united states
securities and exchange commission
washington, d.c. 20549
form n-csr
certified shareholder report of registered management
investment companies
Investment Company Act file number 811-21872
Mutual Fund Series Trust
(Exact name of registrant as specified in charter)
4020 South 147th Street, Suite 2 Omaha Nebraska 68130
(Address of principal executive offices) (Zip code)
Jennifer Bailey , Gemini Fund Services, LLC.
4221 North 203rd Street, Suite 100 Elkhorn, Nebrask 68022-3474
(Name and address of agent for service)
Registrant's telephone number, including area code: 866-447-4228
Date of fiscal year end: 3/31
Date of reporting period: 3/31/21
ITEM 1. REPORTS TO SHAREHOLDERS.
Annual Report
AlphaCentric Income Opportunities Fund
Class A: IOFAX Class C: IOFCX Class I: IOFIX
AlphaCentric Premium Opportunity Fund
Class A: HMXAX Class C: HMXCX Class I: HMXIX
AlphaCentric Robotics and Automation Fund
Class A: GNXAX Class C: GNXCX Class I: GNXIX
AlphaCentric Symmetry Strategy Fund
Class A: SYMAX Class C: SYMCX Class I: SYMIX
AlphaCentric LifeSci Healthcare Fund
Class A: LYFAX Class C: LYFCX Class I: LYFIX
AlphaCentric Municipal Opportunities Fund
Class A: MUNAX Class C: MUNCX Class I: MUNIX
March 31, 2021
AlphaCentric Advisors LLC
53 Palmeras Street, Suite 601
San Juan, PR 00901
1-844-223-8637
March 31, 2021
Dear AlphaCentric Income Opportunities Fund (the “Fund”) Investor:
A year ago, we started this letter by wishing you safety and health due to COVID-19. What a year it has been – and of course, we still hope this finds you safe and well.
Despite the very rough environment leading into the year ended March 31, 2020, the Fund performed very well and over the year ended March 31, 2021 produced a 47.76% return (for Class I shares), versus 0.71% for the Bloomberg Barclays U.S. Aggregate Bond Index.
Like last year, we maintain our belief that the Fund’s positions continue to offer good potential for future returns. The strength of housing last year, fueled by new work-from-home arrangements, flight from cities, and historically low interest rates, came as a surprise to many. This led to great underlying collateral performance for most of the Fund’s positions, and while upward rates could lead to a lower rate of increase in the housing market this year, we anticipate continued market improvement for the Fund’s holdings. This is even more fortunate given that we were able to add positions during the dislocation in the earlier part of the last fiscal year and into the summer of 2020.
Let us all hope for continued improvement in the virus situation overall as the country and economy re-emerge from a difficult year. We wish you the best for health and prosperity in 2021!
Sincerely,
Garrison Point Fund Management Team
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.AlphaCentricFunds.com or call 844-ACFUNDS (844-223-8637). Please read the prospectus carefully before investing.
The Fund’s returns for the 2021 YTD period ended 3/31/21, fiscal year ended 3/31/21 and for the period since inception through 3/31/21, as compared to the Benchmark Index, were as follows:
2021 YTD Ended 3/31/2021 | Fiscal Year Ended 3/31/2021 | Since Inception (5/28/2015- annualized) | |
Class I | 5.45% | 47.76% | 7.51% |
Class A | 5.49% | 47.46% | 7.25% |
Class A with Sales Charge | 0.47% | 40.40% | 6.35% |
Class C | 5.22% | 46.29% | 6.45% |
Barclays US Agg. Bond TR Index (1) | -3.37% | 0.71% | 3.13% |
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(1) | Barclays US Aggregate Bond Index: A market capitalization-weighted index that is designed to measure the performance of the U.S. investment grade bond market with maturities of more than one year. |
The Fund’s maximum sales charge for Class “A” shares is 4.75%. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month end performance information or the Fund’s prospectus please call the Fund, toll free at 1-844-ACFUNDS (844-223-8637). You can also obtain a prospectus at www.AlphaCentricFunds.com. 4773-NLD-5/4/2021
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March 31, 2021
Dear AlphaCentric Premium Opportunity Fund (“Fund”) Investor:
We are pleased to provide our Annual Letter to Shareholders. Thank you for your support and for being an investor in the Fund.
Investment Strategy
The portfolio strategy utilized by the Fund seeks to achieve capital appreciation with lower overall volatility than the equity market. The strategy attempts to achieve its objective by investing in a systematically managed portfolio of long and short call and put options and futures on the Standard & Poor’s 500 Index (the “Index”) and/or other securities that represent the return of the Index (such as exchange traded funds) as well as measures of market volatility such as volatility exchange traded funds and futures on the VIX Index, which reflect the market’s expected fluctuation (volatility).
Fund Performance
The fiscal year started April 1, 2020. During the period, the S&P 500 gained 56.35% in total returns while HMXIX gained a total return of 14.43% (for Class I shares), earning a respectable return alongside the dramatic rise in stock prices. On a quarterly basis, the Fund was positive each quarter, capturing 26%, 24%, 34%, and 33% of the S&P 500’s upside gains moving from Q220 to Q121 respectively.
It is hard to believe now with lockdowns ending that so little was known a year ago about how we were going to emerge from the pandemic. That first quarter of our fiscal year (April to June 2020) was a scary time to be in the market, but our strategy of participating in upside while adding positions to mitigate the downside risk allowed us to be involved just when others were still running for the exits in April of 2020. The result was the best quarter of the year for the program, returning 5.41% as the S&P rallied 20.54%.
The flip side to being able to participate in upside was that the price of downside risk mitigation was extremely high given the sharp selloff we had just been through. The VIX spent the majority of the entire second quarter above 30, which was a level it hadn’t been above in 8 years prior to that. The VIX was above 20 the rest of the year despite the market making new all-time highs. Previous market highs were accompanied by VIX levels between 12 and 15, showing just how odd this time around was.
Part of the reason for volatility remaining elevated was the volatility expectations around the US election, with a rare shape to the VIX futures curve around August last year. The curve is normally upwards sloping from left to right, as the future is unknown so future volatility is priced slightly higher. But last summer, there was a distinct hump in the curve centered around the November election.
All the same, while volatility may have felt sustained at a high level for a long period of time, the eight-month move from above 80 in the VIX to 20 was among the fastest declines in volatility readings since the index started in 1990. The 2008 volatility spike took four months longer to get back to the 20 level.
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This confluence of a rapidly rising stock market, record high volatility, but also rapidly falling volatility, is among the toughest environments for a volatility trading strategy to navigate. We were proud to be able to keep our risk mitigations in place while still capturing close to 1/3 of the market’s upside.
Market Outlook
With the Fund’s investment strategy heavily model-driven, we have the luxury of not having to get a market outlook correct. The entire idea of the strategy positioning itself to capture upside and protect against the downside is precisely because predicting where the market is headed is difficult if not impossible.
Having said that, the models are analyzing which type of market environment we are in and are currently signaling a period of further equities upside, driven by the continued Fed money printing as seen in the graphic below, as well as interest rates effectively at zero, low bond yields, and the risk of rising interest rates impairing principal value, thus driving investor inflows to equities.
However, equity investments are not without risk. The higher the market continues to rally and longer the bull run lasts, the more likely that brings us that much closer to the next correction. We find ourselves in uncharted territory with regard to the size of the Fed’s balance sheet. Indeed, coincident with somewhat elevated longer-term VIX futures prices, the volatility market is pricing in a higher-than-normal probability of a correction at some point during 2021. Not to mention the possibility of potentially significant gain harvesting before any new tax law may come into effect, and the struggles to contain the virus in places like India, which could have adverse effects on the global economy.
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Thankfully, while the VIX continues to trade at a premium to long term trends, we believe it will continue to experience downward pressure, at least in the short end of the curve, making our cost to hedge cheaper as the VIX declines. Use of the VIX must be judicious and opportunistic to extract value from the sector and minimize the cost of hedging.
Sincerely,
Russell Kellites
Portfolio Manager
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.AlphaCentricFunds.com or call 844-ACFUNDS (844-223-8637). Please read the prospectus carefully before investing.
The Fund’s returns for the 2021 YTD period ended 3/31/21, fiscal year ended 3/31/21 and for the period since inception through 3/31/21, as compared to the Benchmark Index, were as follows:
2021 YTD Ended 3/31/2021 | Fiscal Year Ended 3/31/2021 | Since Inception* | |
Class A | 1.98% | 14.17% | 9.56% |
Class A with Sales Charge | -3.87% | 7.61% | 8.12% |
Class C | 1.78% | 13.29% | 8.91% |
S&P 500 TR Index (1) | 6.17% | 56.35% | 16.65% |
Class I | 2.02% | 14.43% | 11.21% |
S&P 500 TR Index (1) | 6.17% | 56.35% | 15.46% |
* | Fund Inception: 9/1/2011 (Class I) & 9/30/2016 (Class A & C). The Performance shown before September 30, 2016 is for the Fund’s Predecessor Fund (Theta Funds, L.P.) The Fund’s management practices, investment goals, policies, objectives, guidelines and restrictions are, in all material respects, equivalent to the predecessor limited partnership. From its inception date, the predecessor limited partnership was not subject to certain investment restrictions, diversification requirements and other restrictions of the Investment Company Act of 1940, as amended, if they had been applicable, it might have adversely affected its performance. In addition, the predecessor limited partnership was not subject to sales loads that would have adversely affected performance. Performance of the predecessor fund is not an indicator of future results. |
(1) | The S&P 500 Total Return Index by Standard & Poor’s Corp. is a capitalization-weighted index comprising 500 issues listed on various exchanges, representing the performance of the stock market generally. Please note that indices do not take into account any fees and expenses of investing in the individual securities that they track, and individuals cannot invest directly in any index, although individuals may invest in exchange traded funds or other investment vehicles that attempt to track the performance of an index. The Fund may or may not purchase the types of securities represented by the S&P 500 Total Return Index. |
The Fund’s maximum sales charge for Class “A” shares is 5.75%. Dividend are not assured. Investments in mutual funds involve risks. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month end performance information or the Fund’s prospectus please call the Fund, toll free at 844-ACFUNDS (844-223-8637). You can also obtain a prospectus at www.AlphaCentricFunds.com. 4775-NLD-5/5/2021
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March 31, 2021
Dear AlphaCentric Robotics and Automation Fund (“Fund”) Investor:
A global economic recovery from the coronavirus inspired 2020 lows appears to be in full swing. In the U.S., vaccination results have been exceeding expectations by a wide margin, while reopening efforts are well underway. The Fed has raised its forecast for 2021 real GDP growth from 4.2% to 6.5%, and Q4 earnings results posted the widest upside surprise margin since 2009. In our opinion, given the magnitude of continued monetary and fiscal policy support from authorities worldwide, 2021 earnings results should be nothing short of epic.
March 31, 2021 marked the end of the fiscal year of the Fund. From the Fund’s inception on May 31, 2017 through March 31, 2021, the Fund returned 16.79% (Class I). The S&P 500 TR Index’s performance during that same period was 12.82%. Following weak performance in 2020 – due to the negative impact of the COVID-19 outbreak in Q1 of last year – the Fund delivered its best 12-month return since inception.
Performance attribution was diverse over the period. This is likely the result of a paradigm shift in corporate priorities toward an acceleration in capex spending on robotics and automation solutions in the wake of the pandemic. In our view, the mandate to improve operational efficiencies will remain front and center as companies large and small adapt to the new realities of a post-COVID world. Our strategy has been to focus on leading edge technologies and core end markets that we expect to be key beneficiaries of that theme.
Among our top performing positions during the year was Ekso Bionics Holdings (EKSO), posting a 196.82% return during the period in which the Fund held the stock. Ekso uses exoskeleton technology to enhance natural abilities and improve the quality of life for its customers. It is the leader in offering technologies that help those with paralysis to stand and walk, enhance worker capabilities globally, and provide research for the advancement of R&D projects intended to benefit U.S. defense capabilities. While we like the company, we sold the stock when we deemed valuation to have exceeded current fundamentals. We’ll continue to monitor its progress for opportunities to participate in the future.
Brooks Automation (BRKS) also proved to be a substantial contributor to our success during the year. The stock gained 169.60% during the period and continues to be a top holding in the fund. The company designs and manufactures factory automation solutions including wafer handling robotics and contamination control systems for the semiconductor industry, as well as automated selection and temperature-controlled storage systems for the life sciences industry.
Our research on autonomous vehicles led us to Cerence (CRNC). The stock posted a 165.19% return during the period in which the Fund held the shares. The company is a leader in conversational AI. The Cerence Drive is the fastest, most powerful, most intelligent AI assistant platform for global mobility. With human-like voice output, their in-car voice assistant has attracted the attention of some of the most prestigious automotive original equipment manufacturers (OEMs) including BMW, Audi, and Mercedes Benz. Cerence is becoming the heart and soul of the digital car.
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Prior to the recently proposed acquisition by Microsoft, Nuance Communications has been a core position in the Fund since inception. During the year ended March 31, 2021, the stock experienced a 160.07% return. Another leader in conversational AI, the company’s end markets predominantly revolve around Healthcare, Telecommunications, and Financial Services. Their expertise in account management, enhanced security, and enrollment and retention have revolutionized the ways physicians, insurance companies, banks, and telecom companies process and protect information, and communicate with their customers via speech recognition, transcription, authentication, and automated customer service messaging systems.
While these specific examples were important to our results, they are more representative of the broad array of companies and technologies that proliferate our portfolio. From smart warehouses, automated manufacturing, and robotic process automation to tele-medicine and surgical robotics, to autonomous vehicles, artificial intelligence and machine learning technologies, the AlphaCentric Robotics and Automation Fund is laser-focused on identifying and capitalizing on advances and innovative technologies that are changing the world by investing in the companies that are driving this change, both up and down the food chain.
Thank you for your support and participation in the Fund.
Sincerely,
Brian Gahsman, Portfolio Manager
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.AlphaCentricFunds.com or call 844-ACFUNDS (844-223-8637). Please read the prospectus carefully before investing.
The Fund’s total returns for the 2021 YTD period ended 3/31/21, fiscal year ended 3/31/21 and for the period since inception through 3/31/21, as compared to the Benchmark Index, were as follows:
2021 YTD Ended | Fiscal Year Ended | Since Inception | |
3/31/2021 | 3/31/2021 | (5/31/2017) | |
Class I | 1.35% | 77.45% | 16.79% |
Class A | 1.25% | 77.05% | 16.48% |
Class A with Sales Charge | -4.59% | 66.83% | 14.69% |
Class C | 1.10% | 75.72% | 15.62% |
S&P 500 TR (1) | 6.17% | 56.35% | 16.10% |
(1) | The S&P 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index was developed with a base level of 10 for the 1941-43 base period. |
The Fund’s maximum sales charge for Class “A” shares is 5.75%. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month end performance information or the Fund’s prospectus please call the Fund, toll free at 1-844-ACFUNDS (844-223-8637). You can also obtain a prospectus at www.AlphaCentricFunds.com. 4774-NLD-5/4/2021
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March 31, 2021
Dear AlphaCentric Symmetry Strategy Fund (“Fund”) Investor:
For the fiscal year ended on March 31, 2021, the Fund was up +19.37% (Class I) versus +0.12% for BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and +29.33% for the MSCI World/Barclays U.S. Aggregate Bond Blended Index.
The portfolio is constructed utilizing a risk-based approach considering two broad categories of risk premiums (traditional and alternative) with risk being split equally between the two categories. The traditional side of the portfolio utilizes a quantitative investment process used to select a portfolio of securities primarily in, but not limited to, the U.S., Europe, and Japan, weighted towards names of a value nature. The Fund also uses quantitative signals to take positions in sectors, emerging country, and income ETFs among others, as well as broad based credit default swap indices. The alternative side attempts to diversify the broad economic risks in the traditional portfolio through allocations to diversifying strategies in fixed income, currency, and commodity markets, that have in the past tended to do well in periods of difficulty for equity and credit markets.
The past year has been dominated by the COVID-19 pandemic experience. The Fund returned -2.61% in 2020, largely driven by the equity market moves in the first part of the year as the pandemic took hold, and global equities fell. Value names in particular underperformed broader indices, in part as large tech names had revenues less impacted by the virus and associated shutdowns. The alternative side of the portfolio reduced equity losses in the period. The portfolio reduced equity and credit exposure and ran at lower risk levels and saw lower realized volatility for the middle period of the year, before rebuilding exposures and rebounding in performance in the last quarter.
During the first quarter of 2021, both the traditional and alternative portfolios contributed positively to overall returns. We saw a wave of reflationary type price action over the quarter, in our view driven by the beginnings of the COVID-19 vaccines, passage of expansionary fiscal policies in the US extending help for the economy and those impacted by the fallout from the pandemic, and increased chances of further infrastructure based fiscal policy after the final makeup of the US Senate was determined. That monetary policy continues to be incredibly accommodative and is reinforcing the nascent recovery, is also very positive for the outlook. The traditional side benefitted from this backdrop by participating in the continued rally in equity markets, particularly as value type equity positions – defined as stocks that are cheaper relative to a range of fundamental factors – did well and outperformed broad market capitalization weighted equity indices. In our view, value equity names tend to do well when economic growth – and economic growth expectations – inflect upwards. These are often businesses where the value of the equity slice of the capital structure is small due to debt loads or perceptions that the climate is too difficult for earnings to continue outside of a restructuring, where bad news has been extrapolated too far, pushing the value of the equity claim down too much. When economic growth increases and outlooks improve, the bottom of the company capital structure can become option-like, as incremental cash flows post debt claims end up flowing directly to that slim equity claim, producing levered returns.
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Similarly, equity markets in Europe and Japan tend to be levered to global growth, and also contributed positively.
The alternative side of the portfolio generated returns in commodity and fixed income markets, with a small loss in currency markets. As the reflationary mood took over, safe asset yields generally increased. The yield on the benchmark US 10 year increased from 0.91% to 1.74%, benefitting short positions the strategy held in the US and other developed bond markets. Commodity markets added to returns as the energy complex positions performed well, and grain prices increased driven by tightening of supply demand balances.
Over the next few months, we expect activity levels to rebound very strongly as the vaccines allow economies to reopen. Both the ISM Report on Business and the similar IHS Markit Purchasing Managers Index are at or close to record levels, with new orders and employment components indicating a strong period ahead. There surely exists sizable pent-up demand, and with household balance sheets in great shape, newly padded with stimulus funds in the US, it is hard to not see the next few quarters as being unlike anything seen in recent decades. Add on further longer-term infrastructure packages and an administration that seems to have raising real median wages as its north star, the next few years will be interesting to say the least. As we look across at markets, clearly this is being reflected in earnings expectations and credit spreads. US government bond yields have risen about 100bps over the past 6 months ended March 31, 2021, reflecting some removal of the panic levels seen during the pandemic period. It is no small thing that through that rise in yields, equity markets in the US have continued to make new highs. To our eye the calculus in longer dated risk free yields is changing somewhat at this juncture, with the forward drivers beginning to shift from cyclical shifts to the more structural. We have moved from no interest rate hikes being priced for years ahead to a shallow return to something that looks like a hiking cycle, with the 30 year yield approaching the Fed’s longer term expectation for interest rates. If we shift focus past the next few quarters and out to the longer term, the key questions will be around the extent to which the economy self sustains, whether the new administration through fiscal and other policy goals succeeds in sustainably raising longer term growth and productivity, what happens as the baby boomer children reach peak productivity and spending years, and how the inflationary impulses we see in the short term interact with the Fed’s new average inflation targeting framework. We believe the strategy is well placed to navigate these questions.
On a business level, Mount Lucas continues to navigate the COVID-19 period with minimal disruption to operations. The transition to remote work has been seamless, with all our infrastructure and trading processes continuing as normal. As time passes, people are vaccinated, and restrictions are lifted we expect to transition back slowly to normal as the year progresses.
Thank you for your support, and we hope that you stay healthy and safe in 2021.
Sincerely,
Mount Lucas Management LP Team
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This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.AlphaCentricFunds.com or call 844-ACFUNDS (844-223-8637). Please read the prospectus carefully before investing.
The Fund’s returns for the 2021 YTD period ended 3/31/21, Fiscal Period ended 3/31/21 and for the period since inception through 3/31/21, as compared to the Benchmark Index, were as follows:
2021 YTD Ended 3/31/2021 | Fiscal Period Ended 3/31/2021 | Since Inception* | |
Class A | 8.73% | 19.11% | 3.15% |
Class A with Sales Charge | 2.50% | 12.31% | -0.50% |
Class C | 8.45% | 18.10% | 2.39% |
BofA Merrill Lynch 3-Month U.S. | 0.02% | 0.12% | 0.89% |
Treasury Bill Index (1) | |||
MSCI World/Barclays U.S. | 1.33% | 29.33% | 12.13% |
Aggregate Bond Blended Index (2) | |||
Class I | 8.75% | 19.37% | 2.71% |
BofA Merrill Lynch 3-Month U.S. | 0.02% | 0.12% | 0.92% |
Treasury Bill Index (1) | |||
MSCI World/Barclays U.S. | 1.33% | 29.33% | 5.98% |
Aggregate Bond Blended Index (2) |
* | Inception (annualized): 9/1/14 (I Share) | 8/9/19 (A & C Shares) |
The Fund acquired all of the assets and liabilities of MLM Symmetry Fund, LP (the “Predecessor Fund”) in a tax-free reorganization on August 9, 2019. In connection with this acquisition, shares of the Predecessor Fund were exchanged for Class I shares of the Fund. The Fund’s investment objectives, policies, restrictions, and guidelines are, in all material respects, equivalent to the Predecessor Fund’s investment objectives, policies, restrictions, and guidelines. The Fund’s sub-advisor was the adviser to the Predecessor Fund.
(1) | BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income. |
(2) | MSCI World Index is a broad global equity index that represents large and mid-cap equity performance across all 23 developed markets countries. It covers approximately 85% of the free float-adjusted market capitalization in each country. The Barclays U.S. Aggregate Bond index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. |
The Fund’s maximum sales charge for Class “A” shares is 5.75%. Dividend are not assured. Investments in mutual funds involve risks. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month end performance information or the Fund’s prospectus please call the Fund, toll free at 844-ACFUNDS (844-223-8637). You can also obtain a prospectus at www.AlphaCentricFunds.com. 4777-NLD-5/5/2021
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March 31, 2021
Dear AlphaCentric LifeSci Healthcare Fund (“Fund”) Investor:
PERFORMANCE
The Fund performed well during the past fiscal year ended March 31, 2021 with a +67.02% return for the Class I share.
Alpha was generated across the portfolio. Several disruptive innovators that had appeared as Fund holdings in recent filings appreciated on reports of positive clinical data, such as Morphic Holding (NASDAQ: MORF) and Celldex Therapeutics (NASDAQ: CLDX). A number of other disruptive innovators that had appeared as Fund holdings in recent filings were acquired at a substantial premium, such as Pandion Therapeutics (NASDAQ: PAND), Momenta Pharmaceuticals (NASDAQ: MNTA), and Principia Biopharma (NASDAQ: PRNB). In addition, several robust revenue and cash flow growth companies that had appeared as Fund holdings in recent filings were also acquired at a substantial premium including Alexion Pharmaceuticals (NASDAQ: ALXN) and GW Pharmaceuticals (NASDAQ: GWPH). Finally, both of the Fund’s private investments have now completed IPO transactions and are now trading as unrestricted shares at a substantial premium to the initial cost basis.
In the most recent quarter, the S&P Biotechnology Select Industry Index suffered a significant 30% pullback during the quarter from the mid-February peak. The Fund’s cash balance, exposure to several robust cash flow / revenue growth companies, and avoidance of several early-stage innovators with highly speculative valuations helped limit the drawdown while preserving the potential to capture upside should the sector rebound. The Fund will continue to focus on translating deep domain expertise and thought leader insights into a fundamental, thesis-driven healthcare portfolio with a favorable risk / reward profile.
MARKET OVERVIEW
Passage of the $1.9T COVID-19 stimulus package during the quarter was enough to rally the major indices to all-time record highs while rising interest rate fears and the economic reopening narrative drove sector rotation. Vaccine rollout materially ramped up in the quarter with over 100 million doses administered in the US. At this rate, it is expected the majority of the US population will be vaccinated in the coming months, fully enabling economic reopening.
The halo effect from the development of science-driven solutions to the global pandemic helped propel the biotech sector to its mid-February 2021 peak while sector rotation and potential policy headwinds precipitated the sharp correction. In early March 2021, the S&P Biotechnology Select Industry Index was down more than 10% in a single week, marking one of its worst declines in the past decade and the largest since COVID-19 lockdowns in March 2020. Qualitatively, we observed high flying ’story stocks’ (including many preclinical companies with speculative multi-billion-dollar valuations) selling off significantly while several robust revenue and cash flow growth companies (especially those with strong financial metrics
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trading at nearly half of the broad market multiple) caught a bid. We expect fundamental factors will continue to assert themselves in the coming quarters and become the primary driver of individual stock performance in the sector as the tidal wave of liquidity begins to dissipate. Providing clear scientific and medical benefits to patients has been a central pillar of Western Medicine since the days of antiquity. Early Greek medical texts describe the “Hippocratic Oath,” a pledge for physicians to prescribe only beneficial treatments and refrain from causing harm to patients. Contemporary physicians, regulators and healthcare reimbursement authorities continue to follow the spirit of this pledge and place significant emphasis on ‘value to patients’ as evidenced by rigorous, well-designed clinical studies. True medical breakthroughs are defined by compelling data, not theoretical narratives, and tend to converge with valuations over time.
FUND OVERVIEW
The Fund constructs the portfolio across three thematic buckets 1) disruptive life sciences innovators, 2) robust cash flow / revenue growth companies, and 3) direct funding of promising companies through private placements, IPOs or other structured transactions. Deep fundamental due diligence and thought leader insights provide the basis for each investment thesis. The collaboration with LifeSci Partners Global network helps highlight differentiated solutions for critical unmet medical needs. Among the broad universe of therapy areas, particular attention is focused on oncology pioneers based on strong fundamentals: 1) there is substantial unmet need for patients with untreatable cancers, 2) foundational advances in genetics and cancer biology have increased the quality and specificity of novel oncology therapeutic candidates, 3) regulators have been generally consistent with approval requirements and often work closely with sponsors and 4) clear value to patients provides solid foundation for premium reimbursement. During the recent quarter, the FDA approved the first cell-based immunotherapy, idecabtagene vicleucel (ide-cel, Abecma), for patients with multiple myeloma, a form of blood cancer. The approval was based on robust clinical data showing high response rates in difficult to treat, late-stage patients. Bristol Myers (NYSE: BMY) and Bluebird Bio (NASDAQ: BLUE), both of which have been reported as Fund holdings in recent filings, announced list pricing of Abecma would be $419,500 per patient annually reflecting the material benefit to patients with limited or no other therapeutic alternatives. Translation of high-quality science into FDA-approved therapies with premium reimbursement highlights the potential win-win to provide value to patients as well as shareholders of the Fund.
The Fund remains an active participant in the capital markets activity that enables life science innovators to move forward. During the first quarter of 2021, the Fund participated in several direct funding transactions that placed capital on the balance sheets of disruptive innovators.
OUTLOOK
Fundamentals for the life sciences sector remain attractive as 1) disruptive innovations generally have pricing power (especially breakthrough therapeutics treating critical unmet medical needs), 2) balance sheets are very strong following record capital markets activity in 2020 and 3) healthcare utilization is expected to rebound as the economy fully reopens. Remarkably, in 1Q 2021 there were 139 biotechnology transactions raising $17 billion compared to 59 raising $9 billion in 1Q 2020, which was a
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record year. We see significant potential for value creation through a life sciences innovation boom as the record capital markets activity converges with leading science to address unmet medical needs.
Sincerely,
Mark Charest, Ph.D.
Founding Partner and Portfolio Manager
LifeSci Fund Management
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.AlphaCentricFunds.com or call 844-ACFUNDS (844-223-8637). Please read the prospectus carefully before investing.
The Fund’s returns for the 2021 YTD period ended 3/31/21, fiscal year ended 3/31/21 and annualized for the period since inception through 3/31/21, as compared to the Benchmark Index, were as follows:
2021 YTD Ended | Fiscal Year Ended | Since Inception | |
3/31/2021 | 3/31/2021 | (11/29/2019) | |
Class I | 1.83% | 67.02% | 41.79% |
Class A | 1.77% | 66.70% | 41.59% |
Class A with Sales Charge | -4.07% | 57.15% | 35.46% |
Class C | 1.64% | 66.38% | 41.39% |
S&P Biotechnology Select Industry | -3.61% | 75.20% | 32.27% |
Total Return Index (1) |
(1) | The S&P Biotechnology Select Industry Index represents the biotechnology sub-industry portion of the S&P Total Markets Index (S&P TMI). The S&P TMI tracks all the U.S. common stocks listed on the NYSE, NYSE American, NASDAQ National Market and NASDAQ Small Cap exchanges. The Biotech Index is a modified equal weight index and typically consists of approximately 70 companies. |
The Fund’s maximum sales charge for Class “A” shares is 5.75%. Dividend are not assured. Investments in mutual funds involve risks. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month end performance information or the Fund’s prospectus please call the Fund, toll free at 844-ACFUNDS (844-223-8637). You can also obtain a prospectus at www.AlphaCentricFunds.com. 4795-NLD-5/10/2021
13
March 31, 2021
Dear AlphaCentric Municipal Opportunities Fund (“Fund”) Investor:
The fiscal year ended March 31, 2021 was extremely positive for the municipal bond market and especially for the Fund. After a very rocky first quarter in 2020 due to COVID-19, the municipal market has roared back with a vengeance. The 12 months ended March 31, 2021, have seen unprecedented bailouts from the federal government not only for individuals but for many businesses and even state and local governments. These bailouts helped state and local governments, the main issuers of municipal bonds, maintain their already strong credit profile. Additionally, 2020 brought in a new Presidential administration which has promised to raise taxes to significantly higher levels. This promise has led to even stronger performance for municipal bonds since the election as the demand for municipal bonds has remained at historical levels since the election.
The Municipal Bond market has experienced one of its best relative performance years ever as the Bloomberg Barclays US Treasury index returned (4.43%) versus 5.51% for the Bloomberg Barclays US Municipal Bond Index. The massive issuance of Treasury bonds to fund the trillions of dollars of COVID-19 relief along with the emergence of inflationary fears drove Treasury yields higher while the promise of higher taxes benefited municipal bond yields. As investors were selling treasuries at levels not seen in a long time, municipal bond buyers were flooding the market with cash creating a huge demand for tax-free bonds.
The Fund’s strategy of focusing on COVID-19 related credits trading at wide spreads and closed-end funds yielding above 5% and trading at wide discounts led to a strong fiscal year. The Fund’s Class I shares had a total return of 8.67% versus 5.51% for the Bloomberg Barclays Municipal Bond Index. The trillions of dollars thrown at state and local governments along with various industries hard hit by COVID-19 strengthened their credit profiles. As the credit profiles strengthened, credit spreads narrowed dramatically, leading to strong outperformance for the Fund. The Fund’s investment in closed end funds added to the outperformance by providing a high level of tax-exempt income in a relatively safe diversified structure.
Looking forward, we expect the demand for municipal bonds to remain strong adding to the outperformance experienced so far. The daily promises of higher taxes will likely add to the already strong cash inflow by investors. Additionally, the dwindling fear of credit weakening due to bailouts should wipe away any hesitancy left over from last year and drive credit spreads narrower. Based on these two factors along with the expectation that municipal issuance is likely to be lower in 2021 versus 2020, we would expect municipal bonds to perform well going forward.
Sincerely,
Mount Lucas Management LP
14
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.AlphaCentricFunds.com or call 844-ACFUNDS (844-223-8637). Please read the prospectus carefully before investing.
The Fund’s returns for the 2021 YTD period ended 3/31/21, fiscal year ended 3/31/21 and annualized for the period since inception through 3/31/21, as compared to the Benchmark Index, were as follows:
2021 YTD Ended 3/31/2021 | Fiscal Year Ended 3/31/2021 | Since Inception (12/31/2019) | |
Class I | 1.30% | 8.67% | 7.14% |
Class A | 1.25% | 8.70% | 6.91% |
Class A with Sales Charge | -3.59% | 3.52% | 2.81% |
Class C | 1.23% | 8.37% | 6.90% |
Bloomberg Barclays Municipal Bond Index | -0.35% | 5.51% | 3.86% |
TR Value Unhedged USD (1) |
(1) | Bloomberg Barclays Municipal Bond Index TR Value Unhedged covers the USD-denominated long-term tax-exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds and prerefunded bonds. |
The Fund’s maximum sales charge for Class “A” shares is 4.75%. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month end performance information or the Fund’s prospectus please call the Fund, toll free at 1-844-ACFUNDS (844-223-8637). You can also obtain a prospectus at www.AlphaCentricFunds.com. 4776-NLD-5/5/2021
15
AlphaCentric Income Opportunities Fund
PORTFOLIO REVIEW (Unaudited)
March 31, 2021
The Fund’s performance figures* for the periods ended March 31, 2021, compared to its benchmark:
Annualized | ||||
Annualized Three | Annualized | Since Inception *** - | ||
One Year | Years | Five Years | March 31, 2021 | |
Class A (IOFAX) | 47.46% | 2.64% | 6.31% | 7.25% |
Class A (IOFAX) with 4.75% load | 40.40% | 0.99% | 5.29% | 6.35% |
Class C (IOFCX) | 46.29% | 1.87% | 5.51% | 6.45% |
Class I (IOFIX) | 47.76% | 2.90% | 6.59% | 7.51% |
Bloomberg Barclays U.S. Aggregate Bond Index ** | 0.71% | 4.65% | 3.10% | 3.13% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A is subject to a maximum applicable sales charge of 4.75%. Total returns are calculated using the net asset value (“NAV”) on March 31, 2021. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. The Fund’s manager has contractually agreed to reduce its fees and/or absorb expenses of the Fund, at least until July 31, 2021, to ensure that the net annual fund operating expenses (excluding brokerage costs; borrowing costs, such as (a) interest and (b) dividends on securities sold short; taxes; costs of investing in underlying funds and extraordinary expenses) will not exceed 1.74%, 2.49% and 1.49% for the Fund’s Class A, Class C, and Class I shares, respectively, subject to possible recoupment from the Fund in future years. Fee waivers and expense reimbursements are subject to possible recoupment by the advisor from the Fund in future years on a rolling three-year basis (within three years after the fees have been waived or reimbursed) if such recoupment can be achieved within the foregoing expense limits and any expense limits in place at the time of recoupment. Without these waivers, the Fund’s total annual operating expenses as shown in the August 1, 2020 prospectus and supplemented on August 21, 2020, were 1.93%, 2.68% and 1.68% for the Fund’s Class A, Class C, and Class I shares, respectively. After fee waivers, the Fund’s total annual operating expenses as shown in the August 1, 2020 prospectus were 1.75%, 2.50% and 1.50% for the Fund’s Class A, Class C, and Class I shares, respectively. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For more current information on the Fund’s expense ratio, please see the Financial Highlights. For performance information current to the most recent month-end, please call toll-free 1-844-223-8637. |
** | The Bloomberg Barclays U.S. Aggregate Bond Index is commonly used as a benchmark by both passive and active investors to measure portfolio performance relative to the U.S. dollar-denominated investment grade fixed-rate taxable bond market. It is also an informational measure of broad market returns commonly applied to fixed income instruments. |
*** | The AlphaCentric Income Opportunities Fund commenced operations on May 28, 2015. |
Comparison of the Change in value of a $10,000 investment
Holdings by Security Type | % of Net Assets | |||
Non-Agency Residential Mortgage Backed Securities | 91.8 | % | ||
Exchange Traded Funds | 4.8 | % | ||
Real Estate Investment Trusts | 1.5 | % | ||
Asset Backed Securities | 0.1 | % | ||
Other / Cash & Cash Equivalents | 1.8 | % | ||
100.0 | % |
Please refer to the Portfolio of Investments in this Annual Report for a detailed listing of the Fund’s holdings.
16
AlphaCentric Premium Opportunity Fund
PORTFOLIO REVIEW (Unaudited)
March 31, 2021
The Fund’s performance figures* for the periods ended March 31, 2021, compared to its benchmarks:
Annualized | Annualized | ||||
Annualized | Annualized | Since Inception + - | Since Inception ++ - | ||
One Year | Three Years | Five Years | March 31, 2021 | March 31, 2021 | |
Class A (HMXAX) without load | 14.17% | 17.55% | — | 9.56% | — |
Class A (HMXAX) with 5.75% load | 7.61% | 15.26% | — | 8.12% | — |
Class C (HMXCX) | 13.29% | 16.89% | — | 8.91% | — |
Class I (HMXIX) +++ | 14.43% | 17.83% | 9.47% | — | 11.21% |
S&P 500 Total Return Index ** | 56.35% | 16.78% | 16.29% | 16.65% | 15.46% |
IQ Hedge Long/Short Beta Total Return Index *** | 28.13% | 14.30% | 11.83% | 12.50% | 8.50% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A is subject to a maximum applicable sales charge of 5.75%. Total returns are calculated using the net asset value (“NAV”) on March 31, 2021. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. The Fund’s manager has contractually agreed to reduce its fees and/or absorb expenses of the Fund, at least until July 31, 2021, to ensure that the net annual fund operating expenses (excluding brokerage costs; borrowing costs, such as (a) interest and (b) dividends on securities sold short; taxes; costs of investing in underlying funds and extraordinary expenses) will not exceed 2.24%, 2.99% and 1.99% for the Fund’s Class A, Class C and Class I shares, respectively, subject to possible recoupment from the Fund in future years. Fee waivers and expense reimbursements are subject to possible recoupment by the advisor from the Fund in future years on a rolling three-year basis (within three years after the fees have been waived or reimbursed) if such recoupment can be achieved within the foregoing expense limits and any expense limits in place at the time of recoupment. Without these waivers, the Fund’s total annual operating expenses as shown in the August 1, 2020 prospectus were 3.19%, 3.94% and 2.94% for the Fund’s Class A, Class C and Class I shares, respectively. After fee waivers, the Fund’s total annual operating expenses as shown in the August 1, 2020 prospectus were 2.33%, 3.04%, and 2.05% for the Fund’s Class A, Class C and Class I shares, respectively. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For more current information on the Fund’s expense ratio, please see the Financial Highlights. For performance information current to the most recent month-end, please call toll-free 1-844-223-8637. |
** | The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. |
*** | IQ Hedge Long/Short Beta Total Return Index was launched in March 2007 as the market’s first family of hedge fund replication indexes. This suite of indexes serves as the basis for IndexIQ’s other hedge fund replication indexes, which themselves underlie IndexIQ’s hedge fund replication ETFs and mutual fund. |
+ | The AlphaCentric Premium Opportunity Fund Class A and Class C commenced operations on September 30, 2016. |
++ | The AlphaCentric Premium Opportunity Fund Class I, formerly a private Fund, commenced operations on August 31, 2011. |
+++ | The Fund acquired all of the assets and liabilities of Theta Funds, L.P. (the “Predecessor Fund”) in a tax-free reorganization on September 30, 2016. In connection with this acquisition, shares of the Predecessor Fund were exchanged for Class I shares of the Fund, so the Predecessor Fund became the Class I shares of the Fund. The Fund’s investment objective, policies and guidelines are, in all material respects, equivalent to the Predecessor Fund’s investment objectives, policies and guidelines. The Predecessor Fund commenced operations on August 31, 2011. Updated performance information will be available at no cost by calling 1-844-ACFUNDS (844-223-8637) or visiting the Fund’s website at www.AlphaCentricFunds.com. |
Comparison of the Change in value of a $10,000 investment
Holdings by Security Type * | % of Net Assets | |||
Money Market Funds | 71.5 | % | ||
U.S. Government Treasury Obligations | 9.3 | % | ||
Mutual Fund | 2.3 | % | ||
Purchased Options | 0.7 | % | ||
Written Options | (0.5 | )% | ||
Other / Cash & Cash Equivalents | 16.7 | % | ||
100.0 | % |
* Does not include derivative investments.
Please refer to the Portfolio of Investments in this Annual Report for a detailed listing of the Fund’s holdings.
17
AlphaCentric Robotics and Automation Fund
PORTFOLIO REVIEW (Unaudited)
March 31, 2021
The Fund’s performance figures* for the periods ended March 31, 2021, compared to its benchmarks:
Annualized | Annualized | ||
Three | Since Inception + - | ||
One Year | Years | March 31, 2021 | |
Class A (GNXAX) without load | 77.05% | 12.11% | 16.48% |
Class A (GNXAX) with 5.75% load | 66.83% | 9.93% | 14.69% |
Class C (GNXCX) | 75.72% | 11.27% | 15.62% |
Class I (GNXIX) | 77.45% | 12.38% | 16.79% |
S&P 500 Total Return Index ** | 56.35% | 16.78% | 16.10% |
MSCI AC World Index (TR Gross) *** | 55.31% | 12.66% | 12.82% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A is subject to a maximum applicable sales charge of 5.75%. Total returns are calculated using the net asset value (“NAV”) on March 31, 2021. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. The Fund’s manager has contractually agreed to reduce its fees and/or absorb expenses of the Fund, at least until July 31, 2021, to ensure that the net annual fund operating expenses (excluding brokerage costs; borrowing costs, such as (a) interest and (b) dividends on securities sold short; taxes; costs of investing in underlying funds and extraordinary expenses) will not exceed 1.65%, 2.40% and 1.40% for the Fund’s Class A, Class C, and Class I shares, respectively, subject to possible recoupment from the Fund in future years. Fee waivers and expense reimbursements are subject to possible recoupment by the advisor from the Fund in future years on a rolling three-year basis (within three years after the fees have been waived or reimbursed) if such recoupment can be achieved within the foregoing expense limits and any expense limits in place at the time of recoupment. Without these waivers, the Fund’s total annual operating expenses as shown in the August 1, 2020 prospectus for the Fund’s period of operation are 2.19%, 2.94% and 1.94% for the Fund’s Class A, Class C and Class I shares, respectively. After fee waivers, the Fund’s total annual operating expenses shown in the August 1, 2020 prospectus for the Fund’s period of operation are 1.66%, 2.41% and 1.41% for the Fund’s Class A, Class C and Class I shares, respectively. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For more current information on the Fund’s expense ratio, please see the Financial Highlights. For performance information current to the most recent month-end, please call toll-free 1-844-223-8637. |
** | The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. |
*** | The MSCI AC World Index (TR Gross) represents the Modern Index Strategy and captures all sources of equity returns in 23 developed and 24 emerging markets. |
+ | The AlphaCentric Robotics and Automation Fund Class A, Class C and Class I commenced operations on May 31, 2017. |
Comparison of the Change in value of a $10,000 investment
Holdings by Security Type | % of Net Assets | |||
Common Stocks | 93.9 | % | ||
Investment Purchased as Securities Lending Collateral | 9.4 | % | ||
Liabilities In Excess Of Other Assets | (3.3 | )% | ||
100.0 | % |
Please refer to the Portfolio of Investments in this Annual Report for a detailed listing of the Fund’s holdings.
18
AlphaCentric Symmetry Strategy Fund
PORTFOLIO REVIEW (Unaudited)
March 31, 2021
The Fund’s performance figures* for the periods ended March 31, 2021, compared to its benchmarks:
Annualized | Annualized | ||||
Annualized | Annualized | Since Inception + - | Since Inception ++ - | ||
One Year | Three Years | Five Years | March 31, 2021 | March 31, 2021 | |
Class A (SYMAX) without load | 19.11% | — | — | 3.15% | — |
Class A (SYMAX) with 5.75% load | 12.31% | — | — | (0.50)% | — |
Class C (SYMCX) | 18.10% | — | — | 2.39% | — |
Class I (SYMIX) +++ | 19.37% | 0.06% | 0.10% | — | 2.71% |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index ** | 0.12% | 1.49% | 1.19% | 0.89% | 0.92% |
MSCI World/Barclays U.S. Aggregate Bond Blended Index *** | 29.33% | 8.74% | 8.23% | 12.13% | 5.98% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A is subject to a maximum applicable sales charge of 5.75%. Total returns are calculated using the net asset value (“NAV”) on March 31, 2021. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. The Fund’s manager has contractually agreed to reduce its fees and/or absorb expenses of the Fund, at least until July 31, 2021, to ensure that the net annual fund operating expenses (excluding brokerage costs; borrowing costs, such as (a) interest and (b) dividends on securities sold short; taxes; costs of investing in underlying funds and extraordinary expenses) will not exceed 2.24%, 2.99% and 1.99% for the Fund’s Class A, Class C, and Class I shares, respectively, subject to possible recoupment from the Fund in future years. Fee waivers and expense reimbursements are subject to possible recoupment by the advisor from the Fund in future years on a rolling three-year basis (within three years after the fees have been waived or reimbursed) if such recoupment can be achieved within the foregoing expense limits and any expense limits in place at the time of recoupment. Without these waivers, the Fund’s total annual operating expenses as shown in the August 1, 2020 prospectus are 2.59%, 3.34% and 2.34% for the Fund’s Class A, Class C and Class I shares, respectively. After fee waivers, the Fund’s total annual operating expenses shown in the August 1, 2020 prospectus are 2.33%, 3.08% and 2.08% for the Fund’s Class A, Class C and Class I shares, respectively. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For more current information on the Fund’s expense ratio, please see the Financial Highlights. For performance information current to the most recent month-end, please call toll-free 1-844-223-8637. |
** | BofA Merrill Lynch 3-Month U.S. Treasury Bill Index tracks the performance of the U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market with a remaining term to final maturity of less than 3 months. |
*** | MSCI World/Barclays U.S. Aggregate Bond Blended Index reflects an unmanaged portfolio of 60% of the MSCI World Index and 40% of the Bloomber Barclays |
U.S. Aggregate Bond Index.
+ | The AlphaCentric Symmetry Strategy Fund Class A, Class C commenced operations on August 8, 2019. |
++ | The AlphaCentric Symmetry Strategy Fund Class I, formerly a private Fund, commenced operations on September 1, 2014. |
+++ | The Fund acquired all of the assets and liabilities of MLM Symmetry Fund, LP (the “Predecessor Fund”) in a tax-free reorganization on August 9, 2019. In connection with this acquisition, shares of the Predecessor Fund were exchanged for Class I shares of the Fund. The Fund’s investment objectives, policies, restrictions, and guidelines are, in all material respects, equivalent to the Predecessor Fund’s investment objectives, policies, restrictions, and guidelines. The Fund’s Sub-Advisor was the adviser to the Predecessor Fund. The financial statements for the Predecessor Fund can be found in the Fund’s SAI. The performance information set forth below reflects the historical performance of the Predecessor Fund shares. Updated performance information will be available at no cost by calling 1-844-ACFUNDS (844-223-8637) or visiting the Fund’s website at www.AlphaCentricFunds.com |
Comparison of the Change in value of a $10,000 investment
Holdings by Security Type * | % of Net Assets | |||
Common Stocks | 41.1 | % | ||
Exchange Traded Funds | 26.7 | % | ||
Short-term Investment | 8.2 | % | ||
Other Assets Less Liabilities | 24.0 | % | ||
100.0 | % |
* Does not include derivative investments.
Please refer to the Portfolio of Investments in this Annual Report for a detailed listing of the Fund’s holdings.
19
AlphaCentric LifeSci Healthcare Fund
PORTFOLIO REVIEW (Unaudited)
March 31, 2021
The Fund’s performance figures* for the periods ended March 31, 2021, compared to its benchmarks:
Since Inception + - | ||
One Year | March 31, 2021 | |
Class A (LYFAX) without load | 66.70% | 41.59% |
Class A (LYFAX) with 5.75% load | 57.15% | 35.46% |
Class C (LYFCX) | 66.38% | 41.39% |
Class I (LYFIX) | 67.02% | 41.79% |
S&P 500 Total Return Index ** | 56.35% | 21.33% |
S&P Biotechnology Select Industry Total Return Index *** | 75.20% | 32.27% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A is subject to a maximum applicable sales charge of 5.75%. Total returns are calculated using the net asset value (“NAV”) on March 31, 2021. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. The Fund’s manager has contractually agreed to reduce its fees and/or absorb expenses of the Fund, at least until July 31, 2021, to ensure that the net annual fund operating expenses (excluding brokerage costs; borrowing costs, such as (a) interest and (b) dividends on securities sold short; taxes; costs of investing in underlying funds and extraordinary expenses) will not exceed 1.65%, 2.40% and 1.40% for the Fund’s Class A, Class C, and Class I shares, respectively, subject to possible recoupment from the Fund in future years. Fee waivers and expense reimbursements are subject to possible recoupment by the advisor from the Fund in future years on a rolling three-year basis (within three years after the fees have been waived or reimbursed) if such recoupment can be achieved within the foregoing expense limits and any expense limits in place at the time of recoupment. Without these waivers, the Fund’s total annual operating expenses as shown in the August 1, 2020 prospectus are 2.61%, 3.36% and 2.36% for the Fund’s Class A, Class C and Class I shares, respectively. After fee waivers, the Fund’s total annual operating expenses as shown in the August 1, 2020 prospectus are 1.73%, 2.48% and 1.48% for the Fund’s Class A, Class C and Class I shares, respectively. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For more current information on the Fund’s expense ratio, please see the Financial Highlights. For performance information current to the most recent month-end, please call toll-free 1-844-223-8637. |
** | The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. |
*** | S&P Biotechnology Select Industry Total Return Index are designed to measure the performance of narrow GICS® sub-industries. The Index comprises stocks in the S&P Total Market Index that are classified in the GICS biotechnology sub-industry. |
+ | The AlphaCentric LifeSci Healthcare Fund Class A, Class C and Class I commenced operations on November 29, 2019. |
Comparison of the Change in value of a $10,000 investment
Holdings by Security Type | % of Net Assets | |||
Common Stocks | 94.5 | % | ||
Short-term Investment | 0.7 | % | ||
Other / Cash & Cash Equivalents | 4.8 | % | ||
100.0 | % |
Please refer to the Portfolio of Investments in this Annual Report for a detailed listing of the Fund’s holdings.
20
AlphaCentric Municipal Opportunities Fund
PORTFOLIO REVIEW (Unaudited)
March 31, 2021
The Fund’s performance figures* for the periods ended March 31, 2021, compared to its benchmarks:
Since Inception + - | ||
One Year | March 31, 2021 | |
Class A (MUNAX) without load | 8.70% | 6.91% |
Class A (MUNAX) with 4.75% load | 3.52% | 2.81% |
Class C (MUNCX) | 8.37% | 6.90% |
Class I (MUNIX) | 8.67% | 7.14% |
Bloomberg Barclays Municipal Bond Index Total Return Value Unhedged USD ** | 5.51% | 3.86% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A is subject to a maximum applicable sales charge of 4.75%. Total returns are calculated using the net asset value (“NAV”) on March 31, 2021. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. The Fund’s manager has contractually agreed to reduce its fees and/or absorb expenses of the Fund, at least until July 31, 2021, to ensure that the net annual fund operating expenses (excluding brokerage costs; borrowing costs, such as (a) interest and (b) dividends on securities sold short; taxes; costs of investing in underlying funds and extraordinary expenses) will not exceed 1.50%, 2.25% and 1.25% for the Fund’s Class A, Class C, and Class I shares, respectively, subject to possible recoupment from the Fund in future years. Fee waivers and expense reimbursements are subject to possible recoupment by the advisor from the Fund in future years on a rolling three-year basis (within three years after the fees have been waived or reimbursed) if such recoupment can be achieved within the foregoing expense limits and any expense limits in place at the time of recoupment. Without these waivers, the Fund’s total annual operating expenses as shown in the August 1, 2020 prospectus are 1.59%, 2.34% and 1.34% for the Fund’s Class A, Class C and Class I shares, respectively. After fee waivers, the Fund’s total annual operating expenses shown in the August 1, 2020 prospectus are 1.58%, 2.33% and 1.33% for the Fund’s Class A, Class C and Class I shares, respectively. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For more current information on the Fund’s expense ratio, please see the Financial Highlights. For performance information current to the most recent month-end, please call toll-free 1-844-223-8637. |
** | The Bloomberg Barclays Municipal Bond Index Total Return Value Unhedged USD covers the USD-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds and prerefunded bonds. |
+ | The AlphaCentric Municipal Opportunities Fund Class A, Class C and Class I commenced operations on December 31, 2019. |
Comparison of the Change in value of a $10,000 investment
Holdings by Security Type * | % of Net Assets | |||
Municipal Bonds | 52.8 | % | ||
Closed End Funds | 30.9 | % | ||
Exchange Traded Funds | 11.9 | % | ||
Other / Cash & Cash Equivalents | 4.4 | % | ||
100.0 | % |
* Does not include derivative investments.
Please refer to the Portfolio of Investments in this Annual Report for a detailed listing of the Fund’s holdings.
21
AlphaCentric Income Opportunities Fund (IOFAX, IOFCX, IOFIX) |
PORTFOLIO OF INVESTMENTS |
March 31, 2021 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Value | |||||||||||
ASSET BACKED SECURITIES - 0.1% | ||||||||||||||
4,656,510 | Amur Finance VI LLC, 144A ** ^ (Cost $4,649,427) | 8.000 | 12/20/2024 | $ | 2,503,872 | |||||||||
EXCHANGE TRADED FUNDS - 4.8% | ||||||||||||||
FIXED INCOME - 4.8% | ||||||||||||||
980,000 | iShares MBS ETF | 106,251,600 | ||||||||||||
1,275,000 | Vanguard Mortgage-Backed Securities ETF | 68,046,750 | ||||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $177,669,850) | 174,298,350 | |||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 91.8% | ||||||||||||||
1,095,031 | ABFC 2004-OPT4 Trust, 1M Libor + 2.70% | 2.809 | 7/25/2033 | 1,121,573 | ||||||||||
1,955,532 | ABFC 2004-OPT4 Trust, 1M Libor + 1.77% | 1.879 | 12/25/2033 | 1,896,814 | ||||||||||
5,353,030 | ABFC 2005-HE1 Trust, 1M Libor + 1.05% | 1.159 | 3/25/2035 | 4,772,214 | ||||||||||
4,146,359 | ABFC 2005-WMC1 Trust, 1M Libor + 0.89% | 0.994 | 6/25/2035 | 3,711,507 | ||||||||||
4,629,225 | ABFC 2007-NC1 Trust, 1M Libor + 1.00%, 144A | 1.109 | 5/25/2037 | 3,777,393 | ||||||||||
3,298,335 | ABFS Mortgage Loan Trust 2002-2, (B) | 3.792 | 7/15/2033 | 2,644,927 | ||||||||||
4,018,410 | ABFS Mortgage Loan Trust 2002-3, (B) | 5.902 | 9/15/2033 | 3,135,951 | ||||||||||
1,655,714 | ABFS Mortgage Loan Trust 2003-2 (A), 144A | 8.000 | 4/25/2034 | 678,281 | ||||||||||
568,513 | ACE Securities Corp Home Equity Loan Trust Series 2004-FM2, 1M Libor + 2.03% | 2.134 | 6/25/2034 | 551,667 | ||||||||||
1,628,178 | ACE Securities Corp Home Equity Loan Trust Series 2004-HE3, 1M Libor + 2.78% | 2.884 | 11/25/2034 | 1,935,038 | ||||||||||
4,849,455 | ACE Securities Corp Home Equity Loan Trust Series 2004-HE4, 1M Libor + 1.95% | 2.059 | 12/25/2034 | 3,168,057 | ||||||||||
1,080,112 | ACE Securities Corp Home Equity Loan Trust Series 2004-RM2, 1M Libor + 1.32% | 1.429 | 1/25/2035 | 958,470 | ||||||||||
678,000 | ACE Securities Corp Home Equity Loan Trust Series 2004-SD1, 1M Libor + 4.13% | 4.234 | 11/25/2033 | 681,669 | ||||||||||
4,087,277 | ACE Securities Corp Home Equity Loan Trust Series 2005-HE2, 1M Libor + 1.85% | 1.954 | 4/25/2035 | 3,114,512 | ||||||||||
2,417,000 | ACE Securities Corp Home Equity Loan Trust Series 2005-SD2, 1M Libor + 3.00% | 4.609 | 8/25/2040 | 1,829,761 | ||||||||||
2,668,110 | ACE Securities Corp Home Equity Loan Trust Series 2006-ASAP3, 1M Libor + 0.28% | 0.529 | 6/25/2036 | 2,699,286 | ||||||||||
4,137,325 | ACE Securities Corp Home Equity Loan Trust Series 2006-ASAP4, 1M Libor + 0.29% | 0.544 | 8/25/2036 | 4,043,868 | ||||||||||
22,447,372 | ACE Securities Corp Home Equity Loan Trust Series 2006-OP1, 1M Libor + 0.28% | 0.529 | 4/25/2036 | 19,639,430 | ||||||||||
5,818,367 | Adjustable Rate Mortgage Trust 2005-2, 1M Libor + 1.35% | 1.459 | 6/25/2035 | 4,047,858 | ||||||||||
235,677 | Adjustable Rate Mortgage Trust 2005-3, (A) | 2.785 | 7/25/2035 | 200,512 | ||||||||||
3,712,708 | Aegis Asset Backed Securities Trust 2005-5, 1M Libor +0.45% | 0.784 | 12/25/2035 | 3,421,465 | ||||||||||
3,433,143 | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-2, 1M Libor + 3.00% | 3.109 | 6/25/2034 | 3,438,357 | ||||||||||
833,937 | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, 1M Libor + 5.25% | 5.359 | 10/25/2034 | 825,052 | ||||||||||
21,320,000 | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2005-4, 1M Libor + 0.50% | 0.859 | 10/25/2035 | 17,063,660 | ||||||||||
1,154,833 | Alternative Loan Trust 2004-J9, 1M Libor + 2.78% | 2.884 | 10/25/2034 | 838,040 | ||||||||||
972,654 | Alternative Loan Trust 2006-OA22, 1M Libor + 0.24% | 0.349 | 2/25/2047 | 780,371 | ||||||||||
9,284,251 | American Home Mortgage Assets Trust 2006-1, 1M Libor + 0.38% | 0.489 | 3/25/2046 | 6,850,226 | ||||||||||
3,607,916 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2004 R3, 1M Libor + 4.50% | 4.609 | 5/25/2034 | 3,160,872 | ||||||||||
2,199,965 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2004 R3, 1M Libor + 2.70% | 2.809 | 5/25/2034 | 2,179,439 | ||||||||||
2,722,790 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2004 R8, 1M Libor + 1.92% | 2.029 | 9/25/2034 | 2,307,448 | ||||||||||
2,409,578 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2004 R8, 1M Libor + 1.80% | 1.909 | 9/25/2034 | 2,263,249 | ||||||||||
2,907,002 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2004 R9, 1M Libor + 2.10% | 2.209 | 10/25/2034 | 2,232,275 | ||||||||||
2,351,672 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2004-R11, 1M Libor + 2.10% | 2.209 | 11/25/2034 | 2,282,121 | ||||||||||
8,475,187 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2005-R1, 1M Libor + 1.50% | 1.609 | 3/25/2035 | 7,903,417 | ||||||||||
3,334,138 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2005-R5, 1M Libor + 1.83% | 1.939 | 7/25/2035 | 2,912,962 | ||||||||||
6,000,000 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2005-R5, 1M Libor + 1.05% | 1.159 | 7/25/2035 | 5,306,532 | ||||||||||
10,447,360 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2005-R6, 1M Libor + 1.15% | 1.834 | 8/25/2035 | 6,630,927 | ||||||||||
9,496,577 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2005-R7, 1M Libor + 0.73% | 1.204 | 9/25/2035 | 7,571,776 | ||||||||||
1,156,936 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2005-R10, 1M Libor + 1.45% | 2.284 | 1/25/2036 | 952,687 | ||||||||||
26,084,000 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Series 2005-R10, 1M Libor + 0.69% | 1.144 | 1/25/2036 | 21,554,988 | ||||||||||
8,092,683 | Ameriquest Mortgage Securities Trust 2006-R1, 1M Libor + 0.56% | 0.669 | 3/25/2036 | 8,053,297 | ||||||||||
4,999,158 | Ameriquest Mortgage Securities Trust 2006-R2, 1M Libor + 0.49% | 0.599 | 4/25/2036 | 4,632,325 | ||||||||||
2,787 | Amresco Residential Securities Corp Mortgage Loan Trust 1999-1, 1M Libor + 1.85% | 1.959 | 11/25/2029 | 2,764 | ||||||||||
36,748,917 | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W2, 1M Libor + 0.53% | 0.904 | 10/25/2035 | 33,021,224 | ||||||||||
21,347,516 | Argent Securities Inc Asset Backed Pass-Through Certificates Series 2005-W5, 1M Libor + 0.46% | 0.799 | 1/25/2036 | 21,843,184 | ||||||||||
5,281,447 | Argent Securities Trust 2006-W1, 1M Libor + 0.41% | 0.724 | 3/25/2036 | 6,326,414 | ||||||||||
1,649,838 | Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE3, 1M Libor + 6.00% | 6.106 | 6/15/2033 | 1,786,367 | ||||||||||
27,237,102 | Asset Backed Securities Corp Home Equity Loan Trust Series MO 2006-HE6, 1M Libor + 0.23% | 0.339 | 11/25/2036 | 27,850,868 | ||||||||||
17,765,000 | Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE8, 1M Libor + 0.64% | 1.069 | 11/25/2035 | 15,998,351 | ||||||||||
7,500,000 | Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2006-HE5, 1M Libor + 0.28% | 0.389 | 7/25/2036 | 6,617,042 | ||||||||||
3,181,922 | Asset Backed Securities Corp Home Equity Loan Trust Series WMC 2005-HE5, 1M Libor + 1.05% | 1.159 | 6/25/2035 | 1,087,309 | ||||||||||
3,778,100 | Asset-Backed Pass-Through Certificates Series 2004-R12, 1M Libor + 1.89% | 1.999 | 1/25/2035 | 3,460,132 | ||||||||||
7,500,000 | Asset-Backed Pass-Through Certificates Series 2005-R4, 1M Libor + 1.80% | 1.909 | 7/25/2035 | 6,658,702 | ||||||||||
1,345,234 | Banc of America Funding 2004-B Trust, (A) | 2.587 | 12/20/2034 | 1,173,925 |
See accompanying notes to consolidated financial statements.
22
AlphaCentric Income Opportunities Fund (IOFAX, IOFCX, IOFIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Value | |||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 91.8% (Continued) | ||||||||||||||
6,791,439 | Banc of America Funding 2006-G Trust, 1M Libor + 0.48% | 0.591 | 7/20/2036 | $ | 9,290,070 | |||||||||
2,967,063 | Banc of America Mortgage 2004-K Trust, (A) | 2.839 | 12/25/2034 | 2,245,172 | ||||||||||
5,459,000 | Bayview Financial Mortgage Pass-Through Trust 2006-A, 1M Libor + 2.48% | 2.584 | 2/28/2041 | 5,529,093 | ||||||||||
2,276,165 | Bear Stearns ALT-A Trust 2004-6, 1M Libor + 2.85% | 2.959 | 7/25/2034 | 2,568,189 | ||||||||||
29,895 | Bear Stearns ARM Trust 2003-8, (A) | 2.375 | 1/25/2034 | 28,882 | ||||||||||
473,359 | Bear Stearns ARM Trust 2004-7, (A) | 2.625 | 10/25/2034 | 483,590 | ||||||||||
2,979,718 | Bear Stearns Asset Backed Securities I Trust 2004-HE11, 1M Libor + 2.55% | 2.659 | 12/25/2034 | 2,220,793 | ||||||||||
4,020,926 | Bear Stearns Asset Backed Securities I Trust 2005-CL1, 1M Libor + 0.63% | 1.063 | 9/25/2034 | 2,978,151 | ||||||||||
2,727,567 | Bear Stearns Asset Backed Securities I Trust 2005-HE1, 1M Libor + 2.33% | 2.434 | 1/25/2035 | 2,735,486 | ||||||||||
2,513,233 | Bear Stearns Asset Backed Securities I Trust 2005-HE4, 1M Libor + 1.88% | 1.984 | 4/25/2035 | 2,465,966 | ||||||||||
9,897,402 | Bear Stearns Asset Backed Securities I Trust 2005-HE9, 1M Libor + 1.20% | 1.909 | 10/25/2035 | 9,151,234 | ||||||||||
1,208,386 | Bear Stearns Asset Backed Securities I Trust 2005-HE10, 1M Libor + 1.05% | 1.159 | 11/25/2035 | 1,186,422 | ||||||||||
30,792,628 | Bear Stearns Asset Backed Securities I Trust 2006-HE9, 1M Libor + 0.29% | 0.399 | 11/25/2036 | 27,963,275 | ||||||||||
3,000,000 | Bear Stearns Asset Backed Securities I Trust 2007-HE6, 1M Libor + 1.60% | 1.709 | 8/25/2037 | 2,780,930 | ||||||||||
1,288,844 | Bear Stearns Asset Backed Securities I Trust 2007-HE7, 1M Libor + 1.75% | 1.859 | 10/25/2037 | 1,077,722 | ||||||||||
8,398,000 | Bear Stearns Asset Backed Securities I Trust 2007-HE7, 1M Libor + 0.40% | 0.509 | 10/25/2037 | 6,597,890 | ||||||||||
2,943,721 | Bear Stearns Asset Backed Securities Trust 2006-4, 1M Libor + 0.75% | 0.859 | 10/25/2036 | 690,471 | ||||||||||
16,250,000 | BNC Mortgage Loan Trust 2007-2, 1M Libor + 0.29% | 0.399 | 5/25/2037 | 13,486,106 | ||||||||||
14,219,510 | Carrington Mortgage Loan Trust Series 2005-NC5, 1M Libor + 0.52% | 0.889 | 10/25/2035 | 12,378,617 | ||||||||||
45,368,500 | Carrington Mortgage Loan Trust Series 2006-FRE1, 1M Libor + 0.30% | 0.409 | 7/25/2036 | 34,167,911 | ||||||||||
11,328,589 | Carrington Mortgage Loan Trust Series 2006-FRE1, 1M Libor + 0.25% | 0.359 | 4/25/2036 | 9,975,816 | ||||||||||
4,200,013 | Carrington Mortgage Loan Trust Series 2006-FRE1, 1M Libor + 0.15% | 0.259 | 4/25/2036 | 4,074,998 | ||||||||||
3,296,901 | Carrington Mortgage Loan Trust Series 2006-FRE2, 1M Libor + 0.25% | 0.359 | 10/25/2036 | 2,906,602 | ||||||||||
24,526,000 | Carrington Mortgage Loan Trust Series 2006-NC1, 1M Libor + 0.42% | 0.529 | 1/25/2036 | 21,631,407 | ||||||||||
17,962,000 | Carrington Mortgage Loan Trust Series 2006-NC2, 1M Libor + 0.27% | 0.379 | 6/25/2036 | 14,974,246 | ||||||||||
30,000,000 | Carrington Mortgage Loan Trust Series 2006-NC3, 1M Libor + 0.24% | 0.349 | 8/25/2036 | 25,327,386 | ||||||||||
8,108,565 | Carrington Mortgage Loan Trust Series 2006-NC4, 1M Libor + 0.30% | 0.409 | 10/25/2036 | 6,965,257 | ||||||||||
32,364,300 | Carrington Mortgage Loan Trust Series 2006-NC4, 1M Libor + 0.24% | 0.349 | 10/25/2036 | 28,078,814 | ||||||||||
9,823,000 | Carrington Mortgage Loan Trust Series 2006-OPT1, 1M Libor + 0.37% | 0.479 | 2/25/2036 | 8,504,304 | ||||||||||
8,615,107 | Carrington Mortgage Loan Trust Series 2006-RFC1, 1M Libor + 0.29% | 0.544 | 5/25/2036 | 7,447,183 | ||||||||||
13,201,341 | Carrington Mortgage Loan Trust Series 2007-FRE1, 1M Libor + 0.50% | 0.609 | 2/25/2037 | 11,277,898 | ||||||||||
2,992,391 | Carrington Mortgage Loan Trust Series 2007-FRE1, 1M Libor + 0.26% | 0.369 | 2/25/2037 | 2,891,196 | ||||||||||
19,000,000 | Carrington Mortgage Loan Trust Series 2007-HE1, 1M Libor + 0.29% | 0.399 | 6/25/2037 | 15,398,508 | ||||||||||
13,257,058 | Carrington Mortgage Loan Trust Series 2007-RFC1, 1M Libor + 0.26% | 0.369 | 12/25/2036 | 9,488,901 | ||||||||||
22,415,000 | Carrington Mortgage Loan Trust Series 2007-RFC1, 1M Libor + 0.22% | 0.329 | 10/25/2036 | 18,745,949 | ||||||||||
3,774,725 | Centex Home Equity Loan Trust 2002-C, 1M Libor + 1.15% | 1.259 | 9/25/2032 | 3,683,780 | ||||||||||
219,299 | Centex Home Equity Loan Trust 2004-B, 1M Libor + 2.33% | 2.434 | 3/25/2034 | 3,616 | ||||||||||
1,903,537 | Centex Home Equity Loan Trust 2004-C, 1M Libor + 2.10% | 2.209 | 6/25/2034 | 557,672 | ||||||||||
3,747,221 | Centex Home Equity Loan Trust 2004-C, 1M Libor + 1.73% | 1.834 | 6/25/2034 | 3,515,664 | ||||||||||
278,350 | Centex Home Equity Loan Trust 2004-D, 1M Libor + 1.03% | 1.654 | 9/25/2034 | 289,506 | ||||||||||
12,568,353 | Centex Home Equity Loan Trust 2005-D, 1M Libor + 1.20% | 1.909 | 10/25/2035 | 12,376,331 | ||||||||||
17,000,000 | Centex Home Equity Loan Trust 2006-A, 1M Libor + 0.37% | 0.479 | 6/25/2036 | 14,530,334 | ||||||||||
3,300,000 | ChaseFlex Trust Series 2007-2, 1M Libor + 0.44% | 0.549 | 5/25/2037 | 2,548,773 | ||||||||||
542,441 | CHL Mortgage Pass-Through Trust 2004-6 (A) | 5.004 | 5/25/2034 | 534,063 | ||||||||||
81,751,747 | CIT Mortgage Loan Trust 2007-1, 1M Libor + 1.75%, 144A | 1.859 | 12/25/2021 | 28,774,506 | ||||||||||
14,454,834 | CIT Mortgage Loan Trust 2007-1, 1M Libor + 1.75%, 144A | 1.859 | 10/25/2037 | 5,148,849 | ||||||||||
950,659 | Citigroup Mortgage Loan Trust 2005-3 (A) | 2.928 | 8/25/2035 | 882,137 | ||||||||||
5,846,490 | Citigroup Mortgage Loan Trust 2006-AMC1, 1M Libor + 0.29% | 0.399 | 9/25/2036 | 6,123,711 | ||||||||||
2,549,969 | Citigroup Mortgage Loan Trust 2006-AMC1, 1M Libor + 0.26% | 0.369 | 9/25/2036 | 2,364,417 | ||||||||||
3,000,000 | Citigroup Mortgage Loan Trust 2006-HE2, 1M Libor + 0.38% | 0.489 | 8/25/2036 | 2,542,752 | ||||||||||
9,464,555 | Citigroup Mortgage Loan Trust 2006-NC1, 1M Libor + 0.29% | 0.544 | 8/25/2036 | 9,198,983 | ||||||||||
4,584,319 | Citigroup Mortgage Loan Trust 2006-WMC1, 1M Libor + 0.62% | 0.724 | 12/25/2035 | 3,969,231 | ||||||||||
862,996 | Citigroup Mortgage Loan Trust 2007-10, (A) | 3.392 | 9/25/2037 | 785,782 | ||||||||||
10,304,089 | Citigroup Mortgage Loan Trust 2007-AHL1, 1M Libor + 0.27% | 0.379 | 12/25/2036 | 10,766,164 | ||||||||||
5,491,560 | Citigroup Mortgage Loan Trust 2007-AMC4, 1M Libor + 0.30% | 0.409 | 5/25/2037 | 5,543,498 | ||||||||||
1,532,972 | Citigroup Mortgage Loan Trust 2007-WFHE1, 1M Libor + 0.36% | 0.469 | 1/25/2037 | 1,380,851 | ||||||||||
9,005,567 | Citigroup Mortgage Loan Trust 2007-WFHE2, 1M Libor + 0.65% | 0.759 | 3/25/2037 | 8,695,900 | ||||||||||
2,301,000 | Citigroup Mortgage Loan Trust, Inc., 1M Libor + 4.50% | 4.609 | 12/25/2033 | 2,277,760 | ||||||||||
1,063,633 | Citigroup Mortgage Loan Trust, Inc., 1M Libor + 1.94% | 2.044 | 2/25/2035 | 1,061,390 | ||||||||||
2,000,000 | Citigroup Mortgage Loan Trust, Inc., 1M Libor + 1.12% | 1.789 | 7/25/2035 | 1,985,856 | ||||||||||
6,302,000 | Citigroup Mortgage Loan Trust, Inc., 1M Libor + 0.28% | 0.389 | 6/25/2037 | 5,109,740 | ||||||||||
1,437,000 | Citigroup Mortgage Loan Trust, Inc., 1M Libor + 2.50% | 2.609 | 7/25/2037 | 1,229,249 | ||||||||||
1,622,515 | Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Cert, 1M Libor + 2.63% | 2.734 | 10/25/2034 | 1,484,337 | ||||||||||
4,090,472 | Connecticut Avenue Securities Trust 2018-R07, 1M Libor + 2.40%, 144A | 2.509 | 4/25/2031 | 4,111,339 | ||||||||||
3,000,000 | Connecticut Avenue Securities Trust 2019-R04, 1M Libor + 5.25%, 144A | 5.359 | 6/25/2039 | 3,060,261 |
See accompanying notes to consolidated financial statements.
23
AlphaCentric Income Opportunities Fund (IOFAX, IOFCX, IOFIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Value | |||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 91.8% (Continued) | ||||||||||||||
1,250,000 | Connecticut Avenue Securities Trust 2019-R05, 1M Libor + 4.10%, 144A | 4.209 | 7/25/2039 | $ | 1,258,078 | |||||||||
21,750,000 | Connecticut Avenue Securities Trust 2019-R06, 1M Libor + 3.75%, 144A | 3.859 | 9/25/2039 | 21,404,023 | ||||||||||
5,990,000 | Connecticut Avenue Securities Trust 2020-R01, 1M Libor + 3.25%, 144A | 3.359 | 1/25/2040 | 5,745,618 | ||||||||||
15,000,000 | Connecticut Avenue Securities Trust 2020-R01, 1M Libor + 2.05%, 144A | 2.159 | 1/25/2040 | 15,045,234 | ||||||||||
268,247 | Connecticut Avenue Securities Trust 2020-R01, 1M Libor + 0.80%, 144A | 0.909 | 1/25/2040 | 268,299 | ||||||||||
12,000,000 | Connecticut Avenue Securities Trust 2020-R02, 1M Libor + 3.00%, 144A | 3.109 | 1/25/2040 | 11,318,941 | ||||||||||
9,750,000 | Connecticut Avenue Securities Trust 2020-R02, 1M Libor + 2.00%, 144A | 2.109 | 1/25/2040 | 9,764,366 | ||||||||||
3,880,155 | Conseco Finance Corp., (A) | 7.240 | 11/15/2028 | 3,929,505 | ||||||||||
4,789,139 | Conseco Finance Corp., (A) | 6.980 | 9/1/2030 | 4,520,042 | ||||||||||
213,008 | Countrywide Asset-Backed Certificates, 1M Libor + 5.63%, 144A | 5.734 | 10/25/2032 | 223,779 | ||||||||||
330,294 | Countrywide Asset-Backed Certificates, 1M Libor + 4.50%, 144A | 4.609 | 11/25/2033 | 368,735 | ||||||||||
6,080,000 | Countrywide Asset-Backed Certificates, 144A, (B) | 5.000 | 11/25/2035 | 5,876,949 | ||||||||||
3,820,729 | Countrywide Asset-Backed Certificates, 1M Libor + 1.15% | 1.834 | 12/25/2035 | 2,748,742 | ||||||||||
5,195,870 | Countrywide Asset-Backed Certificates, 1M Libor + 1.00% | 1.609 | 1/25/2036 | 4,111,482 | ||||||||||
3,898,991 | Countrywide Asset-Backed Certificates, 1M Libor + 0.73%, 144A | 1.204 | 2/25/2036 | 3,314,373 | ||||||||||
3,200,000 | Countrywide Asset-Backed Certificates, 1M Libor + 0.73% | 0.839 | 4/25/2036 | 2,623,025 | ||||||||||
17,000,000 | Countrywide Asset-Backed Certificates, 1M Libor + 0.49% | 0.844 | 4/25/2036 | 13,199,582 | ||||||||||
2,458,425 | Countrywide Asset-Backed Certificates, 1M Libor + 0.44% | 0.769 | 6/25/2036 | 2,527,649 | ||||||||||
3,243,903 | Countrywide Asset-Backed Certificates, 1M Libor + 0.39% | 0.694 | 7/25/2036 | 2,048,832 | ||||||||||
7,453,854 | Countrywide Asset-Backed Certificates, 1M Libor + 0.33% | 0.439 | 3/25/2037 | 7,543,968 | ||||||||||
3,013,509 | Countrywide Asset-Backed Certificates, 1M Libor + 0.34% | 0.449 | 6/25/2037 | 2,558,361 | ||||||||||
22,139,055 | Countrywide Asset-Backed Certificates, 1M Libor + 0.25% | 0.359 | 6/25/2037 | 20,412,191 | ||||||||||
25,426,562 | Countrywide Asset-Backed Certificates, 1M Libor + 0.27% | 0.379 | 11/25/2037 | 21,932,566 | ||||||||||
11,542,293 | Countrywide Asset-Backed Certificates, 1M Libor + 0.23% | 0.339 | 5/25/2047 | 9,181,681 | ||||||||||
18,581,581 | Countrywide Asset-Backed Certificates, 1M Libor + 0.26% | 0.369 | 6/25/2047 | 15,344,109 | ||||||||||
8,588,532 | Countrywide Asset-Backed Certificates, 1M Libor + 0.26% | 0.369 | 6/25/2047 | 8,369,215 | ||||||||||
27,376,832 | Countrywide Asset-Backed Certificates, 1M Libor + 0.25% | 0.359 | 6/25/2047 | 24,549,917 | ||||||||||
1,238,572 | Credit Suisse First Boston Mortgage Securities Corp., 1M Libor + 1.50% | 3.959 | 4/25/2034 | 520,846 | ||||||||||
1,779,076 | Credit Suisse First Boston Mortgage Securities Corp., 1M Libor + 3.85% | 1.609 | 2/25/2032 | 1,828,520 | ||||||||||
1,681,619 | Credit-Based Asset Servicing & Securitization LLC,1M Libor + 4.50%, 144A | 4.609 | 3/25/2033 | 977,226 | ||||||||||
268,764 | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 2.85%, 144A | 2.959 | 10/25/2034 | 261,271 | ||||||||||
2,958,090 | Credit-Based Asset Servicing & Securitization LLC, 1M Libor + 1.20%, 144A | 1.909 | 7/25/2035 | 1,621,130 | ||||||||||
2,000,000 | Credit-Based Asset Servicing & Securitization LLC, lM Libor + 0.69% | 1.144 | 7/25/2035 | 1,893,804 | ||||||||||
3,943,000 | Credit-Based Asset Servicing & Securitization LLC, 144A (B) | 6.000 | 9/25/2035 | 3,765,038 | ||||||||||
1,623,466 | Credit-Based Asset Servicing & Securitization LLC, lM Libor + 0.44% | 0.778 | 12/25/2035 | 954,717 | ||||||||||
3,524,565 | Credit-Based Asset Servicing & Securitization LLC, 144A, (B) | 7.250 | 3/25/2046 | 1,216,755 | ||||||||||
1,472,472 | CSFB Mortgage-Backed Pass-Through Certificates Series 2003-AR24, (A) | 2.827 | 10/25/2033 | 1,222,078 | ||||||||||
4,125,512 | CWABS Asset-Backed Certificates Trust 2004-7, 1M Libor + 2.10% | 2.209 | 10/25/2034 | 2,173,143 | ||||||||||
1,270,633 | CWABS Asset-Backed Certificates Trust 2004-9, 1M Libor + 1.65% | 1.759 | 11/25/2034 | 1,043,386 | ||||||||||
2,332,797 | CWABS Asset-Backed Certificates Trust 2005-1, 1M Libor + 1.40% | 2.209 | 7/25/2035 | 1,797,194 | ||||||||||
1,949,355 | CWABS Asset-Backed Certificates Trust 2005-11, 1M Libor + 0.72% | 1.189 | 2/25/2036 | 1,199,426 | ||||||||||
22,605,955 | CWABS Asset-Backed Certificates Trust 2005-14, 1M Libor + 0.78% | 1.279 | 4/25/2036 | 21,771,232 | ||||||||||
5,936,981 | CWABS Asset-Backed Certificates Trust 2005-16, 1M Libor + 0.76% | 0.869 | 5/25/2036 | 2,677,013 | ||||||||||
5,477,486 | CWABS Asset-Backed Certificates Trust 2006-7, 1M Libor + 0.28% | 0.389 | 4/25/2046 | 5,351,537 | ||||||||||
26,400,000 | CWABS Asset-Backed Certificates Trust 2007-11, 1M Libor + 0.30% | 0.409 | 6/25/2047 | 22,378,543 | ||||||||||
6,800,000 | CWABS Asset-Backed Certificates Trust 2007-11, 1M Libor + 0.30% | 0.409 | 6/25/2047 | 5,559,663 | ||||||||||
17,953,000 | CWABS Asset-Backed Certificates Trust 2007-12, 1M Libor + 0.97% | 1.079 | 8/25/2047 | 14,144,190 | ||||||||||
4,000,000 | CWABS Asset-Backed Certificates Trust 2007-12, 1M Libor + 0.97% | 1.079 | 8/25/2047 | 3,151,206 | ||||||||||
9,916,000 | CWABS Asset-Backed Certificates Trust 2007-13, 1M Libor + 1.50% | 1.609 | 10/25/2047 | 8,697,508 | ||||||||||
1,659,647 | Delta Funding Home Equity Loan Trust 1997-3 | 7.650 | 10/25/2028 | 1,588,981 | ||||||||||
1,494,206 | Delta Funding Home Equity Loan Trust 1999-1, (A) | 6.800 | 3/15/2028 | 1,396,765 | ||||||||||
1,707,339 | Delta Funding Home Equity Loan Trust 1999-2 | 7.370 | 8/15/2030 | 1,233,507 | ||||||||||
985,838 | Delta Funding Home Equity Loan Trust 2000-3, (B) | 8.390 | 11/15/2030 | 926,334 | ||||||||||
7,103,576 | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AF1, 1M Libor + 0.30% | 0.409 | 4/25/2036 | 7,152,082 | ||||||||||
771,634 | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1, 1M Libor + 0.35%, 144A | 0.456 | 4/15/2036 | 614,928 | ||||||||||
2,042,582 | DSLA Mortgage Loan Trust 2004-AR1, 1M Libor + 1.13% | 1.235 | 9/19/2044 | 1,324,131 | ||||||||||
11,250,000 | Ellington Loan Acquisition Trust 2007-1, 1M Libor + 2.10%, 144A | 2.209 | 5/25/2037 | 10,917,142 | ||||||||||
19,156,000 | Ellington Loan Acquisition Trust 2007-1, 1M Libor + 1.60%, 144A | 1.709 | 5/25/2037 | 18,935,026 | ||||||||||
4,245,000 | EMC Mortgage Loan Trust, 1M Libor + 3.38%, 144A | 3.493 | 1/25/2041 | 3,488,897 | ||||||||||
12,135,222 | Encore Credit Receivables Trust 2005-2, 1M Libor + 0.98% | 1.084 | 11/25/2035 | 11,789,282 | ||||||||||
10,446,816 | Encore Credit Receivables Trust 2005-3, 1M Libor + 1.76% | 1.864 | 10/25/2035 | 10,831,006 | ||||||||||
6,708,033 | Encore Credit Receivables Trust 2005-4, 1M Libor + 1.05% | 1.159 | 1/25/2036 | 5,914,742 | ||||||||||
2,280,535 | EquiFirst Mortgage Loan Trust 2004-2, 1M Libor + 5.10% | 5.209 | 10/25/2034 | 2,109,095 |
See accompanying notes to consolidated financial statements.
24
AlphaCentric Income Opportunities Fund (IOFAX, IOFCX, IOFIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Value | |||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 91.8% (Continued) | ||||||||||||||
1,782,268 | EquiFirst Mortgage Loan Trust 2005-1, 1M Libor + 1.80% | 1.909 | 4/25/2035 | $ | 1,766,132 | |||||||||
4,272,268 | Equity One Mortgage Pass-Through Trust 2003-3 (A) | 4.750 | 12/25/2033 | 3,688,796 | ||||||||||
14,885,119 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 3.00%, 144A | 3.109 | 7/25/2024 | 14,730,927 | ||||||||||
6,506,643 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 4.90% | 5.009 | 11/25/2024 | 6,703,990 | ||||||||||
12,200,000 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 5.50%, 144A | 5.609 | 9/25/2029 | 13,220,968 | ||||||||||
1,396,991 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 3.65%, 144A | 3.759 | 9/25/2029 | 1,440,157 | ||||||||||
4,502,764 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 3.00% | 3.109 | 10/25/2029 | 4,621,755 | ||||||||||
8,557,741 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 2.85% | 2.959 | 11/25/2029 | 8,699,561 | ||||||||||
2,445,000 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 4.45% | 4.559 | 2/25/2030 | 2,558,558 | ||||||||||
2,237,348 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 2.50% | 2.609 | 5/25/2030 | 2,258,446 | ||||||||||
15,000,000 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 4.00% | 4.109 | 8/25/2030 | 15,237,732 | ||||||||||
8,500,000 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 4.50% | 4.609 | 12/25/2030 | 8,891,920 | ||||||||||
8,319,000 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 4.25%, 144A | 4.359 | 1/25/2031 | 8,526,883 | ||||||||||
9,850,000 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 4.10% | 4.209 | 3/25/2031 | 9,967,964 | ||||||||||
5,250,000 | Fannie Mae Connecticut Avenue Securities, 1M Libor + 3.75% | 3.859 | 3/25/2031 | 5,296,973 | ||||||||||
2,112,624 | FFMLT Trust 2004-FF3, 1M Libor + 2.40% | 2.509 | 11/25/2034 | 2,152,222 | ||||||||||
7,370,094 | FFMLT Trust 2005-FF2, 1M Libor + 1.05% | 1.039 | 11/25/2035 | 6,536,577 | ||||||||||
9,412,188 | FFMLT Trust 2005-FF11, 1M Libor + 0.93% | 1.159 | 3/25/2035 | 8,889,430 | ||||||||||
1,724,282 | Finance America Mortgage Loan Trust 2004-3, 1M Libor + 1.65% | 1.759 | 11/25/2034 | 1,627,399 | ||||||||||
12,736,957 | Finance of America Structured, 144A | 2.000 | 3/25/2069 | 13,723,725 | ||||||||||
13,553,417 | Finance of America Structured, 144A | 2.000 | 11/25/2069 | 14,026,683 | ||||||||||
1,883,549 | First Franklin Mortgage Loan Trust 2003-FF4, 1M Libor + 2.48% | 2.584 | 10/25/2033 | 1,629,390 | ||||||||||
1,764,933 | First Franklin Mortgage Loan Trust 2004-FF2, 1M Libor + 1.88% | 1.984 | 3/25/2034 | 1,782,130 | ||||||||||
843,880 | First Franklin Mortgage Loan Trust 2004-FF4, 1M Libor + 2.25% | 2.359 | 6/25/2034 | 846,800 | ||||||||||
2,656,367 | First Franklin Mortgage Loan Trust 2004-FF7, (B) | 5.500 | 9/25/2034 | 2,601,611 | ||||||||||
1,578,807 | First Franklin Mortgage Loan Trust 2004-FF10, 1M Libor + 2.33% | 2.434 | 5/25/2034 | 1,403,893 | ||||||||||
4,742,661 | First Franklin Mortgage Loan Trust 2004-FFH2, 1M Libor + 1.58% | 1.684 | 6/25/2034 | 4,555,062 | ||||||||||
3,626,154 | First Franklin Mortgage Loan Trust 2005-FF5, 1M Libor + 1.20% | 1.309 | 5/25/2035 | 2,924,128 | ||||||||||
19,923,656 | First Franklin Mortgage Loan Trust 2005-FF9, 1M Libor + 0.54% | 0.919 | 10/25/2035 | 20,859,386 | ||||||||||
4,312,840 | First Franklin Mortgage Loan Trust 2005-FFH2, 1M Libor + 1.05%, 144A | 1.159 | 4/25/2035 | 4,051,371 | ||||||||||
12,473,000 | First Franklin Mortgage Loan Trust 2006-FF1, 1M Libor + 0.46% | 0.799 | 1/25/2036 | 11,788,616 | ||||||||||
1,417,005 | First Franklin Mortgage Loan Trust 2006-FF3, 1M Libor + 0.59% | 0.694 | 2/25/2036 | 1,075,482 | ||||||||||
11,730,881 | First Franklin Mortgage Loan Trust 2006-FF4, 1M Libor + 0.36% | 0.649 | 3/25/2036 | 10,133,256 | ||||||||||
3,860,000 | First Franklin Mortgage Loan Trust 2006-FF5, 1M Libor + 0.27% | 0.514 | 4/25/2036 | 3,140,605 | ||||||||||
2,474,631 | First Franklin Mortgage Loan Trust 2006-FF7, 1M Libor + 0.25% | 0.484 | 5/25/2036 | 1,471,465 | ||||||||||
5,242,561 | First Franklin Mortgage Loan Trust 2006-FF9, 1M Libor + 0.25% | 0.484 | 6/25/2036 | 5,345,945 | ||||||||||
4,000,000 | First Franklin Mortgage Loan Trust 2006-FF9, 1M Libor + 0.25% | 0.609 | 6/25/2036 | 3,516,986 | ||||||||||
15,000,000 | First Franklin Mortgage Loan Trust 2006-FF14, 1M Libor + 0.31% | 0.419 | 10/25/2036 | 12,871,664 | ||||||||||
4,120,000 | First Franklin Mortgage Loan Trust 2006-FF15, 1M Libor + 0.31% | 0.419 | 11/25/2036 | 3,558,589 | ||||||||||
10,585,954 | Freddia Mac STACR REMIC Trust 2019-HQA4, 1M Libor + 2.05%, 144A | 2.159 | 11/25/2049 | 10,626,629 | ||||||||||
3,883,000 | Freddie Mac STACR REMIC Trust 2020-DNA1, 1M Libor + 5.25%, 144A | 5.359 | 1/25/2050 | 3,667,577 | ||||||||||
26,300,000 | Freddie Mac STACR REMIC Trust 2020-DNA2, 1M Libor + 2.50%, 144A | 2.609 | 2/25/2050 | 25,893,331 | ||||||||||
2,849,698 | Freddie Mac STACR REMIC Trust 2020-DNA2, 1M Libor + 0.75%, 144A | 0.859 | 2/25/2050 | 2,852,958 | ||||||||||
5,750,000 | Freddie Mac STACR REMIC Trust 2020-DNA4, 1M Libor + 10.00%, 144A | 10.109 | 8/25/2050 | 6,758,053 | ||||||||||
1,100,000 | Freddie Mac STACR REMIC Trust 2020-HQA1, 1M Libor + 5.10%, 144A | 5.209 | 1/25/2050 | 1,028,480 | ||||||||||
7,250,000 | Freddie Mac STACR REMIC Trust 2020-HQA1, 1M Libor + 2.35%, 144A | 2.459 | 1/25/2050 | 7,085,956 | ||||||||||
4,805,324 | Freddie Mac STACR REMIC Trust 2020-HQA1, 1M Libor + 1.90%, 144A | 2.009 | 1/25/2050 | 4,816,916 | ||||||||||
1,000,000 | Freddie Mac STACR REMIC Trust 2020-HQA2, 1M Libor + 7.60%, 144A | 7.709 | 3/25/2050 | 971,604 | ||||||||||
23,000,000 | Freddie Mac STACR REMIC Trust 2020-HQA2, 1M Libor + 3.10%, 144A | 3.209 | 3/25/2050 | 23,396,439 | ||||||||||
5,250,000 | Freddie Mac STACR REMIC Trust 2020-HQA4, 1M Libor + 9.40%, 144A | 9.509 | 9/25/2050 | 5,888,396 | ||||||||||
4,500,000 | Freddie Mac STACR REMIC Trust 2020-HQA4, 1M Libor + 5.25%, 144A | 5.359 | 9/25/2050 | 4,719,535 | ||||||||||
3,000,000 | Freddie Mac STACR REMIC Trust 2020-HQA4, 1M Libor + 3.15%, 144A | 3.259 | 9/25/2050 | 3,034,425 | ||||||||||
1,773,388 | Freddie Mac STACR Trust 2019-DNA1, 1M Libor + 2.65% | 2.759 | 1/25/2049 | 1,791,107 | ||||||||||
2,000,000 | Freddie Mac STACR Trust 2019-DNA2, 1M Libor + 10.50% | 10.609 | 3/25/2049 | 2,272,060 | ||||||||||
1,500,000 | Freddie Mac STACR Trust 2019-DNA3, 1M Libor + 3.25% | 3.359 | 7/25/2049 | 1,509,083 | ||||||||||
6,506,342 | Freddie Mac STACR Trust 2019-DNA3, 1M Libor + 2.05% | 2.159 | 7/25/2049 | 6,519,558 | ||||||||||
7,617,574 | Freddie Mac STACR Trust 2019-HQA2, 1M Libor + 2.05% | 2.159 | 4/25/2049 | 7,627,516 | ||||||||||
8,693,518 | Freddie Mac Structured Agency Credit Risk Debt Notes, 1M Libor + 2.30% | 2.409 | 9/25/2030 | 8,732,771 | ||||||||||
1,421,322 | Fremont Home Loan Trust 2004-3, 1M Libor + 1.88% | 1.984 | 11/25/2034 | 1,266,375 | ||||||||||
3,085,111 | Fremont Home Loan Trust 2004-4, 1M Libor + 1.50% | 1.609 | 3/25/2035 | 1,651,167 | ||||||||||
1,524,417 | Fremont Home Loan Trust 2004-4, 1M Libor + 1.43% | 1.534 | 3/25/2035 | 1,366,971 | ||||||||||
375,966 | Fremont Home Loan Trust 2004-4, 1M Libor + 0.92% | 1.024 | 3/25/2035 | 340,530 | ||||||||||
934,690 | Fremont Home Loan Trust 2004-D, 1M Libor + 0.95% | 1.054 | 11/25/2034 | 882,821 | ||||||||||
5,818,559 | Fremont Home Loan Trust 2005-1, 1M Libor + 1.80%, 144A | 1.909 | 6/25/2035 | 2,255,708 | ||||||||||
12,370,598 | Fremont Home Loan Trust 2005-2, 1M Libor + 0.98% | 1.084 | 6/25/2035 | 9,311,611 |
See accompanying notes to consolidated financial statements.
25
AlphaCentric Income Opportunities Fund (IOFAX, IOFCX, IOFIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Value | |||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 91.8% (Continued) | ||||||||||||||
6,179,523 | Fremont Home Loan Trust 2005-A, 1M Libor + 1.05% | 1.159 | 1/25/2035 | $ | 4,733,801 | |||||||||
4,456,566 | Fremont Home Loan Trust 2005-C, 1M Libor + 0.99% | 1.099 | 7/25/2035 | 2,897,992 | ||||||||||
3,972,000 | Fremont Home Loan Trust 2005-E, 1M Libor + 0.68% | 0.784 | 1/25/2036 | 3,578,700 | ||||||||||
8,815,486 | GE-WMC Asset-Backed Pass Through Certificates Series 2005-1, 1M Libor + 0.69% | 0.799 | 10/25/2035 | 8,293,380 | ||||||||||
2,123,180 | GreenPoint Mortgage Funding Trust 2005-HY1, 1M Libor + 0.59% | 0.994 | 7/25/2035 | 1,927,362 | ||||||||||
2,779,107 | GreenPoint Mortgage Funding Trust Series 2006-AR4, 1M Libor + 0.32% | 0.429 | 9/25/2046 | 2,592,548 | ||||||||||
4,921,981 | GSAA Home Equity Trust 2004-8, 1M Libor + 1.73% | 1.834 | 9/25/2034 | 4,656,530 | ||||||||||
4,034,233 | GSAA Home Equity Trust 2004-11, 1M Libor + 1.43% | 1.534 | 12/25/2034 | 3,576,058 | ||||||||||
9,305,000 | GSAA Home Equity Trust 2005-4, 1M Libor + 1.05% | 1.159 | 3/25/2035 | 9,492,722 | ||||||||||
1,663,870 | GSAA Home Equity Trust 2005-5, 1M Libor + 2.55% | 2.659 | 2/25/2035 | 1,288,263 | ||||||||||
4,830,733 | GSAA Home Equity Trust 2005-8, 1M Libor + 0.52% | 0.889 | 6/25/2035 | 3,977,795 | ||||||||||
9,491,436 | GSAA Trust, 1M Libor + 0.77% | 1.264 | 6/25/2035 | 6,873,053 | ||||||||||
20,010,710 | GSAA Trust, 1M Libor + 0.57% | 0.679 | 12/25/2035 | 17,037,034 | ||||||||||
457,666 | GSAMP Trust 2004-NC2, 1M Libor + 3.38%, 144A | 3.484 | 10/25/2034 | 394,112 | ||||||||||
4,366,701 | GSAMP Trust 2005-AHL2, 1M Libor + 0.44% | 0.549 | 12/25/2035 | 3,408,597 | ||||||||||
13,226,000 | GSAMP Trust 2005-HE4, 1M Libor + 0.95% | 1.054 | 7/25/2045 | 10,953,429 | ||||||||||
5,443,778 | GSAMP Trust 2005-HE5, 1M Libor + 0.70% | 1.159 | 11/25/2035 | 3,180,012 | ||||||||||
10,918,551 | GSAMP Trust 2005-WMC3, 1M Libor + 0.68% | 0.784 | 12/25/2035 | 9,824,814 | ||||||||||
32,725,705 | GSAMP Trust 2006-HE3, 1M Libor + 0.28% | 0.529 | 5/25/2046 | 30,953,529 | ||||||||||
7,143,258 | GSAMP Trust 2006-HE5, 1M Libor + 0.30% | 0.409 | 8/25/2036 | 6,369,498 | ||||||||||
5,706,725 | GSAMP Trust 2006-HE8, 1M Libor + 0.25% | 0.359 | 1/25/2037 | 4,011,303 | ||||||||||
2,031,630 | GSAMP Trust 2006-SD2, 1M Libor + 0.47%, 144A | 0.814 | 5/25/2046 | 1,515,613 | ||||||||||
3,000,000 | GSAMP Trust 2007-HSBC1, 1M Libor + 2.25% | 2.359 | 2/25/2047 | 3,215,779 | ||||||||||
12,205 | GSR Mortgage Loan Trust 2005-7F, 1M Libor + 0.50% | 0.609 | 9/25/2035 | 11,754 | ||||||||||
1,869,342 | GSRPM Mortgage Loan Trust 2003-1, 1M Libor +4.50% | 6.859 | 1/25/2032 | 1,845,939 | ||||||||||
3,214,188 | GSRPM Mortgage Loan Trust 2007-1, 1M Libor + 0.40%, 144A | 0.509 | 10/25/2046 | 3,025,214 | ||||||||||
1,676,077 | GSRPM Mortgage Loan Trust Series 2002-1, 1M Libor + 1.95%, 144A | 2.059 | 11/25/2031 | 1,687,234 | ||||||||||
1,060,289 | GSRPM Mortgage Loan Trust Series 2004-1, 1M Libor + 3.50%, 144A | 5.359 | 9/25/2042 | 953,903 | ||||||||||
2,040,408 | HarborView Mortgage Loan Trust 2005-11, 1M Libor + 0.76% | 0.870 | 8/19/2045 | 1,918,987 | ||||||||||
1,841,795 | HarborView Mortgage Loan Trust 2005-15, 1M Libor + 0.37% | 0.851 | 10/20/2045 | 1,414,366 | ||||||||||
1,279,925 | HarborView Mortgage Loan Trust 2006-12, 1M Libor + 0.25% | 0.360 | 1/19/2038 | 1,091,831 | ||||||||||
1,725,009 | Home Equity Asset Trust, 1M Libor + 2.17% | 2.279 | 2/25/2034 | 1,709,414 | ||||||||||
4,938,221 | Home Equity Asset Trust, 1M Libor + 1.25% | 1.354 | 5/25/2035 | 4,802,506 | ||||||||||
2,269,715 | Home Equity Asset Trust 2005-6, 1M Libor + 0.71% | 1.174 | 12/25/2035 | 3,308,309 | ||||||||||
11,721,540 | Home Equity Asset Trust 2005-7, 1M Libor + 0.50% | 0.859 | 1/25/2036 | 11,428,916 | ||||||||||
9,621,042 | Home Equity Asset Trust 2005-8, 1M Libor + 0.47% | 0.814 | 2/25/2036 | 10,284,020 | ||||||||||
8,725,330 | Home Equity Asset Trust 2005-9, 1M Libor + 0.44% | 0.769 | 4/25/2036 | 8,524,738 | ||||||||||
6,947,232 | Home Equity Asset Trust 2006-1, 1M Libor + 0.62% | 1.039 | 4/25/2036 | 6,996,281 | ||||||||||
11,337,436 | Home Equity Asset Trust 2006-4, 1M Libor + 0.32% | 0.589 | 8/25/2036 | 11,779,065 | ||||||||||
9,000,000 | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-A, 1M Libor + 1.95% | 2.059 | 3/25/2035 | 8,998,677 | ||||||||||
6,475,000 | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-B, 1M Libor + 1.80% | 1.909 | 8/25/2035 | 5,550,844 | ||||||||||
11,200,000 | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C, 1M Libor + 0.61% | 1.024 | 10/25/2035 | 7,846,973 | ||||||||||
15,915,368 | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-D, 1M Libor + 0.47% | 0.814 | 3/25/2036 | 12,098,218 | ||||||||||
7,353,504 | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-A, 1M Libor + 0.40% | 0.709 | 3/25/2036 | 5,373,682 | ||||||||||
16,666,895 | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-B, 1M Libor + 0.36% | 0.649 | 6/25/2036 | 14,630,537 | ||||||||||
4,363,797 | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-C, 1M Libor + 0.29% | 0.399 | 8/25/2036 | 3,857,487 | ||||||||||
885,531 | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2001-A, (A) | 6.537 | 11/25/2030 | 909,345 | ||||||||||
4,703,389 | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-A, 1M Libor + 2.33% | 2.434 | 7/25/2034 | 4,226,371 | ||||||||||
11,599,999 | HSI Asset Securitization Corp Trust 2005-OPT1, 1M Libor + 0.68% | 0.784 | 11/25/2035 | 10,578,453 | ||||||||||
13,243,000 | HSI Asset Securitization Corp Trust 2006-OPT1, 1M Libor + 0.54% | 0.649 | 12/25/2035 | 10,819,764 | ||||||||||
2,106,800 | HSI Asset Securitization Corp Trust 2006-OPT4, 1M Libor + 0.31% | 0.574 | 3/25/2036 | 1,922,331 | ||||||||||
441,161 | Impac CMB Trust Series 2004-10, 1M Libor + 0.86% | 0.964 | 3/25/2035 | 393,520 | ||||||||||
30,115 | IndyMac INDX Mortgage Loan Trust 2004-AR6, (A) | 2.906 | 10/25/2034 | 29,592 | ||||||||||
773,291 | IXIS Real Estate Capital Trust 2005-HE2, 1M Libor + 1.04% | 1.144 | 9/25/2035 | 602,512 | ||||||||||
8,000,000 | JP Morgan Mortgage Acquisition Corp 2005-FLD1, 1M Libor + 1.80% | 1.909 | 7/25/2035 | 7,864,758 | ||||||||||
8,784,113 | JP Morgan Mortgage Acquisition Corp 2005-OPT1, 1M Libor + 1.07% | 1.174 | 6/25/2035 | 7,939,137 | ||||||||||
16,317,000 | JP Morgan Mortgage Acquisition Corp 2006-FRE1, 1M Libor + 0.43% | 0.754 | 5/25/2035 | 13,079,537 | ||||||||||
12,759,465 | JP Morgan Mortgage Acquisition Trust 2006-ACC1, 1M Libor + 0.32% | 0.429 | 5/25/2036 | 9,066,852 | ||||||||||
5,049,818 | JP Morgan Mortgage Acquisition Trust 2006-CH1, 1M Libor + 1.80% | 1.909 | 7/25/2036 | 4,748,701 | ||||||||||
2,590,291 | JP Morgan Mortgage Acquisition Trust 2006-CW1, 1M Libor + 0.30% | 0.559 | 5/25/2036 | 2,680,777 | ||||||||||
10,415,425 | JP Morgan Mortgage Acquisition Trust 2006-NC1, 1M Libor + 0.34% | 0.619 | 4/25/2036 | 8,910,532 | ||||||||||
4,443,332 | JP Morgan Mortgage Acquisition Trust 2007-CH2, 1M Libor + 0.75% | 0.859 | 1/25/2037 | 4,155,742 | ||||||||||
7,553,000 | JP Morgan Mortgage Acquisition Trust 2007-CH2, 1M Libor + 0.60% | 0.709 | 1/25/2037 | 6,476,317 | ||||||||||
5,706,000 | JP Morgan Mortgage Acquisition Trust 2007-CH2, 1M Libor + 0.53% | 0.639 | 1/25/2037 | 5,402,982 |
See accompanying notes to consolidated financial statements.
26
AlphaCentric Income Opportunities Fund (IOFAX, IOFCX, IOFIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Value | |||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 91.8% (Continued) | ||||||||||||||
11,493,416 | JP Morgan Mortgage Acquisition Trust 2007-CH3, 1M Libor + 0.37% | 0.479 | 3/25/2037 | $ | 9,212,967 | |||||||||
16,788,000 | JP Morgan Mortgage Acquisition Trust 2007-CH4, 1M Libor + 0.29% | 0.399 | 5/25/2037 | 13,741,722 | ||||||||||
4,500,000 | JP Morgan Mortgage Acquisition Trust 2007-CH5, 1M Libor + 0.28% | 0.389 | 6/25/2037 | 4,024,452 | ||||||||||
3,775,845 | JP Morgan Mortgage Acquisition Trust 2007-HE1, 1M Libor + 0.26% | 0.369 | 3/25/2047 | 3,496,778 | ||||||||||
2,220,154 | Long Beach Mortgage Loan Trust 2003-1, 1M Libor + 6.00% | 6.109 | 3/25/2033 | 2,986,345 | ||||||||||
1,094,272 | Long Beach Mortgage Loan Trust 2004-5, 1M Libor + 1.80% | 1.909 | 9/25/2034 | 1,144,534 | ||||||||||
11,143,498 | Long Beach Mortgage Loan Trust 2005-3, 1M Libor + 0.71% | 0.814 | 8/25/2045 | 11,325,951 | ||||||||||
848,368 | MAFI II Remic Trust 1998-A | 6.000 | 2/20/2027 | 758,202 | ||||||||||
787,391 | MASTR Adjustable Rate Mortgages Trust 2004-5, (A) | 2.987 | 7/25/2034 | 623,452 | ||||||||||
743,258 | MASTR Alternative Loan Trust 2002-2 (A) | 7.099 | 10/25/2032 | 125,013 | ||||||||||
1,689,163 | Mastr Asset Backed Securities Trust 2003-OPT2, 1M Libor + 5.78% | 5.884 | 5/25/2033 | 1,462,639 | ||||||||||
1,575,958 | Mastr Asset Backed Securities Trust 2004-WMC3, 1M Libor + 1.80% | 1.909 | 10/25/2034 | 1,796,107 | ||||||||||
404,508 | Mastr Asset Backed Securities Trust 2005-NC1, 1M Libor + 2.30% | 2.404 | 12/25/2034 | 733,086 | ||||||||||
6,580,492 | Mastr Asset Backed Securities Trust 2006-AM3, 1M Libor + 0.26% | 0.369 | 10/25/2036 | 5,625,235 | ||||||||||
3,926,571 | Mastr Asset Backed Securities Trust 2007-HE1, 1M Libor + 0.30% | 0.409 | 5/25/2037 | 3,154,292 | ||||||||||
901,537 | Mastr Specialized Loan Trust, 1M Libor + 1.75%, 144A | 2.668 | 7/25/2035 | 950,084 | ||||||||||
1,433,187 | Mastr Specialized Loan Trust, 1M Libor + 1.25%, 144A | 1.359 | 11/25/2035 | 931,819 | ||||||||||
6,439,677 | Mastr Specialized Loan Trust, 1M Libor + 1.60%, 144A | 2.509 | 1/25/2036 | 4,391,059 | ||||||||||
2,755,788 | Mastr Specialized Loan Trust, 1M Libor + 0.65%, 144A | 1.084 | 1/25/2036 | 2,720,819 | ||||||||||
5,042,844 | Mastr Specialized Loan Trust, 1M Libor + 0.42% | 0.529 | 6/25/2046 | 4,586,473 | ||||||||||
1,265,803 | Meritage Mortgage Loan Trust 2004-2, 1M Libor + 1.73% | 1.834 | 1/25/2035 | 1,015,188 | ||||||||||
4,663,113 | Meritage Mortgage Loan Trust 2005-2, 1M Libor + 0.80% | 0.904 | 11/25/2035 | 4,483,509 | ||||||||||
17,465,837 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-H1, 1M Libor + 1.75% | 1.859 | 10/25/2037 | 15,926,744 | ||||||||||
3,299,147 | Merrill Lynch Mortgage Investors Trust 2002-AFC1, 1M Libor + 3.45% | 3.559 | 9/25/2032 | 3,361,330 | ||||||||||
22,325 | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A1, 12M Libor + 1.63% | 1.905 | 12/25/2032 | 22,241 | ||||||||||
138,894 | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A2, 6M Libor + 1.50% | 1.701 | 2/25/2033 | 139,950 | ||||||||||
628,133 | Merrill Lynch Mortgage Investors Trust Series 2003-OPT1, 1M Libor + 2.18% | 2.284 | 7/25/2034 | 619,197 | ||||||||||
2,847,836 | Merrill Lynch Mortgage Investors Trust Series 2004-OPT1, 1M Libor + 2.03% | 2.134 | 6/25/2035 | 2,802,271 | ||||||||||
1,504,514 | Merrill Lynch Mortgage Investors Trust Series 2004-WMC1, 1M Libor + 2.40% | 2.509 | 10/25/2034 | 1,571,296 | ||||||||||
5,862,980 | Merrill Lynch Mortgage Investors Trust Series 2005-A3, 1M Libor + 0.98% | 1.084 | 4/25/2035 | 6,097,532 | ||||||||||
5,792,111 | Merrill Lynch Mortgage Investors Trust Series 2005-AR1, 1M Libor +1.01% | 1.114 | 6/25/2036 | 5,622,525 | ||||||||||
8,968,054 | Merrill Lynch Mortgage Investors Trust Series 2005-WMC2, 1M Libor + 1.05% | 1.159 | 4/25/2036 | 9,063,770 | ||||||||||
6,759,000 | Merrill Lynch Mortgage Investors Trust Series 2006-HE1, 1M Libor + 0.40% | 0.709 | 12/25/2036 | 6,404,908 | ||||||||||
7,384,346 | Merrill Lynch Mortgage Investors Trust Series 2007-MLN1, 1M Libor + 0.32% | 0.429 | 3/25/2037 | 6,884,667 | ||||||||||
1,500,468 | Merrill Lynch Mortgage Investors Trust Series 2007-MLN1, 1M Libor + 0.26% | 0.369 | 3/25/2037 | 1,392,912 | ||||||||||
379,291 | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, 1M Libor + 1.01% | 1.114 | 3/25/2030 | 299,516 | ||||||||||
4,047,763 | Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1, (A) | 2.107 | 2/25/2036 | 2,967,761 | ||||||||||
4,173,609 | Morgan Stanley ABS Capital I Inc Trust 2004-HE9, 1M Libor + 1.88% | 1.984 | 11/25/2034 | 3,788,388 | ||||||||||
408,278 | Morgan Stanley ABS Capital I Inc Trust 2004-HE9, 1M Libor + 1.58% | 1.684 | 11/25/2034 | 385,407 | ||||||||||
1,467,565 | Morgan Stanley ABS Capital I Inc Trust 2004-WMC2, 1M Libor + 5.25% | 5.359 | 7/25/2034 | 1,937,193 | ||||||||||
293,209 | Morgan Stanley ABS Capital I Inc Trust 2004-WMC3, 1M Libor + 1.65% | 1.759 | 1/25/2035 | 35,853 | ||||||||||
1,932,721 | Morgan Stanley ABS Capital I Inc Trust 2004-WMC3, 1M Libor + 1.35% | 1.459 | 1/25/2035 | 1,908,750 | ||||||||||
13,317,481 | Morgan Stanley ABS Capital I Inc Trust 2005-HE4, 1M Libor + 0.89% | 0.994 | 7/25/2035 | 12,152,634 | ||||||||||
1,887,148 | Morgan Stanley ABS Capital I Inc Trust 2005-WMC2, 1M Libor + 0.98% | 1.084 | 2/25/2035 | 1,526,245 | ||||||||||
4,315,409 | Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, 1M Libor + 1.07% | 1.174 | 3/25/2035 | 3,726,174 | ||||||||||
5,572,934 | Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, 1M Libor + 1.80% | 1.909 | 6/25/2035 | 2,004,778 | ||||||||||
2,694,588 | Morgan Stanley ABS Capital I Inc Trust 2005-WMC6, 1M Libor + 1.07% | 1.174 | 7/25/2035 | 2,434,425 | ||||||||||
10,466,154 | Morgan Stanley ABS Capital I Inc Trust 2006-NC1, 1M Libor + 0.42% | 0.739 | 12/25/2035 | 9,476,872 | ||||||||||
3,683,627 | Morgan Stanley ABS Capital I Inc Trust 2006-WMC1, 1M Libor + 0.38% | 0.679 | 12/25/2035 | 3,385,738 | ||||||||||
1,910,543 | Morgan Stanley ABS Capital I Inc Trust 2007-HE6, 1M Libor + 0.26% | 0.369 | 5/25/2037 | 5,132,509 | ||||||||||
11,213,814 | Morgan Stanley ABS Capital I Inc Trust 2007-HE6, 1M Libor + 0.25% | 0.359 | 5/25/2037 | 10,346,718 | ||||||||||
10,150,900 | Morgan Stanley Capital I Inc Trust 2006-HE1, 1M Libor + 0.37% | 0.664 | 1/25/2036 | 8,677,580 | ||||||||||
1,642,790 | Morgan Stanley Dean Witter Capital I Inc Trust 2003-NC2, 1M Libor + 5.63% | 5.734 | 2/25/2033 | 1,656,060 | ||||||||||
5,308,259 | Morgan Stanley Home Equity Loan Trust 2005-2, 1M Libor + 1.07% | 1.174 | 5/25/2035 | 4,276,132 | ||||||||||
91,429 | Morgan Stanley Mortgage Loan Trust 2004-7AR, (A) | 2.568 | 9/25/2034 | 91,774 | ||||||||||
1,500,000 | Multifamily Connecticut Avenue Securities Trust 2019-01, 1M Libor + 5.50%, 144A | 5.609 | 10/15/2049 | 1,537,593 | ||||||||||
6,000,000 | Multifamily Connecticut Avenue Securities Trust 2019-01, 1M Libor + 3.25%, 144A | 3.359 | 10/15/2049 | 6,013,171 | ||||||||||
5,483,000 | Nationstar Home Equity Loan Trust 2006-B, 1M Libor + 0.37% | 0.479 | 9/25/2036 | 5,079,525 | ||||||||||
7,303,618 | Nationstar Home Equity Loan Trust 2007-A, 1M Libor + 0.37% | 0.479 | 3/25/2037 | 7,584,730 | ||||||||||
5,853,267 | Nationstar Home Equity Loan Trust 2007-B, 1M Libor + 0.47% | 0.579 | 4/25/2037 | 5,696,946 | ||||||||||
7,204,000 | Nationstar Home Equity Loan Trust 2007-1, 1M Libor + 0.41% | 0.519 | 4/25/2037 | 6,676,193 | ||||||||||
18,463,000 | Nationstar Home Equity Loan Trust 2007-C, 1M Libor + 0.25% | 0.359 | 6/25/2037 | 15,938,545 | ||||||||||
877,119 | New Century Home Equity Loan Trust, (A) | 5.650 | 8/25/2034 | 862,427 | ||||||||||
6,600,837 | New Century Home Equity Loan Trust 2004-4, 1M Libor + 1.43% | 1.534 | 2/25/2035 | 4,984,310 | ||||||||||
2,019,256 | New Century Home Equity Loan Trust 2005-1, 1M Libor + 1.20% | 1.309 | 3/25/2035 | 1,897,851 |
See accompanying notes to consolidated financial statements.
27
AlphaCentric Income Opportunities Fund (IOFAX, IOFCX, IOFIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Value | |||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 91.8% (Continued) | ||||||||||||||
3,681,065 | New Century Home Equity Loan Trust 2006-2, 1M Libor + 0.31% | 0.419 | 8/25/2036 | $ | 3,391,719 | |||||||||
198,157 | New Century Home Equity Loan Trust Series 2003-5, 1M Libor + 0.80% | 0.909 | 11/25/2033 | 185,329 | ||||||||||
38,580,213 | New Century Home Equity Loan Trust Series 2005-B, 1M Libor + 0.49% | 0.844 | 10/25/2035 | 35,055,266 | ||||||||||
16,208,115 | New Century Home Equity Loan Trust Series 2005-C, 1M Libor + 0.45% | 0.559 | 12/25/2035 | 14,834,268 | ||||||||||
10,390,000 | New Century Home Equity Loan Trust Series 2005-D, 1M Libor + 0.47% | 0.579 | 2/25/2036 | 9,137,173 | ||||||||||
19,918,000 | Newcastle Mortgage Securities Trust 2007-1, 1M Libor + 0.50% | 0.609 | 4/25/2037 | 16,887,158 | ||||||||||
16,791 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A1 | 7.000 | 4/25/2033 | 17,246 | ||||||||||
11,371 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A1 | 6.000 | 5/25/2033 | 11,493 | ||||||||||
4,750,000 | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2005-HE1, 1M Libor + 1.08% | 1.189 | 9/25/2035 | 4,223,571 | ||||||||||
21,405,196 | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE3, 1M Libor + 0.30% | 0.409 | 7/25/2036 | 15,503,734 | ||||||||||
1,284,324 | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-WF1, 1M Libor + 0.37% | 0.664 | 3/25/2036 | 1,248,368 | ||||||||||
3,126,335 | NovaStar Mortgage Funding Trust Series 2003-1, 1M Libor + 3.00% | 3.109 | 5/25/2033 | 2,869,558 | ||||||||||
10,000,000 | NovaStar Mortgage Funding Trust Series 2004-4, 1M Libor + 2.55% | 2.659 | 3/25/2035 | 9,994,948 | ||||||||||
15,309,759 | NovaStar Mortgage Funding Trust Series 2007-2, 1M Libor + 0.30% | 0.409 | 9/25/2037 | 14,058,341 | ||||||||||
5,931,281 | Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, 1M Libor + 0.43% | 0.754 | 12/25/2035 | 6,207,292 | ||||||||||
2,257,447 | Option One Mortgage Loan Trust 2005-3, 1M Libor + 1.01% | 1.114 | 8/25/2035 | 804,283 | ||||||||||
9,540,000 | Option One Mortgage Loan Trust 2005-3, 1M Libor + 0.93% | 1.039 | 8/25/2035 | 8,841,787 | ||||||||||
3,378,502 | Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, 1M Libor + 0.90% | 1.009 | 11/25/2035 | 3,194,398 | ||||||||||
2,184,729 | Option One Mortgage Loan Trust 2005-5 Asset-Backed Certificates Series 2005-5, 1M Libor + 0.58% | 0.979 | 12/25/2035 | 1,679,673 | ||||||||||
52,147,000 | Option One Mortgage Loan Trust 2006-1, 1M Libor + 0.38% | 0.679 | 1/25/2036 | 42,342,780 | ||||||||||
12,368,607 | Option One Mortgage Loan Trust 2007-CP1, 1M Libor + 0.30% | 0.409 | 3/25/2037 | 8,539,037 | ||||||||||
310,600 | Ownit Mortgage Loan Trust Series 2005-1, 1M Libor + 1.17% | 1.279 | 9/25/2035 | 278,129 | ||||||||||
9,746,008 | Ownit Mortgage Loan Trust Series 2005-4, 1M Libor + 0.55% | 0.934 | 8/25/2036 | 9,512,705 | ||||||||||
2,620,297 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, 1M Libor + 1.73% | 1.834 | 10/25/2034 | 2,030,173 | ||||||||||
16,346,871 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, 1M Libor + 2.10% | 2.209 | 12/25/2034 | 16,297,063 | ||||||||||
1,290,870 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW2, 1M Libor + 2.93% | 3.034 | 10/25/2034 | 593,515 | ||||||||||
6,346,905 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW2, 1M Libor + 2.18% | 2.284 | 10/25/2034 | 5,755,810 | ||||||||||
2,958,989 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WHQ2, 1M Libor + 2.63% | 2.734 | 2/25/2035 | 2,703,145 | ||||||||||
7,333,569 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WHQ2, 1M Libor + 1.95% | 2.059 | 2/25/2035 | 6,924,523 | ||||||||||
3,099,568 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WWF, 1M Libor + 2.03% | 2.134 | 12/25/2034 | 3,081,640 | ||||||||||
3,515,803 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCW, 1M Libor + 1.02% | 1.129 | 7/25/2035 | 4,040,627 | ||||||||||
2,310,000 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCW, 1M Libor + 0.98% | 1.084 | 7/25/2035 | 2,150,026 | ||||||||||
21,075,656 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCW3, 1M Libor + 0.64% | 1.069 | 8/25/2035 | 18,045,842 | ||||||||||
7,483,459 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WHQ1, 1M Libor + 1.88% | 1.984 | 3/25/2035 | 5,579,658 | ||||||||||
3,143,027 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WHQ3, 1M Libor + 1.80% | 1.909 | 6/25/2035 | 3,314,660 | ||||||||||
16,055,204 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WHQ4, 1M Libor + 0.61% | 1.024 | 9/25/2035 | 14,437,402 | ||||||||||
3,386,549 | Park Place Securities Inc Series 2005-WCW1, 1M Libor + 0.66% | 1.099 | 9/25/2035 | 3,001,029 | ||||||||||
2,125,000 | Popular ABS Mortgage Pass-Through Trust 2005-C, 1M Libor + 0.70% | 1.159 | 11/25/2035 | 2,027,430 | ||||||||||
6,677,452 | Popular ABS Mortgage Pass-Through Trust 2006-B, 1M Libor + 0.50% | 0.859 | 5/25/2036 | 5,154,153 | ||||||||||
8,278,675 | Popular ABS Mortgage Pass-Through Trust 2007-A, 1M Libor + 0.31% | 0.419 | 6/25/2047 | 7,084,026 | ||||||||||
5,984,900 | Quest Trust, 1M Libor + 3.53%, 144A | 3.484 | 3/25/2035 | 6,011,049 | ||||||||||
6,000,000 | Quest Trust, 1M Libor + 3.38%, 144A | 3.634 | 9/25/2034 | 5,403,197 | ||||||||||
8,674,000 | RAAC Series 2006-RP1 Trust, 1M Libor + 1.85% | 1.959 | 10/25/2045 | 8,917,671 | ||||||||||
4,374,601 | RAAC Series 2006-RP2 Trust, 1M Libor + 1.25%, 144A | 1.359 | 2/25/2037 | 3,086,221 | ||||||||||
4,638,000 | RAAC Series 2006-RP4 Trust, 1M Libor + 2.00% | 2.109 | 1/25/2046 | 4,341,796 | ||||||||||
1,908,845 | RAAC Series 2007-SP1 Trust, 1M Libor + 1.00% | 1.609 | 3/25/2037 | 1,625,108 | ||||||||||
13,901,973 | RAAC Series 2007-SP3 Trust, 1M Libor + 2.25% | 2.359 | 9/25/2047 | 11,137,778 | ||||||||||
2,196,781 | RAMP Series 2005-EFC1 Trust, 1M Libor + 1.80% | 1.909 | 5/25/2035 | 1,513,378 | ||||||||||
1,876,000 | RAMP Series 2005-EFC3 Trust, 1M Libor + 1.12% | 1.789 | 8/25/2035 | 1,869,648 | ||||||||||
11,363,000 | RAMP Series 2005-EFC4 Trust, 1M Libor + 0.70% | 1.159 | 9/25/2035 | 10,092,142 | ||||||||||
3,414,512 | RAMP Series 2005-EFC6 Trust, 1M Libor + 0.95% | 1.054 | 11/25/2035 | 2,098,272 | ||||||||||
2,608,009 | RAMP Series 2005-RS1 Trust, 1M Libor + 1.20% | 1.309 | 1/25/2035 | 2,446,926 | ||||||||||
3,010,636 | RAMP Series 2005-RS8 Trust, 1M Libor + 0.60% | 1.009 | 9/25/2035 | 2,693,610 | ||||||||||
8,364,783 | RAMP Series 2006-EFC1 Trust, 1M Libor + 0.54% | 0.919 | 2/25/2036 | 8,135,176 | ||||||||||
4,490,000 | RAMP Series 2006-NC1 Trust, 1M Libor + 0.40% | 0.718 | 1/25/2036 | 3,861,425 | ||||||||||
15,150,075 | RAMP Series 2006-NC3 Trust, 1M Libor + 0.36% | 0.649 | 3/25/2036 | 13,299,096 | ||||||||||
2,310,383 | RAMP Series 2006-RS1 Trust, 1M Libor + 0.41% | 0.724 | 1/25/2036 | 1,798,583 | ||||||||||
3,404,151 | RAMP Series 2006-RS4 Trust, 1M Libor + 0.38% | 0.679 | 7/25/2036 | 3,092,665 | ||||||||||
7,550,906 | RAMP Series 2006-RZ3 Trust, 1M Libor + 0.38% | 0.489 | 8/25/2036 | 7,459,330 | ||||||||||
15,222,380 | RAMP Series 2006-RZ4 Trust, 1M Libor + 0.38% | 0.489 | 10/25/2036 | 13,327,540 | ||||||||||
8,060,000 | RAMP Series 2006-RZ4 Trust, 1M Libor + 0.35% | 0.459 | 10/25/2036 | 7,640,929 | ||||||||||
11,464,653 | RAMP Series 2006-RZ5 Trust, 1M Libor + 0.36% | 0.469 | 8/25/2046 | 11,045,442 |
See accompanying notes to consolidated financial statements.
28
AlphaCentric Income Opportunities Fund (IOFAX, IOFCX, IOFIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Value | |||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 91.8% (Continued) | ||||||||||||||
3,282,616 | RASC Series 2004-KS6 Trust, 1M Libor + 1.77% | 1.879 | 7/25/2034 | $ | 3,103,196 | |||||||||
13,182,807 | RASC Series 2005-AHL3 Trust, 1M Libor + 0.44% | 0.769 | 11/25/2035 | 10,142,215 | ||||||||||
1,753,915 | RASC Series 2005-EMX1 Trust, 1M Libor + 4.50%, 144A | 4.609 | 3/25/2035 | 1,707,480 | ||||||||||
2,607,565 | RASC Series 2005-EMX3 Trust, 1M Libor + 0.72% | 1.189 | 9/25/2035 | 2,061,625 | ||||||||||
1,338,919 | RASC Series 2005-KS1 Trust, 1M Libor + 1.88% | 1.984 | 2/25/2035 | 1,269,742 | ||||||||||
1,361,728 | RASC Series 2005-KS2 Trust, 1M Libor + 1.16% | 1.264 | 3/25/2035 | 1,389,336 | ||||||||||
1,433,183 | RASC Series 2005-KS6 Trust, 1M Libor + 2.55% | 2.659 | 7/25/2035 | 1,415,504 | ||||||||||
2,350,032 | RASC Series 2005-KS9 Trust, 1M Libor + 1.25% | 1.984 | 10/25/2035 | 1,737,926 | ||||||||||
5,954,351 | RASC Series 2005-KS12 Trust, 1M Libor + 0.67% | 1.114 | 1/25/2036 | 5,638,430 | ||||||||||
2,708,626 | RASC Series 2006-EMX1 Trust, 1M Libor + 0.47% | 0.814 | 1/25/2036 | 1,740,009 | ||||||||||
7,981,831 | RASC Series 2006-EMX2 Trust, 1M Libor + 0.42% | 0.739 | 2/25/2036 | 5,751,180 | ||||||||||
8,786,154 | RASC Series 2006-EMX3 Trust, 1M Libor + 0.33% | 0.604 | 4/25/2036 | 7,295,286 | ||||||||||
8,895,647 | RASC Series 2006-EMX4 Trust, 1M Libor + 0.28% | 0.529 | 6/25/2036 | 7,291,084 | ||||||||||
7,339,449 | RASC Series 2006-KS1 Trust, 1M Libor + 0.53% | 0.904 | 2/25/2036 | 6,758,794 | ||||||||||
5,001,215 | RASC Series 2006-KS2 Trust, 1M Libor + 0.50% | 0.859 | 3/25/2036 | 4,097,687 | ||||||||||
9,374,110 | RASC Series 2006-KS4 Trust, 1M Libor + 0.30% | 0.559 | 6/25/2036 | 8,398,065 | ||||||||||
17,352,899 | RASC Series 2006-KS7 Trust, 1M Libor + 0.29% | 0.409 | 9/25/2036 | 15,706,754 | ||||||||||
7,287,206 | RASC Series 2006-KS8 Trust, 1M Libor + 0.29% | 0.399 | 10/25/2036 | 6,739,876 | ||||||||||
16,074,000 | RASC Series 2007-KS1 Trust, 1M Libor + 0.24% | 0.349 | 1/25/2037 | 11,629,524 | ||||||||||
30,896,662 | RASC Series 2007-KS2 Trust, 1M Libor + 0.26% | 0.369 | 2/25/2037 | 28,719,035 | ||||||||||
10,776,606 | RASC Series 2007-KS3 Trust, 1M Libor + 0.38% | 0.489 | 4/25/2037 | 8,706,199 | ||||||||||
2,104,677 | Renaissance Home Equity Loan Trust 2002-1, 1M Libor + 2.93% | 3.034 | 6/25/2032 | 1,824,853 | ||||||||||
1,335,987 | Renaissance Home Equity Loan Trust 2003-2, 1M Libor + 2.25% | 2.359 | 8/25/2032 | 1,308,312 | ||||||||||
454,954 | Renaissance Home Equity Loan Trust 2003-2, (B) | 4.304 | 8/25/2033 | 436,710 | ||||||||||
6,999,243 | Renaissance Home Equity Loan Trust 2004-3, (B) | 5.284 | 11/25/2034 | 6,761,653 | ||||||||||
12,358,754 | Renaissance Home Equity Loan Trust 2005-1, (B) | 5.405 | 5/25/2035 | 2,501,417 | ||||||||||
8,163,776 | Renaissance Home Equity Loan Trust 2005-2, (B) | 5.101 | 8/25/2035 | 2,407,502 | ||||||||||
89,254 | RFMSI Series 2005-SA1 Trust, (A) | 2.409 | 3/25/2035 | 51,976 | ||||||||||
211,120 | SASCO Mortgage Loan Trust 2003-GEL1, 1M Libor + 4.50% | 4.609 | 10/25/2033 | 181,143 | ||||||||||
2,309,753 | Saxon Asset Securities Trust 2004-2, (B) | 6.000 | 8/25/2035 | 1,968,643 | ||||||||||
2,149,653 | Saxon Asset Securities Trust 2005-2, 1M Libor + 0.71% | 0.814 | 10/25/2035 | 1,943,156 | ||||||||||
4,415,933 | Saxon Asset Securities Trust 2005-4, 1M Libor + 0.62% | 1.039 | 11/25/2037 | 3,327,495 | ||||||||||
11,131,164 | Saxon Asset Securities Trust 2006-2, 1M Libor + 0.32% | 0.429 | 9/25/2036 | 10,044,707 | ||||||||||
11,065,000 | Saxon Asset Securities Trust 2006-2, 1M Libor + 0.30% | 0.409 | 9/25/2036 | 10,353,880 | ||||||||||
4,259,170 | Saxon Asset Securities Trust 2007-3, 1M Libor + 0.90% | 1.009 | 9/25/2047 | 3,142,277 | ||||||||||
36,690,000 | Saxon Asset Securities Trust 2007-3, 1M Libor + 0.80% | 0.909 | 9/25/2047 | 33,159,266 | ||||||||||
21,892,000 | Saxon Asset Securities Trust 2007-3, 1M Libor + 0.80% | 0.909 | 9/25/2047 | 19,414,828 | ||||||||||
10,935,000 | Saxon Asset Securities Trust 2007-4,1M Libor + 3.00%, 144A | 3.109 | 12/25/2037 | 7,240,502 | ||||||||||
7,000,000 | Seasoned Credit Risk Transfer Trust Series 2020-2 (A) | 4.250 | 11/25/2059 | 7,126,606 | ||||||||||
376,116 | Securitized Asset Backed Receivables LLC Trust 2005-OP1, 1M Libor + 1.83% | 1.939 | 1/25/2035 | 393,067 | ||||||||||
8,744,255 | Securitized Asset Backed Receivables LLC Trust 2005-OP2, 1M Libor + 0.67% | 1.114 | 10/25/2035 | 5,123,120 | ||||||||||
6,301,000 | Securitized Asset Backed Receivables LLC Trust 2005-OP2, 1M Libor + 0.64% | 1.069 | 10/25/2035 | 5,352,752 | ||||||||||
6,228,554 | Securitized Asset Backed Receivables LLC Trust 2006-FR1, 1M Libor + 0.60% | 0.709 | 11/25/2035 | 5,625,681 | ||||||||||
18,990 | Security National Mortgage Loan Trust 2005-1, 1M Libor + 0.40%,144A | 0.518 | 2/25/2035 | 18,986 | ||||||||||
1,500,000 | Security National Mortgage Loan Trust 2005-2, 144A (A) | 8.109 | 2/25/2035 | 1,235,488 | ||||||||||
14,101,406 | Sequoia Mortgage Trust 2004-10 (A) | 0.706 | 11/20/2034 | 156,558 | ||||||||||
1,212,313 | Sequoia Mortgage Trust 2004-10, 1M Libor + 0.75% | 0.861 | 11/20/2034 | 1,028,652 | ||||||||||
5,879,000 | SG Mortgage Securities Trust 2005-OPT1, 1M Libor + 0.59% | 0.994 | 10/25/2035 | 5,452,718 | ||||||||||
2,747,949 | Soundview Home Loan Trust 2005-1, 1M Libor + 1.95% | 2.059 | 4/25/2035 | 2,940,766 | ||||||||||
2,455,104 | Soundview Home Loan Trust 2005-3, 1M Libor + 0.99% | 1.099 | 6/25/2035 | 2,520,778 | ||||||||||
1,156,264 | Soundview Home Loan Trust 2005-A, 1M Libor + 1.35% | 1.459 | 4/25/2035 | 1,225,685 | ||||||||||
5,321,456 | Soundview Home Loan Trust 2005-OPT1, 1M Libor + 1.05% | 1.159 | 6/25/2035 | 3,130,803 | ||||||||||
4,542,879 | Soundview Home Loan Trust 2005-OPT1, 1M Libor + 0.83% | 0.934 | 6/25/2035 | 4,110,626 | ||||||||||
5,708,590 | Soundview Home Loan Trust 2005-OPT2, 1M Libor + 1.13% | 1.234 | 8/25/2035 | 3,083,811 | ||||||||||
8,802,000 | Soundview Home Loan Trust 2005-OPT2, 1M Libor + 0.98% | 1.084 | 8/25/2035 | 7,614,622 | ||||||||||
1,787,500 | Soundview Home Loan Trust 2005-OPT3, 1M Libor + 0.68% | 1.129 | 11/25/2035 | 1,158,076 | ||||||||||
6,587,649 | Soundview Home Loan Trust 2005-OPT4, 1M Libor + 0.55% | 0.934 | 12/25/2035 | 5,347,846 | ||||||||||
9,276,514 | Soundview Home Loan Trust 2006-1, 1M Libor + 0.41% | 0.724 | 2/25/2036 | 7,770,816 | ||||||||||
26,019,045 | Soundview Home Loan Trust 2006-EQ1, 1M Libor + 0.25% | 0.359 | 10/25/2036 | 27,610,633 | ||||||||||
55,923,582 | Soundview Home Loan Trust 2006-OPT2, 1M Libor + 0.30% | 0.409 | 5/25/2036 | 52,587,651 | ||||||||||
8,783,686 | Soundview Home Loan Trust 2006-OPT3, 1M Libor + 0.31% | 0.419 | 6/25/2036 | 8,304,423 | ||||||||||
11,891,945 | Soundview Home Loan Trust 2006-OPT4, 1M Libor + 0.28% | 0.529 | 6/25/2036 | 11,120,189 | ||||||||||
51,758,389 | Soundview Home Loan Trust 2006-OPT5, 1M Libor + 0.25% | 0.359 | 7/25/2036 | 50,469,832 |
See accompanying notes to consolidated financial statements.
29
AlphaCentric Income Opportunities Fund (IOFAX, IOFCX, IOFIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Value | |||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 91.8% (Continued) | ||||||||||||||
16,000,000 | Soundview Home Loan Trust 2006-OPT5, 1M Libor + 0.24% | 0.349 | 7/25/2036 | $ | 15,089,819 | |||||||||
4,210,678 | Specialty Underwriting & Residential Finance Trust Series 2005-BC3, 1M Libor + 0.98% | 1.084 | 6/25/2036 | 3,516,161 | ||||||||||
5,008,048 | Specialty Underwriting & Residential Finance Trust Series 2006-AB1, 1M Libor + 0.59% | 0.703 | 12/25/2036 | 5,191,524 | ||||||||||
8,500,000 | STACR Trust 2018-HRP1, 1M Libor + 3.75%, 144A | 3.859 | 4/25/2043 | 8,589,204 | ||||||||||
2,400,000 | STACR Trust 2018-HRP2, 1M Libor + 10.50% | 10.609 | 2/25/2047 | 2,664,017 | ||||||||||
4,000,000 | STACR Trust 2018-HRP2, 1M Libor + 4.20% | 4.309 | 2/25/2047 | 4,103,045 | ||||||||||
10,000,000 | STACR Trust 2018-HRP2, 1M Libor + 2.40% | 2.509 | 2/25/2047 | 10,120,271 | ||||||||||
3,130,599 | Structured Asset Investment Loan Trust 2004-BNC2, 1M Libor + 1.73% | 1.834 | 12/25/2034 | 2,829,801 | ||||||||||
25,570,000 | Structured Asset Investment Loan Trust 2005-4, 1M Libor + 0.98% | 1.084 | 5/25/2035 | 24,308,688 | ||||||||||
12,536,193 | Structured Asset Investment Loan Trust 2005-5, 1M Libor + 0.98% | 1.084 | 6/25/2035 | 12,614,183 | ||||||||||
10,500,242 | Structured Asset Investment Loan Trust 2005-6, 1M Libor + 0.98% | 1.084 | 7/25/2035 | 9,186,417 | ||||||||||
9,012,139 | Structured Asset Investment Loan Trust 2005-8, 1M Libor + 0.75% | 0.859 | 10/25/2035 | 8,862,131 | ||||||||||
3,023,794 | Structured Asset Investment Loan Trust 2005-HE2, 1M Libor + 0.78% | 0.889 | 7/25/2035 | 2,677,043 | ||||||||||
1,960,789 | Structured Asset Investment Loan Trust 2005-HE3, 1M Libor + 0.80% | 0.904 | 9/25/2035 | 2,433,976 | ||||||||||
8,828,000 | Structured Asset Investment Loan Trust 2005-HE3, 1M Libor + 0.74% | 0.844 | 9/25/2035 | 8,270,998 | ||||||||||
154,129 | Structured Asset Mortgage Investments II Trust 2004-AR5, (A) | 2.032 | 10/19/2034 | 149,409 | ||||||||||
2,631,144 | Structured Asset Mortgage Investments II Trust 2004-AR5, 1M Libor + 0.50% | 0.860 | 7/19/2035 | 2,478,750 | ||||||||||
1,654,073 | Structured Asset Mortgage Investments Trust 2002-AR4, 1M Libor + 0.83% | 0.935 | 2/19/2033 | 1,336,289 | ||||||||||
2,462,286 | Structured Asset Securities Corp 2005-NC1, 1M Libor + 1.30% | 2.059 | 2/25/2035 | 2,395,327 | ||||||||||
1,982,949 | Structured Asset Securities Corp 2005-RMS1, 1M Libor + 0.75% | 0.859 | 2/25/2035 | 1,822,474 | ||||||||||
478,047 | Structured Asset Securities Corp 2005-WF1, 1M Libor + 1.91% | 2.014 | 2/25/2035 | 478,139 | ||||||||||
3,392,722 | Structured Asset Securities Corp Mortgage Loan Trust 2005-NC2, 1M Libor + 1.05% | 1.159 | 5/25/2035 | 3,093,877 | ||||||||||
1,876,560 | Structured Asset Securities Corp Mortgage Loan Trust 2005-WF3, 1M Libor + 3.75%, 144A | 3.859 | 7/25/2035 | 1,842,095 | ||||||||||
9,415,856 | Structured Asset Securities Corp Mortgage Loan Trust 2006-W1, 1M Libor + 0.30%, 144A | 0.409 | 8/25/2046 | 8,992,452 | ||||||||||
6,876,000 | Structured Asset Securities Corp Mortgage Loan Trust 2006-WF1, 1M Libor + 0.95% | 1.534 | 2/25/2036 | 5,314,086 | ||||||||||
5,898,155 | Structured Asset Securities Corp Mortgage Loan Trust 2007-BC1, 1M Libor + 0.23% | 0.339 | 2/25/2037 | 6,406,096 | ||||||||||
7,000,000 | Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3, 1M Libor + 0.30% | 0.409 | 5/25/2047 | 6,159,724 | ||||||||||
6,246,184 | Structured Asset Securities Corp Trust 2005-AR1, 1M Libor + 0.50% | 0.859 | 9/25/2035 | 6,246,693 | ||||||||||
7,793,006 | Terwin Mortgage Trust 2006-1, 1M Libor + 0.49%, 144A | 0.844 | 1/25/2037 | 6,747,432 | ||||||||||
10,883,830 | Terwin Mortgage Trust 2006-5, 1M Libor + 0.36%, 144A | 0.469 | 7/25/2037 | 9,717,165 | ||||||||||
7,425,000 | Terwin Mortgage Trust 2006-7, 1M Libor + 0.27%, 144A | 0.649 | 7/25/2037 | 5,795,235 | ||||||||||
5,740,000 | Terwin Mortgage Trust 2007-QHL1, 1M Libor + 1.50%, 144A | 1.609 | 10/25/2038 | 5,604,616 | ||||||||||
2,997,346 | Terwin Mortgage Trust Series TMTS 2005-6HE, 1M Libor + 1.20% | 1.309 | 4/25/2036 | 3,001,653 | ||||||||||
440,530 | Thornburg Mortgage Securities Trust 2004-2, 1M Libor + 1.00% | 1.109 | 6/25/2044 | 343,930 | ||||||||||
757,000 | Truman Capital Mortgage Loan Trust, 1M Libor + 3.50%, 144A | 3.609 | 3/25/2037 | 807,628 | ||||||||||
134,831 | WaMu Mortgage Pass-Through Certificates Series 2002-AR17 Trust, 1M Libor + 1.25% | 1.707 | 11/25/2042 | 137,213 | ||||||||||
919,913 | WaMu Mortgage Pass-Through Certificates Series 2003-AR10 Trust (A) | 2.565 | 10/25/2033 | 811,122 | ||||||||||
2,331,137 | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE1 Trust, 1M Libor + 0.36% | 0.649 | 4/25/2036 | 1,728,184 | ||||||||||
7,067,690 | Wells Fargo Home Equity Asset-Backed Securities 2005-4 Trust, 1M Libor + 0.45% | 0.784 | 5/25/2036 | 5,778,721 | ||||||||||
10,469,169 | Wells Fargo Home Equity Asset-Backed Securities 2006-1 Trust, 1M Libor + 0.35% | 0.459 | 7/25/2036 | 9,324,524 | ||||||||||
12,161,752 | Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, 1M Libor + 0.27% | 0.514 | 1/25/2037 | 12,263,230 | ||||||||||
TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $2,686,557,547) | 3,357,280,466 | |||||||||||||
REAL ESTATE INVESTMENT TRUSTS - 1.5% | ||||||||||||||
806,924 | American Homes 4 Rent | 26,902,846 | ||||||||||||
854,144 | Invitation Homes, Inc. | 27,324,067 | ||||||||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $41,702,121) | 54,226,913 | |||||||||||||
TOTAL INVESTMENTS - 98.2% (Cost $2,910,578,945) | $ | 3,588,309,601 | ||||||||||||
OTHER ASSETS LESS LIABILITIES - 1.8% | 67,495,980 | |||||||||||||
TOTAL NET ASSETS - 100.0% | $ | 3,655,805,581 |
** | Illiquid security. Total illiquid securities represents 0.1% of net assets as of March 31, 2021. |
^ | Fair Valued by the Board of Trustees in good faith using significant unobservable inputs. |
(A) | Variable rate security. |
(B) | STEP Coupon Bond. |
144A - Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. At March 31, 2021, 144A securities amounted to $434,076,401 or 11.87% of net assets.
See accompanying notes to consolidated financial statements.
30
AlphaCentric Premium Opportunity Fund (HMXAX, HMXCX, HMXIX) |
PORTFOLIO OF INVESTMENTS |
March 31, 2021 |
Shares | Value | |||||||
MUTUAL FUND - 2.3% | ||||||||
FIXED INCOME - 2.3% | ||||||||
201,369 | AlphaCentric Income Opportunities Fund - Class I ** (Cost $2,271,959) | $ | 2,317,760 |
Contracts | Notional Amount | Exercise Price | Expiration | Value | ||||||||||||||||
PURCHASED CALL OPTIONS - 0.6% | ||||||||||||||||||||
S&P 500 EMINI | 80 | $ | 16,280,000 | $ | 4,070 | 4/30/2021 | 87,600 | |||||||||||||
S&P EMINI 3rd week | 80 | 16,400,000 | 4,100 | 5/21/2021 | 121,200 | |||||||||||||||
S&P 500 EMINI | 41 | 7,995,000 | 3,900 | 6/30/2021 | 343,170 | |||||||||||||||
S&P 500 EMINI | 9 | 1,845,000 | 4,100 | 6/30/2021 | 25,110 | |||||||||||||||
TOTAL PURCHASED CALL OPTIONS (Cost $751,825) | 577,080 | |||||||||||||||||||
PURCHASED PUT OPTIONS - 0.1% | ||||||||||||||||||||
S&P Emini 1st Week | 20 | 3,900,000 | 3,900 | 4/1/2021 | 900 | |||||||||||||||
Emini SP M Week | 20 | 3,925,000 | 3,925 | 4/5/2021 | 7,000 | |||||||||||||||
Emini SP W Week | 10 | 1,965,000 | 3,930 | 4/7/2021 | 7,000 | |||||||||||||||
S&P Emini 3rd Week | 30 | 5,700,000 | 3,800 | 4/16/2021 | 19,650 | |||||||||||||||
S&P500 EMINI | 41 | 7,687,500 | 3,750 | 6/30/2021 | 153,340 | |||||||||||||||
TOTAL PURCHASED PUT OPTIONS (Cost $328,150) | 187,890 | |||||||||||||||||||
TOTAL PURCHASED OPTIONS (Cost $1,079,975) | 764,970 |
Shares | ||||||||||||||
SHORT-TERM INVESTMENTS - 80.8% | ||||||||||||||
MONEY MARKET FUNDS - 71.5% | ||||||||||||||
2,484,990 | Fidelity Investments Money Market Government Portfolio - Class I, to yield 0.01% * # | 2,484,990 | ||||||||||||
70,457,615 | First American Government Obligations Fund - Class U, to yield 0.04% | 70,457,615 | ||||||||||||
72,942,605 | ||||||||||||||
Principal ($) | ||||||||||||||
U.S. GOVERNMENT TREASURY OBLIGATIONS ^ - 9.3% | ||||||||||||||
Coupon Rate (%) | Maturity | |||||||||||||
6,000,000 | United States Treasury Bill # | 0.000 | 5/20/2021 | 5,999,898 | ||||||||||
3,200,000 | United States Treasury Bill # | 0.000 | 7/15/2021 | 3,199,918 | ||||||||||
250,000 | United States Treasury Bill # | 0.000 | 8/12/2021 | 249,983 | ||||||||||
9,449,799 | ||||||||||||||
TOTAL SHORT- TERM INVESTMENTS (Cost $82,390,915) | 82,392,404 | |||||||||||||
TOTAL INVESTMENTS - 83.8% (Cost $85,742,849) | $ | 85,475,134 | ||||||||||||
OPTIONS WRITTEN - (0.5) % (Proceeds $983,637) | (530,395 | ) | ||||||||||||
OTHER ASSETS LESS LIABILITIES - 16.7% | 17,079,420 | |||||||||||||
NET ASSETS - 100% | $ | 102,024,159 |
^ | Zero Coupon Bonds. |
# | All or a portion of this investment is segregated as collateral for option contracts and future contracts. |
* | Money market fund; interest rate reflects seven-day effective yield on March 31, 2021. |
** | Affiliated Security. |
See accompanying notes to consolidated financial statements.
31
AlphaCentric Premium Opportunity Fund (HMXAX, HMXCX, HMXIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Notional | Exercise | |||||||||||||||||
Contracts | Amount | Price | Expiration | Value | ||||||||||||||
WRITTEN CALL OPTIONS - (0.2)% | ||||||||||||||||||
EMINI SP M Week O | 50 | $ | 10,212,500 | $ | 4,085 | 4/5/2021 | $ | 500 | ||||||||||
EMINI SP W Week O | 40 | 8,170,000 | 4,085 | 4/7/2021 | 1,500 | |||||||||||||
S&P 500 EMINI | 160 | 33,440,000 | 4,180 | 4/30/2021 | 40,800 | |||||||||||||
S&P EMINI 3rd week | 160 | 33,760,000 | 4,220 | 5/21/2021 | 72,000 | |||||||||||||
S&P 500 EMINI | 100 | 21,050,000 | 4,210 | 6/30/2021 | 128,500 | |||||||||||||
TOTAL WRITTEN CALL OPTIONS (Proceeds $501,925) | 243,300 | |||||||||||||||||
WRITTEN PUT OPTIONS - (0.3)% | ||||||||||||||||||
S&P Emini 1st Week | 40 | 7,680,000 | 3,840 | 4/1/2021 | 500 | |||||||||||||
Emini SP M Week O | 40 | 7,730,000 | 3,865 | 4/5/2021 | 3,600 | |||||||||||||
Emini SP W Week O | 20 | 3,870,000 | 3,870 | 4/7/2021 | 5,700 | |||||||||||||
S&P Emini 3rd Week | 60 | 10,860,000 | 3,620 | 4/16/2021 | 13,050 | |||||||||||||
S&P500 EMINI | 41 | 6,519,000 | 3,180 | 6/30/2021 | 38,335 | |||||||||||||
S&P500 EMINI | 41 | 7,995,000 | 3,900 | 6/30/2021 | 225,910 | |||||||||||||
TOTAL WRITTEN PUT OPTIONS (Proceeds $481,712) | 287,095 | |||||||||||||||||
TOTAL WRITTEN OPTIONS (Proceeds $983,637) | $ | 530,395 |
See accompanying notes to consolidated financial statements.
32
AlphaCentric Premium Opportunity Fund (HMXAX, HMXCX, HMXIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Unrealized | ||||||||||||||
Open Long Future | Appreciation/ | |||||||||||||
Contracts | Description | Expiration | Notional Value | (Depreciation) | ||||||||||
60 | CBOE VIX Future | Apr-21 | $ | 1,244,040 | $ | (142,760 | ) | |||||||
5 | CME E-Mini NASDAQ 100 Index Future | Jun-21 | 1,308,975 | 30,950 | ||||||||||
150 | CME E-Mini Standard & Poor's 500 Index Future Jun-21 | 29,755,500 | 511,750 | |||||||||||
Unrealized Appreciation from Open Long Futures Contracts | $ | 399,940 | ||||||||||||
Open Short Future | ||||||||||||||
Contracts | Description | Expiration | Notional Value | Unrealized Appreciation | ||||||||||
(55 | ) | CBOE VIX Future | May-21 | $ | (1,247,169 | ) | $ | 101,131 | ||||||
Unrealized Appreciation from Open Short Futures Contracts | $ | 101,131 | ||||||||||||
Net Unrealized Appreciation from Open Futures Contracts | $ | 501,071 |
See accompanying notes to consolidated financial statements.
33
AlphaCentric Robotics and Automation Fund (GNXAX, GNXCX, GNXIX) |
PORTFOLIO OF INVESTMENTS |
March 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS - 93.9% | ||||||||
AEROSPACE & DEFENSE - 3.3% | ||||||||
12,500 | Aerovironment, Inc.* | $ | 1,450,750 | |||||
AUTOMOTIVE - 2.8% | ||||||||
50,000 | Luminar Technologies, Inc. * | 1,215,500 | ||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 2.5% | ||||||||
25,000 | Bioxcel Therapeutics, Inc. * ^ | 1,079,000 | ||||||
DIVERSIFIED INDUSTRIALS - 2.2% | ||||||||
12,500 | Omron Corp. | 977,376 | ||||||
ELECTRICAL EQUIPMENT - 11.6% | ||||||||
25,000 | Allied Motion Technologies, Inc. | 1,283,250 | ||||||
10,000 | Ametek, Inc. | 1,277,300 | ||||||
25,000 | CyberOptics Corp. * ^ | 649,250 | ||||||
7,500 | Novanta, Inc. * | 989,175 | ||||||
10,000 | Renishaw PLC | 884,388 | ||||||
5,083,363 | ||||||||
INDUSTRIAL INTERMEDIATE PRODUCTION - 3.5% | ||||||||
40,000 | Raven Industries, Inc. | 1,533,200 | ||||||
MACHINERY - 26.3% | ||||||||
125,000 | AgEagle Aerial Systems, Inc. * ^ | 782,500 | ||||||
50,000 | ATS Automation Tooling Systems, Inc. * | 1,053,029 | ||||||
100,000 | Balyo SA * | 249,164 | ||||||
11,000 | Daifuku Co Ltd. | 1,079,095 | ||||||
5,000 | FANUC Corp. | 1,184,842 | ||||||
1,000,000 | FBR Ltd. * | 39,606 | ||||||
32,500 | GEA Group AG | 1,334,995 | ||||||
15,000 | Harmonic Drive Systems, Inc. | 1,015,385 | ||||||
5,000 | Kardex Holding AG | 1,024,279 | ||||||
2,000 | Keyence Corp. | 909,864 | ||||||
300,000 | Kraken Robotics, Inc. * | 169,471 | ||||||
50,000 | Sandvik AB | 1,368,700 | ||||||
50,000 | Scott Technology Ltd. | 70,385 | ||||||
25,000 | Yaskawa Electric Corp. | 1,246,606 | ||||||
11,527,921 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 21.4% | ||||||||
225,000 | Accuray, Inc. * | 1,113,750 | ||||||
150,000 | Asensus Surgical, Inc. * ^ | 487,500 | ||||||
50,000 | ClearPoint Neuro, Inc. * | 1,057,000 | ||||||
2,000 | Intuitive Surgical, Inc. * | 1,477,880 |
See accompanying notes to consolidated financial statements.
34
AlphaCentric Robotics and Automation Fund (GNXAX, GNXCX, GNXIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Shares | Value | |||||||
MEDICAL EQUIPMENT & DEVICES (continued) - 21.4% | ||||||||
100,000 | Microbot Medical, Inc. * ^ | $ | 851,000 | |||||
20,000 | Siemens Healthineers AG | 1,085,978 | ||||||
325,000 | Stereotaxis, Inc. * | 2,184,000 | ||||||
2,500 | Tecan Group AG | 1,114,063 | ||||||
9,371,171 | ||||||||
SEMICONDUCTORS - 6.6% | ||||||||
20,000 | Brooks Automation, Inc. | 1,633,000 | ||||||
30,000 | Infineon Technologies AG | 1,274,790 | ||||||
2,907,790 | ||||||||
SOFTWARE - 8.3% | ||||||||
25,000 | Nuance Communications, Inc. * ^ | 1,091,000 | ||||||
10,000 | Omnicell, Inc. * | 1,298,700 | ||||||
5,000 | Synopsys, Inc. * | 1,238,900 | ||||||
3,628,600 | ||||||||
TECHNOLOGY HARDWARE - 5.4% | ||||||||
100,000 | Nano Dimension Ltd. - ADR * ^ | 859,000 | ||||||
12,500 | Nidec Corp. | 1,519,796 | ||||||
2,378,796 | ||||||||
TOTAL COMMON STOCKS (Cost $27,202,586) | 41,153,467 | |||||||
SHORT-TERM INVESTMENT - 9.4% | ||||||||
INVESTMENT PURCHASED AS SECURITIES LENDING | ||||||||
COLLATERAL - 9.4% ^^ | ||||||||
4,111,085 | Mount Vernon Liquid Assets Portfolio, to yield 0.33% - (Cost $4,111,085) | 4,111,085 | ||||||
TOTAL INVESTMENTS - 103.3% (Cost $31,313,671) | $ | 45,264,552 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.3)% | (1,457,151 | ) | ||||||
NET ASSETS - 100% | $ | 43,807,401 |
AG - Aktiengesellschaft |
PLC - Public Limited Company |
SA - Société Anonyme |
* | Non-income producing security |
^ | All or a portion of this security is out on loan as of March 31, 2021. The total value of securities on loan as of March 31, 2021 is $4,099,163. |
^^ | This security was purchased with cash collateral held from securities on loan. The total value of such security as March 31, 2021 is $4,111,085. |
See accompanying notes to consolidated financial statements.
35
AlphaCentric Symmetry Strategy Fund (SYMAX, SYMCX, SYMIX) |
CONSOLIDATED PORTFOLIO OF INVESTMENTS |
March 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS - 41.1% | ||||||||
ASSET MANAGEMENT - 1.6% | ||||||||
19,943 | Invesco Ltd. | $ | 502,962 | |||||
5,125 | UBS Group A.G. | 79,694 | ||||||
582,656 | ||||||||
AUTOMOTIVE - 1.9% | ||||||||
225 | Faurecia S.E. * | 11,982 | ||||||
23,800 | Mazda Motor Corporation | 194,277 | ||||||
13,233 | Stellantis N.V. | 234,598 | ||||||
4,400 | TS Tech Company Ltd. | 65,662 | ||||||
5,597 | Valeo SA | 190,569 | ||||||
697,088 | ||||||||
BANKING - 1.0% | ||||||||
30,500 | Mebuki Financial Group, Inc. | 72,041 | ||||||
6,010 | Raiffeisen Bank International A.G. * | 132,300 | ||||||
6,527 | Skandinaviska Enskilda Banken A.B. | 79,713 | ||||||
3,733 | Swedbank A.B. | 65,912 | ||||||
349,966 | ||||||||
BEVERAGES - 0.2% | ||||||||
682 | Monster Beverage Corp. | 62,123 | ||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 0.8% | ||||||||
99 | Bachem Holding AG | 42,602 | ||||||
600 | Chugai Pharmaceutical Co. Ltd. | 24,375 | ||||||
668 | Dechra Pharmaceuticals PLC | 31,612 | ||||||
283 | Eli Lilly and Company | 52,870 | ||||||
3,744 | GlaxoSmithKline PLC | 66,533 | ||||||
1,300 | Kyowa Kirin Company Ltd. | 38,941 | ||||||
365 | Novo Nordisk AS | 24,788 | ||||||
1,100 | Ono Pharmaceutical Company Ltd. | 28,769 | ||||||
310,490 | ||||||||
CABLE & SATELLITE - 0.1% | ||||||||
87 | Charter Communications, Inc. * | 53,681 | ||||||
CHEMICALS - 0.4% | ||||||||
7 | Givaudan S.A. | 27,088 | ||||||
900 | Nitto Denko Corp. | 77,050 | ||||||
498 | Novozymes A/S | 31,975 | ||||||
228 | Symrise A.G. | 27,708 | ||||||
163,821 | ||||||||
COMMERCIAL SUPPORT SERVICES - 0.3% | ||||||||
1,348 | Rollins, Inc. | 46,398 | ||||||
861 | Sodexo S.A. | 82,756 | ||||||
129,154 | ||||||||
CONSTRUCTION MATERIALS - 0.6% | ||||||||
3,480 | Cie de Saint-Gobain | 205,811 |
See accompanying notes to consolidated financial statements.
36
AlphaCentric Symmetry Strategy Fund (SYMAX, SYMCX, SYMIX) |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Shares | Value | |||||||
E-COMMERCE DISCRETIONARY - 0.5% | ||||||||
18 | Amazon.com, inc. * | $ | 55,693 | |||||
2,160 | eBay, Inc. | 132,278 | ||||||
187,971 | ||||||||
ELECTRICAL EQUIPMENT - 0.3% | ||||||||
367 | Kone OYJ | 30,047 | ||||||
1,506 | Signify N.V. | 77,809 | ||||||
107,856 | ||||||||
ENGINEERING & CONSTRUCTION - 2.1% | ||||||||
9,800 | Hazama Ando Corp. | 75,296 | ||||||
5,700 | Kajima Corp. | 81,038 | ||||||
2,400 | Nippo Corp. | 65,593 | ||||||
6,700 | Nishimatsu Construction Company Ltd. | 170,259 | ||||||
24,900 | Penta-Ocean Construction Company Ltd. | 195,820 | ||||||
209 | Spirax-Sarco Engineering plc | 32,873 | ||||||
21,800 | Toda Corp. | 159,998 | ||||||
780,877 | ||||||||
ENTERTAINMENT CONTENT - 0.1% | ||||||||
2,200 | Mixi, Inc. | 55,149 | ||||||
FOOD - 0.9% | ||||||||
887 | Campbell Soup Co. | 44,589 | ||||||
3,003 | Conagra Brands, Inc. | 112,913 | ||||||
213 | Nestle S.A. | 23,840 | ||||||
300 | Nissin Foods Holdings Company Ltd. | 22,290 | ||||||
2,570 | Orkla ASA | 25,241 | ||||||
7,497 | Tate & Lyle PLC | 79,356 | ||||||
600 | Toyo Suisan Kaisha Ltd. | 25,249 | ||||||
333,478 | ||||||||
FORESTRY, PAPER & WOOD PRODUCTS - 0.7% | ||||||||
8,669 | Stora Enso Oyj | 162,051 | ||||||
3,900 | Sumitomo Forestry Company Ltd. | 84,212 | ||||||
246,263 | ||||||||
GAS & WATER UTILITIES - 0.2% | ||||||||
900 | Iwatani Corp. | 55,629 | ||||||
HEALTHCARE FACILITIES & SERVICES - 2.9% | ||||||||
1,814 | Centene Corp. * | 115,933 | ||||||
647 | Cigna Corp. | 156,406 | ||||||
2,948 | CVS Health Corp. | 221,778 | ||||||
1,233 | DaVita, Inc. * | 132,880 | ||||||
777 | Fresenius Medical Care A.G. & Company KGaA | 57,276 | ||||||
267 | Humana, Inc. | 111,940 | ||||||
54 | Lonza Group A.G. | 30,318 | ||||||
864 | Quest Diagnostics, Inc. | 110,886 | ||||||
350 | UnitedHealth Group, Inc. | 130,225 | ||||||
1,067,642 |
See accompanying notes to consolidated financial statements.
37
AlphaCentric Symmetry Strategy Fund (SYMAX, SYMCX, SYMIX) |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Shares | Value | |||||||
HOME & OFFICE PRODUCTS - 0.4% | ||||||||
300 | Rinnai Corp. | $ | 33,638 | |||||
575 | Whirlpool Corp. | 126,701 | ||||||
160,339 | ||||||||
HOME CONSTRUCTION - 1.7% | ||||||||
1,563 | DR Horton, Inc. | 139,295 | ||||||
1,482 | Lennar Corp. | 150,023 | ||||||
1,965 | Masco Corp. | 117,704 | ||||||
4,500 | Pressance Corp. | 68,783 | ||||||
2,563 | PulteGroup, Inc. | 134,404 | ||||||
610,209 | ||||||||
HOUSEHOLD PRODUCTS - 0.1% | ||||||||
230 | The Clorox Company | 44,362 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - 1.4% | ||||||||
6,217 | IG Group Holdings PLC | 77,284 | ||||||
1,300 | Japan Exchange Group, Inc. | 30,529 | ||||||
2,210 | Morgan Stanley | 171,629 | ||||||
31,300 | Nomura Holdings, Inc. | 164,686 | ||||||
2,700 | SBI Holdings, Inc. | 73,303 | ||||||
517,431 | ||||||||
INSURANCE - 6.2% | ||||||||
849 | Admiral Group PLC | 36,324 | ||||||
8,045 | American International Group, Inc. | 371,759 | ||||||
32,133 | Aviva PLC | 180,971 | ||||||
5,991 | AXA S.A. | 161,139 | ||||||
2,200 | MS&AD Insurance Group Holdings, Inc. | 64,686 | ||||||
3,786 | NN Group N.V. | 185,508 | ||||||
6,283 | Principal Financial Group, Inc. | 376,729 | ||||||
3,830 | SCOR S.E. | 130,991 | ||||||
1,700 | Sompo Holdings, Inc. | 65,262 | ||||||
6,100 | T&D Holdings, Inc. | 78,720 | ||||||
1,200 | The Allstate Corporation | 137,880 | ||||||
1,217 | The Progressive Corporation | 116,357 | ||||||
12,633 | Unum Group | 351,576 | ||||||
2,257,902 | ||||||||
INTERNET MEDIA & SERVICES - 0.1% | ||||||||
361 | Scout24 A.G. | 27,451 | ||||||
LEISURE FACILITIES & SERVICES - 1.4% | ||||||||
13,088 | MGM Resorts International | 497,213 | ||||||
MACHINERY - 0.4% | ||||||||
800 | Azbil Corp. | 34,498 | ||||||
300 | Daifuku Co. Ltd. | 29,430 | ||||||
2,578 | Valmet OYJ | 93,958 | ||||||
157,886 |
See accompanying notes to consolidated financial statements.
38
AlphaCentric Symmetry Strategy Fund (SYMAX, SYMCX, SYMIX) |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Shares | Value | |||||||
MEDICAL EQUIPMENT & DEVICES - 1.2% | ||||||||
519 | Agilent Technologies, Inc. | $ | 65,986 | |||||
93 | Bio-Rad Laboratories, Inc. * | 53,119 | ||||||
153 | Coloplast A/S | 23,061 | ||||||
230 | Danaher Corporation | 51,768 | ||||||
120 | IDEXX Laboratories, Inc. * | 58,717 | ||||||
411 | PerkinElmer, Inc. | 52,727 | ||||||
63 | Tecan Group A.G. | 28,074 | ||||||
112 | Thermo Fisher Scientific, Inc. | 51,115 | ||||||
192 | West Pharmaceutical Services, Inc. | 54,102 | ||||||
438,669 | ||||||||
METALS & MINING - 0.3% | ||||||||
1,765 | Newmont Corporation | 106,377 | ||||||
OIL & GAS PRODUCERS - 2.1% | ||||||||
8,600 | Cosmo Energy Holdings Company Ltd. | 205,233 | ||||||
36,200 | Eneos Holdings, Inc. | 164,325 | ||||||
2,952 | Total SE | 137,999 | ||||||
3,674 | Valero Energy Corporation | 263,058 | ||||||
770,615 | ||||||||
REAL ESTATE OWNERS & DEVELOPERS - 0.1% | ||||||||
1,299 | Kojamo Oyj | 25,466 | ||||||
REAL ESTATE SERVICES - 0.2% | ||||||||
2,700 | Starts Corp, Inc. | 70,982 | ||||||
RETAIL - CONSUMER STAPLES - 2.2% | ||||||||
200 | Cosmos Pharmaceutical Corporation | 31,258 | ||||||
145 | Costco Wholesale Corporation | 51,110 | ||||||
900 | Create SD Holdings Company Ltd. | 29,321 | ||||||
244 | Dollar General Corporation | 49,439 | ||||||
988 | Etablissements Franz Colruyt N.V. | 59,059 | ||||||
2,150 | Koninklijke Ahold Delhaize N.V. | 60,014 | ||||||
900 | Sugi Holdings Company Ltd. | 71,430 | ||||||
1,700 | Sundrug Company Ltd. | 62,308 | ||||||
691 | Target Corporation | 136,866 | ||||||
3,315 | The Kroger Company | 119,307 | ||||||
200 | Tsuruha Holdings, Inc. | 25,846 | ||||||
336 | Walmart, Inc. | 45,639 | ||||||
900 | Yaoko Company Ltd. | 55,385 | ||||||
796,982 | ||||||||
RETAIL - DISCRETIONARY - 2.4% | ||||||||
947 | Best Buy Company, Inc. | 108,725 | ||||||
11,299 | Kohl's Corporation | 673,533 | ||||||
4,800 | K's Holdings Corporation | 66,071 | ||||||
200 | Nitori Holdings Company Ltd. | 38,778 | ||||||
887,107 |
See accompanying notes to consolidated financial statements.
39
AlphaCentric Symmetry Strategy Fund (SYMAX, SYMCX, SYMIX) |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Shares | Value | |||||||
SOFTWARE - 0.5% | ||||||||
418 | Akamai Technologies, Inc. * | $ | 42,594 | |||||
290 | Citrix Systems, Inc. | 40,705 | ||||||
900 | Itochu Techno-Solutions Corporation | 29,036 | ||||||
300 | Oracle Corp Japan | 29,321 | ||||||
136 | Tyler Technologies, Inc. * | 57,736 | ||||||
199,392 | ||||||||
STEEL - 0.4% | ||||||||
4,200 | Nippon Steel Trading Corp. | 154,127 | ||||||
TECHNOLOGY HARDWARE - 1.4% | ||||||||
19,902 | Hewlett Packard Enterprise Company | 313,257 | ||||||
346 | Logitech International S.A. | 36,447 | ||||||
500 | Murata Manufacturing Company Ltd. | 40,009 | ||||||
100 | Nintendo Company Ltd. | 55,937 | ||||||
700 | Sony Group Corporation | 73,453 | ||||||
519,103 | ||||||||
TECHNOLOGY SERVICES - 0.2% | ||||||||
1,890 | Computacenter PLC | 61,801 | ||||||
TELECOMMUNICATIONS - 0.8% | ||||||||
399 | Elisa OYJ | 23,982 | ||||||
320 | Iliad S.A. | 60,965 | ||||||
1,000 | KDDI Corporation | 30,724 | ||||||
1,200 | Nippon Telegraph & Telephone Corporation | 30,863 | ||||||
3,388 | Proximus S.A. | 73,905 | ||||||
43 | Swisscom A.G. | 23,164 | ||||||
1,623 | United Internet A.G. | 65,237 | ||||||
308,840 | ||||||||
TOBACCO & CANNABIS - 0.3% | ||||||||
1,887 | British American Tobacco PLC | 72,221 | ||||||
399 | Swedish Match A.B. | 31,210 | ||||||
103,431 | ||||||||
TRANSPORTATION & LOGISTICS - 2.0% | ||||||||
6,316 | Alaska Air Group, Inc. | 437,130 | ||||||
38 | AP Moller - Maersk A/S | 88,485 | ||||||
1,281 | Deutsche Post A.G. | 70,340 | ||||||
1,900 | Hitachi Transport System Ltd. | 63,964 | ||||||
2,300 | Yamato Holdings Company Ltd. | 63,172 | ||||||
723,091 | ||||||||
WHOLESALE - CONSUMER STAPLES - 0.5% | ||||||||
6,100 | Mitsubishi Corp. | 172,787 | ||||||
WHOLESALE - DISCRETIONARY - 0.2% | ||||||||
1,939 | Bunzl PLC | 62,146 | ||||||
TOTAL COMMON STOCKS (Cost $10,917,376) | 15,063,364 |
See accompanying notes to consolidated financial statements.
40
AlphaCentric Symmetry Strategy Fund (SYMAX, SYMCX, SYMIX) |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 26.7% | ||||||||
EQUITY- 15.4% | ||||||||
2,262 | Communication Services Select Sector SPDR Fund | $ | 165,850 | |||||
1,005 | Consumer Discretionary Select Sector SPDR Fund | 168,910 | ||||||
2,557 | Consumer Staples Select Sector SPDR Fund | 174,669 | ||||||
3,362 | Energy Select Sector SPDR Fund | 164,940 | ||||||
5,010 | Financial Select Sector SPDR Fund | 170,590 | ||||||
4,212 | Global X MSCI Greece ETF | 111,365 | ||||||
1,438 | Health Care Select Sector SPDR Fund | 167,872 | ||||||
1,787 | Industrial Select Sector SPDR Fund | 175,930 | ||||||
17,164 | Invesco S&P 500 BuyWrite ETF | 371,772 | ||||||
2,135 | iShares China Large-Cap ETF | 99,619 | ||||||
12,644 | iShares Mortgage Real Estate ETF | 445,827 | ||||||
3,284 | iShares MSCI Brazil ETF | 109,850 | ||||||
3,335 | iShares MSCI Chile ETF | 114,224 | ||||||
2,553 | iShares MSCI India ETF | 107,686 | ||||||
4,584 | iShares MSCI Indonesia ETF | 100,160 | ||||||
3,851 | iShares MSCI Malaysia ETF | 104,362 | ||||||
2,576 | iShares MSCI Mexico ETF | 112,906 | ||||||
2,826 | iShares MSCI Peru ETF | 96,070 | ||||||
3,470 | iShares MSCI Philippines ETF | 101,393 | ||||||
5,611 | iShares MSCI Poland ETF | 101,559 | ||||||
2,265 | iShares MSCI South Africa ETF | 111,846 | ||||||
1,191 | iShares MSCI South Korea ETF | 106,833 | ||||||
1,792 | iShares MSCI Taiwan ETF | 107,448 | ||||||
1,345 | iShares MSCI Thailand ETF | 110,599 | ||||||
3,547 | iShares MSCI Turkey ETF | 81,546 | ||||||
2,201 | Materials Select Sector SPDR Fund | 173,439 | ||||||
4,335 | Real Estate Select Sector SPDR Fund | 171,189 | ||||||
9,779 | SPDR S&P International Dividend ETF | 372,971 | ||||||
1,239 | Technology Select Sector SPDR Fund | 164,552 | ||||||
2,246 | Utilities Select Sector SPDR Fund | 143,834 | ||||||
4,281 | VanEck Vectors Russia ETF | 110,493 | ||||||
3,910 | Vanguard Global ex-U.S. Real Estate ETF | 218,022 | ||||||
3,743 | Vanguard High Dividend Yield ETF | 378,380 | ||||||
2,432 | Vanguard Real Estate ETF | 223,404 | ||||||
5,640,110 | ||||||||
FIXED INCOME - 11.3% | ||||||||
19,251 | Invesco Senior Loan ETF | 426,025 | ||||||
6,268 | iShares 0-5 Year High Yield Corporate Bond ETF | 287,137 | ||||||
10,149 | iShares 1-3 Year Treasury Bond ETF | 875,351 | ||||||
13,142 | iShares International Preferred Stock ETF | 217,208 | ||||||
7,892 | iShares J.P. Morgan EM High Yield Bond ETF | 350,957 | ||||||
2,929 | iShares JP Morgan USD Emerging Markets Bond ETF | 318,910 | ||||||
770 | iShares National Muni Bond ETF | 89,358 | ||||||
5,718 | iShares Preferred & Income Securities ETF | 219,571 | ||||||
1,623 | iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF | 88,746 |
See accompanying notes to consolidated financial statements.
41
AlphaCentric Symmetry Strategy Fund (SYMAX, SYMCX, SYMIX) |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Shares | Value | |||||||
FIXED INCOME (continued) - 11.3% | ||||||||
5,658 | iShares US & International High Yield Corp Bond ETF | $ | 284,001 | |||||
1,453 | Schwab US TIPS ETF | 88,865 | ||||||
4,914 | SPDR Bloomberg Barclays Convertible Securities ETF | 409,582 | ||||||
2,634 | SPDR Bloomberg Barclays High Yield Bond ETF | 286,579 | ||||||
2,905 | SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 89,009 | ||||||
1,568 | SPDR FTSE International Government Inflation-Protected Bond ETF | 87,071 | ||||||
4,118,370 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $8,928,336) | 9,758,480 |
Principal ($) | Coupon Rate (%) | Maturity | Value | |||||||||||
SHORT-TERM INVESTMENT - 8.2% | ||||||||||||||
U.S. TREASURY BILL - 8.2% | ||||||||||||||
3,000,000 | United States Treasury Bill # (Cost $2,999,984) | 0.000 | 4/20/2021 | 2,999,984 | ||||||||||
TOTAL INVESTMENTS - 76.0% (Cost $22,845,696) | $ | 27,821,828 | ||||||||||||
OTHER ASSETS LESS LIABILITIES - 24.0% | 8,799,383 | |||||||||||||
NET ASSETS - 100% | $ | 36,621,211 |
* | Non-Income Producing Security |
# | Zero Coupon Bonds |
AB - Aktiebolag |
AG - Aktiengesellschaft |
A/S - Anonim Sirketi |
ASA - Allmennaksjeselskap |
ETF - Exchange Traded Fund |
NV - Naamloze Vennootschap |
OYJ - Julkiset Osakeyhtiot |
PLC - Public Limited Company |
SA - Société Anonyme |
SE - Societas Europaea |
SpA - Societa per Azioni |
See accompanying notes to consolidated financial statements.
42
AlphaCentric Symmetry Strategy Fund (SYMAX, SYMCX, SYMIX) |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Unrealized | ||||||||||||||
Open Long Future | Appreciation/ | |||||||||||||
Contracts | Description | Expiration | Notional Value | (Depreciation) | ||||||||||
14 | 3 Mo Euro (Euribor) | Jun-21 | $ | 4,135,766 | $ | 2,418 | ||||||||
14 | 3 Mo Euro (Euribor) | Sep-21 | 4,135,766 | 422 | ||||||||||
14 | 3 Mo Euro (Euribor) | Mar-22 | 4,135,560 | 215 | ||||||||||
23 | 90 Day Sterling Future | Jun-21 | 3,962,871 | (806 | ) | |||||||||
44 | CBOT Corn Future + | May-21 | 1,241,350 | 49,637 | ||||||||||
18 | CBOT Corn Future + | Jul-21 | 492,750 | 21,112 | ||||||||||
17 | CBOT Soybean Future + | May-21 | 1,221,238 | 48,200 | ||||||||||
37 | CBOT Wheat Future + | May-21 | 1,143,300 | (68,925 | ) | |||||||||
14 | CME 3 Month Eurodollar Future | Jun-21 | 3,493,875 | 950 | ||||||||||
38 | CME Australian Dollar Currency Future | Jun-21 | 2,888,570 | (51,945 | ) | |||||||||
33 | CME British Pound Currency Future | Jun-21 | 2,842,331 | (32,131 | ) | |||||||||
37 | CME Canadian Dollar Currency Future | Jun-21 | 2,944,090 | (7,164 | ) | |||||||||
17 | CME Euro Foreign Exchange Currency Future | Jun-21 | 2,495,175 | (43,706 | ) | |||||||||
26 | CME Live Cattle Future + | Jun-21 | 1,278,160 | 39,880 | ||||||||||
10 | CME Live Cattle Future + | Aug-21 | 487,900 | — | ||||||||||
12 | COMEX Copper Future + | Jul-21 | 1,200,150 | (21,862 | ) | |||||||||
19 | Montreal Exchange 3 Month Canadian Bankers Acceptance Future | Jun-21 | 3,762,094 | 2,246 | ||||||||||
19 | Montreal Exchange 3 Month Canadian Bankers Acceptance Future | Sep-21 | 3,761,338 | 1,416 | ||||||||||
19 | Montreal Exchange 3 Month Canadian Bankers Acceptance Future | Dec-21 | 3,759,826 | (754 | ) | |||||||||
19 | Montreal Exchange 3 Month Canadian Bankers Acceptance Future | Mar-22 | 3,759,070 | (427 | ) | |||||||||
66 | NYBOT CSC Number 11 World Sugar Future + | May-21 | 1,091,798 | (155,613 | ) | |||||||||
20 | NYMEX Light Sweet Crude Oil Future + | Jun-21 | 1,183,600 | (20,000 | ) | |||||||||
8 | NYMEX Light Sweet Crude Oil Future + | Sep-21 | 465,920 | 850 | ||||||||||
16 | NYMEX NY Harbor ULSD Futures + | Jun-21 | 1,191,322 | (14,078 | ) | |||||||||
15 | NYMEX Reformulated Gasoline Blendstock for Oxygen + | Jun-21 | 1,230,768 | 52,979 | ||||||||||
6 | NYMEX Reformulated Gasoline Blendstock for Oxygen + | Sep-21 | 474,869 | 10,080 | ||||||||||
Unrealized Depreciation from Open Long Futures Contracts | $ | (187,006 | ) |
+ | All of this investment is a holding of the ACSSF Fund Limited. |
See accompanying notes to consolidated financial statements.
43
AlphaCentric Symmetry Strategy Fund (SYMAX, SYMCX, SYMIX) |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Unrealized | ||||||||||||||
Open Short Future | Appreciation/ | |||||||||||||
Contracts | Description | Expiration | Notional Value | (Depreciation) | ||||||||||
(34 | ) | CBOT 10 Year US Treasury Note | Jun-21 | $ | (4,451,892 | ) | $ | 109,953 | ||||||
(8 | ) | CME British Pound Currency Future | Jun-21 | (689,050 | ) | 6,025 | ||||||||
(15 | ) | CME Euro Foreign Exchange Currency Future | Jun-21 | (2,201,625 | ) | 34,463 | ||||||||
(56 | ) | CME Japanese Yen Currency Future | Jun-21 | (6,324,850 | ) | 126,182 | ||||||||
(1 | ) | CME Norwegian Krone Currency Future | Jun-21 | (233,660 | ) | 2,530 | ||||||||
(21 | ) | CME Swiss Franc Currency Future | Jun-21 | (2,781,188 | ) | 31,962 | ||||||||
(5 | ) | COMEX Copper Future + | Jul-21 | (500,188 | ) | 16,837 | ||||||||
(7 | ) | COMEX Gold 100 Troy Ounces Future + | Jun-21 | (1,200,920 | ) | 5,530 | ||||||||
(3 | ) | COMEX Gold 100 Troy Ounces Future + | Aug-21 | (515,250 | ) | 36,610 | ||||||||
(22 | ) | Eurex 10 Year Euro BUND Future | Jun-21 | (4,428,722 | ) | (4,227 | ) | |||||||
(26 | ) | Long Gilt Future | Jun-21 | (4,576,936 | ) | 44,182 | ||||||||
(41 | ) | Montreal Exchange 10 Year Canadian Bond Future | Jun-21 | (4,526,849 | ) | 117,067 | ||||||||
(30 | ) | NYMEX Henry Hub Natural Gas Futures + | Jun-21 | (800,100 | ) | (500 | ) | |||||||
(18 | ) | NYMEX Henry Hub Natural Gas Futures + | Aug-21 | (493,200 | ) | 32,710 | ||||||||
(6 | ) | NYMEX NY Harbor ULSD Futures + | Sep-21 | (449,417 | ) | 10,769 | ||||||||
(3 | ) | TSE Japanese 10 Year Bond Futures | Jun-21 | (4,103,892 | ) | (5,332 | ) | |||||||
Unrealized Appreciation from Open Short Futures Contracts | $ | 564,761 | ||||||||||||
Net Unrealized Appreciation from Open Futures Contracts | $ | 377,755 |
+ | All of this investment is a holding of the ACSSF Fund Limited. |
See accompanying notes to consolidated financial statements.
44
AlphaCentric Symmetry Strategy Fund (SYMAX, SYMCX, SYMIX) |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
CREDIT DEFAULT SWAPS | |||||||||||||||||||||||||||||
Upfront | |||||||||||||||||||||||||||||
Implied | Frequency | Premiums | Unrealized | ||||||||||||||||||||||||||
Buy/Sell | Fixed Rate | Credit | of | Expiration | Notional | Paid/ | Appreciation/ | ||||||||||||||||||||||
Counterparty | Index | Protection | Received | Spread | Payments | Date | Amount | Value | (Received) | (Depreciation) | |||||||||||||||||||
Credit Suisse | Markit CDX Emerging Markets Index | Sell | 1.00 | % | 185.72 | % | Quarterly | 7/10/2026 | $ | 356,000 | $ | (14,801 | ) | $ | (12,477 | ) | $ | (2,324 | ) | ||||||||||
Credit Suisse | Markit CDX North America High Yield Index | Sell | 5.00 | % | 307.84 | % | Quarterly | 7/10/2026 | 285,000 | 25,814 | 24,697 | 1,117 | |||||||||||||||||
Credit Suisse | Markit CDX North America Investment Grade Index | Sell | 1.00 | % | 54.32 | % | Quarterly | 7/10/2026 | 89,000 | 2,105 | 1,941 | 164 | |||||||||||||||||
Credit Suisse | Markit iTraxx Europe Index | Sell | 1.00 | % | 52.40 | % | Quarterly | 7/10/2026 | 73,500 | 1,848 | 2,088 | (240 | ) | ||||||||||||||||
Credit Suisse | Markit iTraxx Europe Crossover Index | Sell | 5.00 | % | 254.19 | % | Quarterly | 7/10/2026 | 236,000 | 27,964 | 30,485 | (2,521 | ) | ||||||||||||||||
Net Unrealized Depreciation on Swap Contracts | $ | 46,734 | $ | (3,804 | ) |
See accompanying notes to consolidated financial statements.
45
AlphaCentric LifeSci Healthcare Fund (LYFAX, LYFCX, LYFIX) |
PORTFOLIO OF INVESTMENTS |
March 31, 2021 |
Shares | Value | |||||||
COMMON STOCKS - 94.5% | ||||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 93.1% | ||||||||
425 | Abbvie, Inc. | $ | 45,994 | |||||
51,000 | Adaptimmune Therapeutics PLC. - ADR * | 270,810 | ||||||
17,000 | ADC Therapeutics SA * | 414,970 | ||||||
21,000 | Aeglea BioTherapeutics, Inc. * | 166,320 | ||||||
580 | Alexion Pharmaceuticals, Inc.* | 88,688 | ||||||
1,400 | Allakos, Inc. * | 160,692 | ||||||
2,000 | Apellis Pharmaceuticals, Inc. * | 85,820 | ||||||
33,000 | Applied Therapeutics, Inc. * | 618,915 | ||||||
12,000 | Arcutis Biotherapeutics, Inc. * | 347,160 | ||||||
2,750 | Arena Pharmaceuticals, Inc. | 190,823 | ||||||
20,538 | Athira Pharma, Inc. | 377,899 | ||||||
10,000 | Atreca, Inc. * | 153,300 | ||||||
35,000 | Aurinia Pharmaceuticals, Inc. * | 454,475 | ||||||
10,000 | Axsome Therapeutics, Inc. * | 566,200 | ||||||
400 | Biogen, Inc. * | 111,900 | ||||||
8,000 | BioMarin Pharmaceutical, Inc. * | 604,080 | ||||||
37,500 | Bluebird Bio, Inc. * | 1,130,625 | ||||||
710 | Bristol-Myers Squibb Co. | 44,822 | ||||||
60,000 | Catalyst Biosciences, Inc. * | 302,400 | ||||||
25,000 | Celldex Therapeutics, Inc. * | 515,000 | ||||||
90,000 | Cogent Biosciences, Inc. * | 790,200 | ||||||
11,000 | Coherus Biosciences, Inc.* | 160,710 | ||||||
9,000 | Collegium Pharmaceutical, Inc. * | 213,300 | ||||||
4,000 | Constellation Pharmaceuticals, Inc. * | 93,560 | ||||||
12,500 | Cytokinetics, Inc. * | 290,750 | ||||||
9,000 | Decibel Therapeutics, Inc. * | 102,240 | ||||||
11,000 | Dyne Therapeutics, Inc. * | 170,830 | ||||||
14,000 | Exelixis, Inc.* | 316,260 | ||||||
37,000 | Fusion Pharmaceuticals, Inc. * | 396,640 | ||||||
17,000 | Galapagos NV - ADR * | 1,310,530 | ||||||
11,800 | Gilead Sciences, Inc. | 762,634 | ||||||
10,000 | GlaxoSmithKline PLC - ADR | 356,900 | ||||||
19,000 | Gracell Biotechnologies, Inc. - ADR * | 292,600 | ||||||
1,000 | Horizon Therapeutics PLC * | 92,040 | ||||||
10,000 | Ideaya Biosciences, Inc. * | 235,000 | ||||||
34,000 | Immatics NV * | 381,140 | ||||||
6,250 | Incyte Corp. * | 507,937 | ||||||
1,100 | Insmed, Inc. * | 37,466 | ||||||
7,000 | Intra-Cellular Therapies, Inc. * | 237,510 | ||||||
3,000 | Iovance Biotherapeutics, Inc. * | 94,980 | ||||||
30,000 | Kadmon Holdings, Inc. * | 116,700 | ||||||
52,000 | Karyopharm Therapeutics, Inc. * | 547,040 | ||||||
19,000 | Kiniksa Pharmaceuticals Ltd. * | 351,690 | ||||||
20,000 | Legend Biotech Corporation - ADR * | 580,400 | ||||||
35,000 | MEI Pharma, Inc. * | 120,050 | ||||||
14,500 | Merck & Co., Inc. | 1,117,805 | ||||||
30,500 | Mersana Therapeutics, Inc. * | 493,490 | ||||||
5,500 | Morphic Holding, Inc. * | 348,040 | ||||||
19,000 | MorphoSys AG - ADR * | 414,200 | ||||||
2,000 | Neurocrine Biosciences, Inc. * | 194,500 | ||||||
22,000 | Oyster Point Pharma, Inc. * | 402,160 | ||||||
4,000 | Pfizer, Inc. | 144,920 | ||||||
20,000 | Puma Biotechnology, Inc. * | 194,400 |
See accompanying notes to consolidated financial statements.
46
AlphaCentric LifeSci Healthcare Fund (LYFAX, LYFCX, LYFIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Shares | Value | |||||||
BIOTECHNOLOGY & PHARMACEUTICALS (continued) - 93.1% | ||||||||
2,500 | Reata Pharmaceuticals, Inc. * | $ | 249,250 | |||||
2,800 | Regeneron Pharmaceuticals, Inc. * | 1,324,792 | ||||||
6,500 | Revance Therapeutics, Inc. * | 181,675 | ||||||
9,500 | Sarepta Therapeutics, Inc. * | 708,035 | ||||||
4,000 | Sutro Biopharma, Inc. * | 91,040 | ||||||
2,200 | Takeda Pharmaceutical Co. Ltd. - ADR | 40,172 | ||||||
5,500 | TCR2 Therapeutics, Inc. * | 121,440 | ||||||
16,000 | Translate Bio, Inc. * | 263,840 | ||||||
32,500 | uniQure NV * | 1,094,925 | ||||||
550 | United Therapeutics Corp. * | 91,998 | ||||||
4,000 | Vertex Pharmaceuticals, Inc. * | 859,560 | ||||||
92,402 | Viracta Therapeutics, Inc. * | 854,719 | ||||||
22,000 | Y-mAbs Therapeutics, Inc. * | 665,280 | ||||||
5,000 | Zentalis Pharmaceuticals, Inc. * | 216,950 | ||||||
27,000 | Zogenix, Inc. * | 527,040 | ||||||
6,000 | Zymeworks, Inc. * | 189,480 | ||||||
25,999,711 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 0.9% | ||||||||
64 | Bio-Rad Laboratories, Inc. * | 36,555 | ||||||
17,000 | Lucira Health, Inc. * | 205,700 | ||||||
242,255 | ||||||||
SOFTWARE - 0.5% | ||||||||
5,500 | Oscar Health, Inc. * | 147,840 | ||||||
TOTAL COMMON STOCKS (Cost $26,280,308) | 26,389,806 | |||||||
SHORT-TERM INVESTMENT - 0.7% | ||||||||
MONEY MARKET FUND - 0.7% | ||||||||
201,247 | Fidelity Investments Money Market Fund, Government Portoflio, Institituional Class to yield 0.01% ^ | 201,247 | ||||||
TOTAL SHORT-TERM INVESTMENT (Cost $201,247) | ||||||||
TOTAL INVESTMENTS - 95.2% (Cost $26,481,555) | $ | 26,591,053 | ||||||
OTHER ASSETS LESS LIABILITIES - 4.8% | 1,328,384 | |||||||
NET ASSETS - 100% | $ | 27,919,437 |
* | Non-income producing security |
^ | Money market fund; interest rate reflects seven-day effective yield on March 31, 2021. |
ADR - American Depository Receipt |
AG - Aktiengesellschaft |
NV - Naamioze Vennootschap |
PLC - Public Limited Company |
SA - Société Anonyme |
See accompanying notes to consolidated financial statements.
47
AlphaCentric Municipal Opportunities Fund (MUNAX, MUNCX, MUNIX) |
PORTFOLIO OF INVESTMENTS |
March 31, 2021 |
Shares | Value | |||||||
CLOSED END FUNDS - 30.9% | ||||||||
FIXED INCOME - 30.9% | ||||||||
1,750 | BlackRock Long-Term Municipal Advantage Trust | $ | 22,155 | |||||
1,900 | BlackRock Municipal Income Trust | 28,500 | ||||||
1,490 | BlackRock Municipal Income Trust II | 22,738 | ||||||
4,078 | BlackRock MuniHoldings New Jersey Quality Fund, Inc. | 60,599 | ||||||
3,400 | BlackRock MuniYield Investment Quality Fund | 49,300 | ||||||
4,590 | BlackRock MuniYield New Jersey Fund, Inc. | 66,601 | ||||||
1,720 | BlackRock New York Municipal Income Trust II | 26,101 | ||||||
5,367 | Nuveen Municipal Credit Opportunities Fund | 75,299 | ||||||
5,202 | Nuveen Municipal High Income Opportunity Fund | 75,065 | ||||||
6,266 | Pioneer Municipal High Income Advantage Trust | 74,064 | ||||||
TOTAL CLOSED END FUNDS (Cost $490,603) | 500,422 | |||||||
EXCHANGE TRADED FUNDS - 11.9% | ||||||||
FIXED INCOME - 11.9% | ||||||||
1,545 | SPDR Nuveen Bloomberg Barclays High Yield Municipal Bond ETF | 91,665 | ||||||
1,608 | VanEck Vectors High-Yield Municipal Index ETF | 99,937 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $189,074) | 191,602 |
Principal Amount ($) | Coupon Rate (%) | Maturity | ||||||||||||
MUNICIPAL BONDS - 52.8% | ||||||||||||||
CITY - 3.6% | ||||||||||||||
50,000 | City of Waukegan | 4.000 | 12/30/2037 | 57,530 | ||||||||||
CONTINUING CARE RETIREMENT CENTER - 17.7% | ||||||||||||||
25,000 | Health & Educational Facilities Authority of the State of Missouri | 5.000 | 2/1/2046 | 27,547 | ||||||||||
10,000 | Illinois Finance Authority | 4.000 | 5/15/2035 | 10,599 | ||||||||||
50,000 | Illinois Finance Authority | 5.000 | 5/15/2056 | 55,864 | ||||||||||
25,000 | Palm Beach County Health Facilities Authority | 5.000 | 5/15/2047 | 27,841 | ||||||||||
25,000 | South Carolina Jobs-Economic Development Authority | 5.000 | 11/15/2054 | 26,772 | ||||||||||
50,000 | Tempe Industrial Development Authority | 6.125 | 10/1/2047 | 53,887 | ||||||||||
80,000 | Wisconsin Health & Educational Facilities Authority | 4.000 | 7/1/2048 | 84,520 | ||||||||||
287,030 | ||||||||||||||
ECONOMIC & INDUSTRIAL DEVELOPMENT - 6.2% | ||||||||||||||
100,000 | Port of Greater Cincinnati Development Authority | 4.250 | 12/1/2051 | 99,661 | ||||||||||
ELECTRICITY & PUBLIC POWER - 1.7% | ||||||||||||||
25,000 | Puerto Rico Electric Power Authority | 5.250 | 7/1/2030 | 27,758 | ||||||||||
GOVERNMENT LEASE - 5.3% | ||||||||||||||
50,000 | Community College District of Central Southwest Missouri | 4.000 | 3/1/2038 | 56,599 | ||||||||||
25,000 | Lodi Public Financing Authority | 4.000 | 6/1/2039 | 29,574 | ||||||||||
86,173 | ||||||||||||||
NURSING & ASSISTED LIVING - 0.6% | ||||||||||||||
25,000 | Capital Trust Agency, Inc. | 5.000 | 7/1/2053 | 10,011 | ||||||||||
PORTS & MARINAS - 1.7% | ||||||||||||||
25,000 | Port Authority of New York & New Jersey | 4.000 | 7/15/2050 | 28,150 | ||||||||||
STATE - 1.7% | ||||||||||||||
25,000 | Commonwealth of Puerto Rico | 5.500 | 7/1/2029 | 28,027 | ||||||||||
TOBACCO - 1.6% | ||||||||||||||
25,000 | New York Counties Tobacco Trust VI | 3.750 | 6/1/2045 | 25,186 |
See accompanying notes to consolidated financial statements.
48
AlphaCentric Municipal Opportunities Fund (MUNAX, MUNCX, MUNIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Value | |||||||||||
TOLL ROADS, BRIDGES & TUNNELS - 10.7% | ||||||||||||||
55,000 | Puerto Rico Highway & Transportation Authority | 5.250 | 7/1/2033 | $ | 61,081 | |||||||||
50,000 | Puerto Rico Highway & Transportation Authority | 5.250 | 7/1/2036 | 62,291 | ||||||||||
40,000 | Puerto Rico Highway & Transportation Authority | 5.250 | 7/1/2036 | 49,820 | ||||||||||
173,192 | ||||||||||||||
WATER & SEWER - 2.0% | ||||||||||||||
25,000 | Clark Regional Wastewater District | 5.000 | 12/1/2040 | 31,562 | ||||||||||
TOTAL MUNICIPAL BONDS (Cost $855,311) | 854,280 | |||||||||||||
TOTAL INVESTMENTS - 95.6% (Cost - $1,534,988) | $ | 1,546,304 | ||||||||||||
OTHER ASSETS LESS LIABILITIES - 4.4% | 72,374 | |||||||||||||
NET ASSETS - 100.0% | $ | 1,618,678 |
See accompanying notes to consolidated financial statements.
49
AlphaCentric Municipal Opportunities Fund (MUNAX, MUNCX, MUNIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
Open Short Future | ||||||||||||||
Contracts | Description | Expiration | Notional Value Unrealized Appreciation | |||||||||||
(4 | ) | CBOT 10 Year US Treasury Note 06/21/2021 | Jun-21 | $ | (523,752 | ) | $ | 125 | ||||||
Net Unrealized Appreciation from Open Short Futures Contracts | $ | 125 |
See accompanying notes to consolidated financial statements.
50
AlphaCentric Municipal Opportunities Fund (MUNAX, MUNCX, MUNIX) |
PORTFOLIO OF INVESTMENTS (Continued) |
March 31, 2021 |
CREDIT DEFAULT SWAPS | ||||||||||||||||||||||||||||
Fixed | Implied | Frequency | Premiums | |||||||||||||||||||||||||
Buy/Sell | Rate | Credit | of | Expiration | Notional | Paid/ | Unrealized | |||||||||||||||||||||
Counterparty | Index | Protection | Received | Spread | Payments | Date | Amount | Value | (Received) | Appreciation | ||||||||||||||||||
Credit Suisse | Markit CDX North America Investment Grade Index | Sell | 1.00 | % | 54.32 | % | Quarterly | 7/10/2026 | 242,000 | $ | 5,725 | $ | 5,592 | $ | 133 | |||||||||||||
Credit Suisse | Markit CDX North America High Yield Index | Sell | 5.00 | % | 307.84 | % | Quarterly | 7/10/2026 | 242,000 | 21,919 | 21,538 | 381 | ||||||||||||||||
Net Unrealized Appreciation on Swap Contracts | $ | 27,130 | $ | 514 |
See accompanying notes to consolidated financial statements.
51
AlphaCentric Funds |
STATEMENTS OF ASSETS AND LIABILITIES |
March 31, 2021 |
AlphaCentric | ||||||||||||||||
AlphaCentric | AlphaCentric | Symmetry | ||||||||||||||
AlphaCentric Income | Premium | Robotics and | Strategy Fund | |||||||||||||
Opportunities Fund | Opportunity Fund | Automation Fund | (Consolidated) | |||||||||||||
ASSETS | ||||||||||||||||
Investment securities: | ||||||||||||||||
Unaffiliated companies, at cost | $ | 2,910,578,945 | $ | 83,470,890 | $ | 31,313,671 | $ | 22,845,696 | ||||||||
Affiliated companies, at cost | — | 2,271,959 | — | — | ||||||||||||
Investments, at cost | $ | 2,910,578,945 | $ | 85,742,849 | $ | 31,313,671 | $ | 22,845,696 | ||||||||
Unaffiliated companies, at value | $ | 3,588,309,601 | $ | 83,157,374 | $ | 45,264,552 | $ | 27,821,828 | ||||||||
Affiliated companies, at value | — | 2,317,760 | — | — | ||||||||||||
Investments, at value (including collateral for loaned securities) | $ | 3,588,309,601 | $ | 85,475,134 | $ | 45,264,552 | $ | 27,821,828 | ||||||||
Cash & Cash Equivalents | 65,712,624 | 16,246,000 | 3,660,450 | 6,692,627 | ||||||||||||
Deposit with brokers for futures and swaps | — | — | — | 1,669,635 | ||||||||||||
Foreign Currency held at brokers for futures and swaps (Cost $1,302) | — | — | — | 1,110 | ||||||||||||
Receivable for securities sold | — | 7,875 | — | 23,947 | ||||||||||||
Receivable for Fund shares sold | 7,642,089 | 1,515,131 | 145,368 | — | ||||||||||||
Dividends and interest receivable | 1,325,348 | 2,354 | 70,253 | 86,646 | ||||||||||||
Upfront payment on swap | — | — | — | 46,734 | ||||||||||||
Unrealized appreciation on open futures contracts | — | 643,831 | — | 805,225 | ||||||||||||
Unrealized appreciation on swap contracts | — | — | — | 1,281 | ||||||||||||
Prepaid expenses and other assets | 312,347 | 51,298 | 29,840 | 2,973 | ||||||||||||
TOTAL ASSETS | 3,663,302,009 | 103,941,623 | 49,170,463 | 37,152,006 | ||||||||||||
LIABILITIES | ||||||||||||||||
Options Written (Proceeds $983,637) | — | 530,395 | — | — | ||||||||||||
Payable upon return of securities loaned | — | — | 4,111,085 | — | ||||||||||||
Payable for investments purchased | — | 6,975 | 1,169,035 | 26,940 | ||||||||||||
Due to Broker | — | 805,222 | — | — | ||||||||||||
Unrealized depreciation on swap contracts | — | — | — | 5,085 | ||||||||||||
Unrealized depreciation on open futures contracts | — | 142,760 | — | 427,470 | ||||||||||||
Payable for Fund shares repurchased | 2,671,802 | 262,064 | 17,421 | — | ||||||||||||
Management fees payable | 3,917,374 | 143,386 | 35,092 | 45,781 | ||||||||||||
Distribution (12b-1) fees payable | 126,176 | — | — | 21 | ||||||||||||
Fees payable to other related parties | 113,923 | 5,554 | 2,687 | 1,193 | ||||||||||||
Administration fees payable | 230,461 | 9,725 | 9,969 | 872 | ||||||||||||
Accrued expenses and other liabilities | 436,692 | 11,383 | 17,773 | 23,433 | ||||||||||||
TOTAL LIABILITIES | 7,496,428 | 1,917,464 | 5,363,062 | 530,795 | ||||||||||||
NET ASSETS | $ | 3,655,805,581 | $ | 102,024,159 | $ | 43,807,401 | $ | 36,621,211 | ||||||||
Composition of Net Assets: | ||||||||||||||||
Paid in capital | $ | 3,657,432,508 | $ | 97,527,155 | $ | 31,188,405 | $ | 38,748,060 | ||||||||
Accumulated income (loss) | (1,626,927 | ) | 4,497,004 | 12,618,996 | (2,126,849 | ) | ||||||||||
NET ASSETS | $ | 3,655,805,581 | $ | 102,024,159 | $ | 43,807,401 | $ | 36,621,211 | ||||||||
Net Asset Value Per Share: | ||||||||||||||||
Class A Shares (IOFAX, HMXAX, GNXAX, SYMAX): | ||||||||||||||||
Net Assets | $ | 221,961,280 | $ | 6,455,378 | $ | 7,795,567 | $ | 1,016 | ||||||||
Shares of beneficial interest outstanding (a) | 19,301,730 | 250,211 | 457,060 | 89 | ||||||||||||
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share | $ | 11.50 | $ | 25.80 | $ | 17.06 | (d) | $ | 11.46 | * | ||||||
Maximum offering price per share | $ | 12.07 | (c) | $ | 27.37 | (b) | $ | 18.10 | (b) | $ | 12.16 | (b)* | ||||
Class C Shares (IOFCX, HMXCX, GNXCX, SYMCX): | ||||||||||||||||
Net Assets | $ | 118,599,345 | $ | 2,078,799 | $ | 1,258,201 | $ | 1,013 | ||||||||
Shares of beneficial interest outstanding (a) | 10,354,653 | 82,835 | 75,935 | 89 | ||||||||||||
Net asset value (Net Assets ÷ Shares Outstanding) offering price and redemption price per share | $ | 11.45 | $ | 25.10 | $ | 16.57 | $ | 11.42 | * | |||||||
Class I Shares (IOFIX, HMXIX, GNXIX, SYMIX): | ||||||||||||||||
Net Assets | $ | 3,315,244,956 | $ | 93,489,982 | $ | 34,753,633 | $ | 36,619,182 | ||||||||
Shares of beneficial interest outstanding (a) | 287,960,171 | 3,561,395 | 2,016,773 | 3,201,835 | ||||||||||||
Net asset value (Net Assets ÷ Shares Outstanding) offering price and redemption price per share | $ | 11.51 | $ | 26.25 | $ | 17.23 | $ | 11.44 | ||||||||
* | NAV may not calculate due to rounding of shares |
(a) | Unlimited number of shares of beneficial interest authorized, no par value. |
(b) | Net asset value plus maximum sales charge of 5.75% |
(c) | Net asset value plus maximum sales charge of 4.75% |
(d) | The Net Asset Value ("NAV") shown above differs from the traded NAV on March 31, 2021 due to financial statement rounding and/or financial statement adjustments. |
See accompanying notes to consolidated financial statements.
52
AlphaCentric Funds |
STATEMENTS OF ASSETS AND LIABILITIES (Continued) |
March 31, 2021 |
AlphaCentric | ||||||||
AlphaCentric | Municipal | |||||||
LifeSci Healthcare | Opportunities | |||||||
Fund | Fund | |||||||
ASSETS | ||||||||
Investment securities: | ||||||||
Investments, at cost | $ | 26,481,555 | $ | 1,534,988 | ||||
Investments, at value | $ | 26,591,053 | $ | 1,546,304 | ||||
Cash & Cash Equivalents | 1,419,297 | 87,983 | ||||||
Foreign currency (Cost $35,207) | 35,106 | — | ||||||
Deposit with brokers for futures and swaps | — | 92,474 | ||||||
Upfront payment on swap | — | 27,130 | ||||||
Receivable for Fund shares sold | 135,373 | — | ||||||
Dividends and interest receivable | 15,063 | 10,814 | ||||||
Amount due from Manager | — | 7,322 | ||||||
Unrealized appreciation on open futures contracts | — | 125 | ||||||
Prepaid expenses and other assets | 37,990 | 13,874 | ||||||
Unrealized appreciation on swap contracts | — | 514 | ||||||
TOTAL ASSETS | 28,233,882 | 1,786,540 | ||||||
LIABILITIES | ||||||||
Payable for investments purchased | 253,810 | 140,167 | ||||||
Payable for Fund shares repurchased | 17,898 | — | ||||||
Management fees payable | 21,176 | — | ||||||
Distribution (12b-1) fees payable | 421 | 245 | ||||||
Fees payable to other related parties | 1,335 | 461 | ||||||
Administration fees payable | 5,306 | 6,902 | ||||||
Accrued expenses and other liabilities | 14,499 | 20,087 | ||||||
TOTAL LIABILITIES | 314,445 | 167,862 | ||||||
NET ASSETS | $ | 27,919,437 | $ | 1,618,678 | ||||
Composition of Net Assets: | ||||||||
Paid in capital | $ | 26,129,624 | $ | 1,662,188 | ||||
Accumulated income (loss) | 1,789,813 | (43,510 | ) | |||||
NET ASSETS | $ | 27,919,437 | $ | 1,618,678 | ||||
Net Asset Value Per Share: | ||||||||
Class A Shares (LYFAX,MUNAX): | ||||||||
Net Assets | $ | 1,300,154 | $ | 299,503 | ||||
Shares of beneficial interest outstanding (a) | 83,534 | 28,140 | ||||||
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share | $ | 15.56 | $ | 10.64 | ||||
Maximum offering price per share | $ | 16.51 | (b) | $ | 11.17 | (c) | ||
Class C Shares (LYFCX,MUNCX): | ||||||||
Net Assets | $ | 215,472 | $ | 221,191 | ||||
Shares of beneficial interest outstanding (a) | 13,878 | 20,769 | ||||||
Net asset value (Net Assets ÷ Shares Outstanding) offering price and redemption price per share | $ | 15.53 | $ | 10.65 | (d) | |||
Class I Shares (LYFIX,MUNIX): | ||||||||
Net Assets | $ | 26,403,811 | $ | 1,097,984 | ||||
Shares of beneficial interest outstanding (a) | 1,693,138 | 103,134 | ||||||
Net asset value (Net Assets ÷ Shares Outstanding) offering price and redemption price per share | $ | 15.59 | $ | 10.65 | (d) | |||
(a) | Unlimited number of shares of beneficial interest authorized, no par value. |
(b) | Net asset value plus maximum sales charge of 5.75% |
(c) | Net asset value plus maximum sales charge of 4.75% |
(d) | The Net Asset Value (“NAV”) shown above differs from the traded NAV on March 31, 2021 due to financial statement rounding and/or financial statement adjustments. |
See accompanying notes to consolidated financial statements.
53
AlphaCentric Funds |
STATEMENTS OF OPERATIONS |
For the Year Ended March 31, 2021 |
AlphaCentric | AlphaCentric | AlphaCentric | AlphaCentric | |||||||||||||
Income | Premium | Robotics and | Symmetry | |||||||||||||
Opportunities | Opportunity | Automation | Strategy Fund | |||||||||||||
Fund | Fund | Fund | (Consolidated) | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividends (ARAF and ASSF: Net of tax witholding of $14,242 and $27,976, respectively) | $ | 2,219,519 | $ | — | $ | 152,206 | $ | 586,771 | ||||||||
Dividends from affiliated companies | — | 21,839 | — | — | ||||||||||||
Interest | 107,564,055 | 72,954 | 442 | — | ||||||||||||
Securities lending income | — | — | 105,569 | — | ||||||||||||
TOTAL INVESTMENT INCOME | 109,783,574 | 94,793 | 258,217 | 586,771 | ||||||||||||
EXPENSES | ||||||||||||||||
Management fees | 45,954,809 | 1,232,415 | 457,736 | 567,632 | ||||||||||||
Distribution (12b-1) fees: | ||||||||||||||||
Class A | 505,335 | 9,026 | 16,671 | 4 | ||||||||||||
Class C | 1,117,766 | 13,246 | 11,613 | 8 | ||||||||||||
Shareholder servicing fees | 2,866,025 | 44,092 | 24,038 | 5,217 | ||||||||||||
Administrative fees | 1,395,294 | 55,395 | 48,706 | 42,556 | ||||||||||||
MFund service fees | 854,082 | 26,113 | 15,972 | 14,717 | ||||||||||||
Printing and postage expenses | 579,814 | 4,540 | 9,053 | 3,366 | ||||||||||||
Registration fees | 275,797 | 28,421 | 49,863 | 6,982 | ||||||||||||
Extraordinary Expense | 266,639 | — | — | — | ||||||||||||
Custodian fees | 198,622 | 5,349 | 14,739 | 64,824 | ||||||||||||
Insurance expense | 119,673 | 318 | 898 | 1,894 | ||||||||||||
Compliance officer fees | 91,387 | 8,496 | 12,595 | 12,392 | ||||||||||||
Audit fees | 64,437 | 13,424 | 15,958 | 13,731 | ||||||||||||
Legal fees | 52,836 | 14,307 | 17,059 | 16,017 | ||||||||||||
Trustees fees and expenses | 13,129 | 10,317 | 10,222 | 10,849 | ||||||||||||
Broker expense | — | 6,710 | — | 5,228 | ||||||||||||
Other expenses | 34,274 | 2,658 | 1,860 | 5,489 | ||||||||||||
TOTAL EXPENSES | 54,389,919 | 1,474,827 | 706,983 | 770,906 | ||||||||||||
Less: Fees waived by the Manager | (6,772,123 | ) | (40,402 | ) | (165,273 | ) | (119,849 | ) | ||||||||
NET EXPENSES | 47,617,796 | 1,434,425 | 541,710 | 651,057 | ||||||||||||
NET INVESTMENT INCOME (LOSS) | 62,165,778 | (1,339,632 | ) | (283,493 | ) | (64,286 | ) | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments | (16,665,371 | ) | (87,628 | ) | 3,375,968 | (2,576,992 | ) | |||||||||
Investments, Securities sold short | — | 19,713 | — | — | ||||||||||||
Foreign Currencies Translation | — | — | (19,735 | ) | (36,238 | ) | ||||||||||
Futures Contracts | — | 7,237,895 | — | 2,308,070 | ||||||||||||
Swap Contracts | — | — | — | 15,904 | ||||||||||||
Options Written | — | 1,493,035 | — | — | ||||||||||||
(16,665,371 | ) | 8,663,015 | 3,356,233 | (289,256 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 1,036,541,592 | (222,291 | ) | 15,876,089 | 9,027,697 | |||||||||||
Investments, affiliated companies | — | 45,801 | — | — | ||||||||||||
Foreign Currencies Translation | — | — | 1,243 | 18,497 | ||||||||||||
Futures Contracts | — | 405,698 | — | (2,759,525 | ) | |||||||||||
Options Written | — | 138,643 | — | — | ||||||||||||
Swap Contracts | — | — | — | (3,804 | ) | |||||||||||
1,036,541,592 | 367,851 | 15,877,332 | 6,282,865 | |||||||||||||
NET REALIZED AND UNREALIZED GAIN FROM INVESTMENTS | 1,019,876,221 | 9,030,866 | 19,233,565 | 5,993,609 | ||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,082,041,999 | $ | 7,691,234 | $ | 18,950,072 | $ | 5,929,323 | ||||||||
See accompanying notes to consolidated financial statements.
54
AlphaCentric Funds |
STATEMENTS OF OPERATIONS (Continued) |
For the Year Ended March 31, 2021 |
AlphaCentric | AlphaCentric | |||||||
LifeSci Healthcare | Municipal | |||||||
Fund | Opportunities Fund | |||||||
INVESTMENT INCOME | ||||||||
Dividends (ALHF: Net of tax witholding of $247) | $ | 39,771 | $ | 13,471 | ||||
Interest | 271 | 10,685 | ||||||
TOTAL INVESTMENT INCOME | 40,042 | 24,156 | ||||||
EXPENSES | ||||||||
Management fees | 110,666 | 6,316 | ||||||
Distribution (12b-1) fees: | ||||||||
Class A | 901 | 54 | ||||||
Class C | 444 | 163 | ||||||
Administrative fees | 27,232 | 25,883 | ||||||
Legal fees | 13,961 | 14,061 | ||||||
Audit fees | 13,847 | 18,671 | ||||||
Compliance officer fees | 11,248 | 17,258 | ||||||
Registration fees | 10,968 | 8,975 | ||||||
Trustees fees and expenses | 10,640 | 9,310 | ||||||
Custodian fees | 8,965 | 2,387 | ||||||
MFund service fees | 7,642 | 5,176 | ||||||
Shareholder servicing fees | 4,643 | 2,154 | ||||||
Printing and postage expenses | 1,682 | 1,682 | ||||||
Extraordinary Expense | 1,184 | — | ||||||
Insurance expense | 26 | 8 | ||||||
Other expenses | 1,328 | 1,328 | ||||||
TOTAL EXPENSES | 225,377 | 113,426 | ||||||
Less: Fees waived/reimbursed by the Manager | (97,907 | ) | (105,262 | ) | ||||
NET EXPENSES | 127,470 | 8,164 | ||||||
NET INVESTMENT INCOME (LOSS) | (87,428 | ) | 15,992 | |||||
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS | ||||||||
Net realized gain (loss) from: | ||||||||
Investments | 2,166,243 | 1,866 | ||||||
2,166,243 | 1,866 | |||||||
Net change in unrealized appreciation on: | ||||||||
Investments | 85,998 | 30,921 | ||||||
Futures Contracts | — | 125 | ||||||
Foreign Currency Translations | (101 | ) | — | |||||
Swap Contracts | — | 514 | ||||||
85,897 | 31,560 | |||||||
NET REALIZED AND UNREALIZED GAIN FROM INVESTMENTS | 2,252,140 | 33,426 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,164,712 | $ | 49,418 | ||||
See accompanying notes to consolidated financial statements.
55
AlphaCentric Income Opportunities Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Year Ended | |||||||
March 31, 2021 | March 31, 2020 | |||||||
FROM OPERATIONS | ||||||||
Net investment income | $ | 62,165,778 | $ | 131,106,530 | ||||
Net realized loss from investments | (16,665,371 | ) | (584,910,650 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 1,036,541,592 | (501,466,701 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,082,041,999 | (955,270,821 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
From return of capital: | ||||||||
Class A (IOFAX) | (4,811,480 | ) | (2,154,592 | ) | ||||
Class C (IOFCX) | (2,260,136 | ) | (808,806 | ) | ||||
Class I (IOFIX) | (75,109,590 | ) | (21,012,001 | ) | ||||
From net investment income: | ||||||||
Class A (IOFAX) | (4,383,549 | ) | (14,061,120 | ) | ||||
Class C (IOFCX) | (1,980,045 | ) | (4,022,243 | ) | ||||
Class I (IOFIX) | (56,426,733 | ) | (116,548,452 | ) | ||||
Total distributions to shareholders | (144,971,533 | ) | (158,607,214 | ) | ||||
FROM SHARES OF BENEFICIAL INTEREST | ||||||||
Proceeds from shares sold: | ||||||||
Class A (IOFAX) | 135,809,630 | 233,440,493 | ||||||
Class C (IOFCX) | 26,463,163 | 84,498,190 | ||||||
Class I (IOFIX) | 2,158,726,704 | 2,509,885,768 | ||||||
Net asset value of shares issued in reinvestment of distributions: | ||||||||
Class A (IOFAX) | 7,874,400 | 14,858,561 | ||||||
Class C (IOFCX) | 3,769,045 | 4,345,772 | ||||||
Class I (IOFIX) | 107,312,834 | 108,641,385 | ||||||
Payments for shares repurchased: | ||||||||
Class A (IOFAX) | (140,324,496 | ) | (315,317,600 | ) | ||||
Class C (IOFCX) | (35,721,597 | ) | (48,928,117 | ) | ||||
Class I (IOFIX) | (1,301,107,192 | ) | (2,323,942,464 | ) | ||||
Net increase in net assets from shares of beneficial interest | 962,802,491 | 267,481,988 | ||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 1,899,872,957 | (846,396,047 | ) | |||||
NET ASSETS | ||||||||
Beginning of Year | 1,755,932,624 | 2,602,328,671 | ||||||
End of Year | $ | 3,655,805,581 | $ | 1,755,932,624 | ||||
See accompanying notes to consolidated financial statements.
56
AlphaCentric Income Opportunities Fund |
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
Year Ended | Year Ended | |||||||
March 31, 2021 | March 31, 2020 | |||||||
SHARE ACTIVITY | ||||||||
Class A (IOFAX): | ||||||||
Shares Sold | 13,500,003 | 18,756,415 | ||||||
Shares Reinvested | 763,453 | 1,193,376 | ||||||
Shares Repurchased | (13,681,964 | ) | (28,458,367 | ) | ||||
Net increase (decrease) in shares of beneficial interest outstanding | 581,492 | (8,508,576 | ) | |||||
Class C (IOFCX): | ||||||||
Shares Sold | 2,662,613 | 6,749,293 | ||||||
Shares Reinvested | 367,500 | 357,059 | ||||||
Shares Repurchased | (3,474,388 | ) | (4,369,407 | ) | ||||
Net increase (decrease) in shares of beneficial interest outstanding | (444,275 | ) | 2,736,945 | |||||
Class I (IOFIX): | ||||||||
Shares Sold | 218,355,088 | 208,556,833 | ||||||
Shares Reinvested | 10,307,340 | 8,792,378 | ||||||
Shares Repurchased | (126,360,184 | ) | (208,046,252 | ) | ||||
Net increase in shares of beneficial interest outstanding | 102,302,244 | 9,302,959 | ||||||
See accompanying notes to consolidated financial statements.
57
AlphaCentric Premium Opportunity Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Year Ended | |||||||
March 31, 2021 | March 31, 2020 | |||||||
FROM OPERATIONS | ||||||||
Net investment loss | $ | (1,339,632 | ) | $ | (17,559 | ) | ||
Net realized gain from investments, options contracts, foreign currency translations, shorts and futures | 8,663,015 | 1,796,328 | ||||||
Net change in unrealized appreciation on investments, options contracts, foreign currency translations, shorts and futures | 367,851 | 226,418 | ||||||
Net increase in net assets resulting from operations | 7,691,234 | 2,005,187 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Total distributions paid: | ||||||||
Class A (HMXAX) | (97,871 | ) | — | |||||
Class C (HMXCX) | (43,692 | ) | — | |||||
Class I (HMXIX) | (1,669,508 | ) | — | |||||
Total distributions to shareholders | (1,811,071 | ) | — | |||||
FROM SHARES OF BENEFICIAL INTEREST | ||||||||
Proceeds from shares sold: | ||||||||
Class A (HMXAX) | 6,023,382 | 1,286,383 | ||||||
Class C (HMXCX) | 1,989,422 | 142,850 | ||||||
Class I (HMXIX) | 103,273,895 | 21,611,661 | ||||||
Net asset value of shares issued in reinvestment of distributions: | ||||||||
Class A (HMXAX) | 91,049 | — | ||||||
Class C (HMXCX) | 36,788 | — | ||||||
Class I (HMXIX) | 1,212,465 | — | ||||||
Payments for shares repurchased: | ||||||||
Class A (HMXAX) | (1,699,014 | ) | (1,446,484 | ) | ||||
Class C (HMXCX) | (189,256 | ) | (63,726 | ) | ||||
Class I (HMXIX) | (43,273,227 | ) | (3,390,985 | ) | ||||
Net increase in net assets from shares of beneficial interest | 67,465,504 | 18,139,699 | ||||||
TOTAL INCREASE IN NET ASSETS | 73,345,667 | 20,144,886 | ||||||
NET ASSETS | ||||||||
Beginning of Year | 28,678,492 | 8,533,606 | ||||||
End of Year | $ | 102,024,159 | $ | 28,678,492 | ||||
SHARE ACTIVITY | ||||||||
Class A (HMXAX): | ||||||||
Shares Sold | 240,502 | 63,967 | ||||||
Shares Reinvested | 3,616 | — | ||||||
Shares Repurchased | (68,373 | ) | (75,280 | ) | ||||
Net increase (decrease) in shares of beneficial interest outstanding | 175,745 | (11,313 | ) | |||||
Class C (HMXCX): | ||||||||
Shares Sold | 81,682 | 7,252 | ||||||
Shares Reinvested | 1,499 | — | ||||||
Shares Repurchased | (7,598 | ) | (3,398 | ) | ||||
Net increase in shares of beneficial interest outstanding | 75,583 | 3,854 | ||||||
Class I (HMXIX): | ||||||||
Shares Sold | 4,061,013 | 942,843 | ||||||
Shares Reinvested | 47,343 | — | ||||||
Shares Repurchased | (1,688,841 | ) | (163,689 | ) | ||||
Net increase in shares of beneficial interest outstanding | 2,419,515 | 779,154 | ||||||
See accompanying notes to consolidated financial statements.
58
AlphaCentric Robotics and Automation Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Year Ended | |||||||
March 31, 2021 | March 31, 2020 | |||||||
FROM OPERATIONS | ||||||||
Net investment loss | $ | (283,493 | ) | $ | (153,919 | ) | ||
Net realized gain (loss) from investments and foreign currency | 3,356,233 | (2,541,341 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | 15,877,332 | (2,325,263 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 18,950,072 | (5,020,523 | ) | |||||
FROM SHARES OF BENEFICIAL INTEREST | ||||||||
Proceeds from shares sold: | ||||||||
Class A (GNXAX) | 2,289,818 | 3,069,276 | ||||||
Class C (GNXCX) | 287,982 | 509,617 | ||||||
Class I (GNXIX) | 8,520,120 | 16,703,267 | ||||||
Payments for shares repurchased: | ||||||||
Class A (GNXAX) | (2,570,351 | ) | (1,867,413 | ) | ||||
Class C (GNXCX) | (473,274 | ) | (281,714 | ) | ||||
Class I (GNXIX) | (9,127,131 | ) | (10,367,613 | ) | ||||
Net increase (decrease) in net assets from shares of beneficial interest | (1,072,836 | ) | 7,765,420 | |||||
TOTAL INCREASE IN NET ASSETS | 17,877,236 | 2,744,897 | ||||||
NET ASSETS | ||||||||
Beginning of Year | 25,930,165 | 23,185,268 | ||||||
End of Year | $ | 43,807,401 | $ | 25,930,165 | ||||
SHARE ACTIVITY | ||||||||
Class A (GNXAX): | ||||||||
Shares Sold | 152,217 | 267,854 | ||||||
Shares Repurchased | (184,221 | ) | (167,063 | ) | ||||
Net increase (decrease) in shares of beneficial interest outstanding | (32,004 | ) | 100,791 | |||||
Class C (GNXCX): | ||||||||
Shares Sold | 18,035 | 45,166 | ||||||
Shares Repurchased | (29,917 | ) | (25,213 | ) | ||||
Net increase (decrease) in shares of beneficial interest outstanding | (11,882 | ) | 19,953 | |||||
Class I (GNXIX): | ||||||||
Shares Sold | 540,704 | 1,495,757 | ||||||
Shares Repurchased | (624,551 | ) | (954,585 | ) | ||||
Net increase (decrease) in shares of beneficial interest outstanding | (83,847 | ) | 541,172 | |||||
See accompanying notes to consolidated financial statements.
59
AlphaCentric Symmetry Strategy Fund |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Period Ended | |||||||
March 31, 2021 | March 31, 2020 * | |||||||
FROM OPERATIONS | ||||||||
Net investment income (loss) | $ | (64,286 | ) | $ | 370,212 | |||
Net realized loss from investments, futures, swaps and foreign currencies translation | (289,256 | ) | (6,328,280 | ) | ||||
Distributions of capital gains from underlying investment companies | — | 2,965 | ||||||
Net change in unrealized appreciation (depreciation) on investments, foreign currency translations, futures contracts and swap contracts | 6,282,865 | (1,053,225 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 5,929,323 | (7,008,328 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Total distributions paid: | ||||||||
Class A (SYMAX) | (12 | ) | (22 | ) | ||||
Class C (SYMCX) | (8 | ) | (18 | ) | ||||
Class I (SYMIX) | (562,874 | ) | (1,483,923 | ) | ||||
Total distributions to shareholders | (562,894 | ) | (1,483,963 | ) | ||||
FROM SHARES OF BENEFICIAL INTEREST | ||||||||
Proceeds from shares sold: | ||||||||
Class A (SYMAX) | — | 1,000 | ||||||
Class C (SYMCX) | — | 1,000 | ||||||
Class I (SYMIX) | 250,689 | 63,287,733 | ||||||
Net asset value of shares issued in reinvestment of distributions: | ||||||||
Class I (SYMIX) | 558,926 | 1,478,066 | ||||||
Payments for shares repurchased: | ||||||||
Class I (SYMIX) | (401,921 | ) | (25,428,420 | ) | ||||
Net increase in net assets from shares of beneficial interest | 407,694 | 39,339,379 | ||||||
TOTAL INCREASE IN NET ASSETS | 5,774,123 | 30,847,088 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 30,847,088 | — | ||||||
End of Period | $ | 36,621,211 | $ | 30,847,088 | ||||
SHARE ACTIVITY | ||||||||
Class A (SYMAX): | ||||||||
Shares Sold | — | 89 | ||||||
Net increase in shares of beneficial interest outstanding | — | 89 | ||||||
Class C (SYMCX): | ||||||||
Shares Sold | — | 89 | ||||||
Net increase in shares of beneficial interest outstanding | — | 89 | ||||||
Class I (SYMIX): | ||||||||
Shares Sold | 22,897 | 5,613,608 | ||||||
Shares Reinvested | 54,107 | 134,370 | ||||||
Shares Repurchased | (39,476 | ) | (2,583,671 | ) | ||||
Net increase in shares of beneficial interest outstanding | 37,528 | 3,164,307 | ||||||
* | AlphaCentric Symmetry Strategy Fund Class A, Class C and Class I commenced operations on August 8, 2019. |
See accompanying notes to consolidated financial statements.
60
AlphaCentric LifeSci Healthcare Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Period Ended | |||||||
March 31, 2021 | March 31, 2020 * | |||||||
FROM OPERATIONS | ||||||||
Net investment loss | $ | (87,428 | ) | $ | (693 | ) | ||
Net realized gain (loss) from investments | 2,166,243 | (93,298 | ) | |||||
Net change in unrealized appreciation on investments | 85,897 | 23,500 | ||||||
Net increase (decrease) in net assets resulting from operations | 2,164,712 | (70,491 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Total distributions paid: | ||||||||
Class A (SMZAX) | (14,140 | ) | — | |||||
Class C (SMZCX) | (1,123 | ) | — | |||||
Class I (SMZIX) | (289,145 | ) | — | |||||
Total distributions to shareholders | (304,408 | ) | — | |||||
FROM SHARES OF BENEFICIAL INTEREST | ||||||||
Proceeds from shares sold: | ||||||||
Class A (LYFAX) | 1,186,599 | 10 | ||||||
Class C (LYFCX) | 213,067 | 10 | ||||||
Class I (LYFIX) | 24,365,607 | 1,706,273 | ||||||
Net asset value of shares issued in reinvestment of distributions: | ||||||||
Class A (LYFAX) | 14,140 | — | ||||||
Class C (LYFCX) | 1,123 | — | ||||||
Class I (LYFIX) | 239,450 | — | ||||||
Payments for shares repurchased: | ||||||||
Class A (LYFAX) | (312 | ) | — | |||||
Class I (LYFIX) | (1,561,343 | ) | (35,000 | ) | ||||
Net increase in net assets from shares of beneficial interest | 24,458,331 | 1,671,293 | ||||||
TOTAL INCREASE IN NET ASSETS | 26,318,635 | 1,600,802 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 1,600,802 | — | ||||||
End of Period | $ | 27,919,437 | $ | 1,600,802 | ||||
SHARE ACTIVITY | ||||||||
Class A (LYFAX): | ||||||||
Shares Sold | 82,623 | 1 | ||||||
Shares Reinvested | 930 | — | ||||||
Shares Repurchased | (20 | ) | — | |||||
Net increase in shares of beneficial interest outstanding | 83,533 | 1 | ||||||
Class C (LYFCX): | ||||||||
Shares Sold | 13,803 | 1 | ||||||
Shares Reinvested | 74 | — | ||||||
Net increase in shares of beneficial interest outstanding | 13,877 | 1 | ||||||
Class I (LYFIX): | ||||||||
Shares Sold | 1,610,573 | 171,373 | ||||||
Shares Reinvested | 15,733 | — | ||||||
Shares Repurchased | (100,830 | ) | (3,711 | ) | ||||
Net increase in shares of beneficial interest outstanding | 1,525,476 | 167,662 | ||||||
* | AlphaCentric LifeSci Healthcare Fund Class A, Class C and Class I commenced operations on November 29, 2019. |
See accompanying notes to consolidated financial statements.
61
AlphaCentric Municipal Opportunities Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Period Ended | |||||||
March 31, 2021 | March 31, 2020 * | |||||||
FROM OPERATIONS | ||||||||
Net investment income (loss) | $ | 15,992 | $ | (55 | ) | |||
Net realized gain (loss) from investments, futures and swaps | 1,866 | (57,017 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts and swap contracts | 31,560 | (19,605 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 49,418 | (76,677 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Total distributions paid: | ||||||||
Class A (MUNAX) | (1,041 | ) | — | |||||
Class C (MUNCX) | (351 | ) | — | |||||
Class I (MUNIX) | (14,859 | ) | — | |||||
Total distributions to shareholders | (16,251 | ) | — | |||||
FROM SHARES OF BENEFICIAL INTEREST | ||||||||
Proceeds from shares sold: | ||||||||
Class A (MUNAX) | 317,500 | 5,066,357 | ||||||
Class C (MUNCX) | 220,000 | 10 | ||||||
Class I (MUNIX) | 882,307 | 383,726 | ||||||
Net asset value of shares issued in reinvestment of distributions: | ||||||||
Class A (MUNAX) | 1,041 | — | ||||||
Class C (MUNCX) | 351 | — | ||||||
Class I (MUNIX) | 7,792 | — | ||||||
Payments for shares repurchased: | ||||||||
Class A (MUNAX) | (32,271 | ) | (4,977,948 | ) | ||||
Class I (MUNIX) | (206,677 | ) | — | |||||
Net increase in net assets from shares of beneficial interest | 1,190,043 | 472,145 | ||||||
TOTAL INCREASE IN NET ASSETS | 1,223,210 | 395,468 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 395,468 | — | ||||||
End of Period | $ | 1,618,678 | $ | 395,468 | ||||
SHARE ACTIVITY | ||||||||
Class A (MUNAX): | ||||||||
Shares Sold | 29,956 | 505,532 | ||||||
Shares Reinvested | 98 | — | ||||||
Shares Repurchased | (3,119 | ) | (504,327 | ) | ||||
Net increase in shares of beneficial interest outstanding | 26,935 | 1,205 | ||||||
Class C (MUNCX): | ||||||||
Shares Sold | 20,735 | 1 | ||||||
Shares Reinvested | 33 | — | ||||||
Net increase in shares of beneficial interest outstanding | 20,768 | 1 | ||||||
Class I (MUNIX): | ||||||||
Shares Sold | 84,039 | 38,242 | ||||||
Shares Reinvested | 751 | — | ||||||
Shares Repurchased | (19,898 | ) | — | |||||
Net increase in shares of beneficial interest outstanding | 64,892 | 38,242 | ||||||
* | AlphaCentric Municipal Opportunities Fund Class A, Class C and Class I commenced operations on December 31, 2019. |
See accompanying notes to consolidated financial statements.
62
AlphaCentric Income Opportunities Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year Presented |
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
March 31, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
Class A (IOFAX) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net asset value, beginning of year | $ | 8.15 | $ | 12.28 | $ | 12.23 | $ | 11.46 | $ | 10.72 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.19 | 0.46 | 0.56 | 0.58 | 0.50 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.62 | (4.02 | ) | 0.08 | 0.76 | 0.78 | ||||||||||||||
Total from investment operations | 3.81 | (3.56 | ) | 0.64 | 1.34 | 1.28 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.21 | ) | (0.48 | ) | (0.57 | ) | (0.57 | ) | (0.53 | ) | ||||||||||
Return of capital | (0.25 | ) | (0.09 | ) | (0.02 | ) | — | (0.01 | ) | |||||||||||
Total distributions | (0.46 | ) | (0.57 | ) | (0.59 | ) | (0.57 | ) | (0.54 | ) | ||||||||||
Paid-in-Capital From Redemption Fees | — | — | — | — | 0.00 | (7) | ||||||||||||||
Net asset value, end of year | $ | 11.50 | $ | 8.15 | $ | 12.28 | $ | 12.23 | $ | 11.46 | ||||||||||
Total return (2)(5) | 47.64 | % | (30.45 | )% | 5.31 | % | 11.91 | % | 12.22 | % | ||||||||||
Net assets, at end of year (000s) | $ | 221,961 | $ | 152,646 | $ | 334,481 | $ | 293,712 | $ | 109,712 | ||||||||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (3)(4) | 1.97 | % (11) | 1.93 | % (10) | 1.92 | % (9) | 1.97 | % (8) | 2.08 | % | ||||||||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (4) | 1.75 | % (11) | 1.75 | % (10) | 1.75 | % (9) | 1.77 | % (8) | 1.74 | % | ||||||||||
Ratio of net investment income to average net assets (4)(6) | 1.83 | % | 3.67 | % | 4.56 | % | 4.79 | % | 4.39 | % | ||||||||||
Portfolio Turnover Rate (5) | 3 | % | 54 | % | 33 | % | 31 | % | 10 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method. |
(2) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived a portion of the Fund’s expenses, total returns would have been lower. |
(3) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(4) | Annualized for periods less than one year. |
(5) | Not annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(7) | Less than $0.01 |
(8) | Includes 0.03% for the year ended March 31, 2018 attributed to line of credit fees which are not subject to waiver by the manager. |
(9) | Includes 0.01% for the year ended March 31, 2019 attributed to line of credit fees which are not subject to waiver by the manager. |
(10) | Includes 0.01% for the year ended March 31, 2020 attributed to line of credit fees which are not subject to waiver by the manager. |
(11) | Includes 0.01% for the year ended March 31, 2021 attributed to line of credit fees and extraordinary expenses which are not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
63
AlphaCentric Income Opportunities Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year Presented |
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
March 31, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
Class C (IOFCX) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net asset value, beginning of year | $ | 8.12 | $ | 12.24 | $ | 12.20 | $ | 11.43 | $ | 10.71 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.11 | 0.37 | 0.47 | 0.49 | 0.39 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.61 | (4.01 | ) | 0.07 | 0.77 | 0.81 | ||||||||||||||
Total from investment operations | 3.72 | (3.64 | ) | 0.54 | 1.26 | 1.20 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.14 | ) | (0.41 | ) | (0.48 | ) | (0.49 | ) | (0.47 | ) | ||||||||||
Return of capital | (0.25 | ) | (0.07 | ) | (0.02 | ) | — | (0.01 | ) | |||||||||||
Total distributions | (0.39 | ) | (0.48 | ) | (0.50 | ) | (0.49 | ) | (0.48 | ) | ||||||||||
Paid-in-Capital From Redemption Fees | — | — | — | — | 0.00 | (7) | ||||||||||||||
Net asset value, end of year | $ | 11.45 | $ | 8.12 | $ | 12.24 | $ | 12.20 | $ | 11.43 | ||||||||||
Total return (2)(5) | 46.47 | % | (30.98 | )% | 4.50 | % | 11.17 | % (8) | 11.36 | % | ||||||||||
Net assets, at end of year (000s) | $ | 118,599 | $ | 87,724 | $ | 98,682 | $ | 56,959 | $ | 18,574 | ||||||||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (3)(4) | 2.72 | % (12) | 2.68 | % (11) | 2.68 | % (10) | 2.72 | % (9) | 2.83 | % | ||||||||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (4) | 2.50 | % (12) | 2.50 | % (11) | 2.50 | % (10) | 2.52 | % (9) | 2.49 | % | ||||||||||
Ratio of net investment income to average net assets (4)(6) | 1.08 | % | 2.95 | % | 3.80 | % | 4.05 | % | 3.42 | % | ||||||||||
Portfolio Turnover Rate (5) | 3 | % | 54 | % | 33 | % | 31 | % | 10 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method. |
(2) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived a portion of the Fund’s expenses, total returns would have been lower. |
(3) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(4) | Annualized for periods less than one year. |
(5) | Not annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(7) | Less than $0.01 |
(8) | Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(9) | Includes 0.03% for the year ended March 31, 2018 attributed to line of credit fees which are not subject to waiver by the manager. |
(10) | Includes 0.01% for the year ended March 31, 2019 attributed to line of credit fees which are not subject to waiver by the manager. |
(11) | Includes 0.01% for the year ended March 31, 2020 attributed to line of credit fees which are not subject to waiver by the manager. |
(12) | Includes 0.01% for the year ended March 31, 2021 attributed to line of credit fees and extraordinary expenses which are not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
64
AlphaCentric Income Opportunities Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year Presented |
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
March 31, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
Class I (IOFIX) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net asset value, beginning of year | $ | 8.16 | $ | 12.30 | $ | 12.25 | $ | 11.47 | $ | 10.72 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.22 | 0.50 | 0.59 | 0.62 | 0.52 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.63 | (4.03 | ) | 0.08 | 0.76 | 0.80 | ||||||||||||||
Total from investment operations | 3.85 | (3.53 | ) | 0.67 | 1.38 | 1.32 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.23 | ) | (0.52 | ) | (0.60 | ) | (0.60 | ) | (0.56 | ) | ||||||||||
Return of capital | (0.27 | ) | (0.09 | ) | (0.02 | ) | — | (0.01 | ) | |||||||||||
Total distributions | (0.50 | ) | (0.61 | ) | (0.62 | ) | (0.60 | ) | (0.57 | ) | ||||||||||
Paid-in-Capital From Redemption Fees | — | — | — | — | 0.00 | (7) | ||||||||||||||
Net asset value, end of year | $ | 11.51 | $ | 8.16 | $ | 12.30 | $ | 12.25 | $ | 11.47 | ||||||||||
Total return (2)(5) | 47.94 | % | (30.29 | )% | 5.56 | % | 12.25 | % (8) | 12.56 | % | ||||||||||
Net assets, at end of year (000s) | $ | 3,315,245 | $ | 1,515,562 | $ | 2,169,166 | $ | 1,352,105 | $ | 374,895 | ||||||||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (3)(4) | 1.72 | % (12) | 1.68 | % (11) | 1.68 | % (10) | 1.72 | % (9) | 1.83 | % | ||||||||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (4) | 1.50 | % (12) | 1.50 | % (11) | 1.50 | % (10) | 1.52 | % (9) | 1.49 | % | ||||||||||
Ratio of net investment income to average net assets (4)(6) | 2.07 | % | 3.91 | % | 4.80 | % | 5.06 | % | 4.56 | % | ||||||||||
Portfolio Turnover Rate (5) | 3 | % | 54 | % | 33 | % | 31 | % | 10 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method. |
(2) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived a portion of the Fund’s expenses, total returns would have been lower. |
(3) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(4) | Annualized for periods less than one year. |
(5) | Not annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(7) | Less than $0.01 |
(8) | Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(9) | Includes 0.03% for the year ended March 31, 2018 attributed to line of credit fees which are not subject to waiver by the manager. |
(10) | Includes 0.01% for the year ended March 31, 2019 attributed to line of credit fees which are not subject to waiver by the manager. |
(11) | Includes 0.01% for the year ended March 31, 2020 attributed to line of credit fees which are not subject to waiver by the manager. |
(12) | Includes 0.01% for the year ended March 31, 2021 attributed to line of credit fees and extraordinary expenses which are not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
65
AlphaCentric Premium Opportunity Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
March 31, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
Class A (HMXAX) | 2021 | 2020 | 2019 | 2018 | 2017 (1) | |||||||||||||||
Net asset value, beginning of period | $ | 23.12 | $ | 18.70 | $ | 16.26 | $ | 18.54 | $ | 18.06 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment loss (2) | (0.53 | ) | (0.06 | ) | (0.10 | ) | (0.28 | ) | (0.21 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 3.79 | 4.48 | 2.54 | (1.44 | ) | 0.72 | (8) | |||||||||||||
Total from investment operations | 3.26 | 4.42 | 2.44 | (1.72 | ) | 0.51 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net realized gains | (0.58 | ) | — | — | (0.56 | ) | (0.03 | ) | ||||||||||||
Total distributions | (0.58 | ) | — | — | (0.56 | ) | (0.03 | ) | ||||||||||||
Net asset value, end of period | $ | 25.80 | $ | 23.12 | $ | 18.70 | $ | 16.26 | $ | 18.54 | ||||||||||
Total return (3)(6) | 14.17 | % | 23.64 | % | 15.01 | % | (9.68 | )% (9)(10) | 2.82 | % | ||||||||||
Net assets, at end of period (000s) | $ | 6,455 | $ | 1,722 | $ | 1,604 | $ | 3,073 | $ | 1,906 | ||||||||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5) | 2.31 | % (15) | 3.19 | % (14) | 3.47 | % (13) | 3.07 | % (12) | 4.32 | % (11) | ||||||||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5) | 2.25 | % (15) | 2.33 | % (14) | 2.32 | % (13) | 2.60 | % (12) | 2.60 | % (11) | ||||||||||
Ratio of net investment loss to average net assets (5) | (2.11 | )% (15) | (0.31 | )% (14) | (0.61 | )% (13) | (1.54 | )% (12) | (2.27 | )% (11) | ||||||||||
Portfolio Turnover Rate (6)(7) | 9 | % | 0 | % | 54 | % | 0 | % | 0 | % | ||||||||||
(1) | AlphaCentric Premium Opportunity Fund Class A commenced operations on September 30, 2016. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | All securities whose maturity or expiration date at the time of acquisition were one year or less are excluded from the portfolio turnover calculation. |
(8) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions during the period. |
(9) | Includes increase from payments made by affiliated parties of 0.22% for the A shares for March 31, 2018 related to the pricing error reimbursement. Without these transactions, total return would have been (9.90)% for the A shares for March 31, 2018. |
(10) | Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(11) | Includes 0.36% for the period ended March 31, 2017 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
(12) | Includes 0.36% for the year ended March 31, 2018 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
(13) | Includes 0.08% for the year ended March 31, 2019 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
(14) | Includes 0.09% for the year ended March 31, 2020 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
(15) | Includes 0.01% for the year ended March 31, 2021 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
66
AlphaCentric Premium Opportunity Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
March 31, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
Class C (HMXCX) | 2021 | 2020 | 2019 | 2018 | 2017 (1) | |||||||||||||||
Net asset value, beginning of period | $ | 22.68 | $ | 18.38 | $ | 16.10 | $ | 18.49 | $ | 18.06 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment loss (2) | (0.71 | ) | (0.25 | ) | (0.23 | ) | (0.42 | ) | (0.31 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 3.71 | 4.55 | 2.51 | (1.41 | ) | 0.77 | (8) | |||||||||||||
Total from investment operations | 3.00 | 4.30 | 2.28 | (1.83 | ) | 0.46 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net realized gains | (0.58 | ) | — | — | (0.56 | ) | (0.03 | ) | ||||||||||||
Total distributions | (0.58 | ) | — | — | (0.56 | ) | (0.03 | ) | ||||||||||||
Net asset value, end of period | $ | 25.10 | $ | 22.68 | $ | 18.38 | $ | 16.10 | $ | 18.49 | ||||||||||
Total return (3)(6) | 13.29 | % | 23.40 | % | 14.16 | % | (10.30 | )% (9)(10) | 2.54 | % | ||||||||||
Net assets, at end of period (000s) | $ | 2,079 | $ | 164 | $ | 62 | $ | 191 | $ | 75 | ||||||||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5) | 3.06 | % (15) | 3.94 | % (14) | 4.23 | % (13) | 3.80 | % (12) | 5.07 | % (11) | ||||||||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5) | 3.00 | % (15) | 3.04 | % (14) | 3.06 | % (13) | 3.34 | % (12) | 3.35 | % (11) | ||||||||||
Ratio of net investment loss to average net assets (5) | (2.88 | )% (15) | (1.23 | )% (14) | (1.37 | )% (13) | (2.29 | )% (12) | (3.02 | )% (11) | ||||||||||
Portfolio Turnover Rate (6)(7) | 9 | % | 0 | % | 54 | % | 0 | % | 0 | % | ||||||||||
(1) | AlphaCentric Premium Opportunity Fund Class C commenced operations on September 30, 2016. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | All securities whose maturity or expiration date at the time of acquisition were one year or less are excluded from the portfolio turnover calculation. |
(8) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions during the period. |
(9) | Includes increase from payments made by affiliated parties of 0.22% for the C shares for March 31, 2018 related to the pricing error reimbursement. Without these transactions, total return would have been (10.52)% for the C shares for March 31, 2018. |
(10) | Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(11) | Includes 0.36% for the period ended March 31, 2017 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
(12) | Includes 0.35% for the year ended March 31, 2018 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
(13) | Includes 0.07% for the year ended March 31, 2019 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
(14) | Includes 0.05% for the year ended March 31, 2020 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
(15) | Includes 0.01% for the year ended March 31, 2021 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
67
AlphaCentric Premium Opportunity Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
March 31, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
Class I (HMXIX) | 2021 | 2020 | 2019 | 2018 | 2017 (1) | |||||||||||||||
Net asset value, beginning of period | $ | 23.46 | $ | 18.93 | $ | 16.42 | $ | 18.57 | $ | 18.06 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment loss (2) | (0.48 | ) | (0.03 | ) | (0.05 | ) | (0.28 | ) | (0.19 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 3.85 | 4.56 | 2.56 | (1.31 | ) | 0.73 | (8) | |||||||||||||
Total from investment operations | 3.37 | 4.53 | 2.51 | (1.59 | ) | 0.54 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net realized gains | (0.58 | ) | — | — | (0.56 | ) | (0.03 | ) | ||||||||||||
Total distributions | (0.58 | ) | — | — | (0.56 | ) | (0.03 | ) | ||||||||||||
Net asset value, end of period | $ | 26.25 | $ | 23.46 | $ | 18.93 | $ | 16.42 | $ | 18.57 | ||||||||||
Total return (3)(6) | 14.43 | % | 23.93 | % | 15.29 | % | (8.94 | )% (9)(10) | 2.98 | % | ||||||||||
Net assets, at end of period (000s) | $ | 93,490 | $ | 26,792 | $ | 6,867 | $ | 9,433 | $ | 10,512 | ||||||||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5) | 2.06 | % (15) | 2.94 | % (14) | 3.20 | % (13) | 2.90 | % (12) | 4.07 | % (11) | ||||||||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5) | 2.00 | % (15) | 2.05 | % (14) | 2.09 | % (13) | 2.46 | % (12) | 2.35 | % (11) | ||||||||||
Ratio of net investment loss to average net assets (5) | (1.87 | )% (15) | (0.13 | )% (14) | (0.32 | )% (13) | (1.48 | )% (12) | (2.02 | )% (11) | ||||||||||
Portfolio Turnover Rate (6)(7) | 9 | % | 0 | % | 54 | % | 0 | % | 0 | % | ||||||||||
(1) | AlphaCentric Premium Opportunity Fund Class I commenced operations on August 31, 2011 and does not include performance prior to September 30, 2016 when Class I shares were previously shares of a private fund. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | All securities whose maturity or expiration date at the time of acquisition were one year or less are excluded from the portfolio turnover calculation. |
(8) | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions during the period. |
(9) | Includes increase from payments made by affiliated parties of 0.28% for the I shares for March 31, 2018 related to the pricing error reimbursement. Without these transactions, total return would have been (9.22)% for the I shares for March 31, 2018. |
(10) | Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(11) | Includes 0.36% for the period ended March 31, 2017 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
(12) | Includes 0.47% for the year ended March 31, 2018 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
(13) | Includes 0.10% for the year ended March 31, 2019 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
(14) | Includes 0.06% for the year ended March 31, 2020 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
(15) | Includes 0.01% for the year ended March 31, 2021 attributable to margin expense on short sales, which is not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
68
AlphaCentric Robotics and Automation Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
March 31, | March 31, | March 31, | March 31, | |||||||||||||
Class A (GNXAX) | 2021 | 2020 | 2019 | 2018 (1) | ||||||||||||
Net asset value, beginning of period | $ | 9.63 | $ | 11.46 | $ | 12.50 | $ | 10.00 | ||||||||
Activity from investment operations: | ||||||||||||||||
Net investment loss (2) | (0.14 | ) | (0.08 | ) | (0.10 | ) | (0.09 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | 7.57 | (1.75 | ) | (0.62 | ) | 2.81 | ||||||||||
Total from investment operations | 7.43 | (1.83 | ) | (0.72 | ) | 2.72 | ||||||||||
Less distributions from: | ||||||||||||||||
Net realized gains | — | — | (0.32 | ) | (0.22 | ) | ||||||||||
Total distributions | — | — | (0.32 | ) | (0.22 | ) | ||||||||||
Net asset value, end of period | $ | 17.06 | $ | 9.63 | $ | 11.46 | $ | 12.50 | ||||||||
Total return (3)(6) | 77.15 | % | (15.97 | )% | (5.29 | )% | 27.33 | % | ||||||||
Net assets, at end of period (000s) | $ | 7,796 | $ | 4,711 | $ | 4,450 | $ | 13,178 | ||||||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5) | 2.10 | % | 2.18 | % | 2.41 | % (7) | 2.30 | % | ||||||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5) | 1.65 | % | 1.65 | % | 1.67 | % (7) | 1.65 | % | ||||||||
Ratio of net investment loss to average net assets (5) | (0.96 | )% | (0.69 | )% | (0.84 | )% | (0.85 | )% | ||||||||
Portfolio Turnover Rate (6) | 125 | % | 315 | % | 297 | % | 178 | % | ||||||||
(1) | AlphaCentric Robotics and Automation Fund Class A commenced operations on May 31, 2017. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | Includes 0.02% for the year ended March 31, 2019 attributable to interest expense, which is not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
69
AlphaCentric Robotics and Automation Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
March 31, | March 31, | March 31, | March 31, | |||||||||||||
Class C (GNXCX) | 2021 | 2020 | 2019 | 2018 (1) | ||||||||||||
Net asset value, beginning of period | $ | 9.43 | $ | 11.30 | $ | 12.43 | $ | 10.00 | ||||||||
Activity from investment operations: | ||||||||||||||||
Net investment loss (2) | (0.24 | ) | (0.16 | ) | (0.17 | ) | (0.16 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | 7.38 | (1.71 | ) | (0.64 | ) | 2.81 | ||||||||||
Total from investment operations | 7.14 | (1.87 | ) | (0.81 | ) | 2.65 | ||||||||||
Less distributions from: | ||||||||||||||||
Net realized gains | — | — | (0.32 | ) | (0.22 | ) | ||||||||||
Total distributions | — | — | (0.32 | ) | (0.22 | ) | ||||||||||
Net asset value, end of period | $ | 16.57 | $ | 9.43 | $ | 11.30 | $ | 12.43 | ||||||||
Total return (3)(6) | 75.72 | % | (16.55 | )% | (6.05 | )% | 26.63 | % | ||||||||
Net assets, at end of period (000s) | $ | 1,258 | $ | 828 | $ | 767 | $ | 212 | ||||||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5) | 2.85 | % | 2.93 | % | 3.17 | % (7) | 3.25 | % | ||||||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5) | 2.40 | % | 2.40 | % | 2.41 | % (7) | 2.40 | % | ||||||||
Ratio of net investment loss to average net assets (5) | (1.71 | )% | (1.47 | )% | (1.50 | )% | (1.57 | )% | ||||||||
Portfolio Turnover Rate (6) | 125 | % | 315 | % | 297 | % | 178 | % | ||||||||
(1) | AlphaCentric Robotics and Automation Fund Class C commenced operations on May 31, 2017. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | Includes 0.01% for the year ended March 31, 2019 attributable to interest expense, which is not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
70
AlphaCentric Robotics and Automation Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
March 31, | March 31, | March 31, | March 31, | |||||||||||||
Class I (GNXIX) | 2021 | 2020 | 2019 | 2018 (1) | ||||||||||||
Net asset value, beginning of period | $ | 9.71 | $ | 11.52 | $ | 12.54 | $ | 10.00 | ||||||||
Activity from investment operations: | ||||||||||||||||
Net investment loss (2) | (0.10 | ) | (0.05 | ) | (0.06 | ) | (0.04 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | 7.62 | (1.76 | ) | (0.64 | ) | 2.80 | ||||||||||
Total from investment operations | 7.52 | (1.81 | ) | (0.70 | ) | 2.76 | ||||||||||
Less distributions from: | ||||||||||||||||
Net realized gains | — | — | (0.32 | ) | (0.22 | ) | ||||||||||
Total distributions | — | — | (0.32 | ) | (0.22 | ) | ||||||||||
Net asset value, end of period | $ | 17.23 | $ | 9.71 | $ | 11.52 | $ | 12.54 | ||||||||
Total return (3)(6) | 77.45 | % | (15.71 | )% | (5.11 | )% | 27.73 | % | ||||||||
Net assets, at end of period (000s) | $ | 34,754 | $ | 20,392 | $ | 17,968 | $ | 14,556 | ||||||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5) | 1.85 | % | 1.93 | % | 2.16 | % (7) | 2.76 | % | ||||||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5) | 1.40 | % | 1.40 | % | 1.42 | % (7) | 1.40 | % | ||||||||
Ratio of net investment loss to average net assets (5) | (0.70 | )% | (0.46 | )% | (0.53 | )% | (0.42 | )% | ||||||||
Portfolio Turnover Rate (6) | 125 | % | 315 | % | 297 | % | 178 | % | ||||||||
(1) | AlphaCentric Robotics and Automation Fund Class I commenced operations on May 31, 2017. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | Includes 0.02% for the year ended March 31, 2019 attributable to interest expense, which is not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
71
AlphaCentric Symmetry Strategy Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Period Ended | |||||||
March 31, | March 31, | |||||||
Class A (SYMAX) | 2021 | 2020 (1) | ||||||
Net asset value, beginning of period | $ | 9.75 | $ | 11.28 | ||||
Activity from investment operations: | ||||||||
Net investment income (loss) (2) | (0.04 | ) | 0.05 | |||||
Net realized and unrealized gain (loss) on investments | 1.89 | (1.33 | ) (8) | |||||
Total from investment operations | 1.85 | (1.28 | ) | |||||
Less distributions from: | ||||||||
Net investment income | (0.14 | ) | (0.25 | ) | ||||
Total distributions | (0.14 | ) | (0.25 | ) | ||||
Net asset value, end of period | $ | 11.46 | $ | 9.75 | ||||
Total return (3)(6) | 19.11 | % | (11.64 | )% | ||||
Net assets, at end of period (7) | $ | 1,016 | $ | 865 | ||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5) | 2.63 | % (10) | 2.51 | % (9) | ||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5) | 2.26 | % (10) | 2.25 | % (9) | ||||
Ratio of net investment income (loss) to average net assets (5) | (0.45 | )% | 0.38 | % | ||||
Portfolio Turnover Rate (6) | 121 | % | 133 | % | ||||
(1) | AlphaCentric Symmetry Strategy Fund Class A commenced operations on August 8, 2019. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | Actual net assets, not truncated. |
(8) | As required by SEC standard per share calculation methodology, this represents a rebalancing figure derived from other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statement of Operations for the period ended March 31, 2020, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
(9) | Includes 0.01% for the period ended March 31, 2020 attributable to margin expense on futures, which is not subject to waiver by the manager. |
(10) | Includes 0.02% for the year ended March 31, 2021 attributable to margin expense on futures, which is not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
72
AlphaCentric Symmetry Strategy Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Period Ended | |||||||
March 31, | March 31, | |||||||
Class C (SYMCX) | 2021 | 2020 (1) | ||||||
Net asset value, beginning of period | $ | 9.75 | $ | 11.28 | ||||
Activity from investment operations: | ||||||||
Net investment loss (2) | (0.12 | ) | (0.00 | ) (7) | ||||
Net realized and unrealized gain (loss) on investments | 1.88 | (1.33 | ) (9) | |||||
Total from investment operations | 1.76 | (1.33 | ) | |||||
Less distributions from: | ||||||||
Net investment income | (0.09 | ) | (0.20 | ) | ||||
Total distributions | (0.09 | ) | (0.20 | ) | ||||
Net asset value, end of period | $ | 11.42 | $ | 9.75 | ||||
Total return (3)(6) | 18.10 | % | (11.97 | )% | ||||
Net assets, at end of period (8) | $ | 1,013 | $ | 864 | ||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5) | 3.37 | % (11) | 3.26 | % (10) | ||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5) | 3.01 | % (11) | 3.00 | % (10) | ||||
Ratio of net investment loss to average net assets (5) | (1.20 | )% | (0.16 | )% | ||||
Portfolio Turnover Rate (6) | 121 | % | 133 | % | ||||
(1) | AlphaCentric Symmetry Strategy Fund Class C commenced operations on August 8, 2019. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | Less than $0.01 |
(8) | Actual net assets, not truncated. |
(9) | As required by SEC standard per share calculation methodology, this represents a rebalancing figure derived from other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statement of Operations for the period ended March 31, 2020, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
(10) | Includes 0.01% for the period ended March 31, 2020 attributable to margin expense on futures, which is not subject to waiver by the manager. |
(11) | Includes 0.02% for the year ended March 31, 2021 attributable to margin expense on futures, which is not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
73
AlphaCentric Symmetry Strategy Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Period Ended | |||||||
March 31, | March 31, | |||||||
Class I (SYMIX) | 2021 | 2020 (1) | ||||||
Net asset value, beginning of period | $ | 9.75 | $ | 11.28 | ||||
Activity from investment operations: | ||||||||
Net investment income (loss) (2) | (0.02 | ) | 0.07 | |||||
Net realized and unrealized gain (loss) on investments | 1.89 | (1.33 | ) (7) | |||||
Total from investment operations | 1.87 | (1.26 | ) | |||||
Less distributions from: | ||||||||
Net investment income | (0.18 | ) | (0.27 | ) | ||||
Total distributions | (0.18 | ) | (0.27 | ) | ||||
Net asset value, end of period | $ | 11.44 | $ | 9.75 | ||||
Total return (3)(6) | 19.37 | % | (11.47 | )% | ||||
Net assets, at end of period (000s) | $ | 36,619 | $ | 30,845 | ||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5) | 2.38 | % (9) | 2.26 | % (8) | ||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5) | 2.01 | % (9) | 2.00 | % (8) | ||||
Ratio of net investment income (loss) to average net assets (5) | (0.21 | )% | 0.96 | % | ||||
Portfolio Turnover Rate (6) | 121 | % | 133 | % | ||||
(1) | AlphaCentric Symmetry Strategy Fund Class I commenced operations on September 1, 2014 and does not include performance prior to August 8, 2019 when Class I shares were previously shares of a private fund. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | As required by SEC standard per share calculation methodology, this represents a rebalancing figure derived from other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statement of Operations for the period ended March 31, 2020, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
(8) | Includes 0.01% for the period ended March 31, 2020 attributable to margin expense on futures, which is not subject to waiver by the manager. |
(9) | Includes 0.02% for the year ended March 31, 2021 attributable to margin expense on futures, which is not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
74
AlphaCentric LifeSci Healthcare Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Period Ended | |||||||
March 31, | March 31, | |||||||
Class A (LYFAX) | 2021 | 2020 (1) | ||||||
Net asset value, beginning of period | $ | 9.55 | $ | 10.00 | ||||
Activity from investment operations: | ||||||||
Net investment loss (2) | (0.19 | ) | (0.04 | ) | ||||
Net realized and unrealized gain (loss) on investments | 6.55 | (0.41 | ) | |||||
Total from investment operations | 6.36 | (0.45 | ) | |||||
Less distributions from: | ||||||||
Net realized gains | (0.35 | ) | — | |||||
Total distributions | (0.35 | ) | — | |||||
Net asset value, end of period | $ | 15.56 | $ | 9.55 | ||||
Total return (3)(6) | 66.70 | % | (4.50 | )% | ||||
Net assets, at end of period (000s) | $ | 1,300 | $ | 10 | (7) | |||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5) | 2.78 | % (8) | 24.39 | % | ||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5) | 1.66 | % (8) | 1.65 | % | ||||
Ratio of net investment loss to average net assets (5) | (1.21 | )% | (0.48 | )% | ||||
Portfolio Turnover Rate (6) | 141 | % | 215 | % | ||||
(1) | The AlphaCentric LifeSci Healthcare Fund Class A commenced operations on November 29, 2019. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived and reimbursed a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | Actual net assets, not truncated. |
(8) | Includes 0.01% for the year ended March 31, 2021 attributable to extraordinary expenses which are not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
75
AlphaCentric LifeSci Healthcare Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Period Ended | |||||||
March 31, | March 31, | |||||||
Class C (LYFCX) | 2021 | 2020 (1) | ||||||
Net asset value, beginning of period | $ | 9.55 | $ | 10.00 | ||||
Activity from investment operations: | ||||||||
Net investment loss (2) | (0.32 | ) | (0.06 | ) | ||||
Net realized and unrealized gain (loss) on investments | 6.65 | (0.39 | ) | |||||
Total from investment operations | 6.33 | (0.45 | ) | |||||
Less distributions from: | ||||||||
Net realized gains | (0.35 | ) | — | |||||
Total distributions | (0.35 | ) | — | |||||
Net asset value, end of period | $ | 15.53 | $ | 9.55 | ||||
Total return (3)(6) | 66.38 | % | (4.50 | )% | ||||
Net assets, at end of period (000s) | $ | 215 | $ | 10 | (7) | |||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5) | 3.53 | % (8) | 25.14 | % | ||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5) | 2.41 | % (8) | 2.40 | % | ||||
Ratio of net investment loss to average net assets (5) | (1.96 | )% | (1.23 | )% | ||||
Portfolio Turnover Rate (6) | 141 | % | 215 | % | ||||
(1) | The AlphaCentric LifeSci Healthcare Fund Class C commenced operations on November 29, 2019. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived and reimbursed a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | Actual net assets, not truncated. |
(8) | Includes 0.01% for the year ended March 31, 2021 attributable to extraordinary expenses which are not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
76
AlphaCentric LifeSci Healthcare Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Period Ended | |||||||
March 31, | March 31, | |||||||
Class I (LYFIX) | 2021 | 2020 (1) | ||||||
Net asset value, beginning of period | $ | 9.55 | $ | 10.00 | ||||
Activity from investment operations: | ||||||||
Net investment loss (2) | (0.14 | ) | (0.01 | ) | ||||
Net realized and unrealized gain (loss) on investments | 6.53 | (0.44 | ) | |||||
Total from investment operations | 6.39 | (0.45 | ) | |||||
Less distributions from: | ||||||||
Net investment income | (0.00 | ) (7) | — | |||||
Net realized gains | (0.35 | ) | — | |||||
Total distributions | (0.35 | ) | — | |||||
Net asset value, end of period | $ | 15.59 | $ | 9.55 | ||||
Total return (3)(6) | 67.02 | % | (4.50 | )% | ||||
Net assets, at end of period (000s) | $ | 26,404 | $ | 1,601 | ||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5) | 2.53 | % (8) | 24.14 | % | ||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5) | 1.41 | % (8) | 1.40 | % | ||||
Ratio of net investment loss to average net assets (5) | (0.96 | )% | (0.23 | )% | ||||
Portfolio Turnover Rate (6) | 141 | % | 215 | % | ||||
(1) | The AlphaCentric LifeSci Healthcare Fund Class I commenced operations on November 29, 2019. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived and reimbursed a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Annualized for periods less than one year. |
(6) | Not annualized for periods less than one year. |
(7) | Less than $0.01 |
(8) | Includes 0.01% for the year ended March 31, 2021 attributable to extraordinary expenses which are not subject to waiver by the manager. |
See accompanying notes to consolidated financial statements.
77
AlphaCentric Municipal Opportunities Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Period Ended | |||||||
March 31, | March 31, | |||||||
Class A (MUNAX) | 2021 | 2020 (1) | ||||||
Net asset value, beginning of period | $ | 10.00 | $ | 10.00 | ||||
Activity from investment operations: | ||||||||
Net investment income (loss) (2) | 0.21 | (0.02 | ) | |||||
Net realized and unrealized gain on investments | 0.65 | 0.02 | (8) | |||||
Total from investment operations | 0.86 | (0.00 | ) | |||||
Less distributions from: | ||||||||
Net investment income | (0.22 | ) | — | |||||
Total distributions | (0.22 | ) | — | |||||
Net asset value, end of period | $ | 10.64 | $ | 10.00 | ||||
Total return (3)(7) | 8.70 | % | 0.00 | % | ||||
Net assets, at end of period (000s) | $ | 300 | $ | 12 | ||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5)(6) | 18.50 | % | 6.29 | % | ||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5)(6) | 1.50 | % | 1.50 | % | ||||
Ratio of net investment income (loss) to average net assets (5)(6) | 2.30 | % | (0.98 | )% | ||||
Portfolio Turnover Rate (7) | 143 | % | 314 | % | ||||
(1) | The AlphaCentric Municipal Opportunities Fund Class A commenced operations on December 31, 2019. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived and reimbursed a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Does not include the expenses of other investment companies in which the Fund invests. |
(6) | Annualized for periods less than one year. |
(7) | Not annualized for periods less than one year. |
(8) | As required by SEC standard per share calculation methodology, this represents a rebalancing figure derived from other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statement of Operations for the period ended March 31, 2020, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
See accompanying notes to consolidated financial statements.
78
AlphaCentric Municipal Opportunities Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Period Ended | |||||||
March 31, | March 31, | |||||||
Class C (MUNCX) | 2021 | 2020 (1) | ||||||
Net asset value, beginning of period | $ | 10.03 | $ | 10.00 | ||||
Activity from investment operations: | ||||||||
Net investment income (loss) (2) | 0.22 | (0.02 | ) | |||||
Net realized and unrealized gain on investments | 0.62 | 0.05 | (9) | |||||
Total from investment operations | 0.84 | 0.03 | ||||||
Less distributions from: | ||||||||
Net investment income | (0.22 | ) | — | |||||
Total distributions | (0.22 | ) | — | |||||
Net asset value, end of period | $ | 10.65 | $ | 10.03 | ||||
Total return (3)(7) | 8.47 | % | 0.30 | % | ||||
Net assets, at end of period | $ | 221 | $ | 10 | (8) | |||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5)(6) | 19.25 | % | 7.04 | % | ||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5)(6) | 2.25 | % | 2.25 | % | ||||
Ratio of net investment income (loss) to average net assets (5)(6) | 1.55 | % | (0.81 | )% | ||||
Portfolio Turnover Rate (7) | 143 | % | 314 | % | ||||
(1) | The AlphaCentric Municipal Opportunities Fund Class C commenced operations on December 31, 2019. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived and reimbursed a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Does not include the expenses of other investment companies in which the Fund invests. |
(6) | Annualized for periods less than one year. |
(7) | Not annualized for periods less than one year. |
(8) | Actual net assets, not truncated. |
(9) | As required by SEC standard per share calculation methodology, this represents a rebalancing figure derived from other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statement of Operations for the period ended March 31, 2020, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
See accompanying notes to consolidated financial statements.
79
AlphaCentric Municipal Opportunities Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period Presented |
Year Ended | Period Ended | |||||||
March 31, | March 31, | |||||||
Class I (MUNIX) | 2021 | 2020 (1) | ||||||
Net asset value, beginning of period | $ | 10.03 | $ | 10.00 | ||||
Activity from investment operations: | ||||||||
Net investment income (2) | 0.27 | 0.04 | ||||||
Net realized and unrealized gain (loss) on investments | 0.60 | (0.01 | ) (8) | |||||
Total from investment operations | 0.87 | 0.03 | ||||||
Less distributions from: | ||||||||
Net investment income | (0.25 | ) | — | |||||
Total distributions | (0.25 | ) | — | |||||
Net asset value, end of period | $ | 10.65 | $ | 10.03 | ||||
Total return (3)(7) | 8.77 | % | 0.30 | % | ||||
Net assets, at end of period (000s) | $ | 1,098 | $ | 383 | ||||
Ratio of gross expenses to average net assets before expense reimbursement or recapture (4)(5)(6) | 18.25 | % | 6.04 | % | ||||
Ratio of net expenses to average net assets after expense reimbursement or recapture (5)(6) | 1.25 | % | 1.25 | % | ||||
Ratio of net investment income to average net assets (5)(6) | 2.55 | % | 1.64 | % | ||||
Portfolio Turnover Rate (7) | 143 | % | 314 | % | ||||
(1) | The AlphaCentric Municipal Opportunities Fund Class I commenced operations on December 31, 2019. |
(2) | Per share amounts calculated using the average shares method. |
(3) | Total return in the above table is historical in nature and represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and capital gain distributions, if any, and does not reflect the impact of sales charges. Had the manager not waived and reimbursed a portion of the Fund’s expenses, total returns would have been lower. |
(4) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the manager. |
(5) | Does not include the expenses of other investment companies in which the Fund invests. |
(6) | Annualized for periods less than one year. |
(7) | Not annualized for periods less than one year. |
(8) | As required by SEC standard per share calculation methodology, this represents a rebalancing figure derived from other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statement of Operations for the period ended March 31, 2020, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
See accompanying notes to consolidated financial statements.
80
AlphaCentric Funds |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
March 31, 2021 |
(1) | ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES |
Mutual Fund Series Trust (the “Trust”), was organized as an Ohio business trust on February 27, 2006. The Trust is registered as an open-end investment management company under the Investment Company Act of 1940, as amended (“1940 Act”). The Trust currently consists of thirty-eight series. These financial statements include the following series: AlphaCentric Income Opportunities Fund, AlphaCentric Premium Opportunity Fund, AlphaCentric Robotics and Automation Fund, AlphaCentric Symmetry Strategy Fund, AlphaCentric LifeSci Healthcare Fund, and AlphaCentric Municipal Opportunities Fund. Each series is individually referred to as a “Fund” or collectively as the “Funds” throughout these financial statements. The AlphaCentric Robotics and Automation Fund, AlphaCentric Symmetry Strategy Fund, AlphaCentric LifeSci Healthcare Fund and AlphaCentric Municipal Opportunities Fund are registered as non-diversified series of the Trust. The AlphaCentric Income Opportunities Fund and AlphaCentric Premium Opportunities Fund are diversified series of the Trust. The Funds’ investment manager is AlphaCentric Advisors, LLC (the “Manager” or “AlphaCentric”).
AlphaCentric Income Opportunities Fund (“AIOF”), commenced operations on May 28, 2015. AIOF’s investment objective is current income. The Fund’s sub-advisor is Garrison Point Capital, LLC.
AlphaCentric Premium Opportunity Fund (“APOF”), commenced operations as a series of the Trust on September 30, 2016. The predecessor fund of APOF Class I commenced operations on August 31, 2011, as a private investment fund. APOF’s investment objective is to achieve long-term capital appreciation.
AlphaCentric Robotics and Automation Fund (“ARAF”), commenced operations on May 31, 2017. ARAF’s investment objective is long-term capital appreciation. Effective December 1, 2018, the Fund’s sub-advisor is Contego Capital Group, Inc.
AlphaCentric Symmetry Strategy Fund (“ASSF”), class A and C commenced operations on August 8, 2019, and class I commenced operations on September 1, 2014. ASSF’s investment objective is capital appreciation. The Fund’s sub-advisor is Mount Lucas Management LP.
ASSF acquired all of the assets and liabilities of MLM Symmetry Fund, LP. (the “Predecessor Fund”) in a tax-free reorganization on August 9, 2019. In connection with this acquisition, net assets of the Predecessor Fund were exchanged for Class I shares of the ASSF, so the Predecessor Fund became the Class I shares of the ASSF Fund. The net asset value of the ASSF’s shares resulting from these tax-free transactions on the close of business August 8, 2019, after the reorganization, was $11.28 for Class I shares and received in-kind capital contributions of securities valued at $52,604,794, Cash valued at $8,536,385 and Other Net Assets/Liabilities valued at $64,604 in exchange for 5,426,045 Class I shares. Class A shares and Class C shares commenced operations on August 8, 2019. The Fund’s investment objectives, policies, restrictions and guidelines are, in all material respects, equivalent to the Predecessor Fund’s investment objectives, policies, restrictions, and guidelines. For financial reporting purposes, assets received and shares issued were recorded at fair value; however, the cost basis of the investments received was carried forward to align ongoing reporting of ASSF’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
AlphaCentric LifeSci Healthcare Fund (“ALHF”), commenced operations on November 29, 2019. ALHF’s investment objective is long-term capital appreciation. The Fund’s sub-advisor is LifeSci Fund Management LLC.
AlphaCentric Municipal Opportunities Fund (“AMOF”), commenced operations on December 31, 2019. AMOF’s investment objective is to provide income exempt from federal income tax with capital appreciation as a secondary objective. The Fund’s sub-advisors are SWBC Investment Company (“SWBC”) LLC and Mount Lucas Management LP. Effective December 1, 2020, SWBC replaced R&C Investment Advisors, LLC as the sub-advisor to the Fund.
Each Fund offers three classes of shares, Class A, Class C and Class I. Each share class represents an interest in the same assets of the Funds, has the same rights and is identical in all material respects except that (i) each class of shares may bear different distribution fees; (ii) each class of shares may be subject to different (or no) sales charges; (iii) certain other class specific expenses will be borne solely by the class to which such expenses are attributable; and (iv) each class has exclusive voting rights with respect to matters relating to its own distribution arrangements.
The following is a summary of significant accounting policies consistently followed by the Funds and are in accordance with accounting principles generally accepted in the United States of America (“GAAP”). The Funds are an investment company and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 - Financial Services – Investment Companies including FASB Accounting Standards Update (“ASU”) 2013-08.
a) Securities Valuation - Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ, at the NASDAQ
81
AlphaCentric Funds |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued) |
March 31, 2021 |
Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the last bid price on the day of valuation. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) using methods which include current market quotations from a major market maker in the securities and based on methods which include the consideration of yields or prices of securities of comparable quality, coupon, maturity and type. The Funds may invest in portfolios of open-end or closed-end investment companies (the “underlying funds”). Open-end funds are valued at their respective net asset values as reported by such investment companies. The underlying funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the boards of the underlying funds. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not-change. The independent pricing service does not distinguish between smaller-sized bond positions known as “odd lots” and larger institutional sized bond positions known as “round lots”. A Fund may fair value a particular bond if the Manager does not believe that the round lot value provided by the independent pricing service reflects fair value of the Fund’s holding. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost, provided each such valuation represent fair value. Investments in swap contracts are priced daily based on the underlying equity securities held in the swap. Futures and future options are valued at the final settled price or, in the absence of a settled price, at the last sale price on the day of valuation. Options are valued at their closing price on the exchange they are traded on. When no closing price is available, options are valued at their mean price. Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap.
Securities traded on a foreign exchange which has not closed by the valuation time or for which the official closing prices are not available at the time the NAV is determined will be valued using alternative market prices provided by a pricing service.
In certain circumstances, instead of valuing securities in the usual manner, the Funds may value securities at “fair value” as determined in good faith by the Board, pursuant to the procedures (the “Procedures”) approved by the Board. The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security. Fair value may also be used by the Board if extraordinary events occur after the close of the relevant world market but prior to the New York Stock Exchange close.
Exchange Traded Funds – The Funds may invest in exchange traded funds (“ETFs”). ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the potential lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.
The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Funds have the ability to access.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
82
AlphaCentric Funds |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued) |
March 31, 2021 |
The following tables summarize the inputs used as of March 31, 2021 for the Funds’ assets and liabilities measured at fair value:
AlphaCentric Income Opportunities Fund | ||||||||||||||||
Assets | ||||||||||||||||
Level 2 | Level 3 | |||||||||||||||
Level 1 | (Other Significant | (Unobservable | ||||||||||||||
Security Classifications (a) + | (Quoted Prices) | Observable Inputs) | Inputs) | Totals | ||||||||||||
Asset Backed Securities | $ | — | $ | — | $ | 2,503,872 | $ | 2,503,872 | ||||||||
Exchange Traded Funds | 174,298,350 | — | — | 174,298,350 | ||||||||||||
Non-Agency Residential Mortgage Backed Securities | — | 3,357,280,466 | — | 3,357,280,466 | ||||||||||||
Real Estate Investment Trusts (REIT) | 54,226,913 | — | — | 54,226,913 | ||||||||||||
Total | $ | 228,525,263 | $ | 3,357,280,466 | $ | 2,503,872 | $ | 3,588,309,601 | ||||||||
AlphaCentric Premium Opportunity Fund | ||||||||||||||||
Assets | ||||||||||||||||
Level 2 | Level 3 | |||||||||||||||
Level 1 | (Other Significant | (Unobservable | ||||||||||||||
Security Classifications + * | (Quoted Prices) | Observable Inputs) | Inputs) | Totals | ||||||||||||
Purchased Call Options | $ | 577,080 | $ | — | $ | — | $ | 577,080 | ||||||||
Purchased Put Option | 187,890 | — | — | 187,890 | ||||||||||||
Money Market Funds | 72,942,605 | — | — | 72,942,605 | ||||||||||||
Mutual Fund | 2,317,760 | — | — | 2,317,760 | ||||||||||||
Unrealized Appreciation on Open Long Futures Contracts | 643,831 | — | — | 643,831 | ||||||||||||
United States Treasury Bills | — | 9,449,799 | — | 9,449,799 | ||||||||||||
Total | $ | 76,669,166 | $ | 9,449,799 | $ | — | $ | 86,118,965 | ||||||||
Liabilities | ||||||||||||||||
Level 2 | Level 3 | |||||||||||||||
Level 1 | (Other Significant | (Unobservable | ||||||||||||||
Security Classifications + * | (Quoted Prices) | Observable Inputs) | Inputs) | Totals | ||||||||||||
Unrealized Depreciation on Open Long Futures Contracts | $ | 142,760 | $ | — | $ | — | $ | 142,760 | ||||||||
Written Call Options | 243,300 | — | — | 243,300 | ||||||||||||
Written Put Options | 287,095 | — | — | 287,095 | ||||||||||||
Total | $ | 673,155 | $ | — | $ | — | $ | 673,155 | ||||||||
AlphaCentric Robotics and Automation Fund | ||||||||||||||||
Assets | ||||||||||||||||
Level 2 | Level 3 | |||||||||||||||
Level 1 | (Other Significant | (Unobservable | ||||||||||||||
Security Classifications + | (Quoted Prices) | Observable Inputs) | Inputs) | Totals | ||||||||||||
Common Stocks | $ | 41,153,467 | $ | — | $ | — | $ | 41,153,467 | ||||||||
Investment Purchased as Securities Lending Collateral (b) | — | — | — | 4,111,085 | ||||||||||||
Total | $ | 41,153,467 | $ | — | $ | — | $ | 45,264,552 |
83
AlphaCentric Funds |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued) |
March 31, 2021 |
AlphaCentric Symmetry Strategy Fund | ||||||||||||||||
Assets | ||||||||||||||||
Level 2 | Level 3 | |||||||||||||||
Level 1 | (Other Significant | (Unobservable | ||||||||||||||
Security Classifications (a) + * | (Quoted Prices) | Observable Inputs) | Inputs) | Totals | ||||||||||||
Common Stocks | $ | 15,063,364 | — | — | $ | 15,063,364 | ||||||||||
Exchange Traded Funds | 9,758,480 | — | — | 9,758,480 | ||||||||||||
Unrealized Appreciation on Open Futures Contracts | 805,225 | — | — | 805,225 | ||||||||||||
Unrealized Appreciation on Swap Contract | — | 1,281 | — | 1,281 | ||||||||||||
U.S. Treasury Bill | — | 2,999,984 | — | 2,999,984 | ||||||||||||
Total | $ | 25,627,069 | $ | 3,001,265 | $ | — | $ | 28,628,334 | ||||||||
Liabilities | ||||||||||||||||
Level 2 | Level 3 | |||||||||||||||
Level 1 | (Other Significant | (Unobservable | ||||||||||||||
Security Classifications + * | (Quoted Prices) | Observable Inputs) | Inputs) | Totals | ||||||||||||
Unrealized Depreciation on Open Futures Contracts | $ | 427,470 | $ | — | $ | — | $ | 427,470 | ||||||||
Unrealized Depreciation on Swap Contract | — | 5,085 | — | 5,085 | ||||||||||||
Total | $ | 427,470 | $ | 5,085 | $ | — | $ | 432,555 | ||||||||
AlphaCentric LifeSci Healthcare Fund | ||||||||||||||||
Assets | ||||||||||||||||
Level 2 | Level 3 | |||||||||||||||
Level 1 | (Other Significant | (Unobservable | ||||||||||||||
Security Classifications + | (Quoted Prices) | Observable Inputs) | Inputs) | Totals | ||||||||||||
Common Stocks | $ | 26,389,806 | $ | — | $ | — | $ | 26,389,806 | ||||||||
Money Market Fund | 201,247 | — | — | 201,247 | ||||||||||||
Total | $ | 26,591,053 | $ | — | $ | — | $ | 26,591,053 | ||||||||
AlphaCentric Municipal Opportunities Fund | ||||||||||||||||
Assets | ||||||||||||||||
Level 2 | Level 3 | |||||||||||||||
Level 1 | (Other Significant | (Unobservable | ||||||||||||||
Security Classifications (a) + * | (Quoted Prices) | Observable Inputs) | Inputs) | Totals | ||||||||||||
Closed End Funds | $ | 500,422 | $ | — | $ | — | $ | 500,422 | ||||||||
Exchange Traded Funds | 191,602 | — | — | 191,602 | ||||||||||||
Municipal Bonds | — | 854,280 | — | 854,280 | ||||||||||||
Unrealized Appreciation on Open Long Futures Contracts | 125 | — | — | 125 | ||||||||||||
Unrealized Appreciation on Swap Contract | — | 514 | — | 514 | ||||||||||||
Total | $ | 692,149 | $ | 854,794 | $ | — | $ | 1,546,943 |
A reconciliation used in determining AIOF’s Level 3 securities is shown in the Level 3 input table below.
(a) | All ETFs held in the Fund are Level 1 securities. For a detailed break-out of ETFs by major index classification, please refer to the Portfolios of Investments. |
(b) | In accordance with Subtopic 820-10, certain investments that are measured at fair value using the net asset value per share (or its equivalent) have not been classified in the fair value hierarchy. The fair value amount presented in this table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
+ | See Portfolios of Investments for industry classification. |
* | Derivative instruments include cumulative net unrealized gain or loss on futures contracts open as of March 31, 2021. |
84
AlphaCentric Funds |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Continued) |
March 31, 2021 |
The following tables summarize the valuation techniques and significant unobservable inputs used for AIOF investments that are categorized within Level 3 of the fair value hierarchy as of March 31, 2021:
AlphaCentric Income Opportunities Fund | ||||
Asset Backed Securities | ||||
Beginning Balance | $ | 1,810,037 | ||
Total realized gain (loss) | — | |||
Appreciation (Depreciation) | 724,336 | |||
Cost of Purchases | — | |||
Proceeds from Sales | — | |||
Proceeds from Principal Paydowns | (30,501 | ) | ||
Accrued Interest | — | |||
Net transfers in/out of level 3 | — | |||
Ending Balance | $ | 2,503,872 |
Significant unobservable valuation inputs for Level 3 investments as of March 31, 2021, are as follows:
Valuation | Fair Value at | |||||||||
Assets (at fair value) | Technique | Unobservable Inputs | Range of Inputs | March 31, 2021 | ||||||
Amur Finance VI LLC, 8.000% due 12/20/2024 | Market Analysis | Average Daily Price Change in similar companies | - 3% to 5% | $ | 2,503,872 |
Unobservable Input | Impact to Value if Input Increases | Impact to Value if Input Decreases | ||
Market Data of Similar Companies | Increase | Decrease |
Forward Foreign Currency Contracts – As foreign securities are purchased, a Fund generally enters into forward foreign currency exchange contracts in order to hedge against foreign currency exchange rate risks. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss. As foreign currency contracts are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from foreign currency contracts in the Statements of Operations.
Foreign Currency – Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchased and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. Each Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period-end, resulting from changes in exchange rates.
Futures Contracts – Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against changes in the value of equities, interest rates or foreign currencies. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, the Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the
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March 31, 2021 |
market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts. For the year ended March 31, 2021, APOF, ASSF and AMOF invested in futures contracts.
Swap Agreements – The Funds that invest in swaps are subject to equity price risk, interest rate risk, credit risk, currency risk, counterparty risk and/or commodity risk in the normal course of pursuing its investment objective. The Funds may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency), or credit risk. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.
The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. The Funds amortize upfront payments and/or accrue for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. Periodic payments and receipts and liquidation payments received or made at the termination of the swap agreement are recorded as realized gains or losses on the Statements of Operations. The Funds segregate liquid securities having a value at least equal to the amount of their current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that that amount is positive. During the year ended March 31, 2021, ASSF was invested in a credit default swap contract and realized a gain of $15,904. During the year ended March 31, 2021, AMOF was invested in a credit default swap contract with a realized gain of $514. For the year ended March 31, 2021, there were no other Funds invested in swap contracts.
Accounting for Options – The Funds are subject to equity price risks in the normal course of pursuing their investment objective and may purchase or sell options to help hedge against risk. When the Funds write a call or put option, an amount equal to the premium received is included in the Statements of Assets and Liabilities as a liability. The amount of the liability is subsequently marked- to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Funds enter into a closing purchase transaction, a gain or loss is realized. If a written put option is exercised, the purchase cost of the underlying security is reduced by the premium originally received. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. As writer of an option, the Funds have no control over whether the option will be exercised and, as a result, retain the market risk of an unfavorable change in the price of the security underlying the written option.
Certain Funds may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in the Funds’ portfolio. If such a decline occurs, the put options will permit the Funds to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by the Funds upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the Funds. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to the Funds, the benefits realized by the Funds as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to the Funds since these options are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default. Initial margin deposits required upon entering into options contracts are satisfied by the deposits of cash as collateral for the account of the broker (the Funds’ agent in acquiring the options). For the year ended March 31, 2021, APOF invested in options.
The derivatives are not accounted for as hedging instruments under GAAP. The effect of derivative instruments on the Statements of Asset and Liabilities at March 31, 2021, was as follows:
Fair value of asset/liability | ||||||||||
Fund | Derivative | Risk Type | Location of derivatives on Statement of Assets and Liabilities | derivatives | ||||||
AlphaCentric Premium Opportunity Fund (HMXAX, HMXCX, HMXIX) | ||||||||||
Future Contracts | Equity | Unrealized appreciation on open futures contracts | $ | 643,831 | ||||||
Future Contracts | Equity | Unrealized depreciation on open futures contracts | (142,760 | ) | ||||||
Options Purchased | Equity | Investments, At Value | 764,970 | |||||||
Options Written | Equity | Options Written | (530,395 | ) | ||||||
Total | $ | 735,646 |
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March 31, 2021 |
Location of derivatives on Statement of Assets and Liabilities | Fair value of | |||||||||
Fund | Derivative | Risk Type | (Consolidated) | asset/liability derivatives | ||||||
AlphaCentric Symmetry Strategy Fund (SYMAX, SYMCX, SYMIX) | ||||||||||
Credit Default Swap Contracts | Equity | Unrealized appreciation on swap contracts | $ | 1,281 | ||||||
Credit Default Swap Contracts | Equity | Unrealized depreciation on swap contracts | (5,085 | ) | ||||||
Total | $ | (3,804 | ) | |||||||
Future Contracts | Commodity | Unrealized appreciation on open futures contracts | $ | 325,194 | ||||||
Currency | Unrealized appreciation on open futures contracts | 202,112 | ||||||||
Future Contracts | Interest | Unrealized appreciation on open futures contracts | 277,919 | |||||||
Commodity | Unrealized depreciation on open futures contracts | (259,116 | ) | |||||||
Currency | Unrealized depreciation on open futures contracts | (156,808 | ) | |||||||
Interest | Unrealized depreciation on open futures contracts | (11,546 | ) | |||||||
Total | $ | 377,755 | ||||||||
Fair value of | ||||||||||
Fund | Derivative | Risk Type | Location of derivatives on Statement of Assets and Liabilities | asset/liability derivatives | ||||||
AlphaCentric Municipal Opportunities Fund (MUNAX, MUNCX, MUNIX) | ||||||||||
Credit Default Swap Contracts | Equity | Unrealized appreciation on swap contracts | $ | 514 | ||||||
Future Contracts | Interest | Unrealized appreciation on open futures contracts | 125 | |||||||
Total | $ | 639 |
The effect of derivative instruments on the Statements of Operations for the year ended March 31, 2021, were as follows:
Realized and unrealized | ||||||||||
Fund | Derivative | Risk Type | Location of gain (loss) on derivatives | gain (loss) on derivatives | ||||||
AlphaCentric Premium Opportunity Fund (HMXAX, HMXCX, HMXIX) | ||||||||||
Future Contracts | Equity | Net realized gain (loss) from Futures Contracts | $ | 7,237,895 | ||||||
Future Contracts | Equity | Net change in unrealized appreciation (depreciation) on Futures Contracts | 405,698 | |||||||
Total | $ | 7,643,593 | ||||||||
Options Purchased | Equity | Net realized gain (loss) from investments | $ | (100,962 | ) | |||||
Options Purchased | Equity | Net change in unrealized appreciation (depreciation) on investments | (180,856 | ) | ||||||
Total | $ | (281,818 | ) | |||||||
Options Written | Equity | Net realized gain (loss) from Options Written | $ | 1,493,035 | ||||||
Options Written | Equity | Net change in unrealized appreciation (depreciation) on Options Written | 138,643 | |||||||
Total | $ | 1,631,678 |
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March 31, 2021 |
Realized and unrealized | ||||||||||
Fund | Derivative | Risk Type | Location of gain (loss) on derivatives (consolidated) | gain (loss) on derivatives | ||||||
AlphaCentric Symmetry Strategy Fund (SYMAX, SYMCX, SYMIX) | ||||||||||
Credit Default Swap Contracts | Equity | Net realized gain (loss) from Swap Contracts | $ | 15,904 | ||||||
Credit Default Swap Contracts | Equity | Net change in unrealized appreciation (depreciation) on Swap Contracts | (3,804 | ) | ||||||
Total | $ | 12,100 | ||||||||
Future Contracts | Commodity | Net realized gain (loss) from Futures Contracts | 1,018,456 | |||||||
Currency | Net realized gain (loss) from Futures Contracts | 364,062 | ||||||||
Interest | Net realized gain (loss) from Futures Contracts | 925,552 | ||||||||
Total | $ | 2,308,070 | ||||||||
Future Contracts | Commodity | Net change in unrealized appreciation (depreciation) on open Future Contracts | $ | (1,776,494 | ) | |||||
Currency | Net change in unrealized appreciation (depreciation) on open Future Contracts | (493,182 | ) | |||||||
Interest | Net change in unrealized appreciation (depreciation) on open Future Contracts | (489,850 | ) | |||||||
Total | $ | (2,759,525 | ) |
During the year ended March 31, 2021, APOF was subject to a master netting arrangement for the futures. The following table shows additional information regarding the offsetting of assets and liabilities at March 31, 2021.
Gross Amounts of Assets Presented | ||||||||||||||||||||||||
in the Statement of Assets and | ||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||
Gross | Gross Amounts | |||||||||||||||||||||||
Amounts | Offset in the | Net Amounts | ||||||||||||||||||||||
Recognized in | Statements of | Presented in the | ||||||||||||||||||||||
the Statements | Assets and | Statements of Assets | Financial | Cash Collateral | ||||||||||||||||||||
Assets: | of Assets and | Liabilities | and Liabilities | Instruments | Pledged/Received | (1) | Net Amount | |||||||||||||||||
Futures Contracts | $ | 643,831 | $ | — | $ | 643,831 | $ | (142,760 | ) | $ | — | $ | 501,071 | |||||||||||
Total | $ | 643,831 | $ | — | $ | 643,831 | $ | (142,760 | ) | $ | — | $ | 501,071 | |||||||||||
Liabilities: | ||||||||||||||||||||||||
Future Contracts | $ | 142,760 | $ | — | $ | 142,760 | $ | (142,760 | ) | $ | — | $ | — | |||||||||||
Total | $ | 142,760 | $ | — | $ | 142,760 | $ | (142,760 | ) | $ | — | $ | — |
(1) | Collateral pledged is limited to the net outstanding amount due to/from one individual counterparty. The actual collateral amounts pledged may exceed these amounts and fluctuate in value. |
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March 31, 2021 |
During the year ended March 31, 2021, ASSF was subject to a master netting arrangement for the futures and swaps. The following table shows additional information regarding the offsetting of assets and liabilities at March 31, 2021.
Gross Amounts of Assets in the | ||||||||||||||||||||||||
Consolidated Statement of Assets | ||||||||||||||||||||||||
and Liabilities | ||||||||||||||||||||||||
Amounts | ||||||||||||||||||||||||
Recognized in | Gross Amounts | |||||||||||||||||||||||
the | Offset in the | Net Amounts | ||||||||||||||||||||||
Consolidated | Consolidated | Presented in the | ||||||||||||||||||||||
Statements of | Statements of | Consolidated | ||||||||||||||||||||||
Assets and | Assets and | Statements of Assets | Financial | Cash Collateral | ||||||||||||||||||||
Assets: | Liabilities | Liabilities | and Liabilities | Instruments | Pledged/Received | (1) | Net Amount | |||||||||||||||||
Future Contracts | $ | 805,225 | $ | — | $ | 805,225 | $ | (427,470 | ) | $ | — | $ | 377,755 | |||||||||||
Swap Contracts | 1,281 | — | 1,281 | (1,281 | ) | — | — | |||||||||||||||||
Total | $ | 806,506 | $ | — | $ | 806,506 | $ | (428,751 | ) | $ | — | $ | 377,755 | |||||||||||
Liabilities: | ||||||||||||||||||||||||
Future Contracts | $ | 427,470 | $ | — | $ | 427,470 | $ | (427,470 | ) | $ | — | $ | — | |||||||||||
Swap Contracts | 5,085 | — | 5,085 | 1,281 | 3,804 | — | ||||||||||||||||||
Total | $ | 432,555 | $ | — | $ | 432,555 | $ | (426,189 | ) | $ | 3,804 | $ | — |
(1) | Collateral pledged is limited to the net outstanding amount due to/from one individual counterparty. The actual collateral amounts pledged may exceed these amounts and fluctuate in value. |
During the year ended March 31, 2021, AMOF was subject to a master netting arrangement for the futures and swaps. The following table shows additional information regarding the offsetting of assets and liabilities at March 31, 2021.
Gross Amounts of Assets Presented | ||||||||||||||||||||||||
in the Statement of Assets and | ||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||
Amounts | Gross Amounts | |||||||||||||||||||||||
Recognized in | Offset in the | Net Amounts | ||||||||||||||||||||||
the Statements | Statements of | Presented in the | ||||||||||||||||||||||
of Assets and | Assets and | Statements of Assets | Financial | Cash Collateral | ||||||||||||||||||||
Assets: | Liabilities | Liabilities | and Liabilities | Instruments | Pledged/Received | (1) | Net Amount | |||||||||||||||||
Future Contracts | $ | 125 | $ | — | $ | 125 | $ | — | $ | — | $ | 125 | ||||||||||||
Swap Contracts | 514 | — | 514 | — | — | 514 | ||||||||||||||||||
Total | $ | 639 | $ | — | $ | 639 | $ | — | $ | — | $ | 639 |
(1) | Collateral pledged is limited to the net outstanding amount due to/from one individual counterparty. The actual collateral amounts pledged may exceed these amounts and fluctuate in value. |
The value of derivative instruments outstanding as of March 31, 2021 as disclosed in the Portfolios of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the year ended March 31, 2021, as disclosed above and within the Statements of Operations serve as indicators of the volume of derivative activity for the APOF, ASSF and AMOF.
b) Federal Income Tax – The Funds qualify as regulated investment companies and to comply with the applicable provisions of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income or excise tax provisions are required.
During the year ended March 31, 2021, the Funds did not have a liability for any unrecognized tax expense. The Funds recognize interest and penalties, if any, related to unrecognized tax expense as income tax expense in the Statements of Operations as incurred. As of March 31, 2021, the Funds did not incur any interest or penalties. Management has analyzed the Funds’ tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years ended
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March 31, 2021 |
March 31, 2018 to March 31, 2020, or expected to be taken in the Funds’ March 31, 2021 year-end tax return. The tax filings are open for examination by applicable taxing authorities, including the Internal Revenue Service. No examination of the Funds’ filings is presently in progress.
c) Distribution to Shareholders – Distributions to shareholders, which are determined in accordance with income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Dividends from net investment income, if any, are declared and paid at least annually for APOF, ARAF, ASSF and ALHF. AIOF, and AMOF make monthly dividend distributions from net investment income. Distributable net realized gains, if any, are declared and distributed annually.
d) Multiple Class Allocations – Income, non-class specific expenses and realized/unrealized gains or losses are allocated to each class based on relative net assets. Expenses of the Trust that are directly identifiable to a specific Fund are charged to that Fund. Expenses, which are not readily identifiable to a specific Fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Funds in the Trust. Distribution fees are charged to each respective share class in accordance with the distribution plan.
e) Other – Investment and shareholder transactions are recorded on the trade date. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized on securities purchased over the lives of the respective securities utilizing the effective interest method. Dividend income is recorded on the ex-dividend date. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. Withholding taxes and capital gains on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates.
f) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
g) Commitments and Contingencies – In the normal course of business, the Trust may enter into contracts that contain a variety of representations and warranties and provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, management considers the risk of loss from such claims to be remote.
h) Sales charges (loads) – A maximum sales charge of 5.75% is imposed on Class A shares of the APOF, ARAF, ASSF, and ALHF. A maximum sales charge of 4.75% is imposed on Class A shares of AIOF and AMOF.
As of March 31, 2021, all costs incurred by each Fund in connection with their offering are payable by the Manager pursuant to an Expense Limitation and Reimbursement Agreement. Such expenses paid by the Manager are subject to reimbursement within three years of the fiscal year during which they were incurred.
i) Short Sales – The Funds may sell securities short. A short sale is a transaction in which the Funds sell securities they do not own in anticipation of a decline in the market price of the securities. To deliver the securities to the buyer, the Funds must arrange through a broker to borrow the securities and, in so doing, the Funds become obligated to replace the securities borrowed at their market price at the time of replacement, whatever that price may be. The Funds will make a profit or incur a loss as a result of a short sale depending on whether the price of the securities decrease or increase between the date of the short sale and the date on which the Funds purchased the securities to replace the borrowed securities that have been sold.
j) Cash and Cash Equivalents – The Funds consider their investment in a Federal Deposit Insurance Corporation (“FDIC”) insured interest bearing savings account to be cash. The Funds maintain cash balances, which, at times, may exceed federally insured limits. The Funds maintain these balances with a high quality financial institution.
Consolidation of Subsidiaries – ACSSF Fund Limited (“ASSF-CFC”) – The Consolidated Financial Statements of ASSF include the accounts of ASSF-CFC, which is a wholly-owned and controlled foreign subsidiary. ASSF consolidates the results of subsidiaries in which ASSF holds a controlling economic interest. Controlling economic interest is generally deemed to exist with investment interests comprising greater than 50% of the net asset value of the subsidiary. However, ASSF may also consider qualitative aspects of control in determining if a controlling economic interest exists. These qualitative control considerations include the nature and organizational structure of the investment, as well as ASSF’s ability to control the circumstances leading to majority ownership. All inter-company accounts and transactions have been eliminated in consolidation.
ASSF may invest up to 25% of its total assets in a controlled foreign corporation (“CFC”), which acts as an investment vehicle in order to effect certain investments consistent with the ASSF’s investment objectives and policies.
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A summary of the ASSF’s investments in the ASSF-CFC is as follows:
Inception Date | ASSF-CFC’s Net Assets | % Of Net Assets at | |||||||||
of ASSF-CFC | at March 31, 2021 | March 31, 2021 | |||||||||
ASSF-CFC | 8/8/2019 | $ 2,949,234 | 8.05% |
The CFC utilizes commodity-based derivative products to facilitate ASSF’s pursuit of its investment objectives. In accordance with its investment objectives and through their exposure to the aforementioned commodity-based derivative products, ASSF may have increased or decreased exposure to one or more of the following risk factors defined below:
Taxation Risk - By investing in commodities indirectly through a CFC, ASSF will obtain exposure to the commodities markets within the federal tax requirements that apply to the ASSF.
For tax purposes, the CFC is an exempted Cayman investment company. The CFC has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the CFC is a Controlled Foreign Corporation which generates and is allocated no income which is considered effectively connected with U.S. trade or business and as such is not subject to U.S. income tax. However, as a wholly-owned Controlled Foreign Corporation, ASSF-CFC’s net income and capital gain, to the extent of its earnings and profits, will be included each year in the ASSF’s investment company taxable income.
(2) | INVESTMENT TRANSACTIONS |
For the year ended March 31, 2021, aggregate cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the Funds were as follows:
Purchases | Sales | |||||||
AlphaCentric Income Opportunities Fund | $ | 961,267,625 | $ | 87,265,850 | ||||
AlphaCentric Premium Opportunity Fund | $ | 2,394,548 | $ | 134,474 | ||||
AlphaCentric Robotics and Automation Fund | $ | 42,654,064 | $ | 45,142,668 | ||||
AlphaCentric Symmetry Strategy Fund | $ | 28,595,746 | $ | 26,804,025 | ||||
AlphaCentric LifeSci Healthcare Fund | $ | 35,012,059 | $ | 11,919,664 | ||||
AlphaCentric Municipal Opportunities Fund | $ | 2,069,790 | $ | 898,095 |
(3) | MANAGEMENT AGREEMENT AND OTHER RELATED PARTY TRANSACTIONS |
AlphaCentric acts as investment manager to the Funds pursuant to the terms of the Management Agreement with the Trust. Under the terms of the Management Agreement, the Manager manages the investment operations of the Funds in accordance with the Funds’ investment policies and restrictions. The Manager provides the Funds with investment advice and supervision and furnishes an investment program for the Funds. For its investment management services, the Funds pay to the Manager, as of the last day of each month, an annualized fee equal to 1.00% of average net assets of AMOF, 1.25% of ARAF and ALHF, 1.50% of AIOF, 1.75% of APOF and ASSF, such fees to be computed daily based upon daily average net assets of the respective Fund. The Manager pays expenses incurred by it in connection with acting as investment manager to the Funds other than costs (including taxes and brokerage commissions, borrowing costs, costs of investing in underlying funds and extraordinary expenses, if any) of securities purchased for the Funds and certain other expenses paid by the Funds (as detailed in the Management Agreement). The Manager pays for all employees, office space and facilities required by it to provide services under the Management Agreement, with the exception of specific items of expense (as detailed in the Management Agreement) . For the year ended March 31, 2021, management fees of $45,954,809, $1,232,415, $457,736, $567,632, $110,666 and $6,316 were incurred by AIOF, APOF, ARAF, ASSF, ALHF, and AMOF respectively, before the waiver and reimbursement described below.
The Manager and the Trust have entered into an Expense Limitation Agreement under which the Manager has contractually agreed to waive fees and/or reimburse expenses but only to the extent necessary to maintain total annual operating expenses (excluding brokerage costs; borrowing costs, such as (a) interest and (b) dividends on securities sold short; taxes; costs of investing in underlying funds and extraordinary expenses) at 1.74%, 2.49% and 1.49% of average daily net assets for Class A, Class C and Class I shares, respectively, for AIOF through July 31, 2021, 2.24%, 2.99% and 1.99% of average daily net assets for Class A, Class C and Class I shares, respectively, for APOF through July 31, 2021, and 1.65%, 2.40% and 1.40% of average daily net assets for Class A, Class C and Class I shares, respectively, for ARAF through July 31, 2021,
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March 31, 2021 |
2.24%, 2.99%, and 1.99% of average daily net assets for Class A, Class C, and Class I shares, respectively, for ASSF through July 31, 2021, 1.65%, 2.40% and 1.40% of average daily net assets for Class A, Class C and Class I shares, respectively, for ALHF through July 31, 2021, 1.50%, 2.25% and 1.25% of average daily net assets for Class A, Class C and Class I shares, respectively, for AMOF through July 31, 2021. Each waiver or reimbursement by the Manager is subject to recoupment by the Funds within three years from when that particular expense is incurred, if the Funds are able to make the repayment without exceeding the expense limitation in effect at that time and the repayment is approved by the Board. For the year ended March 31, 2021, management fees waived reimbursed by AIOF, APOF, ARAF, ASSF, ALHF, and AMOF were $6,772,123, $40,402, $165,273, $119,849, $97,907 and $105,262 respectively, pursuant to the Expense Limitation Agreement.
For the year ended March 31, 2021, the Manager has waived/reimbursed expenses of the Funds that may be recovered no later than March 31 for the years indicated below:
2022 | 2023 | 2024 | |
AlphaCentric Income Opportunities Fund | $4,143,722 | $6,274,855 | $6,772,123 |
AlphaCentric Premium Opportunity Fund | $97,621 | $97,612 | $40,402 |
AlphaCentric Robotics and Automation Fund | $174,465 | $151,923 | $165,273 |
AlphaCentric Symmetry Strategy Fund | - | $101,437 | $119,849 |
AlphaCentric LifeSci Healthcare Fund | - | $65,191 | $97,907 |
AlphaCentric Municipal Opportunities Fund | - | $47,126 | $105,262 |
The Trust has entered into a Management Services Agreement with MFund Services, LLC (“MFund”). Pursuant to the Management Services Agreement, MFund provides sponsorship, management and supervisory services. For MFund’s services to the Funds, the Funds pay MFund a base fee of $5,000 annually, an annualized asset based fee of 0.10% of average daily net assets up to $50 million, with lower fees at higher asset levels, plus reimbursement of out of pocket expenses. For the year ended March 31, 2021, AIOF, APOF, ARAF, ASSF, ALHF, and AMOF incurred $854,082, $26,113, $15,972, $14,717, $7,642 and $5,176 for such fees, respectively, pursuant to the Management Services Agreement.
A trustee and officer of the Trust is also the controlling member of MFund and Catalyst Capital Advisors, LLC (an investment manager to other series of the Trust), and is not paid any fees directly by the Trust for serving in such capacities.
Trustees who are not “interested persons” as that term is defined in the 1940 Act, are paid a quarterly retainer and receive compensation for each special in-person meeting attended. The fees paid to the Independent Trustees for their attendance at a meeting will be shared equally by the funds of the Trust in which the meeting relates. The Lead Independent Trustee of the Trust and the Chairman of the Trust’s Audit Committee receives an additional quarterly retainer. The “interested persons” of the Trust receive no compensation from the Funds. The Trust reimburses each Trustee and Officer for his or her travel and other expenses related to attendance at such meetings.
Gemini Fund Services, LLC (“GFS”) provides administrative, fund accounting, and transfer agency services to the Funds pursuant to agreements with the Trust, for which it receives from each Fund: (i) basis points in decreasing amounts as assets reach certain breakpoints; and (ii) any related out-of-pocket expenses.
Certain officers of the Trust are also employees of GFS and MFund, and are not paid any fees directly by the Trust for serving in such capacity.
Pursuant to the Management Services Agreement, MFund provides chief compliance officer services to the Funds. For these services, the Funds pay MFund an annual base fee plus an annual asset-based fee based upon net assets. In addition, the Funds reimburse MFund for any reasonable out-of-pocket expenses incurred in the performance of its duties under the Management Services Agreement. The compliance fees for the year ended March 31, 2021 for AIOF, APOF, ARAF, ASSF, ALHF, and AMOF incurred $91,387, $8,496, $12,595, $12,392, $11,248 and $17,258, respectively.
The Trust has adopted a Master Distribution Plan pursuant to rule 12b-1 under the 1940 Act for each class of shares, that allows the Funds to pay distribution and shareholder servicing expenses of up to 0.50% per annum for the Class A shares and up to 1.00% for the Class C shares based on average daily net assets of each class. Class A shares are currently paying 0.25% per annum of 12b-1 fees and Class C shares are currently paying 1.00% per annum of 12b-1 fees. The fee may be used for a variety of purposes, including compensating dealers and other financial service organizations for eligible services provided by those parties to the Funds and their shareholders and to reimburse Northern Lights Distributor (“NLD”) and Manager for distribution related expenses. Brokers may receive a 1.00% commission from NLD for the sale of Class C shares.
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For the year ended March 31, 2021, the Distributor received the following in underwriter commissions from the sale of shares of the Funds:
AlphaCentric Income Opportunities Fund | $ | 352,674 | ||
AlphaCentric Premium Opportunity Fund | 48,820 | |||
AlphaCentric Robotics and Automation Fund | 56,615 | |||
AlphaCentric Symmetry Strategy Fund | — | |||
AlphaCentric LifeSci Healthcare Fund | 48,376 | |||
AlphaCentric Municipal Opportunities Fund | — | |||
$ | 506,485 |
(4) | CREDIT FACILITY |
Effective July 31, 2019, AIOF extended its revolving, uncommitted $200,000,000 line of credit with U.S. Bank National Association (the “2019 Revolving Credit Agreement”) that expired on July 31, 2020 (the original agreement was effective August 1, 2018). Borrowings under the 2019 Revolving Credit Agreement bore interest at Prime Rate minus 1% per month. There are no fees charged on the unused portion of the line of credit. For the period April 1, 2019 through March 24, 2020, amounts outstanding to the Fund under the credit facility at no time were permitted to exceed in the aggregate the lessor of (a) $200,000,000; (b) 15% of the gross market value of the Fund; or (c) 33.33% of the Fund’s daily market value.
Effective March 24, 2020, AIOF entered into a revolving, uncommitted $300,000,000 line of credit with U.S. Bank National Association (the “2020 Revolving Credit Agreement”) that expired on January 27, 2021. Borrowings under the 2020 Revolving Credit Agreement bear an interest at Prime Rate minus 1% per month. There are no fees charged on the unused portion of the line of credit. For the period April 1, 2020 through January 27, 2021, amounts outstanding to the Fund under the credit facility at no time were permitted to exceed in the aggregate the lessor of (a) $300,000,000; (b) 15% of the gross market value of the Fund or (c) 33.33% of the Fund’s daily market value.
Effective January 27, 2021, AIOF amended the revolving, uncommitted $250,000,000 line of credit with U.S. Bank National Association (the “2021 Revolving Credit Agreement “) that is set to expire on July 27, 2021. Borrowings under the 2021 Revolving Credit Agreement bear an interest at Prime Rate minus 1% per month. There are no fees charged on the unused portion of the line of credit. For the period January 28, 2021 through March 31, 2021, amounts outstanding to the Fund under the credit facility at no time were permitted to exceed in the aggregate the lessor of (a) $250,000,000; (b) 15% of the gross market value of the Fund or (c) 33.33% of the Fund’s daily market value.
For the year ended March 31, 2021, the interest expense was $0 for AIOF. There were no borrowings during the year or outstanding as of March 31, 2021.
(5) | CONTROL OWNERSHIP |
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates presumption of the control of the Fund, under section 2(a)(9) of the 1940 Act. As of March 31, 2021, UBS Financial Services, Inc. owned 35.4% of the voting securities of ARAF. Hartz Capital Investments LLC owned 83.9% of ASSF. Charles Schwab & Co. Inc. owned 26.9% of ALHF. National Financial Services LLC owned 28.2% of APOF and 71.8% of AMOF. The Trust has no knowledge as to whether all or any portion of the shares owned of record by UBS Financial Services, Inc, Hartz Capital Investments LLC, Charles Schwab & Co. Inc. and National Financial Services LLC are also owned beneficially.
(6) | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS TO CAPITAL |
The tax character of fund distributions paid for the year ended March 31, 2021 and March 31, 2020 was as follows:
For the Year Ended March 31, 2021: | ||||||||||||||||||||
Ordinary | Long-Term | Return | Tax-Exempt | |||||||||||||||||
Portfolio | Income | Capital Gains | of Capital | Income | Total | |||||||||||||||
AlphaCentric Income Opportunities Fund | $ | 62,790,327 | $ | — | $ | 82,181,206 | $ | — | $ | 144,971,533 | ||||||||||
AlphaCentric Premium Opportunity Fund | 768,936 | 2,645,581 | — | — | 3,414,517 | |||||||||||||||
AlphaCentric Robotics and Automation Fund | — | — | — | — | — | |||||||||||||||
AlphaCentric Symmetry Strategy Fund | 562,894 | — | — | — | 562,894 | |||||||||||||||
AlphaCentric LifeSci Healthcare Fund | 304,408 | — | — | — | 304,408 | |||||||||||||||
AlphaCentric Municipal Opportunities Fund | 16,251 | — | — | — | 16,251 |
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For the Year Ended March 31, 2020: | ||||||||||||||||||||
Ordinary | Long-Term | Return | Tax-Exempt | |||||||||||||||||
Portfolio | Income | Capital Gains | of Capital | Income | Total | |||||||||||||||
AlphaCentric Income Opportunities Fund | $ | 134,631,815 | $ | — | $ | 23,975,399 | $ | — | $ | 158,607,214 | ||||||||||
AlphaCentric Premium Opportunity Fund | — | — | — | — | — | |||||||||||||||
AlphaCentric Robotics and Automation Fund | — | — | — | — | — | |||||||||||||||
AlphaCentric Symmetry Strategy Fund | 1,483,963 | — | — | — | 1,483,963 | |||||||||||||||
AlphaCentric LifeSci Healthcare Fund | — | — | — | — | — | |||||||||||||||
AlphaCentric Municipal Opportunities Fund | — | — | — | — | — |
Tax equalization allows a Fund to treat as distribution that portion of redemption proceeds representing a redeeming shareholder’s portion of undistributed taxable and net capital gains. The APOF utilized equalization in the amount of $1,603,446 which resulted in a difference between tax distributions and book distributions as disclosed on the Statement of Changes for the year ended March 31, 2021. Net investment income and net realized gains, as disclosed on the Statements of Operations and net assets were not affected by these reclassifications.
As of March 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed | Undistributed | Undistributed | Post October Loss | Capital Loss | Other | Unrealized | Total | |||||||||||||||||||||||||
Ordinary | Ordinary | Long-Term | and | Carry | Book/Tax | Appreciation/ | Accumulated | |||||||||||||||||||||||||
Portfolio | Tax-Exempt Income | Income | Capital Gains | Late Year Loss | Forwards | Differences | (Depreciation) | Earnings/(Deficits) | ||||||||||||||||||||||||
AlphaCentric Income Opportunities Fund | $ | — | $ | — | $ | — | $ | (2,242,541 | ) | $ | (676,656,855 | ) | $ | — | $ | 677,272,469 | $ | (1,626,927 | ) | |||||||||||||
AlphaCentric Premium Opportunity Fund | — | 1,677,507 | 2,772,208 | — | — | — | 47,289 | 4,497,004 | ||||||||||||||||||||||||
AlphaCentric Robotics and Automation Fund | — | — | — | (38,484 | ) | (996,852 | ) | — | 13,654,332 | 12,618,996 | ||||||||||||||||||||||
AlphaCentric Symmetry Strategy Fund | — | 82,996 | — | — | (7,237,915 | ) | 46,057 | 4,982,013 | (2,126,849 | ) | ||||||||||||||||||||||
AlphaCentric LifeSci Healthcare Fund | — | 1,758,723 | 6,349 | — | — | — | 24,741 | 1,789,813 | ||||||||||||||||||||||||
AlphaCentric Municipal Opportunities Fund | — | 538 | — | — | (55,364 | ) | — | 11,316 | (43,510 | ) |
The difference between book basis and tax basis undistributed net investment income, accumulated net realized gains, and unrealized appreciation from investments is primarily attributable to the tax deferral of losses on wash sales, mark-to-market on open futures, options, swaps contracts and passive foreign investment companies, and the ASSF Fund’s wholly owned subsidiary.
The unrealized appreciation in the table above includes unrealized foreign currency gains(losses) of $923, $2,104 and $(101) for ARAF, ASSF, and ALHF, respectively.
Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The ARAF incurred and elected to defer such late year losses of $38,484.
Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The AIOF incurred and elected to defer such capital losses of $2,242,541.
At March 31, 2021, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains and capital loss carry forwards utilized as follows:
Non-Expiring | ||||||||||||||||
Portfolio | Short-Term | Long-Term | Total | CLCF Utilized | ||||||||||||
AlphaCentric Income Opportunities Fund | $ | 365,606,308 | $ | 311,050,547 | $ | 676,656,855 | $ | — | ||||||||
AlphaCentric Premium Opportunity Fund | — | — | — | — | ||||||||||||
AlphaCentric Robotics and Automation Fund | 996,852 | — | 996,852 | 1,974,171 | ||||||||||||
AlphaCentric Symmetry Strategy Fund | 3,042,810 | 4,195,105 | 7,237,915 | — | ||||||||||||
AlphaCentric LifeSci Healthcare Fund | — | — | — | 86,807 | ||||||||||||
AlphaCentric Municipal Opportunities Fund | 52,823 | 2,541 | 55,364 | 267 |
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Permanent book and tax differences, primarily attributable to the tax treatment of net operating losses, equalization debits and the ASSF Fund’s wholly owned subsidiary, resulted in reclassifications for the Funds for the year ended March 31, 2021 as follows:
Paid | ||||||||
In | Accumulated | |||||||
Portfolio | Capital | Earnings (Losses) | ||||||
AlphaCentric Income Opportunities Fund | $ | — | $ | — | ||||
AlphaCentric Premium Opportunity Fund | 1,603,446 | (1,603,446 | ) | |||||
AlphaCentric Robotics and Automation Fund | (248,704 | ) | 248,704 | |||||
AlphaCentric Symmetry Strategy Fund | 1,020,172 | (1,020,172 | ) | |||||
AlphaCentric LifeSci Healthcare Fund | — | — | ||||||
AlphaCentric Municipal Opportunities Fund | — | — |
(7) | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
Gross | Gross | Net Unrealized | ||||||||||||||
Unrealized | Unrealized | Appreciation / | ||||||||||||||
Portfolio | Tax Cost | Appreciation | Depreciation | (Depreciation) | ||||||||||||
AlphaCentric Income Opportunities Fund | $ | 2,911,037,132 | $ | 742,736,733 | $ | (65,464,264 | ) | $ | 677,272,469 | |||||||
AlphaCentric Premium Opportunity Fund | 85,398,521 | 47,289 | — | 47,289 | ||||||||||||
AlphaCentric Robotics and Automation Fund | 31,611,143 | 14,376,203 | (722,794 | ) | 13,653,409 | |||||||||||
AlphaCentric Symmetry Strategy Fund | 23,262,604 | 5,931,894 | (951,985 | ) | 4,979,909 | |||||||||||
AlphaCentric LifeSci Healthcare Fund | 26,566,211 | 1,755,155 | (1,730,313 | ) | 24,842 | |||||||||||
AlphaCentric Municipal Opportunities Fund | 1,535,627 | 30,192 | (18,876 | ) | 11,316 |
(8) | UNDERLYING INVESTMENT IN OTHER INVESTMENT COMPANIES |
APOF currently invests a significant portion of its assets in the First American Government Obligations Fund, Class U (“FGUXX”). The Fund may redeem its investment in FGUXX at any time if the Manager determines that it is in the best interest of the Fund and its shareholders to do so. The Fund’s performance will be directly affected by the performance of FGUXX. The financial statements of FGUXX, including the portfolio of investments, can be found on the Securities and Exchange Commission’s website www.sec.gov and should be read in conjunction with the Fund’s financial statements. As of March 31, 2021, the Fund owns 69.5% of FGUXX.
(9) | UNDERLYING FUND RISK |
The Funds in the normal course of business make investments in financial instruments and derivatives where the risk of potential loss exists due to changes in the market or failure or inability of the counterparty to a transaction to perform. See below for a detailed description of select principal risks.
Each underlying fund, including each ETF, is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Funds will indirectly bear fees and expenses charged by the underlying investment companies in which the Funds invest in addition to the Funds’ direct fees and expenses.
Wholly-Owned Subsidiary Risk: Each CFC will not be registered under the 1940 Act and will not be subject to all of the investor protections of the 1940 Act. Changes in the laws of the United States and/or the Cayman Islands, under which each Fund and CFC, respectively, are organized, could result in the inability of each Fund and/or CFC to operate as described in the Prospectus and could negatively affect each Fund and their shareholders. Your cost of investing in a Fund will be higher because you indirectly bear the expenses of its CFC.
Credit Risk: There is a risk that issuers and counterparties will not make payments on securities and other investments held by a Fund, resulting in losses to the Funds. In addition, the credit quality of securities held by a Fund may be lowered if an issuer’s financial condition changes. Lower credit quality may lead to greater volatility in the price of a security and in shares of the Fund. Lower credit quality also may affect liquidity and make it difficult for a Fund to sell the security. The Funds may invest, directly or indirectly, in high yield fixed-income securities (also known as “junk bonds”), which are considered speculative with respect to the issuer’s capacity to pay interest and repay principal in accordance with the
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March 31, 2021 |
terms of the obligations. This means that, compared to issuers of higher rated securities, issuers of medium and lower rated securities are less likely to have the capacity to pay interest and repay principal when due in the event of adverse business, financial or economic conditions and/or may be in default or not current in the payment of interest or principal. The market values of medium- and lower-rated securities tend to be more sensitive to company-specific developments and changes in economic conditions than higher-rated securities. The companies that issue these securities often are highly leveraged, and their ability to service their debt obligations during an economic downturn or periods of rising interest rates may be impaired. In addition, these companies may not have access to more traditional methods of financing, and may be unable to repay debt at maturity by refinancing. The risk of loss due to default in payment of interest or principal by these issuers is significantly greater than with higher-rated securities because medium- and lower-rated securities generally are unsecured and subordinated to senior debt. Default, or the market’s perception that an issuer is likely to default, could reduce the value and liquidity of securities held by a Fund. In addition, default may cause a Fund to incur expenses in seeking recovery of principal or interest on its portfolio holdings.
Swap Counterparty Credit Risk: The Funds are subject to credit risk on the amount the Funds expect to receive from swap agreement counterparties. With certain exchange traded credit default swaps, there is minimal counterparty risk to a Fund in that the exchanges clearinghouse, as counter party, guarantees against default.
Commodity Risk: Investing in the commodities markets may subject the Funds to greater volatility than investments in traditional securities. Commodity prices may be influenced by unfavorable weather, animal and plant disease, geologic and environmental factors as well as changes in government regulation such as tariffs, embargoes or burdensome production rules and restrictions.
Foreign Currency Risk: Currency trading risks include market risk, credit risk and country risk. Market risk results from adverse changes in exchange rates in the currencies the Fund is long or short. Credit risk results because a currency-trade counterparty may default. Country risk arises because a government may interfere with transactions in its currency.
Foreign Exchanges Risk: A portion of the derivatives trades made by the Funds may take place on foreign markets. Neither existing CFTC regulations nor regulations of any other U.S. governmental agency apply to transactions on foreign markets. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.
Fixed Income Risk: When the Funds invest in fixed income securities, the value of your investment in each will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the value of fixed income securities owned by the Funds. In general, the market price of fixed income securities with longer maturities will increase or decrease more in response to changes in interest rates than shorter-term securities. Other risk factors include credit risk (the debtor may default) and prepayment risk (the debtor may pay its obligation early, reducing the amount of interest payments). If the U.S. Federal Reserve’s Federal Open Market Committee (“FOMC”) raises the federal funds interest rate target, interest rates across the U.S. financial system may rise. However, the magnitude of rate changes across maturities and borrower sectors is uncertain. Rising rates may decrease liquidity and increase volatility, which may make portfolio management more difficult and costly to each Fund and its shareholders. Additionally, default risk increases if issuers must borrow at higher rates. These risks could affect the value of a particular investment by each Fund, possibly causing the Fund’s share price and total return to be reduced and fluctuate more than other types of investments.
Futures and Forwards Contract Risk: For APOF, ASSF and AMOF the successful use of futures contracts draws upon the manager’s skill and experience with respect to such instruments and are subject to special risk considerations. The primary risks associated with the use of futures contracts are (a) the imperfect correlation between the change in market value of the instruments held by the Fund and the price of the forward or futures contract; (b) possible lack of a liquid secondary market for a forward or futures contract and the resulting inability to close a forward or futures contract when desired; (c) losses caused by unanticipated market movements, which are potentially unlimited; (d) the Manager’s inability to predict correctly the direction of securities prices, interest rates, currency exchange rates and other economic factors; (e) the possibility that the counterparty will default in the performance of its obligations; and (f) if the Fund has insufficient cash, it may have to sell securities from its portfolio to meet daily variation margin requirements, and the Fund may have to sell securities at a time when it may be disadvantageous to do so.
Derivatives Risk: APOF, ASSF and AMOF may use derivatives (including options, futures, forwards, swaps and options on futures) to enhance returns or hedge against market declines. Each Fund’s use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. These risks include (i) the risk that the counterparty to a derivative transaction may not fulfill its contractual obligations; (ii) risk of mispricing or improper valuation; and (iii) the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. Derivative prices are highly volatile and may fluctuate substantially during a short period of time. Such prices are influenced by numerous factors that affect the markets, including, but not limited to: changing supply and demand relationships; government programs and policies; national and international political and economic events, changes in interest rates, inflation and deflation and changes in supply and demand relationships.
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Options Risk: There are risks associated with the sale and purchase of call and put options. As the seller (writer) of a covered call option, APOF assumes the risk of a decline in the market price of the underlying security below the purchase price of the underlying security less the premium received, and gives up the opportunity for gain on the underlying security above the exercise option price. As the buyer of a put or call option, the Fund risks losing the entire premium invested in the option if the Fund does not exercise the option. As a seller (writer) of a put option, the Fund will lose money if the value of the security falls below the strike price. If unhedged, the Fund’s written calls exposes it to potentially unlimited losses.
Market Risk: Overall market risks may also affect the value of the Funds. The market values of securities or other investments owned by the Funds will go up or down, sometimes rapidly or unpredictably. Factors such as economic growth and market conditions, interest rate levels, exchange rates and political events affect the securities markets. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments. Unexpected local, regional or global events and their aftermath, such as war; acts of terrorism; financial, political or social disruptions; natural, environmental or man-made disasters; the spread of infectious illnesses or other public health issues; recessions and depressions; or other tragedies, catastrophes and events could have a significant impact on the Funds and their investments and could result in increased premiums or discounts to a Fund’s net asset value, and may impair market liquidity, thereby increasing liquidity risk. Such events can cause investor fear and panic, which can adversely affect the economies of many companies, sectors, nations, regions and the market in general, in ways that cannot necessarily be foreseen. The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. In times of severe market disruptions, you could lose your entire investment.
Libor Risk: The Funds’ investment, payment obligations and financing terms may be based on floating rates such as the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. Plans are underway to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the nature of any replacement rate and the impact of the transition from LIBOR on the Funds’ transactions and the financial markets generally. As such, the potential effect of the transition away from the LIBOR on the Funds’ investments cannot yet be determined.
Please refer to each Fund’s prospectus for a full listing of risks associated with the investments.
(10) | SECURITIES LENDING |
ARAF has entered into a Securities Lending Agreement with the US Bank NA (“US Bank”). ARAF can lend its securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. The cash collateral is invested in short-term investments as noted in the ARAF’s Portfolio of Investments. ARAF also continues to receive interest or dividends on the securities loaned. Loans are collateralized at a value at least equal to 105% of the then current market value of any loaned security that are foreign, or 102% of the then current market value of any other loaned security. All interest and dividend payments received on securities which are held on loan, provided that there is no material default, will be paid to the ARAF. A portion of the income generated by the investment in the ARAF’s collateral, net of any rebates paid by US Bank to the borrowers is remitted to US Bank as lending agent and the remainder is paid to ARAF.
Although risk is mitigated by the collateral, the ARAF could experience a delay in recovering their securities and possible loss of income or value if the borrower fails to return them. Should the borrower of the securities fail financially, ARAF has the right to repurchase the securities using the collateral in the open market.
ARAF receives cash as collateral in return for securities lent as part of the securities lending program. The collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC of which the investment objective is to seek to maximize current income to the extent with the preservation of capital and liquidity and maintain a stable NAV of $1.00 per unit. ARAF held $4,111,085 as of March 31, 2021. The remaining contractual maturity of all securities lending transactions is overnight and continuous. ARAF is not subject to a master netting agreement with respect to securities lending; therefore no additional disclosures are required. The income earned by ARAF on investments of cash collateral received from borrowers for the securities loaned to them are reflected in the ARAF’s Statement of Operations.
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(11) | INVESTMENTS IN AFFILIATED COMPANIES |
Affiliated companies are mutual funds which are advised by the Manager. Companies which are affiliates of the Fund at March 31, 2021, are noted in the APOF’s Portfolio of Investments. Transactions during the year ended March 31, 2021, with companies which are affiliates are as follows:
Value - Beginning | Sales | Realized | Unrealized | Dividend | Interest | LTCG | Value - End | |||||||||||||||||||||||||||||||||
Affiliated Holding | of Period | Shares | Purchases | Proceeds | Gain/(Loss) | Gain/(Loss) | Income | Income | Distributions | of Period | ||||||||||||||||||||||||||||||
AlphaCentric Income Opportunities Fund - Class I | $ | — | 201,369 | $ | 2,271,959 | $ | — | $ | — | $ | 45,801 | $ | 21,839 | $ | — | $ | — | $ | 2,317,760 | |||||||||||||||||||||
$ | — | 201,369 | $ | 2,271,959 | $ | — | $ | — | $ | 45,801 | $ | 21,839 | $ | — | $ | — | $ | 2,317,760 |
(12) | LEGAL PROCEEDINGS |
On July 30, 2020, an investor in the AlphaCentric Income Opportunities Fund (the “Fund”) filed a putative class action in Florida state court, naming AlphaCentric Advisors LLC, Mutual Fund Series Trust, and others as defendants. Plaintiff alleges that the Fund misrepresented that it held no more than 15% of its assets in illiquid securities, among other things, and asserts violations of Sections 11, 12(a)(2) and 15 of the Securities Act of 1933. On October 14, 2020, the same Plaintiff filed a nearly identical putative class action in New York State Court against the same defendants. That complaint was amended on February 26, 2021, which added two additional defendants, including sub-advisor Garrison Point LLC. On February 22, 2021, defendants moved to dismiss the Florida action for lack of personal jurisdiction. On May 20, 2021, defendants moved to dismiss the New York action for failure to allege any material misrepresentations or omissions, among other things. We believe these lawsuits are meritless and intend to contest them vigorously.
(13) | SUBSEQUENT EVENTS |
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
98
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of AlphaCentric Income Opportunities Fund, AlphaCentric Premium Opportunity Fund, AlphaCentric Robotics and Automation Fund, AlphaCentric Symmetry Strategy Fund, AlphaCentric LifeSci Healthcare Fund, and AlphaCentric Municipal Opportunities Fund and
Board of Trustees of Mutual Fund Series Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the funds listed below (the “Funds”), each a series of Mutual Fund Series Trust, as of March 31, 2021, the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of March 31, 2021, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
Fund Name | Statements of Operations | Statement(s) of Changes in Net Assets | Financial Highlights |
AlphaCentric Income Opportunities Fund | For the year ended March 31, 2021 | For the years ended March 31 2021 and 2020 | For the years ended March 31 2021, 2020, 2019, 2018, and 2017 |
AlphaCentric Premium Opportunity Fund | For the year ended March 31, 2021 | For the years ended March 31 2021 and 2020 | For the years ended March 31 2021, 2020, 2019, 2018 and for the period from September 30, 2016 (commencement of operations) through March 31, 2017 |
AlphaCentric Robotics and Automation Fund | For the year ended March 31, 2021 | For the years ended March 31 2021 and 2020 | For the years ended March 31 2021, 2020, 2019 and for the period from May 31, 2017 (commencement of operations) through March 31, 2018 |
AlphaCentric Symmetry Strategy Fund* | For the year ended March 31, 2021 | For the year ended March 31, 2021 and for the period from August 8, 2019 (commencement of operations) through March 31, 2020 |
AlphaCentric LifeSci Healthcare Fund | For the year ended March 31, 2021 | For the year ended March 31, 2021 and for the period from November 29, 2019 (commencement of operations) through March 31, 2020 |
AlphaCentric Municipal Opportunities Fund | For the year ended March 31, 2021 | For the year ended March 31, 2021 and for the period from December 31, 2019 (commencement of operations) through March 31, 2020 |
* | The financial statements referred to above are Consolidated Financial Statements. |
COHEN & COMPANY, LTD.
800.229.1099 | 866.818.4538 fax | cohencpa.com
Registered with the Public Company Accounting Oversight Board
99
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2021, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2015.
COHEN & COMPANY, LTD.
Chicago, Illinois
May 28, 2021
100
AlphaCentric Funds |
EXPENSE EXAMPLES (Unaudited) |
March 31, 2021 |
As a shareholder of one or more of the AlphaCentric Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases of Class A shares; (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from October 1, 2020 through March 31, 2021.
Actual Expenses
The “Actual” columns in the table below provide information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $ 1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The “Hypothetical” columns in the table below provide information about hypothetical account values and hypothetical expenses based on the AlphaCentric Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not either Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or redemption fees. Therefore, the table 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 transactional costs were included, your costs would have been higher.
Hypothetical | ||||||||||||||
Actual | (5% return before expenses) | |||||||||||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | |||||||||
Annualized | Account Value | Account Value | Paid During | Account Value | Paid During | |||||||||
Expense Ratio | 10/1/2020 | 3/31/2021 | Period * | 3/31/2021 | Period ** | |||||||||
AlphaCentric Income Opportunities Fund – Class A | 1.75% | $1,000.00 | $1,105.00 | $9.18 | $1,016.21 | $8.80 | ||||||||
AlphaCentric Income Opportunities Fund – Class C | 2.50% | $1,000.00 | $1,100.40 | $13.10 | $1,012.46 | $12.55 | ||||||||
AlphaCentric Income Opportunities Fund – Class I | 1.50% | $1,000.00 | $1,106.30 | $7.86 | $1,017.47 | $7.53 | ||||||||
AlphaCentric Premium Opportunity Fund – Class A | 2.25% | $1,000.00 | $1,061.30 | $11.56 | $1,013.71 | $11.29 | ||||||||
AlphaCentric Premium Opportunity Fund – Class C | 3.00% | $1,000.00 | $1,057.40 | $15.39 | $1,009.97 | $15.03 | ||||||||
AlphaCentric Premium Opportunity Fund – Class I | 2.00% | $1,000.00 | $1,062.40 | $10.28 | $1,014.96 | $10.04 | ||||||||
AlphaCentric Robotics and Automation Fund – Class A | 1.65% | $1,000.00 | $1,231.90 | $9.18 | $1,016.70 | $8.30 | ||||||||
AlphaCentric Robotics and Automation Fund – Class C | 2.40% | $1,000.00 | $1,228.30 | $13.33 | $1,012.96 | $12.05 | ||||||||
AlphaCentric Robotics and Automation Fund – Class I | 1.40% | $1,000.00 | $1,234.20 | $7.80 | $1,017.95 | $7.04 | ||||||||
AlphaCentric Symmetry Strategy Fund – Class A | 2.26% | $1,000.00 | $1,193.50 | $12.35 | $1,013.67 | $11.34 | ||||||||
AlphaCentric Symmetry Strategy Fund – Class C | 3.01% | $1,000.00 | $1,188.30 | $16.41 | $1,009.93 | $15.07 | ||||||||
AlphaCentric Symmetry Strategy Fund – Class I | 2.01% | $1,000.00 | $1,195.00 | $10.98 | $1,014.93 | $10.08 |
101
AlphaCentric Funds |
EXPENSE EXAMPLES (Unaudited)(Continued) |
March 31, 2021 |
Hypothetical | ||||||||||||||
Actual | (5% return before expenses) | |||||||||||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | |||||||||
Annualized | Account Value | Account Value | Paid During | Account Value | Paid During | |||||||||
Expense Ratio | 10/1/2020 | 3/31/2021 | Period * | 3/31/2021 | Period ** | |||||||||
AlphaCentric LifeSci Healthcare Fund – Class A | 1.66% | $1,000.00 | $1,297.40 | $9.50 | $1,016.66 | $8.34 | ||||||||
AlphaCentric LifeSci Healthcare Fund – Class C | 2.41% | $1,000.00 | $1,293.90 | $13.79 | $1,012.91 | $12.10 | ||||||||
AlphaCentric LifeSci Healthcare Fund – Class I | 1.41% | $1,000.00 | $1,298.90 | $8.10 | $1,017.89 | $7.11 | ||||||||
AlphaCentric Municipal Opportunities Fund – Class A | 1.50% | $1,000.00 | $1,055.30 | $7.69 | $1,017.45 | $7.54 | ||||||||
AlphaCentric Municipal Opportunities Fund – Class C | 2.25% | $1,000.00 | $1,055.30 | $11.53 | $1,013.71 | $11.30 | ||||||||
AlphaCentric Municipal Opportunities Fund – Class I | 1.25% | $1,000.00 | $1,056.00 | $6.41 | $1,018.70 | $6.29 |
* | Expenses are equal to the average account value over the period, multiplied by the Funds’ annualized expense ratio, multiplied by the number of days in the period (182) divided by the number of days in the fiscal year (365). |
** | Hypothetical” expense information is presented on the basis of the full one-half year period to enable comparison to other funds. It is based on assuming the same net expense ratio and average account value over the period, but is multiplied by 182/365 (to reflect the full half-year period). |
102
AlphaCentric Funds |
Additional Information (Unaudited)(Continued) |
March 31, 2021 |
Consideration and Renewal of a Sub-Advisory Agreement between AlphaCentric Advisors LLC and Contego Capital Group, Inc. with respect to AlphaCentric Robotics and Automation Fund
In connection with a regular meeting held on November 30, 2020, the Board of Trustees (the “Board”) of Mutual Fund Series Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of the sub-advisory agreement (the “Sub-Advisory Agreement”) between AlphaCentric Advisors LLC (“AlphaCentric”), and Contego Capital Group, Inc. (“Contego”) with respect to the AlphaCentric Robotics and Automation Fund (“AlphaCentric RA”).
The Board was assisted by legal counsel throughout the review process. The Board relied upon the advice of legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Sub-Advisory Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the renewal of the Sub-Advisory Agreement. In connection with its deliberations regarding the renewal of the Sub-Advisory Agreement, the Board reviewed materials prepared by Contego.
Nature, Extent and Quality of Services. The Board reviewed the business experience and academic credentials of the key personnel at Contego. The Board noted that Contego engaged a third party for administrative and compliance services. The Board remarked that Contego furnished advice and recommendations with respect to the investment of AlphaCentric RA’s assets and purchase and sale of portfolio securities. The Board observed that Contego managed AlphaCentric RA’s investments to ensure compliance with investment restrictions and limitations and maintained records and furnished reports about AlphaCentric RA’s assets as required. The Board discussed that Contego provided fundamental and quantitative equity research, account reconciliations, recordkeeping, compliance, and trading services for AlphaCentric RA. The Board acknowledged that Contego selected broker dealers on the basis of best execution and that could maximize Fund profits through a combination of cost control and efficient use of resources. The Board recognized that Contego had reported no material litigation or compliance issues since the sub-advisory agreement was approved, that Contego maintained adequate errors and omissions insurance coverage, and that the advisor recommended renewal of the Sub-Advisory Agreement. The Board concluded that the services provided by Contego were in line with its expectations.
Performance. The Board noted that AlphaCentric RA significantly outperformed the S&P 500 Index and MSCI AC World Index over the 1-year period, outperformed the MSCI AC World Index over the 3-year and since inception periods, and was on par with the S&P 500 since inception. The Board concluded that Contego’s performance was acceptable.
Fees and Expenses. The Board acknowledged that Contego’s annual sub-advisory fee of 50% of the advisory fee after fee waiver (with a maximum of 0.625% of AlphaCentric RA’s average daily net assets), was lower than the fee Contego charged to other accounts it managed. After further discussion, the Board concluded that the Contego’s sub-advisory fee was not unreasonable.
Profitability. The Board reviewed the profitability analysis provided by Contego, noting that Contego was sub-advising AlphaCentric RA at a loss. The Board concluded, therefore, that excessive profitability was not an issue for Contego at this time.
Economies of Scale. The Board considered whether Contego had realized economies of scale with respect to the sub-advisory services provided to AlphaCentric RA. The Board agreed that this was primarily an advisor level issue and should be considered with respect to the overall management agreement, taking into consideration the impact of the sub-advisory expense. The Board agreed that Contego did not appear to have benefited from material economies of scale.
Conclusion. Having requested and received such information from Contego as the Board believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement between Catalyst and Contego, and as assisted by the advice and guidance of counsel, the Board concluded that renewal of the Sub-Advisory Agreement was in the best interests of AlphaCentric RA and its shareholders.
103
AlphaCentric Funds |
Additional Information (Unaudited)(Continued) |
March 31, 2021 |
Consideration and Approval of a Sub-Advisory Agreement between AlphaCentric Advisors LLC and SWBC Investment Company, LLC with respect to AlphaCentric Municipal Opportunities Fund.
In connection with a regular meeting held on November 30, 2020, the Board of Trustees (the “Board”) of Mutual Fund Series Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between AlphaCentric Advisors LLC (“AlphaCentric”), and SWBC Investment Company, LLC (“SWBC”) with respect to the AlphaCentric Municipal Opportunities Fund (“AlphaCentric MO”).
The Board was assisted by legal counsel throughout the review process. The Board relied upon the advice of legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Sub-Advisory Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the renewal of the Sub-Advisory Agreement. In connection with its deliberations regarding the approval of the Sub-Advisory Agreement, the Board reviewed materials prepared by SWBC.
Nature, Extent and Quality of Services. The Board reviewed the experience and credentials of SWBC’s key personnel and discussed the investment sub-advisory services to be provided to AlphaCentric MO. The Board observed that SWBC would provide fund research, asset management and portfolio construction for AlphaCentric MO and that all investment decisions would be overseen and executed by the sub -advisory team and authorized personnel. The Board acknowledged that SWBC utilized a centralized platform with a dedicated team to manage all investment instructions and used pre-arranged clearing firms offering best execution to support all trading activity. The Board noted that SWBC reported no material compliance, litigation or regulatory issues in the past 36 months. The Board agreed that SWBC had the experience and resources necessary to provide quality service to AlphaCentric MO.
Performance. The Board reviewed the performance history of another fund sub-advised by SWBC and noted that although it trailed its benchmark for the 1-year period, it was on-par with the benchmark for the 3-year and since inception periods. The Board remarked that the current portfolio manager of AlphaCentric MO would continue managing the municipal sleeve of AlphaCentric MO as a member of SWBC’s team. The Board agreed that, although not dispositive, the performance data indicated that SWBC had the ability to provide reasonable returns for AlphaCentric MO.
Fees and Expenses. The Board noted that SWBC would receive a fee, to be paid by AlphaCentric and not AlphaCentric MO, of 40% of the net advisory fee (with a maximum of 0.40% of AlphaCentric MO’s average daily net assets). The Board commented that SWBC’s proposed sub- advisory fee for AlphaCentric MO was lower than the fee it charged its other accounts. After further discussion, the Board concluded that the sub-advisory fee to be charged with respect to AlphaCentric MO, the sub-advisory fee in relation to the total advisory fee, and the allocation of fees between AlphaCentric and SWBC were not unreasonable.
Profitability. The Board reviewed the profitability analysis provided by SWBC, noting that SWBC anticipated a loss in connection with AlphaCentric MO for the first year of the Sub-Advisory Agreement, and a reasonable profit in the second year of the Sub-Advisory Agreement. The Board concluded that excessive profitability was not likely to be an issue during the initial term of the Sub-Advisory Agreement.
Economies of Scale. The Board considered whether SWBC would realize economies of scale with respect to the sub-advisory services provided to AlphaCentric MO during the initial term of the Sub- Advisory Agreement and concluded this was unlikely. The Board agreed that this was primarily an advisor level issue and should be
104
AlphaCentric Funds |
Additional Information (Unaudited)(Continued) |
March 31, 2021 |
considered with respect to the overall advisory contract, taking into consideration the impact of the sub-advisory expense.
Conclusion. Having requested and received such information from SWBC as the Board believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement, and as assisted by the advice of counsel, the Board concluded that the fee structure was not unreasonable and that approval of the Sub-Advisory Agreement was in the best interests of AlphaCentric MO and its shareholders.
105
AlphaCentric Funds |
ADDITIONAL INFORMATION (Unaudited) |
March 31, 2021 |
Independent Trustees | |||||
Name, Address Year of Birth | Position(s) Held with Registrant | Term and Length Served* | Principal Occupation(s) During Past 5 Years | Number of Portfolios Overseen in the Fund Complex** | Other Directorships Held During Past 5 Years |
Tobias Caldwell c/o Mutual Fund Series Trust 36 N. New York Avenue, Huntington, NY 11743 Year of Birth: 1967 | Trustee | Since 6/2006 | Manager of Genovese Family Enterprises LLC & affiliates, a real estate/investment firm, since 1999. Managing Member of PTL Real Estate LLC, 2000 2019; Managing Member of Bear Properties, LLC, a real estate firm, since 2006. | 38 | Trustee of Variable Insurance Trust since 2010; Chairman of the Board of Mutual Fund and Variable Insurance Trust since 2016; Chairman of the Board of Strategy Shares since 2016; Trustee of M3Sixty Funds Trust since 2016; Chairman of the Board of AlphaCentric Prime Meridian Income Fund since 2018 |
Tiberiu Weisz c/o Mutual Fund Series Trust 36 N. New York Avenue, Huntington, NY 11743 Year of Birth: 1949 | Trustee | Since 6/2006 | Retired, Attorney with and shareholder of Gottlieb, Rackman & Reisman, P.C., from 1994 to 2015. | 38 | Trustee of Variable Insurance Trust since 2010 |
Dr. Bert Pariser c/o MITCU Corporation 860 East Broadway, Suite 2D, Long Beach, NY 11561 Year of Birth: 1940 | Trustee | Since 5/2007 | Managing Partner of The MITCU Corporation, a technology consulting firm since 2004. Retired Faculty Member Technical Career Institutes, from 1991 to 2017. | 38 | Trustee of Variable Insurance Trust since 2010 |
106
AlphaCentric Funds |
ADDITIONAL INFORMATION (Unaudited)(Continued) |
March 31, 2021 |
Interested Trustee*** and Officers | |||||
Name, Address, Year of Birth | Position(s) Held with Registrant | Term and Length Served* | Principal Occupation(s) During Past 5 Years | Number of Portfolios Overseen In The Fund Complex** | Other Directorships Held During Past 5 Years |
Jerry Szilagyi 53 Palmeras St. Suite 601 San Juan, PR 00901 Year of Birth: 1962 | Chairman of the Board and President | Trustee since 7/2006; President since 2/2012 | President, Rational Advisors, Inc., 1/2016 - present; Chief Executive Officer, Catalyst Capital Advisors LLC, 1/2006- present; Member, AlphaCentric Advisors LLC, 2/2014 to Present; Managing Member, MFund Distributors LLC, 10/2012- present; Managing Member, MFund Services LLC, 1/2012 – Present; President, Abbington Capital Group LLC, 1998-present; CEO, Catalyst Capital International, LLC 2017-present; President, USA Mutuals, Inc., 3/2011 to 7/2016; President, Cross Sound LLC, 6/11 to 7/2016; CEO, Catalyst International Advisors LLC, 11/2019 to present; CEO, Insights Media LLC, 11/2019 to present; CEO, MFund Management LLC, 11/2019 to present. | 38 | Variable Insurance Trust since 2010 |
Erik Naviloff 4221 North 203rd Street, Suite 100, Elkhorn, Nebraska, 68022 Year of Birth: 1968 | Treasurer | Since 4/2012 | Vice President – Fund Administration, Gemini Fund Services, LLC, since 2011. | N/A | N/A |
Aaron Smith 4221 North 203rd Street, Suite 100, Elkhorn, Nebraska, 68022 Year of Birth: 1974 | Assistant Treasurer | Since 11/2013 | Assistant Vice President, Gemini Fund Services, LLC, since 2017. Manager -Fund Administration, Gemini Fund Services, LLC, 2012-2017. | N/A | N/A |
Brian Curley 4221 North 203rd Street, Suite 100, Elkhorn, Nebraska, 68022 Year of Birth: 1970 | Assistant Treasurer | Since 11/2013 | Vice President, Gemini Fund Services, LLC since 1/2015. | N/A | N/A |
Sam Singh 4221 North 203rd Street, Suite 100, Elkhorn, Nebraska, 68022 Year of Birth: 1976 | Assistant Treasurer | Since 2/2015 | Vice President, Gemini Fund Services, LLC since 1/2015. | N/A | N/A |
Frederick J. Schmidt 36 N. New York Avenue Huntington, NY 11743 Year of Birth: 1959 | Chief Compliance Officer | Since 5/2015 | Director, MFund Services LLC since 5/2015. | N/A | N/A |
Jennifer A. Bailey 36 N. New York Avenue Huntington, NY 11743 Year of Birth: 1968 | Secretary | Secretary since 4/2014 | Director of Legal Services, MFund Services LLC, since 2012. | N/A | N/A |
Michael Schoonover 53 Palmeras St. Suite 601 San Juan, PR 00901 Year of Birth: 1983 | Vice President | Since 6/2018 | Chief Operating Officer, Catalyst Capital Advisors LLC & Rational Advisors, Inc., June 2017 to present; Portfolio Manager, Catalyst Capital Advisors LLC 12/2013 to present; Portfolio Manager, Rational Advisors, Inc. 1/2016 to 5/2018; President, MFund Distributors LLC, 1/2020 to present; COO, Catalyst International Advisors LLC, 11/2019 to present; COO, Insights Media LLC, 11/2019 to present; COO, MFund Management LLC, 11/2019 to present; COO, AlphaCentric Advisors LLC, since 1/2021. | N/A | N/A |
* | The term of office of each Trustee is indefinite. |
** | The ‘Fund Complex’ includes the Trust, Variable Insurance Trust, Mutual Fund and Variable Insurance Trust, Strategy Shares, and AlphaCentric Prime Meridian Income Fund, each a registered investment company. |
*** | The Trustee who is an “interested person” of the Trust as defined in the 1940 Act is an interested person by virtue of being an officer of the advisor to certain series of the Trust. |
The Funds’ Statement on Additional Information includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at 1-844-223-8637.
107
AlphaCentric Funds
Additional Information (Unaudited)
March 31, 2021
Reference is made to the Prospectus and the Statement of Additional Information for more detailed descriptions of the Management Agreement, Services Agreement and Distribution and/or Service (12b-1) Plan, tax aspects of the Funds and the calculation of the net asset value of shares of the Funds.
The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Forms N-PORT are available on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-PORT may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1-844-223-8637; and on the Commission’s website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-844-223-8637; and on the Commission’s website at http://www.sec.gov.
108
PRIVACY NOTICE
Mutual Fund Series Trust
Rev. June 2011
FACTS | WHAT DOES MUTUAL FUND SERIES TRUST DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depends on the product or service that you have with us. This information can include:
● Social Security number and wire transfer instructions
● account transactions and transaction history
● investment experience and purchase history
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Mutual Fund Series Trust chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information: | Does Mutual Fund Series Trust share information? | Can you limit this sharing? |
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other financial companies. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
QUESTIONS? | Call 1-866-447-4228 |
109
PRIVACY NOTICE
Mutual Fund Series Trust
Page 2 |
What we do: | |
How does Mutual Fund Series Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
How does Mutual Fund Series Trust collect my personal information? | We collect your personal information, for example, when you ● open an account or deposit money
● direct us to buy securities or direct us to sell your securities
● seek advice about your investments
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: ● sharing for affiliates’ everyday business purposes – information about your creditworthiness.
● affiliates from using your information to market to you.
● sharing for non-affiliates to market to you.
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and non-financial companies.
● Mutual Fund Series Trust has no affiliates. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies.
● Mutual Fund Series Trust does not share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
● Mutual Fund Series Trust doesn’t jointly market. |
110
Mutual Fund Series Trust |
4221 North 203rd Street, Suite 100 |
Elkhorn, Nebraska 68022-3474 |
MANAGER |
AlphaCentric Advisors, LLC |
53 Palmeras Street, Suite 601 |
San Juan, PR 00901 |
ADMINISTRATOR |
Gemini Fund Services, LLC |
4221 North 203rd Street, Suite 100 |
Elkhorn, Nebraska 68022-3474 |
TRANSFER AGENT |
Gemini Fund Services, LLC |
4221 North 203rd Street, Suite 100 |
Elkhorn, Nebraska 68022-3474 |
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
Cohen & Company, Ltd |
151 N. Franklin St. |
Suite 575 |
Chicago, IL 60606 |
LEGAL COUNSEL |
Thompson Hine LLP |
41 South High Street |
Suite 1700 |
Columbus, OH 43215 |
CUSTODIAN BANK |
U.S. Bank Trust |
RiverCenter (Schlitz Park) |
15555 N Rivercenter Drive, Suite 302 |
Milwaukee, WI 53212 |
ALPHA-A21 |
ITEM 2. CODE OF ETHICS.
(a) | The registrant has, as of the end of the period covered by this report, adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, and principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(b) | During the period covered by this report, there were no amendments to any provision of the code of ethics. |
(c) | During the period covered by this report, there were no waivers or implicit waivers of a provision of the code of ethics. |
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant’s Board of Trustees has determined that it does not have an audit committee financial expert serving on its audit committee. At this time, the registrant believes that the experience provided by each member of the audit committee together offer the registrant adequate oversight for the registrant’s level of financial complexity. |
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) | Audit Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by the registrant's principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal year is as follows:
| ||||
Trust Series | 2021 | 2020 | |||
AlphaCentric Income Opportunities Fund | $48,000 | $45,000 | |||
AlphaCentric Premium Opportunity Fund | $11,500 | $11,000 | |||
AlphaCentric Robotics and Automation Fund | $13,500 | $13,000 | |||
AlphaCentric Symmetry Strategy Fund | $13,000 | $13,000 | |||
AlphaCentric LifeSci Healthcare Fund | $11,000 | $11,000 | |||
AlphaCentric Municipal Opportunities Fund | $13,000 | $13,000 | |||
(b) | Audit-Related Fees. There were no fees billed in each of the last two fiscal years for assurances and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this item. |
(c) | Tax Fees. The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance are as follows: |
Trust Series | 2021 | 2020 | |
AlphaCentric Income Opportunities Fund | $3,100 | $3,000 | |
AlphaCentric Premium Opportunity Fund | $2,600 | $2,500 | |
AlphaCentric Robotics and Automation Fund | $3,100 | $3,000 | |
AlphaCentric Symmetry Strategy Fund | $3,000 | $3,000 | |
AlphaCentric LifeSci Healthcare Fund | $2,500 | $2,500 | |
Alpha Municipal Opportunities Fund | $3,000 | $2,500 |
(d) | All Other Fees. The aggregate fees billed in each of the last two fiscal years for products and services provided by the registrant’s principal accountant, other than the services reported in paragraphs (a) through (c) of this item were $0 for the fiscal year ended March 31, 2020. |
(e)(1) | The audit committee does not have pre-approval policies and procedures. Instead, the audit committee or audit committee chairman approves on a case-by-case basis each audit or non-audit service before the principal accountant is engaged by the registrant. |
(e)(2) | There were no services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
f) | Not applicable. The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was zero percent (0%). |
(g) | All non-audit fees billed by the registrant's principal accountant for services rendered to the registrant for the fiscal year ended March 31, 2020 and is disclosed in (b)-(d) above. There were no audit or non-audit services performed by the registrant's principal accountant for the registrant's adviser. |
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable
ITEM 6. SCHEDULE OF INVESTMENT
Included in annual report to shareholders filed under item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable Fund is an open-end management investment company
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable Fund is an open-end management investment company
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable Fund is an open-end management investment company
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable at this time.
ITEM 11. CONTROLS AND PROCEDURES.
(a) | The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act, are effective, as of a date within 90 days of the filing date of this report, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during 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. |
ITEM 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. Not applicable to open-end investment companies.
ITEM 13. EXHIBITS
(1) | Code of Ethics for Principal Executive and Senior Financial Officers is attached hereto. |
(2) | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. |
(3) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Mutual Fund Series Trust
By Jerry Szilagyi | /s/ Jerry Szilagyi |
President | |
Date: June 8, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following person on behalf of the registrant and in the capacities and on the date indicated.
By Jerry Szilagyi | /s/ Jerry Szilagyi ___________ |
President | |
Date: June 8, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following person on behalf of the registrant and in the capacities and on the date indicated.
By Erik Naviloff | /s/ Erik Naviloff_____________ |
Treasurer | |
Date: June 8, 2021 |