | (c) | — | (c) | 206 | — | — | — | 206 | — | (c) | |||||||||||||||||||||||||||
Leisure Products | 235 | — | (c) | — | (c) | — | — | — | — | 235 | — | (c) | |||||||||||||||||||||||||||
Machinery | — | — | (c) | 2 | — | — | 214 | — | 216 | 2 | |||||||||||||||||||||||||||||
Media | 274 | — | (28 | ) | 518 | (275 | ) | — | — | 489 | (10 | ) | |||||||||||||||||||||||||||
Semiconductors & Semiconductor Equipment | 3,504 | (3 | ) | (203 | ) | 295 | (3,593 | ) | — | — | — | — | |||||||||||||||||||||||||||
Specialty Retail | — | — | 2 | 201 | — | — | — | 203 | 2 | ||||||||||||||||||||||||||||||
Corporate Bonds(a) | |||||||||||||||||||||||||||||||||||||||
Banks | 5,560 | 40 | 720 | — | (6,320 | ) | — | — | — | — | |||||||||||||||||||||||||||||
Capital Markets | 8,030 | 42 | 824 | — | (8,896 | ) | — | — | — | — | |||||||||||||||||||||||||||||
Chemicals | — | (c) | — | — | — | — | — | — | — | (c) | — | ||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | — | (c) | — | — | — | — | — | — | — | (c) | — | ||||||||||||||||||||||||||||
Collateralized Mortgage Obligations(a) | 1,027 | — | (7 | ) | — | (1,020 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Rights(a) | |||||||||||||||||||||||||||||||||||||||
Biotechnology | 87 | — | 1 | — | — | — | — | 88 | — | ||||||||||||||||||||||||||||||
Food & Staples Retailing(b) | 60 | — | 40 | — | (100 | ) | — | — | — | — | |||||||||||||||||||||||||||||
Media | — | (c) | — | — | — | — | — | — | — | (c) | — | ||||||||||||||||||||||||||||
Pharmaceuticals | — | (c) | — | — | — | — | — | — | — | (c) | — | ||||||||||||||||||||||||||||
Warrants(a) | |||||||||||||||||||||||||||||||||||||||
Biotechnology | — | (c) | — | — | — | — | (c) | — | — | — | — | ||||||||||||||||||||||||||||
Total | $ | 19,811 | $ | 79 | $ | 1,268 | $ | 2,476 | $ | (20,880 | ) | $ | 496 | $ | — | (c) | $ | 3,250 | $ | (83 | ) |
See Notes to Consolidated Financial Statements
36
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
(a) As of the six months ended April 30, 2018, these securities were valued in accordance with procedures approved by the Board of Trustees. These investments did not have a material impact on the Fund's net assets and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented.
(b) As of the six months ended April 30, 2018, these securities are valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
(c) Amount less than one thousand.
As of the six months ended April 30, 2018, certain securities were transferred from one level (as of October 31, 2017) to another. Based on beginning of period market values as of November 1, 2017, $93 was transferred from Level 3 to Level 2. In addition, $38,625 was transferred from Level 1 to Level 3. In addition, $457,024 was transferred from Level 2 to Level 3. The common stocks and loan assignments that transferred in or out of Level 3 were primarily due to the pricing methodology in accordance with procedures approved by the Board of Trustees (Level 3) or a single broker quote (Level 3). In addition, $9,826,898 was transferred from Level 1 to Level 2. Interactive Data Pricing and Reference Data LLC provided adjusted prices for these securities as of October 31, 2017, as stated in the description of the valuation methods of equity securities in the Notes to Consolidated Financial Statements.
The following is a summary, categorized by Level (see Note A of Notes to Consolidated Financial Statements), of inputs used to value the Fund's investments as of April 30, 2018:
Liability Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks Sold Short | |||||||||||||||||||
Banks | $ | (1,450 | ) | $ | (1,416 | ) | $ | — | $ | (2,866 | ) | ||||||||
Capital Markets | — | (459 | ) | — | (459 | ) | |||||||||||||
Electronic Equipment, Instruments & Components | — | (524 | ) | — | (524 | ) | |||||||||||||
IT Services | (803 | ) | — | (123 | ) | (926 | ) | ||||||||||||
Media | (1,867 | ) | (232 | ) | — | (2,099 | ) | ||||||||||||
Software | (1,160 | ) | (10 | ) | — | (1,170 | ) | ||||||||||||
Other Common Stocks Sold Short(a) | (13,605 | ) | — | — | (13,605 | ) | |||||||||||||
Total Common Stocks Sold Short | (18,885 | ) | (2,641 | ) | (123 | ) | (21,649 | ) | |||||||||||
Exchange Traded Funds Sold Short | (2,258 | ) | — | — | (2,258 | ) | |||||||||||||
Corporate Bonds Sold Short(a) | — | (1,220 | ) | — | (1,220 | ) | |||||||||||||
Master Limited Partnerships Sold Short(a) | (154 | ) | — | — | (154 | ) | |||||||||||||
Preferred Stocks Sold Short(a) | — | — | (108 | ) | (108 | ) | |||||||||||||
Total Short Positions | $ | (21,297 | ) | $ | (3,861 | ) | $ | (231 | ) | $ | (25,389 | ) |
(a) The Consolidated Schedule of Investments provides information on the industry categorization for the portfolio.
See Notes to Consolidated Financial Statements
37
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
* The following is a reconciliation between the beginning and ending balances of short investments in which unobservable inputs (Level 3) were used in determining value:
(000's omitted) | Beginning balance as of 11/1/2017 | Accrued discounts/ (premiums) | Realized gain/loss and change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 4/30/2018 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2018 | ||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||
Common Stocks Sold Short(a) | |||||||||||||||||||||||||||||||||||||||
IT Services | $ | (61 | ) | $ | — | $ | (85 | ) | $ | — | $ | 23 | $ | — | $ | — | $ | (123 | ) | $ | (85 | ) | |||||||||||||||||
Preferred Stocks Sold Short(a) | |||||||||||||||||||||||||||||||||||||||
IT Services | (121 | ) | — | 36 | (23 | ) | — | — | — | (108 | ) | 36 | |||||||||||||||||||||||||||
Total | $ | (182 | ) | $ | — | $ | (49 | ) | $ | (23 | ) | $ | 23 | $ | — | $ | — | $ | (231 | ) | $ | (49 | ) |
(a) As of the six months ended April 30, 2018, these securities were valued either based on a single quotation obtained from a dealer or valued in accordance with procedures approved by the Board of Trustees. The Fund does not have access to unobservable inputs; however, these investments did not have a material impact on the Fund's net assets and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented.
The following is a summary, categorized by Level (see Note A of Notes to Consolidated Financial Statements), of inputs used to value the Fund's derivatives as of April 30, 2018:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Futures(a) | |||||||||||||||||||
Assets | $ | 1,543 | $ | — | $ | — | $ | 1,543 | |||||||||||
Liabilities | (92 | ) | — | — | (92 | ) | |||||||||||||
Forward contracts(a) | |||||||||||||||||||
Assets | — | 1,611 | — | 1,611 | |||||||||||||||
Liabilities | — | (1,836 | ) | — | (1,836 | ) | |||||||||||||
Swaps(a) | |||||||||||||||||||
Assets | — | 3,010 | 1 | 3,011 | |||||||||||||||
Liabilities | — | (2,845 | ) | — | (2,845 | ) | |||||||||||||
Options written | |||||||||||||||||||
Liabilities | (10 | ) | — | — | (b) | (10 | ) | ||||||||||||
Total | $ | 1,441 | $ | (60 | ) | $ | 1 | $ | 1,382 |
(a) Forward contracts and futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. Equity swaps are reported at the cumulative unrealized appreciation/(depreciation) including financing costs and other receivables/payables. Credit default swaps are reported in the table at value.
(b) Amount less than one thousand.
See Notes to Consolidated Financial Statements
38
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
* The following is reconciliation between the beginning and ending balances of derivative investments in which unobservable inputs (Level 3) were used in determining value:
(000's omitted) | Beginning balance as of 11/1/2017 | Accrued discounts/ (premiums) | Realized gain/loss and change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 4/30/2018 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2018 | ||||||||||||||||||||||||||||||
Other Financial Instruments: | |||||||||||||||||||||||||||||||||||||||
Equity swaps | |||||||||||||||||||||||||||||||||||||||
United Kingdom | $ | — | $ | — | $ | 1 | $ | — | $ | — | $ | — | $ | — | $ | 1 | $ | 1 | |||||||||||||||||||||
United States(a) | 230 | — | (230 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Options written | |||||||||||||||||||||||||||||||||||||||
Food Products | — | — | — | (b) | — | (b) | — | — | — | — | (b) | — | (b) | ||||||||||||||||||||||||||
Total | $ | 230 | $ | — | $ | (229 | ) | $ | — | (b) | $ | — | $ | — | $ | — | $ | 1 | $ | 1 |
(a) As of the six months ended April 30, 2018, these investments were valued either based on a single quotation obtained from a dealer or valued in accordance with procedures approved by the Board of Trustees. The Fund does not have access to unobservable inputs; however, these investments did not have a material impact on the Fund's net assets and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented.
(b) Amount less than one thousand.
See Notes to Consolidated Financial Statements
39
Consolidated Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted, except per share amounts)
ABSOLUTE RETURN MULTI-MANAGER FUND | |||||||
April 30, 2018 | |||||||
Assets | |||||||
Investments in securities, at value* (Note A)—see Schedule of Investments: | |||||||
Unaffiliated issuers(a) | $ | 262,165 | |||||
Cash | 11,341 | ||||||
Due from custodian | 25 | ||||||
Foreign currency(b) | 376 | ||||||
Cash collateral segregated for short sales (Note A) | 20,533 | ||||||
Cash collateral segregated for swap contracts (Note A) | 11,165 | ||||||
Cash collateral segregated for forward foreign currency contracts (Note A) | 1,883 | ||||||
Dividends and interest receivable | 927 | ||||||
Receivable for securities sold | 3,093 | ||||||
Receivable for Fund shares sold | 1,536 | ||||||
Deposits with brokers for futures contracts (Note A) | 2,467 | ||||||
Receivable for variation margin on futures contracts (Note A) | 398 | ||||||
OTC swap contracts, at value(e)(f) (Note A) | 3,011 | ||||||
Receivable for forward foreign currency contracts (Note A) | 1,611 | ||||||
Prepaid expenses and other assets | 43 | ||||||
Total Assets | 320,574 | ||||||
Liabilities | |||||||
Investments sold short, at value(c) (Note A) | 25,389 | ||||||
Option contracts written, at value(d) (Note A) | 10 | ||||||
Dividends and interest payable for short sales | 38 | ||||||
OTC swap contracts, at value(e)(f) (Note A) | 2,845 | ||||||
Payable to administrator—net (Note B) | 17 | ||||||
Payable to investment manager (Note B) | 400 | ||||||
Payable for securities purchased | 1,936 | ||||||
Payable for Fund shares redeemed | 286 | ||||||
Payable for forward foreign currency contracts (Note A) | 1,836 | ||||||
Accrued expenses and other payables | 480 | ||||||
Total Liabilities | 33,237 | ||||||
Net Assets | $ | 287,337 | |||||
Net Assets consist of: | |||||||
Paid-in capital | $ | 396,423 | |||||
Undistributed net investment income/(loss) | 657 | ||||||
Accumulated net realized gains/(losses) on investments | (116,306 | ) | |||||
Net unrealized appreciation/(depreciation) in value of investments | 6,563 | ||||||
Net Assets | $ | 287,337 | |||||
Net Assets | |||||||
Institutional Class | $ | 239,948 | |||||
Class A | 18,166 | ||||||
Class C | 14,283 | ||||||
Class R6 | 14,940 |
See Notes to Consolidated Financial Statements
40
Consolidated Statement of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted, except per share amounts)
ABSOLUTE RETURN MULTI-MANAGER FUND | |||||||
April 30, 2018 | |||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||
Institutional Class | 22,251 | ||||||
Class A | 1,707 | ||||||
Class C | 1,401 | ||||||
Class R6 | 1,385 | ||||||
Net Asset Value, offering and redemption price per share | |||||||
Institutional Class | $ | 10.78 | |||||
Class R6 | $ | 10.79 | |||||
Net Asset Value and redemption price per share | |||||||
Class A | $ | 10.64 | |||||
Offering Price per share | |||||||
Class A‡ | $ | 11.29 | |||||
Net Asset Value and offering price per share | |||||||
Class C^ | $ | 10.19 | |||||
*Cost of Investments: | |||||||
(a) Unaffiliated issuers | $ | 257,615 | |||||
(b) Total cost of foreign currency | $ | 453 | |||||
(c) Proceeds from investments sold short | $ | 26,166 | |||||
(d) Premium received from option contracts written | $ | 29 | |||||
(e) Unamortized upfront receipts on OTC swap contracts | $ | (324 | ) | ||||
(f) Unamortized upfront payments on OTC swap contracts | $ | 502 |
‡ On single retail sales of less than $50,000. On sales of $50,000 or more or in certain other circumstances described in the Fund's prospectus, offering price is reduced.
^ Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See Notes to Consolidated Financial Statements
41
Consolidated Statement of Operations (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted)
ABSOLUTE RETURN MULTI-MANAGER FUND | |||||||
For the Six Months Ended April 30, 2018 | |||||||
Investment Income: | |||||||
Income (Note A): | |||||||
Dividend income—unaffiliated issuers | $ | 2,279 | |||||
Interest income—unaffiliated issuers | 2,991 | ||||||
Foreign taxes withheld (Note A) | (9 | ) | |||||
Total income | $ | 5,261 | |||||
Expenses: | |||||||
Investment management fees (Note B) | 2,666 | ||||||
Administration fees (Note B): | |||||||
Institutional Class | 199 | ||||||
Class A | 25 | ||||||
Class C | 20 | ||||||
Class R6 | 6 | ||||||
Distribution fees (Note B): | |||||||
Class A | 24 | ||||||
Class C | 78 | ||||||
Shareholder servicing agent fees: | |||||||
Institutional Class | 3 | ||||||
Class A | 5 | ||||||
Class C | 1 | ||||||
Audit fees | 72 | ||||||
Custodian and accounting fees | 203 | ||||||
Insurance expense | 8 | ||||||
Legal fees | 97 | ||||||
Registration and filing fees | 43 | ||||||
Shareholder reports | 62 | ||||||
Trustees' fees and expenses | 24 | ||||||
Dividend and interest expense on securities sold short (Note A) | 608 | ||||||
Miscellaneous | 14 | ||||||
Total expenses | 4,158 | ||||||
Expenses reimbursed by Management (Note B) | (333 | ) | |||||
Expenses reduced by custodian fee expense offset arrangement (Note A) | (1 | ) | |||||
Total net expenses | 3,824 | ||||||
Net investment income/(loss) | $ | 1,437 |
See Notes to Consolidated Financial Statements
42
Consolidated Statement of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted)
ABSOLUTE RETURN MULTI-MANAGER FUND | |||||||
For the Six Months Ended April 30, 2018 | |||||||
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |||||||
Net realized gain/(loss) on: | |||||||
Transactions in investment securities of unaffiliated issuers | 7,091 | ||||||
Closed short positions of unaffiliated issuers | (4,514 | ) | |||||
Settlement of forward foreign currency contracts | (1,074 | ) | |||||
Settlement of foreign currency transactions | 668 | ||||||
Expiration or closing of futures contracts | 330 | ||||||
Expiration or closing of option contracts written | 54 | ||||||
Expiration or closing of swap contracts | 1,697 | ||||||
Change in net unrealized appreciation/(depreciation) in value of: | |||||||
Investment securities of unaffiliated issuers | (5,102 | ) | |||||
Short positions of unaffiliated issuers | (40 | ) | |||||
Forward foreign currency contracts | 221 | ||||||
Foreign currency translations | (539 | ) | |||||
Futures contracts | 458 | ||||||
Option contracts written | 17 | ||||||
Swap contracts | (170 | ) | |||||
Net gain/(loss) on investments | (903 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | $ | 534 |
See Notes to Consolidated Financial Statements
43
Consolidated Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
(000's omitted)
ABSOLUTE RETURN MULTI-MANAGER FUND | |||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||
From Operations (Note A): | |||||||||||
Net investment income/(loss) | $ | 1,437 | $ | 2,285 | |||||||
Net realized gain/(loss) on investments | 4,252 | 3,423 | |||||||||
Change in net unrealized appreciation/(depreciation) of investments | (5,155 | ) | 20,589 | ||||||||
Net increase/(decrease) in net assets resulting from operations | 534 | 26,297 | |||||||||
From Fund Share Transactions (Note D): | |||||||||||
Proceeds from shares sold: | — | — | |||||||||
Institutional Class | 31,849 | 109,581 | |||||||||
Class A | 4,170 | 4,382 | |||||||||
Class C | 311 | 503 | |||||||||
Class R6 | 6,646 | 11,240 | |||||||||
Payments for shares redeemed: | |||||||||||
Institutional Class | (88,273 | ) | (322,155 | ) | |||||||
Class A | (6,571 | ) | (48,877 | ) | |||||||
Class C | (3,848 | ) | (24,827 | ) | |||||||
Class R6 | (4,329 | ) | (2,275 | ) | |||||||
Net increase/(decrease) from Fund share transactions | (60,045 | ) | (272,428 | ) | |||||||
Net Increase/(Decrease) in Net Assets | (59,511 | ) | (246,131 | ) | |||||||
Net Assets: | |||||||||||
Beginning of period | 346,848 | 592,979 | |||||||||
End of period | $ | 287,337 | $ | 346,848 | |||||||
Undistributed net investment income/(loss) at end of period | 657 | (780 | ) |
See Notes to Consolidated Financial Statements
44
Notes to Consolidated Financial Statements Absolute Return Multi-Manager Fund
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Alternative Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended (the "1933 Act"). Neuberger Berman Absolute Return Multi-Manager Fund ("Absolute Return Multi-Manager", or the "Fund") is a separate operating series of the Trust, and is diversified. The Fund offers Institutional Class shares, Class A shares, Class C shares and Class R6 shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
A zero balance, if any, reflects an actual amount rounding to less than $1,000.
The assets of the Fund belong only to the Fund, and the liabilities of the Fund are borne solely by the Fund and no other.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standard Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
The Fund invests in commodity-related instruments through the Neuberger Berman ARMM Fund I Ltd. (the "Subsidiary"), which is organized under the laws of the Cayman Islands. The Fund is and expects to be the sole shareholder of the Subsidiary. The Subsidiary is governed by its own Board of Directors.
As of April 30, 2018, the value of the Fund's investment in the Subsidiary was as follows:
Investment in Subsidiary | Percentage of Net Assets | ||||||
$ | 27,446,006 | 9.6 | % |
2 Consolidation: The accompanying financial statements of the Fund present the consolidated accounts of the Fund and the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation.
3 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by the Fund are carried at the value that Management believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1 – quoted prices in active markets for identical investments
• Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
45
• Level 3 – unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments (long and short positions) in equity securities, preferred stocks, exchange traded funds, exchange traded options purchased and options written, master limited partnerships, closed-end funds, rights, and warrants, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Fund's investments for long and short positions in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid or offer quotations, respectively, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve and other market information, which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available ("Other Market Information").
Asset-Backed Securities and Mortgage-Backed Securities. Inputs used to value asset-backed securities and mortgage-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
U.S. Treasury Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
Convertible Bonds. Inputs used to value convertible bonds generally include underlying stock data, dealer quotes, conversion premiums, listed bond and preferred stock prices and other market information, which may include benchmark curves, trade execution data, and sensitivity analysis, when available.
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward contracts is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services' networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
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The value of equity swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated London Interbank Offered Rate ("LIBOR") or Federal Funds floating rate (generally Level 2 or Level 3 inputs).
The value of credit default swaps is determined by Management by obtaining valuations from independent pricing services using a model that considers a number of factors, which may include default probabilities, credit curves, recovery rates and cash flows (Level 2 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, securities within the same industry with recent highly correlated performance, trading in futures or American Depositary Receipts ("ADRs") and whether the issuer of the security being fair valued has other securities outstanding.
The value of the Fund's investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m. Eastern Time on days the New York Stock Exchange ("NYSE") is open for business. The Board has approved the use of Interactive Data Pricing and Reference Data, LLC ("Interactive") to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that the Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, Interactive will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of Interactive to evaluate the prices of foreign debt securities as of the time as of which the Fund's share price is calculated. Interactive utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which the Fund's share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time as of which the Fund's share price is calculated, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices the Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
4 Foreign currency translations: The accounting records of the Fund and Subsidiary are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain (loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Consolidated Statement of Operations.
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5 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of discount (adjusted for original issue discount, where applicable) and amortization of premium, where applicable, and accretion of discount on short-term investments, if any, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Consolidated Statement of Operations. Included in net realized gain (loss) on investments are proceeds from the settlement of class action litigations in which the Fund participated as a class member. The amounts of such proceeds for the six months ended April 30, 2018, was $12,659.
6 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of the Fund to continue to qualify for treatment as regulated investment companies ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Consolidated Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of April 30, 2018, the Fund did not have any unrecognized tax positions.
The Subsidiary is a controlled foreign corporation under the U.S. Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, the Fund will include in its taxable income its share of the Subsidiary's current earnings and profits (including net realized gains). Any deficit generated by the Subsidiary will be disregarded for purposes of computing the Fund's taxable income in the current period and also disregarded for all future periods.
At April 30, 2018 the cost of long security positions and short security positions for U.S. federal income tax purposes was $231,432,697. Gross unrealized appreciation of long security positions, short security positions and derivative instruments was $21,691,397 and gross unrealized depreciation of long security positions, short security positions and derivative instruments was $14,932,680, resulting in net unrealized appreciation of $6,758,717 based on cost for U.S. federal income tax purposes.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund.
As determined on October 31, 2017, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences may be attributed to the tax treatment of one or more of the following: paydown gains and losses, partnership basis adjustments, income recognized on swap transactions, the tax treatment of foreign currency gains and losses, payments in lieu of dividends on short sales and gains from passive foreign investment companies ("PFICS"). These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of the Fund. For the year ended October 31, 2017, the Fund recorded the following permanent reclassifications:
Paid-in Capital | Undistributed Net Investment Income/(Loss) | Accumulated Net Realized Gains/(Losses) on Investments | |||||||||
$ | (3,136,100 | ) | $ | (3,078,708 | ) | $ | 6,214,808 |
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The tax character of distributions paid during the years ended October 31, 2017 and October 31, 2016 was as follows:
Distributions Paid From: | |||||||||||||||||||||||||||||||||||||||
Ordinary Income | Tax-Exempt Income | Long-Term Capital Gain | Return of Capital | Total | |||||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | ||||||||||||||||||||||||||||||
$ | — | $ | 15,787,471 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 15,787,471 |
As of October 31, 2017, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income/(Loss) | Undistributed Long-Term Capital Gain | Unrealized Appreciation/ (Depreciation) | Loss Carryforwards and Deferrals | Other Temporary Differences | Total | ||||||||||||||||||
$ | — | $ | — | $ | 1,583,788 | $ | (109,478,409 | ) | $ | (1,724,388 | ) | $ | (109,619,009 | ) |
The temporary differences between book basis and tax basis distributable earnings are primarily due to: losses disallowed and recognized on wash sales, short sales, straddles, mark-to-market adjustments on swaps, futures, options and forwards, unamortized organization expenses, tax adjustments related to real estate investment trusts ("REITs"), PFICs, partnerships, swap contracts, short sales and other investments and capital loss carryforwards.
To the extent the Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, if any, it is the policy of the Fund not to distribute such gains. Capital loss carryforward rules allow for regulated investment companies to carry forward capital losses indefinitely and to retain the character of capital loss carryforwards as short-term or long-term. As determined at October 31, 2017, the Fund had unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains, if any, as follows:
Long-Term | Short-Term | ||||||
$ | 42,580,623 | $ | 66,897,786 |
7 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
Foreign capital gains on certain foreign securities may be subject to foreign taxes, which are accrued as applicable. At April 30, 2018, there were no outstanding balances of accrued capital gains taxes for the Fund.
8 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, are generally distributed once a year (usually in December) and are recorded on the ex-date.
It is the policy of the Fund to pass through to its shareholders substantially all REIT distributions and other income it receives, less operating expenses. The distributions received from REITs are generally composed of income, capital gains, and/or return of REIT capital, but the REITs do not report this information to the Fund until the following calendar year. At April 30, 2018, the Fund estimated these amounts for the period January 1, 2018 to April 30, 2018 within the financial statements because the 2018 information is not available from the REITs until after the Fund's fiscal year-end. All estimates are based upon REIT information sources available to the Fund together with actual IRS Forms 1099-DIV received to date. For the year ended October 31, 2017, the character of distributions paid to shareholders of the Fund disclosed within the Consolidated Statements of Changes in Net Assets is based on estimates made at that time. Based on past experience it is possible that a portion of the Fund's distributions during the current fiscal year, if any, will be considered tax return of capital, but the actual amount of the tax return of capital, if any, is not determinable until after the Fund's fiscal year-end. After calendar year-end, when the Fund learns the nature of the distributions paid by REITs during that year, distributions previously identified as income are often recharacterized as return of capital and/or capital gain. After all applicable REITs have informed the Fund of the actual breakdown of distributions paid to the Fund during its fiscal year, estimates
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previously recorded are adjusted on the books of the Fund to reflect actual results. As a result, the composition of the Fund's distributions as reported herein may differ from the final composition determined after calendar year-end and reported to the Fund shareholders on IRS Form 1099-DIV.
9 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to the Fund are charged to the Fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly. The Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
10 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
11 Securities sold short: The Fund may engage in short sales, which are sales of securities which have been borrowed from a third party on the expectation that the market price will decline. If the price of the securities decreases, the Fund will make a profit by purchasing the securities in the open market at a price lower than the one at which it sold the securities. If the price of the securities increases, the Fund may have to cover its short positions at a price higher than the short sale price, resulting in a loss. Gains are limited to the price at which the Fund sold the security short, while losses are potentially unlimited in size. The Fund pledges securities and/or other assets to the lender as collateral. Proceeds received from short sales may be maintained by the lender as collateral or may be released to the Fund and used to purchase additional securities or for any other purpose. Proceeds maintained by the lender are included in the "Cash collateral segregated for short sales" on the Consolidated Statement of Assets and Liabilities. The Fund is required to segregate an amount of cash or liquid securities in an amount at least equal to the current market value of the securities sold short (less any additional collateral pledged to the lender). The Fund is contractually responsible to remit to the lender any dividends and interest payable on securities while those securities are being borrowed by the Fund. The Fund may receive or pay the net of the interest charged by the prime broker on the borrowed securities and a financing charge for the difference in the market value of the short position and the cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. These costs related to short sales (i.e., dividend and interest remitted to the lender and interest charged by the prime broker) are recorded as an expense of the Fund and are excluded from the contractual expense limitation. A net negative expense, if any, represents a gain to the Fund as the total cash rebates received exceeded the other costs related to short sales. The net amount of fees incurred are included in the "Dividend and interest expense on securities sold short" on the Consolidated Statement of Operations and were $52,676 for the six months ended April 30, 2018.
At April 30, 2018, the Fund had cash pledged in the amount of $20,532,585 to JPMorgan Chase Bank, NA ("JPM"), as collateral for short sales. In addition, JPM has a perfected security interest in these assets. At April 30, 2018, the Fund had securities pledged in the amount of $10,909,767 to JPM to cover collateral requirements for borrowing in connection with securities sold short and options written.
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12 Investment company securities, exchange traded funds and exchange traded notes: The Fund may invest in shares of other registered investment companies, including exchange traded funds ("ETFs"), within the limitations prescribed by the 1940 Act or pursuant to an exemptive order from the Securities and Exchange Commission that permits the Fund to invest in both affiliated and unaffiliated investment companies, including ETFs, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have actively-managed investment objectives. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. The Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns. The Fund may also invest in exchange traded notes ("ETNs"). ETNs are senior, unsecured, unsubordinated debt securities that are linked to the performance of a particular market index or strategy. The issuer of the ETN pays the Fund an amount based on the returns of the underlying index or strategy, plus principal at maturity. The Fund will bear any applicable fees to the issuer upon redemption or maturity, which will increase expenses and decrease returns.
13 Derivative instruments: The Fund's use of derivatives during the six months ended April 30, 2018, is described below. Please see the Consolidated Schedule of Investments for the Fund's open positions in derivatives, if any, at April 30, 2018. The Fund has adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Consolidated Statement of Operations, they do not qualify for hedge accounting. Accordingly, even though the Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
Credit default swap contracts: During the six months ended April 30, 2018, the Fund used credit default swaps as part of its investment strategies, to enhance returns and to hedge against unfavorable changes in the value of investments and to protect against adverse movements in interest rates or credit performance with counterparties.
Over the counter ("OTC") credit default swap contracts: When the Fund is the buyer of an OTC credit default swap contract, it is entitled to receive the notional amount of the swap from the counterparty if a credit event occurs. In return, the Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund would have spent the stream of payments and received no proceeds from the contract. When the Fund is the seller of an OTC credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund could be required to make (or the risk of loss) would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Fund for the same referenced obligation. As the seller, the Fund may add economic leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. The net periodic payments paid or received on the swap contract are accrued daily as a component of unrealized appreciation/(depreciation) and are recorded as realized gain upon receipt or realized loss upon payment. The Fund also records an increase or decrease to unrealized appreciation/(depreciation) in an amount equal to the daily valuation of the swap. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of an International Swaps and Derivatives Association (ISDA) agreement between the Fund and the counterparty. For financial
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reporting purposes, unamortized upfront payments/(receipts), if any, are netted with unrealized appreciation or depreciation and net interest received or paid on swap contracts to determine the fair value of swaps.
Centrally cleared swap contracts: Certain clearinghouses currently offer clearing for limited types of derivative transactions, including certain credit default swaps. In a cleared derivative transaction, the Fund typically enters into the transaction with a financial institution counterparty that is then cleared through a central clearinghouse. Upon acceptance of a swap by a central clearinghouse, the original swap is extinguished and replaced with a swap with the clearinghouse, thereby reducing or eliminating the Fund's exposure to the credit risk of the original counterparty. The Fund typically will be required to post specified levels of both initial and variation margin with the clearinghouse or at the instruction of the clearinghouse. The daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the centrally clearing party daily. For financial reporting purposes, unamortized upfront payments/(receipts), if any, are netted with unrealized appreciation or depreciation and net interest received or paid on swap contracts to determine the fair value of swaps.
Futures contracts: During the six months ended April 30, 2018, the Fund used futures for economic hedging purposes and to enhance returns.
At the time the Fund or Subsidiary enters into a futures contract, it is required to deposit with the futures commission merchant a specified amount of cash or liquid securities, known as "initial margin," which is a percentage of the value of the futures contract being traded that is set by the exchange upon which the futures contract is traded. Each day, the futures contract is valued at the official settlement price of the board of trade or U.S. commodity exchange on which such futures contract is traded. Subsequent payments, known as "variation margin," to and from the broker are made on a daily basis, or as needed, as the market price of the futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by the Fund or Subsidiary as unrealized gains or losses.
Although some futures by their terms call for actual delivery or acquisition of the underlying securities or currency, in most cases the contracts are closed out prior to delivery by offsetting purchases or sales of matching futures. When the contracts are closed, the Fund recognizes a gain or loss. Risks of entering into futures contracts include the possibility there may be an illiquid market, possibly at a time of rapidly declining prices, and/or a change in the value of the contract may not correlate with changes in the value of the underlying securities. Futures executed on regulated futures exchanges have minimal counterparty risk to the Fund because the exchange's clearinghouse assumes the position of the counterparty in each transaction. Thus, the Fund is exposed to risk only in connection with the clearinghouse and not in connection with the original counterparty to the transaction.
For U.S. federal income tax purposes, futures transactions undertaken by the Fund may cause the Fund to recognize gains or losses from marking contracts to market even though its positions have not been sold or terminated, may affect the character of the gains or losses recognized as long-term or short-term, and may affect the timing of some capital gains and losses realized by the Fund. Also, the Fund's losses on transactions involving futures contracts may be deferred rather than being taken into account currently in calculating the Fund's taxable income.
Equity swap contracts: During the six months ended April 30, 2018, the Fund used equity swaps to provide investment exposure to certain investments, primarily foreign securities.
Equity swaps are two-party contracts in which counterparties exchange the return on a specified reference security, basket of securities, security index or index component for the return based on a fixed or floating interest rate during the period of the swap. Equity swaps are marked to market daily based on the value of the underlying reference entity and the change, if any, is recorded as an unrealized gain or loss. Equity swaps normally do not involve the delivery of securities or other underlying assets. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of an ISDA agreement between the Fund and the counterparty. If the other party to an equity swap defaults, the Fund's risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Equity swaps are derivatives and their value
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can be very volatile. To the extent that future market trends, the values of assets or economic factors are not accurately analyzed and predicted, the Fund may suffer a loss, which may exceed the related amounts shown in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses.
Forward foreign currency contracts: During the six months ended April 30, 2018, the Fund used forward foreign currency contracts to hedge foreign currency and to enhance returns.
A forward contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, and is individually negotiated and privately traded by currency traders and their customers in the interbank market. The market value of a forward contract fluctuates with changes in forward currency exchange rates. Forward contracts are marked to market daily, and the change in value is recorded by the Fund as an unrealized gain or loss. At the consummation of a forward contract to purchase or sell currency, the Fund may either exchange the currencies specified at the maturity of the forward contract or enter into a closing transaction involving the purchase or sale of an offsetting forward contract. Closing transactions with respect to forward contracts are usually performed with the counterparty to the original forward contract. The gain or loss arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing a contract is included in "Net realized gain (loss) on settlement of forward foreign currency contracts" in the Consolidated Statement of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Consolidated Statement of Assets and Liabilities. In addition, the Fund could be exposed to risks associated with fluctuations in foreign currency and the risk the counterparty will fail to fulfill its obligation.
Options: For the six months ended April 30, 2018, the Fund used options written to generate incremental returns. The Fund used purchased options to manage or adjust the risk profile and the investment exposure of the Fund to certain securities and to enhance returns.
Premiums paid by the Fund upon purchasing a call or put option are recorded in the asset section of the Fund's Consolidated Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, the Fund realizes a gain or loss and the asset is eliminated. For purchased call options, the Fund's loss is limited to the amount of the option premium paid.
Premiums received by the Fund upon writing a call option or a put option are recorded in the liability section of the Fund's Consolidated Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, the Fund realizes a gain or loss and the liability is eliminated.
When the Fund writes a call option on an underlying asset it does not own, its exposure on such an option is theoretically unlimited. When writing a covered call option, the Fund, in return for the premium, gives up the opportunity for profit from a price increase in the underlying security above the exercise price, but conversely retains the risk of loss should the price of the security decline. When writing a put option, the Fund, in return for the premium, takes the risk that it must purchase the underlying security at a price that may be higher than the current market price of the security. If a covered call or put option that the Fund has written expires unexercised, the Fund will realize a gain in the amount of the premium.
The Fund may write or purchase options on exchange traded futures contracts ("futures option") to hedge an existing position or future investment, for speculative purposes or to manage exposure to market movements. A futures option is an option contract in which the underlying instrument is a specific futures contract.
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At April 30, 2018, the Fund had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Asset Derivatives
(000's omitted)
Derivative Type | Consolidated Statement of Assets and Liabilities Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
OTC swaps | OTC swap contracts, at value(1) | $ | 285 | $ | — | $ | 2,726 | $ | — | $ | — | $ | 3,011 | ||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(2) | — | 960 | 164 | 196 | 223 | 1,543 | ||||||||||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 1,611 | — | — | — | 1,611 | ||||||||||||||||||||||||
Options purchased | Investments in securities, at value | — | — | 117 | — | — | 117 | ||||||||||||||||||||||||
Total Value—Assets | $ | 285 | $ | 2,571 | $ | 3,007 | $ | 196 | $ | 223 | $ | 6,282 |
Liability Derivatives
(000's omitted)
Derivative Type | Consolidated Statement of Assets and Liabilities Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
OTC swaps | OTC swap contracts, at value(1) | $ | (498 | ) | $ | — | $ | (2,347 | ) | $ | — | $ | — | $ | (2,845 | ) | |||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(2) | — | — | (10 | ) | (43 | ) | (39 | ) | (92 | ) | ||||||||||||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (1,836 | ) | — | — | — | (1,836 | ) | ||||||||||||||||||||||
Options written | Option contracts written, at value | — | — | (10 | ) | — | — | (10 | ) | ||||||||||||||||||||||
Total Value—Liabilities | $ | (498 | ) | $ | (1,836 | ) | $ | (2,367 | ) | $ | (43 | ) | $ | (39 | ) | $ | (4,783 | ) |
(1) "OTC swap contracts" reflects the unrealized appreciation/(depreciation) of the OTC swap contracts plus accrued interest as of April 30, 2018, which is reflected in the Consolidated Statement of Assets and Liabilities under the caption "OTC swap contracts, at value."
(2) "Futures" reflects the cumulative unrealized appreciation/(depreciation) of futures as of April 30, 2018, which is reflected in the Consolidated Statement of Assets and Liabilities under the caption "Net unrealized appreciation (depreciation) in value of investments." The current day's variation margin as of April 30, 2018, if any, is reflected in the Consolidated Statement of Assets and Liabilities under the caption "Receivable/Payable for variation margin on futures contracts."
54
The impact of the use of these derivative instruments on the Consolidated Statement of Operations during the six months ended April 30, 2018, was as follows:
Realized Gain/(Loss)
(000's omitted)
Derivative Type | Consolidated Statement of Operations Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Forward contracts | Net realized gain/(loss) on: Settlement of forward foreign currency contracts | $ | — | $ | (1,074 | ) | $ | — | $ | — | $ | — | $ | (1,074 | ) | ||||||||||||||||
Futures | Net realized gain /(loss) on: Expiration or closing of futures contracts | — | (466 | ) | 221 | 40 | 535 | 330 | |||||||||||||||||||||||
Options purchased | Net realized gain/(loss) on: Transactions in investment securities of unaffiliated issuers | — | — | (311 | ) | — | — | (311 | ) | ||||||||||||||||||||||
Options written | Net realized gain/(loss) on: Expiration or closing of option contracts written | — | — | 54 | — | — | 54 | ||||||||||||||||||||||||
Swaps | Net realized gain/(loss) on: Expiration or closing of swaps contracts | (658 | ) | — | 2,355 | — | — | $ | 1,697 | ||||||||||||||||||||||
Total Realized Gain/(Loss) | $ | (658 | ) | $ | (1,540 | ) | $ | 2,319 | $ | 40 | $ | 535 | $ | 696 |
Change in Appreciation/(Depreciation)
Derivative Type | Consolidated Statement of Operations Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Forward contracts | Change in net unrealized appreciation/(depreciation) in value of: Forward foreign currency contracts | $ | — | $ | 221 | $ | — | $ | — | $ | — | $ | 221 | ||||||||||||||||||
Futures | Change in net unrealized appreciation/(depreciation) in value of: Futures contracts | — | (209 | ) | 621 | 52 | (6 | ) | 458 | ||||||||||||||||||||||
Option contracts purchased | Change in net unrealized appreciation/(depreciation) in value of: Investment securities of unaffiliated issuers | — | — | 105 | — | — | 105 | ||||||||||||||||||||||||
Options written | Change in net unrealized | — | — | 17 | — | — | 17 | ||||||||||||||||||||||||
| appreciation/(depreciation) in value of: Option contracts written | ||||||||||||||||||||||||||||||
Swaps | Change in net unrealized | 275 | — | (445 | ) | — | — | (170 | ) | ||||||||||||||||||||||
| appreciation/(depreciation) in value of: Swap contracts | ||||||||||||||||||||||||||||||
Total Change in Appreciation/(Depreciation) | $275 | $12 | $298 | $52 | $(6) | $631 |
55
While the Fund may receive rights and warrants in connection with their investments in securities, these rights and warrants are not considered "derivative instruments" under ASC 815.
The Fund discloses both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. The Fund's derivative assets and liabilities at fair value by type are reported gross in the Consolidated Statement of Assets and Liabilities. The following tables present the Fund's derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting or similar agreement and net of the related collateral received by the Fund for assets and pledged by the Fund for liabilities as of April 30, 2018.
Description (000's omitted) | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Consolidated Statement of Assets and Liabilities | ||||||||||||
OTC swap contracts | $ | 3,011 | $ | — | $ | 3,011 | |||||||||
Forward contracts | 1,611 | — | 1,611 | ||||||||||||
Total | $ | 4,622 | $ | — | $ | 4,622 |
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Counterparty (000's omitted) | Net Amounts of Assets Presented in the Consolidated Statement of Assets and Liabilities | Liabilities Available for Offset | Cash Collateral Received(a) | Net Amount(b) | |||||||||||||||
Societe Generale | $ | 1,231 | $ | (1,231 | ) | $ | — | $ | — | ||||||||||
JPMorgan Chase Bank, NA | 2,083 | (1,176 | ) | — | 907 | ||||||||||||||
Morgan Stanley Capital Services LLC | 1,308 | (1,308 | ) | — | — | ||||||||||||||
$ | 4,622 | $ | (3,715 | ) | $ | — | $ | 907 |
Description (000's omitted) | Gross Amounts of Recognized Liabilites | Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Consolidated Statement of Assets and Liabilities | ||||||||||||
OTC swap contracts | $ | (2,845 | ) | $ | — | $ | (2,845 | ) | |||||||
Forward contracts | (1,836 | ) | — | (1,836 | ) | ||||||||||
Total | $ | (4,681 | ) | $ | — | $ | (4,681 | ) |
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Counterparty (000's omitted) | Net Amounts of Liabilites Presented in the Consolidated Statement of Assets and Liabilities | Assets Available for Offset | Cash Collateral Pledged(a) | Net Amount(c) | |||||||||||||||
Societe Generale | $ | (1,794 | ) | $ | 1,231 | $ | 563 | $ | — | ||||||||||
JPMorgan Chase Bank, NA | (1,176 | ) | 1,176 | — | — | ||||||||||||||
Morgan Stanley Capital Services LLC | (1,711 | ) | 1,308 | 403 | — | ||||||||||||||
$ | (4,681 | ) | $ | 3,715 | $ | 966 | $ | — |
(a) Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above, for each respective counterparty.
56
(b) Net Amount represents amounts subject to loss as of April 30, 2018, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of April 30, 2018.
14 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
15 Unfunded loan commitments: The Fund may enter into certain credit agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower's discretion. As of April 30, 2018, the value of unfunded loan commitments was approximately $74,000 pursuant to the following loan agreement.
(000's omitted) Borrower | Principal Amount | Value | |||||||||
Access CIG LLC, Delayed Draw Term Loan, 2.02%, 2/27/2025 | $ | 36 | $ | 36 | |||||||
Convergint Technologies LLC, Delayed Draw Term Loan, 2/3/2025(a) | 22 | 22 | |||||||||
Mavis Tire Express, Delayed Draw 1st Lien Term Loan, 0.15%, 3/15/2025(a) | 20 | 20 | |||||||||
Traeger Pellet Grills LLC, Delayed Draw Term Loan 5.00%, 9/21/2024 | 9 | 9 | |||||||||
Total |
| $ | 87 |
(a) Value determined using significant unobservable inputs.
16 Expense offset arrangement: The Fund has an expense offset arrangement in connection with its custodian contract. For the six months ended April 30, 2018, the impact of this arrangement was a reduction of expenses of $1,124.
17 Other: All net investment income and realized and unrealized capital gains and losses of the Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, the Fund pays Management a fee at the annual rate of 1.700% of the first $250 million of the Fund's average daily net assets, 1.675% of the next $250 million, 1.650% of the next $250 million, 1.625% of the next $250 million, 1.600% of the next $500 million, 1.575% of the next $2.5 billion, and 1.550% of average daily net assets in excess of $4 billion. Accordingly, for the six months ended April 30, 2018, the investment management fee pursuant to the Investment Management Agreement was equivalent to an annual effective rate of 1.69% of the Fund's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. Prior to July 1, 2017, the Fund paid Management an administration fee at the annual rate of 0.06% of its average daily net assets under this agreement. Additionally, the Institutional Class of the Fund paid Management an administration fee at the annual rate of 0.09% of its average daily net assets, Class A and Class C of the Fund paid Management an administration fee at the annual rate of 0.20% of its average daily net assets and Class R6 of the Fund paid Management an administration fee at the annual rate of 0.02% of its average daily net assets under this agreement. Effective July 1, 2017, the administration fee is only assessed at the Class level and each share class of the Fund, as applicable, pays Management an annual administration fee equal to the following: 0.15% for Institutional Class; 0.26% for each of, Class A and Class C; and 0.08% for Class R6, each as a percentage of its average daily net assets. This did not result in an increase in the administration fee for any share class. Additionally, Management retains JPMorgan Chase
57
Bank, NA ("JPM") as its sub-administrator under a Sub-Administration Agreement. Management pays JPM a fee for all services received under the agreement.
Management has contractually agreed to waive fees and/or reimburse certain expenses of the Institutional Class, Class A, Class C and Class R6 of the Fund so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the following table. These undertakings exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitations. The Fund has agreed that each of its respective classes will repay Management for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class' annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed. Any such repayment must be made within three years after the year in which Management incurred the expense. The expenses of the Subsidiary are included in the total expenses used to calculate the reimbursement, which the Fund has agreed to share with the Subsidiary. For the six months ended April 30, 2018, these Subsidiary expenses amounted to $48,379.
At April 30, 2018, contingent liabilities to Management under the agreements were as follows:
Expenses Reimbursed in Year Ended, October 31, | |||||||||||||||||||||||||||
2015 | 2016 | 2017 | 2018 | ||||||||||||||||||||||||
Subject to Repayment until October 31, | |||||||||||||||||||||||||||
Contractual Expense Limitation(1) | Expiration | 2018 | 2019 | 2020 | 2021 | ||||||||||||||||||||||
Institutional Class | 1.97 | % | 10/31/21 | $ | — | $ | 377,847 | $ | 453,077 | $ | 276,543 | ||||||||||||||||
Class A | 2.33 | % | 10/31/21 | — | 89,779 | 48,418 | 24,708 | ||||||||||||||||||||
Class C | 3.08 | % | 10/31/21 | — | 40,256 | 33,125 | 17,347 | ||||||||||||||||||||
Class R6 | 1.90 | % | 10/31/21 | — | 1,667 | 1,142 | 14,531 |
(1) Expense limitation per annum of the respective class' average daily net assets.
At April 30, 2018, Management engaged BH-DG Systematic Trading LLP, Cramer Rosenthal McGlynn, LLC, GAMCO Asset Management Inc., Good Hill Partners LP, P/E Global, LLC, Portland Hill Asset Management Limited, Sound Point Capital Management, L.P., and TPH Asset Management, LP as subadvisers of the Fund to provide investment management services. Management compensates the subadvisers out of the investment advisory fees it receives from the Fund.
The Fund also has a distribution agreement with Neuberger Berman BD LLC (the "Distributor") with respect to each class of shares. The Distributor acts as agent in arranging for the sale of class shares without sales commission or other compensation, except as described below for Class A and Class C shares, and bears advertising and promotion expenses.
However, the Distributor receives fees from Class A and Class C under their distribution plans (each a "Plan", collectively, the "Plans") pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that, as compensation for administrative and other services provided to these classes, the Distributor activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, the Distributor receives from each of these respective classes a fee at the annual rate of 0.25% of Class A's and 1.00% of Class C's average daily net assets. The Distributor receives this amount to provide distribution and shareholder servicing for these classes and pays a portion of it to institutions that provide such services. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by each class during any year may be more or less than the cost of distribution and other
58
services provided to that class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Trust's Plans comply with those rules.
Class A shares of the Fund are generally sold with an initial sales charge of up to 5.75% and no contingent deferred sales charge ("CDSC"), except that a CDSC of 1.00% applies to certain redemptions made within 18 months following purchases of $1 million or more without an initial sales charge. Class C shares of the Fund are sold with no initial sales charge and a 1.00% CDSC if shares are sold within one year after purchase.
For the six months ended April 30, 2018, Neuberger Berman, acting as underwriter and broker-dealer, received net initial sales charges from the purchase of Class A shares and CDSCs from the redemption of Class A and Class C shares as follows:
Underwriter | Broker-Dealer | ||||||||||||||||||
Net Initial Sales Charges | CDSC | Net Initial Sales Charges | CDSC | ||||||||||||||||
Class A | $ | — | $ | — | $ | — | $ | — | |||||||||||
Class C | — | — | — | — |
Note C—Securities Transactions:
During the six months ended April 30, 2018, there were purchase and sale transactions of long-term securities (excluding equity swaps, total return swaps, credit default swaps, forward contracts, futures and option contracts) as follows:
(000's omitted) | Purchases of U.S. Government and Agency Obligations | Purchases excluding U.S. Government and Agency Obligations | Securities Sold Short excluding U.S. Government and Agency Obligations | Sales and Maturities of U.S. Government and Agency Obligations | Sales and Maturities excluding U.S. Government and Agency Obligations | Covers on Securities Sold Short excluding U.S. Government and Agency Obligations | |||||||||||||||||||||
$ | — | $ | 279,770 | $ | 45,372 | $ | — | $ | 355,271 | $ | 87,552 |
During the six months ended April 30, 2018, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2018 and year ended October 31, 2017 was as follows:
For the Six Months Ended April 30, 2018 | For the Year Ended October 31, 2017 | ||||||||||||||||||||||||||||||||||
(000's omitted) | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | |||||||||||||||||||||||||||
Institutional Class | 2,949 | — | (8,157 | ) | (5,208 | ) | 10,473 | — | (30,747 | ) | (20,274 | ) | |||||||||||||||||||||||
Class A | 390 | — | (616 | ) | (226 | ) | 423 | — | (4,717 | ) | (4,294 | ) | |||||||||||||||||||||||
Class C | 30 | — | (375 | ) | (345 | ) | 50 | — | (2,485 | ) | (2,435 | ) | |||||||||||||||||||||||
Class R6 | 613 | — | (403 | ) | 210 | 1,058 | — | (217 | ) | 841 |
59
Other: At April 30, 2018, there were no affiliated investors owning the Fund's outstanding shares.
Note E—Line of Credit:
At April 30, 2018, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. The Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that the Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility for the Fund at April 30, 2018.
During the period ended April 30, 2018, the Fund did not utilize the line of credit.
Note F—Recent Accounting Pronouncement:
In March 2017, FASB issued Accounting Standards Update No. 2017-08, "Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities" ("ASU 2017-08"). ASU 2017-08 shortens the amortization period to the earliest call date for certain purchased callable debt securities held at a premium. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact of applying this guidance.
Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
60
Financial Highlights
Absolute Return Multi-Manager Fund
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% per share are presented as 0.00% or (0.00)%, respectively. Net Asset amounts with a zero balance, if any, may reflect actual amounts rounding to less than $0.1 million. A "—" indicates that the line item was not applicable in the corresponding period.
Net Asset Value, Beginning of Period | Net Investment Income/ (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Net Asset Value, End of Period | Total Return†d | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and Interest expense relating to short sales)# | Ratio of Net Expenses to Average Net AssetsØ | Ratio of Net Expenses to Average Net Assets (excluding dividend and Interest expense relating to short sales)Ø | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2018ß (Unaudited) | $ | 10.77 | $ | 0.05 | $ | (0.04 | ) | $ | 0.01 | $ | — | $ | — | $ | — | $ | — | $ | 10.78 | 0.09 | %** | $ | 239.9 | 2.56 | %* | 2.18 | %* | 2.36 | %* | 1.97 | %* | 0.99 | %* | 107 | %** | 93 | %** | ||||||||||||||||||||||||||||||||||||||
10/31/2017ß | $ | 10.18 | $ | 0.06 | $ | 0.53 | $ | 0.59 | $ | — | $ | — | $ | — | $ | — | $ | 10.77 | 5.80 | % | $ | 295.7 | 2.69 | % | 2.09 | % | 2.57 | %§ | 1.97 | %§ | 0.61 | % | 382 | % | 357 | % | |||||||||||||||||||||||||||||||||||||||
10/31/2016ß | $ | 10.47 | $ | 0.02 | $ | (0.18 | ) | $ | (0.16 | ) | $ | (0.03 | ) | $ | (0.10 | ) | $ | — | $ | (0.13 | ) | $ | 10.18 | (1.57 | )% | $ | 485.8 | 2.83 | %‡ | 2.02 | %‡ | 2.78 | %§‡ | 1.97 | %§‡ | 0.18 | %‡ | 485 | % | 474 | % | ||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 11.00 | $ | (0.04 | ) | $ | (0.19 | ) | $ | (0.23 | ) | $ | (0.07 | ) | $ | (0.23 | ) | $ | — | $ | (0.30 | ) | $ | 10.47 | (2.10 | )% | $ | 1,343.3 | 2.71 | % | 1.97 | % | 2.71 | %§ | 1.97 | %§ | (0.40 | )% | 433 | % | 452 | % | |||||||||||||||||||||||||||||||||
10/31/2014 | $ | 10.86 | $ | (0.01 | ) | $ | 0.22 | $ | 0.21 | $ | — | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 11.00 | 1.96 | % | $ | 1,275.3 | 2.64 | % | 2.13 | % | 0.03 | % | 0.02 | % | (0.10 | )% | 329 | % | 257 | % | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 10.00 | $ | (0.08 | ) | $ | 1.00 | $ | 0.92 | $ | (0.02 | ) | $ | (0.04 | ) | $ | — | $ | (0.06 | ) | $ | 10.86 | 9.19 | % | $ | 324.3 | 2.89 | % | 2.60 | % | 0.02 | % | 0.02 | % | (0.74 | )% | 421 | % | 330 | % | |||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2018ß (Unaudited) | $ | 10.65 | $ | 0.03 | $ | (0.04 | ) | $ | (0.01 | ) | $ | — | $ | — | $ | — | $ | — | $ | 10.64 | (0.09 | )%** | $ | 18.2 | 2.97 | %* | 2.58 | %* | 2.71 | %* | 2.33 | %* | 0.62 | %* | 107 | %** | 93 | %** | |||||||||||||||||||||||||||||||||||||
10/31/2017ß | $ | 10.10 | $ | 0.02 | $ | 0.53 | $ | 0.55 | $ | — | $ | — | $ | — | $ | — | $ | 10.65 | 5.45 | % | $ | 20.6 | 3.13 | % | 2.47 | % | 2.99 | %§ | 2.33 | %§ | 0.17 | % | 382 | % | 357 | % | |||||||||||||||||||||||||||||||||||||||
10/31/2016ß | $ | 10.40 | $ | (0.02 | ) | $ | (0.18 | ) | $ | (0.20 | ) | $ | — | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 10.10 | (1.91 | )% | $ | 62.9 | 3.20 | %‡ | 2.40 | %‡ | 3.13 | %§‡ | 2.33 | %§‡ | (0.16 | )%‡ | 485 | % | 474 | % | ||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.92 | $ | (0.08 | ) | $ | (0.18 | ) | $ | (0.26 | ) | $ | (0.03 | ) | $ | (0.23 | ) | $ | — | $ | (0.26 | ) | $ | 10.40 | (2.47 | )% | $ | 210.6 | 3.06 | % | 2.33 | % | 3.06 | %§ | 2.33 | %§ | (0.71 | )% | 433 | % | 452 | % | |||||||||||||||||||||||||||||||||
10/31/2014 | $ | 10.82 | $ | (0.04 | ) | $ | 0.21 | $ | 0.17 | $ | — | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 10.92 | 1.60 | % | $ | 242.2 | 3.02 | % | 2.49 | % | 2.90 | % | 2.38 | % | (0.40 | )% | 329 | % | 257 | % | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 9.99 | $ | (0.12 | ) | $ | 0.99 | $ | 0.87 | $ | — | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 10.82 | 8.70 | % | $ | 124.7 | 3.27 | % | 2.99 | % | 2.62 | % | 2.34 | % | (1.17 | )% | 421 | % | 330 | % | ||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2018ß (Unaudited) | $ | 10.24 | $ | (0.01 | ) | $ | (0.04 | ) | $ | (0.05 | ) | $ | — | $ | — | $ | — | $ | — | $ | 10.19 | (0.49 | )%** | $ | 14.3 | 3.69 | %* | 3.30 | %* | 3.47 | %* | 3.08 | %* | (0.12 | )%* | 107 | %** | 93 | %** | ||||||||||||||||||||||||||||||||||||
10/31/2017ß | $ | 9.78 | $ | (0.05 | ) | $ | 0.51 | $ | 0.46 | $ | — | $ | — | $ | — | $ | — | $ | 10.24 | 4.70 | % | $ | 17.9 | 3.82 | % | 3.21 | % | 3.69 | %§ | 3.08 | %§ | (0.53 | )% | 382 | % | 357 | % | ||||||||||||||||||||||||||||||||||||||
10/31/2016ß | $ | 10.15 | $ | (0.09 | ) | $ | (0.18 | ) | $ | (0.27 | ) | $ | — | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 9.78 | (2.66 | )% | $ | 40.9 | 3.96 | %‡ | 3.15 | %‡ | 3.89 | %§‡ | 3.08 | %§‡ | (0.96 | )%‡ | 485 | % | 474 | % | ||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.72 | $ | (0.16 | ) | $ | (0.18 | ) | $ | (0.34 | ) | $ | — | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | $ | 10.15 | (3.21 | )% | $ | 87.1 | 3.81 | % | 3.08 | % | 3.81 | %§ | 3.08 | %§ | (1.48 | )% | 433 | % | 452 | % | ||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 10.71 | $ | (0.13 | ) | $ | 0.21 | $ | 0.08 | $ | — | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 10.72 | 0.77 | % | $ | 95.3 | 3.77 | % | 3.26 | % | 3.66 | % | 3.15 | % | (1.18 | )% | 329 | % | 257 | % | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 9.95 | $ | (0.21 | ) | $ | 1.01 | $ | 0.80 | $ | — | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 10.71 | 8.03 | % | $ | 21.3 | 4.01 | % | 3.72 | % | 3.38 | % | 3.09 | % | (1.94 | )% | 421 | % | 330 | % | ||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2018ß (Unaudited) | $ | 10.77 | $ | 0.05 | $ | (0.03 | ) | $ | 0.02 | $ | — | $ | — | $ | — | $ | — | $ | 10.79 | 0.19 | %** | $ | 14.9 | 2.50 | %* | 2.11 | %* | 2.29 | %* | 1.90 | %* | 1.02 | %* | 107 | %** | 93 | %** | ||||||||||||||||||||||||||||||||||||||
10/31/2017ß | $ | 10.17 | $ | 0.05 | $ | 0.55 | $ | 0.60 | $ | — | $ | — | $ | — | $ | — | $ | 10.77 | 5.90 | % | $ | 12.7 | 2.40 | % | 1.93 | % | 2.37 | %§ | 1.90 | %§ | 0.51 | % | 382 | % | 357 | % | |||||||||||||||||||||||||||||||||||||||
10/31/2016ß | $ | 10.47 | $ | 0.04 | $ | (0.21 | ) | $ | (0.17 | ) | $ | (0.03 | ) | $ | (0.10 | ) | $ | — | $ | (0.13 | ) | $ | 10.17 | (1.58 | )% | $ | 3.4 | 2.71 | %‡ | 1.92 | %‡ | 2.69 | %§‡ | 1.90 | %§‡ | 0.37 | %‡ | 485 | % | 474 | % | ||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 11.01 | $ | (0.01 | ) | $ | (0.22 | ) | $ | (0.23 | ) | $ | (0.08 | ) | $ | (0.23 | ) | $ | — | $ | (0.31 | ) | $ | 10.47 | (2.14 | )% | $ | 17.4 | 2.66 | % | 1.90 | % | 2.66 | %§ | 1.90 | %§ | (0.08 | )% | 433 | % | 452 | % | |||||||||||||||||||||||||||||||||
Period from 12/31/2013^ to 10/31/2014 | $ | 10.99 | $ | 0.01 | $ | 0.01 | $ | 0.02 | $ | — | $ | — | $ | — | $ | — | $ | 11.01 | 0.18 | %** | $ | 32.5 | 2.56 | %* | 2.08 | %* | 2.46 | %* | 1.98 | %* | 0.10 | %* | 329 | %ØØ | 257 | %ØØ |
See Notes to Financial Highlights
61
62
Notes to Financial Highlights (Unaudited)
@ Calculated based on the average number of shares outstanding during each fiscal period.
† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested, but do not reflect the effect of sales charges. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares, when redeemed, may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. Total return would have been higher if Management had not recouped previously reimbursed and/or waived expenses.
d The class action proceeds listed in Note A of the Notes to Consolidated Financial Statements, if any, had no impact on the Fund's total returns for the period ended April 30, 2018.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee.
‡ Organization expense, which is a non-recurring expense, is included in these ratios on a non-annualized basis.
** Not annualized.
* Annualized.
^ The date investment operations commenced.
ß Consolidated financial highlights (see Note A in the Notes to Consolidated Financial Statements).
Ø After reimbursement of expenses and/or waiver of a portion of the investment management fee by Management. The Fund is required to calculate an expense ratio without taking into consideration any expense reductions related to expense offset arrangements. Had the Fund not received expense reductions related to expense offset arrangements, the annualized ratios of net expenses to average daily net assets would have been:
Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | ||||||||||||||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | 2.36 | % | 1.97 | % | 2.57 | % | 1.97 | % | 2.78 | % | 1.97 | % | 2.71 | % | 1.97 | % | 2.55 | % | 2.04 | % | 2.30 | % | 2.01 | % | |||||||||||||||||||||||||||
Class A | 2.71 | % | 2.33 | % | 2.99 | % | 2.33 | % | 3.13 | % | 2.33 | % | 3.06 | % | 2.33 | % | 2.90 | % | 2.38 | % | 2.63 | % | 2.35 | % | |||||||||||||||||||||||||||
Class C | 3.47 | % | 3.08 | % | 3.69 | % | 3.08 | % | 3.89 | % | 3.08 | % | 3.81 | % | 3.08 | % | 3.66 | % | 3.15 | % | 3.39 | % | 3.10 | % | |||||||||||||||||||||||||||
Class R6 | 2.29 | % | 1.90 | % | 2.37 | % | 1.90 | % | 2.69 | % | 1.90 | % | 2.66 | % | 1.90 | % | 2.46 | %(1) | 1.98 | %(1) | — | — |
(1) Period from December 31, 2013 (Commencement of Operations) to October 31, 2014.
ØØ Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended October 31, 2014 for the Fund.
63
Notes to Financial Highlights (Unaudited) (cont'd)
§ After repayment of expenses previously reimbursed and/or fees previously waived by Management, as applicable. Had the Fund not made such repayments, the annualized ratios of net expenses to average daily net assets would have been:
Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | ||||||||||||||||
Year Ended October 31, 2016 | Year Ended October 31, 2015 | ||||||||||||||||||
Institutional Class | 2.77 | % | 1.96 | % | 2.64 | % | 1.90 | % | |||||||||||
Class A | 3.13 | % | 2.33 | % | 3.02 | % | 2.29 | % | |||||||||||
Class C | 3.88 | % | 3.07 | % | 3.75 | % | 3.02 | % | |||||||||||
Class R6 | 2.68 | % | 1.89 | % | 2.59 | % | 1.83 | % |
64
Directory
Investment Manager and Administrator
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104-0002
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Distributor
Neuberger Berman BD LLC
1290 Avenue of the Americas
New York, NY 10104-0002
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Sub-Advisers
BH-DG Systematic Trading LLP
10 Grosvenor Street
London W1K 4QB, United Kingdom
Cramer Rosenthal McGlynn, LLC
520 Madison Avenue, 20th Floor
New York, NY 10022
GAMCO Asset Management Inc.
One Corporate Center
Rye, NY 10580
Good Hill Partners LP
One Greenwich Office Park
Greenwich, CT 06831
P/E Global, LLC
75 State Street, 31st Floor
Boston, MA 02109
Portland Hill Asset Management Limited
21 Knightsbridge
London SW1X7LY, United Kingdom
Sound Point Capital Management, L.P.
375 Park Avenue
New York, NY 10152
TPH Asset Management, LP
Heritage Plaza
1111 Bagby, Suite 4920
Houston, Texas 77002
Custodian
J.P. Morgan Chase Bank, N.A.
14201 Dallas Parkway
Dallas, TX 75254
Shareholder Servicing Agent(a)
DST Asset Manager Solutions Inc.
30 Dan Road
Canton, MA 02021
For Institutional Class Shareholders
Address correspondence to:
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas 22nd Floor
New York, NY 10104-0002
Intermediary Client Services 800.366.6264
For Class A, Class C and Class R6 Shareholders:
Please contact your investment provider
Legal Counsel
K&L Gates LLP
1601 K Street, NW
Washington, DC 20006-1600
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
(a) 430 West 7th Street, Suite 21989
Kansas City, MO 64105-1407
Effective 9/1/18
65
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website, at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for each Fund with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll-free).
66
Board Consideration of Additional Sub-Advisory Agreement: BH-DG Systematic Trading LLP
At meetings held on March 29-30, 2017, the Board of Trustees (the "Board"), of Neuberger Berman Alternative Funds (the "Trust"), including the Trustees who are not "interested persons" of the Trust or of Neuberger Berman Investment Advisers LLC (the "Manager") (including its affiliates) ("Independent Trustees") considered and approved a sub-advisory agreement with respect to Neuberger Berman Absolute Return Multi-Manager Fund (the "Fund") between the Manager and BH-DG Systematic Trading LLP ("BH-DG") (the "Sub-Advisory Agreement"), which will be responsible for managing a portion of the assets of the Fund. The Independent Trustees were advised by counsel that is experienced in 1940 Act matters and that is independent of the Manager ("Independent Counsel").
In evaluating the Sub-Advisory Agreement, the Board, including the Independent Trustees, reviewed materials furnished by BH-DG in response to questions submitted by the Manager, the Independent Trustees and Independent Counsel, and met with senior representatives of the Manager regarding BH-DG's personnel, operations, compliance program and financial condition as they relate to the Fund. In addition, the Board, including the Independent Trustees, spoke with representatives of BH-DG regarding its personnel and operations.
The Board noted that the Manager and the Fund had obtained from the SEC an exemptive order that permitted the Manager to add or replace subadvisers to the Fund without a shareholder vote, provided the Independent Trustees approve the new subadviser and certain other steps are taken and that the Manager, pursuant to its agreement with the Fund and related subadviser oversight policies and procedures approved by the Board, is responsible for overseeing BH-DG.
Provided below is a description of the Board's contract approval process and the material factors that the Board considered at its meeting regarding the approval of the Sub-Advisory Agreement and the compensation to be paid thereunder. In connection with its approval of the Sub-Advisory Agreement, the Board evaluated the terms of the Sub-Advisory Agreement, the overall fairness of the Sub-Advisory Agreement to the Fund and whether the Sub-Advisory Agreement was in the best interests of the Fund and Fund shareholders. The Board's determination to approve the Sub-Advisory Agreement was based on a comprehensive consideration of all information provided to the Board. This description is not intended to include all of the factors considered by the Board. In their deliberations, the Board members did not identify any particular information or factor that was all-important or controlling, and each Trustee may have attributed different weights to the various factors. The Board focused on the potential costs and benefits of the Sub-Advisory Agreement to the Fund and, through the Fund, its shareholders.
With respect to the nature, extent and quality of the services provided, the Board considered the investment philosophy and decision-making processes of, and the qualifications, experience, and capabilities of, and the resources available to, the portfolio management personnel of BH-DG who would perform services for the Fund. The Board reviewed the performance for accounts managed by BH-DG that were substantially similar in strategy to the strategy BH-DG will use for the Fund, noting that the accounts may not be subject to the same 1940 Act restrictions as the Fund. The Board considered the policies and practices regarding brokerage and allocation of portfolio transactions of BH-DG and noted that the Manager would monitor the quality of the execution services provided by BH-DG.
The Board also considered BH-DG's compliance history, as well as the scope of its compliance program, including the Fund's Chief Compliance Officer's and the Manager's assessment of the program. The Board also considered whether there were any pending lawsuits, enforcement proceedings or regulatory investigations involving BH-DG, and reviewed information regarding its financial condition, history of operations and any conflicts of interest in managing the Fund.
With respect to the overall fairness of the Sub-Advisory Agreement, the Board had previously considered the Fund's fee structure as compared to a peer group of comparable funds provided by an outside consulting firm and any fall-out benefits likely to accrue to the Manager or its affiliates. The Manager indicated that similar comparative information was not available with respect to the amount paid to BH-DG. The Board did, however, consider an estimate of the costs of the services to be provided and estimated profit or loss that would be realized by the Manager as a result of adding BH-DG. The Board also considered the fees BH-DG charges for products with investment objectives, policies and strategies that are similar to those of the Fund. The Board did not give substantial weight to the estimated profitability data from BH-DG because the Board did not view this data as being a key factor to its deliberations given the arm's-length nature of
67
the relationship between the Manager and BH-DG with respect to the negotiation of subadvisory fee rate. To test its assumption of an arm's-length fee rate, the Board requested from the Manager information about any other business relationships it has with BH-DG. In addition, the Board noted that BH-DG may not account for its profits on an account-by-account basis and may employ different methodologies in connection with its calculations. It considered that the Sub-Advisory Agreement will provide for a breakpoint in the fee and, as a general matter, the way in which the breakpoint would factor into the fees paid by the Fund.
Conclusions as to Additional Sub-Advisory Agreement
In approving the Sub-Advisory Agreement, the Board concluded that, in its business judgment, the terms of the Sub-Advisory Agreement are fair and reasonable and that approval of the Agreement is in the best interests of the Fund and its shareholders. In reaching this determination, the Board considered that BH-DG could be expected to provide a high level of service to the Fund; that BH-DG's fees appeared to the Board to be reasonable given the nature, extent and quality of services expected to be provided; and that the expected benefits accruing to BH-DG and its affiliates and the Manager and its affiliates by virtue of their relationship with the Fund were reasonable in light of the expected costs of providing the sub-advisory services and the expected benefits accruing to the Fund.
68
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104–0002
Retail Services: 800.877.9700
Broker-Dealer and Institutional Services: 800.366.6264/888.556.9030
www.nb.com
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus which you can obtain by calling 877.628.2583. An investor should consider carefully a Fund's investment objectives, risks and fees and expenses, which are described in its prospectus, before investing.
N0087 06/18
(a) | Based on an evaluation of the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) as of a date within 90 days of the filing date of this report, the Chief Executive Officer and |
President and the Treasurer and Principal Financial and Accounting Officer of the Registrant have concluded that such disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is accumulated and communicated to the Registrant’s management to allow timely decisions regarding required disclosure. |
(b) | There were no significant changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
(a)(1) | A copy of the Code of Ethics is incorporated by reference to Neuberger Berman Advisers Management Trust’s Form N-CSRS, Investment Company Act file number 811-04255 (filed August 25, 2016). |
(a)(2) | The certifications required by Rule 30a-2(a) under the Act and Section 302 of the Sarbanes-Oxley Act of 2002 (“Sarbanes-Oxley Act”) are filed herewith. |
(a)(3) | Not applicable to the Registrant. |
(a)(4) | Not applicable to the Registrant. |
(b) | The certification required by Rule 30a-2(b) under the Act and Section 906 of the Sarbanes-Oxley Act is furnished herewith. |
By: | /s/ Joseph V. Amato |
Joseph V. Amato | |
Chief Executive Officer and President |
By: | /s/ Joseph V. Amato |
Joseph V. Amato | |
Chief Executive Officer and President |
By: | /s/ John M. McGovern |
John M. McGovern | |
Treasurer and Principal Financial | |
and Accounting Officer |