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
Absolute Return Multi-Manager Fund
Semi-Annual Report
April 30, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund's annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund's website www.nb.com/fundliterature, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling 800.877.9700 or by sending an e-mail request to fundinfo@nb.com.
Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.877.9700 or send an email request to fundinfo@nb.com to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.
Contents
PRESIDENT'S LETTER | 1 | ||||||
PORTFOLIO COMMENTARY | 2 | ||||||
FUND EXPENSE INFORMATION | 6 | ||||||
CONSOLIDATED SCHEDULE OF INVESTMENTS | 8 | ||||||
CONSOLIDATED FINANCIAL STATEMENTS | 37 | ||||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | 59 | ||||||
Directory | 65 | ||||||
Proxy Voting Policies and Procedures | 66 | ||||||
Quarterly Portfolio Schedule | 66 |
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. ©2019 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 solid results over the six months ended April 30, 2019. Despite a weak start, U.S. equities rallied sharply as the reporting period progressed. The market's ascent was partially driven by corporate profits that often exceeded expectations, monetary policy accommodation and signs of progress on the U.S./China trade negotiation front. These factors offset signs of moderating growth outside the U.S., uncertainties surrounding Brexit and a number of geopolitical issues.
Elsewhere, the U.S. fixed income market also performed well over the period. The U.S. economy continued to expand, while inflation remained relatively benign. Both short- and long-term U.S. Treasury yields declined as the U.S. Federal Reserve Board (Fed) indicated that it did not expect to raise rates in 2019. The Fed also said it would end its balance sheet reduction program in September 2019. Monetary policy clarity improved not just at the Fed, but also at central banks in Europe, Japan and China.
All told, the U.S. equity market, as measured by the S&P 500® Index, gained 9.76% over the reporting period. International developed and emerging market equities, as measured by the MSCI EAFE® (Net) and MSCI Emerging Market (Net) Indices, returned 7.45% and 13.76%, respectively, over the six months ended April 30, 2019. Meanwhile, the overall U.S. bond market, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, gained 5.49% during the period.
We continue to position the portfolio to benefit from increased market volatility. In our view, volatility could increase due to several factors, such as unresolved U.S./China trade negotiations, uncertainties surrounding Brexit and moderating European and emerging markets growth. The Fund continues to diversify its portfolio among a variety of strategies. The Fund's largest allocation is credit strategies, which includes both corporate credit long/short and asset-backed securities strategies. The second largest strategy allocation is long/short equity, as we anticipate lower correlations and higher dispersion among stocks. The Fund's next largest allocation is global macro/managed futures strategies, as we believe the potential for increased market volatility could be advantageous for these strategies. Finally, the Fund has an allocation to merger arbitrage/event driven strategies, as we believe robust deal volume has the potential to bring about opportunities for the Fund.
Thank you for your continued support and trust. We look forward to continue serving your investment needs in the years to come.
Sincerely,
JOSEPH V. AMATO
PRESIDENT AND CEO
NEUBERGER BERMAN ALTERNATIVE FUNDS
1
Absolute Return Multi-Manager Fund Commentary
Neuberger Berman Absolute Return Multi-Manager Fund Institutional Class generated a 1.87% total return for the six months ended April 30, 2019, outperforming its primary benchmark, the HFRX Global Hedge Fund Index, which returned 0.66% for the same period. (Performance for all share classes is provided in the table following this letter.)
U.S. equities declined sharply in the beginning of the period, driven largely by fears of rising interest rates, global trade wars and declining energy prices potentially leading to a global economic slowdown. Equities quickly recovered in early 2019 and continued to rally throughout the period with little volatility. This turnaround was triggered by strong corporate earnings, robust economic data and U.S. Federal Reserve Board dovishness. U.S. fixed income rallied throughout the period as 10-year U.S. Treasury yields moved lower. The U.S. dollar was range-bound during the period against most major currencies. While gold prices rose slightly, commodity prices declined more broadly, led by lower natural gas prices.
The Fund's allocation to long/short equity strategies was the largest contributor to absolute performance followed by gains from global macro/managed futures, merger arbitrage/event driven and credit strategies.
Positive performance from the long/short equity allocation was driven by gains from longs, which outweighed losses from shorts and equity index hedges. From a sector perspective, the largest contributors were Information Technology, Communication Services and Industrials, while the largest detractors were Financials and Consumer Staples.
Gains from global macro/managed futures strategies were split between the managed futures strategy and the systematic currency strategy. Within managed futures, gains from interest rates, commodities and equities outpaced losses from currencies. Gains from the systematic currency strategy were driven by long U.S. dollar positioning versus the euro.
Merger arbitrage/event driven strategies were the next largest contributors, as several mergers progressed in the right direction and/or closed, with few deals falling through during the period.
In the Fund's credit allocation, gains from the asset-backed securities strategy were spread across sectors, while small losses in the corporate credit long/short strategy came primarily from post reorganization equity positions that outweighed gains from bonds and bank loans.
The Fund's aggregate use of futures, forward foreign currency, swap and option contracts detracted from performance during the period.
We continue to position the portfolio in a way that we anticipate will benefit from an uptick in market volatility, which we believe has the potential to rise over the short- to medium-term due a number of factors. These include ongoing U.S./China trade negotiations, Brexit and slowing European and emerging markets growth. The Fund's largest allocation continues to be credit, split between corporate credit long/short and asset-backed securities. We continue to find these strategies to be attractive, particularly recently as weakness in the credit marketing in the fourth quarter of 2018 and large outflows from the leveraged loan market year-to-date have created what we see as attractive opportunities. The Fund's second largest strategy allocation is long/short equity. We did observe an uptick in correlations among stocks in fourth quarter of 2018 and early 2019. However, looking ahead we anticipate seeing lower correlations and higher dispersion among stocks, which has historically been a tailwind for the strategy. The Fund's third largest allocation is global macro/managed futures strategies. We believe a rise in market volatility has the potential to be beneficial for these strategies as has been the pattern historically. However, we have trimmed the Fund's systematic currency allocation slightly given recent strong performance. Finally, we have maintained our allocation to merger arbitrage/event driven strategies. While spreads have tightened, we believe robust deal volume has the potential to offer opportunity.
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
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 | 7.7 | % | — | % | |||||||
Closed End Funds | 0.5 | — | |||||||||
Collateralized Mortgage Obligations | 3.7 | — | |||||||||
Commercial Mortgage-Backed Securities | 5.2 | — | |||||||||
Common Stocks | 28.6 | (7.3 | ) | ||||||||
Convertible Bonds | 0.8 | — | |||||||||
Corporate Bonds | 3.0 | (1.1 | ) | ||||||||
Exchange Traded Funds | — | (0.3 | ) | ||||||||
Loan Assignments | 5.8 | — | |||||||||
Master Limited Partnerships | 0.3 | — | |||||||||
Options Purchased | 0.0 | — | |||||||||
Preferred Stocks | 0.0 | — | |||||||||
Rights | 0.1 | — | |||||||||
U.S. Treasury Obligations | 0.1 | (0.3 | ) | ||||||||
Warrants | 0.0 | — | |||||||||
Short-Term Investments | 40.6 | — | |||||||||
Other Assets Less Liabilities | 12.6 | * | — | ||||||||
Total | 109.0 | % | (9.0 | )% |
* 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 04/30/2019 | ||||||||||||||||||||||
Inception Date | Period Ended 04/30/2019 | 1 Year | 5 Years | Life of Fund | |||||||||||||||||||
At NAV | |||||||||||||||||||||||
Institutional Class | 05/15/2012 | 1.87 | % | 1.21 | % | 0.59 | % | 2.02 | % | ||||||||||||||
Class A | 05/15/2012 | 1.80 | % | 0.94 | % | 0.25 | % | 1.67 | % | ||||||||||||||
Class C | 05/15/2012 | 1.39 | % | 0.10 | % | –0.52 | % | 0.90 | % | ||||||||||||||
Class R63 | 12/31/2013 | 1.96 | % | 1.20 | % | 0.62 | % | 2.06 | % | ||||||||||||||
With Sales Charge | |||||||||||||||||||||||
Class A | –4.02 | % | –4.87 | % | –0.93 | % | 0.81 | % | |||||||||||||||
Class C | 0.39 | % | –0.90 | % | –0.52 | % | 0.90 | % | |||||||||||||||
Index | |||||||||||||||||||||||
HFRX Global Hedge Fund Index1,2 | 0.66 | % | –2.77 | % | –0.02 | % | 1.17 | % | |||||||||||||||
S&P 500® Index1,2 | 9.76 | % | 13.49 | % | 11.63 | % | 14.36 | % | |||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index1,2 | 5.49 | % | 5.29 | % | 2.57 | % | 2.27 | % |
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, as amended, the total annual operating expense ratios for fiscal year 2018 were 2.58%, 2.88%, 3.70% and 2.48% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any, and after restatement for Class R6 shares). The expense ratios were 2.39%, 2.66%, 3.50% and 2.29% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers and/or restatement. The expense ratios for the semi-annual period ended April 30, 2019 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 30,2019 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 11/1/2018 | Ending Account Value 4/30/2019 | Expenses Paid During the Period 11/1/2018 - 4/30/2019(1)(3) | Expense Ratio | Beginning Account Value 11/1/2018 | Ending Account Value 4/30/2019 | Expenses Paid During the Period 11/1/2018 - 4/30/2019(2)(3) | Expense Ratio | ||||||||||||||||||||||||||||
Absolute Return Multi-Manager Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,018.70 | $ | 11.56 | 2.31 | % | $ | 1,000.00 | $ | 1,013.34 | $ | 11.53 | 2.31 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.00 | $ | 13.41 | 2.68 | % | $ | 1,000.00 | $ | 1,011.50 | $ | 13.37 | 2.68 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,013.90 | $ | 17.08 | 3.42 | % | $ | 1,000.00 | $ | 1,007.84 | $ | 17.03 | 3.42 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,019.60 | $ | 11.07 | 2.21 | % | $ | 1,000.00 | $ | 1,013.84 | $ | 11.03 | 2.21 | % |
(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).
(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, 2019
Investments | Shares | Value (000) | |||||||||
Long Positions 96.4% | |||||||||||
Common Stocks 28.6% | |||||||||||
Aerospace & Defense 0.2% | |||||||||||
Boeing Co. (The) | 960 | $ | 362 | ||||||||
KeyW Holding Corp. (The)* | 7,900 | 90 | |||||||||
452 | |||||||||||
Airlines 0.0%(a) | |||||||||||
American Airlines Group, Inc. | 623 | 21 | |||||||||
American Airlines Group, Inc. Escrow*(b)(c) | 14,383 | 3 | |||||||||
24 | |||||||||||
Auto Components 0.2% | |||||||||||
Aptiv plc | 4,450 | 381 | |||||||||
Automobiles 0.3% | |||||||||||
General Motors Co. | 12,935 | 504 | |||||||||
Banks 1.1% | |||||||||||
Barclays plc (United Kingdom) | 30,605 | 65 | |||||||||
Citigroup, Inc. | 7,570 | 535 | |||||||||
Hancock Whitney Corp. | 11,820 | 517 | |||||||||
JPMorgan Chase & Co. | 4,615 | 536 | |||||||||
MBT Financial Corp.(d) | 4,300 | 43 | |||||||||
Societe Generale SA(France) | 4,381 | 139 | |||||||||
SunTrust Banks, Inc. | 2,300 | 151 | |||||||||
TCF Financial Corp. | 500 | 11 | |||||||||
1,997 | |||||||||||
Biotechnology 1.2% | |||||||||||
Celgene Corp.* | 10,000 | 947 | |||||||||
Gilead Sciences, Inc. | 3,760 | 244 | |||||||||
Grifols SA, ADR (Spain)(d) | 7,300 | 140 | |||||||||
Nightstar Therapeutics plc, ADR* | 5,700 | 146 | |||||||||
Spark Therapeutics, Inc.*(d) | 7,100 | 757 | |||||||||
2,234 | |||||||||||
Capital Markets 0.7% | |||||||||||
Anima Holding SpA (Italy)*(e) | 62,988 | 251 | |||||||||
Churchill Capital Corp., Class A* | 15,424 | 222 | |||||||||
Forum Merger II Corp., Class A*(d) | 9,700 | 97 | |||||||||
Goldman Sachs Group,Inc. (The) | 1,925 | 397 | |||||||||
J2 Acquisition Ltd.*(e) | 6,800 | 60 | |||||||||
Nebula Acquisition Corp., Class A*(d) | 7,098 | 71 |
Investments | Shares | Value (000) | |||||||||
Trinity Merger Corp., Class A*(d) | 10,800 | $ | 110 | ||||||||
VectoIQ Acquisition Corp.*(d) | 7,500 | 75 | |||||||||
1,283 | |||||||||||
Chemicals 1.1% | |||||||||||
Air Products & Chemicals, Inc. | 2,017 | 415 | |||||||||
Ashland Global Holdings, Inc. | 5,045 | 406 | |||||||||
RPM International, Inc. | 5,792 | 351 | |||||||||
WR Grace & Co. | 10,737 | 812 | |||||||||
1,984 | |||||||||||
Commercial Services & Supplies 0.4% | |||||||||||
Cenveo Corp.*(b) | 8,093 | 108 | |||||||||
Clean Harbors, Inc.* | 6,080 | 462 | |||||||||
Multi-Color Corp. | 4,200 | 210 | |||||||||
780 | |||||||||||
Communications Equipment 0.9% | |||||||||||
Cisco Systems, Inc. | 10,470 | 586 | |||||||||
Finisar Corp.*(d) | 4,300 | 104 | |||||||||
Motorola Solutions, Inc. | 4,665 | 676 | |||||||||
Nokia OYJ, ADR (Finland) | 50,250 | 265 | |||||||||
Quantenna Communications, Inc.* | 4,500 | 109 | |||||||||
1,740 | |||||||||||
Construction Materials 0.1% | |||||||||||
HeidelbergCement AG (Germany) | 1,985 | 160 | |||||||||
Diversified Consumer Services 0.3% | |||||||||||
ServiceMaster Global Holdings, Inc.*(d) | 10,700 | 525 | |||||||||
Diversified Telecommunication Services 0.2% | |||||||||||
AT&T, Inc.(d) | 520 | 16 | |||||||||
Intelsat SA* | 15,470 | 313 | |||||||||
329 | |||||||||||
Electric Utilities 0.3% | |||||||||||
Evergy, Inc. | 5,865 | 339 | |||||||||
PG&E Corp.* | 10,558 | 238 | |||||||||
577 | |||||||||||
Electronic Equipment, Instruments & Components 0.4% | |||||||||||
Maxwell Technologies, Inc.*(d) | 27,100 | 119 | |||||||||
TE Connectivity Ltd. | 7,175 | 686 | |||||||||
805 |
Investments | Shares | Value (000) | |||||||||
Energy Equipment & Services 0.1% | |||||||||||
C&J Energy Services, Inc.* | 14,179 | $ | 199 | ||||||||
Entertainment 0.5% | |||||||||||
Global Eagle Entertainment, Inc.* | 56,033 | 36 | |||||||||
Netflix, Inc.* | 950 | 352 | |||||||||
Walt Disney Co. (The) | 3,450 | 472 | |||||||||
860 | |||||||||||
Equity Real Estate Investment Trusts (REITs) 0.3% | |||||||||||
Equinix, Inc. | 1,112 | 506 | |||||||||
InfraREIT, Inc.(d) | 5,000 | 105 | |||||||||
611 | |||||||||||
Food & Staples Retailing 0.2% | |||||||||||
Cia Brasileira de Distribuicao, ADR (Brazil)* | 2,344 | 58 | |||||||||
Lenta Ltd., GDR (Russia)*(e) | 7,900 | 28 | |||||||||
Magnit PJSC, GDR (Russia)(e) | 2,307 | 33 | |||||||||
Wal-Mart de Mexico SAB de CV (Mexico) | 28,243 | 83 | |||||||||
X5 Retail Group NV, GDR (Russia)(e) | 6,185 | 188 | |||||||||
390 | |||||||||||
Food Products 0.2% | |||||||||||
Nestle SA, ADR (Switzerland) | 3,950 | 381 | |||||||||
Health Care Equipment & Supplies 0.5% | |||||||||||
Danaher Corp. | 3,994 | 529 | |||||||||
Zimmer Biomet Holdings, Inc. | 2,915 | 359 | |||||||||
888 | |||||||||||
Health Care Providers & Services 0.5% | |||||||||||
Anthem, Inc. | 2,305 | 606 | |||||||||
BioScrip, Inc.*(d) | 10,600 | 20 | |||||||||
CVS Health Corp. | 5,395 | 293 | |||||||||
Shanghai Pharmaceuticals Holding Co. Ltd., Class H (China) | 18,433 | 39 | |||||||||
Sinopharm Group Co. Ltd., Class H (China) | 10,348 | 41 | |||||||||
999 | |||||||||||
Hotels, Restaurants & Leisure 0.4% | |||||||||||
Caesars Entertainment Corp.* | 21,224 | 199 | |||||||||
International Speedway Corp., Class A(d) | 1,800 | 79 | |||||||||
Las Vegas Sands Corp. | 6,635 | 445 | |||||||||
Vail Resorts, Inc. | 209 | 48 | |||||||||
771 |
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) | |||||||||
Household Durables 0.3% | |||||||||||
Lennar Corp., Class A | 8,600 | $ | 447 | ||||||||
Lennar Corp., Class B(d) | 4,387 | 183 | |||||||||
630 | |||||||||||
Independent Power and Renewable Electricity Producers 0.6% | |||||||||||
GenOn Energy Holdings, Class A*(c) | 5,444 | 762 | |||||||||
Vistra Energy Corp. | 12,645 | 345 | |||||||||
1,107 | |||||||||||
Industrial Conglomerates 0.3% | |||||||||||
Carlisle Cos., Inc. | 4,117 | 582 | |||||||||
Smiths Group plc (United Kingdom) | 2,763 | 55 | |||||||||
637 | |||||||||||
Insurance 1.0% | |||||||||||
AIA Group Ltd. (Hong Kong) | 52,104 | 531 | |||||||||
American International Group, Inc. | 7,645 | 364 | |||||||||
Aon plc | 2,335 | 421 | |||||||||
Genworth Financial, Inc., Class A*(d) | 1,300 | 5 | |||||||||
Health Insurance Innovations, Inc., Class A* | 10,015 | 233 | |||||||||
Navigators Group, Inc. (The)(d) | 2,300 | 161 | |||||||||
RSA Insurance Group plc (United Kingdom) | 29,323 | 207 | |||||||||
1,922 | |||||||||||
Interactive Media & Services 1.5% | |||||||||||
Actua Corp.*(b)(c)(f) | 6,700 | 4 | |||||||||
Alphabet, Inc., Class A* | 901 | 1,080 | |||||||||
Baidu, Inc., ADR (China)* | 560 | 93 | |||||||||
Facebook, Inc., Class A* | 4,771 | 923 | |||||||||
Mail.Ru Group Ltd., GDR (Russia)*(e) | 1,838 | 43 | |||||||||
Tencent Holdings Ltd. (China) | 11,575 | 573 | |||||||||
Yandex NV, Class A (Russia)* | 2,012 | 75 | |||||||||
2,791 | |||||||||||
Internet & Direct Marketing Retail 1.8% | |||||||||||
Alibaba Group Holding Ltd., ADR (China)* | 4,883 | 906 | |||||||||
Alibaba Group Holding Ltd., ADR (China)* | 1,634 | 303 | |||||||||
Amazon.com, Inc.* | 335 | 645 |
Investments | Shares | Value (000) | |||||||||
ASOS plc (United Kingdom)* | 660 | $ | 34 | ||||||||
Booking Holdings, Inc.* | 117 | 217 | |||||||||
eBay, Inc. | 3,144 | 122 | |||||||||
Expedia Group, Inc. | 5,388 | 700 | |||||||||
MercadoLibre, Inc. (Argentina)* | 694 | 336 | |||||||||
zooplus AG (Germany)* | 844 | 91 | |||||||||
3,354 | |||||||||||
IT Services 1.6% | |||||||||||
First Data Corp., Class A*(d) | 38,370 | 992 | |||||||||
Luxoft Holding, Inc.*(d) | 5,400 | 315 | |||||||||
MoneyGram International, Inc.*(d) | 6,300 | 21 | |||||||||
PayPal Holdings, Inc.* | 3,144 | 355 | |||||||||
Travelport Worldwide Ltd.(d) | 12,900 | 202 | |||||||||
Visa, Inc., Class A | 2,740 | 450 | |||||||||
Wirecard AG (Germany) | 2,999 | 450 | |||||||||
Worldpay, Inc.*(d) | 1,500 | 176 | |||||||||
2,961 | |||||||||||
Life Sciences Tools & Services 0.6% | |||||||||||
Eurofins Scientific SE (Luxembourg) | 463 | 212 | |||||||||
Gerresheimer AG (Germany)* | 4,061 | 305 | |||||||||
Pacific Biosciences of California, Inc.*(d) | 31,800 | 235 | |||||||||
Thermo Fisher Scientific, Inc. | 1,300 | 361 | |||||||||
1,113 | |||||||||||
Machinery 0.8% | |||||||||||
Deere & Co. | 2,115 | 350 | |||||||||
Dover Corp. | 4,084 | 400 | |||||||||
Global Brass & Copper Holdings, Inc. | 2,400 | 104 | |||||||||
Middleby Corp. (The)* | 2,055 | 272 | |||||||||
WABCO Holdings, Inc.* | 2,700 | 358 | |||||||||
1,484 | |||||||||||
Media 1.0% | |||||||||||
Discovery, Inc., Class C*(d) | 1,800 | 52 | |||||||||
Fox Corp., Class B*(d) | 6,312 | 243 | |||||||||
Gray Television, Inc.* | 8,553 | 200 | |||||||||
ITV plc (United Kingdom) | 150,676 | 269 | |||||||||
Liberty Global plc, Class C (United Kingdom)* | 3,184 | 83 |
Investments | Shares | Value (000) | |||||||||
Loral Space & Communications, Inc.*(d) | 10,153 | $ | 374 | ||||||||
Stroeer SE & Co. KGaA (Germany) | 2,542 | 172 | |||||||||
Tribune Co. Litigation, Class 1C*(b)(c)(f) | 300,000 | — | |||||||||
Tribune Media Co., Class A(d) | 12,600 | 582 | |||||||||
1,975 | |||||||||||
Metals & Mining 0.1% | |||||||||||
Pan American Silver Corp. (Canada)(d) | 2,551 | 33 | |||||||||
Pretium Resources, Inc. (Canada)* | 26,458 | 201 | |||||||||
234 | |||||||||||
Oil, Gas & Consumable Fuels 0.9% | |||||||||||
Anadarko Petroleum Corp. | 3,500 | 255 | |||||||||
Cheniere Energy, Inc.* | 5,075 | 327 | |||||||||
Falcon Minerals Corp.(d) | 2,000 | 17 | |||||||||
Halcon Resources Corp.* | 74,327 | 97 | |||||||||
Marathon Petroleum Corp. | 8 | — | |||||||||
Midstates Petroleum Co., Inc.* | 28,579 | 365 | |||||||||
Phillips 66 | 4,355 | 410 | |||||||||
Williams Cos., Inc. (The) | 9,410 | 267 | |||||||||
1,738 | |||||||||||
Personal Products 0.2% | |||||||||||
Edgewell Personal Care Co.* | 10,269 | 423 | |||||||||
Pharmaceuticals 0.6% | |||||||||||
Allergan plc | 2,292 | 337 | |||||||||
Aralez Pharmaceuticals, Inc. (Canada)*(d) | 345 | — | |||||||||
Aratana Therapeutics, Inc.* | 7,100 | 33 | |||||||||
Bristol-Myers Squibb Co. | 5,480 | 254 | |||||||||
Dr Reddy's Laboratories Ltd., ADR (India) | 1,862 | 78 | |||||||||
Elanco Animal Health, Inc.* | 8,940 | 282 | |||||||||
Hikma Pharmaceuticals plc (Jordan) | 4,695 | 108 | |||||||||
Teva Pharmaceutical Industries Ltd., ADR (Israel)* | 1,017 | 16 | |||||||||
1,108 |
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) | |||||||||
Professional Services 1.2% | |||||||||||
Intertek Group plc (United Kingdom) | 2,413 | $ | 168 | ||||||||
Intertrust NV (Netherlands)(e) | 57,281 | 1,087 | |||||||||
Nielsen Holdings plc | 11,765 | 300 | |||||||||
TriNet Group, Inc.*(d) | 9,897 | 617 | |||||||||
2,172 | |||||||||||
Road & Rail 0.3% | |||||||||||
Canadian National Railway Co. (Canada) | 2,295 | 213 | |||||||||
CSX Corp. | 3,880 | 309 | |||||||||
522 | |||||||||||
Semiconductors & Semiconductor Equipment 0.7% | |||||||||||
Broadcom, Inc. | 230 | 73 | |||||||||
Cree, Inc.* | 3,825 | 253 | |||||||||
Mellanox Technologies Ltd.* | 4,900 | 590 | |||||||||
Versum Materials, Inc.(d) | 8,556 | 446 | |||||||||
1,362 | |||||||||||
Software 2.0% | |||||||||||
Attunity Ltd. (Israel)* | 3,700 | 87 | |||||||||
Microsoft Corp. | 9,120 | 1,191 | |||||||||
Mitek Systems, Inc.*(d) | 2,700 | 32 | |||||||||
PTC, Inc.* | 4,485 | 406 | |||||||||
Red Hat, Inc.*(d) | 6,500 | 1,186 | |||||||||
Ultimate Software Group, Inc. (The)*(d) | 2,600 | 860 | |||||||||
3,762 | |||||||||||
Specialty Retail 0.7% | |||||||||||
Pets at Home Group plc (United Kingdom) | 166,954 | 329 | |||||||||
Sports Direct International plc (United Kingdom)* | 228,672 | 888 | |||||||||
Toys R Us, Inc.*(c) | 1,005 | 11 | |||||||||
1,228 | |||||||||||
Technology Hardware, Storage & Peripherals 0.6% | |||||||||||
Apple, Inc. | 4,106 | 824 | |||||||||
Dell Technologies, Inc., Class C*(d) | 339 | 23 | |||||||||
Samsung Electronics Co. Ltd., GDR (South Korea)(e) | 221 | 218 | |||||||||
1,065 | |||||||||||
Textiles, Apparel & Luxury Goods 1.1% | |||||||||||
Capri Holdings Ltd.* | 2,738 | 121 | |||||||||
G-III Apparel Group Ltd.* | 17,562 | 758 | |||||||||
PVH Corp. | 8,342 | 1,076 | |||||||||
Tapestry, Inc. | 4,501 | 145 | |||||||||
2,100 |
Investments | Shares | Value (000) | |||||||||
Tobacco 0.2% | |||||||||||
Philip Morris International, Inc. | 4,265 | $ | 369 | ||||||||
Trading Companies & Distributors 0.2% | |||||||||||
Brenntag AG (Germany) | 5,750 | 310 | |||||||||
Water Utilities 0.0%(a) | |||||||||||
Connecticut Water Service, Inc.(d) | 200 | 14 | |||||||||
Wireless Telecommunication Services 0.2% | |||||||||||
T-Mobile US, Inc.* | 4,085 | 298 | |||||||||
Total Common Stocks (Cost $49,079) | 53,553 | ||||||||||
Principal Amount | |||||||||||
Asset-Backed Securities 7.7% | |||||||||||
ALM XVIII Ltd. Series 2016-18A, Class CR, (ICE LIBOR USD 3 Month + 3.00%), 5.60%, 1/15/2028(g)(h) | $ | 1,000,000 | 971 | ||||||||
Atlas Senior Loan Fund IV Ltd. Series 2013-2A, Class B2LR, (ICE LIBOR USD 3 Month + 4.90%), 7.58%, 2/17/2026(g)(h) | 1,000,000 | 948 | |||||||||
CarVal CLO Ltd. Series 2018-1A, Class D, (ICE LIBOR USD 3 Month + 2.89%), 5.49%, 7/16/2031(g)(h) | 1,000,000 | 952 | |||||||||
Catamaran CLO Ltd. Series 2015-1A, Class DR, (ICE LIBOR USD 3 Month + 2.80%), 5.39%, 4/22/2027(g)(h) | 1,000,000 | 985 | |||||||||
Series 2013-1A, Class DR, (ICE LIBOR USD 3 Month + 2.80%), 5.38%, 1/27/2028(g)(h) | 1,000,000 | 985 |
Investments | Principal Amount | Value (000) | |||||||||
Series 2016-1A, Class C, (ICE LIBOR USD 3 Month + 3.85%), 6.45%, 1/18/2029(g)(h) | $ | 1,000,000 | $ | 998 | |||||||
CWABS Asset- Backed Certificates Trust Series 2005-7, Class AF4, 4.87%, 9/25/2034(i) | 57,173 | 57 | |||||||||
Jamestown CLO V Ltd. Series 2014-5A, Class B2R, 3.84%, 1/17/2027(g) | 1,000,000 | 985 | |||||||||
JP Morgan Mortgage Acquisition Trust Series 2007-CH1, Class AF6, 4.91%, 11/25/2036(j) | 83,062 | 84 | |||||||||
Mountain View CLO LLC Series 2017-1A, Class D, (ICE LIBOR USD 3 Month + 3.60%), 6.20%, 10/16/2029(g)(h) | 1,000,000 | 987 | |||||||||
New Residential Mortgage LLC Series 2018-FNT2, Class D, 4.92%, 7/25/2054(g) | 978,590 | 990 | |||||||||
Octagon Investment Partners XIV Ltd. Series 2012-1A, Class CR, (ICE LIBOR USD 3 Month + 4.00%), 6.60%, 7/15/2029(g)(h) | 1,000,000 | 1,000 | |||||||||
OFSI Fund V Ltd. Series 2013-5A, Class B2L, (ICE LIBOR USD 3 Month + 5.25%), 7.84%, 4/17/2025(g)(h) | 1,000,000 | 1,000 | |||||||||
OneMain Financial Issuance Trust Series 2015-2A, Class D, 5.64%, 7/18/2025(g) | 1,500,000 | 1,507 |
See Notes to Consolidated Financial Statements
10
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), 5.54%, 4/20/2028(g)(h) | $ | 1,000,000 | $ | 977 | |||||||
WhiteHorse X Ltd. Series 2015-10A, Class DR, (ICE LIBOR USD 3 Month + 3.00%, 3.00% Floor), 5.59%, 4/17/2027(g)(h) | 1,000,000 | 990 | |||||||||
Total Asset-Backed Securities (Cost $14,625) | 14,416 | ||||||||||
Loan Assignments 5.8% | |||||||||||
Aerospace & Defense 0.1% | |||||||||||
Maxar Technologies Ltd., Term Loan (ICE LIBOR USD 1 Month + 2.75%), 5.24%, 10/4/2024(h) | 206,477 | 166 | |||||||||
Automobiles 0.1% | |||||||||||
Panther BF, Term Loan B 3/18/2026(k)(l) | 244,000 | 245 | |||||||||
Capital Markets 0.4% | |||||||||||
Dun & Bradstreet Corp. (The), 1st Lien Term Loan (ICE LIBOR USD 1 Month + 5.00%), 7.48%, 2/6/2026(h) | 224,000 | 226 | |||||||||
Financial & Risk US Holdings, Inc., Term Loan (ICE LIBOR USD 1 Month + 3.75%), 6.23%, 10/1/2025(h) | 308,228 | 305 | |||||||||
Millennium Trust Co., Term Loan (ICE LIBOR USD 6 Month + 5.00%), 7.50%, 3/27/2026(c)(h) | 150,000 | 148 | |||||||||
679 |
Investments | Principal Amount | Value (000) | |||||||||
Chemicals 0.1% | |||||||||||
Unifrax, 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 8.50%), 11.09%, 11/5/2026(b)(h) | $ | 92,000 | $ | 87 | |||||||
Unifrax, Term Loan (ICE LIBOR USD 3 Month + 3.75%), 6.35%, 11/5/2025(h) | 95,760 | 94 | |||||||||
181 | |||||||||||
Commercial Services & Supplies 0.3% | |||||||||||
Belfor, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.00%), 6.48%, 4/3/2026(h) | 32,000 | 32 | |||||||||
Cenveo Corp, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 9.00%); ICE LIBOR USD 3 Month + 8.00%), 11.49%, 6/7/2023(b)(h)(u) | 126,487 | 117 | |||||||||
PSC Industrial Holdings Corp., 2nd Lien Term Loan (ICE LIBOR USD 1 Month + 8.50%), 10.97%, 10/11/2025(b)(c)(h) | 218,000 | 209 | |||||||||
Quad/Graphics, Inc., Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 7.49%, 2/2/2026(c)(h) | 173,000 | 174 | |||||||||
532 | |||||||||||
Communications Equipment 0.2% | |||||||||||
4L Holdings Corp., Term Loan B (ICE LIBOR USD 1 Month + 4.50%), 6.98%, 5/8/2020(c)(h) | 385,521 | 368 | |||||||||
Global Tel Link Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 6.73%, 11/29/2025(h) | 45,885 | 46 | |||||||||
414 |
Investments | Principal Amount | Value (000) | |||||||||
Diversified Consumer Services 0.1% | |||||||||||
Cambium Learning Group, Term Loan (ICE LIBOR USD 3 Month + 4.50%), 7.04%, 11/20/2026(c)(h) | $ | 192,518 | $ | 193 | |||||||
Diversified Financial Services 0.2% | |||||||||||
Intelsat Jackson Holdings SA, Term Loan (ICE LIBOR USD 1 Month + 3.75%), 6.23%, 11/27/2023(h) | 68,000 | 68 | |||||||||
Travelport Finance Luxembourg SARL, Term Loan 3/18/2026(k)(l) | 332,000 | 324 | |||||||||
392 | |||||||||||
Diversified Telecommunication Services 0.2% | |||||||||||
US TelePacific Corp., Term Loan (ICE LIBOR USD 3 Month + 5.00%), 7.60%, 5/2/2023(h) | 350,667 | 336 | |||||||||
Electric Utilities 0.4% | |||||||||||
Sandy Creek Energy Associates LP, Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 6.60%, 11/9/2020(h) | 793,861 | 708 | |||||||||
Energy Equipment & Services 0.3% | |||||||||||
Seadrill Operating LP, Term Loan B (ICE LIBOR USD 3 Month + 6.00%), 8.60%, 2/21/2021(h) | 684,109 | 545 | |||||||||
Food & Staples Retailing 0.1% | |||||||||||
United Natural Foods, Inc., Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 6.73%, 10/22/2025(h) | 182,441 | 159 |
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) | |||||||||
Health Care Equipment & Supplies 0.1% | |||||||||||
Lifescan Global Corp., Term Loan (ICE LIBOR USD 3 Month + 6.00%; ICE LIBOR USD 6 Month + 6.00%), 8.66%, 10/1/2024(h)(u) | $ | 208,290 | $ | 204 | |||||||
Health Care Providers & Services 0.4% | |||||||||||
Air Methods Corp., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.50%), 6.10%, 4/22/2024(h) | 146,860 | 126 | |||||||||
PharMerica Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 6.98%, 3/5/2026(h) | 226,417 | 228 | |||||||||
Regionalcare Hospital, Term Loan B (ICE LIBOR USD 1 Month + 4.50%), 6.99%, 11/16/2025(h) | 444,885 | 447 | |||||||||
801 | |||||||||||
Health Care Technology 0.2% | |||||||||||
athenahealth, Inc., Term Loan B (ICE LIBOR USD 3 Month + 4.50%), 7.20%, 2/5/2026(h) | 438,000 | 440 | |||||||||
Hotels, Restaurants & Leisure 0.0%(a) | |||||||||||
PFC Acquisition Corp., Term Loan (ICE LIBOR USD 3 Month + 6.50%), 9.09%, 3/1/2026(h) | 34,000 | 33 | |||||||||
Household Durables 0.0%(a) | |||||||||||
Traeger Pellet Grills LLC, 2nd Lien Term Loan (ICE LIBOR USD 3 Month + 8.50%), 11.10%, 9/25/2025(b)(c)(h) | 114,000 | 108 |
Investments | Principal Amount | Value (000) | |||||||||
Insurance 0.6% | |||||||||||
AmTrust Financial Services, Inc., 2nd Lien Term Loan (ICE LIBOR USD 1 Month + 8.50%), 10.98%, 3/2/2026(b)(c)(h) | $ | 225,000 | $ | 221 | |||||||
Confie Seguros Holding II Co., Term Loan B (ICE LIBOR USD 3 Month + 4.75%), 7.38%, 4/19/2022(h) | 690,491 | 689 | |||||||||
Confie Seguros Holding, Term Loan (ICE LIBOR USD 3 Month + 8.50%), 11.13%, 12/30/2024(b)(h) | 167,000 | 164 | |||||||||
1,074 | |||||||||||
IT Services 0.1% | |||||||||||
Converge One Holdings, Term Loan (ICE LIBOR USD 1 Month + 5.00%), 7.48%, 1/4/2026(h) | 151,000 | 148 | |||||||||
Leisure Products 0.4% | |||||||||||
Champ Acquisition Corp., Term Loan (ICE LIBOR USD 3 Month + 5.50%), 8.10%, 12/17/2025(c)(h) | 189,525 | 191 | |||||||||
Northpole Newco SARL, Term Loan 4/10/2025(b)(k)(l) | 238,000 | 221 | |||||||||
Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 6 Month + 4.50%), 7.06%, 12/22/2025(c)(h) | 203,000 | 204 | |||||||||
Recess Holdings, Inc., 2nd Lien Term Loan (ICE LIBOR USD 1 Month + 7.75%), 10.23%, 9/29/2025(b)(c)(h) | 157,000 | 150 | |||||||||
766 | |||||||||||
Media 0.3% | |||||||||||
EW Scripps Co. (The), Term Loan B 4/3/2026(c)(k)(l) | 68,000 | 68 |
Investments | Principal Amount | Value (000) | |||||||||
MediArena Acquisition BV, Term Loan B (ICE LIBOR USD 3 Month + 5.75%), 8.35%, 8/13/2021(h) | $ | 218,428 | $ | 218 | |||||||
Univision Communications, Inc., Term Loan (ICE LIBOR USD 1 Month + 2.75%), 5.23%, 3/15/2024(h) | 325,977 | 313 | |||||||||
599 | |||||||||||
Multiline Retail 0.2% | |||||||||||
JC Penney Corp., Inc., Term Loan (ICE LIBOR USD 3 Month + 4.25%), 6.88%, 6/23/2023(h) | 341,194 | 303 | |||||||||
Oil, Gas & Consumable Fuels 0.6% | |||||||||||
Southcross Energy Partners LP, DIP New Money Term Loan (ICE LIBOR USD 6 Month + 10.00%), 12.49%, 10/1/2019(b)(c)(h) | 88,984 | 88 | |||||||||
Southcross Energy Partners LP, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 6.85%, 8/4/2021(b)(h) | 1,108,429 | 876 | |||||||||
Southcross Energy Partners LP, Term Loan (ICE LIBOR USD 6 Month + 9.00%), 14.50%, 10/1/2019(b)(c)(h) | 163,138 | 163 | |||||||||
1,127 | |||||||||||
Real Estate Management & Development 0.0%(a) | |||||||||||
Toys R Us Property Co. I LLC, Term Loan (ICE LIBOR USD 1 Month + 5.00%), 7.49%, 8/21/2019(b)(c)(h) | 4,840 | 4 |
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) | |||||||||
Software 0.3% | |||||||||||
Aptean, Inc., 1st Lien Term Loan (ICE LIBOR USD 6 Month + 4.25%), 6.74%, 4/23/2026(h) | $ | 38,000 | $ | 38 | |||||||
McAfee LLC, Term Loan (ICE LIBOR USD 1 Month + 3.75%), 6.23%, 9/30/2024(h) | 337,984 | 340 | |||||||||
Project Alpha Intermediate Holding, Inc., Term Loan B 4/26/2024(k)(l) | 23,000 | 23 | |||||||||
Ultimate Software Group, Inc. (The), Term Loan 4/8/2026(k)(l) | 151,000 | 152 | |||||||||
553 | |||||||||||
Specialty Retail 0.1% | |||||||||||
Toys R Us, Inc., Mezzanine Loan 0.00%, 2/4/2024(b) | 40,767 | 41 | |||||||||
Toys R Us, Inc., Term Loan 0.00%, 2/4/2024(b) | 149,485 | 150 | |||||||||
191 | |||||||||||
Water Utilities 0.0%(a) | |||||||||||
Innovative Water Care, 1st Lien Term Loan (ICE LIBOR USD 6 Month + 5.00%), 7.60%, 12/30/2024(h) | 68,000 | 65 | |||||||||
Total Loan Assignments (Cost $11,146) | 10,966 | ||||||||||
Commercial Mortgage-Backed Securities 5.2% | |||||||||||
CHT Mortgage Trust Series 2017-CSMO, Class F, (ICE LIBOR USD 1 Month + 3.74%, 3.74% Floor), 6.21%, 11/15/2036(g)(h) | 1,000,000 | 1,003 |
Investments | Principal Amount | Value (000) | |||||||||
CORE Mortgage Trust Series 2019-CORE, Class F, (ICE LIBOR USD 1 Month + 2.35%, 2.35% Floor), 4.82%, 12/15/2031(g)(h) | $ | 1,000,000 | $ | 1,001 | |||||||
Hilton Orlando Trust Series 2018-ORL, Class E, (ICE LIBOR USD 1 Month + 2.65%), 5.12%, 12/15/2034(g)(h) | 1,500,000 | 1,509 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PHH, Class E, (ICE LIBOR USD 1 Month + 2.41%, 2.26% Floor), 4.88%, 6/15/2035(g)(h) | 1,000,000 | 1,004 | |||||||||
Series 2018-MINN, Class E, (ICE LIBOR USD 1 Month + 2.50%, 2.75% Floor), 4.97%, 11/15/2035(g)(h) | 1,000,000 | 999 | |||||||||
Lone Star Portfolio Trust Series 2015-LSP, Class E, (ICE LIBOR USD 1 Month + 5.85%, 5.85% Floor), 8.32%, 9/15/2028(g)(h) | 1,194,511 | 1,202 | |||||||||
Morgan Stanley Capital I Trust Series 2018-BOP, Class F, (ICE LIBOR USD 1 Month + 2.50%, 2.50% Floor), 4.97%, 8/15/2033(g)(h) | 1,000,000 | 1,000 | |||||||||
Series 2017-JWDR, Class E, (ICE LIBOR USD 1 Month + 3.05%, 3.05% Floor), 5.52%, 11/15/2034(g)(h) | 1,000,000 | 1,006 | |||||||||
Palisades Center Trust Series 2016-PLSD, Class D, 4.74%, 4/13/2033(g) | 1,000,000 | 943 |
Investments | Principal Amount | Value (000) | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $9,737) | $ | 9,667 | |||||||||
Collateralized Mortgage Obligations 3.7% | |||||||||||
Alternative Loan Trust Series 2005-21CB, Class A17, 6.00%, 6/25/2035 | $ | 853,757 | 825 | ||||||||
Chase Mortgage Finance Trust Series 2007-A2, Class 3A2, 4.81%, 7/25/2037(i) | 199,235 | 194 | |||||||||
Citicorp Mortgage Securities Trust Series 2006-3, Class 1A10, 6.25%, 6/25/2036 | 1,253,034 | 1,290 | |||||||||
FHLMC STACR Trust Series 2019-DNA2, Class M2, (ICE LIBOR USD 1 Month + 2.45%), 4.93%, 3/25/2049(g)(h) | 1,000,000 | 1,016 | |||||||||
FNMA Connecticut Avenue Securities Series 2016-C05, Class 2M2, (ICE LIBOR USD 1 Month + 4.45%, 4.45% Floor), 6.93%, 1/25/2029(h) | 1,000,000 | 1,087 | |||||||||
MASTR Alternative Loan Trust Series 2004-10, Class 4A1, 6.00%, 9/25/2019 | 24,589 | 25 | |||||||||
RFMSI Series Trust Series 2006-S12, Class 3A4, 5.75%, 12/25/2036 | 985,851 | 971 | |||||||||
STACR Trust Series 2018-HRP1, Class M2, (ICE LIBOR USD 1 Month + 1.65%), 4.13%, 4/25/2043(g)(h) | 853,069 | 859 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust Series 2004-S1, Class 1A11, 5.50%, 3/25/2034 | 78,546 | 79 |
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) | |||||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-1, Class 1A1, 5.50%, 3/25/2035 | $ | 342,462 | $ | 343 | |||||||
Wells Fargo Mortgage Backed Securities Trust Series 2007-14, Class 1A1, 6.00%, 10/25/2037 | 332,208 | 328 | |||||||||
Total Collateralized Mortgage Obligations (Cost $7,017) | 7,017 | ||||||||||
Corporate Bonds 3.0% | |||||||||||
Chemicals 0.3% | |||||||||||
Hexion, Inc. 6.63%, 4/15/2020(m) | 343,000 | 272 | |||||||||
10.00%, 4/15/2020(m) | 215,000 | 170 | |||||||||
10.38%, 2/1/2022(g)(m) | 215,000 | 168 | |||||||||
Momentive Performance Materials, Inc. Escrow 10.00%, 10/15/2020(b)(c)(f)(m) | 613,000 | — | |||||||||
610 | |||||||||||
Diversified Telecommunication Services 0.7% | |||||||||||
Frontier Communications Corp. 9.00%, 8/15/2031 | 431,000 | 245 | |||||||||
Intelsat Jackson Holdings SA (Luxembourg) 9.75%, 7/15/2025(g) | 1,004,000 | 1,030 | |||||||||
1,275 | |||||||||||
Electric Utilities 0.4% | |||||||||||
Pacific Gas & Electric Co. 4.25%, 8/1/2023(g)(m) | 218,000 | 210 | |||||||||
6.05%, 3/1/2034(m) | 310,000 | 322 | |||||||||
4.45%, 4/15/2042(m) | 273,000 | 248 | |||||||||
780 |
Investments | Principal Amount | Value (000) | |||||||||
Energy Equipment & Services 0.2% | |||||||||||
McDermott Technology Americas, Inc. 10.63%, 5/1/2024(g) | $ | 334,000 | $ | 303 | |||||||
Health Care Providers & Services 0.2% | |||||||||||
Community Health Systems, Inc. 6.25%, 3/31/2023 | 351,000 | 342 | |||||||||
Independent Power and Renewable Electricity Producers 0.2% | |||||||||||
GenOn Energy, Inc. (ICE LIBOR USD 6 Month + 6.50%), 9.39%, 12/1/2023(h) | 435,497 | 432 | |||||||||
GenOn Energy, Inc. Escrow 9.50%, 10/15/2018(b)(c)(f)(m) | 354,000 | — | |||||||||
9.88%, 10/15/2020(b)(c)(f)(m) | 1,655,000 | — | |||||||||
432 | |||||||||||
Marine 0.1% | |||||||||||
Navios Maritime Holdings, Inc. (Greece) 11.25%, 8/15/2022(g) | 303,000 | 205 | |||||||||
Media 0.3% | |||||||||||
iHeart Communications, Inc. 9.00%, 12/15/2019(m) | 865,000 | 640 | |||||||||
Oil, Gas & Consumable Fuels 0.4% | |||||||||||
Denbury Resources, Inc. 9.00%, 5/15/2021(g) | 144,000 | 146 | |||||||||
9.25%, 3/31/2022(g) | 412,000 | 417 | |||||||||
Halcon Resources Corp. 6.75%, 2/15/2025 | 192,000 | 124 | |||||||||
Midstates Petroleum Co., Inc. Escrow 10.00%, 6/1/2020(b)(c)(f)(m) | 1,848,000 | — | |||||||||
687 | |||||||||||
Specialty Retail 0.2% | |||||||||||
Staples, Inc. 7.50%, 4/15/2026(g) | 279,000 | 279 | |||||||||
Total Corporate Bonds (Cost $5,701) | 5,553 |
Investments | Principal Amount | Value (000) | |||||||||
Convertible Bonds 0.8% | |||||||||||
Diversified Telecommunication Services 0.2% | |||||||||||
Inmarsat plc (United Kingdom) 3.88%, 9/9/2023(e) | $ | 200,000 | $ | 299 | |||||||
Intelsat SA 4.50%, 6/15/2025(g) | 56,000 | 77 | |||||||||
376 | |||||||||||
Media 0.4% | |||||||||||
DISH Network Corp. 3.38%, 8/15/2026 | 919,000 | 843 | |||||||||
Oil, Gas & Consumable Fuels 0.2% | |||||||||||
Chesapeake Energy Corp. 5.50%, 9/15/2026(j) | 352,000 | 319 | |||||||||
Total Convertible Bonds (Cost $1,594) | 1,538 | ||||||||||
Shares | |||||||||||
Closed End Funds 0.5% | |||||||||||
Internet & Direct Marketing Retail 0.5% | |||||||||||
Altaba, Inc.*(d) (Cost $483) | 11,800 | 890 | |||||||||
Master Limited Partnerships 0.3% | |||||||||||
Capital Markets 0.3% | |||||||||||
Blackstone Group LP (The) | 7,650 | 302 | |||||||||
Oaktree Capital Group LLC | 5,000 | 253 | |||||||||
Total Master Limited Partnerships (Cost $541) | 555 | ||||||||||
Principal Amount | |||||||||||
U.S. Treasury Obligations 0.1% | |||||||||||
U.S. Treasury Bonds 3.00%, 2/15/2047 (Cost $193) | $ | 185,000 | 188 | ||||||||
No. of Rights | |||||||||||
Rights 0.1% | |||||||||||
Biotechnology 0.1% | |||||||||||
Ambit Biosciences Corp. (Daiichi Sankyo Co. Ltd.), CVR*(b)(c)(f) | 70,000 | 142 | |||||||||
Clementia Pharmaceuticals, Inc., CVR (Canada)*(c)(f) | 3,200 | 4 |
See Notes to Consolidated Financial Statements
14
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | No. of Rights | Value (000) | |||||||||
Tobira Therapeutics, Inc., CVR*(b)(c)(f) | 6,900 | $ | — | ||||||||
146 | |||||||||||
Food Products 0.0%(a) | |||||||||||
Schuman, Inc., CVR*(b)(c)(f) | 9,200 | 5 | |||||||||
Media 0.0% | |||||||||||
Media General, Inc., CVR*(b)(c)(f) | 76,116 | — | |||||||||
Metals & Mining 0.0%(a) | |||||||||||
Pan American Silver Corp. (Canada)*(b)(c)(f) | 28,600 | 10 | |||||||||
Pharmaceuticals 0.0% | |||||||||||
Omthera Pharmaceuticals, Inc. (AstraZeneca plc), CVR (United Kingdom)*(b)(c)(f) | 100 | — | |||||||||
Total Rights (Cost $24) | 161 | ||||||||||
Shares | |||||||||||
Preferred Stocks 0.0%(a) | |||||||||||
Media 0.0%(a) | |||||||||||
GCI Liberty, Inc., Series A, 7.00%, 3/10/2039(d)(n) (Cost $36) | 1,860 | 48 | |||||||||
No. of Warrants | |||||||||||
Warrants 0.0%(a) | |||||||||||
Capital Markets 0.0%(a) | |||||||||||
FinTech Acquisition Corp. III, expiring 12/31/2020*(c)(f) | 1,712 | 1 | |||||||||
Forum Merger II Corp., expiring 9/30/2025*(d) | 9,700 | 4 | |||||||||
J2 Acquisition Ltd., expiring 9/7/2027* | 9,800 | 2 | |||||||||
Nebula Acquisition Corp., expiring 1/12/2023*(d) | 2,366 | 2 | |||||||||
Trinity Merger Corp., expiring 5/31/2023*(d) | 10,800 | 3 | |||||||||
VectoIQ Acquisition Corp., expiring 6/11/2023*(d) | 6,400 | 3 | |||||||||
15 |
Investments | No. of Warrants | Value (000) | |||||||||
Energy Equipment & Services 0.0%(a) | |||||||||||
US Well Services, Inc., expiring 5/28/2021* | 21,837 | $ | 20 | ||||||||
Thrifts & Mortgage Finance 0.0% | |||||||||||
Ditech Holding Corp., expiring 2/9/2028* | 3,869 | — | |||||||||
Total Warrants (Cost $5) | 35 | ||||||||||
Shares | |||||||||||
Short-Term Investments 40.6% | |||||||||||
Investment Companies 40.6% | |||||||||||
Morgan Stanley Institutional Liquidity Funds Treasury Portfolio Institutional Class, 2.26%(o)(p) (Cost $76,194) | 76,194,061 | 76,194 | |||||||||
Total Options Purchased 0.0%(a)(q) (Cost $99) | 21 | ||||||||||
Total Long Positions (Cost $176,474) | 180,802 | ||||||||||
Short Positions (9.0)%(r) | |||||||||||
Common Stocks (7.3)% | |||||||||||
Airlines (0.2)% | |||||||||||
Allegiant Travel Co. | (1,845 | ) | (271 | ) | |||||||
Automobiles (0.2)% | |||||||||||
Tesla, Inc.* | (1,627 | ) | (388 | ) | |||||||
Banks (1.5)% | |||||||||||
Banco Bilbao Vizcaya Argentaria SA (Spain) | (32,870 | ) | (200 | ) | |||||||
Banco Santander SA (Spain) | (40,990 | ) | (207 | ) | |||||||
BB&T Corp. | (2,980 | ) | (153 | ) | |||||||
Canadian Imperial Bank of Commerce (Canada) | (5,015 | ) | (422 | ) | |||||||
Chemical Financial Corp. | (253 | ) | (11 | ) | |||||||
First Merchants Corp. | (1,184 | ) | (43 | ) | |||||||
Laurentian Bank of Canada (Canada) | (10,740 | ) | (340 | ) | |||||||
Royal Bank of Canada (Canada) | (5,870 | ) | (468 | ) |
Investments | Shares | Value (000) | |||||||||
Royal Bank of Scotland Group plc (United Kingdom) | (38,880 | ) | $ | (122 | ) | ||||||
Societe Generale SA (France) | (6,235 | ) | (197 | ) | |||||||
Svenska Handelsbanken AB, Class A (Sweden) | (20,200 | ) | (221 | ) | |||||||
UniCredit SpA (Italy) | (15,070 | ) | (208 | ) | |||||||
Wells Fargo & Co. | (5,085 | ) | (246 | ) | |||||||
(2,838 | ) | ||||||||||
Biotechnology (0.2)% | |||||||||||
Amgen, Inc. | (1,785 | ) | (320 | ) | |||||||
Building Products (0.1)% | |||||||||||
Trex Co., Inc.* | (3,525 | ) | (244 | ) | |||||||
Capital Markets (0.1)% | |||||||||||
Brookfield Asset Management, Inc., Class A (Canada) | (2,692 | ) | (130 | ) | |||||||
Diversified Consumer Services (0.3)% | |||||||||||
Adtalem Global Education, Inc.* | (7,850 | ) | (387 | ) | |||||||
Sotheby's* | (5,805 | ) | (245 | ) | |||||||
(632 | ) | ||||||||||
Diversified Telecommunication Services (0.0)%(a) | |||||||||||
Inmarsat plc (United Kingdom) | (3,731 | ) | (27 | ) | |||||||
Electrical Equipment (0.2)% | |||||||||||
Acuity Brands, Inc. | (3,040 | ) | (445 | ) | |||||||
Electronic Equipment, Instruments & Components (0.0)%(a) | |||||||||||
II-VI, Inc.* | (954 | ) | (38 | ) | |||||||
Energy Equipment & Services (0.2)% | |||||||||||
Helmerich & Payne, Inc. | (637 | ) | (37 | ) | |||||||
Keane Group, Inc.* | (4,372 | ) | (46 | ) | |||||||
Patterson-UTI Energy, Inc. | (1,619 | ) | (22 | ) | |||||||
ProPetro Holding Corp.* | (4,884 | ) | (108 | ) | |||||||
RPC, Inc. | (4,411 | ) | (45 | ) | |||||||
Superior Energy Services, Inc.* | (3,241 | ) | (12 | ) | |||||||
(270 | ) | ||||||||||
Equity Real Estate Investment Trusts (REITs) (0.3)% | |||||||||||
AvalonBay Communities, Inc. | (1,770 | ) | (356 | ) | |||||||
Simon Property Group, Inc. | (950 | ) | (165 | ) | |||||||
(521 | ) |
See Notes to Consolidated Financial Statements
15
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | Shares | Value (000) | |||||||||
Health Care Equipment & Supplies (0.4)% | |||||||||||
Align Technology, Inc.* | (785 | ) | $ | (255 | ) | ||||||
Boston Scientific Corp.* | (7,300 | ) | (271 | ) | |||||||
Medtronic plc | (2,960 | ) | (263 | ) | |||||||
(789 | ) | ||||||||||
Household Durables (0.1)% | |||||||||||
Lennar Corp., Class A | (3,503 | ) | (182 | ) | |||||||
Household Products (0.1)% | |||||||||||
Clorox Co. (The) | (1,275 | ) | (204 | ) | |||||||
Insurance (0.2)% | |||||||||||
Trupanion, Inc.* | (11,305 | ) | (371 | ) | |||||||
Interactive Media & Services (0.3)% | |||||||||||
Zillow Group, Inc., Class C* | (15,275 | ) | (510 | ) | |||||||
Internet & Direct Marketing Retail (0.4)% | |||||||||||
Alibaba Group Holding Ltd., ADR (China)* | (4,149 | ) | (770 | ) | |||||||
IT Services (0.6)% | |||||||||||
Fidelity National Information Services, Inc. | (1,394 | ) | (162 | ) | |||||||
Fiserv, Inc.* | (7,147 | ) | (623 | ) | |||||||
Western Union Co. (The) | (18,255 | ) | (355 | ) | |||||||
(1,140 | ) | ||||||||||
Media (0.5)% | |||||||||||
Discovery, Inc., Class A* | (1,305 | ) | (40 | ) | |||||||
DISH Network Corp., Class A* | (4,935 | ) | (173 | ) | |||||||
EW Scripps Co. (The), Class A | (4,502 | ) | (103 | ) | |||||||
Fox Corp., Class A* | (1,600 | ) | (63 | ) | |||||||
New Media Investment Group, Inc. | (25,353 | ) | (271 | ) | |||||||
Omnicom Group, Inc. | (3,885 | ) | (311 | ) | |||||||
(961 | ) | ||||||||||
Multiline Retail (0.3)% | |||||||||||
Canadian Tire Corp. Ltd., Class A (Canada) | (4,220 | ) | (464 | ) | |||||||
Oil, Gas & Consumable Fuels (0.2)% | |||||||||||
Chesapeake Energy Corp.* | (14,379 | ) | (42 | ) | |||||||
Chevron Corp. | (381 | ) | (46 | ) | |||||||
SemGroup Corp., Class A | (17,465 | ) | (228 | ) | |||||||
(316 | ) |
Investments | Shares | Value (000) | |||||||||
Personal Products (0.2)% | |||||||||||
Herbalife Nutrition Ltd.* | (5,790 | ) | $ | (306 | ) | ||||||
Pharmaceuticals (0.2)% | |||||||||||
Bristol-Myers Squibb Co. | (3,265 | ) | (152 | ) | |||||||
Elanco Animal Health, Inc.* | (903 | ) | (28 | ) | |||||||
Pfizer, Inc. | (6,210 | ) | (252 | ) | |||||||
(432 | ) | ||||||||||
Real Estate Management & Development (0.1)% | |||||||||||
Realogy Holdings Corp. | (16,090 | ) | (209 | ) | |||||||
Software (0.0)%(a) | |||||||||||
VMware, Inc., Class A | (165 | ) | (34 | ) | |||||||
Thrifts & Mortgage Finance (0.4)% | |||||||||||
Genworth MI Canada, Inc. (Canada) | (13,315 | ) | (414 | ) | |||||||
Home Capital Group, Inc. (Canada)* | (23,985 | ) | (339 | ) | |||||||
(753 | ) | ||||||||||
Total Common Stocks (Proceeds $(13,454)) | (13,565 | ) | |||||||||
Principal Amount | |||||||||||
Corporate Bonds (1.1)% | |||||||||||
Banks (0.0)%(a) | |||||||||||
Norddeutsche Landesbank Girozentrale (Germany) 6.00%, 6/29/2020 | EUR | (51,000 | ) | (61 | ) | ||||||
Chemicals (0.2)% | |||||||||||
Huntsman International LLC 4.50%, 5/1/2029 | $ | (406,000 | ) | (409 | ) | ||||||
Diversified Financial Services (0.0)%(a) | |||||||||||
Refinitiv US Holdings, Inc. 8.25%, 11/15/2026(g) | (116,000 | ) | (118 | ) | |||||||
Diversified Telecommunication Services (0.2)% | |||||||||||
Frontier Communications Corp. 10.50%, 9/15/2022 | (433,000 | ) | (320 | ) |
Investments | Principal Amount | Value (000) | |||||||||
Equity Real Estate Investment Trusts (REITs) (0.2)% | |||||||||||
CBL & Associates LP | |||||||||||
5.25%, 12/1/2023 | $ | (222,000 | ) | $ | (160 | ) | |||||
5.95%, 12/15/2026 | (294,000 | ) | (211 | ) | |||||||
(371 | ) | ||||||||||
Health Care Providers & Services (0.2)% | |||||||||||
Community Health Systems, Inc. 5.13%, 8/1/2021 | (351,000 | ) | (349 | ) | |||||||
Media (0.2)% | |||||||||||
AMC Networks, Inc. 4.75%, 8/1/2025 | (326,000 | ) | (326 | ) | |||||||
Specialty Retail (0.1)% | |||||||||||
Staples, Inc. 10.75%, 4/15/2027(g) | (155,000 | ) | (158 | ) | |||||||
Total Corporate Bonds (Proceeds $(2,211)) | (2,112 | ) | |||||||||
Shares | |||||||||||
Exchange Traded Funds (0.3)% | |||||||||||
SPDR S&P Oil & Gas Equipment & Services ETF | (5,785 | ) | (64 | ) | |||||||
SPDR S&P Oil & Gas Exploration & Production ETF | (15,856 | ) | (491 | ) | |||||||
VanEck Vectors Oil Services ETF | (1,276 | ) | (21 | ) | |||||||
Total Exchange Traded Funds (Proceeds $(762)) | (576 | ) | |||||||||
Principal Amount | |||||||||||
U.S. Treasury Obligations (0.3)% | |||||||||||
U.S. Treasury Bonds 3.38%, 11/15/2048 | $ | (175,000 | ) | (191 | ) | ||||||
U.S. Treasury Notes 2.63%, 2/15/2029 | (380,000 | ) | (384 | ) | |||||||
Total U.S. Treasury Obligations (Proceeds $(573)) | (575 | ) | |||||||||
Total Short Positions (Proceeds $(17,000)) | (16,828 | ) | |||||||||
Total Investments 87.4% (Cost $159,474) | 163,974 | ||||||||||
Other Assets Less Liabilities 12.6%(s)(t) | 23,503 | ||||||||||
Net Assets 100.0% | $ | 187,477 |
See Notes to Consolidated Financial Statements
16
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
* Non-income producing security.
(a) Represents less than 0.05% of net assets of the Fund.
(b) Illiquid security.
(c) Value determined using significant unobservable inputs.
(d) All or a portion of this security is pledged with the custodian for securities sold short and/or options written.
(e) 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, 2019, the total value of these securities amounted to approximately $2,207,000, which represents 1.2% of net assets of the Fund.
(f) Security fair valued as of April 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2019 amounted to approximately $166,000, which represents 0.1% of net assets of the Fund.
(g) 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, 2019, these securities amounted to approximately $28,652,000 of long positions and $(276,000) of short positions, which represents 15.3% and (0.1%) respectively, of net assets of the Fund. Securities denoted with "(g)" but without "(b)", if any, have been deemed by the investment manager to be liquid.
(h) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2019 and changes periodically.
(i) 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, 2019.
(j) 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, 2019.
(k) All or a portion of this security was purchased on a delayed delivery basis.
(l) All or a portion of this security had not settled as of April 30, 2019 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
(m) Defaulted security.
(n) Perpetual security. The rate reflected was the rate in effect on April 30, 2019. The maturity date reflects the next call date.
(o) Represents 7-day effective yield as of April 30, 2019.
(p) All or a portion of this security is segregated in connection with obligations for delayed delivery securities, futures, swaps, options written, and/or forward foreign currency contracts with a total value of approximately $64,075,000.
(q) See "Purchased option contracts" under Derivative Instruments.
(r) At April 30, 2019, the Fund had approximately $17,319,000 deposited in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
(s) Includes the impact of the Fund's open positions in derivatives at April 30, 2019.
See Notes to Consolidated Financial Statements
17
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
(t) As of April 30, 2019, the value of unfunded loan commitments was approximately $147,000 (See Note A of the Notes to Consolidated Financial Statements).
(u) The stated interest rate represents the weighted average interest rate at April 30, 2019 of the underlying contracts within the Loan Assignment. Interest rates on the underlying contracts are primarily determined by reference to the indicated base lending rate and spread, which are indicated in the security description, and the reset period, which is generally weekly, monthly or quarterly.
Abbreviations
ADR American Depositary Receipt
CLO Collateralized Loan Obligations
CVR Contingent Value Rights
DIP Debtor-in-Possession
ETF Exchange Traded Fund
EUR Euro
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
GDR Global Depositary Receipt
ICE Intercontinental Exchange
LIBOR London Interbank Offered Rate
OYJ Public Limited Company
PJSC Public Joint Stock Company
SA Société Anonyme
SpA Società per Azioni
SPDR Standard & Poor's Depositary Receipt
USD United States Dollar
Derivative Instruments
Futures contracts ("futures")
At April 30, 2019, 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 | |||||||||||||||||||
Amsterdam Exchange Index | 1 | 5/2019 | $ | 127,465 | $ | 2,229 | |||||||||||||
Brent Crude Oil | 4 | 5/2019 | 288,240 | (7,405 | ) | ||||||||||||||
CAC 40 10 Euro Index | 4 | 5/2019 | 248,838 | 3,826 | |||||||||||||||
Hang Seng Index | 1 | 5/2019 | 187,819 | (563 | ) | ||||||||||||||
HSCEI | 3 | 5/2019 | 219,298 | (2,967 | ) | ||||||||||||||
MSCI Singapore Index | 3 | 5/2019 | 83,498 | 717 | |||||||||||||||
MSCI Taiwan Index | 3 | 5/2019 | 122,610 | (753 | ) | ||||||||||||||
NY Harbor ULSD | 2 | 5/2019 | 174,544 | (1,415 | ) | ||||||||||||||
OMXS30 Index | 6 | 5/2019 | 105,442 | 2,894 | |||||||||||||||
RBOB Gasoline | 5 | 5/2019 | 434,028 | 8,772 |
See Notes to Consolidated Financial Statements
18
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) | |||||||||||||||
SGX FTSE China A50 Index | 6 | 5/2019 | $ | 81,855 | $ | (448 | ) | ||||||||||||
SGX NIFTY 50 Index | 4 | 5/2019 | 94,232 | 400 | |||||||||||||||
WTI Crude Oil | 4 | 5/2019 | 255,640 | (3,448 | ) | ||||||||||||||
100 oz Gold | 1 | 6/2019 | 128,570 | 338 | |||||||||||||||
Australia 10 Year Bond | 7 | 6/2019 | 682,363 | 12,336 | |||||||||||||||
Australia 3 Year Bond | 26 | 6/2019 | 2,088,143 | 8,945 | |||||||||||||||
Brent Crude Oil | 2 | 6/2019 | 142,900 | 3,937 | |||||||||||||||
Canada 10 Year Bond | 8 | 6/2019 | 825,140 | 2,725 | |||||||||||||||
Canada 10 Year Bond | 15 | 6/2019 | 1,547,137 | 9,995 | |||||||||||||||
DAX Index | 1 | 6/2019 | 346,322 | 10,264 | |||||||||||||||
EURO STOXX 50 Index | 8 | 6/2019 | 309,741 | 11,162 | |||||||||||||||
Euro-Bobl | 31 | 6/2019 | 4,621,923 | 9,986 | |||||||||||||||
Euro-BTP | 4 | 6/2019 | 585,296 | 218 | |||||||||||||||
Euro-Bund | 1 | 6/2019 | 185,412 | 1,249 | |||||||||||||||
Euro-Bund | 10 | 6/2019 | 1,854,117 | (2,117 | ) | ||||||||||||||
Euro-Buxl | 3 | 6/2019 | 635,072 | 22,370 | |||||||||||||||
Euro-OAT | 5 | 6/2019 | 908,496 | 320 | |||||||||||||||
Euro-OAT | 8 | 6/2019 | 1,453,594 | 18,960 | |||||||||||||||
Euro-Schatz | 62 | 6/2019 | 7,782,827 | 1,493 | |||||||||||||||
Foreign Exchange USD/CEK | 1 | 6/2019 | 99,532 | 1,774 | |||||||||||||||
Foreign Exchange USD/NOK | 1 | 6/2019 | 99,793 | 152 | |||||||||||||||
FTSE 100 Index | 3 | 6/2019 | 288,373 | 4,909 | |||||||||||||||
FTSE/JSE Top 40 Index | 4 | 6/2019 | 147,182 | 636 | |||||||||||||||
Lean Hogs | 3 | 6/2019 | 105,870 | (10,663 | ) | ||||||||||||||
Live Cattle | 1 | 6/2019 | 45,700 | (3,013 | ) | ||||||||||||||
Long Gilt | 8 | 6/2019 | 1,328,202 | (12,515 | ) | ||||||||||||||
Low Sulphur Gasoil | 2 | 6/2019 | 127,550 | (2,303 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini Index | 1 | 6/2019 | 54,010 | 1,294 | |||||||||||||||
NASDAQ 100 E-Mini Index | 1 | 6/2019 | 156,000 | 7,168 | |||||||||||||||
Nikkei 225 Mini Index | 2 | 6/2019 | 39,948 | 83 | |||||||||||||||
Palladium | 2 | 6/2019 | 276,540 | (11,962 | ) | ||||||||||||||
Russell 2000 E-Mini Index | 1 | 6/2019 | 79,710 | 823 | |||||||||||||||
S&P/TSX 60 Index | 1 | 6/2019 | 148,302 | 5,543 | |||||||||||||||
SPI 200 Index | 2 | 6/2019 | 222,200 | 667 | |||||||||||||||
U.S. Treasury 2 Year Note | 28 | 6/2019 | 5,964,219 | 10,027 | |||||||||||||||
U.S. Treasury 5 Year Note | 27 | 6/2019 | 3,122,297 | (844 | ) | ||||||||||||||
U.S. Treasury 10 Year Note | 17 | 6/2019 | 2,102,422 | (4,647 | ) | ||||||||||||||
U.S. Treasury Long Bond | 6 | 6/2019 | 884,812 | 1,430 | |||||||||||||||
U.S. Treasury Ultra Bond | 5 | 6/2019 | 821,406 | (3,005 | ) | ||||||||||||||
Brent Crude Oil | 2 | 7/2019 | 141,820 | (3,753 | ) | ||||||||||||||
Cocoa | 1 | 7/2019 | 23,590 | (443 | ) | ||||||||||||||
Copper | 1 | 7/2019 | 72,600 | (177 | ) | ||||||||||||||
Cotton No. 2 | 1 | 7/2019 | 38,390 | (683 | ) |
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) | |||||||||||||||
Platinum | 2 | 7/2019 | $ | 89,170 | $ | 1,688 | |||||||||||||
WTI Crude Oil | 2 | 11/2019 | 126,140 | 1,726 | |||||||||||||||
3 Month Canadian Bankers Acceptance | 30 | 12/2019 | 5,489,662 | 3,635 | |||||||||||||||
3 Month Sterling | 54 | 12/2019 | 8,718,381 | (7,243 | ) | ||||||||||||||
3 Month Canadian Bankers Acceptance | 27 | 3/2020 | 4,943,215 | 2,596 | |||||||||||||||
3 Month Euro Euribor | 47 | 3/2020 | 13,217,677 | 2,970 | |||||||||||||||
3 Month Sterling | 49 | 3/2020 | 7,909,925 | (7,250 | ) | ||||||||||||||
3 Month Euro Euribor | 47 | 9/2020 | 13,210,428 | 5,037 | |||||||||||||||
3 Month Eurodollar | 35 | 9/2020 | 8,560,125 | 5,951 | |||||||||||||||
3 Month Sterling | 47 | 9/2020 | 7,581,708 | (6,888 | ) | ||||||||||||||
3 Month Eurodollar | 35 | 3/2021 | 8,563,625 | 2,701 | |||||||||||||||
3 Month Sterling | 34 | 3/2021 | 5,481,315 | (2,226 | ) | ||||||||||||||
3 Month Euro Euribor | 37 | 9/2021 | 10,383,099 | 4,875 | |||||||||||||||
3 Month Eurodollar | 36 | 9/2021 | 8,806,050 | 2,324 | |||||||||||||||
3 Month Sterling | 34 | 9/2021 | 5,477,990 | (2,304 | ) | ||||||||||||||
3 Month Eurodollar | 37 | 9/2022 | 9,039,562 | 1,222 | |||||||||||||||
Total Long Contracts | $ | 160,509,102 | $ | 103,332 | |||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Short Contracts | |||||||||||||||||||
Natural Gas | (8 | ) | 5/2019 | $ | (206,000 | ) | $ | (2,746 | ) | ||||||||||
CBOE Volatility Index | (5 | ) | 6/2019 | (78,875 | ) | (1,860 | ) | ||||||||||||
EURO STOXX 50 Index | (17 | ) | 6/2019 | (658,200 | ) | (45,444 | ) | ||||||||||||
Euro-BTP | (1 | ) | 6/2019 | (146,324 | ) | (992 | ) | ||||||||||||
Foreign Exchange AUD/USD | (35 | ) | 6/2019 | (2,470,300 | ) | 13,735 | |||||||||||||
Foreign Exchange CAD/USD | (6 | ) | 6/2019 | (448,530 | ) | 2,541 | |||||||||||||
Foreign Exchange CHF/USD | (3 | ) | 6/2019 | (369,750 | ) | 6,442 | |||||||||||||
Foreign Exchange EUR/USD | (119 | ) | 6/2019 | (16,758,919 | ) | 179,120 | |||||||||||||
Foreign Exchange JPY/USD | (1 | ) | 6/2019 | (112,619 | ) | 510 | |||||||||||||
Foreign Exchange MXN/USD | (3 | ) | 6/2019 | (78,600 | ) | (1,928 | ) | ||||||||||||
Foreign Exchange NZD/USD | (1 | ) | 6/2019 | (66,830 | ) | 1,697 | |||||||||||||
Foreign Exchange ZAR/USD | (7 | ) | 6/2019 | (243,250 | ) | (3,247 | ) | ||||||||||||
FTSE 100 Index | (2 | ) | 6/2019 | (192,249 | ) | (8,225 | ) | ||||||||||||
Japan 10 Year Bond | (4 | ) | 6/2019 | (5,484,268 | ) | (1,740 | ) | ||||||||||||
Long Gilt | (1 | ) | 6/2019 | (166,025 | ) | 1,025 | |||||||||||||
S&P 500 E-Mini Index | (29 | ) | 6/2019 | (4,275,325 | ) | (219,601 | ) | ||||||||||||
Sugar No. 11 | (4 | ) | 6/2019 | (55,283 | ) | 986 | |||||||||||||
U.S. Treasury 10 Year Note | (1 | ) | 6/2019 | (123,672 | ) | (1,455 | ) | ||||||||||||
Canola | (12 | ) | 7/2019 | (79,039 | ) | 1,798 | |||||||||||||
Coffee 'C' | (5 | ) | 7/2019 | (174,656 | ) | (763 | ) | ||||||||||||
Corn | (16 | ) | 7/2019 | (290,000 | ) | (40 | ) |
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) | |||||||||||||||
FCOJ-A | (1 | ) | 7/2019 | $ | (14,557 | ) | $ | 1,305 | |||||||||||
KC HRW Wheat | (5 | ) | 7/2019 | (98,500 | ) | 10,820 | |||||||||||||
Rapeseed | (1 | ) | 7/2019 | (20,665 | ) | (238 | ) | ||||||||||||
Robusta Coffee | (10 | ) | 7/2019 | (140,700 | ) | 4,230 | |||||||||||||
Silver | (3 | ) | 7/2019 | (224,760 | ) | (866 | ) | ||||||||||||
Soybean | (7 | ) | 7/2019 | (298,900 | ) | 12,495 | |||||||||||||
Soybean Meal | (8 | ) | 7/2019 | (240,080 | ) | 4,872 | |||||||||||||
Soybean Oil | (15 | ) | 7/2019 | (250,920 | ) | 9,615 | |||||||||||||
Wheat | (8 | ) | 7/2019 | (171,500 | ) | 7,030 | |||||||||||||
Milling Wheat No. 2 | (5 | ) | 9/2019 | (47,948 | ) | 413 | |||||||||||||
Total Short Contracts | $ | (33,987,244 | ) | $ | (30,511 | ) | |||||||||||||
Total Futures | $ | 72,821 |
For the six months ended April 30, 2019, the average notional value of futures for the Fund was $203,926,398 for long positions and $(69,538,864) for short positions. At April 30, 2019, the Fund had $1,275,434 deposited in segregated accounts to cover margin requirements on open futures.
Forward foreign currency contracts ("forward contracts")
At April 30, 2019, open forward contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
EUR | 600,000 | USD | 671,111 | JPMorgan Chase Bank, NA | 5/17/2019 | $ | 2,745 | ||||||||||||||||||||
GBP | 270,000 | USD | 350,826 | JPMorgan Chase Bank, NA | 5/17/2019 | 1,549 | |||||||||||||||||||||
USD | 694,975 | CHF | 694,581 | JPMorgan Chase Bank, NA | 5/17/2019 | 12,288 | |||||||||||||||||||||
USD | 3,312,072 | EUR | 2,931,104 | JPMorgan Chase Bank, NA | 5/17/2019 | 20,167 | |||||||||||||||||||||
USD | 2,072,478 | GBP | 1,581,902 | JPMorgan Chase Bank, NA | 5/17/2019 | 7,954 | |||||||||||||||||||||
USD | 1,385,525 | HKD | 10,862,560 | JPMorgan Chase Bank, NA | 5/17/2019 | 516 | |||||||||||||||||||||
USD | 2,163 | SEK | 20,000 | JPMorgan Chase Bank, NA | 5/17/2019 | 55 | |||||||||||||||||||||
USD | 11,201 | TRY | 65,815 | JPMorgan Chase Bank, NA | 5/17/2019 | 275 | |||||||||||||||||||||
CAD | 4,850,000 | USD | 3,623,581 | JPMorgan Chase Bank, NA | 6/12/2019 | 612 | |||||||||||||||||||||
USD | 1,172,345 | CAD | 1,563,000 | JPMorgan Chase Bank, NA | 6/12/2019 | 4,383 | |||||||||||||||||||||
USD | 1,538,913 | EUR | 1,360,000 | JPMorgan Chase Bank, NA | 6/12/2019 | 7,972 | |||||||||||||||||||||
USD | 1,149,650 | GBP | 875,000 | JPMorgan Chase Bank, NA | 6/12/2019 | 6,067 | |||||||||||||||||||||
USD | 181,468 | SEK | 1,675,000 | JPMorgan Chase Bank, NA | 6/12/2019 | 4,497 | |||||||||||||||||||||
AUD | 420,000 | JPY | 32,829,049 | Societe Generale | 6/19/2019 | 524 | |||||||||||||||||||||
BRL** | 90,000 | USD | 22,749 | Societe Generale | 6/19/2019 | 114 | |||||||||||||||||||||
CAD | 50,000 | USD | 37,149 | Societe Generale | 6/19/2019 | 221 | |||||||||||||||||||||
CHF | 230,000 | USD | 226,318 | Societe Generale | 6/19/2019 | 488 | |||||||||||||||||||||
EUR | 426,584 | PLN | 1,830,000 | Societe Generale | 6/19/2019 | 900 | |||||||||||||||||||||
EUR | 610,000 | TRY | 4,144,376 | Societe Generale | 6/19/2019 | 13,273 | |||||||||||||||||||||
EUR | 100,000 | USD | 112,398 | Societe Generale | 6/19/2019 | 240 | |||||||||||||||||||||
GBP | 40,000 | USD | 52,243 | Societe Generale | 6/19/2019 | 54 |
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) | |||||||||||||||||||||||
HUF | 10,410,000 | USD | 36,136 | Societe Generale | 6/19/2019 | $ | 38 | ||||||||||||||||||||
ILS | 3,210,000 | USD | 892,849 | Societe Generale | 6/19/2019 | 2,224 | |||||||||||||||||||||
INR** | 117,050,000 | USD | 1,665,618 | Societe Generale | 6/19/2019 | 3,743 | |||||||||||||||||||||
JPY | 123,720,050 | AUD | 1,570,000 | Societe Generale | 6/19/2019 | 7,071 | |||||||||||||||||||||
JPY | 73,040,000 | USD | 656,746 | Societe Generale | 6/19/2019 | 1,598 | |||||||||||||||||||||
KRW** | 11,340,000 | USD | 9,734 | Societe Generale | 6/19/2019 | 21 | |||||||||||||||||||||
MXN | 43,630,000 | USD | 2,251,533 | Societe Generale | 6/19/2019 | 31,712 | |||||||||||||||||||||
PHP** | 92,060,000 | USD | 1,735,585 | Societe Generale | 6/19/2019 | 36,268 | |||||||||||||||||||||
PLN | 6,620,000 | EUR | 1,535,428 | Societe Generale | 6/19/2019 | 5,454 | |||||||||||||||||||||
PLN | 240,000 | USD | 62,840 | Societe Generale | 6/19/2019 | 58 | |||||||||||||||||||||
SEK | 690,000 | USD | 72,591 | Societe Generale | 6/19/2019 | 351 | |||||||||||||||||||||
THB | 390,000 | USD | 12,217 | Societe Generale | 6/19/2019 | 13 | |||||||||||||||||||||
USD | 3,203,388 | AUD | 4,520,000 | Societe Generale | 6/19/2019 | 13,262 | |||||||||||||||||||||
USD | 493,213 | BRL** | 1,920,000 | Societe Generale | 6/19/2019 | 5,457 | |||||||||||||||||||||
USD | 3,432,609 | CAD | 4,570,000 | Societe Generale | 6/19/2019 | 17,037 | |||||||||||||||||||||
USD | 4,107,542 | CHF | 4,090,000 | Societe Generale | 6/19/2019 | 74,373 | |||||||||||||||||||||
USD | 216,164 | CLP** | 145,290,000 | Societe Generale | 6/19/2019 | 1,718 | |||||||||||||||||||||
USD | 7,013,437 | EUR | 6,170,000 | Societe Generale | 6/19/2019 | 63,675 | |||||||||||||||||||||
USD | 907,206 | GBP | 690,000 | Societe Generale | 6/19/2019 | 5,089 | |||||||||||||||||||||
USD | 1,485,400 | HUF | 417,240,001 | Societe Generale | 6/19/2019 | 35,543 | |||||||||||||||||||||
USD | 614,664 | ILS | 2,190,000 | Societe Generale | 6/19/2019 | 4,006 | |||||||||||||||||||||
USD | 1,112,192 | INR** | 77,600,000 | Societe Generale | 6/19/2019 | 5,466 | |||||||||||||||||||||
USD | 2,143,538 | JPY | 236,990,000 | Societe Generale | 6/19/2019 | 7,439 | |||||||||||||||||||||
USD | 2,805,620 | KRW** | 3,173,620,000 | Societe Generale | 6/19/2019 | 75,694 | |||||||||||||||||||||
USD | 70,748 | MXN | 1,350,000 | Societe Generale | 6/19/2019 | 100 | |||||||||||||||||||||
USD | 1,995,553 | NOK | 17,110,000 | Societe Generale | 6/19/2019 | 8,461 | |||||||||||||||||||||
USD | 563,090 | NZD | 830,000 | Societe Generale | 6/19/2019 | 8,229 | |||||||||||||||||||||
USD | 2,689,857 | PLN | 10,210,000 | Societe Generale | 6/19/2019 | 14,078 | |||||||||||||||||||||
USD | 2,056,356 | SEK | 19,030,000 | Societe Generale | 6/19/2019 | 44,632 | |||||||||||||||||||||
USD | 3,841,892 | SGD | 5,200,000 | Societe Generale | 6/19/2019 | 15,548 | |||||||||||||||||||||
USD | 260,347 | THB | 8,270,000 | Societe Generale | 6/19/2019 | 1,015 | |||||||||||||||||||||
USD | 479,891 | TRY | 2,870,000 | Societe Generale | 6/19/2019 | 13,268 | |||||||||||||||||||||
USD | 28,851 | ZAR | 410,000 | Societe Generale | 6/19/2019 | 356 | |||||||||||||||||||||
ZAR | 1,620,000 | USD | 111,220 | Societe Generale | 6/19/2019 | 1,372 | |||||||||||||||||||||
Total unrealized appreciation | $ | 589,263 | |||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
CHF | 5,000 | USD | 4,963 | JPMorgan Chase Bank, NA | 5/17/2019 | $ | (49 | ) | |||||||||||||||||||
EUR | 1,200,000 | USD | 1,358,545 | JPMorgan Chase Bank, NA | 5/17/2019 | (10,833 | ) | ||||||||||||||||||||
HKD | 1,600,000 | USD | 204,061 | JPMorgan Chase Bank, NA | 5/17/2019 | (57 | ) | ||||||||||||||||||||
EUR | 2,114,000 | USD | 2,394,102 | JPMorgan Chase Bank, NA | 6/12/2019 | (14,390 | ) | ||||||||||||||||||||
GBP | 992,000 | USD | 1,303,328 | JPMorgan Chase Bank, NA | 6/12/2019 | (6,831 | ) |
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) | |||||||||||||||||||||||
SEK | 3,815,000 | USD | 409,482 | JPMorgan Chase Bank, NA | 6/12/2019 | $ | (6,411 | ) | |||||||||||||||||||
USD | 28,139 | EUR | 25,000 | JPMorgan Chase Bank, NA | 6/12/2019 | (3 | ) | ||||||||||||||||||||
USD | 30,059 | GBP | 23,000 | JPMorgan Chase Bank, NA | 6/12/2019 | — | |||||||||||||||||||||
AUD | 3,220,000 | JPY | 254,131,918 | Societe Generale | 6/19/2019 | (17,999 | ) | ||||||||||||||||||||
AUD | 4,180,000 | USD | 2,981,358 | Societe Generale | 6/19/2019 | (31,199 | ) | ||||||||||||||||||||
BRL** | 1,570,000 | USD | 407,892 | Societe Generale | 6/19/2019 | (9,051 | ) | ||||||||||||||||||||
CAD | 3,380,000 | USD | 2,537,988 | Societe Generale | 6/19/2019 | (11,810 | ) | ||||||||||||||||||||
CHF | 2,570,000 | USD | 2,583,460 | Societe Generale | 6/19/2019 | (49,167 | ) | ||||||||||||||||||||
CLP** | 316,880,000 | USD | 475,559 | Societe Generale | 6/19/2019 | (7,848 | ) | ||||||||||||||||||||
EUR | 1,147,915 | PLN | 4,950,000 | Societe Generale | 6/19/2019 | (4,279 | ) | ||||||||||||||||||||
EUR | 4,380,000 | USD | 4,978,762 | Societe Generale | 6/19/2019 | (45,218 | ) | ||||||||||||||||||||
GBP | 930,000 | USD | 1,231,118 | Societe Generale | 6/19/2019 | (15,217 | ) | ||||||||||||||||||||
HUF | 261,439,999 | USD | 939,425 | Societe Generale | 6/19/2019 | (30,954 | ) | ||||||||||||||||||||
ILS | 1,790,000 | USD | 501,536 | Societe Generale | 6/19/2019 | (2,413 | ) | ||||||||||||||||||||
INR** | 61,340,000 | USD | 879,247 | Societe Generale | 6/19/2019 | (4,420 | ) | ||||||||||||||||||||
JPY | 183,964,555 | AUD | 2,360,000 | Societe Generale | 6/19/2019 | (7,483 | ) | ||||||||||||||||||||
JPY | 198,710,000 | USD | 1,808,342 | Societe Generale | 6/19/2019 | (17,279 | ) | ||||||||||||||||||||
KRW** | 1,868,290,000 | USD | 1,648,626 | Societe Generale | 6/19/2019 | (41,537 | ) | ||||||||||||||||||||
MXN | 7,040,000 | USD | 370,480 | Societe Generale | 6/19/2019 | (2,064 | ) | ||||||||||||||||||||
NOK | 16,890,000 | USD | 1,986,225 | Societe Generale | 6/19/2019 | (24,687 | ) | ||||||||||||||||||||
NZD | 720,000 | USD | 494,554 | Societe Generale | 6/19/2019 | (13,232 | ) | ||||||||||||||||||||
PLN | 1,790,000 | EUR | 416,925 | Societe Generale | 6/19/2019 | (502 | ) | ||||||||||||||||||||
PLN | 8,560,000 | USD | 2,261,061 | Societe Generale | 6/19/2019 | (17,706 | ) | ||||||||||||||||||||
SEK | 10,910,000 | USD | 1,185,146 | Societe Generale | 6/19/2019 | (31,813 | ) | ||||||||||||||||||||
SGD | 5,120,000 | USD | 3,791,193 | Societe Generale | 6/19/2019 | (23,716 | ) | ||||||||||||||||||||
THB | 16,610,000 | USD | 525,566 | Societe Generale | 6/19/2019 | (4,708 | ) | ||||||||||||||||||||
TRY | 3,095,408 | EUR | 470,000 | Societe Generale | 6/19/2019 | (26,127 | ) | ||||||||||||||||||||
TRY | 2,400,000 | USD | 411,481 | Societe Generale | 6/19/2019 | (21,275 | ) | ||||||||||||||||||||
USD | 752,714 | AUD | 1,070,000 | Societe Generale | 6/19/2019 | (2,470 | ) | ||||||||||||||||||||
USD | 125,957 | BRL** | 500,000 | Societe Generale | 6/19/2019 | (1,063 | ) | ||||||||||||||||||||
USD | 611,126 | CAD | 820,000 | Societe Generale | 6/19/2019 | (1,733 | ) | ||||||||||||||||||||
USD | 118,216 | CHF | 120,000 | Societe Generale | 6/19/2019 | (116 | ) | ||||||||||||||||||||
USD | 293,918 | CLP** | 200,090,000 | Societe Generale | 6/19/2019 | (1,413 | ) | ||||||||||||||||||||
USD | 538,626 | EUR | 480,000 | Societe Generale | 6/19/2019 | (2,037 | ) | ||||||||||||||||||||
USD | 806,755 | GBP | 620,000 | Societe Generale | 6/19/2019 | (3,846 | ) | ||||||||||||||||||||
USD | 548,359 | ILS | 1,980,000 | Societe Generale | 6/19/2019 | (3,741 | ) | ||||||||||||||||||||
USD | 1,015,661 | INR** | 71,470,000 | Societe Generale | 6/19/2019 | (3,642 | ) | ||||||||||||||||||||
USD | 1,158,383 | JPY | 129,010,000 | Societe Generale | 6/19/2019 | (4,441 | ) | ||||||||||||||||||||
USD | 1,759,435 | MXN | 34,140,000 | Societe Generale | 6/19/2019 | (27,180 | ) | ||||||||||||||||||||
USD | 630,059 | NOK | 5,450,000 | Societe Generale | 6/19/2019 | (2,883 | ) | ||||||||||||||||||||
USD | 93,227 | NZD | 140,000 | Societe Generale | 6/19/2019 | (365 | ) | ||||||||||||||||||||
USD | 1,035,129 | PHP** | 54,420,000 | Societe Generale | 6/19/2019 | (12,275 | ) | ||||||||||||||||||||
USD | 566,613 | PLN | 2,170,000 | Societe Generale | 6/19/2019 | (2,087 | ) |
See Notes to Consolidated Financial Statements
23
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 | 484,818 | SGD | 660,000 | Societe Generale | 6/19/2019 | $ | (833 | ) | |||||||||||||||||||
USD | 224,365 | THB | 7,180,000 | Societe Generale | 6/19/2019 | (786 | ) | ||||||||||||||||||||
USD | 311,027 | ZAR | 4,550,000 | Societe Generale | 6/19/2019 | (5,205 | ) | ||||||||||||||||||||
ZAR | 3,070,000 | USD | 215,573 | Societe Generale | 6/19/2019 | (2,202 | ) | ||||||||||||||||||||
Total unrealized depreciation | $ | (578,596 | ) | ||||||||||||||||||||||||
Net unrealized appreciation | $ | 10,667 |
** Non-deliverable forward.
For the six months ended April 30, 2019, the Fund's investments in forward contracts had an average notional value of $(734,362). At April 30, 2019, the Fund had cash collateral of $231,433 and $553,814 deposited in a segregated account for JPMorgan Chase Bank, NA and Societe Generale, respectively, to cover collateral requirements on forward contracts.
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 Poland Zloty
SEK Swedish Krona
SGD Singapore Dollar
THB Thailand Baht
TRY Turkish Lira
USD United States Dollar
ZAR South African Rand
Credit default swap contracts ("credit default swaps")
At April 30, 2019, the Fund had outstanding credit default swap contracts as follows:
Over the counter 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 | ||||||||||||||||||||||||||||||
International Lease Finance Corp., 8.25%, 12/15/2020 | 5.00 | % | quarterly | JPMorgan Chase Bank, NA | 12/20/2021 | $ | 1,000,000 | $ | (78,463 | ) | $ | (38,345 | ) | $ | (5,833 | ) | $ | (122,641 | ) |
For the six months ended April 30, 2019, the average notional value of credit default swaps for the Fund was $6,857,143 for buy protection.
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, 2019, 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 on a portfolio of long positions and pays a floating rate plus or minus a specified spread. The Fund pays the total return on a portfolio of short positions and receives a floating rate plus or minus a specified spread. The specified spreads range from –9.60% to 0.85%. The payments/receipts, based on the specified benchmark floating rates (see table below), may be denominated in various foreign currencies based on the local currencies of the positions within the swaps. Payments/receipts, if any, will be made at maturity. | 5/2/2019- 5/4/2020 | $14,277,352 | $140,809 | $(62,534) | $78,275 |
* The following table represents required component disclosures associated with the equity swaps as of April 30, 2019.
Reference Entity | Shares | Notional Amount(a) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Australia | |||||||||||||||
Ruralco Holdings Ltd. | 14,832 | $ | 45,692 | $ | (1,116 | ) | |||||||||
China | |||||||||||||||
Hong Kong International Construction Investment Management Group Co. Ltd. | 69,302 | 26,237 | (55 | ) | |||||||||||
Germany | |||||||||||||||
Innogy SE | 798 | 37,046 | 107 | ||||||||||||
Innogy SE | 299 | 12,978 | 634 | ||||||||||||
Scout24 AG | 2,600 | 133,852 | (661 | ) | |||||||||||
80 | |||||||||||||||
Netherlands | |||||||||||||||
BinckBank NV | 7,536 | 53,419 | 1,847 | ||||||||||||
Wessanen | 700 | 9,076 | 39 | ||||||||||||
1,886 | |||||||||||||||
Norway | |||||||||||||||
Oslo Bors VPS Holding ASA | 350 | 6,450 | 575 | ||||||||||||
Portugal | |||||||||||||||
EDP—Energias de Portugal SA | 7,209 | 27,321 | 2,578 |
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) | ||||||||||||
United Kingdom | |||||||||||||||
BTG plc | 53,084 | $ | 578,346 | $ | 5,426 | ||||||||||
Earthport plc | 21,848 | 10,399 | 124 | ||||||||||||
Inmarsat plc | 22,445 | 159,571 | 579 | ||||||||||||
RPC Group plc | 32,316 | 332,485 | 7,237 | ||||||||||||
Spire Healthcare Group plc | 7,267 | 12,689 | 1,006 | ||||||||||||
14,372 | |||||||||||||||
United States | |||||||||||||||
Associated Banc-Corp. | 17,962 | 407,558 | 6,466 | ||||||||||||
Broadcom, Inc. | 905 | 288,152 | 35,304 | ||||||||||||
Cott Corp. | 41,920 | 650,179 | 1,350 | ||||||||||||
CSX Corp. | 3,682 | 293,198 | 31,334 | ||||||||||||
DXC Technology Co. | 5,038 | 331,198 | (6,600 | ) | |||||||||||
Equitrans Midstream Corp. | 16,604 | 345,861 | 96,780 | ||||||||||||
United Technologies Corp. | 5,005 | 713,763 | 86,385 | ||||||||||||
Walt Disney Co. (The) | 2,645 | 362,286 | 21,832 | ||||||||||||
272,851 | |||||||||||||||
Total Long Positions of Equity Swaps | $ | 291,171 | |||||||||||||
Short Positions | |||||||||||||||
Canada | |||||||||||||||
BlackBerry Ltd. | (17,695 | ) | (162,440 | ) | (3,397 | ) | |||||||||
Canadian Imperial Bank of Commerce | (2,100 | ) | (176,862 | ) | (4,800 | ) | |||||||||
Canadian Tire Corp. Ltd. | (2,500 | ) | (275,174 | ) | 5,847 | ||||||||||
Dollarama, Inc. | (4,700 | ) | (141,172 | ) | (23,391 | ) | |||||||||
National Bank of Canada | (8,000 | ) | (381,100 | ) | (17,920 | ) | |||||||||
(43,661 | ) | ||||||||||||||
Netherlands | |||||||||||||||
Signify NV | (3,705 | ) | (111,077 | ) | (23,020 | ) | |||||||||
Spain | |||||||||||||||
Grifols SA | (5,085 | ) | (141,101 | ) | 2,902 | ||||||||||
Siemens Gamesa Renewable Energy SA | (5,341 | ) | (95,788 | ) | (27,091 | ) | |||||||||
(24,189 | ) | ||||||||||||||
Sweden | |||||||||||||||
Volvo AB | (7,902 | ) | (126,470 | ) | (15,963 | ) | |||||||||
Switzerland | |||||||||||||||
Garrett Motion, Inc. | (7,145 | ) | (134,326 | ) | (24,543 | ) | |||||||||
Roche Holding AG | (939 | ) | (247,525 | ) | (10,166 | ) | |||||||||
(34,709 | ) |
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 States | |||||||||||||||
Acorda Therapeutics, Inc. | (6,160 | ) | $ | (64,372 | ) | $ | 27,938 | ||||||||
Amgen, Inc. | (1,105 | ) | (198,149 | ) | 8,217 | ||||||||||
Apple, Inc. | (1,390 | ) | (278,931 | ) | (14,775 | ) | |||||||||
Bloom Energy Corp. | (6,320 | ) | (86,078 | ) | 21,015 | ||||||||||
Capri Holdings Ltd. | (1,880 | ) | (82,870 | ) | 4,866 | ||||||||||
Cardinal Health, Inc. | (3,315 | ) | (161,474 | ) | 11,122 | ||||||||||
CH Robinson Worldwide, Inc. | (1,940 | ) | (157,140 | ) | 13,876 | ||||||||||
Cheesecake Factory, Inc. (The) | (2,700 | ) | (133,974 | ) | (13,209 | ) | |||||||||
CVS Health Corp. | (3,300 | ) | (179,454 | ) | (6,905 | ) | |||||||||
Dollar General Corp. | (1,216 | ) | (153,325 | ) | (8,634 | ) | |||||||||
Estee Lauder Cos., Inc. (The) | (764 | ) | (131,263 | ) | (36,002 | ) | |||||||||
F5 Networks, Inc. | (1,450 | ) | (227,505 | ) | 19,050 | ||||||||||
First Midwest Bancorp, Inc. | (6,035 | ) | (129,571 | ) | (1,494 | ) | |||||||||
Fulton Financial Corp. | (16,631 | ) | (286,885 | ) | (19,957 | ) | |||||||||
Haemonetics Corp. | (1,940 | ) | (169,323 | ) | (1,444 | ) | |||||||||
Hanesbrands, Inc. | (7,865 | ) | (142,121 | ) | (9,943 | ) | |||||||||
Hormel Foods Corp. | (3,735 | ) | (149,176 | ) | 5,677 | ||||||||||
Intercept Pharmaceuticals, Inc. | (810 | ) | (69,806 | ) | 15,051 | ||||||||||
Iron Mountain, Inc. | (7,485 | ) | (243,113 | ) | 25,250 | ||||||||||
Landstar System, Inc. | (2,475 | ) | (269,676 | ) | 13,118 | ||||||||||
Leggett & Platt, Inc. | (4,050 | ) | (159,408 | ) | 14,153 | ||||||||||
LivaNova plc | (1,661 | ) | (114,426 | ) | 46,408 | ||||||||||
LyondellBasell Industries NV | (3,060 | ) | (269,984 | ) | 3,770 | ||||||||||
Mercury Systems, Inc. | (1,796 | ) | (131,144 | ) | (36,818 | ) | |||||||||
Merit Medical Systems, Inc. | (3,100 | ) | (174,158 | ) | (1,966 | ) | |||||||||
Motorola Solutions, Inc. | (2,160 | ) | (313,006 | ) | (67,292 | ) | |||||||||
Murphy USA, Inc. | (2,125 | ) | (181,624 | ) | (20,382 | ) | |||||||||
Nuance Communications, Inc. | (16,075 | ) | (270,542 | ) | (11,235 | ) | |||||||||
Omnicom Group, Inc. | (2,621 | ) | (209,759 | ) | (7,169 | ) | |||||||||
Owens Corning | (2,790 | ) | (143,043 | ) | (18,579 | ) | |||||||||
PACCAR, Inc. | (3,819 | ) | (273,708 | ) | (16,307 | ) | |||||||||
Qualys, Inc. | (2,065 | ) | (186,387 | ) | (15,488 | ) | |||||||||
Realogy Holdings Corp. | (6,296 | ) | (81,974 | ) | 64,697 | ||||||||||
Robert Half International, Inc. | (3,750 | ) | (232,837 | ) | 2,878 | ||||||||||
Rockwell Automation, Inc. | (1,526 | ) | (275,763 | ) | (19,744 | ) | |||||||||
Texas Roadhouse, Inc. | (2,704 | ) | (146,043 | ) | 18,086 | ||||||||||
UMB Financial Corp. | (4,202 | ) | (293,552 | ) | (21,998 | ) |
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) | ||||||||||||
VF Corp. | (4,510 | ) | $ | (425,789 | ) | $ | (49,204 | ) | |||||||
Walgreens Boots Alliance, Inc. | (4,652 | ) | (249,208 | ) | 74,553 | ||||||||||
(8,820 | ) | ||||||||||||||
Total Short Positions of Equity Swaps | $ | (150,362 | ) | ||||||||||||
Total Long and Short Positions of Equity Swaps with JPMorgan Chase Bank, NA | $ | 140,809 |
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 on a portfolio of long positions and pays a floating rate plus or minus a specified spread. The Fund pays the total return on a portfolio of short positions and receives a floating rate plus or minus a specified spread. The specified spreads range from –0.63% to 1.40%. The payments/receipts, based on the specified benchmark floating rates (see table below), may be denominated in various foreign currencies based on the local currencies of the positions within the swaps. Payments/receipts, if any, will be made at maturity. | 9/17/2019- 12/12/2019 | $10,382,170 | $(394,071) | $32,201 | $(361,870) |
* The following table represents required component disclosures associated with the equity swaps as of April 30, 2019.
Reference Entity | Shares | Notional Amount(a) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Brazil | |||||||||||||||
Hypera SA | 8,502 | $ | 60,885 | $ | 1,549 | ||||||||||
France | |||||||||||||||
Amundi SA | 7,807 | 560,843 | 168,995 | ||||||||||||
BNP Paribas SA | 3,617 | 192,496 | 679 | ||||||||||||
Danone SA | 8,130 | 657,269 | 76,599 | ||||||||||||
Iliad SA | 3,226 | 328,178 | (184,509 | ) | |||||||||||
Publicis Groupe SA | 2,309 | 136,947 | (27,015 | ) | |||||||||||
34,749 |
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) | ||||||||||||
Germany | |||||||||||||||
Brenntag AG | 17,786 | $ | 958,738 | $ | 29,287 | ||||||||||
Gerresheimer AG | 12,071 | 907,102 | 3,234 | ||||||||||||
HeidelbergCement AG | 2,977 | 240,408 | (1,711 | ) | |||||||||||
Stroeer SE & Co. KGaA | 2,978 | 201,243 | 4,966 | ||||||||||||
35,776 | |||||||||||||||
Ireland | |||||||||||||||
Ryanair Holdings plc | 12,469 | 166,914 | (37,895 | ) | |||||||||||
Italy | |||||||||||||||
Anima Holding SpA | 26,093 | 103,777 | 3,244 | ||||||||||||
Nexi SpA | 9,761 | 88,000 | (10,532 | ) | |||||||||||
(7,288 | ) | ||||||||||||||
Luxembourg | |||||||||||||||
Eurofins Scientific SE | 2,075 | 949,547 | 74,002 | ||||||||||||
South Africa | |||||||||||||||
Aspen Pharmacare Holdings Ltd. | 3,240 | 23,306 | (39,510 | ) | |||||||||||
South Korea | |||||||||||||||
NAVER Corp. | 663 | 67,824 | (3,364 | ) | |||||||||||
Switzerland | |||||||||||||||
LafargeHolcim Ltd. (Registered) | 6,123 | 314,758 | 47,184 | ||||||||||||
Turkey | |||||||||||||||
Migros Ticaret A/S | 16,524 | 38,161 | (95,715 | ) | |||||||||||
United Kingdom | |||||||||||||||
Barclays plc | 27,190 | 58,247 | (10,032 | ) | |||||||||||
ITV plc | 26,308 | 46,879 | (7,751 | ) | |||||||||||
Pets at Home Group plc | 50,058 | 98,827 | 5,279 | ||||||||||||
(12,504 | ) | ||||||||||||||
Total Long Positions of Equity Swaps | $ | (3,016 | ) | ||||||||||||
Short Positions | |||||||||||||||
Belgium | |||||||||||||||
Colruyt SA | (11,275 | ) | (812,634 | ) | (171,986 | ) | |||||||||
France | |||||||||||||||
Electricite de France SA | (6,306 | ) | (90,815 | ) | (44,475 | ) | |||||||||
Lagardere SCA | (5,372 | ) | (146,172 | ) | 3,183 | ||||||||||
Orange SA | (25,490 | ) | (399,254 | ) | 18,639 | ||||||||||
Pernod Ricard SA | (2,869 | ) | (499,896 | ) | (51,318 | ) | |||||||||
(73,971 | ) |
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) | ||||||||||||
Germany | |||||||||||||||
Deutsche Telekom AG (Registered) | (11,309 | ) | $ | (189,172 | ) | $ | 15,312 | ||||||||
Italy | |||||||||||||||
Eni SpA | (9,585 | ) | (163,602 | ) | (21,863 | ) | |||||||||
Netherlands | |||||||||||||||
Koninklijke Ahold Delhaize NV | (13,664 | ) | (328,886 | ) | (8,296 | ) | |||||||||
Sweden | |||||||||||||||
Hennes & Mauritz AB | (4,095 | ) | (71,395 | ) | (2,298 | ) | |||||||||
Switzerland | |||||||||||||||
Givaudan SA (Registered) | (100 | ) | (258,992 | ) | (72,528 | ) | |||||||||
Roche Holding AG | (272 | ) | (71,700 | ) | (3,783 | ) | |||||||||
(76,311 | ) | ||||||||||||||
United Kingdom | |||||||||||||||
Bunzl plc | (7,294 | ) | (219,618 | ) | (18,705 | ) | |||||||||
GlaxoSmithKline plc | (5,737 | ) | (117,707 | ) | (22,790 | ) | |||||||||
Marks & Spencer Group plc | (142,713 | ) | (532,053 | ) | 50,923 | ||||||||||
Next plc | (1,032 | ) | (77,595 | ) | (5,293 | ) | |||||||||
Unilever NV | (519 | ) | (31,411 | ) | (4,149 | ) | |||||||||
(14 | ) | ||||||||||||||
United States | |||||||||||||||
Merck & Co., Inc. | (1,152 | ) | (90,674 | ) | (31,005 | ) | |||||||||
Pfizer, Inc. | (1,976 | ) | (80,245 | ) | (20,623 | ) | |||||||||
(51,628 | ) | ||||||||||||||
Total Short Positions of Equity Swaps | $ | (391,055 | ) | ||||||||||||
Total Long and Short Positions of Equity Swaps with Morgan Stanley Capital Services LLC | $ | (394,071 | ) |
(a) For the six months ended April 30, 2019, the average notional value of equity swaps for the Fund was $12,917,761 for long positions and $(19,943,121) for short positions.
At April 30, 2019, the Fund had cash collateral of $3,198,568 and $2,760,000 deposited in a segregated account for JPMorgan Chase Bank, NA and Morgan Stanley Capital Services LLC, respectively, to cover collateral requirements on over the counter swaps.
See Notes to Consolidated Financial Statements
30
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Benchmark Floating Rates | Value at Period End | ||||||
Australian Bank-Bill Swap Reference Rate | 1.60 | % | |||||
CDOR—Canadian Dollar Offered Rate | 1.98 | ||||||
EONIA—Euro Overnight Index Average Rate | (0.36 | ) | |||||
EURIBOR—Euro Interbank Offered Rate | (0.37 | ) | |||||
Federal Funds Floating Rate | 2.45 | ||||||
HIBOR—Hong Kong Interbank Offered Rate | 2.11 | ||||||
LIBOR (CHF)—London Interbank Offered Rate | (0.79 | ) | |||||
LIBOR (EUR)—London Interbank Offered Rate | (0.41 | ) | |||||
LIBOR (GBP)—London Interbank Offered Rate | 0.73 | ||||||
LIBOR (USD)—London Interbank Offered Rate | 2.48 | ||||||
NIBOR—Norway Interbank Offered Rate | 1.24 | ||||||
SARON—Swiss Average Overnight Rate | (0.73 | ) | |||||
SONIA—Sterling Overnight Index Average Rate | 0.71 | ||||||
STIBOR—Stockholm Interbank Offered Rate | (0.20 | ) |
Purchased option contracts ("options purchased")
At April 30, 2019, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Puts | |||||||||||||||||||||||
Diversified Telecommunication Services | |||||||||||||||||||||||
Intelsat SA | 150 | $ | 303,600 | $ | 13 | 6/21/2019 | $ | 6,000 | |||||||||||||||
Exchange Traded Funds | |||||||||||||||||||||||
iShares Russell 2000 ETF | 167 | 2,643,443 | 140 | 6/28/2019 | 10,020 | ||||||||||||||||||
SPDR S&P500 ETF Trust | 36 | 1,058,472 | 253 | 6/28/2019 | 2,052 | ||||||||||||||||||
12,072 | |||||||||||||||||||||||
Pharmaceuticals | |||||||||||||||||||||||
Bristol-Myers Squibb Co. | 14 | 65,002 | 45 | 6/21/2019 | 1,246 | ||||||||||||||||||
Bristol-Myers Squibb Co. | 9 | 41,787 | 47 | 6/21/2019 | 1,597 | ||||||||||||||||||
Bristol-Myers Squibb Co. | 1 | 4,643 | 50 | 6/21/2019 | 388 | ||||||||||||||||||
3,231 | |||||||||||||||||||||||
Total options purchased (cost $98,712) | $ | 21,303 |
Written option contracts ("options written")
At April 30, 2019, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Diversified Telecommunication Services | |||||||||||||||||||||||
Intelsat SA | 43 | $ | (87,032 | ) | $ | 17 | 5/17/2019 | $ | (6,558 | ) |
See Notes to Consolidated Financial Statements
31
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Puts | |||||||||||||||||||||||
Equity Funds | |||||||||||||||||||||||
iShares Russell 2000 ETF | 167 | $ | (2,643,443 | ) | $ | 128 | 6/28/2019 | $ | (3,590 | ) | |||||||||||||
SPDR S&P500 ETF Trust | 36 | (1,058,472 | ) | 232 | 6/28/2019 | (918 | ) | ||||||||||||||||
(4,508 | ) | ||||||||||||||||||||||
Pharmaceuticals | |||||||||||||||||||||||
Bristol-Myers Squibb Co.(a)(b) | 11 | (51,073 | ) | 35 | 6/21/2019 | (33 | ) | ||||||||||||||||
Bristol-Myers Squibb Co. | 7 | (32,501 | ) | 37 | 6/21/2019 | (21 | ) | ||||||||||||||||
Bristol-Myers Squibb Co. | 6 | (27,858 | ) | 40 | 6/21/2019 | (57 | ) | ||||||||||||||||
(111 | ) | ||||||||||||||||||||||
Total puts | $ | (4,619 | ) | ||||||||||||||||||||
Total options written (premium received $36,080) | $ | (11,177 | ) |
(a) Security fair valued as of April 30, 2019, in accordance with procedures approved by the Board of Trustees.
(b) Value determined using significant unobservable inputs.
For the six months ended April 30, 2019, the Fund had an average notional value of $80,528 in options purchased and $(16,317) in options written.
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, 2019:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Airlines | $ | 21 | $ | — | $ | 3 | $ | 24 | |||||||||||
Commercial Services & Supplies | 672 | 108 | — | 780 | |||||||||||||||
Independent Power and Renewable Electricity Producers | 345 | — | 762 | 1,107 | |||||||||||||||
Interactive Media & Services | 2,787 | — | 4 | 2,791 | |||||||||||||||
Media | 1,975 | — | — | 1,975 | |||||||||||||||
Specialty Retail | 1,217 | — | 11 | 1,228 | |||||||||||||||
Other Common Stocks(a) | 45,648 | — | — | 45,648 | |||||||||||||||
Total Common Stocks | 52,665 | 108 | 780 | 53,553 | |||||||||||||||
Asset-Backed Securities(a) | — | 14,416 | — | 14,416 | |||||||||||||||
Loan Assignments | |||||||||||||||||||
Capital Markets | — | 531 | 148 | 679 | |||||||||||||||
Commercial Services & Supplies | — | 149 | 383 | 532 | |||||||||||||||
Communications Equipment | — | 46 | 368 | 414 | |||||||||||||||
Diversified Consumer Services | — | — | 193 | 193 | |||||||||||||||
Household Durables | — | — | 108 | 108 | |||||||||||||||
Insurance | — | 853 | 221 | 1,074 | |||||||||||||||
Leisure Products | — | 221 | 545 | 766 | |||||||||||||||
Media | — | 531 | 68 | 599 |
See Notes to Consolidated Financial Statements
32
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Oil, Gas & Consumable Fuels | $ | — | $ | 876 | $ | 251 | $ | 1,127 | |||||||||||
Real Estate Management & Development | — | — | 4 | 4 | |||||||||||||||
Other Loan Assignments(a) | — | 5,470 | — | 5,470 | |||||||||||||||
Total Loan Assignments | — | 8,677 | 2,289 | 10,966 | |||||||||||||||
Commercial Mortgage-Backed Securities | — | 9,667 | — | 9,667 | |||||||||||||||
Collateralized Mortgage Obligations | — | 7,017 | — | 7,017 | |||||||||||||||
Corporate Bonds | |||||||||||||||||||
Chemicals | — | 610 | — | 610 | |||||||||||||||
Independent Power and Renewable Electricity Producers | — | 432 | — | 432 | |||||||||||||||
Other Corporate Bonds(a) | — | 4,511 | — | 4,511 | |||||||||||||||
Total Corporate Bonds | — | 5,553 | — | 5,553 | |||||||||||||||
Convertible Bonds(a) | — | 1,538 | — | 1,538 | |||||||||||||||
Closed End Funds(a) | 890 | — | — | 890 | |||||||||||||||
Master Limited Partnerships(a) | 555 | — | — | 555 | |||||||||||||||
U.S. Treasury Obligations | — | 188 | — | 188 | |||||||||||||||
Rights | |||||||||||||||||||
Biotechnology | — | — | 146 | 146 | |||||||||||||||
Food Products | — | — | 5 | 5 | |||||||||||||||
Metals & Mining | — | — | 10 | 10 | |||||||||||||||
Total Rights | — | — | 161 | 161 | |||||||||||||||
Preferred Stocks(a) | 48 | — | — | 48 | |||||||||||||||
Warrants | |||||||||||||||||||
Capital Markets | 14 | — | 1 | 15 | |||||||||||||||
Energy Equipment & Services | 20 | — | — | 20 | |||||||||||||||
Total Warrants | 34 | — | 1 | 35 | |||||||||||||||
Options Purchased | |||||||||||||||||||
Diversified Telecommunication Services | 6 | — | — | 6 | |||||||||||||||
Exchange Traded Funds | 12 | — | — | 12 | |||||||||||||||
Pharmaceuticals | 3 | — | — | 3 | |||||||||||||||
Total Options Purchased | 21 | — | — | 21 | |||||||||||||||
Short-Term Investments | — | 76,194 | — | 76,194 | |||||||||||||||
Total Long Positions | $ | 54,213 | $ | 123,358 | $ | 3,231 | $ | 180,802 |
(a) The Consolidated Schedule of Investments provides information on the industry categorization for the portfolio.
See Notes to Consolidated Financial Statements
33
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 investments in which unobservable inputs (Level 3) were used in determining value:
Beginning balance as of 11/1/2018 | 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 4/30/2019 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2019 | |||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||||||||||||||
Airlines(b) | $ | 17 | $ | — | $ | (14 | ) | $ | — | $ | — | $ | — | $ | — | $ | 3 | $ | (14 | ) | |||||||||||||||||||
Independent Power and Renewable Electricity Producers | — | — | 142 | 620 | — | — | — | 762 | 142 | ||||||||||||||||||||||||||||||
Interactive Media & Services(a) | 4 | — | — | — | — | — | — | 4 | — | ||||||||||||||||||||||||||||||
Specialty Retail | — | — | (1 | ) | 12 | — | — | — | 11 | (1 | ) | ||||||||||||||||||||||||||||
Loan Assignments(b) | |||||||||||||||||||||||||||||||||||||||
Capital Markets | — | — | 1 | 147 | — | — | — | 148 | 1 | ||||||||||||||||||||||||||||||
Commercial Services & Supplies | 427 | 2 | (6 | ) | 168 | (208 | ) | — | — | 383 | (1 | ) | |||||||||||||||||||||||||||
Communications Equipment | — | 11 | (18 | ) | — | (57 | ) | 432 | — | 368 | (17 | ) | |||||||||||||||||||||||||||
Diversified Consumer Services | — | — | 10 | 183 | — | — | — | 193 | 10 | ||||||||||||||||||||||||||||||
Household Durables | 112 | — | (4 | ) | — | — | — | — | 108 | (4 | ) | ||||||||||||||||||||||||||||
Insurance | 1,603 | — | 8 | — | (1,218 | ) | — | (172 | ) | 221 | (1 | ) | |||||||||||||||||||||||||||
Leisure Products | 185 | 1 | 13 | 379 | (33 | ) | — | — | 545 | 14 | |||||||||||||||||||||||||||||
Media | — | — | — | 68 | — | — | — | 68 | — | ||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | — | — | — | 251 | — | — | — | 251 | — | ||||||||||||||||||||||||||||||
Real Estate Management & Development | — | 11 | (19 | ) | — | (199 | ) | 211 | — | 4 | 3 | ||||||||||||||||||||||||||||
Rights(a) | |||||||||||||||||||||||||||||||||||||||
Biotechnology | 43 | — | 103 | — | — | — | — | 146 | 103 | ||||||||||||||||||||||||||||||
Food Products | 18 | — | 1 | — | (14 | ) | — | — | 5 | (13 | ) | ||||||||||||||||||||||||||||
Metals & Mining | — | — | 10 | — | — | — | — | 10 | 10 | ||||||||||||||||||||||||||||||
Warrant(a) | |||||||||||||||||||||||||||||||||||||||
Capital Markets | — | — | 1 | — | — | — | — | 1 | 1 | ||||||||||||||||||||||||||||||
Total | $ | 2,409 | $ | 25 | $ | 227 | $ | 1,828 | $ | (1,729 | ) | $ | 643 | $ | (172 | ) | $ | 3,231 | $ | 233 |
See Notes to Consolidated Financial Statements
34
Consolidated Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
(a) As of the six months ended April 30, 2019, these securities were fair 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) These securities were 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.
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, 2019:
Liability Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks Sold Short(a) | $ | (13,565 | ) | $ | — | $ | — | $ | (13,565 | ) | |||||||||
Corporate Bonds Sold Short(a) | — | (2,112 | ) | — | (2,112 | ) | |||||||||||||
Exchange Traded Funds Sold Short | (576 | ) | — | — | (576 | ) | |||||||||||||
U.S. Treasury Obligations Sold Short | — | (575 | ) | — | (575 | ) | |||||||||||||
Total Short Positions | $ | (14,141 | ) | $ | (2,687 | ) | $ | — | $ | (16,828 | ) |
(a) The Consolidated Schedule of Investments provides information on the industry categorization for the portfolio.
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, 2019:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3* | Total | |||||||||||||||
Futures(a) | |||||||||||||||||||
Assets | $ | 461 | $ | — | $ | — | $ | 461 | |||||||||||
Liabilities | (388 | ) | — | — | (388 | ) | |||||||||||||
Forward contracts(a) | |||||||||||||||||||
Assets | — | 589 | — | 589 | |||||||||||||||
Liabilities | — | (578 | ) | — | (578 | ) | |||||||||||||
Swaps(a) | |||||||||||||||||||
Assets | — | 1,234 | — | 1,234 | |||||||||||||||
Liabilities | — | (1,640 | ) | — | (1,640 | ) | |||||||||||||
Options written | |||||||||||||||||||
Liabilities | (11 | ) | — | — | (11 | ) | |||||||||||||
Total | $ | 62 | $ | (395 | ) | $ | — | $ | (333 | ) |
(a) Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the intrument. 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.
See Notes to Consolidated Financial Statements
35
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 derivative investments in which unobservable inputs (Level 3) were used in determining value:
Beginning balance as of 11/1/2018 | 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 4/30/2019 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2019 | |||||||||||||||||||||||||||||||
Other Financial Instruments: | |||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||
Equity Swaps | |||||||||||||||||||||||||||||||||||||||
United Kingdom | $ | 1 | $ | — | $ | (1 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||
Options written(a) | |||||||||||||||||||||||||||||||||||||||
Pharmaceuticals | — | — | 1 | (1 | ) | — | — | — | — | 1 | |||||||||||||||||||||||||||||
Total | $ | 1 | $ | — | $ | — | $ | (1 | ) | $ | — | $ | — | $ | — | $ | — | $ | 1 |
(a) As of the six months ended April 30, 2019, this investment was fair valued in accordance with procedures approved by the Board of Trustees. This investment does not have a material impact on the Fund's net assets and, therefore, disclosure of unobservable inputs used in formulating a valuation is not presented.
^ A balance indicated with a "—", either reflects a zero balance or an amount that rounds to less than 1.
See Notes to Consolidated Financial Statements
36
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, 2019 | |||||||
Assets | |||||||
Investments in securities, at value* (Note A)—see Schedule of Investments: | |||||||
Unaffiliated issuers(a) | $ | 180,802 | |||||
Cash | 2,074 | ||||||
Due from Custodian | 8 | ||||||
Cash collateral segregated for short sales (Note A) | 17,319 | ||||||
Cash collateral segregated for swap contracts (Note A) | 5,959 | ||||||
Cash collateral segregated for forward foreign currency contracts (Note A) | 785 | ||||||
Dividends and interest receivable | 724 | ||||||
Receivable for securities sold | 1,404 | ||||||
Receivable for Fund shares sold | 144 | ||||||
Deposits with brokers for futures contracts (Note A) | 1,275 | ||||||
Receivable for variation margin on futures contracts (Note A) | 403 | ||||||
Receivable from administrator—net (Note B) | 27 | ||||||
Over the counter swap contracts, at value (Note A) | 1,234 | ||||||
Receivable for forward foreign currency contracts (Note A) | 589 | ||||||
Prepaid expenses and other assets | 43 | ||||||
Total Assets | 212,790 | ||||||
Liabilities | |||||||
Due to custodian, foreign currency(b) | 3,700 | ||||||
Investments sold short, at value(c) (Note A) | 16,828 | ||||||
Options contracts written, at value(d) (Note A) | 11 | ||||||
Dividends and interest payable for short sales | 64 | ||||||
Over the counter swap contracts, at value(e) (Note A) | 1,640 | ||||||
Payable to investment manager (Note B) | 273 | ||||||
Payable for securities purchased | 1,543 | ||||||
Payable for Fund shares redeemed | 352 | ||||||
Payable for forward foreign currency contracts (Note A) | 578 | ||||||
Payable for unfunded loan commitments (Note A) | 1 | ||||||
Payable to trustees | 5 | ||||||
Accrued expenses and other payables | 318 | ||||||
Total Liabilities | 25,313 | ||||||
Net Assets | $ | 187,477 | |||||
Net Assets consist of: | |||||||
Paid-in capital | $ | 295,314 | |||||
Total distributable earnings/(loss) | (107,837 | ) | |||||
Net Assets | $ | 187,477 | |||||
Net Assets | |||||||
Institutional Class | $ | 167,761 | |||||
Class A | 8,474 | ||||||
Class C | 9,369 | ||||||
Class R6 | 1,873 |
See Notes to Consolidated Financial Statements
37
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, 2019 | |||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||
Institutional Class | 15,373 | ||||||
Class A | 789 | ||||||
Class C | 918 | ||||||
Class R6 | 171 | ||||||
Net Asset Value, offering and redemption price per share | |||||||
Institutional Class | $ | 10.91 | |||||
Class R6 | $ | 10.92 | |||||
Net Asset Value and redemption price per share | |||||||
Class A | $ | 10.74 | |||||
Offering Price per share | |||||||
Class A‡ | $ | 11.40 | |||||
Net Asset Value and offering price per share | |||||||
Class C^ | $ | 10.20 | |||||
*Cost of Investments: | |||||||
(a) Unaffiliated issuers | $ | 176,474 | |||||
(b) Total cost of foreign currency | $ | (3,731 | ) | ||||
(c) Proceeds from investments sold short | $ | 17,000 | |||||
(d) Premium received from option contracts written | $ | 36 | |||||
(e) Unamortized upfront receipts on OTC swap contracts | $ | (78,463 | ) |
‡ 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
38
Consolidated Statement of Operations (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted)
ABSOLUTE RETURN MULTI-MANAGER FUND | |||||||
For the Six Months Ended April 30, 2019 | |||||||
Investment Income: | |||||||
Income (Note A): | |||||||
Dividend income—unaffiliated issuers | $ | 1,419 | |||||
Interest and other income—unaffiliated issuers | 1,987 | ||||||
Foreign taxes withheld (Note A) | (9 | ) | |||||
Total income | $ | 3,397 | |||||
Expenses: | |||||||
Investment management fees (Note B) | 1,826 | ||||||
Administration fees (Note B): | |||||||
Institutional Class | 134 | ||||||
Class A | 16 | ||||||
Class C | 13 | ||||||
Class R6 | 4 | ||||||
Distribution fees (Note B): | |||||||
Class A | 15 | ||||||
Class C | 51 | ||||||
Shareholder servicing agent fees: | |||||||
Institutional Class | 1 | ||||||
Audit fees | 72 | ||||||
Custodian and accounting fees | 206 | ||||||
Insurance expense | 4 | ||||||
Legal fees | 84 | ||||||
Registration and filing fees | 44 | ||||||
Shareholder reports | 41 | ||||||
Trustees' fees and expenses | 27 | ||||||
Dividend and interest expense on securities sold short (Note A) | 351 | ||||||
Miscellaneous | 17 | ||||||
Total expenses | 2,906 | ||||||
Expenses reimbursed by Management (Note B) | (359 | ) | |||||
Total net expenses | 2,547 | ||||||
Net investment income/(loss) | $ | 850 |
See Notes to Consolidated Financial Statements
39
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, 2019 | |||||||
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |||||||
Net realized gain/(loss) on: | |||||||
Transactions in investment securities of unaffiliated issuers | (1,570 | ) | |||||
Closed short positions of unaffiliated issuers | 738 | ||||||
Settlement of forward foreign currency contracts | (979 | ) | |||||
Settlement of foreign currency transactions | (15 | ) | |||||
Expiration or closing of futures contracts | 2,396 | ||||||
Expiration or closing of option contracts written | 23 | ||||||
Expiration or closing of swap contracts | (2,562 | ) | |||||
Change in net unrealized appreciation/(depreciation) in value of: | |||||||
Investment securities of unaffiliated issuers | 5,747 | ||||||
Short positions of unaffiliated issuers | (1,834 | ) | |||||
Unfunded loan commitments | (1 | ) | |||||
Forward foreign currency contracts | (1 | ) | |||||
Foreign currency translations | 11 | ||||||
Futures contracts | (870 | ) | |||||
Option contracts written | 26 | ||||||
Swap contracts | 1,144 | ||||||
Net gain/(loss) on investments | 2,253 | ||||||
Net increase/(decrease) in net assets resulting from operations | $ | 3,103 |
See Notes to Consolidated Financial Statements
40
Consolidated Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
(000's omitted)
ABSOLUTE RETURN MULTI-MANAGER FUND | |||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||
From Operations (Note A): | |||||||||||
Net investment income/(loss) | $ | 850 | $ | 2,360 | |||||||
Net realized gain/(loss) on investments | (1,969 | ) | 8,402 | ||||||||
Change in net unrealized appreciation/(depreciation) of investments | 4,222 | (11,627 | ) | ||||||||
Net increase/(decrease) in net assets resulting from operations | 3,103 | (865 | ) | ||||||||
From Fund Share Transactions (Note D): | |||||||||||
Proceeds from shares sold: | |||||||||||
Institutional Class | 31,355 | 65,360 | |||||||||
Class A | 855 | 10,453 | |||||||||
Class C | 94 | 458 | |||||||||
Class R6 | 150 | 11,017 | |||||||||
Payments for shares redeemed: | |||||||||||
Institutional Class | (67,563 | ) | (159,661 | ) | |||||||
Class A | (10,433 | ) | (12,723 | ) | |||||||
Class C | (2,470 | ) | (6,507 | ) | |||||||
Class R6 | (13,762 | ) | (8,232 | ) | |||||||
Net increase/(decrease) from Fund share transactions | (61,774 | ) | (99,835 | ) | |||||||
Net Increase/(Decrease) in Net Assets | (58,671 | ) | (100,700 | ) | |||||||
Net Assets: | |||||||||||
Beginning of period | 246,148 | 346,848 | |||||||||
End of period | $ | 187,477 | $ | 246,148 |
See Notes to Consolidated Financial Statements
41
Notes to Consolidated Financial Statements Absolute
Return Multi-Manager Fund (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"). 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 balance indicated with a "—", either reflects a zero balance or a balance 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 Standards 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 remain the sole shareholder of the Subsidiary. The Subsidiary is governed by its own Board of Directors.
As of April 30, 2019, the value of the Fund's investment in the Subsidiary was as follows:
Investment in ?Subsidiary | Percentage of Net Assets | ||||||
$ | 16,443,486 | 8.8 | % |
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.)
• Level 3 – unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
42
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 ("ETFs"), exchange traded options purchased and 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).
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).
43
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 ("NAV") 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 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 ICE Data Pricing and Reference Data LLC ("ICE") 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, ICE 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 ICE to evaluate the prices of foreign debt securities as of the time as of which the Fund's share price is calculated. ICE 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.
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
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(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, 2019, was $645.
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 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 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, 2019, 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, 2019 the cost of long security positions and short security positions for U.S. federal income tax purposes was $159,473,898. Gross unrealized appreciation of long security positions, short security positions and derivative instruments was $11,790,111 and gross unrealized depreciation of long security positions, short security positions and derivative instruments was $7,509,157, resulting in net unrealized appreciation of $4,280,954 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, 2018, 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 net operating loss written-off and book income earned by the subsidiary. For the year ended October 31, 2018, the Fund recorded the following permanent reclassifications:
Paid-in Capital | Total Distributable Earnings/(Losses) | ||||||
$ | 455,484 | $ | (455,484 | ) |
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The tax character of distributions paid during the years ended October 31, 2018 and October 31, 2017 was as follows:
Distributions Paid From: | |||||||||||||||||||||||||||||||||||||||
Ordinary Income | Tax-Exempt Income | Long-Term Capital Gain | Return of Capital | Total | |||||||||||||||||||||||||||||||||||
2018 | 2017 | 2018 | 2017 | 2018 | 2017 | 2018 | 2017 | 2018 | 2017 | ||||||||||||||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
As of October 31, 2018, 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 | ||||||||||||||||||
$ | — | $ | — | $ | (6,337,664 | ) | $ | (103,407,762 | ) | $ | (1,194,803 | ) | $ | (110,940,229 | ) |
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, nontaxable dividends, investments in subsidiary, constructive sales, capital loss carryover, timing differences of fund level distributions, mark-to-market adjustments on swaps, futures, forward and option contracts; late-year ordinary loss deferrals, unamortized organization expenses, and tax adjustments related to PFICs, partnerships, swap contracts and other investments.
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 RICs 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, 2018, 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 | ||||||
$ | 38,537,476 | $ | 64,776,750 |
During the year ended October 31, 2018, the Fund utilized short-term capital loss carryforwards in the amount of $1,802,245 and long-term capital loss carryforwards in the amount of $4,570,833.
In accordance with U.S. Treasury regulations, the Fund has incurred and elected to defer $93,536 as qualified late year ordinary losses incurred after December 31, 2017. Such losses are treated as arising on November 1, 2018.
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, 2019, 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 real estate investment trust ("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, 2019, the Fund estimated these amounts for the period January 1, 2019 to April 30, 2019 within the financial statements because the 2019 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, 2018, the character of distributions paid to shareholders of the Fund, if any, disclosed within the Consolidated Statements of Changes in Net Assets is based on estimates made at that time. Based on past
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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 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, if any, 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 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., 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 $10,157 for the six months ended April 30, 2019.
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At April 30, 2019, the Fund had cash pledged in the amount of $17,319,082 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, 2019, the Fund had securities pledged in the amount of $7,542,682 to JPM to cover collateral requirements for borrowing in connection with securities sold short and options written.
12 Investment company securities, ETFs and exchange traded notes ("ETNs"): The Fund may invest in shares of other registered investment companies, including ETFs, within the limitations prescribed by the 1940 Act, or the 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, subject to the terms and conditions of such order, or the ETF's exemptive 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. 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 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 When-issued/delayed delivery securities: The Fund may purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the NAV. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. No interest accrues to the Fund until payment takes place. At the time the Fund enters into this type of transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment. When-issued and delayed delivery transactions can have a leverage-like effect on the Fund, which can increase fluctuations in the Fund's NAV. Certain risks may arise upon entering into when-issued or delayed delivery securities transactions from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.
14 Derivative instruments: The Fund's use of derivatives during the six months ended April 30, 2019, is described below. Please see the Consolidated Schedule of Investments for the Fund's open positions in derivatives, if any, at April 30, 2019. 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, 2019, 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.
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,
48
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 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, 2019, 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, 2019, 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
49
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 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, 2019, 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: During the six months ended April 30, 2019, 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, 2019, 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 | Over the counter swap contracts, at value(1) | $ | — | $ | — | $ | 1,234 | $ | — | $ | — | $ | 1,234 | ||||||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(2) | — | 206 | 53 | 132 | 70 | 461 | ||||||||||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 589 | — | — | — | 589 | ||||||||||||||||||||||||
Options purchased | Investments in securities, at value | — | — | 21 | — | — | 21 | ||||||||||||||||||||||||
Total Value—Assets | $ | — | $ | 795 | $ | 1,308 | $ | 132 | $ | 70 | $ | 2,305 |
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 | Over the counter swap contracts, at value(1) | $ | (123 | ) | $ | — | $ | (1,517 | ) | $ | — | $ | — | $ | (1,640 | ) | |||||||||||||||
Futures | Receivable/Payable for variation margin on futures contracts(2) | — | (5 | ) | (280 | ) | (53 | ) | (50 | ) | (388 | ) | |||||||||||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (578 | ) | — | — | — | (578 | ) | ||||||||||||||||||||||
Options written | Option contracts written, at value | — | — | (11 | ) | — | — | (11 | ) | ||||||||||||||||||||||
Total Value—Liabilities | $ | (123 | ) | $ | (583 | ) | $ | (1,808 | ) | $ | (53 | ) | $ | (50 | ) | $ | (2,617 | ) |
(1) "Over the counter swap contracts" reflects the unrealized appreciation/(depreciation) of the OTC swap contracts plus accrued interest as of April 30, 2019, 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, 2019, which is reflected in the Consolidated Statement of Assets and Liabilities under the caption "Total distributable earnings/(losses)." The current day's variation margin as of April 30, 2019, if any, is reflected in the Consolidated Statement of Assets and Liabilities under the caption "Receivable/Payable for variation margin on futures contracts."
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The impact of the use of these derivative instruments on the Consolidated Statement of Operations during the six months ended April 30, 2019, 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 | $ | — | $ | (979 | ) | $ | — | $ | — | $ | — | $ | (979 | ) | ||||||||||||||||
Futures | Net realized gain/(loss) on: Expiration or closing of futures contracts | — | 1,141 | 84 | 783 | 388 | 2,396 | ||||||||||||||||||||||||
Options purchased | Net realized gain/(loss) on: Transactions in investment securities of unaffiliated issuers | — | — | 53 | — | — | 53 | ||||||||||||||||||||||||
Options written | Net realized gain/(loss) on: Expiration or closing of option contracts written | — | — | 23 | — | — | 23 | ||||||||||||||||||||||||
Swaps | Net realized gain/(loss) on: Expiration or closing of swaps contracts | (558 | ) | — | (2,004 | ) | — | — | (2,562 | ) | |||||||||||||||||||||
Total Realized Gain/(Loss) | $ | (558 | ) | $ | 162 | $ | (1,844 | ) | $ | 783 | $ | 388 | $ | (1,069 | ) |
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 | $ | — | $ | (1 | ) | $ | — | $ | — | $ | — | $ | (1 | ) | ||||||||||||||||
Futures | Change in net unrealized appreciation/(depreciation) in value of: Futures contracts | — | (573 | ) | (412 | ) | 95 | 20 | (870 | ) | |||||||||||||||||||||
Option contracts purchased | Change in net unrealized appreciation/(depreciation) in value of: Investment securities of unaffiliated issuers | — | — | (41 | ) | — | — | (41 | ) | ||||||||||||||||||||||
Options written | Change in net unrealized appreciation/(depreciation) in value of: Option contracts written | — | — | 26 | — | — | 26 |
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Derivative Type | Consolidated Statement of Operations Location | Credit Risk | Currency Risk | Equity Risk | Interest Rate Risk | Commodity Risk | Total | ||||||||||||||||||||||||
Swaps | Change in net unrealized appreciation/(depreciation) in value of: Swap contracts | $ | 246 | $ | — | $ | 898 | $ | — | $ | — | $ | 1,144 | ||||||||||||||||||
Total Change in Appreciation/ (Depreciation) | $ | 246 | $ | (574 | ) | $ | 471 | $ | 95 | $ | 20 | $ | 258 |
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 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. 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, 2019.
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 | $ | 1,234 | $ | — | $ | 1,234 | |||||||||
Forward contracts | 589 | — | 589 | ||||||||||||
Total | $ | 1,823 | $ | — | $ | 1,823 |
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 | $ | 520 | $ | (520 | ) | $ | — | $ | — | ||||||||||
JPMorgan Chase Bank, NA | 768 | (768 | ) | — | — | ||||||||||||||
Morgan Stanley Capital Services LLC | 535 | (535 | ) | — | — | ||||||||||||||
$ | 1,823 | $ | (1,823 | ) | $ | — | $ | — |
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 | $ | (1,640 | ) | $ | — | $ | (1,640 | ) | |||||||
Forward contracts | (578 | ) | — | (578 | ) | ||||||||||
Total | $ | (2,218 | ) | $ | — | $ | (2,218 | ) |
53
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 | $ | (540 | ) | $ | 520 | $ | (20 | ) | $ | — | |||||||||
JPMorgan Chase Bank, NA | (781 | ) | 768 | (13 | ) | — | |||||||||||||
Morgan Stanley Capital Services LLC | (897 | ) | 535 | (362 | ) | — | |||||||||||||
$ | (2,218 | ) | $ | 1,823 | $ | (395 | ) | $ | — |
(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, 2019, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of April 30, 2019.
15 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.
16 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, 2019, the value of unfunded loan commitments was approximately $147,000 pursuant to the following loan agreements.
(000's omitted) Borrower | Principal Amount | Value | |||||||||
PharMerica Corp., 1st Lien Term Loan, 3/5/2026 | $ | 21 | $ | 21 | |||||||
Southcross Energy Partners LP, DIP New Money Term Loan, (ICE LIBOR USD 6 Month + 10.00%), 12.49%, 10/1/2019(a)(b)(c) | 126 | 126 | |||||||||
Total | $ | 147 |
(a) Illiquid security.
(b) Value determined using significant unobservable inputs.
(c) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2019 and changes periodically.
17 Expense offset arrangement: The Fund has an expense offset arrangement in connection with its custodian contract. For the six months ended April 30, 2019, the impact of this arrangement was a reduction in expenses of $94.
18 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.
54
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. For the six months ended April 30, 2019, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 1.70% of the Fund's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. 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 0.05% for Class R6 (prior to December 6, 2018, the administration fee for Class R6 was 0.08%), each as a percentage of its average daily net assets. Additionally, Management retains 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, 2019, these Subsidiary expenses amounted to $59,542.
At April 30, 2019, contingent liabilities to Management under the agreements were as follows:
2016 | 2017 | 2018 | 2019 | ||||||||||||||||||||||||
Subject to Repayment until October 31, | |||||||||||||||||||||||||||
Contractual Expense Limitation(1) | Expiration | 2019 | 2020 | 2021 | 2022 | ||||||||||||||||||||||
Institutional Class | 1.97 | % | 10/31/21 | $ | 377,847 | $ | 453,077 | $ | 477,171 | $ | 300,365 | ||||||||||||||||
Class A | 2.33 | % | 10/31/21 | 89,779 | 48,418 | 41,612 | 19,807 | ||||||||||||||||||||
Class C | 3.08 | % | 10/31/21 | 40,256 | 33,125 | 29,237 | 17,011 | ||||||||||||||||||||
Class R6 | 1.87 | %(2) | 10/31/21 | 1,667 | 1,142 | 28,071 | 21,948 |
(1) Expense limitation per annum of the respective class' average daily net assets.
(2) Prior December 6, 2018, the contractual expense limitation for Class R6 was 1.90%.
At April 30, 2019, 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 and Sound Point Capital Management, L.P. 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.
55
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 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 month ended April 30, 2019, 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 | $ | 570 | $ | — | $ | — | $ | — | |||||||||||
Class C | — | 18 | — | — |
Note C—Securities Transactions:
During the six month ended April 30, 2019, there were purchase and sale transactions of long-term securities (excluding 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 | |||||||||||||||||||||
$ | 573 | $ | 262,227 | $ | 19,235 | — | $ | 321,442 | $ | 28,111 |
During the six months ended April 30, 2019, no brokerage commissions on securities transactions were paid to affiliated brokers.
56
Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2019 and for the year ended October 31, 2018 was as follows:
For the Six Months Ended April 30, 2019 | For the Year Ended October 31, 2018 | ||||||||||||||||||||||||||||||||||
(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 | 2,976 | — | (6,382 | ) | (3,406 | ) | 6,009 | — | (14,689 | ) | (8,680 | ) | |||||||||||||||||||||||
Class A | 82 | — | (1,010 | ) | (928 | ) | 970 | — | (1,186 | ) | (216 | ) | |||||||||||||||||||||||
Class C | 9 | — | (248 | ) | (239 | ) | 44 | — | (633 | ) | (589 | ) | |||||||||||||||||||||||
Class R6 | 14 | — | (1,275 | ) | (1,261 | ) | 1,017 | — | (760 | ) | 257 |
Other: At April 30, 2019, affiliated investors owned 0.05% of the Fund's outstanding shares.
Note E—Line of Credit:
At April 30, 2019, 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 that is a participant 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 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 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 at April 30, 2019. During the period ended April 30, 2019, the Fund did not utilize the Credit Facility.
Note F—Recent Accounting Pronouncements:
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.
In August 2018, FASB issued Accounting Standards Update No. 2018-13, "Fair Value Measurement (Topic 820: Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement" ("ASU 2018-13"). ASU 2018-13 eliminates the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the timing of transfers between levels of the fair value hierarchy and the valuation processes for Level 3 fair value measurements. ASU 2018-13 will require the disclosure of the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements and the changes in unrealized gains and losses for recurring Level 3 fair value measurements. ASU 2018-13 will also require that information is provided about the measurement uncertainty of Level 3 fair value measurements as of
57
the reporting date. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019 and allows for early adoption of either the entire standard or only the provisions that eliminate or modify the requirements. Management has elected to adopt early the provisions that eliminate disclosure requirements. Management is still currently evaluating the impact of applying the rest of the 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.
58
Financial Highlights
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)% 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† | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
04/30/2019ß (Unaudited) | $ | 10.71 | $ | 0.05 | $ | 0.15 | $ | 0.20 | $ | — | $ | — | $ | — | $ | — | $ | 10.91 | 1.87 | %**d | $ | 167.8 | 2.64 | %* | 2.31 | %* | 2.31 | %* | 1.98 | %* | 0.86 | %* | 125 | %** | 124 | %** | |||||||||||||||||||||||||||||||||||||||
10/31/2018ß | $ | 10.77 | $ | 0.09 | $ | (0.15 | ) | $ | (0.06 | ) | $ | — | $ | — | $ | — | $ | — | $ | 10.71 | (0.56 | )% | $ | 201.1 | 2.53 | % | 2.16 | % | 2.34 | % | 1.97 | % | 0.86 | % | 194 | % | 179 | % | |||||||||||||||||||||||||||||||||||||
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 | % | 2.55 | % | 2.04 | % | (0.10 | )% | 329 | % | 257 | % | ||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
04/30/2019ß (Unaudited) | $ | 10.55 | $ | 0.02 | $ | 0.17 | $ | 0.19 | $ | — | $ | — | $ | — | $ | — | $ | 10.74 | 1.80 | %**d | $ | 8.5 | 3.00 | %* | 2.66 | %* | 2.68 | %* | 2.34 | %* | 0.47 | %* | 125 | %** | 124 | %** | |||||||||||||||||||||||||||||||||||||||
10/31/2018ß | $ | 10.65 | $ | 0.06 | $ | (0.16 | ) | $ | (0.10 | ) | $ | — | $ | — | $ | — | $ | — | $ | 10.55 | (0.94 | )% | $ | 18.1 | 2.83 | % | 2.55 | % | 2.61 | % | 2.33 | % | 0.60 | % | 194 | % | 179 | % | |||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
04/30/2019ß (Unaudited) | $ | 10.06 | $ | (0.01 | ) | $ | 0.15 | $ | 0.14 | $ | — | $ | — | $ | — | $ | — | $ | 10.20 | 1.39 | %**d | $ | 9.4 | 3.75 | %* | 3.42 | %* | 3.42 | %* | 3.09 | %* | (0.25 | )%* | 125 | %** | 124 | %** | ||||||||||||||||||||||||||||||||||||||
10/31/2018ß | $ | 10.24 | $ | (0.03 | ) | $ | (0.15 | ) | $ | (0.18 | ) | $ | — | $ | — | $ | — | $ | — | $ | 10.06 | (1.76 | )% | $ | 11.6 | 3.65 | % | 3.28 | % | 3.45 | % | 3.08 | % | (0.24 | )% | 194 | % | 179 | % | ||||||||||||||||||||||||||||||||||||
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 | % |
See Notes to Financial Highlights
59
60
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 | Net Asset Value, End of Period | Total Return† | 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) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
04/30/2019ß (Unaudited) | $ | 10.71 | $ | 0.05 | $ | 0.16 | $ | 0.21 | $ | — | $ | — | $ | — | $ | — | $ | 10.92 | 1.96 | %**d | $ | 1.9 | 2.54 | %* | 2.22 | %* | 2.21 | %* | 1.88 | %* | 0.94 | %* | 125 | %** | 124 | %** | |||||||||||||||||||||||||||||||||||||||
10/31/2018ß | $ | 10.77 | $ | 0.10 | $ | (0.16 | ) | $ | (0.06 | ) | $ | — | $ | — | $ | — | $ | — | $ | 10.71 | (0.56 | )% | $ | 15.3 | 2.45 | % | 2.09 | % | 2.26 | % | 1.90 | % | 0.93 | % | 194 | % | 179 | % | |||||||||||||||||||||||||||||||||||||
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 six months ended April 30, 2019.
# 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, 2019 | Year Ended October 31, 2018 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | 2.31 | % | 1.98 | % | 2.33 | % | 1.97 | % | 2.57 | % | 1.97 | % | 2.78 | % | 1.97 | % | 2.71 | % | 1.97 | % | 2.55 | % | 2.04 | % | |||||||||||||||||||||||||||
Class A | 2.68 | % | 2.34 | % | 2.61 | % | 2.33 | % | 2.99 | % | 2.33 | % | 3.13 | % | 2.33 | % | 3.06 | % | 2.33 | % | 2.90 | % | 2.38 | % | |||||||||||||||||||||||||||
Class C | 3.42 | % | 3.09 | % | 3.45 | % | 3.08 | % | 3.69 | % | 3.08 | % | 3.89 | % | 3.08 | % | 3.81 | % | 3.08 | % | 3.66 | % | 3.15 | % | |||||||||||||||||||||||||||
Class R6 | 2.21 | % | 1.88 | % | 2.26 | % | 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
Custodian
J.P. Morgan Chase Bank, N.A.
14201 Dallas Parkway
Dallas, TX 75254
Shareholder Servicing Agent
DST Asset Manager Solutions Inc.
430 West 7th Street, Suite 219189
Kansas City, MO 64105-1407
For Institutional Class Shareholders
Address correspondence to:
Neuberger Berman Funds
PO Box 219189
Kansas City, MO 64121-9189
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
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 SEC'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 SEC'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 SEC for the first and third quarters of each fiscal year as an exhibit to its report on Form N-PORT (Form N-Q for filings prior to March 31, 2019). The Trust's Forms N-Q and N-PORT are available on the SEC's website at www.sec.gov. The portfolio holdings information on Form N-Q or Form N-PORT is available upon request, without charge, by calling 800-877-9700 (toll-free).
66
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67
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 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 06/19
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Class R6 Shares
Commodity Strategy Fund
Global Allocation Fund
Hedged Option Premium Strategy Fund
Long Short Fund
Multi-Asset Income Fund
Multi-Style Premia Fund
U.S. Equity Index PutWrite Strategy Fund
Semi-Annual Report
April 30, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund's annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund's website www.nb.com/fundliterature, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling 800.877.9700 or by sending an e-mail request to fundinfo@nb.com.
Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.877.9700 or send an email request to fundinfo@nb.com to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.
Contents
THE FUNDS | |||||||
President's Letter | 1 | ||||||
PORTFOLIO COMMENTARY | |||||||
Commodity Strategy Fund | 2 | ||||||
Global Allocation Fund | 4 | ||||||
Hedged Option Premium Strategy Fund | 6 | ||||||
Long Short Fund | 8 | ||||||
Multi-Asset Income Fund | 10 | ||||||
Multi-Style Premia Fund | 12 | ||||||
U.S. Equity Index PutWrite Strategy Fund | 14 | ||||||
FUND EXPENSE INFORMATION | 20 | ||||||
LEGEND | 22 | ||||||
SCHEDULE OF INVESTMENTS | |||||||
Commodity Strategy Fund | 23 | ||||||
Global Allocation Fund | 29 | ||||||
Positions by Industry | 35 | ||||||
Hedged Option Premium Strategy Fund | 47 | ||||||
Long Short Fund | 53 | ||||||
Multi-Asset Income Fund | 73 | ||||||
Multi-Style Premia Fund | 93 | ||||||
Positions by Industry | 95 | ||||||
U.S. Equity Index PutWrite Strategy Fund | 153 | ||||||
FINANCIAL STATEMENTS | 156 | ||||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | |||||||
Commodity Strategy Fund | 202 | ||||||
Global Allocation Fund | 204 | ||||||
Hedged Option Premium Strategy Fund | 206 | ||||||
Long Short Fund | 208 |
Multi-Asset Income Fund | 210 | ||||||
Multi-Style Premia Fund | 214 | ||||||
U.S. Equity Index PutWrite Strategy Fund | 216 | ||||||
Directory | 222 | ||||||
Proxy Voting Policies and Procedures | 223 | ||||||
Quarterly Portfolio Schedule | 223 |
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. ©2019 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 markets generated solid results over the six months ended April 30, 2019. Despite a weak start, U.S. equities rallied sharply as the reporting period progressed. The market's ascent was partially driven by corporate profits that often exceeded expectations, monetary policy accommodation and signs of progress on the U.S./China trade negotiation front. These factors offset signs of moderating growth outside the U.S., uncertainties surrounding Brexit and a number of geopolitical issues.
Elsewhere, the U.S. fixed income market also performed well over the period. The U.S. economy continued to expand, while inflation remained relatively benign. Both short- and long-term U.S. Treasury yields declined as the U.S. Federal Reserve Board (Fed) indicated that it did not expect to raise rates in 2019. The Fed also said it would end its balance sheet reduction program in September 2019. Monetary policy clarity improved not just at the Fed, but also at central banks in Europe, Japan and China.
All told, the U.S. equity market, as measured by the S&P 500® Index, gained 9.76% over the reporting period. International developed and emerging market equities, as measured by the MSCI EAFE® (Net) and MSCI Emerging Market (Net) Indices, returned 7.45% and 13.76%, respectively, over the six months ended April 30, 2019. Meanwhile, the overall U.S. bond market, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, gained 5.49% during the period.
Looking ahead, we believe the economic backdrop in the U.S. continues to look positive and supported by increases in business capital expenditures and a more pro-business environment. In our view, overall U.S. macroeconomic data, while decelerating, has remained supportive of growth. Meanwhile, recent fiscal policy and ongoing deregulation and lower corporate tax rates may well have raised growth rates above the recent trend. That being said, as equity market valuations have risen to our estimate of longer-term fair value, we believe there is limited short-term upside amidst moderate earnings growth expectations for 2019.
Turning to the fixed income market, we believe this state of affairs supports a preference for credit markets and an appetite for moderate risk. Continued confidence in the global economic cycle gives us conviction to be opportunistic when we believe the market is temporarily veering off course and to recognize changes in valuations due primarily to supply/demand technical factors. That said, we suspect that the benign environment for central bank policymaking won't last throughout 2019, and, in our view, we will continue to see pockets of volatility in the markets.
Thank you for your continued support and trust. We look forward to continue serving your investment needs in the years to come.
Sincerely,
JOSEPH V. AMATO
PRESIDENT AND CEO
NEUBERGER BERMAN ALTERNATIVE FUNDS
1
Commodity Strategy Fund* Commentary
Neuberger Berman Commodity Strategy Fund Institutional Class generated a total return of –1.40% for the six months ended April 30, 2019, but outperformed its benchmark, the Bloomberg Commodity Index (the Index), which posted a –1.97% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The overall commodity market generated mixed results over the reporting period. Commodities in general weakened over the first two months of the period. This was partially due to concerns over the trade conflict between the U.S. and China, coupled with fears over U.S. Federal Reserve Board (Fed) monetary policy tightening. However, many commodities recouped their losses as the period progressed. This turnaround was triggered by a number of factors, including the Fed announcing a pause in future rate hikes and signs of progress in the U.S./China trade negotiations. For the period as a whole, within the Index, industrial metals, precious metals and livestock generated the strongest results. In contrast, energy, softs and agriculture posted the weakest returns.
Looking at the commodity sectors in which the Fund invests, an underweight in natural gas was the largest contributor to performance relative to the Index. After a brief rally in November 2018, natural gas prices fell sharply as a temporary supply imbalance normalized. An underweight to coffee was also beneficial as it hit a multi-year low during the period. This was driven by concerns of oversupply, coupled with a weakening Brazilian real, which further pressured coffee prices. On the downside, a modest overweight to Kansas wheat detracted from performance as supply was robust. An underweight to copper was also a headwind for results as it outperformed the Index over the period.
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 in commodities detracted from performance during the reporting period.
As we look ahead, we believe that commodities could benefit from tightening oil supply due to OPEC's production cuts and supply disruptions, along with a U.S.-China trade deal, should that eventually come to pass. We believe a more accommodating stance from the Fed could also support the asset class. Over the longer term, we believe there are benefits to investing in commodities, but acknowledge that there are a number of factors to consider. On the one hand, the world is becoming a more energy efficient place and, as such, demand for traditional energy sources like oil and coal will be unlikely to grow as high as they have done in the past as global economies grow and shift towards greener alternatives. Natural gas, for example, could be a winner at the expense of crude oil. On the other hand, we believe that the introduction and growth of electric cars will impact commodities meaningfully.
We are committed to delivering the benefits of commodities, particularly in this important late stage of the business cycle, when traditional asset classes are often challenged and commodities have historically outperformed. In an environment rife with political, economic and idiosyncratic uncertainties, there is no sure bet to play the commodities complex. As such, we continue to believe that robust diversification and a focus on risk management is the most prudent way to approach the asset class. Against this backdrop, we will use our tactical strategy to seek to take advantage of shorter term market dislocations as they occur.
Sincerely,
HAKAN KAYA, THOMAS SONTAG AND DAVID YI WAN
PORTFOLIO MANAGERS
* As previously announced, effective November 8, 2018, the name of Neuberger Berman Risk Balanced Commodity Strategy Fund changed to Neuberger Berman Commodity Strategy Fund.
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
Commodity Strategy Fund
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 | 20.9 | % | |||||
Corporate Bonds | 56.5 | ||||||
Short-Term Investments | 17.7 | ||||||
Other Assets Less Liabilities | 4.9 | * | |||||
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 | 22.5 | % | |||||
Energy | 32.7 | ||||||
Industrial Metals | 16.8 | ||||||
Livestock | 5.6 | ||||||
Precious Metals | 16.7 | ||||||
Softs | 5.7 | ||||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS3
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2019 | |||||||||||||||||||||
Date | 04/30/2019 | 1 Year | 5 Years | Life of Fund | |||||||||||||||||||
At NAV | |||||||||||||||||||||||
Institutional Class | 08/27/2012 | –1.40 | % | –7.53 | % | –7.77 | % | –6.58 | % | ||||||||||||||
Class A | 08/27/2012 | –1.65 | % | –7.87 | % | –8.12 | % | –6.94 | % | ||||||||||||||
Class C | 08/27/2012 | –2.04 | % | –8.62 | % | –8.95 | % | –7.74 | % | ||||||||||||||
With Sales Charge | |||||||||||||||||||||||
Class A | –7.30 | % | –13.23 | % | –9.21 | % | –7.76 | % | |||||||||||||||
Class C | –3.00 | % | –9.52 | % | –8.95 | % | –7.74 | % | |||||||||||||||
Index | |||||||||||||||||||||||
Bloomberg Commodity Index1,2 | –1.97 | % | –8.03 | % | –9.43 | % | –7.87 | % |
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 2018 were 0.98%,1.35% and 2.34% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 0.74%, 1.10% and 1.85% 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, 2019 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
Global Allocation Fund Commentary
Neuberger Berman Global Allocation Fund Institutional Class generated a 7.38% total return for the six month period ended April 30, 2019, underperforming its custom blend benchmark, consisting of 60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Index (collectively, the Index), which provided a 7.50% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Despite a bout of extreme volatility at the end of 2018, markets strongly rebounded in the new year and posted gains over the six-month period. The sell-off in December stemmed from two structural shifts unfolding: a transition from quantitative easing to quantitative tightening, and a change from a globally synchronous environment to a multi-cycle growth environment. With this backdrop, investors struggled to navigate transitions across various asset classes. In early 2019, dovish U.S. Federal Reserve commentary and the prospect of improving trade relations between China and the U.S. supported most markets, which then continued to strengthen through the end of the reporting period. The Eurozone was boosted by improving composite and services Purchasing Managers Index (PMIs), and markets welcomed the postponement of Brexit. Emerging market equity and debt were positive over the period, as easing trade tensions, improving PMIs, and China's aggressive stimulus measures supported the region. Over the period, broad investor optimism overshadowed concerns around lackluster global growth and a yield curve inversion.
The Fund's allocations within global equities contributed positively to performance. In particular, stock selection within non-U.S. developed and emerging markets added value. Furthermore, the fundamental decision to overweight equities entering 2019 boosted returns. Within fixed income, emerging markets debt, high yield and security selection in investment-grade credit were notable contributors. The Fund's duration underweight (shorter) relative to the Bloomberg Barclays Global Aggregate Index was a key detractor from relative performance as U.S. Treasuries rallied over the period. The absolute return options strategy was challenged given the equity rally and commodities could not offset steep losses earlier in the reporting period. Meanwhile, the systematic tactical asset allocation strategy was a positive contributor.
The Fund's aggregate use of futures, forward foreign currency, swap and option contracts detracted from performance during the reporting period.
As we assessed the global economic environment and early 2019 market rally, we downgraded our view on U.S. equities to neutral over a 6–18 month horizon as we believe there is limited short term upside amidst moderate earnings growth expectations. We maintained our bias towards non-U.S. developed equities and overweighted European equities as we believe attractive valuations and accommodative European Central Bank measures should support the region. We remain overweight emerging markets as we anticipate stabilizing growth in China to support these regions.
We also continue to maintain our short duration positioning in fixed income but tactically reduced our exposure to investment grade corporates as credit spreads tightened over the first quarter. Non-U.S. developed debt markets are anticipated to remain volatile and our return expectations for emerging market debt have been trimmed. We maintain an overweight view on inflation-sensitive assets as real yields are attractive. We downgraded our view on commodities to neutral as the duration of OPEC cuts remains unclear and Chinese stimulus measures, mainly focused on consumers, may not provide the same impact to commodities as in the past.
We continue to believe that a flexible, multi-dimensional approach to a diversified portfolio is prudent. We believe our multi-asset class approach offers a global go-anywhere strategy, complemented with sources of return that have historically been uncorrelated and a risk framework at both the security and portfolio level, in addition to independent firm oversight.
Sincerely,
ERIK KNUTZEN, BRADLEY 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.
4
Global Allocation Fund
TICKER SYMBOLS
Institutional Class | NGLIX | ||||||
Class A | NGLAX | ||||||
Class C | NGLCX | ||||||
Class R6 | NRGLX |
PERFORMANCE HIGHLIGHTS3
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2019 | |||||||||||||||||||||
Date | 04/30/2019 | 1 Year | 5 Years | Life of Fund | |||||||||||||||||||
At NAV | |||||||||||||||||||||||
Institutional Class | 12/29/2010 | 7.38 | % | 1.99 | % | 3.25 | % | 5.64 | % | ||||||||||||||
Class A | 12/29/2010 | 7.23 | % | 1.71 | % | 2.90 | % | 5.27 | % | ||||||||||||||
Class C | 12/29/2010 | 6.83 | % | 0.89 | % | 2.12 | % | 4.49 | % | ||||||||||||||
Class R65 | 01/18/2019 | 7.38 | % | 1.99 | % | 3.25 | % | 5.64 | % | ||||||||||||||
With Sales Charge | |||||||||||||||||||||||
Class A | 1.10 | % | –4.13 | % | 1.68 | % | 4.53 | % | |||||||||||||||
Class C | 5.83 | % | –0.08 | % | 2.12 | % | 4.49 | % | |||||||||||||||
Index | |||||||||||||||||||||||
Blended Benchmark*1,2 | 7.50 | % | 3.65 | % | 4.59 | % | 5.69 | % | |||||||||||||||
MSCI All Country World Index (Net)1,2 | 9.37 | % | 5.06 | % | 6.96 | % | 7.99 | % |
* Blended Benchmark is composed of 60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Index, rebalanced monthly.
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 2018 were 3.46%, 3.87% and 4.60% for Institutional Class, Class A and Class C shares, respectively, and the estimated total annual operating expense ratio for fiscal year 2019 is 2.60% for Class R6 (before expense reimbursements and/or fee waivers, if any, and after restatement for Class R6 shares). The expense ratios for fiscal year 2018 were 0.88%, 1.24% and 1.99% for Institutional Class, Class A and Class C shares, respectively, and the estimated total annual operating expense ratio for fiscal year 2019 is 0.78% for Class R6 after expense reimbursements and/or fee waivers and/or restatement. The expense ratios for the semi-annual period ended April 30, 2019 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. 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.
5
Hedged Option Premium Strategy Fund Commentary
Neuberger Berman Hedged Option Premium Strategy Fund Institutional Class generated a total return of –0.97% for the six month period ended April 30, 2019, outperforming its primary benchmark, the CBOE S&P 500® Iron Condor Index (the Index), which generated a total return of –3.89% for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The Fund pursues an absolute return style 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.
With uncertainty increasing, markets began 2019 with a CBOE Volatility Index (VIX) level double that of the beginning of 2018. Specifically, the VIX has averaged 17.7 while realized volatility on the S&P 500 was 17.6. Therefore the six month average implied volatility premium was approximately 0.1, compressed during this period due to equity market drawdown in 2018. Similarly, the CBOE Russell 2000 Volatility Index (RVX) has declined almost –36% from 26.6 to 17.1 over the six month period but implied volatility continues to average well above 2018 levels. Specifically, the RVX has averaged 20.8 while realized volatility on the Russell 2000 Index was 20.6, which resulted in a six month averaged implied volatility premium of approximately 0.2. Implied volatility levels give a rough estimate of the premiums that the Fund can collect, similar to yields in the bond space.
The Fund's collateral holdings continued to be positive contributors and were the largest contributor for the six month period. In addition, S&P 500 spreads were marginal positive contributors to the Fund over the period. Despite the large drawdown in December 2018 (S&P 500 down –9.0%, Russell 2000 down –11.9%), when index put spreads detracted from performance as expected, they were a positive contributor to the Fund for the other five months of the period.
Both S&P 500 and Russell 2000 index call spreads were detractors to the Fund for the six month period ended April 30, 2019. As expected during a large equity rally (January 2019 to April 2019) where the S&P 500 and Russell 2000 returned 18.3% and 18.5%, respectively, the call spreads detracted from the Fund.
Despite the large drawdown in December 2018, the S&P 500 Index rebounded quickly and at the end of the period looked to be trending towards new all-time highs. The S&P 500 Index and the Russell 2000 Index returned 9.76% and 6.06%, respectively, during the six month period ended April 30, 2019. Short-term U.S. Treasury yields (2-Year) declined approximately 60 basis points (0.60%) to 2.27% for the period. The Fund's collateral holdings have reached more attractive monthly income levels and have provided volatility dampening diversification. We believe there will be greater economic uncertainty in the coming quarters and anticipate equity market volatility levels will remain at levels more consistent with their higher longer term levels. 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 AND ERIC ZHOU
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.
6
Hedged Option Premium Strategy Fund
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 | 99.4 | % | |||||
Options Purchased | 0.0 | ||||||
Options Written | (0.6 | ) | |||||
Short-Term Investments | 0.9 | ||||||
Other Assets Less Liabilities | 0.3 | ||||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS3
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2019 | |||||||||||||||||
Date | 04/30/2019 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 04/12/2017 | –0.97 | % | –2.22 | % | –1.90 | % | ||||||||||||
Class A | 04/12/2017 | –1.14 | % | –2.59 | % | –2.25 | % | ||||||||||||
Class C | 04/12/2017 | –1.50 | % | –3.32 | % | –2.98 | % | ||||||||||||
Class R6 | 04/12/2017 | –0.89 | % | –2.18 | % | –1.83 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –6.82 | % | –8.20 | % | –5.04 | % | |||||||||||||
Class C | –2.49 | % | –4.29 | % | –2.98 | % | |||||||||||||
Index | |||||||||||||||||||
CBOE S&P 500 Iron Condor Index1,2 | –3.89 | % | –6.33 | % | –3.36 | % | |||||||||||||
S&P 500® Index1,2 | 9.76 | % | 13.49 | % | 13.75 | % |
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 2018 were 2.83%, 3.23%, 4.01% and 2.76%for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any, and after restatement for Class R6 shares). The expense ratios were 0.66%, 1.02%, 1.77% and 0.56% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers and/or restatement. The expense ratios for the semi-annual period ended April 30, 2019 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.
7
Long Short Fund Commentary
Neuberger Berman Long Short Fund Institutional Class generated a 4.14% total return for the six months ended April 30, 2019, outperforming its primary benchmark, the HFRX Equity Hedge Index (the Index), which returned 1.51% for the same period. However, the Fund underperformed the S&P 500® Index, which provided a 9.76% total return for the period. (Performance for all share classes is provided in the table immediately following this letter.)
Despite a sharp decline at the end of 2018, the U.S. stock market rallied over the remainder of the reporting period and produced a robust gain. The market's turnaround was triggered by a number of factors, including a "dovish pivot" by the U.S. Federal Reserve Board (Fed), as it indicated that it did not expect to raise rates in 2019. The Fed also said it would end its balance sheet reduction program in September 2019. In addition, corporate profits generally exceeded expectations and there were hopes for a resolution to the trade dispute between the U.S. and China. All told, the S&P 500 Index gained 9.76% over the six months ended April 30, 2019 and reached several record highs.
The Fund remained constructively positioned, albeit increasingly selective, during the period for an ongoing economic recovery in the U.S. Against this backdrop, the Fund's largest net sector weights were in Industrials and Consumer Discretionary on average. This was reflected in the Fund's net long exposure during the period.
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 and the Fund's overall use of index futures, options and swaps related to hedging activity detracted from performance during the period given the overall positive move in the equity markets. From a fixed income perspective, the Fund's net positions were additive overall to Fund performance for the period.
We believe the economic backdrop in the U.S. continues to look positive and supported by increases in business capital expenditures and a more pro-business environment. In our view, overall U.S. macroeconomic data, while showing signs of deceleration, has remained supportive of growth. Meanwhile, recent fiscal policy and ongoing deregulation and lower corporate tax rates may well have raised growth rates above the recent trend. In our view, the next phase of growth is likely to be dictated by how effectively corporate management teams allocate these newfound cash flows—creating opportunities both long and short as the impact of these decisions emerge. Nevertheless, we remain mindful that our constructive view on risk assets (i.e. equities, corporate bonds and other financial products that fluctuate in price) is not without challenges as we embark on over a decade of economic expansion. Despite positive U.S. economic data, China and the Eurozone economies remain fragile. Given the vicissitudes of an increasingly global economy, we will remain flexible in our decisions and open-minded to new ideas across different sectors, asset classes and geographies.
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.
8
Long Short Fund
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 | 81.4 | % | (13.8 | )% | |||||||
Convertible Bonds | 0.2 | — | |||||||||
Corporate Bonds | 6.0 | (1.7 | ) | ||||||||
Exchange Traded Funds | — | (0.2 | ) | ||||||||
Loan Assignments | 1.0 | — | |||||||||
Master Limited Partnerships | 2.0 | (0.3 | ) | ||||||||
Options Purchased | 0.1 | — | |||||||||
Preferred Stocks | 0.8 | — | |||||||||
U.S. Treasury Obligations | 2.6 | — | |||||||||
Warrants | 0.1 | — | |||||||||
Short-Term Investments | 3.2 | — | |||||||||
Other Assets Less Liabilities | 18.6 | * | — | ||||||||
Total | 116.0 | % | (16.0 | )% |
* 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 04/30/2019 | |||||||||||||||||||||
Date | 04/30/2019 | 1 Year | 5 Years | Life of Fund | |||||||||||||||||||
At NAV | |||||||||||||||||||||||
Institutional Class | 12/29/2011 | 4.14 | % | 4.14 | % | 3.73 | % | 6.08 | % | ||||||||||||||
Class A | 12/29/2011 | 3.91 | % | 3.76 | % | 3.36 | % | 5.71 | % | ||||||||||||||
Class C | 12/29/2011 | 3.53 | % | 2.99 | % | 2.57 | % | 4.92 | % | ||||||||||||||
With Sales Charge | |||||||||||||||||||||||
Class A | –2.07 | % | –2.20 | % | 2.14 | % | 4.86 | % | |||||||||||||||
Class C | 2.55 | % | 2.02 | % | 2.57 | % | 4.92 | % | |||||||||||||||
Index | |||||||||||||||||||||||
HFRX Equity Hedge Index1,2 | 1.51 | % | –3.97 | % | 1.09 | % | 2.86 | % | |||||||||||||||
S&P 500® Index1,2 | 9.76 | % | 13.49 | % | 11.63 | % | 14.76 | % |
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 2018 were 1.61%, 1.98% and 2.73% 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, 2019 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.
9
Multi-Asset Income Fund Commentary
Neuberger Berman Multi-Asset Income Fund Institutional Class generated a 5.77% total return for the six month period ended April 30, 2019, underperforming its benchmark, a custom blend consisting of 60% Bloomberg Barclays U.S. Aggregate Bond Index and 40% S&P 500® Index (collectively, the Index), which provided a 7.43% total return for the period. (Performance for all share classes is provided in the table immediately following this letter.)
Despite a bout of extreme volatility at the end of 2018, markets strongly rebounded in the new year and posted gains over the six-month period. The selloff in December stemmed from two structural shifts unfolding: a transition from quantitative easing to quantitative tightening, and from a globally synchronous environment to a multi-cycle growth environment. With this backdrop, investors struggled to navigate such transitions across various asset classes. In early 2019, dovish U.S. Federal Reserve Board commentary and the prospect of improving trade relations between China and the U.S. supported most markets, which then continued to strengthen through the end of the reporting period. The Eurozone was boosted by improving composite and services Purchasing Managers Index (PMIs), and markets welcomed the postponement of Brexit. Emerging markets (EM) equity and debt were positive over the period, as easing trade tensions, improving PMIs, and China's aggressive stimulus measures supported the region. Over the period, broad investor optimism overshadowed concerns around lackluster global growth and a yield curve inversion.
Within fixed income, EM debt, high yield securities, and security selection in investment-grade credit were contributors to the performance. Meanwhile the Fund's duration underweight (shorter) relative to the Bloomberg Barclays Global Aggregate Index was a key detractor as U.S. Treasuries rallied over the period. Out-of-benchmark exposure to non-U.S. equities contributed to underperformance relative to the Index, as the U.S. market displayed the strongest regional returns over the period. Additionally, dividend paying stocks lagged broader market-cap exposure in the Index. The fundamental decision to overweight equities entering calendar year 2019 did however boost returns. Exposure to real estate investment trusts and master limited partnerships also added to Fund performance. The absolute return options strategy was challenged given the equity rally. Meanwhile, the systematic tactical asset allocation strategy was a positive contributor.
The Fund's aggregate use of futures, forward foreign currency, swap and option contracts detracted from performance during the reporting period.
As we assessed the global economic environment and early 2019 market rally, we downgraded our view on U.S. equities to neutral over a 6–18 month horizon as we believe there is limited short term upside amidst moderate earnings growth expectations. We maintained our bias towards non-U.S. developed equities and overweighted European equities as we believe attractive valuations and accommodative European Central Bank measures should support the region. We remain overweight EM as we anticipate stabilizing growth in China to support these regions.
We also continue to maintain our short duration positioning in fixed income but tactically reduced our exposure to investment grade corporates as credit spreads tightened over the first quarter. Non-U.S. developed debt markets are expected to remain volatile and our return expectations for EM debt have been trimmed. We maintain an overweight view on inflation-sensitive assets as we believe real yields are attractive.
Finally, we continue to believe that a multi-dimensional approach to yield is prudent. We believe our multi-asset class approach offers diversified income sources, complemented with sources of return that have historically been uncorrelated and a risk framework that seeks to mitigate volatility and deliver an attractive return and income profile.
Sincerely,
ERIK KNUTZEN, BRADLEY 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.
10
Multi-Asset Income Fund
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 | 3.4 | % | |||||
Common Stocks | 33.7 | ||||||
Convertible Bonds | 0.9 | ||||||
Corporate Bonds | 12.6 | ||||||
Exchange Traded Funds | 1.6 | ||||||
Investment Companies | 14.0 | ||||||
Mortgage-Backed Securities | 14.2 | ||||||
Master Limited Partnerships | 3.9 | ||||||
Options Purchased | 0.0 | ||||||
Preferred Stocks | 1.3 | ||||||
U.S. Government Agency Securities | 0.6 | ||||||
U.S. Treasury Obligations | 14.9 | ||||||
Short-Term Investments | 7.6 | ||||||
Liabilities Less Other Assets | (8.7 | )* | |||||
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 04/30/2019 | |||||||||||||||||
Date | 04/30/2019 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 03/27/2015 | 5.77 | % | 3.58 | % | 3.87 | % | ||||||||||||
Class A | 03/27/2015 | 5.58 | % | 3.19 | % | 3.49 | % | ||||||||||||
Class C | 03/27/2015 | 5.09 | % | 2.32 | % | 2.69 | % | ||||||||||||
Class R6 | 03/27/2015 | 5.82 | % | 3.66 | % | 3.94 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | 1.04 | % | –1.17 | % | 2.41 | % | |||||||||||||
Class C | 4.09 | % | 1.33 | % | 2.69 | % | |||||||||||||
Index | |||||||||||||||||||
Blended Benchmark*1,2 | 7.43 | % | 8.84 | % | 5.91 | % | |||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index1,2 | 5.49 | % | 5.29 | % | 2.08 | % |
* Blended Benchmark is composed of 60% Bloomberg Barclays U.S. Aggregate Bond Index and 40% S&P 500® Index, rebalanced monthly.
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, 2019, the 30-day SEC yields were 3.37%, 3.00%, 2.26% and 3.47% 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 2.22%, 1.70%, 1.08% and 2.32% 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 2018 were 2.74%, 3.15%, 3.87% and 2.64% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any, and after restatement for Class R6 shares). The expense ratios were 0.73%, 1.10%, 1.85% and 0.63% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers and/or restatement. The expense ratios for the semi-annual period ended April 30, 2019 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.
11
Multi-Style Premia Fund Commentary
Neuberger Berman Multi-Style Premia Fund Institutional Class generated a 0.05% total return for the six months ended April 30, 2019. In contrast, the Fund's benchmark, the ICE BofAML 3-Month U.S. Treasury Bill Index (the Index) provided a 1.18% total return during the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The Fund seeks absolute returns with low correlation to traditional asset classes. The Fund invests both long and short in a variety of instruments across multiple asset classes (i.e. equities, fixed income, currencies, commodities and interest rates), as it seeks to generate returns in both up and down markets with low sensitivity to directional market movements. The Fund aims to provide exposure to a diversified set of factors associated with different asset classes, which have been shown to deliver strong risk-adjusted returns over time, including but not limited to value, momentum, quality, income/carry, curve, low risk and volatility.
Despite a sharp decline at the end of 2018, the U.S. stock market rallied over the remainder of the reporting period and produced a robust gain. The market's turnaround was triggered by a number of factors, including a "dovish pivot" by the U.S. Federal Reserve Board (Fed), as it indicated that it did not expect to raise rates in 2019. The Fed also said it would end its balance sheet reduction program in September 2019. In addition, corporate profits generally exceeded expectations and there were hopes for a resolution to the trade dispute between the U.S. and China. All told, the S&P 500® Index gained 9.76% over the six months ended April 30, 2019 and reached several record highs.
The largest detractors from the Fund's performance during the period were from commodities and volatility. From a commodity perspective, long energy positions detracted from results when oil prices sold off in the fourth quarter of 2018. The Fund's volatility strategy, which includes managed futures trend following and equity single name put selling, was a modest headwind for returns during the period. On the upside, our currency positioning was additive for performance. We maintained our strategic exposure to the carry factor through long positions in higher yielding emerging market currencies. This was beneficial for returns, driven by short exposures in developed market currencies such as the Swedish krona and Swiss franc, as well as a long exposure to the Russian ruble. The Fund's equity positions contributed to results as well. In particular, having a defensive tilt toward lower risk/higher quality equities during the first two months of the period was rewarded as they held up relatively well during the market sell off. The Fund also benefited from strong factor performance during the equity market run up at the start of 2019. Finally, our rates positioning was beneficial. This was driven by our long bond positions as rates rallied after the Fed indicated a pause in its rate hike cycle.
A number of derivative instruments are used to more efficiently manage the portfolio. The Fund utilizes commodity futures, currency forwards, and equity derivatives, among others. The Fund's aggregate use of futures, forward foreign currency, swap and option contracts detracted from performance during the reporting period. Looking ahead, we believe the Fund is well positioned as we continue to pursue our diversified alternative strategies. Rather than taking discretionary macro bets, we seek to drive outperformance through a bottom-up approach, systematically targeting opportunities we find attractive from diversified sources.
Sincerely,
RAY CARROLL, SIMON GRIFFITHS, FRANK MAEBA AND GIDEON SCHAPIRO
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.
12
Multi-Style Premia Fund
TICKER SYMBOLS
Institutional Class | NMLIX | ||||||
Class A | NMLAX | ||||||
Class C | NMLCX | ||||||
Class R6 | NMLRX |
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Cumulative Total Return Ended 04/30/2019 | |||||||||||||
Date | 04/30/2019 | Life of Fund | |||||||||||||
At NAV | |||||||||||||||
Institutional Class | 05/18/2018 | 0.05 | % | –1.11 | % | ||||||||||
Class A | 05/18/2018 | –0.09 | % | –1.41 | % | ||||||||||
Class C | 05/18/2018 | –0.49 | % | –2.12 | % | ||||||||||
Class R6 | 05/18/2018 | 0.09 | % | –1.03 | % | ||||||||||
With Sales Charge | |||||||||||||||
Class A | –5.86 | % | –7.10 | % | |||||||||||
Class C | –1.44 | % | –3.05 | % | |||||||||||
Index | |||||||||||||||
ICE BofAML 3-Month US Treasury Bill Index1,2 | 1.18 | % | 2.10 | % |
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 2019 are 2.25%, 2.61%, 3.36% and 2.15% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any, and after restatement for Class R6 shares). The estimated expense ratios for fiscal year 2019 are 0.99%, 1.35%, 2.10% and 0.89% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers and/or restatement. The expense ratios for the semi-annual period ended April 30, 2019 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.
13
U.S. Equity Index PutWrite Strategy Fund Commentary
Neuberger Berman U.S. Equity Index PutWrite Strategy Fund Institutional Class generated a total return of 4.24% for the six month period ended April 30, 2019, outperforming its primary benchmark, a blend of 42.5%CBOE S&P 500 One-Week PutWrite Index/42.5% CBOE S&P 500 PutWrite Index/7.5% CBOE Russell 2000 One-Week PutWrite Index /7.5% CBOE Russell 2000 PutWrite Index (collectively, the Index) which posted a total return of 0.60% for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
On February 28, 2019, the Fund began comparing its performance to the Index, rather than its prior benchmark, a blend of 85% CBOE S&P 500 PutWrite Index and 15% CBOE Russell 2000 PutWrite Index, because we believe the Index is a fairer representation of the Fund's investment universe. For the two month period from the benchmark change through April 30, the Fund's Institutional Class had a total return of 3.12%, outperforming the Index, which returned 2.34% during the same period. For the full six month fiscal period, the Fund's Institutional Class returned 4.24% versus a 0.54% total return for the prior benchmark.
With uncertainty increasing, markets began 2019 with a CBOE Volatility Index (VIX) level double that of the beginning of 2018. Specifically, the VIX has averaged 17.7 while realized volatility on the S&P 500® Index was 17.6, which resulted in a six month average implied volatility premium of approximately 0.1, compressed during this period due to equity market drawdown in 2018. Similarly, CBOE Russell 2000 Volatility Index (RVX) has declined almost –36% from 26.6 to 17.1 over the six month period but implied volatility continues to average well above 2018 levels. Specifically, the RVX has averaged 20.8 while realized volatility on the Russell 2000® Index was 20.6, which resulted in a six month averaged implied volatility premium of approximately 0.2. Implied volatility levels give a rough estimate of the premiums that the strategy can collect, similar to yields in the bond space.
Both S&P 500 and Russell 2000 exposures were positive contributors to the Fund over the period. Despite the large drawdown in December 2018 (S&P 500 down –9.0%, Russell 2000 down –11.9%), the Fund's systematic risk management process resulted in outperformance relative to the CBOE S&P 500 and Russell 2000 PutWrite indexes. Of the two exposures, the Fund's S&P 500 exposure was a large contributor on a weighted and non-weighted basis, outperforming the CBOE S&P 500 PutWrite Index by approximately 200 basis points and the CBOE S&P 500 One-Week PutWrite Index by over 100 basis points. In addition, the Fund's collateral holdings continued to be a positive contributor.
The Fund's average option notional exposure over the month remained consistent with strategic targets of 85% S&P 500 Index and 15% Russell 2000 Index.
Despite the large drawdown in December 2018, the S&P 500 Index rebounded quickly and at the end of the period looked to be trending towards new all-time highs. The S&P 500 Index and the Russell 2000 Index returned 9.76% and 6.06%, respectively, during the six month period ended April 30, 2019. Short-term U.S. Treasury yields (2-Year) declined approximately 60 basis points (0.60%) to 2.27% for the period. The Fund's collateral holdings have reached more attractive monthly income levels and have provided volatility dampening diversification. We believe there will be greater economic uncertainty in the coming quarters and anticipate equity market volatility levels will remain at levels more consistent with their higher longer term levels. 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 AND RORY EWING
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 manager. The opinions are as of the date of this report and are subject to change without notice.
14
U.S. Equity Index PutWrite Strategy Fund
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 | 99.4 | % | |||||
Put Options Written | (0.6 | ) | |||||
Short-Term Investments | 0.8 | ||||||
Other Assets Less Liabilities | 0.4 | ||||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS4
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2019 | |||||||||||||||||
Date | 04/30/2019 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 09/16/2016 | 4.24 | % | 5.42 | % | 6.76 | % | ||||||||||||
Class A | 09/16/2016 | 3.97 | % | 5.02 | % | 6.37 | % | ||||||||||||
Class C | 09/16/2016 | 3.68 | % | 4.22 | % | 5.59 | % | ||||||||||||
Class R6 | 09/16/2016 | 4.19 | % | 5.40 | % | 6.82 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –2.01 | % | –0.98 | % | 4.00 | % | |||||||||||||
Class C | 2.68 | % | 3.22 | % | 5.59 | % | |||||||||||||
Index | |||||||||||||||||||
42.5% CBOE S&P 500 One-Week PutWrite Index/ 42.5% CBOE S&P 500 PutWrite Index / 7.5% CBOE Russell 2000 One-Week PutWrite Index / 7.5% CBOE Russell 2000 PutWrite Index*1,2 | 0.60 | % | 0.73 | % | 3.77 | % | |||||||||||||
85% S&P 500® Index / 15% Russell 2000® Index1,2 | 9.23% | 12.18% | 14.65% | ||||||||||||||||
85% CBOE S&P 500 PutWrite Index / 15% CBOE Russell 2000 PutWrite Index**1,2 | 0.54 | % | 0.72 | % | 5.51 | % |
* On February 28, 2019, the Fund began comparing its performance to the 42.5% CBOE S&P 500 One-Week PutWrite Index/42.5%CBOE S&P 500 PutWrite Index/7.5% CBOE Russell 2000 One-Week PutWrite Index/7.5% CBOE Russell 2000 PutWrite Index rather than the 85% CBOE S&P 500 PutWrite Index/15% CBOE Russell 2000 PutWrite Index because Management believes 42.5% CBOE S&P 500 One-Week PutWrite Index/42.5% CBOE S&P 500 PutWrite Index/7.5% CBOE Russell 2000 One-Week PutWrite Index/7.5% CBOE Russell 2000 PutWrite Index is a fairer representation of the Fund's investment universe.
** Prior to February 28, 2019, the Fund compared its performance to the Blended Benchmark composed of 85% CBOE S&P 500 PutWrite Index/15% CBOE Russell 2000 PutWrite Index.
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 2018 were 0.75%, 1.12%, 1.89% and 0.65% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any, and after restatement for Class R6 shares). The expense ratios were 0.66%, 1.02%, 1.77% and 0.56% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers and/or restatement. The expense ratios for the semi-annual period ended April 30, 2019 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.
15
Endnotes
1 Please see "Glossary of Indices" on page 17 for a description of indices. Please note that individuals cannot invest directly in any index. The HFRX Equity Hedge Index does take into account fees and expenses, but not the tax consequences, of investing since it is 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 August 2012 through January 2013, Neuberger Berman Commodity Strategy Fund was relatively small, which could have impacted Fund performance. 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. 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).
5 The performance information for Class R6 prior to the class's inception date is that of the Institutional Class of Neuberger Berman Global Allocation 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.
16
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 Russell 2000® One-Week PutWrite Index: | The index is designed to track the performance of a hypothetical strategy that sells an at-the-money (ATM) Russell 2000 Index put option on a weekly basis. The maturity of the written Russell 2000 put option is one week to expiry. The written Russell 2000 put option is collateralized by a money market account invested in one-month Treasury bills. The index rolls on a weekly basis, typically every Friday. | ||||||
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. |
17
Glossary of Indices (cont'd)
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. | ||||||
CBOE S&P 500® One-Week PutWrite Index: | The index is designed to track the performance of a hypothetical strategy that sells an at-the-money (ATM) S&P 500 Index (SPX) put option on a weekly basis. The maturity of the written SPX put option is one week to expiry. The written SPX put option is collateralized by a money market account invested in one-month Treasury bills. The index rolls on a weekly basis, typically every Friday. | ||||||
42.5% CBOE S&P 500® One-Week PutWrite Index/42.5% CBOE S&P 500® PutWrite Index/7.5% CBOE Russell 2000® One-Week PutWrite Index/7.5% CBOE Russell 2000® PutWrite Index: | The blended index is composed of 42.5% CBOE S&P 500 One-Week PutWrite Index (described above), 42.5% CBOE S&P 500 PutWrite Index (described above) and 7.5% and CBOE Russell 2000 PutWrite Index (described above) is rebalanced monthly. | ||||||
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 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. | ||||||
ICE BofAML 3-Month U.S. Treasury Bill Index: | The index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. |
18
Glossary of Indices (cont'd)
MSCI All Country World Index (Net): | 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 indexes comprising 23 developed and 24 emerging market country indexes. The developed market country indexes 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 indexes included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the UAE. China A shares are included starting from June 1, 2018 and are partially represented at 5% of their free float-adjusted market capitalization. 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. | ||||||
60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Index: | The blended index is composed of 60% MSCI All Country World Index (Net) (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. | ||||||
Russell 2000® Index: | The index is a float-adjusted market capitalization-weighted index that measures the performance of the small-cap segment of the U.S. equity market. It includes approximately 2,000 of the smallest securities in the Russell 3000 Index (which measures the performance of the 3,000 largest U.S. public companies based on total market capitalization). The index is rebalanced annually in June. | ||||||
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. | ||||||
85% S&P 500® Index/15% Russell 2000® Index: | The 85% S&P 500® Index/15% Russell 2000® Index blended index is composed of 85% S&P 500® Index (described above) and 15% Russell 2000® Index (described above), and is rebalanced monthly. |
19
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, 2019 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.
20
Expense Example (Unaudited)
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES) | ||||||||||||||||||||||||||||||||||
Beginning Account Value 11/1/18 | Ending Account Value 4/30/19 | Expenses Paid During the Period(1) 11/1/18 - 4/30/19 | Expense Ratio | Beginning Account Value 11/1/18 | Ending Account Value 4/30/19 | Expenses Paid During the Period(2) 11/1/18 - 4/30/19 | Expense Ratio | ||||||||||||||||||||||||||||
Commodity Strategy Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 986.00 | $ | 3.64 | 0.74 | % | $ | 1,000.00 | $ | 1,021.12 | $ | 3.71 | 0.74 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 983.50 | $ | 5.41 | 1.10 | % | $ | 1,000.00 | $ | 1,019.34 | $ | 5.51 | 1.10 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 979.60 | $ | 9.08 | 1.85 | % | $ | 1,000.00 | $ | 1,015.62 | $ | 9.25 | 1.85 | % | |||||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,073.80 | $ | 2.37 | 0.46 | % | $ | 1,000.00 | $ | 1,022.51 | $ | 2.31 | 0.46 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,072.30 | $ | 4.21 | 0.82 | % | $ | 1,000.00 | $ | 1,020.73 | $ | 4.11 | 0.82 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,068.30 | $ | 8.05 | 1.57 | % | $ | 1,000.00 | $ | 1,017.01 | $ | 7.85 | 1.57 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,075.80 | $ | 1.08 | (3) | 0.37 | % | $ | 1,000.00 | $ | 1,022.96 | $ | 1.86 | 0.37 | % | ||||||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 990.30 | $ | 3.21 | 0.65 | % | $ | 1,000.00 | $ | 1,021.57 | $ | 3.26 | 0.65 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 988.60 | $ | 4.98 | 1.01 | % | $ | 1,000.00 | $ | 1,019.79 | $ | 5.06 | 1.01 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 985.00 | $ | 8.66 | 1.76 | % | $ | 1,000.00 | $ | 1,016.07 | $ | 8.80 | 1.76 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 991.10 | $ | 2.76 | 0.56 | % | $ | 1,000.00 | $ | 1,022.02 | $ | 2.81 | 0.56 | % | |||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,041.40 | $ | 7.95 | 1.57 | % | $ | 1,000.00 | $ | 1,017.01 | $ | 7.85 | 1.57 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,039.10 | $ | 9.86 | 1.95 | % | $ | 1,000.00 | $ | 1,015.12 | $ | 9.74 | 1.95 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,035.30 | $ | 13.52 | 2.68 | % | $ | 1,000.00 | $ | 1,011.50 | $ | 13.37 | 2.68 | % | |||||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,057.70 | $ | 3.01 | 0.59 | % | $ | 1,000.00 | $ | 1,021.87 | $ | 2.96 | 0.59 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,055.80 | $ | 4.89 | 0.96 | % | $ | 1,000.00 | $ | 1,020.03 | $ | 4.81 | 0.96 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,050.90 | $ | 8.70 | 1.71 | % | $ | 1,000.00 | $ | 1,016.31 | $ | 8.55 | 1.71 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,058.20 | $ | 2.50 | 0.49 | % | $ | 1,000.00 | $ | 1,022.36 | $ | 2.46 | 0.49 | % | |||||||||||||||||||
Multi-Style Premia Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,000.50 | $ | 4.86 | 0.98 | % | $ | 1,000.00 | $ | 1,019.93 | $ | 4.91 | 0.98 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 999.10 | $ | 6.59 | 1.33 | % | $ | 1,000.00 | $ | 1,018.20 | $ | 6.66 | 1.33 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 995.10 | $ | 10.29 | 2.08 | % | $ | 1,000.00 | $ | 1,014.48 | $ | 10.39 | 2.08 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,000.90 | $ | 4.37 | 0.88 | % | $ | 1,000.00 | $ | 1,020.43 | $ | 4.41 | 0.88 | % | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,042.40 | $ | 3.34 | 0.66 | % | $ | 1,000.00 | $ | 1,021.52 | $ | 3.31 | 0.66 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,039.70 | $ | 5.16 | 1.02 | % | $ | 1,000.00 | $ | 1,019.74 | $ | 5.11 | 1.02 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,036.80 | $ | 8.94 | 1.77 | % | $ | 1,000.00 | $ | 1,016.02 | $ | 8.85 | 1.77 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,041.90 | $ | 2.84 | 0.56 | % | $ | 1,000.00 | $ | 1,022.02 | $ | 2.81 | 0.56 | % |
(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).
(3) Expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 103/365 (to reflect the period shown of January 18, 2019 (Commencement of Operations) to April 30, 2019).
21
Legend (Unaudited) April 30, 2019
Neuberger Berman Alternative Funds
Benchmarks:
EURIBOR = Euro Interbank Offered Rate
ICE = Intercontinental Exchange
HIBOR = Hong Kong Interbank Offered Rate
LIBOR = London Interbank Offered Rate
Currency Abbreviations:
AUD = Australian Dollar
BRL = Brazilian Real
CAD = Canadian Dollar
CHF = Swiss Franc
CLP = Chilean Peso
CNH = Chinese Yuan Renminbi (Offshore)
CNY = Chinese Yuan Renminbi
CLP = Chilean Peso
CZK = Czech Koruna
EUR = Euro
GBP = Pound Sterling
HUF = Hungarian Forint
IDR = Indonesian Rupiah
ILS = Israeli Shekel
INR = Indian Rupee
JPY = Japanese Yen
KRW = South Korean Won
MXN = Mexican Peso
NOK = Norwegian Krone
NZD = New Zealand Dollar
PLN = Polish Zloty
RUB = Russian Ruble
SEK = Swedish Krona
THB = Thai Bhat
TRY = Turkish Lira
TWD = New Taiwan Dollar
USD = United States Dollar
ZAR = South African Rand
Non-Deliverable Forward Contracts:
BRL = Brazilian Real
CLP = Chilean Peso
CNY = Chinese Yuan Renminbi
KRW = South Korean Won
IDR = Indonesian Rupiah
INR = Indian Rupee
RUB = Russian Ruble
TWD = New Taiwan Dollar
Counterparties:
CITI = Citibank, N.A.
GSI = Goldman Sachs International
JPM = JPMorgan Chase Bank N.A.
MS = Morgan Stanley Capital Services LLC
RBC = Royal Bank of Canada
SCB = Standard Chartered Bank
SG = Societe Generale
SSB = State Street Bank and Trust Company
Payment Frequencies:
1M = 1 Month
3M = 3 Months
6M = 6 Months
T = Termination
22
Consolidated Schedule of Investments Commodity Strategy Fund(a)^ (Unaudited) April 30, 2019
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Asset-Backed Securities 20.9% | |||||||||||
$ | 87 | Ally Auto Receivables Trust, Ser. 2017-5, Class A2, 1.81%, due 6/15/2020 | $ | 87 | |||||||
1,600 | Bank of The West Auto Trust, Ser. 2018-1, Class A2, 3.09%, due 4/15/2021 | 1,603 | (b) | ||||||||
2,160 | BMW Vehicle Lease Trust, Ser. 2019-1, Class A2, 2.79%, due 3/22/2021 | 2,164 | |||||||||
259 | BMW Vehicle Owner Trust, Ser. 2018-A, Class A2A, 2.09%, due 11/25/2020 | 258 | |||||||||
Canadian Pacer Auto Receivables Trust | |||||||||||
275 | Ser. 2018-1A, Class A2A, 2.70%, due 8/19/2020 | 275 | (b) | ||||||||
700 | Ser. 2018-2A, Class A2A, 3.00%, due 6/21/2021 | 701 | (b) | ||||||||
1,200 | Chase Issuance Trust, Ser. 2018-A1, Class A1, (1 month USD LIBOR + 0.20%), 2.67%, due 4/17/2023 | 1,200 | (c) | ||||||||
1,000 | Citibank Credit Card Issuance Trust, Ser. 2014-A6, Class A6, 2.15%, due 7/15/2021 | 999 | |||||||||
Evergreen Credit Card Trust | |||||||||||
1,110 | Ser. 2018-2, Class A, (1 month USD LIBOR + 0.35%), 2.82%, due 7/15/2022 | 1,112 | (b)(c) | ||||||||
500 | Ser. 2019-1, Class A, (1 month USD LIBOR + 0.48%), 2.95%, due 1/15/2023 | 501 | (b)(c) | ||||||||
490 | Fifth Third Auto Trust, Ser. 2019-1, Class A2B, (1 month USD LIBOR + 0.23%), 2.65%, due 5/16/2022 | 490 | (c)(d) | ||||||||
Ford Credit Auto Owner Trust | |||||||||||
2,459 | Ser. 2018-B, Class A2A, 2.96%, due 9/15/2021 | 2,463 | |||||||||
1,900 | Ser. 2019-A, Class A2A, 2.78%, due 2/15/2022 | 1,904 | |||||||||
510 | GM Financial Automobile Leasing Trust, Ser. 2019-2, Class A2B, (1 month USD LIBOR + 0.18%), 2.66%, due 6/21/2021 | 510 | (c)(d) | ||||||||
GM Financial Consumer Automobile Receivables Trust | |||||||||||
197 | Ser. 2017-3A, Class A2A, 1.71%, due 9/16/2020 | 197 | (b) | ||||||||
447 | Ser. 2018-1, Class A2A, 2.08%, due 1/19/2021 | 446 | |||||||||
785 | Ser. 2018-2, Class A2A, 2.55%, due 5/17/2021 | 784 | |||||||||
1,367 | Ser. 2017-1A, Class A3, 1.78%, due 10/18/2021 | 1,361 | (b) | ||||||||
8 | Honda Auto Receivables Owner Trust, Ser. 2017-3, Class A2, 1.57%, due 1/21/2020 | 8 | |||||||||
2,500 | Mercedes-Benz Auto Lease Trust, Ser. 2019-A, Class A2, 3.01%, due 2/16/2021 | 2,505 | |||||||||
Navient Student Loan Trust | |||||||||||
242 | Ser. 2018-2A, Class A1, (1 month USD LIBOR + 0.24%), 2.72%, due 3/25/2067 | 242 | (b)(c) | ||||||||
616 | Ser. 2018-3A, Class A1, (1 month USD LIBOR + 0.27%), 2.75%, due 3/25/2067 | 616 | (b)(c) | ||||||||
541 | Ser. 2018-4A, Class A1, (1 month USD LIBOR + 0.25%), 2.73%, due 6/27/2067 | 540 | (b)(c) | ||||||||
2,000 | Ser. 2019-2A, Class A1, (1 month USD LIBOR + 0.27%), 2.75%, due 2/27/2068 | 2,000 | (b)(c) | ||||||||
159 | Nissan Auto Receivables Owner Trust, Ser. 2017-B, Class A2A, 1.56%, due 5/15/2020 | 159 | |||||||||
700 | Securitized Term Auto Receivables Trust, Ser. 2019-1A, Class A2, 2.86%, due 5/25/2021 | 700 | (b) | ||||||||
Toyota Auto Receivables Owner Trust | |||||||||||
333 | Ser. 2017-D, Class A2A, 1.74%, due 8/17/2020 | 332 | |||||||||
1,088 | Ser. 2018-B, Class A2A, 2.64%, due 3/15/2021 | 1,088 | |||||||||
1,076 | Ser. 2018-C, Class A2A, 2.77%, due 8/16/2021 | 1,077 | |||||||||
Verizon Owner Trust | |||||||||||
1,340 | Ser. 2017-1A, Class A, 2.06%, due 9/20/2021 | 1,337 | (b) | ||||||||
1,320 | Ser. 2018-1A, Class A1B, (1 month USD LIBOR + 0.26%), 2.75%, due 9/20/2022 | 1,321 | (b)(c) | ||||||||
World Omni Auto Receivables Trust | |||||||||||
333 | Ser. 2017-B, Class A2A, 1.61%, due 2/16/2021 | 332 | |||||||||
522 | Ser. 2018-A, Class A2, 2.19%, due 5/17/2021 | 521 | |||||||||
434 | Ser. 2018-C, Class A2, 2.80%, due 1/18/2022 | 435 | |||||||||
1,500 | Ser. 2019-A, Class A2, 3.02%, due 4/15/2022 | 1,506 | |||||||||
Total Asset-Backed Securities (Cost $31,726) | 31,774 | ||||||||||
Corporate Bonds 56.5% | |||||||||||
Aerospace & Defense 1.7% | |||||||||||
United Technologies Corp. | |||||||||||
855 | (3 month USD LIBOR + 0.35%), 2.93%, due 11/1/2019 | 856 | (c) | ||||||||
1,675 | (3 month USD LIBOR + 0.65%), 3.33%, due 8/16/2021 | 1,676 | (c) | ||||||||
2,532 |
See Notes to Financial Statements
23
Consolidated Schedule of Investments Commodity Strategy Fund(a)^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Agriculture 2.7% | |||||||||||
$ | 2,965 | BAT Capital Corp., (3 month USD LIBOR + 0.59%), 3.28%, due 8/14/2020 | $ | 2,961 | (c) | ||||||
1,120 | Philip Morris Int'l, Inc., (3 month USD LIBOR + 0.42%), 3.06%, due 2/21/2020 | 1,122 | (c) | ||||||||
4,083 | |||||||||||
Auto Manufacturers 8.2% | |||||||||||
2,150 | American Honda Finance Corp., (3 month USD LIBOR + 0.28%), 2.87%, due 10/19/2020 | 2,150 | (c) | ||||||||
2,255 | BMW U.S. Capital LLC, (3 month USD LIBOR + 0.37%), 3.06%, due 8/14/2020 | 2,261 | (b)(c) | ||||||||
1,500 | Daimler Finance N.A. LLC, 1.50%, due 7/5/2019 | 1,497 | (b) | ||||||||
1,965 | Harley-Davidson Financial Services, Inc., (3 month USD LIBOR + 0.50%), 3.14%, due 5/21/2020 | 1,967 | (b)(c) | ||||||||
1,720 | Nissan Motor Acceptance Corp., (3 month USD LIBOR + 0.63%), 3.24%, due 9/21/2021 | 1,709 | (b)(c) | ||||||||
2,865 | Volkswagen Group of America Finance LLC, (3 month USD LIBOR + 0.77%), 3.46%, due 11/13/2020 | 2,875 | (b)(c) | ||||||||
12,459 | |||||||||||
Banks 18.6% | |||||||||||
3,340 | Bank of America Corp., (3 month USD LIBOR + 0.38%), 2.97%, due 1/23/2022 | 3,335 | (c) | ||||||||
3,250 | Citigroup, Inc., (3 month USD LIBOR + 0.96%), 3.54%, due 4/25/2022 | 3,285 | (c) | ||||||||
3,225 | Goldman Sachs Group Inc, (3 month USD LIBOR + 1.11%), 3.70%, due 4/26/2022 | 3,255 | (c) | ||||||||
2,260 | HSBC Holdings PLC, (3 month USD LIBOR + 0.60%), 3.28%, due 5/18/2021 | 2,263 | (c) | ||||||||
JPMorgan Chase & Co. | |||||||||||
2,600 | (3 month USD LIBOR + 0.55%), 3.15%, due 3/9/2021 | 2,606 | (c) | ||||||||
625 | (3 month USD LIBOR + 1.10%), 3.71%, due 6/7/2021 | 633 | (c) | ||||||||
3,000 | Morgan Stanley, (3 month USD LIBOR + 1.18%), 3.77%, due 1/20/2022 | 3,033 | (c) | ||||||||
1,515 | PNC Bank N.A., (3 month USD LIBOR + 0.35%), 2.95%, due 3/12/2021 | 1,517 | (c) | ||||||||
880 | Santander UK PLC, (3 month USD LIBOR + 0.62%), 3.25%, due 6/1/2021 | 881 | (c) | ||||||||
765 | Sumitomo Mitsui Financial Group, Inc., (3 month USD LIBOR + 1.11%), 3.71%, due 7/14/2021 | 776 | (c) | ||||||||
1,235 | Toronto-Dominion Bank, (3 month USD LIBOR + 0.43%), 3.03%, due 6/11/2021 | 1,241 | (c) | ||||||||
2,900 | Wells Fargo & Co., (3 month USD LIBOR + 0.93%), 3.63%, due 2/11/2022 | 2,924 | (c) | ||||||||
2,550 | Westpac Banking Corp., (3 month USD LIBOR + 0.85%), 3.53%, due 8/19/2021 | 2,578 | (c) | ||||||||
28,327 | |||||||||||
Beverages 0.6% | |||||||||||
925 | Diageo Capital PLC, (3 month USD LIBOR + 0.24%), 2.92%, due 5/18/2020 | 926 | (c) | ||||||||
Computers 0.5% | |||||||||||
755 | Apple, Inc., (3 month USD LIBOR + 0.14%), 2.88%, due 8/2/2019 | 755 | (c) | ||||||||
Diversified Financial Services 4.0% | |||||||||||
835 | AIG Global Funding, (3 month USD LIBOR + 0.48%), 3.08%, due 7/2/2020 | 838 | (b)(c) | ||||||||
2,805 | American Express Co., (3 month USD LIBOR + 0.53%), 3.21%, due 5/17/2021 | 2,817 | (c) | ||||||||
2,470 | Capital One Financial Corp., (3 month USD LIBOR + 0.95%), 3.55%, due 3/9/2022 | 2,490 | (c) | ||||||||
6,145 | |||||||||||
Electric 2.9% | |||||||||||
1,540 | Dominion Energy, Inc., (3 month USD LIBOR + 0.55%), 3.18%, due 6/1/2019 | 1,540 | (b)(c) | ||||||||
500 | Duke Energy Progress LLC, (3 month USD LIBOR + 0.18%), 2.77%, due 9/8/2020 | 500 | (c) | ||||||||
2,430 | Sempra Energy, (3 month USD LIBOR + 0.50%), 3.10%, due 1/15/2021 | 2,419 | (c) | ||||||||
4,459 |
See Notes to Financial Statements
24
Consolidated Schedule of Investments Commodity Strategy Fund(a)^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) | ||||||||||
Insurance 0.7% | |||||||||||
$ | 1,000 | Marsh & McLennan Cos., Inc., (3 month USD LIBOR + 1.20%), 3.80%, due 12/29/2021 | $ | 1,002 | (c) | ||||||
Machinery—Construction & Mining 1.3% | |||||||||||
2,000 | Caterpillar Financial Services Corp., (3 month USD LIBOR + 0.23%), 2.84%, due 3/15/2021 | 2,002 | (c) | ||||||||
Media 2.1% | |||||||||||
960 | Comcast Corp., (3 month USD LIBOR + 0.44%), 3.03%, due 10/1/2021 | 965 | (c) | ||||||||
1,935 | NBCUniversal Enterprise, Inc., (3 month USD LIBOR + 0.40%), 2.99%, due 4/1/2021 | 1,941 | (b)(c) | ||||||||
330 | Walt Disney Co., (3 month USD LIBOR + 0.31%), 2.94%, due 5/30/2019 | 330 | (c) | ||||||||
3,236 | |||||||||||
Oil & Gas 2.0% | |||||||||||
1,800 | BP AMI Leasing, Inc., 5.52%, due 5/8/2019 | 1,801 | (b) | ||||||||
1,250 | BP Capital PLC, (3 month USD LIBOR + 0.87%), 3.48%, due 9/16/2021 | 1,267 | (c) | ||||||||
3,068 | |||||||||||
Pharmaceuticals 4.1% | |||||||||||
1,630 | Bayer U.S. Finance II LLC, (3 month USD LIBOR + 0.63%), 3.23%, due 6/25/2021 | 1,621 | (b)(c) | ||||||||
2,655 | CVS Health Corp., (3 month USD LIBOR + 0.72%), 3.32%, due 3/9/2021 | 2,666 | (c) | ||||||||
1,860 | Halfmoon Parent, Inc., (3 month USD LIBOR + 0.65%), 3.26%, due 9/17/2021 | 1,860 | (b)(c) | ||||||||
6,147 | |||||||||||
Pipelines 1.6% | |||||||||||
1,375 | Enterprise Products Operating LLC, 2.55%, due 10/15/2019 | 1,373 | |||||||||
1,045 | TransCanada PipeLines Ltd., (3 month USD LIBOR + 0.28%), 2.96%, due 11/15/2019 | 1,046 | (c) | ||||||||
2,419 | |||||||||||
Real Estate Investment Trusts 1.2% | |||||||||||
1,795 | WEA Finance LLC/Westfield UK & Europe Finance PLC, 2.70%, due 9/17/2019 | 1,794 | (b) | ||||||||
Retail 0.2% | |||||||||||
315 | Walmart, Inc., (3 month USD LIBOR + 0.23%), 2.83%, due 6/23/2021 | 316 | (c) | ||||||||
Telecommunications 4.1% | |||||||||||
3,025 | AT&T, Inc., (3 month USD LIBOR + 0.95%), 3.55%, due 7/15/2021 | 3,059 | (c) | ||||||||
3,100 | Verizon Communications, Inc., (3 month USD LIBOR + 1.00%), 3.61%, due 3/16/2022 | 3,159 | (c) | ||||||||
6,218 | |||||||||||
Total Corporate Bonds (Cost $85,786) | 85,888 |
See Notes to Financial Statements
25
Consolidated Schedule of Investments Commodity Strategy Fund(a)^ (Unaudited) (cont'd)
NUMBER OF SHARES | VALUE | ||||||||||
(000's omitted) | |||||||||||
Short-Term Investments 17.7% | |||||||||||
Investment Companies 17.7% | |||||||||||
26,968,635 | State Street Institutional U.S. Government Money Market Fund Premier Class, 2.37%(e) (Cost $26,969) | $ | 26,969 | (f) | |||||||
Total Investments 95.1% (Cost $144,481) | 144,631 | ||||||||||
Other Assets Less Liabilities 4.9% | 7,474 | (g) | |||||||||
Net Assets 100.0% | $ | 152,105 |
(a) Formerly Risk Balanced Commodity Strategy Fund through November 8, 2018.
(b) 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, 2019, these securities amounted to approximately $34,210,000, which represents 22.5% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
(c) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2019 and changes periodically.
(d) All or a portion of this security was purchased on a delayed delivery basis.
(e) Represents 7-day effective yield as of April 30, 2019.
(f) All or a portion of this security is segregated in connection with obligations for futures and/or delayed delivery securities with a total value of approximately $26,969,000.
(g) Includes the impact of the Fund's open positions in derivatives at April 30, 2019.
Derivative Instruments
Futures contracts ("futures")
At April 30, 2019, 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) | |||||||||||||||
5/2019 | 136 | Lead | $ | 6,504,200 | $ | (183,569 | ) | ||||||||||||
5/2019 | 80 | Nickel | 5,830,800 | 466,000 | |||||||||||||||
5/2019 | 74 | Primary Aluminum | 3,280,050 | (329,442 | ) | ||||||||||||||
5/2019 | 97 | Zinc | 7,068,875 | 994,900 | |||||||||||||||
6/2019 | 95 | Gold 100 Oz. | 12,214,150 | (426,220 | ) | ||||||||||||||
6/2019 | 79 | Lean Hogs | 2,787,910 | 378,635 | |||||||||||||||
6/2019 | 68 | Live Cattle | 3,107,600 | (150,083 | ) |
See Notes to Financial Statements
26
Consolidated Schedule of Investments Commodity Strategy Fund(a)^ (Unaudited) (cont'd)
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
6/2019 | 114 | Natural Gas | $ | 2,983,380 | $ | (144,487 | ) | ||||||||||||
6/2019 | 119 | New York Harbor ULSD | 10,404,337 | 400,794 | |||||||||||||||
6/2019 | 124 | RBOB Gasoline | 10,588,906 | 1,448,970 | |||||||||||||||
6/2019 | 127 | Sugar 11 | 1,755,241 | (36,868 | ) | ||||||||||||||
6/2019 | 148 | WTI Crude Oil | 9,469,040 | 165,760 | |||||||||||||||
7/2019 | 148 | Brent Crude Oil | 10,494,680 | 298,228 | |||||||||||||||
7/2019 | 94 | Cocoa | 2,217,460 | 48,623 | |||||||||||||||
7/2019 | 43 | Coffee 'C' | 1,502,044 | (83,491 | ) | ||||||||||||||
7/2019 | 85 | Copper | 6,171,000 | (32,550 | ) | ||||||||||||||
7/2019 | 668 | Corn | 12,107,500 | (612,899 | ) | ||||||||||||||
7/2019 | 83 | Cotton No.2 | 3,186,370 | 66,895 | |||||||||||||||
7/2019 | 234 | Hard Red Winter Wheat | 4,609,800 | (611,987 | ) | ||||||||||||||
7/2019 | 120 | Lead | 5,773,500 | (189,000 | ) | ||||||||||||||
7/2019 | 86 | Low Sulphur Gasoil | 5,491,100 | 113,950 | |||||||||||||||
7/2019 | 66 | Nickel | 4,827,636 | (381,338 | ) | ||||||||||||||
7/2019 | 165 | Platinum | 7,356,525 | 389,123 | |||||||||||||||
7/2019 | 63 | Primary Aluminum | 2,823,975 | (122,587 | ) | ||||||||||||||
7/2019 | 76 | Silver | 5,693,920 | (80,560 | ) | ||||||||||||||
7/2019 | 100 | Soybean | 4,270,000 | (333,802 | ) | ||||||||||||||
7/2019 | 240 | Soybean Meal | 7,202,400 | (233,418 | ) | ||||||||||||||
7/2019 | 95 | Soybean Oil | 1,589,160 | (153,900 | ) | ||||||||||||||
7/2019 | 201 | Wheat | 4,308,937 | (323,377 | ) | ||||||||||||||
7/2019 | 84 | Zinc | 5,968,200 | (153,400 | ) | ||||||||||||||
8/2019 | 35 | Feeder Cattle | 2,610,125 | (108,358 | ) | ||||||||||||||
Total Long Positions | $ | 174,198,821 | $ | 80,542 | |||||||||||||||
Short Futures: | |||||||||||||||||||
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
5/2019 | 136 | Lead | $ | (6,504,200 | ) | $ | 251,693 | ||||||||||||
5/2019 | 80 | Nickel | (5,830,800 | ) | 303,896 | ||||||||||||||
5/2019 | 74 | Primary Aluminum | (3,280,050 | ) | 216,436 | ||||||||||||||
5/2019 | 97 | Zinc | (7,068,875 | ) | (122,050 | ) | |||||||||||||
7/2019 | 2 | Nickel | (146,292 | ) | 1,238 | ||||||||||||||
Total Short Positions | $ | (22,830,217 | ) | $ | 651,213 | ||||||||||||||
Total Futures | $ | 731,755 |
See Notes to Financial Statements
27
Consolidated Schedule of Investments Commodity Strategy Fund(a)^ (Unaudited) (cont'd)
At April 30, 2019, the Fund had $6,981,227 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2019, the average notional value of futures for the Fund was $157,759,888 for long positions and $(15,924,524) 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, 2019:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Asset-Backed Securities | $ | — | $ | 31,774 | $ | — | $ | 31,774 | |||||||||||
Corporate Bonds(a) | — | 85,888 | — | 85,888 | |||||||||||||||
Short-Term Investments | — | 26,969 | — | 26,969 | |||||||||||||||
Total Investments | $ | — | $ | 144,631 | $ | — | $ | 144,631 |
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization for the portfolio.
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, 2019:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures(a) | |||||||||||||||||||
Assets | $ | 5,545 | $ | — | $ | — | $ | 5,545 | |||||||||||
Liabilities | (4,813 | ) | — | — | (4,813 | ) | |||||||||||||
Total | $ | 732 | $ | — | $ | — | $ | 732 |
(a) Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
^ A balance indicated with a "—", either reflects a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
28
Schedule of Investments Global Allocation Fund^ (Unaudited)
April 30, 2019
Number of Shares | Value (000's omitted) | ||||||||||
Common Stocks 25.5% | |||||||||||
Australia 0.6% | |||||||||||
BHP Group Ltd. | 750 | $ | 20 | ||||||||
BHP Group PLC | 63 | 1 | |||||||||
Rio Tinto Ltd. | 152 | 10 | |||||||||
Rio Tinto PLC | 460 | 27 | |||||||||
Wesfarmers Ltd. | 1,017 | 26 | |||||||||
Woodside Petroleum Ltd. | 271 | 7 | |||||||||
91 | |||||||||||
Austria 0.1% | |||||||||||
Telekom Austria AG | 1258 | 9 | * | ||||||||
Belgium 0.1% | |||||||||||
Ageas | 166 | 9 | |||||||||
Colruyt SA | 51 | 3 | |||||||||
12 | |||||||||||
Canada 0.6% | |||||||||||
Dream Global Real Estate Investment Trust | 395 | 4 | |||||||||
Gildan Activewear, Inc. | 95 | 3 | |||||||||
National Bank of Canada | 275 | 13 | |||||||||
Restaurant Brands International, Inc. | 172 | 11 | |||||||||
Rogers Communications, Inc. Class B | 272 | 14 | |||||||||
Sun Life Financial, Inc. | 543 | 23 | |||||||||
Toronto-Dominion Bank | 662 | 38 | |||||||||
106 | |||||||||||
China 0.3% | |||||||||||
Alibaba Group Holding Ltd. ADR | 276 | 51 | *(a) | ||||||||
Denmark 0.0%(b) | |||||||||||
Carlsberg A/S Class B | 12 | 2 | |||||||||
Coloplast A/S Class B | 25 | 3 | |||||||||
ISS A/S | 110 | 3 | |||||||||
8 | |||||||||||
Finland 0.1% | |||||||||||
Nokian Renkaat OYJ | 83 | 3 | |||||||||
Nordea Bank Abp | 917 | 7 | |||||||||
UPM-Kymmene OYJ | 243 | 7 | |||||||||
17 |
Number of Shares | Value (000's omitted) | ||||||||||
France 0.5% | |||||||||||
Capgemini SE | 91 | $ | 11 | ||||||||
Eiffage SA | 67 | 7 | |||||||||
Engie SA | 477 | 7 | |||||||||
Orange SA | 598 | 9 | |||||||||
Peugeot SA | 393 | 10 | |||||||||
Renault SA | 134 | 9 | |||||||||
Sanofi | 92 | 8 | |||||||||
SCOR SE | 142 | 6 | |||||||||
Sodexo SA | 69 | 8 | |||||||||
Vinci SA | 67 | 7 | |||||||||
82 | |||||||||||
Germany 0.1% | |||||||||||
Hannover Rueck SE | 33 | 5 | |||||||||
Wuestenrot & Wuerttembergische AG | 175 | 4 | |||||||||
9 | |||||||||||
Hong Kong 0.2% | |||||||||||
CLP Holdings Ltd. | 1,000 | 11 | |||||||||
Jardine Matheson Holdings Ltd. | 36 | 3 | |||||||||
Link REIT | 2,000 | 23 | |||||||||
37 | |||||||||||
Israel 0.1% | |||||||||||
Bank Leumi Le-Israel BM | 1,340 | 9 | |||||||||
Italy 0.2% | |||||||||||
Assicurazioni Generali SpA | 156 | 3 | |||||||||
Eni SpA | 1,767 | 30 | |||||||||
33 | |||||||||||
Japan 1.3% | |||||||||||
Astellas Pharma, Inc. | 1,200 | 16 | |||||||||
Canon, Inc. | 700 | 19 | |||||||||
EDION Corp. | 100 | 1 | |||||||||
FUJIFILM Holdings Corp. | 300 | 14 | |||||||||
Fujitsu Ltd. | 100 | 7 | |||||||||
Honda Motor Co. Ltd. | 500 | 14 | |||||||||
Japan Tobacco, Inc. | 100 | 2 | |||||||||
Konica Minolta, Inc. | 300 | 3 | |||||||||
Marubeni Corp. | 1,900 | 14 | |||||||||
Mitsubishi Corp. | 500 | 14 | |||||||||
Mitsui & Co. Ltd. | 1,400 | 23 | |||||||||
Mizuho Financial Group, Inc. | 2,900 | 5 | |||||||||
Nippon Telegraph & Telephone Corp. | 200 | 8 | |||||||||
NTT DOCOMO, Inc. | 600 | 13 | |||||||||
Sumitomo Corp. | 1,400 | 20 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 300 | 11 |
Number of Shares | Value (000's omitted) | ||||||||||
Taiheiyo Cement Corp. | 100 | $ | 3 | ||||||||
Tokio Marine Holdings, Inc. | 300 | 15 | |||||||||
Toyota Motor Corp. | 300 | 19 | |||||||||
221 | |||||||||||
Netherlands 0.5% | |||||||||||
Heineken Holding NV | 8 | 1 | |||||||||
Koninklijke Ahold Delhaize NV | 1,107 | 26 | |||||||||
Koninklijke DSM NV | 121 | 14 | |||||||||
Royal Dutch Shell PLC, Class A | 757 | 24 | |||||||||
Wolters Kluwer NV | 256 | 18 | |||||||||
83 | |||||||||||
New Zealand 0.0%(b) | |||||||||||
Fisher & Paykel Healthcare Corp. Ltd. | 435 | 5 | |||||||||
Norway 0.1% | |||||||||||
Telenor ASA | 683 | 14 | |||||||||
Portugal 0.1% | |||||||||||
EDP—Energias de Portugal SA | 2,305 | 9 | |||||||||
Singapore 0.1% | |||||||||||
Ascendas Real Estate Investment Trust | 2,200 | 5 | |||||||||
CapitaLand Mall Trust | 2,000 | 4 | |||||||||
Singapore Exchange Ltd. | 600 | 3 | |||||||||
Singapore Technologies Engineering Ltd. | 800 | 2 | |||||||||
Singapore Telecommunications Ltd. | 300 | 1 | |||||||||
15 | |||||||||||
Spain 0.4% | |||||||||||
ACS Actividades de Construccion y Servicios SA | 188 | 9 | |||||||||
Aena SME SA | 49 | 9 | (c) | ||||||||
Amadeus IT Group SA | 186 | 15 | |||||||||
Banco Bilbao Vizcaya Argentaria SA | 1,196 | 7 | |||||||||
Bankinter SA | 610 | 5 | |||||||||
Enagas SA | 152 | 4 | |||||||||
Endesa SA | 282 | 7 | |||||||||
Naturgy Energy Group SA | 261 | 7 |
See Notes to Financial Statements
29
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Red Electrica Corp. SA | 382 | $ | 8 | ||||||||
Repsol SA | 105 | 2 | |||||||||
73 | |||||||||||
Sweden 0.1% | |||||||||||
Skandinaviska Enskilda Banken AB, Class A | 1,187 | 11 | |||||||||
Telia Co. AB | 1,905 | 8 | |||||||||
19 | |||||||||||
Switzerland 0.6% | |||||||||||
Adecco Group AG | 113 | 7 | |||||||||
Chocoladefabriken Lindt & Spruengli AG | 1 | 7 | |||||||||
Nestle SA | 145 | 14 | |||||||||
Novartis AG | 384 | 31 | |||||||||
Roche Holding AG | 43 | 11 | |||||||||
Zurich Insurance Group AG | 73 | 23 | |||||||||
93 | |||||||||||
United Kingdom 0.7% | |||||||||||
Aviva PLC | 1,775 | 10 | |||||||||
Diageo PLC | 66 | 3 | |||||||||
Ferguson PLC | 176 | 12 | |||||||||
GlaxoSmithKline PLC | 1,960 | 40 | |||||||||
HSBC Holdings PLC | 1,330 | 12 | |||||||||
Imperial Brands PLC | 411 | 13 | |||||||||
John Menzies PLC | 392 | 3 | |||||||||
Royal Mail PLC | 811 | 3 | |||||||||
WM Morrison Supermarkets PLC | 7,632 | 21 | |||||||||
117 | |||||||||||
United States 18.7% | |||||||||||
Adobe, Inc. | 182 | 53 | * | ||||||||
Advance Auto Parts, Inc. | 57 | 9 | |||||||||
Aflac, Inc. | 744 | 37 | |||||||||
AGNC Investment Corp. | 1,109 | 20 | |||||||||
Allergan PLC | 339 | 50 | |||||||||
Alphabet, Inc. Class A | 58 | 70 | * | ||||||||
Amazon.com, Inc. | 61 | 118 | *(a) | ||||||||
Amgen, Inc. | 129 | 23 | (a) | ||||||||
Amphenol Corp. Class A | 27 | 3 | |||||||||
Annaly Capital Management, Inc. | 1,177 | 12 | |||||||||
Anthem, Inc. | 150 | 39 | |||||||||
Apple, Inc. | 767 | 154 | (a) | ||||||||
AT&T, Inc. | 640 | 20 | |||||||||
Bank of America Corp. | 1,611 | 49 | (a) |
Number of Shares | Value (000's omitted) | ||||||||||
Baxter International, Inc. | 981 | $ | 75 | ||||||||
Boeing Co. | 22 | 8 | |||||||||
Booking Holdings, Inc. | 25 | 46 | * | ||||||||
CDW Corp. | 138 | 15 | |||||||||
CenterPoint Energy, Inc. | 374 | 12 | |||||||||
Cheniere Energy, Inc. | 701 | 45 | *(a) | ||||||||
Chevron Corp. | 178 | 21 | (a) | ||||||||
Chimera Investment Corp. | 57 | 1 | |||||||||
Chubb Ltd. | 79 | 11 | |||||||||
Cisco Systems, Inc. | 876 | 49 | (a) | ||||||||
Coca-Cola Co. | 1,259 | 62 | |||||||||
Comcast Corp. Class A | 1,043 | 45 | |||||||||
Comerica, Inc. | 159 | 13 | |||||||||
ConocoPhillips | 126 | 8 | |||||||||
Constellation Brands, Inc. Class A | 268 | 57 | |||||||||
Cummins, Inc. | 33 | 6 | |||||||||
Delta Air Lines, Inc. | 916 | 53 | |||||||||
Dow, Inc. | 287 | 16 | * | ||||||||
DowDuPont, Inc. | 836 | 32 | |||||||||
DTE Energy Co. | 53 | 7 | |||||||||
Eaton Corp. PLC | 400 | 33 | (a) | ||||||||
eBay, Inc. | 1,276 | 49 | |||||||||
Emerson Electric Co. | 262 | 19 | |||||||||
Equity Residential | 237 | 18 | |||||||||
Exelon Corp. | 342 | 17 | |||||||||
Exxon Mobil Corp. | 558 | 45 | |||||||||
Facebook, Inc. Class A | 289 | 56 | *(a) | ||||||||
Fidelity National Information Services, Inc. | 214 | 25 | |||||||||
FMC Corp. | 83 | 7 | |||||||||
Gaming and Leisure Properties, Inc. | 146 | 6 | |||||||||
Garmin Ltd. | 90 | 8 | |||||||||
Hartford Financial Services Group, Inc. | 16 | 1 | |||||||||
Home Depot, Inc. | 224 | 46 | |||||||||
Honeywell International, Inc. | 201 | 35 | |||||||||
Host Hotels & Resorts, Inc. | 289 | 6 | |||||||||
Intel Corp. | 234 | 12 | (a) | ||||||||
International Paper Co. | 116 | 5 | |||||||||
Invesco Mortgage Capital, Inc. | 360 | 6 | |||||||||
Johnson & Johnson | 230 | 32 | (a) | ||||||||
Johnson Controls International PLC | 603 | 23 |
Number of Shares | Value (000's omitted) | ||||||||||
JPMorgan Chase & Co. | 517 | $ | 60 | (a) | |||||||
Leidos Holdings, Inc. | 85 | 6 | |||||||||
Lowe's Cos., Inc. | 445 | 50 | |||||||||
LyondellBasell Industries NV Class A | 300 | 26 | |||||||||
MasterCard, Inc. Class A | 213 | 54 | |||||||||
McDonald's Corp. | 221 | 44 | |||||||||
Medtronic PLC | 125 | 11 | (a) | ||||||||
Merck & Co., Inc. | 426 | 34 | |||||||||
MFA Financial, Inc. | 1,481 | 11 | |||||||||
Microsoft Corp. | 1,202 | 157 | (a) | ||||||||
Mondelez International, Inc. Class A | 216 | 11 | |||||||||
Motorola Solutions, Inc. | 82 | 12 | |||||||||
NIKE, Inc. Class B | 187 | 16 | |||||||||
Nucor Corp. | 26 | 2 | |||||||||
Occidental Petroleum Corp. | 82 | 5 | |||||||||
OGE Energy Corp. | 28 | 1 | |||||||||
Omnicom Group, Inc. | 176 | 14 | |||||||||
Parker-Hannifin Corp. | 12 | 2 | |||||||||
PepsiCo, Inc. | 229 | 29 | |||||||||
Pfizer, Inc. | 1,094 | 44 | |||||||||
Phillips 66 | 274 | 26 | |||||||||
PNC Financial Services Group, Inc. | 299 | 41 | (a) | ||||||||
Procter & Gamble Co. | 368 | 39 | |||||||||
Raytheon Co. | 135 | 24 | |||||||||
Reinsurance Group of America, Inc. | 114 | 17 | |||||||||
Reliance Steel & Aluminum Co. | 29 | 3 | |||||||||
Republic Services, Inc. | 190 | 16 | |||||||||
Royal Caribbean Cruises Ltd. | 74 | 9 | |||||||||
Simon Property Group, Inc. | 38 | 7 | |||||||||
Steel Dynamics, Inc. | 202 | 6 | |||||||||
Steris PLC | 256 | 34 | |||||||||
Sysco Corp. | 46 | 3 | |||||||||
T-Mobile US, Inc. | 661 | 48 | * | ||||||||
TE Connectivity Ltd. | 315 | 30 | |||||||||
Texas Instruments, Inc. | 378 | 45 | (a) | ||||||||
Thermo Fisher Scientific, Inc. | 187 | 52 | |||||||||
Tractor Supply Co. | 78 | 8 | |||||||||
Union Pacific Corp. | 42 | 7 |
See Notes to Financial Statements
30
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
UnitedHealth Group, Inc. | 346 | $ | 81 | ||||||||
Ventas, Inc. | 101 | 6 | |||||||||
Verizon Communications, Inc. | 842 | 48 | |||||||||
Visa, Inc. Class A | 325 | 53 | (a) | ||||||||
Walmart, Inc. | 452 | 46 | (a) | ||||||||
Walt Disney Co. | 588 | 81 | |||||||||
Waste Management, Inc. | 79 | 8 | |||||||||
WEC Energy Group, Inc. | 101 | 8 | |||||||||
WP Carey, Inc. | 116 | 9 | |||||||||
Xerox Corp. | 424 | 14 | |||||||||
3,046 | |||||||||||
Total Common Stocks (Cost $3,683) | 4,159 | ||||||||||
Principal Amount (000's omitted) | |||||||||||
U.S. Treasury Obligations 7.4% | |||||||||||
U.S. Treasury Bill, 2.34%, due 1/2/2020 | $ | 50 | 49 | (a)(d) | |||||||
U.S. Treasury Inflation-Indexed Bonds(e) | |||||||||||
2.00%, due 1/15/2026 | 106 | 116 | |||||||||
3.63%, due 4/15/2028 | 86 | 109 | |||||||||
3.88%, due 4/15/2029 | 94 | 124 | |||||||||
3.38%, due 4/15/2032 | 7 | 10 | |||||||||
1.00%, due 2/15/2046 | 48 | 49 | |||||||||
U.S. Treasury Notes | |||||||||||
2.00%, due 8/31/2021 | 20 | 20 | |||||||||
2.38%, due 8/15/2024 | 50 | 50 | |||||||||
2.88%, due 5/31/2025- 8/15/2028 | 365 | 375 | |||||||||
1.63%, due 2/15/2026 | 80 | 76 | |||||||||
2.25%, due 2/15/2027- 8/15/2046 | 244 | 230 | |||||||||
Total U.S. Treasury Obligations (Cost $1,199) | 1,208 |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
U.S. Government Agency Securities 0.7% | |||||||||||
Federal Home Loan Bank, 5.50%, due 7/15/2036 (Cost $105) | $ | 80 | $ | 106 | |||||||
Mortgage-Backed Securities 7.9% | |||||||||||
Collateralized Mortgage Obligations 2.5% | |||||||||||
Fannie Mae Connecticut Avenue Securities | |||||||||||
Ser. 2017-C02, Class 2M2, (1 month USD LIBOR + 3.65%), 6.13%, due 9/25/2029 | 130 | 140 | (f) | ||||||||
Ser. 2017-C03, Class 1M2, (1 month USD LIBOR + 3.00%), 5.48%, due 10/25/2029 | 25 | 26 | (f) | ||||||||
Ser. 2017-C04, Class 2M2, (1 month USD LIBOR + 2.85%), 5.33%, due 11/25/2029 | 70 | 73 | (f) | ||||||||
Ser. 2017-C05, Class 1M2, (1 month USD LIBOR + 2.20%), 4.68%, due 1/25/2030 | 75 | 76 | (f) | ||||||||
Ser. 2017-C06, Class 1M2, (1 month USD LIBOR + 2.65%), 5.13%, due 2/25/2030 | 55 | 57 | (f) | ||||||||
Ser. 2017-C06, Class 2M2, (1 month USD LIBOR + 2.80%), 5.28%, due 2/25/2030 | 20 | 21 | (f) | ||||||||
Ser. 2018-C02, Class 2M2, (1 month USD LIBOR + 2.20%), 4.68%, due 8/25/2030 | 20 | 20 | (f) | ||||||||
413 | |||||||||||
Fannie Mae 2.6% | |||||||||||
Pass-Through Certificates 3.50%, TBA, 30 Year Maturity | 25 | 25 | (g) |
�� | Principal Amount (000's omitted) | Value (000's omitted) | |||||||||
4.00%, TBA, 30 Year Maturity | $ | 260 | $ | 267 | (g) | ||||||
4.50%, TBA, 30 Year Maturity | 100 | 104 | (g) | ||||||||
5.00%, TBA, 30 Year Maturity | 25 | 26 | (g) | ||||||||
422 | |||||||||||
Freddie Mac 2.2% | |||||||||||
Pass-Through Certificates | |||||||||||
4.00%, TBA, 30 Year Maturity | 260 | 267 | (g) | ||||||||
4.50%, TBA, 30 Year Maturity | 90 | 94 | (g) | ||||||||
361 | |||||||||||
Ginnie Mae 0.6% | |||||||||||
Pass-Through Certificates | |||||||||||
4.50%, TBA, 30 Year Maturity | 60 | 62 | (g) | ||||||||
4.00%, TBA, 30 Year Maturity | 30 | 31 | (g) | ||||||||
93 | |||||||||||
Total Mortgage- Backed Securities (Cost $1,273) | 1,289 | ||||||||||
Corporate Bonds 7.4% | |||||||||||
Australia 0.0%(b) | |||||||||||
Westpac Banking Corp., 5.00%, due 9/21/2027 | 9 | 8 | (h)(o) | ||||||||
Belgium 0.5% | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. | |||||||||||
4.60%, due 4/15/2048 | 15 | 14 | |||||||||
4.75%, due 4/15/2058 | 20 | 20 | |||||||||
Anheuser-Busch Cos., LLC/Anheuser- Busch InBev Worldwide, Inc., 4.70%, due 2/1/2036 | 10 | 10 | (i) | ||||||||
Anheuser-Busch InBev Worldwide, Inc., 5.80%, due 1/23/2059 | 35 | 40 | |||||||||
84 |
See Notes to Financial Statements
31
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Canada 0.1% | |||||||||||
Canadian Natural Resources Ltd., 4.95%, due 6/1/2047 | $ | 15 | $ | 16 | |||||||
Ireland 0.1% | |||||||||||
Avolon Holdings Funding Ltd., 3.95%, due 7/1/2024 | 20 | 20 | (i) | ||||||||
Mexico 0.1% | |||||||||||
Grupo Bimbo SAB de CV, 4.70%, due 11/10/2047 | 25 | 24 | (i) | ||||||||
South Africa 0.1% | |||||||||||
Anglo American Capital PLC, 4.50%, due 3/15/2028 | 10 | 10 | (i) | ||||||||
Spain 0.2% | |||||||||||
Banco Santander SA, 3.80%, due 2/23/2028 | 15 | 15 | |||||||||
Telefonica Emisiones SA, 5.52%, due 3/1/2049 | 15 | 16 | |||||||||
31 | |||||||||||
United Kingdom 0.7% | |||||||||||
AstraZeneca PLC, 3.50%, due 8/17/2023 | 15 | 16 | |||||||||
Barclays PLC, 4.38%, due 1/12/2026 | 45 | 46 | |||||||||
BAT Capital Corp., 4.54%, due 8/15/2047 | 15 | 13 | |||||||||
HSBC Holdings PLC, 6.00%, due 5/22/2027 | 30 | 30 | (h)(o) | ||||||||
Nationwide Building Society, 4.30%, due 3/8/2029 | 10 | 10 | (i)(o) | ||||||||
115 | |||||||||||
United States 5.6% | |||||||||||
AbbVie, Inc., 4.70%, due 5/14/2045 | 20 | 19 | |||||||||
Apple, Inc., 4.65%, due 2/23/2046 | 20 | 22 |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
AT&T, Inc. | |||||||||||
4.35%, due 6/15/2045 | $ | 5 | $ | 5 | |||||||
5.45%, due 3/1/2047 | 20 | 22 | |||||||||
4.50%, due 3/9/2048 | 15 | 14 | |||||||||
AXA Equitable Holdings, Inc., 5.00%, due 4/20/2048 | 20 | 20 | |||||||||
Bank of America Corp. | |||||||||||
1/23/2022 2.74%, due | 20 | 20 | (o) | ||||||||
4/24/2028 3.71%, due | 20 | 20 | (o) | ||||||||
3/5/2029 3.97%, due | 15 | 15 | (o) | ||||||||
3/15/2050 4.33%, due | 20 | 21 | (o) | ||||||||
Citigroup, Inc. | |||||||||||
1/10/2028 3.89%, due | 30 | 31 | (o) | ||||||||
10/27/2028 3.52%, due | 10 | 10 | (o) | ||||||||
Comcast Corp. | |||||||||||
4.00%, due 8/15/2047 | 10 | 10 | |||||||||
4.95%, due 10/15/2058 | 25 | 28 | |||||||||
Concho Resources, Inc., 4.88%, due 10/1/2047 | 15 | 16 | |||||||||
CVS Health Corp. | |||||||||||
4.30%, due 3/25/2028 | 30 | 30 | |||||||||
5.05%, due 3/25/2048 | 45 | 44 | |||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. | |||||||||||
5.45%, due 6/15/2023 | 30 | 32 | (i) | ||||||||
6.02%, due 6/15/2026 | 15 | 16 | (i) | ||||||||
DowDuPont, Inc., 4.73%, due 11/15/2028 | 15 | 16 | |||||||||
Energy Transfer Operating L.P. | |||||||||||
Ser. B, 6.63%, due 2/15/2028 | 30 | 29 | (h)(o) | ||||||||
5.80%, due 6/15/2038 | 5 | 5 | |||||||||
6.25%, due 4/15/2049 | 15 | 17 |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
General Electric Co., Ser. D, 5.00%, due 1/21/2021 | $ | 50 | $ | 47 | (h)(o) | ||||||
General Motors Financial Co., Inc., 5.10%, due 1/17/2024 | 5 | 5 | |||||||||
Goldman Sachs Group, Inc. | |||||||||||
4/23/2020 2.60%, due | 10 | 10 | |||||||||
6/5/2028 3.69%, due | 15 | 15 | (o) | ||||||||
4/23/2029 3.81%, due | 30 | 30 | (o) | ||||||||
10/31/2038 4.02%, due | 20 | 19 | (o) | ||||||||
5.15%, due 5/22/2045 | 10 | 11 | |||||||||
Halfmoon Parent, Inc., 4.80%, due 8/15/2038 | 15 | 15 | (i) | ||||||||
HCA, Inc., 5.25%, due 6/15/2026 | 15 | 16 | |||||||||
HP Enterprise Co., 3.60%, due 10/15/2020 | 20 | 20 | |||||||||
JPMorgan Chase & Co., 3.88%, due 7/24/2038 | 15 | 15 | (o) | ||||||||
Kinder Morgan Energy Partners L.P., 4.15%, due 2/1/2024 | 20 | 21 | |||||||||
Kinder Morgan, Inc., 5.55%, due 6/1/2045 | 20 | 22 | |||||||||
Kroger Co., 5.40%, due 1/15/2049 | 15 | 16 | |||||||||
Marathon Oil Corp., 4.40%, due 7/15/2027 | 30 | 31 | |||||||||
Morgan Stanley, 3.59%, due 7/22/2028 | 30 | 30 | (o) | ||||||||
MPLX L.P., 4.70%, due 4/15/2048 | 20 | 19 | |||||||||
Shire Acquisitions Investments Ireland DAC | |||||||||||
9/23/2021 2.40%, due | 25 | 25 | |||||||||
9/23/2026 3.20%, due | 15 | 15 | |||||||||
Verizon Communications, Inc., 4.52%, due 9/15/2048 | 15 | 16 |
See Notes to Financial Statements
32
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Walmart, Inc., 3.25%, due 7/8/2029 | $ | 15 | $ | 15 | |||||||
Zimmer Biomet Holdings, Inc., 3.55%, due 4/1/2025 | 30 | 30 | |||||||||
905 | |||||||||||
Total Corporate Bonds (Cost $1,193) | 1,213 | ||||||||||
Asset-Backed Securities 2.2% | |||||||||||
American Express Credit Account Master Trust, Ser. 2019-1, Class A, 2.87%, due 10/15/2024 | 100 | 101 | |||||||||
Bear Stearns Asset-Backed Securities Trust, Ser. 2006-SD2, Class M2, (1 month USD LIBOR + 0.80%), 3.28%, due 6/25/2036 | 100 | 100 | (f) | ||||||||
World Omni Auto Receivables Trust | |||||||||||
Ser. 2019-A, Class A3, 3.04%, due 5/15/2024 | 70 | 71 | |||||||||
Ser. 2018-C, Class A3, 3.13%, due 11/15/2023 | 90 | 91 | |||||||||
Total Asset-Backed Securities (Cost $352) | 363 |
Number of Shares | Value (000's omitted) | ||||||||||
Exchange-Traded Funds 2.2% | |||||||||||
iShares TIPS Bond ETF | 2,850 | $ | 323 | ||||||||
SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 1,307 | 36 | |||||||||
Total Exchange- Traded Funds (Cost $357) | 359 | ||||||||||
Investment Companies 47.9%(j) | |||||||||||
Neuberger Berman Commodity Strategy Fund Institutional Class | 120,318 | 715 | |||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 49,847 | 416 | |||||||||
Neuberger Berman Emerging Markets Equity Fund Class R6 | 50,578 | 996 | |||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 31,583 | 309 | |||||||||
Neuberger Berman Genesis Fund Class R6 | 13,164 | 769 | |||||||||
Neuberger Berman High Income Bond Fund Class R6 | 70,714 | 603 |
Number of Shares | Value (000's omitted) | ||||||||||
Neuberger Berman International Select Fund Class R6 | 193,709 | $ | 2,458 | (k) | |||||||
Neuberger Berman Short Duration High Income Fund Institutional Class | 16,320 | 157 | |||||||||
Neuberger Berman U.S. Equity Index PutWrite Strategy Fund Class R6 | 125,926 | 1,383 | |||||||||
Total Investment Companies (Cost $7,276) | 7,806 | ||||||||||
Total Options Purchased(l) 0.0%(b) (Cost $1) | — | ||||||||||
Short-Term Investments 3.7% | |||||||||||
Investment Companies 3.7% | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class, 2.37%(m) (Cost $598) | 597,924 | 598 | (k) | ||||||||
Total Investments 104.9% (Cost $16,037) | 17,101 | ||||||||||
Liabilities Less Other Assets (4.9)% | (796 | )(n) | |||||||||
Net Assets 100.0% | $ | 16,305 |
* Non-income producing security.
(a) All or a portion of the security is pledged as collateral for futures and/or options written.
(b) Represents less than 0.05% of net assets of the Fund.
(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 directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at April 30, 2019 amounted to approximately $9,000, which represents 0.1% of net assets of the Fund.
(d) Rate shown was the discount rate at the date of purchase.
(e) Index-linked bond whose principal amount adjusts according to a government retail price index.
See Notes to Financial Statements
33
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
(f) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2019 and changes periodically.
(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, 2019 amounted to approximately $876,000, which represents 5.4% of net assets of the Fund.
(h) Perpetual Bond Security. The rate reflected was the rate in effect on April 30, 2019. The maturity date reflects the next call date.
(i) 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, 2019, these securities amounted to approximately $137,000 or 0.8% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
(j) Affiliated company as defined under the Investment Company Act of 1940, as amended (see Note F of the Financial Statements).
(k) 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 $3,056,000.
(l) See "Purchased option contracts" under Derivative Instruments.
(m) Represents 7-day effective yield as of April 30, 2019.
(n) Includes the impact of the Fund's open positions in derivatives at April 30, 2019.
(o) Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.
See Notes to Financial Statements
34
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* | $ | 7,806 | 47.9 | % | |||||||
Mortgage-Backed Securities | 1,289 | 7.9 | % | ||||||||
U.S. Treasury Obligations | 1,208 | 7.4 | % | ||||||||
Banks | 627 | 3.9 | % | ||||||||
Pharmaceuticals | 430 | 2.7 | % | ||||||||
Asset-Backed Securities | 363 | 2.2 | % | ||||||||
Exchange-Traded Funds* | 359 | 2.2 | % | ||||||||
Internet & Direct Marketing Retail | 264 | 1.6 | % | ||||||||
Beverages | 238 | 1.5 | % | ||||||||
Oil, Gas & Consumable Fuels | 217 | 1.3 | % | ||||||||
Software | 210 | 1.3 | % | ||||||||
Technology Hardware, Storage & Peripherals | 204 | 1.2 | % | ||||||||
Insurance | 184 | 1.1 | % | ||||||||
IT Services | 171 | 1.1 | % | ||||||||
Health Care Equipment & Supplies | 128 | 0.8 | % | ||||||||
Interactive Media & Services | 126 | 0.8 | % | ||||||||
Health Care Providers & Services | 120 | 0.7 | % | ||||||||
Diversified Telecommunication Services | 117 | 0.7 | % | ||||||||
Specialty Retail | 114 | 0.7 | % | ||||||||
Pipelines | 113 | 0.7 | % | ||||||||
Chemicals | 111 | 0.7 | % | ||||||||
U.S. Government Agency Securities | 106 | 0.7 | % | ||||||||
Food & Staples Retailing | 99 | 0.6 | % | ||||||||
Media | 97 | 0.6 | % | ||||||||
Computers | 90 | 0.6 | % | ||||||||
Equity Real Estate Investment Trusts | 88 | 0.5 | % | ||||||||
Trading Companies & Distributors | 83 | 0.5 | % | ||||||||
Entertainment | 81 | 0.5 | % | ||||||||
Wireless Telecommunication Services | 75 | 0.5 | % | ||||||||
Telecommunications | 73 | 0.5 | % | ||||||||
Hotels, Restaurants & Leisure | 72 | 0.4 | % | ||||||||
Metals & Mining | 69 | 0.4 | % | ||||||||
Oil & Gas | 63 | 0.4 | % | ||||||||
Communications Equipment | 61 | 0.4 | % | ||||||||
Semiconductors & Semiconductor Equipment | 57 | 0.3 | % | ||||||||
Airlines | 53 | 0.3 | % | ||||||||
Electric Utilities | 53 | 0.3 | % | ||||||||
Automobiles | 52 | 0.3 | % | ||||||||
Electrical Equipment | 52 | 0.3 | % | ||||||||
Life Sciences Tools & Services | 52 | 0.3 | % | ||||||||
Mortgage Real Estate Investment | 50 | 0.3 | % | ||||||||
Electronic Equipment, Instruments & Components | 48 | 0.3 | % | ||||||||
Miscellaneous Manufacturers | 47 | 0.3 | % | ||||||||
Food | 40 | 0.3 | % | ||||||||
Household Products | 39 | 0.2 | % | ||||||||
Industrial Conglomerates | 38 | 0.2 | % | ||||||||
Aerospace & Defense | 34 | 0.2 | % | ||||||||
Multi-Utilities | 34 | 0.2 | % | ||||||||
Food Products | 32 | 0.2 | % | ||||||||
Healthcare—Products | 30 | 0.2 | % | ||||||||
Commercial Services & Supplies | 27 | 0.2 | % | ||||||||
Multiline Retail | 26 | 0.2 | % |
See Notes to Financial Statements
35
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 | |||||||||
Professional Services | $ | 25 | 0.2 | % | |||||||
Biotechnology | 23 | 0.1 | % | ||||||||
Building Products | 23 | 0.1 | % | ||||||||
Construction & Engineering | 23 | 0.1 | % | ||||||||
Trucking & Leasing | 20 | 0.1 | % | ||||||||
Textiles, Apparel & Luxury Goods | 19 | 0.1 | % | ||||||||
Healthcare—Services | 16 | 0.1 | % | ||||||||
Retail | 15 | 0.1 | % | ||||||||
Tobacco | 15 | 0.1 | % | ||||||||
Agriculture | 13 | 0.1 | % | ||||||||
Mining | 10 | 0.1 | % | ||||||||
Savings & Loans | 10 | 0.1 | % | ||||||||
Transportation Infrastructure | 9 | 0.1 | % | ||||||||
Household Durables | 8 | 0.1 | % | ||||||||
Machinery | 8 | 0.1 | % | ||||||||
Gas Utilities | 7 | 0.0 | % | ||||||||
Paper & Forest Products | 7 | 0.0 | % | ||||||||
Road & Rail | 7 | 0.0 | % | ||||||||
Auto Manufacturers | 5 | 0.0 | % | ||||||||
Containers & Packaging | 5 | 0.0 | % | ||||||||
Air Freight & Logistics | 3 | 0.0 | % | ||||||||
Auto Components | 3 | 0.0 | % | ||||||||
Capital Markets | 3 | 0.0 | % | ||||||||
Construction Materials | 3 | 0.0 | % | ||||||||
Distributors | 3 | 0.0 | % | ||||||||
Short-Term Investments and Other Liabilities—Net | (198 | ) | (1.2 | )% | |||||||
$ | 16,305 | 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.
Derivative Instruments
Futures contracts ("futures")
At April 30, 2019, 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) | |||||||||||||||
5/2019 | 1 | HSCEI Index | $ | 73,099 | $ | (459 | ) | ||||||||||||
6/2019 | 1 | ASX SPI 200 Index | 111,100 | 1,780 | |||||||||||||||
6/2019 | 3 | Canadian Bond, 10 Year | 309,427 | (1,903 | ) | ||||||||||||||
6/2019 | 2 | FTSE100 Index | 192,249 | 4,231 |
See Notes to Financial Statements
36
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
6/2019 | 1 | MSCI EAFE Index | $ | 95,850 | $ | 1,324 | |||||||||||||
6/2019 | 3 | MSCI Emerging Markets Index | 162,030 | 4,110 | |||||||||||||||
6/2019 | 1 | S&P 500 E-Mini Index | 147,425 | 7,973 | |||||||||||||||
6/2019 | 3 | TOPIX Index | 434,939 | 404 | |||||||||||||||
6/2019 | 1 | U.S. Treasury Long Bond | 147,469 | (2,174 | ) | ||||||||||||||
6/2019 | 4 | U.S. Treasury Note, 2 Year | 852,031 | 2,686 | |||||||||||||||
6/2019 | 9 | U.S. Treasury Note, 10 Year | 1,113,047 | 12,944 | |||||||||||||||
Total Long Positions | $ | 3,638,666 | $ | 30,916 |
Short Futures:
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
6/2019 | 6 | Euro-Bund | $ | (1,112,471 | ) | $ | (7,851 | ) | |||||||||||
6/2019 | 4 | Euro STOXX 50 Index | (154,871 | ) | (7,896 | ) | |||||||||||||
6/2019 | 3 | MSCI World Index | (189,030 | ) | (7,635 | ) | |||||||||||||
6/2019 | 3 | United Kingdom Long Gilt Bond | (498,076 | ) | 6,768 | ||||||||||||||
6/2019 | 4 | U.S. Treasury Long Bond | (589,875 | ) | (9,292 | ) | |||||||||||||
6/2019 | 2 | U.S. Treasury Note, 5 Year | (231,281 | ) | (960 | ) | |||||||||||||
6/2019 | 2 | U.S. Treasury Note, 10 Year | (247,344 | ) | 103 | ||||||||||||||
6/2019 | 4 | U.S. Treasury Note, Ultra 10 Year | (527,125 | ) | (6,579 | ) | |||||||||||||
6/2019 | 1 | U.S. Treasury Ultra Long Bond | (164,281 | ) | (2,357 | ) | |||||||||||||
Total Short Positions | $ | (3,714,354 | ) | $ | (35,699 | ) | |||||||||||||
Total Futures | $ | (4,783 | ) |
At April 30, 2019, the Fund had $222,149 deposited in a segregated account to cover margin requirements on open futures. The Fund had securities pledged in the amount of $24,602 to cover collateral requirements on open futures.
For the six months ended April 30, 2019, the average notional value of futures for the Fund was $4,930,991 for long positions and $(3,186,472) for short positions.
See Notes to Financial Statements
37
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Forward foreign currency contracts ("forward contracts")
At April 30, 2019, open forward contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
196,487 | USD | 275,338 | AUD | SCB | 7/16/2019 | $ | 2,037 | ||||||||||||||||||||
14,081 | USD | 19,732 | AUD | SCB | 7/16/2019 | 146 | |||||||||||||||||||||
237,859 | USD | 333,249 | AUD | CITI | 7/16/2019 | 2,511 | |||||||||||||||||||||
118,840 | USD | 166,571 | AUD | CITI | 7/16/2019 | 1,203 | |||||||||||||||||||||
129,474 | USD | 180,353 | AUD | GSI | 7/16/2019 | 2,104 | |||||||||||||||||||||
624,656 | USD | 875,212 | AUD | JPM | 7/16/2019 | 6,561 | |||||||||||||||||||||
96,967 | USD | 135,862 | AUD | JPM | 7/16/2019 | 1,019 | |||||||||||||||||||||
325,348 | USD | 455,977 | AUD | RBC | 7/16/2019 | 3,326 | |||||||||||||||||||||
130,691 | USD | 183,164 | AUD | RBC | 7/16/2019 | 1,336 | |||||||||||||||||||||
103,221 | USD | 143,572 | AUD | SSB | 7/16/2019 | 1,827 | |||||||||||||||||||||
132,624 | USD | 185,824 | AUD | SSB | 7/16/2019 | 1,390 | |||||||||||||||||||||
61,140 | USD | 85,822 | AUD | SSB | 7/16/2019 | 531 | |||||||||||||||||||||
29,579 | CAD | 22,002 | USD | SSB | 7/16/2019 | 119 | |||||||||||||||||||||
112,680 | USD | 150,186 | CAD | SCB | 7/16/2019 | 363 | |||||||||||||||||||||
14,008 | USD | 18,690 | CAD | CITI | 7/16/2019 | 31 | |||||||||||||||||||||
582,524 | USD | 776,236 | CAD | GSI | 7/16/2019 | 2,013 | |||||||||||||||||||||
484,579 | USD | 645,845 | CAD | JPM | 7/16/2019 | 1,582 | |||||||||||||||||||||
332,128 | USD | 442,694 | CAD | RBC | 7/16/2019 | 1,058 | |||||||||||||||||||||
129,882 | USD | 173,120 | CAD | RBC | 7/16/2019 | 414 | |||||||||||||||||||||
741,138 | USD | 987,800 | CAD | SSB | 7/16/2019 | 2,408 | |||||||||||||||||||||
55,201 | USD | 73,327 | CAD | SSB | 7/16/2019 | 363 | |||||||||||||||||||||
117,910 | CHF | 116,486 | USD | CITI | 7/16/2019 | 65 | |||||||||||||||||||||
88,633 | CHF | 87,531 | USD | GSI | 7/16/2019 | 80 | |||||||||||||||||||||
250,121 | USD | 248,005 | CHF | SCB | 7/16/2019 | 4,975 | |||||||||||||||||||||
234,060 | USD | 231,993 | CHF | CITI | 7/16/2019 | 4,741 | |||||||||||||||||||||
40,503 | USD | 40,143 | CHF | JPM | 7/16/2019 | 823 | |||||||||||||||||||||
461,922 | USD | 458,090 | CHF | RBC | 7/16/2019 | 9,113 | |||||||||||||||||||||
114,233 | USD | 113,285 | CHF | RBC | 7/16/2019 | 2,254 | |||||||||||||||||||||
737,038 | USD | 730,784 | CHF | SG | 7/16/2019 | 14,679 | |||||||||||||||||||||
450,043 | USD | 446,015 | CHF | SSB | 7/16/2019 | 9,170 | |||||||||||||||||||||
42,973 | USD | 978,298 | CZK | CITI | 7/16/2019 | 80 | |||||||||||||||||||||
175,296 | EUR | 196,807 | USD | GSI | 7/16/2019 | 1,064 | |||||||||||||||||||||
324,147 | USD | 286,466 | EUR | CITI | 7/16/2019 | 789 | |||||||||||||||||||||
37,348 | USD | 32,949 | EUR | CITI | 7/16/2019 | 155 | |||||||||||||||||||||
239,933 | USD | 211,861 | EUR | GSI | 7/16/2019 | 787 | |||||||||||||||||||||
128,698 | USD | 113,392 | EUR | GSI | 7/16/2019 | 703 | |||||||||||||||||||||
42,906 | USD | 37,827 | EUR | GSI | 7/16/2019 | 207 | |||||||||||||||||||||
7,272 | USD | 6,421 | EUR | GSI | 7/16/2019 | 24 | |||||||||||||||||||||
2,198,675 | USD | 1,941,915 | EUR | SSB | 7/16/2019 | 6,673 | |||||||||||||||||||||
195,744 | USD | 171,714 | EUR | SSB | 7/16/2019 | 1,916 | |||||||||||||||||||||
85,859 | USD | 75,492 | EUR | SSB | 7/16/2019 | 644 |
See Notes to Financial Statements
38
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
113,557 | GBP | 148,305 | USD | CITI | 7/16/2019 | $ | 354 | ||||||||||||||||||||
182,279 | USD | 138,691 | GBP | SCB | 7/16/2019 | 716 | |||||||||||||||||||||
154,732 | USD | 117,731 | GBP | SCB | 7/16/2019 | 608 | |||||||||||||||||||||
247,453 | USD | 188,155 | GBP | CITI | 7/16/2019 | 1,136 | |||||||||||||||||||||
220,307 | USD | 167,514 | GBP | CITI | 7/16/2019 | 1,011 | |||||||||||||||||||||
441,725 | USD | 335,984 | GBP | GSI | 7/16/2019 | 1,882 | |||||||||||||||||||||
795,447 | USD | 605,058 | GBP | SSB | 7/16/2019 | 3,354 | |||||||||||||||||||||
50,466,164 | JPY | 455,085 | USD | SCB | 7/16/2019 | 714 | |||||||||||||||||||||
43,021,154 | JPY | 387,941 | USD | CITI | 7/16/2019 | 616 | |||||||||||||||||||||
241,370 | JPY | 2,177 | USD | CITI | 7/16/2019 | 3 | |||||||||||||||||||||
53,414,962 | JPY | 481,842 | USD | GSI | 7/16/2019 | 590 | |||||||||||||||||||||
48,009,672 | JPY | 433,089 | USD | RBC | 7/16/2019 | 523 | |||||||||||||||||||||
43,648,387 | JPY | 393,733 | USD | SSB | 7/16/2019 | 489 | |||||||||||||||||||||
11,938,411 | JPY | 107,417 | USD | SSB | 7/16/2019 | 408 | |||||||||||||||||||||
40,704 | USD | 4,488,165 | JPY | CITI | 7/16/2019 | 168 | |||||||||||||||||||||
50,718 | USD | 57,614,247 | KRW | CITI | 7/16/2019 | 1,114 | |||||||||||||||||||||
36,153 | USD | 41,068,397 | KRW | CITI | 7/16/2019 | 794 | |||||||||||||||||||||
1,180,153 | MXN | 60,789 | USD | GSI | 7/16/2019 | 724 | |||||||||||||||||||||
892,720 | MXN | 45,983 | USD | GSI | 7/16/2019 | 548 | |||||||||||||||||||||
832,934 | MXN | 42,905 | USD | SSB | 7/16/2019 | 509 | |||||||||||||||||||||
773,370 | NOK | 89,353 | USD | SSB | 7/16/2019 | 544 | |||||||||||||||||||||
221,184 | USD | 1,895,813 | NOK | SCB | 7/16/2019 | 813 | |||||||||||||||||||||
57,048 | USD | 488,972 | NOK | SCB | 7/16/2019 | 210 | |||||||||||||||||||||
20,139 | USD | 171,017 | NOK | CITI | 7/16/2019 | 259 | |||||||||||||||||||||
170,876 | USD | 1,464,138 | NOK | GSI | 7/16/2019 | 683 | |||||||||||||||||||||
521,889 | USD | 4,473,217 | NOK | JPM | 7/16/2019 | 1,918 | |||||||||||||||||||||
81,504 | USD | 693,663 | NOK | SSB | 7/16/2019 | 872 | |||||||||||||||||||||
46,435 | USD | 393,066 | NOK | SSB | 7/16/2019 | 744 | |||||||||||||||||||||
58,745 | USD | 503,444 | NOK | SSB | 7/16/2019 | 224 | |||||||||||||||||||||
17,492 | USD | 149,494 | NOK | SSB | 7/16/2019 | 114 | |||||||||||||||||||||
170,244 | NZD | 113,649 | USD | CITI | 7/16/2019 | 217 | |||||||||||||||||||||
34,450 | NZD | 22,997 | USD | GSI | 7/16/2019 | 44 | |||||||||||||||||||||
528,730 | USD | 783,084 | NZD | SCB | 7/16/2019 | 4,973 | |||||||||||||||||||||
40,274 | USD | 59,649 | NZD | SCB | 7/16/2019 | 379 | |||||||||||||||||||||
49,813 | USD | 73,808 | NZD | CITI | 7/16/2019 | 447 | |||||||||||||||||||||
107,950 | USD | 159,834 | NZD | GSI | 7/16/2019 | 1,047 | |||||||||||||||||||||
66,196 | USD | 98,029 | NZD | JPM | 7/16/2019 | 630 | |||||||||||||||||||||
61,127 | USD | 90,523 | NZD | JPM | 7/16/2019 | 582 | |||||||||||||||||||||
293,076 | USD | 434,082 | NZD | RBC | 7/16/2019 | 2,744 | |||||||||||||||||||||
523,665 | USD | 775,642 | NZD | SG | 7/16/2019 | 4,885 | |||||||||||||||||||||
343,479 | USD | 508,669 | NZD | SSB | 7/16/2019 | 3,261 | |||||||||||||||||||||
241,765 | USD | 358,037 | NZD | SSB | 7/16/2019 | 2,295 | |||||||||||||||||||||
43,089 | USD | 164,172 | PLN | GSI | 7/16/2019 | 37 |
See Notes to Financial Statements
39
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
460,356 | USD | 4,244,026 | SEK | CITI | 7/16/2019 | $ | 10,834 | ||||||||||||||||||||
153,540 | USD | 1,415,486 | SEK | CITI | 7/16/2019 | 3,614 | |||||||||||||||||||||
84,715 | USD | 778,914 | SEK | CITI | 7/16/2019 | 2,214 | |||||||||||||||||||||
824,437 | USD | 7,593,397 | SEK | GSI | 7/16/2019 | 20,154 | |||||||||||||||||||||
538,759 | USD | 4,962,189 | SEK | GSI | 7/16/2019 | 13,170 | |||||||||||||||||||||
42,543 | USD | 390,444 | SEK | GSI | 7/16/2019 | 1,187 | |||||||||||||||||||||
90,994 | USD | 838,668 | SEK | JPM | 7/16/2019 | 2,164 | |||||||||||||||||||||
107,723 | USD | 993,096 | SEK | SG | 7/16/2019 | 2,535 | |||||||||||||||||||||
91,414 | USD | 839,527 | SEK | SSB | 7/16/2019 | 2,492 | |||||||||||||||||||||
37,400 | USD | 344,239 | SEK | SSB | 7/16/2019 | 939 | |||||||||||||||||||||
70 | USD | 417 | TRY | GSI | 7/16/2019 | 4 | |||||||||||||||||||||
Total unrealized appreciation | $ | 194,774 | |||||||||||||||||||||||||
439,041 | AUD | 313,369 | USD | CITI | 7/16/2019 | (3,308 | ) | ||||||||||||||||||||
30,968 | AUD | 21,880 | USD | GSI | 7/16/2019 | (10 | ) | ||||||||||||||||||||
976,910 | AUD | 696,976 | USD | GSI | 7/16/2019 | (7,060 | ) | ||||||||||||||||||||
1,188,004 | AUD | 847,581 | USD | GSI | 7/16/2019 | (8,586 | ) | ||||||||||||||||||||
161,797 | AUD | 115,467 | USD | SG | 7/16/2019 | (1,202 | ) | ||||||||||||||||||||
29,970 | AUD | 21,390 | USD | SSB | 7/16/2019 | (224 | ) | ||||||||||||||||||||
181,461 | BRL | 46,660 | USD | GSI | 7/16/2019 | (653 | ) | ||||||||||||||||||||
134,122 | BRL | 34,507 | USD | SSB | 7/16/2019 | (502 | ) | ||||||||||||||||||||
351,146 | BRL | 90,343 | USD | SSB | 7/16/2019 | (1,315 | ) | ||||||||||||||||||||
100,372 | CAD | 75,306 | USD | SCB | 7/16/2019 | (243 | ) | ||||||||||||||||||||
38,457 | CAD | 28,858 | USD | CITI | 7/16/2019 | (98 | ) | ||||||||||||||||||||
631,548 | CAD | 473,913 | USD | CITI | 7/16/2019 | (1,607 | ) | ||||||||||||||||||||
135,408 | CAD | 101,616 | USD | GSI | 7/16/2019 | (351 | ) | ||||||||||||||||||||
114,409 | CAD | 85,841 | USD | JPM | 7/16/2019 | (280 | ) | ||||||||||||||||||||
980,499 | CAD | 735,818 | USD | SG | 7/16/2019 | (2,548 | ) | ||||||||||||||||||||
372,231 | CAD | 279,282 | USD | SSB | 7/16/2019 | (907 | ) | ||||||||||||||||||||
165,674 | CHF | 167,088 | USD | SCB | 7/16/2019 | (3,324 | ) | ||||||||||||||||||||
61,646 | CHF | 61,800 | USD | CITI | 7/16/2019 | (865 | ) | ||||||||||||||||||||
129,307 | CHF | 128,792 | USD | CITI | 7/16/2019 | (976 | ) | ||||||||||||||||||||
294,102 | CHF | 296,722 | USD | CITI | 7/16/2019 | (6,011 | ) | ||||||||||||||||||||
13,065 | CHF | 12,922 | USD | GSI | 7/16/2019 | (8 | ) | ||||||||||||||||||||
48,144 | CHF | 48,585 | USD | GSI | 7/16/2019 | (996 | ) | ||||||||||||||||||||
126,653 | CHF | 126,272 | USD | GSI | 7/16/2019 | (1,079 | ) | ||||||||||||||||||||
226,902 | CHF | 228,981 | USD | GSI | 7/16/2019 | (4,695 | ) | ||||||||||||||||||||
27,741 | CHF | 27,990 | USD | JPM | 7/16/2019 | (569 | ) | ||||||||||||||||||||
12,055 | CHF | 12,125 | USD | SSB | 7/16/2019 | (209 | ) | ||||||||||||||||||||
14,518 | CHF | 14,678 | USD | SSB | 7/16/2019 | (327 | ) | ||||||||||||||||||||
563,071 | CHF | 568,156 | USD | SSB | 7/16/2019 | (11,576 | ) | ||||||||||||||||||||
123,053 | USD | 124,649 | CHF | CITI | 7/16/2019 | (159 | ) | ||||||||||||||||||||
28,685,698 | CLP | 42,891 | USD | GSI | 7/17/2019 | (554 | ) | ||||||||||||||||||||
51,252 | EUR | 58,001 | USD | SCB | 7/16/2019 | (148 | ) | ||||||||||||||||||||
175,426 | EUR | 198,526 | USD | SCB | 7/16/2019 | (508 | ) |
See Notes to Financial Statements
40
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
136,198 | EUR | 154,113 | USD | CITI | 7/16/2019 | $ | (375 | ) | |||||||||||||||||||
75,123 | EUR | 85,293 | USD | CITI | 7/16/2019 | (495 | ) | ||||||||||||||||||||
75,203 | EUR | 85,516 | USD | CITI | 7/16/2019 | (628 | ) | ||||||||||||||||||||
228,318 | EUR | 258,492 | USD | JPM | 7/16/2019 | (770 | ) | ||||||||||||||||||||
1,333,040 | EUR | 1,509,211 | USD | JPM | 7/16/2019 | (4,497 | ) | ||||||||||||||||||||
49,115 | EUR | 55,581 | USD | RBC | 7/16/2019 | (141 | ) | ||||||||||||||||||||
71,655 | EUR | 81,089 | USD | RBC | 7/16/2019 | (206 | ) | ||||||||||||||||||||
9,179 | EUR | 10,387 | USD | SG | 7/16/2019 | (26 | ) | ||||||||||||||||||||
69,560 | EUR | 79,019 | USD | SSB | 7/16/2019 | (501 | ) | ||||||||||||||||||||
221,413 | EUR | 250,688 | USD | SSB | 7/16/2019 | (761 | ) | ||||||||||||||||||||
452,186 | GBP | 594,498 | USD | GSI | 7/16/2019 | (2,533 | ) | ||||||||||||||||||||
98,181 | GBP | 129,056 | USD | JPM | 7/16/2019 | (526 | ) | ||||||||||||||||||||
606,313 | GBP | 796,983 | USD | JPM | 7/16/2019 | (3,247 | ) | ||||||||||||||||||||
124,167 | GBP | 163,103 | USD | RBC | 7/16/2019 | (554 | ) | ||||||||||||||||||||
245,824 | GBP | 322,909 | USD | RBC | 7/16/2019 | (1,097 | ) | ||||||||||||||||||||
107,798 | GBP | 141,622 | USD | SG | 7/16/2019 | (502 | ) | ||||||||||||||||||||
56,050 | GBP | 73,687 | USD | SSB | 7/16/2019 | (311 | ) | ||||||||||||||||||||
72,439 | GBP | 95,650 | USD | SSB | 7/16/2019 | (819 | ) | ||||||||||||||||||||
156,331 | GBP | 205,922 | USD | SSB | 7/16/2019 | (1,266 | ) | ||||||||||||||||||||
96,595 | USD | 74,487 | GBP | CITI | 7/16/2019 | (918 | ) | ||||||||||||||||||||
9,169,116 | JPY | 82,943 | USD | SSB | 7/16/2019 | (129 | ) | ||||||||||||||||||||
78,050 | USD | 8,655,285 | JPY | SCB | 7/16/2019 | (122 | ) | ||||||||||||||||||||
119,533 | USD | 13,284,951 | JPY | CITI | 7/16/2019 | (454 | ) | ||||||||||||||||||||
131,046 | USD | 14,568,563 | JPY | CITI | 7/16/2019 | (534 | ) | ||||||||||||||||||||
157,818 | USD | 17,540,158 | JPY | CITI | 7/16/2019 | (600 | ) | ||||||||||||||||||||
99,397 | USD | 11,018,685 | JPY | GSI | 7/16/2019 | (122 | ) | ||||||||||||||||||||
88,832 | USD | 9,871,035 | JPY | GSI | 7/16/2019 | (321 | ) | ||||||||||||||||||||
148,488 | USD | 16,501,111 | JPY | GSI | 7/16/2019 | (547 | ) | ||||||||||||||||||||
125,017 | USD | 13,858,419 | JPY | JPM | 7/16/2019 | (149 | ) | ||||||||||||||||||||
216,010 | USD | 23,945,221 | JPY | JPM | 7/16/2019 | (258 | ) | ||||||||||||||||||||
221,163 | USD | 24,516,755 | JPY | RBC | 7/16/2019 | (267 | ) | ||||||||||||||||||||
140,815 | USD | 15,617,632 | JPY | SG | 7/16/2019 | (240 | ) | ||||||||||||||||||||
470,964 | USD | 52,210,004 | JPY | SSB | 7/16/2019 | (584 | ) | ||||||||||||||||||||
149,855 | USD | 2,905,531 | MXN | CITI | 7/16/2019 | (1,590 | ) | ||||||||||||||||||||
3,347,426 | NOK | 390,680 | USD | CITI | 7/16/2019 | (1,572 | ) | ||||||||||||||||||||
3,469,569 | NOK | 404,936 | USD | CITI | 7/16/2019 | (1,629 | ) | ||||||||||||||||||||
212,549 | NOK | 24,806 | USD | GSI | 7/16/2019 | (99 | ) | ||||||||||||||||||||
347,145 | NOK | 40,750 | USD | GSI | 7/16/2019 | (398 | ) | ||||||||||||||||||||
365,313 | NOK | 42,621 | USD | JPM | 7/16/2019 | (157 | ) | ||||||||||||||||||||
586,557 | NOK | 68,450 | USD | RBC | 7/16/2019 | (268 | ) | ||||||||||||||||||||
1,427,648 | NOK | 166,605 | USD | RBC | 7/16/2019 | (653 | ) | ||||||||||||||||||||
2,247,380 | NOK | 262,208 | USD | SG | 7/16/2019 | (970 | ) | ||||||||||||||||||||
3,847,831 | NOK | 448,987 | USD | SSB | 7/16/2019 | (1,712 | ) | ||||||||||||||||||||
94,080 | NZD | 63,694 | USD | CITI | 7/16/2019 | (769 | ) |
See Notes to Financial Statements
41
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
121,856 | NZD | 82,395 | USD | CITI | 7/16/2019 | $ | (893 | ) | |||||||||||||||||||
164,193 | NZD | 110,967 | USD | CITI | 7/16/2019 | (1,148 | ) | ||||||||||||||||||||
761,667 | NZD | 514,044 | USD | CITI | 7/16/2019 | (4,611 | ) | ||||||||||||||||||||
1,274,100 | NZD | 860,514 | USD | GSI | 7/16/2019 | (8,346 | ) | ||||||||||||||||||||
46,355 | NZD | 31,297 | USD | RBC | 7/16/2019 | (293 | ) | ||||||||||||||||||||
75,814 | NZD | 51,413 | USD | SSB | 7/16/2019 | (706 | ) | ||||||||||||||||||||
154,389 | NZD | 104,608 | USD | SSB | 7/16/2019 | (1,346 | ) | ||||||||||||||||||||
164,161 | PLN | 43,075 | USD | CITI | 7/16/2019 | (26 | ) | ||||||||||||||||||||
1,064,170 | SEK | 115,445 | USD | SCB | 7/16/2019 | (2,729 | ) | ||||||||||||||||||||
2,019,344 | SEK | 219,065 | USD | SCB | 7/16/2019 | (5,179 | ) | ||||||||||||||||||||
398,420 | SEK | 43,017 | USD | CITI | 7/16/2019 | (816 | ) | ||||||||||||||||||||
5,160 | SEK | 560 | USD | JPM | 7/16/2019 | (13 | ) | ||||||||||||||||||||
1,872,140 | SEK | 203,270 | USD | RBC | 7/16/2019 | (4,976 | ) | ||||||||||||||||||||
3,516,399 | SEK | 381,798 | USD | RBC | 7/16/2019 | (9,346 | ) | ||||||||||||||||||||
866,073 | SEK | 94,452 | USD | SSB | 7/16/2019 | (2,718 | ) | ||||||||||||||||||||
3,112,924 | SEK | 337,767 | USD | SSB | 7/16/2019 | (8,050 | ) | ||||||||||||||||||||
15,032,149 | SEK | 1,631,057 | USD | SSB | 7/16/2019 | (38,871 | ) | ||||||||||||||||||||
49,777 | USD | 470,411 | SEK | SSB | 7/16/2019 | (48 | ) | ||||||||||||||||||||
Total unrealized depreciation | $ | (185,330 | ) | ||||||||||||||||||||||||
Total net unrealized appreciation | $ | 9,444 |
For the six months ended April 30, 2019, the Fund's investments in forward contracts had an average notional value of $48,320,082.
Total return swap contracts ("total return swaps")
At April 30, 2019, the Fund had outstanding total return swaps as follows:
Over-the-counter total return swaps — Long(a)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- rate(c) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||||||
JPM | CSI 300 Net Return Index | CN | Y 191,548 | 8/19/2019 | 1.68 | % | (1.45 | )% | 6 HIBOR | M CNH | T/6M(d) | $ | 3,391 | $ | (5 | ) | $ | 3,386 | |||||||||||||||||||||||||||||
CITI | S&P 500 Financials Sector Total Return Index | USD | 107,191 | 4/29/2020 | 2.79 | % | 0.20 | % | 3M USD LIBOR | T/3M | 1,173 | (41 | ) | 1,132 | |||||||||||||||||||||||||||||||||
Total | $ | 4,564 | $ | (46 | ) | $ | 4,518 |
See Notes to Financial Statements
42
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
Over-the-counter total return swaps — Short(b)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- rate(c) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
CITI | S&P 500 Consumer Discretionary Sector Total Return Index | USD | (121,400 | ) | 4/29/2020 | 2.72 | % | 0.13 | % | 3M USD LIBOR | 3M/T | $ | 660 | $ | 46 | $ | 706 |
(a) The Fund pays a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and receives the total return on the reference entity.
(b) The Fund receives a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and pays the total return on the reference entity.
(c) Effective rate at April 30, 2019.
For the six months ended April 30, 2019, the average notional value of total return swaps for the Fund was $382,838 for long positions and $(399,101) for short positions.
(d) Payment in CNH.
Purchased option contracts ("options purchased")
At April 30, 2019, 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 | 27 | $ | 795,366 | $ | 315 | 5/1/2019 | $ | — | (a)(b) | ||||||||||||||
S&P 500 Mini Index | 8 | 235,664 | 315 | 5/8/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 17 | 500,786 | 320 | 5/8/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 17 | 500,786 | 320 | 5/15/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 10 | 294,580 | 320 | 5/22/2019 | 33 | (a)(b) | |||||||||||||||||
Total calls | $ | 33 | |||||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Mini Index | 8 | 235,664 | 259 | 5/1/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 16 | 471,328 | 260 | 5/1/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 16 | 471,328 | 260 | 5/8/2019 | 56 | ||||||||||||||||||
S&P 500 Mini Index | 8 | 235,664 | 263 | 5/8/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 9 | 265,122 | 260 | 5/15/2019 | 81 | ||||||||||||||||||
S&P 500 Mini Index | 8 | 235,664 | 263 | 5/15/2019 | 96 | ||||||||||||||||||
S&P 500 Mini Index | 8 | 235,664 | 263 | 5/22/2019 | 152 | ||||||||||||||||||
Total puts | $ | 385 | |||||||||||||||||||||
Total options purchased (cost $1,548) | $ | 418 |
See Notes to Financial Statements
43
Schedule of Investments Global Allocation Fund^ (Unaudited) (cont'd)
(a) Security fair valued as of April 30, 2019 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, 2019, 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 | 27 | $ | (795,366 | ) | $ | 294 | 5/1/2019 | $ | (3,388 | ) | |||||||||||||
S&P 500 Mini Index | 8 | (235,664 | ) | 297 | 5/8/2019 | (548 | ) | ||||||||||||||||
S&P 500 Mini Index | 17 | (500,786 | ) | 295 | 5/8/2019 | (2,729 | ) | ||||||||||||||||
S&P 500 Mini Index | 8 | (235,664 | ) | 295 | 5/15/2019 | (1,768 | ) | ||||||||||||||||
S&P 500 Mini Index | 9 | (265,122 | ) | 298 | 5/15/2019 | (783 | ) | ||||||||||||||||
S&P 500 Mini Index | 10 | (294,580 | ) | 300 | 5/22/2019 | (695 | ) | ||||||||||||||||
Total calls | $ | (9,911 | ) | ||||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Mini Index | 8 | (235,664 | ) | 282 | 5/1/2019 | — | (a)(b) | ||||||||||||||||
S&P 500 Mini Index | 9 | (265,122 | ) | 283.5 | 5/1/2019 | — | (a)(b) | ||||||||||||||||
S&P 500 Mini Index | 7 | (206,206 | ) | 285 | 5/1/2019 | — | (a)(b) | ||||||||||||||||
S&P 500 Mini Index | 8 | (235,664 | ) | 283 | 5/8/2019 | (112 | ) | ||||||||||||||||
S&P 500 Mini Index | 8 | (235,664 | ) | 284.5 | 5/8/2019 | (180 | ) | ||||||||||||||||
S&P 500 Mini Index | 8 | (235,664 | ) | 288 | 5/8/2019 | (288 | ) | ||||||||||||||||
S&P 500 Mini Index | 9 | (265,122 | ) | 283 | 5/15/2019 | (410 | ) | ||||||||||||||||
S&P 500 Mini Index | 8 | (235,664 | ) | 287 | 5/15/2019 | (568 | ) | ||||||||||||||||
S&P 500 Mini Index | 8 | (235,664 | ) | 286 | 5/22/2019 | (784 | ) | ||||||||||||||||
Total puts | $ | (2,342 | ) | ||||||||||||||||||||
Total options written (premium received $15,126) | $ | (12,253 | ) |
(a) Security fair valued as of April 30, 2019 in accordance with procedures approved by the Board of Trustees.
(b) Value determined using significant unobservable inputs.
For the six months ended April 30, 2019, the Fund had an average market value of $1,188 in options purchased and $(33,535) in options written. At April 30, 2019, the Fund had securities pledged in the amount of $708,650 to cover collateral requirements for options written.
See Notes to Financial Statements
44
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, 2019:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(c) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Japan | $ | — | $ | 221 | $ | — | $ | 221 | |||||||||||
Other Common Stocks(a) | 3,938 | — | — | 3,938 | |||||||||||||||
Total Common Stocks | 3,938 | 221 | — | 4,159 | |||||||||||||||
U.S. Treasury Obligations | — | 1,208 | — | 1,208 | |||||||||||||||
U.S. Government Agency Securities | — | 106 | — | 106 | |||||||||||||||
Mortgage-Backed Securities(a) | — | 1,289 | — | 1,289 | |||||||||||||||
Corporate Bonds(a) | — | 1,213 | — | 1,213 | |||||||||||||||
Asset-Backed Securities | — | 363 | — | 363 | |||||||||||||||
Exchange-Traded Funds | 359 | — | — | 359 | |||||||||||||||
Investment Companies | — | 7,806 | — | 7,806 | |||||||||||||||
Options Purchased(b) | — | — | — | — | |||||||||||||||
Short-Term Investments | — | 598 | — | 598 | |||||||||||||||
Total Investments | $ | 4,297 | $ | 12,804 | $ | — | $ | 17,101 |
(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.
(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 11/1/2018 | 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 4/30/2019 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2019 | ||||||||||||||||||||||||||||||||||
Investments in Securities | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Purchased(d) | |||||||||||||||||||||||||||||||||||||||||||
Index | $ | — | $ | — | $ | — | $ | (1 | ) | $ | 1 | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) | |||||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (1 | ) | $ | 1 | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) |
(d) As of the six months ended April 30, 2019, 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.
See Notes to Financial Statements
45
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 derivatives as of April 30, 2019:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||||
Futures(a) | |||||||||||||||||||
Assets | $ | 42 | $ | — | $ | — | $ | 42 | |||||||||||
Liabilities | (47 | ) | — | — | (47 | ) | |||||||||||||
Forward Contracts(a) | |||||||||||||||||||
Assets | — | 195 | — | 195 | |||||||||||||||
Liabilities | — | (186 | ) | — | (186 | ) | |||||||||||||
Swaps | |||||||||||||||||||
Assets | — | 5 | — | 5 | |||||||||||||||
Options Written | |||||||||||||||||||
Liabilities | (12 | ) | — | — | (12 | ) | |||||||||||||
Total | $ | (17 | ) | $ | 14 | $ | — | $ | (3 | ) |
(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 11/1/2018 | 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 4/30/2019 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2019 | ||||||||||||||||||||||||||||||||||
Other Financial Instruments: (000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Written(c) | |||||||||||||||||||||||||||||||||||||||||||
Index | $ | — | $ | — | $ | — | $ | 3 | $ | — | $ | (3 | ) | $ | — | $ | — | $ | — | $ | 3 | ||||||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 3 | $ | — | $ | (3 | ) | $ | — | $ | — | $ | — | $ | 3 |
(c) As of the six months ended April 30, 2019, 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.
^ A balance indicated with a "—", either reflects a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
46
Schedule of Investments Hedged Option Premium Strategy Fund^ (Unaudited) April 30, 2019
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) |
U.S. Treasury Obligations 99.4% | |||||||||||
U.S. Treasury Notes | |||||||||||
$ | 3,000 | 0.88%, due 6/15/2019—9/15/2019 | $ | 2,986 | |||||||
3,400 | 1.38%, due 12/15/2019—9/15/2020 | 3,369 | |||||||||
2,800 | 1.63%, due 3/15/2020—6/30/2020 | 2,779 | (a)(b) | ||||||||
1,800 | 1.50%, due 6/15/2020 | 1,783 | |||||||||
2,200 | 1.88%, due 12/15/2020 | 2,185 | (b) | ||||||||
2,000 | 2.38%, due 3/15/2021 | 2,003 | |||||||||
2,000 | 2.63%, due 6/15/2021 | 2,015 | |||||||||
1,900 | 2.75%, due 9/15/2021 | 1,922 | |||||||||
Total U.S. Treasury Obligations (Cost $19,032) | 19,042 | ||||||||||
Total Options Purchased(c) 0.0%(d) (Cost $14) | 5 | ||||||||||
NUMBER OF SHARES | |||||||||||
Short-Term Investments 0.9% | |||||||||||
Investment Companies 0.9% | |||||||||||
176,641 | State Street Institutional U.S. Government Money Market Fund Premier Class, 2.37%(e) | 177 | (a) | ||||||||
(Cost $177) |
| ||||||||||
Total Investments 100.3% (Cost $19,223) | 19,224 | ||||||||||
Liabilities Less Other Assets (0.3)% | (57 | )(f) | |||||||||
Net Assets 100.0% | $ | 19,167 |
(a) All or a portion of this security is segregated in connection with obligations for options written with a total value of approximately $1,168,000.
(b) All or a portion of the security is pledged as collateral for options written.
(c) See "Purchased option contracts" under Derivative Instruments.
(d) Represents less than 0.05% of net assets of the Fund.
(e) Represents 7-day effective yield as of April 30, 2019.
(f) Includes the impact of the Fund's open positions in derivatives at April 30, 2019.
See Notes to Financial Statements
47
Schedule of Investments Hedged Option Premium Strategy Fund^ (Unaudited) (cont'd)
Derivative Instruments
Purchased option contracts ("options purchased")
At April 30, 2019, 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 | $ | 318,242 | $ | 1,715 | 5/3/2019 | $ | — | (a)(b) | ||||||||||||||
Russell 2000 Index | 3 | 477,363 | 1,735 | 5/3/2019 | — | (a)(b) | |||||||||||||||||
Russell 2000 Index | 1 | 159,121 | 1,740 | 5/3/2019 | — | (a)(b) | |||||||||||||||||
Russell 2000 Index | 1 | 159,121 | 1,715 | 5/10/2019 | — | (a)(b) | |||||||||||||||||
Russell 2000 Index | 3 | 477,363 | 1,740 | 5/10/2019 | 15 | ||||||||||||||||||
Russell 2000 Index | 2 | 318,242 | 1,750 | 5/10/2019 | — | (a)(b) | |||||||||||||||||
Russell 2000 Index | 2 | 318,242 | 1,715 | 5/17/2019 | 50 | ||||||||||||||||||
Russell 2000 Index | 2 | 318,242 | 1,750 | 5/17/2019 | 30 | ||||||||||||||||||
Russell 2000 Index | 2 | 318,242 | 1,750 | 5/24/2019 | 50 | ||||||||||||||||||
S&P 500 Index | 6 | 1,767,498 | 3,150 | 5/1/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Index | 6 | 1,767,498 | 3,175 | 5/1/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Index | 6 | 1,767,498 | 3,200 | 5/1/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Index | 5 | 1,472,915 | 3,175 | 5/8/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Index | 14 | 4,124,162 | 3,200 | 5/8/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Index | 13 | 3,829,579 | 3,200 | 5/15/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Index | 9 | 2,651,247 | 3,200 | 5/22/2019 | 113 | (a)(b) | |||||||||||||||||
Total calls | $ | 258 | |||||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
Russell 2000 Index | 2 | $ | 318,242 | $ | 1,405 | 5/3/2019 | $ | — | (a)(b) | ||||||||||||||
Russell 2000 Index | 3 | 477,363 | 1,420 | 5/3/2019 | — | (a)(b) | |||||||||||||||||
Russell 2000 Index | 1 | 159,121 | 1,425 | 5/3/2019 | — | (a)(b) | |||||||||||||||||
Russell 2000 Index | 1 | 159,121 | 1,405 | 5/10/2019 | 30 | ||||||||||||||||||
Russell 2000 Index | 3 | 477,363 | 1,425 | 5/10/2019 | 120 | ||||||||||||||||||
Russell 2000 Index | 2 | 318,242 | 1,430 | 5/10/2019 | 85 | ||||||||||||||||||
Russell 2000 Index | 2 | 318,242 | 1,405 | 5/17/2019 | 140 | ||||||||||||||||||
Russell 2000 Index | 2 | 318,242 | 1,430 | 5/17/2019 | 190 | ||||||||||||||||||
Russell 2000 Index | 2 | 318,242 | 1,430 | 5/24/2019 | 370 | ||||||||||||||||||
S&P 500 Index | 5 | 1,472,915 | 2,580 | 5/1/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Index | 7 | 2,062,081 | 2,590 | 5/1/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Index | 6 | 1,767,498 | 2,610 | 5/1/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Index | 5 | 1,472,915 | 2,590 | 5/8/2019 | 137 | ||||||||||||||||||
S&P 500 Index | 7 | 2,062,081 | 2,610 | 5/8/2019 | 210 |
See Notes to Financial Statements
48
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 | $ | 1,767,498 | $ | 2,640 | 5/8/2019 | $ | 240 | |||||||||||||||
S&P 500 Index | 8 | 2,356,664 | 2,610 | 5/15/2019 | 760 | ||||||||||||||||||
S&P 500 Index | 5 | 1,472,915 | 2,640 | 5/15/2019 | 550 | ||||||||||||||||||
S&P 500 Index | 8 | 2,356,664 | 2,640 | 5/22/2019 | 1,620 | ||||||||||||||||||
Total puts | $ | 4,452 | |||||||||||||||||||||
Total options purchased (cost $14,153) | $ | 4,710 |
(a) Security fair valued as of April 30, 2019 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, 2019, 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 | $ | (318,242 | ) | $ | 1,585 | 5/3/2019 | $ | (2,970 | ) | |||||||||||||
Russell 2000 Index | 4 | (636,484 | ) | 1,615 | 5/3/2019 | (710 | ) | ||||||||||||||||
Russell 2000 Index | 1 | (159,121 | ) | 1,590 | 5/10/2019 | (1,825 | ) | ||||||||||||||||
Russell 2000 Index | 5 | (795,606 | ) | 1,615 | 5/10/2019 | (3,250 | ) | ||||||||||||||||
Russell 2000 Index | 2 | (318,242 | ) | 1,595 | 5/17/2019 | (3,890 | ) | ||||||||||||||||
Russell 2000 Index | 2 | (318,242 | ) | 1,620 | 5/17/2019 | (1,630 | ) | ||||||||||||||||
Russell 2000 Index | 2 | (318,242 | ) | 1,625 | 5/24/2019 | (2,070 | ) | ||||||||||||||||
S&P 500 Index | 6 | (1,767,498 | ) | 2,930 | 5/1/2019 | (11,400 | ) | ||||||||||||||||
S&P 500 Index | 6 | (1,767,498 | ) | 2,935 | 5/1/2019 | (8,910 | ) | ||||||||||||||||
S&P 500 Index | 6 | (1,767,498 | ) | 2,945 | 5/1/2019 | (4,740 | ) | ||||||||||||||||
S&P 500 Index | 5 | (1,472,915 | ) | 2,945 | 5/8/2019 | (9,050 | ) | ||||||||||||||||
S&P 500 Index | 7 | (2,062,081 | ) | 2,955 | 5/8/2019 | (8,785 | ) | ||||||||||||||||
S&P 500 Index | 7 | (2,062,081 | ) | 2,980 | 5/8/2019 | (2,660 | ) | ||||||||||||||||
S&P 500 Index | 7 | (2,062,081 | ) | 2,960 | 5/15/2019 | (11,270 | ) | ||||||||||||||||
S&P 500 Index | 6 | (1,767,498 | ) | 2,985 | 5/15/2019 | (4,170 | ) | ||||||||||||||||
S&P 500 Index | 9 | (2,651,247 | ) | 2,990 | 5/22/2019 | (8,325 | ) | ||||||||||||||||
Total calls | $ | (85,655 | ) |
See Notes to Financial Statements
49
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 | $ | (318,242 | ) | $ | 1,535 | 5/3/2019 | $ | (105 | ) | |||||||||||||
Russell 2000 Index | 3 | (477,363 | ) | 1,545 | 5/3/2019 | (225 | ) | ||||||||||||||||
Russell 2000 Index | 1 | (159,121 | ) | 1,550 | 5/3/2019 | (95 | ) | ||||||||||||||||
Russell 2000 Index | 1 | (159,121 | ) | 1,530 | 5/10/2019 | (278 | ) | ||||||||||||||||
Russell 2000 Index | 3 | (477,363 | ) | 1,550 | 5/10/2019 | (1,380 | ) | ||||||||||||||||
Russell 2000 Index | 2 | (318,242 | ) | 1,565 | 5/10/2019 | (1,360 | ) | ||||||||||||||||
Russell 2000 Index | 2 | (318,242 | ) | 1,525 | 5/17/2019 | (910 | ) | ||||||||||||||||
Russell 2000 Index | 2 | (318,242 | ) | 1,560 | 5/17/2019 | (1,860 | ) | ||||||||||||||||
Russell 2000 Index | 2 | (318,242 | ) | 1,555 | 5/24/2019 | (2,360 | ) | ||||||||||||||||
S&P 500 Index | 5 | (1,472,915 | ) | 2,810 | 5/1/2019 | (50 | ) | ||||||||||||||||
S&P 500 Index | 7 | (2,062,081 | ) | 2,830 | 5/1/2019 | (35 | ) | ||||||||||||||||
S&P 500 Index | 6 | (1,767,498 | ) | 2,855 | 5/1/2019 | (66 | ) | ||||||||||||||||
S&P 500 Index | 5 | (1,472,915 | ) | 2,825 | 5/8/2019 | (887 | ) | ||||||||||||||||
S&P 500 Index | 7 | (2,062,081 | ) | 2,845 | 5/8/2019 | (1,593 | ) | ||||||||||||||||
S&P 500 Index | 6 | (1,767,498 | ) | 2,885 | 5/8/2019 | (2,520 | ) | ||||||||||||||||
S&P 500 Index | 8 | (2,356,664 | ) | 2,840 | 5/15/2019 | (4,240 | ) | ||||||||||||||||
S&P 500 Index | 5 | (1,472,915 | ) | 2,880 | 5/15/2019 | (4,250 | ) | ||||||||||||||||
S&P 500 Index | 8 | (2,356,664 | ) | 2,870 | 5/22/2019 | (9,120 | ) | ||||||||||||||||
Total puts | $ | (31,334 | ) | ||||||||||||||||||||
Total options written (premium received $159,512) | $ | (116,989 | ) |
For the six months ended April 30, 2019, the Fund had an average market value of $13,143 in options purchased and $(317,609) in options written. At April 30, 2019, the Fund had securities pledged in the amount of $2,383,687 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, 2019:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 19,042 | $ | — | $ | 19,042 | |||||||||||
Options Purchased(a) | 5 | — | — | 5 | |||||||||||||||
Short-Term Investments | — | 177 | — | 177 | |||||||||||||||
Total Investments | $ | 5 | $ | 19,219 | $ | — | $ | 19,224 |
(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
50
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 11/1/2018 | 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 4/30/2019 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2019 | ||||||||||||||||||||||||||||||||||
Investments in Securities: (000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Purchased(c) | |||||||||||||||||||||||||||||||||||||||||||
Index | $ | — | $ | — | $ | — | $ | (4 | ) | $ | 4 | $ | — | $ | — | $ | — | $ | — | $ | (4 | ) | |||||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (4 | ) | $ | 4 | $ | — | $ | — | $ | — | $ | — | $ | (4 | ) |
(c) As of the six months ended April 30, 2019, 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.
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, 2019:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(a) | Total | |||||||||||||||
Options Written | |||||||||||||||||||
Liabilities | $ | (117 | ) | $ | — | $ | — | $ | (117 | ) | |||||||||
Total | $ | (117 | ) | $ | — | $ | — | $ | (117 | ) |
See Notes to Financial Statements
51
Schedule of Investments Hedged Option Premium Strategy Fund^ (Unaudited) (cont'd)
(a) 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 11/1/2018 | 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 4/30/2019 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2019 | ||||||||||||||||||||||||||||||||||
Other Financial Instruments: (000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Written(b) | |||||||||||||||||||||||||||||||||||||||||||
Calls Index | $ | — | $ | — | $ | 3 | $ | (3 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||
Total | $ | — | $ | — | $ | 3 | $ | (3 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
(b) At the beginning of the period, these investments were valued in accordance with procedures approved by the Board of Trustees. The Fund held no Level 3 investments at April 30, 2019.
^ A balance indicated with a "—", either reflects a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
52
Schedule of Investments Long Short Fund^ (Unaudited) April 30, 2019
Number of Shares | Value (000's omitted) | ||||||||||
Long Positions 97.4% | |||||||||||
Common Stocks 81.4% | |||||||||||
Aerospace & Defense 3.0% | |||||||||||
Boeing Co. | 38,000 | $ | 14,352 | ||||||||
General Dynamics Corp. | 219,000 | 39,140 | |||||||||
Raytheon Co. | 137,000 | 24,330 | |||||||||
77,822 | |||||||||||
Airlines 1.4% | |||||||||||
Delta Air Lines, Inc. | 627,500 | 36,577 | |||||||||
Banks 1.4% | |||||||||||
JPMorgan Chase & Co. | 328,100 | 38,076 | |||||||||
Biotechnology 2.2% | |||||||||||
Gilead Sciences, Inc. | 592,500 | 38,536 | |||||||||
Moderna, Inc. | 78,100 | 2,033 | *(a) | ||||||||
Moderna, Inc. | 684,125 | 17,452 | *(b)(s) | ||||||||
58,021 | |||||||||||
Capital Markets 7.7% | |||||||||||
Ares Management Corp. Class A | 423,000 | 10,342 | |||||||||
BlackRock, Inc. | 93,487 | 45,364 | |||||||||
Brookfield Asset Management, Inc. Class A | 1,199,500 | 57,804 | |||||||||
CME Group, Inc. | 192,700 | 34,474 | |||||||||
Goldman Sachs Group, Inc. | 93,127 | 19,177 | (c) | ||||||||
S&P Global, Inc. | 103,300 | 22,794 | |||||||||
Tradeweb Markets, Inc. Class A | 307,100 | 12,361 | * | ||||||||
202,316 | |||||||||||
Chemicals 2.2% | |||||||||||
Ashland Global Holdings, Inc. | 714,920 | 57,573 | |||||||||
Commercial Services 0.8% | |||||||||||
LegalZoom.com, Inc. | 2,158,660 | 21,260 | *(b)(d)(s) | ||||||||
Diversified Consumer Services 1.1% | |||||||||||
OneSpaWorld Holdings Ltd. | 2,168,200 | 28,642 | *(b)(s) | ||||||||
Diversified Financial Services 1.5% | |||||||||||
FGL Holdings | 4,673,666 | 39,866 | (e) | ||||||||
Electric Utilities 1.3% | |||||||||||
NextEra Energy, Inc. | 170,000 | 33,055 |
Number of Shares | Value (000's omitted) | ||||||||||
Electronic Equipment, Instruments & Components 2.4% | |||||||||||
Amphenol Corp. Class A | 240,000 | $ | 23,894 | ||||||||
CDW Corp. | 375,500 | 39,653 | |||||||||
63,547 | |||||||||||
Energy Equipment & Services 0.3% | |||||||||||
Cactus, Inc. Class A | 232,307 | 8,433 | * | ||||||||
Entertainment 2.9% | |||||||||||
Activision Blizzard, Inc. | 801,500 | 38,640 | |||||||||
Spotify Technology SA | 286,100 | 38,844 | * | ||||||||
77,484 | |||||||||||
Food & Staples Retailing 2.3% | |||||||||||
Costco Wholesale Corp. | 64,000 | 15,714 | |||||||||
Sprouts Farmers Market, Inc. | 624,800 | 13,383 | * | ||||||||
Walmart, Inc. | 310,000 | 31,881 | |||||||||
60,978 | |||||||||||
Food Products 3.0% | |||||||||||
Conagra Brands, Inc. | 1,382,500 | 42,553 | |||||||||
Hain Celestial Group, Inc. | 1,693,100 | 36,944 | * | ||||||||
79,497 | |||||||||||
Health Care Equipment & Supplies 2.4% | |||||||||||
DENTSPLY SIRONA, Inc. | 540,800 | 27,651 | |||||||||
Medtronic PLC | 391,700 | 34,787 | |||||||||
62,438 | |||||||||||
Health Care Providers & Services 2.0% | |||||||||||
CVS Health Corp. | 438,700 | 23,857 | (c) | ||||||||
DaVita, Inc. | 125,000 | 6,905 | * | ||||||||
UnitedHealth Group, Inc. | 90,600 | 21,116 | |||||||||
51,878 | |||||||||||
Holding Companies—Diversified 0.6% | |||||||||||
Act II Global Acquisition Corp. | 602,800 | 6,076 | * | ||||||||
Collier Creek Holdings | 988,100 | 10,079 | * | ||||||||
16,155 | |||||||||||
Hotels, Restaurants & Leisure 3.5% | |||||||||||
Domino's Pizza, Inc. | 15,000 | 4,059 |
Number of Shares | Value (000's omitted) | ||||||||||
Marriott International, Inc. Class A | 48,600 | $ | 6,630 | ||||||||
McDonald's Corp. | 306,000 | 60,456 | |||||||||
MGM Resorts International | 475,300 | 12,657 | |||||||||
Papa John's International, Inc. | 153,400 | 7,848 | (a) | ||||||||
91,650 | |||||||||||
Interactive Media & Services 4.6% | |||||||||||
Alphabet, Inc. Class A | 48,500 | 58,150 | * | ||||||||
Alphabet, Inc. Class C | 2,353 | 2,796 | * | ||||||||
Facebook, Inc. Class A | 263,800 | 51,019 | * | ||||||||
Yelp, Inc. | 219,600 | 8,797 | * | ||||||||
120,762 | |||||||||||
Internet & Direct Marketing Retail 3.7% | |||||||||||
Amazon.com, Inc. | 27,500 | 52,979 | *(e) | ||||||||
Booking Holdings, Inc. | 24,400 | 45,262 | *(e) | ||||||||
98,241 | |||||||||||
IT Services 4.7% | |||||||||||
PayPal Holdings, Inc. | 133,700 | 15,077 | *(c) | ||||||||
Visa, Inc. Class A | 365,100 | 60,033 | (c) | ||||||||
WEX, Inc. | 232,300 | 48,853 | * | ||||||||
123,963 | |||||||||||
Machinery 0.9% | |||||||||||
Gates Industrial Corp. PLC | 1,515,000 | 24,361 | * | ||||||||
Multi-Utilities 1.9% | |||||||||||
Brookfield Infrastructure Partners LP | 818,300 | 33,861 | |||||||||
Sempra Energy | 119,000 | 15,226 | |||||||||
49,087 | |||||||||||
Oil, Gas & Consumable Fuels 2.5% | |||||||||||
Enbridge, Inc. | 1,195,400 | 44,158 | |||||||||
EQT Corp. | 975,100 | 19,941 | |||||||||
Venture Global LNG, Inc. Ser. C | 329 | 2,303 | *(b)(d)(s) | ||||||||
66,402 | |||||||||||
Professional Services 4.9% | |||||||||||
Equifax, Inc. | 351,300 | 44,246 | |||||||||
IHS Markit Ltd. | 1,300,000 | 74,438 | * |
See Notes to Financial Statements
53
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Verisk Analytics, Inc. | 80,800 | $ | 11,404 | ||||||||
130,088 | |||||||||||
Road & Rail 0.6% | |||||||||||
CSX Corp. | 194,300 | 15,472 | |||||||||
Semiconductors & Semiconductor Equipment 0.6% | |||||||||||
ASML Holding NV | 70,200 | 14,659 | |||||||||
Software 1.8% | |||||||||||
Microsoft Corp. | 363,700 | 47,499 | |||||||||
Specialty Retail 5.1% | |||||||||||
Asbury Automotive Group, Inc. | 170,200 | 13,646 | * | ||||||||
At Home Group, Inc. | 565,000 | 13,272 | * | ||||||||
Home Depot, Inc. | 159,500 | 32,490 | |||||||||
Hudson Ltd. Class A | 1,333,900 | 20,462 | * | ||||||||
Lowe's Cos., Inc. | 305,000 | 34,508 | |||||||||
Party City Holdco, Inc. | 2,812,400 | 18,843 | * | ||||||||
133,221 | |||||||||||
Technology Hardware, Storage & Peripherals 1.2% | |||||||||||
Apple, Inc. | 162,300 | 32,569 | |||||||||
Textiles, Apparel & Luxury Goods 1.9% | |||||||||||
PVH Corp. | 384,700 | 49,622 | |||||||||
Tobacco 0.5% | |||||||||||
Philip Morris International, Inc. | 146,800 | 12,707 | |||||||||
Trading Companies & Distributors 4.0% | |||||||||||
HD Supply Holdings, Inc. | 1,260,800 | 57,606 | * | ||||||||
Univar, Inc. | 2,103,000 | 46,960 | * | ||||||||
104,566 | |||||||||||
Water Utilities 0.5% | |||||||||||
American Water Works Co., Inc. | 110,600 | 11,966 | |||||||||
Total Common Stocks (Cost $1,701,524) | 2,140,453 | ||||||||||
Preferred Stocks 0.8% | |||||||||||
Food Products 0.3% | |||||||||||
Sweetgreen, Inc. Ser. D | 626,667 | 7,520 | *(b)(d)(s) |
Number of Shares | Value (000's omitted) | ||||||||||
Multi-Utilities 0.5% | |||||||||||
Sempra Energy, Ser. B, 6.75% | 133,000 | $ | 14,302 | ||||||||
Total Preferred Stocks (Cost $21,000) | 21,822 | ||||||||||
Principal Amount (000's omitted) | |||||||||||
Loan Assignments(i) 1.0% | |||||||||||
Aerospace & Defense 0.0%(f) | |||||||||||
Nordam Group, Inc.,Term Loan B, (USD LIBOR + 5.50%), due 4/3/2026 | $ | 1,000 | 1,000 | (d)(g)(h) | |||||||
Leisure Goods—Activities—Movies 1.0% | |||||||||||
One Spa World LLC, Second Lien Term Loan, (USD LIBOR + 7.50%), 10.13%, due 3/18/2027 | 25,000 | 25,000 | (b)(d) | ||||||||
Total Loan Assignments (Cost $25,547) | 26,000 | ||||||||||
Corporate Bonds 6.0% | |||||||||||
Commercial Services 1.4% | |||||||||||
APX Group, Inc. | |||||||||||
8.75 due 12/1/2020%, | 16,511 | 16,202 | (a) | ||||||||
7.63 due 9/1/2023%, | 18,765 | 16,419 | |||||||||
8.50 due 11/1/2024%, | 4,660 | 4,637 | (j)(k) | ||||||||
37,258 | |||||||||||
Gas 0.7% | |||||||||||
Rockpoint Gas Storage Canada Ltd., 7.00%, due 3/31/2023 | 17,675 | 17,675 | (a)(j) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Media 0.1% | |||||||||||
Viacom, Inc., 5.88%, due 2/28/2057 | $ | 2,440 | $ | 2,458 | (t) | ||||||
Real Estate 0.2% | |||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, due 11/15/2025 | 4,380 | 4,369 | (j) | ||||||||
Retail 3.1% | |||||||||||
Argos Merger Sub, Inc., 7.13%, due 3/15/2023 | 11,160 | 9,876(j) | |||||||||
PetSmart, Inc. | |||||||||||
5.88 due 6/1/2025%, | 42,649 | 38,651 | (j) | ||||||||
8.88 due 6/1/2025%, | 36,179 | 32,154 | (a)(j) | ||||||||
80,681 | |||||||||||
Semiconductors 0.4% | |||||||||||
MagnaChip Semiconductor Corp., 6.63%, due 7/15/2021 | 11,252 | 10,915 | |||||||||
Software 0.1% | |||||||||||
Project Homestake Merger Corp., 8.88%, due 3/1/2023 | 5,945 | 4,102 | (a)(j) | ||||||||
Total Corporate Bonds (Cost $146,214) | 157,458 |
See Notes to Financial Statements
54
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Convertible Bonds 0.2% | |||||||||||
Semiconductor 0.2% | |||||||||||
MagnaChip Semiconductor SA, 5.00%, due 3/1/2021 (Cost $4,824) | $ | 4,020 | $ | 5,086 | |||||||
U.S. Treasury Obligations 2.6% | |||||||||||
U.S. Treasury Bill | |||||||||||
2.37 due 6/11/2019%, | 25,000 | 24,932 | (l) | ||||||||
2.38 due 7/5/2019%, | 25,000 | 24,892 | (l) | ||||||||
2.44 due 8/29/2019%, | 20,000 | 19,843 | (l) | ||||||||
Total U.S. Treasury Obligations (Cost $69,662) | 69,667 | ||||||||||
Number of Units | |||||||||||
Master Limited Partnerships 2.0% | |||||||||||
Capital Markets 1.3% | |||||||||||
Blackstone Group LP | 884,500 | 34,902 | |||||||||
Energy 0.7% | |||||||||||
Enterprise Products Partners LP | 622,700 | 17,828 | |||||||||
Total Master Limited Partnerships (Cost $49,031) | 52,730 | ||||||||||
Number of Shares | |||||||||||
Warrants 0.1% | |||||||||||
Diversified Consumer Services 0.1% | |||||||||||
OneSpaWorld Holdings Ltd. Expires 3/19/2024 (Cost $0) | 377,050 | 1,320 | * | ||||||||
Total Options Purchased(o) 0.1% (Cost $3,655) | 2,967 |
Number of Shares | Value (000's omitted) | ||||||||||
Short-Term Investments 3.2% | |||||||||||
Investment Companies 3.2% | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class, 2.37%(m) | 37,032,673 | $ | 37,033 | (e) | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.42%(m) | 47,373,802 | 47,374 | (n) | ||||||||
Total Short-Term Investments (Cost $84,407) | 84,407 | ||||||||||
Total Long Positions (97.4%) (Cost $2,105,864) | 2,561,910 | ||||||||||
Short Positions ((16.0)%)(p) | |||||||||||
Common Stocks Sold Short (13.8)% | |||||||||||
Auto Components (0.1)% | |||||||||||
Visteon Corp. | (51,500 | ) | (3,400 | )* | |||||||
Automobiles (0.3)% | |||||||||||
Harley- Davidson, Inc. | (158,856 | ) | (5,914 | ) | |||||||
Tesla, Inc. | (8,900 | ) | (2,125 | )* | |||||||
(8,039 | ) | ||||||||||
Banks (0.4)% | |||||||||||
BankUnited, Inc. | (254,100 | ) | (9,295 | ) | |||||||
Beverages (0.1)% | |||||||||||
National Beverage Corp. | (62,600 | ) | (3,506 | ) | |||||||
Capital Markets (1.5)% | |||||||||||
FactSet Research Systems, Inc. | (41,700 | ) | (11,504 | ) | |||||||
Federated Investors, Inc. Class B | (238,500 | ) | (7,329 | ) |
Number of Shares | Value (000's omitted) | ||||||||||
Focus Financial Partners, Inc. Class A | (247,400 | ) | $ | (9,278 | )* | ||||||
Waddell & Reed Financial, Inc. Class A | (588,000 | ) | (11,013 | ) | |||||||
(39,124 | ) | ||||||||||
Chemicals (0.3)% | |||||||||||
Nutrien Ltd. | (150,000 | ) | (8,127 | ) | |||||||
Containers & Packaging (0.5)% | |||||||||||
AptarGroup, Inc. | (130,400 | ) | (14,506 | ) | |||||||
Diversified Telecommunication Services (0.1)% | |||||||||||
CenturyLink, Inc. | (175,000 | ) | (1,998 | ) | |||||||
Electric Utilities (0.3)% | |||||||||||
Southern Co. | (125,900 | ) | (6,700 | ) | |||||||
Energy Equipment & Services (0.4)% | |||||||||||
Core Laboratories NV | (174,700 | ) | (11,074 | ) | |||||||
Entertainment (0.2)% | |||||||||||
Electronic Arts, Inc. | (63,200 | ) | (5,982 | )* | |||||||
Equity Real Estate Investment Trusts (0.5)% | |||||||||||
Lamar Advertising Co. Class A | (154,000 | ) | (12,731 | ) | |||||||
Food & Staples Retailing (0.4)% | |||||||||||
BJ's Wholesale Club Holdings, Inc. | (362,400 | ) | (10,274 | )* | |||||||
Food Products (0.2)% | |||||||||||
Kellogg Co. | (86,000 | ) | (5,186 | ) | |||||||
Hotels, Restaurants & Leisure (0.7)% | |||||||||||
Dine Brands Global, Inc. | (25,000 | ) | (2,216 | ) | |||||||
Shake Shack, Inc. Class A | (159,100 | ) | (9,753 | )* | |||||||
Texas Roadhouse, Inc. | (96,700 | ) | (5,223 | ) | |||||||
(17,192 | ) | ||||||||||
Household Durables (0.3)% | |||||||||||
PulteGroup, Inc. | (281,500 | ) | (8,856 | ) |
See Notes to Financial Statements
55
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Insurance (0.4)% | |||||||||||
Aegon NV | (2,221,000 | ) | $ | (11,598 | ) | ||||||
IT Services (0.6)% | |||||||||||
Western Union Co. | (880,123 | ) | (17,110 | ) | |||||||
Machinery (0.7)% | |||||||||||
Illinois Tool Works, Inc. | (45,000 | ) | (7,003 | ) | |||||||
PACCAR, Inc. | (157,500 | ) | (11,288 | ) | |||||||
(18,291 | ) | ||||||||||
Marine (0.4)% | |||||||||||
Kirby Corp. | (121,400 | ) | (9,921 | )* | |||||||
Media (1.0)% | |||||||||||
Discovery, Inc. Class A | (407,000 | ) | (12,576 | )* | |||||||
New Media Investment Group, Inc. | (303,000 | ) | (3,239 | ) | |||||||
Omnicom Group, Inc. | (120,800 | ) | (9,668 | ) | |||||||
(25,483 | ) | ||||||||||
Multi-Utilities (0.3)% | |||||||||||
Consolidated Edison, Inc. | (100,000 | ) | (8,616 | ) | |||||||
Multiline Retail (0.4)% | |||||||||||
Big Lots, Inc. | (199,200 | ) | (7,402 | ) | |||||||
Ollie's Bargain Outlet Holdings, Inc. | (27,400 | ) | (2,621 | )* | |||||||
(10,023 | ) | ||||||||||
Oil, Gas & Consumable Fuels (1.0)% | |||||||||||
Antero Resources Corp. | (525,200 | ) | (3,808 | )* | |||||||
CNX Resources Corp. | (598,800 | ) | (5,365 | )* | |||||||
Inter Pipeline Ltd. | (784,900 | ) | (12,784 | ) | |||||||
Southwestern Energy Co. | (931,400 | ) | (3,679 | )* | |||||||
(25,636 | ) | ||||||||||
Semiconductors & Semiconductor Equipment (0.3)% | |||||||||||
NVIDIA Corp. | (51,000 | ) | (9,231 | ) | |||||||
Software (0.7)% | |||||||||||
Autodesk, Inc. | (28,000 | ) | (4,990 | )* | |||||||
ServiceNow, Inc. | (28,100 | ) | (7,629 | )* | |||||||
Workday, Inc. Class A | (24,500 | ) | (5,038 | )* | |||||||
(17,657 | ) |
Number of Shares | Value (000's omitted) | ||||||||||
Specialty Retail (1.3)% | |||||||||||
Floor & Decor Holdings, Inc. Class A | (165,700 | ) | $ | (7,957 | )* | ||||||
Penske Automotive Group, Inc. | (100,000 | ) | (4,592 | ) | |||||||
Ross Stores, Inc. | (79,900 | ) | (7,803 | ) | |||||||
Sally Beauty Holdings, Inc. | (729,000 | ) | (12,903 | )* | |||||||
(33,255 | ) | ||||||||||
Trading Companies & Distributors (0.4)% | |||||||||||
Fastenal Co. | (152,500 | ) | (10,759 | ) | |||||||
Total Common Stocks Sold Short (Proceeds $(350,624)) | (363,570 | ) | |||||||||
Principal Amount (000's omitted) | |||||||||||
Corporate Bonds Sold Short (1.7)% | |||||||||||
Household Products—Wares (0.1)% | |||||||||||
Kronos Acquisition Holdings, Inc., 9.00%, due 8/15/2023 | $ | (4,000 | ) | (3,590 | )(j) | ||||||
Media (0.4)% | |||||||||||
Entercom Media Corp., 7.25%, due 11/1/2024 | (9,500 | ) | (9,904 | )(j) | |||||||
Miscellaneous Manufacturer (0.3)% | |||||||||||
General Electric Co., Ser. D, 5.00%, due 1/21/2021 | (7,000 | ) | (6,650 | )(q)(t) | |||||||
Oil & Gas Services (0.2)% | |||||||||||
Hi-Crush Partners LP, 9.50%, due 8/1/2026 | (8,000 | ) | (6,320 | )(j) | |||||||
Retail (0.7)% | |||||||||||
Bed Bath & Beyond, Inc., 3.75%, due 8/1/2024 | (3,000 | ) | (2,794 | ) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
GameStop Corp., 03/21 6.75, 6.75%, due 3/15/2021 | $ | (3,000 | ) | $ | (3,045 | )(j) | |||||
JC Penney Corp., Inc. 5.88%, due 7/1/2023 | (2,000) | (1,730 | )(j) | ||||||||
8.63 due 3/15/2025%, | (2,000 | ) | (1,250 | )(j) | |||||||
Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/1/2025 | (10,000 | ) | (10,025 | ) | |||||||
(18,844 | ) | ||||||||||
Total Corporate Bonds Sold Short (Proceeds $(44,870)) | (45,308 | ) | |||||||||
Number of Shares | |||||||||||
Exchange-Traded Funds Sold Short (0.2)% | |||||||||||
Materials Select Sector SPDR Fund (Proceeds $(4,826)) | (99,000 | ) | (5,687 | ) | |||||||
Number of Units | |||||||||||
Master Limited Partnerships Sold Short (0.3)% | |||||||||||
Capital Markets (0.3)% | |||||||||||
Carlyle Group LP (Proceeds $(7,295)) | (434,400 | ) | (9,101 | ) | |||||||
Total Short Positions (Proceeds $(407,615)) | (423,666 | ) | |||||||||
Total Investments 81.4% (Cost $1,698,249) | 2,138,244 | ||||||||||
Other Assets Less Liabilities 18.6% | 489,992 | (r) | |||||||||
Net Assets 100.0% | $ | 2,628,236 |
See Notes to Financial Statements
56
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
* Non-income producing security.
(a) The security or a portion of this security is on loan at April 30, 2019. Total value of all such securities at April 30, 2019 amounted to approximately $46,293,000 for the Fund. (see Note A of the Notes to Financial Statements).
(b) Security fair valued as of April 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at April 30, 2019 amounted to approximately $102,177,000, which represents 3.9% of net assets of the Fund.
(c) All or a portion of the security is pledged as collateral for futures and/or options written.
(d) Value determined using significant unobservable inputs.
(e) All or a portion of this security is segregated in connection with obligations for when-issued securities, delayed deliver securities, securities sold short, options written, swaps and/or futures with a total value of approximately $175,140,000.
(f) Represents less than 0.05% of net assets of the Fund.
(g) All or a portion of this security was purchased on a delayed delivery basis.
(h) All or a portion of this security had not settled as of April 30, 2019 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
(i) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2019 and changes periodically.
(j) 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, 2019, these securities amounted to approximately $111,464,000 of long positions and $(25,839,000) of short positions, which represents 4.2% and (1.0)%, respectively, of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
(k) When-issued security. Total value of all such securities at April 30, 2019, amounted to approximately $4,637,000, which represents 0.2% of net assets of the Fund.
(l) Rate shown was the discount rate at the date of purchase.
(m) Represents 7-day effective yield as of April 30, 2019.
(n) Represents investment of cash collateral received from securities lending.
(o) See "Purchased option contracts" under Derivative Instruments.
(p) At April 30, 2019 the Fund had approximately $497,739,000 deposited, in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
(q) Perpetual Bond Security. The rate reflected was the rate in effect on April 30, 2019. The maturity date reflects the next call date.
(r) Includes the impact of the Fund's open positions in derivatives at April 30, 2019.
See Notes to Financial Statements
57
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
(s) These securities have been deemed by the investment manager to be illiquid, and are subject to restrictions on resale.
At April 30, 2019, these securities amounted to approximately $77,177,000, which represents 2.9% of net assets of the Fund.
Restricted Security (000's omitted) | Acquisition Date(s) | Acquisition Cost | Acquisition Cost Percentage of Net Assets | Value as of 4/30/2019 | Fair Value Percentage of Net Assets as of 4/30/2019 | ||||||||||||||||||
LegalZoom.com, Inc. | 8/21/2018 | $ | 21,260 | 0.6 | % | $ | 21,260 | 0.8 | % | ||||||||||||||
Moderna, Inc. | 8/10/2016-1/30/2018 | 13,320 | 0.5 | % | 17,452 | 0.6 | % | ||||||||||||||||
OneSpaWorld Holdings Ltd. | 3/18/2019 | 21,682 | 0.8 | % | 28,642 | 1.1 | % | ||||||||||||||||
Sweetgreen, Inc. (Ser. D Preferred Shares) | 11/29/2018 | 7,520 | 0.3 | % | 7,520 | 0.3 | % | ||||||||||||||||
Venture Global LNG, Inc. | 11/20/2018 | 2,303 | 0.1 | % | 2,303 | 0.1 | % | ||||||||||||||||
Total | $ | 66,085 | 2.3 | % | $ | 77,177 | 2.9 | % |
(t) Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.
Derivative Instruments
Futures contracts ("futures")
At April 30, 2019, 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) | |||||||||||||||
6/2019 | 722 | NASDAQ 100 E-Mini Index | $ | (112,632,000 | ) | $ | (7,291,985 | ) | |||||||||||
6/2019 | 563 | Russell 2000 Mini Index | (44,876,730 | ) | (881,095 | ) | |||||||||||||
6/2019 | 1,929 | S&P 500 E-Mini Index | (284,382,825 | ) | (12,446,873 | ) | |||||||||||||
6/2019 | 50 | U.S. Treasury Long Bond | (7,373,438 | ) | (66,797 | ) | |||||||||||||
Total Futures | $ | (449,264,993 | ) | $ | (20,686,750 | ) |
At April 30, 2019, the Fund had $40,211,683 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2019, the average notional value of futures for the Fund was $(434,819,036) for short positions.
See Notes to Financial Statements
58
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Total return basket swap contracts ("total return basket swaps")
At April 30, 2019, the Fund had outstanding total return basket swaps(a) as follows:
Over-the-counter total return basket swaps — Short(b)
Counterparty | Effective Variable Rate(c) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Maturity Date(s) | Value | |||||||||||||||||||||
JPM | 1.95 | % | (0.65 | )% | 3-month USD LIBOR | 3M/T | 5/4/2020 | $ | (4,740,729 | ) |
(a) The following table represents required component disclosures associated with the total return basket swaps:
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | |||||||||||||||
Short Positions(b) | |||||||||||||||||||
JPNBGCND | |||||||||||||||||||
Amazon.com Inc. | (4,090 | ) | $ | (7,564,834 | ) | $ | (919,208 | ) | 19.2 | % | |||||||||
Home Depot Inc. | (8,949 | ) | (1,750,362 | ) | (212,688 | ) | 4.4 | % | |||||||||||
Toyota Motor Corp. | (25,758 | ) | (1,534,070 | ) | (186,406 | ) | 3.9 | % | |||||||||||
McDonald's Corp. | (7,809 | ) | (1,481,291 | ) | (179,993 | ) | 3.8 | % | |||||||||||
NIKE Inc. | (13,420 | ) | (1,131,698 | ) | (137,513 | ) | 2.9 | % | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE | (2,934 | ) | (1,103,144 | ) | (134,044 | ) | 2.8 | % | |||||||||||
Starbucks Corp. | (13,524 | ) | (1,008,656 | ) | (122,563 | ) | 2.6 | % | |||||||||||
Lowe's Cos. Inc. | (8,539 | ) | (927,643 | ) | (112,719 | ) | 2.4 | % | |||||||||||
Booking Holdings Inc. | (502 | ) | (893,527 | ) | (108,573 | ) | 2.3 | % | |||||||||||
Daimler AG | (11,897 | ) | (747,523 | ) | (90,832 | ) | 1.9 | % | |||||||||||
TJX Cos. Inc. | (14,035 | ) | (739,523 | ) | (89,860 | ) | 1.9 | % | |||||||||||
Sony Corp. | (13,847 | ) | (622,469 | ) | (75,637 | ) | 1.6 | % | |||||||||||
General Motors Co. | (15,379 | ) | (575,143 | ) | (69,886 | ) | 1.5 | % | |||||||||||
Compass Group PLC | (25,373 | ) | (553,793 | ) | (67,292 | ) | 1.4 | % | |||||||||||
Kering SA | (917 | ) | (520,387 | ) | (63,233 | ) | 1.3 | % | |||||||||||
Honda Motor Co. Ltd. | (19,340 | ) | (517,287 | ) | (62,856 | ) | 1.3 | % | |||||||||||
adidas AG | (2,010 | ) | (495,999 | ) | (60,269 | ) | 1.3 | % | |||||||||||
Ford Motor Co. | (46,784 | ) | (469,413 | ) | (57,039 | ) | 1.2 | % | |||||||||||
Cie Financiere Richemont SA | (6,500 | ) | (456,414 | ) | (55,459 | ) | 1.2 | % | |||||||||||
Ross Stores Inc. | (4,783 | ) | (448,460 | ) | (54,493 | ) | 1.1 | % | |||||||||||
eBay Inc. | (11,505 | ) | (428,068 | ) | (52,015 | ) | 1.1 | % | |||||||||||
Marriott International Inc. | (3,245 | ) | (425,057 | ) | (51,649 | ) | 1.1 | % | |||||||||||
Target Corp. | (5,589 | ) | (415,460 | ) | (50,483 | ) | 1.1 | % | |||||||||||
Volkswagen AG | (2,477 | ) | (413,680 | ) | (50,267 | ) | 1.0 | % | |||||||||||
Yum! Brands Inc. | (4,114 | ) | (412,356 | ) | (50,106 | ) | 1.0 | % | |||||||||||
Industria de Diseno Textil SA | (13,758 | ) | (399,610 | ) | (48,557 | ) | 1.0 | % | |||||||||||
Bayerische Motoren Werke AG | (4,866 | ) | (397,744 | ) | (48,330 | ) | 1.0 | % | |||||||||||
Fast Retailing Co. Ltd. | (684 | ) | (379,386 | ) | (46,100 | ) | 1.0 | % | |||||||||||
VF Corp. | (4,160 | ) | (377,080 | ) | (45,819 | ) | 1.0 | % | |||||||||||
Michelin | (3,027 | ) | (375,340 | ) | (45,608 | ) | 0.9 | % | |||||||||||
O'Reilly Automotive Inc. | (992 | ) | (360,541 | ) | (43,810 | ) | 0.9 | % |
See Notes to Financial Statements
59
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | |||||||||||||||
Short Positions(b) | |||||||||||||||||||
JPNBGCND | |||||||||||||||||||
Aptiv PLC | (4,331 | ) | $ | (356,370 | ) | $ | (43,303 | ) | 0.9 | % | |||||||||
Dollar General Corp. | (2,840 | ) | (343,814 | ) | (41,777 | ) | 0.9 | % | |||||||||||
AutoZone Inc. | (346 | ) | (341,435 | ) | (41,488 | ) | 0.9 | % | |||||||||||
Carnival Corp. | (6,437 | ) | (339,057 | ) | (41,199 | ) | 0.9 | % | |||||||||||
Oriental Land Co Ltd/Japan | (3,093 | ) | (327,346 | ) | (39,776 | ) | 0.8 | % | |||||||||||
Hermes International | (468 | ) | (316,214 | ) | (38,423 | ) | 0.8 | % | |||||||||||
Hilton Worldwide Holdings Inc. | (3,766 | ) | (314,542 | ) | (38,220 | ) | 0.8 | % | |||||||||||
Dollar Tree Inc. | (2,741 | ) | (292,823 | ) | (35,581 | ) | 0.7 | % | |||||||||||
Panasonic Corp. | (33,187 | ) | (292,248 | ) | (35,511 | ) | 0.7 | % | |||||||||||
Bridgestone Corp. | (7,529 | ) | (286,124 | ) | (34,767 | ) | 0.7 | % | |||||||||||
Magna International Inc. | (5,287 | ) | (282,268 | ) | (34,299 | ) | 0.7 | % | |||||||||||
Denso Corp | (6,580 | ) | (275,444 | ) | (33,469 | ) | 0.7 | % | |||||||||||
Royal Caribbean Cruises Ltd. | (2,271 | ) | (263,755 | ) | (32,049 | ) | 0.7 | % | |||||||||||
Chipotle Mexican Grill Inc. | (399 | ) | (263,451 | ) | (32,012 | ) | 0.7 | % | |||||||||||
Ulta Beauty Inc. | (773 | ) | (259,016 | ) | (31,473 | ) | 0.7 | % | |||||||||||
Taylor Wimpey PLC | (109,984 | ) | (249,832 | ) | (30,357 | ) | 0.6 | % | |||||||||||
Continental AG | (1,558 | ) | (247,291 | ) | (30,048 | ) | 0.6 | % | |||||||||||
Toyota Industries Corp. | (4,534 | ) | (246,352 | ) | (29,934 | ) | 0.6 | % | |||||||||||
Subaru Corp. | (10,476 | ) | (245,806 | ) | (29,868 | ) | 0.6 | % | |||||||||||
Restaurant Brands International Inc. | (3,838 | ) | (240,276 | ) | (29,196 | ) | 0.6 | % | |||||||||||
Best Buy Co. Inc. | (3,325 | ) | (237,570 | ) | (28,867 | ) | 0.6 | % | |||||||||||
DR Horton Inc. | (5,530 | ) | (235,251 | ) | (28,586 | ) | 0.6 | % | |||||||||||
Lennar Corp. | (4,637 | ) | (231,655 | ) | (28,149 | ) | 0.6 | % | |||||||||||
Suzuki Motor Corp. | (5,283 | ) | (230,779 | ) | (28,042 | ) | 0.6 | % | |||||||||||
Genuine Parts Co. | (2,338 | ) | (230,194 | ) | (27,971 | ) | 0.6 | % | |||||||||||
Sekisui House Ltd. | (14,626 | ) | (226,069 | ) | (27,470 | ) | 0.6 | % | |||||||||||
Expedia Group Inc. | (1,798 | ) | (224,151 | ) | (27,237 | ) | 0.6 | % | |||||||||||
Whitbread PLC | (3,997 | ) | (223,238 | ) | (27,126 | ) | 0.6 | % | |||||||||||
Persimmon PLC | (7,930 | ) | (222,034 | ) | (26,979 | ) | 0.6 | % | |||||||||||
Swatch Group AG | (751 | ) | (220,275 | ) | (26,766 | ) | 0.6 | % | |||||||||||
Bandai Namco Holdings Inc. | (4,768 | ) | (217,954 | ) | (26,484 | ) | 0.5 | % | |||||||||||
InterContinental Hotels Group PLC | (3,487 | ) | (216,914 | ) | (26,357 | ) | 0.5 | % | |||||||||||
Hasbro Inc. | (2,144 | ) | (209,719 | ) | (25,483 | ) | 0.5 | % | |||||||||||
Hennes & Mauritz AB | (12,389 | ) | (207,541 | ) | (25,218 | ) | 0.5 | % | |||||||||||
CarMax Inc. | (2,742 | ) | (204,991 | ) | (24,909 | ) | 0.5 | % | |||||||||||
Tiffany & Co. | (1,936 | ) | (200,410 | ) | (24,352 | ) | 0.5 | % | |||||||||||
MGM Resorts International | (7,700 | ) | (196,889 | ) | (23,924 | ) | 0.5 | % | |||||||||||
Advance Auto Parts Inc. | (1,219 | ) | (194,622 | ) | (23,649 | ) | 0.5 | % | |||||||||||
Nissan Motor Co. Ltd. | (25,174 | ) | (193,959 | ) | (23,568 | ) | 0.5 | % | |||||||||||
Sumitomo Electric Industries Ltd. | (15,139 | ) | (192,537 | ) | (23,395 | ) | 0.5 | % | |||||||||||
Fiat Chrysler Automobiles NV | (11,430 | ) | (169,115 | ) | (20,549 | ) | 0.4 | % | |||||||||||
Canadian Tire Corp Ltd. | (1,574 | ) | (166,124 | ) | (20,186 | ) | 0.4 | % | |||||||||||
LKQ Corp. | (5,661 | ) | (163,610 | ) | (19,880 | ) | 0.4 | % |
See Notes to Financial Statements
60
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | |||||||||||||||
Short Positions(b) | |||||||||||||||||||
JPNBGCND | |||||||||||||||||||
Ralph Lauren Corp. | (1,288 | ) | $ | (162,786 | ) | $ | (19,780 | ) | 0.4 | % | |||||||||
Next PLC | (2,191 | ) | (158,232 | ) | (19,227 | ) | 0.4 | % | |||||||||||
Nokian Renkaat OYJ | (4,784 | ) | (153,638 | ) | (18,669 | ) | 0.4 | % | |||||||||||
Macy's Inc. | (5,174 | ) | (116,945 | ) | (14,210 | ) | 0.3 | % | |||||||||||
Newell Brands Inc. | (8,388 | ) | (115,809 | ) | (14,072 | ) | 0.3 | % | |||||||||||
L Brands Inc. | (4,352 | ) | (107,138 | ) | (13,018 | ) | 0.3 | % | |||||||||||
$ | (39,339,571 | ) | $ | (4,780,180 | ) | ||||||||||||||
Accrued Net Interest Receivable/(Payable) | 39,451 | ||||||||||||||||||
Total Return Basket Swaps, at Value | $ | (4,740,729 | ) |
(b) The Fund receives a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and pays the total return on the reference entity. The cash flows may be denominated in various foreign currencies based on the local currencies of the positions within the swaps.
(c) Effective rate at April 30, 2019.
Total return swap contracts ("total return swaps")
At April 30, 2019, the Fund had outstanding over-the-counter total return swaps as follows:
Over-the-counter total return swaps — Short(a)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
CITI | Dow Jones Industrial Average Index | USD | (12,128,222 | ) | 5/15/2019 | 2.25 | % | (0.35 | )% | 3-month USD LIBOR | 3M/3M | $ | (250,350 | ) | $ | 12,660 | $ | (237,690 | ) | ||||||||||||||||||||||||
GSI | iShares S&P 500 Value ETF | USD | (37,772,238 | ) | 11/29/2019 | 2.82 | % | 0.35 | % | 1-month USD LIBOR | 1M/T | (3,500,824 | ) | 42,917 | (3,457,907 | )(c) | |||||||||||||||||||||||||||
GSI | Russell Mid-Cap Index | USD | (42,209,860 | ) | 7/29/2020 | 2.17 | % | (0.30 | )% | 1-month USD LIBOR | 1M/T | (4,210,810 | ) | 43,044 | (4,167,766 | ) | |||||||||||||||||||||||||||
CITI | S&P 500 Growth Index | USD | (105,649,354 | ) | 5/13/2019 | 2.25 | % | (0.35 | )% | 3-month USD LIBOR | 3M/3M | (1,676,062 | ) | 97,519 | (1,578,543 | )(d) | |||||||||||||||||||||||||||
CITI | S&P 500 Growth Index | USD | (38,268,848 | ) | 5/13/2019 | 2.25 | % | (0.35 | )% | 3-month USD LIBOR | 3M/3M | (607,112 | ) | 35,324 | (571,788 | )(e) |
See Notes to Financial Statements
61
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
CITI | S&P Regional Banks Select Industry Index | USD | (1,500,659 | ) | 9/25/2020 | 2.69 | % | 0.09 | % | 3-month USD LIBOR | 3M/3M | $ | (26,597 | ) | $ | 1,535 | (25,062 | ) | |||||||||||||||||||||||||
CITI | S&P Regional Banks Select Industry Index | USD | (7,278,197 | ) | 9/25/2020 | 2.69 | % | 0.09 | % | 3-month USD LIBOR | 3M/3M | (846,108 | ) | 8,645 | (837,463 | ) | |||||||||||||||||||||||||||
CITI | S&P 500 Growth Index | USD | (13,439,655 | ) | 5/13/2019 | 2.25 | % | (0.35 | )% | 3-month USD LIBOR | 3M/3M | (213,212 | ) | 12,405 | (200,807 | ) | |||||||||||||||||||||||||||
CITI | SPDR S&P Retail ETF | USD | (18,500,400 | ) | 7/23/2019 | 1.07 | % | (1.40 | )% | 1-month USD LIBOR | 1M/1M | (166,050 | ) | 8,740 | $ | (157,310 | ) | ||||||||||||||||||||||||||
CITI | Trupanion, Inc. | USD | (1,180,800 | ) | 3/9/2020 | (2.53 | )% | (5.00 | )% | 1-month USD LIBOR | 1M/T | (74,941 | ) | (6,002 | ) | (80,943 | ) | ||||||||||||||||||||||||||
CITI | Trupanion, Inc. | USD | (808,356 | ) | 3/9/2020 | (3.53 | )% | (6.00 | )% | 1-month USD LIBOR | 1M/T | 11,928 | (1,526 | ) | 10,402 | ||||||||||||||||||||||||||||
CITI | Trupanion, Inc. | USD | (656,000 | ) | 3/9/2020 | (3.53 | )% | (6.00 | )% | 1-month USD LIBOR | 1M/T | 64,372 | (1,129 | ) | 63,243 | ||||||||||||||||||||||||||||
CITI | Trupanion, Inc. | USD | (918,400 | ) | 3/9/2020 | (0.88 | )% | (3.35 | )% | 1-month USD LIBOR | 1M/T | (136,648 | ) | (362 | ) | (137,010 | ) | ||||||||||||||||||||||||||
CITI | Trupanion, Inc. | USD | (1,195,724 | ) | 3/9/2020 | (0.88 | )% | (3.35 | )% | 1-month USD LIBOR | 1M/T | (154,638 | ) | (506 | ) | (155,144 | ) | ||||||||||||||||||||||||||
CITI | Utilities Select Sector SPDR Fund | USD | (16,673,640 | ) | 9/19/2019 | 0.72 | % | (1.75 | )% | 1-month USD LIBOR | 1M/T | (1,564,840 | ) | 4,853 | (1,559,987 | ) | |||||||||||||||||||||||||||
Total | $ | (13,351,892 | ) | $ | 258,117 | $ | (13,093,775 | ) |
(a) The Fund receives a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and pays the total return on the reference entity.
(b) Effective rate at April 30, 2019.
See Notes to Financial Statements
62
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
(c) The following table represents required component disclosures associated with the S&P 500 Value Index swap as of April 30, 2019:
Description | Index Shares | Component Weighting | Fund Value | ||||||||||||
Apple Inc. | (516 | ) | 0.7 | % | $ | (271,134 | ) | ||||||||
JPMorgan Chase & Co. | (218 | ) | 0.7 | % | (114,611 | ) | |||||||||
Bank of America Corp | (158 | ) | 0.7 | % | (82,854 | ) | |||||||||
Chevron Corporation | (131 | ) | 0.6 | % | (68,808 | ) | |||||||||
AT&T Inc. | (129 | ) | 0.6 | % | (68,026 | ) | |||||||||
UnitedHealth Group Incorporated | (128 | ) | 0.6 | % | (67,456 | ) | |||||||||
Berkshire Hathaway Inc. Class B | (126 | ) | 0.6 | % | (66,096 | ) | |||||||||
Wells Fargo & Company | (114 | ) | 0.6 | % | (59,787 | ) | |||||||||
Citigroup Inc. | (95 | ) | 0.6 | % | (50,146 | ) | |||||||||
Johnson & Johnson | (89 | ) | 0.6 | % | (46,503 | ) | |||||||||
Exxon Mobil Corporation | (86 | ) | 0.6 | % | (45,143 | ) | |||||||||
Walmart Inc. | (84 | ) | 0.6 | % | (44,158 | ) | |||||||||
International Business Machines Corporation | (72 | ) | 0.5 | % | (37,650 | ) | |||||||||
Home Depot, Inc. | (71 | ) | 0.6 | % | (37,476 | ) | |||||||||
Procter & Gamble Company | (67 | ) | 0.5 | % | (35,351 | ) | |||||||||
Costco Wholesale Corporation | (62 | ) | 0.5 | % | (32,622 | ) | |||||||||
Comcast Corporation Class A | (61 | ) | 0.5 | % | (32,023 | ) | |||||||||
Walt Disney Company | (60 | ) | 0.5 | % | (31,744 | ) | |||||||||
Altria Group Inc. | (58 | ) | 0.6 | % | (30,717 | ) | |||||||||
Coca-Cola Company | (52 | ) | 0.5 | % | (27,331 | ) | |||||||||
General Electric Company | (51 | ) | 0.5 | % | (26,703 | ) | |||||||||
DowDuPont Inc. | (50 | ) | 0.5 | % | (26,150 | ) | |||||||||
Gilead Sciences, Inc. | (48 | ) | 0.5 | % | (25,023 | ) | |||||||||
Caterpillar Inc. | (46 | ) | 0.5 | % | (24,203 | ) | |||||||||
Intel Corporation | (43 | ) | 0.5 | % | (22,846 | ) | |||||||||
Mondelez International, Inc. Class A | (42 | ) | 0.5 | % | (22,150 | ) | |||||||||
CVS Health Corporation | (40 | ) | 0.4 | % | (21,275 | ) | |||||||||
Goldman Sachs Group, Inc. | (40 | ) | 0.6 | % | (21,273 | ) | |||||||||
Oracle Corporation | (40 | ) | 0.7 | % | (21,263 | ) | |||||||||
PepsiCo, Inc. | (40 | ) | 0.7 | % | (21,159 | ) | |||||||||
Anthem, Inc. | (39 | ) | 0.4 | % | (20,391 | ) | |||||||||
Chubb Limited | (38 | ) | 0.6 | % | (20,075 | ) | |||||||||
Duke Energy Corporation | (38 | ) | 0.6 | % | (19,981 | ) | |||||||||
Philip Morris International Inc. | (38 | ) | 0.7 | % | (19,888 | ) | |||||||||
CME Group Inc. Class A | (37 | ) | 0.6 | % | (19,306 | ) | |||||||||
Honeywell International Inc. | (36 | ) | 0.6 | % | (19,092 | ) | |||||||||
Accenture Plc Class A | (36 | ) | 0.6 | % | (18,966 | ) | |||||||||
Morgan Stanley | (36 | ) | 0.6 | % | (18,900 | ) | |||||||||
PNC Financial Services Group, Inc. | (36 | ) | 0.5 | % | (18,735 | ) | |||||||||
United Technologies Corporation | (35 | ) | 0.5 | % | (18,131 | ) | |||||||||
Schlumberger NV | (34 | ) | 0.6 | % | (17,842 | ) | |||||||||
BlackRock, Inc. | (34 | ) | 0.5 | % | (17,810 | ) | |||||||||
AbbVie, Inc. | (32 | ) | 0.6 | % | (16,955 | ) | |||||||||
EOG Resources, Inc. | (32 | ) | 0.5 | % | (16,805 | ) |
See Notes to Financial Statements
63
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Description | Index Shares | Component Weighting | Fund Value | ||||||||||||
Southern Company | (32 | ) | 0.6 | % | $ | (16,607 | ) | ||||||||
NIKE, Inc. Class B | (31 | ) | 0.5 | % | (16,340 | ) | |||||||||
3M Company | (31 | ) | 0.6 | % | (16,128 | ) | |||||||||
Deere & Company | (30 | ) | 0.5 | % | (15,911 | ) | |||||||||
NVIDIA Corporation | (30 | ) | 0.5 | % | (15,550 | ) | |||||||||
Walgreens Boots Alliance Inc. | (25 | ) | 0.5 | % | (12,958 | ) |
(d) The following table represents required component disclosures associated with the S&P 500 Growth Index swap as of April 30, 2019:
Description | Index Shares | Component Weighting | Fund Value | ||||||||||||
Microsoft Corporation | (1,775 | ) | 7.7 | % | $ | (120,854 | ) | ||||||||
Amazon.com, Inc. | (1,408 | ) | 6.1 | % | (95,876 | ) | |||||||||
Facebook, Inc. Class A | (817 | ) | 3.5 | % | (55,647 | ) | |||||||||
Alphabet Inc. Class C | (647 | ) | 2.8 | % | (44,061 | ) | |||||||||
Alphabet Inc. Class A | (636 | ) | 2.7 | % | (43,291 | ) | |||||||||
Visa Inc. Class A | (510 | ) | 2.2 | % | (34,710 | ) | |||||||||
Cisco Systems, Inc. | (436 | ) | 1.9 | % | (29,706 | ) | |||||||||
Verizon Communications Inc. | (419 | ) | 1.8 | % | (28,502 | ) | |||||||||
Mastercard Incorporated Class A | (407 | ) | 1.8 | % | (27,680 | ) | |||||||||
Pfizer Inc. | (399 | ) | 1.7 | % | (27,193 | ) | |||||||||
Johnson & Johnson | (393 | ) | 1.7 | % | (26,759 | ) | |||||||||
Merck & Co., Inc. | (360 | ) | 1.6 | % | (24,505 | ) | |||||||||
Berkshire Hathaway Inc. Class B | (358 | ) | 1.5 | % | (24,397 | ) | |||||||||
Boeing Company | (352 | ) | 1.5 | % | (23,936 | ) | |||||||||
Exxon Mobil Corporation | (338 | ) | 1.5 | % | (22,975 | ) | |||||||||
Netflix, Inc. | (287 | ) | 1.2 | % | (19,513 | ) | |||||||||
Intel Corporation | (272 | ) | 1.2 | % | (18,548 | ) | |||||||||
McDonald's Corporation | (268 | ) | 1.2 | % | (18,237 | ) | |||||||||
Procter & Gamble Company | (264 | ) | 1.1 | % | (17,991 | ) | |||||||||
Adobe Inc. | (250 | ) | 1.1 | % | (17,016 | ) | |||||||||
Abbott Laboratories | (248 | ) | 1.1 | % | (16,854 | ) | |||||||||
Walt Disney Company | (237 | ) | 1.0 | % | (16,155 | ) | |||||||||
PayPal Holdings Inc. | (234 | ) | 1.0 | % | (15,958 | ) | |||||||||
Union Pacific Corporation | (227 | ) | 1.0 | % | (15,436 | ) | |||||||||
salesforce.com, inc. | (224 | ) | 1.0 | % | (15,257 | ) | |||||||||
Broadcom Inc. | (223 | ) | 1.0 | % | (15,212 | ) | |||||||||
Medtronic plc | (211 | ) | 0.9 | % | (14,366 | ) | |||||||||
Thermo Fisher Scientific Inc. | (198 | ) | 0.9 | % | (13,472 | ) | |||||||||
PepsiCo, Inc. | (194 | ) | 0.8 | % | (13,234 | ) | |||||||||
Home Depot, Inc. | (188 | ) | 0.8 | % | (12,766 | ) | |||||||||
Eli Lilly and Company | (179 | ) | 0.8 | % | (12,192 | ) | |||||||||
Coca-Cola Company | (174 | ) | 0.8 | % | (11,840 | ) | |||||||||
NextEra Energy, Inc. | (165 | ) | 0.7 | % | (11,214 | ) | |||||||||
Comcast Corporation Class A | (160 | ) | 0.7 | % | (10,908 | ) | |||||||||
American Tower Corporation | (153 | ) | 0.7 | % | (10,391 | ) | |||||||||
U.S. Bancorp | (142 | ) | 0.6 | % | (9,676 | ) |
See Notes to Financial Statements
64
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Description | Index Shares | Component Weighting | Fund Value | ||||||||||||
Amgen Inc. | (130 | ) | 0.6 | % | $ | (8,883 | ) | ||||||||
Texas Instruments Incorporated | (129 | ) | 0.6 | % | (8,803 | ) | |||||||||
Automatic Data Processing, Inc. | (127 | ) | 0.5 | % | (8,638 | ) | |||||||||
ConocoPhillips | (127 | ) | 0.5 | % | (8,636 | ) | |||||||||
Oracle Corporation | (125 | ) | 0.5 | % | (8,503 | ) | |||||||||
Philip Morris International Inc. | (122 | ) | 0.5 | % | (8,277 | ) | |||||||||
TJX Companies Inc. | (120 | ) | 0.5 | % | (8,192 | ) | |||||||||
Linde plc | (118 | ) | 0.5 | % | (8,027 | ) | |||||||||
Intuit Inc. | (115 | ) | 0.5 | % | (7,845 | ) | |||||||||
Honeywell International Inc. | (112 | ) | 0.5 | % | (7,634 | ) | |||||||||
CSX Corporation | (109 | ) | 0.5 | % | (7,442 | ) | |||||||||
AbbVie, Inc. | (108 | ) | 0.5 | % | (7,345 | ) | |||||||||
Intuitive Surgical, Inc. | (104 | ) | 0.4 | % | (7,051 | ) | |||||||||
NVIDIA Corporation | (103 | ) | 0.4 | % | (7,012 | ) |
(e) The following table represents required component disclosures associated with the S&P 500 Growth Index swap as of April 30, 2019:
Description | Index Shares | Component Weighting | Fund Value | ||||||||||||
Microsoft Corporation | (643 | ) | 7.7 | % | $ | (43,776 | ) | ||||||||
Amazon.com, Inc. | (510 | ) | 6.1 | % | (34,729 | ) | |||||||||
Facebook, Inc. Class A | (296 | ) | 3.5 | % | (20,157 | ) | |||||||||
Alphabet Inc. Class C | (234 | ) | 2.8 | % | (15,960 | ) | |||||||||
Alphabet Inc. Class A | (230 | ) | 2.7 | % | (15,681 | ) | |||||||||
Visa Inc. Class A | (185 | ) | 2.2 | % | (12,573 | ) | |||||||||
Cisco Systems, Inc. | (158 | ) | 1.9 | % | (10,760 | ) | |||||||||
Verizon Communications Inc. | (152 | ) | 1.8 | % | (10,324 | ) | |||||||||
Mastercard Incorporated Class A | (147 | ) | 1.8 | % | (10,026 | ) | |||||||||
Pfizer Inc. | (145 | ) | 1.7 | % | (9,850 | ) | |||||||||
Johnson & Johnson | (142 | ) | 1.7 | % | (9,693 | ) | |||||||||
Merck & Co., Inc. | (130 | ) | 1.6 | % | (8,876 | ) | |||||||||
Berkshire Hathaway Inc. Class B | (130 | ) | 1.5 | % | (8,837 | ) | |||||||||
Boeing Company | (127 | ) | 1.5 | % | (8,670 | ) | |||||||||
Exxon Mobil Corporation | (122 | ) | 1.5 | % | (8,322 | ) | |||||||||
Netflix, Inc. | (104 | ) | 1.2 | % | (7,068 | ) | |||||||||
Intel Corporation | (99 | ) | 1.2 | % | (6,719 | ) | |||||||||
McDonald's Corporation | (97 | ) | 1.2 | % | (6,606 | ) | |||||||||
Procter & Gamble Company | (96 | ) | 1.1 | % | (6,517 | ) | |||||||||
Adobe Inc. | (91 | ) | 1.1 | % | (6,163 | ) | |||||||||
Abbott Laboratories | (90 | ) | 1.1 | % | (6,105 | ) | |||||||||
Walt Disney Company | (86 | ) | 1.0 | % | (5,852 | ) | |||||||||
PayPal Holdings Inc. | (85 | ) | 1.0 | % | (5,780 | ) | |||||||||
Union Pacific Corporation | (82 | ) | 1.0 | % | (5,591 | ) | |||||||||
salesforce.com, inc. | (81 | ) | 1.0 | % | (5,526 | ) | |||||||||
Broadcom Inc. | (81 | ) | 1.0 | % | (5,510 | ) | |||||||||
Medtronic plc | (76 | ) | 0.9 | % | (5,204 | ) | |||||||||
Thermo Fisher Scientific Inc. | (72 | ) | 0.9 | % | (4,880 | ) |
See Notes to Financial Statements
65
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Description | Index Shares | Component Weighting | Fund Value | ||||||||||||
PepsiCo, Inc. | (70 | ) | 0.8 | % | $ | (4,794 | ) | ||||||||
Home Depot, Inc. | (68 | ) | 0.8 | % | (4,624 | ) | |||||||||
Eli Lilly and Company | (65 | ) | 0.8 | % | (4,416 | ) | |||||||||
Coca-Cola Company | (63 | ) | 0.8 | % | (4,289 | ) | |||||||||
NextEra Energy, Inc. | (60 | ) | 0.7 | % | (4,062 | ) | |||||||||
Comcast Corporation Class A | (58 | ) | 0.7 | % | (3,951 | ) | |||||||||
American Tower Corporation | (55 | ) | 0.7 | % | (3,764 | ) | |||||||||
U.S. Bancorp | (51 | ) | 0.6 | % | (3,505 | ) | |||||||||
Amgen Inc. | (47 | ) | 0.6 | % | (3,218 | ) | |||||||||
Texas Instruments Incorporated | (47 | ) | 0.6 | % | (3,189 | ) | |||||||||
Automatic Data Processing, Inc. | (46 | ) | 0.5 | % | (3,129 | ) | |||||||||
ConocoPhillips | (46 | ) | 0.5 | % | (3,128 | ) | |||||||||
Oracle Corporation | (45 | ) | 0.5 | % | (3,080 | ) | |||||||||
Philip Morris International Inc. | (44 | ) | 0.5 | % | (2,998 | ) | |||||||||
TJX Companies Inc. | (44 | ) | 0.5 | % | (2,967 | ) | |||||||||
Linde plc | (43 | ) | 0.5 | % | (2,908 | ) | |||||||||
Intuit Inc. | (42 | ) | 0.5 | % | (2,842 | ) | |||||||||
Honeywell International Inc. | (41 | ) | 0.5 | % | (2,765 | ) | |||||||||
CSX Corporation | (40 | ) | 0.5 | % | (2,696 | ) | |||||||||
AbbVie, Inc. | (39 | ) | 0.5 | % | (2,660 | ) | |||||||||
Intuitive Surgical, Inc. | (38 | ) | 0.4 | % | (2,554 | ) | |||||||||
NVIDIA Corporation | (37 | ) | 0.4 | % | (2,540 | ) |
At April 30, 2019, the Fund had cash collateral of $7,650,000, $7,380,000 and $8,000,000 deposited in segregated accounts for Citibank N.A., Goldman Sachs International and JPMorgan Chase Bank N.A., respectively, to cover collateral requirements on over-the-counter derivatives.
For the six months ended April 30, 2019, the average notional value of total return basket swaps and total return swaps for the Fund was $(322,910,139) for short positions.
Purchased option contracts ("options purchased")
At April 30, 2019, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Aerospace & Defense | |||||||||||||||||||||||
Boeing Co. | 200 | $ | 7,553,800 | $ | 410 | 8/16/2019 | $ | 178,500 | |||||||||||||||
Capital Markets | |||||||||||||||||||||||
Blackstone Group LP | 1,736 | 6,850,256 | 43 | 9/20/2109 | 129,332 | ||||||||||||||||||
Energy Equipment & Services | |||||||||||||||||||||||
Schlumberger Ltd. | 1,370 | 5,847,160 | 70 | 6/21/2019 | — | (a)(b) | |||||||||||||||||
Entertainment | |||||||||||||||||||||||
Activision Blizzard, Inc. | 1,176 | 5,669,496 | 47.5 | 8/16/2019 | 540,960 |
See Notes to Financial Statements
66
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Food Products | |||||||||||||||||||||||
Conagra Brands, Inc. | 1,644 | $ | 5,060,232 | $ | 31 | 6/21/2019 | $ | 172,620 | |||||||||||||||
Hain Celestial Group, Inc. | 2,700 | 5,891,400 | 23 | 8/16/2019 | 337,500 | ||||||||||||||||||
510,120 | |||||||||||||||||||||||
Health Care Providers & Services | |||||||||||||||||||||||
CVS Health Corp. | 4,080 | 22,187,040 | 60 | 8/16/2019 | 597,720 | ||||||||||||||||||
Independent Power and Renewable Electricity Producers | |||||||||||||||||||||||
Vistra Energy Corp. | 5,925 | 16,145,625 | 30 | 10/18/2019 | 474,000 | ||||||||||||||||||
Professional Services | |||||||||||||||||||||||
Equifax, Inc. | 578 | 7,279,910 | 130 | 10/18/2019 | 349,690 | ||||||||||||||||||
Nielsen Holdings PLC | 2,735 | 6,982,455 | 28 | 6/21/2019 | 150,425 | ||||||||||||||||||
500,115 | |||||||||||||||||||||||
Specialty Retail | |||||||||||||||||||||||
Party City Holdco, Inc. | 3,620 | 2,425,400 | 10 | 7/19/2019 | 36,200 | ||||||||||||||||||
Total options purchased (cost $3,654,982) | $ | 2,966,947 |
(a) Security fair valued as of April 30, 2019 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, 2019, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Calls | |||||||||||||||||||||||
Capital Markets | |||||||||||||||||||||||
CME Group, Inc. | 412 | $ | (7,370,680 | ) | $ | 190 | 6/21/2019 | $ | (43,260 | ) | |||||||||||||
Goldman Sachs Group, Inc. | 361 | (7,433,712 | ) | 220 | 10/18/2019 | (243,675 | ) | ||||||||||||||||
(286,935 | ) | ||||||||||||||||||||||
Food & Staples Retailing | |||||||||||||||||||||||
Costco Wholesale Corp. | 340 | (8,348,020 | ) | 250 | 6/21/2019 | (169,150 | ) | ||||||||||||||||
Food Products | |||||||||||||||||||||||
Hain Celestial Group, Inc. | 2,000 | (4,364,000 | ) | 29 | 8/16/2019 | (45,000 | )(a)(b) | ||||||||||||||||
Health Care Providers & Services | |||||||||||||||||||||||
CVS Health Corp. | 702 | (3,817,476 | ) | 72.5 | 5/17/2019 | (1,053 | ) | ||||||||||||||||
IT Services | |||||||||||||||||||||||
Paypal Holdings, Inc. | 585 | (6,597,045 | ) | 95 | 6/21/2019 | (1,025,213 | ) | ||||||||||||||||
Textiles, Apparel & Luxury Goods | |||||||||||||||||||||||
PVH Corp. | 485 | (6,256,015 | ) | 130 | 6/21/2019 | (298,275 | ) | ||||||||||||||||
PVH Corp. | 442 | (5,701,358 | ) | 145 | 6/21/2019 | (59,670 | ) | ||||||||||||||||
(357,945 | ) | ||||||||||||||||||||||
Total calls | $ | (1,885,296 | ) |
See Notes to Financial Statements
67
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Puts | |||||||||||||||||||||||
Aerospace & Defense | |||||||||||||||||||||||
Boeing Co. | 200 | $ | (7,553,800 | ) | $ | 340 | 8/16/2019 | $ | (173,000 | ) | |||||||||||||
Capital Markets | |||||||||||||||||||||||
Blackstone Group LP | 2,060 | (8,128,760 | ) | 31 | 9/20/2019 | (58,710 | ) | ||||||||||||||||
Blackstone Group LP | 1,736 | (6,850,256 | ) | 36 | 9/20/2019 | (154,504 | ) | ||||||||||||||||
CME Group, Inc. | 412 | (7,370,680 | ) | 170 | 6/21/2019 | (95,790 | ) | ||||||||||||||||
(309,004 | ) | ||||||||||||||||||||||
Energy Equipment & Services | |||||||||||||||||||||||
Cactus, Inc. | 2,265 | (8,221,950 | ) | 35 | 11/15/2019 | (872,025 | ) | ||||||||||||||||
Entertainment | |||||||||||||||||||||||
Activision Blizzard, Inc. | 1,765 | (8,509,065 | ) | 40 | 8/16/2019 | (193,268 | ) | ||||||||||||||||
Health Care Providers & Services | |||||||||||||||||||||||
CVS Health Corp. | 4,410 | (23,981,580 | ) | 50 | 8/16/2019 | (765,135 | ) | ||||||||||||||||
Independent Power and Renewable Electricity Producers | |||||||||||||||||||||||
Vistra Energy Corp. | 5,925 | (16,145,625 | ) | 22 | 10/18/2019 | (222,187 | ) | ||||||||||||||||
Interactive Media & Services | |||||||||||||||||||||||
Yelp, Inc. | 2,300 | (9,213,800 | ) | 34 | 5/17/2019 | (173,650 | ) | ||||||||||||||||
Professional Services | |||||||||||||||||||||||
Equifax, Inc. | 578 | (7,279,910 | ) | 105 | 10/18/2019 | (105,485 | ) | ||||||||||||||||
Nielsen Holdings PLC | 2,735 | (6,982,455 | ) | 22 | 6/21/2019 | (143,587 | ) | ||||||||||||||||
(249,072 | ) | ||||||||||||||||||||||
Specialty Retail | |||||||||||||||||||||||
Party City Holdco, Inc. | 3,620 | (2,425,400 | ) | 7.5 | 10/18/2019 | $ | (524,900 | ) | |||||||||||||||
Trading Companies & Distributors | |||||||||||||||||||||||
Univar, Inc. | 1,824 | (4,072,992 | ) | 17.5 | 12/20/2019 | (127,680 | ) | ||||||||||||||||
Univar, Inc. | 1,824 | (4,072,992 | ) | 20 | 12/20/2019 | (241,680 | ) | ||||||||||||||||
(369,360 | ) | ||||||||||||||||||||||
Total puts | $ | (3,851,601 | ) | ||||||||||||||||||||
Total options written (premium received $6,473,887) | $ | (5,736,897 | ) |
(a) Security fair valued as of April 30, 2019 in accordance with procedures approved by the Board of Trustees.
(b) Value determined using significant unobservable inputs.
At April 30, 2019, the Fund had an average market value of $4,850,795 in options purchased and $(6,735,201) in options written. At April 30, 2019, the Fund had securities pledged in the amount of $59,705,651 to cover collateral requirements for options written.
See Notes to Financial Statements
68
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 investments as of April 30, 2019:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(c) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Commercial Services | $ | — | $ | — | $ | 21,260 | $ | 21,260 | |||||||||||
Diversified Consumer Services | — | 28,642 | — | 28,642 | |||||||||||||||
Oil, Gas & Consumable Fuels | 46,647 | 17,452 | 2,303 | 66,402 | |||||||||||||||
Other Common Stocks(a) | 2,024,149 | — | — | 2,024,149 | |||||||||||||||
Total Common Stocks | 2,070,796 | 46,094 | 23,563 | 2,140,453 | |||||||||||||||
Preferred Stocks | |||||||||||||||||||
Food Products | — | — | 7,520 | 7,520 | |||||||||||||||
Other Preferred Stocks(a) | 14,302 | — | — | 14,302 | |||||||||||||||
Total Preferred Stocks | 14,302 | — | 7,520 | 21,822 | |||||||||||||||
Loan Assignments | |||||||||||||||||||
Aerospace & Defense | — | — | 1,000 | 1,000 | |||||||||||||||
Leisure Goods—Activities—Movies | — | — | 25,000 | 25,000 | |||||||||||||||
Total Loan Assignments | — | — | 26,000 | 26,000 | |||||||||||||||
Corporate Bonds(a) | — | 157,458 | — | 157,458 | |||||||||||||||
Convertible Bonds(a) | — | 5,086 | — | 5,086 | |||||||||||||||
U.S. Treasury Obligations | — | 69,667 | — | 69,667 | |||||||||||||||
Master Limited Partnerships(a) | 52,730 | — | — | 52,730 | |||||||||||||||
Warrants(a) | 1,320 | — | — | 1,320 | |||||||||||||||
Options Purchased | |||||||||||||||||||
Energy Equipment & Services | — | — | — | — | |||||||||||||||
Other Options Purchased(b) | 2,967 | — | — | 2,967 | |||||||||||||||
Total Options Purchased | 2,967 | — | — | 2,967 | |||||||||||||||
Short-Term Investments | — | 84,407 | — | 84,407 | |||||||||||||||
Total Long Positions | $ | 2,142,115 | $ | 362,712 | $ | 57,083 | $ | 2,561,910 |
(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
69
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 11/1/2018 | 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 4/30/2019 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2019 | ||||||||||||||||||||||||||||||||||
Investments in Securities: (000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Common Stocks(d) | |||||||||||||||||||||||||||||||||||||||||||
Commercial Services | $ | 22,623 | $ | — | $ | — | $ | (1,363 | ) | $ | — | $ | — | $ | — | $ | — | $ | 21,260 | $ | (1,363 | ) | |||||||||||||||||||||
Oil, Gas & Consumable Fuels | — | — | — | — | 2,303 | — | — | — | 2,303 | — | |||||||||||||||||||||||||||||||||
Preferred Stocks(d) | |||||||||||||||||||||||||||||||||||||||||||
Food Products | — | — | — | — | 7,520 | — | — | — | 7,520 | — | |||||||||||||||||||||||||||||||||
Health Care | 15,003 | — | — | (1,683 | ) | — | (13,320 | ) | — | — | — | — | |||||||||||||||||||||||||||||||
Loan Assignments(f) | |||||||||||||||||||||||||||||||||||||||||||
Aerospace & Defense | — | — | — | 20 | 980 | — | — | — | 1,000 | 20 | |||||||||||||||||||||||||||||||||
Leisure Goods— Activities— Movies | — | 4 | — | 433 | 24,563 | — | — | — | 25,000 | 433 | |||||||||||||||||||||||||||||||||
Options Purchased(g) | |||||||||||||||||||||||||||||||||||||||||||
Calls | |||||||||||||||||||||||||||||||||||||||||||
Energy Equipment & Services | — | — | — | (37 | ) | — | — | 37 | — | — | (37 | ) | |||||||||||||||||||||||||||||||
Food Products | — | — | (654 | ) | 654 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Total | $ | 37,626 | $ | 4 | $ | (654 | ) | $ | (1,976 | ) | $ | 35,366 | $ | (13,320 | ) | $ | 37 | $ | — | $ | 57,083 | $ | (947 | ) |
See Notes to Financial Statements
70
Schedule of Investments Long Short Fund^ (Unaudited) (cont'd)
(d) 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, 2019:
Asset class | Fair value at 4/30/2019 | Valuation approach | Unobservable input | Amount or range per unit | Input value per unit | Impact to valuation from increase in input(e) | |||||||||||||||||||||
Common Stocks | $ | 21,259,563 | Market Approach | Adjusted Transaction Price | $ | 9.85 | $ | 9.85 | Increase | ||||||||||||||||||
Common Stocks | 2,303,000 | Market Approach | Transaction Price | 7,000.00 | 7,000.00 | Increase | |||||||||||||||||||||
Preferred Stocks | 7,520,004 | Market Approach | Transaction Price | 12.00 | 12.00 | Increase |
(e) Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase in the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements.
(f) 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.
(g) As of the six months ended April 30, 2019, 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.
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, 2019:
Liabilities Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks Sold Short(a) | $ | (363,570 | ) | $ | — | $ | — | $ | (363,570 | ) | |||||||||
Corporate Bonds Sold Short(a) | — | (45,308 | ) | — | (45,308 | ) | |||||||||||||
Exchange-Traded Funds Sold Short | (5,687 | ) | — | — | (5,687 | ) | |||||||||||||
Master Limited Partnerships Sold Short(a) | (9,101 | ) | — | — | (9,101 | ) | |||||||||||||
Total Short Positions | $ | (378,358 | ) | $ | (45,308 | ) | $ | — | $ | (423,666 | ) |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
See Notes to Financial Statements
71
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, 2019:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||||
Futures(a) | |||||||||||||||||||
Liabilities | $ | (20,687 | ) | $ | — | $ | — | $ | (20,687 | ) | |||||||||
Swaps | |||||||||||||||||||
Assets | — | 73 | — | 73 | |||||||||||||||
Liabilities | — | (17,908 | ) | — | (17,908 | ) | |||||||||||||
Options Written | |||||||||||||||||||
Liabilities | (5,692 | ) | — | (45 | ) | (5,737 | ) | ||||||||||||
Total | $ | (26,379 | ) | $ | (17,835 | ) | $ | (45 | ) | $ | (44,259 | ) |
(a) Futures 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 11/1/2018 | 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 4/30/2019 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2019 | ||||||||||||||||||||||||||||||||||
Other Financial Instruments: | |||||||||||||||||||||||||||||||||||||||||||
(000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Written(c) | |||||||||||||||||||||||||||||||||||||||||||
Calls | |||||||||||||||||||||||||||||||||||||||||||
Food Products | $ | — | $ | — | $ | — | $ | 67 | $ | — | $ | (112 | ) | $ | — | $ | — | $ | (45 | ) | $ | 67 | |||||||||||||||||||||
IT Services | — | — | 358 | (358 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Total | $ | — | $ | — | $ | 358 | $ | (291 | ) | $ | — | $ | (112 | ) | $ | — | $ | — | $ | (45 | ) | $ | 67 |
(c) As of the six months ended April 30, 2019, 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.
^ A balance indicated with a "—" either reflects a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
72
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) April 30, 2019
Number of Shares | Value (000's omitted) | ||||||||||
Common Stocks 33.7% | |||||||||||
Aerospace & Defense 0.3% | |||||||||||
Lockheed Martin Corp. | 221 | $ | 74 | ||||||||
Air Freight & Logistics 0.2% | |||||||||||
Cia de Distribucion Integral Logista Holdings SA | 442 | 11 | |||||||||
Oesterreichische Post AG | 383 | 15 | |||||||||
Royal Mail PLC | 3,391 | 11 | |||||||||
37 | |||||||||||
Auto Components 0.1% | |||||||||||
Bridgestone Corp. | 100 | 4 | |||||||||
Gentex Corp. | 540 | 12 | |||||||||
16 | |||||||||||
Automobiles 0.4% | |||||||||||
Bayerische Motoren Werke AG, Preference Shares | 132 | 10 | |||||||||
Daimler AG | 81 | 5 | |||||||||
Ford Motor Co. | 2,504 | 26 | |||||||||
Harley-Davidson, Inc. | 302 | 11 | |||||||||
Honda Motor Co. Ltd. | 400 | 11 | |||||||||
Nissan Motor Co. Ltd. | 2,100 | 17 | |||||||||
Renault SA | 248 | 17 | |||||||||
97 | |||||||||||
Banks 1.4% | |||||||||||
Aozora Bank Ltd. | 400 | 10 | |||||||||
Banco Bilbao Vizcaya Argentaria SA | 2,384 | 15 | |||||||||
BB&T Corp. | 455 | 23 | |||||||||
Comerica, Inc. | 600 | 47 | |||||||||
Danske Bank A/S | 134 | 2 | |||||||||
First Hawaiian, Inc. | 320 | 9 | |||||||||
Huntington Bancshares, Inc. | 756 | 11 | |||||||||
Intesa Sanpaolo SpA | 3,883 | 10 | |||||||||
JPMorgan Chase & Co. | 637 | 74 | |||||||||
Lloyds Banking Group PLC | 11,497 | 9 | |||||||||
National Bank of Canada | 368 | 18 | |||||||||
Nordea Bank Abp | 2,323 | 18 | |||||||||
Skandinaviska Enskilda Banken AB, Class A | 438 | 4 | |||||||||
U.S. Bancorp | 417 | 22 |
Number of Shares | Value (000's omitted) | ||||||||||
Umpqua Holdings Corp. | 1,775 | $ | 31 | ||||||||
Wells Fargo & Co. | 271 | 13 | |||||||||
316 | |||||||||||
Beverages 0.4% | |||||||||||
Coca-Cola Amatil Ltd. | 2,582 | 16 | |||||||||
Coca-Cola Co. | 1,082 | 53 | |||||||||
PepsiCo, Inc. | 187 | 24 | |||||||||
93 | |||||||||||
Biotechnology 0.2% | |||||||||||
Gilead Sciences, Inc. | 625 | 41 | |||||||||
Capital Markets 0.2% | |||||||||||
Virtu Financial, Inc. Class A | 1,775 | 44 | |||||||||
Chemicals 0.7% | |||||||||||
Celanese Corp. Series A | 234 | 25 | |||||||||
Eastman Chemical Co. | 280 | 22 | |||||||||
Evonik Industries AG | 487 | 14 | |||||||||
Huntsman Corp. | 575 | 13 | |||||||||
LyondellBasell Industries NV Class A | 235 | 21 | |||||||||
Mitsubishi Chemical Holdings Corp. | 1,800 | 13 | |||||||||
Nutrien Ltd. | 700 | 38 | |||||||||
PolyOne Corp. | 154 | 4 | |||||||||
RPM International, Inc. | 26 | 2 | |||||||||
Teijin Ltd. | 500 | 9 | |||||||||
161 | |||||||||||
Commercial Services & Supplies 0.3% | |||||||||||
KAR Auction Services, Inc. | 313 | 18 | |||||||||
Republic Services, Inc. | 123 | 10 | |||||||||
Societe BIC SA | 220 | 19 | |||||||||
Waste Management, Inc. | 267 | 28 | |||||||||
75 | |||||||||||
Communications Equipment 0.6% | |||||||||||
Cisco Systems, Inc. | 1,646 | 92 | |||||||||
Juniper Networks, Inc. | 262 | 7 | |||||||||
Nokia OYJ | 3,526 | 19 | |||||||||
VTech Holdings Ltd. | 1,800 | 16 | |||||||||
134 |
Number of Shares | Value (000's omitted) | ||||||||||
Construction & Engineering 0.2% | |||||||||||
ACS Actividades de Construccion y Servicios SA | 436 | $ | 20 | ||||||||
Ferrovial SA | 1,100 | 27 | |||||||||
47 | |||||||||||
Construction Materials 0.0%(a) | |||||||||||
LafargeHolcim Ltd. | 187 | 10 | * | ||||||||
Containers & Packaging 0.3% | |||||||||||
Amcor Ltd. | 1,012 | 11 | |||||||||
Avery Dennison Corp. | 206 | 23 | |||||||||
Bemis Co., Inc. | 106 | 6 | |||||||||
International Paper Co. | 517 | 24 | |||||||||
Sonoco Products Co. | 137 | 9 | |||||||||
Westrock Co. | 96 | 4 | |||||||||
77 | |||||||||||
Diversified Consumer Services 0.1% | |||||||||||
H&R Block, Inc. | 454 | 12 | |||||||||
Diversified Telecommunication Services 1.1% | |||||||||||
AT&T, Inc. | 734 | 23 | |||||||||
BCE, Inc. | 487 | 22 | |||||||||
CenturyLink, Inc. | 1,146 | 13 | |||||||||
Cogent Communications Holdings, Inc. | 101 | 6 | |||||||||
Elisa OYJ | 528 | 22 | |||||||||
Koninklijke KPN NV | 3,948 | 12 | |||||||||
Nippon Telegraph & Telephone Corp. | 200 | 8 | |||||||||
Orange SA | 1,186 | 18 | |||||||||
Singapore Telecommunications Ltd. | 4,600 | 11 | |||||||||
Sunrise Communications Group AG | 268 | 18 | *(b) | ||||||||
Telia Co. AB | 3,236 | 14 | |||||||||
Verizon Communications, Inc. | 1,485 | 85 | |||||||||
252 | |||||||||||
Electric Utilities 1.6% | |||||||||||
CK Infrastructure Holdings Ltd. | 500 | 4 | |||||||||
CLP Holdings Ltd. | 500 | 6 | |||||||||
EDP—Energias de Portugal SA | 804 | 3 | |||||||||
Endesa SA | 950 | 24 | |||||||||
Evergy, Inc. | 941 | 54 | |||||||||
Exelon Corp. | 1,208 | 61 | |||||||||
FirstEnergy Corp. | 734 | 31 | |||||||||
Fortum OYJ | 606 | 13 |
See Notes to Financial Statements
73
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
HK Electric Investments & HK Electric Investments Ltd. | 10,500 | $ | 10 | (b) | |||||||
Iberdrola SA | 1,520 | 14 | �� | ||||||||
Mercury NZ Ltd. | 1,108 | 3 | |||||||||
NextEra Energy, Inc. | 300 | 58 | |||||||||
OGE Energy Corp. | 469 | 20 | |||||||||
Portland General Electric Co. | 96 | 5 | |||||||||
Power Assets Holdings Ltd. | 3,000 | 21 | |||||||||
PPL Corp. | 344 | 11 | |||||||||
Southern Co. | 455 | 24 | |||||||||
362 | |||||||||||
Electrical Equipment 0.2% | |||||||||||
Eaton Corp. PLC | 308 | 25 | |||||||||
Emerson Electric Co. | 333 | 24 | |||||||||
49 | |||||||||||
Energy Equipment & Services 0.1% | |||||||||||
Helmerich & Payne, Inc. | 400 | 23 | |||||||||
Entertainment 0.1% | |||||||||||
Cinemark Holdings, Inc. | 264 | 11 | |||||||||
Equity Real Estate Investment Trusts 3.9% | |||||||||||
Alexandria Real Estate Equities, Inc. | 437 | 62 | |||||||||
American Campus Communities, Inc. | 332 | 16 | |||||||||
American Tower Corp. | 147 | 29 | |||||||||
Americold Realty Trust | 125 | 4 | |||||||||
Apple Hospitality REIT, Inc. | 520 | 9 | |||||||||
Ascendas Real Estate Investment Trust | 5,200 | 11 | |||||||||
British Land Co. PLC | 609 | 5 | |||||||||
Brookfield Property REIT, Inc. Class A | 325 | 7 | |||||||||
CapitaLand Mall Trust | 12,000 | 21 | |||||||||
Colony Capital, Inc. | 30 | — | |||||||||
CoreSite Realty Corp. | 95 | 10 |
Number of Shares | Value (000's omitted) | ||||||||||
Crown Castle International Corp. | 652 | $ | 82 | ||||||||
Digital Realty Trust, Inc. | 90 | 11 | |||||||||
EPR Properties | 136 | 11 | |||||||||
Equinix, Inc. | 30 | 14 | |||||||||
Equity Lifestyle Properties, Inc. | 250 | 29 | |||||||||
Extra Space Storage, Inc. | 134 | 14 | |||||||||
Four Corners Property Trust, Inc. | 200 | 6 | |||||||||
Gaming and Leisure Properties, Inc. | 463 | 19 | |||||||||
H&R Real Estate Investment Trust | 1,262 | 22 | |||||||||
Highwoods Properties, Inc. | 348 | 15 | |||||||||
Iron Mountain, Inc. | 91 | 3 | |||||||||
Kimco Realty Corp. | 532 | 9 | |||||||||
Klepierre SA | 362 | 13 | |||||||||
Lexington Realty Trust | 211 | 2 | |||||||||
Mapletree North Asia Commercial Trust | 5,500 | 5 | (b) | ||||||||
Medical Properties Trust, Inc. | 1,680 | 29 | |||||||||
Merlin Properties Socimi SA | 750 | 10 | |||||||||
Mid-America Apartment Communities, Inc. | 98 | 11 | |||||||||
Mirvac Group | 10,992 | 22 | |||||||||
National Health Investors, Inc. | 74 | 6 | |||||||||
National Retail Properties, Inc. | 425 | 22 | |||||||||
OMEGA Healthcare Investors, Inc. | 1,036 | 37 | |||||||||
Park Hotels & Resorts, Inc. | 691 | 22 | |||||||||
Piedmont Office Realty Trust, Inc. Class A | 286 | 6 | |||||||||
Prologis, Inc. | 345 | 26 | |||||||||
Public Storage | 59 | 13 | |||||||||
RioCan Real Estate Investment Trust | 1,192 | 23 | |||||||||
Simon Property Group, Inc. | 89 | 15 |
Number of Shares | Value (000's omitted) | ||||||||||
SmartCentres Real Estate Investment Trust | 164 | $ | 4 | ||||||||
Spirit Realty Capital, Inc. | 149 | 6 | |||||||||
STAG Industrial, Inc. | 376 | 11 | |||||||||
Stockland | 5,693 | 15 | |||||||||
STORE Capital Corp. | 775 | 26 | |||||||||
Sun Communities, Inc. | 152 | 19 | |||||||||
Ventas, Inc. | 454 | 28 | |||||||||
VEREIT, Inc. | 779 | 6 | |||||||||
VICI Properties, Inc. | 287 | 6 | |||||||||
Vicinity Centres | 7,137 | 13 | |||||||||
Welltower, Inc. | 242 | 18 | |||||||||
Weyerhaeuser Co. | 830 | 22 | |||||||||
WP Carey, Inc. | 302 | 24 | |||||||||
869 | |||||||||||
Food & Staples Retailing 0.7% | |||||||||||
Axfood AB | 257 | 5 | |||||||||
Casino Guichard Perrachon SA | 19 | 1 | |||||||||
Costco Wholesale Corp. | 200 | 49 | |||||||||
ICA Gruppen AB | 176 | 6 | |||||||||
Kesko OYJ, B Shares | 384 | 20 | |||||||||
Sysco Corp. | 324 | 23 | |||||||||
Walmart, Inc. | 450 | 46 | |||||||||
150 | |||||||||||
Food Products 0.6% | |||||||||||
Chocoladefabriken Lindt & Spruengli AG | 1 | 7 | |||||||||
Flowers Foods, Inc. | 900 | 20 | |||||||||
Hershey Co. | 94 | 12 | |||||||||
Kellogg Co. | 348 | 21 | |||||||||
Mondelez International, Inc. Class A | 324 | 16 | |||||||||
Mowi ASA | 149 | 3 | |||||||||
Nestle SA | 203 | 20 | |||||||||
Orkla ASA | 2,357 | 18 | |||||||||
Tate & Lyle PLC | 690 | 7 | |||||||||
124 | |||||||||||
Gas Utilities 0.1% | |||||||||||
Naturgy Energy Group SA | 387 | 11 | |||||||||
Health Care Equipment & Supplies 0.1% | |||||||||||
Alcon, Inc. | 56 | 3 | * |
See Notes to Financial Statements
74
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Medtronic PLC | 277 | $ | 25 | ||||||||
28 | |||||||||||
Health Care Providers & Services 0.3% | |||||||||||
AmerisourceBergen Corp. | 290 | 22 | |||||||||
Cardinal Health, Inc. | 268 | 13 | |||||||||
Quest Diagnostics, Inc. | 266 | 25 | |||||||||
Sonic Healthcare Ltd. | 605 | 11 | |||||||||
71 | |||||||||||
Hotels, Restaurants & Leisure 0.7% | |||||||||||
Carnival Corp. | 550 | 30 | |||||||||
Carnival PLC | 222 | 12 | |||||||||
Cracker Barrel Old Country Store, Inc. | 55 | 9 | |||||||||
Crown Resorts Ltd. | 2,074 | 19 | |||||||||
Darden Restaurants, Inc. | 65 | 8 | |||||||||
Extended Stay America, Inc. | 455 | 8 | |||||||||
Genting Singapore Ltd. | 6,000 | 4 | |||||||||
Las Vegas Sands Corp. | 306 | 21 | |||||||||
McDonald's Corp. | 134 | 26 | |||||||||
Six Flags Entertainment Corp. | 162 | 9 | |||||||||
Starbucks Corp. | 79 | 6 | |||||||||
Wyndham Destinations, Inc. | 201 | 9 | |||||||||
161 | |||||||||||
Household Durables 0.2% | |||||||||||
Berkeley Group Holdings PLC | 391 | 19 | |||||||||
Garmin Ltd. | 127 | 11 | |||||||||
Persimmon PLC | 333 | 10 | |||||||||
40 | |||||||||||
Household Products 0.3% | |||||||||||
Colgate- Palmolive Co. | 218 | 16 | |||||||||
Kimberly-Clark Corp. | 174 | 22 | |||||||||
Procter & Gamble Co. | 217 | 23 | |||||||||
61 | |||||||||||
Independent Power and Renewable Electricity Producers 1.1% | |||||||||||
AES Corp. | 1,561 | 27 | |||||||||
Clearway Energy, Inc. Class C | 4,100 | 65 |
Number of Shares | Value (000's omitted) | ||||||||||
NextEra Energy Partners LP | 3,500 | $ | 161 | ||||||||
253 | |||||||||||
Industrial Conglomerates 0.2% | |||||||||||
Honeywell International, Inc. | 79 | 14 | |||||||||
NWS Holdings Ltd. | 4,000 | 8 | |||||||||
Siemens AG ADR | 400 | 24 | |||||||||
46 | |||||||||||
Insurance 0.8% | |||||||||||
Ageas | 404 | 21 | |||||||||
ASR Nederland NV | 280 | 13 | |||||||||
Assurant, Inc. | 225 | 21 | |||||||||
CNA Financial Corp. | 209 | 10 | |||||||||
Hartford Financial Services Group, Inc. | 500 | 26 | |||||||||
Legal & General Group PLC | 3,124 | 11 | |||||||||
MetLife, Inc. | 502 | 23 | |||||||||
Power Corp. of Canada | 957 | 22 | |||||||||
Power Financial Corp. | 377 | 9 | |||||||||
SCOR SE | 213 | 9 | |||||||||
Swiss Re AG | 97 | 9 | |||||||||
UNIQA Insurance Group AG | 512 | 6 | |||||||||
Zurich Insurance Group AG | 19 | 6 | |||||||||
186 | |||||||||||
IT Services 0.3% | |||||||||||
Automatic Data Processing, Inc. | 170 | 28 | |||||||||
IBM Corp. | 193 | 27 | |||||||||
Western Union Co. | 1,043 | 20 | |||||||||
75 | |||||||||||
Machinery 0.4% | |||||||||||
Caterpillar, Inc. | 30 | 4 | |||||||||
Cummins, Inc. | 161 | 27 | |||||||||
Dover Corp. | 211 | 21 | |||||||||
PACCAR, Inc. | 307 | 22 | |||||||||
Pentair PLC | 389 | 15 | |||||||||
89 | |||||||||||
Media 0.8% | |||||||||||
Comcast Corp. Class A | 600 | 26 | |||||||||
Interpublic Group of Cos., Inc. | 2,544 | 59 |
Number of Shares | Value (000's omitted) | ||||||||||
John Wiley & Sons, Inc. Class A | 110 | $ | 5 | ||||||||
Mediaset Espana Comunicacion SA | 1,043 | 8 | |||||||||
Nexstar Media Group, Inc. Class A | 111 | 13 | |||||||||
NOS SGPS SA | 1,344 | 9 | |||||||||
Omnicom Group, Inc. | 353 | 28 | |||||||||
RTL Group SA | 329 | 19 | |||||||||
Sinclair Broadcast Group, Inc. Class A | 158 | 7 | |||||||||
Tribune Media Co. Class A | 169 | 8 | |||||||||
182 | |||||||||||
Metals & Mining 1.0% | |||||||||||
Acerinox SA | 450 | 5 | |||||||||
Alumina Ltd. | 10,423 | 16 | |||||||||
Anglo American PLC | 188 | 5 | |||||||||
BHP Group Ltd. | 785 | 21 | |||||||||
BHP Group PLC | 277 | 7 | |||||||||
Boliden AB | 216 | 6 | |||||||||
Fortescue Metals Group Ltd. | 162 | 1 | |||||||||
Franco-Nevada Corp. | 535 | 38 | |||||||||
JFE Holdings, Inc. | 100 | 2 | |||||||||
Nucor Corp. | 374 | 21 | |||||||||
Reliance Steel & Aluminum Co. | 143 | 13 | |||||||||
Rio Tinto PLC | 414 | 24 | |||||||||
Rio Tinto PLC ADR | 800 | 47 | |||||||||
South32 Ltd. | 6,908 | 16 | |||||||||
222 | |||||||||||
Mortgage Real Estate Investment 0.6% | |||||||||||
AGNC Investment Corp. | 1,411 | 25 | |||||||||
Annaly Capital Management, Inc. | 2,638 | 27 | |||||||||
Blackstone Mortgage Trust, Inc. Class A | 846 | 30 | |||||||||
Chimera Investment Corp. | 435 | 8 | |||||||||
MFA Financial, Inc. | 712 | 5 | |||||||||
Starwood Property Trust, Inc. | 1,287 | 30 | |||||||||
125 | |||||||||||
Multi-Utilities 1.7% | |||||||||||
Ameren Corp. | 450 | 33 |
See Notes to Financial Statements
75
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
CenterPoint Energy, Inc. | 909 | $ | 28 | ||||||||
Centrica PLC | 11,200 | 16 | |||||||||
Dominion Energy, Inc. | 1,339 | 104 | |||||||||
DTE Energy Co. | 200 | 25 | |||||||||
Engie SA | 1,363 | 20 | |||||||||
National Grid PLC | 1,779 | 19 | |||||||||
NiSource, Inc. | 850 | 24 | |||||||||
NorthWestern Corp. | 9 | 1 | |||||||||
Sempra Energy | 900 | 115 | |||||||||
385 | |||||||||||
Multiline Retail 0.3% | |||||||||||
Kohl's Corp. | 325 | 23 | |||||||||
Marks & Spencer Group PLC | 2,708 | 10 | |||||||||
Nordstrom, Inc. | 258 | 11 | |||||||||
Wesfarmers Ltd. | 683 | 17 | |||||||||
61 | |||||||||||
Oil, Gas & Consumable Fuels 4.7% | |||||||||||
Antero Midstream Corp. | 9,053 | 111 | |||||||||
BP PLC | 3,036 | 22 | |||||||||
Chevron Corp. | 190 | 23 | |||||||||
CVR Energy, Inc. | 212 | 10 | |||||||||
Enagas SA | 781 | 22 | |||||||||
Enbridge, Inc. | 267 | 10 | |||||||||
Eni SpA | 1,246 | 21 | |||||||||
Equitrans Midstream Corp. | 1,000 | 21 | |||||||||
Exxon Mobil Corp. | 308 | 25 | |||||||||
HollyFrontier Corp. | 381 | 18 | |||||||||
Inter Pipeline Ltd. | 1,208 | 20 | |||||||||
Kinder Morgan, Inc. | 911 | 18 | |||||||||
Marathon Petroleum Corp. | 150 | 9 | |||||||||
Occidental Petroleum Corp. | 365 | 22 | |||||||||
ONEOK, Inc. | 3,290 | 223 | |||||||||
Pembina Pipeline Corp. | 1,100 | 39 | |||||||||
Phillips 66 | 231 | 22 | |||||||||
Plains GP Holdings LP | 361 | 9 | * | ||||||||
Repsol SA | 1,173 | 20 | |||||||||
Royal Dutch Shell PLC Class A | 484 | 15 | |||||||||
Snam SpA | 5,273 | 27 | |||||||||
Statoil ASA | 209 | 5 | * | ||||||||
Suncor Energy, Inc. | 1,400 | 46 | |||||||||
Suncor Energy, Inc. | 309 | 10 | |||||||||
Tallgrass Energy LP | 289 | 7 |
Number of Shares | Value (000's omitted) | ||||||||||
Targa Resources Corp. | 2,475 | $ | 99 | ||||||||
TOTAL SA | 352 | 20 | |||||||||
Valero Energy Corp. | 290 | 26 | |||||||||
Williams Cos., Inc. | 5,050 | 143 | |||||||||
1,063 | |||||||||||
Paper & Forest Products 0.1% | |||||||||||
UPM-Kymmene OYJ | 664 | 19 | |||||||||
Personal Products 0.1% | |||||||||||
Unilever PLC | 369 | 22 | |||||||||
Pharmaceuticals 2.0% | |||||||||||
Allergan PLC | 136 | 20 | |||||||||
AstraZeneca PLC | 244 | 18 | |||||||||
AstraZeneca PLC ADR | 1,200 | 45 | |||||||||
Bristol-Myers Squibb Co. | 1,175 | 55 | |||||||||
Eli Lilly & Co. | 246 | 29 | |||||||||
GlaxoSmithKline PLC | 1,196 | 24 | |||||||||
H Lundbeck A/S | 117 | 5 | |||||||||
Johnson & Johnson | 466 | 66 | |||||||||
Merck & Co., Inc. | 339 | 27 | |||||||||
Novartis AG | 283 | 23 | |||||||||
Orion OYJ Class B | 402 | 13 | |||||||||
Pfizer, Inc. | 1,617 | 66 | |||||||||
Roche Holding AG | 75 | 20 | |||||||||
Sanofi | 265 | 23 | |||||||||
Takeda Pharmaceutical Co. Ltd. | 500 | 18 | |||||||||
452 | |||||||||||
Professional Services 0.1% | |||||||||||
RELX PLC | 1,039 | 24 | |||||||||
Real Estate Management & Development 0.1% | |||||||||||
Brookfield Property Partners LP | 548 | 11 | |||||||||
Road & Rail 0.2% | |||||||||||
CSX Corp. | 575 | 46 | |||||||||
Semiconductors & Semiconductor Equipment 0.9% | |||||||||||
ASM Pacific Technology Ltd. | 2,000 | 23 | |||||||||
KLA-Tencor Corp. | 235 | 30 | |||||||||
Lam Research Corp. | 34 | 7 | |||||||||
Maxim Integrated Products, Inc. | 629 | 38 |
Number of Shares | Value (000's omitted) | ||||||||||
QUALCOMM, Inc. | 200 | $ | 17 | ||||||||
SUMCO Corp. | 700 | 9 | |||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 550 | 24 | |||||||||
Texas Instruments, Inc. | 244 | 29 | |||||||||
Tokyo Electron Ltd. | 100 | 16 | |||||||||
193 | |||||||||||
Software 0.4% | |||||||||||
Avast PLC | 2,212 | 9 | (b) | ||||||||
Micro Focus International | 757 | 19 | |||||||||
Microsoft Corp. | 400 | 52 | |||||||||
80 | |||||||||||
Specialty Retail 0.6% | |||||||||||
Foot Locker, Inc. | 1,000 | 57 | |||||||||
Home Depot, Inc. | 297 | 61 | |||||||||
Williams-Sonoma, Inc. | 425 | 24 | |||||||||
142 | |||||||||||
Technology Hardware, Storage & Peripherals 0.8% | |||||||||||
Apple, Inc. | 425 | 85 | |||||||||
Brother Industries Ltd. | 300 | 6 | |||||||||
Canon, Inc. | 700 | 19 | |||||||||
HP, Inc. | 1,067 | 21 | |||||||||
NetApp, Inc. | 171 | 13 | |||||||||
Seiko Epson Corp. | 1,000 | 16 | |||||||||
Xerox Corp. | 507 | 17 | |||||||||
177 | |||||||||||
Textiles, Apparel & Luxury Goods 0.0%(a) | |||||||||||
Pandora A/S | 64 | 3 | |||||||||
Thrifts & Mortgage Finance 0.1% | |||||||||||
Genworth MI Canada, Inc. | 562 | 17 | |||||||||
TFS Financial Corp. | 580 | 10 | |||||||||
27 | |||||||||||
Tobacco 0.4% | |||||||||||
Altria Group, Inc. | 406 | 22 | |||||||||
Imperial Brands PLC | 577 | 18 | |||||||||
Japan Tobacco, Inc. | 700 | 16 |
See Notes to Financial Statements
76
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Philip Morris International, Inc. | 207 | $ | 18 | ||||||||
Vector Group Ltd. | 269 | 3 | |||||||||
77 | |||||||||||
Trading Companies & Distributors 0.5% | |||||||||||
ITOCHU Corp. | 1,200 | 22 | |||||||||
Marubeni Corp. | 3,000 | 21 | |||||||||
Mitsubishi Corp. | 500 | 14 | |||||||||
Mitsui & Co. Ltd. | 1,300 | 21 | |||||||||
Sumitomo Corp. | 300 | 4 | |||||||||
Watsco, Inc. | 175 | 28 | |||||||||
110 | |||||||||||
Transportation Infrastructure 0.0%(a) | |||||||||||
Sydney Airport | 1,600 | 9 | |||||||||
Wireless Telecommunication Services 0.1% | |||||||||||
NTT DOCOMO, Inc. | 400 | 9 | |||||||||
Vodafone Group PLC | 7,573 | 14 | |||||||||
23 | |||||||||||
Total Common Stocks (Cost $6,927) | 7,548 | ||||||||||
Preferred Stocks 1.3% | |||||||||||
Equity Real Estate Investment Trusts 1.3% | |||||||||||
Apartment Investment & Management Co., Ser. A, 6.88% | 1,000 | 25 | |||||||||
Ashford Hospitality Trust, Inc., Ser. F, 7.38% | 600 | 14 | |||||||||
Ashford Hospitality Trust, Inc., Ser. H, 7.50% | 1,579 | 37 | |||||||||
Brookfield Property REIT, Inc., Ser. A, 6.38% | 1,226 | 31 | |||||||||
Cedar Realty Trust, Inc., Ser. B, 7.25% | 156 | 4 | |||||||||
Colony Capital, Inc., Ser. J, 7.13% | 793 | 16 | |||||||||
Hersha Hospitality Trust, Ser. C, 6.88% | 764 | 19 | |||||||||
Hersha Hospitality Trust, Ser. D, 6.50% | 675 | 16 |
Number of Shares | Value (000's omitted) | ||||||||||
Pennsylvania Real Estate Investment Trust, Ser. D, 6.88% | 500 | $ | 11 | ||||||||
PS Business Parks, Inc., Ser. U, 5.75% | 800 | 20 | |||||||||
PS Business Parks, Inc., Ser. V, 5.70% | 550 | 14 | |||||||||
QTS Realty Trust, Inc., Ser. A, 7.13% | 250 | 7 | |||||||||
Rexford Industrial Realty, Inc., Ser. A, 5.88% | 533 | 13 | |||||||||
Saul Centers, Inc., Ser. D, 6.13% | 600 | 15 | |||||||||
UMH Properties, Inc., Ser. D, 6.38% | 375 | 9 | |||||||||
VEREIT, Inc., Ser. F, 6.70% | 1,014 | 25 | |||||||||
Vornado Realty Trust, Ser. K, 5.70% | 1,050 | 27 | |||||||||
Total Preferred Stocks (Cost $302) | 303 | ||||||||||
Principal Amount (000's omitted) | |||||||||||
Convertible Bonds 0.9% | |||||||||||
Biotechnology 0.0%(a) | |||||||||||
BioMarin Pharmaceutical, Inc., 0.60%, due 8/1/2024 | $ | 10 | 10 | ||||||||
Communications Equipment 0.0%(a) | |||||||||||
Finisar Corp., 0.50%, due 12/15/2036 | 5 | 5 | |||||||||
Equity Real Estate Investment Trusts 0.1% | |||||||||||
IH Merger Sub LLC, 3.50%, due 1/15/2022 | 10 | 12 | |||||||||
Health Care Equipment & Supplies 0.0%(a) | |||||||||||
CONMED Corp., 2.63%, due 2/1/2024 | 10 | 11 | (c) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Independent Power and Renewable Electricity Producers 0.1% | |||||||||||
NextEra Energy Partners L.P., 1.50%, due 9/15/2020 | $ | 15 | $ | 15 | (c) | ||||||
Interactive Media & Services 0.0%(a) | |||||||||||
Zillow Group, Inc., 2.00%, due 12/1/2021 | 10 | 10 | |||||||||
Internet & Direct Marketing Retail 0.0%(a) | |||||||||||
Liberty Expedia Holdings, Inc., 1.00%, due 6/30/2047 | 10 | 10 | (c) | ||||||||
Machinery 0.1% | |||||||||||
Fortive Corp., 0.88%, due 2/15/2022 | 5 | 5 | (c) | ||||||||
Vishay Intertechnology, Inc., 2.25%, due 6/15/2025 | 10 | 10 | (c) | ||||||||
15 | |||||||||||
Media 0.1% | |||||||||||
Liberty Media Corp., 2.13%, due 3/31/2048 | 25 | 24 | (c) | ||||||||
Metals & Mining 0.1% | |||||||||||
Endeavour Mining Corp., 3.00%, due 2/15/2023 | 20 | 18 | (c) | ||||||||
Oil, Gas & Consumable Fuel 0.1% | |||||||||||
Golar LNG Ltd., 2.75%, due 2/15/2022 | 15 | 14 | |||||||||
Software 0.3% | |||||||||||
DocuSign, Inc., 0.50%, due 9/15/2023 | 5 | 5 | (c) | ||||||||
Envestnet, Inc., 1.75%, due 6/1/2023 | 20 | 24 | (c) | ||||||||
Guidewire Software, Inc., 1.25%, due 3/15/2025 | 20 | 23 | |||||||||
Splunk, Inc., 0.50%, due 9/15/2023 | 5 | 6 | (c) | ||||||||
58 | |||||||||||
Total Convertible Bonds (Cost $193) | 202 |
See Notes to Financial Statements
77
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Corporate Bonds 12.6% | |||||||||||
Agriculture 0.1% | |||||||||||
BAT Capital Corp., 4.54%, due 8/15/2047 | $ | 35 | $ | 31 | |||||||
Auto Manufacturers 0.1% | |||||||||||
General Motors Financial Co., Inc., 5.10%, due 1/17/2024 | 15 | 16 | |||||||||
Banks 3.4% | |||||||||||
Banco Santander SA, 3.80%, due 2/23/2028 | 30 | 29 | |||||||||
Bank of America Corp. | |||||||||||
2.74%, due 1/23/2022 | 45 | 45 | (o) | ||||||||
3.71%, due 4/24/2028 | 100 | 101 | (o) | ||||||||
3.97%, due 3/5/2029 | 30 | 31 | (o) | ||||||||
4.33%, due 3/15/2050 | 45 | 46 | (o) | ||||||||
Citigroup, Inc. | |||||||||||
3.89%, due 1/10/2028 | 115 | 117 | (o) | ||||||||
3.52%, due 10/27/2028 | 20 | 20 | (o) | ||||||||
Goldman Sachs Group, Inc. | |||||||||||
2.60%, due 4/23/2020 | 20 | 20 | |||||||||
3.69%, due 6/5/2028 | 40 | 40 | (o) | ||||||||
3.81%, due 4/23/2029 | 75 | 74 | (o) | ||||||||
4.02%, due 10/31/2038 | 35 | 34 | (o) | ||||||||
5.15%, due 5/22/2045 | 20 | 21 | |||||||||
HSBC Holdings PLC, 6.00%, due 5/22/2027 | 65 | 65 | (e)(o) | ||||||||
JPMorgan Chase & Co., 3.88%, due 7/24/2038 | 30 | 30 | (o) | ||||||||
Morgan Stanley, 3.59%, due 7/22/2028 | 70 | 70 | (o) | ||||||||
Westpac Banking Corp., 5.00%, due 9/21/2027 | 23 | 21 | (e)(o) | ||||||||
764 |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Beverages 0.8% | |||||||||||
Anheuser-Busch Cos., LLC/ Anheuser-Busch InBev Worldwide, Inc., 4.70%, due 2/1/2036 | $ | 20 | $ | 20 | (c) | ||||||
Anheuser-Busch InBev Worldwide, Inc. | |||||||||||
4.60%, due 4/15/2048 | 25 | 25 | |||||||||
4.75%, due 4/15/2058 | 40 | 39 | |||||||||
5.80%, due 1/23/2059 | 75 | 85 | |||||||||
169 | |||||||||||
Chemicals 0.2% | |||||||||||
DowDuPont, Inc., 4.73%, due 11/15/2028 | 35 | 38 | |||||||||
Computers 0.8% | |||||||||||
Apple, Inc., 4.65%, due 2/23/2046 | 35 | 39 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. 5.45%, due 6/15/2023 | 65 | 69 | (c) | ||||||||
6.02%, due 6/15/2026 | 35 | 38 | (c) | ||||||||
HP Enterprise Co., 3.60%, due 10/15/2020 | 40 | 41 | |||||||||
187 | |||||||||||
Food 0.4% | |||||||||||
Grupo Bimbo SAB de CV, 4.70%, due 11/10/2047 | 55 | 52 | (c) | ||||||||
Kroger Co., 5.40%, due 1/15/2049 | 35 | 37 | |||||||||
89 | |||||||||||
Healthcare—Products 0.5% | |||||||||||
Abbott Laboratories, 3.75%, due 11/30/2026 | 55 | 57 |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Zimmer Biomet Holdings, Inc., 3.55%, due 4/1/2025 | $ | 60 | $ | 60 | |||||||
117 | |||||||||||
Healthcare—Services 0.2% | |||||||||||
HCA, Inc., 5.25%, due 6/15/2026 | 35 | 37 | |||||||||
Insurance 0.1% | |||||||||||
AXA Equitable Holdings, Inc., 5.00%, due 4/20/2048 | 35 | 35 | |||||||||
Media 0.3% | |||||||||||
Comcast Corp. 4.00%, due 8/15/2047 | 20 | 20 | |||||||||
4.95%, due 10/15/2058 | 45 | 50 | |||||||||
70 | |||||||||||
Mining 0.1% | |||||||||||
Anglo American Capital PLC, 4.50%, due 3/15/2028 | 25 | 25 | (c) | ||||||||
Miscellaneous Manufacturers 0.5% | |||||||||||
General Electric Co., Ser. D, 5.00%, due 1/21/2021 | 110 | 104 | (e)(o) | ||||||||
Oil & Gas 0.9% | |||||||||||
Apache Corp., 4.38%, due 10/15/2028 | 60 | 61 | |||||||||
Canadian Natural Resources Ltd., 4.95%, due 6/1/2047 | 20 | 22 | |||||||||
Concho Resources, Inc., 4.88%, due 10/1/2047 | 25 | 26 | |||||||||
Marathon Oil Corp., 4.40%, due 7/15/2027 | 80 | 83 | |||||||||
192 | |||||||||||
Pharmaceuticals 1.6% | |||||||||||
AbbVie, Inc., 4.70%, due 5/14/2045 | 40 | 38 |
See Notes to Financial Statements
78
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
AstraZeneca PLC, 3.50%, due 8/17/2023 | $ | 55 | $ | 56 | |||||||
CVS Health Corp. | |||||||||||
4.30%, due 3/25/2028 | 65 | 66 | |||||||||
5.05%, due 3/25/2048 | 90 | 89 | |||||||||
Halfmoon Parent, Inc., 4.80%, due 8/15/2038 | 55 | 56 | (c) | ||||||||
Shire Acquisitions Investments Ireland DAC 2.40%, due 9/23/2021 | 45 | 44 | |||||||||
3.20%, due 9/23/2026 | 20 | 20 | |||||||||
369 | |||||||||||
Pipelines 1.3% | |||||||||||
Energy Transfer Operating L.P., Ser. B, 6.63%, due 2/15/2028 | 55 | 52 | (e)(o) | ||||||||
Energy Transfer Partners L.P. | |||||||||||
5.80%, due 6/15/2038 | 40 | 43 | |||||||||
6.25%, due 4/15/2049 | 30 | 34 | |||||||||
Kinder Morgan Energy Partners L.P., 4.15%, due 2/1/2024 | 45 | 46 | |||||||||
Kinder Morgan, Inc., 5.55%, due 6/1/2045 | 45 | 49 | |||||||||
MPLX L.P., 4.70%, due 4/15/2048 | 60 | 58 | |||||||||
282 | |||||||||||
Retail 0.2% | |||||||||||
Walmart, Inc., 3.25%, due 7/8/2029 | 35 | 35 | |||||||||
Savings & Loans 0.1% | |||||||||||
Nationwide Building Society, 4.30%, due 3/8/2029 | 20 | 20 | (c)(o) | ||||||||
Telecommunications 0.8% | |||||||||||
AT&T, Inc. 4.35%, due 6/15/2045 | 15 | 14 | |||||||||
5.45%, due 3/1/2047 | 45 | 49 |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
4.50%, due 3/9/2048 | $ | 35 | $ | 34 | |||||||
Telefonica Emisiones SA, 5.52%, due 3/1/2049 | 40 | 43 | |||||||||
Verizon Communications, Inc., 4.52%, due 9/15/2048 | 40 | 42 | |||||||||
182 | |||||||||||
Trucking & Leasing 0.2% | |||||||||||
Avolon Holdings Funding Ltd., 3.95%, due 7/1/2024 | 45 | 45 | (c) | ||||||||
Total Corporate Bonds (Cost $2,753) | 2,807 | ||||||||||
Mortgage-Backed Securities 14.2% | |||||||||||
Collateralized Mortgage Obligations 4.0% | |||||||||||
Fannie Mae Connecticut Avenue Securities | |||||||||||
Ser. 2017-C02, Class 2M2, (1 month USD LIBOR + 3.65%), 6.13%, due 9/25/2029 | 230 | 248 | (d) | ||||||||
Ser. 2017-C03, Class 1M2, (1 month USD LIBOR + 3.00%), 5.48%, due 10/25/2029 | 45 | 48 | (d) | ||||||||
Ser. 2017-C04, Class 2M2, (1 month USD LIBOR + 2.85%), 5.33%, due 11/25/2029 | 120 | 125 | (d) | ||||||||
Ser. 2017-C05, Class 1M2, (1 month USD LIBOR + 2.20%), 4.68%, due 1/25/2030 | 75 | 76 | (d) | ||||||||
Ser. 2017-C06, Class 1M2, (1 month USD LIBOR + 2.65%), 5.13%, due 2/25/2030 | 120 | 123 | (d) |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Ser. 2017-DNA2, Class M2, (1 month USD LIBOR + 3.45%), 5.93%, due 10/25/2029 | $ | 250 | $ | 271 | (d) | ||||||
891 | |||||||||||
Fannie Mae 5.0% | |||||||||||
Pass-Through Certificates | |||||||||||
3.50%, TBA, 30 Year Maturity | 85 | 86 | (f) | ||||||||
4.00%, TBA, 30 Year Maturity | 665 | 682 | (f) | ||||||||
4.50%, TBA, 30 Year Maturity | 285 | 297 | (f) | ||||||||
5.00%, TBA, 30 Year Maturity | 60 | 63 | (f) | ||||||||
1,128 | |||||||||||
Freddie Mac 4.0% | |||||||||||
Pass-Through Certificates | |||||||||||
4.00%, TBA, 30 Year Maturity | 665 | 683 | (f) | ||||||||
4.50%, TBA, 30 Year Maturity | 205 | 213 | (f) | ||||||||
896 | |||||||||||
Ginnie Mae 1.2% | |||||||||||
Pass-Through Certificates | |||||||||||
4.00%, TBA, 30 Year Maturity | 60 | 62 | (f) | ||||||||
4.50%, TBA, 30 Year Maturity | 195 | 202 | (f) | ||||||||
264 | |||||||||||
Total Mortgage-Backed Securities (Cost $3,136) | 3,179 | ||||||||||
U.S. Treasury Obligations 14.9% | |||||||||||
U.S. Treasury Bill, 2.34%, due 1/2/2020 | 100 | 98 | (g)(h) |
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) | ||||||||||
U.S. Treasury Bonds | |||||||||||
5.38%, due 2/15/2031 | $ | 100 | $ | 129 | (h) | ||||||
4.50%, due 2/15/2036 | 121 | 151 | |||||||||
3.88%, due 8/15/2040 | 56 | 66 | |||||||||
U.S. Treasury Inflation-Indexed Bonds(i) | |||||||||||
2.00%, due 1/15/2026 | 424 | 466 | (h) | ||||||||
1.75%, due 1/15/2028 | 12 | 13 | |||||||||
3.63%, due 4/15/2028 | 78 | 99 | |||||||||
3.88%, due 4/15/2029 | 152 | 201 | (h) | ||||||||
3.38%, due 4/15/2032 | 21 | 29 | |||||||||
1.00%, due 2/15/2046 | 101 | 102 | |||||||||
U.S. Treasury Notes | |||||||||||
1.38%, due 1/15/2020 | 405 | 402 | (h) | ||||||||
2.00%, due 8/31/2021 | 45 | 45 | |||||||||
2.38%, due 8/15/2024 | 140 | 140 | |||||||||
2.88%, due 5/31/2025- 8/15/2028 | 355 | 366 | |||||||||
1.63%, due 2/15/2026 | 315 | 300 | |||||||||
2.25%, due 2/15/2027- 8/15/2046 | 580 | 559 | |||||||||
2.75%, due 2/15/2028 | 150 | 153 | |||||||||
Total U.S. Treasury Obligations (Cost $3,325) | 3,319 | ||||||||||
U.S. Government Agency Securities 0.6% | |||||||||||
Federal Home Loan Bank, 5.50%, due 7/15/2036 (Cost $134) | 95 | 126 | |||||||||
Asset-Backed Securities 3.4% | |||||||||||
American Express Credit Account Master Trust, Ser. 2019-1, Class A, 2.87%, due 10/15/2024 | 130 | 131 |
Principal Amount (000's omitted) | Value (000's omitted) | ||||||||||
Bear Stearns Asset-Backed Securities Trust, Ser. 2006-SD2, Class M2, (1 month USD LIBOR + 0.80%), 3.28%, due 6/25/2036 | $ | 170 | $ | 170 | (d) | ||||||
Hyundai Auto Lease Securitization Trust, Ser. 2019-A, Class A2, 2.92%, due 7/15/2021 | 120 | 120 | (c) | ||||||||
Verizon Owner Trust, Ser. 2017-1A, Class A, 2.06%, due 9/20/2021 | 179 | 178 | (c) | ||||||||
World Omni Auto Receivables Trust, Ser. 2019-A, Class A3, 3.04%, due 5/15/2024 | 150 | 152 | |||||||||
Total Asset-Backed Securities (Cost $732) | 751 | ||||||||||
Number of Units | |||||||||||
Master Limited Partnerships 3.9% | |||||||||||
Hotels, Restaurants & Leisure 0.6% | |||||||||||
Cedar Fair LP | 2,400 | 129 | |||||||||
Oil, Gas & Consumable Fuels 3.3% | |||||||||||
Energy Transfer Equity LP | 10,900 | 165 | |||||||||
Enterprise Products Partners LP | 6,550 | 188 | |||||||||
EQM Midstream Partners LP | 2,700 | 124 | |||||||||
NuStar Energy LP | 2,575 | 70 | |||||||||
Western Midstream Partners LP | 5,900 | 186 | |||||||||
733 | |||||||||||
Total Master Limited Partnerships (Cost $953) | 862 |
Number of Shares | Value (000's omitted) | ||||||||||
Exchange-Traded Funds 1.6% | |||||||||||
SPDR Bloomberg Barclays Short Term High Yield Bond ETF (Cost $351) | 12,819 | $ | 351 | ||||||||
Investment Companies(j) 14.0% | |||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 72,185 | 603 | (k) | ||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 108,023 | 1,058 | (k) | ||||||||
Neuberger Berman High Income Bond Fund Class R6 | 171,285 | 1,459 | (k) | ||||||||
Total Investment Companies (Cost $3,143) | 3,120 | ||||||||||
Total Options Purchased(l) 0.0%(a) (Cost $3) | 1 | ||||||||||
Short-Term Investments 7.6% | |||||||||||
Investment Companies 7.6% | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class, 2.37%(m) (Cost $1,693) | 1,692,699 | 1,693 | (k) | ||||||||
Total Investments 108.7% (Cost $23,645) | 24,262 | ||||||||||
Liabilities Less Other Assets (8.7)% | (1,938 | )(n) | |||||||||
Net Assets 100.0% | $ | 22,324 |
See Notes to Financial Statements
80
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
* Non-income producing security.
(a) Represents less than 0.05% of net assets of the Fund.
(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 directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at April 30, 2019 amounted to approximately $42,000, which represents 0.2% of net assets of the Fund.
(c) 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, 2019, these securities amounted to approximately $751,000, which represents 3.4% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
(d) Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2019 and changes periodically.
(e) Perpetual Bond Security. The rate reflected was the rate in effect on April 30, 2019. The maturity date reflects the next call date.
(f) 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, 2019 amounted to approximately $2,288,000, which represents 10.2% of net assets of the Fund.
(g) Rate shown was the discount rate at the date of purchase.
(h) All or a portion of the security is pledged as collateral for futures and/or options written.
(i) Index-linked bond whose principal amount adjusts according to a government retail price index.
(j) Affiliated company as defined under the Investment Company Act of 1940, as amended (see Note F of Notes to Financial Statements).
(k) 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 $4,813,000.
(l) See "Purchased option contracts" under Derivative Instruments.
(m) Represents 7-day effective yield as of April 30, 2019.
(n) Includes the impact of the Fund's open positions in derivatives at April 30, 2019.
(o) Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.
See Notes to Financial Statements
81
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2019, 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) | |||||||||||||||
5/2019 | 2 | HSCEI Index | $ | 146,199 | $ | (1,237 | ) | ||||||||||||
6/2019 | 2 | ASX SPI 200 Index | 222,200 | 3,542 | |||||||||||||||
6/2019 | 5 | Canadian Bond, 10 Year | 515,712 | (3,172 | ) | ||||||||||||||
6/2019 | 4 | FTSE100 Index | 384,498 | 8,430 | |||||||||||||||
6/2019 | 2 | MSCI EAFE Index | 191,700 | 2,648 | |||||||||||||||
6/2019 | 7 | MSCI Emerging Markets Index | 378,070 | 9,589 | |||||||||||||||
6/2019 | 2 | S&P 500 E-Mini Index | 294,850 | 15,945 | |||||||||||||||
6/2019 | 3 | TOPIX Index | 434,939 | 404 | |||||||||||||||
6/2019 | 2 | U.S. Treasury Long Bond | 294,938 | (4,348 | ) | ||||||||||||||
6/2019 | 11 | U.S. Treasury Note, 2 Year | 2,343,086 | 7,391 | |||||||||||||||
6/2019 | 2 | U.S. Treasury Note, 5 Year | 231,281 | 1,609 | |||||||||||||||
6/2019 | 11 | U.S. Treasury Note, 10 Year | 1,360,391 | 15,819 | |||||||||||||||
Total Long Positions | $ | 6,797,864 | $ | 56,620 | |||||||||||||||
Short Futures: | |||||||||||||||||||
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
6/2019 | 7 | Euro-Bund | $ | (1,297,883 | ) | $ | (6,617 | ) | |||||||||||
6/2019 | 6 | Euro STOXX 50 Index | (232,306 | ) | (11,844 | ) | |||||||||||||
6/2019 | 3 | MSCI World Index | (189,030 | ) | (7,635 | ) | |||||||||||||
6/2019 | 8 | U.S. Treasury Long Bond | (1,179,750 | ) | (18,584 | ) | |||||||||||||
6/2019 | 2 | U.S. Treasury Note, 10 Year | (247,344 | ) | (2,891 | ) | |||||||||||||
6/2019 | 7 | U.S. Treasury Note, Ultra 10 Year | (922,469 | ) | (11,808 | ) | |||||||||||||
6/2019 | 5 | U.S. Treasury Ultra Long Bond | (821,406 | ) | (11,786 | ) | |||||||||||||
6/2019 | 4 | United Kingdom Long Gilt Bond | (664,101 | ) | 9,024 | ||||||||||||||
Total Short Positions | $ | (5,554,289 | ) | $ | (62,141 | ) | |||||||||||||
Total Futures | $ | (5,521 | ) |
See Notes to Financial Statements
82
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
At April 30, 2019, the Fund had $240,619 deposited in a segregated account to cover margin requirements on open futures. The Fund had securities pledged in the amount of $98,406 to cover collateral requirements on open futures.
For the six months ended April 30, 2019, the average notional value of futures for the Fund was $8,314,591 for long positions and $(4,905,587) for short positions.
Forward foreign currency contracts ("forward contracts")
At April 30, 2019, open forward contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
228,664 | USD | 320,428 | AUD | SCB | 7/16/2019 | $ | 2,370 | ||||||||||||||||||||
14,317 | USD | 20,063 | AUD | SCB | 7/16/2019 | 148 | |||||||||||||||||||||
247,062 | USD | 346,142 | AUD | CITI | 7/16/2019 | 2,608 | |||||||||||||||||||||
170,246 | USD | 238,625 | AUD | CITI | 7/16/2019 | 1,724 | |||||||||||||||||||||
180,338 | USD | 251,206 | AUD | GSI | 7/16/2019 | 2,931 | |||||||||||||||||||||
702,759 | USD | 984,643 | AUD | JPM | 7/16/2019 | 7,382 | |||||||||||||||||||||
103,048 | USD | 144,381 | AUD | JPM | 7/16/2019 | 1,083 | |||||||||||||||||||||
378,988 | USD | 531,154 | AUD | RBC | 7/16/2019 | 3,875 | |||||||||||||||||||||
180,577 | USD | 253,080 | AUD | RBC | 7/16/2019 | 1,846 | |||||||||||||||||||||
143,791 | USD | 200,002 | AUD | SSB | 7/16/2019 | 2,546 | |||||||||||||||||||||
87,900 | USD | 123,385 | AUD | SSB | 7/16/2019 | 763 | |||||||||||||||||||||
71,046 | USD | 99,546 | AUD | SSB | 7/16/2019 | 745 | |||||||||||||||||||||
46,181 | CAD | 34,351 | USD | SSB | 7/16/2019 | 186 | |||||||||||||||||||||
131,035 | USD | 174,650 | CAD | SCB | 7/16/2019 | 422 | |||||||||||||||||||||
17,767 | USD | 23,705 | CAD | CITI | 7/16/2019 | 39 | |||||||||||||||||||||
490,430 | USD | 653,518 | CAD | GSI | 7/16/2019 | 1,695 | |||||||||||||||||||||
539,586 | USD | 719,158 | CAD | JPM | 7/16/2019 | 1,761 | |||||||||||||||||||||
154,423 | USD | 205,830 | CAD | RBC | 7/16/2019 | 492 | |||||||||||||||||||||
93,331 | USD | 124,401 | CAD | RBC | 7/16/2019 | 297 | |||||||||||||||||||||
883,856 | USD | 1,178,017 | CAD | SSB | 7/16/2019 | 2,872 | |||||||||||||||||||||
57,874 | USD | 76,878 | CAD | SSB | 7/16/2019 | 380 | |||||||||||||||||||||
165,883 | CHF | 163,879 | USD | CITI | 7/16/2019 | 92 | |||||||||||||||||||||
123,537 | CHF | 122,002 | USD | GSI | 7/16/2019 | 111 | |||||||||||||||||||||
276,736 | USD | 274,395 | CHF | SCB | 7/16/2019 | 5,505 | |||||||||||||||||||||
221,882 | USD | 219,923 | CHF | CITI | 7/16/2019 | 4,495 | |||||||||||||||||||||
77,240 | USD | 76,554 | CHF | JPM | 7/16/2019 | 1,569 | |||||||||||||||||||||
494,583 | USD | 490,480 | CHF | RBC | 7/16/2019 | 9,757 | |||||||||||||||||||||
184,733 | USD | 183,201 | CHF | RBC | 7/16/2019 | 3,644 | |||||||||||||||||||||
507,563 | USD | 503,256 | CHF | SG | 7/16/2019 | 10,109 | |||||||||||||||||||||
606,511 | USD | 601,083 | CHF | SSB | 7/16/2019 | 12,358 | |||||||||||||||||||||
57,371 | USD | 1,306,075 | CZK | CITI | 7/16/2019 | 107 | |||||||||||||||||||||
244,943 | EUR | 275,001 | USD | GSI | 7/16/2019 | 1,486 | |||||||||||||||||||||
378,645 | USD | 334,629 | EUR | CITI | 7/16/2019 | 921 | |||||||||||||||||||||
50,418 | USD | 44,480 | EUR | CITI | 7/16/2019 | 210 | |||||||||||||||||||||
300,849 | USD | 265,650 | EUR | GSI | 7/16/2019 | 987 |
See Notes to Financial Statements
83
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
179,706 | USD | 158,334 | EUR | GSI | 7/16/2019 | $ | 981 | ||||||||||||||||||||
165,908 | USD | 146,497 | EUR | GSI | 7/16/2019 | 544 | |||||||||||||||||||||
59,820 | USD | 52,739 | EUR | GSI | 7/16/2019 | 289 | |||||||||||||||||||||
10,212 | USD | 9,024 | EUR | SG | 7/16/2019 | 26 | |||||||||||||||||||||
2,301,567 | USD | 2,032,791 | EUR | SSB | 7/16/2019 | 6,985 | |||||||||||||||||||||
273,133 | USD | 239,603 | EUR | SSB | 7/16/2019 | 2,673 | |||||||||||||||||||||
119,160 | USD | 104,773 | EUR | SSB | 7/16/2019 | 894 | |||||||||||||||||||||
156,936 | GBP | 204,958 | USD | CITI | 7/16/2019 | 490 | |||||||||||||||||||||
204,731 | USD | 155,774 | GBP | SCB | 7/16/2019 | 804 | |||||||||||||||||||||
175,542 | USD | 133,565 | GBP | SCB | 7/16/2019 | 689 | |||||||||||||||||||||
285,840 | USD | 217,343 | GBP | CITI | 7/16/2019 | 1,312 | |||||||||||||||||||||
81,200 | USD | 61,742 | GBP | CITI | 7/16/2019 | 373 | |||||||||||||||||||||
481,978 | USD | 366,601 | GBP | GSI | 7/16/2019 | 2,053 | |||||||||||||||||||||
829,688 | USD | 631,104 | GBP | SSB | 7/16/2019 | 3,498 | |||||||||||||||||||||
57,356,420 | JPY | 517,218 | USD | SCB | 7/16/2019 | 811 | |||||||||||||||||||||
59,059,437 | JPY | 532,566 | USD | CITI | 7/16/2019 | 845 | |||||||||||||||||||||
72,609,016 | JPY | 654,986 | USD | GSI | 7/16/2019 | 801 | |||||||||||||||||||||
43,097,207 | JPY | 388,774 | USD | RBC | 7/16/2019 | 469 | |||||||||||||||||||||
55,416,116 | JPY | 499,885 | USD | SSB | 7/16/2019 | 620 | |||||||||||||||||||||
16,599,534 | JPY | 149,356 | USD | SSB | 7/16/2019 | 567 | |||||||||||||||||||||
80,322 | USD | 8,856,532 | JPY | CITI | 7/16/2019 | 332 | |||||||||||||||||||||
61,048 | USD | 69,348,296 | KRW | CITI | 7/16/2019 | 1,341 | |||||||||||||||||||||
58,165 | USD | 66,074,240 | KRW | CITI | 7/16/2019 | 1,278 | |||||||||||||||||||||
1,060,131 | MXN | 54,607 | USD | GSI | 7/16/2019 | 651 | |||||||||||||||||||||
999,944 | MXN | 51,506 | USD | GSI | 7/16/2019 | 614 | |||||||||||||||||||||
1,143,345 | MXN | 58,895 | USD | SSB | 7/16/2019 | 699 | |||||||||||||||||||||
1,037,978 | NOK | 119,925 | USD | SSB | 7/16/2019 | 730 | |||||||||||||||||||||
260,923 | USD | 2,236,421 | NOK | SCB | 7/16/2019 | 959 | |||||||||||||||||||||
65,022 | USD | 557,316 | NOK | SCB | 7/16/2019 | 239 | |||||||||||||||||||||
30,601 | USD | 259,863 | NOK | CITI | 7/16/2019 | 394 | |||||||||||||||||||||
169,710 | USD | 1,454,141 | NOK | GSI | 7/16/2019 | 679 | |||||||||||||||||||||
565,330 | USD | 4,845,559 | NOK | JPM | 7/16/2019 | 2,078 | |||||||||||||||||||||
133,911 | USD | 1,139,686 | NOK | SSB | 7/16/2019 | 1,432 | |||||||||||||||||||||
64,909 | USD | 549,452 | NOK | SSB | 7/16/2019 | 1,041 | |||||||||||||||||||||
28,442 | USD | 243,085 | NOK | SSB | 7/16/2019 | 186 | |||||||||||||||||||||
38,890 | USD | 333,284 | NOK | SSB | 7/16/2019 | 148 | |||||||||||||||||||||
238,325 | NZD | 159,097 | USD | CITI | 7/16/2019 | 304 | |||||||||||||||||||||
50,493 | NZD | 33,707 | USD | GSI | 7/16/2019 | 65 | |||||||||||||||||||||
578,524 | USD | 856,832 | NZD | SCB | 7/16/2019 | 5,441 | |||||||||||||||||||||
47,630 | USD | 70,543 | NZD | SCB | 7/16/2019 | 448 | |||||||||||||||||||||
105,428 | USD | 156,215 | NZD | CITI | 7/16/2019 | 946 | |||||||||||||||||||||
229,652 | USD | 340,029 | NZD | GSI | 7/16/2019 | 2,227 | |||||||||||||||||||||
566,479 | USD | 838,896 | NZD | JPM | 7/16/2019 | 5,392 | |||||||||||||||||||||
62,258 | USD | 92,197 | NZD | JPM | 7/16/2019 | 593 |
See Notes to Financial Statements
84
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
368,251 | USD | 545,426 | NZD | RBC | 7/16/2019 | $ | 3,448 | ||||||||||||||||||||
112,615 | USD | 166,797 | NZD | RBC | 7/16/2019 | 1,055 | |||||||||||||||||||||
382,456 | USD | 566,486 | NZD | SG | 7/16/2019 | 3,568 | |||||||||||||||||||||
450,284 | USD | 666,840 | NZD | SSB | 7/16/2019 | 4,275 | |||||||||||||||||||||
58,230 | USD | 221,861 | PLN | GSI | 7/16/2019 | 50 | |||||||||||||||||||||
524,029 | USD | 4,831,024 | SEK | CITI | 7/16/2019 | 12,333 | |||||||||||||||||||||
136,011 | USD | 1,250,554 | SEK | CITI | 7/16/2019 | 3,554 | |||||||||||||||||||||
77,679 | USD | 716,126 | SEK | CITI | 7/16/2019 | 1,828 | |||||||||||||||||||||
907,231 | USD | 8,355,958 | SEK | GSI | 7/16/2019 | 22,178 | |||||||||||||||||||||
610,183 | USD | 5,620,029 | SEK | GSI | 7/16/2019 | 14,917 | |||||||||||||||||||||
59,276 | USD | 544,017 | SEK | GSI | 7/16/2019 | 1,654 | |||||||||||||||||||||
108,593 | USD | 1,000,873 | SEK | JPM | 7/16/2019 | 2,582 | |||||||||||||||||||||
96,467 | USD | 889,331 | SEK | SG | 7/16/2019 | 2,270 | |||||||||||||||||||||
117,594 | USD | 1,079,964 | SEK | SSB | 7/16/2019 | 3,206 | |||||||||||||||||||||
56,398 | USD | 519,094 | SEK | SSB | 7/16/2019 | 1,416 | |||||||||||||||||||||
62 | USD | 365 | TRY | GSI | 7/16/2019 | 3 | |||||||||||||||||||||
Total unrealized appreciation | $219,794 | ||||||||||||||||||||||||||
501,582 | AUD | 358,008 | USD | CITI | 7/16/2019 | (3,779 | ) | ||||||||||||||||||||
44,917 | AUD | 31,736 | USD | GSI | 7/16/2019 | (14 | ) | ||||||||||||||||||||
1,072,167 | AUD | 764,938 | USD | GSI | 7/16/2019 | (7,749 | ) | ||||||||||||||||||||
1,385,340 | AUD | 988,371 | USD | GSI | 7/16/2019 | (10,012 | ) | ||||||||||||||||||||
115,029 | AUD | 82,091 | USD | SG | 7/16/2019 | (855 | ) | ||||||||||||||||||||
97,341 | AUD | 69,473 | USD | SSB | 7/16/2019 | (728 | ) | ||||||||||||||||||||
236,113 | BRL | 60,713 | USD | GSI | 7/16/2019 | (850 | ) | ||||||||||||||||||||
47,059 | BRL | 12,054 | USD | SSB | 7/16/2019 | (123 | ) | ||||||||||||||||||||
179,726 | BRL | 46,240 | USD | SSB | 7/16/2019 | (673 | ) | ||||||||||||||||||||
466,079 | BRL | 119,913 | USD | SSB | 7/16/2019 | (1,745 | ) | ||||||||||||||||||||
103,485 | CAD | 77,642 | USD | SCB | 7/16/2019 | (250 | ) | ||||||||||||||||||||
37,496 | CAD | 28,137 | USD | CITI | 7/16/2019 | (95 | ) | ||||||||||||||||||||
746,472 | CAD | 560,152 | USD | CITI | 7/16/2019 | (1,900 | ) | ||||||||||||||||||||
12,160 | CAD | 9,125 | USD | GSI | 7/16/2019 | (32 | ) | ||||||||||||||||||||
112,170 | CAD | 84,161 | USD | JPM | 7/16/2019 | (275 | ) | ||||||||||||||||||||
688,453 | CAD | 516,651 | USD | SG | 7/16/2019 | (1,789 | ) | ||||||||||||||||||||
211,539 | CAD | 158,716 | USD | SSB | 7/16/2019 | (516 | ) | ||||||||||||||||||||
188,640 | CHF | 190,250 | USD | SCB | 7/16/2019 | (3,784 | ) | ||||||||||||||||||||
85,973 | CHF | 86,188 | USD | CITI | 7/16/2019 | (1,206 | ) | ||||||||||||||||||||
180,282 | CHF | 179,564 | USD | CITI | 7/16/2019 | (1,361 | ) | ||||||||||||||||||||
341,585 | CHF | 344,628 | USD | CITI | 7/16/2019 | (6,981 | ) | ||||||||||||||||||||
20,448 | CHF | 20,225 | USD | GSI | 7/16/2019 | (13 | ) | ||||||||||||||||||||
12,055 | CHF | 12,165 | USD | GSI | 7/16/2019 | (249 | ) | ||||||||||||||||||||
19,774 | CHF | 19,970 | USD | GSI | 7/16/2019 | (424 | ) | ||||||||||||||||||||
175,453 | CHF | 174,925 | USD | GSI | 7/16/2019 | (1,494 | ) | ||||||||||||||||||||
133,166 | CHF | 134,386 | USD | GSI | 7/16/2019 | (2,755 | ) | ||||||||||||||||||||
42,455 | CHF | 42,836 | USD | JPM | 7/16/2019 | (870 | ) |
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) | |||||||||||||||||||||||
21,938 | CHF | 22,065 | USD | SSB | 7/16/2019 | $ | (380 | ) | |||||||||||||||||||
24,061 | CHF | 24,326 | USD | SSB | 7/16/2019 | (542 | ) | ||||||||||||||||||||
289,063 | CHF | 291,673 | USD | SSB | 7/16/2019 | (5,943 | ) | ||||||||||||||||||||
170,402 | USD | 172,612 | CHF | CITI | 7/16/2019 | (220 | ) | ||||||||||||||||||||
39,884,933 | CLP | 59,637 | USD | GSI | 7/17/2019 | (770 | ) | ||||||||||||||||||||
53,345 | EUR | 60,369 | USD | SCB | 7/16/2019 | (155 | ) | ||||||||||||||||||||
214,314 | EUR | 242,535 | USD | SCB | 7/16/2019 | (621 | ) | ||||||||||||||||||||
107,582 | EUR | 121,733 | USD | CITI | 7/16/2019 | (296 | ) | ||||||||||||||||||||
104,672 | EUR | 118,842 | USD | CITI | 7/16/2019 | (690 | ) | ||||||||||||||||||||
104,783 | EUR | 119,153 | USD | CITI | 7/16/2019 | (875 | ) | ||||||||||||||||||||
261,637 | EUR | 296,214 | USD | JPM | 7/16/2019 | (883 | ) | ||||||||||||||||||||
1,451,664 | EUR | 1,643,512 | USD | JPM | 7/16/2019 | (4,897 | ) | ||||||||||||||||||||
61,801 | EUR | 69,937 | USD | RBC | 7/16/2019 | (177 | ) | ||||||||||||||||||||
114,038 | EUR | 129,052 | USD | RBC | 7/16/2019 | (327 | ) | ||||||||||||||||||||
102,083 | EUR | 115,965 | USD | SSB | 7/16/2019 | (736 | ) | ||||||||||||||||||||
280,692 | EUR | 317,805 | USD | SSB | 7/16/2019 | (965 | ) | ||||||||||||||||||||
348,990 | GBP | 458,824 | USD | GSI | 7/16/2019 | (1,955 | ) | ||||||||||||||||||||
124,858 | GBP | 164,123 | USD | JPM | 7/16/2019 | (669 | ) | ||||||||||||||||||||
697,411 | GBP | 916,729 | USD | JPM | 7/16/2019 | (3,735 | ) | ||||||||||||||||||||
142,941 | GBP | 187,764 | USD | RBC | 7/16/2019 | (638 | ) | ||||||||||||||||||||
250,977 | GBP | 329,678 | USD | RBC | 7/16/2019 | (1,120 | ) | ||||||||||||||||||||
103,937 | GBP | 136,550 | USD | SG | 7/16/2019 | (484 | ) | ||||||||||||||||||||
92,719 | GBP | 121,894 | USD | SSB | 7/16/2019 | (514 | ) | ||||||||||||||||||||
102,219 | GBP | 134,972 | USD | SSB | 7/16/2019 | (1,155 | ) | ||||||||||||||||||||
212,139 | GBP | 279,434 | USD | SSB | 7/16/2019 | (1,718 | ) | ||||||||||||||||||||
137,373 | USD | 105,932 | GBP | CITI | 7/16/2019 | (1,305 | ) | ||||||||||||||||||||
12,608,769 | JPY | 114,057 | USD | SSB | 7/16/2019 | (178 | ) | ||||||||||||||||||||
84,700 | USD | 9,392,736 | JPY | SCB | 7/16/2019 | (133 | ) | ||||||||||||||||||||
33,216 | USD | 3,683,547 | JPY | CITI | 7/16/2019 | (53 | ) | ||||||||||||||||||||
168,487 | USD | 18,725,721 | JPY | CITI | 7/16/2019 | (640 | ) | ||||||||||||||||||||
181,558 | USD | 20,184,063 | JPY | CITI | 7/16/2019 | (739 | ) | ||||||||||||||||||||
218,478 | USD | 24,282,015 | JPY | CITI | 7/16/2019 | (831 | ) | ||||||||||||||||||||
90,330 | USD | 10,013,650 | JPY | GSI | 7/16/2019 | (110 | ) | ||||||||||||||||||||
123,958 | USD | 13,774,353 | JPY | GSI | 7/16/2019 | (448 | ) | ||||||||||||||||||||
209,582 | USD | 23,290,445 | JPY | GSI | 7/16/2019 | (772 | ) | ||||||||||||||||||||
149,283 | USD | 16,548,441 | JPY | JPM | 7/16/2019 | (178 | ) | ||||||||||||||||||||
262,191 | USD | 29,064,526 | JPY | JPM | 7/16/2019 | (313 | ) | ||||||||||||||||||||
267,963 | USD | 29,704,738 | JPY | RBC | 7/16/2019 | (324 | ) | ||||||||||||||||||||
132,978 | USD | 14,748,487 | JPY | SG | 7/16/2019 | (227 | ) | ||||||||||||||||||||
429,674 | USD | 47,632,682 | JPY | SSB | 7/16/2019 | (533 | ) | ||||||||||||||||||||
165,199 | USD | 3,203,042 | MXN | CITI | 7/16/2019 | (1,753 | ) | ||||||||||||||||||||
3,564,005 | NOK | 415,957 | USD | CITI | 7/16/2019 | (1,674 | ) | ||||||||||||||||||||
4,492,122 | NOK | 524,278 | USD | CITI | 7/16/2019 | (2,110 | ) | ||||||||||||||||||||
727,219 | NOK | 84,872 | USD | GSI | 7/16/2019 | (339 | ) |
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) | |||||||||||||||||||||||
490,583 | NOK | 57,588 | USD | GSI | 7/16/2019 | $ | (562 | ) | |||||||||||||||||||
380,046 | NOK | 44,340 | USD | JPM | 7/16/2019 | (163 | ) | ||||||||||||||||||||
799,585 | NOK | 93,311 | USD | RBC | 7/16/2019 | (366 | ) | ||||||||||||||||||||
1,510,617 | NOK | 176,287 | USD | RBC | 7/16/2019 | (691 | ) | ||||||||||||||||||||
2,030,667 | NOK | 236,924 | USD | SG | 7/16/2019 | (877 | ) | ||||||||||||||||||||
5,436,124 | NOK | 634,319 | USD | SSB | 7/16/2019 | (2,418 | ) | ||||||||||||||||||||
131,129 | NZD | 88,777 | USD | CITI | 7/16/2019 | (1,072 | ) | ||||||||||||||||||||
169,518 | NZD | 114,623 | USD | CITI | 7/16/2019 | (1,242 | ) | ||||||||||||||||||||
260,435 | NZD | 176,010 | USD | CITI | 7/16/2019 | (1,821 | ) | ||||||||||||||||||||
945,674 | NZD | 638,229 | USD | CITI | 7/16/2019 | (5,724 | ) | ||||||||||||||||||||
1,425,280 | NZD | 962,620 | USD | GSI | 7/16/2019 | (9,336 | ) | ||||||||||||||||||||
135,549 | NZD | 91,530 | USD | SSB | 7/16/2019 | (869 | ) | ||||||||||||||||||||
113,460 | NZD | 76,943 | USD | SSB | 7/16/2019 | (1,056 | ) | ||||||||||||||||||||
215,358 | NZD | 145,918 | USD | SSB | 7/16/2019 | (1,878 | ) | ||||||||||||||||||||
221,846 | PLN | 58,211 | USD | CITI | 7/16/2019 | (35 | ) | ||||||||||||||||||||
1,313,544 | SEK | 142,498 | USD | SCB | 7/16/2019 | (3,369 | ) | ||||||||||||||||||||
1,946,597 | SEK | 211,173 | USD | SCB | 7/16/2019 | (4,992 | ) | ||||||||||||||||||||
540,752 | SEK | 58,384 | USD | CITI | 7/16/2019 | (1,108 | ) | ||||||||||||||||||||
151,378 | SEK | 16,424 | USD | JPM | 7/16/2019 | (391 | ) | ||||||||||||||||||||
2,307,040 | SEK | 250,490 | USD | RBC | 7/16/2019 | (6,131 | ) | ||||||||||||||||||||
3,440,601 | SEK | 373,568 | USD | RBC | 7/16/2019 | (9,144 | ) | ||||||||||||||||||||
1,115,241 | SEK | 121,625 | USD | SSB | 7/16/2019 | (3,500 | ) | ||||||||||||||||||||
4,171,896 | SEK | 452,670 | USD | SSB | 7/16/2019 | (10,788 | ) | ||||||||||||||||||||
17,448,826 | SEK | 1,893,278 | USD | SSB | 7/16/2019 | (45,120 | ) | ||||||||||||||||||||
72,310 | USD | 683,353 | SEK | SSB | 7/16/2019 | (70 | ) | ||||||||||||||||||||
Total unrealized depreciation | $ | (206,370 | ) | ||||||||||||||||||||||||
Total net unrealized appreciation | $ | 13,424 |
For the six months ended April 30, 2019, the Fund's investments in forward contracts had an average notional value of $54,236,671.
See Notes to Financial Statements
87
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
Total return swap contracts ("total return swaps")
At April 30, 2019, the Fund had outstanding total return swaps as follows:
Over-the-counter total return swaps — Long(a)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- rate(c) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
JPM | CSI 300 Net Return Index | CNY 253,801 | 8/19/2019 | 1.68 | % | (1.45 | )% | 6M CNH HIBOR | T/6M(d) | $ | 4,493 | $ | (7 | ) | $ | 4,486 | |||||||||||||||||||||||||||
CITI | S&P 500 Financials Sector Total Return Index | USD122,839 | 4/29/2020 | 2.79 | % | 0.20 | % | 3M USD LIBOR | T/3M | 1,345 | (47 | ) | 1,298 | ||||||||||||||||||||||||||||||
Total | $ | 5,838 | $ | (54 | ) | $ | 5,784 |
Over-the-counter total return swaps — Short(b)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- rate(c) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
CITI | S&P 500 Consumer Discretionary Sector Total Return Index | USD | (137,600 | ) | 4/29/2020 | 2.72 | % | 0.13 | % | 3M USD LIBOR | 3M/T | $ | 754 | $ | 52 | $ | 806 |
(a) The Fund pays a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and receives the total return on the reference entity.
(b) The Fund receives a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and pays the total return on the reference entity.
(c) Effective rate at April 30, 2019.
(d) Payment in CNH.
For the six months ended April 30, 2019, the average notional value of total return swaps for the Fund was $436,025 for long positions and $(451,061) for short positions.
See Notes to Financial Statements
88
Schedule of Investments Multi-Asset Income Fund^ (Unaudited) (cont'd)
Purchased option contracts ("options purchased")
At April 30, 2019, 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 | 58 | $ | 1,708,564 | $ | 315 | 5/1/2019 | $ | — | (a)(b) | ||||||||||||||
S&P 500 Mini Index | 38 | 1,119,404 | 315 | 5/8/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 19 | 559,702 | 320 | 5/8/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 34 | 1,001,572 | 320 | 5/15/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 19 | 559,702 | 320 | 5/22/2019 | 62 | (a)(b) | |||||||||||||||||
Total calls | $ | 62 | |||||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Mini Index | 8 | $ | 235,664 | $ | 259 | 5/1/2019 | $ | — | (a)(b) | ||||||||||||||
S&P 500 Mini Index | 43 | 1,266,694 | 260 | 5/1/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 35 | 1,031,030 | 260 | 5/8/2019 | 123 | ||||||||||||||||||
S&P 500 Mini Index | 16 | 471,328 | 263 | 5/8/2019 | — | (a)(b) | |||||||||||||||||
S&P 500 Mini Index | 17 | 500,786 | 260 | 5/15/2019 | 153 | ||||||||||||||||||
S&P 500 Mini Index | 17 | 500,786 | 263 | 5/15/2019 | 204 | ||||||||||||||||||
S&P 500 Mini Index | 17 | 500,786 | 263 | 5/22/2019 | 323 | ||||||||||||||||||
Total puts | $ | 803 | |||||||||||||||||||||
Total options purchased (cost $3,314) | $ | 865 |
(a) Security fair valued as of April 30, 2019 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, 2019, 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 | 58 | $ | (1,708,564 | ) | $ | 294 | 5/1/2019 | $ | (7,279 | ) | |||||||||||||
S&P 500 Mini Index | 17 | (500,786 | ) | 297 | 5/8/2019 | (1,164 | ) | ||||||||||||||||
S&P 500 Mini Index | 40 | (1,178,320 | ) | 295 | 5/8/2019 | (6,420 | ) | ||||||||||||||||
S&P 500 Mini Index | 15 | (441,870 | ) | 295 | 5/15/2019 | (3,315 | ) | ||||||||||||||||
S&P 500 Mini Index | 19 | (559,702 | ) | 298 | 5/15/2019 | (1,653 | ) | ||||||||||||||||
S&P 500 Mini Index | 19 | (559,702 | ) | 300 | 5/22/2019 | (1,321 | ) | ||||||||||||||||
Total calls | $(21,152) |
See Notes to Financial Statements
89
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 | 8 | $ | (235,664 | ) | $ | 282 | 5/1/2019 | $ | — | (a)(b) | |||||||||||||
S&P 500 Mini Index | 33 | (972,114 | ) | 283.5 | 5/1/2019 | — | (a)(b) | ||||||||||||||||
S&P 500 Mini Index | 10 | (294,580 | ) | 285 | 5/1/2019 | — | (a)(b) | ||||||||||||||||
S&P 500 Mini Index | 33 | (972,114 | ) | 283 | 5/8/2019 | (462 | ) | ||||||||||||||||
S&P 500 Mini Index | 2 | (58,916 | ) | 284.5 | 5/8/2019 | (45 | ) | ||||||||||||||||
S&P 500 Mini Index | 16 | (471,328 | ) | 288 | 5/8/2019 | (576 | ) | ||||||||||||||||
S&P 500 Mini Index | 17 | (500,786 | ) | 283 | 5/15/2019 | (774 | ) | ||||||||||||||||
S&P 500 Mini Index | 17 | (500,786 | ) | 287 | 5/15/2019 | (1,207 | ) | ||||||||||||||||
S&P 500 Mini Index | 17 | (500,786 | ) | 286 | 5/22/2019 | (1,666 | ) | ||||||||||||||||
Total puts | $ | (4,730 | ) | ||||||||||||||||||||
Total options written (premium received $32,482) | $ | (25,882 | ) |
(a) Security fair valued as of April 30, 2019 in accordance with procedures approved by the Board of Trustees.
(b) Value determined using significant unobservable inputs.
For the six months ended April 30, 2019, the Fund had an average market value of $1,356 in options purchased and $(37,960) in options written.
At April 30, 12019, the Fund had securities pledged in the amount of $1,027,452 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, 2019:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(c) | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Auto Components | $ | 12 | $ | 4 | $ | — | $ | 16 | |||||||||||
Automobiles | 69 | 28 | — | 97 | |||||||||||||||
Banks | 306 | 10 | — | 316 | |||||||||||||||
Chemicals | 139 | 22 | — | 161 | |||||||||||||||
Diversified Telecommunication Services | 244 | 8 | — | 252 | |||||||||||||||
Metals & Mining | 220 | 2 | — | 222 | |||||||||||||||
Pharmaceuticals | 434 | 18 | — | 452 | |||||||||||||||
Semiconductors & Semiconductor Equipment | 168 | 25 | — | 193 | |||||||||||||||
Technology Hardware, Storage & Peripherals | 136 | 41 | — | 177 | |||||||||||||||
Tobacco | 61 | 16 | — | 77 | |||||||||||||||
Trading Companies & Distributors | 28 | 82 | — | 110 | |||||||||||||||
Wireless Telecommunication Services | 14 | 9 | — | 23 | |||||||||||||||
Other Common Stocks(a) | 5,452 | — | — | 5,452 | |||||||||||||||
Total Common Stocks | 7,283 | 265 | — | 7,548 |
See Notes to Financial Statements
90
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 | |||||||||||||||
Preferred Stocks(a) | $ | 303 | $ | — | $ | — | $ | 303 | |||||||||||
Convertible Bonds(a) | — | 202 | — | 202 | |||||||||||||||
Corporate Bonds(a) | — | 2,807 | — | 2,807 | |||||||||||||||
Mortgage-Backed Securities(a) | — | 3,179 | — | 3,179 | |||||||||||||||
U.S. Treasury Obligations | — | 3,319 | — | 3,319 | |||||||||||||||
U.S. Government Agency Securities | — | 126 | — | 126 | |||||||||||||||
Asset-Backed Securities | — | 751 | — | 751 | |||||||||||||||
Master Limited Partnerships(a) | 862 | — | — | 862 | |||||||||||||||
Exchange-Traded Funds | 351 | — | — | 351 | |||||||||||||||
Investment Companies | — | 3,120 | — | 3,120 | |||||||||||||||
Options Purchased(b) | 1 | — | — | 1 | |||||||||||||||
Short-Term Investments | — | 1,693 | — | 1,693 | |||||||||||||||
Total Investments | $ | 8,800 | $ | 15,462 | $ | — | $ | 24,262 |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
(b) The "Purchased option contracts" table under Derivative Instructions 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 11/1/2018 | 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 4/30/2019 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2019 | ||||||||||||||||||||||||||||||||||
Investments in Securities (000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Purchased(d) | |||||||||||||||||||||||||||||||||||||||||||
Index | $ | — | $ | — | $ | — | $ | (1 | ) | $ | 1 | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) | |||||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (1 | ) | $ | 1 | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) |
(d) As of the six months ended April 30, 2019, 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.
See Notes to Financial Statements
91
Schedule of Investments Multi-Asset Income 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, 2019:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3(b) | Total | |||||||||||||||
Futures(a) | |||||||||||||||||||
Assets | $ | 74 | $ | — | $ | — | $ | 74 | |||||||||||
Liabilities | (80 | ) | — | — | (80 | ) | |||||||||||||
Forward Contracts(a) | |||||||||||||||||||
Assets | — | 220 | — | 220 | |||||||||||||||
Liabilities | — | (207 | ) | — | (207 | ) | |||||||||||||
Swaps | |||||||||||||||||||
Assets | — | 7 | — | 7 | |||||||||||||||
Options Written | |||||||||||||||||||
Liabilities | (26 | ) | — | — | (26 | ) | |||||||||||||
Total | $ | (32 | ) | $ | 20 | $ | — | $ | (12 | ) |
(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 11/1/2018 | 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 4/30/2019 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/2019 | ||||||||||||||||||||||||||||||||||
Other Financial Instruments: (000's omitted) | |||||||||||||||||||||||||||||||||||||||||||
Options Written(c) | |||||||||||||||||||||||||||||||||||||||||||
Index | $ | — | $ | — | $ | — | $ | 6 | $ | — | $ | (6 | ) | $ | — | $ | — | $ | — | $ | 6 | ||||||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 6 | $ | — | $ | (6 | ) | $ | — | $ | — | $ | — | $ | 6 |
(c) As of the six months ended April 30, 2019, 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.
^ A balance indicated with a "-", either reflects a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
92
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) April 30, 2019
Number of Shares | Value (000's omitted) | ||||||||||
Common Stocks 36.1% | |||||||||||
Australia 0.9% | |||||||||||
BHP Group PLC | 2,480 | $ | 58 | ||||||||
Rio Tinto PLC | 1,372 | 80 | |||||||||
138 | |||||||||||
Austria 0.2% | |||||||||||
Telekom Austria AG | 3,237 | 24 | * | ||||||||
Belgium 2.3% | |||||||||||
Ageas | 1,413 | 74 | |||||||||
Colruyt SA | 1,250 | 90 | |||||||||
KBC Group NV | 299 | 22 | |||||||||
Solvay SA | 565 | 68 | |||||||||
UCB SA | 1,155 | 92 | (a) | ||||||||
346 | |||||||||||
France 4.8% | |||||||||||
Capgemini SE | 614 | 74 | |||||||||
Credit Agricole SA | 7,444 | 102 | |||||||||
Dassault Systemes SA | 174 | 28 | |||||||||
Klepierre SA | 118 | 4 | |||||||||
Orange SA | 6,110 | 96 | |||||||||
Peugeot SA | 3,739 | 98 | |||||||||
Renault SA | 1,108 | 76 | |||||||||
Sanofi | 990 | 86 | |||||||||
SCOR SE | 127 | 5 | |||||||||
Societe BIC SA | 491 | 42 | |||||||||
Sodexo SA | 745 | 85 | |||||||||
Vinci SA | 225 | 23 | (a) | ||||||||
719 | |||||||||||
Germany 0.5% | |||||||||||
Bayerische Motoren Werke AG, Preference Shares | 220 | 16 | |||||||||
Evonik Industries AG | 1,330 | 40 | |||||||||
HUGO BOSS AG | 322 | 22 | (a) | ||||||||
78 | |||||||||||
Italy 1.3% | |||||||||||
Eni SpA | 5,803 | 99 | |||||||||
Mediobanca Banca di Credito Finanziario SpA | 2,264 | 24 | |||||||||
Snam SpA | 13,833 | 71 | |||||||||
194 | |||||||||||
Japan 10.2% | |||||||||||
Astellas Pharma, Inc. | 5,100 | 69 | |||||||||
Bridgestone Corp. | 400 | 16 | |||||||||
Canon, Inc. | 2,000 | 56 | |||||||||
Chubu Electric Power Co., Inc. | 4,000 | 58 | |||||||||
Daicel Corp. | 4,300 | 48 | |||||||||
FUJIFILM Holdings Corp. | 1,000 | 47 | |||||||||
Fujitsu Ltd. | 400 | 29 | |||||||||
ITOCHU Corp. | 3,300 | 60 |
Number of Shares | Value (000's omitted) | ||||||||||
Japan Post Holdings Co. Ltd. | 1,200 | $ | 13 | ||||||||
Japan Tobacco, Inc. | 2,400 | 55 | |||||||||
JFE Holdings, Inc. | 900 | 15 | |||||||||
JXTG Holdings, Inc. | 1,900 | 9 | |||||||||
KDDI Corp. | 1,600 | 37 | |||||||||
Kewpie Corp. | 900 | 21 | |||||||||
Konica Minolta, Inc. | 3,100 | 31 | |||||||||
Marubeni Corp. | 8,300 | 59 | |||||||||
Mitsubishi Corp. | 2,100 | 58 | |||||||||
Mitsui & Co. Ltd. | 4,300 | 70 | |||||||||
Mizuho Financial Group, Inc. | 36,900 | 58 | |||||||||
MS&AD Insurance Group Holdings, Inc. | 500 | 16 | |||||||||
Nippon Telegraph & Telephone Corp. | 1,600 | 67 | |||||||||
NOF Corp. | 400 | 14 | |||||||||
NTT DOCOMO, Inc. | 2,900 | 63 | |||||||||
Sankyo Co. Ltd. | 1,500 | 59 | |||||||||
Sekisui House Ltd. | 2,000 | 32 | |||||||||
Sojitz Corp. | 1,900 | 7 | |||||||||
Sumitomo Corp. | 4,400 | 63 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 400 | 15 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 800 | 28 | |||||||||
Taiheiyo Cement Corp. | 900 | 29 | |||||||||
Teijin Ltd. | 3,500 | 60 | |||||||||
TIS, Inc. | 1,300 | 59 | |||||||||
Tokio Marine Holdings, Inc. | 1,200 | 61 | |||||||||
Tokyo Gas Co. Ltd. | 600 | 15 | |||||||||
Toyota Motor Corp. | 800 | 50 | |||||||||
United Urban Investment Corp. | 31 | 49 | |||||||||
Yamada Denki Co. Ltd. | 3,700 | 18 | |||||||||
1,514 | |||||||||||
Jordan 0.1% | |||||||||||
Hikma Pharmaceuticals PLC | 658 | 15 | |||||||||
Netherlands 3.0% | |||||||||||
ASR Nederland NV | 1,115 | 50 | |||||||||
Koninklijke Ahold Delhaize NV | 3,850 | 93 | |||||||||
Koninklijke DSM NV | 896 | 102 | |||||||||
Koninklijke Philips NV | 549 | 23 | |||||||||
Royal Dutch Shell PLC, Class A | 2,401 | 77 | |||||||||
Wolters Kluwer NV | 1,350 | 94 | |||||||||
439 |
Number of Shares | Value (000's omitted) | ||||||||||
Portugal 0.5% | |||||||||||
EDP—Energias de Portugal SA | 5,677 | $ | 22 | ||||||||
NOS SGPS SA | 8,349 | 56 | |||||||||
78 | |||||||||||
South Africa 0.5% | |||||||||||
Anglo American PLC | 2,907 | 75 | |||||||||
Spain 3.4% | |||||||||||
ACS Actividades de Construccion y Servicios SA | 491 | 23 | (a) | ||||||||
Aena SME SA | 202 | 37 | (b) | ||||||||
Amadeus IT Group SA | 276 | 22 | |||||||||
Banco Bilbao Vizcaya Argentaria SA | 10,601 | 64 | |||||||||
Bankinter SA | 4,857 | 39 | |||||||||
Cia de Distribucion Integral Logista Holdings SA | 3,906 | 93 | |||||||||
Enagas SA | 784 | 22 | |||||||||
Endesa SA | 3,623 | 90 | |||||||||
Merlin Properties Socimi SA | 3,264 | 45 | |||||||||
Repsol SA | 558 | 10 | |||||||||
Telefonica SA | 7,348 | 61 | |||||||||
506 | |||||||||||
Switzerland 0.5% | |||||||||||
Ferguson PLC | 962 | 68 | |||||||||
United Kingdom 7.9% | |||||||||||
Auto Trader Group PLC | 4,115 | 30 | (b) | ||||||||
Avast PLC | 7,852 | 31 | (b) | ||||||||
Aviva PLC | 5,833 | 33 | |||||||||
Berkeley Group Holdings PLC | 1,477 | 72 | |||||||||
BP PLC | 9,342 | 68 | |||||||||
British Land Co. PLC | 6,492 | 50 | |||||||||
Bunzl PLC | 492 | 15 | |||||||||
Derwent London | 713 | 30 PLC | |||||||||
Direct Line Insurance Group PLC | 15,453 | 66 | |||||||||
GlaxoSmithKline PLC | 3,172 | 65 | |||||||||
HSBC Holdings PLC | 6,930 | 60 | |||||||||
Imperial Brands PLC | 2,090 | 66 | |||||||||
Land Securities Group PLC | 2,213 | 27 | |||||||||
Legal & General Group PLC | 11,749 | 43 | |||||||||
Lloyds Banking Group PLC | 58,732 | 48 |
See Notes to Financial Statements
93
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Number of Shares | Value (000's omitted) | ||||||||||
Marks & Spencer Group PLC | 17,453 | $ | 65 | ||||||||
National Express Group PLC | 8,801 | 47 | |||||||||
National Grid PLC | 5,965 | 65 | |||||||||
Pearson PLC | 6,043 | 65 | |||||||||
Persimmon PLC | 1,237 | 36 | |||||||||
RELX PLC | 2,086 | 48 | |||||||||
Smith & Nephew PLC | 1,566 | 30 | |||||||||
Tate & Lyle PLC | 7,245 | 73 | |||||||||
Tesco PLC | 1,132 | 4 | |||||||||
WM Morrison Supermarkets PLC | 9,898 | 28 | |||||||||
1,165 | |||||||||||
Total Common Stocks (Cost $5,412) | 5,359 |
Number of Shares | Value (000's omitted) | ||||||||||
Short-Term Investments 33.0% | |||||||||||
Investment Companies 33.0% | |||||||||||
State Street Institutional Treasury Money Market Fund Premier Class, 2.33%(c) (Cost $4,909) | 4,908,910 | $ | 4,909 | (d) | |||||||
Total Investments 69.1% (Cost $10,321) | 10,268 | ||||||||||
Other Assets Less Liabilities 30.9% | 4,590 | (e) | |||||||||
Net Assets 100.0% | $ | 14,858 |
* Non-income producing security.
(a) All or a portion of this security was purchased on a delayed delivery basis.
(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 directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at April 30, 2019 amounted to approximately $98,000, which represents 0.7% of net assets of the Fund.
(c) Represents 7-day effective yield as of April 30, 2019.
(d) All or a portion of this security is segregated in connection with obligations for delayed delivery security, options written, futures, forward foreign currency contracts and/or swaps with a total value of approximately $49,089,000.
(e) Includes the impact of the Fund's open positions in derivatives at April 30, 2019.
See Notes to Financial Statements
94
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
POSITIONS BY INDUSTRY
Industry | Investments at Value (000's omitted) | Percentage of Net Assets | |||||||||
Banks | $ | 460 | 3.1 | % | |||||||
Trading Companies & Distributors | 400 | 2.7 | % | ||||||||
Insurance | 361 | 2.4 | % | ||||||||
Oil, Gas & Consumable Fuels | 356 | 2.4 | % | ||||||||
Chemicals | 332 | 2.2 | % | ||||||||
Pharmaceuticals | 327 | 2.2 | % | ||||||||
Diversified Telecommunication Services | 248 | 1.7 | % | ||||||||
Automobiles | 240 | 1.6 | % | ||||||||
Metals & Mining | 228 | 1.5 | % | ||||||||
Food & Staples Retailing | 215 | 1.5 | % | ||||||||
Equity Real Estate Investment Trusts | 205 | 1.4 | % | ||||||||
IT Services | 184 | 1.2 | % | ||||||||
Electric Utilities | 170 | 1.1 | % | ||||||||
Professional Services | 142 | 1.0 | % | ||||||||
Household Durables | 140 | 1.0 | % | ||||||||
Technology Hardware, Storage & Peripherals | 134 | 0.9 | % | ||||||||
Media | 121 | 0.9 | % | ||||||||
Tobacco | 121 | 0.8 | % | ||||||||
Wireless Telecommunication Services | 100 | 0.7 | % | ||||||||
Food Products | 94 | 0.6 | % | ||||||||
Air Freight & Logistics | 93 | 0.6 | % | ||||||||
Hotels, Restaurants & Leisure | 85 | 0.6 | % | ||||||||
Multi-Utilities | 65 | 0.4 | % | ||||||||
Multiline Retail | 65 | 0.4 | % | ||||||||
Leisure Products | 59 | 0.4 | % | ||||||||
Software | 59 | 0.4 | % | ||||||||
Health Care Equipment & Supplies | 53 | 0.4 | % | ||||||||
Road & Rail | 47 | 0.3 | % | ||||||||
Construction & Engineering | 46 | 0.3 | % | ||||||||
Commercial Services & Supplies | 42 | 0.3 | % | ||||||||
Transportation Infrastructure | 37 | 0.3 | % | ||||||||
Interactive Media & Services | 30 | 0.2 | % | ||||||||
Construction Materials | 29 | 0.2 | % | ||||||||
Textiles, Apparel & Luxury Goods | 22 | 0.1 | % | ||||||||
Specialty Retail | 18 | 0.1 | % | ||||||||
Auto Components | 16 | 0.1 | % | ||||||||
Gas Utilities | 15 | 0.1 | % | ||||||||
Short-Term Investments and Other Assets—Net | 9,499 | 63.9 | % | ||||||||
$ | 14,858 | 100.0 | % |
See Notes to Financial Statements
95
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2019, 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) | |||||||||||||||
5/2019 | 6 | WTI Crude Oil | $ | 383,460 | $ | (2,410 | ) | ||||||||||||
5/2019 | 7 | Brent Crude Oil | 504,420 | 3,005 | |||||||||||||||
5/2019 | 4 | New York Harbor ULSD | 349,087 | 5,004 | |||||||||||||||
6/2019 | 14 | Euro-BTP | 2,048,536 | 44,051 | |||||||||||||||
6/2019 | 18 | Euro-Bund | 3,337,412 | 29,067 | |||||||||||||||
6/2019 | 11 | Euro-OAT | 1,998,692 | 24,153 | |||||||||||||||
6/2019 | 7 | Low Sulphur Gasoil | 446,425 | (3,100 | ) | ||||||||||||||
6/2019 | 1 | Nikkei 225 Index | 111,875 | 950 | |||||||||||||||
6/2019 | 5 | U.S. Treasury Long Bond | 737,344 | 3,812 | |||||||||||||||
6/2019 | 2 | SPI 200 Index | 222,200 | 1,533 | |||||||||||||||
6/2019 | 3 | Euro STOXX 50 Index | 116,153 | 2,905 | |||||||||||||||
6/2019 | 1 | FTSE100 Index | 96,124 | (411 | ) | ||||||||||||||
6/2019 | 1 | NASDAQ 100 E-Mini Index | 156,000 | 4,625 | |||||||||||||||
6/2019 | 1 | S&P 500 E-Mini Index | 147,425 | 6,313 | |||||||||||||||
6/2019 | 3 | Swiss Market Index | 285,765 | 8,883 | |||||||||||||||
6/2019 | 1 | Gold 100 Oz. | 128,570 | (3,100 | ) | ||||||||||||||
6/2019 | 6 | United Kingdom Long Gilt Bond | 996,152 | (3,417 | ) | ||||||||||||||
6/2019 | 1 | Hang Seng Index | 187,047 | 5,724 | |||||||||||||||
6/2019 | 6 | Live Cattle | 274,200 | (11,977 | ) | ||||||||||||||
6/2019 | 3 | Sugar 11 | 41,462 | (1,680 | ) | ||||||||||||||
7/2019 | 5 | Cotton No.2 | 191,950 | (1,205 | ) | ||||||||||||||
7/2019 | 2 | Cocoa | 47,180 | 1,580 | |||||||||||||||
7/2019 | 5 | Copper | 363,000 | (2,648 | ) | ||||||||||||||
7/2019 | 1 | Silver | 74,920 | (355 | ) | ||||||||||||||
Total Long Positions | $ | 13,245,399 | $ | 111,302 |
See Notes to Financial Statements
96
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Short Futures:
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
6/2019 | 4 | Australian Dollar | $ | (282,320 | ) | $ | 720 | ||||||||||||
6/2019 | 3 | Euro | (422,494 | ) | 2,731 | ||||||||||||||
6/2019 | 1 | Japanese Yen | (112,619 | ) | (163 | ) | |||||||||||||
6/2019 | 1 | New Zealand Dollar | (66,830 | ) | (520 | ) | |||||||||||||
6/2019 | 1 | Pound Sterling | (81,681 | ) | (781 | ) | |||||||||||||
6/2019 | 2 | Swiss Franc | (246,500 | ) | 3,488 | ||||||||||||||
6/2019 | 5 | Canadian Dollar | (373,775 | ) | 510 | ||||||||||||||
6/2019 | 16 | Canadian Bond, 10 Year | (1,650,280 | ) | (5,352 | ) | |||||||||||||
6/2019 | 3 | U.S. Treasury Note, 10 Year | (371,016 | ) | 37 | ||||||||||||||
7/2019 | 18 | Corn | (326,250 | ) | 7,038 | ||||||||||||||
7/2019 | 6 | Soybean | (256,200 | ) | 15,625 | ||||||||||||||
7/2019 | 11 | Soybean Meal | (330,110 | ) | 14,160 | ||||||||||||||
7/2019 | 9 | Wheat | (192,938 | ) | 4,294 | ||||||||||||||
7/2019 | 11 | Coffee 'C' | (384,244 | ) | 5,325 | ||||||||||||||
Total Short Positions | $ | (5,097,257 | ) | $ | 47,112 | ||||||||||||||
Total Futures | $ | 158,414 |
At April 30, 2019, the Fund had $340,443 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2019, the average notional value of futures for the Fund was $9,047,062 for long positions and $(7,027,475) for short positions.
Forward foreign currency contracts ("forward contracts")
At April 30, 2019, open forward contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
299,034 | USD | 1,161,150 | BRL | MS | 5/29/2019 | $ | 3,500 | ||||||||||||||||||||
200,000 | USD | 778,600 | BRL | MS | 5/29/2019 | 1,832 | |||||||||||||||||||||
1,000,000 | USD | 986,480 | CHF | MS | 5/29/2019 | 29,405 | |||||||||||||||||||||
100,000 | USD | 99,497 | CHF | MS | 5/29/2019 | 2,105 | |||||||||||||||||||||
1,000,000 | USD | 878,526 | EUR | MS | 5/29/2019 | 12,426 | |||||||||||||||||||||
100,000 | USD | 88,193 | EUR | MS | 5/29/2019 | 859 | |||||||||||||||||||||
300,000 | USD | 84,743,190 | HUF | MS | 5/29/2019 | 6,030 | |||||||||||||||||||||
300,000 | USD | 85,688,730 | HUF | MS | 5/29/2019 | 2,750 | |||||||||||||||||||||
196,440 | USD | 2,789,490,000 | IDR | MS | 5/29/2019 | 912 | |||||||||||||||||||||
718,497 | ILS | 200,000 | USD | MS | 5/29/2019 | 45 | |||||||||||||||||||||
100,000 | USD | 113,710,000 | KRW | MS | 5/28/2019 | 2,270 | |||||||||||||||||||||
5,798,798 | MXN | 300,000 | USD | MS | 5/29/2019 | 4,598 |
See Notes to Financial Statements
97
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
5,777,885 | MXN | 300,000 | USD | MS | 5/29/2019 | $ | 3,500 | ||||||||||||||||||||
5,719,247 | MXN | 300,000 | USD | MS | 5/29/2019 | 419 | |||||||||||||||||||||
3,807,828 | MXN | 200,000 | USD | MS | 5/29/2019 | 17 | |||||||||||||||||||||
19,792,500 | RUB | 300,000 | USD | MS | 5/29/2019 | 5,411 | |||||||||||||||||||||
19,470,000 | RUB | 300,000 | USD | MS | 5/29/2019 | 434 | |||||||||||||||||||||
100,000 | USD | 6,472,450 | RUB | MS | 5/28/2019 | 117 | |||||||||||||||||||||
1,000,000 | USD | 9,189,324 | SEK | MS | 5/29/2019 | 30,354 | |||||||||||||||||||||
100,000 | USD | 918,806 | SEK | MS | 5/29/2019 | 3,049 | |||||||||||||||||||||
100,000 | USD | 946,729 | SEK | MS | 5/29/2019 | 102 | |||||||||||||||||||||
200,000 | USD | 1,178,787 | TRY | MS | 5/29/2019 | 5,714 | |||||||||||||||||||||
100,000 | USD | 586,075 | TRY | MS | 5/29/2019 | 3,404 | |||||||||||||||||||||
300,818 | USD | 4,300,159 | ZAR | MS | 5/29/2019 | 1,136 | |||||||||||||||||||||
7,211,394 | ZAR | 500,000 | USD | MS | 5/29/2019 | 2,569 | |||||||||||||||||||||
4,313,541 | ZAR | 300,000 | USD | MS | 5/29/2019 | 616 | |||||||||||||||||||||
Total unrealized appreciation | $ | 123,574 | |||||||||||||||||||||||||
1,939,750 | BRL | 500,000 | USD | MS | 5/29/2019 | (6,297 | ) | ||||||||||||||||||||
100,000 | USD | 395,900 | BRL | MS | 5/28/2019 | (771 | ) | ||||||||||||||||||||
100,000 | USD | 101,779 | CHF | MS | 5/29/2019 | (140 | ) | ||||||||||||||||||||
132,690,000 | CLP | 200,000 | USD | MS | 5/28/2019 | (4,126 | ) | ||||||||||||||||||||
100,000 | USD | 68,061,000 | CLP | MS | 5/28/2019 | (470 | ) | ||||||||||||||||||||
1,341,200 | CNY | 200,000 | USD | MS | 5/28/2019 | (767 | ) | ||||||||||||||||||||
100,000 | USD | 2,285,396 | CZK | MS | 5/28/2019 | (67 | ) | ||||||||||||||||||||
86,272,620 | HUF | 300,000 | USD | MS | 5/29/2019 | (725 | ) | ||||||||||||||||||||
14,258,700,000 | IDR | 1,000,000 | USD | MS | 5/29/2019 | (544 | ) | ||||||||||||||||||||
300,000 | USD | 4,289,160,000 | IDR | MS | 5/29/2019 | (646 | ) | ||||||||||||||||||||
200,000 | USD | 2,869,260,000 | IDR | MS | 5/29/2019 | (1,119 | ) | ||||||||||||||||||||
300,000 | USD | 4,310,790,000 | IDR | MS | 5/29/2019 | (2,163 | ) | ||||||||||||||||||||
716,400 | ILS | 200,000 | USD | MS | 5/28/2019 | (552 | ) | ||||||||||||||||||||
712,334 | ILS | 200,000 | USD | MS | 5/29/2019 | (1,671 | ) | ||||||||||||||||||||
1,066,744 | ILS | 300,000 | USD | MS | 5/29/2019 | (2,996 | ) | ||||||||||||||||||||
200,000 | USD | 719,196 | ILS | MS | 5/29/2019 | (240 | ) | ||||||||||||||||||||
100,000 | USD | 360,985 | ILS | MS | 5/29/2019 | (506 | ) | ||||||||||||||||||||
100,000 | USD | 361,352 | ILS | MS | 5/29/2019 | (608 | ) | ||||||||||||||||||||
800,000 | USD | 2,890,296 | ILS | MS | 5/29/2019 | (4,720 | ) | ||||||||||||||||||||
20,911,800 | INR | 300,000 | USD | MS | 5/29/2019 | (681 | ) | ||||||||||||||||||||
13,900,000 | INR | 200,000 | USD | MS | 5/29/2019 | (1,044 | ) | ||||||||||||||||||||
20,879,400 | INR | 300,000 | USD | MS | 5/29/2019 | (1,145 | ) | ||||||||||||||||||||
20,840,400 | INR | 300,000 | USD | MS | 5/29/2019 | (1,703 | ) | ||||||||||||||||||||
605 | USD | 67,748 | JPY | MS | 5/7/2019 | (4 | ) | ||||||||||||||||||||
100,000 | USD | 116,646,700 | KRW | MS | 5/28/2019 | (254 | ) | ||||||||||||||||||||
12,865,240 | RUB | 200,000 | USD | MS | 5/28/2019 | (1,464 | ) | ||||||||||||||||||||
32,283,450 | RUB | 500,000 | USD | MS | 5/29/2019 | (1,846 | ) | ||||||||||||||||||||
6,346,000 | THB | 200,000 | USD | MS | 5/28/2019 | (1,111 | ) |
See Notes to Financial Statements
98
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
100,000 | USD | 3,199,240 | THB | MS | 5/28/2019 | $ | (267 | ) | |||||||||||||||||||
1,157,155 | TRY | 200,000 | USD | MS | 5/29/2019 | (9,280 | ) | ||||||||||||||||||||
4,661,913 | TRY | 800,000 | USD | MS | 5/29/2019 | (31,631 | ) | ||||||||||||||||||||
100,000 | USD | 607,700 | TRY | MS | 5/28/2019 | (218 | ) | ||||||||||||||||||||
200,000 | USD | 1,216,185 | TRY | MS | 5/29/2019 | (449 | ) | ||||||||||||||||||||
300,000 | USD | 1,884,305 | TRY | MS | 5/29/2019 | (10,568 | ) | ||||||||||||||||||||
100,000 | USD | 3,092,270 | TWD | MS | 5/28/2019 | (81 | ) | ||||||||||||||||||||
200,000 | USD | 2,911,235 | ZAR | MS | 5/29/2019 | (2,887 | ) | ||||||||||||||||||||
4,303,175 | ZAR | 300,000 | USD | MS | 5/29/2019 | (108 | ) | ||||||||||||||||||||
Total unrealized depreciation | $ | (93,869 | ) | ||||||||||||||||||||||||
Total net unrealized appreciation | $ | 29,705 |
For the six months ended April 30, 2019, the Fund's investments in forward contracts had an average notional value of $14,228,193.
Total return swap contracts ("total return swaps")
At April 30, 2019, the Fund had outstanding total return swaps as follows:
Over-the-counter total return swaps — Long(a)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Accenture PLC | USD | 91,152 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | 14,533 | $ | 589 | $ | 15,122 | |||||||||||||||||||||||||||
MS | Accenture PLC | USD | 3,288 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 420 | 21 | 441 | ||||||||||||||||||||||||||||||
MS | Advance Auto Parts, Inc. | USD | 23,784 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (225 | ) | (39 | ) | (264 | ) | |||||||||||||||||||||||||||
MS | Advance Auto Parts, Inc. | USD | 24,283 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 495 | (39 | ) | 456 | |||||||||||||||||||||||||||||
MS | Advance Auto Parts, Inc. | USD | 25,114 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,360 | (39 | ) | 1,321 | |||||||||||||||||||||||||||||
MS | Advance Auto Parts, Inc. | USD | 26,279 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,808 | (40 | ) | 1,768 | |||||||||||||||||||||||||||||
MS | AGNC Investment Corp. | USD | 85,819 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (6,688 | ) | 700 | (5,988 | ) | ||||||||||||||||||||||||||||
MS | Air Products & Chemicals, Inc. | USD | 5,556 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,289 | 169 | 1,458 | ||||||||||||||||||||||||||||||
MS | Allison Transmission Holdings, Inc. | USD | 23,430 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (783 | ) | (40 | ) | (823 | ) |
See Notes to Financial Statements
99
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Amazon.com, Inc. | USD | 26,971 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | 3,277 | $ | (39 | ) | $ | 3,238 | ||||||||||||||||||||||||||
MS | Amazon.com, Inc. | USD | 26,971 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,999 | (39 | ) | 1,960 | |||||||||||||||||||||||||||||
MS | Amazon.com, Inc. | USD | 25,045 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,463 | (36 | ) | 1,427 | |||||||||||||||||||||||||||||
MS | Amazon.com, Inc. | USD | 23,118 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,088 | (34 | ) | 1,054 | |||||||||||||||||||||||||||||
MS | American Electric Power Co., Inc. | USD | 599 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 87 | (1 | ) | 86 | |||||||||||||||||||||||||||||
MS | American Electric Power Co., Inc. | USD | 29,857 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,224 | (47 | ) | 4,177 | |||||||||||||||||||||||||||||
MS | Americold Realty Trust | USD | 29,257 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,043 | (46 | ) | 3,997 | |||||||||||||||||||||||||||||
MS | Americold Realty Trust | USD | 30,474 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,087 | (46 | ) | 5,041 | |||||||||||||||||||||||||||||
MS | Americold Realty Trust | USD | 19,654 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,285 | (30 | ) | 1,255 | |||||||||||||||||||||||||||||
MS | Amphenol Corp. | USD | 26,981 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,676 | (44 | ) | 2,632 | |||||||||||||||||||||||||||||
MS | Amphenol Corp. | USD | 27,279 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,393 | (43 | ) | 3,350 | |||||||||||||||||||||||||||||
MS | Amphenol Corp. | USD | 30,167 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,892 | (48 | ) | 3,844 | |||||||||||||||||||||||||||||
MS | Amphenol Corp. | USD | 28,474 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,941 | (46 | ) | 2,895 | |||||||||||||||||||||||||||||
MS | Amphenol Corp. | USD | 4,878 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 523 | (8 | ) | 515 | |||||||||||||||||||||||||||||
MS | Analog Devices, Inc. | USD | 32,663 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 7,754 | (45 | ) | 7,709 | |||||||||||||||||||||||||||||
MS | Analog Devices, Inc. | USD | 24,643 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,765 | (37 | ) | 1,728 | |||||||||||||||||||||||||||||
MS | Analog Devices, Inc. | USD | 26,851 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,110 | (38 | ) | 2,072 | |||||||||||||||||||||||||||||
MS | Analog Devices, Inc. | USD | 15,692 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 287 | (6 | ) | 281 | |||||||||||||||||||||||||||||
MS | Apollo Commercial Real Estate Finance, Inc. | USD | 29,216 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 146 | (53 | ) | 93 |
See Notes to Financial Statements
100
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Apollo Commercial Real Estate Finance, Inc. | USD | 17,316 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | (98 | ) | $ | (32 | ) | $ | (130 | ) | ||||||||||||||||||||||||
MS | Apollo Commercial Real Estate Finance, Inc. | USD | 24,737 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 176 | (44 | ) | 132 | |||||||||||||||||||||||||||||
MS | Apollo Commercial Real Estate Finance, Inc. | USD | 4,554 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (2 | ) | (8 | ) | (10 | ) | |||||||||||||||||||||||||||
MS | Apple, Inc. | USD | 128,629 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 8,181 | (219 | ) | 7,962 | |||||||||||||||||||||||||||||
MS | Ashland Global Holdings, Inc. | USD | 26,655 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,729 | (45 | ) | 1,684 | |||||||||||||||||||||||||||||
MS | AT&T, Inc. | USD | 24,706 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 913 | 368 | 1,281 | ||||||||||||||||||||||||||||||
MS | AT&T, Inc. | USD | 24,273 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (342 | ) | 362 | 20 | |||||||||||||||||||||||||||||
MS | Bank of America Corp. | USD | 25,810 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,375 | (43 | ) | 2,332 | |||||||||||||||||||||||||||||
MS | Bank Of America Corp. | USD | 25,565 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,670 | (42 | ) | 2,628 | |||||||||||||||||||||||||||||
MS | Bank Of America Corp. | USD | 31,803 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 6,233 | (47 | ) | 6,186 | |||||||||||||||||||||||||||||
MS | Baxter International, Inc. | USD | 25,255 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,262 | (39 | ) | 1,223 | |||||||||||||||||||||||||||||
MS | Baxter International, Inc. | USD | 24,492 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 444 | (39 | ) | 405 | |||||||||||||||||||||||||||||
MS | Baxter International, Inc. | USD | 17,625 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 142 | (29 | ) | 113 | |||||||||||||||||||||||||||||
MS | Baxter International, Inc. | USD | 23,653 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (402 | ) | (37 | ) | (439 | ) | |||||||||||||||||||||||||||
MS | BB&T Corp. | USD | 49,152 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1,225 | ) | (91 | ) | (1,316 | ) |
See Notes to Financial Statements
101
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | BB&T Corp. | USD | 5,222 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | 39 | $ | (9 | ) | $ | 30 | ||||||||||||||||||||||||||
MS | BB&T Corp. | USD | 20,122 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 783 | (35 | ) | 748 | |||||||||||||||||||||||||||||
MS | Black Knight, Inc. | USD | 27,702 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,048 | (39 | ) | 4,009 | |||||||||||||||||||||||||||||
MS | Black Knight, Inc. | USD | 26,292 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,490 | (39 | ) | 2,451 | |||||||||||||||||||||||||||||
MS | Black Knight, Inc. | USD | 26,405 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,042 | (40 | ) | 2,002 | |||||||||||||||||||||||||||||
MS | Blackstone Mortgage Trust, Inc. | USD | 26,728 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,759 | (429 | ) | 2,330 | |||||||||||||||||||||||||||||
MS | Blackstone Mortgage Trust, Inc. | USD | 27,120 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,900 | (46 | ) | 1,854 | |||||||||||||||||||||||||||||
MS | Blackstone Mortgage Trust, Inc. | USD | 29,931 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,013 | (51 | ) | 1,962 | |||||||||||||||||||||||||||||
MS | Blackstone Mortgage Trust, Inc. | USD | 25,910 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,670 | (44 | ) | 1,626 | |||||||||||||||||||||||||||||
MS | Booz Allen Hamilton Holding Corp. | USD | 28,874 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,708 | (46 | ) | 3,662 | |||||||||||||||||||||||||||||
MS | Booz Allen Hamilton Holding Corp. | USD | 29,408 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,816 | (47 | ) | 3,769 | |||||||||||||||||||||||||||||
MS | Booz Allen Hamilton Holding Corp. | USD | 30,712 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,902 | (47 | ) | 4,855 | |||||||||||||||||||||||||||||
MS | Booz Allen Hamilton Holding Corp. | USD | 30,949 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,175 | (47 | ) | 5,128 | |||||||||||||||||||||||||||||
MS | Booz Allen Hamilton Holdings Corp. | USD | 5,810 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,096 | (8 | ) | 1,088 | |||||||||||||||||||||||||||||
MS | Bright Horizons Family Solutions, Inc. | USD | 24,861 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 596 | (40 | ) | 556 |
See Notes to Financial Statements
102
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Bright Horizons Family Solutions, Inc. | USD | 23,836 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | (1 | ) | $ | — | $ | (1 | ) | |||||||||||||||||||||||||
MS | Bristol-Myers Squibb Co. | USD | 97,503 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (12,278 | ) | 662 | (11,616 | ) | ||||||||||||||||||||||||||||
MS | Cable One, Inc. | USD | 26,513 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,105 | (38 | ) | 2,067 | |||||||||||||||||||||||||||||
MS | Cable One, Inc. | USD | 25,453 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 881 | (18 | ) | 863 | |||||||||||||||||||||||||||||
MS | Cable One, Inc. | USD | 1,061 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 40 | — | 40 | ||||||||||||||||||||||||||||||
MS | Cabot Oil & Gas Corp. | USD | 23,948 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (469 | ) | (38 | ) | (507 | ) | |||||||||||||||||||||||||||
MS | Cabot Oil & Gas Corp. | USD | 21,437 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (14 | ) | (33 | ) | (47 | ) | |||||||||||||||||||||||||||
MS | Cabot Oil & Gas Corp. | USD | 23,379 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1,135 | ) | (38 | ) | (1,173 | ) | |||||||||||||||||||||||||||
MS | Cabot Oil & Gas Corp. | USD | 22,887 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1,367 | ) | (18 | ) | (1,385 | ) | |||||||||||||||||||||||||||
MS | CDW Corp. | USD | 129,782 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 30,361 | (180 | ) | 30,181 | |||||||||||||||||||||||||||||
MS | CDW Corp. | USD | 4,858 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,077 | (7 | ) | 1,070 | |||||||||||||||||||||||||||||
MS | CenterPoint Energy, Inc. | USD | 96,472 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 16,038 | (146 | ) | 15,892 | |||||||||||||||||||||||||||||
MS | Check Point Software Technologies Ltd. | USD | 26,205 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,169 | (39 | ) | 2,130 | |||||||||||||||||||||||||||||
MS | Chevron Corp. | USD | 96,768 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1,077 | ) | (178 | ) | (1,255 | ) | |||||||||||||||||||||||||||
MS | Chimera Investment Corp. | USD | 109,154 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,974 | (189 | ) | 4,785 | |||||||||||||||||||||||||||||
MS | Cinemark Holdings, Inc. | USD | 27,459 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,576 | (47 | ) | 1,529 | |||||||||||||||||||||||||||||
MS | Cinemark Holdings, Inc. | USD | 27,627 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,835 | (47 | ) | 1,788 | |||||||||||||||||||||||||||||
MS | Cinemark Holdings, Inc. | USD | 27,080 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,103 | (47 | ) | 1,056 |
See Notes to Financial Statements
103
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Cinemark Holdings, Inc. | USD | 25,314 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | 1,652 | $ | (43 | ) | $ | 1,609 | ||||||||||||||||||||||||||
MS | Cisco Systems, Inc. | USD | 145,134 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 33,653 | (202 | ) | 33,451 | |||||||||||||||||||||||||||||
MS | Citigroup, Inc. | USD | 24,250 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | (2 | ) | — | (2 | ) | ||||||||||||||||||||||||||||
MS | Citrix Systems, Inc. | USD | 25,442 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (556 | ) | (47 | ) | (603 | ) | |||||||||||||||||||||||||||
MS | Citrix Systems, Inc. | USD | 22,009 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (52 | ) | (36 | ) | (88 | ) | |||||||||||||||||||||||||||
MS | Citrix Systems, Inc. | USD | 22,615 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1,148 | ) | (39 | ) | (1,187 | ) | |||||||||||||||||||||||||||
MS | Citrix Systems, Inc. | USD | 24,634 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 184 | (40 | ) | 144 | |||||||||||||||||||||||||||||
MS | Columbia Sportswear Co. | USD | 500 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 47 | (1 | ) | 46 | |||||||||||||||||||||||||||||
MS | Columbia Sportswear Co. | USD | 27,792 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,434 | (44 | ) | 3,390 | |||||||||||||||||||||||||||||
MS | Columbia Sportswear Co. | USD | 29,991 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,573 | (46 | ) | 4,527 | |||||||||||||||||||||||||||||
MS | Columbia Sportswear Co. | USD | 23,993 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | (818 | ) | (10 | ) | (828 | ) | |||||||||||||||||||||||||||
MS | Columbia Sportswear Co. | USD | 15,895 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1 | ) | — | (1 | ) | ||||||||||||||||||||||||||||
MS | Comcast Corp. | USD | 31,603 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,869 | (47 | ) | 5,822 | |||||||||||||||||||||||||||||
MS | Comcast Corp. Class A | USD | 30,166 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,456 | (45 | ) | 5,411 | |||||||||||||||||||||||||||||
MS | Comcast Corp. Class A | USD | 25,465 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,501 | (34 | ) | 4,467 | |||||||||||||||||||||||||||||
MS | Comcast Corp. Class A | USD | 24,377 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,168 | (33 | ) | 4,135 | |||||||||||||||||||||||||||||
MS | Comerica, Inc. | USD | 20,040 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (3,870 | ) | (43 | ) | (3,913 | ) | |||||||||||||||||||||||||||
MS | Comerica, Inc. | USD | 20,040 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (4,357 | ) | (44 | ) | (4,401 | ) |
See Notes to Financial Statements
104
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Comerica, Inc. | USD | 19,883 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | (4,232 | ) | $ | (44 | ) | $ | (4,276 | ) | ||||||||||||||||||||||||
MS | Comerica, Inc. | USD | 20,669 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (3,742 | ) | (44 | ) | (3,786 | ) | |||||||||||||||||||||||||||
MS | Comerica, Inc. | USD | 6,130 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1,432 | ) | (14 | ) | (1,446 | ) | |||||||||||||||||||||||||||
MS | Comerica, Inc. | USD | 8,016 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (542 | ) | (15 | ) | (557 | ) | |||||||||||||||||||||||||||
MS | Comerica, Inc. | USD | 4,480 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (141 | ) | (8 | ) | (149 | ) | |||||||||||||||||||||||||||
MS | Comerica, Inc. | USD | 707 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (3 | ) | (1 | ) | (4 | ) | |||||||||||||||||||||||||||
MS | Conocophillips | USD | 24,491 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (903 | ) | (46 | ) | (949 | ) | |||||||||||||||||||||||||||
MS | ConocoPhillips | USD | 20,893 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1,922 | ) | (37 | ) | (1,959 | ) | |||||||||||||||||||||||||||
MS | ConocoPhillips | USD | 23,291 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (929 | ) | (40 | ) | (969 | ) | |||||||||||||||||||||||||||
MS | ConocoPhillips | USD | 21,271 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1,428 | ) | (35 | ) | (1,463 | ) | |||||||||||||||||||||||||||
MS | Cooper Cos., Inc. | USD | 24,353 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1 | ) | — | (1 | ) | ||||||||||||||||||||||||||||
MS | CSX Corp. | USD | 14,015 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,554 | (19 | ) | 2,535 | |||||||||||||||||||||||||||||
MS | CSX Corp. | USD | 28,746 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,127 | (39 | ) | 5,088 | |||||||||||||||||||||||||||||
MS | CSX Corp. | USD | 16,802 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,794 | (25 | ) | 1,769 | |||||||||||||||||||||||||||||
MS | CSX Corp. | USD | 11,785 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,031 | (18 | ) | 1,013 | |||||||||||||||||||||||||||||
MS | CSX Corp. | USD | 26,835 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,219 | (38 | ) | 2,181 | |||||||||||||||||||||||||||||
MS | Cummins, Inc. | USD | 119,230 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 15,619 | (188 | ) | 15,431 | |||||||||||||||||||||||||||||
MS | Delta Air Lines, Inc. | USD | 27,804 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,544 | (46 | ) | 2,498 | |||||||||||||||||||||||||||||
MS | Dollar General Corp. | USD | 29,505 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,541 | (47 | ) | 3,494 | |||||||||||||||||||||||||||||
MS | Dollar General Corp. | USD | 29,631 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,688 | (47 | ) | 3,641 | |||||||||||||||||||||||||||||
MS | Dollar General Corp. | USD | 26,857 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,748 | (44 | ) | 2,704 |
See Notes to Financial Statements
105
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Dollar General Corp. | USD | 30,514 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | 4,725 | $ | (47 | ) | $ | 4,678 | ||||||||||||||||||||||||||
MS | DTE Energy Co. | USD | 25,645 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,216 | (42 | ) | 2,174 | |||||||||||||||||||||||||||||
MS | DTE Energy Co. | USD | 27,153 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,243 | (47 | ) | 1,196 | |||||||||||||||||||||||||||||
MS | DTE Energy Co. | USD | 23,885 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,108 | (41 | ) | 1,067 | |||||||||||||||||||||||||||||
MS | Eaton Corp. PLC | USD | 123,899 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 8,787 | (209 | ) | 8,578 | |||||||||||||||||||||||||||||
MS | Ecolab, Inc. | USD | 736 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 109 | (1 | ) | 108 | |||||||||||||||||||||||||||||
MS | Ecolab, Inc. | USD | 30,373 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,753 | (47 | ) | 4,706 | |||||||||||||||||||||||||||||
MS | Ecolab, Inc. | USD | 13,622 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,003 | (21 | ) | 982 | |||||||||||||||||||||||||||||
MS | Ecolab, Inc. | USD | 26,139 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,858 | (40 | ) | 1,818 | |||||||||||||||||||||||||||||
MS | Emerson Electric Co | USD | 129,557 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 390 | (235 | ) | 155 | |||||||||||||||||||||||||||||
MS | Encompass Health Corp. | USD | 80,563 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 492 | (145 | ) | 347 | |||||||||||||||||||||||||||||
MS | EPR Properties | USD | 21,923 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,358 | 71 | 1,429 | ||||||||||||||||||||||||||||||
MS | Equity Lifestyle Properties, Inc. | USD | 22,873 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,766 | (35 | ) | 3,731 | |||||||||||||||||||||||||||||
MS | Equity Lifestyle Properties, Inc. | USD | 30,342 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,011 | (46 | ) | 4,965 | |||||||||||||||||||||||||||||
MS | Equity LifeStyle Properties, Inc. | USD | 25,907 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 398 | (39 | ) | 359 | |||||||||||||||||||||||||||||
MS | Equity LifeStyle Properties, Inc. | USD | 19,606 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 736 | (14 | ) | 722 | |||||||||||||||||||||||||||||
MS | Evergy, Inc. | USD | 24,516 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (800 | ) | (46 | ) | (846 | ) | |||||||||||||||||||||||||||
MS | Evergy, Inc. | USD | 25,325 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (191 | ) | (46 | ) | (237 | ) | |||||||||||||||||||||||||||
MS | Exelon Corp. | USD | 29,704 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,931 | (47 | ) | 3,884 | |||||||||||||||||||||||||||||
MS | Exelon Corp. | USD | 30,825 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,060 | (47 | ) | 5,013 | |||||||||||||||||||||||||||||
MS | Exelon Corp. | USD | 30,111 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,092 | (47 | ) | 4,045 |
See Notes to Financial Statements
106
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Exelon Corp. | USD | 29,551 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | 4,300 | $ | (46 | ) | $ | 4,254 | ||||||||||||||||||||||||||
MS | Exxon Mobil Corp. | USD | 23,683 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | (916 | ) | (10 | ) | (926 | ) | |||||||||||||||||||||||||||
MS | Exxon Mobil Corp. | USD | 24,084 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | (2 | ) | — | (2 | ) | ||||||||||||||||||||||||||||
MS | Fidelity National Information Services, Inc. | USD | 60,747 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 7,097 | (97 | ) | 7,000 | |||||||||||||||||||||||||||||
MS | Fidelity National Information Services, Inc. | USD | 27,475 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,646 | (45 | ) | 2,601 | |||||||||||||||||||||||||||||
MS | Fidelity National Information Services, Inc. | USD | 15,882 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,169 | (264 | ) | 905 | |||||||||||||||||||||||||||||
MS | Fidelity National Information Services, Inc. | USD | 10,086 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 811 | (17 | ) | 794 | |||||||||||||||||||||||||||||
MS | Fidelity National Information Services, Inc. | USD | 3,594 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 397 | (6 | ) | 391 | |||||||||||||||||||||||||||||
MS | First Hawaiian, Inc. | USD | 26,185 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (584 | ) | (49 | ) | (633 | ) | |||||||||||||||||||||||||||
MS | First Hawaiian, Inc. | USD | 28,784 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,356 | (48 | ) | 2,308 | |||||||||||||||||||||||||||||
MS | FirstEnergy Corp. | USD | 841 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 76 | (1 | ) | 75 | |||||||||||||||||||||||||||||
MS | Firstenergy Corp. | USD | 7,439 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 859 | (12 | ) | 847 | |||||||||||||||||||||||||||||
MS | FMC Corp. | USD | 21,348 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 617 | (36 | ) | 581 | |||||||||||||||||||||||||||||
MS | FMC Corp. | USD | 24,350 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 180 | (40 | ) | 140 | |||||||||||||||||||||||||||||
MS | FMC Corp. | USD | 25,853 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,299 | (38 | ) | 1,261 | |||||||||||||||||||||||||||||
MS | FMC Corp. | USD | 24,113 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | (331 | ) | (10 | ) | (341 | ) |
See Notes to Financial Statements
107
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Gaming and Leisure Properties, Inc. | USD | 29,477 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | 3,908 | $ | (47 | ) | $ | 3,861 | ||||||||||||||||||||||||||
MS | Gaming and Leisure Properties, Inc. | USD | 25,682 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,216 | (38 | ) | 2,178 | |||||||||||||||||||||||||||||
MS | Garmin Ltd. | USD | 124,237 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 36,650 | (159 | ) | 36,491 | |||||||||||||||||||||||||||||
MS | Genuine Parts Co. | USD | 22,969 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1,489 | ) | (38 | ) | (1,527 | ) | |||||||||||||||||||||||||||
MS | Hartford Financial Services Group, Inc. | USD | 25,841 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,291 | (38 | ) | 1,253 | |||||||||||||||||||||||||||||
MS | Hartford Financial Services Group, Inc. | USD | 24,847 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 420 | (18 | ) | 402 | |||||||||||||||||||||||||||||
MS | Hartford Financial Services Group, Inc. | USD | 15,693 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 358 | (6 | ) | 352 | |||||||||||||||||||||||||||||
MS | Hershey Co. | USD | 26,968 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,504 | (38 | ) | 2,466 | |||||||||||||||||||||||||||||
MS | Hershey Co. | USD | 25,844 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,653 | (10 | ) | 1,643 | |||||||||||||||||||||||||||||
MS | Hill-Rom Holdings, Inc. | USD | 99,594 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 10,305 | (162 | ) | 10,143 | |||||||||||||||||||||||||||||
MS | Hill-Rom Holdings, Inc. | USD | 7,505 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 623 | (13 | ) | 610 | |||||||||||||||||||||||||||||
MS | Hill-Rom Holdings, Inc. | USD | 9,838 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,127 | (16 | ) | 1,111 | |||||||||||||||||||||||||||||
MS | Hill-Rom Holdings, Inc. | USD | 3,651 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 569 | (6 | ) | 563 | |||||||||||||||||||||||||||||
MS | Hill-Rom Holdings, Inc. | USD | 3,955 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 571 | (6 | ) | 565 | |||||||||||||||||||||||||||||
MS | Home Depot, Inc. | USD | 12,833 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,556 | (21 | ) | 1,535 | |||||||||||||||||||||||||||||
MS | Home Depot, Inc. | USD | 30,962 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,266 | (47 | ) | 5,219 | |||||||||||||||||||||||||||||
MS | Home Depot, Inc. | USD | 27,296 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,083 | (42 | ) | 4,041 |
See Notes to Financial Statements
108
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Home Depot, Inc. | USD | 24,444 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | (283 | ) | $ | (10 | ) | $ | (293 | ) | ||||||||||||||||||||||||
MS | Honeywell International, Inc. | USD | 28,128 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,726 | (42 | ) | 4,684 | |||||||||||||||||||||||||||||
MS | Honeywell International, Inc. | USD | 95,844 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 16,856 | (129 | ) | 16,727 | |||||||||||||||||||||||||||||
MS | Hospitality Properties Trust | USD | 59,982 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (6,382 | ) | 1,125 | (5,257 | ) | ||||||||||||||||||||||||||||
MS | Hospitality Properties Trust | USD | 13,598 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 54 | 258 | 312 | ||||||||||||||||||||||||||||||
MS | Humana, Inc. | USD | 26,563 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,112 | (18 | ) | 2,094 | |||||||||||||||||||||||||||||
MS | Humana, Inc. | USD | 25,541 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 695 | (10 | ) | 685 | |||||||||||||||||||||||||||||
MS | Humana, Inc. | USD | 14,303 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | — | — | — | ||||||||||||||||||||||||||||||
MS | International Business Machines Corp. | USD | 38,715 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (264 | ) | (71 | ) | (335 | ) | |||||||||||||||||||||||||||
MS | International Paper Co. | USD | 25,933 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,171 | (10 | ) | 1,161 | |||||||||||||||||||||||||||||
MS | Interpublic Group of Cos, Inc. | USD | 25,599 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (386 | ) | (47 | ) | (433 | ) | |||||||||||||||||||||||||||
MS | Interpublic Group of Cos, Inc. | USD | 25,691 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (130 | ) | (47 | ) | (177 | ) | |||||||||||||||||||||||||||
MS | Intuit, Inc. | USD | 753 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 104 | (1 | ) | 103 | |||||||||||||||||||||||||||||
MS | Intuit, Inc. | USD | 6,779 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 952 | (11 | ) | 941 | |||||||||||||||||||||||||||||
MS | Intuit, Inc. | USD | 11,800 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,200 | (17 | ) | 2,183 | |||||||||||||||||||||||||||||
MS | Investors Bancorp, Inc. | USD | 24,898 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (183 | ) | (39 | ) | (222 | ) | |||||||||||||||||||||||||||
MS | Johnson & Johnson | USD | 25,981 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 853 | (46 | ) | 807 | |||||||||||||||||||||||||||||
MS | Johnson & Johnson | USD | 24,145 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (235 | ) | (44 | ) | (279 | ) |
See Notes to Financial Statements
109
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Johnson & Johnson | USD | 25,134 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | (621 | ) | $ | (47 | ) | $ | (668 | ) | ||||||||||||||||||||||||
MS | Johnson & Johnson | USD | 22,874 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (852 | ) | (43 | ) | (895 | ) | |||||||||||||||||||||||||||
MS | Johnson Controls International PLC | USD | 30,188 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,591 | (47 | ) | 4,544 | |||||||||||||||||||||||||||||
MS | Johnson Controls International PLC | USD | 26,063 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,020 | (36 | ) | 3,984 | |||||||||||||||||||||||||||||
MS | Johnson Controls International PLC | USD | 27,188 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,388 | (39 | ) | 3,349 | |||||||||||||||||||||||||||||
MS | Johnson Controls International PLC | USD | 21,675 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,667 | (33 | ) | 1,634 | |||||||||||||||||||||||||||||
MS | JPMorgan Chase & Co. | USD | 117,443 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 10,235 | (195 | ) | 10,040 | |||||||||||||||||||||||||||||
MS | Kimberly-Clark Corp. | USD | 87,684 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 16,080 | (130 | ) | 15,950 | |||||||||||||||||||||||||||||
MS | Kimberly-Clark Corp. | USD | 25,676 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,987 | (41 | ) | 2,946 | |||||||||||||||||||||||||||||
MS | Kinder Morgan, Inc. | USD | 24,480 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 66 | 290 | 356 | ||||||||||||||||||||||||||||||
MS | Leidos Holdings, Inc. | USD | 2,425 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 452 | (4 | ) | 448 | |||||||||||||||||||||||||||||
MS | Leidos Holdings, Inc. | USD | 29,098 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,579 | (44 | ) | 4,535 | |||||||||||||||||||||||||||||
MS | Leidos Holdings, Inc. | USD | 30,421 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,187 | (48 | ) | 4,139 | |||||||||||||||||||||||||||||
MS | Lowe's Cos., Inc. | USD | 24,551 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1 | ) | — | (1 | ) | ||||||||||||||||||||||||||||
MS | LyondellBasell Industries NV | USD | 66,525 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (17,513 | ) | (153 | ) | (17,666 | ) | |||||||||||||||||||||||||||
MS | LyondellBasell Industries NV Class A | USD | 4,412 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (215 | ) | (8 | ) | (223 | ) |
See Notes to Financial Statements
110
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Marathon Petroleum Corp. | USD | 9,800 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | (1,807 | ) | $ | (21 | ) | $ | (1,828 | ) | ||||||||||||||||||||||||
MS | Marathon Petroleum Corp. | USD | 23,800 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (186 | ) | (44 | ) | (230 | ) | |||||||||||||||||||||||||||
MS | McDonald's Corp. | USD | 137,311 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 25,676 | (203 | ) | 25,473 | |||||||||||||||||||||||||||||
MS | Medical Properties Trust, Inc. | USD | 60,324 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 13,867 | (84 | ) | 13,783 | |||||||||||||||||||||||||||||
MS | Medical Properties Trust, Inc. | USD | 21,092 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,048 | (33 | ) | 3,015 | |||||||||||||||||||||||||||||
MS | Medical Properties Trust, Inc. | USD | 33,733 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,300 | (52 | ) | 5,248 | |||||||||||||||||||||||||||||
MS | Medical Properties Trust, Inc. | USD | 3,195 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 357 | (5 | ) | 352 | |||||||||||||||||||||||||||||
MS | Merck & Co., Inc. | USD | 72,649 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 18,740 | (98 | ) | 18,642 | |||||||||||||||||||||||||||||
MS | MFA Financial, Inc. | USD | 48,913 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (1,736 | ) | (92 | ) | (1,828 | ) | |||||||||||||||||||||||||||
MS | Microsoft Corp. | USD | 31,475 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 7,595 | (43 | ) | 7,552 | |||||||||||||||||||||||||||||
MS | Microsoft Corp. | USD | 31,475 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,527 | (47 | ) | 5,480 | |||||||||||||||||||||||||||||
MS | Microsoft Corp. | USD | 30,430 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,059 | (46 | ) | 5,013 | |||||||||||||||||||||||||||||
MS | Microsoft Corp. | USD | 26,773 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,312 | (41 | ) | 4,271 | |||||||||||||||||||||||||||||
MS | Microsoft Corp. | USD | 8,228 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,554 | (12 | ) | 1,542 | |||||||||||||||||||||||||||||
MS | Mondelez International, Inc. | USD | 30,917 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,815 | (46 | ) | 5,769 | |||||||||||||||||||||||||||||
MS | Mondelez International, Inc. | USD | 31,832 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,999 | (47 | ) | 5,952 |
See Notes to Financial Statements
111
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Mondelez International, Inc. Class A | USD | 27,357 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | 4,559 | $ | (41 | ) | $ | 4,518 | ||||||||||||||||||||||||||
MS | Mondelez International, Inc. Class A | USD | 20,187 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,935 | (31 | ) | 2,904 | |||||||||||||||||||||||||||||
MS | Mondelez International, Inc. Class A | USD | 7,119 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,001 | (11 | ) | 990 | |||||||||||||||||||||||||||||
MS | Motorola Solutions, Inc. | USD | 132,013 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 32,089 | (181 | ) | 31,908 | |||||||||||||||||||||||||||||
MS | MSC Industrial Direct Co. Class A | USD | 28,525 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,154 | (50 | ) | 1,104 | |||||||||||||||||||||||||||||
MS | MSC Industrial Direct Co., Inc. | USD | 26,015 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 331 | (47 | ) | 284 | |||||||||||||||||||||||||||||
MS | MSC Industrial Direct Co., Inc. | USD | 27,103 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,307 | (47 | ) | 1,260 | |||||||||||||||||||||||||||||
MS | Msc Industrial Direct Co., Inc. Class A | USD | 22,586 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 198 | (41 | ) | 157 | |||||||||||||||||||||||||||||
MS | Nexstar Media Group, Inc. | USD | 36,988 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 11,074 | (47 | ) | 11,027 | |||||||||||||||||||||||||||||
MS | Nexstar Media Group, Inc. | USD | 37,807 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 12,049 | (47 | ) | 12,002 | |||||||||||||||||||||||||||||
MS | Nexstar Media Group, Inc. | USD | 38,627 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 13,006 | (47 | ) | 12,959 | |||||||||||||||||||||||||||||
MS | Nexstar Media Group, Inc. Class A | USD | 37,924 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 12,702 | (46 | ) | 12,656 | |||||||||||||||||||||||||||||
MS | NextEra Energy, Inc. | USD | 2,917 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 527 | (4 | ) | 523 | |||||||||||||||||||||||||||||
MS | NextEra Energy, Inc. | USD | 28,583 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,621 | (44 | ) | 4,577 | |||||||||||||||||||||||||||||
MS | NextEra Energy, Inc. | USD | 28,194 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,011 | (44 | ) | 3,967 | |||||||||||||||||||||||||||||
MS | NextEra Energy, Inc. | USD | 6,028 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 837 | (9 | ) | 828 | |||||||||||||||||||||||||||||
MS | NextEra Energy, Inc. | USD | 18,472 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,301 | (29 | ) | 2,272 | |||||||||||||||||||||||||||||
MS | Nucor Corp. | USD | 77,387 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (7,670 | ) | 388 | (7,282 | ) |
See Notes to Financial Statements
112
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Nucor Corp. | USD | 16,322 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | (1,535 | ) | $ | 82 | $ | (1,453 | ) | |||||||||||||||||||||||||
MS | Occidental Petroleum Corp. | USD | 20,431 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (4,944 | ) | (46 | ) | (4,990 | ) | |||||||||||||||||||||||||||
MS | Occidental Petroleum Corp. | USD | 21,373 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (4,271 | ) | (47 | ) | (4,318 | ) | |||||||||||||||||||||||||||
MS | Occidental Petroleum Corp. | USD | 21,197 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (3,412 | ) | (45 | ) | (3,457 | ) | |||||||||||||||||||||||||||
MS | Occidental Petroleum Corp. | USD | 3,945 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (766 | ) | (8 | ) | (774 | ) | |||||||||||||||||||||||||||
MS | Occidental Petroleum Corp. | USD | 23,729 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (2,348 | ) | (47 | ) | (2,395 | ) | |||||||||||||||||||||||||||
MS | Omnicom Group, Inc. | USD | 29,611 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,649 | (47 | ) | 3,602 | |||||||||||||||||||||||||||||
MS | Omnicom Group, Inc. | USD | 28,731 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,988 | (47 | ) | 2,941 | |||||||||||||||||||||||||||||
MS | Omnicom Group, Inc. | USD | 24,969 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 959 | (44 | ) | 915 | |||||||||||||||||||||||||||||
MS | Omnicom Group, Inc. | USD | 24,249 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,707 | (41 | ) | 1,666 | |||||||||||||||||||||||||||||
MS | ONEOK, Inc. | USD | 38,245 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 914 | 419 | 1,333 | ||||||||||||||||||||||||||||||
MS | ONEOK, Inc. | USD | 26,493 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 181 | 289 | 470 | ||||||||||||||||||||||||||||||
MS | ONEOK, Inc. | USD | 26,561 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 791 | 291 | 1,082 | ||||||||||||||||||||||||||||||
MS | ONEOK, Inc. | USD | 11,412 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 523 | 126 | 649 | ||||||||||||||||||||||||||||||
MS | PepsiCo, Inc. | USD | 23,561 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,400 | (38 | ) | 2,362 | |||||||||||||||||||||||||||||
MS | PepsiCo., Inc. | USD | 96,038 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 20,208 | (138 | ) | 20,070 | |||||||||||||||||||||||||||||
MS | Pfizer, Inc. | USD | 118,987 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 14,367 | (190 | ) | 14,177 | |||||||||||||||||||||||||||||
MS | Philip Morris International, Inc. | USD | 25,968 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,223 | (37 | ) | 3,186 |
See Notes to Financial Statements
113
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Philip Morris International, Inc. | USD | 23,458 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | (609 | ) | $ | (39 | ) | $ | (648 | ) | ||||||||||||||||||||||||
MS | Philip Morris International, Inc. | USD | 14,975 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (352 | ) | (24 | ) | (376 | ) | |||||||||||||||||||||||||||
MS | Philip Morris International, Inc. | USD | 24,583 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 203 | (38 | ) | 165 | |||||||||||||||||||||||||||||
MS | Phillips 66 | USD | 110,013 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (26,312 | ) | (248 | ) | (26,560 | ) | |||||||||||||||||||||||||||
MS | PNC Financial Services Group, Inc. | USD | 123,785 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (3,911 | ) | 627 | (3,284 | ) | ||||||||||||||||||||||||||||
MS | Popular, Inc. | USD | 3,059 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 349 | (5 | ) | 344 | |||||||||||||||||||||||||||||
MS | Popular, Inc. | USD | 23,777 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,200 | (37 | ) | 1,163 | |||||||||||||||||||||||||||||
MS | Portland General Electric Co. | USD | 5,074 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,019 | (7 | ) | 1,012 | |||||||||||||||||||||||||||||
MS | Procter & Gamble Co. | USD | 30,240 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,795 | 166 | 4,961 | ||||||||||||||||||||||||||||||
MS | Procter & Gamble Co. | USD | 29,176 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,100 | 159 | 4,259 | ||||||||||||||||||||||||||||||
MS | Procter & Gamble Co. | USD | 29,495 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,602 | 160 | 3,762 | ||||||||||||||||||||||||||||||
MS | Procter & Gamble Co. | USD | 28,217 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,809 | 153 | 3,962 | ||||||||||||||||||||||||||||||
MS | Raytheon Co. | USD | 23,797 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (446 | ) | 89 | (357 | ) | ||||||||||||||||||||||||||||
MS | Raytheon Co. | USD | 17,049 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (140 | ) | (27 | ) | (167 | ) | |||||||||||||||||||||||||||
MS | Service Corp International | USD | 20,555 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (33 | ) | (34 | ) | (67 | ) | |||||||||||||||||||||||||||
MS | Service Corp. International | USD | 55,216 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 6,308 | (89 | ) | 6,219 | |||||||||||||||||||||||||||||
MS | Service Corp. International | USD | 14,688 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,049 | (23 | ) | 2,026 | |||||||||||||||||||||||||||||
MS | Sinclair Broadcast Group, Inc. | USD | 29,077 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,771 | (38 | ) | 4,733 |
See Notes to Financial Statements
114
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Starbucks Corp. | USD | 30,140 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | 4,948 | $ | (46 | ) | $ | 4,902 | ||||||||||||||||||||||||||
MS | Starwood Property Trust, Inc. | USD | 26,899 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 1,171 | (47 | ) | 1,124 | |||||||||||||||||||||||||||||
MS | Starwood Property Trust, Inc. | USD | 17,380 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 742 | (30 | ) | 712 | |||||||||||||||||||||||||||||
MS | Starwood Property Trust, Inc. | USD | 26,231 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 880 | (46 | ) | 834 | |||||||||||||||||||||||||||||
MS | Starwood Property Trust, Inc. | USD | 26,922 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 938 | (47 | ) | 891 | |||||||||||||||||||||||||||||
MS | Steel Dynamics, Inc. | USD | 9,536 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (5,113 | ) | (27 | ) | (5,140 | ) | |||||||||||||||||||||||||||
MS | Steel Dynamics, Inc. | USD | 20,940 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (5,814 | ) | (49 | ) | (5,863 | ) | |||||||||||||||||||||||||||
MS | Steel Dynamics, Inc. | USD | 25,027 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 327 | (45 | ) | 282 | |||||||||||||||||||||||||||||
MS | Steel Dynamics, Inc. | USD | 18,248 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (119 | ) | (33 | ) | (152 | ) | |||||||||||||||||||||||||||
MS | Texas Instruments, Inc. | USD | 134,444 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 7,854 | (230 | ) | 7,624 | |||||||||||||||||||||||||||||
MS | Thermo Fisher Scientific, Inc. | USD | 26,913 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,824 | (40 | ) | 2,784 | |||||||||||||||||||||||||||||
MS | Thermo Fisher Scientific, Inc. | USD | 26,358 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,140 | (40 | ) | 2,100 | |||||||||||||||||||||||||||||
MS | Thermo Fisher Scientific, Inc. | USD | 23,583 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 510 | (36 | ) | 474 | |||||||||||||||||||||||||||||
MS | Thermo Fisher Scientific, Inc. | USD | 20,809 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (27 | ) | (32 | ) | (59 | ) | |||||||||||||||||||||||||||
MS | TJX Companies, Inc. | USD | 17,726 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 2,953 | (27 | ) | 2,926 | |||||||||||||||||||||||||||||
MS | Tractor Supply Co. | USD | 24,840 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 78 | (10 | ) | 68 |
See Notes to Financial Statements
115
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Travelers Cos., Inc. | USD | 129,519 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | $ | 13,996 | $ | (210 | ) | $ | 13,786 | ||||||||||||||||||||||||||
MS | UnitedHealth Group, Inc. | USD | 120,730 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | (4,717 | ) | (228 | ) | (4,945 | ) | |||||||||||||||||||||||||||
MS | US BanCorp | USD | 28,153 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,196 | (45 | ) | 3,151 | |||||||||||||||||||||||||||||
MS | Verisk Analytics, Inc. | USD | 27,381 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,382 | (39 | ) | 3,343 | |||||||||||||||||||||||||||||
MS | Verizon Communications, Inc. | USD | 117,640 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 18,479 | 1,059 | 19538 | ||||||||||||||||||||||||||||||
MS | VICI Properties, Inc. | USD | 25,468 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | 741 | (10 | ) | 731 | |||||||||||||||||||||||||||||
MS | VICI Properties, Inc. | USD | 24,236 | 11/18/2019 | 2.93 | % | 0.45 | % | 1M USD LIBOR | T/1M | (7 | ) | — | (7 | ) | ||||||||||||||||||||||||||||
MS | Visa, Inc. | USD | 4,440 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 652 | (7 | ) | 645 | |||||||||||||||||||||||||||||
MS | Walmart, Inc. | USD | 129,578 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 25,746 | (188 | ) | 25,558 | |||||||||||||||||||||||||||||
MS | Walt Disney Co. | USD | 30,270 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,432 | (47 | ) | 4,385 | |||||||||||||||||||||||||||||
MS | Walt Disney Co. | USD | 30,407 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,456 | (47 | ) | 4,409 | |||||||||||||||||||||||||||||
MS | Walt Disney Co. | USD | 29,449 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 5,374 | (44 | ) | 5,330 | |||||||||||||||||||||||||||||
MS | Walt Disney Co. | USD | 31,777 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 6,383 | (46 | ) | 6,337 | |||||||||||||||||||||||||||||
MS | Waste Connections, Inc. | USD | 2,598 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 329 | (4 | ) | 325 | |||||||||||||||||||||||||||||
MS | Waste Management, Inc. | USD | 111,526 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 25,646 | (156 | ) | 25,490 | |||||||||||||||||||||||||||||
MS | Xerox Corp. | USD | 39,498 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 14,544 | (45 | ) | 14,499 | |||||||||||||||||||||||||||||
MS | Zoetis, Inc. | USD | 31,367 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 4,729 | 2 | 4,731 | ||||||||||||||||||||||||||||||
MS | Zoetis, Inc. | USD | 29,534 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,490 | — | 3,490 | ||||||||||||||||||||||||||||||
MS | Zoetis, Inc. | USD | 25,256 | 11/18/2019 | 2.92 | % | 0.45 | % | 1M USD LIBOR | T/1M | 3,552 | 5 | 3,557 | ||||||||||||||||||||||||||||||
Total | $ | 819,906 | $ | (5,588 | ) | $ | 814,318 |
See Notes to Financial Statements
116
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Over-the-counter total return swaps — Short(c)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | 2U, Inc. | USD | (12,040 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | 5,541 | $ | 19 | $ | 5,560 | ||||||||||||||||||||||||||
MS | 2U, Inc. | USD | (11,616 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 6,413 | 20 | 6,433 | |||||||||||||||||||||||||||||
MS | ABIOMED, Inc. | USD | (13,593 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 4,539 | 20 | 4,559 | |||||||||||||||||||||||||||||
MS | ABIOMED, Inc. | USD | (14,425 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,424 | 17 | 1,441 | |||||||||||||||||||||||||||||
MS | Adient PLC | USD | (14,761 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,044 | 4 | 1,048 | |||||||||||||||||||||||||||||
MS | Advanced Micro Devices, Inc. | USD | (34,123 | ) | 11/18/2019 | 1.32 | % | (1.15 | )% | 1M USD LIBOR | 1M/T | (17,631 | ) | 12 | (17,619 | ) | |||||||||||||||||||||||||||
MS | Adyen NV | EUR | (14,512 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (1,030 | ) | (6 | ) | (1,036 | ) | ||||||||||||||||||||||||||
MS | Aeon Mall Co. Ltd. | JPY | (1,022,400 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 453 | (3 | ) | 450 | ||||||||||||||||||||||||||||
MS | Aerie Pharmaceuticals, Inc. | USD | (9,309 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 7,294 | 18 | 7,312 | |||||||||||||||||||||||||||||
MS | Aerie Pharmaceuticals, Inc. | USD | (10,987 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 7,457 | 20 | 7,477 | |||||||||||||||||||||||||||||
MS | Aerie Pharmaceuticals, Inc. | USD | (11,750 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 5,049 | 18 | 5,067 | |||||||||||||||||||||||||||||
MS | Air France-KLM | EUR | (2,678 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (240 | ) | (1 | ) | (241 | ) | ||||||||||||||||||||||||||
MS | Air France-KLM | EUR | (14,575 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (1,178 | ) | (7 | ) | (1,185 | ) | ||||||||||||||||||||||||||
MS | Air France-KLM | EUR | (13,761 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (285 | ) | (7 | ) | (292 | ) | ||||||||||||||||||||||||||
MS | Alcoa Corp. | USD | (12,380 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 4,934 | 19 | 4,953 | |||||||||||||||||||||||||||||
MS | Alcoa Corp. | USD | (27,294 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,589 | 32 | 1,621 | |||||||||||||||||||||||||||||
MS | Align Technology, Inc. | USD | (11,688 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,064 | 14 | 1,078 | |||||||||||||||||||||||||||||
MS | Align Technology, Inc. | USD | (16,559 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,630 | 20 | 1,650 | |||||||||||||||||||||||||||||
MS | Align Technology, Inc. | USD | (13,961 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,891 | 17 | 1,908 |
See Notes to Financial Statements
117
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Align Technology, Inc. | USD | (5,844 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | 293 | $ | 7 | $ | 300 | ||||||||||||||||||||||||||
MS | Align Technology, Inc. | USD | (2,273 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 72 | 3 | 75 | |||||||||||||||||||||||||||||
MS | Align Technology, Inc. | USD | (22,728 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (7,376 | ) | 17 | (7,359 | ) | |||||||||||||||||||||||||||
MS | Align Technology, Inc. | USD | (14,935 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (5,271 | ) | 11 | (5,260 | ) | |||||||||||||||||||||||||||
MS | Alleghany Corp. | USD | (4,598 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (376 | ) | 5 | (371 | ) | |||||||||||||||||||||||||||
MS | Altran Technologies SA | EUR | (15,702 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (6,889 | ) | (5 | ) | (6,894 | ) | ||||||||||||||||||||||||||
MS | Altran Technologies SA | EUR | (18,881 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (6,216 | ) | (7 | ) | (6,223 | ) | ||||||||||||||||||||||||||
MS | Altran Technologies SA | EUR | (13,160 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (4,574 | ) | (5 | ) | (4,579 | ) | ||||||||||||||||||||||||||
MS | Altran Technologies SA | EUR | (11,965 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (3,569 | ) | (5 | ) | (3,574 | ) | ||||||||||||||||||||||||||
MS | AMERCO | USD | (5,224 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (280 | ) | 5 | (275 | ) | |||||||||||||||||||||||||||
MS | American Airlines Group, Inc. | USD | (17,808 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,072 | ) | 16 | (2,056 | ) | |||||||||||||||||||||||||||
MS | American Airlines Group, Inc. | USD | (16,304 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (75 | ) | 8 | (67 | ) | |||||||||||||||||||||||||||
MS | American Airlines Group, Inc. | USD | (16,304 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (103 | ) | 5 | (98 | ) | |||||||||||||||||||||||||||
MS | American International Group, Inc. | USD | (29,731 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,877 | 36 | 2,913 | |||||||||||||||||||||||||||||
MS | American International Group, Inc. | USD | (15,746 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,498 | ) | 15 | (1,483 | ) | |||||||||||||||||||||||||||
MS | Anheuser-Busch InBev SA | EUR | (17,358 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (3,400 | ) | (9 | ) | (3,409 | ) | ||||||||||||||||||||||||||
MS | Anheuser-Busch InBev SA | EUR | (17,041 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (3,942 | ) | (8 | ) | (3,950 | ) | ||||||||||||||||||||||||||
MS | Anheuser-Busch InBev SA | EUR | (17,913 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (4,643 | ) | (8 | ) | (4,651 | ) |
See Notes to Financial Statements
118
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Antero Resources Corp. | USD | (13,434 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | 2,582 | $ | 17 | $ | 2,599 | ||||||||||||||||||||||||||
MS | Aqua America, Inc. | USD | (9,609 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (959 | ) | 10 | (949 | ) | |||||||||||||||||||||||||||
MS | Arcelormittal | EUR | (12,911 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 431 | (6 | ) | 425 | ||||||||||||||||||||||||||||
MS | Arconic, Inc. | USD | (20,062 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3,322 | ) | 18 | (3,304 | ) | |||||||||||||||||||||||||||
MS | Arconic, Inc. | USD | (21,544 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3,758 | ) | 20 | (3,738 | ) | |||||||||||||||||||||||||||
MS | Arconic, Inc. | USD | (20,535 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,148 | ) | 20 | (2,128 | ) | |||||||||||||||||||||||||||
MS | Arconic, Inc. | USD | (7,475 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (187 | ) | 8 | (179 | ) | |||||||||||||||||||||||||||
MS | Arconic, Inc. | USD | (3,931 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (146 | ) | 4 | (142 | ) | |||||||||||||||||||||||||||
MS | ASOS PLC | GBP | (20,193 | ) | 11/18/2019 | (0.27 | )% | (1.00 | )% | 1M GBP LIBOR | 1M/T | 18,112 | 9 | 18,121 | |||||||||||||||||||||||||||||
MS | ASOS PLC | GBP | (2,902 | ) | 11/18/2019 | (0.27 | )% | (1.00 | )% | 1M GBP LIBOR | 1M/T | 1,793 | 1 | 1,794 | |||||||||||||||||||||||||||||
MS | ASOS PLC | GBP | (902 | ) | 11/18/2019 | (0.27 | )% | (1.00 | )% | 1M GBP LIBOR | 1M/T | 521 | — | 521 | |||||||||||||||||||||||||||||
MS | ASOS PLC | GBP | (2,745 | ) | 11/18/2019 | (0.27 | )% | (1.00 | )% | 1M GBP LIBOR | 1M/T | 716 | 1 | 717 | |||||||||||||||||||||||||||||
MS | ASOS PLC | GBP | (9,803 | ) | 11/18/2019 | (0.27 | )% | (1.00 | )% | 1M GBP LIBOR | 1M/T | (2,951 | ) | 2 | (2,949 | ) | |||||||||||||||||||||||||||
MS | Associated British Foods PLC | GBP | (8,777 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (50 | ) | 2 | (48 | ) | |||||||||||||||||||||||||||
MS | Associated British Foods PLC | GBP | (7,856 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (393 | ) | 2 | (391 | ) | |||||||||||||||||||||||||||
MS | Associated British Foods PLC | GBP | (8,880 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (508 | ) | 2 | (506 | ) | |||||||||||||||||||||||||||
MS | Atlassian Corp. PLC | USD | (53,092 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (22,869 | ) | 33 | (22,836 | ) | |||||||||||||||||||||||||||
MS | Autodesk, Inc. | USD | (31,187 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (8,504 | ) | 25 | (8,479 | ) | |||||||||||||||||||||||||||
MS | Avis Budget Group, Inc. | USD | (17,100 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (301 | ) | 18 | (283 | ) | |||||||||||||||||||||||||||
MS | Avis Budget Group, Inc. | USD | (19,268 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,646 | ) | 19 | (1,627 | ) | |||||||||||||||||||||||||||
MS | Avis Budget Group, Inc. | USD | (14,540 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (408 | ) | 16 | (392 | ) |
See Notes to Financial Statements
119
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Banca Generali SpA | EUR | (629 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | $ | (122 | ) | $ | — | $ | (122 | ) | ||||||||||||||||||||||||
MS | Banca Generali SpA | EUR | (9,510 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (1,809 | ) | (5 | ) | (1,814 | ) | ||||||||||||||||||||||||||
MS | Banco BPM SpA | EUR | (26,888 | ) | 11/18/2019 | (1.37 | )% | (1.00 | )% | 1M EURIBOR | 1M/T | 1,399 | (19 | ) | 1,380 | ||||||||||||||||||||||||||||
MS | Banco BPM SpA | EUR | (1,249 | ) | 11/18/2019 | (1.37 | )% | (1.00 | )% | 1M EURIBOR | 1M/T | (168 | ) | (1 | ) | (169 | ) | ||||||||||||||||||||||||||
MS | Banco BPM SpA | EUR | (17,609 | ) | 11/18/2019 | (1.37 | )% | (1.00 | )% | 1M EURIBOR | 1M/T | (4,498 | ) | (9 | ) | (4,507 | ) | ||||||||||||||||||||||||||
MS | Banco BPM SpA | EUR | (7,456 | ) | 11/18/2019 | (1.37 | )% | (1.00 | )% | 1M EURIBOR | 1M/T | (1,233 | ) | (5 | ) | (1,238 | ) | ||||||||||||||||||||||||||
MS | Banco de Sabadell SA | EUR | (84 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (4 | ) | — | (4 | ) | |||||||||||||||||||||||||||
MS | Banco de Sabadell SA | EUR | (14,571 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (2,529 | ) | (6 | ) | (2,535 | ) | ||||||||||||||||||||||||||
MS | Bank OZK | USD | (51,816 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 23,096 | 83 | 23,179 | |||||||||||||||||||||||||||||
MS | Bayer AG | EUR | (10,563 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 1,450 | (565 | ) | 885 | ||||||||||||||||||||||||||||
MS | Beiersdorf AG | EUR | (13,739 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (854 | ) | (3 | ) | (857 | ) | ||||||||||||||||||||||||||
MS | Berkshire Hathaway, Inc. | USD | (18,420 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (925 | ) | 19 | (906 | ) | |||||||||||||||||||||||||||
MS | Berkshire Hathaway, Inc. | USD | (18,854 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (28 | ) | 21 | (7 | ) | |||||||||||||||||||||||||||
MS | Berkshire Hathaway, Inc. Class B | USD | (17,554 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (879 | ) | 18 | (861 | ) | |||||||||||||||||||||||||||
MS | BlackRock, Inc. | USD | (18,439 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,378 | ) | 17 | (2,361 | ) | |||||||||||||||||||||||||||
MS | Brighthouse Financial, Inc. | USD | (16,465 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 269 | 18 | 287 | |||||||||||||||||||||||||||||
MS | Brighthouse Financial, Inc. | USD | (17,343 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 138 | 19 | 157 | |||||||||||||||||||||||||||||
MS | Brighthouse Financial, Inc. | USD | (18,513 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (229 | ) | 20 | (209 | ) | |||||||||||||||||||||||||||
MS | Brighthouse Financial, Inc. | USD | (16,800 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 657 | 19 | 676 | |||||||||||||||||||||||||||||
MS | Brighthouse Financial, Inc. | USD | (3,469 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 31 | 4 | 35 |
See Notes to Financial Statements
120
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | British American Tobacco PLC | GBP | (1,824 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | $ | 716 | $ | (54 | ) | $ | 662 | |||||||||||||||||||||||||
MS | British American Tobacco PLC | GBP | (1,944 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 515 | (42 | ) | 473 | ||||||||||||||||||||||||||||
MS | British American Tobacco PLC | GBP | (1,764 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 435 | (38 | ) | 397 | ||||||||||||||||||||||||||||
MS | Burford Capital Ltd. | GBP | (8,731 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (625 | ) | 2 | (623 | ) | |||||||||||||||||||||||||||
MS | Caesars Entertainment Corp. | USD | (14,742 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 4,620 | 21 | 4,641 | |||||||||||||||||||||||||||||
MS | Caesars Entertainment Corp. | USD | (14,574 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 3,291 | 20 | 3,311 | |||||||||||||||||||||||||||||
MS | Caesars Entertainment Corp. | USD | (17,550 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 644 | 20 | 664 | |||||||||||||||||||||||||||||
MS | Caesars Entertainment Corp. | USD | (17,812 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (526 | ) | 19 | (507 | ) | |||||||||||||||||||||||||||
MS | Caesars Entertainment Corp. | USD | (4,605 | ) | 11/18/2019 | 1.73 | % | (0.74 | )% | 1M USD LIBOR | 1M/T | (166 | ) | 5 | (161 | ) | |||||||||||||||||||||||||||
MS | Caesars Entertainment Corp. | USD | (9,388 | ) | 11/18/2019 | 1.57 | % | (0.90 | )% | 1M USD LIBOR | 1M/T | (518 | ) | 6 | (512 | ) | |||||||||||||||||||||||||||
MS | Capita PLC | GBP | (7,564 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 1,418 | 2 | 1,420 | |||||||||||||||||||||||||||||
MS | Capita PLC | GBP | (7,745 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (734 | ) | 2 | (732 | ) | |||||||||||||||||||||||||||
MS | Capita PLC | GBP | (7,142 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (300 | ) | 2 | (298 | ) | |||||||||||||||||||||||||||
MS | Capital & Counties Properties PLC | GBP | (12,768 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 4,266 | (64 | ) | 4,202 | ||||||||||||||||||||||||||||
MS | Capital & Counties Properties PLC | GBP | (8,263 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 1,200 | (42 | ) | 1,158 | ||||||||||||||||||||||||||||
MS | Capital & Counties Properties PLC | GBP | (7,788 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 779 | (40 | ) | 739 |
See Notes to Financial Statements
121
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Capital & Counties Properties PLC | GBP | (2,954 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | $ | 256 | $ | (15 | ) | $ | 241 | |||||||||||||||||||||||||
MS | Capital & Counties Properties PLC | GBP | (1,721 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 295 | (9 | ) | 286 | ||||||||||||||||||||||||||||
MS | Capri Holdings Ltd. | USD | (4,276 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,341 | 94 | 2,435 | |||||||||||||||||||||||||||||
MS | Capri Holdings Ltd. | USD | (6,436 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,839 | 33 | 2,872 | |||||||||||||||||||||||||||||
MS | Capri Holdings Ltd. | USD | (12,342 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 40 | 8 | 48 | |||||||||||||||||||||||||||||
MS | Catalent, Inc. | USD | (2,644 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (426 | ) | 2 | (424 | ) | |||||||||||||||||||||||||||
MS | Catalent, Inc. | USD | (22,365 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (5,787 | ) | 18 | (5,769 | ) | |||||||||||||||||||||||||||
MS | CBRE Group, Inc. | USD | (18,172 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,915 | ) | 18 | (1,897 | ) | |||||||||||||||||||||||||||
MS | Centennial Resource Development, Inc. | USD | (17,111 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (791 | ) | 8 | (783 | ) | |||||||||||||||||||||||||||
MS | Centennial Resource Development, Inc. | USD | (16,006 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (10 | ) | — | (10 | ) | |||||||||||||||||||||||||||
MS | Ceridian HCM Holding, Inc. | USD | (23,599 | ) | 11/18/2019 | 1.69 | % | (0.78 | )% | 1M USD LIBOR | 1M/T | (6,383 | ) | 16 | (6,367 | ) | |||||||||||||||||||||||||||
MS | Ceridian HCM Holding, Inc. | USD | (24,183 | ) | 11/18/2019 | 1.08 | % | (1.39 | )% | 1M USD LIBOR | 1M/T | (8,352 | ) | 15 | (8,337 | ) | |||||||||||||||||||||||||||
MS | Charles Schwab Corp. | USD | (73,568 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 15,031 | 98 | 15,129 | |||||||||||||||||||||||||||||
MS | Charter Communications, Inc. | USD | (38,233 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (10,798 | ) | 30 | (10,768 | ) | |||||||||||||||||||||||||||
MS | Charter Communications, Inc. | USD | (7,053 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,000 | ) | 6 | (1,994 | ) | |||||||||||||||||||||||||||
MS | Chesapeake Energy Corp. | USD | (14,262 | ) | 11/18/2019 | 1.77 | % | (0.70 | )% | 1M USD LIBOR | 1M/T | 1,193 | 13 | 1,206 | |||||||||||||||||||||||||||||
MS | Chesapeake Energy Corp. | USD | (14,233 | ) | 11/18/2019 | 1.81 | % | (0.66 | )% | 1M USD LIBOR | 1M/T | 1,338 | 14 | 1,352 | |||||||||||||||||||||||||||||
MS | Chesapeake Energy Corp. | USD | (14,780 | ) | 11/18/2019 | 1.54 | % | (0.93 | )% | 1M USD LIBOR | 1M/T | 1,440 | 12 | 1,452 |
See Notes to Financial Statements
122
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Chesapeake Energy Corp. | USD | (10,790 | ) | 11/18/2019 | 1.58 | % | (0.90 | )% | 1M USD LIBOR | 1M/T | $ | (24 | ) | $ | — | $ | (24 | ) | ||||||||||||||||||||||||
MS | Chiba Bank Ltd. | JPY | (58,100 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 127 | (7 | ) | 120 | ||||||||||||||||||||||||||||
MS | Chiba Bank Ltd. | JPY | (929,600 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 2,867 | (119 | ) | 2,748 | ||||||||||||||||||||||||||||
MS | Cloudera, Inc. | USD | (22,271 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 9,452 | 35 | 9,487 | |||||||||||||||||||||||||||||
MS | Cloudera, Inc. | USD | (11,787 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 7,106 | 21 | 7,127 | |||||||||||||||||||||||||||||
MS | Cloudera, Inc. | USD | (14,091 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 220 | 15 | 235 | |||||||||||||||||||||||||||||
MS | Commerzbank AG | EUR | (13,636 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 583 | (8 | ) | 575 | ||||||||||||||||||||||||||||
MS | Commerzbank AG | EUR | (13,628 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 1,191 | (8 | ) | 1,183 | ||||||||||||||||||||||||||||
MS | Commerzbank AG | EUR | (12,274 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 786 | (7 | ) | 779 | ||||||||||||||||||||||||||||
MS | Conagra Brands, Inc. | USD | (16,190 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3 | ) | — | (3 | ) | |||||||||||||||||||||||||||
MS | Concordia Financial Group Ltd. | JPY | (1,036,800 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 3,894 | (209 | ) | 3,685 | ||||||||||||||||||||||||||||
MS | Continental AG | EUR | (13,557 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (240 | ) | (496 | ) | (736 | ) | ||||||||||||||||||||||||||
MS | Coty, Inc. | USD | (60,397 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 14,644 | 83 | 14,727 | |||||||||||||||||||||||||||||
MS | Coty, Inc. | USD | (4,058 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 354 | 5 | 359 | |||||||||||||||||||||||||||||
MS | Coty, Inc. Class A | USD | (22,289 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (5,493 | ) | 18 | (5,475 | ) | |||||||||||||||||||||||||||
MS | Coupa Software, Inc. | USD | (17,359 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,337 | ) | 17 | (1,320 | ) | |||||||||||||||||||||||||||
MS | Coupa Software, Inc. | USD | (17,669 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,041 | ) | 16 | (2,025 | ) | |||||||||||||||||||||||||||
MS | Coupa Software, Inc. | USD | (17,463 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,453 | ) | 5 | (1,448 | ) | |||||||||||||||||||||||||||
MS | CyberAgent, Inc. | JPY | (443,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 1,254 | (2 | ) | 1,252 | ||||||||||||||||||||||||||||
MS | CyberAgent, Inc. | JPY | (886,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 3,011 | (3 | ) | 3,008 |
See Notes to Financial Statements
123
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | CyberAGent, Inc. | JPY | (886,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | $ | 1,396 | $ | (3 | ) | $ | 1,393 | |||||||||||||||||||||||||
MS | CYBG PLC | GBP | (148 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 80 | — | 80 | |||||||||||||||||||||||||||||
MS | CYBG PLC | GBP | (4,818 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (222 | ) | 1 | (221 | ) | |||||||||||||||||||||||||||
MS | CYBG PLC | GBP | (9,461 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (1,129 | ) | 2 | (1,127 | ) | |||||||||||||||||||||||||||
MS | CYBG PLC | GBP | (9,601 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (1,084 | ) | 2 | (1,082 | ) | |||||||||||||||||||||||||||
MS | CYBG PLC | GBP | (8,077 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (684 | ) | 2 | (682 | ) | |||||||||||||||||||||||||||
MS | CyrusOne, Inc. | USD | (55,300 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,039 | ) | 60 | (979 | ) | |||||||||||||||||||||||||||
MS | CyrusOne, Inc. | USD | (13,700 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (326 | ) | 14 | (312 | ) | |||||||||||||||||||||||||||
MS | Darling Ingredients, Inc. | USD | (16,554 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,470 | ) | 17 | (1,453 | ) | |||||||||||||||||||||||||||
MS | Darling Ingredients, Inc. | USD | (1,374 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (72 | ) | 1 | (71 | ) | |||||||||||||||||||||||||||
MS | Dechra Pharmaceuticals PLC | GBP | (10,640 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (2,696 | ) | 2 | (2,694 | ) | |||||||||||||||||||||||||||
MS | Delivery Hero SE | EUR | (42,282 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (2,064 | ) | (22 | ) | (2,086 | ) | ||||||||||||||||||||||||||
MS | Delivery Hero SE | EUR | (16,107 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (2,086 | ) | (8 | ) | (2,094 | ) | ||||||||||||||||||||||||||
MS | Delivery Hero SE | EUR | (11,464 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (1,378 | ) | (5 | ) | (1,383 | ) | ||||||||||||||||||||||||||
MS | Deutsche Bank AG | EUR | (32,733 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 8,878 | (22 | ) | 8,856 | ||||||||||||||||||||||||||||
MS | Deutsche Bank AG | EUR | (8,946 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 3,463 | (6 | ) | 3,457 | ||||||||||||||||||||||||||||
MS | Deutsche Bank AG | EUR | (4,989 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 1,196 | (3 | ) | 1,193 | ||||||||||||||||||||||||||||
MS | Deutsche Bank AG | EUR | (376 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 45 | — | 45 | |||||||||||||||||||||||||||||
MS | DexCom, Inc. | USD | (69,615 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (19,508 | ) | 55 | (19,453 | ) | |||||||||||||||||||||||||||
MS | Digital Realty Trust, Inc. | USD | (17,303 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 544 | 20 | 564 |
See Notes to Financial Statements
124
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Digital Realty Trust, Inc. | USD | (15,067 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | (373 | ) | $ | 16 | $ | (357 | ) | ||||||||||||||||||||||||
MS | Digital Realty Trust, Inc. | USD | (16,009 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (284 | ) | 16 | (268 | ) | |||||||||||||||||||||||||||
MS | Digital Realty Trust, Inc. | USD | (15,773 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 535 | 17 | 552 | |||||||||||||||||||||||||||||
MS | Disco Corp. | JPY | (1,908,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 45 | (151 | ) | (106 | ) | |||||||||||||||||||||||||||
MS | Disco Corp. | JPY | (1,908,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (1,723 | ) | (150 | ) | (1,873 | ) | ||||||||||||||||||||||||||
MS | DISH Network Corp. | USD | (78,704 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (10,906 | ) | 75 | (10,831 | ) | |||||||||||||||||||||||||||
MS | DISH Network Corp. | USD | (3,582 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (583 | ) | 3 | (580 | ) | |||||||||||||||||||||||||||
MS | DocuSign, Inc. | USD | (4,647 | ) | 11/18/2019 | (0.46 | )% | (2.93 | )% | 1M USD LIBOR | 1M/T | (1,244 | ) | (1 | ) | (1,245 | ) | ||||||||||||||||||||||||||
MS | DocuSign, Inc. | USD | (16,434 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (417 | ) | 5 | (412 | ) | |||||||||||||||||||||||||||
MS | DocuSign, Inc. | USD | (15,868 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2 | ) | — | (2 | ) | |||||||||||||||||||||||||||
MS | Dominion Energy, Inc. | USD | (90,173 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (24,141 | ) | 73 | (24,068 | ) | |||||||||||||||||||||||||||
MS | Don Quijote Holdings Co. Ltd. | JPY | (2,868,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (4,931 | ) | (6 | ) | (4,937 | ) | ||||||||||||||||||||||||||
MS | Don Quijote Holdings Co. Ltd. | JPY | (2,151,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (5,448 | ) | (4 | ) | (5,452 | ) | ||||||||||||||||||||||||||
MS | Don Quijote Holdings Co. Ltd. | JPY | (717,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (1,888 | ) | (1 | ) | (1,889 | ) | ||||||||||||||||||||||||||
MS | DS Smith PLC | GBP | (154 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 110 | (3 | ) | 107 | ||||||||||||||||||||||||||||
MS | DS Smith PLC | GBP | (5,833 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 3,049 | (109 | ) | 2,940 | ||||||||||||||||||||||||||||
MS | DS Smith PLC | GBP | (39 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (1 | ) | (1 | ) | (2 | ) | ||||||||||||||||||||||||||
MS | DS Smith PLC | GBP | (5,644 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 3,070 | (105 | ) | 2,965 | ||||||||||||||||||||||||||||
MS | DS Smith PLC | GBP | (5,912 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 3,041 | (110 | ) | 2,931 | ||||||||||||||||||||||||||||
MS | DS Smith PLC | GBP | (6,055 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 3,083 | (113 | ) | 2,970 | ||||||||||||||||||||||||||||
MS | DS Smith PLC | GBP | (2,942 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 1,283 | (55 | ) | 1,228 |
See Notes to Financial Statements
125
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | DS Smith PLC | GBP | (2,827 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | $ | 564 | $ | (53 | ) | $ | 511 | |||||||||||||||||||||||||
MS | DS Smith PLC | GBP | (2,028 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 50 | (38 | ) | 12 | ||||||||||||||||||||||||||||
MS | DS Smith PLC | GBP | (828 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 78 | (16 | ) | 62 | ||||||||||||||||||||||||||||
MS | DS Smith PLC | GBP | (3,202 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (64 | ) | (60 | ) | (124 | ) | ||||||||||||||||||||||||||
MS | Electricite de France SA | EUR | (21,225 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (2,678 | ) | (10 | ) | (2,688 | ) | ||||||||||||||||||||||||||
MS | Electronic Arts, Inc. | USD | (14,671 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 3,369 | 20 | 3,389 | |||||||||||||||||||||||||||||
MS | Electronic Arts, Inc. | USD | (15,428 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,418 | 20 | 2,438 | |||||||||||||||||||||||||||||
MS | Element Solutions, Inc. | USD | (74,185 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 3,649 | 90 | 3,739 | |||||||||||||||||||||||||||||
MS | Elior Group SA | EUR | (11,883 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 2,345 | (7 | ) | 2,338 | ||||||||||||||||||||||||||||
MS | Elior Group SA | EUR | (13,562 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 1,072 | (8 | ) | 1,064 | ||||||||||||||||||||||||||||
MS | Elior Group SA | EUR | (11,464 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 202 | (6 | ) | 196 | ||||||||||||||||||||||||||||
MS | Equinix, Inc. | USD | (20,462 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3,061 | ) | 19 | (3,042 | ) | |||||||||||||||||||||||||||
MS | Equinix, Inc. | USD | (19,552 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3,061 | ) | 18 | (3,043 | ) | |||||||||||||||||||||||||||
MS | Equinix, Inc. | USD | (15,005 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (368 | ) | 15 | (353 | ) | |||||||||||||||||||||||||||
MS | Eurofins Scientific SE | EUR | (4,080 | ) | 11/18/2019 | (4.87 | )% | (4.50 | )% | 1M EURIBOR | 1M/T | 349 | (2 | ) | 347 | ||||||||||||||||||||||||||||
MS | Eurofins Scientific SE | EUR | (12,648 | ) | 11/18/2019 | (4.87 | )% | (4.50 | )% | 1M EURIBOR | 1M/T | 1,861 | (8 | ) | 1,853 | ||||||||||||||||||||||||||||
MS | Eurofins Scientific SE | EUR | (13,464 | ) | 11/18/2019 | (4.87 | )% | (4.50 | )% | 1M EURIBOR | 1M/T | 761 | (8 | ) | 753 | ||||||||||||||||||||||||||||
MS | Eurofins Scientific SE | EUR | (12,648 | ) | 11/18/2019 | (4.87 | )% | (4.50 | )% | 1M EURIBOR | 1M/T | 1,403 | (7 | ) | 1,396 | ||||||||||||||||||||||||||||
MS | Eurofins Scientific SE | EUR | (10,200 | ) | 11/18/2019 | (4.87 | )% | (4.50 | )% | 1M EURIBOR | 1M/T | (62 | ) | (5 | ) | (67 | ) | ||||||||||||||||||||||||||
MS | Evotec AG | EUR | (16,626 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (3,227 | ) | (15 | ) | (3,242 | ) | ||||||||||||||||||||||||||
MS | Evotec SE | EUR | (9,154 | ) | 11/18/2019 | (0.92 | )% | (0.55 | )% | 1M EURIBOR | 1M/T | (19 | ) | — | (19 | ) |
See Notes to Financial Statements
126
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Facebook, Inc. | USD | (19,727 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | (2,124 | ) | $ | 19 | $ | (2,105 | ) | ||||||||||||||||||||||||
MS | Facebook, Inc. | USD | (18,760 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,193 | ) | 19 | (1,174 | ) | |||||||||||||||||||||||||||
MS | Facebook, Inc. | USD | (5,995 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,073 | ) | 6 | (1,067 | ) | |||||||||||||||||||||||||||
MS | Fevertree Drinks PLC | GBP | (11,098 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (3,429 | ) | (45 | ) | (3,474 | ) | ||||||||||||||||||||||||||
MS | Fevertree Drinks PLC | GBP | (7,608 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (1,383 | ) | (31 | ) | (1,414 | ) | ||||||||||||||||||||||||||
MS | FireEye, Inc. | USD | (41,300 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 963 | 47 | 1,010 | |||||||||||||||||||||||||||||
MS | First Solar, Inc. | USD | (20,797 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3,105 | ) | 19 | (3,086 | ) | |||||||||||||||||||||||||||
MS | First Solar, Inc. | USD | (22,828 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (6,792 | ) | 18 | (6,774 | ) | |||||||||||||||||||||||||||
MS | First Solar, Inc. | USD | (16,059 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,439 | ) | 15 | (2,424 | ) | |||||||||||||||||||||||||||
MS | Fluor Corp. | USD | (19,507 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3,612 | ) | 17 | (3,595 | ) | |||||||||||||||||||||||||||
MS | Fluor Corp. | USD | (15,177 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2 | ) | — | (2 | ) | |||||||||||||||||||||||||||
MS | Freeport- McMoRan, Inc. | USD | (15,252 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 450 | (46 | ) | 404 | ||||||||||||||||||||||||||||
MS | Freeport-. McMoRan, Inc. | USD | (15,388 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 479 | (46 | ) | 433 | ||||||||||||||||||||||||||||
MS | Freeport- McMoRan, Inc. | USD | (15,191 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,312 | (44 | ) | 1,268 | ||||||||||||||||||||||||||||
MS | Freeport- McMoRan, Inc. | USD | (15,609 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (8 | ) | — | (8 | ) | |||||||||||||||||||||||||||
MS | Fresenius SE & Co KgaA | EUR | (7,334 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 233 | (4 | ) | 229 | ||||||||||||||||||||||||||||
MS | Fresenius SE & Co. KGaA | EUR | (10,470 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 3,379 | (7 | ) | 3,372 | ||||||||||||||||||||||||||||
MS | Fresenius SE & Co. KGaA | EUR | (11,886 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 3,016 | (8 | ) | 3,008 | ||||||||||||||||||||||||||||
MS | Fresenius SE & Co. KGaA | EUR | (10,015 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 4,071 | (7 | ) | 4,064 | ||||||||||||||||||||||||||||
MS | Fresenius SE & Co. KGaA | EUR | (11,735 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 2,260 | (7 | ) | 2,253 | ||||||||||||||||||||||||||||
MS | Fresenius SE & Co. KGaA | EUR | (2,580 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 337 | (2 | ) | 335 |
See Notes to Financial Statements
127
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Fresnillo PLC | GBP | (1,835 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | $ | 205 | $ | (40 | ) | $ | 165 | |||||||||||||||||||||||||
MS | Fresnillo PLC | GBP | (6,822 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 1,750 | (150 | ) | 1,600 | ||||||||||||||||||||||||||||
MS | Fresnillo PLC | GBP | (6,792 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 1,452 | (149 | ) | 1,303 | ||||||||||||||||||||||||||||
MS | Fresnillo PLC | GBP | (6,911 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 1,306 | (152 | ) | 1,154 | ||||||||||||||||||||||||||||
MS | Fresnillo PLC | GBP | (7,788 | ) | 11/18/2019 | 0.18 | % | (0.55 | )% | 1M GBP LIBOR | 1M/T | (5 | ) | — | (5 | ) | |||||||||||||||||||||||||||
MS | Gap, Inc. | USD | (16,091 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (238 | ) | (133 | ) | (371 | ) | ||||||||||||||||||||||||||
MS | General Electric Co. | USD | (33,286 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 891 | 40 | 931 | |||||||||||||||||||||||||||||
MS | Grenke AG | EUR | (17,605 | ) | 11/18/2019 | (2.74 | )% | (2.38 | )% | 1M EURIBOR | 1M/T | (4,760 | ) | (17 | ) | (4,777 | ) | ||||||||||||||||||||||||||
MS | Grenke AG | EUR | (17,889 | ) | 11/18/2019 | (2.74 | )% | (2.38 | )% | 1M EURIBOR | 1M/T | (4,572 | ) | (18 | ) | (4,590 | ) | ||||||||||||||||||||||||||
MS | Grenke AG | EUR | (14,198 | ) | 11/18/2019 | (2.74 | )% | (2.38 | )% | 1M EURIBOR | 1M/T | (3,427 | ) | (5 | ) | (3,432 | ) | ||||||||||||||||||||||||||
MS | Groupon, Inc. | USD | (7,698 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,845 | 11 | 1,856 | |||||||||||||||||||||||||||||
MS | GrubHub, Inc. | USD | (12,757 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,843 | 17 | 2,860 | |||||||||||||||||||||||||||||
MS | GrubHub, Inc. | USD | (13,091 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,468 | 17 | 2,485 | |||||||||||||||||||||||||||||
MS | GrubHub, Inc. | USD | (13,425 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,266 | 17 | 2,283 | |||||||||||||||||||||||||||||
MS | GrubHub, Inc. | USD | (14,360 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 818 | 16 | 834 | |||||||||||||||||||||||||||||
MS | Hain Celestial Group, Inc. | USD | (14,641 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,277 | 17 | 1,294 | |||||||||||||||||||||||||||||
MS | Hain Celestial Group, Inc. | USD | (13,179 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 4,224 | 19 | 4,243 | |||||||||||||||||||||||||||||
MS | Hain Celestial Group, Inc. | USD | (15,514 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 3,145 | 21 | 3,166 | |||||||||||||||||||||||||||||
MS | Hain Celestial Group, Inc. | USD | (13,550 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 52 | 15 | 67 | |||||||||||||||||||||||||||||
MS | Harmonic Drive Systems, Inc. | JPY | (876,000 | ) | 11/18/2019 | (10.35 | )% | (10.25 | )% | 1M JPY LIBOR | 1M/T | (1,630 | ) | (81 | ) | (1,711 | ) | ||||||||||||||||||||||||||
MS | Harmonic Drive Systems, Inc. | JPY | (1,314,000 | ) | 11/18/2019 | (12.85 | )% | (12.75 | )% | 1M JPY LIBOR | 1M/T | (3,158 | ) | (109 | ) | (3,267 | ) |
See Notes to Financial Statements
128
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Harmonic Drive Systems, Inc. | JPY | (1,314,000 | ) | 11/18/2019 | (12.85 | )% | (12.75 | )% | 1M JPY LIBOR | 1M/T | $ | (2,173 | ) | $ | (120 | ) | $ | (2,293 | ) | |||||||||||||||||||||||
MS | Harmonic Drive Systems, Inc. | JPY | (876,000 | ) | 11/18/2019 | (10.35 | )% | (10.25 | )% | 1M JPY LIBOR | 1M/T | (931 | ) | (84 | ) | (1,015 | ) | ||||||||||||||||||||||||||
MS | Henkel AG & Co KGaA | EUR | (8,070 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 1,065 | (5 | ) | 1,060 | ||||||||||||||||||||||||||||
MS | Hitachi Metals Ltd. | JPY | (1,281,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 649 | (157 | ) | 492 | ||||||||||||||||||||||||||||
MS | Hitachi Metals Ltd. | JPY | (1,152,900 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 794 | (141 | ) | 653 | ||||||||||||||||||||||||||||
MS | Hitachi Metals Ltd. | JPY | (640,500 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 316 | (78 | ) | 238 | ||||||||||||||||||||||||||||
MS | Hitachi Metals Ltd. | JPY | (896,700 | ) | 11/18/2019 | (0.72 | )% | (0.63 | )% | 1M JPY LIBOR | 1M/T | 165 | (110 | ) | 55 | ||||||||||||||||||||||||||||
MS | Howard Hughes Corp. | USD | (14,541 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,403 | 19 | 2,422 | |||||||||||||||||||||||||||||
MS | Howard Hughes Corp. | USD | (15,540 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,546 | 20 | 2,566 | |||||||||||||||||||||||||||||
MS | Howard Hughes Corp. | USD | (16,983 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,308 | 21 | 2,329 | |||||||||||||||||||||||||||||
MS | Howard Hughes Corp. | USD | (15,984 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,970 | 20 | 1,990 | |||||||||||||||||||||||||||||
MS | Howard Hughes Corp. | USD | (4,107 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 297 | 5 | 302 | |||||||||||||||||||||||||||||
MS | Howard Hughes Corp. | USD | (1,998 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (61 | ) | 2 | (59 | ) | |||||||||||||||||||||||||||
MS | HubSpot, Inc. | USD | (24,168 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (6,394 | ) | 20 | (6,374 | ) | |||||||||||||||||||||||||||
MS | Hubspot, Inc. | USD | (23,246 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (5,487 | ) | 20 | (5,467 | ) | |||||||||||||||||||||||||||
MS | II-VI, Inc. | USD | (19,203 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,315 | 24 | 2,339 | |||||||||||||||||||||||||||||
MS | Iliad SA | EUR | (23,491 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 15,726 | (20 | ) | 15,706 | ||||||||||||||||||||||||||||
MS | Iliad SA | EUR | (10,340 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 5,013 | (8 | ) | 5,005 | ||||||||||||||||||||||||||||
MS | Iliad SA | EUR | (5,805 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 2,603 | (4 | ) | 2,599 | ||||||||||||||||||||||||||||
MS | Iliad SA | EUR | (4,263 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 803 | (3 | ) | 800 | ||||||||||||||||||||||||||||
MS | Iliad SA | EUR | (4,535 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 504 | (3 | ) | 501 |
See Notes to Financial Statements
129
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Indivior PLC | GBP | (611 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | $ | 9,217 | $ | 2 | $ | 9,219 | ||||||||||||||||||||||||||
MS | Indivior PLC | GBP | (449 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 4,891 | 1 | 4,892 | |||||||||||||||||||||||||||||
MS | Indivior PLC | GBP | (879 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 10,176 | 2 | 10,178 | |||||||||||||||||||||||||||||
MS | Indivior PLC | GBP | (1,029 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 9,132 | 2 | 9,134 | |||||||||||||||||||||||||||||
MS | Indivior PLC | GBP | (1,106 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 9,581 | 2 | 9,583 | |||||||||||||||||||||||||||||
MS | Indivior PLC | GBP | (614 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 4,701 | 1 | 4,702 | |||||||||||||||||||||||||||||
MS | Indivior PLC | GBP | (635 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 4,740 | 1 | 4,741 | |||||||||||||||||||||||||||||
MS | Indivior PLC | GBP | (1,232 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 6,245 | 2 | 6,247 | |||||||||||||||||||||||||||||
MS | Inpex Corp. | JPY | (1,081,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 888 | (139 | ) | 749 | ||||||||||||||||||||||||||||
MS | Inpex Corp. | JPY | (1,081,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 785 | (139 | ) | 646 | ||||||||||||||||||||||||||||
MS | Inpex Corp. | JPY | (1,189,100 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 878 | (152 | ) | 726 | ||||||||||||||||||||||||||||
MS | Inpex Corp. | JPY | (216,200 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 578 | (28 | ) | 550 | ||||||||||||||||||||||||||||
MS | Insulet Corp. | USD | (21,994 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,028 | 27 | 2,055 | |||||||||||||||||||||||||||||
MS | Insulet Corp. | USD | (4,916 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 528 | 6 | 534 | |||||||||||||||||||||||||||||
MS | Insulet Corp. | USD | (9,574 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 122 | 11 | 133 | |||||||||||||||||||||||||||||
MS | Insulet Corp. | USD | (1,035 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (66 | ) | 1 | (65 | ) | |||||||||||||||||||||||||||
MS | Intermediate Capital Group PLC | GBP | (23,995 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (968 | ) | 6 | (962 | ) | |||||||||||||||||||||||||||
MS | Intermediate Capital Group PLC | GBP | (2,813 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (355 | ) | 1 | (354 | ) | |||||||||||||||||||||||||||
MS | Intermediate Capital Group PLC | GBP | (2,931 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (474 | ) | 1 | (473 | ) |
See Notes to Financial Statements
130
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Intermediate Capital Group PLC | GBP | (1,986 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | $ | (380 | ) | $ | — | $ | (380 | ) | ||||||||||||||||||||||||
MS | International Game Technology PLC | USD | (17,746 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,973 | ) | 17 | (1,956 | ) | |||||||||||||||||||||||||||
MS | International Game Technology PLC | USD | (17,790 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,455 | ) | 17 | (1,438 | ) | |||||||||||||||||||||||||||
MS | IPG Photonics Corp. | USD | (19,744 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,700 | ) | 20 | (1,680 | ) | |||||||||||||||||||||||||||
MS | IPG Photonics Corp. | USD | (22,016 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (5,036 | ) | 19 | (5,017 | ) | |||||||||||||||||||||||||||
MS | IPG Photonics Corp. | USD | (23,064 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (5,603 | ) | 19 | (5,584 | ) | |||||||||||||||||||||||||||
MS | IPG Photonics Corp. | USD | (15,726 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,974 | ) | 14 | (2,960 | ) | |||||||||||||||||||||||||||
MS | IPG Photonics Corp. | USD | (4,543 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,086 | ) | 4 | (1,082 | ) | |||||||||||||||||||||||||||
MS | IWG PLC | GBP | (26,669 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (2,972 | ) | (438 | ) | (3,410 | ) | ||||||||||||||||||||||||||
MS | JD Sports Fashion PLC | GBP | (7,345 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (3,787 | ) | 1 | (3,786 | ) | |||||||||||||||||||||||||||
MS | Jefferies Financial Group, Inc. | USD | (31,205 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,448 | 37 | 2,485 | |||||||||||||||||||||||||||||
MS | JGC Corp. | JPY | (1,111,600 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 33 | (160 | ) | (127 | ) | |||||||||||||||||||||||||||
MS | JGC Corp. | JPY | (952,800 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 33 | (137 | ) | (104 | ) | |||||||||||||||||||||||||||
MS | JGC Corp. | JPY | (1,111,600 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (621 | ) | (162 | ) | (783 | ) | ||||||||||||||||||||||||||
MS | JGC Corp. | JPY | (952,800 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (236 | ) | (138 | ) | (374 | ) | ||||||||||||||||||||||||||
MS | John Wood Group PLC | USD | (24,287 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 13,443 | (1,214 | ) | 12,229 | ||||||||||||||||||||||||||||
MS | Johnson Matthey PLC | GBP | (14,816 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 1,009 | 4 | 1,013 | |||||||||||||||||||||||||||||
MS | Johnson Matthey PLC | GBP | (6,841 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 1,198 | 2 | 1,200 | |||||||||||||||||||||||||||||
MS | Johnson Matthey PLC | GBP | (5,940 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 669 | 2 | 671 |
See Notes to Financial Statements
131
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Johnson Matthey PLC | GBP | (3,003 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | $ | 275 | $ | 1 | $ | 276 | ||||||||||||||||||||||||||
MS | Johnson Matthey PLC | GBP | (3,003 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 161 | 1 | 162 | |||||||||||||||||||||||||||||
MS | Johnson Matthey PLC | GBP | (2,503 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (292 | ) | 1 | (291 | ) | |||||||||||||||||||||||||||
MS | Johnson Matthey PLC | GBP | (2,670 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (503 | ) | 1 | (502 | ) | |||||||||||||||||||||||||||
MS | Jones Lang LaSalle, Inc. | USD | (41,734 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,385 | 49 | 2,434 | |||||||||||||||||||||||||||||
MS | Just Eat PLC | GBP | (5,760 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 164 | 2 | 166 | |||||||||||||||||||||||||||||
MS | Just Eat PLC | GBP | (10,639 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (1,058 | ) | 3 | (1,055 | ) | |||||||||||||||||||||||||||
MS | Just Eat PLC | GBP | (8,598 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (1,297 | ) | 2 | (1,295 | ) | |||||||||||||||||||||||||||
MS | Just Eat PLC | GBP | (11,296 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (3,141 | ) | 2 | (3,139 | ) | |||||||||||||||||||||||||||
MS | K&S AG | EUR | (2,368 | ) | 11/18/2019 | (3.12 | )% | (2.75 | )% | 1M EURIBOR | 1M/T | 706 | (6 | ) | 700 | ||||||||||||||||||||||||||||
MS | K&S AG | EUR | (14,102 | ) | 11/18/2019 | (3.12 | )% | (2.75 | )% | 1M EURIBOR | 1M/T | (2,677 | ) | (36 | ) | (2,713 | ) | ||||||||||||||||||||||||||
MS | K&S AG | EUR | (15,368 | ) | 11/18/2019 | (3.12 | )% | (2.75 | )% | 1M EURIBOR | 1M/T | (2,432 | ) | (40 | ) | (2,472 | ) | ||||||||||||||||||||||||||
MS | K&S AG | EUR | (7,774 | ) | 11/18/2019 | (3.12 | )% | (2.75 | )% | 1M EURIBOR | 1M/T | (857 | ) | (3 | ) | (860 | ) | ||||||||||||||||||||||||||
MS | K&S AG | EUR | (12,873 | ) | 11/18/2019 | (3.12 | )% | (2.75 | )% | 1M EURIBOR | 1M/T | (1,459 | ) | (32 | ) | (1,491 | ) | ||||||||||||||||||||||||||
MS | Kazakhmys PLC | GBP | (8,063 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (278 | ) | (74 | ) | (352 | ) | ||||||||||||||||||||||||||
MS | Knight-Swift Transportation Holdings, Inc. | USD | (29,748 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 5,757 | 39 | 5,796 | |||||||||||||||||||||||||||||
MS | Knight-Swift Transportation Holdings, Inc. | USD | (16,442 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 76 | 18 | 94 | |||||||||||||||||||||||||||||
MS | Knight-Swift Transportation Holdings, Inc. | USD | (20,210 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (495 | ) | 22 | (473 | ) | |||||||||||||||||||||||||||
MS | Knight-Swift Transportation Holdings, Inc. | USD | (7,837 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (246 | ) | 8 | (238 | ) |
See Notes to Financial Statements
132
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Knight-Swift Transportation Holdings, Inc. | USD | (2,301 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | (218 | ) | $ | 2 | $ | (216 | ) | ||||||||||||||||||||||||
MS | Kose Corp. | JPY | (4,170,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 5,043 | (184 | ) | 4,859 | ||||||||||||||||||||||||||||
MS | Kose Corp. | JPY | (2,085,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 1,794 | (92 | ) | 1,702 | ||||||||||||||||||||||||||||
MS | Kosmos Energy Ltd. | USD | (2,903 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (150 | ) | 3 | (147 | ) | |||||||||||||||||||||||||||
MS | Kraft Heinz Co. | USD | (15,988 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (167 | ) | 17 | (150 | ) | |||||||||||||||||||||||||||
MS | Kraft Heinz Co. | USD | (16,720 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (587 | ) | 17 | (570 | ) | |||||||||||||||||||||||||||
MS | Kroger Co. | USD | (23,047 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,150 | ) | 24 | (1,126 | ) | |||||||||||||||||||||||||||
MS | LendingTree, Inc. | USD | (8,081 | ) | 11/18/2019 | 1.80 | % | (0.67 | )% | 1M USD LIBOR | 1M/T | (3,319 | ) | 5 | (3,314 | ) | |||||||||||||||||||||||||||
MS | LendingTree, Inc. | USD | (31,170 | ) | 11/18/2019 | 1.70 | % | (0.77 | )% | 1M USD LIBOR | 1M/T | (12,359 | ) | 18 | (12,341 | ) | |||||||||||||||||||||||||||
MS | LendingTree, Inc. | USD | (30,401 | ) | 11/18/2019 | 1.70 | % | (0.77 | )% | 1M USD LIBOR | 1M/T | (12,370 | ) | 17 | (12,353 | ) | |||||||||||||||||||||||||||
MS | LendingTree, Inc. | USD | (16,547 | ) | 11/18/2019 | 1.68 | % | (0.79 | )% | 1M USD LIBOR | 1M/T | (5,549 | ) | 6 | (5,543 | ) | |||||||||||||||||||||||||||
MS | Liberty Media Corp.-Liberty Formula One | USD | (58,603 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (11,773 | ) | 52 | (11,721 | ) | |||||||||||||||||||||||||||
MS | LINE Corp. | JPY | (2,614,500 | ) | 11/18/2019 | (4.10 | )% | (4.00 | )% | 1M JPY LIBOR | 1M/T | 1,339 | (18 | ) | 1,321 | ||||||||||||||||||||||||||||
MS | LINE Corp. | JPY | (1,120,500 | ) | 11/18/2019 | (4.10 | )% | (4.00 | )% | 1M JPY LIBOR | 1M/T | 1,866 | (9 | ) | 1,857 | ||||||||||||||||||||||||||||
MS | LINE Corp. | JPY | (747,000 | ) | 11/18/2019 | (4.10 | )% | (4.00 | )% | 1M JPY LIBOR | 1M/T | 634 | (6 | ) | 628 | ||||||||||||||||||||||||||||
MS | LINE Corp. | JPY | (373,500 | ) | 11/18/2019 | (4.10 | )% | (4.00 | )% | 1M JPY LIBOR | 1M/T | (159 | ) | (4 | ) | (163 | ) | ||||||||||||||||||||||||||
MS | LINE Corp. | JPY | (373,500 | ) | 11/18/2019 | (4.10 | )% | (4.00 | )% | 1M JPY LIBOR | 1M/T | (514 | ) | (2 | ) | (516 | ) | ||||||||||||||||||||||||||
MS | LKQ Corp. | USD | (17,488 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (399 | ) | 19 | (380 | ) | |||||||||||||||||||||||||||
MS | Lumentum Holdings, Inc. | USD | (62,714 | ) | 11/18/2019 | 1.92 | % | (0.55 | )% | 1M USD LIBOR | 1M/T | 985 | 67 | 1,052 | |||||||||||||||||||||||||||||
MS | M3, Inc. | JPY | (4,725,600 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 6,623 | (166 | ) | 6,457 |
See Notes to Financial Statements
133
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | M3, Inc. | JPY | (393,800 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | $ | (479 | ) | $ | (13 | ) | $ | (492 | ) | |||||||||||||||||||||||
MS | Matador Resources Co. | USD | (15,299 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,052 | 8 | 1,060 | |||||||||||||||||||||||||||||
MS | Matador Resources Co. | USD | (14,512 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,550 | 5 | 1,555 | |||||||||||||||||||||||||||||
MS | Medicines Co. | USD | (85,466 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 3,273 | 98 | 3,371 | |||||||||||||||||||||||||||||
MS | Mediclinic International PLC | GBP | (8,838 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (533 | ) | (14 | ) | (547 | ) | ||||||||||||||||||||||||||
MS | Mediclinic International PLC | GBP | (8,876 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (798 | ) | 2 | (796 | ) | |||||||||||||||||||||||||||
MS | Melrose Industries PLC | GBP | (5,579 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (1,292 | ) | (109 | ) | (1,401 | ) | ||||||||||||||||||||||||||
MS | Melrose Industries PLC | GBP | (11,732 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (3,704 | ) | (228 | ) | (3,932 | ) | ||||||||||||||||||||||||||
MS | Melrose Industries PLC | GBP | (7,989 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (1,084 | ) | (155 | ) | (1,239 | ) | ||||||||||||||||||||||||||
MS | Melrose Industries PLC | GBP | (8,545 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (969 | ) | 2 | (967 | ) | |||||||||||||||||||||||||||
MS | Metro Bank PLC | GBP | (1,770 | ) | 11/18/2019 | (6.02 | )% | (6.75 | )% | 1M GBP LIBOR | 1M/T | 7,914 | (9 | ) | 7,905 | ||||||||||||||||||||||||||||
MS | Metro Bank PLC | GBP | (2,310 | ) | 11/18/2019 | (6.02 | )% | (6.75 | )% | 1M GBP LIBOR | 1M/T | 8,723 | (10 | ) | 8,713 | ||||||||||||||||||||||||||||
MS | Metro Bank PLC | GBP | (1,883 | ) | 11/18/2019 | (6.02 | )% | (6.75 | )% | 1M GBP LIBOR | 1M/T | 7,063 | (8 | ) | 7,055 | ||||||||||||||||||||||||||||
MS | Metro Bank PLC | GBP | (2,955 | ) | 11/18/2019 | (6.02 | )% | (6.75 | )% | 1M GBP LIBOR | 1M/T | 8,027 | (15 | ) | 8,012 | ||||||||||||||||||||||||||||
MS | Metro Bank PLC | GBP | (2,370 | ) | 11/18/2019 | (6.02 | )% | (6.75 | )% | 1M GBP LIBOR | 1M/T | 6,117 | (12 | ) | 6,105 | ||||||||||||||||||||||||||||
MS | Metro Bank PLC | GBP | (1,013 | ) | 11/18/2019 | (6.02 | )% | (6.75 | )% | 1M GBP LIBOR | 1M/T | 2,195 | (4 | ) | 2,191 | ||||||||||||||||||||||||||||
MS | Metrovacesa SA | EUR | (8,951 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | 4,531 | (8 | ) | 4,523 | ||||||||||||||||||||||||||||
MS | MGM Resorts International | USD | (8,388 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,330 | 11 | 1,341 | |||||||||||||||||||||||||||||
MS | MGM Resorts International | USD | (1,438 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 270 | 2 | 272 | |||||||||||||||||||||||||||||
MS | MGM Resorts International | USD | (4,474 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 553 | 6 | 559 | |||||||||||||||||||||||||||||
MS | MGM Resorts International | USD | (666 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 59 | 1 | 60 |
See Notes to Financial Statements
134
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | MGM Resorts International | USD | (8,016 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | 380 | $ | 9 | $ | 389 | ||||||||||||||||||||||||||
MS | Micro Focus International PLC | GBP | (3,139 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (877 | ) | — | (877 | ) | |||||||||||||||||||||||||||
MS | Micro Focus International PLC | GBP | (2,829 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (842 | ) | — | (842 | ) | |||||||||||||||||||||||||||
MS | MISUMI Group, Inc. | JPY | (863,400 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 675 | (31 | ) | 644 | ||||||||||||||||||||||||||||
MS | MISUMI Group, Inc. | JPY | (2,014,600 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (323 | ) | (72 | ) | (395 | ) | ||||||||||||||||||||||||||
MS | MISUMI Group, Inc. | JPY | (1,151,200 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (56 | ) | (41 | ) | (97 | ) | ||||||||||||||||||||||||||
MS | MISUMI Group, Inc. | JPY | (863,400 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (335 | ) | (31 | ) | (366 | ) | ||||||||||||||||||||||||||
MS | MISUMI Group, Inc. | JPY | (575,600 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (538 | ) | (20 | ) | (558 | ) | ||||||||||||||||||||||||||
MS | MISUMI Group, Inc. | JPY | (1,151,200 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (1,434 | ) | (41 | ) | (1,475 | ) | ||||||||||||||||||||||||||
MS | Mitsui OSK Lines Ltd. | JPY | (1,128,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (1,197 | ) | (93 | ) | (1,290 | ) | ||||||||||||||||||||||||||
MS | Mohawk Industries, Inc. | USD | (16,078 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1 | ) | — | (1 | ) | |||||||||||||||||||||||||||
MS | Monster Beverage Corp. | USD | (40,766 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (7,056 | ) | 37 | (7,019 | ) | |||||||||||||||||||||||||||
MS | Monster Beverage Corp. | USD | (16,748 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (963 | ) | 17 | (946 | ) | |||||||||||||||||||||||||||
MS | Monster Beverage Corp. | USD | (11,920 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 295 | 14 | 309 | |||||||||||||||||||||||||||||
MS | Monster Beverage Corp. | USD | (3,099 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | �� | 1M/T | (11 | ) | 3 | (8 | ) | ||||||||||||||||||||||||||
MS | Monster Beverage Corp. | USD | (2,265 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (64 | ) | 2 | (62 | ) | |||||||||||||||||||||||||||
MS | Monster Beverage Corp. | USD | (4,232 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (462 | ) | 4 | (458 | ) | |||||||||||||||||||||||||||
MS | Moody's Corp. | USD | (20,842 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,737 | ) | 20 | (2,717 | ) | |||||||||||||||||||||||||||
MS | Moody's Corp. | USD | (20,645 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,678 | ) | 20 | (2,658 | ) | |||||||||||||||||||||||||||
MS | Moody's Corp. | USD | (24,184 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (5,742 | ) | 20 | (5,722 | ) | |||||||||||||||||||||||||||
MS | Mosaic Co. | USD | (43,212 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,836 | 51 | 2,887 |
See Notes to Financial Statements
135
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Mosaic Co. | USD | (2,768 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | 636 | $ | 4 | $ | 640 | ||||||||||||||||||||||||||
MS | Myokardia, Inc. | USD | (13,530 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,398 | 17 | 2,415 | |||||||||||||||||||||||||||||
MS | Myokardia, Inc. | USD | (14,874 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,013 | 19 | 2,032 | |||||||||||||||||||||||||||||
MS | MyoKardia, Inc. | USD | (13,866 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 978 | 15 | 993 | |||||||||||||||||||||||||||||
MS | MyoKardia, Inc. | USD | (15,018 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,347 | 17 | 1,364 | |||||||||||||||||||||||||||||
MS | National Beverage Corp. | USD | (8,456 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 9,663 | 20 | 9,683 | |||||||||||||||||||||||||||||
MS | National Beverage Corp. | USD | (8,848 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 9,237 | 20 | 9,257 | |||||||||||||||||||||||||||||
MS | Navistar International Corp. | USD | (39,261 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 4,167 | 48 | 4,215 | |||||||||||||||||||||||||||||
MS | Nektar Therapeutics | USD | (11,751 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 16,810 | 31 | 16,841 | |||||||||||||||||||||||||||||
MS | Nektar Therapeutics | USD | (11,239 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 5,733 | 19 | 5,752 | |||||||||||||||||||||||||||||
MS | Nektar Therapeutics | USD | (14,473 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,679 | 18 | 1,697 | |||||||||||||||||||||||||||||
MS | Netflix, Inc. | USD | (38,907 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,186 | ) | 41 | (2,145 | ) | |||||||||||||||||||||||||||
MS | Netflix, Inc. | USD | (20,009 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (801 | ) | 21 | (780 | ) | |||||||||||||||||||||||||||
MS | Netflix, Inc. | USD | (18,156 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,183 | ) | 19 | (1,164 | ) | |||||||||||||||||||||||||||
MS | Netflix, Inc. | USD | (11,487 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,648 | ) | 11 | (1,637 | ) | |||||||||||||||||||||||||||
MS | Nevro Corp. | USD | (10,244 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,755 | 14 | 2,769 | |||||||||||||||||||||||||||||
MS | Newell Brands, Inc. | USD | (10,828 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 7,864 | 21 | 7,885 | |||||||||||||||||||||||||||||
MS | Nihon M&A Center, Inc. | JPY | (1,260,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (3,028 | ) | (46 | ) | (3,074 | ) | ||||||||||||||||||||||||||
MS | Nihon M&A Center, Inc. | JPY | (1,575,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (3,512 | ) | (57 | ) | (3,569 | ) | ||||||||||||||||||||||||||
MS | Nihon M&A Center, Inc. | JPY | (630,000 | ) | 11/18/2019 | (0.72 | )% | (0.63 | )% | 1M JPY LIBOR | 1M/T | (500 | ) | (24 | ) | (524 | ) |
See Notes to Financial Statements
136
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Nippon Paint Holdings Co. Ltd. | JPY | (1,264,500 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | $ | (114 | ) | $ | (5 | ) | $ | (119 | ) | |||||||||||||||||||||||
MS | Nippon Yusen KK | JPY | (1,137,600 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (102 | ) | (57 | ) | (159 | ) | ||||||||||||||||||||||||||
MS | Nippon Yusen KK | JPY | (948,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (583 | ) | (47 | ) | (630 | ) | ||||||||||||||||||||||||||
MS | Nitori Holdings Co. Ltd. | JPY | (1,325,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 5,064 | (5 | ) | 5,059 | ||||||||||||||||||||||||||||
MS | NMC Health PLC | GBP | (8,522 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 215 | 2 | 217 | |||||||||||||||||||||||||||||
MS | NMC Health PLC | GBP | (8,466 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (482 | ) | 2 | (480 | ) | |||||||||||||||||||||||||||
MS | NMC Health PLC | GBP | (8,946 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (1,319 | ) | 1 | (1,318 | ) | |||||||||||||||||||||||||||
MS | NMC Health PLC | GBP | (9,002 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (841 | ) | 1 | (840 | ) | |||||||||||||||||||||||||||
MS | Novocure Ltd. | USD | (12,868 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,501 | 17 | 2,518 | |||||||||||||||||||||||||||||
MS | Nutanix, Inc. | USD | (77,915 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 15,755 | 103 | 15,858 | |||||||||||||||||||||||||||||
MS | NVIDIA Corp. | USD | (11,403 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 6,661 | 20 | 6,681 | |||||||||||||||||||||||||||||
MS | Oasis Petroleum, Inc. | USD | (27,786 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 28,394 | 62 | 28,456 | |||||||||||||||||||||||||||||
MS | Oasis Petroleum, Inc. | USD | (14,183 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 496 | 16 | 512 | |||||||||||||||||||||||||||||
MS | Ocado Group PLC | GBP | (5,273 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (2,302 | ) | 1 | (2,301 | ) | |||||||||||||||||||||||||||
MS | Ocado Group PLC | GBP | (13,502 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (6,040 | ) | 2 | (6,038 | ) | |||||||||||||||||||||||||||
MS | Ocado Group PLC | GBP | (7,167 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (4,009 | ) | 1 | (4,008 | ) | |||||||||||||||||||||||||||
MS | Ocado Group PLC | GBP | (10,846 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (5,495 | ) | 2 | (5,493 | ) | |||||||||||||||||||||||||||
MS | Ocado Group PLC | GBP | (177 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (87 | ) | — | (87 | ) | |||||||||||||||||||||||||||
MS | Ocado Group PLC | GBP | (4,442 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (2,592 | ) | 1 | (2,591 | ) | |||||||||||||||||||||||||||
MS | OCI NV | EUR | (6,954 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (721 | ) | (7 | ) | (728 | ) | ||||||||||||||||||||||||||
MS | OCI NV | EUR | (13,881 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (1,139 | ) | (6 | ) | (1,145 | ) |
See Notes to Financial Statements
137
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Okta, Inc. | USD | (7,802 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | (3,326 | ) | $ | 5 | $ | (3,321 | ) | ||||||||||||||||||||||||
MS | Okta, Inc. | USD | (18,517 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (8,324 | ) | 11 | (8,313 | ) | |||||||||||||||||||||||||||
MS | Okta, Inc. | USD | (32,249 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (13,673 | ) | 20 | (13,653 | ) | |||||||||||||||||||||||||||
MS | Okta, Inc. | USD | (37,763 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (20,407 | ) | 19 | (20,388 | ) | |||||||||||||||||||||||||||
MS | Ormat Technologies, Inc. | USD | (16,224 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (224 | ) | 18 | (206 | ) | |||||||||||||||||||||||||||
MS | OSRAM Licht AG | EUR | (5,061 | ) | 11/18/2019 | (1.49 | )% | (1.13 | )% | 1M EURIBOR | 1M/T | 3,714 | (4 | ) | 3,710 | ||||||||||||||||||||||||||||
MS | OSRAM Licht AG | EUR | (10,946 | ) | 11/18/2019 | (1.49 | )% | (1.13 | )% | 1M EURIBOR | 1M/T | 1,803 | (15 | ) | 1,788 | ||||||||||||||||||||||||||||
MS | OSRAM Licht AG | EUR | (12,501 | ) | 11/18/2019 | (1.87 | )% | (1.50 | )% | 1M EURIBOR | 1M/T | 792 | (15 | ) | 777 | ||||||||||||||||||||||||||||
MS | OSRAM Licht AG | EUR | (12,806 | ) | 11/18/2019 | (1.87 | )% | (1.50 | )% | 1M EURIBOR | 1M/T | 388 | (4 | ) | 384 | ||||||||||||||||||||||||||||
MS | P G & E Corp. | USD | (10,044 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 4,546 | 16 | 4,562 | |||||||||||||||||||||||||||||
MS | Parsley Energy, Inc. | USD | (62,455 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 28,579 | 100 | 28,679 | |||||||||||||||||||||||||||||
MS | Parsley Energy, Inc. Class A | USD | (1,198 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 93 | 1 | 94 | |||||||||||||||||||||||||||||
MS | PDC Energy, Inc. | USD | (9,089 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,123 | ) | 8 | (2,115 | ) | |||||||||||||||||||||||||||
MS | Penn National Gaming, Inc. | USD | (14,259 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (4 | ) | — | (4 | ) | |||||||||||||||||||||||||||
MS | Persol Holdings Co. Ltd. | JPY | (625,200 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 587 | (29 | ) | 558 | ||||||||||||||||||||||||||||
MS | PG&E Corp. | USD | (8,670 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 7,628 | 18 | 7,646 | |||||||||||||||||||||||||||||
MS | PG&E Corp. | USD | (10,179 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 7,577 | 20 | 7,597 | |||||||||||||||||||||||||||||
MS | PG&E Corp. | USD | (8,400 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 7,495 | 17 | 7,512 | |||||||||||||||||||||||||||||
MS | PG&E Corp. | USD | (7,995 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 7,524 | 17 | 7,541 | |||||||||||||||||||||||||||||
MS | PG&E Corp. | USD | (2,094 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,864 | 4 | 1,868 | |||||||||||||||||||||||||||||
MS | PG&E Corp. | USD | (15,178 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 663 | 17 | 680 |
See Notes to Financial Statements
138
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Pilgrim's Pride Corp. | USD | (68,163 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | (15,468 | ) | $ | 58 | $ | (15,410 | ) | ||||||||||||||||||||||||
MS | Pilgrim's Pride Corp. | USD | (5,651 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,717 | ) | 4 | (1,713 | ) | |||||||||||||||||||||||||||
MS | Pilgrim's Pride Corp. | USD | (25,726 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (7,740 | ) | 20 | (7,720 | ) | |||||||||||||||||||||||||||
MS | Pilgrim's Pride Corp. | USD | (5,517 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,816 | ) | 4 | (1,812 | ) | |||||||||||||||||||||||||||
MS | Pinnacle Financial Partners, Inc. | USD | (11,846 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,678 | 15 | 1,693 | |||||||||||||||||||||||||||||
MS | Pinnacle Financial Partners, Inc. | USD | (5,168 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 545 | 6 | 551 | |||||||||||||||||||||||||||||
MS | Prologis, Inc. | USD | (16,867 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (994 | ) | 17 | (977 | ) | |||||||||||||||||||||||||||
MS | Prologis, Inc. | USD | (17,327 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (799 | ) | 17 | (782 | ) | |||||||||||||||||||||||||||
MS | Provident Financial PLC | GBP | (6,266 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 2,096 | (7 | ) | 2,089 | ||||||||||||||||||||||||||||
MS | Provident Financial PLC | GBP | (6,016 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 2,252 | (7 | ) | 2,245 | ||||||||||||||||||||||||||||
MS | Provident Financial PLC | GBP | (9,367 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 72 | (3 | ) | 69 | ||||||||||||||||||||||||||||
MS | Prudential PLC | GBP | (8,675 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 424 | (217 | ) | 207 | ||||||||||||||||||||||||||||
MS | Prudential PLC | GBP | (2,377 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (317 | ) | (60 | ) | (377 | ) | ||||||||||||||||||||||||||
MS | Prudential PLC | GBP | (9,855 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (1,709 | ) | (247 | ) | (1,956 | ) | ||||||||||||||||||||||||||
MS | Prudential PLC | GBP | (9,057 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (815 | ) | (227 | ) | (1,042 | ) | ||||||||||||||||||||||||||
MS | Prudential PLC | GBP | (7,027 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (962 | ) | (176 | ) | (1,138 | ) | ||||||||||||||||||||||||||
MS | Prysmian SpA | EUR | (11,844 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | 503 | (7 | ) | 496 | ||||||||||||||||||||||||||||
MS | Prysmian SpA | EUR | (12,703 | ) | 11/18/2019 | (1.07 | )% | (0.70 | )% | 1M EURIBOR | 1M/T | (7 | ) | — | (7 | ) | |||||||||||||||||||||||||||
MS | Public Service Enterprise Group, Inc. | USD | (26,186 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3,085 | ) | 26 | (3,059 | ) |
See Notes to Financial Statements
139
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Pure Storage, Inc. | USD | (16,528 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | (55 | ) | $ | 17 | $ | (38 | ) | ||||||||||||||||||||||||
MS | Pure Storage, Inc. | USD | (16,162 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (5 | ) | 8 | 3 | ||||||||||||||||||||||||||||
MS | Pure Storage, Inc. | USD | (16,025 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 241 | 5 | 246 | |||||||||||||||||||||||||||||
MS | PVH Corp. | USD | (18,962 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,248 | ) | 20 | (1,228 | ) | |||||||||||||||||||||||||||
MS | PVH Corp. | USD | (19,735 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3,226 | ) | 18 | (3,208 | ) | |||||||||||||||||||||||||||
MS | PVH Corp. | USD | (21,670 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (5,024 | ) | 18 | (5,006 | ) | |||||||||||||||||||||||||||
MS | PVH Corp. | USD | (22,831 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (6,492 | ) | 18 | (6,474 | ) | |||||||||||||||||||||||||||
MS | QEP Resources, Inc. | USD | (32,757 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 20,750 | 59 | 20,809 | |||||||||||||||||||||||||||||
MS | QEP Resources, Inc. | USD | (12,799 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 3,240 | 18 | 3,258 | |||||||||||||||||||||||||||||
MS | Quilter PLC | GBP | (10,384 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (2,645 | ) | (301 | ) | (2,946 | ) | ||||||||||||||||||||||||||
MS | Rakuten, Inc. | JPY | (2,593,500 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (9,499 | ) | (4 | ) | (9,503 | ) | ||||||||||||||||||||||||||
MS | Reata Pharmaceuticals, Inc. | USD | (12,318 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 3,436 | 17 | 3,453 | |||||||||||||||||||||||||||||
MS | Reata Pharmaceuticals, Inc. | USD | (12,711 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,656 | 17 | 2,673 | |||||||||||||||||||||||||||||
MS | Reata Pharmaceuticals, Inc. | USD | (13,024 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,398 | 16 | 2,414 | |||||||||||||||||||||||||||||
MS | Regency Centers Corp. | USD | (24,853 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3,395 | ) | 24 | (3,371 | ) | |||||||||||||||||||||||||||
MS | Renesas Electronics Corp. | JPY | (2,965,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 21,929 | (15 | ) | 21,914 | ||||||||||||||||||||||||||||
MS | Renesas Electronics Corp. | JPY | (830,200 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 2,019 | (3 | ) | 2,016 | ||||||||||||||||||||||||||||
MS | Renesas Electronics Corp. | JPY | (296,500 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 474 | (1 | ) | 473 | ||||||||||||||||||||||||||||
MS | Renesas Electronics Corp. | JPY | (177,900 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 136 | — | 136 |
See Notes to Financial Statements
140
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Renesas Electronics Corp. | JPY | (830,200 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | $ | 1,177 | $ | (3 | ) | $ | 1,174 | |||||||||||||||||||||||||
MS | Renishaw PLC | GBP | (7,806 | ) | 11/18/2019 | 0.18 | % | (0.55 | )% | 1M GBP LIBOR | 1M/T | (5 | ) | — | (5 | ) | |||||||||||||||||||||||||||
MS | RingCentral, Inc. | USD | (5,586 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,046 | ) | 4 | (2,042 | ) | |||||||||||||||||||||||||||
MS | Rolls Royce Holdings PLC | GBP | (4,994 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (617 | ) | 1 | (616 | ) | |||||||||||||||||||||||||||
MS | Rolls Royce Holdings PLC | GBP | (301 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | — | — | — | |||||||||||||||||||||||||||||
MS | Rolls-Royce Holdings PLC | GBP | (33,804 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (4,356 | ) | 8 | (4,348 | ) | |||||||||||||||||||||||||||
MS | Royal Bank of Scotland Group PLC | GBP | (2,993 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 115 | 1 | 116 | |||||||||||||||||||||||||||||
MS | Royal Bank of Scotland Group PLC | GBP | (3,522 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 126 | 1 | 127 | |||||||||||||||||||||||||||||
MS | Royal Bank of Scotland Group PLC | GBP | (1,720 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 59 | — | 59 | |||||||||||||||||||||||||||||
MS | Royal Bank of Scotland Group PLC | GBP | (9,467 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (1,489 | ) | 2 | (1,487 | ) | |||||||||||||||||||||||||||
MS | RWE AG | EUR | (11,658 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (947 | ) | (6 | ) | (953 | ) | ||||||||||||||||||||||||||
MS | Saipem SpA | EUR | (12,666 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | 508 | (7 | ) | 501 | ||||||||||||||||||||||||||||
MS | Sanderson Farms, Inc. | USD | (24,867 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (8,285 | ) | 18 | (8,267 | ) | |||||||||||||||||||||||||||
MS | Sartorius AG | EUR | (4,080 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (525 | ) | (8 | ) | (533 | ) | ||||||||||||||||||||||||||
MS | Sbm Offshore NV | EUR | (13,513 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (3,370 | ) | (310 | ) | (3,680 | ) | ||||||||||||||||||||||||||
MS | Scientific Games Corp. | USD | (14,225 | ) | 11/18/2019 | 1.92 | % | (0.55 | )% | 1M USD LIBOR | 1M/T | 1,884 | 38 | 1,922 | |||||||||||||||||||||||||||||
MS | Scientific Games Corp. | USD | (12,513 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,577 | 17 | 2,594 | |||||||||||||||||||||||||||||
MS | Scientific Games Corp. | USD | (15,451 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 9 | 17 | 26 | |||||||||||||||||||||||||||||
MS | Sempra Energy | USD | (19,576 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,740 | ) | 19 | (2,721 | ) |
See Notes to Financial Statements
141
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Serco Group PLC | GBP | (11,397 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | $ | (3,786 | ) | $ | 2 | $ | (3,784 | ) | ||||||||||||||||||||||||
MS | Serco Group PLC | GBP | (4,564 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (1,707 | ) | 1 | (1,706 | ) | |||||||||||||||||||||||||||
MS | ServiceMaster Global Holdings, Inc. | USD | (16,523 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (781 | ) | 17 | (764 | ) | |||||||||||||||||||||||||||
MS | ServiceMaster Global Holdings, Inc. | USD | (16,425 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (501 | ) | 17 | (484 | ) | |||||||||||||||||||||||||||
MS | ServiceMaster Global Holdings, Inc. | USD | (17,161 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (748 | ) | 17 | (731 | ) | |||||||||||||||||||||||||||
MS | ServiceMaster Global Holdings, Inc. | USD | (15,346 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (55 | ) | 8 | (47 | ) | |||||||||||||||||||||||||||
MS | ServiceNow, Inc. | USD | (6,245 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,190 | ) | 5 | (2,185 | ) | |||||||||||||||||||||||||||
MS | ServiceNow, Inc. | USD | (24,707 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (7,774 | ) | 19 | (7,755 | ) | |||||||||||||||||||||||||||
MS | ServiceNow, Inc. | USD | (26,336 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (8,699 | ) | 19 | (8,680 | ) | |||||||||||||||||||||||||||
MS | ServiceNow, Inc. | USD | (17,920 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (4,971 | ) | 14 | (4,957 | ) | |||||||||||||||||||||||||||
MS | Sharp Corp. | JPY | (247,200 | ) | 11/18/2019 | (1.47 | )% | (1.38 | )% | 1M JPY LIBOR | 1M/T | 2,221 | (48 | ) | 2,173 | ||||||||||||||||||||||||||||
MS | Sharp Corp. | JPY | (741,600 | ) | 11/18/2019 | (2.85 | )% | (2.75 | )% | 1M JPY LIBOR | 1M/T | 4,829 | (131 | ) | 4,698 | ||||||||||||||||||||||||||||
MS | Sharp Corp. | JPY | (741,600 | ) | 11/18/2019 | (2.85 | )% | (2.75 | )% | 1M JPY LIBOR | 1M/T | 3,881 | (124 | ) | 3,757 | ||||||||||||||||||||||||||||
MS | Sharp Corp. | JPY | (741,600 | ) | 11/18/2019 | (2.85 | )% | (2.75 | )% | 1M JPY LIBOR | 1M/T | 3,192 | (120 | ) | 3,072 | ||||||||||||||||||||||||||||
MS | Sharp Corp. | JPY | (988,800 | ) | 11/18/2019 | (2.85 | )% | (2.75 | )% | 1M JPY LIBOR | 1M/T | 3,604 | (141 | ) | 3,463 | ||||||||||||||||||||||||||||
MS | Sharp Corp. | JPY | (865,200 | ) | 11/18/2019 | (2.85 | )% | (2.75 | )% | 1M JPY LIBOR | 1M/T | (727 | ) | (76 | ) | (803 | ) | ||||||||||||||||||||||||||
MS | Siemens Gamesa Renewable Energy SA | EUR | (39,431 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (7,853 | ) | (65 | ) | (7,918 | ) | ||||||||||||||||||||||||||
MS | Siemens Gamesa Renewable Energy SA | EUR | (3,134 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (600 | ) | (5 | ) | (605 | ) |
See Notes to Financial Statements
142
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Siemens Gamesa Renewable Energy SA | EUR | (9,530 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | $ | (3,040 | ) | $ | (14 | ) | $ | (3,054 | ) | |||||||||||||||||||||||
MS | Siemens Gamesa Renewable Energy SA | EUR | (6,428 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (2,052 | ) | (9 | ) | (2,061 | ) | ||||||||||||||||||||||||||
MS | Siemens Gamesa Renewable Energy SA | EUR | (12,648 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (5,502 | ) | (15 | ) | (5,517 | ) | ||||||||||||||||||||||||||
MS | Signature Bank | USD | (71,450 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,357 | ) | 76 | (2,281 | ) | |||||||||||||||||||||||||||
MS | Signature Bank | USD | (1,321 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (63 | ) | 1 | (62 | ) | |||||||||||||||||||||||||||
MS | Signature Bank | USD | (3,302 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (186 | ) | 4 | (182 | ) | |||||||||||||||||||||||||||
MS | Signature Bank | USD | (9,773 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,774 | ) | 9 | (1,765 | ) | |||||||||||||||||||||||||||
MS | SiteOne Landscape Supply, Inc. | USD | (18,979 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,946 | ) | 17 | (2,929 | ) | |||||||||||||||||||||||||||
MS | SiteOne Landscape Supply, Inc. | USD | (19,113 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,884 | ) | 17 | (2,867 | ) | |||||||||||||||||||||||||||
MS | SiteOne Landscape Supply, Inc. | USD | (18,777 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,655 | ) | 17 | (2,638 | ) | |||||||||||||||||||||||||||
MS | SoftBank Group Corp. | JPY | (5,777,500 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (17,032 | ) | (110 | ) | (17,142 | ) | ||||||||||||||||||||||||||
MS | Southern Co. | USD | (43,800 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (7,347 | ) | 40 | (7,307 | ) | |||||||||||||||||||||||||||
MS | Spirit Airlines, Inc. | USD | (51,879 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (16,291 | ) | 39 | (16,252 | ) | |||||||||||||||||||||||||||
MS | Spirit Airlines, Inc. | USD | (761 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (83 | ) | 1 | (82 | ) | |||||||||||||||||||||||||||
MS | Splunk, Inc. | USD | (27,332 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (9,935 | ) | 19 | (9,916 | ) | |||||||||||||||||||||||||||
MS | Sprint Corp. | USD | (35,745 | ) | 11/18/2019 | 0.52 | % | (1.95 | )% | 1M USD LIBOR | 1M/T | (2,924 | ) | 12 | (2,912 | ) | |||||||||||||||||||||||||||
MS | Sprint Corp. | USD | (17,650 | ) | 11/18/2019 | 0.52 | % | (1.95 | )% | 1M USD LIBOR | 1M/T | (1,159 | ) | 6 | (1,153 | ) | |||||||||||||||||||||||||||
MS | Sprint Corp. | USD | (16,310 | ) | 11/18/2019 | 1.10 | % | (1.37 | )% | 1M USD LIBOR | 1M/T | (545 | ) | 6 | (539 | ) |
See Notes to Financial Statements
143
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Square Enix Holdings Co. Ltd. | JPY | (1,149,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | $ | (1,553 | ) | $ | (119 | ) | $ | (1,672 | ) | |||||||||||||||||||||||
MS | Stamps.com, Inc. | USD | (8,666 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 8,332 | 19 | 8,351 | |||||||||||||||||||||||||||||
MS | Stamps.com, Inc. | USD | (6,349 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 8,608 | 17 | 8,625 | |||||||||||||||||||||||||||||
MS | Standard Chartered PLC | GBP | (27,132 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 2,740 | (574 | ) | 2,166 | ||||||||||||||||||||||||||||
MS | Standard Chartered PLC | GBP | (3,843 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (85 | ) | (81 | ) | (166 | ) | ||||||||||||||||||||||||||
MS | Standard Chartered PLC | GBP | (2,688 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (155 | ) | (57 | ) | (212 | ) | ||||||||||||||||||||||||||
MS | Standard Chartered PLC | GBP | (2,709 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (271 | ) | (57 | ) | (328 | ) | ||||||||||||||||||||||||||
MS | Standard Chartered PLC | GBP | (2,758 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (334 | ) | (59 | ) | (393 | ) | ||||||||||||||||||||||||||
MS | Standard Chartered PLC | GBP | (2,485 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (625 | ) | (53 | ) | (678 | ) | ||||||||||||||||||||||||||
MS | Standard Chartered PLC | GBP | (1,834 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (585 | ) | (39 | ) | (624 | ) | ||||||||||||||||||||||||||
MS | Standard Chartered PLC | GBP | (2,996 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | (799 | ) | (64 | ) | (863 | ) | ||||||||||||||||||||||||||
MS | State Street Corp. | USD | (16,983 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 576 | 19 | 595 | |||||||||||||||||||||||||||||
MS | State Street Corp. | USD | (14,209 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 524 | 15 | 539 | |||||||||||||||||||||||||||||
MS | State Street Corp. | USD | (16,509 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (363 | ) | 17 | (346 | ) | |||||||||||||||||||||||||||
MS | Sterling BanCorp | USD | (11,503 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 818 | 14 | 832 | |||||||||||||||||||||||||||||
MS | Stroeer SE & Co KGaA | EUR | (14,882 | ) | 11/18/2019 | (2.99 | )% | (2.63 | )% | 1M EURIBOR | 1M/T | (2,789 | ) | (6 | ) | (2,795 | ) | ||||||||||||||||||||||||||
MS | Stroeer SE & Co KGaA | EUR | (15,304 | ) | 11/18/2019 | (2.99 | )% | (2.63 | )% | 1M EURIBOR | 1M/T | (2,783 | ) | (24 | ) | (2,807 | ) | ||||||||||||||||||||||||||
MS | SVB Financial Group | USD | (503 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 113 | 1 | 114 | |||||||||||||||||||||||||||||
MS | SVB Financial Group | USD | (13,593 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 4,158 | 20 | 4,178 | |||||||||||||||||||||||||||||
MS | SVB Financial Group | USD | (15,103 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 3,900 | 21 | 3,921 | |||||||||||||||||||||||||||||
MS | SVB Financial Group | USD | (17,620 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,573 | ) | 18 | (1,555 | ) |
See Notes to Financial Statements
144
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | SVB Financial Group | USD | (21,900 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | (5,402 | ) | $ | 18 | $ | (5,384 | ) | ||||||||||||||||||||||||
MS | Sysmex Corp. | JPY | (3,176,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 15,502 | (166 | ) | 15,336 | ||||||||||||||||||||||||||||
MS | Sysmex Corp. | JPY | (635,200 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (884 | ) | (32 | ) | (916 | ) | ||||||||||||||||||||||||||
MS | T Rowe Price Group, Inc. | USD | (16,448 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (745 | ) | 16 | (729 | ) | |||||||||||||||||||||||||||
MS | T Rowe Price Group, Inc. | USD | (17,200 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,219 | ) | 17 | (1,202 | ) | |||||||||||||||||||||||||||
MS | Tableau Software, Inc. | USD | (42,999 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (8,407 | ) | 38 | (8,369 | ) | |||||||||||||||||||||||||||
MS | Takeaway.com NV | EUR | (15,954 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (3,993 | ) | (6 | ) | (3,999 | ) | ||||||||||||||||||||||||||
MS | Takeaway.com NV | EUR | (15,263 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (2,862 | ) | (6 | ) | (2,868 | ) | ||||||||||||||||||||||||||
MS | Takeaway.com NV | EUR | (14,343 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (1,013 | ) | (6 | ) | (1,019 | ) | ||||||||||||||||||||||||||
MS | Tapestry, Inc. | USD | (13,553 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 4,269 | 20 | 4,289 | |||||||||||||||||||||||||||||
MS | Tapestry, Inc. | USD | (13,908 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 4,596 | 20 | 4,616 | |||||||||||||||||||||||||||||
MS | Tapestry, Inc. | USD | (14,199 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,058 | 17 | 1,075 | |||||||||||||||||||||||||||||
MS | Tapestry, Inc. | USD | (12,488 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 903 | 15 | 918 | |||||||||||||||||||||||||||||
MS | TD Ameritrade Holding Corp. | USD | (77,608 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 8,433 | 95 | 8,528 | |||||||||||||||||||||||||||||
MS | TDK Corp. | JPY | (969,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (839 | ) | (74 | ) | (913 | ) | ||||||||||||||||||||||||||
MS | TDK Corp. | JPY | (969,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (893 | ) | (74 | ) | (967 | ) | ||||||||||||||||||||||||||
MS | TDK Corp. | JPY | (969,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 31 | (2 | ) | 29 | ||||||||||||||||||||||||||||
MS | TDK Corp. | JPY | (969,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 49 | (1 | ) | 48 | ||||||||||||||||||||||||||||
MS | Technicolor SA | EUR | (3,818 | ) | 11/18/2019 | (5.37 | )% | (5.00 | )% | 1M EURIBOR | 1M/T | 1,636 | (37 | ) | 1,599 | ||||||||||||||||||||||||||||
MS | Teladoc Health, Inc. | USD | (13,651 | ) | 11/18/2019 | 1.60 | % | (0.87 | )% | 1M USD LIBOR | 1M/T | 4,311 | 18 | 4,329 | |||||||||||||||||||||||||||||
MS | Teladoc Health, Inc. | USD | (13,765 | ) | 11/18/2019 | 1.80 | % | (0.67 | )% | 1M USD LIBOR | 1M/T | 4,855 | 18 | 4,873 |
See Notes to Financial Statements
145
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Teladoc Health, Inc. | USD | (14,334 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | 2,594 | $ | 17 | $ | 2,611 | ||||||||||||||||||||||||||
MS | Teladoc Health, Inc. | USD | (12,514 | ) | 11/18/2019 | 1.57 | % | (0.90 | )% | 1M USD LIBOR | 1M/T | 265 | 10 | 275 | |||||||||||||||||||||||||||||
MS | Telecom Italia SpA | EUR | (7,460 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | 3,157 | (6 | ) | 3,151 | ||||||||||||||||||||||||||||
MS | Texas Capital Bancshares, Inc. | USD | (25,180 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 12,278 | 41 | 12,319 | |||||||||||||||||||||||||||||
MS | Texas Capital Bancshares, Inc. | USD | (10,810 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 4,895 | 17 | 4,912 | |||||||||||||||||||||||||||||
MS | Texas Capital Bancshares, Inc. | USD | (12,946 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 5,293 | 20 | 5,313 | |||||||||||||||||||||||||||||
MS | Texas Capital Bancshares, Inc. | USD | (3,625 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 1,359 | 6 | 1,365 | |||||||||||||||||||||||||||||
MS | Texas Capital Bancshares, Inc. | USD | (1,877 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 615 | 3 | 618 | |||||||||||||||||||||||||||||
MS | Texas Capital Bancshares, Inc. | USD | (14,564 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (346 | ) | 16 | (330 | ) | |||||||||||||||||||||||||||
MS | Thyssenkrupp AG | EUR | (25,659 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 22,995 | (25 | ) | 22,970 | ||||||||||||||||||||||||||||
MS | Thyssenkrupp AG | EUR | (8,135 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 6,047 | (7 | ) | 6,040 | ||||||||||||||||||||||||||||
MS | Thyssenkrupp AG | EUR | (3,898 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 2,189 | (3 | ) | 2,186 | ||||||||||||||||||||||||||||
MS | Thyssenkrupp AG | EUR | (9,201 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 821 | (5 | ) | 816 | ||||||||||||||||||||||||||||
MS | Tokyo Tatemono Co. Ltd. | JPY | (1,000,800 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 900 | (3 | ) | 897 | ||||||||||||||||||||||||||||
MS | Tokyu Fudosan Holdings Corp. | JPY | (1,001,600 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 368 | (118 | ) | 250 | ||||||||||||||||||||||||||||
MS | Tokyu Fudosan Holdings Corp. | JPY | (1,064,200 | ) | 11/18/2019 | (1.35 | )% | (1.25 | )% | 1M JPY LIBOR | 1M/T | 620 | (130 | ) | 490 | ||||||||||||||||||||||||||||
MS | Tokyu Fudosan Holdings Corp. | JPY | (1,126,800 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (21 | ) | (3 | ) | (24 | ) | ||||||||||||||||||||||||||
MS | Tokyu Fudosan Holdings Corp. | JPY | (1,064,200 | ) | 11/18/2019 | (1.34 | )% | (1.25 | )% | 1M JPY LIBOR | 1M/T | 285 | (1 | ) | 284 | ||||||||||||||||||||||||||||
MS | TOTO Ltd. | JPY | (938,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (920 | ) | (83 | ) | (1,003 | ) | ||||||||||||||||||||||||||
MS | TOTO Ltd. | JPY | (1,407,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (1,137 | ) | (125 | ) | (1,262 | ) | ||||||||||||||||||||||||||
MS | TOTO Ltd. | JPY | (938,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (1,440 | ) | (83 | ) | (1,523 | ) |
See Notes to Financial Statements
146
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Transocean Ltd. | USD | (1,886 | ) | 11/18/2019 | 1.72 | % | (0.75 | )% | 1M USD LIBOR | 1M/T | $ | 754 | $ | 3 | $ | 757 | ||||||||||||||||||||||||||
MS | Transocean Ltd. | USD | (19,210 | ) | 11/18/2019 | 1.78 | % | (0.69 | )% | 1M USD LIBOR | 1M/T | (1,751 | ) | 9 | (1,742 | ) | |||||||||||||||||||||||||||
MS | Transocean Ltd. | USD | (10,493 | ) | 11/18/2019 | 1.71 | % | (0.76 | )% | 1M USD LIBOR | 1M/T | 6,960 | 18 | 6,978 | |||||||||||||||||||||||||||||
MS | Transocean Ltd. | USD | (11,837 | ) | 11/18/2019 | 1.91 | % | (0.56 | )% | 1M USD LIBOR | 1M/T | 5,562 | 18 | 5,580 | |||||||||||||||||||||||||||||
MS | Transocean Ltd. | USD | (12,301 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 5,420 | 19 | 5,439 | |||||||||||||||||||||||||||||
MS | Transocean Ltd. | USD | (13,118 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 6,782 | 21 | 6,803 | |||||||||||||||||||||||||||||
MS | TreeHouse Foods, Inc. | USD | (11,788 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3,479 | ) | 9 | (3,470 | ) | |||||||||||||||||||||||||||
MS | Treehouse Foods, Inc. | USD | (1,273 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (357 | ) | 1 | (356 | ) | |||||||||||||||||||||||||||
MS | TripAdvisor, Inc. | USD | (14,851 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 168 | 17 | 185 | |||||||||||||||||||||||||||||
MS | TripAdvisor, Inc. | USD | (20,227 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,066 | ) | 20 | (2,046 | ) | |||||||||||||||||||||||||||
MS | TripAdvisor, Inc. | USD | (19,748 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,069 | ) | 19 | (2,050 | ) | |||||||||||||||||||||||||||
MS | TripAdvisor, Inc. | USD | (15,490 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,620 | ) | 15 | (1,605 | ) | |||||||||||||||||||||||||||
MS | Tripadvisor, Inc. | USD | (1,490 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2 | 2 | 4 | |||||||||||||||||||||||||||||
MS | Tullow Oil PLC | GBP | (7,151 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 806 | (307 | ) | 499 | ||||||||||||||||||||||||||||
MS | Tullow Oil PLC | GBP | (7,417 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 836 | 2 | 838 | |||||||||||||||||||||||||||||
MS | Twilio, Inc. | USD | (23,588 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (14,306 | ) | 10 | (14,296 | ) | |||||||||||||||||||||||||||
MS | Twilio, Inc. | USD | (30,857 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (13,805 | ) | 19 | (13,786 | ) | |||||||||||||||||||||||||||
MS | Twilio, Inc. | USD | (37,165 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (18,283 | ) | 21 | (18,262 | ) | |||||||||||||||||||||||||||
MS | Twitter, Inc. | USD | (7,583 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,117 | ) | 7 | (1,110 | ) | |||||||||||||||||||||||||||
MS | Twitter, Inc. | USD | (20,274 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,691 | ) | 19 | (2,672 | ) | |||||||||||||||||||||||||||
MS | Twitter, Inc. | USD | (18,718 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,897 | ) | 17 | (2,880 | ) |
See Notes to Financial Statements
147
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Twitter, Inc. | USD | (16,722 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | (2,873 | ) | $ | 15 | $ | (2,858 | ) | ||||||||||||||||||||||||
MS | Ubisoft Entertainment SA | EUR | (6,293 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 625 | (4 | ) | 621 | ||||||||||||||||||||||||||||
MS | Ubisoft Entertainment SA | EUR | (9,780 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 561 | (6 | ) | 555 | ||||||||||||||||||||||||||||
MS | Ubisoft Entertainment SA | EUR | (2,721 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (243 | ) | (1 | ) | (244 | ) | ||||||||||||||||||||||||||
MS | Ubisoft Entertainment SA | EUR | (12,161 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (926 | ) | (5 | ) | (931 | ) | ||||||||||||||||||||||||||
MS | Ubisoft Entertainment SA | EUR | (13,776 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (1,086 | ) | (6 | ) | (1,092 | ) | ||||||||||||||||||||||||||
MS | UniCredit SpA | EUR | (41,614 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | 6,797 | (29 | ) | 6,768 | ||||||||||||||||||||||||||||
MS | UniCredit SpA | EUR | (5,561 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | 1,088 | (4 | ) | 1,084 | ||||||||||||||||||||||||||||
MS | UniCredit SpA | EUR | (5,536 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | 425 | (4 | ) | 421 | ||||||||||||||||||||||||||||
MS | UniCredit SpA | EUR | (3,206 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (94 | ) | (2 | ) | (96 | ) | ||||||||||||||||||||||||||
MS | UniCredit SpA | EUR | (3,119 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (300 | ) | (2 | ) | (302 | ) | ||||||||||||||||||||||||||
MS | Unione di Banche Italiane SpA | EUR | (14,097 | ) | 11/18/2019 | (0.87 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | (1,996 | ) | (7 | ) | (2,003 | ) | ||||||||||||||||||||||||||
MS | United Continental Holdings, Inc. | USD | (96,413 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (20,991 | ) | 83 | (20,908 | ) | |||||||||||||||||||||||||||
MS | United Rentals, Inc. | USD | (21,984 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (4,137 | ) | 20 | (4,117 | ) | |||||||||||||||||||||||||||
MS | United Rentals, Inc. | USD | (19,165 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,904 | ) | 18 | (2,886 | ) | |||||||||||||||||||||||||||
MS | United Rentals, Inc. | USD | (17,051 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3,760 | ) | 15 | (3,745 | ) | |||||||||||||||||||||||||||
MS | United Rentals, Inc. | USD | (22,265 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (5,749 | ) | 18 | (5,731 | ) | |||||||||||||||||||||||||||
MS | Uniti Group, Inc. | USD | (8,968 | ) | 11/18/2019 | 1.77 | % | (0.70 | )% | 1M USD LIBOR | 1M/T | 7,477 | 16 | 7,493 | |||||||||||||||||||||||||||||
MS | Uniti Group, Inc. | USD | (5,649 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 3,163 | 9 | 3,172 | |||||||||||||||||||||||||||||
MS | Vail Resorts, Inc. | USD | (16,935 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,216 | ) | 16 | (1,200 | ) |
See Notes to Financial Statements
148
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Vail Resorts, Inc. | USD | (17,164 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | (1,060 | ) | $ | 8 | $ | (1,052 | ) | ||||||||||||||||||||||||
MS | Vail Resorts, Inc. | USD | (17,164 | ) | 11/18/2019 | 2.03 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (1,197 | ) | 5 | (1,192 | ) | |||||||||||||||||||||||||||
MS | Valeo SA | EUR | (11,200 | ) | 11/18/2019 | (0.77 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 3,238 | (8 | ) | 3,230 | ||||||||||||||||||||||||||||
MS | Visteon Corp. | USD | (12,808 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 3,266 | 18 | 3,284 | |||||||||||||||||||||||||||||
MS | Visteon Corp. | USD | (13,336 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,267 | 17 | 2,284 | |||||||||||||||||||||||||||||
MS | Vulcan Materials Co. | USD | (37,959 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 332 | 42 | 374 | |||||||||||||||||||||||||||||
MS | Vulcan Materials Co. | USD | (21,060 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (3,901 | ) | 19 | (3,882 | ) | |||||||||||||||||||||||||||
MS | Wabtec Corp. | USD | (8,518 | ) | 11/18/2019 | 1.92 | % | (0.55 | )% | 1M USD LIBOR | 1M/T | 2,620 | 12 | 2,632 | |||||||||||||||||||||||||||||
MS | Wabtec Corp. | USD | (15,555 | ) | 11/18/2019 | 1.56 | % | (0.91 | )% | 1M USD LIBOR | 1M/T | (398 | ) | 12 | (386 | ) | |||||||||||||||||||||||||||
MS | Wabtec Corp. | USD | (1,259 | ) | 2/26/2020 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 118 | 2 | 120 | |||||||||||||||||||||||||||||
MS | Welcia Holdings Co. Ltd. | JPY | (437,500 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 936 | (20 | ) | 916 | ||||||||||||||||||||||||||||
MS | Welcia Holdings Co. Ltd. | JPY | (875,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 2,715 | (41 | ) | 2,674 | ||||||||||||||||||||||||||||
MS | Western Alliance BanCorp | USD | (2,341 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 594 | 3 | 597 | |||||||||||||||||||||||||||||
MS | Western Alliance BanCorp | USD | (14,860 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 2,968 | 20 | 2,988 | |||||||||||||||||||||||||||||
MS | Western Alliance BanCorp | USD | (15,576 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 3,017 | 20 | 3,037 | |||||||||||||||||||||||||||||
MS | Western Alliance BanCorp | USD | (17,535 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 199 | 20 | 219 | |||||||||||||||||||||||||||||
MS | Western Alliance BanCorp | USD | (956 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (33 | ) | 1 | (32 | ) | |||||||||||||||||||||||||||
MS | Workday, Inc. | USD | (39,687 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (14,519 | ) | 28 | (14,491 | ) | |||||||||||||||||||||||||||
MS | WPP PLC | GBP | (12,883 | ) | 11/18/2019 | 0.38 | % | (0.35 | )% | 1M GBP LIBOR | 1M/T | 4,838 | 5 | 4,843 | |||||||||||||||||||||||||||||
MS | Wynn Resorts Ltd. | USD | (8,667 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 52 | 10 | 62 | |||||||||||||||||||||||||||||
MS | Wynn Resorts Ltd. | USD | (23,401 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (4,130 | ) | 21 | (4,109 | ) |
See Notes to Financial Statements
149
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||||||||||
MS | Wynn Resorts Ltd. | USD | (21,379 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | $ | (3,941 | ) | $ | 19 | $ | (3,922 | ) | ||||||||||||||||||||||||
MS | Wynn Resorts Ltd. | USD | (16,034 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (4,636 | ) | 13 | (4,623 | ) | |||||||||||||||||||||||||||
MS | XPO Logistics, Inc. | USD | (19,539 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (4,545 | ) | 17 | (4,528 | ) | |||||||||||||||||||||||||||
MS | XPO Logistics, Inc. | USD | (20,560 | ) | 11/18/2019 | 1.56 | % | (0.91 | )% | 1M USD LIBOR | 1M/T | (5,057 | ) | 12 | (5,045 | ) | |||||||||||||||||||||||||||
MS | Yaskawa Electric Corp. | JPY | (1,228,500 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (2,577 | ) | (72 | ) | (2,649 | ) | ||||||||||||||||||||||||||
MS | Yaskawa Electric Corp. | JPY | (1,638,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (2,969 | ) | (97 | ) | (3,066 | ) | ||||||||||||||||||||||||||
MS | Yaskawa Electric Corp. | JPY | (1,228,500 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | (2,294 | ) | (2 | ) | (2,296 | ) | ||||||||||||||||||||||||||
MS | Zalando SE | EUR | (48,818 | ) | 11/18/2019 | (1.87 | )% | 1.50 | % | 1M EURIBOR | 1M/T | 4,680 | (85 | ) | 4,595 | ||||||||||||||||||||||||||||
MS | Zalando SE | EUR | (17,028 | ) | 11/18/2019 | (1.87 | )% | 1.50 | % | 1M EURIBOR | 1M/T | (3,443 | ) | (22 | ) | (3,465 | ) | ||||||||||||||||||||||||||
MS | Zalando SE | EUR | (2,852 | ) | 11/18/2019 | (1.87 | )% | 1.50 | % | 1M EURIBOR | 1M/T | (737 | ) | (4 | ) | (741 | ) | ||||||||||||||||||||||||||
MS | Zendesk, Inc. | USD | (76,632 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (27,488 | ) | 54 | (27,434 | ) | |||||||||||||||||||||||||||
MS | Zendesk, Inc. | USD | (6,671 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | (2,920 | ) | 4 | (2,916 | ) | |||||||||||||||||||||||||||
MS | Zillow Group, Inc. | USD | (12,592 | ) | 11/18/2019 | 1.92 | % | (0.55 | )% | 1M USD LIBOR | 1M/T | 2,331 | 16 | 2,347 | |||||||||||||||||||||||||||||
MS | Zillow Group, Inc. | USD | (13,160 | ) | 11/18/2019 | 1.82 | % | (0.65 | )% | 1M USD LIBOR | 1M/T | 2,503 | 15 | 2,518 | |||||||||||||||||||||||||||||
MS | Zillow Group, Inc. | USD | (13,393 | ) | 11/18/2019 | 1.82 | % | (0.65 | )% | 1M USD LIBOR | 1M/T | 1,682 | 13 | 1,695 | |||||||||||||||||||||||||||||
MS | Zillow Group, Inc. | USD | (17,034 | ) | 11/18/2019 | 1.93 | % | (0.54 | )% | 1M USD LIBOR | 1M/T | (1,314 | ) | 7 | (1,307 | ) | |||||||||||||||||||||||||||
MS | Zogenix, Inc. | USD | (11,541 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 4,530 | 17 | 4,547 | |||||||||||||||||||||||||||||
MS | Zogenix, Inc. | USD | (11,658 | ) | 11/18/2019 | 2.02 | % | (0.45 | )% | 1M USD LIBOR | 1M/T | 4,453 | 17 | 4,470 | |||||||||||||||||||||||||||||
MS | ZOZO, Inc. | JPY | (2,358,000 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 19,589 | (120 | ) | 19,469 | ||||||||||||||||||||||||||||
MS | ZOZO, Inc. | JPY | (589,500 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 3,322 | (30 | ) | 3,292 | ||||||||||||||||||||||||||||
MS | ZOZO, Inc. | JPY | (589,500 | ) | 11/18/2019 | (0.50 | )% | (0.40 | )% | 1M JPY LIBOR | 1M/T | 2,296 | (29 | ) | 2,267 | ||||||||||||||||||||||||||||
Total | $ | 30,890 | $ | (8,035 | ) | $ | 22,855 |
See Notes to Financial Statements
150
Consolidated Schedule of Investments Multi-Style Premia Fund^ (Unaudited) (cont'd)
(a) The Fund pays a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and receives the total return on the reference entity.
(b) Effective rate at April 30, 2019.
(c) The Fund receives a specified rate based on a reference rate (e.g. LIBOR) plus or minus a spread, and pays the total return on the reference entity.
For the six months ended April 30, 2019, the average notional value of total return swaps for the Fund was $9,974,370 for long positions and $(10,165,415) for short positions.
At April 30, 2019, the Fund had cash collateral of $2,160,000 deposited in a segregated account for Morgan Stanley Capital Services LC to cover collateral requirements on over-the-counter derivatives.
Written option contracts ("options written")
At April 30, 2019, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
S&P 500 Index | 15 | $ | (4,418,745 | ) | $ | 2,820 | 5/17/2019 | $ | (8,100 | ) | |||||||||||||
S&P 500 Index | 15 | (4,418,745 | ) | 2,870 | 5/24/2019 | (19,275 | ) | ||||||||||||||||
(27,375 | ) | ||||||||||||||||||||||
Options on Exchange-Traded Futures Contracts | |||||||||||||||||||||||
U.S. Treasury Long Bond Future Option | 5 | (735,750 | ) | 145 | 5/24/2019 | (703 | ) | ||||||||||||||||
U.S. Treasury Long Bond Future Option | 5 | (731,300 | ) | 146 | 6/21/2019 | (4,531 | ) | ||||||||||||||||
(5,234 | ) | ||||||||||||||||||||||
Total options written (premium received ($53,649) | $ | (32,609 | ) |
For the six months ended April 30, 2019, the Fund had an average market value of $(29,536) in options written.
At April 30, 2019, the Fund had $1,072,587 deposited in a segregated account 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, 2019:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Japan | $ | — | $ | 1,514 | $ | — | $ | 1,514 | |||||||||||
Other Common Stocks(a) | 3,845 | — | — | 3,845 | |||||||||||||||
Total Common Stocks | 3,845 | 1,514 | — | 5,359 | |||||||||||||||
Short-Term Investments | — | 4,909 | — | 4,909 | |||||||||||||||
Total Investments | $ | 3,845 | $ | 6,423 | $ | — | $ | 10,268 |
(a) The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary.
See Notes to Financial Statements
151
Consolidated Schedule of Investments Multi-Style Premia 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, 2019:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Futures(a) | |||||||||||||||||||
Assets | $ | 195 | $ | — | $ | — | $ | 195 | |||||||||||
Liabilities | (37 | ) | — | — | (37 | ) | |||||||||||||
Forward Contracts(a) | |||||||||||||||||||
Assets | — | 124 | — | 124 | |||||||||||||||
Liabilities | — | (94 | ) | — | (94 | ) | |||||||||||||
Swaps | |||||||||||||||||||
Assets | — | 2,005 | — | 2,005 | |||||||||||||||
Liabilities | — | (1,167 | ) | — | (1,167 | ) | |||||||||||||
Options Written | |||||||||||||||||||
Liabilities | (33 | ) | — | — | (33 | ) | |||||||||||||
Total | $ | 125 | $ | 868 | $ | — | $ | 993 |
(a) Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
^ A balance indicated with a "—", either reflects a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
152
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^ (Unaudited) April 30, 2019
PRINCIPAL AMOUNT | VALUE | ||||||||||
(000's omitted) | (000's omitted) |
U.S. Treasury Obligations 99.4% | |||||||||||
U.S. Treasury Notes | |||||||||||
$ | 49,000 | 0.88%, due 6/15/2019—9/15/2019 | $ | 48,815 | (a) | ||||||
49,800 | 1.38%, due 12/15/2019—9/15/2020 | 49,324 | |||||||||
23,900 | 1.50%, due 6/15/2020 | 23,671 | |||||||||
29,400 | 1.63%, due 3/15/2020—6/30/2020 | 29,193 | |||||||||
45,500 | 1.88%, due 12/15/2020 | 45,191 | (a) | ||||||||
32,000 | 2.38%, due 3/15/2021 | 32,050 | |||||||||
28,200 | 2.63%, due 6/15/2021—12/15/2021 | 28,414 | |||||||||
24,300 | 2.75%, due 9/15/2021 | 24,582 | |||||||||
Total U.S. Treasury Obligations (Cost $280,696) | 281,240 | ||||||||||
NUMBER OF SHARES | |||||||||||
Short-Term Investments 0.8% | |||||||||||
Investment Companies 0.8% | |||||||||||
2,196,032 | State Street Institutional U.S. Government Money Market Fund Premier Class, 2.37%(b) (Cost $2,196) | 2,196 | (c) | ||||||||
Total Investments 100.2% (Cost $282,892) | 283,436 | ||||||||||
Liabilities Less Other Assets (0.2)% | (506 | )(d) | |||||||||
Net Assets 100.0% | $ | 282,930 |
(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, 2019.
(c) All or a portion of this security is segregated in connection with obligations for options written with a total value of approximately $2,196,000.
(d) Includes the impact of the Fund's open positions in derivatives at April 30, 2019.
See Notes to Financial Statements
153
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^ (Unaudited) (cont'd)
Derivative Instruments
Written option contracts ("options written")
At April 30, 2019, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||||||||||||||||||
Puts | |||||||||||||||||||||||
Index | |||||||||||||||||||||||
Russell 2000 Index | 48 | $ | (7,637,813 | ) | $ | 1,560 | 5/3/2019 | $ | (7,560 | ) | |||||||||||||
Russell 2000 Index | 3 | (477,363 | ) | 1,570 | 5/3/2019 | (780 | ) | ||||||||||||||||
Russell 2000 Index | 15 | (2,386,817 | ) | 1,575 | 5/3/2019 | (5,175 | ) | ||||||||||||||||
Russell 2000 Index | 24 | (3,818,906 | ) | 1,575 | 5/10/2019 | (21,600 | ) | ||||||||||||||||
Russell 2000 Index | 43 | (6,842,207 | ) | 1,580 | 5/10/2019 | (44,505 | ) | ||||||||||||||||
Russell 2000 Index | 57 | (9,069,903 | ) | 1,565 | 5/17/2019 | (58,710 | ) | ||||||||||||||||
Russell 2000 Index | 7 | (1,113,848 | ) | 1,580 | 5/17/2019 | (10,010 | ) | ||||||||||||||||
Russell 2000 Index | 6 | (954,727 | ) | 1,555 | 5/24/2019 | (7,080 | ) | ||||||||||||||||
Russell 2000 Index | 4 | (636,484 | ) | 1,575 | 5/24/2019 | (6,700 | ) | ||||||||||||||||
Russell 2000 Index | 57 | (9,069,903 | ) | 1,585 | 5/24/2019 | (113,715 | ) | ||||||||||||||||
Russell 2000 Index | 6 | (954,727 | ) | 1,585 | 5/31/2019 | (13,680 | ) | ||||||||||||||||
Russell 2000 Index | 1 | (159,121 | ) | 1,600 | 5/31/2019 | (2,885 | ) | ||||||||||||||||
S&P 500 Index | 46 | (13,550,818 | ) | 2,870 | 5/3/2019 | (4,715 | ) | ||||||||||||||||
S&P 500 Index | 20 | (5,891,660 | ) | 2,890 | 5/3/2019 | (3,250 | ) | ||||||||||||||||
S&P 500 Index | 2 | (589,166 | ) | 2,910 | 5/3/2019 | (590 | ) | ||||||||||||||||
S&P 500 Index | 6 | (1,767,498 | ) | 2,915 | 5/3/2019 | (2,070 | ) | ||||||||||||||||
S&P 500 Index | 13 | (3,829,579 | ) | 2,875 | 5/10/2019 | (6,890 | ) | ||||||||||||||||
S&P 500 Index | 38 | (11,194,154 | ) | 2,880 | 5/10/2019 | (21,660 | ) | ||||||||||||||||
S&P 500 Index | 47 | (13,845,401 | ) | 2,890 | 5/10/2019 | (31,020 | ) | ||||||||||||||||
S&P 500 Index | 111 | (32,698,713 | ) | 2,900 | 5/10/2019 | (86,580 | ) | ||||||||||||||||
S&P 500 Index | 170 | (50,079,110 | ) | 2,900 | 5/17/2019 | (215,900 | ) | ||||||||||||||||
S&P 500 Index | 30 | (8,837,490 | ) | 2,905 | 5/17/2019 | (40,650 | ) | ||||||||||||||||
S&P 500 Index | 12 | (3,534,996 | ) | 2,905 | 5/24/2019 | (22,320 | ) | ||||||||||||||||
S&P 500 Index | 26 | (7,659,158 | ) | 2,925 | 5/24/2019 | (60,710 | ) | ||||||||||||||||
S&P 500 Index | 168 | (49,489,944 | ) | 2,930 | 5/24/2019 | (416,640 | ) | ||||||||||||||||
S&P 500 Index | 4 | (1,178,332 | ) | 2,930 | 5/31/2019 | (11,460 | ) | ||||||||||||||||
S&P 500 Index | 45 | (13,256,235 | ) | 2,935 | 5/31/2019 | (132,750 | ) | ||||||||||||||||
S&P 500 Index | 92 | (27,101,636 | ) | 2,945 | 5/31/2019 | (310,960 | ) | ||||||||||||||||
Total options written (premium received $3,305,339) | $ | (1,660,565 | ) |
For the six months ended April 30, 2019, the Fund had an average market value of $(2,789,817) in options written. The Fund had securities pledged in the amount of $70,342,194 to cover collateral requirements for options written.
See Notes to Financial Statements
154
Schedule of Investments U.S. Equity Index PutWrite Strategy 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, 2019:
Asset Valuation Inputs | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Investments: | |||||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 281,240 | $ | — | $ | 281,240 | |||||||||||
Short-Term Investments | — | 2,196 | — | 2,196 | |||||||||||||||
Total Investments | $ | — | $ | 283,436 | $ | — | $ | 283,436 |
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, 2019:
Other Financial Instruments | |||||||||||||||||||
(000's omitted) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Options Written | |||||||||||||||||||
Liabilities | $ | (1,661 | ) | $ | — | $ | — | $ | (1,661 | ) | |||||||||
Total | $ | (1,661 | ) | $ | — | $ | — | $ | (1,661 | ) |
^ A balance indicated with a "—", either reflects a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
155
Statements of Assets and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted except per share amounts)
COMMODITY STRATEGY FUND** | GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | ||||||||||||||||
April 30, 2019 | April 30, 2019 | April 30, 2019 | April 30, 2019 | ||||||||||||||||
Assets | |||||||||||||||||||
Investments in securities, at value*†(Notes A & F)—see Schedule of Investments: | |||||||||||||||||||
Unaffiliated issuers(a) | $ | 144,631 | $ | 9,295 | $ | 19,224 | $ | 2,561,910 | |||||||||||
Affiliated issuers(b) | — | 7,806 | — | — | |||||||||||||||
144,631 | 17,101 | 19,224 | 2,561,910 | ||||||||||||||||
Cash | — | — | — | — | |||||||||||||||
Foreign currency(c) | — | 4 | — | — | |||||||||||||||
Cash collateral segregated for short sales (Note A) | — | — | — | 497,739 | |||||||||||||||
Cash collateral segregated for futures contracts (Note A) | 6,981 | 222 | — | 40,212 | |||||||||||||||
Cash collateral segregated for option contracts (Note A) | — | — | — | — | |||||||||||||||
Cash collateral segregated for over-the-counter derivatives (Note A) | — | — | — | 23,030 | |||||||||||||||
Receivable from broker | — | — | — | 30 | |||||||||||||||
Dividends and interest receivable | 482 | 41 | 86 | 6,285 | |||||||||||||||
Receivable for securities sold | — | 345 | — | 30,949 | |||||||||||||||
Receivable for Fund shares sold | 384 | — | — | 3,718 | |||||||||||||||
Receivable from Management—net (Note B) | 48 | 30 | 22 | — | |||||||||||||||
Receivable for securities lending income (Note A) | — | — | — | 157 | |||||||||||||||
Receivable for accumulated variation margin on futures contracts (Note A) | 732 | — | — | — | |||||||||||||||
Over-the-counter swap contracts, at value (Note A) | — | 5 | — | 73 | |||||||||||||||
Receivable for forward foreign currency contracts (Note A) | — | 195 | — | — | |||||||||||||||
Prepaid expenses and other assets | 24 | 42 | 41 | 132 | |||||||||||||||
Total Assets | 153,282 | 17,985 | 19,373 | 3,164,235 | |||||||||||||||
Liabilities | |||||||||||||||||||
Investments sold short, at value(d) (Note A) | — | — | — | 423,666 | |||||||||||||||
Over-the-counter swap contracts, at value (Note A) | — | — | — | 17,908 | |||||||||||||||
Dividends and interest payable for short sales | — | — | — | 768 | |||||||||||||||
Payable to investment manager—net (Notes A & B) | 63 | 3 | 7 | 2,386 | |||||||||||||||
Option contracts written, at value(e) (Note A) | — | 12 | 117 | 5,737 | |||||||||||||||
Due to custodian | — | — | 5 | — | |||||||||||||||
Payable for securities purchased | 1,000 | 1,375 | — | 13,920 | |||||||||||||||
Payable for Fund shares redeemed | 25 | 11 | 19 | 2,908 | |||||||||||||||
Payable to administrator—net (Note B) | — | — | — | 403 | |||||||||||||||
Payable to trustees | 2 | — | — | 1 | |||||||||||||||
Payable for loaned securities collateral (Note A) | — | — | — | 47,374 | |||||||||||||||
Payable for accumulated variation margin on futures contracts (Note A) | — | 5 | — | 20,687 | |||||||||||||||
Payable for forward foreign currency contracts (Note A) | — | 186 | — | — | |||||||||||||||
Distributions payable | — | — | — | — | |||||||||||||||
Accrued expenses and other payables | 87 | 88 | 58 | 241 | |||||||||||||||
Total Liabilities | 1,177 | 1,680 | 206 | 535,999 | |||||||||||||||
Net Assets | $ | 152,105 | $ | 16,305 | $ | 19,167 | $ | 2,628,236 |
See Notes to Financial Statements
156
MULTI-ASSET INCOME FUND | MULTI-STYLE PREMIA FUND** | U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||||
April 30, 2019 | April 30, 2019 | April 30, 2019 | |||||||||||||
Assets | |||||||||||||||
Investments in securities, at value*†(Notes A & F)—see Schedule of Investments: | |||||||||||||||
Unaffiliated issuers(a) | $ | 21,142 | $ | 10,268 | $ | 283,436 | |||||||||
Affiliated issuers(b) | 3,120 | — | — | ||||||||||||
24,262 | 10,268 | 283,436 | |||||||||||||
Cash | — | 9 | — | ||||||||||||
Foreign currency(c) | 6 | 10 | — | ||||||||||||
Cash collateral segregated for short sales (Note A) | — | — | — | ||||||||||||
Cash collateral segregated for futures contracts (Note A) | 241 | 340 | — | ||||||||||||
Cash collateral segregated for option contracts (Note A) | — | 1,073 | — | ||||||||||||
Cash collateral segregated for over-the-counter derivatives (Note A) | — | 2,160 | — | ||||||||||||
Receivable from broker | — | — | — | ||||||||||||
Dividends and interest receivable | 106 | 48 | 1,282 | ||||||||||||
Receivable for securities sold | 460 | 114 | 159 | ||||||||||||
Receivable for Fund shares sold | — | — | 69 | ||||||||||||
Receivable from Management—net (Note B) | 18 | 43 | — | ||||||||||||
Receivable for securities lending income (Note A) | — | — | — | ||||||||||||
Receivable for accumulated variation margin on futures contracts (Note A) | — | 158 | — | ||||||||||||
Over-the-counter swap contracts, at value (Note A) | 7 | 2,005 | — | ||||||||||||
Receivable for forward foreign currency contracts (Note A) | 220 | 124 | — | ||||||||||||
Prepaid expenses and other assets | 42 | 56 | 54 | ||||||||||||
Total Assets | 25,362 | 16,408 | 285,000 | ||||||||||||
Liabilities | |||||||||||||||
Investments sold short, at value(d) (Note A) | — | — | — | ||||||||||||
Over-the-counter swap contracts, at value (Note A) | — | 1,167 | — | ||||||||||||
Dividends and interest payable for short sales | — | — | — | ||||||||||||
Payable to investment manager—net (Notes A & B) | 7 | 8 | 105 | ||||||||||||
Option contracts written, at value(e) (Note A) | 26 | 33 | 1,661 | ||||||||||||
Due to custodian | — | — | — | ||||||||||||
Payable for securities purchased | 2,652 | 165 | 6 | ||||||||||||
Payable for Fund shares redeemed | 37 | — | 207 | ||||||||||||
Payable to administrator—net (Note B) | — | — | 18 | ||||||||||||
Payable to trustees | 2 | 2 | 2 | ||||||||||||
Payable for loaned securities collateral (Note A) | — | — | — | ||||||||||||
Payable for accumulated variation margin on futures contracts (Note A) | 6 | — | — | ||||||||||||
Payable for forward foreign currency contracts (Note A) | 207 | 94 | — | ||||||||||||
Distributions payable | 16 | — | — | ||||||||||||
Accrued expenses and other payables | 85 | 81 | 71 | ||||||||||||
Total Liabilities | 3,038 | 1,550 | 2,070 | ||||||||||||
Net Assets | $ | 22,324 | $ | 14,858 | $ | 282,930 |
157
Statements of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted except per share amounts)
COMMODITY STRATEGY FUND** | GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | ||||||||||||||||
April 30, 2019 | April 30, 2019 | April 30, 2019 | April 30, 2019 | ||||||||||||||||
Net Assets consist of: | |||||||||||||||||||
Paid-in capital | $ | 168,474 | $ | 15,342 | $ | 20,565 | $ | 2,225,095 | |||||||||||
Total distributable earnings/(losses) | (16,369 | ) | 963 | (1,398 | ) | 403,141 | |||||||||||||
Net Assets | $ | 152,105 | $ | 16,305 | $ | 19,167 | $ | 2,628,236 | |||||||||||
Net Assets | |||||||||||||||||||
Institutional Class | $ | 114,212 | $ | 11,592 | $ | 17,275 | $ | 2,499,926 | |||||||||||
Class A | 37,869 | 2,597 | 35 | 58,668 | |||||||||||||||
Class C | 24 | 2,089 | 32 | 69,642 | |||||||||||||||
Class R6 | — | 27 | 1,825 | — | |||||||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||||||||||
Institutional Class | 19,232 | 1,020 | 738 | 175,044 | |||||||||||||||
Class A | 6,491 | 230 | 1 | 4,117 | |||||||||||||||
Class C | 4 | 190 | 1 | 4,910 | |||||||||||||||
Class R6 | — | 2 | 78 | — | |||||||||||||||
Net Asset Value, offering and redemption price per share | |||||||||||||||||||
Institutional Class | $ | 5.94 | $ | 11.36 | $ | 23.40 | $ | 14.28 | |||||||||||
Class R6 | — | 11.36 | 23.40 | — | |||||||||||||||
Net Asset Value and redemption price per share | |||||||||||||||||||
Class A | $ | 5.83 | $ | 11.29 | $ | 23.39 | $ | 14.25 | |||||||||||
Offering Price per share | |||||||||||||||||||
Class A‡ | $ | 6.19 | $ | 11.98 | $ | 24.82 | $ | 15.12 | |||||||||||
Net Asset Value and offering price per share | |||||||||||||||||||
Class C^ | $ | 5.63 | $ | 10.98 | $ | 23.25 | $ | 14.18 | |||||||||||
†Securities on loan, at value: | |||||||||||||||||||
Unaffiliated issuers | $ | — | $ | — | $ | — | $ | 46,293 | |||||||||||
*Cost of Investments: | |||||||||||||||||||
(a) Unaffiliated issuers | $ | 144,481 | $ | 8,761 | $ | 19,223 | $ | 2,105,864 | |||||||||||
(b) Affiliated issuers | — | 7,276 | — | — | |||||||||||||||
Total cost of investments | $ | 144,481 | $ | 16,037 | $ | 19,223 | $ | 2,105,864 | |||||||||||
(c) Total cost of foreign currency | $ | — | $ | 3 | $ | — | $ | — | |||||||||||
(d) Proceeds from investments sold short | $ | — | $ | — | $ | — | $ | 407,615 | |||||||||||
(e) Premium received from option contracts written | $ | — | $ | 15 | $ | 160 | $ | 6,474 |
** 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
158
MULTI-ASSET INCOME FUND | MULTI-STYLE PREMIA FUND** | U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||||
April 30, 2019 | April 30, 2019 | April 30, 2019 | |||||||||||||
Net Assets consist of: | |||||||||||||||
Paid-in capital | $ | 22,064 | $ | 15,694 | $ | 275,948 | |||||||||
Total distributable earnings/(losses) | 260 | (836 | ) | 6,982 | |||||||||||
Net Assets | $ | 22,324 | $ | 14,858 | $ | 282,930 | |||||||||
Net Assets | |||||||||||||||
Institutional Class | $ | 16,952 | $ | 14,736 | $ | 231,620 | |||||||||
Class A | 638 | 76 | 25,797 | ||||||||||||
Class C | 743 | 23 | 1,002 | ||||||||||||
Class R6 | 3,991 | 23 | 24,511 | ||||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||||||
Institutional Class | �� | 1,710 | 630 | 21,101 | |||||||||||
Class A | 64 | 3 | 2,353 | ||||||||||||
Class C | 75 | 1 | 92 | ||||||||||||
Class R6 | 403 | 1 | 2,231 | ||||||||||||
Net Asset Value, offering and redemption price per share | |||||||||||||||
Institutional Class | $ | 9.92 | $ | 23.38 | $ | 10.98 | |||||||||
Class R6 | 9.92 | 23.38 | 10.98 | ||||||||||||
Net Asset Value and redemption price per share | |||||||||||||||
Class A | $ | 9.92 | $ | 23.31 | $ | 10.96 | |||||||||
Offering Price per share | |||||||||||||||
Class A‡ | $ | 10.36 | $ | 24.73 | $ | 11.63 | |||||||||
Net Asset Value and offering price per share | |||||||||||||||
Class C^ | $ | 9.91 | $ | 23.27 | $ | 10.84 | |||||||||
†Securities on loan, at value: | |||||||||||||||
Unaffiliated issuers | $ | — | $ | — | $ | — | |||||||||
*Cost of Investments: | |||||||||||||||
(a) Unaffiliated issuers | $ | 20,502 | $ | 10,321 | $ | 282,892 | |||||||||
(b) Affiliated issuers | 3,143 | — | — | ||||||||||||
Total cost of investments | $ | 23,645 | $ | 10,321 | $ | 282,892 | |||||||||
(c) Total cost of foreign currency | $ | 6 | $ | 10 | $ | — | |||||||||
(d) Proceeds from investments sold short | $ | — | $ | — | $ | — | |||||||||
(e) Premium received from option contracts written | $ | 32 | $ | 54 | $ | 3,305 |
159
Statements of Operations (Unaudited)
Neuberger Berman Alternative Funds
(000's omitted)
COMMODITY STRATEGY FUND(a) | GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | ||||||||||||||||
For the Six Months Ended April 30, 2019 | For the Six Months Ended April 30, 2019 | For the Six Months Ended April 30, 2019 | For the Six Months Ended April 30, 2019 | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Income (Note A): | |||||||||||||||||||
Dividend income—unaffiliated issuers | $ | — | $ | 64 | $ | — | $ | 17,565 | |||||||||||
Dividend income—affiliated issuers (Note F) | — | 139 | — | — | |||||||||||||||
Interest and other income—unaffiliated issuers | 1,933 | 61 | 202 | 9,824 | |||||||||||||||
Income from securities loaned-net | — | — | — | 510 | |||||||||||||||
Foreign taxes withheld | — | (2 | ) | — | (355 | ) | |||||||||||||
Total income | $ | 1,933 | $ | 262 | $ | 202 | $ | 27,544 | |||||||||||
Expenses: | |||||||||||||||||||
Investment management fees (Note B) | 347 | 46 | 44 | 14,595 | |||||||||||||||
Administration fees (Note B): | |||||||||||||||||||
Institutional Class | 73 | 9 | 13 | 1,856 | |||||||||||||||
Class A | 54 | 3 | — | 100 | |||||||||||||||
Class C | — | 3 | — | 92 | |||||||||||||||
Class R6 | — | — | 1 | — | |||||||||||||||
Distribution fees (Note B): | |||||||||||||||||||
Class A | 52 | 3 | — | 96 | |||||||||||||||
Class C | — | 11 | — | 354 | |||||||||||||||
Shareholder servicing agent fees: | |||||||||||||||||||
Institutional Class | 1 | — | — | 70 | |||||||||||||||
Class A | 8 | — | — | 4 | |||||||||||||||
Class C | — | — | — | 4 | |||||||||||||||
Subsidiary Administration Fees | 25 | — | — | — | |||||||||||||||
Audit fees | 40 | 35 | 27 | 18 | |||||||||||||||
Custodian and accounting fees | 49 | 87 | 45 | 228 | |||||||||||||||
Insurance expense | 2 | — | — | 53 | |||||||||||||||
Legal fees | 44 | 40 | 35 | 54 | |||||||||||||||
Registration and filing fees | 31 | 32 | 31 | 154 | |||||||||||||||
Shareholder reports | 17 | 1 | — | 105 | |||||||||||||||
Trustees' fees and expenses | 22 | 20 | 20 | 26 | |||||||||||||||
Dividend and interest expense on securities sold short (Note A) | — | — | — | 3,143 | |||||||||||||||
Interest expense | 1 | 1 | — | 8 | |||||||||||||||
Miscellaneous | 9 | 4 | 2 | 111 | |||||||||||||||
Total expenses | 775 | 295 | 218 | 21,071 |
See Notes to Financial Statements
160
MULTI-ASSET INCOME FUND | MULTI-STYLE PREMIA FUND(a) | U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||||
For the Six Months Ended April 30, 2019 | For the Six Months Ended April 30, 2019 | For the Six Months Ended April 30, 2019 | |||||||||||||
Investment Income: | |||||||||||||||
Income (Note A): | |||||||||||||||
Dividend income—unaffiliated issuers | $ | 230 | $ | 97 | $ | — | |||||||||
Dividend income—affiliated issuers (Note F) | 111 | — | — | ||||||||||||
Interest and other income—unaffiliated issuers | 138 | 56 | 3,070 | ||||||||||||
Income from securities loaned-net | — | — | — | ||||||||||||
Foreign taxes withheld | (6 | ) | (10 | ) | — | ||||||||||
Total income | $ | 473 | $ | 143 | $ | 3,070 | |||||||||
Expenses: | |||||||||||||||
Investment management fees (Note B) | 49 | 48 | 601 | ||||||||||||
Administration fees (Note B): | |||||||||||||||
Institutional Class | 12 | 11 | 165 | ||||||||||||
Class A | 1 | — | 29 | ||||||||||||
Class C | 1 | — | 1 | ||||||||||||
Class R6 | 1 | — | 6 | ||||||||||||
Distribution fees (Note B): | |||||||||||||||
Class A | 1 | — | 28 | ||||||||||||
Class C | 3 | — | 6 | ||||||||||||
Shareholder servicing agent fees: | |||||||||||||||
Institutional Class | 1 | — | 7 | ||||||||||||
Class A | — | — | — | ||||||||||||
Class C | — | — | — | ||||||||||||
Subsidiary Administration Fees | — | 25 | — | ||||||||||||
Audit fees | 35 | 27 | 27 | ||||||||||||
Custodian and accounting fees | 86 | 110 | 51 | ||||||||||||
Insurance expense | — | — | 6 | ||||||||||||
Legal fees | 39 | 26 | 40 | ||||||||||||
Registration and filing fees | 21 | 48 | 55 | ||||||||||||
Shareholder reports | — | 10 | 2 | ||||||||||||
Trustees' fees and expenses | 22 | 13 | 22 | ||||||||||||
Dividend and interest expense on securities sold short (Note A) | — | — | — | ||||||||||||
Interest expense | 1 | — | — | ||||||||||||
Miscellaneous | 6 | 7 | 18 | ||||||||||||
Total expenses | 279 | 325 | 1,064 |
161
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted)
COMMODITY STRATEGY FUND(a) | GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | LONG SHORT FUND | ||||||||||||||||
For the Six Months Ended April 30, 2019 | For the Six Months Ended April 30, 2019 | For the Six Months Ended April 30, 2019 | For the Six Months Ended April 30, 2019 | ||||||||||||||||
Expenses reimbursed by Management (Note B) | (186 | ) | (214 | ) | (155 | ) | — | ||||||||||||
Investment management fees waived (Note A) | — | (25 | ) | — | — | ||||||||||||||
Total net expenses | 589 | 56 | 63 | 21,071 | |||||||||||||||
Net investment income/(loss) | $ | 1,344 | $ | 206 | $ | 139 | $ | 6,473 | |||||||||||
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |||||||||||||||||||
Net realized gain/(loss) on: | |||||||||||||||||||
Transactions in investment securities of unaffiliated issuers | (83 | ) | (52 | ) | (210 | ) | 65,579 | ||||||||||||
Transactions in investment securities of affiliated issuers | — | (180 | ) | — | — | ||||||||||||||
Realized gain distributions from affiliated issuers | — | 96 | — | — | |||||||||||||||
Settlement of forward foreign currency contracts | — | (16 | ) | — | — | ||||||||||||||
Settlement of foreign currency transactions | — | (1 | ) | — | (28 | ) | |||||||||||||
Expiration or closing of futures contracts | (12,106 | ) | (44 | ) | — | 14,016 | |||||||||||||
Expiration or closing of option contracts written | — | (32 | ) | (483 | ) | 3,900 | |||||||||||||
Expiration or closing of swap contracts | — | (20 | ) | — | (11,749 | ) | |||||||||||||
Change in net unrealized appreciation/(depreciation) in value of: | |||||||||||||||||||
Investment securities of unaffiliated issuers | 205 | 484 | 190 | 113,017 | |||||||||||||||
Investment securities of affiliated issuers | — | 564 | — | — | |||||||||||||||
Short positions of unaffiliated issuers | — | — | — | (35,072 | ) | ||||||||||||||
Forward foreign currency contracts | — | 4 | — | — | |||||||||||||||
Foreign currency translations | — | 5 | — | — | |||||||||||||||
Futures contracts | 7,576 | 37 | — | (51,682 | ) | ||||||||||||||
Option contracts written | — | (1 | ) | 32 | 2,481 | ||||||||||||||
Swap contracts | — | 9 | — | (17,892 | ) | ||||||||||||||
Net gain/(loss) on investments | (4,408 | ) | 853 | (471 | ) | 82,570 | |||||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | (3,064 | ) | $ | 1,059 | $ | (332 | ) | $ | 89,043 |
(a) Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
See Notes to Financial Statements
162
MULTI-ASSET INCOME FUND | MULTI-STYLE PREMIA FUND(a) | U.S. EQUITY INDEX PUTWRITE STRATEGY FUND | |||||||||||||
For the Six Months Ended April 30, 2019 | For the Six Months Ended April 30, 2019 | For the Six Months Ended April 30, 2019 | |||||||||||||
Expenses reimbursed by Management (Note B) | (200 | ) | (253 | ) | (152 | ) | |||||||||
Investment management fees waived (Note A) | (11 | ) | — | — | |||||||||||
Total net expenses | 68 | 72 | 912 | ||||||||||||
Net investment income/(loss) | $ | 405 | $ | 71 | $ | 2,158 | |||||||||
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |||||||||||||||
Net realized gain/(loss) on: | |||||||||||||||
Transactions in investment securities of unaffiliated issuers | (30 | ) | (268 | ) | (96 | ) | |||||||||
Transactions in investment securities of affiliated issuers | (83 | ) | — | — | |||||||||||
Realized gain distributions from affiliated issuers | — | — | — | ||||||||||||
Settlement of forward foreign currency contracts | (20 | ) | 16 | — | |||||||||||
Settlement of foreign currency transactions | — | (7 | ) | — | |||||||||||
Expiration or closing of futures contracts | (63 | ) | (425 | ) | — | ||||||||||
Expiration or closing of option contracts written | (28 | ) | (8 | ) | 5,550 | ||||||||||
Expiration or closing of swap contracts | (23 | ) | (204 | ) | — | ||||||||||
Change in net unrealized appreciation/(depreciation) in value of: | |||||||||||||||
Investment securities of unaffiliated issuers | 806 | 416 | 2,202 | ||||||||||||
Investment securities of affiliated issuers | 182 | — | — | ||||||||||||
Short positions of unaffiliated issuers | — | — | — | ||||||||||||
Forward foreign currency contracts | 8 | 56 | — | ||||||||||||
Foreign currency translations | 4 | (1 | ) | — | |||||||||||
Futures contracts | 22 | 234 | — | ||||||||||||
Option contracts written | 3 | (7 | ) | 2,044 | |||||||||||
Swap contracts | 11 | 115 | — | ||||||||||||
Net gain/(loss) on investments | 789 | (83 | ) | 9,700 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 1,194 | $ | (12 | ) | $ | 11,858 |
163
Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
(000's omitted)
COMMODITY STRATEGY FUND(a) | GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | |||||||||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||||||||||
From Operations (Note A): | |||||||||||||||||||||||||||
Net investment income/(loss) | $ | 1,344 | $ | 1,704 | $ | 206 | $ | 368 | $ | 139 | $ | 156 | |||||||||||||||
Net realized gain/(loss) on investments | (12,189 | ) | 8,135 | (249 | ) | 773 | (693 | ) | (757 | ) | |||||||||||||||||
Change in net unrealized appreciation/(depreciation) of investments | 7,781 | (9,247 | ) | 1,102 | (1,835 | ) | 222 | (168 | ) | ||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (3,064 | ) | 592 | 1,059 | (694 | ) | (332 | ) | (769 | ) | |||||||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||||||||||
Distributable earnings: | |||||||||||||||||||||||||||
Institutional Class | (2,316 | ) | (3,165 | ) | (623 | ) | (691 | ) | (117 | ) | (225 | ) | |||||||||||||||
Class A | (1,052 | ) | (1,487 | ) | (119 | ) | (194 | ) | (1 | ) | (1 | ) | |||||||||||||||
Class C | — | (1 | ) | (82 | ) | (125 | ) | — | — | ||||||||||||||||||
Class R6 | — | — | — | — | (12 | ) | (36 | ) | |||||||||||||||||||
Tax return of capital: | |||||||||||||||||||||||||||
Institutional Class | — | — | — | — | — | — | |||||||||||||||||||||
Class A | — | — | — | — | — | — | |||||||||||||||||||||
Class C | — | — | — | — | — | — | |||||||||||||||||||||
Class R6 | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions to shareholders | (3,368 | ) | (4,653 | ) | (824 | ) | (1,010 | ) | (130 | ) | (262 | ) | |||||||||||||||
From Fund Share Transactions (Note D): | |||||||||||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||||||||||
Institutional Class | 44,671 | 33,074 | 2,441 | 4,229 | 10,370 | 12,489 | |||||||||||||||||||||
Class A | 6,752 | 15,377 | 188 | 204 | 11 | — | |||||||||||||||||||||
Class C | — | 7 | 70 | 24 | — | — | |||||||||||||||||||||
Class R6 | — | — | 25 | — | — | — |
See Notes to Financial Statements
164
LONG SHORT FUND | MULTI-ASSET INCOME FUND | MULTI-STYLE PREMIA FUND(a) | |||||||||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Period from May 18, 2018 (Commencement of Operations) to October 31, 2018 | ||||||||||||||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||||||||||||||||||
From Operations (Note A): | |||||||||||||||||||||||||||
Net investment income/(loss) | $ | 6,473 | $ | 6,266 | $ | 405 | $ | 771 | $ | 71 | $ | 61 | |||||||||||||||
Net realized gain/(loss) on investments | 71,718 | 103,740 | (247 | ) | 197 | (896 | ) | (420 | ) | ||||||||||||||||||
Change in net unrealized appreciation/(depreciation) of investments | 10,852 | (24,683 | ) | 1,036 | (1,419 | ) | 813 | 179 | |||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 89,043 | 85,323 | 1,194 | (451 | ) | (12 | ) | (180 | ) | ||||||||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||||||||||
Distributable earnings: | |||||||||||||||||||||||||||
Institutional Class | (137,308 | ) | — | (355 | ) | (624 | ) | (812 | ) | — | |||||||||||||||||
Class A | (5,413 | ) | — | (12 | ) | (22 | ) | (4 | ) | — | |||||||||||||||||
Class C | (3,934 | ) | — | (11 | ) | (17 | ) | (1 | ) | — | |||||||||||||||||
Class R6 | — | — | (84 | ) | (143 | ) | (1 | ) | — | ||||||||||||||||||
Tax return of capital: | |||||||||||||||||||||||||||
Institutional Class | — | — | — | (124 | ) | — | — | ||||||||||||||||||||
Class A | — | — | — | (5 | ) | — | — | ||||||||||||||||||||
Class C | — | — | — | (5 | ) | — | — | ||||||||||||||||||||
Class R6 | — | — | — | (28 | ) | — | — | ||||||||||||||||||||
Total distributions to shareholders | (146,655 | ) | — | (462 | ) | (968 | ) | (818 | ) | — | |||||||||||||||||
From Fund Share Transactions (Note D): | |||||||||||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||||||||||
Institutional Class | 515,060 | 1,075,133 | 950 | 2,640 | 128 | 15,580 | |||||||||||||||||||||
Class A | 8,291 | 32,941 | 57 | 234 | 55 | 25 | |||||||||||||||||||||
Class C | 1,880 | 6,391 | 98 | — | — | 25 | |||||||||||||||||||||
Class R6 | — | — | 98 | — | — | 25 |
165
Statements of Changes in Net Assets (cont'd)
Neuberger Berman Alternative Funds (cont'd)
(000's omitted)
COMMODITY STRATEGY FUND(a) | GLOBAL ALLOCATION FUND | HEDGED OPTION PREMIUM STRATEGY FUND | |||||||||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||||||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||||||||||||||||||
Institutional Class | 2,316 | 3,133 | 622 | 691 | 117 | 224 | |||||||||||||||||||||
Class A | 1,003 | 1,487 | 119 | 193 | — | — | |||||||||||||||||||||
Class C | — | 1 | 82 | 125 | — | — | |||||||||||||||||||||
Class R6 | — | — | — | — | — | — | |||||||||||||||||||||
Payments for shares redeemed: | |||||||||||||||||||||||||||
Institutional Class | (28,952 | ) | (16,338 | ) | (5,402 | ) | (3,760 | ) | (4,897 | ) | (8,258 | ) | |||||||||||||||
Class A | (15,425 | ) | (9,994 | ) | (616 | ) | (1,156 | ) | — | — | |||||||||||||||||
Class C | (7 | ) | (4 | ) | (426 | ) | (804 | ) | — | — | |||||||||||||||||
Class R6 | — | — | — | — | — | — | |||||||||||||||||||||
Net increase/(decrease) from Fund share transactions | 10,358 | 26,743 | (2,897 | ) | (254 | ) | 5,601 | 4,455 | |||||||||||||||||||
Net Increase/(Decrease) in Net Assets | 3,926 | 22,682 | (2,662 | ) | (1,958 | ) | 5,139 | 3,424 | |||||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 148,179 | 125,497 | 18,967 | 20,925 | 14,028 | 10,604 | |||||||||||||||||||||
End of period | $ | 152,105 | $ | 148,179 | $ | 16,305 | $ | 18,967 | $ | 19,167 | $ | 14,028 |
(a) Consolidated financial statement, see Note A of the Notes to Financial Statements for additional information.
See Notes to Financial Statements
166
LONG SHORT FUND | MULTI-ASSET INCOME FUND | MULTI-STYLE PREMIA FUND(a) | |||||||||||||||||||||||||
Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Year Ended October 31, 2018 | Six Months Ended April 30, 2019 (Unaudited) | Period from May 18, 2018 (Commencement of Operations) to October 31, 2018 | ||||||||||||||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||||||||||||||||||
Institutional Class | 51,690 | — | 355 | 749 | 808 | — | |||||||||||||||||||||
Class A | 4,816 | — | 2 | 6 | — | — | |||||||||||||||||||||
Class C | 2,924 | — | 3 | 6 | — | — | |||||||||||||||||||||
Class R6 | — | — | — | — | — | — | |||||||||||||||||||||
Payments for shares redeemed: | |||||||||||||||||||||||||||
Institutional Class | (863,183 | ) | (1,161,349 | ) | (2,581 | ) | (1,972 | ) | (778 | ) | — | ||||||||||||||||
Class A | (55,347 | ) | (76,039 | ) | (156 | ) | (77 | ) | — | — | |||||||||||||||||
Class C | (11,003 | ) | (22,990 | ) | (34 | ) | (49 | ) | — | — | |||||||||||||||||
Class R6 | — | — | (98 | ) | — | — | — | ||||||||||||||||||||
Net increase/(decrease) from Fund share transactions | (344,872 | ) | (145,913 | ) | (1,306 | ) | 1,537 | 213 | 15,655 | ||||||||||||||||||
Net Increase/(Decrease) in Net Assets | (402,484 | ) | (60,590 | ) | (574 | ) | 118 | (617 | ) | 15,475 | |||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 3,030,720 | 3,091,310 | 22,898 | 22,780 | 15,475 | — | |||||||||||||||||||||
End of period | $ | 2,628,236 | $ | 3,030,720 | $ | 22,324 | $ | 22,898 | $ | 14,858 | $ | 15,475 |
167
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, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||
Increase/(Decrease) in Net Assets: | |||||||||||
From Operations (Note A): | |||||||||||
Net investment income/(loss) | $ | 2,158 | $ | 3,291 | |||||||
Net realized gain/(loss) on investments | 5,454 | (567 | ) | ||||||||
Change in net unrealized appreciation/(depreciation) of investments | 4,246 | (1,935 | ) | ||||||||
Net increase/(decrease) in net assets resulting from operations | 11,858 | 789 | |||||||||
Distributions to Shareholders From (Note A): | |||||||||||
Distributable earnings: | |||||||||||
Institutional Class | (2,373 | ) | (11,110 | ) | |||||||
Class A | (201 | ) | (327 | ) | |||||||
Class C | (6 | ) | (46 | ) | |||||||
Class R6 | (227 | ) | (961 | ) | |||||||
Tax return of capital: | |||||||||||
Institutional Class | — | — | |||||||||
Class A | — | — | |||||||||
Class C | — | — | |||||||||
Class R6 | — | — | |||||||||
Total distributions to shareholders | (2,807 | ) | (12,444 | ) | |||||||
From Fund Share Transactions (Note D): | |||||||||||
Proceeds from shares sold: | |||||||||||
Institutional Class | 67,805 | 237,195 | |||||||||
Class A | 10,511 | 18,444 | |||||||||
Class C | 25 | 957 | |||||||||
Class R6 | 11,113 | 9,482 |
See Notes to Financial Statements
168
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, 2019 (Unaudited) | Year Ended October 31, 2018 | ||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||
Institutional Class | 2,308 | 10,976 | |||||||||
Class A | 52 | 298 | |||||||||
Class C | 4 | 35 | |||||||||
Class R6 | 226 | 961 | |||||||||
Payments for shares redeemed: | |||||||||||
Institutional Class | (62,943 | ) | (172,560 | ) | |||||||
Class A | (4,058 | ) | (3,653 | ) | |||||||
Class C | (229 | ) | (276 | ) | |||||||
Class R6 | (6,026 | ) | (3,941 | ) | |||||||
Net increase/(decrease) from Fund share transactions | 18,788 | 97,918 | |||||||||
Net Increase/(Decrease) in Net Assets | 27,839 | 86,263 | |||||||||
Net Assets: | |||||||||||
Beginning of period | 255,091 | 168,828 | |||||||||
End of period | $ | 282,930 | $ | 255,091 |
See Notes to Financial Statements
169
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 Commodity Strategy Fund ("Commodity Strategy") (formerly, Neuberger Berman Risk Balanced Commodity Strategy Fund), 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 Multi-Asset Income Fund ("Multi-Asset Income"), Neuberger Berman Multi-Style Premia Fund ("Multi-Style Premia") 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. Multi-Style Premia is non-diversified. 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 (Commodity Strategy, Global Allocation and Long Short became diversified in August 2015, December 2013 and December 2014, respectively). Hedged Option Premium Strategy, Multi-Asset Income and U.S. Equity Index PutWrite Strategy are each diversified. Multi-Style Premia had no operations until May 18, 2018, 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. Global Allocation, Hedged Option Premium Strategy, Multi-Asset Income, Multi-Style Premia 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 balance indicated with a "—", either reflects a zero balance or a balance that rounds 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 Standards 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.
Commodity Strategy invests in commodity-related instruments through Neuberger Berman Cayman Commodity Fund I Ltd. (the "CS Subsidiary"), which is organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Fund and the CS Subsidiary with the intent that Commodity Strategy will remain the sole shareholder of the CS Subsidiary. The CS Subsidiary is governed by its own Board of Directors.
As of April 30, 2019, the value of Commodity Strategy's investment in the CS Subsidiary was as follows:
Investment in CS Subsidiary | Percentage of Net Assets | ||||||
$ | 25,727,994 | 16.9 | % |
Multi-Style Premia invests in commodity-related instruments through Neuberger Berman Cayman MSP Fund I Ltd. (the "MSP Subsidiary"), which is organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Fund and the MSP Subsidiary with the intent that Multi-Style Premia will remain the sole shareholder of the MSP Subsidiary. The MSP Subsidiary is governed by its own Board of Directors.
ß Consolidated Notes to Financial Statements for Commodity Strategy and Multi-Style Premia
170
As of April 30, 2019, the value of Multi-Style Premia's investment in the MSP Subsidiary was as follows:
Investment in MSP Subsidiary | Percentage of Net Assets | ||||||
$ | 611,731 | 4.1 | % |
2 Consolidation: The accompanying financial statements of Commodity Strategy and Multi-Style Premia present the consolidated accounts of Commodity Strategy and the CS Subsidiary and Multi-Style Premia and the MSP Subsidiary, respectively. 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, exchange-traded funds ("ETFs"), preferred stocks, master limited partnerships, warrants and exchange-traded options purchased and 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").
171
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.
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 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 ("NAV") 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 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 ICE Data Pricing and Reference Data LLC ("ICE") 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
172
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, ICE 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 ICE to evaluate the prices of foreign debt securities as of the time as of which a Fund's share price is calculated. ICE 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, CS Subsidiary and MSP 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, Long Short and Multi-Asset Income participated as a class member. The amounts of such proceeds for the six months ended April 30, 2019 was $2,186, $198,771 and $97 for Global Allocation, Long Short and Multi-Asset Income, respectively.
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, except Multi-Style Premia, to continue to, and the intention of Multi-Style Premia 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 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, 2019, the Funds did not have any unrecognized tax positions.
The CS Subsidiary and the MSP Subsidiary are controlled foreign corporations under the U.S. Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, Commodity Strategy and Multi-Style Premia each will include in its taxable income its share of the CS Subsidiary's and the MSP Subsidiary's current earnings and
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profits (including net realized gains). Any deficit generated by the CS Subsidiary and the MSP Subsidiary will be disregarded for purposes of computing Commodity Strategy's and Multi-Style Premia's taxable income in the current period and also disregarded for all future periods.
At April 30, 2019, 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) | |||||||||||||||
Commodity Strategy | $ | 150,494 | $ | 11,232 | $ | 10,879 | $ | 353 | |||||||||||
Global Allocation | 16,072 | 1,462 | 393 | 1,069 | |||||||||||||||
Hedged Option Premium Strategy | 19,223 | 138 | 91 | 47 | |||||||||||||||
Long Short | 2,139,399 | 486,984 | 148,622 | 338,362 | |||||||||||||||
Multi-Asset Income | 23,581 | 1,451 | 736 | 715 | |||||||||||||||
Multi-Style Premia | 10,331 | 2,538 | 2,301 | 237 | |||||||||||||||
U.S. Equity Index PutWrite Strategy | 282,892 | 3,827 | 1,239 | 2,588 |
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, 2018, 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 written-off, CS Subsidiary and MSP Subsidiary income and gain (loss), nondeductible stock issuance fees, deemed distributions on shareholder redemptions, partnership non-deductible expenses and non-deductible excise tax. These reclassifications had no effect on net income, NAV or NAV per share of each Fund. For the year ended October 31, 2018, the Funds recorded the following permanent reclassifications:
Paid-in Capital | Total Distributable Earnings/(Losses) | ||||||||||
Commodity Strategy | $ | 8,168,817 | $ | (8,168,817 | ) | ||||||
Global Allocation | 196,743 | (196,743 | ) | ||||||||
Hedged Option Premium Strategy | — | — | |||||||||
Long Short | 2,918,142 | (2,918,142 | ) | ||||||||
Multi-Asset Income | (4,380 | ) | 4,380 | ||||||||
Multi-Style Premia | (173,991 | ) | 173,991 | ||||||||
U.S. Equity Index PutWrite Strategy | — | — |
The tax character of distributions paid during the years ended October 31, 2018 and October 31, 2017 was as follows:
Distributions Paid From: | |||||||||||||||||||||||||||||||||||
Taxable Income | Long-Term Capital Gain | Return of Capital | Total | ||||||||||||||||||||||||||||||||
2018 | 2017 | 2018 | 2017 | 2018 | 2017 | 2018 | 2017 | ||||||||||||||||||||||||||||
Commodity Strategy | $ | 4,653,294 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 4,653,294 | $ | — | |||||||||||||||||||
Global Allocation | 641,484 | 44,404 | 368,403 | — | — | — | 1,009,887 | 44,404 | |||||||||||||||||||||||||||
Hedged Option Premium Strategy | 191,283 | 16,672 | (a) | 70,070 | — | (a) | — | — | (a) | 261,353 | 16,672 | (a) |
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Distributions Paid From: | |||||||||||||||||||||||||||||||||||
Taxable Income | Long-Term Capital Gain | Return of Capital | Total | ||||||||||||||||||||||||||||||||
2018 | 2017 | 2018 | 2017 | 2018 | 2017 | 2018 | 2017 | ||||||||||||||||||||||||||||
Long Short | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Multi-Asset Income | 806,348 | 723,961 | — | — | 161,966 | 22,515 | 968,314 | 746,476 | |||||||||||||||||||||||||||
Multi-Style Premia | — | (b) | — | — | (b) | — | — | (b) | — | — | (b) | — | |||||||||||||||||||||||
U.S. Equity Index PutWrite Strategy | 6,625,107 | 473,142 | 5,819,643 | 61,645 | — | — | 12,444,750 | 534,787 |
(a) Period from April 12, 2017 (Commencement of Operations) to October 31, 2017.
(b) Period from May 18, 2018 (Commencement of Operations) to October 31, 2018.
As of October 31, 2018, 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 | ||||||||||||||||||||||
Commodity Strategy | $ | 2,976,172 | $ | — | $ | (7,427,902 | ) | $ | — | $ | (5,485,225 | ) | $ | (9,936,955 | ) | ||||||||||||
Global Allocation | 332,951 | 422,047 | (18,457 | ) | — | (8,355 | ) | 728,186 | |||||||||||||||||||
Hedged Option Premium Strategy | 20,016 | — | (176,689 | ) | (776,862 | ) | (2,126 | ) | (935,661 | ) | |||||||||||||||||
Long Short | — | 146,765,947 | 339,904,816 | — | (25,917,954 | ) | 460,752,809 | ||||||||||||||||||||
Multi-Asset Income | — | — | (329,608 | ) | (125,741 | ) | (16,991 | ) | (472,340 | ) | |||||||||||||||||
Multi-Style Premia | 808,920 | — | (569,556 | ) | (220,366 | ) | (24,657 | ) | (5,659 | ) | |||||||||||||||||
U.S. Equity Index PutWrite Strategy | 1,023,272 | — | (1,657,839 | ) | (1,430,111 | ) | (4,473 | ) | (2,069,151 | ) |
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 fund level distributions, mark-to-market adjustments on swaps, futures contracts and forward and option contracts; late-year ordinary loss deferrals, unamortized organization expenses and tax adjustments related to REITs, TIPS, PFICs, short sales, partnerships, 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 RICs 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, 2018, 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 | ||||||||||
Commodity Strategy | $ | — | $ | — | |||||||
Hedged Option Premium Strategy | 464,679 | 312,183 | |||||||||
Multi-Asset Income | — | 125,741 | |||||||||
Multi-Style Premia | 13,195 | 207,171 | |||||||||
U.S. Equity Index PutWrite Strategy | 1,186,445 | 243,666 |
During the year ended October 31, 2018, Commodity Strategy, Long Short and Multi-Asset Income had utilized capital loss carryforwards of $84,076, $36,742,044 and $81,605, respectively.
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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, 2019, 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 Commodity Strategy, Global Allocation, Long Short, Multi-Style Premia, monthly for Multi-Asset Income and quarterly for Hedged Option Premium Strategy 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 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 the Fund until the following calendar year. At April 30, 2019, the Fund estimated these amounts for the period January 1, 2019 to April 30, 2019 within the financial statements because the 2019 information is not available from the REITs until after the Fund's fiscal period. 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, 2018, the character of distributions, if any, paid to shareholders of the Fund 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 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 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 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.
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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 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, 2019, are included in the "Dividend and interest expense on securities sold short" on the Statements of Operations and are as follows:
Long Short | $ | (3,891,228 | ) |
At April 30, 2019, Long Short had cash pledged in the amount of $497,739,161 to State Street Bank and Trust Company ("State Street") to cover collateral requirements for borrowing in connection with securities sold short.
13 Securities 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, would be disclosed within the Statements of Operations under the caption "Income from securities loaned-net" and are net of expenses retained by State Street as compensation for its services as lending agent. For the six months ended April 30, 2019, the Fund listed below received income under the securities lending arrangement as follows:
(000's omitted) | |||||||
Long Short | $ | 510 |
The initial cash collateral received by a Fund at the beginning of each transaction shall have a value equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). Thereafter, the value of the cash collateral is monitored on a daily basis, and cash collateral is moved daily between a counterparty and a Fund until the close of the transaction. A Fund may only receive collateral in the form of cash (U.S. dollars). Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of State Street. The risks associated with lending portfolio securities include, but are not
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limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities. Any increase or decrease in the fair value of the securities loaned and any interest earned or dividends paid or owed on those securities during the term of the loan would accrue to the Fund.
As of April 30, 2019, the Fund listed below had outstanding loans of securities to certain approved brokers each with a value as follows:
(000's omitted) | Value of Securities Loaned | ||||||
Long Short | $ | 46,293 |
As of April 30, 2019, the Fund listed below had outstanding loans of securities to certain approved brokers for which it received collateral as follows:
Remaining Contractual Maturity of the Agreements | |||||||||||||||||||||||
(000's omitted) | Overnight and Continuous | Less Than 30 Days | Between 30 & 90 Days | Greater Than 90 Days | Total | ||||||||||||||||||
Securities Lending Transactions(a) | |||||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||
Long Short | $ | 47,374 | $ | — | $ | — | $ | — | $ | 47,374 |
(a) Amounts represent the payable for loaned securities collateral received.
14 Derivative instruments: Certain Funds' use of derivatives during the six months ended April 30, 2019, is described below. Please see the Schedule of Investments for each Fund's open positions in derivatives, if any, at April 30, 2019. 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, 2019, Commodity Strategy used commodity futures contracts (through investments in the CS Subsidiary) to provide investment exposure to individual commodities, as well as to manage and/or adjust the risk profile of the Fund. During the six months ended April 30, 2019, 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, 2019, 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, 2019, 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, 2019, Multi-Style Premia used futures (including through investments in commodity futures through the MSP Subsidiary) to enhance total return, to provide investment exposure to certain asset classes, indices and markets. The Fund also used futures to adjust the risk profile of the Fund.
At the time a Fund, CS Subsidiary or MSP 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
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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, CS Subsidiary or MSP 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, CS Subsidiary or MSP Subsidiary may cause the Fund, CS Subsidiary or MSP 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, CS Subsidiary or MSP Subsidiary. Also, a Fund's, CS Subsidiary's or MSP Subsidiary's losses on transactions involving futures contracts may be deferred rather than being taken into account currently in calculating such Fund's, CS Subsidiary's or MSP Subsidiary's taxable income.
Forward foreign currency contracts: During the six months ended April 30, 2019, 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, 2019, 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. During the six months ended April 30, 2019, Multi-Style Premia used forward contracts to provide investment exposure to certain markets and to establish net short or net long positions in certain 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 settlement of 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.
Total return basket swap contracts: During the six months ended April 30, 2019, Long Short used total return basket swaps to increase returns, reduce risks and for hedging purposes. 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
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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 closing of swap contracts in the Statements of Operations.
Total return swap contracts: During the six months ended April 30, 2019, 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, 2019, Long Short used total return swaps to increase returns, reduce risks and for hedging purposes. During the six months ended April 30, 2019, Multi-Asset Income used total return swaps to enhance total return and obtain or reduce exposure to certain markets. During the six months ended April 30, 2019, Multi-Style Premia used total return swaps to increase returns, reduce risks and to replace more traditional direct investments. 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, 2019, 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, 2019, Global Allocation 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, 2019, 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, 2019, 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, 2019, Long Short used options written to generate incremental returns. During the six months ended April 30, 2019, Long Short used options purchased either for hedging purposes or to generate incremental returns. During the six months ended April 30, 2019, 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, 2019, 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, 2019, Multi-Style Premia 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, 2019, Multi-Style Premia used options written on futures 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, 2019, Multi-Style Premia used options purchased to enhance total return, manage or adjust the risk profile of the Fund or the risk of individual positions, replace more
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traditional direct investments and obtain exposure to certain markets. During the six months ended April 30, 2019, 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 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.
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.
At April 30, 2019, the Funds listed below 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 | Commodity Risk | Total | |||||||||||||||||||||
Commodity Strategy | |||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | — | $ | — | $ | — | $ | 5,545 | $ | 5,545 | ||||||||||||||||
Total Value—Assets | $ | — | $ | — | $ | — | $ | 5,545 | $ | 5,545 | |||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | 22 | $ | — | $ | 20 | $ | — | $ | 42 | ||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 195 | — | — | 195 | |||||||||||||||||||||
Over-the-counter swaps | Over-the-counter swap contracts, at value(a) | — | — | 5 | — | 5 | |||||||||||||||||||||
Options purchased | Investments in securities, at value | — | — | — | — | — | |||||||||||||||||||||
Total Value—Assets | $ | 22 | $ | 195 | $ | 25 | $ | — | $ | 242 |
181
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Commodity Risk | Total | |||||||||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||
Options purchased | Investments in securities, at value | $ | — | $ | — | $ | 5 | $ | — | $ | 5 | ||||||||||||||||
Total Value—Assets | $ | — | $ | — | $ | 5 | $ | — | $ | 5 | |||||||||||||||||
Long Short | |||||||||||||||||||||||||||
Over-the-counter swaps | Over-the-counter swap contracts, at value(a) | $ | — | $ | — | $ | 73 | $ | — | $ | 73 | ||||||||||||||||
Options purchased | Investments in securities, at value | — | — | 2,967 | — | 2,967 | |||||||||||||||||||||
Total Value—Assets | $ | — | $ | — | $ | 3,040 | $ | — | $ | 3,040 | |||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | 34 | $ | — | $ | 40 | $ | — | $ | 74 | ||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 220 | — | — | 220 | |||||||||||||||||||||
Over-the-counter swaps | Over-the-counter swap contracts, at value(a) | — | — | 7 | — | 7 | |||||||||||||||||||||
Options purchased | Investments in securities, at value | — | — | 1 | — | 1 | |||||||||||||||||||||
Total Value—Assets | $ | 34 | $ | 220 | $ | 48 | $ | — | $ | 302 | |||||||||||||||||
Multi-Style Premia | |||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | 101 | $ | 7 | $ | 31 | $ | 56 | $ | 195 | ||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 124 | — | — | 124 | |||||||||||||||||||||
Over-the-counter swaps | Over-the-counter swap contracts, at value(a) | — | — | 2,005 | — | 2,005 | |||||||||||||||||||||
Total Value—Assets | $ | 101 | $ | 131 | $ | 2,036 | $ | 56 | $ | 2,324 | |||||||||||||||||
Liability Derivatives (000's omitted) | |||||||||||||||||||||||||||
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Commodity Risk | Total | |||||||||||||||||||||
Commodity Strategy | |||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | — | $ | — | $ | — | $ | (4,813 | ) | $ | (4,813 | ) | ||||||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | — | $ | (4,813 | ) | $ | (4,813 | ) |
182
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Commodity Risk | Total | |||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | (31 | ) | $ | — | $ | (16 | ) | $ | — | $ | (47 | ) | |||||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (186 | ) | — | — | (186 | ) | |||||||||||||||||||
Options written | Option contracts written, at value | — | — | (12 | ) | — | (12 | ) | |||||||||||||||||||
Total Value—Liabilities | $ | (31 | ) | $ | (186 | ) | $ | (28 | ) | $ | — | $ | (245 | ) | |||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||
Options written | Option contracts written, at value | $ | — | $ | — | $ | (117 | ) | $ | — | $ | (117 | ) | ||||||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | (117 | ) | $ | — | $ | (117 | ) | |||||||||||||||
Long Short | |||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | (67 | ) | $ | — | $ | (20,620 | ) | $ | — | $ | (20,687 | ) | |||||||||||||
Over-the-counter swaps | Over-the-counter swap contracts, at value(a) | — | — | (17,908 | ) | — | (17,908 | ) | |||||||||||||||||||
Options written | Option contracts written, at value | — | — | (5,737 | ) | — | (5,737 | ) | |||||||||||||||||||
Total Value—Liabilities | $ | (67 | ) | $ | — | $ | (44,265 | ) | $ | — | $ | (44,332 | ) | ||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | (59 | ) | $ | — | $ | (21 | ) | $ | — | $ | (80 | ) | |||||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (207 | ) | — | — | (207 | ) | |||||||||||||||||||
Options written | Option contracts written, at value | — | — | (26 | ) | — | (26 | ) | |||||||||||||||||||
Total Value—Liabilities | $ | (59 | ) | $ | (207 | ) | $ | (47 | ) | $ | — | $ | (313 | ) |
183
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Commodity Risk | Total | |||||||||||||||||||||
Multi-Style Premia | |||||||||||||||||||||||||||
Futures | Receivable/Payable for accumulated variation margin on futures contracts | $ | (9 | ) | $ | (1 | ) | $ | (1 | ) | $ | (26 | ) | $ | (37 | ) | |||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (94 | ) | — | — | (94 | ) | |||||||||||||||||||
Over-the-counter swaps | Over-the-counter swap contracts, at value(a) | — | — | (1,167 | ) | — | (1,167 | ) | |||||||||||||||||||
Options written | Option contracts written, at value | (5 | ) | — | (28 | ) | — | (33 | ) | ||||||||||||||||||
Total Value—Liabilities | $ | (14 | ) | $ | (95 | ) | $ | (1,196 | ) | $ | (26 | ) | $ | (1,331 | ) | ||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||
Options written | Option contracts written, at value | $ | — | $ | — | $ | (1,661 | ) | $ | — | $ | (1,661 | ) | ||||||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | (1,661 | ) | $ | — | $ | (1,661 | ) |
(a) "Over-the-counter swaps" reflect the cumulative unrealized appreciation/(depreciation) of the over-the-counter swap contracts plus accrued interest as of April 30, 2019, which are reflected in the Statements of Assets and Liabilities under the caption Over-the-counter swap contracts, at value".
The impact of the use of these derivative instruments on the Statements of Operations during the six months ended April 30, 2019, was as follows:
Realized Gain/(Loss) (000's omitted) | |||||||||||||||||||||||||||
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Commodity Risk | Total | |||||||||||||||||||||
Commodity Strategy | |||||||||||||||||||||||||||
Futures | Net realized gain/(loss) on: expiration or closing of futures contracts | $ | — | $ | — | $ | — | $ | (12,106 | ) | $ | (12,106 | ) | ||||||||||||||
Total Realized Gain/(Loss) | $ | — | $ | — | $ | — | $ | (12,106 | ) | $ | (12,106 | ) |
184
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Commodity Risk | Total | |||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||
Futures | Net realized gain/(loss) on: expiration or closing of futures contracts | $ | 43 | $ | — | $ | (87 | ) | $ | — | $ | (44 | ) | ||||||||||||||
Forward contracts | Net realized gain/(loss) on: settlement of forward foreign currency contracts | — | (16 | ) | — | — | (16 | ) | |||||||||||||||||||
Swaps | Net realized gain/(loss) on: expiration or closing of swap contracts | — | — | (20 | ) | — | (20 | ) | |||||||||||||||||||
Options purchased | Net realized gain/(loss) on: sales of investment securities of unaffiliated issuers | — | — | (33 | ) | — | (33 | ) | |||||||||||||||||||
Options written | Net realized gain/(loss) on: expiration or closing of option contracts written, at value | — | — | (32 | ) | — | (32 | ) | |||||||||||||||||||
Total Realized Gain/(Loss) | $ | 43 | $ | (16 | ) | $ | (172 | ) | $ | — | $ | (145 | ) | ||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||
Options purchased | Net realized gain/(loss) on: sales of investment securities of unaffiliated issuers | $ | — | $ | — | $ | (208 | ) | $ | — | $ | (208 | ) | ||||||||||||||
Options written | Net realized gain/(loss) on: expiration or closing of option contracts written, at value | — | — | (483 | ) | — | (483 | ) | |||||||||||||||||||
Total Realized Gain/(Loss) | $ | — | $ | — | $ | (691 | ) | $ | — | $ | (691 | ) | |||||||||||||||
Long Short | |||||||||||||||||||||||||||
Futures | Net realized gain/(loss) on: expiration or closing of futures contracts | $ | (289 | ) | $ | — | $ | 14,305 | $ | — | $ | 14,016 | |||||||||||||||
Swaps | Net realized gain/(loss) on: expiration or closing of swap contracts | — | — | (11,749 | ) | — | (11,749 | ) | |||||||||||||||||||
Options purchased | Net realized gain/(loss) on: sales of investment securities of unaffiliated issuers | — | — | (2,247 | ) | — | (2,247 | ) | |||||||||||||||||||
Options written | Net realized gain/(loss) on: expiration or closing of option contracts written, at value | — | — | 3,900 | — | 3,900 | |||||||||||||||||||||
Total Realized Gain/(Loss) | $ | (289 | ) | $ | — | $ | 4,209 | $ | — | $ | 3,920 |
185
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Commodity Risk | Total | |||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||
Futures | Net realized gain/(loss) on: expiration or closing of futures contracts | $ | 55 | $ | — | $ | (118 | ) | $ | — | $ | (63 | ) | ||||||||||||||
Forward contracts | Net realized gain/(loss) on: settlement of forward foreign currency contracts | — | (20 | ) | — | — | (20 | ) | |||||||||||||||||||
Swaps | Net realized gain/(loss) on: expiration or closing of swap contracts | — | — | (23 | ) | — | (23 | ) | |||||||||||||||||||
Options purchased | Net realized gain/(loss) on: sales of investment securities of unaffiliated issuers | — | — | (35 | ) | — | (35 | ) | |||||||||||||||||||
Options written | Net realized gain/(loss) on: expiration or closing of option contracts written, at value | — | — | (28 | ) | — | (28 | ) | |||||||||||||||||||
Total Realized Gain/(Loss) | $ | 55 | $ | (20 | ) | $ | (204 | ) | $ | — | $ | (169 | ) | ||||||||||||||
Multi-Style Premia | |||||||||||||||||||||||||||
Futures | Net realized gain/(loss) on: expiration or closing of futures contracts | $ | 78 | $ | (33 | ) | $ | (108 | ) | $ | (362 | ) | $ | (425 | ) | ||||||||||||
Forward contracts | Net realized gain/(loss) on: settlement of forward foreign currency contracts | — | 16 | — | — | 16 | |||||||||||||||||||||
Swaps | Net realized gain/(loss) on: expiration or closing of swap contracts | — | — | (204 | ) | — | (204 | ) | |||||||||||||||||||
Options purchased | Net realized gain/(loss) on: sales of investment securities of unaffiliated issuers | — | — | (2 | ) | — | (2 | ) | |||||||||||||||||||
Options written | Net realized gain/(loss) on: expiration or closing of option contracts written, at value | 5 | — | (13 | ) | — | (8 | ) | |||||||||||||||||||
Total Realized Gain/(Loss) | $ | 83 | $ | (17 | ) | $ | (327 | ) | $ | (362 | ) | $ | (623 | ) | |||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||
Options written | Net realized gain/(loss) on: expiration or closing of option contracts written, at value | $ | — | $ | — | $ | 5,550 | $ | — | $ | 5,550 | ||||||||||||||||
Total Realized Gain/(Loss) | $ | — | $ | — | $ | 5,550 | $ | — | $ | 5,550 |
186
Change in Appreciation/(Depreciation) | |||||||||||||||||||||||||||
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Commodity Risk | Total | |||||||||||||||||||||
Commodity Strategy | |||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation/(depreciation) in value of: futures contracts | $ | — | $ | — | $ | — | $ | 7,576 | $ | 7,576 | ||||||||||||||||
Total Change in Appreciation/(Depreciation) | $ | — | $ | — | $ | — | $ | 7,576 | $ | 7,576 | |||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation/(depreciation) in value of: futures contracts | $ | (36 | ) | $ | — | $ | 73 | $ | — | $ | 37 | |||||||||||||||
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 | — | — | 9 | — | 9 | |||||||||||||||||||||
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 written, at value | — | — | (1 | ) | — | (1 | ) | |||||||||||||||||||
Total Change in Appreciation/(Depreciation) | $ | (36 | ) | $ | 4 | $ | 82 | $ | — | $ | 50 | ||||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||
Options purchased | Change in net unrealized appreciation/(depreciation) in value of: investment securities of unaffiliated issuers | $ | — | $ | — | $ | 4 | $ | — | $ | 4 | ||||||||||||||||
Options written | Change in net unrealized appreciation/(depreciation) in value of: option contracts written, at value | — | — | 32 | — | 32 | |||||||||||||||||||||
Total Change in Appreciation/(Depreciation) | $ | — | $ | — | $ | 36 | $ | — | $ | 36 |
187
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Commodity Risk | Total | |||||||||||||||||||||
Long Short | |||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation/(depreciation) in value of: futures contracts | $ | (241 | ) | $ | — | $ | (51,441 | ) | $ | — | $ | (51,682 | ) | |||||||||||||
Swaps | Change in net unrealized appreciation/(depreciation) in value of: swap contracts | — | — | (17,892 | ) | — | (17,892 | ) | |||||||||||||||||||
Options purchased | Change in net unrealized appreciation/(depreciation) in value of: investment securities of unaffiliated issuers | — | — | 1,974 | — | 1,974 | |||||||||||||||||||||
Options written | Change in net unrealized appreciation/(depreciation) in value of: option contracts written, at value | — | — | 2,481 | — | 2,481 | |||||||||||||||||||||
Total Change in Appreciation/(Depreciation) | $ | (241 | ) | $ | — | $ | (64,878 | ) | $ | — | $ | (65,119 | ) | ||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation/(depreciation) in value of: futures contracts | $ | (108 | ) | $ | — | $ | 130 | $ | — | $ | 22 | |||||||||||||||
Forward contracts | Change in net unrealized appreciation/(depreciation) in value of: forward foreign currency contracts | — | 8 | — | — | 8 | |||||||||||||||||||||
Swaps | Change in net unrealized appreciation/(depreciation) in value of: swap contracts | — | — | 11 | — | 11 | |||||||||||||||||||||
Options purchased | Change in net unrealized appreciation/(depreciation) in value of: investment securities of unaffiliated issuers | — | — | — | — | — | |||||||||||||||||||||
Options written | Change in net unrealized appreciation/(depreciation) in value of: option contracts written, at value | — | — | 3 | — | 3 | |||||||||||||||||||||
Total Change in Appreciation/(Depreciation) | $ | (108 | ) | $ | 8 | $ | 144 | $ | — | $ | 44 |
188
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Commodity Risk | Total | |||||||||||||||||||||
Multi-Style Premia | |||||||||||||||||||||||||||
Futures | Change in net unrealized appreciation/(depreciation) in value of: futures contracts | $ | 53 | $ | (20 | ) | $ | 65 | $ | 136 | $ | 234 | |||||||||||||||
Forward contracts | Change in net unrealized appreciation/(depreciation) in value of: forward foreign currency contracts | — | 56 | — | — | 56 | |||||||||||||||||||||
Swaps | Change in net unrealized appreciation/(depreciation) in value of: swap contracts | — | — | 115 | — | 115 | |||||||||||||||||||||
Options written | Change in net unrealized appreciation/(depreciation) in value of: option contracts written, at value | 6 | — | (13 | ) | — | (7 | ) | |||||||||||||||||||
Total Change in Appreciation/(Depreciation) | $ | 59 | $ | 36 | $ | 167 | $ | 136 | 398 | ||||||||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||
Options written | Change in net unrealized appreciation/(depreciation) in value of: option contracts written, at value | $ | — | $ | — | $ | 2,044 | $ | — | $ | 2,044 | ||||||||||||||||
Total Change in Appreciation/(Depreciation) | $ | — | $ | — | $ | 2,044 | $ | — | $ | 2,044 |
While the Funds may receive redeemable preference shares, rights and warrants in connection with their investments in securities, these preference shares, rights and warrants are not considered "derivative instruments" under ASC 815.
The Funds are 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. Global Allocation, Long Short, Multi-Asset Income and Multi-Style Premia held investments in these securities at April 30, 2019. The Funds' derivative and security lending assets and liabilities at fair value by type are reported gross in the Statements of Assets and Liabilities. The following tables present derivative and security lending 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, 2019.
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 | $ | 195 | $ | — | $ | 195 | |||||||||
Over-the-counter swap contracts | 5 | — | 5 | ||||||||||||
Total | $ | 200 | $ | — | $ | 200 |
189
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 | ||||||||||||
Long Short | |||||||||||||||
Over-the-counter swap contracts | $ | 73 | $ | — | $ | 73 | |||||||||
Securities lending | 46,293 | — | 46,293 | ||||||||||||
Total | $ | 46,366 | $ | — | $ | 46,366 | |||||||||
Multi-Asset Income | |||||||||||||||
Forward contracts | $ | 220 | $ | — | $ | 220 | |||||||||
Over-the-counter swap contracts | 7 | — | 7 | ||||||||||||
Total | $ | 227 | $ | — | $ | 227 | |||||||||
Multi-Style Premia | |||||||||||||||
Forward contracts | $ | 124 | $ | — | $ | 124 | |||||||||
Over-the-counter swap contracts | 2,005 | — | 2,005 | ||||||||||||
Total | $ | 2,129 | $ | — | $ | 2,129 |
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 | |||||||||||||||||||
CITI | $ | 34 | $ | (30 | ) | $ | — | $ | 4 | ||||||||||
GSI | 47 | (36 | ) | — | 11 | ||||||||||||||
JPM | 19 | (11 | ) | — | 8 | ||||||||||||||
RBC | 21 | (18 | ) | — | 3 | ||||||||||||||
SCB | 16 | (12 | ) | — | 4 | ||||||||||||||
SG | 22 | (6 | ) | — | 16 | ||||||||||||||
SSB | 41 | (41 | ) | — | — | ||||||||||||||
Total | $ | 200 | $ | (154 | ) | $ | — | $ | 46 | ||||||||||
Long Short | |||||||||||||||||||
CITI | $ | 73 | $ | (73 | ) | $ | — | $ | — | ||||||||||
SSB | 46,293 | — | (46,293 | ) | — | ||||||||||||||
Total | $ | 46,366 | $ | (73 | ) | $ | (46,293 | ) | $ | — | |||||||||
Multi-Asset Income | |||||||||||||||||||
CITI | $ | 38 | $ | (38 | ) | $ | — | $ | — | ||||||||||
GSI | 55 | (38 | ) | — | 17 | ||||||||||||||
JPM | 27 | (12 | ) | — | 15 | ||||||||||||||
RBC | 25 | (19 | ) | — | 6 | ||||||||||||||
SCB | 18 | (14 | ) | — | 4 | ||||||||||||||
SG | 16 | (4 | ) | — | 12 | ||||||||||||||
SSB | 48 | (48 | ) | — | — | ||||||||||||||
Total | $ | 227 | $ | (173 | ) | $ | — | $ | 54 | ||||||||||
Multi-Style Premia | |||||||||||||||||||
MS | $ | 2,129 | $ | (1,261 | ) | $ | — | $ | 868 | ||||||||||
Total | $ | 2,129 | $ | (1,261 | ) | $ | — | $ | 868 |
190
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 | $ | (186 | ) | $ | — | $ | (186 | ) | |||||||
Total | $ | (186 | ) | $ | — | $ | (186 | ) | |||||||
Long Short | |||||||||||||||
Over-the-counter swap contracts | $ | (17,908 | ) | $ | — | $ | (17,908 | ) | |||||||
Total | $ | (17,908 | ) | $ | — | $ | (17,908 | ) | |||||||
Multi-Asset Income | |||||||||||||||
Forward contracts | $ | (207 | ) | $ | — | $ | (207 | ) | |||||||
Total | $ | (207 | ) | $ | — | $ | (207 | ) | |||||||
Multi-Style Premia | |||||||||||||||
Forward contracts | $ | (94 | ) | $ | — | $ | (94 | ) | |||||||
Over-the-counter swap contracts | (1,167 | ) | — | (1,167 | ) | ||||||||||
Total | $ | (1,261 | ) | $ | — | $ | (1,261 | ) |
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 | |||||||||||||||||||
CITI | $ | (30 | ) | $ | 30 | $ | — | $ | — | ||||||||||
GSI | (36 | ) | 36 | — | — | ||||||||||||||
JPM | (11 | ) | 11 | — | — | ||||||||||||||
RBC | (18 | ) | 18 | — | — | ||||||||||||||
SCB | (12 | ) | 12 | — | — | ||||||||||||||
SG | (6 | ) | 6 | — | — | ||||||||||||||
SSB | (73 | ) | 41 | — | (32 | ) | |||||||||||||
Total | $ | (186 | ) | $ | 154 | $ | — | $ | (32 | ) | |||||||||
Long Short | |||||||||||||||||||
CITI | $ | (5,542 | ) | $ | 73 | $ | 5,469 | $ | — | ||||||||||
JPM | (4,741 | ) | — | 4,741 | — | ||||||||||||||
GSI | (7,625 | ) | — | 7,380 | (245 | ) | |||||||||||||
Total | $ | (17,908 | ) | $ | 73 | $ | 17,590 | $ | (245 | ) | |||||||||
Multi-Asset Income | |||||||||||||||||||
CITI | $ | (38 | ) | $ | 38 | $ | — | $ | — | ||||||||||
GSI | (38 | ) | 38 | — | — | ||||||||||||||
JPM | (12 | ) | 12 | — | — | ||||||||||||||
RBC | (19 | ) | 19 | — | — | ||||||||||||||
SCB | (14 | ) | 14 | — | — | ||||||||||||||
SG | (4 | ) | 4 | — | — | ||||||||||||||
SSB | (82 | ) | 48 | — | (34 | ) | |||||||||||||
Total | $ | (207 | ) | $ | 173 | $ | — | $ | (34 | ) |
191
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) | |||||||||||||||
Multi-Style Premia | |||||||||||||||||||
MS | $ | (1,261 | ) | $ | 1,261 | $ | — | $ | — | ||||||||||
Total | $ | (1,261 | ) | $ | 1,261 | $ | — | $ | — |
(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, 2019, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized to each counterparty as of April 30, 2019.
15 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.
16 Transactions with other funds managed by Neuberger Berman Investment Advisers LLC: The Funds and Management have obtained an exemptive order from the Securities and Exchange Commission ("SEC") 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, subject to the terms and conditions of such order ("Exemptive Order"). Through April 30, 2019, Global Allocation invested in Commodity Strategy, 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, Neuberger Berman Long Short Credit Fund, Neuberger Berman Short Duration High Income Fund and U.S. Equity Index PutWrite Strategy (collectively the "Underlying Funds"). Through April 30, 2019, Multi-Asset Income invested in Neuberger Berman Emerging Markets Debt Fund, Neuberger Berman Floating Rate Income Fund, Neuberger Berman High Income Bond Fund and Neuberger Berman Long Short Credit Fund (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, 2019, 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, 2019, 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 caption "Dividend income-affiliated issuers" and "Realized gain distributions from affiliated issuers". For the six months ended April 30, 2019, 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:
Management Fees Waived | Distributions from Income and Capital Gains | ||||||||||
Global Allocation | $ | 24,974 | $ | 235,221 | |||||||
Multi-Asset Income | 10,744 | 111,300 |
17 Investment company securities and exchange-traded funds: The Funds may invest in shares of other registered investment companies, including ETFs, within the limitations prescribed by the 1940 Act, the Exemptive Order or the ETF's exemptive order. Some ETFs seek to track the performance of a particular market index. These indices
192
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 management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
18 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 Commodity Strategy and CS Subsidiary: | |||||||||||||||||||||||||||||||||||
0.50 | % | 0.475 | % | 0.45 | % | 0.425 | % | 0.40 | % | 0.375 | % | 0.375 | % | 0.35 | % | ||||||||||||||||||||
For Global Allocation: | |||||||||||||||||||||||||||||||||||
0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.525 | % | 0.525 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||
For Hedged Option Premium Strategy: | |||||||||||||||||||||||||||||||||||
0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | ||||||||||||||||||||
For Long Short: | |||||||||||||||||||||||||||||||||||
1.20 | % | 1.175 | % | 1.15 | % | 1.125 | % | 1.10 | % | 1.075 | % | 1.075 | % | 1.05 | % | ||||||||||||||||||||
For Multi-Asset Income: | |||||||||||||||||||||||||||||||||||
0.45 | % | 0.425 | % | 0.40 | % | 0.375 | % | 0.35 | % | 0.325 | % | 0.325 | % | 0.30 | % | ||||||||||||||||||||
For Multi-Style Premia and MSP Subsidiary: | |||||||||||||||||||||||||||||||||||
0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | ||||||||||||||||||||
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 NAV of the CS Subsidiary for Commodity Strategy and the MSP Subsidiary for Multi-Style Premia.
Accordingly, for the six months ended April 30, 2019, 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 | |||||||
Commodity Strategy | 0.50 | % | |||||
CS Subsidiary | 0.50 | % | |||||
Global Allocation | 0.25 | %(b) | |||||
Long Short | 1.11 | % | |||||
Multi-Asset Income | 0.45 | %(b) |
(a) Less the NAV of the CS Subsidiary for Commodity Strategy.
(b) After management fee waiver (Note A).
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Each Fund retains Management as its administrator under an Administration Agreement. The administration fee is assessed at the Class level and 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 Commodity Strategy, Global Allocation, Hedged Option Premium Strategy, Long Short, Multi-Style Premia and U.S. Equity Index PutWrite Strategy; 0.27% for each of Class A and Class C of each of Multi-Asset Income; 0.15% for Institutional Class; and 0.05% for Class R6 (0.08% prior to December 6, 2018), each as a percentage of its average daily net assets. 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 that offers those classes 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. The expenses of the CS Subsidiary and the MSP Subsidiary are included in the total expenses used to calculate the reimbursement, which Commodity Strategy and Multi-Style Premia have agreed to share with the CS Subsidiary and the MSP Subsidiary, respectively. For the six months ended April 30, 2019, the expenses of the CS Subsidiary and MSP Subsidiary amounted to $102,781 and $44,822, respectively.
At April 30, 2019, contingent liabilities to Management under the agreements were as follows:
Expenses Reimbursed in Year Ended October 31, | |||||||||||||||||||||||||||
2016 | 2017 | 2018 | 2019 | ||||||||||||||||||||||||
Subject to Repayment until October 31, | |||||||||||||||||||||||||||
Class | Contractual Expense Limitation(a) | Expiration | 2019 | 2020 | 2021 | 2022 | |||||||||||||||||||||
Commodity Strategy Institutional Class | 0.73 | %(b) | 10/31/22 | $ | 171,296 | $ | 211,468 | $ | 227,405 | $ | 125,620 | ||||||||||||||||
Commodity Strategy Class A | 1.09 | %(b) | 10/31/22 | 150,132 | 131,093 | 118,368 | 60,256 | ||||||||||||||||||||
Commodity Strategy Class C | 1.84 | %(b) | 10/31/22 | 7,166 | 545 | 159 | 79 | ||||||||||||||||||||
Global Allocation Institutional Class | 0.75 | %(c) | 10/31/22 | 249,350 | 346,296 | 329,169 | 152,813 | ||||||||||||||||||||
Global Allocation Class A | 1.11 | %(c) | 10/31/22 | 182,783 | 131,054 | 79,935 | 33,753 | ||||||||||||||||||||
Global Allocation Class C | 1.86 | %(c) | 10/31/22 | 149,577 | 110,994 | 63,702 | 27,586 | ||||||||||||||||||||
Global Allocation Class R6 | 0.65 | % | 10/31/22 | — | — | — | 218 | (d) | |||||||||||||||||||
Hedged Option Premium Strategy Institutional Class | 0.65 | % | 10/31/22 | — | 163,736 | (e) | 296,971 | 140,170 | |||||||||||||||||||
Hedged Option Premium Strategy Class A | 1.01 | % | 10/31/22 | — | 1,070 | (e) | 543 | 226 | |||||||||||||||||||
Hedged Option Premium Strategy Class C | 1.76 | % | 10/31/22 | — | 1,213 | (e) | 762 | 278 | |||||||||||||||||||
Hedged Option Premium Strategy Class R6 | 0.55 | %(f) | 10/31/22 | — | 80,469 | (e) | 42,194 | 14,714 | |||||||||||||||||||
Long Short Institutional Class | 1.70 | % | 10/31/22 | — | — | — | — | ||||||||||||||||||||
Long Short Class A | 2.06 | % | 10/31/22 | — | — | — | — | ||||||||||||||||||||
Long Short Class C | 2.81 | % | 10/31/22 | — | — | — | — |
194
Expenses Reimbursed in Year Ended October 31, | |||||||||||||||||||||||||||
2016 | 2017 | 2018 | 2019 | ||||||||||||||||||||||||
Subject to Repayment until October 31, | |||||||||||||||||||||||||||
Class | Contractual Expense Limitation(a) | Expiration | 2019 | 2020 | 2021 | 2022 | |||||||||||||||||||||
Multi-Asset Income Institutional Class | 0.65 | % | 10/31/22 | $ | 349,252 | $ | 372,208 | $ | 345,192 | $ | 152,812 | ||||||||||||||||
Multi-Asset Income Class A | 1.02 | % | 10/31/22 | 16,514 | 14,267 | 14,442 | 5,971 | ||||||||||||||||||||
Multi-Asset Income Class C | 1.77 | % | 10/31/22 | 15,614 | 16,358 | 13,693 | 6,355 | ||||||||||||||||||||
Multi-Asset Income Class R6 | 0.55 | %(f) | 10/31/22 | 119,681 | 94,517 | 77,052 | 35,416 | ||||||||||||||||||||
Multi-Style Premia Institutional Class | 0.95 | % | 10/31/22 | — | — | 372,173 | (g) | 251,042 | |||||||||||||||||||
Multi-Style Premia Class A | 1.31 | % | 10/31/22 | — | — | 667 | (g) | 1,142 | |||||||||||||||||||
Multi-Style Premia Class C | 2.06 | % | 10/31/22 | — | — | 666 | (g) | 377 | |||||||||||||||||||
Multi-Style Premia Class R6 | 0.85 | %(h) | 10/31/22 | — | — | 667 | (g) | 424 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy Institutional Class | 0.65 | % | 10/31/22 | 154,906 | (i) | 290,602 | 238,341 | 126,013 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy Class A | 1.01 | % | 10/31/22 | 2,299 | (i) | 6,844 | 8,937 | 12,541 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy Class C | 1.76 | % | 10/31/22 | 912 | (i) | 628 | 1,190 | 905 | |||||||||||||||||||
U.S. Equity Index PutWrite Strategy Class R6 | 0.55 | %(f) | 10/31/22 | 46,827 | (i) | 31,856 | 16,306 | 12,722 |
(a) Expense limitation per annum of the respective class' average daily net assets.
(b) 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.
(c) 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.
(d) Period from January 18, 2019 (Commencement of Operations) to April 30, 2019.
(e) Period from April 12, 2017 (Commencement of Operations) to October 31, 2017.
(f) Prior to December 6, 2018, the contractual expense limitation was 0.58% for Class R6.
(g) Period from May 18, 2018 (Commencement of Operations) to October 31, 2018.
(h) Prior to December 6, 2018, the contractual expense limitation was 0.88% for Class R6.
(i) Period from September 16, 2016 (Commencement of Operations) to October 31, 2016.
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.
During the six months ended April 30, 2019, there was no repayment to Management under these agreements.
195
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 Multi-Asset Income) are generally sold with an initial sales charge of up to 5.75%. Class A shares of 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.
For the six months ended April 30, 2019, 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 | ||||||||||||||||
Commodity Strategy Class A | $ | 627 | $ | — | $ | — | $ | — | |||||||||||
Commodity Strategy Class C | — | — | — | — | |||||||||||||||
Global Allocation Class A | — | — | — | — | |||||||||||||||
Global Allocation Class C | — | — | — | — | |||||||||||||||
Hedged Option Premium Strategy Class A | — | — | — | — | |||||||||||||||
Hedged Option Premium Strategy Class C | — | — | — | — | |||||||||||||||
Long Short Class A | 8,709 | — | — | — | |||||||||||||||
Long Short Class C | — | 3,831 | — | — | |||||||||||||||
Multi-Asset Income Class A | 10 | — | — | — | |||||||||||||||
Multi-Asset Income Class C | — | — | — | — | |||||||||||||||
Multi-Style Premia Class A | — | — | — | — | |||||||||||||||
Multi-Style Premia Class C | — | — | — | — | |||||||||||||||
U.S. Equity Index PutWrite Strategy Class A | 2,962 | — | — | — | |||||||||||||||
U.S. Equity Index PutWrite Strategy Class C | — | 1,666 | — | — |
196
Note C—Securities Transactions:
During the six months ended April 30, 2019, there were purchase and sale transactions of long-term securities (excluding swaps, futures, forward contracts 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 | |||||||||||||||||||||
Commodity Strategy | $ | — | $ | 56,230 | $ | — | $ | — | $ | 63,900 | $ | — | |||||||||||||||
Global Allocation | 8,665 | 2,547 | — | 8,903 | 6,325 | — | |||||||||||||||||||||
Hedged Option Premium Strategy | 6,861 | — | — | 2,297 | — | — | |||||||||||||||||||||
Long Short | — | 618,555 | 361,282 | — | 1,020,292 | 396,775 | |||||||||||||||||||||
Multi-Asset Income | 18,155 | 5,641 | — | 17,952 | 8,311 | — | |||||||||||||||||||||
Multi-Style Premia | — | 2,558 | — | — | 2,526 | — | |||||||||||||||||||||
U.S. Equity Index PutWrite Strategy | 66,107 | — | — | 41,980 | — | — |
During the six months ended April 30, 2019, 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, 2019 and for the year ended October 31, 2018 was as follows:
For the Six Months Ended April 30, 2019 | For the Year Ended October 31, 2018 | ||||||||||||||||||||||||||||||||||
(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 | |||||||||||||||||||||||||||
Commodity Strategy | |||||||||||||||||||||||||||||||||||
Institutional Class | 7,637 | 411 | (5,017 | ) | 3,031 | 5,173 | 516 | (2,559 | ) | 3,130 | |||||||||||||||||||||||||
Class A | 1,166 | 181 | (2,739 | ) | (1,392 | ) | 2,442 | 249 | (1,602 | ) | 1,089 | ||||||||||||||||||||||||
Class C | — | — | (2 | ) | (2 | ) | 1 | — | — | 1 | |||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||||||
Institutional Class | 220 | 63 | (501 | ) | (218 | ) | 357 | 59 | (320 | ) | 96 | ||||||||||||||||||||||||
Class A | 17 | 12 | (57 | ) | (28 | ) | 17 | 16 | (98 | ) | (65 | ) | |||||||||||||||||||||||
Class C | 7 | 8 | (41 | ) | (26 | ) | 2 | 11 | (69 | ) | (56 | ) | |||||||||||||||||||||||
Class R6(a) | 2 | — | — | 2 | — | — | — | — |
197
For the Six Months Ended April 30, 2019 | For the Year Ended October 31, 2018 | ||||||||||||||||||||||||||||||||||
(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 | |||||||||||||||||||||||||||
Hedged Option Premium Strategy | |||||||||||||||||||||||||||||||||||
Institutional Class | 433 | 5 | (210 | ) | 228 | 503 | 9 | (339 | ) | 173 | |||||||||||||||||||||||||
Class A | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Class C | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Class R6 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Long Short(b) | |||||||||||||||||||||||||||||||||||
Institutional Class | 38,055 | 4,099 | (62,899 | ) | (20,745 | ) | 72,843 | — | (77,887 | ) | (5,044 | ) | |||||||||||||||||||||||
Class A | 608 | 382 | (4,157 | ) | (3,167 | ) | 2,232 | — | (5,159 | ) | (2,927 | ) | |||||||||||||||||||||||
Class C | 142 | 233 | (805 | ) | (430 | ) | 431 | — | (1,555 | ) | (1,124 | ) | |||||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||||||
Institutional Class | 98 | 37 | (269 | ) | (134 | ) | 262 | 74 | (196 | ) | 140 | ||||||||||||||||||||||||
Class A | 6 | — | (17 | ) | (11 | ) | 23 | 1 | (8 | ) | 16 | ||||||||||||||||||||||||
Class C | 10 | — | (3 | ) | 7 | — | 1 | (5 | ) | (4 | ) | ||||||||||||||||||||||||
Class R6 | 10 | — | (10 | ) | — | — | — | — | — | ||||||||||||||||||||||||||
Multi-Style Premia | |||||||||||||||||||||||||||||||||||
Institutional Class | 5 | 36 | (34 | ) | 7 | 623 | — | — | 623 | (c) | |||||||||||||||||||||||||
Class A | 2 | — | — | 2 | 1 | — | — | 1 | (c) | ||||||||||||||||||||||||||
Class C | — | — | — | — | 1 | — | — | 1 | (c) | ||||||||||||||||||||||||||
Class R6 | — | — | — | — | 1 | — | — | 1 | (c) | ||||||||||||||||||||||||||
U.S. Equity Index PutWrite Strategy | |||||||||||||||||||||||||||||||||||
Institutional Class | 6,405 | 223 | (5,952 | ) | 676 | 21,985 | 1,007 | (15,980 | ) | 7,012 | |||||||||||||||||||||||||
Class A | 998 | 5 | (384 | ) | 619 | 1,683 | 27 | (336 | ) | 1,374 | |||||||||||||||||||||||||
Class C | 2 | — | (21 | ) | (19 | ) | 87 | 3 | (25 | ) | 65 | ||||||||||||||||||||||||
Class R6 | 1,092 | 22 | (563 | ) | 551 | 871 | 88 | (357 | ) | 602 |
(a) Period from January 18, 2019 (Commencement of Operations) to April 30, 2019.
(b) After the close of business on December 7, 2018, the Fund's Class A and Class C shares underwent a reverse stock split. The capital share activity presented here has been adjusted to reflect this split. See Note G of the Notes to Financial Statements.
(c) Period from May 18, 2018 (Commencement of Operations) to October 31, 2018.
Note E—Line of Credit:
At April 30, 2019, 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 that is a participant has agreed to pay its pro rata share
198
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 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 at April 30, 2019. During the period ended April 30, 2019, no Fund utilized the Credit Facility.
Note F—Investments in Affiliates(a):
Balance of Shares Held October 31, 2018 | Gross Purchases and Additions | Gross Sales and Reductions | Balance of Shares Held April 30, 2019 | Value April 30, 2019 | 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 | |||||||||||||||||||||||||||||||||||
Commodity Strategy Institutional Class | 211,186 | 5,475 | 96,343 | 120,318 | $ | 714,690 | $ | 30,826 | $ | (113,236 | ) | $ | 44,859 | ||||||||||||||||||||||
Neuberger Berman Emerging Market Debt Fund Institutional Class | 128,548 | 3,298 | 81,999 | 49,847 | 416,221 | 25,110 | (55,852 | ) | 102,667 | ||||||||||||||||||||||||||
Neuberger Berman Emerging Market Equity Fund Class R6(c) | 66,375 | 685 | 16,482 | 50,578 | 996,393 | 11,925 | 19,698 | 115,227 | |||||||||||||||||||||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 30,013 | 23,254 | 21,684 | 31,583 | 309,202 | 3,519 | (2,026 | ) | (113 | ) | |||||||||||||||||||||||||
Neuberger Berman Genesis Fund Class R6 | 11,702 | 1,462 | — | 13,164 | 769,432 | 70,739 | — | 15,742 | |||||||||||||||||||||||||||
Neuberger Berman High Income Bond Fund Class R6 | 117,176 | 3,025 | 49,487 | 70,714 | 602,487 | 23,208 | (21,509 | ) | 32,312 | ||||||||||||||||||||||||||
Neuberger Berman International Select Fund Class R6 | 239,312 | 4,717 | 50,320 | 193,709 | 2,458,166 | 51,513 | 8,551 | 194,906 | |||||||||||||||||||||||||||
Neuberger Berman Short Duration High Income Fund Institutional Class | 15,948 | 372 | — | 16,320 | 156,511 | 3,551 | — | 2,613 |
199
Balance of Shares Held October 31, 2018 | Gross Purchases and Additions | Gross Sales and Reductions | Balance of Shares Held April 30, 2019 | Value April 30, 2019 | 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 | ||||||||||||||||||||||||||||
US Equity Index PutWrite Strategy Class R6 | 124,493 | 1,433 | — | 125,926 | $ | 1,382,668 | $ | 14,830 | $ | — | $ | 40,747 | |||||||||||||||||||||||
Sub-total for affiliates held as of 4/30/19(d) | $ | 7,805,770 | $ | 235,221 | $ | (164,374 | ) | $ | 548,960 | ||||||||||||||||||||||||||
Neuberger Berman Long Short Credit Fund Class R6 | 43,992 | — | 43,992 | — | $ | — | $ | — | $ | (15,179 | ) | $ | 14,739 | ||||||||||||||||||||||
Sub-total for affiliates no longer held as of 4/30/19 | $ | — | $ | — | $ | (15,179 | ) | $ | 14,739 | ||||||||||||||||||||||||||
Total | $ | 7,805,770 | $ | 235,221 | $ | (179,553 | ) | $ | 563,699 | ||||||||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 183,733 | 73,561 | 185,109 | 72,185 | $ | 602,745 | $ | 43,888 | $ | (37,347 | ) | $ | 112,579 | ||||||||||||||||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 93,067 | 59,328 | 44,372 | 108,023 | 1,057,546 | 17,335 | (7,522 | ) | 3,044 | ||||||||||||||||||||||||||
Neuberger Berman High Income Bond Fund Class R6 | 229,178 | 6,322 | 64,215 | 171,285 | 1,459,351 | 50,077 | (20,027 | ) | 48,960 | ||||||||||||||||||||||||||
Sub-total for affiliates held as of 4/30/19(d) | $ | 3,119,642 | $ | 111,300 | $ | (64,896 | ) | $ | 164,583 | ||||||||||||||||||||||||||
Neuberger Berman Long Short Credit Fund Class R6 | 51,167 | — | 51,167 | — | $ | — | $ | — | $ | (18,031 | ) | $ | 17,518 | ||||||||||||||||||||||
Sub-total for affiliates no longer held as of 4/30/19 | $ | — | $ | — | $ | (18,031 | ) | $ | 17,518 | ||||||||||||||||||||||||||
Total | $ | 3,119,642 | $ | 111,300 | $ | (82,927 | ) | $ | 182,101 |
200
(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 7, 2018, the Neuberger Berman Emerging Markets Equity Fund Class R6 underwent a stock split at a ratio of 1: 1.0009. The balance of shares held as of October 31, 2018 presented here have been retroactively adjusted to reflect this split.
(d) At April 30, 2019, these securities amounted to approximately 47.87% and 13.98% of net assets of Global Allocation and Multi-Asset Income, respectively.
In addition, at April 30, 2019, there were affiliated investors owning 0.28%, 0.35%, 17.96%, 63.70%, 94.43% and 1.81% of Commodity Strategy, Global Allocation's, Hedged Option Premium Strategy's, Multi-Asset Income's, Multi-Style Premia's and U.S. Equity Index PutWrite Strategy's outstanding shares, respectively.
Note G—Stock Split:
In 2018, the Board approved a reverse stock split (the "Stock Split") of the issued and outstanding shares of certain classes of Long Short (the "Stock Split Fund"). The Stock Split occurred after the close of the business on December 7, 2018. The Stock Split was carried out in accordance with a stock split ratio calculated to result in NAVs that better aligned the share class prices of the Stock Split Fund.
Fund Class | Stock Split Ratio (Old to New) | ||||||
Long Short Class A | 1 | : 0.9792 | |||||
Long Short Class C | 1 | : 0.9328 |
Note H—Recent Accounting Pronouncements:
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.
In August 2018, FASB issued Accounting Standards Update No. 2018-13, "Fair Value Measurement (Topic 820: Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement" ("ASU 2018-13"). ASU 2018-13 eliminates the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the timing of transfers between levels of the fair value hierarchy and the valuation processes for Level 3 fair value measurements. ASU 2018-13 will require the disclosure of the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements and the changes in unrealized gains and losses for recurring Level 3 fair value measurements. ASU 2018-13 will also require that information is provided about the measurement uncertainty of Level 3 fair value measurements as of the reporting date. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019 and allows for early adoption of either the entire standard or only the provisions that eliminate or modify the requirements. Management has elected to adopt early the provisions that eliminate the disclosure requirements. Management is still currently evaluating the impact of applying the rest of the 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.
201
Financial Highlights
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)% 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 | ||||||||||||||||||||||||||||||||||
Commodity Strategy Fundb | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 6.19 | $ | 0.06 | $ | (0.16 | ) | $ | (0.10 | ) | $ | (0.15 | ) | $ | (0.00 | ) | $ | — | $ | (0.15 | ) | $ | — | $ | 5.94 | ||||||||||||||||||
10/31/2018 | $ | 6.36 | $ | 0.08 | $ | (0.01 | ) | $ | 0.07 | $ | (0.24 | ) | $ | — | $ | — | $ | (0.24 | ) | $ | — | $ | 6.19 | ||||||||||||||||||||
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 | ||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 6.07 | $ | 0.05 | $ | (0.16 | ) | $ | (0.11 | ) | $ | (0.13 | ) | $ | (0.00 | ) | $ | — | $ | (0.13 | ) | $ | — | $ | 5.83 | ||||||||||||||||||
10/31/2018 | $ | 6.24 | $ | 0.06 | $ | (0.01 | ) | $ | 0.05 | $ | (0.22 | ) | $ | — | $ | — | $ | (0.22 | ) | $ | — | $ | 6.07 | ||||||||||||||||||||
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 | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 5.83 | $ | 0.03 | $ | (0.15 | ) | $ | (0.12 | ) | $ | (0.08 | ) | $ | (0.00 | ) | $ | — | $ | (0.08 | ) | $ | — | $ | 5.63 | ||||||||||||||||||
10/31/2018 | $ | 5.95 | $ | 0.01 | $ | — | $ | 0.01 | $ | (0.13 | ) | $ | — | $ | — | $ | (0.13 | ) | $ | — | $ | 5.83 | |||||||||||||||||||||
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 |
See Notes to Financial Highlights
202
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) | |||||||||||||||||||||||||||||||
Commodity Strategy Fundb | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | (1.40 | )%* | $ | 114.2 | 1.00 | %** | 1.00 | %Ø** | 0.74 | %** | 0.74 | %Ø** | 2.04 | %** | 55 | %* | 55 | %Ø* | |||||||||||||||||||||
10/31/2018 | 1.19 | % | $ | 100.3 | 0.98 | % | 0.98 | %Ø | 0.74 | % | 0.74 | %Ø | 1.31 | % | 107 | % | 107 | %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 | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | (1.65 | )%* | $ | 37.9 | 1.39 | %** | 1.39 | %Ø** | 1.10 | %** | 1.10 | %Ø** | 1.67 | %** | 55 | %* | 55 | %Ø* | |||||||||||||||||||||
10/31/2018 | 0.81 | % | $ | 47.9 | 1.35 | % | 1.35 | %Ø | 1.10 | % | 1.10 | %Ø | 0.95 | % | 107 | % | 107 | %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 | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | (2.04 | )%* | $ | 0.0 | 2.47 | %** | 2.47 | %Ø** | 1.85 | %** | 1.85 | %Ø** | 0.92 | %** | 55 | %* | 55 | %Ø* | |||||||||||||||||||||
10/31/2018 | 0.15 | % | $ | 0.0 | 2.34 | % | 2.34 | %Ø | 1.85 | % | 1.85 | %Ø | 0.19 | % | 107 | % | 107 | %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 |
203
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 | ||||||||||||||||||||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 11.15 | $ | 0.14 | $ | 0.61 | $ | 0.75 | $ | (0.26 | ) | $ | (0.28 | ) | $ | — | $ | (0.54 | ) | $ | — | $ | 11.36 | ||||||||||||||||||||
10/31/2018 | $ | 12.14 | $ | 0.23 | $ | (0.58 | ) | $ | (0.35 | ) | $ | (0.22 | ) | $ | (0.42 | ) | $ | — | $ | (0.64 | ) | $ | — | $ | 11.15 | ||||||||||||||||||
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 | ||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 11.05 | $ | 0.12 | $ | 0.61 | $ | 0.73 | $ | (0.21 | ) | $ | (0.28 | ) | $ | — | $ | (0.49 | ) | $ | — | $ | 11.29 | ||||||||||||||||||||
10/31/2018 | $ | 12.04 | $ | 0.20 | $ | (0.59 | ) | $ | (0.39 | ) | $ | (0.18 | ) | $ | (0.42 | ) | $ | — | $ | (0.60 | ) | $ | — | $ | 11.05 | ||||||||||||||||||
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 | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 10.70 | $ | 0.08 | $ | 0.60 | $ | 0.68 | $ | (0.12 | ) | $ | (0.28 | ) | $ | — | $ | (0.40 | ) | $ | — | $ | 10.98 | ||||||||||||||||||||
10/31/2018 | $ | 11.66 | $ | 0.11 | $ | (0.58 | ) | $ | (0.47 | ) | $ | (0.07 | ) | $ | (0.42 | ) | $ | — | $ | (0.49 | ) | $ | — | $ | 10.70 | ||||||||||||||||||
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 |
See Notes to Financial Highlights
204
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 | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 7.38 | %d* | $ | 11.6 | 3.29 | %** | 3.29 | %** | 0.46 | %** | 0.46 | %** | 2.65 | %** | 22 | %c* | 22 | %cØ* | |||||||||||||||||||||
10/31/2018 | (3.14 | )%d | $ | 13.8 | 3.04 | % | 3.04 | % | 0.46 | % | 0.46 | % | 1.96 | % | 59 | %c | 59 | %cØ | |||||||||||||||||||||
10/31/2017 | 16.24 | % | $ | 13.9 | 3.59 | %e | 3.56 | % | 0.49 | %e | 0.46 | % | 1.63 | %e | 113 | %c | 101 | %c | |||||||||||||||||||||
10/31/2016 | 0.87 | % | $ | 10.1 | �� | 4.17 | % | 3.66 | % | 1.11 | % | 0.60 | % | 0.97 | % | 176 | %c | 174 | %c | ||||||||||||||||||||
10/31/2015 | (1.12 | )% | $ | 8.9 | 3.29 | % | 2.94 | % | 1.03 | % | 0.69 | % | 0.51 | % | 195 | %c | 185 | %c | |||||||||||||||||||||
10/31/2014 | 1.37 | %f | $ | 12.5 | 3.25 | % | 2.72 | % | 1.50 | % | 0.98 | % | (1.12 | )% | 228 | % | 216 | % | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 7.23 | %d* | $ | 2.6 | 3.69 | %** | 3.69 | %** | 0.82 | %** | 0.82 | %** | 2.27 | %** | 22 | %c* | 22 | %cØ* | |||||||||||||||||||||
10/31/2018 | (3.49 | )%d | $ | 2.8 | 3.46 | % | 3.46 | % | 0.82 | % | 0.82 | % | 1.70 | % | 59 | %c | 59 | %cØ | |||||||||||||||||||||
10/31/2017 | 15.77 | % | $ | 3.9 | 4.10 | %e | 4.05 | % | 0.89 | %e | 0.84 | % | 1.27 | %e | 113 | %c | 101 | %c | |||||||||||||||||||||
10/31/2016 | 0.59 | % | $ | 5.9 | 4.53 | % | 4.01 | % | 1.49 | % | 0.96 | % | 0.64 | % | 176 | %c | 174 | %c | |||||||||||||||||||||
10/31/2015 | (1.52 | )% | $ | 8.1 | 3.69 | % | 3.34 | % | 1.39 | % | 1.04 | % | 0.16 | % | 195 | %c | 185 | %c | |||||||||||||||||||||
10/31/2014 | 1.03 | %f | $ | 9.6 | 3.68 | % | 3.16 | % | 1.86 | % | 1.35 | % | (1.49 | )% | 228 | % | 216 | % | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 6.83 | %d* | $ | 2.1 | 4.42 | %** | 4.42 | %** | 1.57 | %** | 1.57 | %** | 1.50 | %** | 22 | %c* | 22 | %cØ* | |||||||||||||||||||||
10/31/2018 | (4.25 | )%d | $ | 2.3 | 4.18 | % | 4.18 | % | 1.57 | % | 1.57 | % | 0.92 | % | 59 | %c | 59 | %cØ | |||||||||||||||||||||
10/31/2017 | 14.99 | % | $ | 3.2 | 4.84 | %e | 4.79 | % | 1.63 | %e | 1.59 | % | 0.50 | %e | 113 | %c | 101 | %c | |||||||||||||||||||||
10/31/2016 | (0.19 | )% | $ | 4.7 | 5.26 | % | 4.74 | % | 2.24 | % | 1.71 | % | (0.10 | )% | 176 | %c | 174 | %c | |||||||||||||||||||||
10/31/2015 | (2.29 | )% | $ | 6.6 | 4.45 | % | 4.10 | % | 2.14 | % | 1.79 | % | (0.57 | )% | 195 | %c | 185 | %c | |||||||||||||||||||||
10/31/2014 | 0.30 | %f | $ | 7.0 | 4.46 | % | 3.95 | % | 2.63 | % | 2.11 | % | (2.27 | )% | 228 | % | 216 | % |
205
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 | ||||||||||||||||||||||||||||||||||
Global Allocation Fund (cont'd) | |||||||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||
Period from 1/18/2019^ to 4/30/2019 (Unaudited) | $ | 10.56 | $ | 0.06 | $ | 0.74 | $ | 0.80 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 11.36 | |||||||||||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 23.78 | $ | 0.17 | $ | (0.40 | ) | $ | (0.23 | ) | $ | (0.15 | ) | $ | — | $ | — | $ | (0.15 | ) | $ | — | $ | 23.40 | |||||||||||||||||||
10/31/2018 | $ | 25.41 | $ | 0.24 | $ | (1.43 | ) | $ | (1.19 | ) | $ | (0.22 | ) | $ | (0.22 | ) | $ | — | $ | (0.44 | ) | $ | — | $ | 23.78 | ||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 23.77 | $ | 0.12 | $ | (0.39 | ) | $ | (0.27 | ) | $ | (0.11 | ) | $ | — | $ | — | $ | (0.11 | ) | $ | — | $ | 23.39 | |||||||||||||||||||
10/31/2018 | $ | 25.41 | $ | 0.15 | $ | (1.44 | ) | $ | (1.29 | ) | $ | (0.13 | ) | $ | (0.22 | ) | $ | — | $ | (0.35 | ) | $ | — | $ | 23.77 | ||||||||||||||||||
Period from 4/12/2017^ to 10/31/2017 | $ | 25.00 | $ | 0.03 | $ | 0.41 | $ | 0.44 | $ | (0.03 | ) | $ | — | $ | — | $ | (0.03 | ) | $ | — | $ | 25.41 |
See Notes to Financial Highlights
206
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 (cont'd) | |||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||
Period from 1/18/2019^ to 4/30/2019 (Unaudited) | 7.58 | %* | $ | 0.0 | 3.64 | %** | 3.64 | %** | 0.37 | %** | 0.37 | %** | 1.94 | %** | 22 | %c* | 22 | %^^cØ* | |||||||||||||||||||||
Hedged Option Premium Strategy Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | (0.97 | )%* | $ | 17.3 | 2.25 | %** | 2.25 | %Ø** | 0.65 | %** | 0.65 | %Ø** | 1.42 | %** | 12 | %* | 12 | %Ø* | |||||||||||||||||||||
10/31/2018 | (4.74 | )% | $ | 12.1 | 2.83 | % | 2.83 | %Ø | 0.66 | % | 0.66 | %Ø | 0.99 | % | 13 | % | 13 | %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 | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | (1.14 | )%* | $ | 0.0 | 2.71 | %** | 2.71 | %Ø** | 1.01 | %** | 1.01 | %Ø** | 1.05 | %** | 12 | %* | 12 | %Ø* | |||||||||||||||||||||
10/31/2018 | (5.12 | )% | $ | 0.0 | 3.23 | % | 3.23 | %Ø | 1.01 | % | 1.01 | %Ø | 0.61 | % | 13 | % | 13 | %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* |
207
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 (cont'd) | |||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 23.63 | $ | 0.03 | $ | (0.39 | ) | $ | (0.36 | ) | $ | (0.02 | ) | $ | — | $ | — | $ | (0.02 | ) | $ | — | $ | 23.25 | |||||||||||||||||||
10/31/2018 | $ | 25.33 | $ | (0.03 | ) | $ | (1.44 | ) | $ | (1.47 | ) | $ | (0.01 | ) | $ | (0.22 | ) | $ | — | $ | (0.23 | ) | $ | — | $ | 23.63 | |||||||||||||||||
Period from 4/12/2017^ to 10/31/2017 | $ | 25.00 | $ | (0.07 | ) | $ | 0.40 | $ | 0.33 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 25.33 | ||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 23.77 | $ | 0.17 | $ | (0.38 | ) | $ | (0.21 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | (0.16 | ) | $ | — | $ | 23.40 | |||||||||||||||||||
10/31/2018 | $ | 25.41 | $ | 0.25 | $ | (1.43 | ) | $ | (1.18 | ) | $ | (0.24 | ) | $ | (0.22 | ) | $ | — | $ | (0.46 | ) | $ | — | $ | 23.77 | ||||||||||||||||||
Period from 4/12/2017^ to 10/31/2017 | $ | 25.00 | $ | 0.09 | $ | 0.40 | $ | 0.49 | $ | (0.08 | ) | $ | — | $ | — | $ | (0.08 | ) | $ | — | $ | 25.41 | |||||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | $ | 14.54 | $ | 0.04 | $ | 0.46 | $ | 0.50 | $ | — | $ | (0.76 | ) | $ | — | $ | (0.76 | ) | $ | — | $ | 14.28 | |||||||||||||||||||||
10/31/2018 | $ | 14.21 | $ | 0.03 | $ | 0.30 | $ | 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 |
See Notes to Financial Highlights
208
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 (cont'd) | |||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | (1.50 | )%* | $ | 0.0 | 3.48 | %** | 3.48 | %Ø** | 1.76 | %** | 1.76 | %Ø** | 0.29 | %** | 12 | %* | 12 | %Ø* | |||||||||||||||||||||
10/31/2018 | (5.84 | )% | $ | 0.0 | 4.00 | % | 4.00 | %Ø | 1.76 | % | 1.76 | %Ø | (0.14 | )% | 13 | % | 13 | %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 | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | (0.89 | )%* | $ | 1.8 | 2.18 | %** | 2.18 | %Ø** | 0.56 | %** | 0.56 | %Ø** | 1.49 | %** | 12 | %* | 12 | %Ø* | |||||||||||||||||||||
10/31/2018 | (4.71 | )% | $ | 1.9 | 2.79 | % | 2.79 | %Ø | 0.59 | % | 0.59 | %Ø | 1.04 | % | 13 | % | 13 | %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* | |||||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2019 | |||||||||||||||||||||||||||||||||||||||
(Unaudited) | 4.14 | %d* | $ | 2,499.9 | 1.57 | %** | 1.33 | %** | 1.57 | %** | 1.33 | %** | 0.54 | %** | 36 | %* | 26 | %* | |||||||||||||||||||||
10/31/2018 | 2.32 | %d | $ | 2,847.3 | 1.60 | % | 1.31 | % | 1.60 | % | 1.31 | % | 0.23 | % | 83 | % | 69 | % | |||||||||||||||||||||
10/31/2017 | 11.54 | %fg | $ | 2,853.0 | 1.80 | % | 1.33 | % | 1.80 | %h | 1.32 | %h | 0.12 | %h | 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 | %f | $ | 2,627.8 | 1.72 | % | 1.48 | % | 1.72 | % | 1.48 | % | 0.17 | % | 61 | % | 44 | % |
209
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 (cont'd) | |||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019i (Unaudited) | $ | 14.54 | $ | 0.01 | $ | 0.46 | $ | 0.47 | $ | — | $ | (0.76 | ) | $ | — | $ | (0.76 | ) | $ | — | $ | 14.25 | |||||||||||||||||||||
10/31/2018i | $ | 14.26 | $ | (0.02 | ) | $ | 0.30 | $ | 0.28 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 14.54 | ||||||||||||||||||||||
10/31/2017i | $ | 12.83 | $ | (0.02 | ) | $ | 1.45 | $ | 1.43 | $ | — | $ | — | $ | — | $ | — | $ | 0.00 | $ | 14.26 | ||||||||||||||||||||||
10/31/2016i | $ | 12.89 | $ | (0.07 | ) | $ | 0.01 | $ | (0.06 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 12.83 | |||||||||||||||||||||
10/31/2015i | $ | 13.18 | $ | (0.03 | ) | $ | (0.21 | ) | $ | (0.24 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | 12.89 | ||||||||||||||||||
10/31/2014i | $ | 12.67 | $ | (0.03 | ) | $ | 0.59 | $ | 0.56 | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 0.00 | $ | 13.18 | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019i (Unaudited) | $ | 14.53 | $ | (0.04 | ) | $ | 0.45 | $ | 0.41 | $ | — | $ | (0.76 | ) | $ | — | $ | (0.76 | ) | $ | — | $ | 14.18 | ||||||||||||||||||||
10/31/2018i | $ | 14.34 | $ | (0.13 | ) | $ | 0.32 | $ | 0.19 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 14.53 | ||||||||||||||||||||||
10/31/2017i | $ | 13.00 | $ | (0.13 | ) | $ | 1.47 | $ | 1.34 | $ | — | $ | — | $ | — | $ | — | $ | 0.00 | $ | 14.34 | ||||||||||||||||||||||
10/31/2016i | $ | 13.18 | $ | (0.18 | ) | $ | 0.00 | $ | (0.18 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 13.00 | |||||||||||||||||||||
10/31/2015i | $ | 13.57 | $ | (0.13 | ) | $ | (0.21 | ) | $ | (0.34 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | 13.18 | ||||||||||||||||||
10/31/2014i | $ | 13.14 | $ | (0.13 | ) | $ | 0.61 | $ | 0.48 | $ | — | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 0.00 | $ | 13.57 | ||||||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 9.58 | $ | 0.18 | $ | 0.36 | $ | 0.54 | $ | (0.20 | ) | $ | — | $ | — | $ | (0.20 | ) | $ | — | $ | 9.92 | |||||||||||||||||||||
10/31/2018 | $ | 10.18 | $ | 0.33 | $ | (0.51 | ) | $ | (0.18 | ) | $ | (0.35 | ) | $ | — | $ | (0.07 | ) | $ | (0.42 | ) | $ | — | $ | 9.58 | ||||||||||||||||||
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 |
See Notes to Financial Highlights
210
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 (cont'd) | |||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2019i (Unaudited) | 3.91 | %d* | $ | 58.7 | 1.95 | %** | 1.68 | %** | 1.95 | %** | 1.68 | %** | 0.13 | %** | 36 | %* | 26 | %* | |||||||||||||||||||||
10/31/2018i | 2.01 | %d | $ | 105.9 | 1.96 | % | 1.67 | % | 1.96 | % | 1.67 | % | (0.13 | )% | 83 | % | 69 | % | |||||||||||||||||||||
10/31/2017i | 11.15 | %fg | $ | 145.6 | 2.16 | % | 1.68 | % | 2.16 | %h | 1.68 | %h | (0.18 | )%h | 80 | % | 64 | % | |||||||||||||||||||||
10/31/2016i | (0.48 | )% | $ | 206.4 | 2.28 | % | 1.69 | % | 2.28 | % | 1.69 | % | (0.59 | )% | 86 | % | 72 | % | |||||||||||||||||||||
10/31/2015i | (1.89 | )% | $ | 361.7 | 2.03 | % | 1.68 | % | 2.03 | % | 1.68 | % | (0.20 | )% | 91 | % | 69 | % | |||||||||||||||||||||
10/31/2014i | 4.47 | %f | $ | 388.6 | 2.09 | % | 1.85 | % | 2.09 | % | 1.85 | % | (0.20 | )% | 61 | % | 44 | % | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2019i (Unaudited) | 3.53 | %d* | $ | 69.6 | 2.68 | %** | 2.44 | %** | 2.68 | %** | 2.44 | %** | (0.58 | )%** | 36 | %* | 26 | %* | |||||||||||||||||||||
10/31/2018i | 1.27 | %d | $ | 77.6 | 2.71 | % | 2.42 | % | 2.71 | % | 2.42 | % | (0.88 | )% | 83 | % | 69 | % | |||||||||||||||||||||
10/31/2017i | 10.31 | %fg | $ | 92.7 | 2.90 | % | 2.43 | % | 2.90 | %h | 2.43 | %h | (0.94 | )%h | 80 | % | 64 | % | |||||||||||||||||||||
10/31/2016i | (1.30 | )% | $ | 117.3 | 3.02 | % | 2.44 | % | 3.02 | % | 2.44 | % | (1.33 | )% | 86 | % | 72 | % | |||||||||||||||||||||
10/31/2015i | (2.56 | )% | $ | 190.6 | 2.77 | % | 2.42 | % | 2.77 | % | 2.42 | % | (0.94 | )% | 91 | % | 69 | % | |||||||||||||||||||||
10/31/2014i | 3.71 | %f | $ | 211.0 | 2.84 | % | 2.60 | % | 2.84 | % | 2.60 | % | (0.94 | )% | 61 | % | 44 | % | |||||||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 5.77 | %d* | $ | 17.0 | 2.53 | %** | 2.53 | %Ø** | 0.59 | %** | 0.59 | %Ø** | 3.77 | %** | 36 | %* | 36 | %cØ* | |||||||||||||||||||||
10/31/2018 | (1.92 | )% | $ | 17.7 | 2.56 | % | 2.56 | %Ø | 0.55 | % | 0.55 | %Ø | 3.29 | % | 74 | % | 74 | %cØ | |||||||||||||||||||||
10/31/2017 | 9.93 | % | $ | 17.3 | 3.03 | % | 3.03 | %Ø | 0.50 | % | 0.50 | %Ø | 3.28 | % | 84 | % | 84 | %cØ | |||||||||||||||||||||
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* |
211
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 A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 9.58 | $ | 0.16 | $ | 0.37 | $ | 0.53 | $ | (0.19 | ) | $ | — | $ | — | $ | (0.19 | ) | $ | — | $ | 9.92 | |||||||||||||||||||||
10/31/2018 | $ | 10.18 | $ | 0.29 | $ | (0.51 | ) | $ | (0.22 | ) | $ | (0.31 | ) | $ | — | $ | (0.07 | ) | $ | (0.38 | ) | $ | — | $ | 9.58 | ||||||||||||||||||
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 | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 9.58 | $ | 0.13 | $ | 0.35 | $ | 0.48 | $ | (0.15 | ) | $ | — | $ | — | $ | (0.15 | ) | $ | — | $ | 9.91 | |||||||||||||||||||||
10/31/2018 | $ | 10.18 | $ | 0.22 | $ | (0.52 | ) | $ | (0.30 | ) | $ | (0.23 | ) | $ | — | $ | (0.07 | ) | $ | (0.30 | ) | $ | — | $ | 9.58 | ||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 9.58 | $ | 0.18 | $ | 0.37 | $ | 0.55 | $ | (0.21 | ) | $ | — | $ | — | $ | (0.21 | ) | $ | — | $ | 9.92 | |||||||||||||||||||||
10/31/2018 | $ | 10.18 | $ | 0.34 | $ | (0.52 | ) | $ | (0.18 | ) | $ | (0.35 | ) | $ | — | $ | (0.07 | ) | $ | (0.42 | ) | $ | — | $ | 9.58 | ||||||||||||||||||
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 |
See Notes to Financial Highlights
212
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 A | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 5.58 | %d* | $ | 0.6 | 2.98 | %** | 2.98 | %Ø** | 0.96 | %** | 0.96 | %Ø** | 3.41 | %** | 36 | %* | 36 | %cØ* | |||||||||||||||||||||
10/31/2018 | (2.28 | )% | $ | 0.7 | 2.97 | % | 2.97 | %Ø | 0.92 | % | 0.92 | %Ø | 2.94 | % | 74 | % | 74 | %cØ | |||||||||||||||||||||
10/31/2017 | 9.53 | % | $ | 0.6 | 3.47 | % | 3.47 | %Ø | 0.86 | % | 0.86 | %Ø | 2.90 | % | 84 | % | 84 | %cØ | |||||||||||||||||||||
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* | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 5.09 | %d* | $ | 0.7 | 3.65 | %** | 3.65 | %Ø** | 1.71 | %** | 1.71 | %Ø** | 2.66 | %** | 36 | %* | 36 | %cØ* | |||||||||||||||||||||
10/31/2018 | (3.02 | )% | $ | 0.6 | 3.69 | % | 3.69 | %Ø | 1.67 | % | 1.67 | %Ø | 2.17 | % | 74 | % | 74 | %cØ | |||||||||||||||||||||
10/31/2017 | 8.71 | % | $ | 0.7 | 4.16 | % | 4.16 | %Ø | 1.62 | % | 1.62 | %Ø | 2.15 | % | 84 | % | 84 | %cØ | |||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 5.82 | %d* | $ | 4.0 | 2.44 | %** | 2.44 | %Ø** | 0.49 | %** | 0.49 | %Ø** | 3.86 | %** | 36 | %* | 36 | %cØ* | |||||||||||||||||||||
10/31/2018 | (1.86 | )% | $ | 3.9 | 2.49 | % | 2.49 | %Ø | 0.48 | % | 0.48 | %Ø | 3.36 | % | 74 | % | 74 | %cØ | |||||||||||||||||||||
10/31/2017 | 10.01 | % | $ | 4.1 | 2.97 | % | 2.97 | %Ø | 0.42 | % | 0.42 | %Ø | 3.34 | % | 84 | % | 84 | %cØ | |||||||||||||||||||||
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* |
213
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-Style Premia Fundb | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 24.71 | $ | 0.11 | $ | (0.14 | ) | $ | (0.03 | ) | $ | (1.30 | ) | $ | — | $ | — | $ | (1.30 | ) | $ | — | $ | 23.38 | |||||||||||||||||||
Period from 5/18/2018^ to 10/31/2018 | $ | 25.00 | $ | 0.10 | $ | (0.39 | ) | $ | (0.29 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 24.71 | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 24.67 | $ | 0.07 | $ | (0.13 | ) | $ | (0.06 | ) | $ | (1.30 | ) | $ | — | $ | — | $ | (1.30 | ) | $ | — | $ | 23.31 | |||||||||||||||||||
Period from 5/18/2018^ to 10/31/2018 | $ | 25.00 | $ | 0.06 | $ | (0.39 | ) | $ | (0.33 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 24.67 | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 24.59 | $ | (0.02 | ) | $ | (0.13 | ) | $ | (0.15 | ) | $ | (1.17 | ) | $ | — | $ | — | $ | (1.17 | ) | $ | — | $ | 23.27 | ||||||||||||||||||
Period from 5/18/2018^ to 10/31/2018 | $ | 25.00 | $ | (0.02 | ) | $ | (0.39 | ) | $ | (0.41 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 24.59 | ||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 24.72 | $ | 0.12 | $ | (0.14 | ) | $ | (0.02 | ) | $ | (1.32 | ) | $ | — | $ | — | $ | (1.32 | ) | $ | — | $ | 23.38 | |||||||||||||||||||
Period from 5/18/2018^ to 10/31/2018 | $ | 25.00 | $ | 0.11 | $ | (0.39 | ) | $ | (0.28 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 24.72 |
See Notes to Financial Highlights
214
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-Style Premia Fundb | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 0.05 | %* | $ | 14.7 | 4.41 | %** | 4.41 | %** | 0.98 | %** | 0.98 | %** | 0.97 | %** | 48 | %* | 48 | %Ø* | |||||||||||||||||||||
Period from 5/18/2018^ to 10/31/2018 | (1.16 | )%* | $ | 15.4 | 5.05 | %‡** | 5.05 | %؇** | 0.95 | %‡** | 0.95 | %؇** | 0.87 | %‡** | 31 | %* | 31 | %Ø* | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | (0.09 | )%* | $ | 0.1 | 4.85 | %** | 4.85 | %** | 1.33 | %** | 1.33 | %** | 0.65 | %** | 48 | %* | 48 | %Ø* | |||||||||||||||||||||
Period from 5/18/2018^ to 10/31/2018 | (1.32 | )%* | $ | 0.0 | 5.87 | %‡** | 5.87 | %؇** | 1.31 | %‡** | 1.31 | %؇** | 0.57 | %‡** | 31 | %* | 31 | %Ø* | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | (0.49 | )%* | $ | 0.0 | 5.33 | %** | 5.33 | %** | 2.08 | %** | 2.08 | %** | (0.14 | )%** | 48 | %* | 48 | %Ø* | |||||||||||||||||||||
Period from 5/18/2018^ to 10/31/2018 | (1.64 | )%* | $ | 0.0 | 6.62 | %‡** | 6.62 | %؇** | 2.06 | %‡** | 2.06 | %؇** | (0.18 | )%‡** | 31 | %* | 31 | %Ø* | |||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 0.09 | %* | $ | 0.0 | 4.52 | %** | 4.52 | %** | 0.88 | %** | 0.88 | %** | 1.06 | %** | 48 | %* | 48 | %Ø* | |||||||||||||||||||||
Period from 5/18/2018^ to 10/31/2018 | (1.12 | )%* | $ | 0.0 | 5.44 | %‡** | 5.44 | %؇** | 0.88 | %‡** | 0.88 | %؇** | 1.00 | %‡** | 31 | %* | 31 | %Ø* |
215
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 | |||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 10.65 | $ | 0.09 | $ | 0.35 | $ | 0.44 | $ | (0.11 | ) | $ | — | $ | — | $ | (0.11 | ) | $ | — | $ | 10.98 | |||||||||||||||||||||
10/31/2018 | $ | 11.33 | $ | 0.12 | $ | (0.13 | ) | $ | (0.01 | ) | $ | (0.08 | ) | $ | (0.59 | ) | $ | — | $ | (0.67 | ) | $ | — | $ | 10.65 | ||||||||||||||||||
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 | |||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 10.64 | $ | 0.07 | $ | 0.35 | $ | 0.42 | $ | (0.10 | ) | $ | — | $ | — | $ | (0.10 | ) | $ | — | $ | 10.96 | |||||||||||||||||||||
10/31/2018 | $ | 11.33 | $ | 0.11 | $ | (0.16 | ) | $ | (0.05 | ) | $ | (0.05 | ) | $ | (0.59 | ) | $ | — | $ | (0.64 | ) | $ | — | $ | 10.64 | ||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 10.51 | $ | 0.03 | $ | 0.35 | $ | 0.38 | $ | (0.05 | ) | $ | — | $ | — | $ | (0.05 | ) | $ | — | $ | 10.84 | |||||||||||||||||||||
10/31/2018 | $ | 11.24 | $ | (0.00 | ) | $ | (0.13 | ) | $ | (0.13 | ) | $ | (0.01 | ) | $ | (0.59 | ) | $ | — | $ | (0.60 | ) | $ | — | $ | 10.51 | |||||||||||||||||
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 |
See Notes to Financial Highlights
216
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 | |||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 4.24 | %* | $ | 231.6 | 0.77 | %** | 0.77 | %Ø** | 0.66 | %** | 0.66 | %Ø** | 1.64 | %** | 16 | %* | 16 | %Ø* | |||||||||||||||||||||
10/31/2018 | (0.16 | )% | $ | 217.6 | 0.74 | % | 0.74 | %Ø | 0.65 | % | 0.65 | %Ø | 1.09 | % | 56 | % | 56 | %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 | %؇** | 0.65 | %‡** | 0.65 | %؇** | 0.26 | %‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 3.97 | %* | $ | 25.8 | 1.13 | %** | 1.13 | %Ø** | 1.02 | %** | 1.02 | %Ø** | 1.29 | %** | 16 | %* | 16 | %Ø* | |||||||||||||||||||||
10/31/2018 | (0.55 | )% | $ | 18.4 | 1.11 | % | 1.11 | %Ø | 1.01 | % | 1.01 | %Ø | 0.97 | % | 56 | % | 56 | %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 | %؇** | 1.01 | %‡** | 1.01 | %؇** | (0.05 | )%‡** | 0 | %* | 0 | %Ø* | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 3.68 | %* | $ | 1.0 | 1.93 | %** | 1.93 | %Ø** | 1.77 | %** | 1.77 | %Ø** | 0.53 | %** | 16 | %* | 16 | %Ø* | |||||||||||||||||||||
10/31/2018 | (1.30 | )% | $ | 1.2 | 1.89 | % | 1.89 | %Ø | 1.76 | % | 1.76 | %Ø | (0.04 | )% | 56 | % | 56 | %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 | %؇** | 1.76 | %‡** | 1.76 | %؇** | (0.86 | )%‡** | 0 | %* | 0 | %Ø* |
217
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 R6 | |||||||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | $ | 10.66 | $ | 0.09 | $ | 0.35 | $ | 0.44 | $ | (0.12 | ) | $ | — | $ | — | $ | (0.12 | ) | $ | — | $ | 10.98 | |||||||||||||||||||||
10/31/2018 | $ | 11.34 | $ | 0.12 | $ | (0.12 | ) | $ | 0.00 | $ | (0.09 | ) | $ | (0.59 | ) | $ | — | $ | (0.68 | ) | $ | — | $ | 10.66 | |||||||||||||||||||
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
218
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 R6 | |||||||||||||||||||||||||||||||||||||||
4/30/2019 (Unaudited) | 4.19 | %* | $ | 24.5 | 0.67 | %** | 0.67 | %Ø**‡ | 0.56 | %** | 0.56 | %Ø** | 1.74 | %** | 16 | %* | 16 | %Ø* | |||||||||||||||||||||
10/31/2018 | (0.09 | )% | $ | 17.9 | 0.68 | % | 0.68 | %؇ | 0.58 | % | 0.58 | %Ø | 1.12 | % | 56 | % | 56 | %Ø | |||||||||||||||||||||
10/31/2017 | 13.08 | % | $ | 12.2 | 0.93 | % | 0.93 | %؇ | 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 | %؇** | 0.58 | %‡** | 0.58 | %؇** | 0.26 | %‡** | 0 | %* | 0 | %Ø* |
219
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 Long Short had not received refunds, plus interest, from State Street for custodian out-of-pocket expenses previously paid ("Custodian Out-of Pocket Expenses Refunded") during the year ended October 31, 2017.
** 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 Commodity Strategy, Hedged Option Premium Strategy, Multi-Asset Income, Multi-Style Premia and U.S. Equity Index PutWrite Strategy did not engage in short sales. For the six months ended April 30, 2019 and for the year ended October 31, 2018, Global Allocation did not engage in short sales.
^^ Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the six months ended April 30, 2019 for Global Allocation.
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 Consolidated financial highlights, see Note A in the Notes to Financial Statements.
c The portfolio turnover rate including mortgage dollar roll transactions was 64% and 129% for the six months ended April 30, 2019 and for the year ended October 31, 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 104%, 192% and 165% for the six months ended April 30, 2019 and for the years ended October 31, 2018 and 2017, respectively, for Multi-Asset Income.
d The class action proceeds listed in Note A of the Notes to Financial Statements, if any, had no impact on the Funds' total returns for the six months ended April 30, 2019. The class action proceeds received in 2018 had no impact on the Funds' total returns for the year ended October 31, 2018.
e 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.
f The voluntary contributions received in 2017 for Long Short and 2014 for Global Allocation and Long Short had no impact on the Funds' total returns for the years ended October 31, 2017 and October 31, 2014, respectively.
g The Custodian Out-of-Pocket Expenses Refunded had no impact on Long Short's total returns for the year ended October 31, 2017.
220
Notes to Financial Highlights (Unaudited) (cont'd)
h The Custodian Out-of-Pocket Expenses Refunded 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 | )% |
i After the close of business on December 7, 2018, Long Short's Class A and Class C shares underwent a stock split. The per share data presented here has been retroactively adjusted to reflect this split. See Note G of the Notes to Financial Statements.
221
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.
430 West 7th Street, Suite 219189
Kansas City, MO 64105-1407
For Institutional Class Shareholders
address correspondence to:
Neuberger Berman Funds
PO Box 219189
Kansas City, MO 64121-9189
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
Two Liberty Place
50 South 16th Street, Suite 2900
Philadelphia, PA 19102
222
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 SEC'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 SEC's website at www.sec.gov, and on Neuberger Berman's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for each Fund with the SEC for the first and third quarters of each fiscal year as an exhibit to its report on Form N-PORT (Form N-Q for filings prior to March 31, 2019). The Trust's Forms N-Q and N-PORT are available on the SEC's website at www.sec.gov. The portfolio holdings information on Form N-Q or Form N-PORT is available upon request, without charge, by calling 800-877-9700 (toll-free).
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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 06/19
(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 Municipal Fund Inc.’s Form N-CSR, Investment Company Act file number 811-21168 (filed January 7, 2019). |
(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 |