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 811-22027
FundVantage Trust
(Exact name of registrant as specified in charter)
301 Bellevue Parkway
Wilmington, DE 19809
(Address of principal executive offices) (Zip code)
Joel L. Weiss
BNY Mellon Investment Servicing (US) Inc.
103 Bellevue Parkway
Wilmington, DE 19809
(Name and address of agent for service)
Registrant’s telephone number, including area code: 302-791-1851
Date of fiscal year end: April 30
Date of reporting period: October 31, 2014
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||||||
Six Months† | 1 Year | 3 Year | Since Inception | |||||||||
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Institutional Class Shares* | -5.32% | -2.83% | 0.86% | 0.36% | ||||||||
60% S&P 500® Index/ 40% Barclays | 5.86% | 11.93% | 12.79% | 10.77%** | ||||||||
S&P 500® Index | 8.22% | 17.27% | 19.77% | 15.21%** | ||||||||
Barclays U.S. Aggregate Bond Index | 2.35% | 4.14% | 2.73% | 3.95%** |
† | Not Annualized. |
* | Institutional Class Shares commenced operations on January 31, 2011. |
** | Benchmark performance is from inception date of the Fund’s class only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 526-8968.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated September 1, 2014, are 2.09% and 1.29% for Institutional Class Shares of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Boston Advisors, LLC (the “Adviser”) has contractually agreed to waive or otherwise reduce its annual compensation received from the Fund in order to limit the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) to 0.99% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place through the Fund’s liquidation unless the Board of Trustees of FundVantage Trust (the “Board”) approves its earlier termination. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
A 2.00% redemption fee applies to shares redeemed within 60 days of purchase. The redemption fee is not reflected in the returns above.
The Fund intends to evaluate its performance as compared to that of the unmanaged blended index of 60% S&P 500® Index and 40% Barclays Capital U.S. Aggregate Bond Index. The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. The Barclays U.S. Aggregate Bond Index is an intermediate term, broad-based index comprised of most U.S. traded investment grade bonds. It is impossible to directly invest in an index.
All mutual fund investing involves risk, including possible loss of principal. The Fund may invest in broad range of asset-classes, including some that entail special risks, such as: small-cap stocks; real estate securities; high-yield debt; commodity-related securities; foreign and emerging-market securities; and currencies. Each of these asset-classes may be adversely affected by particular factors, including — but not limited to — illiquidity, volatility, default, interest rate changes, currency exchange-rate fluctuations, and local economic conditions. The Adviser seeks to reduce risk through a flexible approach to asset allocation, but there can be no guarantee that the Adviser’s strategy will be achieved.
1
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Semi-Annual Report
Performance Data (Concluded)
October 31, 2014
(Unaudited)
The Adviser may use short sales and derivatives (futures, options, swaps) to enhance return or hedge against market downturns, but these techniques involve their own special risks and could cause a loss to the Fund. A short sale is subject to potential unlimited loss since the price of a security theoretically could increase without limit. Derivatives are subject to potential illiquidity and counter-party default.
The Fund invests mainly in the shares of exchange-traded funds, hence Fund shareholders will bear the indirect expenses of these underlying funds. The Adviser may at times invest more than 25% of the Fund’s assets in one underlying fund or asset-class; consequently the Fund could suffer a loss by being overly-concentrated in an underperforming underlying fund or asset-class. Fund performance also could be adversely affected by transaction costs from high portfolio turnover since the Adviser may engage in active trading.
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BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (if any), and redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any), and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six month period ended October 31, 2014 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in each accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), if any, or redemption fees. Therefore, the second line of each accompanying 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.
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BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
Boston Advisors Broad Allocation Strategy Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Institutional Class Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 946.80 | $ | 4.86 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.21 | 5.04 |
* | Expenses are equal to an annualized expense ratio for the six month period ended October 31, 2014 of 0.99% for the Institutional Class Shares of the Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. The Fund’s ending account value on the first line in the table is based on the actual total returns for the six month period ended October 31, 2014 of (5.32)% for the Institutional Class Shares of the Fund. The annualized expense ratios do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would be higher. The range of weighted expense ratios of the underlying funds held by the Fund were 0.01% to 0.03%. |
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BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
EXCHANGE TRADED FUNDS: | ||||||||||
Fixed Income | 20.0% | $ | 5,336,333 | |||||||
Currency | 3.1 | 836,087 | ||||||||
Registered Investment Company | 5.2 | 1,373,735 | ||||||||
Other Assets in Excess of Liabilities | 71.7 | 19,146,686 | ||||||||
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NET ASSETS | 100.0% | $ | 26,692,841 | |||||||
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Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
5
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
EXCHANGE TRADED FUNDS (ETF) — 23.1% |
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Currency — 3.1% | ||||||||
PowerShares DB G10 | 32,482 | $ | 836,087 | |||||
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Fixed Income — 20.0% | ||||||||
Guggenheim BulletShares 2018 | 42,186 | 892,234 | ||||||
iShares 2017 AMT-Free | 15,981 | 882,052 | ||||||
iShares Barclays 1-3 Year | 8,492 | 895,651 | ||||||
PIMCO Intermediate | 11,319 | 606,925 | ||||||
PowerShares International | 19,770 | 568,190 | ||||||
ProShares High | 7,681 | 587,750 | ||||||
SPDR Barclays Capital | 30,168 | 903,531 | ||||||
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5,336,333 | ||||||||
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TOTAL EXCHANGE TRADED FUNDS (Cost $6,041,650) | 6,172,420 | |||||||
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REGISTERED INVESTMENT COMPANY — 5.2% |
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BlackRock Build America Bond Trust | 32,478 | 697,952 | ||||||
Nuveen Select Tax Free, Inc. III | 48,167 | 675,783 | ||||||
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TOTAL REGISTERED INVESTMENT COMPANY | 1,373,735 | |||||||
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Value | ||||||
TOTAL INVESTMENTS - 28.3% | $ | 7,546,155 | ||||
OTHER ASSETS IN EXCESS | 19,146,686 | |||||
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NET ASSETS - 100.0% | $ | 26,692,841 | ||||
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* | Non-income producing. |
AMT | Alternative Minimum Tax |
DB | Deutsche Bank |
SPDR | Standard & Poor’s Depositary Receipt |
The accompanying notes are an integral part of the financial statements.
6
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | ||||
Investments, at value (Cost $7,278,791) | $ | 7,546,155 | ||
Cash | 19,514,106 | |||
Dividends and interest receivable | 3,395 | |||
Receivable from Investment Adviser | 3,167 | |||
Prepaid expenses and other assets | 21,870 | |||
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Total assets | 27,088,693 | |||
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Liabilities | ||||
Payable for capital shares redeemed | 294,237 | |||
Payable for transfer agent fees | 25,552 | |||
Payable for printing fees | 20,882 | |||
Payable for administration and accounting fees | 20,693 | |||
Payable for legal fees | 13,805 | |||
Payable for audit fees | 11,472 | |||
Accrued expenses | 9,211 | |||
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Total liabilities | 395,852 | |||
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Net Assets | $ | 26,692,841 | ||
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Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 27,256 | ||
Paid-in capital | 26,727,280 | |||
Accumulated net investment income | 503,320 | |||
Accumulated net realized loss from investments | (832,379 | ) | ||
Net unrealized appreciation on investments | 267,364 | |||
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Net Assets | $ | 26,692,841 | ||
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Institutional Class: | ||||
Net asset value, offering and redemption price per share ($26,692,841 / 2,725,591 shares) | $9.79 | |||
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The accompanying notes are an integral part of the financial statements.
7
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Dividends | $ | 347,441 | ||
Interest | 147 | |||
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Total investment income | 347,588 | |||
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Expenses | ||||
Advisory fees (Note 2) | 125,947 | |||
Administration and accounting fees (Note 2) | 38,004 | |||
Transfer agent fees (Note 2) | 29,721 | |||
Legal fees | 21,116 | |||
Registration and filing fees | 15,305 | |||
Audit fees | 12,220 | |||
Printing and shareholder reporting fees | 12,124 | |||
Custodian fees (Note 2) | 8,009 | |||
Trustees’ and officers’ fees (Note 2) | 3,985 | |||
Other expenses | 3,820 | |||
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Total expenses before waivers and reimbursements | 270,251 | |||
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Less: waivers and reimbursements (Note 2) | (114,392 | ) | ||
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Net expenses after waivers and reimbursements | 155,859 | |||
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Net investment income | 191,729 | |||
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Net realized and unrealized gain/(loss) from investments: | ||||
Net realized gain from investments | 46,013 | |||
Net change in unrealized depreciation on investments | (1,896,581 | ) | ||
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Net realized and unrealized loss on investments | (1,850,568 | ) | ||
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Net decrease in net assets resulting from operations | $ | (1,658,839 | ) | |
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The accompanying notes are an integral part of the financial statements.
8
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Statement of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||
Increase/(decrease) in net assets from operations: | ||||||||||
Net investment income | $ | 191,729 | $ | 270,778 | ||||||
Net realized gain/(loss) from investments | 46,013 | (580,359 | ) | |||||||
Net change in unrealized appreciation/(depreciation) from investments | (1,896,581 | ) | 451,072 | |||||||
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Net increase/(decrease) in net assets resulting from operations | (1,658,839 | ) | 141,491 | |||||||
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Less Dividends and Distributions to Shareholders from: | ||||||||||
Net realized capital gains: | ||||||||||
Institutional Class | — | (434,672 | ) | |||||||
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Total net realized capital gains | — | (434,672 | ) | |||||||
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Net decrease in net assets from dividends and distributions to shareholders | — | (434,672 | ) | |||||||
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Decrease in Net Assets Derived from Capital Share Transactions (Note 4) | (2,845,510 | ) | (2,484,953 | ) | ||||||
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Total decrease in net assets | (4,504,349 | ) | (2,778,134 | ) | ||||||
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Net assets | ||||||||||
Beginning of period | 31,197,190 | 33,975,324 | ||||||||
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End of period | $ | 26,692,841 | $ | 31,197,190 | ||||||
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Accumulated net investment income, end of period | $ | 503,320 | $ | 311,591 | ||||||
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The accompanying notes are an integral part of the financial statements.
9
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Financial Highlights
Contained below is per share operating performance data for Institutional Class Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class | |||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Period January 31, 2011* to April 30, 2011 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.34 | $ | 10.40 | $ | 10.13 | $ | 10.50 | $ | 10.00 | |||||||||||||||
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Net investment income(1) | 0.06 | 0.09 | 0.09 | 0.13 | 0.01 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (0.61 | ) | (0.00 | )(2) | 0.32 | (0.43 | ) | 0.49 | |||||||||||||||||
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Net increase/(decrease) in net assets resulting from operations | (0.55 | ) | 0.09 | 0.41 | (0.30 | ) | 0.50 | ||||||||||||||||||
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Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | — | — | (0.10 | ) | (0.07 | ) | — | ||||||||||||||||||
Net realized capital gains | — | (0.15 | ) | (0.04 | ) | — | — | ||||||||||||||||||
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Total dividends and distributions to shareholders | — | (0.15 | ) | (0.14 | ) | (0.07 | ) | — | |||||||||||||||||
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Net asset value, end of period | $ | 9.79 | $ | 10.34 | $ | 10.40 | $ | 10.13 | $ | 10.50 | |||||||||||||||
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Total investment return(3) | (5.32 | )% | 0.86 | % | 4.06 | % | (2.86 | )% | 5.00 | % | |||||||||||||||
Ratio/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 26,693 | $ | 31,197 | $ | 33,924 | $ | 29,548 | $ | 578 | |||||||||||||||
Ratio of expenses to average net assets(4) | 0.99 | %(5) | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | %(5) | |||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4)(6) | 1.72 | %(5) | 1.79 | % | 1.87 | % | 3.29 | % | 115.64 | %(5) | |||||||||||||||
Ratio of net investment income to average net assets(4) | 1.22 | %(5) | 0.86 | % | 0.91 | % | 1.31 | % | 0.26 | %(5) | |||||||||||||||
Portfolio turnover rate | 16.41 | %(7) | 80.08 | % | 75.23 | % | 56.15 | % | 22.69 | %(7) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
(5) | Annualized. |
(6) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
10
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Boston Advisors Broad Allocation Strategy Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), which commenced investment operations on January 31, 2011. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares, Class A and Institutional Class Shares. Class A Shares are sold subject to a front-end sales charge. Front-end sales charges may be reduced or waived under certain circumstances. A contingent deferred sales charge (“CDSC”), as a percentage of the lower of the original purchase price or net asset value at redemption, of up to 1.00% may be imposed on full or partial redemptions of Class A Shares made within twelve months of purchase where (i) $1 million or more of Class A Shares were purchased without an initial sales charge and (ii) the Fund’s principal underwriter paid a commission to the selling broker-dealer for such sale.
The Board of Trustees of the Trust has approved a plan to liquidate and terminate the Fund. The plan of liquidation provides that the Fund will cease its business, liquidate its assets and distribute its liquidation proceeds to all of the Fund’s shareholders of record. Final liquidation of the Fund will occur on or about December 18, 2014. Consistent with the provisions of the Plan of Liquidation, the proportionate interests of shareholders in the assets of Boston Advisors Broad Allocation Strategy Fund and their rights to receive liquidating distributions will be fixed on the basis of the shareholders of the Fund as of the close of business on the Liquidation Date. The Fund ceased accepting purchase orders and was closed to all new and existing shareholders on October 22, 2014.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost which approximates fair value. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable,
11
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Investments in Securities* | $ | 7,546,155 | $ | 7,546,155 | $ | — | $ | — | ||||||||
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* Please refer to Portfolio of Investments for further details on portfolio holdings.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund
12
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. Income dividends and capital gain distributions
13
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
Boston Advisors, LLC (“Boston Advisors” or the “Adviser”) serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 0.80% of the Fund’s average daily net assets. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 0.99% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place through the Fund’s liquidation unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation. For the six months ended October 31, 2014, the amount of fees accrued and waived was $125,947 and $114,392, respectively. At October 31, 2014, the amount of the potential recovery is noted below. The actual amount of recoupment by the Adviser may be limited due to its pending liquidation (Note 1).
Expiration | ||||||
April 30, 2015 | April 30, 2016 | April 30, 2017 | April 30, 2018 | |||
$328,461 | $279,641 | $251,328 | $114,392 |
BNY Mellon Investment Servicing (U.S.) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
14
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For providing administrative and accounting services, BNY Mellon is entitled to receive certain minimum monthly fees.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
BNY Mellon and the Custodian have the ability to recover such amounts previously waived, if the Fund terminates its agreements with BNY Mellon or the Custodian within three years of signing the agreements.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Class A Shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Class A Shares plan, the Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25% on an annualized basis of the average daily net assets of the Fund’s Class A Shares.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six months ended October 31, 2014 was $2,245. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 4,327,915 | $ | 23,712,111 |
15
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
4. Capital Share Transactions
For the six months ended October 31, 2014 and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Redemptions | — | $ | — | (4,912 | ) | $ | (49,905 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | — | $ | — | (4,912 | ) | $ | (49,905 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Sales | 112,731 | $ | 1,174,323 | 66,869 | $ | 681,126 | ||||||||||
Reinvestments | — | — | 43,079 | 434,672 | ||||||||||||
Redemption Fees† | — | — | — | 381 | ||||||||||||
Redemptions | (404,498 | ) | (4,019,833 | ) | (354,873 | ) | (3,551,227 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (291,767 | ) | $ | (2,845,510 | ) | (244,925 | ) | $ | (2,435,048 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Decrease | (291,767 | ) | $ | (2,845,510 | ) | (249,837 | ) | $ | (2,484,953 | ) | ||||||
|
|
|
|
|
|
|
|
† | There is a 2.00% redemption fee that may be charged on shares redeemed within 60 days of purchase. The redemption fees are retained by the Fund and are allocated to all classes in the Fund based on relative net assets. |
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year ended April 30, 2014, the tax character of distributions paid by the Fund was $182,331 of ordinary income dividends and $252,341 of long-term capital gains dividends. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal tax purposes.
16
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | Qualified Late-Year Losses | ||||
$(306,203) | $215,020 | $— | $2,341,805 | $(653,478) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income for federal income tax purposes.
At October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 7,278,791 | ||||
|
| |||||
Gross unrealized appreciation | $ | 294,784 | ||||
Gross unrealized depreciation | (27,420 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 267,364 | ||||
|
|
Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Fund had $306,203 in short-term capital loss carryforwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there was the following subsequent event:
As described in Note 1, the Board of Trustees of the Trust has approved a Plan of Liquidation of the Fund, the effective date of which will be on or about December 18, 2014.
17
BOSTON ADVISORS BROAD ALLOCATION STRATEGY FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 526-8968 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
18
[THIS PAGE INTENTIONALLY LEFT BLANK.]
Investment Adviser
Boston Advisors, LLC
One Liberty Square, 10th Floor
Boston, MA 02109
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
BOSTON ADVISORS
BROAD ALLOCATION
STRATEGY FUND
of
FundVantage Trust
Institutional Class Shares
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Boston Advisors Broad Allocation Strategy Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Boston Advisors Broad Allocation Strategy Fund.
BRADESCO LATIN AMERICAN EQUITY FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014†,†† | ||||||
Six Months | Since Inception | |||||
Institutional Class | -0.88% | 1.50% | ||||
MSCI EM (Emerging Markets) Latin America Index | -1.66% | 2.93%* | ||||
Retail Class | N/A | -6.63% | ||||
MSCI EM (Emerging Markets) Latin America Index | -1.66% | -5.99%** |
† | Institutional Class Shares and Retail Class Shares of the Bradesco Latin American Equity Fund (the “Fund”) commenced operations on December 20, 2013 and June 9, 2014, respectively. |
†† | Not Annualized. |
* | Benchmark performance is from inception date of Institutional Class Shares of the Fund (December 20, 2013) only and is not the inception date of the benchmark itself. |
** | Benchmark performance is from inception date of Retail Class Shares of the Fund (June 9, 2014) only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 640-5705.
The Fund’s total gross and net operating expense ratio, as stated in the current prospectus dated September 1, 2014, is 26.45% and 26.70%, 1.76% and 2.01%, respectively, of the Fund’s average daily net assets for Institutional Class and Retail Class Shares, respectively, which may differ from the actual expenses incurred by the Fund for the period covered by this report. A 2.00% redemption fee applies to shares redeemed within 30 days of purchase. The redemption fee is not reflected in the returns shown above. BRAM US LLC (“BRAM US” or the “Adviser”) has contractually agreed to waive or otherwise reduce its annual compensation received from the Fund to the extent that the Fund’s “Total Annual Fund Operating Expenses,” excluding taxes, Rule 12b-1 distribution fees, “Acquired Fund Fees and Expenses,” interest, extraordinary items and brokerage commissions, exceed 1.75% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until December 20, 2015, unless the Board of Trustees approves its earlier termination. The Adviser may recoup any expenses or fees it has reimbursed within a three-year period from the year in which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund intends to evaluate performance as compared to that of the MSCI EM (Emerging Markets) Latin America Index. The MSCI EM (Emerging Markets) Latin America Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets in Latin America. The MSCI EM (Emerging Markets) Latin America Index consists of the following 5 emerging market country indexes: Brazil, Chile, Colombia, Mexico, and Peru.
1
BRADESCO LATIN AMERICAN EQUITY FUND
Semi-Annual Report
Performance Data (Concluded)
October 31, 2014
(Unaudited)
The Fund is non-diversified which means it may be invested in a limited number of issuers geographically particularly Latin America and more susceptible to any economic, political and regulatory events. The Fund invests primarily in markets of emerging countries which are riskier and may be considered speculative. In addition, many emerging securities markets have far lower trading volumes, currency devaluation risk and less liquidity than developed markets. The Fund may invest in derivatives (futures, options, and swaps), depositary receipts and small to mid-capitalization companies all of which may cause greater volatility and less liquidity. Funds that invest in derivatives are subject to the risks of the underlying securities which may be more sensitive to changes in market conditions and may amplify risks. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and reduce its returns.
Foreign securities are subject to political, social, or economic risks including instability in the country of the issuer of a security, variation in international trade patterns, the possibility of the imposition of exchange controls, expropriation, confiscatory taxation, limits on movement to currency or other assets and nationalization of assets.
2
BRADESCO LATIN AMERICAN HARD CURRENCY BOND FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014†,†† | ||||||
Six Months | Since Inception | |||||
Institutional Class | 1.69% | 5.86% | ||||
CS Latin America Corporate Index 0-6Y A/B Buckets | 1.71% | 5.70%* | ||||
Retail Class | N/A | -0.24% | ||||
CS Latin America Corporate Index 0-6Y A/B Buckets | 1.71% | -0.17%** |
† | Institutional Class Shares and Retail Class Shares of the Bradesco Latin American Hard Currency Bond Fund (the “Fund”) commenced operations on December 20, 2013 and June 9, 2014, respectively. |
†† | Not Annualized. |
* | Benchmark performance is from inception date of Institutional Class Shares of the Fund (December 20, 2013) only and is not the inception date of the benchmark itself. |
** | Benchmark performance is from inception date of Retail Class Shares of the Fund (June 9, 2014) only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 640-5705.
The Fund’s total gross and net operating expense ratio, as stated in the current prospectus dated September 1, 2014, is 8.47% and 8.72%, 1.51% and 1.76%, respectively, of the Fund’s average daily net assets for Institutional Class and Retail Class Shares, respectively, which may differ from the actual expenses incurred by the Fund for the period covered by this report. A 2.00% redemption fee applies to shares redeemed within 30 days of purchase. The redemption fee is not reflected in the returns shown above. BRAM US LLC (“BRAM US” or the “Adviser”) has contractually agreed to waive or otherwise reduce its annual compensation received from the Fund to the extent that the Fund’s “Total Annual Fund Operating Expenses,” excluding taxes, Rule 12b-1 distribution fees, “Acquired Fund Fees and Expenses,” interest, extraordinary items and brokerage commissions, exceed 1.50% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until December 20, 2015, unless the Board of Trustees approves its earlier termination. The Adviser may recoup any expenses or fees it has reimbursed within a three-year period from the year in which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund intends to evaluate performance as compared to that of the Credit Suisse (“CS”) Latin America Corporate Index 0-6Y A/B Buckets. The CS Latin America Corporate Index 0-6Y A/B Buckets is a subset index of the Credit Suisse Latin American Corporate Index (“CS-LACI”). It contains bonds with less than 6 years to maturity and rated “B-” or higher (composite of Moody’s, S&P, and Fitch ratings as determined by Credit Suisse’s methodology). CS-LACI Index is a diversified basket of liquid, tradable Latin American corporate bond issues that are denominated in US dollars. This index provides a region-specific benchmark that represents characteristics, pricing, and total return performance of different asset classes within the Latin American corporate bond universe. The index is divided into
3
BRADESCO LATIN AMERICAN HARD CURRENCY BOND FUND
Semi-Annual Report
Performance Data (Concluded)
October 31, 2014
(Unaudited)
three different categories, including supranational, quasi-sovereign, and corporate bonds and can be broken down by country of issuance. It is not possible to invest directly in an index.
The Fund is non-diversified which means it may be invested in a limited number of issuers particularly in Latin America and more susceptible to any economic, political and regulatory events. The Fund invests primarily in markets of emerging countries which are riskier and may be considered speculative as well as derivatives which may amplify volatility. In addition, many emerging securities markets have far lower trading volumes, currency devaluation risk and less liquidity than developed markets. The Fund invests in below investment grade bonds (known as “junk bonds”) and may be less liquid and subject to greater volatility. The Fund is subject to the same risks as the underlying bonds in the portfolio such as credit, prepayment, sovereign debt, call and interest rate risk. As interest rates rise the value of bond prices will decline.
Foreign securities are subject to political, social, or economic risks including instability in the country of the issuer of a security, variation in international trade patterns, the possibility of the imposition of exchange controls, expropriation, confiscatory taxation, limits on movement to currency or other assets and nationalization of assets.
4
BRADESCO FUNDS
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Bradesco Funds (each a “Fund” and together, the “Funds”), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management 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.
This example is based on an investment of $1,000 invested from May 1, 2014, through October 31, 2014 and held for the entire period.
Actual Expenses
The first line for each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line 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 second line for each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on such Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, 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 accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying 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.
5
BRADESCO FUNDS
Fund Expense Disclosure (Continued)
October 31, 2014
(Unaudited)
Bradesco Latin American Equity Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Institutional Class Shares | |||||||||||||||
Actual | $1,000.00 | $ 991.20 | $ 8.78 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,016.38 | 8.89 | ||||||||||||
Retail Class Shares | |||||||||||||||
Actual | $1,000.00 | $ 933.70 | $ 7.63 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.12 | 10.16 | ||||||||||||
Bradesco Latin American Hard Currency Bond Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period** | |||||||||||||
Institutional Class Shares | |||||||||||||||
Actual | $1,000.00 | $1,016.90 | $7.63 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.64 | 7.63 | ||||||||||||
Retail Class Shares | |||||||||||||||
Actual | $1,000.00 | $997.60 | $6.90 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,016.38 | 8.89 |
* | Expenses are equal to the Fund’s annualized expense ratio for the six-month period ended October 31, 2014 of 1.75% for the Institutional Class of the Bradesco Latin American Equity Fund (“Equity Fund”), multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184) then divided by 365 days to reflect the period. Expenses are equal to an annualized expense ratio for the period beginning June 9, 2014, commencement of operations, to October 31, 2014 of 2.00% for the Equity Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (144), then divided by 365 to reflect the period. The Fund’s ending account values on the first line with respect to a share class in the table are based on the actual six month total returns of (0.88)% for the Fund’s Institutional Class Shares and the actual total returns since commencement of operations of (6.63)% for the Fund’s Retail Class Shares. Hypothetical expenses are as if each share class of the Fund had been in operation from May 1, 2014, and are equal to its annualized expense ratios, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by 365 to reflect the period. |
** | Expenses are equal to the Fund’s annualized expense ratio for the six-month period ended October 31, 2014 of 1.50% for the Institutional Class of the Bradesco Latin American Hard Currency Bond Fund (“Bond Fund”), multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184) then divided by 365 days to reflect the period. Expenses are |
6
BRADESCO FUNDS
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
equal to an annualized expense ratio for the period beginning June 9, 2014, commencement of operations, to October 31, 2014 of 1.75% for the Retail Class of the Bond Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (144), then divided by 365 to reflect the period. The Fund’s ending account values on the first line with respect to a class in the table are based on the actual six month total returns of 1.69% for the Institutional Class Shares and the actual total returns since commencement of operations of (0.24)% for the Retail Class Shares. Hypothetical expenses are as if each share class of the Fund had been in operation from May 1, 2014, and are equal to its annualized expense ratios, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by 365 to reflect the period.
7
BRADESCO LATIN AMERICAN EQUITY FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
COMMON STOCK: | ||||||||||
Commercial Services | 9.8 | % | $ | 1,034,222 | ||||||
Beverages | 8.7 | 917,972 | ||||||||
Oil & Gas | 7.9 | 833,963 | ||||||||
Banks | 4.6 | 485,655 | ||||||||
Telecommunications | 4.5 | 468,672 | ||||||||
Real Estate | 4.3 | 456,052 | ||||||||
Chemicals | 4.3 | 450,993 | ||||||||
Engineering & Construction | 4.2 | 445,034 | ||||||||
Insurance | 4.2 | 440,284 | ||||||||
Building Materials | 4.2 | 440,242 | ||||||||
Food | 4.1 | 427,220 | ||||||||
Electric | 3.5 | 366,736 | ||||||||
Holding Companies-Diversified | 3.2 | 336,482 | ||||||||
Retail | 3.1 | 320,731 | ||||||||
Aerospace & Defense | 2.0 | 204,792 | ||||||||
Investment Companies | 1.9 | 203,383 | ||||||||
Mining | 1.7 | 176,227 | ||||||||
Auto Parts & Equipment | 1.6 | 164,317 | ||||||||
Airlines | 1.6 | 163,688 | ||||||||
Software | 1.1 | 113,700 | ||||||||
Computers | 1.0 | 108,044 | ||||||||
Preferred Stocks | 17.4 | 1,832,761 | ||||||||
Registered Investment Company | 1.2 | 122,387 | ||||||||
Liabilities in Excess of Other Assets | (0.1 | ) | (7,140 | ) | ||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 10,506,417 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
8
BRADESCO LATIN AMERICAN EQUITY FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 81.5% |
| |||||||
Brazil — 36.1% |
| |||||||
AMBEV SA, SP ADR | 55,300 | $ | 369,404 | |||||
BB Seguridade Participacoes SA | 33,000 | 440,284 | ||||||
BRF SA, ADR | 16,400 | 427,220 | ||||||
Cielo SA | 15,700 | 257,812 | ||||||
Embraer SA, ADR | 5,300 | 204,792 | ||||||
Ez Tec Empreendimentos e Participacoes SA | 15,900 | 136,035 | ||||||
Kroton Educacional SA | 92,020 | 655,827 | ||||||
Localiza Rent a Car SA | 5,200 | 74,960 | ||||||
Mahle-Metal Leve SA Industria e Comercio | 17,400 | 164,317 | ||||||
Mills Estruturas e Servicos de Engenharia SA | 7,000 | 45,623 | ||||||
Petroleo Brasileiro SA, SP ADR | 50,800 | 621,284 | ||||||
Totvs SA | 7,800 | 113,700 | ||||||
Ultrapar Participacoes SA | 12,800 | 279,204 | ||||||
|
| |||||||
3,790,462 | ||||||||
|
| |||||||
Chile — 4.8% | ||||||||
Enersis SA, SP ADR | 12,600 | 198,954 | ||||||
SACI Falabella | 27,300 | 200,136 | ||||||
Sonda SA | 44,500 | 108,044 | ||||||
|
| |||||||
507,134 | ||||||||
|
| |||||||
Colombia — 4.0% | ||||||||
Grupo De Inversiones Suramericana SA | 9,800 | 203,383 | ||||||
Pacific Rubiales Energy Corp. | 14,100 | 212,679 | ||||||
|
| |||||||
416,062 | ||||||||
|
| |||||||
Mexico — 31.5% | ||||||||
Alfa SAB de CV, Class A | 105,400 | 336,482 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Mexico — (Continued) |
| |||||||
America Movil SAB de CV, ADR, Series L | 19,200 | $ | 468,672 | |||||
Cemex SAB de CV, SP ADR* | 35,792 | 440,242 | ||||||
Fomento Economico Mexicano SAB de CV, SP ADR | 5,700 | 548,568 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, ADR | 2,300 | 156,745 | ||||||
Grupo Financiero Banorte SAB de CV | 18,000 | 115,355 | ||||||
Grupo Mexico SAB de CV, Series B | 51,200 | 176,227 | ||||||
Infraestructura Energetica Nova SAB de CV | 27,500 | 167,782 | ||||||
Mexichem Sab de CV | 42,000 | 171,789 | ||||||
Promotora y Operadora de Infraestructura SAB de CV* | 20,900 | 288,289 | ||||||
TF Administradora Industrial S de RL de CV | 138,300 | 320,017 | ||||||
Wal-Mart de Mexico SAB de CV | 52,000 | 120,595 | ||||||
|
| |||||||
3,310,763 | ||||||||
|
| |||||||
Panama — 1.6% | ||||||||
Copa Holdings SA | 1,400 | 163,688 | ||||||
|
| |||||||
Peru — 3.5% | ||||||||
Credicorp Ltd. | 2,300 | 370,300 | ||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $9,016,838) | 8,558,409 | |||||||
|
| |||||||
PREFERRED STOCKS — 17.4% |
| |||||||
Brazil — 17.4% | ||||||||
Banco Bradesco SA(a) | 38,600 | 581,360 |
The accompanying notes are an integral part of the financial statements.
9
BRADESCO LATIN AMERICAN EQUITY FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
PREFERRED STOCKS — (Continued) |
| |||||||
Brazil — (Continued) |
| |||||||
Gerdau SA | 30,500 | $ | 136,505 | |||||
Itau Unibanco Holding SA, ADR | 55,000 | 811,800 | ||||||
Vale SA, SP ADR | 34,600 | 303,096 | ||||||
|
| |||||||
1,832,761 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCKS (Cost $1,947,822) |
| 1,832,761 | ||||||
|
| |||||||
REGISTERED INVESTMENT COMPANY — 1.2% |
| |||||||
Dreyfus Government Cash | 122,387 | 122,387 | ||||||
|
| |||||||
TOTAL REGISTERED INVESTMENT |
| 122,387 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 100.1% |
| 10,513,557 | ||||||
LIABILITIES IN EXCESS OF |
| (7,140 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% | $ | 10,506,417 | ||||||
|
|
* | Non-income producing. |
(a) | “Affiliated company” as defined by the Investment Company Act of 1940. See Note 2. |
(b) | Rate periodically changes. Rate disclosed is the daily yield on October 31, 2014. |
ADR | American Depositary Receipt | |
SP ADR | Sponsored Depositary Receipt |
The accompanying notes are an integral part of the financial statements.
10
BRADESCO LATIN AMERICAN HARD CURRENCY BOND FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
SECURITY TYPE: | ||||||||||
Corporate Bonds and Notes | 94.1 | % | $ | 11,901,661 | ||||||
Registered Investment Company | 5.2 | 660,927 | ||||||||
Other Assets in Excess of Liabilities | 0.7 | 84,477 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 12,647,065 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
11
BRADESCO LATIN AMERICAN HARD CURRENCY BOND FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — 94.1% |
| |||||||
Austria — 1.5% |
| |||||||
Oas Investments GmbH | $ | 200,000 | $ | 194,500 | ||||
|
| |||||||
Brazil — 27.6% |
| |||||||
Banco Bradesco SA | 400,000 | 425,620 | ||||||
Banco do Brasil SA | 200,000 | 208,240 | ||||||
Banco Safra SA | 200,000 | 222,770 | ||||||
Banco Santander Brasil SA | 200,000 | 208,250 | ||||||
Caixa Economica Federal | 200,000 | 204,780 | ||||||
Cielo SA | 600,000 | 565,500 | ||||||
Embraer SA | 500,000 | 531,875 | ||||||
Itau Unibanco Holding SA | 200,000 | 211,424 | ||||||
Itau Unibanco Holding SA | 300,000 | 307,875 | ||||||
Samarco Mineracao SA | 200,000 | 190,250 | ||||||
Votorantim Cimentos SA | 400,000 | 415,800 | ||||||
|
| |||||||
3,492,384 | ||||||||
|
| |||||||
Cayman Islands — 23.9% |
| |||||||
BFF International Ltd. | 500,000 | 572,500 |
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Cayman Islands — (Continued) |
| |||||||
BR Malls International Finance Ltd. | $ | 400,000 | $ | 414,256 | ||||
Braskem Finance Ltd. | 500,000 | 522,500 | ||||||
Cosan Overseas Ltd. | 200,000 | 207,000 | ||||||
Odebrecht Finance Ltd. | 400,000 | 376,000 | ||||||
Suzano Trading Ltd. | 400,000 | 418,000 | ||||||
Vale Overseas Ltd. | 500,000 | 507,835 | ||||||
|
| |||||||
3,018,091 | ||||||||
|
| |||||||
Chile — 4.8% |
| |||||||
Banco Santander Chile | 400,000 | 400,048 | ||||||
Corpbanca SA | 200,000 | 201,500 | ||||||
|
| |||||||
601,548 | ||||||||
|
| |||||||
Colombia — 3.5% |
| |||||||
Bancolombia SA | 400,000 | 443,500 | ||||||
|
| |||||||
Luxembourg — 9.8% |
| |||||||
CSN Resources SA | 200,000 | 204,500 | ||||||
Klabin Finance SA | 360,000 | 352,620 | ||||||
Petrobras International Finance Co. SA | 600,000 | 688,038 | ||||||
|
| |||||||
1,245,158 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
12
BRADESCO LATIN AMERICAN HARD CURRENCY BOND FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Mexico — 14.4% |
| |||||||
Alfa Sab de CV | $ | 500,000 | $ | 544,375 | ||||
America Movil SAB de CV | 300,000 | 330,705 | ||||||
Cemex Sab de Cv | 500,000 | 518,125 | ||||||
Grupo Bimbo Sab de CV | 400,000 | 421,592 | ||||||
|
| |||||||
1,814,797 | ||||||||
|
| |||||||
Peru — 3.4% |
| |||||||
Banco de Credito del Peru | 400,000 | 436,000 | ||||||
|
| |||||||
Virgin Islands — 5.2% |
| |||||||
Gerdau Trade, Inc. | 500,000 | 531,350 | ||||||
QGOG Atlantic Ltd. | 121,360 | 124,333 | ||||||
|
| |||||||
655,683 | ||||||||
|
| |||||||
TOTAL CORPORATE |
| 11,901,661 | ||||||
|
|
Number of Shares | Value | |||||||
REGISTERED INVESTMENT COMPANY — 5.2% |
| |||||||
Dreyfus Government Cash | 660,927 | $ | 660,927 | |||||
|
| |||||||
TOTAL REGISTERED INVESTMENT |
| 660,927 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 99.3% |
| 12,562,588 | ||||||
OTHER ASSETS IN EXCESS | 84,477 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 12,647,065 | ||||||
|
|
(a) | This security is callable. |
(b) | “Affiliated company” as defined by the Investment Company Act of 1940. See Note 2. |
(c) | Security is perpetual. Date shown is next call date. |
(d) | Rate periodically changes. Rate disclosed is the daily yield on October 31, 2014. |
The accompanying notes are an integral part of the financial statements.
13
BRADESCO FUNDS
Statements of Assets and Liabilities
October 31, 2014
(Unaudited)
Bradesco Latin American Equity Fund | Bradesco Latin American Hard Currency Bond Fund | |||||||||
Assets | ||||||||||
Investments, at value (Cost $11,087,047 and $12,512,146, respectively)(a) | $ | 10,513,557 | $ | 12,562,588 | ||||||
Cash | 326 | 41 | ||||||||
Dividends and interest receivable | 19,714 | 130,944 | ||||||||
Receivable from Investment Adviser | 10,913 | 5,932 | ||||||||
Prepaid expenses and other assets | 21,976 | 15,983 | ||||||||
|
|
|
| |||||||
Total assets | 10,566,486 | 12,715,488 | ||||||||
|
|
|
| |||||||
Liabilities | ||||||||||
Payable for transfer agent fees | 20,444 | 20,476 | ||||||||
Payable for administration and accounting fees | 19,443 | 20,623 | ||||||||
Payable for custodian fees | 12,356 | 11,959 | ||||||||
Payable for audit fees | 6,013 | 13,652 | ||||||||
Accrued expenses | 1,813 | 1,713 | ||||||||
|
|
|
| |||||||
Total liabilities | 60,069 | 68,423 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 10,506,417 | $ | 12,647,065 | ||||||
|
|
|
| |||||||
Net Assets Consisted of: | ||||||||||
Capital stock, $0.01 par value | $ | 10,347 | $ | 12,237 | ||||||
Paid-in capital | 11,087,562 | 12,479,821 | ||||||||
Accumulated net investment income | 36,396 | 55,342 | ||||||||
Accumulated net realized gain/(loss) loss from investments and foreign currency transactions | (54,398 | ) | 49,223 | |||||||
Net unrealized appreciation/(depreciation) on investments | (573,490 | ) | 50,442 | |||||||
|
|
|
| |||||||
Net Assets | $ | 10,506,417 | $ | 12,647,065 | ||||||
|
|
|
| |||||||
Institutional Class: | ||||||||||
Net asset value, offering and redemption price per share ($10,408,969 / 1,025,069) and ($12,547,813 / 1,214,062 shares) | $ | 10.15 | $ | 10.34 | ||||||
|
|
|
| |||||||
Retail Class: | ||||||||||
Net asset value, offering and redemption price per share ($97,448 / 9,610) and ($99,252 / 9,603 shares) | $ | 10.14 | $ | 10.34 | ||||||
|
|
|
|
(a) | Includes investment in affiliated issuer for Bradesco Latin American Equity Fund and Bradesco Latin American Hard Currency Bond Fund with market value of $581,360 and $425,620 and cost of $565,130 and $427,675, respectively. |
The accompanying notes are an integral part of the financial statements.
14
BRADESCO FUNDS
Statements of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Bradesco Latin American Equity Fund | Bradesco Latin American Hard Currency Bond Fund | |||||||||
Investment Income | ||||||||||
Dividends(a) | $ | 101,509 | $ | — | ||||||
Less: foreign taxes withheld | (5,487 | ) | — | |||||||
Interest | — | 192,992 | ||||||||
|
|
|
| |||||||
Total investment income | 96,022 | 192,992 | ||||||||
|
|
|
| |||||||
Expenses | ||||||||||
Advisory fees (Note 2) | 38,506 | 36,827 | ||||||||
Administration and accounting fees | 38,254 | 38,254 | ||||||||
Transfer agent fees (Note 2) | 23,909 | 23,943 | ||||||||
Legal fees | 12,131 | 14,651 | ||||||||
Registration and filing fees | 11,496 | 11,538 | ||||||||
Custodian fees (Note 2) | 7,611 | 7,610 | ||||||||
Audit fees | 7,369 | 13,653 | ||||||||
Printing and shareholder reporting fees | 3,054 | 9,327 | ||||||||
Trustees’ and officers’ fees (Note 2) | 2,311 | 10,550 | ||||||||
Other expenses | 2,062 | 2,059 | ||||||||
|
|
|
| |||||||
Total expenses | 146,703 | 168,412 | ||||||||
|
|
|
| |||||||
Less: waivers and reimbursements (Note 2) | (79,218 | ) | (93,677 | ) | ||||||
|
|
|
| |||||||
Net expenses after waivers and reimbursements | 67,485 | 74,735 | ||||||||
|
|
|
| |||||||
Net investment income | 28,537 | 118,257 | ||||||||
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments | ||||||||||
Net realized gain/(loss) from investments | (18,690 | ) | 49,224 | |||||||
Net realized loss from foreign currency transactions | (28,997 | ) | — | |||||||
Net change in unrealized appreciation/(depreciation) on investments(a) | (388,191 | ) | (100,814 | ) | ||||||
Net change in unrealized appreciation/(depreciation) on foreign currency translations | (214,331 | ) | — | |||||||
|
|
|
| |||||||
Net realized and unrealized loss on investments | (650,209 | ) | (51,590 | ) | ||||||
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | $ | (621,672 | ) | $ | 66,667 | |||||
|
|
|
|
(a) | Dividend Income and change in unrealized appreciation on investments from affiliated issuer for the Bradesco Latin American Equity Fund was $2,083 and $11,135, respectively. Dividend Income and change in unrealized depreciation on investments from affiliated issuer for the Bradesco Latin American Hard Currency Bond Fund was $2,966 and ($2,055), respectively. |
The accompanying notes are an integral part of the financial statements.
15
BRADESCO LATIN AMERICAN EQUITY FUND
Statement of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014* | |||||||||
Increase in net assets from operations: | ||||||||||
Net investment income | $ | 28,537 | $ | 5,795 | ||||||
Net realized loss from investments and foreign currency transactions | (47,687 | ) | (11,115 | ) | ||||||
Net change in unrealized appreciation/(depreciation) from investments and foreign currency translations | (602,522 | ) | 29,032 | |||||||
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | (621,672 | ) | 23,712 | |||||||
|
|
|
| |||||||
Increase in Net Assets Derived from Capital Share Transactions (Note 4) | 10,104,377 | 1,000,000 | ||||||||
|
|
|
| |||||||
Total increase in net assets | 9,482,705 | 1,023,712 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 1,023,712 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 10,506,417 | $ | 1,023,712 | ||||||
|
|
|
| |||||||
Accumulated net investment income, end of period | $ | 36,396 | $ | 7,859 | ||||||
|
|
|
|
* | The Funds commenced operations on December 20, 2013. |
The accompanying notes are an integral part of the financial statements.
16
BRADESCO LATIN AMERICAN HARD CURRENCY BOND FUND
Statement of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014* | |||||||||
Increase in net assets from operations: | ||||||||||
Net investment income | $ | 118,257 | $ | 45,042 | ||||||
Net realized gain from investments and foreign currency transactions | 49,224 | 16,896 | ||||||||
Net change in unrealized appreciation/(depreciation) from investments, and foreign currency translations | (100,814 | ) | 151,256 | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 66,667 | 213,194 | ||||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Net investment income: | ||||||||||
Institutional Class | (82,485 | ) | (31,446 | ) | ||||||
Retail Class | (1,213 | ) | — | |||||||
|
|
|
| |||||||
Total from net investment income | (83,698 | ) | (31,446 | ) | ||||||
|
|
|
| |||||||
Net realized capital gains: | ||||||||||
Institutional Class | (16,537 | ) | — | |||||||
Retail Class | (360 | ) | — | |||||||
|
|
|
| |||||||
Total from net realized capital gains | (16,897 | ) | — | |||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distribution to shareholders | (100,595 | ) | (31,446 | ) | ||||||
|
|
|
| |||||||
Increase in Net Assets Derived from Capital Share Transactions (Note 4) | 7,977,233 | 4,522,012 | ||||||||
|
|
|
| |||||||
Total increase in net assets | 7,943,305 | 4,703,760 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 4,703,760 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 12,647,065 | $ | 4,703,760 | ||||||
|
|
|
| |||||||
Accumulated net investment income, end of period | $ | 55,342 | $ | 20,783 | ||||||
|
|
|
|
* | The Funds commenced operations on December 20, 2013. |
The accompanying notes are an integral part of the financial statements.
17
BRADESCO LATIN AMERICAN EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for Institutional Class Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class | ||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period December 20, 2013* to April 30, 2014 | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 10.24 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income(1) | 0.04 | 0.06 | ||||||||
Net realized and unrealized gain/(loss) on investments | (0.13 | ) | 0.18 | |||||||
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | (0.09 | ) | 0.24 | |||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 10.15 | $ | 10.24 | ||||||
|
|
|
| |||||||
Total investment return(2) | (0.88 | )% | 2.40 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (000’s omitted) | $ | 10,409 | $ | 1,024 | ||||||
Ratio of expenses to average net assets | 1.75 | %(3) | 1.75 | %(3) | ||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 3.79 | %(3) | 23.40 | %(3) | ||||||
Ratio of net investment income to average net assets | 0.75 | %(3) | 1.70 | %(3) | ||||||
Portfolio turnover rate | 22.10 | %(5) | 15.55 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
18
BRADESCO LATIN AMERICAN EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for Retail Class Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Retail Class | |||||
For the Period June 9, 2014* to October 31, 2014 (Unaudited) | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 10.86 | |||
|
| ||||
Net investment income(1) | 0.01 | ||||
Net realized and unrealized loss on investments | (0.73 | ) | |||
|
| ||||
Net decrease in net assets resulting from operations | (0.72 | ) | |||
|
| ||||
Net asset value, end of period | $ | 10.14 | |||
|
| ||||
Total investment return(2) | (6.63 | )% | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $ | 97 | |||
Ratio of expenses to average net assets | 2.00 | %(3) | |||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 5.97 | %(3) | |||
Ratio of net investment income to average net assets | 0.31 | %(3) | |||
Portfolio turnover rate | 22.10 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
19
BRADESCO LATIN AMERICAN HARD CURRENCY BOND FUND
Financial Highlights
Contained below is per share operating performance data for Institutional Class Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class | ||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period December 20, 2013* to April 30, 2014 | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 10.34 | $ | 10.00 | ||||||
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Net investment income(1) | 0.13 | 0.13 | ||||||||
Net realized and unrealized gain on investments | 0.05 | 0.28 | ||||||||
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Net increase in net assets resulting from operations | 0.18 | 0.41 | ||||||||
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Dividends and distributions to shareholders from: | ||||||||||
Net investment income | (0.14 | ) | (0.07 | ) | ||||||
Net realized gains | (0.04 | ) | — | |||||||
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Total dividends and distributions to shareholders | (0.18 | ) | (0.07 | ) | ||||||
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Net asset value, end of period | $ | 10.34 | $ | 10.34 | ||||||
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Total investment return(2) | 1.69 | % | 4.10 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (000’s omitted) | $ | 12,548 | $ | 4,704 | ||||||
Ratio of expenses to average net assets | 1.50 | %(3) | 1.50 | %(3) | ||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 3.38 | %(3) | 7.61 | %(3) | ||||||
Ratio of net investment income to average net assets | 2.38 | %(3) | 3.59 | %(3) | ||||||
Portfolio turnover rate | 37.15 | %(5) | 6.52 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
20
BRADESCO LATIN AMERICAN HARD CURRENCY BOND FUND
Financial Highlights
Contained below is per share operating performance data for Retail Class Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Retail Class | |||||
For the Period June 9, 2014* to October 31, 2014 (Unaudited) | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 10.53 | |||
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Net investment income(1) | 0.09 | ||||
Net realized and unrealized loss on investments | (0.11 | ) | |||
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Net decrease in net assets resulting from operations | (0.02 | ) | |||
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Dividends and distributions to shareholders from: | |||||
Net investment income | (0.13 | ) | |||
Net realized gains | (0.04 | ) | |||
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Total dividends and distributions to shareholders | (0.17 | ) | |||
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Net asset value, end of period | $ | 10.34 | |||
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Total investment return(2) | (0.24 | )% | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $ | 99 | |||
Ratio of expenses to average net assets | 1.75 | %(3) | |||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 3.64 | %(3) | |||
Ratio of net investment income to average net assets | 2.16 | %(3) | |||
Portfolio turnover rate | 37.15 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
21
BRADESCO FUNDS
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Bradesco Latin American Equity Fund and the Bradesco Latin American Hard Currency Bond Fund (each a “Fund” and together the “Funds”) are non-diversified, open-end management investment companies registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Funds commenced operations on December 20, 2013. The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Funds are each authorized to issue and offer Class A, Class C, Institutional Class and Retail Class Shares. As of October 31, 2014, Class A and Class C shares had not been issued for the Funds.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by each Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter market are valued at their closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the FundVantage Trust’s Board of Trustees (“Board of Trustees”). Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, which approximates fair value. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service, which utilizes information with respect to recent sales, market transactions in comparable securities, quotations from dealers, and various relationships between securities in determining value. Valuations developed through pricing techniques may materially vary from the actual amounts realized upon sale of the securities. Any assets held by the Funds that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Funds determine the daily NAV per share. Foreign securities may trade on weekends or other days when the Funds do not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Funds. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Investments in any mutual fund are valued at their respective NAVs as determined by those mutual funds each business day (which may use fair value pricing as disclosed in their prospectuses). Securities that do not have a readily available current market value are valued in good faith under the direction of the Board of Trustees. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available
22
BRADESCO FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
and has delegated to the Adviser the responsibility for applying the valuation methods. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuations techniques used to measure fair value of each Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||
• Level 3 | — | significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
The fair value of a Fund’s bonds are generally based on quotes received from brokers of independent pricing services. Bonds with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
Significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that foreign markets close (where the security is principally traded) and the time that each Fund calculates its NAV (generally, the close of the NYSE) that may impact the value of securities traded in these foreign markets. As a result, each Fund fair values foreign securities using an independent pricing service which considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange traded funds and certain indexes as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy.
23
BRADESCO FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
The following is a summary of the inputs used, as of October 31, 2014, in valuing each Fund’s investments carried at fair value:
Bradesco Latin American Equity Fund | ||||||||||||||||
Total Value at 10/31/14 | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Investments in Securities* | $ | 10,513,557 | $ | 10,513,557 | $ | — | $ | — | ||||||||
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* | Please refer to Portfolio of Investments for further details on portfolio holdings. |
Bradesco Latin American Hard Currency Bond Fund | ||||||||||||||||
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Corporate Bonds and Notes | $ | 11,901,661 | $ | — | $ | 11,901,661 | $ | — | ||||||||
Registered Investment Company | 660,927 | 660,927 | — | — | ||||||||||||
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Total | $ | 12,562,588 | $ | 660,927 | $ | 11,901,661 | $ | — | ||||||||
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At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have readily available market value, the fair value of each Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values each Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
24
BRADESCO FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires each Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when such Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no significant transfers between Levels 1, 2 and 3 for the Funds.
Use of Estimates — The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
Each Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investment securities in a Fund’s Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately
25
BRADESCO FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in a Fund’s Statement of Operations.
Dividends and Distributions to Shareholders — Dividends from net investment income, if any, are declared and paid at least annually to shareholders of the Bradesco Latin American Equity Fund and dividends from net investment income are declared and paid quarterly, if any, to shareholders of the Bradesco Latin American Hard Currency Bond Fund. Distributions from net realized capital gains, if any, will be declared and paid at least annually to shareholders and recorded on ex-date for both Funds. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, each Fund may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against each Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Currency Risk — Each Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which each Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect each Fund’s NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for each Fund is determined on the basis of U.S. dollars, each Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of each Fund’s holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of each Fund’s holdings in foreign securities.
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices
26
BRADESCO FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
Emerging Markets Risk — The Bradesco Latin American Equity Fund and the Bradesco Latin American Hard Currency Bond Fund invests in emerging market instruments which are subject to certain credit and market risks. The securities and currency markets of emerging market countries are generally smaller, less developed, less liquid and more volatile than the securities and currency markets of the United States and other developed markets. Disclosure and regulatory standards in many respects are less stringent than in other developed markets. There also may be a lower level of monitoring and regulation of securities markets in emerging market countries and the activities of investors in such markets and enforcement of existing regulations may be extremely limited. Political and economic structures in many of these countries may be in their infancy and developing rapidly, and such countries may lack the social, political and economic stability characteristics of more developed countries.
2. Transactions with Affiliates and Related Parties
BRAM US LLC (“BRAM US” or the “Adviser”) serves as investment adviser to each Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 1.00% of the Bradesco Latin American Equity Fund’s average daily net assets, and 0.75% of the Bradesco Latin American Hard Currency Bond Fund’s average daily net assets. Each Fund pays its respective pro-rata portion of the advisory fee payable by each Fund. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent that the “Total Annual Fund Operating Expenses,” excluding taxes, Rule 12b-1 distribution fees, “Acquired Fund Fees and Expenses,” interest, extraordinary items and brokerage commissions, exceed 1.75% and 1.50% (on an annual basis) of the Bradesco Latin American Equity Fund and Bradesco Latin American Hard Currency Bond Fund’s average daily net assets (the “Expense Limitation”), respectively. The Expense Limitations will remain in place with respect to each Fund until December 20, 2015, unless the Board of Trustees of the Trust approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for each Fund. No recoupment will occur with respect to a Fund unless such Fund’s expenses are below the Expense Limitation.
For the six months ended October 31, 2014, investment advisory fees accrued and waived were $38,506 and $36,827 and the Adviser reimbursed fees of $40,712 and $56,850 for the Bradesco Latin American Equity Fund and Bradesco Latin American Hard Currency Bond Fund, respectively.
As of October 31, 2014, the amounts of potential recoupment by the Adviser were as follows:
27
BRADESCO FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Expiration | ||||||||
04/30/2017 | 04/30/2018 | |||||||
Bradesco Latin American Equity Fund | $53,081 | $79,218 | ||||||
Bradesco Latin American Hard Currency Bond Fund | $56,142 | $93,677 |
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Funds.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annualized percentage rate of each Funds’ average daily net assets and is subject to certain minimum monthly fees.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
BNY Mellon and the Custodian have the ability to recover such amounts previously waived if each Fund terminates its agreements with BNY Mellon or the Custodian within three years of signing the agreements.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Funds during the six months ended October 31, 2014 was $1,426 and $1,508 for the Bradesco Latin American Equity Fund and Bradesco Latin American Hard Currency Bond Fund, respectively. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Funds or the Trust.
The following table lists the issuer owned by Bradesco Latin American Equity Fund and Bradesco Latin American Hard Currency Bond Fund that may be deemed “affiliated company” under the Investment Company Act of 1940, as well as transactions that occurred in the security of such issuers during the six months ended October 31, 2014:
28
BRADESCO FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Bradesco Latin American Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Name of Issuer | Shares Held at 4/30/14 | Value at 4/30/14 | Purchase Cost | Sales Proceeds | Value at 10/31/14 | Shares Held at 10/31/14 | Dividend Income for the six-months ended 10/31/14 | Net Realized Gain (Loss) for the six-months ended 10/31/14 | ||||||||||||||||||||||||||||||||
Banco Bradesco SA | 3,100 | $ | 46,019 | $ | 565,130 | $ | — | $ | 581,360 | 38,600 | $ | 2,083 | $ | — | ||||||||||||||||||||||||||
Bradesco Latin American Hard Currency Bond Fund | ||||||||||||||||||||||||||||||||||||||||
Name of Issuer | Shares Held at 4/30/14 | Value at 4/30/14 | Purchase Cost | Sales Proceeds | Value at 10/31/14 | Shares Held at 10/31/14 | Dividend Income for the six-months ended 10/31/14 | Net Realized Gain (Loss) for the six-months ended 10/31/14 | ||||||||||||||||||||||||||||||||
Banco Bradesco SA | — | $— | $ | 427,675 | $ | — | $ | 425,620 | 400,000 | $ | 2,966 | $ | — |
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding U.S. Government and agency short-term investments and other short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||
Bradesco Latin American Equity Fund | $ | 11,471,887 | $ | 1,450,888 | ||||
Bradesco Latin American Hard Currency Bond Fund | 10,991,158 | 2,854,350 |
4. Capital Share Transactions
For the six months or period ended October 31, 2014 and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
29
BRADESCO FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Bradesco Latin American Equity Fund | ||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014* | |||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||
Sales | 925,069 | $ | 10,000,000 | 100,000 | $ | 10,000,000 | ||||||||||||||
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Net Increase | 925,069 | $ | 10,000,000 | 100,000 | $ | 10,000,000 | ||||||||||||||
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Retail Class Shares** | ||||||||||||||||||||
Sales | 9,610 | $ | 104,377 | — | $ | — | ||||||||||||||
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Net Increase | 9,610 | $ | 104,377 | — | $ | — | ||||||||||||||
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Total Net Increase | 934,679 | $ | 10,104,377 | 100,000 | $ | 10,000,000 | ||||||||||||||
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Bradesco Latin American Hard Currency Bond Fund | ||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014* | |||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||
Sales | 772,919 | $ | 8,022,744 | 452,823 | $ | 4,500,000 | ||||||||||||||
Reinvestments | 7,381 | 76,132 | 2,160 | 22,012 | ||||||||||||||||
Redemptions | (21,221 | ) | (222,744 | ) | — | — | ||||||||||||||
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Net increase | 759,079 | $ | 7,876,132 | 454,983 | $ | 4,522,012 | ||||||||||||||
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Retail Class Shares** | ||||||||||||||||||||
Sales | 9,497 | $ | 100,000 | — | $ | — | ||||||||||||||
Reinvestments | 106 | 1,101 | — | — | ||||||||||||||||
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Net increase | 9,603 | $ | 101,101 | — | $ | — | ||||||||||||||
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Total Net increase | 768,682 | $ | 7,977,233 | 454,983 | $ | 4,522,012 | ||||||||||||||
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* | The Funds commenced operations on December 20, 2013. |
** | Retail Class commenced operations on June 9, 2014. |
*** | There is a 2.00% redemption fee that may be charged on shares redeemed which have been held for 30 days or less. The redemption fee is retained by the Funds for the benefit of the remaining shareholders and recorded as paid-in-capital. For the period ending October 31, 2014, there were no redemption fees charged. |
30
BRADESCO FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
5. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the period ended April 30, 2014, the tax character of distributions paid by the Bradesco Latin American Hard Currency Bond Fund was $31,446 of ordinary income dividends. There were no distributions for the Bradesco Latin American Equity Fund. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | Qualified Late-Year Losses | |||||||||||||||||||||
Bradesco Latin American Equity Fund | $ | — | $ | 7,859 | $ | — | $ | 29,032 | $ | (6,711 | ) | ||||||||||||||
Bradesco Latin American Hard Currency Bond Fund | $ | — | $ | 38,322 | $ | — | $ | 150,613 | $ | — |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation/Depreciation | |||||||||||||||||
Bradesco Latin American Equity Fund | $ | 11,087,047 | $ | 313,735 | $ | (887,225 | ) | $ | (573,490 | ) | ||||||||||
Bradesco Latin American Hard Currency Bond Fund | 12,512,146 | 116,004 | (65,562 | ) | 50,442 |
Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions.
31
BRADESCO FUNDS
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Funds did not have any capital loss carryforwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on each Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
32
BRADESCO FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 670-5705 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
33
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[THIS PAGE INTENTIONALLY LEFT BLANK.]
Investment Adviser
BRAM US LLC
1450, Avenida Paulista
6th Floor, 01310 - 917
Sao Paulo-SP, Brazil
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
BBD, LLP
1835 Market Street
26th Floor
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
BRADESCO LATIN
AMERICAN
EQUITY FUND
BRADESCO LATIN AMERICAN HARD
CURRENCY
BOND FUND
of
FundVantage Trust
Institutional Class Shares
Retail Class Shares
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Bradesco Latin American Equity Fund and the Bradesco Latin American Hard Currency Bond Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Bradesco Latin American Equity Fund and the Bradesco Latin American Hard Currency Bond Fund.
CUTWATER INVESTMENT GRADE BOND FUND
of
FundVantage Trust
Institutional Class
SEMI-ANNUAL REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Cutwater Investment Grade Bond Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Cutwater Investment Grade Bond Fund.
CUTWATER INVESTMENT GRADE BOND FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||||
Six Months† | 1 Year | 3 Year | Since Inception* | |||||||
Institutional Class | 2.81% | 6.07% | 4.85% | 4.62% | ||||||
Barclays Aggregate | ||||||||||
Bond Index | 2.35% | 4.14% | 2.73% | 3.72%** |
† | Not Annualized |
* | The Cutwater Investment Grade Bond Fund (the “Fund”) commenced operations on December 2, 2010. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 678-6242.
The Fund’s total annual gross and net operating expense ratio for Institutional Class shares of the Fund, as stated in the current prospectus dated September 1, 2014, is 1.25% and 0.85%, respectively, of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. Cutwater Investor Services Corp. d/b/a Cutwater Asset Management (“Cutwater” or the “Adviser”) has voluntarily agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items and brokerage commissions) do not exceed 0.85% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). Such Expense Limitation will continue until Cutwater notifies the Fund of a change in its voluntary Expense Limitation or its discontinuation. This Expense Limitation may be discontinued at any time at the discretion of Cutwater. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
A 1.00% redemption fee applies to shares redeemed within 60 days of purchase. The redemption fee is not reflected in the returns shown above.
The Fund intends to evaluate performance as compared to that of the Barclays Aggregate Bond Index. Barclays Aggregate Bond Index is an unmanaged intermediate-term index and should not be considered indicative of any Cutwater Investment Grade Bond Fund investment. It is impossible to invest directly in an index.
All mutual fund investing involves risk, including possible loss of principal. The Fund is subject to the risks of the fixed-income securities in its portfolio such as credit, prepayment and interest rate risk. As interest rates rise, the value of bond prices will decline and an investor may lose money.
2
CUTWATER INVESTMENT GRADE BOND FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the period from May 1, 2014 through October 31, 2014 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line 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 second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, 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 accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying 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.
Cutwater Investment Grade Bond Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,028.10 | $ | 4.35 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.92 | 4.33 |
* | Expenses are equal to an annualized expense ratio for the six month period ended October 31, 2014 of 0.85% for the Institutional Shares of the Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. The Fund’s ending account value on the first line in the table is based on the actual six month total returns for the Fund of 2.81%. |
3
CUTWATER INVESTMENT GRADE BOND FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
Corporate Bonds and Notes | 50.1 | % | $ | 19,059,917 | ||||||
U.S. Treasury Obligations | 16.1 | 6,116,947 | ||||||||
Residential Mortgage-Backed Securities | 13.4 | 5,110,469 | ||||||||
Asset Backed Securities | 9.3 | 3,514,202 | ||||||||
Commercial Mortgage-Backed Securities | 8.1 | 3,072,493 | ||||||||
Registered Investment Company | 2.0 | 754,651 | ||||||||
Preferred Stock | 1.4 | 540,963 | ||||||||
Municipal Bonds | 1.1 | 431,797 | ||||||||
Liabilities in Excess of other Assets | (1.5 | ) | (577,910 | ) | ||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 38,023,529 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time. |
The accompanying notes are an integral part of the financial statements.
4
CUTWATER INVESTMENT GRADE BOND FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Moody’s/ Standard & Poor’s Rating(a) | Principal Amount (000’s) | Value | ||||||||
CORPORATE BONDS AND NOTES — 50.1% | ||||||||||
Airlines — 1.5% | ||||||||||
American Airlines 2013-2 Class B Pass Through Trust, 5.60%, 07/15/20 144A | NA/BB+ | $ | 399 | $ | 406,747 | |||||
British Airways 2013-1 Class B Pass Through Trust, 5.625%, 06/20/20 144A | Baa3/BBB | 156 | 164,723 | |||||||
|
| |||||||||
571,470 | ||||||||||
|
| |||||||||
Automotive — 0.9% | ||||||||||
Chrysler Group LLC/CG Co. Issuer, Inc., Sec. Notes, 8.25%, 06/15/21 (b) | B1/B | 300 | 335,250 | |||||||
|
| |||||||||
Chemicals — 0.5% | ||||||||||
Mexichem SAB de CV, Co. Gty., 4.875%, 09/19/22 144A | Baa3/BBB- | 200 | 213,250 | |||||||
|
| |||||||||
Diversified Financial Services — 19.1% | ||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, Co. Gty., 4.50%, 05/15/21 144A | Ba2/BB+ | 250 | 252,500 | |||||||
AIG Retirement Services, Inc., Sr. Unsec. Notes, 8.125%, 04/28/23 | Baa1/A- | 145 | 185,134 | |||||||
American Express Co., Sub. Notes, 6.80%, 09/01/66 (b)(c) | Baa2/BB+ | 195 | 206,680 | |||||||
Bank of America Corp., Sr. Unsec. Notes, 5.75%, 12/01/17 | Baa2/A- | 210 | 233,758 | |||||||
Bank of America Corp., Sr. Unsec. Notes, 5.875%, 01/05/21 | Baa2/A- | 320 | 369,774 | |||||||
BB&T Corp., Sr. Unsec. Notes, 1.094%, 06/15/18 (b)(c) | A2/A- | 405 | 410,935 | |||||||
BBVA US Senior SAU, Co. Gty., 4.664%, 10/09/15 | Baa2/BBB | 325 | 336,734 | |||||||
Bear Stearns Cos., LLC (The), Sr. Unsec. Notes, 6.40%, 10/02/17 | A3/A | 267 | 301,941 | |||||||
BioMed Realty LP, Co. Gty., REIT, 6.125%, 04/15/20 (b) | Baa3/BBB | 226 | 258,438 | |||||||
Citigroup, Inc., Sr. Unsec. Notes, 3.375%, 03/01/23 | Baa2/A- | 208 | 207,471 | |||||||
Citigroup, Inc., Sub Notes, 5.30%, 05/06/44 | Baa3/BBB+ | 225 | 239,130 | |||||||
EPR Properties, Co. Gty., REIT, 5.75%, 08/15/22 (b) | Baa2/BBB- | 358 | 393,734 | |||||||
General Electric Capital Corp., Jr. Sub. Notes, 5.25%, 06/15/23 (b)(c)(d) | Baa1/A+ | 400 | 401,000 | |||||||
General Electric Capital Corp., Sub. Notes, 5.30%, 02/11/21 | A2/AA | 260 | 295,272 | |||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec. Notes, 2.375%, 01/22/18 | Baa1/A- | 91 | 91,849 | |||||||
HSBC Capital Funding LP/Jersey Channel Islands, Ltd., Co. Gty., 10.176%, 06/30/30 144A (b)(c)(d) | Baa2/BBB- | 325 | 485,063 | |||||||
HSBC Holdings PLC, Sub. Notes, 4.25%, 03/14/24 | A3/BBB+ | 200 | 205,596 | |||||||
ING Bank NV., 4.125%, 11/21/23 (b)(c) | Baa2/BBB | 350 | 358,551 | |||||||
JPMorgan Chase & Co., Jr. Sub. Notes, 7.90%, 04/30/18 (b)(c)(d) | Ba1/BBB- | 387 | 419,411 | |||||||
Morgan Stanley, Jr. Unsec. Notes, 5.45%, 07/15/19 (b)(c)(d) | Ba3/BB | 365 | 366,711 | |||||||
Morgan Stanley, Sr. Unsec. Notes, 5.50%, 07/24/20 | Baa2/A- | 425 | 480,116 | |||||||
Sinochem Overseas Capital Co., Ltd., Co. Gty., 6.30%, 11/12/40 144A | A3/A- | 211 | 257,366 | |||||||
US Bank NA, Sr. Unsec. Notes, 0.713%, 10/28/19 (b)(c) | Aa3/AA- | 490 | 490,957 | |||||||
|
| |||||||||
7,248,121 | ||||||||||
|
| |||||||||
Energy — 5.8% | ||||||||||
BG Energy Capital PLC, Co. Gty., 6.50%, 11/30/72 (b)(c) | Baa1/BBB | 300 | 327,428 | |||||||
Citgo Petroleum Corp., Sr. Sec. Notes, 6.25%, 08/15/22 144A (b) | B1/B+ | 350 | 356,125 | |||||||
DCP Midstream LLC, Jr. Sub. Notes, 5.85%, 05/21/43 144A (b)(c) | Baa3/BB | 325 | 320,937 | |||||||
Ecopetrol SA, Sr. Unsec. Notes, 5.875%, 09/18/23 | Baa2/BBB | 165 | 183,975 | |||||||
Noble Energy, Inc., Sr. Unsec. Notes, 8.25%, 03/01/19 | Baa2/BBB | 146 | 179,922 | |||||||
Oil India Ltd., Sr. Unsec. Notes, 5.375%, 04/17/24 | Baa2/NA | 300 | 320,415 | |||||||
Reliance Holdings USA, Inc., Co. Gty., 5.40%, 02/14/22 144A | Baa2/BBB+ | 325 | 353,884 |
The accompanying notes are an integral part of the financial statements.
5
CUTWATER INVESTMENT GRADE BOND FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Moody’s/ Standard & Poor’s Rating(a) | Principal Amount (000’s) | Value | ||||||||
CORPORATE BONDS AND NOTES — (Continued) | ||||||||||
Energy — (Continued) | ||||||||||
Transocean, Inc., Co. Gty., 6.50%, 11/15/20 | Baa3/BBB- | $ | 163 | $ | 167,659 | |||||
|
| |||||||||
2,210,345 | ||||||||||
|
| |||||||||
Healthcare — 1.5% | ||||||||||
Fresenius Medical Care US Finance, Inc., Co. Gty., 5.75%, 02/15/21 144A | Ba2/BB+ | 325 | 348,969 | |||||||
HCA, Inc., Sr. Sec. Notes, 7.25%, 09/15/20 (b) | WR/BB | 215 | 227,900 | |||||||
|
| |||||||||
576,869 | ||||||||||
|
| |||||||||
Industrial — 1.2% | ||||||||||
ADT Corp. (The), Sr. Unsec. Notes, 6.25%, 10/15/21 | Ba2/BB- | 175 | 183,750 | |||||||
Samarco Mineracao SA, Sr Unsec. Notes, 5.75%, 10/24/23 144A | NA/BBB- | 275 | 285,313 | |||||||
|
| |||||||||
469,063 | ||||||||||
|
| |||||||||
Insurance — 5.0% | ||||||||||
Allstate Corp. (The), Jr. Sub. Notes, 6.50%, 05/15/57 (b)(c) | Baa1/BBB | 325 | 359,734 | |||||||
American Financial Group, Inc., Sr. Unsec. Notes, 9.875%, 06/15/19 | Baa1/BBB+ | 130 | 167,509 | |||||||
American International Group, Inc., Jr. Sub. Debs., 8.175%, 05/15/58 (b)(c) | Baa2/BBB | 325 | 441,187 | |||||||
Liberty Mutual Group, Inc., Co. Gty., 7.00%, 03/15/37 144A (b)(c) | Baa3/BB+ | 208 | 216,320 | |||||||
Prudential Financial, Inc., Jr. Sub. Notes, 5.875%, 09/15/42 (b)(c) | Baa2/BBB+ | 423 | 448,380 | |||||||
Travelers Cos., Inc., Jr. Sub. Notes, 6.25%, 03/15/37 (b)(c) | A3/NR | 244 | 264,435 | |||||||
|
| |||||||||
1,897,565 | ||||||||||
|
| |||||||||
Media — 1.3% | ||||||||||
Numericable Group SA, Sr. Sec. Notes, 6.25%, 05/15/24 144A (b) | Ba3/B+ | 250 | 257,188 | |||||||
VTR Finance BV, Sr. Sec. Notes, 6.875%, 01/15/24 144A (b) | B1/B+ | 220 | 231,000 | |||||||
|
| |||||||||
488,188 | ||||||||||
|
| |||||||||
Mining — 0.7% | ||||||||||
Teck Resources, Ltd., Co. Gty., 5.20%, 03/01/42 (b) | Baa2/BBB | 296 | 270,626 | |||||||
|
| |||||||||
Paper — 0.6% | ||||||||||
Celulosa Arauco y Constitucion SA, Sr. Unsec. Notes, 4.75%, 01/11/22 (b) | Baa3/BBB- | 228 | 234,372 | |||||||
|
| |||||||||
Pipe Lines Ex Natural Gas — 2.1% | ||||||||||
Access Midstream Partners LP / ACMP Finance Corp., Co. Gty., 4.875%, 05/15/23 (b) | Ba2/BB+ | 190 | 198,550 | |||||||
Enterprise Products Operating LLC, Co. Gty., 7.034%, 01/15/68 (b)(c) | Baa2/BBB- | 211 | 234,737 | |||||||
IFM US Colonial Pipeline 2 LLC, Sr. Sec. Notes, 6.45%, 05/01/21 144A (b) | NA/BBB- | 175 | 189,316 | |||||||
Kinder Morgan Energy Partners LP, Sr. Unsec. Notes, 9.00%, 02/01/19 | Baa2/BBB | 130 | 161,238 | |||||||
|
| |||||||||
783,841 | ||||||||||
|
| |||||||||
Technology Hardware & Equipment — 0.2% | ||||||||||
NCR Corp., Co. Gty., 5.875%, 12/15/21 (b) | Ba3/BB | 95 | 97,375 | |||||||
|
| |||||||||
Telecommunications — 6.2% | ||||||||||
Bharti Airtel International Netherlands BV., Co. Gty., 5.35%, 05/20/24 144A | Baa3/BBB- | 360 | 386,885 | |||||||
CCOH Safari, LLC, Co. Gty., 5.50%, 12/01/22 (b) | B1/B+ | 300 | 303,000 | |||||||
DISH DBS Corp., Co. Gty., 5.875%, 07/15/22 | Ba3/BB- | 240 | 254,400 | |||||||
Frontier Communications Corp., Sr. Unsec. Notes, 8.50%, 04/15/20 | Ba3/BB- | 325 | 374,563 | |||||||
Qwest Corp., Sr. Unsec. Notes, 7.25%, 10/15/35 (b) | Baa3/BBB- | 195 | 200,628 |
The accompanying notes are an integral part of the financial statements.
6
CUTWATER INVESTMENT GRADE BOND FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Moody’s/ Standard & Poor’s Rating(a) | Principal Amount (000’s) | Value | ||||||||
CORPORATE BONDS AND NOTES — (Continued) | ||||||||||
Telecommunications — (Continued) | ||||||||||
Telecom Italia Capital SA, Co. Gty., 6.00%, 09/30/34 | Ba1/BB+ | $ | 215 | $ | 211,775 | |||||
T-Mobile USA, Inc., Co. Gty., 6.125%, 01/15/22 (b) | Ba3/BB | 15 | 15,544 | |||||||
T-Mobile USA, Inc., Co. Gty., 6.625%, 04/01/23 (b) | Ba3/BB | 227 | 239,485 | |||||||
T-Mobile USA, Inc., Co. Gty., 6.50%, 01/15/24 (b) | Ba3/BB | 15 | 15,713 | |||||||
Verizon Communications, Inc., Sr. Unsec. Notes, 1.984%, 09/14/18 (c) | Baa1/BBB+ | 195 | 204,041 | |||||||
Verizon Communications, Inc., Sr. Unsec. Notes, 6.55%, 09/15/43 | Baa1/BBB+ | 62 | 78,157 | |||||||
Verizon Communications, Inc., Sr. Unsec. Notes, 5.012%, 08/21/54 144A | Baa1/BBB+ | 60 | 61,056 | |||||||
|
| |||||||||
2,345,247 | ||||||||||
|
| |||||||||
Utilities — 3.5% | ||||||||||
Black Hills Corp., Sr. Unsec. Notes, 4.25%, 11/30/23 (b) | Baa1/BBB | 100 | 106,103 | |||||||
Duquesne Light Holdings, Inc., Sr. Unsec. Notes, 6.40%, 09/15/20 144A | Baa3/BBB- | 163 | 191,155 | |||||||
Electricite de France SA, Sub. Notes, 5.25%, 01/29/23 144A(b)(c)(d) | A3/BBB+ | 208 | 215,800 | |||||||
Israel Electric Corp., Ltd., Sr. Sec. Notes, 5.625%, 06/21/18 144A | Baa3/BBB- | 250 | 265,650 | |||||||
Southern Power Co., Sr. Unsec. Notes, 5.25%, 07/15/43 | Baa1/BBB+ | 170 | 190,111 | |||||||
UIL Holdings Corp., Sr. Unsec. Notes, 4.625%, 10/01/20 | Baa2/BBB- | 325 | 349,516 | |||||||
|
| |||||||||
1,318,335 | ||||||||||
|
| |||||||||
TOTAL CORPORATE BONDS AND NOTES (Cost $18,207,986) | 19,059,917 | |||||||||
|
| |||||||||
ASSET BACKED SECURITIES — 9.3% | ||||||||||
AmeriCredit Automobile Receivables Trust, Series 2012-3, Class C, 2.42%, 05/08/18 | Aaa/AA | 202 | 205,474 | |||||||
Carlyle Global Market Strategies CLO 2014-3 Ltd., 3.384%, 07/27/26 144A(c) | A2/NA | 500 | 497,480 | |||||||
Goldentree Loan Opportunities V, Ltd., Series 2007-5A, Class B, 1.331%, 10/18/21 144A(c) | Aaa/AAA | 500 | 492,900 | |||||||
Harley-Davidson Motorcycle Trust 2011-1, Class B, 2.12%, 08/15/17 | Aaa/AA+ | 305 | 308,330 | |||||||
North End CLO, Ltd., Series 2013-1A, Class B, 1.878%, 07/17/25 144A(c) | NR/AA | 1,000 | 972,390 | |||||||
SBI Home Equity Loan Trust, Series 2006-1A, Class 2A, 0.302%, 04/25/35 144A(c) | A2/AA | 152 | 149,108 | |||||||
Sonic Capital, LLC, Series 2011-1A, Class A2, 5.438%, 05/20/41 144A | Baa2/BBB | 109 | 116,300 | |||||||
Spirit Master Funding, LLC, 5.76%, 03/20/42 144A | NA/A+ | 305 | 336,597 | |||||||
TAL Advantage V, LLC, Series 2013-1A, Class A, 2.83%, 02/22/38 144A | NA/A | 352 | 346,409 | |||||||
TAL Advantage V, LLC, Series 2014-2A, Class A1, 1.70%, 05/20/39 144A | NA/A | 89 | 89,214 | |||||||
|
| |||||||||
TOTAL ASSET BACKED SECURITIES (Cost $3,485,245) | 3,514,202 | |||||||||
|
| |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 8.1% | ||||||||||
BLCP Hotel Trust, Series 2014-CLRN, Class B, 1.505%, 08/15/29 144A | NA/AA- | 305 | 305,084 | |||||||
CGBAM Commercial Mortgage Trust, Series 2013-BREH, Class D, 3.004%, 05/15/30 144A(c) | Baa3/NA | 330 | 329,207 | |||||||
Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/30 144A | A3/A- | 227 | 228,529 | |||||||
Irvine Core Office Trust, Series 2013-IRV, Class C, 3.173%, 05/15/48 144A(c) | NA/A | 135 | 131,311 | |||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-3, Class AJ, 5.485%, 07/12/46(c) | Ba2/NA | 423 | 432,466 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSI, Class C, 4.292%, 10/15/30 144A(c) | NA/A | 540 | 511,834 | |||||||
ORES LLC, Series 2014-LV3, Class A, 3.00%, 03/27/24 144A | NA/NA | 160 | 160,078 | |||||||
Resource Capital Corp., Series 2014-CRE2, Class A, 1.207%, 04/15/32 144A(c) | Aaa/NA | 300 | 299,647 |
The accompanying notes are an integral part of the financial statements.
7
CUTWATER INVESTMENT GRADE BOND FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Moody’s/ Standard & Poor’s Rating(a) | Principal Amount (000’s) | Value | ||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — (Continued) | ||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2014-TISH, Class SCH2 3.653%, 01/15/27 144A (c) | NA/BB | $ | 450 | $ | 449,568 | |||||
Wells Fargo Commercial Mortgage Trust, Series 2014-TISH, Class WTS2 3.403%, 02/15/27 144A (c) | NA/BB | 225 | 224,769 | |||||||
|
| |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $3,054,033) | 3,072,493 | |||||||||
|
| |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 13.4% | ||||||||||
FHLMC Gold Pool # G03508, 6.00%, 07/01/37 | Aaa/AA+ | 84 | 95,187 | |||||||
FNMA Pool #AD7136, 5.00%, 07/01/40 | Aaa/AA+ | 300 | 332,665 | |||||||
FNMA Pool #AL0515, 6.00%, 07/01/40 | Aaa/AA+ | 148 | 170,620 | |||||||
FNMA Pool #AL5562, 4.50%, 04/01/44 | Aaa/AA+ | 847 | 919,398 | |||||||
FNMA Pool #AP6607, 3.00%, 09/01/27 | Aaa/AA+ | 192 | 199,727 | |||||||
FNMA Pool #AP7453, 4.00%, 10/01/42 | Aaa/AA+ | 378 | 402,120 | |||||||
FNMA Pool #AS2957, 4.00%, 07/01/44 | Aaa/AA+ | 215 | 228,834 | |||||||
FNMA Pool #AT2762, 2.50%, 05/01/28 | Aaa/AA+ | 209 | 213,142 | |||||||
FNMA Pool #AU1264, 3.00%, 07/01/43 | Aaa/AA+ | 640 | 641,424 | |||||||
FNMA Pool #AU3763, 3.50%, 08/01/43 | Aaa/AA+ | 640 | 662,656 | |||||||
FNMA Pool #MA1932, 3.00%, 06/01/29 | Aaa/AA+ | 168 | 174,661 | |||||||
GNMA Pool #4679, 5.00%, 04/20/40 | Aaa/AA+ | 316 | 351,961 | |||||||
GNMA Pool #694462, 6.00%, 10/15/38 | Aaa/AA+ | 91 | 102,344 | |||||||
GNMA Pool #729349, 4.00%, 07/15/41 | Aaa/AA+ | 188 | 201,363 | |||||||
GNMA Pool #AD6019, 3.50%, 04/20/43 | Aaa/AA+ | 27 | 28,451 | |||||||
GNMA Pool #MA0391, 3.00%, 09/20/42 | Aaa/AA+ | 89 | 90,736 | |||||||
GNMA Pool #MA0534, 3.50%, 11/20/42 | Aaa/AA+ | 282 | 295,180 | |||||||
|
| |||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $5,019,308) | 5,110,469 | |||||||||
|
| |||||||||
MUNICIPAL BONDS — 1.1% | ||||||||||
American Municipal Power-Ohio, Inc., Build America Bonds, RB, 6.053%, 02/15/43 | A1/A | 225 | 280,602 | |||||||
State of Illinois, Build America Bonds, GO, 7.35%, 07/01/35 | A3/A- | 130 | 151,195 | |||||||
|
| |||||||||
TOTAL MUNICIPAL BONDS (Cost $330,727) | 431,797 | |||||||||
|
| |||||||||
U.S. TREASURY OBLIGATIONS — 16.1% | ||||||||||
United States Treasury Note, 0.875%, 01/31/18 | Aaa/AA+ | 169 | 167,851 | |||||||
United States Treasury Note, 0.875%, 07/31/19 | Aaa/AA+ | 1,004 | 971,448 | |||||||
United States Treasury Note, 1.25%, 10/31/18 | Aaa/AA+ | 365 | 363,318 | |||||||
United States Treasury Note, 1.25%, 10/31/19 | Aaa/AA+ | 745 | 731,497 | |||||||
United States Treasury Note, 1.375%, 01/31/20 | Aaa/AA+ | 163 | 160,300 | |||||||
United States Treasury Note, 1.625%, 06/30/19 | Aaa/AA+ | 520 | 521,666 | |||||||
United States Treasury Note, 1.625%, 08/15/22 | Aaa/AA+ | 390 | 375,832 | |||||||
United States Treasury Note, 2.375%, 08/15/24 | Aaa/AA+ | 532 | 534,078 | |||||||
United States Treasury Note, 2.50%, 08/15/23 | Aaa/AA+ | 425 | 433,732 | |||||||
United States Treasury Note, 2.75%, 11/15/23 | Aaa/AA+ | 90 | 93,593 | |||||||
United States Treasury Bond, 2.75%, 11/15/42 | Aaa/AA+ | 935 | 878,973 | |||||||
United States Treasury Bond, 5.375%, 02/15/31 | Aaa/AA+ | 655 | 884,659 | |||||||
|
| |||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $6,050,151) | 6,116,947 | |||||||||
|
|
The accompanying notes are an integral part of the financial statements.
8
CUTWATER INVESTMENT GRADE BOND FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Moody’s/ Standard & Poor’s Rating(a) | Number of Shares | Value | ||||||||
PREFERRED STOCK — 1.4% | ||||||||||
Diversified Financial Services — 1.4% | ||||||||||
CoBank ACB 144A | NA/BBB+ | $ | 5,200 | $ | 540,963 | |||||
|
| |||||||||
TOTAL PREFERRED STOCK (Cost $542,100) | 540,963 | |||||||||
|
| |||||||||
REGISTERED INVESTMENT COMPANY — 2.0% | ||||||||||
BlackRock Liquidity Funds TempCash Portfolio, Institutional Shares | NR/NR | 754,651 | 754,651 | |||||||
|
| |||||||||
TOTAL REGISTERED INVESTMENT COMPANY (Cost $754,651) | 754,651 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS - 101.5% | ||||||||||
(Cost $37,444,201) | 38,601,439 | |||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.5)% | (577,910 | ) | ||||||||
|
| |||||||||
NET ASSETS - 100.0% | $ | 38,023,529 | ||||||||
|
|
(a) | Ratings for debt securities are unaudited. All ratings are as of October 31, 2014 and may have changed subsequently. |
(b) | This security is callable. |
(c) | Floating or variable rate security. Rate disclosed is as of October 31, 2014. |
(d) | Security is perpetual. Date shown is next call date. |
144A Securities were 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 October 31, 2014, these securities amounted to $11,640,635 or 30.6% of net assets. These securities have been determined by the Adviser to be liquid securities.
Legend | ||
CLO | Collateralized Loan Obligations | |
Co. Gty. | Company Guaranty | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
GO | General Obligations | |
Jr. | Junior | |
LLC | Limited Liability Company | |
LP | Limited Partnership | |
Ltd. | Limited |
NA | Not Available | |||
NR | Not Rated | |||
PLC | Public Limited Company | |||
RB | Revenue Bond | |||
REIT | Real Estate Investment Trust | |||
Sec. | Secured | |||
Sr. | Senior | |||
Sub. | Subordinated | |||
Unsec. | Unsecured | |||
WR | Withdrawn Rating |
The accompanying notes are an integral part of the financial statements.
9
CUTWATER INVESTMENT GRADE BOND FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | |||||
Investments, at value (Cost $37,444,201) | $ | 38,601,439 | |||
Cash | 4,812 | ||||
Receivable for investments sold | 781,946 | ||||
Dividends and interest receivable | 310,382 | ||||
Prepaid expenses and other assets | 1,399 | ||||
|
| ||||
Total assets | 39,699,978 | ||||
|
| ||||
Liabilities | |||||
Payable for investments purchased | 1,555,812 | ||||
Payable for administration and accounting fees | 23,894 | ||||
Payable for transfer agent fees | 17,911 | ||||
Payable for custodian fees | 9,506 | ||||
Payable to Investment Adviser | 711 | ||||
Accrued expenses | 68,615 | ||||
|
| ||||
Total liabilities | 1,676,449 | ||||
|
| ||||
Net Assets | $ | 38,023,529 | |||
|
| ||||
Net Assets Consisted of: | |||||
Capital stock, $0.01 par value | $ | 37,466 | |||
Paid-in capital | 37,155,491 | ||||
Accumulated net investment loss | (8,458 | ) | |||
Accumulated net realized loss from investments and foreign currency transactions | (318,208 | ) | |||
Net unrealized appreciation on investments | 1,157,238 | ||||
|
| ||||
Net Assets | $ | 38,023,529 | |||
|
| ||||
Institutional Class: |
Net asset value, offering and redemption price per share ($38,023,529 / 3,746,577 shares) | $10.15 | ||||
|
|
The accompanying notes are an integral part of the financial statements.
10
CUTWATER INVESTMENT GRADE BOND FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Interest | $ | 742,898 | ||
Dividends | 16,489 | |||
|
| |||
Total investment income | 759,387 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 94,758 | |||
Administration and accounting fees (Note 2) | 44,592 | |||
Legal fees | 33,974 | |||
Transfer agent fees (Note 2) | 26,641 | |||
Audit fees | 12,302 | |||
Custodian fees (Note 2) | 10,934 | |||
Trustees’ and officers’ fees (Note 2) | 7,798 | |||
Printing and shareholder reporting fees | 6,428 | |||
Registration and filing fees | 1,169 | |||
Other expenses | 3,535 | |||
|
| |||
Total expenses before waivers and reimbursements | 242,131 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (81,041 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 161,090 | |||
|
| |||
Net investment income | 598,297 | |||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized gain from investments | 203,021 | |||
Net change in unrealized appreciation on investments | 252,988 | |||
|
| |||
Net realized and unrealized gain on investments | 456,009 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 1,054,306 | ||
|
|
The accompanying notes are an integral part of the financial statements.
11
CUTWATER INVESTMENT GRADE BOND FUND
Statements of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||
Increase in net assets from operations: | ||||||||||
Net investment income | $ | 598,297 | $ | 1,243,280 | ||||||
Net realized gain/(loss) from investments | 203,021 | (482,663 | ) | |||||||
Net change in unrealized appreciation/(depreciation) on investments | 252,988 | (868,445 | ) | |||||||
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | 1,054,306 | (107,828 | ) | |||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders: | ||||||||||
Net investment income: | ||||||||||
Institutional Class | (610,355 | ) | (1,275,618 | ) | ||||||
Net realized capital gains: | ||||||||||
Institutional Class | — | (461,032 | ) | |||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (610,355 | ) | (1,736,650 | ) | ||||||
|
|
|
| |||||||
Increase/(Decrease) in Net Assets Derived from Capital Share Transactions (Note 4) | 598,311 | (8,513,351 | ) | |||||||
|
|
|
| |||||||
Total increase/(decrease) in net assets | 1,042,262 | (10,357,829 | ) | |||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 36,981,267 | 47,339,096 | ||||||||
|
|
|
| |||||||
End of period | $ | 38,023,529 | $ | 36,981,267 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss), end of period | $ | (8,458 | ) | $ | 3,600 | |||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
12
CUTWATER INVESTMENT GRADE BOND FUND
Financial Highlights
Contained below is per share operating performance data for each Institutional Class share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class | |||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Period December 2, 2010* to April 30, 2011 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.03 | $ | 10.47 | $ | 10.31 | $ | 10.01 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(1) | 0.16 | 0.33 | 0.29 | 0.32 | 0.11 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.12 | (0.30 | ) | 0.43 | 0.33 | 0.01 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net increase in net assets resulting from operations | 0.28 | 0.03 | 0.72 | 0.65 | 0.12 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.16 | ) | (0.34 | ) | (0.32 | ) | (0.35 | ) | (0.11 | ) | |||||||||||||||
Net realized gains | — | (0.13 | ) | (0.24 | ) | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.16 | ) | (0.47 | ) | (0.56 | ) | (0.35 | ) | (0.11 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 10.15 | $ | 10.03 | $ | 10.47 | $ | 10.31 | $ | 10.01 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(2) | 2.81 | % | 0.37 | % | 7.17 | % | 6.59 | % | 1.22 | % | |||||||||||||||
Ratio/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 38,024 | $ | 36,981 | $ | 47,339 | $ | 72,511 | $ | 67,962 | |||||||||||||||
Ratio of expenses to average net assets | 0.85 | %(3) | 0.85 | % | 0.85 | % | 0.85 | % | 0.83 | %(3) | |||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 1.28 | %(3) | 1.24 | % | 0.93 | % | 1.05 | % | 0.90 | %(3) | |||||||||||||||
Ratio of net investment income to average net assets | 3.16 | %(3) | 3.26 | % | 2.83 | % | 3.19 | % | 2.61 | %(3) | |||||||||||||||
Portfolio turnover rate | 22.63 | %(5) | 76.18 | % | 154.23 | %(6) | 95.43 | % | 106.84 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
(6) | Portfolio turnover rate excludes securities delivered from processing a redemption-in-kind. |
The accompanying notes are an integral part of the financial statements.
13
CUTWATER INVESTMENT GRADE BOND FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Cutwater Investment Grade Bond Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), which commenced investment operations on December 2, 2010. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares, Class A, Class C and Institutional Class. As of October 31, 2014, Class A and Class C Shares had not been issued.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each business day the NYSE is open. Securities held by the Fund are valued at their last sale price on the NYSE on the day the security is valued. Lacking any sales on such day, the security will be valued at the mean between the last asked price and the last bid price prior to the market close. Securities listed on other exchanges (and not subject to restriction against sale by the Fund on such exchanges) will be similarly valued, using quotations on the exchange on which the security is traded most extensively. Unlisted securities that are quoted on the National Association of Securities Dealers Market System, for which there have been sales of such securities on such day, shall be valued at the official closing price on such system on the day the security is valued. If there are no such sales on such day, the value shall be the mean between the last asked price and the last bid price prior to market close. The value of such securities quoted on the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) markets system, but not listed on the National Market System, shall be valued at the mean between closing asked price and the closing bid price. Unlisted securities that are not quoted on the NASDAQ and for which over-the-counter market quotations are readily available will be valued at the mean between the current bid and the asked prices for such security in the over-the-counter market. Fixed income securities are valued based on the market quotations, which are furnished by an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost, which approximates market value. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service, which utilizes information with respect to recent sales, market transactions in comparable securities, quotations from dealers, and various relationships between securities in determining value. Valuations developed through pricing techniques may materially vary from the actual amounts realized upon sale of the securities. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
14
CUTWATER INVESTMENT GRADE BOND FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
The fair value of the Fund’s bonds are generally based on the quotes received from brokers or independent pricing services. Bonds with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Value at 10/31/14 | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Corporate Bonds and Notes | $ | 19,059,917 | $ | — | $ | 19,059,917 | $ | — | ||||||||
Asset Backed Securities | 3,514,202 | — | 3,514,202 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 3,072,493 | — | 3,072,493 | — | ||||||||||||
Residential Mortgage-Backed Securities | 5,110,469 | — | 5,110,469 | — | ||||||||||||
Municipal Bonds | 431,797 | — | 431,797 | — | ||||||||||||
U.S. Treasury Obligations | 6,116,947 | — | 6,116,947 | — | ||||||||||||
Preferred Stock | 540,963 | 540,963 | — | — | ||||||||||||
Registered Investment Company | 754,651 | 754,651 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 38,601,439 | $ | 1,295,614 | $ | 37,305,825 | $ | — | ||||||||
|
|
|
|
|
|
|
|
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or are otherwise may be less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
15
CUTWATER INVESTMENT GRADE BOND FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Securities Traded on a To-Be-Announced Basis — The Fund may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, the Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information, such as the face amount, maturity date and underlying pool of investments in U.S. government agency mortgage pass-through securities, is not announced. Securities purchased on a TBA basis are not settled until they are delivered to the Fund. Beginning on the date the Fund enters into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These securities are subject to market fluctuations and their current value is determined in the same manner as for other securities.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investment securities in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.
Dividends and Distributions to Shareholders — Dividends from net investment income are declared daily and paid monthly to shareholders. Distributions from net realized capital gains, if any, are declared and paid annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund
16
CUTWATER INVESTMENT GRADE BOND FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
Cutwater Investor Services Corp. d/b/a Cutwater Asset Management (“Cutwater” or the “Adviser”) serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 0.50% of the Fund’s average daily net assets. The Adviser has voluntarily agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items and brokerage commissions) do not exceed 0.85% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). Such Expense Limitation will continue until Cutwater notifies the Fund of a change in its voluntary Expense Limitation or its discontinuation. This Expense Limitation may be discontinued at any time at the discretion of Cutwater.
As of October 31, 2014, investment advisory fees payable to the Adviser were $711. For the six months ended October 31, 2014, the Adviser waived fees of $81,041.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets and is subject to certain minimum monthly fees.
For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six months ended October 31, 2014 was $2,429. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 3,333,729 | $ | 6,794,935 | ||||
U.S. Government Securities | 6,237,772 | 1,558,711 |
17
CUTWATER INVESTMENT GRADE BOND FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
4. Capital Share Transactions
For the six months ended October 31, 2014 and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Institutional Class: | ||||||||||||||||||||
Reinvestments | 59,026 | $ | 598,311 | 175,080 | $ | 1,736,649 | ||||||||||||||
Redemptions | — | — | (1,008,518 | ) | (10,250,000 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) | 59,026 | $ | 598,311 | (833,438 | ) | $ | (8,513,351 | ) | ||||||||||||
|
|
|
|
|
|
|
|
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year ended April 30, 2014, the tax character of distributions paid by the Fund was $1,376,452 of ordinary income dividends and $360,198 of long-term capital gains dividends. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | Qualified Late-Year Losses | ||||
$(320,853) | $3,600 | $— | $903,712 | $(199,838) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation/(depreciation) of securities held by the Fund were as follows:
Federal tax cost | $ | 37,444,201 | ||||
|
| |||||
Gross unrealized appreciation | 1,355,542 | |||||
Gross unrealized depreciation | (198,304 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 1,157,238 | ||||
|
|
Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally,
18
CUTWATER INVESTMENT GRADE BOND FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Fund had post-enactment capital loss carryforwards of $320,853, all of which are short-term losses and have an unlimited period of capital loss carryforward.
6. Significant Risks
MORTGAGE-RELATED AND OTHER ASSET-BACKED SECURITIES RISK — Mortgage-related and asset-backed securities are subject to certain other risks. The value of these securities will be influenced by the factors affecting the housing market and the assets underlying such securities. As a result, during periods of declining asset value, difficult or frozen credit markets, swings in interest rates, or deteriorating economic conditions, mortgage-related and asset-backed securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid.
7. Subsequent Event
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there was the following subsequent event.
On October 6, 2014, MBIA Inc. (“MBIA”) and The Bank of New York Mellon (“BNY Mellon”) announced an agreement pursuant to which BNY Mellon will acquire MBIA’s asset management business through the purchase of Cutwater Holdings, LLC (“CHL”) (d/b/a Cutwater Asset Management) (the “Transaction”). MBIA is primarily a monoline insurance company that is refocusing on its core municipal bond insurance business and is choosing to exit the asset management industry. Cutwater Investor Services Corp. (the “Adviser”), the Fund’s investment adviser, is a wholly-owned subsidiary of CHL, which is currently a wholly-owned subsidiary of MBIA. As a result of the Transaction, the Adviser would become an indirect wholly owned subsidiary of BNY Mellon. Cutwater will operate as part of BNY Mellon Investment Management, which encompasses BNY Mellon’s affiliated investment management firms, wealth management services and global distribution companies. After completion of the Transaction, Cutwater will work closely with Insight Investment, one of BNY Mellon’s leading investment management boutiques.
The Transaction is expected to close in the beginning of the first quarter of 2015. Because consummation of the Transaction will constitute a change in control of the Adviser, under the Investment Company Act of 1940, as amended (the “1940 Act”), the Transaction will result in the assignment and automatic termination of the Fund’s current investment advisory agreement with the Adviser dated November 23, 2010 (the “Current Agreement”).
Accordingly, at an in-person meeting held on November 21, 2014, the Board of Trustees of the Trust approved a new investment advisory agreement between the Fund and the Adviser (the “New Agreement”), and the sole shareholder of the Fund approve the New Agreement via unanimous written consent on December 11, 2014.
The Adviser will continue to provide services to the Fund pursuant to the Current Agreement until the change of control is effected and the New Agreement is executed. In order for Cutwater to provide uninterrupted services to the Fund, the Board of Trustees of the Trust also approved an interim agreement between the Fund and the Adviser at its in-person meeting which was held on November 21, 2014. Because the sole shareholder approved the New Agreement prior to the change of control, such interim agreement was not necessary.
The New Agreement is substantially identical to the Current Agreement (with the exception of different effective dates and termination dates). The New Agreement will not result in changes in the day-to-day management of the Fund by the Adviser, its investment objective, fees or services provided.
19
CUTWATER INVESTMENT GRADE BOND FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
A discussion regarding the basis for the Board’s approval of the New Agreement and the interim agreement will be available in the Fund’s annual report to shareholders for the next annual or semiannual reporting period ending after the dates of such approval.
20
CUTWATER INVESTMENT GRADE BOND FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 678-6242 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Approval of Advisory Agreement
At an in-person meeting held on September 22-23, 2014 (the “Meeting”), the Board of Trustees (the “Board” or “Trustees”) of FundVantage Trust (“Trust”), including a majority of the Trustees who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (“1940 Act”) (the “Independent Trustees”), unanimously approved the continuation of the advisory agreement between Cutwater Investor Services Corp. (the “Adviser” or “Cutwater”) and the Trust on behalf of the Cutwater Investment Grade Bond Fund (the “Fund”) (“Agreement”). In determining whether to continue the Agreement, the Trustees considered information provided by the Adviser in accordance with Section 15(c) of the 1940 Act. The Trustees considered information that the Adviser provided regarding (i) services performed for the Fund, (ii) the size and qualifications of the Adviser’s portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with a portfolio manager’s management of the Fund, (iv) investment performance, (v) the capitalization and financial condition of the Adviser, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Fund and other clients, (viii) results of any regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on the Adviser’s ability to service the Fund, and (x) compliance with the Fund’s investment objective, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements. The Adviser also provided its code of ethics, most recent Form ADV and compliance policies and procedures, including its proxy voting policies and procedures, for the Trustees’ review and consideration. The Trustees noted the reports provided at Board meetings throughout the year covering matters such as the relative performance of the Fund; compliance with the investment objectives, policies, strategies and limitations for the Fund; the compliance of management personnel with the applicable code of ethics; and the adherence to fair value pricing procedures as established by the Board. The Trustees also received and reviewed a memorandum from legal counsel regarding the legal standards applicable to their review of the Agreement.
Representatives from Cutwater attended the meeting both in person and telephonically and discussed Cutwater’s history, performance and investment strategy in connection with the proposed continuation of the Agreement and answered questions from the Board.
The Trustees considered the investment performance of the Fund and the Adviser. The Trustees reviewed the historical performance charts for the Fund, as compared to the Fund’s benchmark, the Barclays U.S. Aggregate Bond Index and the Lipper Core Bond Funds category, the Fund’s applicable Lipper peer group, for the year to date, one year, two year, three year and since inception periods ended June 30, 2014. The Trustees noted that the Fund’s Institutional Class shares, currently the Fund’s only operational share class, had outperformed the Barclays U.S. Aggregate Bond Index and the median of the Lipper Core Bond Funds category for the year to date, one year, two year, three year and since
21
CUTWATER INVESTMENT GRADE BOND FUND
Other Information
(Unaudited)
inception periods ended June 30, 2014. The Trustees also received performance information for the Fund, the Fund’s comparable separately managed account composite, and the Barclays U.S. Aggregate Index, for the one year, three year and since inception periods ended June 30, 2014. The Trustees concluded that the performance of the Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
The Adviser provided information regarding its advisory fees and an analysis of these fees in relation to the delivery of services to the Fund and any other ancillary benefit resulting from the Adviser’s relationship with the Fund. The Trustees considered the fees that the Adviser charges to each comparable account and/or investment company managed by the Adviser, and evaluated the explanations provided by the Adviser as to differences in fees charged to the Fund and such accounts. The Trustees also reviewed a peer comparison of advisory fees and total expenses for the Fund versus other similarly managed funds. The Trustees noted that the net expense ratio and gross advisory fee of the Fund’s Institutional Class shares were slightly higher than the median of the net expenses and gross advisory fee of the universe of funds with a similar share class in the Lipper Core Bond Funds category with $250 million or less in assets. The Trustees concluded that the advisory fee and services provided by the Adviser are sufficiently consistent with those of other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the Fund based on the information provided at the Meeting.
The Board considered the level and depth of knowledge of the Adviser, including the professional experience and qualifications of senior personnel. In evaluating the quality of services provided by the Adviser, the Board took into account its familiarity with the Adviser’s senior management through Board meetings, discussions and reports during the preceding year. The Board also took into account the Adviser’s compliance policies and procedures and reports regarding the Adviser’s compliance operations from the Trust’s Chief Compliance Officer. The Board also considered any potential conflicts of interest that may arise in a portfolio manager’s management of the Fund’s investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services provided to the Fund by the Adviser and concluded that the nature, extent and quality of the services provided were appropriate and consistent with the terms of the Agreement, that the quality of the services appeared to be consistent with industry norms and that the Fund is likely to benefit from the continued receipt of those services. They also concluded that the Adviser has sufficient personnel, with the appropriate education and experience, to serve the Fund effectively and had demonstrated their ability to attract and retain qualified personnel.
The Trustees considered the costs of the services provided by the Adviser, the compensation and benefits received by the Adviser in providing services to the Fund, as well as its profitability. The Trustees were provided with the audited financial statements of Cutwater’s parent company, MBIA, Inc., as of December 31, 2013. The Trustees noted that the Adviser’s level of profitability is an appropriate factor to consider, and the Trustees should be satisfied that the Adviser’s profits are sufficient to continue as a healthy concern generally and as investment adviser of the Fund specifically. The Trustees noted that the Fund has a relatively small amount of assets, that the Adviser was not currently making any profit on the Fund and that the Adviser was voluntarily waiving its fee and reimbursing expenses. The Trustees noted that the Adviser’s contractual advisory fee level was reasonable in relation to the nature and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies. The Trustees also concluded that the overall expense ratio of the Fund was reasonable, taking into account the quality of services provided by the Adviser and the current size and projected growth of the Fund during the renewal term.
The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the Fund grows, and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Trustees noted that economies of scale may be achieved at higher asset levels for the Fund for the benefit of fund shareholders but that because such economies of scale did not yet exist and were not likely to exist in the near term, it was not appropriate to incorporate a mechanism for sharing the benefit of such economies with Fund shareholders in the advisory fee structure at this time.
22
CUTWATER INVESTMENT GRADE BOND FUND
Other Information
(Unaudited)
In voting to approve the continuation of the Agreement, the Board considered all factors it deemed relevant and the information presented to the Board by the Adviser. In arriving at its decision, the Board did not identify any single factor as being of paramount importance and each member of the Board gave varying weights to each factor according to his or her own judgment. The Board determined that the continuation of the Agreement would be in the best interests of the Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, unanimously approved the continuation of the Agreement for an additional one year period.
23
Investment Adviser
Cutwater Asset Management
113 King Street
Armonk, NY 10504
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
DUPONT CAPITAL EMERGING MARKETS FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Dear Fund Shareholder,
The DuPont Capital Emerging Market Fund declined -4.78% for the six month period ended October 31, 2014, while overall emerging market equities were up +3.74%.
Emerging market equities increased at a healthy rate during the period, driven by stocks seen as offering high earnings growth and/or stability. Sectors such as health care, technology and telecommunications typically offer these characteristics and rose during the period. Conversely, stocks in sectors viewed as being tied to economic growth, such as energy and materials, fell. This same dynamic was also evident in country returns during the period. Countries seen as being tied to global economic growth and exports, such as Korea either fell or rose less than the overall market.
This divergence within emerging market equities is being driven by slower than expected economic growth in China and Europe. These economic growth concerns have caused investors to move away from companies and sectors that are the most exposed to changes in global growth and trade. Stocks seen as offering growth not tied to global economic conditions, such as those in the health care sector, have been favored by investors and tended to perform better.
Increased global growth concerns have negatively impacted the Fund’s over allocation to stocks within sectors such as consumer discretionary, industrials and materials that are the most impacted by this sluggish economic environment. Korean stocks within these sectors have been particularly impacted due to their close trading relationship with China and concerns regarding the value of the Japanese Yen relative to the Korean Won. Additionally, there have been a number of unfavorable stock specific events within these sectors that have negatively impacted Fund performance.
From a country perspective, the Fund’s performance relative to the benchmark has been negatively impacted by the under allocation to India, which has outperformed on hopes that the new government will implement favorable economic reforms. Additionally, the current low interest rate environment has reduced the perceived U.S. Dollar funding risk in emerging markets, helping countries such as India, Indonesia, South Africa and Turkey outperform. The Fund has been under allocated to these countries because their growth is reliant upon a continuation of easy access to external U.S. Dollar borrowing, which may not be as plentiful if interest rate volatility increases.
Investment Environment and Outlook
We believe emerging market equities remain attractively valued at approximately 10x forward earnings and 1.5x book value, with similar profitability levels as developed markets and good long term growth prospects. Within sectors, valuations in economically sensitive areas such as auto manufacturing, industrials and materials are particularly attractive, especially when compared to sectors such as health care and
1
DUPONT CAPITAL EMERGING MARKETS FUND
Semi-Annual Investment Adviser’s Report (Continued)
October 31, 2014
(Unaudited)
consumer staples. The Fund has an over allocation to the more economically sensitive sectors of the market with under allocations to healthcare and consumer staples due to this valuation differential.
Within countries, multinational companies in Korea appear very attractively valued. Korean shares have been negatively impacted by a strengthening Korean Won relative to the Japanese Yen, slowing growth in China and company specific issues. We believe these are short-term obstacles and investors are over-emphasizing the long-term impact on these companies. The portfolio has an under allocation to India, Turkey, Brazil and South Africa, due to the risk associated with their reliance on external U.S. Dollar financing. From a country perspective, we believe the portfolio is over allocated to countries with lower country/currency risk and under allocated to countries that are sensitive to an increase in interest rate volatility.
Consumer staples and technology sectors remain the largest sector under allocations. The consumer staples sector is currently valued very highly, despite earnings growth concerns in many categories. Within technology, internet and IT service companies’ trade at very high valuations and face increasing competition. The Fund’s largest over allocations remain in the economically sensitive sectors of consumer discretionary, industrials, and materials. We believe investors are being too pessimistic regarding the long-term business outlook of these companies, as a result, causing them to be valued at very attractive levels. We believe as emerging economies continue to growth these valuation differentials in the market will narrow and benefit the Fund’s performance.
We appreciate your investment in the Fund and look forward to communicating with you in the future.
DuPont Capital Management Corporation
This letter is intended to assist shareholders in understanding how the Fund performed during the six month period ended October 31, 2014 and reflects the views of the investment adviser at the time of this writing. These views may change and do not guarantee future performance of the Fund or the markets.
Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risks.
Mutual fund investing involves risks, including possible loss of principal. The Fund invests primarily in markets of emerging countries which are riskier than more developed markets and may be considered speculative. Emerging markets are riskier than more developed markets because they tend to develop
2
DUPONT CAPITAL EMERGING MARKETS FUND
Semi-Annual Investment Adviser’s Report (Concluded)
October 31, 2014
(Unaudited)
unevenly or may never fully develop. Emerging markets are more likely to experience hyperinflation and currency valuations, which adversely affect returns to U.S. investors. In addition, many emerging markets have far lower trading volumes and less liquidity than developed markets.
Foreign securities are subject to political, social, and economic risks including instability in the country of the issuer of a security, variation in international trade patterns, the possibility of the imposition of exchange controls, expropriation, confiscatory taxation, limits on movement to currency or other assets and nationalization of assets. The value of debt securities generally falls when interest rates rise. The Fund may invest without limit in below-investment grade debt securities commonly called “high yield” securities or “junk bonds.” Such securities may have greater default risk, less liquidity, and greater price volatility than investment-grade bonds.
3
DUPONT CAPITAL EMERGING MARKETS FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||||||
Six Months† | 1 Year | 3 Year | Since Inception* | |||||||||
Class I Shares | -4.78% | -9.69% | -0.56% | -3.75% | ||||||||
MSCI Emerging Markets Net Dividend Index | 3.74% | 0.64% | 3.24% | -0.10%** |
† | Not Annualized. |
* | The DuPont Capital Emerging Markets Fund (the “Fund”) commenced operations on December 6, 2010. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 447-0014.
The Fund’s total operating expense ratio, as stated in the current prospectus dated September 1, 2014, is 1.33% of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. DuPont Capital Management Corporation (the “Adviser”) has contractually agreed to reduce its fees or reimburse the Fund’s operating expenses in order to limit the total annual operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) for Class I Shares to 1.60%. This agreement will terminate on August 31, 2015, unless the Board of Trustees of FundVantage Trust approves an earlier termination. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
A 2.00% redemption fee applies to shares redeemed within 60 days of purchase. The redemption fee is not reflected in the returns shown above.
The Fund intends to evaluate performance as compared to that of the MSCI Emerging Markets Net Dividend Index. The MSCI Emerging Markets Net Dividend Index is a float-adjusted market capitalization index consisting of 21 emerging economies. It is impossible to invest directly in an index.
4
DUPONT CAPITAL EMERGING MARKETS DEBT FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Dear Fund Shareholder,
The DuPont Capital Emerging Market Debt Fund (the “Fund”) returned +2.98% for the six month period ended October 31, 2014, underperforming the index by -1.64% (net of fees).
Emerging markets debt (EMD) rose by 4.62% over the six-month period, as U.S. treasury yields declined due to weaker economic growth, low inflation and excess global liquidity. This was a reversal of last year when rising interest rates led EMD to post losses during most of 2013. Spreads did not change much during the period, widening by only 2 basis points to 296 over Treasuries while yields declined by 24 basis points to 5.22%. Most countries posted positive returns, but the laggards included Venezuela and Russia. The significant decline in oil prices have weighed heavily on both countries while Russia has also seen capital outflows, lower economic growth and an extremely weak currency due to their conflict with Ukraine. Local currency returns were weak for the majority of EMD countries due to the strength of the U.S dollar. This was mostly due to stronger growth in the U.S. as compared to many other countries along with the belief that the Federal Reserve will move the rates higher sometime on 2015.
The Fund’s performance was behind the JP Morgan EMBI Global Diversified Index over the past six months ended October 31, 2014. The Fund’s overweight to Venezuela was the main position that detracted from returns. In addition, the strength of the U.S dollar has led most EMD local currency bonds to underperform and the Fund held less than 8% in local currency securities. The higher cash level in the Fund also detracted from returns for the period.
The main overweight allocations include Venezuela, Mexico, China, and Ukraine. In local currency bonds, the main positions are in Mexico and Brazil. The Fund holds more cash than would be typical and will be invested when stronger opportunities are identified. Despite the higher cash, the Fund has a yield advantage when compared to the benchmark.
Investment Environment and Outlook
Our long-term outlook for Emerging Markets Debt remains positive. EMD offers higher yields as compared to most other fixed income asset classes and should provide attractive returns over the next several years. In addition, yields in most developed countries are much lower with many carrying yields of below 2.5% as compared to over 5% for the EMD U.S. dollar index. This should continue to attract capital into EMD. However, valuations for high-grade EM bonds are less attractive now compared to the beginning of year, and because of this, we have reduced some of the Fund’s positions in these countries. In U.S. Dollar denominated bonds, we favor Venezuela, China, Indonesia, Mexico and Ukraine. We are more cautious on local currency bonds as the dollar could continue to move higher over the next several months and possibly longer. The majority of EM local currencies remain “Fair” in our currency model and we continue to like the intermediate sector of Brazil local currency bonds and the long-end of Mexico MBonos.
5
DUPONT CAPITAL EMERGING MARKETS DEBT FUND
Semi-Annual Investment Adviser’s Report (Concluded)
October 31, 2014
(Unaudited)
DuPont Capital Management’s focus remains on valuing emerging market countries based on their long-term credit fundamentals. This approach is overlaid with a risk assessment both at the country and currency level. Each investment is judged based on this risk-return tradeoff.
We appreciate your investment in the Fund and look forward to communicating with you in the future.
DuPont Capital Management Corporation
This letter is intended to assist shareholders in understanding how the Fund performed during the six month period ended October 31, 2014 and reflects the views of the investment adviser at the time of this writing. These views may change and do not guarantee the future performance of the Fund or the markets.
Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risks.
Mutual fund investing involves risks, including possible loss of principal. The Fund invests primarily in markets of emerging countries which are riskier than more developed markets and may be considered speculative. Emerging markets are riskier than more developed markets because they tend to develop unevenly or may never fully develop. Emerging markets are more likely to experience hyperinflation and currency valuations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.
Foreign securities are subject to political, social, and economic risks including instability in the country of the issuer of a security, variation in international trade patterns, the possibility of the imposition of exchange controls, expropriation, confiscatory taxation, limits on movement to currency or other assets and nationalization of assets. The value of debt securities generally falls when interest rates rise. The Fund may invest without limit in below-investment grade debt securities commonly called “high yield” securities or “junk bonds.” Such securities may have greater default risk, less liquidity, and greater price volatility than investment-grade bonds.
6
DUPONT CAPITAL EMERGING MARKETS DEBT FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Total Returns for the Periods Ended October 31, 2014 | ||||||||||
Six Months† | 1 Year | Since Inception* | ||||||||
Class I Shares | 2.98% | 7.47% | 9.02% | |||||||
J.P. Morgan EMBI Global Diversified Index | 4.62% | 8.55% | 10.22%** |
† | Not Annualized. |
* | The DuPont Capital Emerging Markets Debt Fund (the “Fund”) commenced operations on September 27, 2013. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 447-0014.
The Fund’s total gross and net operating expense ratio, as stated in the current prospectus dated September 1, 2014, is 4.42% and 0.89% respectively of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. DuPont Capital Management Corporation (the “Adviser”) has contractually agreed to reduce its fees or reimburse the Fund’s operating expenses in order to limit the total annual operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) for Class I Shares to 0.89%. This agreement will terminate on August 31, 2015, unless the Board of Trustees of FundVantage Trust approves an earlier termination. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
A 2.00% redemption fee applies to shares redeemed within 60 days of purchase. The redemption fee is not reflected in the returns shown above.
The Fund intends to evaluate performance as compared that of the J.P. Morgan Emerging Markets Bond Index Global Diversified Index (EMBI Global), currently covers 27 emerging market countries. Included in the EMBI Global are U.S.-dollar-denominated Brady bonds, Eurobonds, traded loans, and local market debt instruments issued by sovereign and quasi-sovereign entities. It is impossible to invest directly in an index.
7
DUPONT CAPITAL FUNDS
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees and other Fund expenses. These examples is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period from May 1, 2014 through October 31, 2014 and held for the entire period.
Actual Expenses
The first line for each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line 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 second line for each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, 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 accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying 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.
8
DUPONT CAPITAL FUNDS
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
DuPont Capital Emerging Markets Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Class I Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 952.20 | $ | 6.45 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.60 | 6.67 | ||||||||||||
DuPont Capital Emerging Markets Debt Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period** | |||||||||||||
Class I Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,029.80 | $ | 4.55 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.72 | 4.53 |
* | Expenses are equal to an annualized expense ratio for the six month period ended October 31, 2014 of 1.31% for Class I Shares of the DuPont Capital Emerging Markets Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. The DuPont Capital Emerging Markets Fund’s ending account value on the first line in the table is based on the actual total return for the six month period ended October 31, 2014 for the Fund of (4.78)%. |
** | Expenses are equal to an annualized expense ratio for the six month period ended October 31, 2014 of 0.89% for Class I Shares of the DuPont Capital Emerging Markets Debt Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. The DuPont Capital Emerging Markets Debt Fund’s ending account value on the first line in the table is based on the actual total return for the six month period for the Fund of 2.98%. |
9
DUPONT CAPITAL EMERGING MARKETS FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by industry of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
INDUSTRY CATEGORIES: | ||||||||||
Commercial Banks | 22.1 | % | $ | 91,376,586 | ||||||
Oil, Gas & Consumable Fuels | 10.8 | 44,698,542 | ||||||||
Metals & Mining | 10.2 | 42,124,178 | ||||||||
Wireless Telecommunication Services | 7.7 | 31,965,336 | ||||||||
Semiconductors & Semiconductor Equipment | 6.9 | 28,803,618 | ||||||||
Machinery | 5.7 | 23,626,279 | ||||||||
Automobiles | 4.1 | 16,831,756 | ||||||||
Exchange Traded Funds | 3.4 | 14,113,464 | ||||||||
Auto Components | 2.6 | 10,799,574 | ||||||||
Chemicals | 2.5 | 10,417,744 | ||||||||
Multiline Retail | 2.4 | 9,829,674 | ||||||||
Airlines | 2.3 | 9,390,203 | ||||||||
Aerospace & Defense | 2.1 | 8,871,237 | ||||||||
Computers & Peripherals | 2.1 | 8,867,266 | ||||||||
Insurance | 2.1 | 8,850,054 | ||||||||
Hotels, Restaurants & Leisure | 1.8 | 7,430,327 | ||||||||
Diversified Telecommunication Services | 1.4 | 5,918,408 | ||||||||
Construction Materials | 1.4 | 5,801,559 | ||||||||
Electric Utilities | 0.9 | 3,659,209 | ||||||||
Water Utilities | 0.8 | 3,271,466 | ||||||||
Beverages | 0.7 | 3,135,187 | ||||||||
Textiles, Apparel & Luxury Goods | 0.7 | 2,941,486 | ||||||||
Personal Products | 0.6 | 2,400,097 | ||||||||
Industrial Conglomerates | 0.6 | 2,328,020 | ||||||||
Electronic Equipment, Instruments & Components | 0.5 | 1,908,238 | ||||||||
Real Estate Management & Development | 0.4 | 1,838,160 | ||||||||
Marine | 0.4 | 1,682,062 | ||||||||
Household Durables | 0.3 | 1,173,710 | ||||||||
Transportation | 0.3 | 1,155,945 | ||||||||
Media | 0.2 | 659,328 | ||||||||
Other Assets in Excess of Liabilities | 2.0 | 8,376,478 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 414,245,191 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
10
DUPONT CAPITAL EMERGING MARKETS FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 91.3% |
| |||||||
Brazil — 5.0% | ||||||||
AMBEV SA | 473,700 | $ | 3,135,187 | |||||
BR Properties SA | 363,800 | 1,838,160 | ||||||
Embraer SA | 916,300 | 8,871,237 | ||||||
Even Construtora e Incorporadora SA | 542,600 | 1,173,710 | ||||||
Iochpe-Maxion SA | 133,400 | 918,441 | ||||||
Natura Cosmeticos SA | 165,200 | 2,400,097 | ||||||
WEG SA | 197,100 | 2,325,047 | ||||||
|
| |||||||
20,661,879 | ||||||||
|
| |||||||
Chile — 0.8% | ||||||||
Aguas Andinas SA, Class A | 5,425,134 | 3,271,466 | ||||||
|
| |||||||
China — 18.8% | ||||||||
Air China Ltd., Class H | 7,060,000 | 4,572,047 | ||||||
Anhui Conch Cement Co., Ltd., Class H | 1,585,500 | 5,192,297 | ||||||
China Construction Bank Corp., Class H | 2,842,000 | 2,120,414 | ||||||
China Mobile, Ltd. | 1,443,168 | 17,956,644 | ||||||
China Shenhua Energy Co., Ltd., Class H | 3,561,000 | 10,036,809 | ||||||
CNOOC, Ltd. | 5,032,000 | 7,879,555 | ||||||
Dongfeng Motor Group Co., Ltd., Class H | 6,372,000 | 9,854,028 | ||||||
Haitian International Holdings Ltd. | 715,000 | 1,533,731 | ||||||
Pacific Basin Shipping, Ltd | 3,495,344 | 1,682,062 | ||||||
PetroChina Co., Ltd., Class H | 6,443,181 | 8,066,504 | ||||||
Shenzhou International Group Holdings, Ltd. | 852,000 | 2,941,486 | ||||||
Sinotruk Hong Kong, Ltd. | 3,844,500 | 1,992,776 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
China — (Continued) | ||||||||
Weichai Power Co., Ltd., Class H | 1,029,000 | $ | 3,949,996 | |||||
|
| |||||||
77,778,349 | ||||||||
|
| |||||||
Colombia — 2.1% | ||||||||
Bancolombia SA | 296,106 | 4,038,267 | ||||||
Bancolombia SA, SP ADR | 82,528 | 4,668,609 | ||||||
|
| |||||||
8,706,876 | ||||||||
|
| |||||||
Czech Republic — 4.1% |
| |||||||
CEZ AS | 132,282 | 3,659,209 | ||||||
Komercni Banka AS | 61,551 | 13,186,778 | ||||||
|
| |||||||
16,845,987 | ||||||||
|
| |||||||
Hungary — 2.2% | ||||||||
OTP Bank PLC | 544,501 | 9,017,827 | ||||||
|
| |||||||
India — 1.6% | ||||||||
Reliance Industries Ltd., SP GDR(a) | 207,873 | 6,751,409 | ||||||
|
| |||||||
Indonesia — 3.4% | ||||||||
Astra International Tbk PT | 1,026,600 | 575,626 | ||||||
Bank Mandiri Persero Tbk PT | 2,338,300 | 2,008,258 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 3,595,000 | 3,294,444 | ||||||
Indo Tambangraya Megah Tbk PT | 2,596,300 | 4,555,515 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 307,400 | 609,262 | ||||||
United Tractors Tbk PT | 2,132,100 | 3,238,643 | ||||||
|
| |||||||
14,281,748 | ||||||||
|
| |||||||
Malaysia — 5.6% | ||||||||
CIMB Group Holdings Bhd | 3,623,097 | 7,154,319 | ||||||
Genting Bhd | 2,506,296 | 7,430,327 |
The accompanying notes are an integral part of the financial statements.
11
DUPONT CAPITAL EMERGING MARKETS FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Malaysia — (Continued) | ||||||||
Malayan Banking Bhd | 2,898,744 | $ | 8,551,659 | |||||
|
| |||||||
23,136,305 | ||||||||
|
| |||||||
Mexico — 5.4% | ||||||||
America Movil SAB de CV, Series L | 11,453,828 | 14,008,692 | ||||||
Ternium SA, SP ADR | 387,073 | 8,519,477 | ||||||
|
| |||||||
22,528,169 | ||||||||
|
| |||||||
Panama — 1.2% | ||||||||
Copa Holdings SA, Class A | 41,209 | 4,818,156 | ||||||
|
| |||||||
Peru — 0.9% | ||||||||
Cia de Minas Buenaventura SA, ADR | 394,010 | 3,624,892 | ||||||
|
| |||||||
Poland — 4.0% | ||||||||
Bank Handlowy w Warszawie SA | 109,936 | 3,717,102 | ||||||
Bank Pekao SA | 142,664 | 7,466,810 | ||||||
Grupa Lotos SA* | 117,439 | 907,242 | ||||||
Orange Polska SA | 1,553,940 | 4,656,275 | ||||||
|
| |||||||
16,747,429 | ||||||||
|
| |||||||
Russia — 4.5% | ||||||||
CTC Media, Inc. | 103,668 | 659,328 | ||||||
Globaltrans Investment PLC, GDR | 155,998 | 1,155,945 | ||||||
Novolipetsk Steel OJSC, GDR | 988,502 | 12,662,414 | ||||||
Phosagro OAO, GDR | 375,209 | 3,989,597 | ||||||
|
| |||||||
18,467,284 | ||||||||
|
| |||||||
South Africa — 2.5% |
| |||||||
AngloGold Ashanti Ltd., SP ADR* | 269,831 | 2,231,502 | ||||||
Barclays Africa Group, Ltd. | 204,737 | 3,235,716 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
South Africa — (Continued) |
| |||||||
Impala Platinum Holdings, Ltd.* | 322,113 | $ | 2,349,382 | |||||
Reunert, Ltd. | 441,093 | 2,328,020 | ||||||
|
| |||||||
10,144,620 | ||||||||
|
| |||||||
South Korea — 18.2% |
| |||||||
Hyundai Department Store Co. Ltd. | 47,365 | 6,004,526 | ||||||
Hyundai Heavy Industries Co., Ltd. | 76,146 | 7,074,961 | ||||||
Hyundai Mobis | 46,159 | 10,799,574 | ||||||
Hyundai Motor Co. | 27,836 | 4,417,061 | ||||||
LG Chem Ltd. | 34,299 | 6,428,147 | ||||||
POSCO, ADR | 66,842 | 4,783,214 | ||||||
Samsung Electronics Co., Ltd. | 10,131 | 11,814,189 | ||||||
Samsung Heavy Industries Co., Ltd. | 106,379 | 2,592,684 | ||||||
Samsung Life Insurance Co., Ltd. | 77,587 | 8,462,921 | ||||||
Shinhan Financial Group Co., Ltd. | 198,126 | 9,324,962 | ||||||
Shinsegae Co., Ltd. | 20,620 | 3,825,148 | ||||||
|
| |||||||
75,527,387 | ||||||||
|
| |||||||
Taiwan — 7.2% | ||||||||
Advanced Semiconductor Engineering, Inc. | 2,545,000 | 3,070,172 | ||||||
Asustek Computer, Inc. | 448,000 | 4,574,164 | ||||||
Chicony Electronics Co., Ltd. | 773,375 | 2,227,117 | ||||||
Chipbond Technology Corp. | 1,638,000 | 3,020,282 | ||||||
Compal Electronics, Inc. | 2,795,208 | 2,065,985 | ||||||
Mega Financial Holding Co., Ltd. | 2,011,000 | 1,667,918 |
The accompanying notes are an integral part of the financial statements.
12
DUPONT CAPITAL EMERGING MARKETS FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Taiwan — (Continued) | ||||||||
Novatek Microelectronics Corp. | 593,692 | $ | 3,072,985 | |||||
Richtek Technology Corp. | 292,000 | 1,409,050 | ||||||
Taiwan Life Insurance Co., Ltd.* | 646,000 | 387,133 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd., SP ADR | 274,903 | 6,053,364 | ||||||
Teco Electric And Machinery Co. Ltd. | 1,715,000 | 1,908,238 | ||||||
Vanguard International Semiconductor Corp. | 242,000 | 363,576 | ||||||
|
| |||||||
29,819,984 | ||||||||
|
| |||||||
Thailand — 3.3% | ||||||||
Bangkok Bank PCL NVDR | 552,500 | 3,359,271 | ||||||
Kasikornbank PCL NVDR | 550,770 | 3,990,319 | ||||||
Thai Oil PCL | 4,738,500 | 6,501,508 | ||||||
|
| |||||||
13,851,098 | ||||||||
|
| |||||||
Turkey — 0.5% | ||||||||
Ford Otomotiv Sanayi As* | 155,411 | 1,985,041 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 377,965,906 | ||||||
|
| |||||||
PREFERRED STOCKS — 3.3% |
| |||||||
Brazil — 3.3% | ||||||||
Itau Unibanco Holding SA | 308,400 | 4,573,913 | ||||||
Oi SA* | 2,405,722 | 1,262,133 | ||||||
Vale SA | 914,500 | 7,953,297 | ||||||
|
| |||||||
13,789,343 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 13,789,343 | ||||||
|
|
Number of Shares | Value | |||||||
EXCHANGE TRADED FUNDS — 3.4% |
| |||||||
iShares MSCI Emerging Market Index Fund | 334,839 | $ | 14,113,464 | |||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS |
| 14,113,464 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 98.0% |
| $ | 405,868,713 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.0% |
| 8,376,478 | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 414,245,191 | ||||||
|
|
* | Non-income producing. |
(a) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. This security was purchased in accordance with the guidelines approved by the Fund’s Board of Trustees and may be resold, in transactions exempt from registration, to qualified institutional buyers. At October 31, 2014, this security amounted to $6,751,409 or 1.6% of net assets. This security has been determined by the Adviser to be a liquid security. |
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
NVDR | Non-voting Depositary Receipt | |
PCL | Public Company Limited | |
PLC | Public Limited Company | |
SP ADR | Sponsored Depositary Receipt | |
SP GDR | Sponsored Global Depositary Receipt |
The accompanying notes are an integral part of the financial statements.
13
DUPONT CAPITAL EMERGING MARKETS DEBT FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
SECURITY TYPE: | ||||||||||
Foreign Government Bonds and Notes | 47.3 | % | $ | 3,529,129 | ||||||
Corporate Bonds and Notes | 38.2 | 2,850,604 | ||||||||
Other Assets in Excess of Liabilities | 14.5 | 1,078,866 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 7,458,599 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
14
DUPONT CAPITAL EMERGING MARKETS DEBT FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Par* Value | Value | |||||||
CORPORATE BONDS AND NOTES — 38.2% |
| |||||||
Austria — 0.0% | ||||||||
OGX Austria GmbH | $ | 200,000 | $ | 4,000 | ||||
|
| |||||||
Cayman Islands — 3.9% | ||||||||
Evergrande Real Estate Group Ltd. | 200,000 | 187,270 | ||||||
Renhe Commercial Holdings Co. Ltd. | 150,000 | 105,000 | ||||||
|
| |||||||
292,270 | ||||||||
|
| |||||||
Chile — 3.0% | ||||||||
Corp Nacional del Cobre de Chile | 200,000 | 220,303 | ||||||
|
| |||||||
Indonesia — 3.7% | ||||||||
Perusahaan Penerbit SBSN Indonesia | 250,000 | 277,500 | ||||||
|
| |||||||
Israel — 3.1% | ||||||||
Israel Electric Corp., Ltd. | 200,000 | 229,000 | ||||||
|
| |||||||
Netherlands — 3.7% | ||||||||
Majapahit Holding BV | 150,000 | 180,750 | ||||||
Petrobras Global Finance BV | 100,000 | 95,330 | ||||||
|
| |||||||
276,080 | ||||||||
|
| |||||||
Russia — 4.5% | ||||||||
Gazprom OAO Via Gaz Capital SA | 150,000 | 176,400 |
Par* Value | Value | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Russia — (Continued) | ||||||||
Russian Agricultural Bank OJSC Via RSHB Capital SA | $ | 150,000 | $ | 156,151 | ||||
|
| |||||||
332,551 | ||||||||
|
| |||||||
Turkey — 2.8% | ||||||||
Export Credit Bank of Turkey | 200,000 | 212,660 | ||||||
|
| |||||||
Ukraine — 4.5% | ||||||||
Commercial Bank Privatbank JSC Via Standard Bank | 100,000 | 64,020 | ||||||
EXIM of Ukraine CJSC/The Via Credit Suisse First Boston International | 100,000 | 72,020 | ||||||
Ukreximbank Via Biz Finance PLC 8.75%, 01/22/2018 | 250,000 | 198,800 | ||||||
|
| |||||||
334,840 | ||||||||
|
| |||||||
Venezuela — 6.4% | ||||||||
Petroleos de Venezuela SA | 300,000 | 146,700 | ||||||
Petroleos de Venezuela SA | 200,000 | 97,800 | ||||||
Petroleos de Venezuela SA | 350,000 | 166,250 |
The accompanying notes are an integral part of the financial statements.
15
DUPONT CAPITAL EMERGING MARKETS DEBT FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par* Value | Value | |||||||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||||||
Venezuela — (Continued) |
| |||||||||||
Petroleos de Venezuela SA | $ | 150,000 | $ | 69,750 | ||||||||
|
| |||||||||||
480,500 | ||||||||||||
|
| |||||||||||
Virgin Islands — 2.6% |
| |||||||||||
Sinopec Capital 2013 Ltd. | 200,000 | 190,900 | ||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS AND NOTES |
| 2,850,604 | ||||||||||
|
| |||||||||||
FOREIGN GOVERNMENT BONDS & NOTES — 47.3% |
| |||||||||||
Brazil — 8.9% | ||||||||||||
Banco Nacional de Desenvolvimento Economico e Social | 250,000 | 268,362 | ||||||||||
Brazil Notas do Tesouro Nacional Serie F | BRL | 75,000 | 28,992 | |||||||||
Brazil Notas do Tesouro Nacional Series F | 1,000,000 | 366,445 | ||||||||||
|
| |||||||||||
663,799 | ||||||||||||
|
| |||||||||||
Colombia — 3.2% | ||||||||||||
Colombia Government International Bond | 150,000 | 235,500 | ||||||||||
|
| |||||||||||
Croatia — 2.9% | ||||||||||||
Croatia Government International Bond | 200,000 | 216,250 | ||||||||||
|
|
Par* Value | Value | |||||||||||
FOREIGN GOVERNMENT BONDS & NOTES — (Continued) |
| |||||||||||
Cyprus — 2.0% | ||||||||||||
Cyprus Government International Bond | EUR | 125,000 | $ | 148,044 | ||||||||
|
| |||||||||||
Egypt — 1.4% | ||||||||||||
Egypt Government International Bond | 100,000 | 101,750 | ||||||||||
|
| |||||||||||
Hungary — 3.0% | ||||||||||||
Hungary Government International Bond | 175,000 | 226,187 | ||||||||||
|
| |||||||||||
Mexico — 7.0% | ||||||||||||
Mexican Bonos | MXN | 1,200,000 | 116,489 | |||||||||
Mexican Bonos | MXN | 2,000,000 | 203,677 | |||||||||
Mexico Government International Bond | 200,000 | 203,100 | ||||||||||
|
| |||||||||||
523,266 | ||||||||||||
|
| |||||||||||
Morocco — 2.7% | ||||||||||||
Morocco Government International Bond | 200,000 | 202,760 | ||||||||||
|
| |||||||||||
Pakistan — 1.2% | ||||||||||||
Pakistan Government International Bond | 100,000 | 90,000 | ||||||||||
|
| |||||||||||
Panama — 3.0% | ||||||||||||
Panama Government International Bond | 250,000 | 225,000 | ||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
16
DUPONT CAPITAL EMERGING MARKETS DEBT FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par* Value | Value | |||||||
FOREIGN GOVERNMENT BONDS & NOTES — (Continued) |
| |||||||
Philippines — 3.5% | ||||||||
Philippine Government International Bond | $ | 200,000 | $ | 261,000 | ||||
|
| |||||||
Serbia — 0.2% | ||||||||
Republic of Serbia | 18,022 | 18,280 | ||||||
|
| |||||||
Sri Lanka — 2.8% | ||||||||
Sri Lanka Government International Bond | 200,000 | 212,000 | ||||||
|
| |||||||
Turkey — 2.5% | ||||||||
Turkey Government International Bond | 150,000 | 185,393 | ||||||
|
| |||||||
Venezuela — 3.0% | ||||||||
Venezuela Government International Bond | 300,000 | 219,900 | ||||||
|
| |||||||
TOTAL FOREIGN GOVERNMENT BONDS & NOTES | 3,529,129 | |||||||
|
|
Value | ||||||
TOTAL INVESTMENTS - 85.5% | $ | 6,379,733 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES -14.5% | 1,078,866 | |||||
|
| |||||
NET ASSETS - 100.0% | $ | 7,458,599 | ||||
|
|
* | Par amount denominated in USD unless otherwise noted. |
(a) | Investments with a total aggregate value of $4,000 or 0.05% of net assets were in default as of October 31, 2014. |
(b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities were purchased in accordance with the guidelines approved by the Fund’s Board of Trustees and may be resold, in transactions exempt from registration, to qualified institutional buyers. At October 31, 2014 these securities amounted to $1,886,079 or 25.3% of net assets. These securities have been determined by the Adviser to be a liquid security. |
(c) | Floating or variable rate security. Rate disclosed is as of October 31, 2014. |
(d) | Multi-Step Coupon. Rate disclosed is as of October 31, 2014. |
The accompanying notes are an integral part of the financial statements.
17
DUPONT CAPITAL EMERGING MARKETS DEBT FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Forward foreign currency contracts outstanding as of October 31, 2014 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation/ Depreciation | ||||||||||||||||||
USD | 293,966 | BRL | 694,600 | 01/05/15 | BRC | $ | 18,860 | |||||||||||||||
USD | 570,223 | EUR | 440,000 | 12/10/14 | RBC | 18,696 | ||||||||||||||||
EUR | 275,000 | USD | 356,144 | 12/10/14 | ANZ | (11,440 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on forward foreign currency contracts: | $ | 26,116 | ||||||||||||||||||||
|
|
ANZ | Australia and New Zealand Banking Group | |
BRC | Barclays | |
BRL | Brazilian Real | |
EUR | Euro | |
MXN | Mexican Peso | |
PLC | Public Limited Company | |
RBC | RBC Capital Markets | |
USD | United States Dollar |
The accompanying notes are an integral part of the financial statements.
18
DUPONT CAPITAL FUNDS
Statements of Assets and Liabilities
October 31, 2014
(Unaudited)
DuPont Capital Emerging Markets Fund | DuPont Capital Emerging Markets Debt Fund | |||||||||
Assets | ||||||||||
Investments, at value (Cost $423,907,550 and $6,383,805, respectively) | $ | 405,868,713 | $ | 6,379,733 | ||||||
Cash | 7,481,462 | 940,821 | ||||||||
Foreign Currency (Cost $635,762 and $96,990, respectively) | 634,914 | 91,627 | ||||||||
Forward Foreign Currency Contracts Appreciation | — | 37,556 | ||||||||
Receivable for investments sold | 12,807,047 | — | ||||||||
Receivable for capital shares sold | 306,064 | — | ||||||||
Dividends and interest receivable | 632,794 | 103,480 | ||||||||
Receivable from Investment Adviser | — | 6,885 | ||||||||
Prepaid expenses and other assets | 33,757 | 1,564 | ||||||||
|
|
|
| |||||||
Total assets | 427,764,751 | 7,561,666 | ||||||||
|
|
|
| |||||||
Liabilities | ||||||||||
Payable for investments purchased | 6,373,677 | — | ||||||||
Payable for capital shares redeemed | 5,940,742 | — | ||||||||
Forward foreign currency contracts depreciation | — | 11,440 | ||||||||
Payable for foreign taxes | 514,040 | — | ||||||||
Payable to Investment Adviser | 381,476 | — | ||||||||
Payable for custodian fees | 186,763 | 4,322 | ||||||||
Payable for administration and accounting fees | 77,759 | 21,773 | ||||||||
Payable for printing fees | 11,048 | 13,964 | ||||||||
Payable for legal fees | 4,727 | 17,782 | ||||||||
Payable for transfer agent fees | 9,025 | 9,903 | ||||||||
Accrued expenses | 20,303 | 23,883 | ||||||||
|
|
|
| |||||||
Total liabilities | 13,519,560 | 103,067 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 414,245,191 | $ | 7,458,599 | ||||||
|
|
|
| |||||||
Net Assets Consisted of: | ||||||||||
Capital stock, $0.01 par value | $ | 494,942 | $ | 7,282 | ||||||
Paid-in capital | 464,384,154 | 7,247,576 | ||||||||
Accumulated net investment income | 6,466,728 | 25,469 | ||||||||
Accumulated net realized gain/(loss) from investments and foreign currency transactions | (39,039,467 | ) | 163,460 | |||||||
Net unrealized appreciation/(depreciation) on investments, forward foreign currency contracts and translation of assets and liabilities denominated in foreign currency | (18,061,166 | ) | 14,812 | |||||||
|
|
|
| |||||||
Net Assets | $ | 414,245,191 | $ | 7,458,599 | ||||||
|
|
|
| |||||||
Class I: | ||||||||||
Net asset value, offering and redemption price per share ($414,245,191 / 49,494,218 shares) and ($7,458,599 / 728,159 shares) | $8.37 | $10.24 |
The accompanying notes are an integral part of the financial statements.
19
DUPONT CAPITAL FUNDS
Statements of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
DuPont Capital Emerging Markets Fund | DuPont Capital Emerging Markets Debt Fund | |||||||||
Investment Income | ||||||||||
Dividends | $ | 11,065,598 | $ | — | ||||||
Interest | 527 | 273,428 | ||||||||
Less: foreign taxes withheld | (1,054,236 | ) | (1,044 | ) | ||||||
|
|
|
| |||||||
Total investment income | 10,011,889 | 272,384 | ||||||||
|
|
|
| |||||||
Expenses | ||||||||||
Advisory fees (Note 2) | 2,564,491 | 22,881 | ||||||||
Custodian fees (Note 2) | 259,751 | 7,389 | ||||||||
Administration and accounting fees | 170,219 | 34,008 | ||||||||
Transfer agent fees (Note 2) | 60,961 | 14,263 | ||||||||
Printing and shareholder reporting fees | 48,424 | 2,365 | ||||||||
Legal fees | 23,371 | 2,205 | ||||||||
Trustees’ and officers’ fees (Note 2) | 18,370 | 7,501 | ||||||||
Registration and filing fees | 17,861 | 15,016 | ||||||||
Audit fees | 17,288 | 9,575 | ||||||||
Other expenses | 27,176 | 1,864 | ||||||||
|
|
|
| |||||||
Total expenses | 3,207,912 | 117,067 | ||||||||
|
|
|
| |||||||
Less: waivers and reimbursements (Note 2) | — | (83,127 | ) | |||||||
|
|
|
| |||||||
Net expenses after waivers and reimbursements | 3,207,912 | 33,940 | ||||||||
|
|
|
| |||||||
Net investment income | 6,803,977 | 238,444 | ||||||||
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments | ||||||||||
Net realized gain/(loss) from investments | (6,732,458 | ) | 117,362 | |||||||
Net realized loss from foreign currency transactions | (319,971 | ) | (32,073 | ) | ||||||
Net realized gain from forward foreign currency contracts* | — | 30,626 | ||||||||
Net change in unrealized depreciation on investments | (20,173,303 | ) | (163,142 | ) | ||||||
Net change in unrealized depreciation on foreign currency translations | (27,996 | ) | (10,034 | ) | ||||||
Net change in unrealized appreciation on forward foreign currency contracts* | — | 48,869 | ||||||||
|
|
|
| |||||||
Net realized and unrealized loss on investments | (27,253,728 | ) | (8,392 | ) | ||||||
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | $ | (20,449,751 | ) | $ | 230,052 | |||||
|
|
|
|
* | Primary risk is foreign currency contracts. |
The accompanying notes are an integral part of the financial statements.
20
DUPONT CAPITAL EMERGING MARKETS FUND
Statements of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||
Increase/(decrease) in net assets from operations: | ||||||||||
Net investment income | $ | 6,803,977 | $ | 5,588,068 | ||||||
Net realized loss from investments and foreign currency transactions | (7,052,429 | ) | (19,742,415 | ) | ||||||
Net change in unrealized appreciation/(depreciation) from investments and foreign currency translations | (20,201,299 | ) | (769,408 | ) | ||||||
|
|
|
| |||||||
Net decrease in net assets resulting from operations | (20,449,751 | ) | (14,923,755 | ) | ||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Net investment income: | ||||||||||
Class I | — | (5,372,890 | ) | |||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | — | (5,372,890 | ) | |||||||
|
|
|
| |||||||
Increase/(Decrease) in Net Assets Derived from Capital Share Transactions (Note 4) | (57,911,999 | ) | 45,003,071 | |||||||
|
|
|
| |||||||
Total increase/(decrease) in net assets | (78,361,750 | ) | 24,706,426 | |||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 492,606,941 | 467,900,515 | ||||||||
|
|
|
| |||||||
End of period | $ | 414,245,191 | $ | 492,606,941 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss), end of period | $ | 6,466,728 | $ | (337,249 | ) | |||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
21
DUPONT CAPITAL EMERGING MARKETS DEBT FUND
Statement of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period September 27, 2013* to April 30, 2014 | |||||||||
Increase in net assets from operations: | ||||||||||
Net investment income | $ | 238,444 | $ | 286,696 | ||||||
Net realized gain from investments and foreign currency transactions | 115,915 | 49,244 | ||||||||
Net change in unrealized appreciation/(depreciation) from investments, forward foreign currency contracts and foreign currency translations | (124,307 | ) | 139,119 | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 230,052 | 475,059 | ||||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Net investment income: | ||||||||||
Class I | (238,561 | ) | (286,696 | ) | ||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (238,561 | ) | (286,696 | ) | ||||||
|
|
|
| |||||||
Increase in Net Assets Derived from Capital Share Transactions (Note 4) | 63,560 | 7,215,185 | ||||||||
|
|
|
| |||||||
Total increase in net assets | 55,051 | 7,403,548 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 7,403,548 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 7,458,599 | $ | 7,403,548 | ||||||
|
|
|
| |||||||
Accumulated net investment income, end of period | $ | 25,469 | $ | 25,586 | ||||||
|
|
|
|
* | Commencement of operations. |
The accompanying notes are an integral part of the financial statements.
22
DUPONT CAPITAL EMERGING MARKETS FUND
Financial Highlights
Contained below is per share operating performance data for each Class I Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class I | |||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Period December 6, 2010* to April 30, 2011 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.79 | $ | 9.23 | $ | 9.26 | $ | 10.39 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income | 0.13 | (1) | 0.11 | (1) | 0.11 | (1) | 0.12 | (1) | 0.01 | ||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (0.55 | ) | (0.44 | ) | (0.05 | ) | (1.19 | ) | 0.38 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (0.42 | ) | (0.33 | ) | 0.06 | (1.07 | ) | 0.39 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | — | (0.11 | ) | (0.09 | ) | (0.06 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 8.37 | $ | 8.79 | $ | 9.23 | $ | 9.26 | $ | 10.39 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment | (4.78 | )% | (3.61 | )% | 0.59 | % | (10.19 | )% | 3.90 | % | |||||||||||||||
Ratio/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 414,245 | $ | 492,607 | $ | 467,901 | $ | 270,324 | $ | 96,162 | |||||||||||||||
Ratio of expenses to average net assets | 1.31 | %(3) | 1.31 | % | 1.32 | % | 1.41 | % | 1.56 | %(3) | |||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements | 1.31 | %(3) | 1.31 | % | 1.32 | % | 1.41 | % | 1.62 | %(3)(4) | |||||||||||||||
Ratio of net investment income to average net assets | 2.79 | %(3) | 1.20 | % | 1.21 | % | 1.30 | % | 0.29 | %(3) | |||||||||||||||
Portfolio turnover rate | 30.4 | %(5) | 69.9 | % | 118.5 | % | 148.6 | %(6) | 60.0 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
(6) | Portfolio turnover rate excludes securities received from processing two subscriptions- in- kind. |
The accompanying notes are an integral part of the financial statements.
23
DUPONT CAPITAL EMERGING MARKETS DEBT FUND
Financial Highlights
Contained below is per share operating performance data for each Class I Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class I | ||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period September 27, 2013* to April 30, 2014 | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 10.26 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income(1) | 0.33 | 0.40 | ||||||||
Net realized and unrealized gain/(loss) on investments | (0.02 | ) | 0.26 | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 0.31 | 0.66 | ||||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | (0.33 | ) | (0.40 | ) | ||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 10.24 | $ | 10.26 | ||||||
|
|
|
| |||||||
Total investment return(2) | 2.98 | % | 6.72 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (000’s omitted) | $ | 7,459 | $ | 7,404 | ||||||
Ratio of expenses to average net assets | 0.89 | %(3) | 0.89 | %(3) | ||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 3.07 | %(3) | 4.42 | %(3) | ||||||
Ratio of net investment income to average net assets | 6.25 | %(3) | 6.83 | %(3) | ||||||
Portfolio turnover rate | 8.4 | %(5) | 21.6 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
24
DUPONT CAPITAL FUNDS
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The DuPont Capital Emerging Markets Fund and the DuPont Capital Emerging Markets Debt Fund (each a “Fund” and together the “Funds”) are diversified, open-end management investment companies registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The DuPont Capital Emerging Markets Fund commenced operations on December 6, 2010 and the DuPont Capital Emerging Markets Debt Fund commenced operations on September 27, 2013. The Funds are each a separate series of Fund Vantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Funds are each authorized to issue and offer Class I Shares.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by each Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter market are valued at their closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Fund vantage Trust’s Board of Trustees (“Board of Trustees”). Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service approved by the Board of Trustees. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, which approximates market value. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service, which utilizes information with respect to recent sales, market transactions in comparable securities, quotations from dealers, and various relationships between securities in determining value. Due to continued volatility in the current market, valuations developed through pricing techniques may materially vary from the actual amounts realized upon sale of the securities. Any assets held by the Funds that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Funds determine the daily NAV per share. Foreign securities may trade on weekends or other days when the Funds do not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Funds. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Forward exchange contracts are valued at the forward rate. Investments in any mutual fund are valued at their respective NAVs as determined by those mutual funds each business day (which may use fair value pricing as disclosed in their prospectuses). Securities that do not have a readily available current market value are valued in good faith under the direction of the Board of Trustees.
25
DUPONT CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to the Adviser the responsibility for applying the valuation methods. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuations techniques used to measure fair value of each Fund’s investments are summarized into three levels as described in the hierarchy below:
• | Level 1 — quoted prices in active markets for identical securities; |
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
• | Level 3 — significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
The fair value of each Fund’s bonds are generally based on quotes received from brokers of independent pricing services. Bonds with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
Significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that foreign markets close (where the security is principally traded) and the time that each Fund calculates its NAV (generally, the close of the NYSE) that may impact the value of securities traded in these foreign markets. As a result, each Fund fair values foreign securities using an independent pricing service which considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange traded funds and certain indexes as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy.
26
DUPONT CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
The following is a summary of the inputs used, as of October 31, 2014, in valuing each Fund’s investments carried at fair value:
DuPont Capital Emerging Markets Fund | ||||||||||||||||
Total Value at 10/31/14 | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 20,661,879 | $ | 20,661,879 | $ | — | $ | — | ||||||||
Chile | 3,271,466 | 3,271,466 | — | — | ||||||||||||
China | 77,778,349 | — | 77,778,349 | — | ||||||||||||
Colombia | 8,706,876 | 8,706,876 | — | — | ||||||||||||
Czech Republic | 16,845,987 | — | 16,845,987 | — | ||||||||||||
Hungary | 9,017,827 | — | 9,017,827 | — | ||||||||||||
India | 6,751,409 | — | 6,751,409 | — | ||||||||||||
Indonesia | 14,281,748 | — | 14,281,748 | — | ||||||||||||
Malaysia | 23,136,305 | — | 23,136,305 | — | ||||||||||||
Mexico | 22,528,169 | 22,528,169 | — | — | ||||||||||||
Panama | 4,818,156 | 4,818,156 | — | — | ||||||||||||
Peru | 3,624,892 | 3,624,892 | — | — | ||||||||||||
Poland | 16,747,429 | — | 16,747,429 | — | ||||||||||||
Russia | 18,467,284 | 18,467,284 | — | — | ||||||||||||
South Africa | 10,144,620 | 2,231,502 | 7,913,118 | — | ||||||||||||
South Korea | 75,527,387 | 4,783,214 | 70,744,173 | — | ||||||||||||
Taiwan | 29,819,984 | 6,053,364 | 23,766,620 | — | ||||||||||||
Thailand | 13,851,098 | — | 13,851,098 | — | ||||||||||||
Turkey | 1,985,041 | — | 1,985,041 | — | ||||||||||||
Preferred Stocks | 13,789,343 | 13,789,343 | — | — | ||||||||||||
Exchange Traded Funds | 14,113,464 | 14,113,464 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 405,868,713 | $ | 123,049,609 | $ | 282,819,104 | $ | — | ||||||||
|
|
|
|
|
|
|
|
27
DUPONT CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
DuPont Capital Emerging Markets Debt Fund | ||||||||||||||||||||
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Corporate Bonds and Notes | $ | 2,850,604 | $ | — | $ | 2,850,604 | $ | — | ||||||||||||
Foreign Government Bonds & Notes | 3,529,129 | — | 3,529,129 | — | ||||||||||||||||
Derivatives: | ||||||||||||||||||||
Foreign Currency Contracts | ||||||||||||||||||||
Forward Foreign Currency Contracts | 37,556 | — | 37,556 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets | $ | 6,417,289 | $ | — | $ | 6,417,289 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Derivatives: | ||||||||||||||||||||
Foreign Currency Contracts | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | (11,440 | ) | $ | — | $ | (11,440 | ) | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities | $ | (11,440 | ) | $ | — | $ | (11,440 | ) | $ | — | ||||||||||
|
|
|
|
|
|
|
|
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have readily available market value, the fair value of each Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values each Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
28
DUPONT CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires each Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when each Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when each Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six-months ended October 31, 2014, there were transfers from level 1 to level 2 of $4,656,275 due to foreign fair value adjustments in the DuPont Capital Emerging Markets Fund. The DuPont Capital Emerging Markets Debt Fund had no significant transfers between Levels 1, 2 and 3.
Use of Estimates — The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. General expenses of the Trust are generally allocated to each Fund in proportion to its relative daily net assets. Expenses directly attributable to a particular Fund in the Trust are charged directly to that Fund.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
Each Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investment securities in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately
29
DUPONT CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.
Dividends and Distributions to Shareholders — Dividends from net investment income, if any, are declared and paid at least annually to shareholders of the DuPont Capital Emerging Markets Fund and dividends from net investment income are declared daily and paid monthly to shareholders of the DuPont Capital Emerging Markets Debt Fund. Distributions from net realized capital gains, if any, will be declared and paid at least annually to shareholders and recorded on ex-date for both Funds. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, each Fund may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against each Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Forward Foreign Currency Contracts — A forward foreign currency contract (“Forward Contract”) is a commitment to buy or sell a specific amount of a foreign currency at a negotiated price on a specified future date. Forward Contracts can help a fund manage the risk of changes in currency exchange rates. These contracts are marked-to-market daily at the applicable forward currency translation rates. A fund records realized gains or losses at the time the Forward Contract is closed. A Forward Contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. A fund’s maximum risk of loss from counterparty credit risk related to Forward Contracts is the fair value of the contract. During the period, the Emerging Markets Debt Fund entered into Forward Contracts to help protect the Fund’s returns against adverse currency movements, to gain market exposure, and as part of the Fund’s investment strategy.
Forward Foreign Currency Contracts — A forward foreign currency contract (“Forward Contract”) is a commitment to buy or sell a specific amount of a foreign currency at a negotiated price on a specified future date. Forward Contracts can help a fund manage the risk of changes in currency exchange rates. These contracts are marked-to-market daily at the applicable forward currency translation rates. A fund records realized gains or losses at the time the Forward Contract is closed. A Forward Contract is extinguished
30
DUPONT CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
through a closing transaction or upon delivery of the currency or entering an offsetting contract. The fund’s maximum risk of loss from counterparty credit risk related to Forward Contracts is the fair value of the contract.
For the six months ended October 31, 2014, the Fund’s average volume of forward foreign currency contracts is as follows:
Forward Foreign Currency Contracts -Payable (Value At Trade Date) | Forward Foreign Currency Contracts - Receivable (Value At Trade Date) | |
$(348,092) | $348,092 |
Currency Risk — Each Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which each Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect each Fund’s NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for each Fund is determined on the basis of U.S. dollars, each Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of each Fund’s holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of each Fund’s holdings in foreign securities.
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
Emerging Markets Risk — The DuPont Capital Emerging Markets Fund and the DuPont Capital Emerging Markets Debt Fund invests in emerging market instruments which are subject to certain credit and market risks. The securities and currency markets of emerging market countries are generally smaller, less developed, less liquid and more volatile than the securities and currency markets of the United States and other developed markets. Disclosure and regulatory standards in many respects are less stringent than in other developed markets. There also may be a lower level of monitoring and regulation of securities markets in emerging market countries and the activities of investors in such markets and enforcement of existing regulations may be extremely limited. Political and economic structures in many of these countries
31
DUPONT CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
may be in their infancy and developing rapidly, and such countries may lack the social, political and economic stability characteristics of more developed countries.
2. Transactions with Affiliates and Related Parties
DuPont Capital Management Corporation (“DuPont Capital” or the “Adviser”) serves as investment adviser to each Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 1.05% of the DuPont Capital Emerging Markets Fund’s average daily net assets; and 0.60% of the DuPont Capital Emerging Markets Debt Fund’s average daily net assets. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent necessary to ensure that the Funds’ total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 1.60% and 0.89% (on an annual basis) of the DuPont Capital Emerging Markets Fund and DuPont Capital Emerging Markets Debt Fund’s average daily net assets (the “Expense Limitation”), respectively. The Expense Limitations will remain in place until August 31, 2015, unless the Board of Trustees of the Trust approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for each Funds. No recoupment will occur unless each Funds expenses are below the Expense Limitation.
For the six-months ended October 31, 2014, investment advisory fees were $2,564,491 and $22,881 for the DuPont Capital Emerging Markets Fund and DuPont Capital Emerging Markets Debt Fund, respectively. For the six-months period ended October 31, 2014, the Adviser waived investment advisory fees of $22,881 and reimbursed fees of $60,246 for the DuPont Capital Emerging Markets Debt Fund.
As of October 31, 2014, the amounts of potential recoupment by the Adviser was as follows:
Expiration 04/30/2017 | Expiration 04/30/2018 | |||||||
DuPont Capital Emerging Markets Debt Fund | $ | 123,234 | $ | 83,127 |
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Funds.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annualized percentage rate of each Funds’ average daily net assets and is subject to certain minimum monthly fees.
32
DUPONT CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
BNY Mellon and the Custodian have the ability to recover such amounts previously waived if each Fund terminates its agreements with BNY Mellon or the Custodian within three years of signing the agreements.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Funds during the six-months ended October 31, 2014 was $18,436. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Funds or the Trust.
3. Investment in Securities
For the six-months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding U.S. Government and agency short-term investments and other short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||
DuPont Capital Emerging Markets Fund | $ | 143,256,765 | $ | 198,619,555 | ||||
DuPont Capital Emerging Markets Debt Fund | 579,452 | 1,469,997 |
4. Capital Share Transactions
For the six-months ended October 31, 2014 and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
33
DUPONT CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
DuPont Capital Emerging Markets Fund | ||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class I Shares | ||||||||||||||||
Sales | 1,222,013 | $ | 11,107,821 | 18,853,463 | $ | 163,720,007 | ||||||||||
Reinvestments | — | — | 549,676 | 4,908,609 | ||||||||||||
Redemption Fees* | — | 4,958 | — | 20,699 | ||||||||||||
Redemptions | (7,738,449 | ) | (69,024,778 | ) | (14,074,592 | ) | (123,646,244 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | (6,516,436 | ) | $ | (57,911,999 | ) | 5,328,547 | $ | 45,003,071 | ||||||||
|
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|
|
|
|
|
* | There is a 2.00% redemption fee that may be charged on the shares redeemed which have been held for 60 days or less. The redemption fees are retained by each Fund for the benefit of the remaining shareholders and recorded as paid-in-capital. |
DuPont Capital Emerging Markets Debt Fund* | ||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class I Shares | ||||||||||||||||
Sales | — | $ | — | 711,805 | $ | 7,118,047 | ||||||||||
Reinvestments | 22,661 | 238,560 | 28,496 | 286,698 | ||||||||||||
Redemptions | (16,219 | ) | (175,000 | ) | (18,584 | ) | (189,560 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Net increase | 6,442 | $ | 63,560 | 721,717 | $ | 7,215,185 | ||||||||||
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|
* | The DuPont Capital Emerging Markets Debt Fund commenced operations on September 27, 2013. |
5. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
34
DUPONT CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For the year ended April 30, 2014, the tax character of distributions paid by the DuPont Capital Emerging Markets Fund and DuPont Capital Emerging Markets Debt Fund were $5,372,890 and $286,696 of ordinary income dividends, respectively. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Qualified Late-Year Losses | ||||||||||||||||
DuPont Capital Emerging Markets Fund | $ | (20,699,952 | ) | $ | — | $ | — | $ | (4,306,638 | ) | $ | (5,177,564 | ) | |||||||
DuPont Capital Emerging Markets Debt Fund | $ | — | $ | 72,809 | $ | — | $ | 139,441 | $ | — |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
At October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation/(depreciation) of securities held by the Funds were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Depreciation | |||||||||||||
DuPont Capital Emerging Markets Fund | $ | 423,907,550 | $ | 34,334,938 | $ | (52,373,775 | ) | $ | (18,038,837 | ) | ||||||
DuPont Capital Emerging Markets Debt Fund | 6,383,805 | 322,206 | (326,278 | ) | (4,072 | ) |
Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), each Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law.
As of April 30, 2014, the DuPont Capital Emerging Markets Fund had post-enactment capital loss carryforwards of $20,699,952, of which $11,404,447 are long-term losses and $9,295,505 are short-term
35
DUPONT CAPITAL FUNDS
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
losses and have an unlimited period of capital loss carryforward. As of April 30, 2014, the DuPont Capital Emerging Markets Debt Fund had no capital loss carryforwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on each Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
36
DUPONT CAPITAL FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 447-0014 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Approval of Advisory Agreement
At an in-person meeting held on June 11-12, 2014 (the “Meeting”), the Board of Trustees (“Board” or “Trustees”) of FundVantage Trust (“Trust”), including a majority of the Trustees who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (“1940 Act”) (the “Independent Trustees”), unanimously approved the continuation of the advisory agreement between DuPont Capital Management Corporation (the “Adviser” or “DuPont”) and the Trust on behalf of the DuPont Capital Emerging Markets Fund (“EM Fund”) (the “Agreement”). The Trustees noted that they had previously approved the Agreement with respect to the DuPont Capital Emerging Markets Debt Fund, another series of the Trust advised by DuPont, for an initial two year term commencing with the execution of the Agreement with respect to such fund on September 26, 2013. In determining whether to continue the Agreement with respect to the EM Fund, the Trustees considered information provided by the Adviser in accordance with Section 15(c) of the 1940 Act. The Trustees considered information that the Adviser provided regarding (i) services performed for the EM Fund, (ii) the size and qualifications of their portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with a portfolio manager’s management of the EM Fund, (iv) investment performance, (v) the capitalization and financial condition of DuPont, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the EM Fund and other clients, (viii) results of any regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on DuPont’s ability to service the EM Fund, and (x) compliance with the EM Fund’s investment objectives, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements. DuPont also provided its most recent Form ADV for the Trustees’ review and consideration. The Trustees
37
DUPONT CAPITAL FUNDS
Other Information
(Unaudited)
noted the reports and discussions with portfolio managers provided at Board meetings throughout the year covering matters such as the relative performance of the EM Fund; compliance with the investment objectives, policies, strategies and limitations for the EM Fund; the compliance of management personnel with the applicable code of ethics; and the adherence to fair value pricing procedures as established by the Board. The Trustees also received and reviewed a memorandum from legal counsel regarding the legal standard applicable to their review of the Agreement.
Representatives from DuPont attended the Meeting in person and discussed DuPont’s history, performance and investment strategy in connection with the proposed continuation of the Agreement and answered questions from the Board.
The Trustees considered the investment performance for the EM Fund and the Adviser. The Trustees reviewed relevant peer comparative rankings and historical performance charts which showed the performance for the Class I shares of the EM Fund for the year to date, one year, two year and since inception periods ended March 31, 2014, as compared to (i) the MSCI Emerging Markets Index (Net), the EM Fund’s benchmark index, and (ii) the Lipper Emerging Markets Fund category, the EM Fund’s applicable Lipper peer group. The Trustees noted that the EM Fund underperformed each of the MSCI Emerging Markets Index (Net) and the Lipper Emerging Markets Fund category for the one year, two year, three year and since inception periods ended March 31, 2014. The Adviser also provided the Trustees with performance for the EM Fund, net of fees, in comparison to its benchmark and the separate account composite, both gross and net of fees, of accounts managed by the Adviser in a substantially similar manner as the EM Fund for various periods ended April 30, 2014. They concluded that the performance of the EM Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
The Adviser provided information regarding its advisory fees and an analysis of these fees in relation to the delivery of services to the EM Fund and any other ancillary benefit resulting from DuPont’s relationship with the EM Fund. The Trustees considered the fees that DuPont charges to its separately managed accounts, and evaluated the explanations provided by DuPont as to differences in fees charged to the EM Fund and separately managed accounts. The Trustees also reviewed a peer comparison of advisory fees and total expenses for the EM Fund versus other similarly managed funds. The Trustees noted that the EM Fund’s gross advisory fee was higher than, and the EM Fund’s net total expense ratio was lower than, the gross advisory fee and net total expense ratio of the universe of funds in the Lipper Emerging Markets Fund category with $500 million or less in assets. The Trustees concluded that the advisory fees and services provided by DuPont are consistent with those of other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the EM Fund based on the information provided at the Meeting.
The Board then considered the level and depth of knowledge of DuPont, including the professional experience and qualifications of senior personnel. In evaluating the quality of services to be provided
38
DUPONT CAPITAL FUNDS
Other Information
(Unaudited) (Concluded)
by DuPont, the Board took into account its familiarity with DuPont’s senior management through Board meetings, discussions and reports during the preceding year. The Board also took into account DuPont’s compliance policies and procedures and reports regarding DuPont’s compliance operations from the Trust’s Chief Compliance Officer. The Board also considered any potential conflicts of interest that may arise in a portfolio manager’s management of the EM Fund’s investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services provided to the EM Fund by DuPont and concluded that the nature, extent and quality of the services provided were appropriate and consistent with the terms of the Agreement, that the quality of the services appeared to be consistent with industry norms and that the EM Fund is likely to benefit from the continued receipt of those services. They also concluded that DuPont has sufficient personnel, with the appropriate education and experience, to serve the EM Fund effectively and had demonstrated their ability to attract and retain qualified personnel.
The Trustees then considered the costs of the services provided by DuPont, the compensation and benefits received by DuPont in providing services to the EM Fund, as well as DuPont’s profitability. The Trustees were provided with the financial statements of DuPont’s parent company for the year ended December 31, 2013. The Trustees noted that DuPont’s level of profitability is an appropriate factor to consider, and the Trustees should be satisfied that DuPont’s profits are sufficient to continue as a healthy concern generally and as investment adviser of the EM Fund specifically. The Trustees concluded that DuPont’s advisory fee level was reasonable in relation to the nature and quality of the services provided, taking into account the current size and projected growth of the EM Fund.
The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the EM Fund grows, and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Board noted that economies of scale may be achieved at higher asset levels for the EM Fund for the benefit of fund shareholders, but because such economies of scale did not yet exist and were not likely to exist in the near term, it was not appropriate to incorporate a mechanism for sharing the benefit of such economies with EM Fund shareholders in the advisory fee structure at this time.
In voting to approve the continuation of the Agreement, the Board considered all factors it deemed relevant and the information presented to the Board by DuPont. In arriving at its decision, the Board did not identify any single factor as being of paramount importance and each member of the Board gave varying weights to each factor according to his or her own judgment. The Board determined that the continuation of the Agreement would be in the best interests of the EM Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, unanimously approved the continuation of the Agreement with respect to the EM Fund for an additional one year period.
39
Investment Adviser
DuPont Capital Management Corporation
One Righter Parkway
Suite 3200
Wilmington, DE 19803
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
DUPONT CAPITAL
EMERGING MARKETS
FUND
DUPONT CAPITAL EMERGING MARKETS
DEBT FUND
of
FundVantage Trust
Class I Shares
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the DuPont Capital Emerging Markets Fund and the DuPont Capital Emerging Markets Debt Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the DuPont Capital Emerging Markets Fund and the DuPont Capital Emerging Markets Debt Fund.
EIC VALUE FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Dear Fellow Shareholder,
Equity returns were above average for the six months ended October 31, 2014, with the Russell 3000® Value and S&P 500® indices rising 5.97% and 8.22%, respectively. The current bull market, which began in March of 2009, is some 5 1⁄2 years old, the fourth longest in history, and both the Russell 3000® Value and S&P 500® indices have gained over 200%. It’s now been over 3 years since the market has experienced a 10% correction.
While steadily rising stock prices create a sense of reduced risk, the reality is the opposite. Risk today is the highest since the onset of the financial crisis in 2007 due to higher prices, greater dependency on debt, higher corporate risk-taking, lower earnings quality, and the need to reduce support from the Federal Reserve. We are seeking to mitigate these risks by focusing on sustainable businesses, selling at justifiable prices, with higher quality earnings.
Perspective on the Market
Whether stock prices and earnings can remain strong, while economic growth continues to be relatively weak, is a key question for investors today. Economic weakness is reflected in declines in interest rates despite “tapering” by the Federal Reserve, new monetary efforts in Europe and Japan to encourage growth, broad commodity price declines, reductions in labor force participation rates, and low household incomes. Nonetheless, corporations have achieved strong earnings by restraining capital investments to increase margins, minimizing taxes, refinancing old debt at lower rates, and borrowing to make stock buy-backs and accretive cash acquisitions. As a result, the fortunes of Main Street and Wall Street have diverged widely in recent years.
Since smaller companies are typically more sensitive to economic ups and downs, while larger companies can be relative safe harbors, it is possible the divergence between Main Street and Wall Street is starting to be reflected in the difference between small-cap and large-cap returns seen this year (shown in the table below). On the other hand, since small-cap stocks have traded at a premium in recent years, the performance differential could reflect the beginning of a return to a more traditional pricing relationship.
Selected Indices Total Returns for the Periods Ended October 31, 2014 | ||||||
6 Months | YTD | 12 Months | ||||
Russell Top 200® Index | 8.3% | 10.8% | 17.4% | |||
Russell Midcap® Index | 7.0% | 10.2% | 15.3% | |||
Russell 2000® Index | 4.8% | 1.9% | 8.1% | |||
Russell Microcap® Index | 2.1% | -1.0% | 7.3% | |||
Source: Morningstar® DirectSM |
Federal Reserve authorities claim the rise in asset prices (stocks, bonds, and real estate) since the 2007-2009 financial crisis validates their policies. The resulting wealth and liquidity effects no doubt improved consumer and banking balance sheets, thus stabilizing the economic backdrop, at least temporarily. However, since the Fed’s tool kit cannot address more fundamental issues (such as the decline in real incomes), monetary policy has in many respects simply taken us back to where we started, and in the end may be deemed a failure. Ultimately, a policy that relies
1
EIC VALUE FUND
Semi-Annual Investment Adviser’s Report (Continued)
October 31, 2014
(Unaudited)
on increased borrowing to support increased spending, while real median incomes are declining, cannot provide a sustainable path to economic health and corporate profitability.
Investors now must navigate an environment where equity prices broadly reflect a benign long-term economic environment (low inflation, low interest rates, moderate growth, and high profits), even as the Federal Reserve reduces support and fundamental economic issues remain unaddressed. Moreover, stocks showing the greatest price momentum and over-valuation today are often associated with companies taking advantage of low interest rates to finance stock buybacks, higher dividends, and accretive acquisitions. Thus, just as the quality of fixed income investments has fallen because of weakened bond covenants, the quality of equity investments is often lower than advertised, as companies exploit low rates to boost earnings. In summary, today’s market is complacent about the possibility of a less-hospitable environment, is rewarding firms increasing earnings through leverage, and is ignoring erosion in earnings quality.
We don’t know how the monetary, fundamental, and equity environments will unfold. However, it currently is difficult to find investments selling at attractive prices versus economic value, and cash in the Fund has risen to 14.7% as of October 31, 2014. Of course, cash creates a drag on performance in rising markets. However, we do not believe our investment task is to stay invested to track volatile indices but, rather, to use price, earnings quality, and a full-cycle time horizon to reduce portfolio risk. Our experience has been that by being concerned about risk during up-cycles, we have lost less in down-cycles, and made more money long-term for clients.
Fund Performance
The Fund’s Institutional Class shares gained 4.55% net of expenses for the six months ended October 31, 2014. The Russell 3000® Value Index, the Fund’s primary benchmark, rose 5.97%, while the S&P 500® increased 8.22%.
Size mattered: the bigger, the better. The Russell Top 200® Index (large-cap stocks) gained 8.3%, the Russell Midcap® Index rose 7.0%, and the Russell 2000® Index (small-caps) climbed 4.8%. Likewise, there was a significant margin between growth and value – the Russell 3000® Growth and Value Indices increased 9.3% and 6.0%, respectively.
At the start of 2014, many investors were betting on higher interest rates. Instead, rates have actually declined, and bonds and bond-like equities (e.g., REITs and utilities) have performed unexpectedly well. For instance, the S&P US REIT Index rose 10.2% and 25.3%, respectively, for the six- and ten-month periods ended October 31, 2014. Overall, our utility and REIT positions contributed to the Fund’s performance.
Nine of the ten sectors in the Russell 3000® Value Index posted positive returns for the six months ended October 31, 2014. Two sectors enjoyed double digit gains: information technology was the top performer, up 14.3%, followed by health care, up 11.4%. Over the course of the six months, our allocation to technology was about the same as that of our benchmark, but we were overweight health care. Energy was the poorest performing sector, dropping 7.0%. Materials and telecommunication services were also relatively weak, gaining 0.3% and 2.0%, respectively. We were underweight energy, had a market-like allocation to materials, and had no exposure to telecom. On balance, our sector allocations were a positive contributor to Fund performance.
2
EIC VALUE FUND
Semi-Annual Investment Adviser’s Report (Continued)
October 31, 2014
(Unaudited)
We don’t target sector weightings, either in an absolute sense or relative to market indices; they are instead principally a residual of stock selection. Nevertheless, it is at times instructive to see how sector allocations affected performance.
Our shortfall versus the Russell 3000® Value Index was primarily attributable to our stock selection. For example, we continue to hold small positions in two gold mining stocks, Barrick Gold and Newmont Mining. The Fund’s losses from these stocks have been significant, as have the opportunity costs. Clearly, the collapse of gold prices, interest rates, oil prices, and other commodities, despite accommodative actions by central banks worldwide, caught many investors by surprise, and reduced margins for a broad range of commodity and interest-rate sensitive businesses.
In hindsight, we did not incorporate a sufficient margin of safety in our valuations of Barrick and Newmont, as earnings and cash flows have been impaired due to the fall in gold prices. The key question going forward: what are reasonable earnings-power assumptions for these businesses? This will depend on the degree of margin recovery achieved as Barrick and Newmont take steps to reduce production costs in response to gold’s price decline.
Though our stock selection in the financial sector has been a source of strength historically, that was not the case for the six months ended October 31st. Our holdings rose a combined 5.9%, versus 9.0% for the index’s financials. In particular, strong gains from Travelers, up 12.6%, and Chubb, up 9.1%, were not enough to offset a 6.7% loss from Mack-Cali and a 0.2% advance from Torchmark.
Lastly, we’re working hard to find new investment ideas, but the Fund’s cash position has been in the low double digits for much of the year. Though cash is swept into a money market fund daily, it nevertheless was a drag on performance as money market yields remain historically low.
On a positive note, our stock selection in the consumer staples sector helped performance, as our holdings gained a combined 14.1% versus 6.1% for the index’s staples. Dr Pepper Snapple Group, up 26.7%, and Molson Coors, up 25.4%, fared particularly well. Other holdings of note included CVS Health, up 18.8%, Microsoft, up 17.7%, Medtronic, up 17.0%, and Express Scripts, up 15.4%.
Fund performance (Institutional Class shares) since commencing operations in May 2011 is shown on the following page, with negative quarters highlighted in red:
3
EIC VALUE FUND
Semi-Annual Investment Adviser’s Report (Continued)
October 31, 2014
(Unaudited)
Quarter Ended | EIC Value Fund (Institutional Class Shares) | Russell 3000 Value® Index | S&P 500® Index | |||||
07/31/2011 | -2.40% | -6.39% | -4.76% | |||||
10/31/2011 | 1.13% | -3.70% | -2.47% | |||||
01/31/2012 | 4.07% | 5.54% | 5.32% | |||||
04/30/2012 | 4.40% | 5.75% | 7.08% | |||||
07/31/2012 | -0.28% | -0.35% | -0.78% | |||||
10/31/2012 | 3.01% | 4.94% | 2.96% | |||||
01/31/2013 | 4.01% | 8.81% | 6.75% | |||||
04/30/2013 | 5.76% | 6.91% | 7.18% | |||||
07/31/2013 | 4.94% | 7.31% | 6.10% | |||||
10/31/2013 | 2.23% | 3.05% | 4.75% | |||||
01/31/2014 | 0.19% | 1.66% | 2.00% | |||||
04/30/2014 | 7.62% | 7.45% | 6.23% | |||||
07/31/2014 | 1.27% | 2.05% | 3.02% | |||||
10/31/2014 | 3.24% | 3.84% | 5.05% | |||||
11.52% | 13.64% | 14.25% | ||||||
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (855) 430-6487.
|
The Fund declined less than the indices in each of the three down quarters (and was positive in one), which is consistent with our historical return pattern. Though the Fund has been in operation only since May of 2011, we’ve been managing client assets using the same investment approach since 1986. The Fund’s three-year experience closely parallels our 29-year pattern of less-volatile returns1. Historically, our accounts have declined less in down markets, recovered losses relatively quickly, and then lagged late-cycle (when low-quality or momentum stocks led). Thus, over full market cycles our approach has paired lower volatility with above-market results.
Portfolio Activity & Tax Management
During the six-month period, we sold Southern Company, Northrop Grumman and Charles Schwab & Co. All three performed well and reached price levels that we believe reflect full value given current earnings and likely growth. We also sold Becton Dickinson when it announced its acquisition of CareFusion. We viewed the acquisition as a negative, while the market viewed it much more positively, pushing Becton Dickinson’s share price higher. Consequently, we chose to sell our position as the stock approached our target price. Finally, we trimmed our positions in Molson Coors and Dr Pepper Snapple Group, two of our top-performing investments.
We added to existing positions in Express Scripts, Travelers, and Wal-Mart. We also bought two new names. In May, we re-established a position in eBay, which we had sold in early 2013. Revenues and earnings grew in the mid-teens since our sale, but the stock had declined, partially due to eBay’s decision to incur a tax payment by repatriating cash held overseas. Additionally, we made some changes to our energy exposure by selling Devon Energy, trimming Exelon (which had experienced a strong price increase), and buying Southwestern Energy. As energy prices sold off in September and October, stock prices of energy companies fell broadly. We viewed the
4
EIC VALUE FUND
Semi-Annual Investment Adviser’s Report (Concluded)
October 31, 2014
(Unaudited)
declines as somewhat indiscriminate and therefore creating opportunity. For example, Devon has substantial, and rising, exposure to oil; thus, its price decline struck us as rational given the commodity’s decline. On the other hand, Southwestern Energy is focused almost entirely on natural gas, which had fallen roughly half as much as oil during the September-October sell-off. Yet Southwestern’s stock sold off about as much as Devon’s and was markedly cheaper, in our opinion, relative to its earnings power. Accordingly, we sold our relatively small position in Devon and purchased a modestly larger position in Southwestern.
After-tax returns matter most for taxable investors. Thus, we seek to minimize realized gains, especially the short-term variety, through long holding periods and proactive tax-loss harvesting. We typically harvest short-term losses throughout the year. This captures the loss so it can be used to offset any short-term gains. It also means we are taking advantage of price weakness to buy companies in which we want to be long-term owners. We believe this has improved both before-tax and after-tax returns for shareholders and is a better approach to tax management than selling into weakness during December’s normal tax-loss selling season. Through the fiscal year ended October 31, 2014, we estimate that 100% of the Fund’s realized gains have been long-term, and thus will be taxed at lower capital gains rates rather than ordinary income rates.
1 See pages 8-13 of the Fund’s prospectus dated September 1, 2014 for detailed historical performance information about EIC’s accounts.
This letter is intended to assist shareholders in understanding how the Fund performed during the year ended October 31, 2014 and reflects the views of the investment adviser at the time of this writing. Of course, these views may change and do not guarantee the future performance of the Fund or the markets.
The above commentary is for informational purposes only and does not represent an offer, recommendation or solicitation to buy, hold or sell any security. The specific securities identified and described do not represent all of the securities purchased or sold and you should not assume that investments in the securities identified and discussed will be profitable.
Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risk.
5
EIC VALUE FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||||||||||
Six Months† | 1 Year | 3 Years | Since Inception* | |||||||||||||
Class A Shares (without sales charge) | 4.34 | % | 12.45 | % | 13.79 | % | 11.42% | |||||||||
Class A Shares (with sales charge) | -1.41 | % | 6.28 | % | 11.68 | % | 9.62% | |||||||||
Russell 3000® Value Index | 5.97 | % | 15.76 | % | 20.23 | % | 14.35%** | |||||||||
S&P 500® Index | 8.22 | % | 17.27 | % | 19.77 | % | 14.93%** | |||||||||
Class C Shares (without CDSC charge) | 4.00 | % | 11.66 | % | 12.95 | % | 11.65% | |||||||||
Class C Shares (with CDSC charge) | 3.00 | % | 10.66 | % | 12.95 | % | 11.65% | |||||||||
Russell 3000® Value Index | 5.97 | % | 15.76 | % | 20.23 | % | 16.56%** | |||||||||
S&P 500® Index | 8.22 | % | 17.27 | % | 19.77 | % | 16.64%** | |||||||||
Institutional Class Shares | 4.55 | % | 12.73 | % | 14.08 | % | 11.52% | |||||||||
Return after Taxes on Distributions | 4.55 | % | 11.73 | % | 13.55 | % | 11.07% | |||||||||
Return after Taxes on Distributions and Sales of Shares | 2.58 | % | 7.53 | % | 10.84 | % | 8.87% | |||||||||
Russell 3000® Value Index | 5.97 | % | 15.76 | % | 20.23 | % | 13.64%** | |||||||||
S&P 500® Index | 8.22 | % | 17.27 | % | 19.77 | % | 14.25%** |
† | Not Annualized. |
* | Class A Shares, Class C Shares and Institutional Class Shares of the EIC Value Fund (the “Fund”) commenced operations on May 19, 2011, July 18, 2011 and May 1, 2011, respectively. |
** | Benchmark performance is from inception date of the class only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown and are not relevant if you hold your shares through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts. After-tax returns shown are for Institutional Shares only; after-tax returns for Class A and Class C shares and will vary. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (855) 430-6487.
6
EIC VALUE FUND
Semi-Annual Report
Performance Data (Concluded)
October 31, 2014
(Unaudited)
The returns shown for Class A Shares reflect a deduction for the maximum front-end sales charge of 5.50%. The returns shown for Class C Shares reflect a 1.00% contingent deferred sales charge (“CDSC”). All of the Fund’s share classes apply a 2.00% redemption fee to the value of shares redeemed within 30 days of purchase. This redemption fee is not reflected in the returns shown above. The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated September 1, 2014, are 1.28% and 1.29% for Class A Shares, 2.03% and 2.04% for Class C Shares and 1.03% and 1.04% for Institutional Class Shares, respectively, of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Equity Investment Corporation (the “Adviser”) has contractually agreed to waive or otherwise reduce its annual compensation received from the Fund to the extent that the Fund’s “Total Annual Fund Operating Expenses,” excluding taxes, any class-specific expenses (such as Rule 12b-1 distribution fees or shareholder service fees), “Acquired Fund Fees and Expenses,” interest, extraordinary items and brokerage commissions, exceed 1.00% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2015, unless the Board of Trustees of Fundvantage Trust approves its earlier termination. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
All mutual fund investing involves risk, including possible loss of principal. The Fund is new, with limited operating history. Value investing involves the risk that the Fund’s investing in companies believed to be undervalued will not appreciate as anticipated.
The Fund intends to evaluate performance as compared to that of the S&P 500® Index and the Russell 3000® Value Index. The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. The Russell 3000® Value Index is an unmanaged index that measures the performance of the 3,000 largest U.S. stocks, representing about 98% of the total capitalization of the entire U.S. stock market. It is impossible to invest directly in an index.
7
EIC VALUE FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs including sales charges (loads) on purchase payments (if any) or redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six month period from May 1, 2014 through October 31, 2014 and held for the entire period.
Actual Expenses
The first line of each accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of each accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any) or redemption fees. Therefore, the second line of each accompanying 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.
8
EIC VALUE FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
EIC Value Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Class A Shares | |||||||||||||||
Actual | $1,000.00 | $1,043.40 | $ 6.44 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.90 | 6.36 | ||||||||||||
Class C Shares | |||||||||||||||
Actual | $1,000.00 | $1,040.00 | $10.28 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.12 | 10.16 | ||||||||||||
Institutional Class Shares | |||||||||||||||
Actual | $1,000.00 | $1,045.50 | $ 5.16 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.16 | 5.09 |
* | Expenses are equal to the Fund’s annualized expense ratio for the six month period ended October 31, 2014 of 1.25%, 2.00%, and 1.00% for Class A, Class C, and Institutional Class Shares, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. The Fund’s ending account values on the first line in each table are based on the actual six month total returns for the Fund of 4.34%, 4.00%, and 4.55% for Class A, Class C, and Institutional Class Shares, respectively. |
9
EIC VALUE FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
COMMON STOCKS: | ||||||||||
Consumer, Non-cyclical | 26.1 | % | $ | 79,362,344 | ||||||
Financial | 23.0 | 69,904,326 | ||||||||
Consumer, Cyclical | 12.5 | 37,890,527 | ||||||||
Energy | 10.3 | 31,190,127 | ||||||||
Technology | 5.2 | 15,820,131 | ||||||||
Communications | 4.1 | 12,357,208 | ||||||||
Utilities | 3.4 | 10,200,929 | ||||||||
Basic Materials | 2.3 | 7,057,395 | ||||||||
REITs-Office Property | 0.9 | 2,645,893 | ||||||||
Short-Term Investment | 14.7 | 44,676,999 | ||||||||
Liabilities in Excess of Other Assets | (2.5 | ) | (7,609,675 | ) | ||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 303,496,204 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
10
EIC VALUE FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 87.8% |
| |||||||
Basic Materials — 2.3% | ||||||||
Barrick Gold Corp. | 252,855 | $ | 3,001,389 | |||||
Newmont Mining Corp. | 216,205 | 4,056,006 | ||||||
|
| |||||||
7,057,395 | ||||||||
|
| |||||||
Communications — 4.1% |
| |||||||
Cisco Systems, Inc. | 195,905 | 4,793,795 | ||||||
eBay, Inc.* | 144,065 | 7,563,413 | ||||||
|
| |||||||
12,357,208 | ||||||||
|
| |||||||
Consumer, Cyclical — 12.5% |
| |||||||
Bed Bath & Beyond, Inc.* | 116,315 | 7,832,652 | ||||||
CVS Health Corp. | 52,860 | 4,535,917 | ||||||
Target Corp. | 195,365 | 12,077,464 | ||||||
Wal-Mart Stores, Inc. | 176,275 | 13,444,494 | ||||||
|
| |||||||
37,890,527 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 26.1% |
| |||||||
Baxter International, Inc. | 101,450 | 7,115,703 | ||||||
Dr. Pepper Snapple Group, Inc. | 150,140 | 10,397,195 | ||||||
Express Scripts Holding Co.* | 129,060 | 9,914,389 | ||||||
GlaxoSmithKline PLC, SP ADR | 124,510 | 5,663,960 | ||||||
Johnson & Johnson | 42,285 | 4,557,477 | ||||||
Medtronic, Inc. | 160,625 | 10,948,200 | ||||||
Molson Coors Brewing Co., Class B | 125,705 | 9,349,938 | ||||||
PepsiCo, Inc. | 125,055 | 12,026,539 | ||||||
Procter & Gamble Co. (The) | 107,585 | 9,388,943 | ||||||
|
| |||||||
79,362,344 | ||||||||
|
| |||||||
Energy — 10.3% | ||||||||
Chevron Corp. | 62,445 | 7,490,278 | ||||||
ConocoPhillips | 105,055 | 7,579,718 | ||||||
Exxon Mobil Corp. | 107,185 | 10,365,861 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
Southwestern Energy Co.* | 177,000 | $ | 5,754,270 | |||||
|
| |||||||
31,190,127 | ||||||||
|
| |||||||
Financial — 23.0% | ||||||||
American Express Co. | 69,785 | 6,277,161 | ||||||
Annaly Capital Management, Inc. REIT | 377,185 | 4,303,681 | ||||||
Chubb Corp. (The) | 76,325 | 7,583,652 | ||||||
PNC Financial Services Group, Inc. (The) | 105,345 | 9,100,755 | ||||||
SunTrust Banks, Inc. | 117,750 | 4,608,735 | ||||||
T. Rowe Price Group, Inc. | 94,000 | 7,716,460 | ||||||
Torchmark Corp. | 85,155 | 4,509,809 | ||||||
Travelers Cos., Inc. (The) | 74,460 | 7,505,568 | ||||||
US Bancorp | 217,550 | 9,267,630 | ||||||
Wells Fargo & Co. | 170,105 | 9,030,875 | ||||||
|
| |||||||
69,904,326 | ||||||||
|
| |||||||
REITs-Office Property — 0.9% |
| |||||||
Mack-Cali Realty Corp. REIT | 141,265 | 2,645,893 | ||||||
|
| |||||||
Technology — 5.2% | ||||||||
Microsoft Corp. | 198,965 | 9,341,407 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd., SP ADR | 294,220 | 6,478,724 | ||||||
|
| |||||||
15,820,131 | ||||||||
|
| |||||||
Utilities — 3.4% | ||||||||
Exelon Corp. | 269,475 | 9,860,090 | ||||||
Southern Co. (The) | 7,352 | 340,839 | ||||||
|
| |||||||
10,200,929 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 266,428,880 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
11
EIC VALUE FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
SHORT-TERM INVESTMENT — 14.7% |
| |||||||
Money Market Fund — 14.7% |
| |||||||
Dreyfus Institutional Reserves Treasury Prime Fund 0.00%(a) | 44,676,999 | $ | 44,676,999 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENT | 44,676,999 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 102.5% |
| 311,105,879 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.5)% |
| (7,609,675 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% | $ | 303,496,204 | ||||||
|
|
* | Non-income producing. |
(a) | Rate periodically changes. Rate disclosed is the daily yield on October 31, 2014. |
REIT | Real Estate Investment Trust | |
SP ADR | Sponsored Depositary Receipt |
The accompanying notes are an integral part of the financial statements.
12
EIC VALUE FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | |||||
Investments, at value (Cost $267,611,935) | $ | 311,105,879 | |||
Receivable for capital shares sold | 1,005,028 | ||||
Dividends and interest receivable | 227,031 | ||||
Prepaid expenses and other assets | 72,904 | ||||
|
| ||||
Total assets | 312,410,842 | ||||
|
| ||||
Liabilities | |||||
Payable for investments purchased | 8,093,483 | ||||
Payable for capital shares redeemed | 439,578 | ||||
Payable to Adviser | 201,604 | ||||
Payable for distribution fees | 50,927 | ||||
Payable for administration and accounting fees | 49,341 | ||||
Payable for transfer agent fees | 31,893 | ||||
Payable for shareholder servicing fees | 11,470 | ||||
Payable for custodian fees | 8,293 | ||||
Accrued expenses | 28,049 | ||||
|
| ||||
Total liabilities | 8,914,638 | ||||
|
| ||||
Net Assets | $ | 303,496,204 | |||
|
| ||||
Net Assets Consisted of: | |||||
Capital stock, $0.01 par value | $ | 217,466 | |||
Paid-in capital | 247,793,636 | ||||
Accumulated net investment income | 1,872,328 | ||||
Accumulated net realized gain from investments | 10,118,830 | ||||
Net unrealized appreciation on investments | 43,493,944 | ||||
|
| ||||
Net Assets | $ | 303,496,204 | |||
|
| ||||
Class A: |
Net asset value, offering and redemption price per share | $13.95 | ||||
|
| ||||
Maximum offering price per share (100/94.5 of $13.95) | $14.76 | ||||
|
| ||||
Class C: | |||||
Net asset value, offering and redemption price per share | $13.77 | ||||
|
| ||||
Institutional Class: | |||||
Net asset value, offering and redemption price per share | $14.02 | ||||
|
|
The accompanying notes are an integral part of the financial statements.
13
EIC VALUE FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Dividends | $ | 3,069,165 | ||
Less: foreign taxes withheld | (29,951 | ) | ||
|
| |||
Total investment income | 3,039,214 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 1,064,837 | |||
Distribution fees (Class C) (Note 2) | 196,943 | |||
Distribution fees (Class A) (Note 2) | 137,146 | |||
Administration and accounting fees (Note 2) | 93,471 | |||
Shareholder servicing fees (Class C) (Note 2) | 65,648 | |||
Transfer agent fees (Note 2) | 62,569 | |||
Legal fees | 21,016 | |||
Trustees’ and officers’ fees (Note 2) | 18,865 | |||
Custodian fees (Note 2) | 16,174 | |||
Printing and shareholder reporting fees | 14,373 | |||
Registration and filing fees | 13,391 | |||
Audit fees | 13,096 | |||
Other expenses | 13,520 | |||
|
| |||
Total expenses before recoupment | 1,731,049 | |||
|
| |||
Plus: Net expenses recouped (Note 2) | 87,480 | |||
|
| |||
Net expenses after recoupment | 1,818,529 | |||
|
| |||
Net investment income | 1,220,685 | |||
|
| |||
Net realized and unrealized gain from investments: | ||||
Net realized gain from investments | 7,432,645 | |||
Net change in unrealized appreciation on investments | 3,335,616 | |||
|
| |||
Net realized and unrealized gain on investments | 10,768,261 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 11,988,946 | ||
|
|
The accompanying notes are an integral part of the financial statements.
14
EIC VALUE FUND
Statements of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||
Increase in net assets from operations: | ||||||||||
Net investment income | $ | 1,220,685 | $ | 1,861,893 | ||||||
Net realized gain from investments | 7,432,645 | 5,871,462 | ||||||||
Net change in unrealized appreciation from investments | 3,335,616 | 22,390,799 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 11,988,946 | 30,124,154 | ||||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Net investment income: | ||||||||||
Class A | — | (868,727 | ) | |||||||
Class C | — | (154,572 | ) | |||||||
Institutional Class | — | (661,434 | ) | |||||||
|
|
|
| |||||||
Total net investment income | — | (1,684,733 | ) | |||||||
|
|
|
| |||||||
Net realized capital gains: | ||||||||||
Class A | — | (2,072,373 | ) | |||||||
Class C | — | (798,124 | ) | |||||||
Institutional Class | — | (1,323,450 | ) | |||||||
|
|
|
| |||||||
Total net realized capital gains | — | (4,193,947 | ) | |||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | — | (5,878,680 | ) | |||||||
|
|
|
| |||||||
Increase in Net Assets Derived from Capital Share Transactions (Note 4) | 36,825,557 | 62,008,693 | ||||||||
|
|
|
| |||||||
Total increase in net assets | 48,814,503 | 86,254,167 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 254,681,701 | 168,427,534 | ||||||||
|
|
|
| |||||||
End of period | $ | 303,496,204 | $ | 254,681,701 | ||||||
|
|
|
| |||||||
Accumulated net investment income, end of period | $ | 1,872,328 | $ | 651,643 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
15
EIC VALUE FUND
Financial Highlights
Contained below is per share operating performance data for Class A Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class A | ||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Period May 19, 2011* to April 30, 2012 | |||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.37 | $ | 11.91 | $ | 10.65 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income(1) | 0.06 | 0.12 | 0.12 | 0.08 | ||||||||||||||||
Net realized and unrealized gain on investments | 0.52 | 1.70 | 1.22 | 0.61 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 0.58 | 1.82 | 1.34 | 0.69 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | — | (0.11 | ) | (0.08 | ) | (0.04 | ) | |||||||||||||
Net realized capital gains | — | (0.25 | ) | — | (2) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | — | (0.36 | ) | (0.08 | ) | (0.04 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 13.95 | $ | 13.37 | $ | 11.91 | $ | 10.65 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return(3) | 4.34 | % | 15.46 | % | 12.73 | % | 6.97 | % | ||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 80,594 | $ | 130,805 | $ | 83,932 | $ | 33,969 | ||||||||||||
Ratio of expenses to average net assets | 1.25 | %(4) | 1.25 | % | 1.25 | % | 1.25 | %(4) | ||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements and recoupments, if any(5) | 1.19 | %(4) | 1.24 | % | 1.35 | % | 2.07 | %(4) | ||||||||||||
Ratio of net investment income to average net assets | 0.90 | %(4) | 0.95 | % | 1.12 | % | 0.81 | %(4) | ||||||||||||
Portfolio turnover rate | 11.34 | %(6) | 19.08 | % | 12.06 | % | 12.68 | %(7) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total return for periods less than one year are not annualized. Total investment return does not reflect the impact of the maximum front-end sales load of 5.50%. If reflected, the return would be lower. |
(4) | Annualized. |
(5) | During the period, certain fees were waived, reimbursed and/or recouped. If such fee waivers, reimbursements and/or recoupments had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
(7) | Reflects portfolio turnover for the Fund for the year ended April 30, 2012. |
The accompanying notes are an integral part of the financial statements.
16
EIC VALUE FUND
Financial Highlights
Contained below is per share operating performance data for Class C Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class C | ||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unrealized) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Period July 18, 2011* to April 30, 2012 | |||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.24 | $ | 11.84 | $ | 10.61 | $ | 9.88 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income/(loss)(1) | 0.01 | 0.03 | 0.04 | (0.01 | ) | |||||||||||||||
Net realized and unrealized gain on investments | 0.52 | 1.67 | 1.22 | 0.77 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 0.53 | 1.70 | 1.26 | 0.76 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | — | (0.05 | ) | (0.03 | ) | (0.03 | ) | |||||||||||||
Net realized capital gains | — | (0.25 | ) | — | (2) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | — | (0.30 | ) | (0.03 | ) | (0.03 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 13.77 | $ | 13.24 | $ | 11.84 | $ | 10.61 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return(3) | 4.00 | % | 14.52 | % | 11.93 | % | 7.75 | % | ||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 56,205 | $ | 48,016 | $ | 31,129 | $ | 13,756 | ||||||||||||
Ratio of expenses to average net assets | 2.00 | %(4) | 2.00 | % | 2.00 | % | 2.00 | %(4) | ||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements and recoupments, if any(5) | 1.94 | %(4) | 1.99 | % | 2.10 | % | 2.69 | %(4) | ||||||||||||
Ratio of net investment income/(loss) to average net assets | 0.14 | %(4) | 0.21 | % | 0.38 | % | (0.01 | )%(4) | ||||||||||||
Portfolio turnover rate | 11.34 | %(6) | 19.08 | % | 12.06 | % | 12.68 | %(7) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. Total return does not reflect any applicable sales charge. |
(4) | Annualized. |
(5) | During the period, certain fees were waived, reimbursed and/or recouped. If such fee waivers, reimbursements and/or recoupments had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
(7) | Reflects portfolio turnover for the Fund for the year ended April 30, 2012. |
The accompanying notes are an integral part of the financial statements.
17
EIC VALUE FUND
Financial Highlights
Contained below is per share operating performance data for Institutional Class Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class | ||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012* | |||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.41 | $ | 11.94 | $ | 10.67 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income(1) | 0.08 | 0.15 | 0.15 | 0.11 | ||||||||||||||||
Net realized and unrealized gain on investments | 0.53 | 1.70 | 1.22 | 0.61 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 0.61 | 1.85 | 1.37 | 0.72 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | — | (0.13 | ) | (0.10 | ) | (0.05 | ) | |||||||||||||
Net realized capital gains | — | (0.25 | ) | — | (2) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | — | (0.38 | ) | (0.10 | ) | (0.05 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 14.02 | $ | 13.41 | $ | 11.94 | $ | 10.67 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return(3) | 4.55 | % | 15.68 | % | 12.99 | % | 7.24 | % | ||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 166,697 | $ | 75,860 | $ | 53,367 | $ | 18,754 | ||||||||||||
Ratio of expenses to average net assets | 1.00 | %(4) | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements and recoupments, if any(5) | 0.94 | %(4) | 0.99 | % | 1.10 | % | 2.40 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.13 | %(4) | 1.21 | % | 1.37 | % | 1.13 | % | ||||||||||||
Portfolio turnover rate | 11.34 | %(6) | 19.08 | % | 12.06 | % | 12.68 | % |
* | The Institutional Class commenced operations on May 1, 2011. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | During the period, certain fees were waived, reimbursed and/or recouped. If such fee waivers, reimbursements and/or recoupments had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
18
EIC VALUE FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The EIC Value Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), which commenced operations on May 1, 2011. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares, Class A, Class C, Institutional Class and Retail Class Shares. Class A Shares are sold subject to a front-end sales charge. Front-end sales charges may be reduced or waived under certain circumstances. A contingent deferred sales charge (“CDSC”) may be applicable to the redemption of Class A Shares. A CDSC, as a percentage of the lower of the original purchase price or net asset value at redemption, of up to 1.00% may be imposed on full or partial redemptions of Class A Shares made within eighteen months (effective September 1, 2012) of purchase where $1 million or more of Class A Shares were purchased without an initial sales charge and (ii) the Fund’s principal underwriter, Foreside Funds Distributors LLC (the “Underwriter”), paid a commission to the selling broker-dealer for such sale. A CDSC of up to 1.00% is assessed on redemptions of Class C Shares made within eighteen months (effective January 1, 2012) after a purchase. As of October 31, 2014, the Retail Class Shares had not been issued.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost which approximates market value. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
19
EIC VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
• | Level 1 — quoted prices in active markets for identical securities; |
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Value at 10/31/14 | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks* | $ | 266,428,880 | $ | 266,428,880 | $ | — | $ | — | ||||||||
Short-Term Investment | 44,676,999 | 44,676,999 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 311,105,879 | $ | 311,105,879 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
* | Please refer to Portfolio of Investments for further details on portfolio holdings. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or are otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase
20
EIC VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the period ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
21
EIC VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
Equity Investment Corporation (“EIC” or the “Adviser”) serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 0.75% of the Fund’s average daily net assets. The Adviser has contractually agreed to waive or otherwise reduce its annual compensation received from the Fund to the extent that the Fund’s “Total Annual Fund Operating Expenses,” excluding taxes, any class-specific fees and expenses (such as Rule 12b-1 distribution fees or shareholder service fees), “Acquired Fund Fees and Expenses,” interest, extraordinary items and brokerage commissions, exceed 1.00% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2015, unless the Board of Trustees approves its earlier termination. Subject to approval by the Board of Trustees, the Adviser may recoup any expenses or fees it has reimbursed within a three-year period from the year in which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation. As of October 31, 2014, the amount of potential recovery was as follows:
Expiration | ||
April 30, 2015 | April 30, 2016 | |
$114,599 | $115,931 |
As of October 31, 2014, investment advisory fees payable to the Adviser were $201,604. For the period ended October 31, 2014, the Adviser recouped fees of $87,480 waived in prior periods.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.
22
EIC VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Class A and Class C Shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Class A and Class C Shares plan, the Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25% and 1.00% (0.75% distribution fee and 0.25% shareholder service fee) on an annualized basis of the average daily net assets of the Fund’s Class A and Class C Shares, respectively.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six months ended October 31, 2014 was $9,796. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the period ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 64,418,985 | $ | 27,900,323 |
23
EIC VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
4. Capital Share Transactions
For the six months ended October 31, 2014 and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Sales | 1,567,434 | $ | 21,306,853 | 4,602,351 | $ | 58,121,568 | ||||||||||
Reinvestments | — | — | 223,981 | 2,817,677 | ||||||||||||
Redemption Fees* | — | 209 | — | 3,553 | ||||||||||||
Redemptions | (5,577,641 | ) | (77,101,368 | ) | (2,086,233 | ) | (26,366,382 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | (4,010,207 | ) | $ | (55,794,306 | ) | 2,740,099 | $ | 34,576,416 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Sales | 617,592 | $ | 8,339,451 | 1,228,316 | $ | 15,389,748 | ||||||||||
Reinvestments | — | — | 72,196 | 902,372 | ||||||||||||
Redemption Fees* | — | 88 | — | 1,291 | ||||||||||||
Redemptions | (162,781 | ) | (2,208,419 | ) | (303,895 | ) | (3,828,767 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 454,811 | $ | 6,131,120 | 996,617 | $ | 12,464,644 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class Shares | ||||||||||||||||
Sales | 7,031,420 | $ | 97,446,781 | 2,994,753 | $ | 37,742,003 | ||||||||||
Reinvestments | — | — | 126,373 | 1,594,828 | ||||||||||||
Redemption Fees* | — | 177 | — | 2,214 | ||||||||||||
Redemptions | (797,022 | ) | (10,958,215 | ) | (1,935,043 | ) | (24,371,412 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 6,234,398 | $ | 86,488,743 | 1,186,083 | $ | 14,967,633 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Increase | 2,679,002 | $ | 36,825,557 | 4,922,799 | $ | 62,008,693 | ||||||||||
|
|
|
|
|
|
|
|
* | There is a 2.00% redemption fee that may be charged on shares redeemed which have been held for 30 days or less. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in-capital. |
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based
24
EIC VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year ended April 30, 2014, the tax character of distributions paid by the Fund was $1,739,645 of ordinary income dividends and $4,139,035 of long-term capital gains dividends. For the year ended April 30, 2013, the tax character of distributions paid by the Fund was $921,606 of ordinary income dividends and $44 of long-term capital gains dividends. Distributions from net investment income and short term gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | |||
$ — | $651,643 | $2,686,185 | $40,158,328 |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 267,611,935 | ||||
|
| |||||
Gross unrealized appreciation | $ | 50,073,120 | ||||
Gross unrealized depreciation | (6,579,176 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 43,493,944 | ||||
|
|
Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Fund did not have any capital loss carryforwards.
25
EIC VALUE FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
26
EIC VALUE FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (855) 430-6487 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
27
Investment Adviser
Equity Investment Corporation
3007 Piedmont Road, NE
Suite 200
Atlanta, GA 30305
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
of
FundVantage Trust
Class A Shares
Class C Shares
Institutional Class Shares
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the EIC Value Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the EIC Value Fund.
EICVF-SAR-1214
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns For the Periods Ended October 31, 2014 | ||||||||||
Six Months† | 1 Year | 3 Years | Since Inception* | |||||||
Class I Shares | 1.16% | 3.44% | 5.01% | 3.78% | ||||||
Barclays Intermediate Government/Credit Bond Index | 1.39% | 2.28% | 2.15% | 2.86%** | ||||||
Barclays U.S. Aggregate Bond Index | 2.36% | 4.14% | 2.73% | 3.59%** |
† | Not Annualized. |
* | The Estabrook Investment Grade Fixed Income Fund (the “Fund”) commenced operations on July 23, 2010. |
** | Benchmark performance is from the inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 447-7443. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual Fund gross and net operating expense ratios are 1.41% and 0.70%, respectively, for Class I Shares of the Fund’s average daily net assets. These ratios are stated in the current prospectus dated September 1, 2014, and may differ from the actual expenses incurred by the Fund for the period covered by this report. Estabrook Capital Management LLC (the “Adviser”) has contractually agreed to reduce its fees or reimburse the Fund’s operating expenses in order to limit the total annual operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) for Class I Shares to 0.70%. This agreement will terminate on August 31, 2015, unless the Board of Trustees of FundVantage Trust approves an earlier termination. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
A 1% redemption fee applies to shares redeemed within 90 days of purchase. This redemption fee is not reflected in the returns shown above.
The Fund intends to evaluate performance as compared to that of the Barclays Intermediate Government/Credit Bond Index (“Barclays Int. Gov./Cr. Index”). The Fund uses the Barclays U.S. Aggregate Bond Index (“Barclays U.S. Aggregate Bond Index”) as a secondary index. The Barclays Int. Gov./Cr. Index is an unmanaged market index that tracks performance of intermediate term U.S. government and corporate bonds. The Barclays U.S. Aggregate Bond Index is an intermediate term, broad-based index comprised of most U.S traded investment grade bonds. Barclays U.S. Aggregate Bond Index covers the USD-denominated, investment-grade (rated Baa3 or above by Moody’s), fixed-rate, and taxable areas of the bond market. This is the broadest measure of the taxable U.S. bond market, including most Treasury, agency, corporate, mortgage-backed, asset-backed, and international dollar-denominated issues, all with maturities of 1 year or more. It is impossible to invest directly in an index. The Fund is subject to the
1
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Semi-Annual Report
Performance Data (Concluded)
October 31, 2014
(Unaudited)
same risks as the underlying bonds in the portfolio such as credit, call and interest rate risk. As interest rates rise the value of bond prices will decline. The Fund may invest in high yield debt (also known as junk bonds) which may cause greater volatility and less liquidity. You may lose money by investing in the Fund.
2
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from May 1, 2014 through October 31, 2014 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line 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 second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, 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 accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying 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.
3
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
Estabrook Investment Grade Fixed Income Fund – Class I | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Actual | $1,000.00 | $1,011.60 | $3.55 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.68 | 3.57 |
* | Expenses are equal to the Fund’s annualized expense ratio for the six-month period ended October 31, 2014 of 0.70%, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184) then divided by 365 days to reflect the period. The Fund’s ending account value on the first line in the table is based on the actual six-month total return for the Fund of 1.16%. |
4
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
Corporate Bonds and Notes | 80.8 | % | $ | 27,391,315 | ||||||
U.S. Treasury Obligations | 17.8 | 6,048,321 | ||||||||
Other Assets in Excess of Liabilities | 1.4 | 488,053 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 33,927,689 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
5
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — 80.8% |
| |||||||
Advertising Agencies — 1.5% |
| |||||||
Interpublic Group of Cos, Inc. (The) | $ | 500,000 | $ | 508,582 | ||||
|
| |||||||
Airlines — 0.6% | ||||||||
Delta Air Lines | 200,000 | 208,500 | ||||||
|
| |||||||
Applications Software — 0.7% |
| |||||||
Microsoft Corp. | 250,000 | 246,282 | ||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original — 1.3% |
| |||||||
Delphi Corp. Callable 02/15/2018 at 102.5 | 400,000 | 428,500 | ||||||
|
| |||||||
Auto-Cars/Light Trucks — 5.6% |
| |||||||
General Motors Co. | 500,000 | 515,000 | ||||||
General Motors Co. | 1,000,000 | 1,071,250 | ||||||
Harley-Davidson Financial Services, Inc. | 300,000 | 311,939 | ||||||
|
| |||||||
1,898,189 | ||||||||
|
| |||||||
Beverages-Non-alcoholic — 0.7% |
| |||||||
PepsiCo, Inc. Callable 12/07/2018 at 100.0 | 250,000 | 253,637 | ||||||
|
|
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Cable/Satellite TV — 2.3% |
| |||||||
Comcast Corp. Callable 11/15/2024 at 100.0 | $ | 250,000 | $ | 252,051 | ||||
DIRECTV Holdings, LLC DIRECTV Financing Co., Inc. Callable 01/01/2024 at 100.0 | 500,000 | 521,666 | ||||||
|
| |||||||
773,717 | ||||||||
|
| |||||||
Chemicals-Diversified — 0.6% |
| |||||||
E.I. Du Pont de Nemours & Co. | 200,000 | 203,243 | ||||||
|
| |||||||
Commercial Banks Non-US — 0.8% |
| |||||||
Abbey National Treasury Services PLC (London) | 250,000 | 260,034 | ||||||
|
| |||||||
Commercial Banks-Eastern US — 1.2% |
| |||||||
CIT Group, Inc. | 400,000 | 417,500 | ||||||
|
| |||||||
Computers — 1.5% | ||||||||
Hewlett-Packard Co. | 500,000 | 498,173 | ||||||
|
| |||||||
Diversified Banking Institutions — 20.4% |
| |||||||
Bank of America Corp. | 400,000 | 405,748 | ||||||
Bank of America Corp. | 250,000 | 292,092 | ||||||
Bank of America Corp. Callable 06/17/2019 at 100.0 | 500,000 | 485,000 |
The accompanying notes are an integral part of the financial statements.
6
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Diversified Banking Institutions — (Continued) |
| |||||||
Citigroup, Inc. | $ | 1,000,000 | $ | 1,003,895 | ||||
Citigroup, Inc. | 500,000 | 501,801 | ||||||
Goldman Sachs Group, Inc. | 300,000 | 302,232 | ||||||
Goldman Sachs Group, Inc. (The) | 400,000 | 403,732 | ||||||
Goldman Sachs Group, Inc. (The) | 750,000 | 757,678 | ||||||
JPMorgan Chase & Co. | 300,000 | 303,863 | ||||||
JPMorgan Chase & Co. | 100,000 | 100,126 | ||||||
JPMorgan Chase & Co. Callable 04/30/2018 at 100.0 | 250,000 | 270,937 | ||||||
Morgan Stanley | 1,000,000 | 996,778 | ||||||
Morgan Stanley | 250,000 | 248,188 | ||||||
Morgan Stanley | 350,000 | 350,950 | ||||||
Morgan Stanley Callable 07/15/2019 at 100.0 | 500,000 | 502,344 | ||||||
|
| |||||||
6,925,364 | ||||||||
|
|
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Diversified Financial Services — 1.5% |
| |||||||
General Electric Capital Corp. | $ | 500,000 | $ | 508,449 | ||||
|
| |||||||
Electronic Components-Semiconductor — 0.7% |
| |||||||
Texas Instruments, Inc. | 250,000 | 244,942 | ||||||
|
| |||||||
Enterprise Software/Services — 1.5% |
| |||||||
Oracle Corp. | 500,000 | 503,968 | ||||||
|
| |||||||
Finance-Auto Loans — 13.1% |
| |||||||
Ally Financial, Inc. | 500,000 | 503,750 | ||||||
Ally Financial, Inc. | 1,000,000 | 1,050,000 | ||||||
Ally Financial, Inc. | 500,000 | 503,750 | ||||||
Ford Motor Credit Co., LLC | 650,000 | 649,093 | ||||||
Ford Motor Credit Co., LLC | 400,000 | 457,740 | ||||||
Ford Motor Credit Co., LLC | 500,000 | 497,084 | ||||||
General Motors Financial Co., Inc. | 250,000 | 266,875 | ||||||
General Motors Financial Co., Inc. | 500,000 | 511,250 | ||||||
|
| |||||||
4,439,542 | ||||||||
|
| |||||||
Finance-Credit Card — 0.6% |
| |||||||
American Express Credit Corp. | 200,000 | 201,216 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
7
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Hotels&Motels — 0.8% | ||||||||
Wyndham Worldwide Corp. Callable 02/01/2017 at 100.0 | $ | 250,000 | $ | 256,094 | ||||
|
| |||||||
Life/Health Insurance — 2.6% |
| |||||||
Lincoln National Corp. Callable 05/17/2016 at 100.0 | 600,000 | 615,000 | ||||||
Prudential Financial, Inc. | 250,000 | 252,234 | ||||||
|
| |||||||
867,234 | ||||||||
|
| |||||||
Multi-line Insurance — 4.0% |
| |||||||
Genworth Holdings, Inc. Callable 11/15/2016 at 100.0 | 1,200,000 | 1,026,000 | ||||||
MetLife, Inc. Callable 08/01/2034 at 100.0 | 200,000 | 324,500 | ||||||
|
| |||||||
1,350,500 | ||||||||
|
| |||||||
Multimedia — 1.2% |
| |||||||
NBC Universal Media, LLC | 200,000 | 206,143 | ||||||
Time Warner, Inc. | 200,000 | 203,577 | ||||||
|
| |||||||
409,720 | ||||||||
|
| |||||||
Oil Companies-Exploration&Production — 0.6% |
| |||||||
Anadarko Petroleum Corp. | 200,000 | 217,331 | ||||||
|
|
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Oil&Gas Drilling — 0.7% |
| |||||||
Rowan Cos, Inc. Callable 10/15/2023 at 100.0 | $ | 250,000 | $ | 248,973 | ||||
|
| |||||||
Pipelines — 1.3% | ||||||||
Energy Transfer Partners LP Callable 11/01/2022 at 100.0 | 200,000 | 195,937 | ||||||
Enterprise Products Operating LLC Callable 01/15/2018 at 100.0 | 235,000 | 261,438 | ||||||
|
| |||||||
457,375 | ||||||||
|
| |||||||
Reinsurance — 1.2% | ||||||||
Berkshire Hathaway, Inc. | 400,000 | 400,205 | ||||||
|
| |||||||
REITS-Office Property — 0.6% | ||||||||
BioMed Realty LP Callable 03/15/2016 at 100.0 | 200,000 | 207,932 | ||||||
|
| |||||||
REITS-Shopping Centers — 1.9% |
| |||||||
DDR Corp. | 165,000 | 168,723 | ||||||
DDR Corp. | 200,000 | 226,800 | ||||||
Kimco Realty Corp. Callable 03/01/2021 at 100.0 | 250,000 | 252,122 | ||||||
|
| |||||||
647,645 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
8
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
REITS-Warehouse/Industry — 1.5% |
| |||||||
Prologis LP Callable 11/01/2020 at 100.0 | $ | 500,000 | $ | 505,222 | ||||
|
| |||||||
Retail-Discount — 0.7% | ||||||||
Wal-Mart Stores, Inc. | 250,000 | 246,819 | ||||||
|
| |||||||
Retail-Drug Store — 0.7% | ||||||||
Walgreen Co. | 250,000 | 250,913 | ||||||
|
| |||||||
Retail-Mail Order — 1.2% | ||||||||
QVC, Inc. | 400,000 | 389,676 | ||||||
|
| |||||||
Super-Regional Banks-US — 4.9% |
| |||||||
PNC Financial Services Group, Inc. (The) Callable 12/15/2014 at 100.0 | 895,000 | 896,119 | ||||||
Wells Fargo & Co. | 500,000 | 500,028 | ||||||
Wells Fargo & Co. | 250,000 | 253,569 | ||||||
|
| |||||||
1,649,716 | ||||||||
|
| |||||||
Telephone-Integrated — 2.3% |
| |||||||
Verizon Communications, Inc. Callable 12/15/2023 at 100.0 | 500,000 | 520,061 |
Par Value | Value | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Telephone-Integrated — (Continued) |
| |||||||
Verizon Communications, Inc. Callable 08/01/2024 at 100.0 | $ | 250,000 | $ | 246,061 | ||||
|
| |||||||
766,122 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS AND NOTES | 27,391,315 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 17.8% |
| |||||||
Sovereign — 17.8% | ||||||||
0.250%, 11/30/2015 | 500,000 | 500,430 | ||||||
0.250%, 12/31/2015 | 500,000 | 500,391 | ||||||
0.500%, 06/30/2016 | 500,000 | 501,133 | ||||||
0.500%, 07/31/2016 | 1,000,000 | 1,002,031 | ||||||
0.500%, 09/30/2016 | 750,000 | 750,352 | ||||||
0.625%, 10/15/2016 | 400,000 | 400,906 | ||||||
1.000%, 05/31/2018 | 1,400,000 | 1,389,172 | ||||||
2.375%, 08/15/2024 | 1,000,000 | 1,003,906 | ||||||
|
| |||||||
6,048,321 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS | 6,048,321 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 98.6% |
| 33,439,636 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% |
| 488,053 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 33,927,689 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
9
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
(a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities were purchased in accordance with the guidelines approved by the Fund’s Board of Trustees and may be resold, in transactions exempt from registration, to qualified institutional buyers. At October 31, 2014, these securities amounted to $701,615 or 2.1% of net assets. These securities have been determined by the Adviser to be liquid securities. |
(b) | Variable or Floating Rate Security. Rate shown is as of October 31, 2014. |
(c) | Security is a perpetual bond and has no definite maturity date. |
(d) | Fix-to Float Security. Rate shown is as of October 31, 2014. |
(e) | Dividend paying security. |
REIT | Real Estate Investment Trust |
PLC | Public Limited Company |
Please note that securities are classified according to the Bloomberg Sub-Industry Categories. We believe this is the classification that best reflects the industry and risks associated with each position.
The accompanying notes are an integral part of the financial statements.
10
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | ||||
Investments, at value (Cost $32,953,681) | $ | 33,439,636 | ||
Cash | 326,656 | |||
Dividends and interest receivable | 237,528 | |||
Receivable from Investment Adviser | 2,179 | |||
Prepaid expenses and other assets | 7,142 | |||
|
| |||
Total assets | 34,013,141 | |||
|
| |||
Liabilities | ||||
Payable for capital shares redeemed | 17,196 | |||
Payable for administration and accounting fees | 16,829 | |||
Payable for transfer agent fees | 13,296 | |||
Payable for legal fees | 12,991 | |||
Payable for audit fees | 11,458 | |||
Payable for printing fees | 10,923 | |||
Payable for custodian fees | 2,745 | |||
Accrued expenses | 14 | |||
|
| |||
Total liabilities | 85,452 | |||
|
| |||
Net Assets | $ | 33,927,689 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 32,717 | ||
Paid-in capital | 33,222,857 | |||
Accumulated net investment loss | (15,579 | ) | ||
Accumulated net realized gain from investments | 201,739 | |||
Net unrealized appreciation on investments | 485,955 | |||
|
| |||
Net Assets | $ | 33,927,689 | ||
|
| |||
Class I: | ||||
Shares outstanding | 3,271,715 | |||
|
| |||
Net asset value, offering and redemption price per share ($33,927,689 / 3,271,715 shares) | $ | 10.37 | ||
|
|
The accompanying notes are an integral part of the financial statements.
11
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Interest | $ | 512,090 | ||
|
| |||
Total investment income | 512,090 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 111,338 | |||
Administration and accounting fees (Note 2) | 27,711 | |||
Transfer agent fees (Note 2) | 20,497 | |||
Legal fees | 18,742 | |||
Registration and filing fees | 18,580 | |||
Audit fees | 12,246 | |||
Custodian fees (Note 2) | 7,086 | |||
Trustees’ and officers’ fees (Note 2) | 5,594 | |||
Printing and shareholder reporting fees | 5,577 | |||
Other expenses | 3,153 | |||
|
| |||
Total expenses before waivers and reimbursements | 230,524 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (110,622 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 119,902 | |||
|
| |||
Net investment income | 392,188 | |||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized gain from investments | 105,315 | |||
Net change in unrealized depreciation on investments | (110,939 | ) | ||
|
| |||
Net realized and unrealized loss on investments | (5,624 | ) | ||
|
| |||
Net increase in net assets resulting from operations | $ | 386,564 | ||
|
|
The accompanying notes are an integral part of the financial statements.
12
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Statement of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||
Increase/(decrease) in net assets from operations: | ||||||||||
Net investment income | $ | 392,188 | $ | 786,805 | ||||||
Net realized gain from investments | 105,315 | 142,263 | ||||||||
Net change in unrealized depreciation from investments | (110,939 | ) | (779,417 | ) | ||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 386,564 | 149,651 | ||||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Net investment income: | ||||||||||
Class I | (392,326 | ) | (786,805 | ) | ||||||
Net realized capital gains: | ||||||||||
Class I | — | (190,899 | ) | |||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (392,326 | ) | (977,704 | ) | ||||||
|
|
|
| |||||||
Increase/(Decrease) in Net Assets Derived from Capital Share Transactions (Note 4) | (61,269 | ) | 3,086,113 | |||||||
|
|
|
| |||||||
Total increase/(decrease) in net assets | (67,031 | ) | 2,258,060 | |||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 33,994,720 | 31,736,660 | ||||||||
|
|
|
| |||||||
End of period | $ | 33,927,689 | $ | 33,994,720 | ||||||
|
|
|
| |||||||
Accumulated net investment loss, end of period | $ | (15,579 | ) | $ | (15,441 | ) | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
13
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Financial Highlights
Contained below is per share operating performance data for Class I Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class I | |||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Period July 23, 2010* to April 30, 2011 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.37 | $ | 10.66 | $ | 10.09 | $ | 10.06 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(1) | 0.12 | 0.26 | 0.32 | 0.32 | 0.17 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (0.00 | )(2) | (0.23 | ) | 0.57 | 0.03 | 0.06 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net increase in net assets resulting from operations | 0.12 | 0.03 | 0.89 | 0.35 | 0.23 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.26 | ) | (0.32 | ) | (0.32 | ) | (0.17 | ) | |||||||||||||||
Net realized capital gains | — | (0.06 | ) | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.12 | ) | (0.32 | ) | (0.32 | ) | (0.32 | ) | (0.17 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 10.37 | $ | 10.37 | $ | 10.66 | $ | 10.09 | $ | 10.06 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(3) | 1.16 | % | 0.38 | % | 8.99 | % | 3.52 | % | 2.29 | % | |||||||||||||||
Ratio/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 33,928 | $ | 33,995 | $ | 31,737 | $ | 17,464 | $ | 13,034 | |||||||||||||||
Ratio of expenses to average net assets | 0.70 | %(4) | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | %(4) | |||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(5) | 1.35 | %(4) | 1.41 | % | 1.69 | % | 2.49 | % | 2.65 | %(4) | |||||||||||||||
Ratio of net investment income to average net assets . | 2.29 | %(4) | 2.50 | % | 3.07 | % | 3.18 | % | 2.24 | %(4) | |||||||||||||||
Portfolio turnover rate | 35.91 | %(6) | 132.74 | % | 94.83 | % | 50.01 | % | 98.85 | %(6) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
14
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
Estabrook Investment Grade Fixed Income Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), which commenced investment operations on July 23, 2010. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares: Class A, Class C, Class I and Class R Shares. As of October 31, 2014, Class A, Class C and Class R Shares had not been issued.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m., Eastern time) on each day the NYSE is open. Securities held by the Fund are valued at their last sale price on the NYSE on the day the security is valued. Lacking any sales on such day, the security will be valued at the mean between the last asked price and the last bid price prior to the market close. Securities listed on other exchanges (and not subject to restriction against sale by the Fund on such exchanges) will be similarly valued, using quotations on the exchange on which the security is traded most extensively. Unlisted securities that are quoted on the National Association of Securities Dealers National Market System, for which there have been sales of such securities on such day, shall be valued at the official closing price on such system on the day the security is valued. If there are no such sales on such day, the value shall be the mean between the last asked price and the last bid price prior to market close. The value of such securities quoted on the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system, but not listed on the National Market System, shall be valued at the mean between closing asked price and the closing bid price. Unlisted securities that are not quoted on the NASDAQ and for which over-the-counter market quotations are readily available will be valued at the mean between the current bid and asked prices for such security in the over-the-counter market. Fixed income and preferred securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost, which approximates fair value. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service, which utilizes information with respect to recent sales, market transactions in comparable securities, quotations from dealers, and various relationships between securities in determining value. Due to continued volatility in the current market, valuations developed through pricing techniques may materially vary from the actual amounts realized upon sale of the securities. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair
15
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The fair value of the Fund’s bonds are generally based on quotes received from brokers of independent pricing services. Bonds with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Corporate Bonds and Notes | $ | 27,391,315 | $ | — | $ | 27,391,315 | $ | — | ||||||||
U.S. Treasury Obligations | 6,048,321 | — | 6,048,321 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 33,439,636 | $ | — | $ | 33,439,636 | $ | — | ||||||||
|
|
|
|
|
|
|
|
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period.
16
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Gains and losses on principal paydowns from mortgage backed securities are recorded as interest income on the Statement of Operations. Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums are recorded on a daily basis using the effective yield method except for short term securities, which records discounts and premiums on a straight-line basis. Dividends are recorded on the ex-dividend date. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to such fund.
Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid monthly to shareholders. Distributions, if any, of net short-term capital gain and net capital gain (the excess of net long-term capital gain over the short-term capital loss) realized by the Fund, after
17
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
deducting any available capital loss carryovers are declared and paid to its shareholders annually. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
Estabrook Capital Management LLC (“Estabrook” or the “Adviser”) serves as the investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 0.65% of the Fund’s average daily net assets. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 0.70% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation). The Expense Limitation will remain in place until August 31, 2015, unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation. At October 31, 2014, the amount of potential recovery by the Adviser was as follows:
Expiration | Expiration April 30, 2016 | Expiration April 30, 2017 | Expiration April 30, 2018 | |||
$270,765 | $246,984 | $223,993 | $110,622 |
For the six months ended October 31, 2014, the investment adviser waived fees of $110,622.
18
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average net assets and is subject to certain minimum monthly fees.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six months ended October 31, 2014 was $2,322. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 3,743,838 | $ | 1,300,117 | ||||
U.S. Government Securities | 8,713,905 | 10,577,819 |
19
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
4. Capital Share Transactions
For the six months ended October 31, 2014 and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class I Shares | ||||||||||||||||
Sales | 37,628 | $ | 390,942 | 511,653 | $ | 5,317,535 | ||||||||||
Reinvestments | 37,701 | 392,051 | 90,410 | 929,535 | ||||||||||||
Redemptions | (81,260 | ) | (844,262 | ) | (301,570 | ) | (3,160,957 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | (5,931 | ) | $ | (61,269 | ) | 300,493 | $ | 3,086,113 | ||||||||
|
|
|
|
|
|
|
|
* | There is a 1.00% redemption fee that may be charged on shares redeemed which have been held for 90 days or less. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in-capital. |
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year ended April 30, 2014, the tax character of distributions paid by the Fund was $779,824 of ordinary income dividends and $201,465 of long-term capital gains dividends. Distributions from net investment income and short-term capital gains were treated as ordinary income for federal income tax purposes.
As of April 30, 2014, components of distributable earnings on a tax basis were as follows:
Capital Loss | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | Distributions Payable | ||||
$— | $— | $96,424 | $581,453 | $— |
20
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 32,953,681 | ||||
|
| |||||
Gross unrealized appreciation | $ | 584,845 | ||||
Gross unrealized depreciation | (98,890 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 485,955 | ||||
|
|
Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the” Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Fund did not have any capital loss carryforwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
21
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 447-7443 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Approval of Investment Advisory Agreement
At an in-person meeting held on June 11-12, 2014 (the “Meeting”), the Board of Trustees (the “Board” or “Trustees”) of FundVantage Trust (“Trust”), including a majority of the Trustees who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (“1940 Act”) (the “Independent Trustees”), unanimously approved the continuation of the advisory agreement between Estabrook Capital Management LLC (the “Adviser” or “Estabrook”) and the Trust on behalf of the Estabrook Investment Grade Fixed Income Fund (the “Fund”) (“Agreement”). In determining whether to continue the Agreement, the Trustees considered information provided by the Adviser in accordance with Section 15(c) of the 1940 Act. The Trustees considered information that the Adviser provided regarding (i) services performed for the Fund, (ii) the size and qualifications of the Adviser’s portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with a portfolio manager’s management of the Fund, (iv) investment performance, (v) the capitalization and financial condition of the Adviser, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Fund and other clients, (viii) results of any regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on the Adviser’s ability to service the Fund, and (x) compliance with the Fund’s investment objective, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements. The Adviser also provided its most recent Form ADV for the Trustees’ review and consideration. The Trustees noted the reports provided at Board meetings throughout the year covering matters such as the relative performance of the Fund; compliance with the investment objectives, policies, strategies and limitations for the Fund; the compliance of management personnel with the applicable code of ethics; and the adherence to fair
22
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Other Information
(Unaudited)
value pricing procedures as established by the Board. The Trustees also received and reviewed a memorandum from legal counsel regarding the legal standards applicable to their review of the Agreement.
A representative from Estabrook attended the meeting in person and discussed Estabrook’s history, performance and investment strategy in connection with the proposed continuation of the Agreement and answered questions from the Board.
The Trustees considered the investment performance of the Fund and the Adviser. The Trustees reviewed the historical performance charts for the Fund, the Fund’s benchmark, the Barclay’s Intermediate U.S. Government/Credit Bond Index and the Lipper Core Bond Fund category for the year to date, one year, two year, three year and since inception periods ended March 31, 2014. The Trustees noted that the Fund’s Class I shares, currently the Fund’s only operational share class, outperformed its benchmark for the year to date, one year, two year, three year and since inception periods ended March 31, 2014. The Trustees further noted that the Fund underperformed the median of the Lipper Core Bond Fund category for the year to date period ended March 31, 2014, but outperformed for the one year, two year, three year and since inception periods ended March 31, 2014. The Trustees concluded that the performance of the Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
The Adviser provided information regarding its advisory fees and an analysis of these fees in relation to the delivery of services to the Fund and any other ancillary benefit resulting from the Adviser’s relationship with the Fund. The Trustees also reviewed a peer comparison of advisory fees and total expenses for the Fund versus other similarly managed funds. The Trustees noted that the Fund’s net expense ratio and gross advisory fee were slightly higher than the median of the net expense ratio and gross advisory fee of the universe of funds in the Lipper Core Bond Fund category with $250 million or less in assets. The Trustees also noted that Estabrook does not manage any products other than the Fund with a similar strategy. The Trustees concluded that the advisory fee and services provided by the Adviser are sufficiently consistent with those of other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the Fund based on the information provided at the Meeting.
The Board considered the level and depth of knowledge of the Adviser, including the professional experience and qualifications of senior personnel. In evaluating the quality of services provided by the Adviser, the Board took into account its familiarity with the Adviser’s senior management through Board meetings, discussions and reports during the preceding year. The Board also took into account the Adviser’s compliance policies and procedures and reports regarding the Adviser’s compliance operations from the Trust’s Chief Compliance Officer. The Board also considered any potential conflicts of interest that may arise in a portfolio manager’s management of the Fund’s investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services provided to the Fund by the Adviser and concluded that the nature, extent and quality of the services provided were appropriate and consistent with the terms of the Agreement, that the quality of the services appeared to be consistent with industry
23
ESTABROOK INVESTMENT GRADE FIXED INCOME FUND
Other Information
(Unaudited) (Concluded)
norms and that the Fund is likely to benefit from the continued receipt of those services. They also concluded that the Adviser has sufficient personnel, with the appropriate education and experience, to serve the Fund effectively and had demonstrated their ability to attract and retain qualified personnel.
The Trustees considered the costs of the services provided by the Adviser, the compensation and benefits received by the Adviser in providing services to the Fund, as well as its profitability. The Trustees were provided with the Adviser’s most recent balance sheet and income statement. The Trustees noted that the Adviser’s level of profitability is an appropriate factor to consider, and the Trustees should be satisfied that the Adviser’s profits are sufficient to continue as a healthy concern generally and as investment adviser of the Fund specifically. The Trustees noted that the Fund has a relatively small level of assets, that the Adviser was not currently making a profit on the Fund and was currently waiving its fee and reimbursing expenses pursuant to a contractual expense limitation agreement. The Trustees noted that the Adviser’s contractual advisory fee level was reasonable in relation to the nature and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies. The Trustees also concluded that the overall expense ratio of the Fund was reasonable, taking into account the quality of services provided by the Adviser and the current size and projected growth of the Fund during the renewal term.
The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the Fund grows, and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Trustees noted that economies of scale may be achieved at higher asset levels for the Fund for the benefit of fund shareholders but that because such economies of scale did not yet exist and were not likely to exist in the near term, it was not appropriate to incorporate a mechanism for sharing the benefit of such economies with Fund shareholders in the advisory fee structure at this time.
In voting to approve the continuation of the Agreement, the Board considered all factors it deemed relevant and the information presented to the Board by the Adviser. In arriving at its decision, the Board did not identify any single factor as being of paramount importance and each member of the Board gave varying weights to each factor according to his or her own judgment. The Board determined that the continuation of the Agreement would be in the best interests of the Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, unanimously approved the continuation of the Agreement for an additional one year period.
24
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Investment Adviser
Estabrook Capital Management LLC
900 Third Avenue, 10th Floor
New York, NY 10022
Administrator and Fund Accounting Agent
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent and Dividend Disbursing Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
ESTABROOK INVESTMENT
GRADE FIXED INCOME
FUND
of
FundVantage Trust
Class I Shares
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Estabrook Investment Grade Fixed Income Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Estabrook Investment Grade Fixed Income Fund.
GOTHAM FUNDS
of
FundVantage Trust
Gotham Absolute Return Fund
Gotham Absolute 500 Fund
Gotham Enhanced Return Fund
Gotham Neutral Fund
Institutional Class Shares
SEMI-ANNUAL REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Gotham Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Gotham Funds.
GOTHAM FUNDS
Gotham Absolute Return Fund
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||
| Six Months† | 1 Year | Since Inception* | |||||
Institutional Class Shares | 3.12% | 13.78% | 18.96% | |||||
HFRX Equity Hedge Index | 1.28% | 3.33% | 6.56%** |
† | Not Annualized. |
* | The Gotham Absolute Return Fund (the “Fund”) commenced operations on August 31, 2012. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
The Fund’s Institutional Class shares applies a 1.00% fee to the value of shares redeemed within 90 days of purchase. This redemption fee is not reflected in the returns shown above. The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated October 1, 2014, are 2.96% and 2.98%, respectively, for Institutional Class Shares, of the Fund’s average daily net assets. This rate may fluctuate and may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 2.25% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2017, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund intends to evaluate performance as compared to that of the Hedge Fund Research Inc. (HFRX) Equity Hedge Index. The Index is engineered to achieve representative performance of a larger universe of funds employing Equity Hedge strategies. Equity Hedge strategies maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity Hedge managers would typically maintain at least 50%, and may in some cases be substantially entirely invested in equities, both long and short. It is impossible to invest directly in an index.
An investment in the Fund is subject to risk. The Fund seeks to achieve long-term capital appreciation and to achieve positive returns during most annual periods in an efficient, risk-adjusted manner. The potential loss on a short sale is in principle unlimited since there is no limit on the market appreciation of a shorted security. The securities issued by small-cap and mid-cap companies tend to be more volatile and less liquid than those of large-cap issuers. The Fund may have a high turnover of its portfolio securities, resulting in higher brokerage costs, which reduce the Fund’s returns. High turnover also may result in net taxable gain to shareholders, although the Adviser generally seeks to minimize and offset short-term capital gains. There can be no guarantee that the Fund will achieve its objectives.
1
GOTHAM FUNDS
Gotham Absolute 500 Fund
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Total Returns for the Period Ended October 31, 2014* | ||||
Since Inception† | ||||
Institutional Class Shares | 4.20%* | |||
HFRX Equity Hedge Index | 1.39%** |
† | Not Annualized. |
* | The Gotham Absolute 500 Fund (the “Fund”) commenced operations on July 31, 2014. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
The Fund’s Institutional Class shares applies a 1.00% fee to the value of shares redeemed within 90 days of purchase. This redemption fee is not reflected in the returns shown above. The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated October 1, 2014, are 3.56% and 3.55%, respectively, for Institutional Class Shares, of the Fund’s average daily net assets. This rate may fluctuate and may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 2.25% of average daily net assets of the Fund (the ��Expense Limitation”). The Expense Limitation will remain in place until August 31, 2017, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund intends to evaluate performance as compared to that of the Hedge Fund Research Inc. (HFRX) Equity Hedge Index. The Index is engineered to achieve representative performance of a larger universe of funds employing Equity Hedge strategies. Equity Hedge strategies maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity Hedge managers would typically maintain at least 50%, and may in some cases be substantially entirely invested in equities, both long and short. It is impossible to invest directly in an index.
An investment in the Fund is subject to risk. The Fund seeks to achieve long-term capital appreciation and to achieve positive returns during most annual periods in an efficient, risk-adjusted manner. The potential loss on a short sale is in principle unlimited since there is no limit on the market appreciation of a shorted security. The securities issued by small-cap and mid-cap companies tend to be more volatile and less liquid than those of large-cap issuers. The Fund may have a high turnover of its portfolio securities, resulting in higher brokerage costs, which reduce the Fund’s returns. High turnover also may result in net taxable gain to shareholders, although the Adviser generally seeks to minimize and offset short-term capital gains. There can be no guarantee that the Fund will achieve its objectives.
2
GOTHAM FUNDS
Gotham Enhanced Return Fund
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||
| Six Months† | 1 Year | Since Inception* | |||||
Institutional Class Shares | 6.94% | 24.07% | 25.70% | |||||
S&P 500® Index | 8.22% | 17.27% | 18.61%** |
† | Not Annualized. |
* | The Gotham Enhanced Return Fund (the “Fund”) commenced operations on May 31, 2013. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
The Fund’s Institutional Class shares applies a 1.00% fee to the value of shares redeemed within 90 days of purchase. This redemption fee is not reflected in the returns shown above. The Fund’s total annual gross expenses, as stated in the current prospectus dated October 1, 2014, is 3.54%, for Institutional Class Shares, of the Fund’s average daily net assets. This rate may fluctuate and may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 2.25% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2017, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund intends to evaluate performance as compared to that of the Standard & Poor’s 500® Total Return Index (“S&P 500®’). The S&P 500 Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. It’s returns reflect reinvested dividends. This index is unmanaged and investors cannot invest directly in this index.
An investment in the Fund is subject to risk. The Fund seeks long-term capital appreciation. The potential loss on a short sale is in principle unlimited since there is no limit on the market appreciation of a shorted security. The securities issued by small-cap and mid-cap companies tend to be more volatile and less liquid than those of large-cap issuers. The Fund may have a high turnover of its portfolio securities, resulting in higher brokerage costs, which reduce the Fund’s returns. High turnover also may result in net taxable gain to shareholders, although the Adviser generally seeks to minimize and offset short-term capital gains. The Fund is recently formed and has a limited history of operations. There can be no guarantee that the Fund will achieve its objectives.
3
GOTHAM FUNDS
Gotham Neutral Fund
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||
| Six Months† | 1 Year | Since Inception* | |||||
Institutional Class Shares | -0.09% | 10.73% | 10.60% | |||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.02% | 0.05% | 0.05%** |
† | Not Annualized. |
* | The Gotham Neutral Fund (the “Fund”) commenced operations on August 30, 2013. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
The Fund’s Institutional Class shares applies a 1.00% fee to the value of shares redeemed within 90 days of purchase. This redemption fee is not reflected in the returns shown above. The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated October 1, 2014, are 3.57% and 3.43%, respectively, for Institutional Class Shares, of the Fund’s average daily net assets. This rate may fluctuate and may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 2.25% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2017, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund intends to evaluate performance as compared to that of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index. The Index is an index comprised of a single Treasury bill issue purchased at the beginning of the month and held for a full month, then sold and rolled into a newly selected Treasury bill issue. It is impossible to invest directly in an index.
An investment in the Fund is subject to risk. The Fund seeks to achieve long-term capital appreciation with minimal correlation to the general stock market. The potential loss on a short sale is in principle unlimited since there is no limit on the market appreciation of a shorted security. The securities issued by small-cap and mid-cap companies tend to be more volatile and less liquid than those of large-cap issuers. The Fund may have a high turnover of its portfolio securities, resulting in higher brokerage costs, which reduce the Fund’s returns. High turnover also may result in net taxable gain to shareholders, although the Adviser generally seeks to minimize and offset short-term capital gains. The Fund is recently formed and has a limited history of operations. There can be no guarantee that the Fund will achieve its objectives.
4
GOTHAM FUNDS
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management 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.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from May 1, 2014, and held for the entire period through October 31, 2014.
Actual Expenses
The first line for each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line 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 second line for each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, 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 accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying 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.
Gotham Funds - Institutional Class | ||||||||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Annualized Expense Ratio* | Expenses Paid During Period* | |||||||||||||||||
Gotham Absolute Return Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,031.20 | 2.84 | % | $ | 14.55 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,010.88 | 2.84 | % | 14.41 | |||||||||||||||
Gotham Absolute 500 Fund** | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,042.00 | 4.30 | % | $ | 10.83 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,003.50 | 4.30 | % | 21.74 | |||||||||||||||
Gotham Enhanced Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,069.40 | 3.27 | % | $ | 17.06 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,008.72 | 3.27 | % | 16.56 | |||||||||||||||
Gotham Neutral Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 999.10 | 3.23 | % | $ | 16.28 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,008.92 | 3.23 | % | 16.36 |
5
GOTHAM FUNDS
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
* | Expenses are equal to a Fund’s annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the six-month period ended October 31, 2014, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. A Fund’s ending account value on the first line is based on the actual six month returns for the Institutional Class Shares of 3.12% for the Gotham Absolute Return Fund, 6.94% for the Gotham Enhanced Return Fund and (0.09)% for the Gotham Neutral Fund. These amounts include dividends paid on securities which the Funds have sold short (“short-sale dividends”) and related interest expense. The annualized amount of short-sale dividends and related interest expense was 0.71% of average net assets for the Gotham Absolute Return Fund, 2.04% for Gotham Absolute 500 Fund, 1.12% for the Gotham Enhanced Return Fund and 1.06% for the Gotham Neutral Fund for the six-month period ended October 31, 2014. |
** | The Fund commenced operations on July 31, 2014. Expenses are equal to the Fund’s annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the period July 31, 2014, to October 31, 2014, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (90), then divided by 365 to reflect the period. The Fund’s ending account value on the first line is based on since inception returns for the Institutional Class Shares of 4.20%. These amounts include dividends paid on securities which the Fund has sold short (“short-sale dividends”) and related interest expense. The annualized amount of short-sale dividends and related interest expense was 2.04% of average net assets for the period from July 31, 2014 to October 31, 2014. Hypothetical expenses are as if the Institutional Class Shares had been in existence from May 1, 2014, and are equal to the Institutional Class Share’s annualized expense ratios, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by 365 to reflect the period. |
6
GOTHAM FUNDS
Portfolio Holdings Summary Tables
October 31, 2014
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Absolute Returned Fund
% of Net Assets | Value | |||||||||
LONG POSITIONS: | ||||||||||
Common Stocks | ||||||||||
Capital Goods | 18.1 | % | $ | 530,400,039 | ||||||
Retailing | 14.8 | 433,940,420 | ||||||||
Software & Services | 13.6 | 398,082,512 | ||||||||
Technology Hardware & Equipment | 10.7 | 313,489,026 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 8.9 | 260,761,132 | ||||||||
Food, Beverage & Tobacco | 8.7 | 254,373,384 | ||||||||
Semiconductors & Semiconductor Equipment | 7.7 | 226,557,281 | ||||||||
Commercial & Professional Services | 7.1 | 207,064,534 | ||||||||
Health Care Equipment & Services | 6.8 | 200,535,924 | ||||||||
Consumer Services | 4.6 | 133,508,399 | ||||||||
Automobiles & Components | 4.4 | 129,625,390 | ||||||||
Media | 3.7 | 109,522,566 | ||||||||
Consumer Durables & Apparel | 3.7 | 107,996,107 | ||||||||
Household & Personal Products | 2.9 | 85,853,867 | ||||||||
Transportation | 2.6 | 74,616,814 | ||||||||
Telecommunications Services | 2.4 | 70,368,774 | ||||||||
Food & Staples Retailing | 2.0 | 57,467,467 |
Portfolio holdings are subject to change at any time.
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks | ||||||||||
Household & Personal Products | (0.2 | )% | $ | (4,538,503 | ) | |||||
Automobiles & Components | (0.2 | ) | (5,698,518 | ) | ||||||
Food & Staples Retailing | (1.2 | ) | (36,082,875 | ) | ||||||
Telecommunications Services | (1.5 | ) | (44,343,946 | ) | ||||||
Media | (1.6 | ) | (48,050,637 | ) | ||||||
Commercial & Professional Services | (1.9 | ) | (56,241,104 | ) | ||||||
Food, Beverage & Tobacco | (2.0 | ) | (59,368,320 | ) | ||||||
Consumer Durables & Apparel | (2.5 | ) | (72,197,732 | ) | ||||||
Transportation | (2.6 | ) | (75,597,522 | ) | ||||||
Semiconductors & Semiconductor Equipment | (2.8 | ) | (82,594,253 | ) | ||||||
Technology Hardware & Equipment | (3.8 | ) | (111,420,756 | ) | ||||||
Consumer Services | (4.2 | ) | (122,770,317 | ) | ||||||
Retailing | (5.9 | ) | (171,547,707 | ) | ||||||
Health Care Equipment & Services | (6.1 | ) | (179,490,677 | ) | ||||||
Capital Goods | (6.4 | ) | (186,640,545 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (8.0 | ) | (235,850,204 | ) | ||||||
Software & Services | (10.5 | ) | (306,391,319 | ) | ||||||
Exchange Traded Funds | (0.5 | ) | (13,859,890 | ) | ||||||
Other Assets in Excess of Liabilities | 39.2 | 1,148,041,438 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 2,929,520,249 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
7
GOTHAM FUNDS
Portfolio Holdings Summary Tables
October 31, 2014
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Absolute 500 Fund
% of Net Assets | Value | |||||||||
LONG POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Capital Goods | 19.2 | % | $ | 1,117,399 | ||||||
Technology Hardware & | ||||||||||
Equipment | 13.1 | 760,562 | ||||||||
Health Care Equipment & Services | 12.5 | 724,039 | ||||||||
Energy | 11.9 | 690,374 | ||||||||
Food, Beverage & Tobacco | 11.4 | 660,923 | ||||||||
Insurance | 10.8 | 630,258 | ||||||||
Retailing | 10.3 | 599,903 | ||||||||
Materials | 10.1 | 585,638 | ||||||||
Software & Services | 9.2 | 533,533 | ||||||||
Diversified Financials | 7.7 | 449,642 | ||||||||
Semiconductors & Semiconductor Equipment | 4.6 | 269,268 | ||||||||
Media | 4.2 | 241,777 | ||||||||
Household & Personal Products | 3.3 | 192,040 | ||||||||
Banks | 3.2 | 187,585 | ||||||||
Consumer Durables & Apparel | 2.6 | 151,748 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 2.4 | 138,426 | ||||||||
Transportation | 2.1 | 122,595 | ||||||||
Telecommunication Services | 1.9 | 110,603 | ||||||||
Automobiles & Components | 1.8 | 102,849 | ||||||||
Food & Staples Retailing | 0.8 | 45,276 | ||||||||
Consumer Services | 0.7 | 40,027 | ||||||||
Commercial & Professional Services | 0.3 | 20,687 |
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Automobiles & Components | (0.0 | )% | $ | (736 | ) | |||||
Household & Personal Products | (0.0 | ) | (752 | ) | ||||||
Insurance | (0.3 | ) | (14,569 | ) | ||||||
Banks | (0.3 | ) | (15,394 | ) | ||||||
Technology Hardware & Equipment | (0.6 | ) | (32,252 | ) | ||||||
Transportation | (0.6 | ) | (34,619 | ) | ||||||
Media | (0.6 | ) | (34,738 | ) | ||||||
Commercial & Professional Services | (0.6 | ) | (34,950 | ) | ||||||
Capital Goods | (0.9 | ) | (54,548 | ) | ||||||
Diversified Financials | (1.3 | ) | (73,167 | ) | ||||||
Food & Staples Retailing | (1.5 | ) | (88,207 | ) | ||||||
Health Care Equipment & Services | (1.8 | ) | (106,331 | ) | ||||||
Consumer Durables & Apparel | (2.4 | ) | (138,285 | ) | ||||||
Semiconductors & Semiconductor Equipment | (2.4 | ) | (141,332 | ) | ||||||
Consumer Services | (2.7 | ) | (155,005 | ) | ||||||
Food, Beverage & Tobacco | (3.1 | ) | (182,457 | ) | ||||||
Materials | (4.1 | ) | (236,032 | ) | ||||||
Retailing | (4.6 | ) | (269,990 | ) | ||||||
Software & Services | (8.3 | ) | (482,567 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (8.7 | ) | (505,856 | ) | ||||||
Energy | (11.8 | ) | (685,514 | ) | ||||||
Real Estate | (12.2 | ) | (707,311 | ) | ||||||
Utilities | (14.8 | ) | (862,569 | ) | ||||||
Other Assets in Excess of Liabilities | 39.5 | 2,294,356 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 5,812,327 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
8
GOTHAM FUNDS
Portfolio Holdings Summary Tables
October 31, 2014
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Enhanced Return Fund
% of Net Assets | Value | |||||||||
LONG POSITIONS: | ||||||||||
Common Stocks | ||||||||||
Capital Goods | 24.7 | % | $ | 334,053,523 | ||||||
Retailing | 21.4 | 289,239,674 | ||||||||
Software & Services | 18.9 | 255,537,538 | ||||||||
Technology Hardware & Equipment | 16.1 | 217,579,064 | ||||||||
Food, Beverage & Tobacco | 14.0 | 189,922,773 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 12.5 | 169,157,645 | ||||||||
Semiconductors & Semiconductor Equipment | 11.1 | 150,058,900 | ||||||||
Health Care Equipment & Services | 10.9 | 147,110,331 | ||||||||
Commercial & Professional Services | 9.4 | 127,769,372 | ||||||||
Consumer Services | 6.5 | 87,293,337 | ||||||||
Automobiles & Components | 6.3 | 85,173,628 | ||||||||
Media | 5.5 | 75,059,335 | ||||||||
Consumer Durables & Apparel | 5.2 | 70,284,305 | ||||||||
Telecommunications Services | 4.0 | 54,158,308 | ||||||||
Household & Personal Products | 3.9 | 53,111,496 | ||||||||
Transportation | 3.8 | 51,078,177 | ||||||||
Food & Staples Retailing | 2.6 | 34,835,371 |
Portfolio holdings are subject to change at any time.
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks | ||||||||||
Household & Personal Products | (0.2 | )% | $ | (2,459,202 | ) | |||||
Automobiles & Components | (0.2 | ) | (3,227,303 | ) | ||||||
Food & Staples Retailing | (1.5 | ) | (20,336,979 | ) | ||||||
Telecommunications Services | (1.8 | ) | (24,738,162 | ) | ||||||
Media | (2.1 | ) | (28,207,909 | ) | ||||||
Commercial & Professional Services | (2.2 | ) | (29,098,123 | ) | ||||||
Food, Beverage & Tobacco | (2.6 | ) | (35,113,318 | ) | ||||||
Transportation | (3.2 | ) | (42,649,673 | ) | ||||||
Semiconductors & Semiconductor Equipment | (3.4 | ) | (46,233,203 | ) | ||||||
Consumer Durables & Apparel | (3.4 | ) | (46,544,392 | ) | ||||||
Technology Hardware & Equipment | (4.5 | ) | (60,690,692 | ) | ||||||
Consumer Services | (5.1 | ) | (69,636,185 | ) | ||||||
Retailing | (7.1 | ) | (96,308,470 | ) | ||||||
Health Care Equipment & Services | (7.4 | ) | (100,706,381 | ) | ||||||
Capital Goods | (8.1 | ) | (108,865,210 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (9.9 | ) | (133,785,160 | ) | ||||||
Software & Services | (12.9 | ) | (174,487,506 | ) | ||||||
Exchange Traded Funds | (2.3 | ) | (30,801,347 | ) | ||||||
Other Assets in Excess of Liabilities | 1.1 | 14,944,159 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 1,352,477,721 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
9
GOTHAM FUNDS
Portfolio Holdings Summary Tables
October 31, 2014
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Neutral Fund
% of Net Assets | Value | |||||||||
LONG POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Capital Goods | 17.6 | % | $ | 147,238,401 | ||||||
Retailing | 15.6 | 130,452,334 | ||||||||
Software & Services | 14.9 | 124,992,990 | ||||||||
Technology Hardware & Equipment | 11.3 | 94,283,567 | ||||||||
Food, Beverage & Tobacco | 10.1 | 84,551,942 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 8.6 | 72,103,907 | ||||||||
Commercial & Professional Services | 7.1 | 59,389,988 | ||||||||
Health Care Equipment & Services | 6.6 | 55,250,401 | ||||||||
Semiconductors & Semiconductor Equipment | 6.2 | 52,025,912 | ||||||||
Automobile & Components | 4.6 | 38,875,780 | ||||||||
Consumer Services | 4.3 | 36,435,835 | ||||||||
Media | 4.0 | 33,818,843 | ||||||||
Consumer Durables & Apparel | 3.6 | 30,411,849 | ||||||||
Household & Personal Products | 3.4 | 28,822,939 | ||||||||
Telecommunications Services | 3.3 | 27,251,187 | ||||||||
Food & Staples Retailing | 2.3 | 19,002,245 | ||||||||
Transportation | 2.2 | 18,140,471 |
Portfolio holdings are subject to change at any time.
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.1 | )% | $ | (1,348,983 | ) | |||||
Automobiles & Components | (0.4 | ) | (3,067,850 | ) | ||||||
Food & Staples Retailing | (1.8 | ) | (15,181,631 | ) | ||||||
Telecommunication Services | (2.1 | ) | (17,376,813 | ) | ||||||
Commercial & Professional Services | (2.1 | ) | (18,084,321 | ) | ||||||
Media | (2.5 | ) | (21,161,699 | ) | ||||||
Food, Beverage & Tobacco | (3.2 | ) | (26,700,451 | ) | ||||||
Transportation | (4.2 | ) | (34,891,193 | ) | ||||||
Consumer Durables & Apparel | (4.5 | ) | (37,396,497 | ) | ||||||
Semiconductors & Semiconductor Equipment | (4.8 | ) | (40,076,345 | ) | ||||||
Technology Hardware & Equipment | (6.1 | ) | (51,078,921 | ) | ||||||
Consumer Services | (6.5 | ) | (54,139,390 | ) | ||||||
Health Care Equipment & Services | (9.4 | ) | (78,550,662 | ) | ||||||
Capital Goods | (9.8 | ) | (81,958,563 | ) | ||||||
Retailing | (9.9 | ) | (82,995,859 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (13.4 | ) | (112,431,033 | ) | ||||||
Software & Services | (18.2 | ) | (152,591,839 | ) | ||||||
Other Assets in Excess of Liabilities | 73.3 | 613,868,866 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 837,885,407 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
10
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS - 122.7% |
| |||||||
COMMON STOCKS — 122.7% |
| |||||||
Automobiles & Components — 4.4% |
| |||||||
Allison Transmission Holdings, Inc. | 264,456 | $ | 8,589,531 | |||||
American Axle & Manufacturing Holdings, Inc.*† | 490,344 | 9,478,350 | ||||||
Autoliv, Inc.(a) | 84,871 | 7,786,066 | ||||||
Cooper Tire & Rubber Co.(a) | 214,505 | 6,909,206 | ||||||
Dana Holding Corp.†(a) | 1,281,319 | 26,215,787 | ||||||
Delphi Automotive PLC (Jersey) | 170,334 | 11,749,639 | ||||||
Goodyear Tire & Rubber Co. (The) | 369,832 | 8,961,029 | ||||||
Johnson Controls, Inc.† | 48,649 | 2,298,665 | ||||||
Lear Corp. | 109,983 | 10,173,428 | ||||||
Magna International, Inc. (Canada)† | 198,654 | 19,609,136 | ||||||
Standard Motor Products, Inc.† | 59,909 | 2,367,604 | ||||||
Tenneco, Inc.*†(a) | 244,493 | 12,801,653 | ||||||
Tower International, Inc.* | 110,506 | 2,685,296 | ||||||
|
| |||||||
129,625,390 | ||||||||
|
| |||||||
Capital Goods — 18.1% |
| |||||||
3M Co. | 22,907 | 3,522,409 | ||||||
AAON, Inc.†(a) | 71,169 | 1,398,471 | ||||||
Actuant Corp., Class A | 60,975 | 1,932,298 | ||||||
AECOM Technology | 75,875 | 2,469,731 | ||||||
Aegion Corp.*†(a) | 216,868 | 3,973,022 | ||||||
Aerovironment, Inc.* | 845 | 25,899 | ||||||
AZZ, Inc.(a) | 87,598 | 4,096,082 | ||||||
Blount International, Inc.*† | 190,480 | 2,916,249 | ||||||
Briggs & Stratton Corp.(a) | 78,908 | 1,594,731 | ||||||
Carlisle Cos., Inc.† | 103,570 | 9,205,302 | ||||||
Caterpillar, Inc.† | 215,025 | 21,805,685 | ||||||
Chicago Bridge & Iron Co. NV (Netherlands)† | 397,911 | 21,741,857 | ||||||
CIRCOR International, Inc.† | 32,149 | 2,415,997 | ||||||
Crane Co.† | 84,443 | 5,265,021 | ||||||
Curtiss-Wright Corp.† | 114,399 | 7,917,555 | ||||||
Danaher Corp.† | 100,675 | 8,094,270 | ||||||
Dover Corp.†(a) | 332,764 | 26,434,772 | ||||||
Eaton Corp. PLC (Ireland) | 169,280 | 11,577,059 | ||||||
EMCOR Group, Inc.† | 228,331 | 10,076,247 | ||||||
Encore Wire Corp | 21,553 | 817,721 | ||||||
Engility Holdings, Inc.*†(a) | 62,011 | 2,678,875 | ||||||
EnPro Industries, Inc.*† | 2,067 | 133,384 | ||||||
ESCO Technologies, Inc.† | 80,350 | 3,054,907 | ||||||
Federal Signal Corp.† | 224,533 | 3,188,369 | ||||||
Flowserve Corp.†(a) | 99,572 | 6,769,900 | ||||||
Fluor Corp.† | 299,587 | 19,874,602 | ||||||
General Dynamics Corp. | 130,685 | 18,264,536 | ||||||
GrafTech International Ltd.*(a) | 77,446 | 332,243 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Greenbrier Cos, Inc. (The)(a) | 4,814 | $ | 301,068 | |||||
Harsco Corp.†(a) | 292,602 | 6,343,611 | ||||||
Honeywell International, Inc.† | 81,909 | 7,873,093 | ||||||
Hubbell, Inc., Class B† | 63,851 | 7,241,342 | ||||||
Huntington Ingalls Industries, Inc.† | 221,396 | 23,428,125 | ||||||
IDEX Corp† | 206,245 | 15,449,813 | ||||||
Illinois Tool Works, Inc.† | 97,180 | 8,848,239 | ||||||
ITT Corp. | 13,986 | 630,209 | ||||||
KBR, Inc.(a) | 73,468 | 1,401,769 | ||||||
Lincoln Electric Holdings, Inc.† | 108,503 | 7,864,297 | ||||||
Lindsay Corp.(a) | 117,402 | 10,296,155 | ||||||
Lockheed Martin Corp.† | 34,697 | 6,612,207 | ||||||
Manitowoc Co., Inc. (The)†(a) | 640,148 | 13,340,684 | ||||||
Masco Corp.† | 661,302 | 14,594,935 | ||||||
Meritor, Inc.*(a) | 1,276,851 | 14,671,018 | ||||||
Moog, Inc., Class A*† | 68,151 | 5,216,278 | ||||||
Mueller Water Products, Inc., Class A | 683,400 | 6,745,158 | ||||||
NCI Building Systems, Inc.* | 40,868 | 812,047 | ||||||
Northrop Grumman Corp.† | 2,253 | 310,824 | ||||||
NOW, Inc.*(a) | 409,454 | 12,308,187 | ||||||
Orbital Sciences Corp.*†(a) | 265,604 | 6,985,385 | ||||||
Polypore International, Inc.*(a) | 140,692 | 6,179,193 | ||||||
Precision Castparts Corp. | 26,357 | 5,816,990 | ||||||
Roper Industries, Inc.† | 32,770 | 5,187,491 | ||||||
Simpson Manufacturing Co., Inc.† | 27,802 | 919,690 | ||||||
Snap-on, Inc. | 15,697 | 2,074,202 | ||||||
Spirit AeroSystems Holdings, Inc., Class A*† | 301,645 | 11,866,714 | ||||||
SPX Corp.†(a) | 289,927 | 27,482,180 | ||||||
Standex International Corp.† | 38,534 | 3,323,558 | ||||||
Stanley Black & Decker, Inc. | 243,750 | 22,824,750 | ||||||
Teledyne Technologies, Inc.* | 23,201 | 2,404,320 | ||||||
Terex Corp. | 224,447 | 6,457,340 | ||||||
Thermon Group Holdings, Inc.* | 124 | 3,022 | ||||||
Timken Co. (The)† | 155,759 | 6,696,079 | ||||||
TriMas Corp.*(a) | 67,298 | 2,130,655 | ||||||
United Rentals, Inc.* | 47,664 | 5,245,900 | ||||||
United Technologies Corp.†(a) | 142,942 | 15,294,794 | ||||||
Universal Forest Products, Inc. | 33,033 | 1,650,659 | ||||||
Wabash National Corp.*(a) | 384,646 | 3,961,854 | ||||||
Watts Water Technologies, Inc., Class A† | 108,388 | 6,571,564 | ||||||
WESCO International, Inc.*(a) | 87,872 | 7,241,532 | ||||||
Woodward, Inc.(a) | 52,798 | 2,703,786 |
The accompanying notes are an integral part of the financial statements.
11
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
WW Grainger, Inc.(a) | 37,075 | $ | 9,150,110 | |||||
Xylem, Inc.(a) | 64,962 | 2,362,018 | ||||||
|
| |||||||
530,400,039 | ||||||||
|
| |||||||
Commercial & Professional Services — 7.1% |
| |||||||
ACCO Brands Corp.*† | 904,020 | 7,440,085 | ||||||
Brink’s Co. (The)† | 285,562 | 5,996,802 | ||||||
Cintas Corp.†(a) | 189,418 | 13,872,974 | ||||||
Copart, Inc.*†(a) | 386,573 | 12,927,001 | ||||||
Corporate Executive Board Co. (The) | 5,843 | 430,629 | ||||||
Deluxe Corp.† | 35,566 | 2,162,413 | ||||||
Dun & Bradstreet Corp. (The)† | 18,416 | 2,261,669 | ||||||
Equifax, Inc.(a) | 11,232 | 850,712 | ||||||
Exponent, Inc.†(a) | 27,443 | 2,190,500 | ||||||
HNI Corp.(a) | 21,216 | 989,726 | ||||||
Huron Consulting Group, Inc.* | 9,135 | 635,887 | ||||||
Korn/Ferry International*† | 157,234 | 4,391,546 | ||||||
Manpowergroup, Inc.† | 442,943 | 29,566,445 | ||||||
On Assignment, Inc.*† | 245,882 | 7,155,166 | ||||||
Pitney Bowes, Inc.†(a) | 1,023,445 | 25,320,029 | ||||||
Progressive Waste Solutions Ltd. (Canada) | 14,020 | 409,805 | ||||||
Quad/Graphics, Inc.† | 36,597 | 806,964 | ||||||
Republic Services, Inc | 17,925 | 688,320 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada)† | 152,304 | 3,714,695 | ||||||
Robert Half International, | 238,137 | 13,045,145 | ||||||
RPX Corp.*† | 212,091 | 2,979,879 | ||||||
ServiceMaster Global Holdings, Inc.* | 61,782 | 1,481,532 | ||||||
Steelcase, Inc., Class A† | 224,911 | 3,985,423 | ||||||
Team, Inc.*(a) | 42,377 | 1,785,767 | ||||||
Towers Watson & Co., Class A† | 177,935 | 19,624,451 | ||||||
TrueBlue, Inc.*† | 92,366 | 2,283,288 | ||||||
Tyco International Ltd. (Switzerland)† | 454,970 | 19,531,862 | ||||||
UniFirst Corp.† | 46,888 | 5,230,825 | ||||||
United Stationers, Inc.(a) | 92,423 | 3,860,509 | ||||||
Verisk Analytics, Inc., Class A* | 11,555 | 720,454 | ||||||
Waste Connections, Inc.†(a) | 75,447 | 3,764,805 | ||||||
Waste Management, Inc. | 98,870 | 4,833,754 | ||||||
West Corp.(a) | 66,421 | 2,125,472 | ||||||
|
| |||||||
207,064,534 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.7% |
| |||||||
Columbia Sportswear Co. | 109,712 | 4,228,300 | ||||||
Deckers Outdoor Corp.*(a) | 135,660 | 11,864,824 | ||||||
Ethan Allen Interiors, Inc.† | 111,240 | 3,148,092 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Garmin Ltd. (Switzerland) | 118,091 | $ | 6,551,689 | |||||
G-III Apparel Group Ltd.*(a) | 12,799 | 1,015,601 | ||||||
Hanesbrands, Inc.† | 20,662 | 2,182,114 | ||||||
Harman International Industries, Inc. | 76,911 | 8,255,627 | ||||||
lululemon athletica, Inc.*(a) | 159,696 | 6,651,338 | ||||||
NVR, Inc.*† | 11,023 | 13,531,614 | ||||||
PVH Corp.†(a) | 104,402 | 11,938,369 | ||||||
Steven Madden, Ltd.*†(a) | 400,984 | 12,570,848 | ||||||
Sturm Ruger & Co., Inc.(a) | 57,115 | 2,380,553 | ||||||
Tupperware Brands Corp.†(a) | 107,724 | 6,867,405 | ||||||
Universal Electronics, Inc.*†(a) | 57,576 | 3,275,499 | ||||||
Vera Bradley, Inc.*(a) | 367,846 | 8,386,889 | ||||||
Wolverine World Wide, Inc.(a) | 189,659 | 5,147,345 | ||||||
|
| |||||||
107,996,107 | ||||||||
|
| |||||||
Consumer Services — 4.6% |
| |||||||
American Public Education, Inc.*† | 69,582 | 2,156,346 | ||||||
Apollo Education Group, | 351,161 | 10,064,274 | ||||||
Boyd Gaming Corp.*(a) | 110,606 | 1,277,499 | ||||||
Capella Education Co.†(a) | 22,064 | 1,560,807 | ||||||
Carnival Corp. (Panama)† | 23,144 | 929,232 | ||||||
Darden Restaurants, Inc. | 70,734 | 3,662,607 | ||||||
DeVry Education Group, Inc. | 81,235 | 3,932,586 | ||||||
DineEquity, Inc.†(a) | 99,566 | 8,857,391 | ||||||
Graham Holdings Co., Class B† | 6,324 | 4,955,486 | ||||||
Hillenbrand, Inc.†(a) | 163,983 | 5,458,994 | ||||||
Interval Leisure Group, Inc.† | 176,398 | 3,711,414 | ||||||
Jack in the Box, Inc.† | 95,161 | 6,760,237 | ||||||
K12, Inc.*(a) | 20,888 | 259,011 | ||||||
Las Vegas Sands Corp.† | 316,035 | 19,676,339 | ||||||
Matthews International Corp., Class A†(a) | 83,194 | 3,833,580 | ||||||
Multimedia Games Holding Co., Inc.*† | 15,209 | 530,794 | ||||||
Royal Caribbean Cruises, Ltd. (Liberia)† | 168,743 | 11,469,462 | ||||||
SeaWorld Entertainment, Inc.† | 865,568 | 16,653,528 | ||||||
Speedway Motorsports, Inc.†(a) | 25,184 | 492,851 | ||||||
Starwood Hotels & Resorts Worldwide, Inc | 43,040 | 3,299,446 | ||||||
Strayer Education, Inc.*(a) | 2,880 | 210,787 | ||||||
Weight Watchers International, Inc.(a) | 261,301 | 6,806,891 | ||||||
Wyndham Worldwide Corp.† | 218,216 | 16,948,837 | ||||||
|
| |||||||
133,508,399 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
12
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — 2.0% |
| |||||||
Rite Aid Corp.*† | 4,997,224 | $ | 26,235,426 | |||||
SUPERVALU, Inc.*†(a) | 2,406,363 | 20,766,913 | ||||||
Sysco Corp.† | 35,921 | 1,384,395 | ||||||
Wal-Mart Stores, Inc.(a) | 117,236 | 8,941,590 | ||||||
Weis Markets, Inc.(a) | 3,117 | 139,143 | ||||||
|
| |||||||
57,467,467 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 8.7% |
| |||||||
Altria Group, Inc.† | 44,300 | 2,141,462 | ||||||
Archer-Daniels-Midland Co.† | 599,652 | 28,183,644 | ||||||
Bunge, Ltd. (Bermuda)† | 343,078 | 30,413,865 | ||||||
Coca-Cola Bottling Co. Consolidated† | 6,997 | 632,809 | ||||||
ConAgra Foods, Inc.† | 506,339 | 17,392,745 | ||||||
Cott Corp. (Canada)† | 175,271 | 1,063,895 | ||||||
Dr Pepper Snapple Group, Inc.† | 332,053 | 22,994,670 | ||||||
Ingredion, Inc.† | 177,401 | 13,704,227 | ||||||
Kellogg Co.†(a) | 208,377 | 13,327,793 | ||||||
Keurig Green Mountain, Inc.† | 31,104 | 4,720,032 | ||||||
Lancaster Colony Corp.† | 38,018 | 3,478,267 | ||||||
Lorillard, Inc. | 133,081 | 8,184,482 | ||||||
Monster Beverage Corp.*† | 55,852 | 5,634,350 | ||||||
National Beverage Corp.*(a) | 15,618 | 392,324 | ||||||
PepsiCo, Inc.† | 34,618 | 3,329,213 | ||||||
Philip Morris International, Inc.† | 131,502 | 11,704,993 | ||||||
Pilgrim’s Pride Corp.*†(a) | 835,722 | 23,742,862 | ||||||
Sanderson Farms, Inc.(a) | 342,503 | 28,763,402 | ||||||
Snyder’s-Lance, Inc.(a) | 13,977 | 416,375 | ||||||
Tyson Foods, Inc., Class A† | 429,596 | 17,334,199 | ||||||
Vector Group, Ltd.(a) | 752,810 | 16,817,775 | ||||||
|
| |||||||
254,373,384 | ||||||||
|
| |||||||
Health Care Equipment & Services — 6.8% |
| |||||||
Abaxis, Inc.(a) | 41,823 | 2,202,399 | ||||||
ABIOMED, Inc.*(a) | 6,851 | 224,644 | ||||||
Align Technology, Inc.*†(a) | 378,636 | 19,923,826 | ||||||
AmerisourceBergen Corp. | 15,143 | 1,293,364 | ||||||
AMN Healthcare Services, Inc.*† | 122,222 | 2,096,107 | ||||||
Amsurg Corp.*† | 163,132 | 8,810,759 | ||||||
Anika Therapeutics, Inc.*† | 104,867 | 4,209,361 | ||||||
Cardinal Health, Inc.† | 57,531 | 4,515,033 | ||||||
CareFusion Corp.*† | 275,934 | 15,830,334 | ||||||
Catamaran Corp. (Canada)* | 1,770 | 84,376 | ||||||
Chemed Corp.(a) | 19,951 | 2,062,135 | ||||||
Computer Programs & Systems, Inc.†(a) | 20,948 | 1,319,305 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
CorVel Corp.*† | 25,971 | $ | 893,922 | |||||
Cyberonics, Inc.*† | 60,981 | 3,201,503 | ||||||
DaVita HealthCare Partners, Inc.*† | 32,329 | 2,523,925 | ||||||
DENTSPLY International, Inc.† | 162,255 | 8,237,686 | ||||||
Edwards Lifesciences Corp.*† | 102,953 | 12,449,077 | ||||||
Express Scripts Holding Co.*(a) | 47,768 | 3,669,538 | ||||||
Globus Medical, Inc., Class A*† | 272,668 | 6,045,050 | ||||||
Greatbatch, Inc.*† | 126,312 | 6,339,599 | ||||||
Halyard Health, Inc.* | 23,468 | 891,080 | ||||||
Hill-Rom Holdings, Inc.† | 34,223 | 1,522,239 | ||||||
ICU Medical, Inc.*† | 66,042 | 4,682,378 | ||||||
Integra LifeSciences Holdings Corp.*† | 5,349 | 273,387 | ||||||
Kindred Healthcare, Inc.†(a) | 122,240 | 2,658,720 | ||||||
Laboratory Corp. of America Holdings*† | 94,032 | 10,276,757 | ||||||
MEDNAX, Inc.*†(a) | 249,539 | 15,578,720 | ||||||
Meridian Bioscience, Inc.(a) | 677 | 12,552 | ||||||
Natus Medical, Inc.*† | 184,927 | 6,287,518 | ||||||
Omnicare, Inc.† | 1,488 | 99,086 | ||||||
PharMerica Corp.*† | 108,661 | 3,117,484 | ||||||
Quality Systems, Inc.† | 344,032 | 5,198,324 | ||||||
Quest Diagnostics, Inc.(a) | 47,305 | 3,001,975 | ||||||
Select Medical Holdings Corp.† | 114,954 | 1,657,637 | ||||||
Teleflex, Inc.(a) | 75,028 | 8,562,195 | ||||||
Thoratec Corp.*†(a) | 223,470 | 6,073,915 | ||||||
Universal Health Services, Inc., Class B† | 114,003 | 11,823,251 | ||||||
Varian Medical Systems, Inc.*(a) | 153,195 | 12,886,763 | ||||||
|
| |||||||
200,535,924 | ||||||||
|
| |||||||
Household & Personal Products — 2.9% |
| |||||||
Avon Products, Inc.† | 2,605,096 | 27,092,998 | ||||||
Clorox Co. (The)† | 78,851 | 7,845,675 | ||||||
Energizer Holdings, Inc.† | 226,527 | 27,783,537 | ||||||
Inter Parfums, Inc.† | 81,984 | 2,328,346 | ||||||
Kimberly-Clark Corp | 182,054 | 20,803,311 | ||||||
|
| |||||||
85,853,867 | ||||||||
|
| |||||||
Media — 3.7% | ||||||||
Cinemark Holdings, Inc.†(a) | 100,519 | 3,550,331 | ||||||
Clear Channel Outdoor Holdings, Inc., Class A† | 19,740 | 143,312 | ||||||
Comcast Corp., Class A(a) | 134,802 | 7,461,291 | ||||||
Crown Media Holdings, Inc., Class A*(a) | 3,804 | 13,276 |
The accompanying notes are an integral part of the financial statements.
13
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) | ||||||||
DIRECTV* | 171,447 | $ | 14,879,885 | |||||
Gannett Co., Inc.(a) | 20,171 | 635,387 | ||||||
Interpublic Group of Cos, Inc. (The) | 420,475 | 8,153,010 | ||||||
Loral Space & Communications, Inc.*† | 50,031 | 3,827,372 | ||||||
Morningstar, Inc.(a) | 2,745 | 187,346 | ||||||
New York Times Co. (The), Class A(a) | 464,112 | 5,959,198 | ||||||
News Corp.*† | 1,100,537 | 17,036,313 | ||||||
Nexstar Broadcasting Group, Inc., Class A(a) | 234,974 | 10,602,027 | ||||||
Omnicom Group, Inc.†(a) | 307,537 | 22,099,609 | ||||||
Starz, Class A*†(a) | 97,841 | 3,023,287 | ||||||
Time, Inc.*(a) | 341,120 | 7,705,901 | ||||||
Viacom, Inc., Class B† | 58,407 | 4,245,021 | ||||||
|
| |||||||
109,522,566 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 8.9% |
| |||||||
Acorda Therapeutics, Inc.* | 21,650 | 753,853 | ||||||
Agilent Technologies, Inc.† | 281,435 | 15,557,727 | ||||||
Biogen Idec, Inc.*† | 22,879 | 7,345,989 | ||||||
Bio-Rad Laboratories, Inc.* | 2,026 | 228,573 | ||||||
Bruker Corp.*† | 585,107 | 12,129,268 | ||||||
Covance, Inc.*†(a) | 289,367 | 23,120,423 | ||||||
Depomed, Inc.*† | 489,877 | 7,544,106 | ||||||
Enanta Pharmaceuticals, Inc.*(a) | 143,125 | 6,154,375 | ||||||
Endo International PLC (Ireland)*† | 3,226 | 215,884 | ||||||
Gilead Sciences, Inc.* | 230,462 | 25,811,744 | ||||||
Johnson & Johnson† | 252,955 | 27,263,490 | ||||||
Lannett Co., Inc.*(a) | 77,498 | 4,395,687 | ||||||
Ligand Pharmaceuticals, Inc.*(a) | 222,112 | 12,276,130 | ||||||
Luminex Corp.* | 2,028 | 38,532 | ||||||
Mallinckrodt PLC (Ireland)*† | 29,154 | 2,687,416 | ||||||
Mettler-Toledo International, Inc.*† | 48,443 | 12,521,062 | ||||||
Myriad Genetics, Inc.*(a) | 288,655 | 11,398,986 | ||||||
PAREXEL International Corp.*† | 268,864 | 14,602,004 | ||||||
PerkinElmer, Inc.(a) | 87,574 | 3,802,463 | ||||||
Pfizer, Inc.† | 408,653 | 12,239,157 | ||||||
Prestige Brands Holdings, Inc.*†(a) | 214,377 | 7,593,233 | ||||||
Quintiles Transnational Holdings, Inc.* | 161,979 | 9,482,251 | ||||||
United Therapeutics Corp.*† | 144,616 | 18,940,358 | ||||||
Valeant Pharmaceuticals | ||||||||
International, Inc. (Canada)* | 127,878 | 17,012,889 | ||||||
Waters Corp.* | 69,003 | 7,645,532 | ||||||
|
| |||||||
260,761,132 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — 14.8% |
| |||||||
Abercrombie & Fitch Co., Class A(a) | 703,576 | $ | 23,555,724 | |||||
ANN, Inc.*(a) | 135,190 | 5,189,944 | ||||||
AutoNation, Inc.* | 94,555 | 5,414,219 | ||||||
Bed Bath & Beyond, Inc.*†(a) | 276,517 | 18,620,655 | ||||||
Best Buy Co., Inc | 201,298 | 6,872,314 | ||||||
Big Lots, Inc.† | 242,725 | 11,080,396 | ||||||
Brown Shoe Co., Inc.†(a) | 205,976 | 5,476,902 | ||||||
Buckle, Inc. (The)(a) | 220,759 | 10,890,041 | ||||||
Burlington Stores, Inc.*(a) | 46,313 | 1,942,367 | ||||||
Cato Corp. (The), Class A†(a) | 124,908 | 4,455,468 | ||||||
Chico’s FAS, Inc. | 42 | 633 | ||||||
Children’s Place, Inc. (The)(a) | 46,632 | 2,296,626 | ||||||
Core-Mark Holding Co., Inc.† | 73,585 | 4,270,138 | ||||||
Dick’s Sporting Goods, Inc.† | 306,019 | 13,884,082 | ||||||
Dillard’s, Inc., Class A†(a) | 158,424 | 16,754,922 | ||||||
Dollar General Corp.*† | 64,734 | 4,056,880 | ||||||
Dollar Tree, Inc.*† | 154,252 | 9,343,044 | ||||||
DSW, Inc., Class A† | 368,257 | 10,918,820 | ||||||
Foot Locker, Inc.†(a) | 174,026 | 9,747,196 | ||||||
GameStop Corp., Class A(a) | 405,541 | 17,340,933 | ||||||
Gap, Inc. (The)†(a) | 619,044 | 23,455,577 | ||||||
GNC Holdings, Inc., Class A† | 55,414 | 2,303,560 | ||||||
Group 1 Automotive, Inc | 34,542 | 2,950,923 | ||||||
Guess?, Inc.†(a) | 796,816 | 17,665,411 | ||||||
Haverty Furniture Cos., Inc.† | 88,477 | 1,947,379 | ||||||
Hibbett Sports, Inc.*(a) | 242,974 | 11,028,590 | ||||||
Home Depot, Inc. (The)† | 3,758 | 366,480 | ||||||
HSN, Inc.† | 5,747 | 379,704 | ||||||
Kohl’s Corp.†(a) | 314,743 | 17,065,365 | ||||||
Lands’ End, Inc.*(a) | 314,149 | 14,912,653 | ||||||
Liberty Interactive Corp., Class A* | 124,980 | 3,266,977 | ||||||
Lithia Motors, Inc., Class A†(a) | 100,586 | 7,807,485 | ||||||
Lowe’s Cos., Inc.† | 235,628 | 13,477,922 | ||||||
Macy’s, Inc.† | 301,764 | 17,447,994 | ||||||
Michaels Cos., Inc. (The)*(a) | 179,069 | 3,273,381 | ||||||
Murphy USA, Inc.*† | 120,036 | 6,878,063 | ||||||
Outerwall, Inc.*(a) | 367,629 | 23,259,887 | ||||||
Penske Automotive Group, Inc | 3,115 | 140,923 | ||||||
PetSmart, Inc.†(a) | 204,300 | 14,781,105 | ||||||
Ross Stores, Inc.† | 188,776 | 15,237,999 | ||||||
Sally Beauty Holdings, Inc.*† | 296,581 | 8,692,789 | ||||||
Target Corp.(a) | 191,839 | 11,859,487 | ||||||
TJX Cos., Inc. (The)† | 146,156 | 9,254,598 | ||||||
Tractor Supply Co.† | 7,480 | 547,686 |
The accompanying notes are an integral part of the financial statements.
14
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Urban Outfitters, Inc.*†(a) | 573,075 | $ | 17,398,557 | |||||
Zumiez, Inc.*†(a) | 192,589 | 6,428,621 | ||||||
|
| |||||||
433,940,420 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.7% |
| |||||||
Advanced Energy Industries, Inc.*† | 70,702 | 1,398,486 | ||||||
Altera Corp.†(a) | 123,476 | 4,243,870 | ||||||
Atmel Corp.*†(a) | 1,962,010 | 14,558,114 | ||||||
Cirrus Logic, Inc.*(a) | 526,734 | 10,165,966 | ||||||
Diodes, Inc.* | 102,012 | 2,634,970 | ||||||
Fairchild Semiconductor International, Inc.*(a) | 1,492,538 | 22,910,458 | ||||||
Freescale Semiconductor Ltd. | ||||||||
(Bermuda)†(a) | 9,399 | 186,946 | ||||||
Integrated Device Technology, Inc.*† | 626,831 | 10,286,297 | ||||||
Intel Corp.† | 177,682 | 6,042,965 | ||||||
International Rectifier Corp.*† | 153,741 | 6,114,280 | ||||||
Intersil Corp., Class A(a) | 304,895 | 4,052,055 | ||||||
Lattice Semiconductor Corp.*† | 839,543 | 5,633,334 | ||||||
Linear Technology Corp.(a) | 270,757 | 11,599,230 | ||||||
Marvell Technology Group Ltd. (Bermuda)† | 1,311,916 | 17,632,151 | ||||||
Micron Technology, Inc.*† | 707,022 | 23,395,358 | ||||||
MKS Instruments, Inc.† | 158,370 | 5,764,668 | ||||||
NVIDIA Corp.(a) | 65,446 | 1,278,815 | ||||||
OmniVision Technologies, Inc.*† | 661,431 | 17,713,122 | ||||||
Pentair PLC (Ireland)†(a) | 288,875 | 19,369,069 | ||||||
RF Micro Devices, Inc.* | 378,952 | 4,930,166 | ||||||
Semtech Corp.*(a) | 18,069 | 458,591 | ||||||
Silicon Laboratories, Inc.* | 9,781 | 445,916 | ||||||
Skyworks Solutions, Inc.† | 161,812 | 9,423,931 | ||||||
Teradyne, Inc.† | 329,270 | 6,058,568 | ||||||
Tessera Technologies, Inc | 15,477 | 470,346 | ||||||
Texas Instruments, Inc.†(a) | 398,502 | 19,789,609 | ||||||
|
| |||||||
226,557,281 | ||||||||
|
| |||||||
Software & Services — 13.6% |
| |||||||
Accenture PLC, Class A (Ireland)† | 165,943 | 13,461,296 | ||||||
ACI Worldwide, Inc.*†(a) | 424,162 | 8,160,877 | ||||||
Activision Blizzard, Inc.† | 238,079 | 4,749,676 | ||||||
Acxiom Corp.*†(a) | 462,739 | 8,718,003 | ||||||
Advent Software, Inc.(a) | 102,258 | 3,534,037 | ||||||
Amdocs, Ltd. (Channel Islands)† | 87,638 | 4,166,311 | ||||||
ANSYS, Inc.*† | 9,673 | 759,911 | ||||||
Aspen Technology, Inc.*† | 215,397 | 7,954,611 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
AVG Technologies NV (Netherlands)*† | 262,753 | $ | 4,708,534 | |||||
Booz Allen Hamilton Holding Corp.†(a) | 405,624 | 10,688,192 | ||||||
Broadridge Financial Solutions, Inc.† | 283,312 | 12,445,896 | ||||||
CA, Inc.† | 452,308 | 13,144,070 | ||||||
CACI International, Inc., Class A* | 8,139 | 669,758 | ||||||
CGI Group, Inc., Class A (Canada)*†(a) | 141,559 | 4,862,552 | ||||||
Computer Sciences Corp.† | 333,045 | 20,115,918 | ||||||
Conversant, Inc.*†(a) | 419,498 | 14,787,305 | ||||||
DST Systems, Inc.† | 137,036 | 13,203,419 | ||||||
Electronic Arts, Inc.* | 264,867 | 10,851,601 | ||||||
IAC/InterActiveCorp.† | 170,499 | 11,541,077 | ||||||
International Business Machines Corp.† | 96,361 | 15,841,748 | ||||||
j2 Global, Inc.(a) | 15,757 | 852,296 | ||||||
Jack Henry & Associates, Inc.† | 222,791 | 13,327,358 | ||||||
Leidos Holdings, Inc. | 226,137 | 8,269,830 | ||||||
MAXIMUS, Inc.† | 157,983 | 7,655,856 | ||||||
Microsoft Corp | 83,728 | 3,931,030 | ||||||
NetScout Systems, Inc.*† | 193,886 | 7,146,638 | ||||||
NeuStar, Inc., Class A*(a) | 646,645 | 17,077,894 | ||||||
NIC, Inc. | 181,208 | 3,339,663 | ||||||
Oracle Corp.† | 454,955 | 17,765,993 | ||||||
Pegasystems, Inc. | 33,182 | 719,054 | ||||||
Progress Software Corp.*† | 178,428 | 4,621,285 | ||||||
Rovi Corp.*(a) | 455,767 | 9,516,415 | ||||||
Science Applications International Corp.† | 151,873 | 7,428,108 | ||||||
Stamps.com, Inc.*† | 52,446 | 1,935,257 | ||||||
Sykes Enterprises, Inc.*† | 129,636 | 2,792,359 | ||||||
Symantec Corp.† | 532,707 | 13,221,788 | ||||||
Take-Two Interactive Software, Inc.*(a) | 878,125 | 23,226,406 | ||||||
TeleTech Holdings, Inc.*† | 53,503 | 1,380,912 | ||||||
Teradata Corp.*(a) | 415,946 | 17,602,835 | ||||||
TiVo, Inc.*†(a) | 859,585 | 11,217,584 | ||||||
VeriSign, Inc.*(a) | 182,524 | 10,907,634 | ||||||
Virtusa Corp.*†(a) | 68,175 | 2,793,812 | ||||||
Western Union Co. (The)(a) | 963,429 | 16,339,756 | ||||||
Xerox Corp.† | 801,804 | 10,647,957 | ||||||
|
| |||||||
398,082,512 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 10.7% |
| |||||||
Anixter International, Inc.† | 78,186 | 6,659,102 |
The accompanying notes are an integral part of the financial statements.
15
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Apple, Inc.† | 53,466 | $ | 5,774,328 | |||||
ARRIS Group, Inc.*† | 672,416 | 20,185,928 | ||||||
Arrow Electronics, Inc.*† | 260,850 | 14,831,931 | ||||||
AVX Corp.†(a) | 138,872 | 2,005,312 | ||||||
Brocade Communications Systems, Inc.† | 2,179,579 | 23,386,883 | ||||||
CDW Corp.† | 277,601 | 8,561,215 | ||||||
Cisco Systems, Inc.† | 359,022 | 8,785,268 | ||||||
CommScope Holding Co., Inc.*† | 296,056 | 6,377,046 | ||||||
Corning, Inc. | 600,415 | 12,266,478 | ||||||
Dolby Laboratories, Inc., Class A(a) | 97,807 | 4,100,069 | ||||||
F5 Networks, Inc.*† | 1,631 | 200,580 | ||||||
FLIR Systems, Inc. | 130,627 | 4,379,923 | ||||||
Harris Corp.† | 114,316 | 7,956,394 | ||||||
Hewlett-Packard Co.† | 162,661 | 5,836,277 | ||||||
Insight Enterprises, Inc.*† | 152,277 | 3,464,302 | ||||||
InterDigital, Inc.†(a) | 189,131 | 9,348,745 | ||||||
IPG Photonics Corp.*(a) | 23,442 | 1,720,877 | ||||||
Itron, Inc.*†(a) | 188,287 | 7,330,013 | ||||||
Juniper Networks, Inc.† | 1,028,584 | 21,672,265 | ||||||
Lexmark International, Inc., Class A(a) | 21,747 | 938,601 | ||||||
Methode Electronics, Inc.† | 138,486 | 5,453,579 | ||||||
National Instruments Corp | 4,126 | 130,712 | ||||||
NCR Corp.*(a) | 379,432 | 10,498,883 | ||||||
NetApp, Inc.† | 143,913 | 6,159,476 | ||||||
Newport Corp.*† | 105,297 | 1,883,763 | ||||||
OSI Systems, Inc.*† | 124,088 | 8,795,357 | ||||||
Polycom, Inc.*† | 920,243 | 12,036,778 | ||||||
QUALCOMM, Inc.† | 7,426 | 583,015 | ||||||
Rogers Corp.*† | 60,067 | 4,106,781 | ||||||
Ruckus Wireless, Inc.*(a) | 629,803 | 8,174,843 | ||||||
SanDisk Corp.†(a) | 153,327 | 14,434,204 | ||||||
Sanmina Corp.*† | 480,157 | 12,037,536 | ||||||
TE Connectivity Ltd. (Switzerland) | 151,412 | 9,255,816 | ||||||
Universal Display Corp.*(a) | 186 | 5,818 | ||||||
Vishay Intertechnology, Inc.(a) | 953,444 | 12,881,028 | ||||||
Western Digital Corp.† | 164,873 | 16,218,557 | ||||||
Zebra Technologies Corp., Class A*† | 204,086 | 15,051,343 | ||||||
|
| |||||||
313,489,026 | ||||||||
|
| |||||||
Telecommunication Services — 2.4% |
| |||||||
AT&T, Inc.(a) | 268,174 | 9,343,182 | ||||||
Atlantic Tele-Network, Inc.† | 46,307 | 3,111,367 | ||||||
CenturyLink, Inc.†(a) | 319,926 | 13,270,530 | ||||||
Cincinnati Bell, Inc.*†(a) | 627,979 | 2,304,683 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — (Continued) |
| |||||||
Frontier Communications Corp.(a) | 2,212,053 | $ | 14,466,827 | |||||
Intelsat SA* | 157,479 | 3,064,541 | ||||||
Premiere Global Services, Inc.*† | 3,744 | 39,200 | ||||||
Verizon Communications, Inc.† | 213,536 | 10,730,184 | ||||||
Vonage Holdings Corp.*(a) | 2,357 | 8,202 | ||||||
Windstream Holdings, Inc.(a) | 1,338,746 | 14,030,058 | ||||||
|
| |||||||
70,368,774 | ||||||||
|
| |||||||
Transportation — 2.6% |
| |||||||
American Airlines Group, Inc.† | 53,949 | 2,230,791 | ||||||
ArcBest Corp.†(a) | 163,840 | 6,340,608 | ||||||
Con-way, Inc.†(a) | 453,599 | 19,672,589 | ||||||
Delta Air Lines, Inc.† | 539,754 | 21,714,303 | ||||||
Expeditors International of Washington, Inc.† | 1,684 | 71,839 | ||||||
Matson, Inc.†(a) | 145,261 | 4,138,486 | ||||||
Norfolk Southern Corp.† | 84,654 | 9,366,119 | ||||||
Southwest Airlines Co.† | 183,130 | 6,314,322 | ||||||
United Continental Holdings, Inc.* | 57,960 | 3,060,868 | ||||||
United Parcel Service, Inc., Class B(a) | 14,575 | 1,529,063 | ||||||
Werner Enterprises, Inc.(a) | 6,457 | 177,826 | ||||||
|
| |||||||
74,616,814 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 3,594,163,636 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 122.7% |
| 3,594,163,636 | ||||||
|
| |||||||
SHORT POSITIONS — (61.9)% |
| |||||||
COMMON STOCKS — (61.4)% |
| |||||||
Automobiles & Components — (0.2)% |
| |||||||
Cooper-Standard Holding, Inc.* | (20,977 | ) | (1,144,925 | ) | ||||
Dorman Products, Inc.* | (72,253 | ) | (3,349,649 | ) | ||||
Drew Industries, Inc.* | (772 | ) | (37,102 | ) | ||||
Federal-Mogul Holdings Corp.* | (10,171 | ) | (158,769 | ) | ||||
Superior Industries International, Inc | (4,395 | ) | (85,746 | ) | ||||
Tesla Motors, Inc.* | (3,816 | ) | (922,327 | ) | ||||
|
| |||||||
(5,698,518 | ) | |||||||
|
| |||||||
Capital Goods — (6.4)% |
| |||||||
Alliant Techsystems, Inc. | (40,922 | ) | (4,786,237 | ) | ||||
Altra Industrial Motion Corp. | (8,176 | ) | (257,708 | ) | ||||
Apogee Enterprises, Inc. | (114,251 | ) | (5,015,619 | ) | ||||
Applied Industrial Technologies, Inc. | (122,096 | ) | (5,959,506 | ) | ||||
Armstrong World Industries, Inc.* | (101,354 | ) | (4,907,561 | ) |
The accompanying notes are an integral part of the financial statements.
16
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Astec Industries, Inc. | (55,355 | ) | $ | (2,098,508 | ) | |||
Astronics Corp.* | (27,033 | ) | (1,400,580 | ) | ||||
Babcock & Wilcox Co. (The) | (439,888 | ) | (12,580,797 | ) | ||||
Barnes Group, Inc. | (126,058 | ) | (4,608,680 | ) | ||||
Beacon Roofing Supply, Inc.* | (382,220 | ) | (10,576,027 | ) | ||||
Boeing Co. (The) | (79,759 | ) | (9,962,697 | ) | ||||
Brady Corp., Class A | (89,702 | ) | (2,138,496 | ) | ||||
CAE, Inc. (Canada) | (27,431 | ) | (354,409 | ) | ||||
CLARCOR, Inc. | (71,480 | ) | (4,786,301 | ) | ||||
Continental Building Products, Inc.* | (13,212 | ) | (194,745 | ) | ||||
Cubic Corp. | (98,372 | ) | (4,745,465 | ) | ||||
DigitalGlobe, Inc.* | (69,717 | ) | (1,993,209 | ) | ||||
Dycom Industries, Inc.* | (182,645 | ) | (5,733,227 | ) | ||||
EnerSys | (9,767 | ) | (613,368 | ) | ||||
Esterline Technologies Corp.* | (6,458 | ) | (756,296 | ) | ||||
Franklin Electric Co., Inc. | (102,839 | ) | (3,840,008 | ) | ||||
Gorman-Rupp Co. (The)* | (16,664 | ) | (528,915 | ) | ||||
Granite Construction, Inc. | (25,529 | ) | (942,275 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (12,681 | ) | (995,332 | ) | ||||
II-VI, Inc.* | (202,448 | ) | (2,731,024 | ) | ||||
Kaman Corp. | (21,851 | ) | (940,904 | ) | ||||
Kennametal, Inc. | (254,185 | ) | (9,814,083 | ) | ||||
Lennox International, Inc. | (70,187 | ) | (6,241,028 | ) | ||||
MasTec, Inc.* | (203,754 | ) | (5,835,515 | ) | ||||
Middleby Corp. (The)* | (8,892 | ) | (786,942 | ) | ||||
MRC Global, Inc.* | (215,475 | ) | (4,531,439 | ) | ||||
Mueller Industries, Inc. | (129,978 | ) | (4,219,086 | ) | ||||
Nortek, Inc.* | (25,219 | ) | (2,100,238 | ) | ||||
Oshkosh Corp. | (29,213 | ) | (1,307,574 | ) | ||||
Powell Industries, Inc. | (27,187 | ) | (1,237,824 | ) | ||||
Power Solutions International, Inc.* | (53,983 | ) | (3,535,887 | ) | ||||
Primoris Services Corp. | (527 | ) | (15,135 | ) | ||||
Rexnord Corp.* | (61,629 | ) | (1,821,137 | ) | ||||
Rockwell Collins, Inc. | (67,836 | ) | (5,708,399 | ) | ||||
Sensata Technologies Holding NV (Netherlands) | (178,315 | ) | (8,703,555 | ) | ||||
SolarCity Corp.* | (146,000 | ) | (8,640,280 | ) | ||||
TAL International Group, Inc. | (51,471 | ) | (2,219,944 | ) | ||||
Taser International, Inc.* | (256,202 | ) | (4,826,846 | ) | ||||
Textainer Group Holdings Ltd. (Bermuda) | (30,359 | ) | (1,045,564 | ) | ||||
Titan International, Inc. | (356,591 | ) | (3,765,601 | ) | ||||
Triumph Group, Inc. | (98,928 | ) | (6,888,357 | ) | ||||
Tutor Perini Corp.* | (113,343 | ) | (3,174,737 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
WABCO Holdings, Inc.* | (28,022 | ) | $ | (2,728,782 | ) | |||
Wabtec Corp. | (40,010 | ) | (3,452,863 | ) | ||||
Watsco, Inc. | (5,824 | ) | (591,835 | ) | ||||
|
| |||||||
(186,640,545 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (1.9)% |
| |||||||
Acacia Research Corp. | (54,396 | ) | (979,128 | ) | ||||
Advisory Board Co. (The)* | (245,177 | ) | (13,158,650 | ) | ||||
Covanta Holding Corp. | (41,940 | ) | (925,616 | ) | ||||
Healthcare Services Group, Inc. | (190,727 | ) | (5,679,850 | ) | ||||
Herman Miller, Inc. | (204,508 | ) | (6,544,256 | ) | ||||
ICF International, Inc.* | (12,502 | ) | (454,323 | ) | ||||
Interface, Inc. | (227,525 | ) | (3,647,226 | ) | ||||
Kelly Services, Inc., Class A | (71,542 | ) | (1,261,285 | ) | ||||
Kforce, Inc. | (56,276 | ) | (1,302,789 | ) | ||||
Kimball International, Inc., Class B | (1,641 | ) | (20,974 | ) | ||||
Mistras Group, Inc.* | (36,333 | ) | (599,131 | ) | ||||
Paylocity Corp.* | (69,232 | ) | (1,696,184 | ) | ||||
Stericycle, Inc.* | (9,905 | ) | (1,248,030 | ) | ||||
US Ecology, Inc. | (153,108 | ) | (7,698,270 | ) | ||||
WageWorks, Inc.* | (193,394 | ) | (11,025,392 | ) | ||||
|
| |||||||
(56,241,104 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.5)% |
| |||||||
Callaway Golf Co. | (31,991 | ) | (250,809 | ) | ||||
Carter’s, Inc. | (15,732 | ) | (1,229,141 | ) | ||||
Crocs, Inc.* | (131,599 | ) | (1,537,076 | ) | ||||
DR Horton, Inc. | (367,628 | ) | (8,378,242 | ) | ||||
Gildan Activewear, Inc. (Canada) | (137,994 | ) | (8,228,582 | ) | ||||
Hovnanian Enterprises, Inc., Class A* | (558,789 | ) | (2,101,047 | ) | ||||
Kate Spade & Co.* | (88,680 | ) | (2,405,888 | ) | ||||
KB Home | (739,755 | ) | (11,643,744 | ) | ||||
MDC Holdings, Inc. | (439,014 | ) | (10,720,722 | ) | ||||
Meritage Homes Corp.* | (309,742 | ) | (11,395,408 | ) | ||||
Ryland Group, Inc. (The) | (137,079 | ) | (4,908,799 | ) | ||||
Standard Pacific Corp.* | (371,652 | ) | (2,750,225 | ) | ||||
Taylor Morrison Home Corp., Class A* | (206,127 | ) | (3,553,629 | ) | ||||
William Lyon Homes, Class A* | (130,787 | ) | (3,094,420 | ) | ||||
|
| |||||||
(72,197,732 | ) | |||||||
|
| |||||||
Consumer Services — (4.2)% |
| |||||||
2U, Inc.* | (41,443 | ) | (754,263 | ) | ||||
Bloomin’ Brands, Inc.* | (488,520 | ) | (9,237,913 | ) | ||||
Bob Evans Farms, Inc. | (222,405 | ) | (10,864,484 | ) | ||||
Churchill Downs, Inc. | (26,848 | ) | (2,737,959 | ) |
The accompanying notes are an integral part of the financial statements.
17
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
ClubCorp Holdings, Inc. | (144,086 | ) | $ | (2,746,279 | ) | |||
Fiesta Restaurant Group, Inc.* | (26,622 | ) | (1,468,203 | ) | ||||
Grand Canyon Education, Inc.* | (42,015 | ) | (2,012,519 | ) | ||||
International Speedway Corp., Class A | (91,293 | ) | (2,860,210 | ) | ||||
Krispy Kreme Doughnuts, Inc.* | (440,959 | ) | (8,342,944 | ) | ||||
Life Time Fitness, Inc.* | (193,915 | ) | (10,814,640 | ) | ||||
LifeLock, Inc.* | (410,483 | ) | (6,941,268 | ) | ||||
MGM Resorts International* | (156,671 | ) | (3,642,601 | ) | ||||
Noodles & Co.* | (20,720 | ) | (473,038 | ) | ||||
Norwegian Cruise Line Holdings Ltd. | (180,946 | ) | (7,056,894 | ) | ||||
Papa John’s International, Inc. | (102,894 | ) | (4,811,323 | ) | ||||
Penn National Gaming, Inc.* | (475,477 | ) | (6,223,994 | ) | ||||
Pinnacle Entertainment, Inc.* | (354,579 | ) | (9,087,860 | ) | ||||
Popeyes Louisiana Kitchen, Inc.* | (77,189 | ) | (3,577,710 | ) | ||||
Red Robin Gourmet Burgers, Inc.* | (177,163 | ) | (9,738,650 | ) | ||||
Service Corp. International | (256,741 | ) | (5,614,926 | ) | ||||
Sonic Corp. | (204,807 | ) | (5,163,184 | ) | ||||
Texas Roadhouse, Inc. | (266,014 | ) | (7,679,824 | ) | ||||
Zoe’s Kitchen, Inc.* | (25,223 | ) | (919,631 | ) | ||||
|
| |||||||
(122,770,317 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.2)% |
| |||||||
Casey’s General Stores, Inc. | (140,759 | ) | (11,523,939 | ) | ||||
Kroger Co. (The) | (153,728 | ) | (8,564,187 | ) | ||||
PriceSmart, Inc. | (5,169 | ) | (460,196 | ) | ||||
SpartanNash Co. | (120,591 | ) | (2,702,444 | ) | ||||
United Natural Foods, Inc.* | (188,652 | ) | (12,832,109 | ) | ||||
|
| |||||||
(36,082,875 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.0)% |
| |||||||
Boston Beer Co., Inc. (The), Class A* | (20,131 | ) | (5,012,619 | ) | ||||
Boulder Brands, Inc.* | (242,962 | ) | (2,157,503 | ) | ||||
Brown-Forman Corp., Class B | (10,445 | ) | (967,938 | ) | ||||
Darling Ingredients, Inc.* | (632,894 | ) | (11,138,934 | ) | ||||
Dean Foods Co. | (353,278 | ) | (5,196,719 | ) | ||||
Hain Celestial Group, Inc. (The)* | (17,697 | ) | (1,915,700 | ) | ||||
Hershey Co. (The) | (46,003 | ) | (4,412,148 | ) | ||||
J&J Snack Foods Corp. | (330 | ) | (34,000 | ) | ||||
JM Smucker Co. (The) | (11,792 | ) | (1,226,368 | ) | ||||
Mead Johnson Nutrition Co. | (25,047 | ) | (2,487,418 | ) | ||||
Post Holdings, Inc.* | (380,831 | ) | (14,281,163 | ) | ||||
TreeHouse Foods, Inc.* | (86,544 | ) | (7,370,952 | ) | ||||
WhiteWave Foods Co.* | (85,062 | ) | (3,166,858 | ) | ||||
|
| |||||||
(59,368,320 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (6.1)% |
| |||||||
Acadia Healthcare Co., Inc.* | (121,028 | ) | $ | (7,509,787 | ) | |||
Accuray, Inc.* | (222,489 | ) | (1,408,355 | ) | ||||
Adeptus Health, Inc., Class A* | (12,996 | ) | (431,207 | ) | ||||
Alere, Inc.* | (40,298 | ) | (1,610,711 | ) | ||||
Allscripts Healthcare Solutions, Inc.* | (550,231 | ) | (7,549,169 | ) | ||||
Analogic Corp. | (17,415 | ) | (1,270,250 | ) | ||||
athenahealth, Inc.* | (66,511 | ) | (8,147,596 | ) | ||||
Bio-Reference Laboratories, Inc.* | (64,714 | ) | (1,944,009 | ) | ||||
BioScrip, Inc.* | (196,351 | ) | (1,268,427 | ) | ||||
Capital Senior Living Corp.* | (92,730 | ) | (2,086,425 | ) | ||||
Cardiovascular Systems, Inc.* | (151,482 | ) | (4,695,942 | ) | ||||
Cerner Corp.* | (24,513 | ) | (1,552,653 | ) | ||||
Community Health Systems, Inc.* | (144,863 | ) | (7,963,119 | ) | ||||
CONMED Corp. | (9,072 | ) | (380,933 | ) | ||||
Cooper Cos., Inc. (The) | (8,435 | ) | (1,382,497 | ) | ||||
Endologix, Inc.* | (341,685 | ) | (3,895,209 | ) | ||||
Ensign Group, Inc. (The) | (3,542 | ) | (137,146 | ) | ||||
ExamWorks Group, Inc.* | (168,568 | ) | (6,537,067 | ) | ||||
Hanger, Inc.* | (304,281 | ) | (7,281,444 | ) | ||||
Healthways, Inc.* | (94,175 | ) | (1,459,713 | ) | ||||
HeartWare International, Inc.* | (57,363 | ) | (4,423,835 | ) | ||||
Henry Schein, Inc.* | (12,687 | ) | (1,522,821 | ) | ||||
Insulet Corp.* | (92,536 | ) | (3,994,779 | ) | ||||
K2M Group Holdings, Inc.* | (971 | ) | (15,633 | ) | ||||
LDR Holding Corp.* | (77,653 | ) | (2,674,369 | ) | ||||
LifePoint Hospitals, Inc.* | (76,659 | ) | (5,366,130 | ) | ||||
McKesson Corp. | (1,345 | ) | (273,586 | ) | ||||
Medidata Solutions, Inc.* | (190,261 | ) | (8,582,674 | ) | ||||
MWI Veterinary Supply, Inc.* | (58,469 | ) | (9,919,558 | ) | ||||
National Healthcare Corp. | (1,689 | ) | (101,864 | ) | ||||
Neogen Corp.* | (105,583 | ) | (4,635,094 | ) | ||||
Novadaq Technologies, Inc. (Canada)* | (258,796 | ) | (4,042,394 | ) | ||||
NuVasive, Inc.* | (10,882 | ) | (445,074 | ) | ||||
NxStage Medical, Inc.* | (227,777 | ) | (3,453,099 | ) | ||||
Omnicell, Inc.* | (29,934 | ) | (967,168 | ) | ||||
Owens & Minor, Inc. | (14,803 | ) | (493,236 | ) | ||||
Patterson Cos., Inc. | (121,681 | ) | (5,245,668 | ) | ||||
Providence Service Corp. (The)* | (5,007 | ) | (221,209 | ) | ||||
Quidel Corp.* | (114,727 | ) | (3,275,456 | ) | ||||
Sirona Dental Systems, Inc.* | (60,749 | ) | (4,771,834 | ) | ||||
Spectranetics Corp.* | (252,803 | ) | (8,031,551 | ) | ||||
STERIS Corp. | (11,052 | ) | (683,014 | ) | ||||
Surgical Care Affiliates, Inc.* | (19,434 | ) | (596,235 | ) |
The accompanying notes are an integral part of the financial statements.
18
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Tenet Healthcare Corp.* | (95,902 | ) | $ | (5,375,307 | ) | |||
Tornier NV (Netherlands) | (163,385 | ) | (4,566,611 | ) | ||||
Veeva Systems, Inc., Class A* | (198,956 | ) | (5,924,910 | ) | ||||
Volcano Corp.* | (309,823 | ) | (3,135,409 | ) | ||||
West Pharmaceutical Services, Inc | (57,242 | ) | (2,933,653 | ) | ||||
Wright Medical Group, Inc.* | (389,719 | ) | (12,322,915 | ) | ||||
Zeltiq Aesthetics, Inc.* | (116,378 | ) | (2,983,932 | ) | ||||
|
| |||||||
(179,490,677 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.2)% |
| |||||||
Elizabeth Arden, Inc.* | (16,108 | ) | (264,171 | ) | ||||
Revlon, Inc., Class A* | (28,456 | ) | (976,041 | ) | ||||
Spectrum Brands Holdings, Inc. | (36,409 | ) | (3,298,291 | ) | ||||
|
| |||||||
(4,538,503 | ) | |||||||
|
| |||||||
Media — (1.6)% |
| |||||||
AMC Entertainment Holdings, Inc., | ||||||||
Class A | (8,469 | ) | (215,113 | ) | ||||
AMC Networks, Inc., Class A* | (69,651 | ) | (4,224,333 | ) | ||||
Carmike Cinemas, Inc.* | (10,619 | ) | (340,339 | ) | ||||
Charter Communications, Inc., Class A* | (55,750 | ) | (8,830,242 | ) | ||||
DreamWorks Animation SKG, Inc., Class A* | (138,742 | ) | (3,091,172 | ) | ||||
EW Scripps Co. (The), Class A* | (327,177 | ) | (6,281,798 | ) | ||||
Gray Television, Inc.* | (321,897 | ) | (2,974,328 | ) | ||||
Live Nation Entertainment, Inc.* | (220,249 | ) | (5,726,474 | ) | ||||
Madison Square Garden Co. (The), Class A* | (29,514 | ) | (2,235,981 | ) | ||||
MDC Partners, Inc., Class A (Canada) | (110,544 | ) | (2,288,261 | ) | ||||
National CineMedia, Inc. | (138,671 | ) | (2,204,869 | ) | ||||
Rentrak Corp.* | (30,388 | ) | (2,335,926 | ) | ||||
Scholastic Corp. | (108,811 | ) | (3,787,711 | ) | ||||
SFX Entertainment, Inc.* | (198,976 | ) | (1,022,737 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (201,729 | ) | (2,491,353 | ) | ||||
|
| |||||||
(48,050,637 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
ACADIA Pharmaceuticals, Inc.* | (6,182 | ) | (171,241 | ) | ||||
Acceleron Pharma, Inc.* | (146,567 | ) | (5,420,048 | ) | ||||
Achillion Pharmaceuticals, Inc.* | (104,992 | ) | (1,233,656 | ) | ||||
Agios Pharmaceuticals, Inc.* | (67,422 | ) | (5,665,471 | ) | ||||
Akorn, Inc.* | (307,376 | ) | (13,693,601 | ) | ||||
Albany Molecular Research, Inc.* | (247,706 | ) | (5,761,642 | ) | ||||
Alkermes PLC (Ireland)* | (74,092 | ) | (3,745,351 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
AMAG Pharmaceuticals, Inc.* | (48,550 | ) | $ | (1,602,635 | ) | |||
Arena Pharmaceuticals, Inc.* | (1,794,726 | ) | (7,825,005 | ) | ||||
ARIAD Pharmaceuticals, Inc.* | (304,045 | ) | (1,812,108 | ) | ||||
Auspex Pharmaceuticals, Inc.* | (7,812 | ) | (211,705 | ) | ||||
AVANIR Pharmaceuticals, Inc.* | (538,224 | ) | (6,964,619 | ) | ||||
BioDelivery Sciences International, Inc.* | (384,333 | ) | (6,687,394 | ) | ||||
Bluebird Bio, Inc.* | (47,557 | ) | (1,996,918 | ) | ||||
Bristol-Myers Squibb Co. | (92,833 | ) | (5,401,952 | ) | ||||
Catalent, Inc.* | (3,402 | ) | (88,554 | ) | ||||
Celldex Therapeutics, Inc.* | (421,180 | ) | (7,054,765 | ) | ||||
Cepheid* | (101,950 | ) | (5,404,369 | ) | ||||
Charles River Laboratories International, Inc.* | (20,032 | ) | (1,265,221 | ) | ||||
Chimerix, Inc.* | (151,075 | ) | (4,689,368 | ) | ||||
Clovis Oncology, Inc.* | (26,796 | ) | (1,598,649 | ) | ||||
Eli Lilly & Co. | (98,736 | ) | (6,549,159 | ) | ||||
Emergent Biosolutions, Inc.* | (148,587 | ) | (3,361,038 | ) | ||||
Fluidigm Corp.* | (200,247 | ) | (5,807,163 | ) | ||||
Genomic Health, Inc.* | (88,525 | ) | (3,216,999 | ) | ||||
Halozyme Therapeutics, Inc.* | (529,576 | ) | (5,094,521 | ) | ||||
ImmunoGen, Inc.* | (682,141 | ) | (6,316,626 | ) | ||||
Impax Laboratories, Inc.* | (40,809 | ) | (1,182,237 | ) | ||||
Incyte Corp.* | (68,839 | ) | (4,616,343 | ) | ||||
Infinity Pharmaceuticals, Inc.* | (11,236 | ) | (153,034 | ) | ||||
Insmed, Inc.* | (25,533 | ) | (362,313 | ) | ||||
Intrexon Corp.* | (95,413 | ) | (2,129,618 | ) | ||||
Ironwood Pharmaceuticals, Inc.* | (256,989 | ) | (3,602,986 | ) | ||||
Isis Pharmaceuticals, Inc.* | (76,823 | ) | (3,538,467 | ) | ||||
Jazz Pharmaceuticals PLC (Ireland)* | (1,858 | ) | (313,705 | ) | ||||
Karyopharm Therapeutics, Inc.* | (44,718 | ) | (1,837,015 | ) | ||||
Kite Pharma, Inc.* | (94,062 | ) | (3,479,353 | ) | ||||
KYTHERA Biopharmaceuticals, Inc.* | (55,468 | ) | (1,955,247 | ) | ||||
Lexicon Pharmaceuticals, Inc.* | (100,747 | ) | (146,083 | ) | ||||
Medicines Co. (The)* | (273,891 | ) | (6,934,920 | ) | ||||
Momenta Pharmaceuticals, Inc.* | (335,041 | ) | (3,655,297 | ) | ||||
Mylan, Inc.* | (252 | ) | (13,495 | ) | ||||
Neurocrine Biosciences, Inc.* | (411,489 | ) | (7,620,776 | ) | ||||
Novavax, Inc.* | (1,661,090 | ) | (9,302,104 | ) | ||||
Ophthotech Corp.* | (110,673 | ) | (4,617,278 | ) | ||||
Orexigen Therapeutics, Inc.* | (576,524 | ) | (2,340,687 | ) | ||||
Pacira Pharmaceuticals, Inc.* | (7,769 | ) | (721,119 | ) | ||||
Perrigo Co. PLC (Ireland) | (5,739 | ) | (926,562 | ) |
The accompanying notes are an integral part of the financial statements.
19
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Pharmacyclics, Inc.* | (43,991 | ) | $ | (5,748,304 | ) | |||
Portola Pharmaceuticals, Inc.* | (9,773 | ) | (278,531 | ) | ||||
PTC Therapeutics, Inc.* | (150,555 | ) | (6,153,183 | ) | ||||
Puma Biotechnology, Inc.* | (634 | ) | (158,880 | ) | ||||
Receptos, Inc.* | (59,077 | ) | (6,123,331 | ) | ||||
Relypsa, Inc.* | (170,197 | ) | (3,500,952 | ) | ||||
Repligen Corp.* | (177,929 | ) | (4,487,369 | ) | ||||
Sage Therapeutics, Inc.* | (39,336 | ) | (1,538,824 | ) | ||||
Sangamo BioSciences, Inc.* | (103,164 | ) | (1,252,411 | ) | ||||
Synageva BioPharma Corp.* | (92,828 | ) | (7,030,793 | ) | ||||
Techne Corp. | (16,272 | ) | (1,481,566 | ) | ||||
TESARO, Inc.* | (182,230 | ) | (5,069,639 | ) | ||||
TherapeuticsMD, Inc.* | (5,470 | ) | (24,287 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (121,017 | ) | (2,214,611 | ) | ||||
Ultragenyx Pharmaceutical, Inc.* | (7,112 | ) | (334,335 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (60,277 | ) | (6,789,601 | ) | ||||
Zoetis, Inc. | (39,504 | ) | (1,467,969 | ) | ||||
ZS Pharma, Inc.* | (109,176 | ) | (4,107,201 | ) | ||||
|
| |||||||
(235,850,204 | ) | |||||||
|
| |||||||
Retailing — (5.9)% |
| |||||||
Advance Auto Parts, Inc. | (77,593 | ) | (11,403,067 | ) | ||||
Amazon.com, Inc.* | (40,419 | ) | (12,346,388 | ) | ||||
Ascena Retail Group, Inc.* | (717,951 | ) | (8,938,490 | ) | ||||
CarMax, Inc.* | (209,108 | ) | (11,691,228 | ) | ||||
CST Brands, Inc. | (250,406 | ) | (9,578,030 | ) | ||||
Groupon, Inc.* | (1,339,187 | ) | (9,789,457 | ) | ||||
JC Penney Co., Inc.* | (493,845 | ) | (3,758,160 | ) | ||||
LKQ Corp.* | (135,475 | ) | (3,870,521 | ) | ||||
Lumber Liquidators Holdings, Inc.* | (209,139 | ) | (11,245,404 | ) | ||||
Mattress Firm Holding Corp.* | (7,395 | ) | (467,290 | ) | ||||
Men’s Wearhouse, Inc. (The) | (281,279 | ) | (13,228,551 | ) | ||||
Monro Muffler Brake, Inc. | (42,169 | ) | (2,253,511 | ) | ||||
Netflix, Inc.* | (11,127 | ) | (4,370,352 | ) | ||||
Nordstrom, Inc. | (42,421 | ) | (3,080,189 | ) | ||||
Office Depot, Inc.* | (1,330,525 | ) | (6,945,341 | ) | ||||
Pep Boys-Manny Moe & Jack (The)* | (98,953 | ) | (943,022 | ) | ||||
Performance Sports Group Ltd.* | (55,154 | ) | (950,303 | ) | ||||
Pier 1 Imports, Inc. | (363,244 | ) | (4,685,848 | ) | ||||
Rent-A-Center, Inc. | (64,616 | ) | (2,001,158 | ) | ||||
Restoration Hardware Holdings, Inc.* . | (74,852 | ) | (6,012,113 | ) | ||||
RetailMeNot, Inc.* | (199,154 | ) | (4,194,183 | ) | ||||
Select Comfort Corp.* | (109,094 | ) | (2,802,625 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Shutterfly, Inc.* | (101,197 | ) | $ | (4,233,071 | ) | |||
Signet Jewelers Ltd. | (98,824 | ) | (11,859,868 | ) | ||||
Stage Stores, Inc | (51,815 | ) | (874,119 | ) | ||||
Stein Mart, Inc. | (21,632 | ) | (289,436 | ) | ||||
Tuesday Morning Corp.* | (259,144 | ) | (5,283,946 | ) | ||||
Vitamin Shoppe, Inc.* | (264,484 | ) | (12,412,234 | ) | ||||
Wayfair, Inc., Class A* | (81,267 | ) | (2,039,802 | ) | ||||
|
| |||||||
(171,547,707 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (2.8)% |
| |||||||
Advanced Micro Devices, Inc.* | (1,667,791 | ) | (4,669,815 | ) | ||||
Analog Devices, Inc. | (132,645 | ) | (6,581,845 | ) | ||||
Applied Micro Circuits Corp.* | (259,394 | ) | (1,678,279 | ) | ||||
Avago Technologies Ltd. (Singapore) | (61,996 | ) | (5,347,155 | ) | ||||
Brooks Automation, Inc. | (240,539 | ) | (2,965,846 | ) | ||||
Cree, Inc.* | (338,759 | ) | (10,664,133 | ) | ||||
Entegris, Inc.* | (589,628 | ) | (8,007,148 | ) | ||||
First Solar, Inc.* | (33,160 | ) | (1,953,124 | ) | ||||
GT Advanced Technologies, Inc.* | (390,750 | ) | (236,404 | ) | ||||
M/A-COM Technology Solutions Holdings, Inc.* | (89,285 | ) | (1,963,377 | ) | ||||
Microsemi Corp.* | (338,664 | ) | (8,828,970 | ) | ||||
PMC-Sierra, Inc.* | (606,782 | ) | (4,726,832 | ) | ||||
Spansion, Inc., Class A* | (440,836 | ) | (9,072,405 | ) | ||||
SunEdison, Inc.* | (34,697 | ) | (676,938 | ) | ||||
Ultratech, Inc.* | (190,678 | ) | (3,647,670 | ) | ||||
Veeco Instruments, Inc.* | (321,598 | ) | (11,574,312 | ) | ||||
|
| |||||||
(82,594,253 | ) | |||||||
|
| |||||||
Software & Services — (10.5)% |
| |||||||
Adobe Systems, Inc.* | (150,380 | ) | (10,544,646 | ) | ||||
Autodesk, Inc.* | (186,228 | ) | (10,715,559 | ) | ||||
Barracuda Networks, Inc.* | (17,962 | ) | (577,478 | ) | ||||
Benefitfocus, Inc.* | (60,641 | ) | (1,680,362 | ) | ||||
Blackhawk Network Holdings, Inc., Class B* | (221,351 | ) | (7,393,123 | ) | ||||
Blucora, Inc.* | (25,869 | ) | (438,480 | ) | ||||
Bottomline Technologies de, Inc.* | (176,299 | ) | (4,423,342 | ) | ||||
BroadSoft, Inc.* | (169,146 | ) | (3,873,443 | ) | ||||
CommVault Systems, Inc.* | (170,254 | ) | (7,549,062 | ) | ||||
comScore, Inc.* | (153,777 | ) | (6,480,163 | ) | ||||
Concur Technologies, Inc.* | (4,708 | ) | (604,131 | ) | ||||
Convergys Corp. | (490,385 | ) | (9,891,065 | ) | ||||
CoreLogic, Inc.* | (153,582 | ) | (4,817,867 | ) | ||||
Cornerstone OnDemand, Inc.* | (311,998 | ) | (11,316,167 | ) | ||||
CoStar Group, Inc.* | (1,351 | ) | (217,633 | ) |
The accompanying notes are an integral part of the financial statements.
20
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Cvent, Inc.* | (117,361 | ) | $ | (3,044,344 | ) | |||
Dealertrack Technologies, Inc.* | (116,433 | ) | (5,478,173 | ) | ||||
Demandware, Inc.* | (55,834 | ) | (3,347,248 | ) | ||||
Digital River, Inc.* | (16,432 | ) | (420,166 | ) | ||||
Ellie Mae, Inc.* | (174,084 | ) | (6,681,344 | ) | ||||
Envestnet, Inc.* | (99,586 | ) | (4,423,610 | ) | ||||
Equinix, Inc. | (8,179 | ) | (1,708,593 | ) | ||||
FireEye, Inc.* | (243,859 | ) | (8,288,767 | ) | ||||
Fleetmatics Group PLC (Ireland)* | (20,583 | ) | (764,453 | ) | ||||
Forrester Research, Inc. | (6,253 | ) | (251,871 | ) | ||||
Fortinet, Inc.* | (236,719 | ) | (6,166,530 | ) | ||||
Global Eagle Entertainment, Inc.* | (64,042 | ) | (783,234 | ) | ||||
Global Payments, Inc. | (1,723 | ) | (138,702 | ) | ||||
Heartland Payment Systems, Inc. | (20,492 | ) | (1,058,412 | ) | ||||
Imperva, Inc.* | (88,301 | ) | (3,617,692 | ) | ||||
Infoblox, Inc.* | (271,826 | ) | (4,387,272 | ) | ||||
Interactive Intelligence Group, Inc.* | (116,718 | ) | (5,632,811 | ) | ||||
Jive Software, Inc.* | (292,602 | ) | (1,787,798 | ) | ||||
LinkedIn Corp., Class A* | (406 | ) | (92,958 | ) | ||||
LivePerson, Inc.* | (226,520 | ) | (3,261,888 | ) | ||||
LogMeIn, Inc.* | (74,456 | ) | (3,577,611 | ) | ||||
Manhattan Associates, Inc.* | (134,963 | ) | (5,413,366 | ) | ||||
Marketo, Inc.* | (276,856 | ) | (8,934,143 | ) | ||||
MicroStrategy, Inc.* | (13,651 | ) | (2,196,173 | ) | ||||
MobileIron, Inc.* | (101,531 | ) | (1,021,402 | ) | ||||
Move, Inc.* | (214,105 | ) | (4,485,500 | ) | ||||
NetSuite, Inc.* | (56,406 | ) | (6,129,076 | ) | ||||
Nuance Communications, Inc.* | (838,683 | ) | (12,940,879 | ) | ||||
Paycom Software, Inc.* | (64,565 | ) | (1,146,029 | ) | ||||
Proofpoint, Inc.* | (77,084 | ) | (3,394,779 | ) | ||||
PROS Holdings, Inc.* | (83,384 | ) | (2,333,084 | ) | ||||
Qlik Technologies, Inc.* | (55,839 | ) | (1,583,036 | ) | ||||
Qualys, Inc.* | (13,265 | ) | (425,541 | ) | ||||
Rackspace Hosting, Inc.* | (322,402 | ) | (12,367,341 | ) | ||||
RealPage, Inc.* | (283,981 | ) | (5,642,702 | ) | ||||
Sapient Corp.* | (264,740 | ) | (4,585,297 | ) | ||||
Shutterstock, Inc. | (117,580 | ) | (9,143,021 | ) | ||||
Silver Spring Networks, Inc.* | (114,505 | ) | (1,096,958 | ) | ||||
Splunk, Inc. | (73,629 | ) | (4,865,404 | ) | ||||
SPS Commerce, Inc.* | (2,056 | ) | (119,865 | ) | ||||
Tableau Software, Inc., Class A* | (72,938 | ) | (6,023,949 | ) | ||||
Tangoe, Inc.* | (9,110 | ) | (133,644 | ) | ||||
TIBCO Software, Inc.* | (535,365 | ) | (12,511,480 | ) | ||||
Twitter, Inc.* | (217,849 | ) | (9,034,198 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Vantiv, Inc., Class A* | (158,617 | ) | $ | (4,904,438 | ) | |||
Varonis Systems, Inc.* | (54,118 | ) | (1,054,219 | ) | ||||
Verint Systems, Inc.* | (195,921 | ) | (11,263,498 | ) | ||||
Vistaprint NV (Netherlands) | (66,791 | ) | (4,465,646 | ) | ||||
Web.com Group, Inc.* | (4,429 | ) | (90,927 | ) | ||||
Workday, Inc., Class A* | (33,218 | ) | (3,171,655 | ) | ||||
Xoom Corp.* | (30,538 | ) | (461,124 | ) | ||||
Yelp, Inc.* | (129,200 | ) | (7,752,000 | ) | ||||
Zendesk, Inc.* | (70,160 | ) | (1,824,160 | ) | ||||
Zillow, Inc., Class A* | (8,203 | ) | (891,912 | ) | ||||
Zynga, Inc., Class A* | (3,744,657 | ) | (9,548,875 | ) | ||||
|
| |||||||
(306,391,319 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (3.8)% |
| |||||||
ADTRAN, Inc. | (11,707 | ) | (248,305 | ) | ||||
Amphenol Corp., Class A | (19,299 | ) | (976,143 | ) | ||||
Avnet, Inc. | (24,375 | ) | (1,054,219 | ) | ||||
Badger Meter, Inc. | (16,132 | ) | (918,233 | ) | ||||
Belden, Inc. | (76,388 | ) | (5,438,062 | ) | ||||
Benchmark Electronics, Inc.* | (86,130 | ) | (2,043,004 | ) | ||||
BlackBerry Ltd. (Canada)* | (623,215 | ) | (6,543,758 | ) | ||||
CalAmp Corp.* | (94,360 | ) | (1,819,261 | ) | ||||
Celestica, Inc. (Canada)* | (148,617 | ) | (1,631,815 | ) | ||||
Ciena Corp.* | (362,065 | ) | (6,068,209 | ) | ||||
Cray, Inc.* | (252,622 | ) | (8,755,879 | ) | ||||
Electronics For Imaging, Inc.* | (175,591 | ) | (8,028,021 | ) | ||||
FARO Technologies, Inc.* | (7,467 | ) | (418,152 | ) | ||||
Finisar Corp.* | (563,781 | ) | (9,426,418 | ) | ||||
Infinera Corp.* | (352,968 | ) | (5,128,625 | ) | ||||
Ingram Micro, Inc., Class A* | (85,548 | ) | (2,296,108 | ) | ||||
Ixia* | (308,309 | ) | (2,969,016 | ) | ||||
Jabil Circuit, Inc. | (61,487 | ) | (1,288,153 | ) | ||||
MTS Systems Corp. | (39,910 | ) | (2,634,459 | ) | ||||
Nimble Storage, Inc.* | (188,715 | ) | (5,163,242 | ) | ||||
Plantronics, Inc. | (26,997 | ) | (1,400,334 | ) | ||||
Plexus Corp.* | (27,208 | ) | (1,125,051 | ) | ||||
Riverbed Technology, Inc.* | (119,019 | ) | (2,260,171 | ) | ||||
ScanSource, Inc.* | (24,421 | ) | (932,394 | ) | ||||
Sonus Networks, Inc.* | (2,065,455 | ) | (7,167,129 | ) | ||||
Super Micro Computer, Inc.* | (9,020 | ) | (288,279 | ) | ||||
SYNNEX Corp.* | (179,346 | ) | (12,407,156 | ) | ||||
ViaSat, Inc.* | (207,394 | ) | (12,991,160 | ) | ||||
|
| |||||||
(111,420,756 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
21
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — (1.5)% |
| |||||||
8X8, Inc.* | (670,064 | ) | $ | (5,266,703 | ) | |||
Arista Networks, Inc.* | (2,174 | ) | (176,637 | ) | ||||
Cogent Communications Holdings, Inc. | (146,420 | ) | (4,969,495 | ) | ||||
Iridium Communications, Inc.* | (510,004 | ) | (4,845,038 | ) | ||||
RingCentral, Inc., Class A* | (376,905 | ) | (4,952,532 | ) | ||||
SBA Communications Corp., Class A*. | (49,797 | ) | (5,593,697 | ) | ||||
Sprint Corp.* | (373,052 | ) | (2,212,198 | ) | ||||
T-Mobile US, Inc.* | (325,635 | ) | (9,505,286 | ) | ||||
tw telecom, Inc.* | (82,498 | ) | (3,529,264 | ) | ||||
United States Cellular Corp.* | (90,420 | ) | (3,293,096 | ) | ||||
|
| |||||||
(44,343,946 | ) | |||||||
|
| |||||||
Transportation — (2.6)% |
| |||||||
Allegiant Travel Co.* | (76,957 | ) | (10,271,451 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (180,077 | ) | (6,648,443 | ) | ||||
Canadian Pacific Railway Ltd. (Canada) | (2,542 | ) | (527,923 | ) | ||||
FedEx Corp. | (4,814 | ) | (805,864 | ) | ||||
Genesee & Wyoming, Inc., Class A* | (80,051 | ) | (7,700,906 | ) | ||||
Heartland Express, Inc. | (284,215 | ) | (7,145,165 | ) | ||||
Hub Group, Inc., Class A* | (106,752 | ) | (3,874,030 | ) | ||||
JetBlue Airways Corp.* | (851,883 | ) | (9,830,730 | ) | ||||
Kansas City Southern | (19,593 | ) | (2,405,824 | ) | ||||
Knight Transportation, Inc. | (101,645 | ) | (2,974,133 | ) | ||||
Marten Transport Ltd. | (30,059 | ) | (589,758 | ) | ||||
Roadrunner Transportation Systems, Inc.* | (140,166 | ) | (2,888,821 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Ryder System, Inc. | (25,070 | ) | $ | (2,217,943 | ) | |||
Saia, Inc.* | (20,100 | ) | (985,302 | ) | ||||
Spirit Airlines, Inc.* | (27,051 | ) | (1,977,699 | ) | ||||
Universal Truckload Services, Inc. | (27,966 | ) | (736,065 | ) | ||||
UTi Worldwide, Inc. (British Virgin Islands) | (800,303 | ) | (8,747,312 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (296,910 | ) | (5,270,153 | ) | ||||
|
| |||||||
(75,597,522 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK |
| (1,798,824,935 | ) | |||||
|
| |||||||
EXCHANGE TRADED FUNDS — (0.5)% |
| |||||||
SPDR S&P 500 ETF Trust | (68,729 | ) | (13,859,890 | ) | ||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS |
| (13,859,890 | ) | |||||
|
| |||||||
TOTAL SECURITES SOLD SHORT-(61.9)% |
| (1,812,684,825 | ) | |||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.2% |
| 1,148,041,438 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 2,929,520,249 | |||||
|
|
* | Non-income producing. |
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | All or portion of the security is on loan. (see Note 5 of the Notes to Financial Statements) |
The accompanying notes are an integral part of the financial statements.
22
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS - 144.1% |
| |||||||
COMMON STOCKS — 144.1% |
| |||||||
Automobiles & Components — 1.8% |
| |||||||
Delphi Automotive PLC | 1,054 | $ | 72,705 | |||||
Ford Motor Co.† | 172 | 2,423 | ||||||
General Motors Co.† | 83 | 2,606 | ||||||
Goodyear Tire & Rubber Co. (The)† | 978 | 23,697 | ||||||
Johnson Controls, Inc. | 30 | 1,418 | ||||||
|
| |||||||
102,849 | ||||||||
|
| |||||||
Banks — 3.2% |
| |||||||
BB&T Corp.† | 31 | 1,174 | ||||||
Citigroup, Inc.† | 134 | 7,173 | ||||||
Fifth Third Bancorp† | 1,342 | 26,827 | ||||||
Huntington Bancshares, Inc.† | 36 | 357 | ||||||
JPMorgan Chase & Co.† | 1,597 | 96,587 | ||||||
KeyCorp.† | 38 | 502 | ||||||
M&T Bank Corp.† | 2 | 244 | ||||||
PNC Financial Services Group, Inc. (The) | 314 | 27,126 | ||||||
Regions Financial Corp.† | 676 | 6,713 | ||||||
SunTrust Banks, Inc. | 23 | 900 | ||||||
US Bancorp† | 79 | 3,365 | ||||||
Wells Fargo & Co.† | 313 | 16,617 | ||||||
|
| |||||||
187,585 | ||||||||
|
| |||||||
Capital Goods — 19.2% |
| |||||||
3M Co.† | 305 | 46,900 | ||||||
Allegion PLC (Ireland) | 4 | 212 | ||||||
AMETEK, Inc. | 10 | 522 | ||||||
Boeing Co. (The) | 31 | 3,872 | ||||||
Caterpillar, Inc.† | 1,051 | 106,582 | ||||||
Cummins, Inc. | 8 | 1,169 | ||||||
Danaher Corp.† | 31 | 2,492 | ||||||
Dover Corp.† | 587 | 46,631 | ||||||
Eaton Corp. PLC (Ireland) | 21 | 1,436 | ||||||
Emerson Electric Co.† | 750 | 48,045 | ||||||
Flowserve Corp. | 451 | 30,663 | ||||||
Fluor Corp.†(a) | 560 | 37,150 | �� | |||||
General Dynamics Corp.† | 1,177 | 164,498 | ||||||
Honeywell International, Inc.† | 35 | 3,364 | ||||||
Illinois Tool Works, Inc.† | 798 | 72,658 | ||||||
Ingersoll-Rand PLC (Ireland) | 191 | 11,960 | ||||||
Jacobs Engineering Group, Inc.*† | 473 | 22,444 | ||||||
Joy Global, Inc.(a) | 5 | 263 | ||||||
L-3 Communications Holdings, Inc.† | 301 | 36,559 | ||||||
Lockheed Martin Corp.† | 279 | 53,169 | ||||||
Masco Corp.† | 1,244 | 27,455 | ||||||
Northrop Grumman Corp.† | 733 | 101,125 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Parker-Hannifin Corp.† | 255 | $ | 32,393 | |||||
Pentair PLC (Ireland)† | 9 | 603 | ||||||
Precision Castparts Corp. | 199 | 43,919 | ||||||
Raytheon Co.† | 1,095 | 113,749 | ||||||
Rockwell Automation, Inc.† | 377 | 42,356 | ||||||
Snap-on, Inc.† | 3 | 396 | ||||||
Stanley Black & Decker, Inc. | 6 | 562 | ||||||
United Technologies Corp. | 40 | 4,280 | ||||||
WW Grainger, Inc.†(a) | 243 | 59,972 | ||||||
|
| |||||||
1,117,399 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.3% |
| |||||||
Dun & Bradstreet Corp. (The)† | 2 | 246 | ||||||
Equifax, Inc. | 5 | 379 | ||||||
Pitney Bowes, Inc.† | 720 | 17,813 | ||||||
Republic Services, Inc.† | 6 | 230 | ||||||
Robert Half International, Inc.† | 6 | 329 | ||||||
Tyco International Ltd. (Switzerland) | 20 | 859 | ||||||
Waste Management, Inc.† | 17 | 831 | ||||||
|
| |||||||
20,687 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.6% |
| |||||||
Coach, Inc.† | 977 | 33,589 | ||||||
Fossil Group, Inc.*† | 3 | 305 | ||||||
Garmin Ltd. (Switzerland) | 678 | 37,615 | ||||||
Leggett & Platt, Inc. | 6 | 236 | ||||||
Newell Rubbermaid, Inc.† | 955 | 31,830 | ||||||
PVH Corp.† | 3 | 343 | ||||||
Whirlpool Corp.† | 278 | 47,830 | ||||||
|
| |||||||
151,748 | ||||||||
|
| |||||||
Consumer Services — 0.7% |
| |||||||
Carnival Corp. (Panama) | 34 | 1,365 | ||||||
McDonald’s Corp.† | 43 | 4,030 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 8 | 613 | ||||||
Wyndham Worldwide Corp.† | 438 | 34,019 | ||||||
|
| |||||||
40,027 | ||||||||
|
| |||||||
Diversified Financials — 7.7% |
| |||||||
American Express Co.† | 6 | 540 | ||||||
Ameriprise Financial, Inc. | 8 | 1,009 | ||||||
Bank of New York Mellon Corp. (The) | 21 | 813 | ||||||
Capital One Financial Corp.† | 935 | 77,390 | ||||||
Discover Financial Services† | 994 | 63,397 | ||||||
Franklin Resources, Inc.† | 2,214 | 123,121 | ||||||
Goldman Sachs Group, Inc. (The)† | 560 | 106,394 |
The accompanying notes are an integral part of the financial statements.
23
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
McGraw Hill Financial, Inc.† | 236 | $ | 21,353 | |||||
Moody’s Corp.† | 9 | 893 | ||||||
NASDAQ OMX Group, Inc. (The)† | 599 | 25,913 | ||||||
Navient Corp.† | 1,457 | 28,819 | ||||||
|
| |||||||
449,642 | ||||||||
|
| |||||||
Energy — 11.9% |
| |||||||
Anadarko Petroleum Corp. | 22 | 2,019 | ||||||
Apache Corp.† | 1,359 | 104,915 | ||||||
Baker Hughes, Inc.† | 1,535 | 81,294 | ||||||
Cameron International Corp.* | 164 | 9,766 | ||||||
Chesapeake Energy Corp. | 29 | 643 | ||||||
Diamond Offshore Drilling, Inc. | 5 | 189 | ||||||
FMC Technologies, Inc.* | 11 | 616 | ||||||
Marathon Petroleum Corp.† | 1,013 | 92,082 | ||||||
Nabors Industries Ltd. (Bermuda) | 12 | 214 | ||||||
National Oilwell Varco, Inc.† | 1,530 | 111,139 | ||||||
Newfield Exploration Co* | 6 | 196 | ||||||
Phillips 66† | 1,962 | 154,017 | ||||||
QEP Resources, Inc. | 7 | 175 | ||||||
Schlumberger Ltd. (Curacao) | 57 | 5,624 | ||||||
Tesoro Corp.† | 459 | 32,777 | ||||||
Transocean Ltd. (Switzerland) | 13 | 388 | ||||||
Valero Energy Corp.† | 1,883 | 94,320 | ||||||
|
| |||||||
690,374 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.8% |
| |||||||
CVS Health Corp.† | 49 | 4,205 | ||||||
Sysco Corp.†(a) | 26 | 1,002 | ||||||
Walgreen Co. | 42 | 2,697 | ||||||
Wal-Mart Stores, Inc. | 490 | 37,372 | ||||||
|
| |||||||
45,276 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 11.4% |
| |||||||
Altria Group, Inc.† | 1,658 | 80,148 | ||||||
Archer-Daniels-Midland Co.† | 2,302 | 108,194 | ||||||
Coca-Cola Enterprises, Inc. | 861 | 37,324 | ||||||
Dr Pepper Snapple Group, Inc.† | 691 | 47,852 | ||||||
Kellogg Co.† | 1,254 | 80,206 | ||||||
Kraft Foods Group, Inc.† | 21 | 1,183 | ||||||
Lorillard, Inc.† | 1,266 | 77,859 | ||||||
PepsiCo, Inc.† | 150 | 14,426 | ||||||
Philip Morris International, Inc.† | 1,278 | 113,755 | ||||||
Reynolds American, Inc.† | 740 | 46,553 | ||||||
Tyson Foods, Inc., Class A† | 1,324 | 53,423 | ||||||
|
| |||||||
660,923 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — 12.5% |
| |||||||
Aetna, Inc.† | 1,250 | $ | 103,138 | |||||
Becton Dickinson and Co. | 7 | 901 | ||||||
CareFusion Corp.*† | 11 | 631 | ||||||
Cigna Corp.† | 945 | 94,094 | ||||||
CR Bard, Inc.† | 3 | 492 | ||||||
Express Scripts Holding Co.* | 33 | 2,535 | ||||||
Humana, Inc.† | 549 | 76,229 | ||||||
Laboratory Corp. of America Holdings*† | 243 | 26,557 | ||||||
Medtronic, Inc.† | 546 | 37,215 | ||||||
Quest Diagnostics, Inc.(a) | 515 | 32,682 | ||||||
St Jude Medical, Inc.† | 12 | 770 | ||||||
Stryker Corp. | 16 | 1,400 | ||||||
UnitedHealth Group, Inc.† | 1,357 | 128,929 | ||||||
Varian Medical Systems, Inc.* | 358 | 30,115 | ||||||
WellPoint, Inc.† | 959 | 121,496 | ||||||
Zimmer Holdings, Inc.† | 601 | 66,855 | ||||||
|
| |||||||
724,039 | ||||||||
|
| |||||||
Household & Personal Products — 3.3% |
| |||||||
Avon Products, Inc.† | 1,545 | 16,068 | ||||||
Clorox Co. (The)† | 459 | 45,671 | ||||||
Colgate-Palmolive Co. | 40 | 2,675 | ||||||
Kimberly-Clark Corp.† | 1,026 | 117,241 | ||||||
Procter & Gamble Co. (The)† | 119 | 10,385 | ||||||
|
| |||||||
192,040 | ||||||||
|
| |||||||
Insurance — 10.8% |
| |||||||
Ace Ltd. (Switzerland)† | 14 | 1,530 | ||||||
Aflac, Inc.† | 1,601 | 95,628 | ||||||
Allstate Corp. (The)† | 1,489 | 96,562 | ||||||
American International Group, Inc.† | 853 | 45,695 | ||||||
Assurant, Inc.† | 254 | 17,328 | ||||||
Genworth Financial, Inc., Class A*† | 1,765 | 24,692 | ||||||
Hartford Financial Services Group, Inc. (The) | 10 | 396 | ||||||
Lincoln National Corp.† | 926 | 50,708 | ||||||
Marsh & McLennan Cos, Inc. | 1,925 | 104,662 | ||||||
MetLife, Inc.† | 819 | 44,423 | ||||||
Principal Financial Group, Inc. | 11 | 576 | ||||||
Progressive Corp. (The)† | 26 | 687 | ||||||
Prudential Financial, Inc. | 6 | 531 | ||||||
Travelers Cos, Inc. (The)† | 1,156 | 116,525 | ||||||
Unum Group† | 906 | 30,315 | ||||||
|
| |||||||
630,258 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
24
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — 10.1% |
| |||||||
Alcoa, Inc. | 3,581 | $ | 60,018 | |||||
Avery Dennison Corp. | 309 | 14,477 | ||||||
Ball Corp.† | 492 | 31,700 | ||||||
Bemis Co, Inc.(a) | 356 | 13,695 | ||||||
CF Industries Holdings, Inc.† | 177 | 46,020 | ||||||
Dow Chemical Co. (The) | 1,313 | 64,862 | ||||||
Eastman Chemical Co.† | 93 | 7,513 | ||||||
International Paper Co.† | 1,519 | 76,892 | ||||||
Lyondellbasell Industries NV, Class A (Netherlands)† | 1,789 | 163,926 | ||||||
MeadWestvaco Corp. | 7 | 309 | ||||||
Monsanto Co. | 20 | 2,301 | ||||||
Newmont Mining Corp. | 1,442 | 27,052 | ||||||
Nucor Corp. | 13 | 703 | ||||||
Owens-Illinois, Inc.*† | 586 | 15,101 | ||||||
PPG Industries, Inc. | 6 | 1,222 | ||||||
Praxair, Inc. | 12 | 1,512 | ||||||
Sealed Air Corp. | 748 | 27,115 | ||||||
Sherwin-Williams Co. (The) | 136 | 31,220 | ||||||
|
| |||||||
585,638 | ||||||||
|
| |||||||
Media — 4.2% |
| |||||||
Cablevision Systems Corp., Class A | 12 | 223 | ||||||
Comcast Corp., Class A† | 114 | 6,310 | ||||||
DIRECTV*† | 505 | 43,829 | ||||||
Gannett Co., Inc. | 800 | 25,200 | ||||||
Interpublic Group of Cos, Inc. (The)† | 593 | 11,498 | ||||||
Omnicom Group, Inc.†(a) | 869 | 62,446 | ||||||
Time Warner, Inc.† | 38 | 3,020 | ||||||
Viacom, Inc., Class B† | 1,228 | 89,251 | ||||||
|
| |||||||
241,777 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 2.4% |
| |||||||
AbbVie, Inc.† | 60 | 3,808 | ||||||
Eli Lilly & Co. | 47 | 3,118 | ||||||
Gilead Sciences, Inc.* | 70 | 7,840 | ||||||
Johnson & Johnson† | 862 | 92,906 | ||||||
Mallinckrodt PLC (Ireland)* | 2 | 184 | ||||||
Pfizer, Inc.† | 1,017 | 30,459 | ||||||
Waters Corp.* | 1 | 111 | ||||||
|
| |||||||
138,426 | ||||||||
|
| |||||||
Retailing — 10.3% |
| |||||||
AutoZone, Inc.*† | 110 | 60,887 | ||||||
Bed Bath & Beyond, Inc.*† | 668 | 44,983 | ||||||
Best Buy Co., Inc.† | 16 | 546 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Dollar General Corp.*† | 13 | $ | 815 | |||||
Dollar Tree, Inc.*† | 10 | 606 | ||||||
Family Dollar Stores, Inc. | 5 | 391 | ||||||
GameStop Corp., Class A(a) | 5 | 214 | ||||||
Gap, Inc. (The)† | 1,542 | 58,426 | ||||||
Genuine Parts Co.† | 136 | 13,203 | ||||||
Home Depot, Inc. (The)† | 986 | 96,155 | ||||||
Kohl’s Corp.† | 728 | 39,472 | ||||||
L Brands, Inc.† | 12 | 865 | ||||||
Lowe’s Cos, Inc.† | 2,431 | 139,053 | ||||||
Macy’s, Inc.† | 1,256 | 72,622 | ||||||
O’Reilly Automotive, Inc.*† | 4 | 704 | ||||||
PetSmart, Inc.†(a) | 353 | 25,540 | ||||||
Ross Stores, Inc.† | 59 | 4,762 | ||||||
Target Corp.† | 623 | 38,514 | ||||||
TJX Cos, Inc. (The)† | 31 | 1,963 | ||||||
Urban Outfitters, Inc.*† | 6 | 182 | ||||||
|
| |||||||
599,903 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.6% |
| |||||||
Altera Corp.† | 1,087 | 37,360 | ||||||
Applied Materials, Inc. | 54 | 1,193 | ||||||
Intel Corp.† | 2,731 | 92,881 | ||||||
Linear Technology Corp.† | 11 | 471 | ||||||
NVIDIA Corp. | 25 | 489 | ||||||
Texas Instruments, Inc.† | 2,054 | 102,002 | ||||||
Xilinx, Inc.† | 784 | 34,872 | ||||||
|
| |||||||
269,268 | ||||||||
|
| |||||||
Software & Services — 9.2% |
| |||||||
Accenture PLC, Class A (Ireland)† | 1,118 | 90,692 | ||||||
CA, Inc.† | 1,565 | 45,479 | ||||||
Computer Sciences Corp.† | 517 | 31,227 | ||||||
International Business Machines Corp.† | 825 | 135,630 | ||||||
Microsoft Corp.† | 1,109 | 52,068 | ||||||
Oracle Corp.† | 1,433 | 55,959 | ||||||
Symantec Corp.† | 519 | 12,882 | ||||||
Teradata Corp.*†(a) | 553 | 23,403 | ||||||
VeriSign, Inc.*(a) | 6 | 359 | ||||||
Western Union Co. (The)(a) | 1,885 | 31,970 | ||||||
Xerox Corp.† | 4,056 | 53,864 | ||||||
|
| |||||||
533,533 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 13.1% |
| |||||||
Apple, Inc.† | 260 | 28,080 |
The accompanying notes are an integral part of the financial statements.
25
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Cisco Systems, Inc.† | 6,816 | $ | 166,788 | |||||
Corning, Inc. | 3,625 | 74,059 | ||||||
F5 Networks, Inc.* | 3 | 369 | ||||||
Harris Corp.† | 110 | 7,656 | ||||||
Hewlett-Packard Co.† | 4,037 | 144,848 | ||||||
Juniper Networks, Inc.† | 1,663 | 35,039 | ||||||
Motorola Solutions, Inc.† | 901 | 58,115 | ||||||
NetApp, Inc.† | 15 | 642 | ||||||
QUALCOMM, Inc.† | 756 | 59,354 | ||||||
SanDisk Corp.† | 839 | 78,983 | ||||||
Seagate Technology PLC (Ireland)† | 407 | 25,572 | ||||||
Western Digital Corp.† | 824 | 81,057 | ||||||
|
| |||||||
760,562 | ||||||||
|
| |||||||
Telecommunication Services — 1.9% |
| |||||||
AT&T, Inc.† | 230 | 8,013 | ||||||
CenturyLink, Inc.†(a) | 25 | 1,037 | ||||||
Frontier Communications Corp.†(a) | 3,560 | 23,282 | ||||||
Verizon Communications, Inc.† | 1,552 | 77,988 | ||||||
Windstream Holdings, Inc.† | 27 | 283 | ||||||
|
| |||||||
110,603 | ||||||||
|
| |||||||
Transportation — 2.1% |
| |||||||
CH Robinson Worldwide, Inc. | 6 | 415 | ||||||
Delta Air Lines, Inc.† | 2,897 | 116,546 | ||||||
Norfolk Southern Corp.† | 13 | 1,438 | ||||||
United Parcel Service, Inc., Class B† | 40 | 4,196 | ||||||
|
| |||||||
122,595 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $8,077,412) | 8,375,152 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 144.1% (Cost $8,077,412) |
| 8,375,152 | ||||||
|
| |||||||
SHORT POSITIONS - (83.6)% |
| |||||||
COMMON STOCKS — (83.6)% |
| |||||||
Automobiles & Components — 0.0% |
| |||||||
BorgWarner, Inc. | (6 | ) | (342 | ) | ||||
Harley-Davidson, Inc. | (6 | ) | (394 | ) | ||||
|
| |||||||
(736 | ) | |||||||
|
| |||||||
Banks — (0.3)% |
| |||||||
Bank of America Corp. | (270 | ) | (4,633 | ) | ||||
Hudson City Bancorp, Inc. | (1,088 | ) | (10,499 | ) | ||||
People’s United Financial, Inc. | (6 | ) | (88 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Banks — (Continued) |
| |||||||
Zions Bancorporation | (6 | ) | $ | (174 | ) | |||
|
| |||||||
(15,394 | ) | |||||||
|
| |||||||
Capital Goods — (0.9)% |
| |||||||
Deere & Co. | (10 | ) | (855 | ) | ||||
Fastenal Co. | (377 | ) | (16,603 | ) | ||||
Pall Corp. | (3 | ) | (274 | ) | ||||
Quanta Services, Inc.* | (445 | ) | (15,166 | ) | ||||
Rockwell Collins, Inc. | (62 | ) | (5,217 | ) | ||||
Roper Industries, Inc. | (3 | ) | (475 | ) | ||||
United Rentals, Inc.* | (144 | ) | (15,849 | ) | ||||
Xylem, Inc. | (3 | ) | (109 | ) | ||||
|
| |||||||
(54,548 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.6)% |
| |||||||
ADT Corp. (The) | (356 | ) | (12,759 | ) | ||||
Cintas Corp. | (3 | ) | (220 | ) | ||||
Nielsen NV (Netherlands) | (10 | ) | (425 | ) | ||||
Stericycle, Inc.* | (171 | ) | (21,546 | ) | ||||
|
| |||||||
(34,950 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.4)% |
| |||||||
DR Horton, Inc. | (749 | ) | (17,070 | ) | ||||
Harman International Industries, Inc. | (139 | ) | (14,920 | ) | ||||
Hasbro, Inc. | (258 | ) | (14,843 | ) | ||||
Mattel, Inc. | (9 | ) | (280 | ) | ||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | (6 | ) | (471 | ) | ||||
Mohawk Industries, Inc.* | (2 | ) | (284 | ) | ||||
NIKE, Inc., Class B | (212 | ) | (19,710 | ) | ||||
PulteGroup, Inc. | (769 | ) | (14,757 | ) | ||||
Ralph Lauren Corp. | (3 | ) | (494 | ) | ||||
Under Armour, Inc., Class A* | (439 | ) | (28,790 | ) | ||||
VF Corp. | (394 | ) | (26,666 | ) | ||||
|
| |||||||
(138,285 | ) | |||||||
|
| |||||||
Consumer Services — (2.7)% |
| |||||||
Chipotle Mexican Grill, Inc.* | (63 | ) | (40,194 | ) | ||||
Darden Restaurants, Inc. | (273 | ) | (14,136 | ) | ||||
Marriott International, Inc., Class A | (572 | ) | (43,329 | ) | ||||
Starbucks Corp. | (227 | ) | (17,152 | ) | ||||
Wynn Resorts Ltd. | (207 | ) | (39,332 | ) | ||||
Yum! Brands, Inc. | (12 | ) | (862 | ) | ||||
|
| |||||||
(155,005 | ) | |||||||
|
| |||||||
Diversified Financials — (1.3)% |
| |||||||
Affiliated Managers Group, Inc.* | (114 | ) | (22,776 | ) | ||||
Berkshire Hathaway, Inc., Class B* | (35 | ) | (4,906 | ) |
The accompanying notes are an integral part of the financial statements.
26
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
BlackRock, Inc. | (5 | ) | $ | (1,706 | ) | |||
Charles Schwab Corp. (The) | (627 | ) | (17,976 | ) | ||||
CME Group, Inc. | (9 | ) | (754 | ) | ||||
E*TRADE Financial Corp.* | (8 | ) | (178 | ) | ||||
Intercontinental Exchange, Inc. | (48 | ) | (9,998 | ) | ||||
Invesco Ltd. (Bermuda) | (9 | ) | (364 | ) | ||||
Legg Mason, Inc. | (240 | ) | (12,480 | ) | ||||
Morgan Stanley | (14 | ) | (489 | ) | ||||
Northern Trust Corp. | (7 | ) | (464 | ) | ||||
State Street Corp. | (11 | ) | (830 | ) | ||||
T Rowe Price Group, Inc. | (3 | ) | (246 | ) | ||||
|
| |||||||
(73,167 | ) | |||||||
|
| |||||||
Energy — (11.8)% |
| |||||||
Cabot Oil & Gas Corp. | (855 | ) | (26,591 | ) | ||||
Chevron Corp. | (743 | ) | (89,123 | ) | ||||
Cimarex Energy Co. | (178 | ) | (20,233 | ) | ||||
CONSOL Energy, Inc. | (462 | ) | (17,002 | ) | ||||
Denbury Resources, Inc. | (725 | ) | (8,990 | ) | ||||
Devon Energy Corp. | (11 | ) | (660 | ) | ||||
Ensco PLC (United Kingdom) | (475 | ) | (19,280 | ) | ||||
EOG Resources, Inc. | (922 | ) | (87,636 | ) | ||||
EQT Corp. | (311 | ) | (29,246 | ) | ||||
Halliburton Co. | (22 | ) | (1,213 | ) | ||||
Helmerich & Payne, Inc. | (3 | ) | (260 | ) | ||||
Kinder Morgan, Inc. | (1,846 | ) | (71,440 | ) | ||||
Marathon Oil Corp. | (16 | ) | (566 | ) | ||||
Murphy Oil Corp. | (365 | ) | (19,487 | ) | ||||
Noble Corp. PLC (United Kingdom) | (522 | ) | (10,920 | ) | ||||
Noble Energy, Inc. | (744 | ) | (42,877 | ) | ||||
Occidental Petroleum Corp. | (20 | ) | (1,779 | ) | ||||
ONEOK, Inc. | (427 | ) | (25,167 | ) | ||||
Pioneer Natural Resources Co. | (294 | ) | (55,584 | ) | ||||
Range Resources Corp. | (346 | ) | (23,666 | ) | ||||
Southwestern Energy Co.* | (726 | ) | (23,602 | ) | ||||
Spectra Energy Corp. | (1,379 | ) | (53,960 | ) | ||||
Williams Cos, Inc. (The) | (1,013 | ) | (56,232 | ) | ||||
|
| |||||||
(685,514 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.5)% |
| |||||||
Costco Wholesale Corp. | (72 | ) | (9,603 | ) | ||||
Kroger Co. (The) | (885 | ) | (49,303 | ) | ||||
Whole Foods Market, Inc. | (745 | ) | (29,301 | ) | ||||
|
| |||||||
(88,207 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (3.1)% |
| |||||||
Brown-Forman Corp., Class B | (438 | ) | $ | (40,589 | ) | |||
Campbell Soup Co. | (17 | ) | (751 | ) | ||||
Coca-Cola Co. (The) | (113 | ) | (4,732 | ) | ||||
ConAgra Foods, Inc. | (11 | ) | (378 | ) | ||||
Constellation Brands, Inc., Class A* | (5 | ) | (458 | ) | ||||
General Mills, Inc. | (14 | ) | (727 | ) | ||||
Hershey Co. (The) | (381 | ) | (36,542 | ) | ||||
Hormel Foods Corp. | (7 | ) | (377 | ) | ||||
JM Smucker Co. (The) | (210 | ) | (21,840 | ) | ||||
Keurig Green Mountain, Inc. | (334 | ) | (50,685 | ) | ||||
McCormick & Co., Inc., non-voting shares | (4 | ) | (283 | ) | ||||
Mead Johnson Nutrition Co. | (232 | ) | (23,040 | ) | ||||
Mondelez International, Inc., Class A | (44 | ) | (1,551 | ) | ||||
Monster Beverage Corp.* | (5 | ) | (504 | ) | ||||
|
| |||||||
(182,457 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (1.8)% |
| |||||||
AmerisourceBergen Corp. | (6 | ) | (512 | ) | ||||
Baxter International, Inc. | (14 | ) | (982 | ) | ||||
Boston Scientific Corp.* | (34 | ) | (452 | ) | ||||
Cardinal Health, Inc. | (9 | ) | (706 | ) | ||||
Cerner Corp.* | (702 | ) | (44,465 | ) | ||||
Covidien PLC (Ireland) | (52 | ) | (4,807 | ) | ||||
DaVita HealthCare Partners, Inc.* | (6 | ) | (468 | ) | ||||
DENTSPLY International, Inc. | (2 | ) | (101 | ) | ||||
Edwards Lifesciences Corp.* | (52 | ) | (6,288 | ) | ||||
Intuitive Surgical, Inc.* | (74 | ) | (36,689 | ) | ||||
McKesson Corp. | (7 | ) | (1,424 | ) | ||||
Patterson Cos, Inc. | (215 | ) | (9,269 | ) | ||||
Tenet Healthcare Corp.* | (3 | ) | (168 | ) | ||||
|
| |||||||
(106,331 | ) | |||||||
|
| |||||||
Household & Personal Products — 0.0% |
| |||||||
Estee Lauder Cos, Inc. (The), Class A | (10 | ) | (752 | ) | ||||
|
| |||||||
(752 | ) | |||||||
|
| |||||||
Insurance — (0.3)% |
| |||||||
Chubb Corp. (The) | (2 | ) | (199 | ) | ||||
Cincinnati Financial Corp. | (5 | ) | (252 | ) | ||||
Loews Corp. | (9 | ) | (392 | ) | ||||
Torchmark Corp. | (2 | ) | (106 | ) | ||||
XL Group PLC (Ireland) | (402 | ) | (13,620 | ) | ||||
|
| |||||||
(14,569 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
27
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (4.1)% |
| |||||||
Air Products & Chemicals, Inc. | (438 | ) | $ | (58,981 | ) | |||
Airgas, Inc. | (53 | ) | (5,912 | ) | ||||
Allegheny Technologies, Inc. | (220 | ) | (7,227 | ) | ||||
Ecolab, Inc. | (148 | ) | (16,462 | ) | ||||
EI du Pont de Nemours & Co. | (246 | ) | (17,011 | ) | ||||
FMC Corp. | (210 | ) | (12,044 | ) | ||||
Freeport-McMoRan, Inc. | (2,136 | ) | (60,876 | ) | ||||
International Flavors & Fragrances, Inc. | (3 | ) | (297 | ) | ||||
Martin Marietta Materials, Inc. | (137 | ) | (16,018 | ) | ||||
Mosaic Co. (The) | (543 | ) | (24,060 | ) | ||||
Sigma-Aldrich Corp. | (4 | ) | (544 | ) | ||||
Vulcan Materials Co. | (269 | ) | (16,600 | ) | ||||
|
| |||||||
(236,032 | ) | |||||||
|
| |||||||
Media — (0.6)% |
| |||||||
CBS Corp. | (14 | ) | (759 | ) | ||||
News Corp., Class A* | (15 | ) | (232 | ) | ||||
Scripps Networks Interactive, Inc., Class A | (4 | ) | (309 | ) | ||||
Time Warner Cable, Inc. | (8 | ) | (1,178 | ) | ||||
Twenty-First Century Fox, Inc., Class A | (819 | ) | (28,239 | ) | ||||
Walt Disney Co. (The) | (44 | ) | (4,021 | ) | ||||
|
| |||||||
(34,738 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
Actavis PLC (Ireland)* | (257 | ) | (62,384 | ) | ||||
Agilent Technologies, Inc. | (8 | ) | (442 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (376 | ) | (71,951 | ) | ||||
Allergan, Inc. | (66 | ) | (12,544 | ) | ||||
Amgen, Inc. | (20 | ) | (3,244 | ) | ||||
Biogen Idec, Inc.* | (7 | ) | (2,248 | ) | ||||
Bristol-Myers Squibb Co. | (564 | ) | (32,819 | ) | ||||
Celgene Corp.* | (452 | ) | (48,405 | ) | ||||
Hospira, Inc.* | (347 | ) | (18,634 | ) | ||||
Merck & Co., Inc. | (75 | ) | (4,346 | ) | ||||
Mylan, Inc.* | (12 | ) | (643 | ) | ||||
PerkinElmer, Inc. | (141 | ) | (6,122 | ) | ||||
Perrigo Co. PLC (Ireland) | (275 | ) | (44,399 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (181 | ) | (71,263 | ) | ||||
Thermo Fisher Scientific, Inc. | (262 | ) | (30,803 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (509 | ) | (57,334 | ) | ||||
Zoetis, Inc. | (1,030 | ) | (38,275 | ) | ||||
|
| |||||||
(505,856 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (12.2)% |
| |||||||
American Tower Corp. | (814 | ) | $ | (79,365 | ) | |||
AvalonBay Communities, Inc. | (269 | ) | (41,921 | ) | ||||
Boston Properties, Inc. | (314 | ) | (39,800 | ) | ||||
Crown Castle International Corp. | (686 | ) | (53,590 | ) | ||||
Equity Residential | (744 | ) | (51,753 | ) | ||||
Essex Property Trust, Inc. | (129 | ) | (26,027 | ) | ||||
General Growth Properties, Inc. | (1,817 | ) | (47,078 | ) | ||||
HCP, Inc. | (12 | ) | (528 | ) | ||||
Health Care REIT, Inc. | (634 | ) | (45,084 | ) | ||||
Host Hotels & Resorts, Inc. | (1,555 | ) | (36,247 | ) | ||||
Kimco Realty Corp. | (322 | ) | (8,034 | ) | ||||
Macerich Co. (The) | (289 | ) | (20,375 | ) | ||||
Plum Creek Timber Co., Inc. | (361 | ) | (14,805 | ) | ||||
Prologis, Inc. | (1,028 | ) | (42,816 | ) | ||||
Public Storage | (176 | ) | (32,444 | ) | ||||
Simon Property Group, Inc. | (240 | ) | (43,010 | ) | ||||
Ventas, Inc. | (605 | ) | (41,449 | ) | ||||
Vornado Realty Trust | (385 | ) | (42,150 | ) | ||||
Weyerhaeuser Co. | (1,206 | ) | (40,835 | ) | ||||
|
| |||||||
(707,311 | ) | |||||||
|
| |||||||
Retailing — (4.6)% |
| |||||||
Amazon.com, Inc.* | (322 | ) | (98,358 | ) | ||||
CarMax, Inc.* | (445 | ) | (24,880 | ) | ||||
Netflix, Inc.* | (123 | ) | (48,311 | ) | ||||
Nordstrom, Inc. | (325 | ) | (23,598 | ) | ||||
Priceline Group, Inc. (The)* | (2 | ) | (2,412 | ) | ||||
Staples, Inc. | (13 | ) | (165 | ) | ||||
Tiffany & Co. | (266 | ) | (25,568 | ) | ||||
Tractor Supply Co. | (283 | ) | (20,721 | ) | ||||
TripAdvisor, Inc.* | (293 | ) | (25,977 | ) | ||||
|
| |||||||
(269,990 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (2.4)% |
| |||||||
Analog Devices, Inc. | (662 | ) | (32,848 | ) | ||||
Avago Technologies Ltd. (Singapore) | (519 | ) | (44,764 | ) | ||||
Broadcom Corp., Class A | (16 | ) | (670 | ) | ||||
First Solar, Inc.* | (206 | ) | (12,133 | ) | ||||
KLA-Tencor Corp. | (5 | ) | (396 | ) | ||||
Lam Research Corp. | (364 | ) | (28,341 | ) | ||||
Microchip Technology, Inc. | (493 | ) | (21,253 | ) | ||||
Micron Technology, Inc.* | (28 | ) | (927 | ) | ||||
|
| |||||||
(141,332 | ) | |||||||
|
| |||||||
Software & Services — (8.3)% |
| |||||||
Adobe Systems, Inc.* | (1,025 | ) | (71,873 | ) |
The accompanying notes are an integral part of the financial statements.
28
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Akamai Technologies, Inc.* | (367 | ) | $ | (22,130 | ) | |||
Autodesk, Inc.* | (467 | ) | (26,871 | ) | ||||
Citrix Systems, Inc.* | (334 | ) | (21,453 | ) | ||||
eBay, Inc.* | (32 | ) | (1,680 | ) | ||||
Electronic Arts, Inc.* | (641 | ) | (26,262 | ) | ||||
Facebook, Inc., Class A* | (989 | ) | (74,165 | ) | ||||
Fidelity National Information Services, Inc. | (30 | ) | (1,752 | ) | ||||
Fiserv, Inc.* | (7 | ) | (486 | ) | ||||
Google, Inc., Class C* | (127 | ) | (71,003 | ) | ||||
Intuit, Inc. | (472 | ) | (41,541 | ) | ||||
MasterCard, Inc., Class A | (30 | ) | (2,513 | ) | ||||
Red Hat, Inc.* | (386 | ) | (22,743 | ) | ||||
salesforce.com inc* | (1,273 | ) | (81,459 | ) | ||||
Total System Services, Inc. | (378 | ) | (12,773 | ) | ||||
Visa, Inc., Class A | (16 | ) | (3,863 | ) | ||||
|
| |||||||
(482,567 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.6)% |
| |||||||
Amphenol Corp., Class A | (438 | ) | (22,154 | ) | ||||
EMC Corp. | (50 | ) | (1,437 | ) | ||||
FLIR Systems, Inc. | (4 | ) | (134 | ) | ||||
Jabil Circuit, Inc. | (407 | ) | (8,527 | ) | ||||
|
| |||||||
(32,252 | ) | |||||||
|
| |||||||
Transportation — (0.6)% |
| |||||||
CSX Corp. | (26 | ) | (926 | ) | ||||
FedEx Corp. | (14 | ) | (2,344 | ) | ||||
Kansas City Southern | (227 | ) | (27,873 | ) | ||||
Ryder System, Inc. | (2 | ) | (177 | ) | ||||
Southwest Airlines Co. | (18 | ) | (621 | ) | ||||
Union Pacific Corp. | (23 | ) | (2,678 | ) | ||||
|
| |||||||
(34,619 | ) | |||||||
|
| |||||||
Utilities — (14.8)% |
| |||||||
AGL Resources, Inc. | (246 | ) | (13,262 | ) | ||||
Ameren Corp. | (498 | ) | (21,085 | ) | ||||
American Electric Power Co., Inc. | (1,004 | ) | (58,573 | ) | ||||
CenterPoint Energy, Inc. | (883 | ) | (21,678 | ) | ||||
CMS Energy Corp. | (565 | ) | (18,459 | ) | ||||
Consolidated Edison, Inc. | (8 | ) | (507 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
Dominion Resources, Inc. | (1,154 | ) | $ | (82,280 | ) | |||
DTE Energy Co. | (364 | ) | (29,906 | ) | ||||
Duke Energy Corp. | (680 | ) | (55,862 | ) | ||||
Edison International | (670 | ) | (41,929 | ) | ||||
Entergy Corp. | (369 | ) | (31,003 | ) | ||||
Exelon Corp. | (23 | ) | (842 | ) | ||||
FirstEnergy Corp. | (864 | ) | (32,262 | ) | ||||
Integrys Energy Group, Inc. | (163 | ) | (11,847 | ) | ||||
NextEra Energy, Inc. | (764 | ) | (76,568 | ) | ||||
NiSource, Inc. | (648 | ) | (27,255 | ) | ||||
Northeast Utilities | (650 | ) | (32,078 | ) | ||||
NRG Energy, Inc. | (694 | ) | (20,806 | ) | ||||
Pepco Holdings, Inc. | (517 | ) | (14,135 | ) | ||||
PG&E Corp. | (13 | ) | (654 | ) | ||||
Pinnacle West Capital Corp. | (3 | ) | (184 | ) | ||||
PPL Corp. | (1,365 | ) | (47,761 | ) | ||||
Public Service Enterprise Group, Inc. | (1,040 | ) | (42,962 | ) | ||||
SCANA Corp. | (291 | ) | (15,973 | ) | ||||
Sempra Energy | (505 | ) | (55,550 | ) | ||||
Southern Co. (The) | (1,401 | ) | (64,950 | ) | ||||
TECO Energy, Inc. | (467 | ) | (9,158 | ) | ||||
Wisconsin Energy Corp. | (6 | ) | (298 | ) | ||||
Xcel Energy, Inc. | (1,038 | ) | (34,742 | ) | ||||
|
| |||||||
(862,569 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK |
| (4,857,181 | ) | |||||
|
| |||||||
TOTAL SECURITES SOLD |
| (4,857,181 | ) | |||||
|
| |||||||
(Proceeds $4,701,469) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.5% |
| 2,294,356 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 5,812,327 | ||||||
|
|
* | Non-income producing. |
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | All or a portion of the security is on loan (see Note 5 of the Notes to Financial Statements) |
The accompanying notes are an integral part of the financial statements.
29
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS - 176.8% |
| |||||||
COMMON STOCKS — 176.8% |
| |||||||
Automobiles & Components — 6.3% |
| |||||||
Allison Transmission Holdings, Inc. | 196,441 | $ | 6,380,404 | |||||
American Axle & Manufacturing Holdings, Inc.*† | 302,231 | 5,842,125 | ||||||
Autoliv, Inc.(a) | 62,859 | 5,766,685 | ||||||
Cooper Tire & Rubber Co.† | 164,368 | 5,294,293 | ||||||
Dana Holding Corp.†(a) | 665,650 | 13,619,199 | ||||||
Delphi Automotive PLC (Jersey) | 124,665 | 8,599,392 | ||||||
Goodyear Tire & Rubber Co. (The) | 261,287 | 6,330,984 | ||||||
Johnson Controls, Inc.† | 31,082 | 1,468,624 | ||||||
Lear Corp.(a) | 79,123 | 7,318,877 | ||||||
Magna International, Inc. (Canada)† | 133,420 | 13,169,888 | ||||||
Standard Motor Products, | 31,330 | 1,238,162 | ||||||
Tenneco, Inc.*† | 167,027 | 8,745,534 | ||||||
Tower International, Inc.*† | 57,591 | 1,399,461 | ||||||
|
| |||||||
85,173,628 | ||||||||
|
| |||||||
Capital Goods — 24.7% |
| |||||||
3M Co. | 25,992 | 3,996,790 | ||||||
AAON, Inc.† | 26,098 | 512,826 | ||||||
Actuant Corp., Class A | 54,688 | 1,733,063 | ||||||
AECOM Technology Corp.*†(a) | 75,268 | 2,449,981 | ||||||
Aegion Corp.*†(a) | 94,801 | 1,736,754 | ||||||
Aerovironment, Inc.*†(a) | 5,466 | 167,533 | ||||||
AZZ, Inc.†(a) | 40,574 | 1,897,240 | ||||||
Blount International, Inc.*† | 87,019 | 1,332,261 | ||||||
Briggs & Stratton Corp. | 30,214 | 610,625 | ||||||
Carlisle Cos., Inc.† | 47,438 | 4,216,289 | ||||||
Caterpillar, Inc.†(a) | 147,418 | 14,949,659 | ||||||
Chicago Bridge & Iron Co. NV (Netherlands)† | 261,867 | 14,308,413 | ||||||
CIRCOR International, Inc.† | 16,028 | 1,204,504 | ||||||
Crane Co. | 69,005 | 4,302,462 | ||||||
Curtiss-Wright Corp.† | 59,451 | 4,114,604 | ||||||
Danaher Corp. | 68,399 | 5,499,280 | ||||||
Dover Corp.†(a) | 213,799 | 16,984,193 | ||||||
Eaton Corp. PLC (Ireland) | 110,818 | 7,578,843 | ||||||
EMCOR Group, Inc.(a) | 120,819 | 5,331,742 | ||||||
Encore Wire Corp. | 21,097 | 800,420 | ||||||
Engility Holdings, Inc.*† | 34,043 | 1,470,658 | ||||||
ESCO Technologies, Inc. | 35,569 | 1,352,333 | ||||||
Federal Signal Corp.† | 99,412 | 1,411,650 | ||||||
Flowserve Corp.†(a) | 80,239 | 5,455,450 | ||||||
Fluor Corp.†(a) | 198,815 | 13,189,387 | ||||||
General Dynamics Corp.(a) | 91,151 | 12,739,264 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
GrafTech International Ltd.*(a) | 60,492 | $ | 259,511 | |||||
Harsco Corp.†(a) | 181,724 | 3,939,776 | ||||||
Honeywell International, Inc.† | 59,181 | 5,688,478 | ||||||
Hubbell, Inc., Class B(a) | 45,351 | 5,143,257 | ||||||
Huntington Ingalls Industries, Inc.(a) | 108,819 | 11,515,227 | ||||||
IDEX Corp.† | 135,055 | 10,116,970 | ||||||
Illinois Tool Works, Inc.† | 61,271 | 5,578,725 | ||||||
ITT Corp. | 12,385 | 558,068 | ||||||
KBR, Inc.(a) | 64,770 | 1,235,812 | ||||||
L-3 Communications Holdings, Inc. | 2,588 | 314,338 | ||||||
Lincoln Electric Holdings, | 71,915 | 5,212,399 | ||||||
Lindsay Corp.(a) | 54,577 | 4,786,403 | ||||||
Manitowoc Co., Inc. (The)†(a) | 381,803 | 7,956,775 | ||||||
Masco Corp.† | 457,397 | 10,094,752 | ||||||
Meritor, Inc.*(a) | 589,722 | 6,775,906 | ||||||
Moog, Inc., Class A*† | 29,840 | 2,283,954 | ||||||
Mueller Water Products, Inc., Class A(a) | 328,031 | 3,237,666 | ||||||
NCI Building Systems, Inc.*(a) | 36,250 | 720,288 | ||||||
NOW, Inc.*(a) | 284,879 | 8,563,463 | ||||||
Orbital Sciences Corp.*†(a) | 130,886 | 3,442,302 | ||||||
Polypore International, Inc.*(a) | 107,682 | 4,729,393 | ||||||
Precision Castparts Corp. | 19,346 | 4,269,662 | ||||||
Roper Industries, Inc.†(a) | 26,101 | 4,131,788 | ||||||
Simpson Manufacturing Co., Inc.†(a) | 8,457 | 279,758 | ||||||
Snap-on, Inc. | 16,119 | 2,129,965 | ||||||
Spirit AeroSystems Holdings, Inc., Class A*† | 217,449 | 8,554,444 | ||||||
SPX Corp.†(a) | 152,392 | 14,445,238 | ||||||
Standex International Corp.† | 20,017 | 1,726,466 | ||||||
Stanley Black & Decker, Inc. | 168,134 | 15,744,068 | ||||||
Teledyne Technologies, Inc.*(a) | 18,869 | 1,955,394 | ||||||
Terex Corp. | 162,506 | 4,675,298 | ||||||
Thermon Group Holdings, Inc.* | 1,026 | 25,004 | ||||||
Timken Co. (The)† | 115,045 | 4,945,785 | ||||||
TriMas Corp.* | 53,608 | 1,697,229 | ||||||
United Rentals, Inc.*(a) | 23,494 | 2,585,750 | ||||||
United Technologies Corp.† | 111,856 | 11,968,592 | ||||||
Universal Forest Products, Inc. | 13,037 | 651,459 | ||||||
Wabash National Corp.*(a) | 175,597 | 1,808,649 | ||||||
Watts Water Technologies, Inc., Class A(a) | 68,185 | 4,134,057 | ||||||
WESCO International, Inc.*(a) | 64,654 | 5,328,136 | ||||||
Woodward, Inc.(a) | 45,255 | 2,317,509 |
The accompanying notes are an integral part of the financial statements.
30
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
WW Grainger, Inc.(a) | 29,668 | $ | 7,322,062 | |||||
Xylem, Inc.(a) | 51,087 | 1,857,523 | ||||||
|
| |||||||
334,053,523 | ||||||||
|
| |||||||
Commercial & Professional Services — 9.4% |
| |||||||
ACCO Brands Corp.*† | 420,260 | 3,458,740 | ||||||
Brink’s Co. (The)† | 127,122 | 2,669,562 | ||||||
Cintas Corp.(a) | 125,069 | 9,160,054 | ||||||
Copart, Inc.*†(a) | 211,375 | 7,068,380 | ||||||
Corporate Executive Board Co. (The) | 4,956 | 365,257 | ||||||
Deluxe Corp.(a) | 32,818 | 1,995,334 | ||||||
Equifax, Inc.(a) | 13,233 | 1,002,267 | ||||||
Exponent, Inc.† | 11,767 | 939,242 | ||||||
HNI Corp.(a) | 19,819 | 924,556 | ||||||
Huron Consulting Group, Inc.* | 9,388 | 653,499 | ||||||
Korn/Ferry International*† | 82,209 | 2,296,097 | ||||||
Manpowergroup, Inc.† | 262,907 | 17,549,042 | ||||||
On Assignment, Inc.*†(a) | 105,808 | 3,079,013 | ||||||
Pitney Bowes, Inc.†(a) | 602,240 | 14,899,418 | ||||||
Progressive Waste Solutions Ltd. | 14,640 | 427,927 | ||||||
Quad/Graphics, Inc.† | 8,459 | 186,521 | ||||||
Republic Services, Inc. | 19,932 | 765,389 | ||||||
Ritchie Bros Auctioneers, Inc.† | 78,697 | 1,919,420 | ||||||
Robert Half International, | 173,704 | 9,515,505 | ||||||
RPX Corp.*†(a) | 92,621 | 1,301,325 | ||||||
ServiceMaster Global Holdings, Inc.*(a) | 80,483 | 1,929,982 | ||||||
Steelcase, Inc., Class A† | 135,833 | 2,406,961 | ||||||
Team, Inc.*(a) | 26,652 | 1,123,115 | ||||||
Towers Watson & Co., | 120,366 | 13,275,166 | ||||||
TrueBlue, Inc.*† | 34,833 | 861,072 | ||||||
Tyco International Ltd. (Switzerland)† . | 320,892 | 13,775,894 | ||||||
UniFirst Corp.† | 22,016 | 2,456,105 | ||||||
United Stationers, Inc. | 39,119 | 1,634,001 | ||||||
Verisk Analytics, Inc., Class A* | 15,063 | 939,178 | ||||||
Waste Connections, Inc.†(a) | 68,309 | 3,408,619 | ||||||
Waste Management, Inc. | 86,628 | 4,235,243 | ||||||
West Corp.(a) | 48,359 | 1,547,488 | ||||||
|
| |||||||
127,769,372 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 5.2% |
| |||||||
Columbia Sportswear Co. | 54,961 | 2,118,197 | ||||||
Deckers Outdoor Corp.*(a) | 121,519 | 10,628,052 | ||||||
Ethan Allen Interiors, Inc.† | 63,041 | 1,784,060 | ||||||
Garmin Ltd. (Switzerland) | 88,002 | 4,882,351 | ||||||
Harman International Industries, Inc.† | 49,374 | 5,299,805 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
lululemon athletica, Inc.*(a) | 107,302 | $ | 4,469,128 | |||||
NVR, Inc.*† | 6,227 | 7,644,141 | ||||||
PVH Corp.†(a) | 79,774 | 9,122,157 | ||||||
Skechers U.S.A., Inc., Class A*(a) | 12,214 | 668,716 | ||||||
Steven Madden, Ltd.*†(a) | 196,898 | 6,172,752 | ||||||
Sturm Ruger & Co., Inc.(a) | 42,064 | 1,753,228 | ||||||
Tupperware Brands Corp.(a) | 82,096 | 5,233,620 | ||||||
Universal Electronics, Inc.*(a) | 37,505 | 2,133,659 | ||||||
Vera Bradley, Inc.*(a) | 170,701 | 3,891,983 | ||||||
Whirlpool Corp.† | 3,794 | 652,758 | ||||||
Wolverine World Wide, Inc.(a) | 141,109 | 3,829,698 | ||||||
|
| |||||||
70,284,305 | ||||||||
|
| |||||||
Consumer Services — 6.5% |
| |||||||
American Public Education, Inc.*† | 36,599 | 1,134,203 | ||||||
Apollo Education Group, Inc*(a) | 246,540 | 7,065,836 | ||||||
Boyd Gaming Corp.*(a) | 53,719 | 620,454 | ||||||
Capella Education Co.†(a) | 14,790 | 1,046,245 | ||||||
Carnival Corp.† | 25,628 | 1,028,964 | ||||||
Darden Restaurants, Inc.(a) | 66,235 | 3,429,648 | ||||||
DeVry Education Group, Inc.†(a) | 47,386 | 2,293,956 | ||||||
DineEquity, Inc.†(a) | 48,077 | 4,276,930 | ||||||
Graham Holdings Co., Class B† | 4,274 | 3,349,106 | ||||||
Hillenbrand, Inc.†(a) | 76,232 | 2,537,763 | ||||||
Interval Leisure Group, Inc.(a) | 82,247 | 1,730,477 | ||||||
Jack in the Box, Inc.† | 86,578 | 6,150,501 | ||||||
K12, Inc.*(a) | 25,972 | 322,053 | ||||||
Las Vegas Sands Corp.† | 215,632 | 13,425,248 | ||||||
Matthews International Corp., Class A†(a) | 46,414 | 2,138,757 | ||||||
Multimedia Games Holding Co., Inc.*† | 20,726 | 723,336 | ||||||
Royal Caribbean Cruises, Ltd. (Liberia)† | 105,094 | 7,143,239 | ||||||
SeaWorld Entertainment, Inc.†(a) | 533,352 | 10,261,692 | ||||||
Speedway Motorsports, Inc.†(a) | 11,707 | 229,106 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 26,781 | 2,053,031 | ||||||
Strayer Education, Inc.*(a) | 1,933 | 141,476 | ||||||
Weight Watchers International, Inc.*(a) | 186,539 | 4,859,341 | ||||||
Wyndham Worldwide Corp.† | 145,899 | 11,331,975 | ||||||
|
| |||||||
87,293,337 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.6% |
| |||||||
Rite Aid Corp.*† | 3,213,553 | 16,871,153 |
The accompanying notes are an integral part of the financial statements.
31
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
SUPERVALU, Inc.*† | 1,204,646 | $ | 10,396,095 | |||||
Wal-Mart Stores, Inc.(a) | 97,296 | 7,420,766 | ||||||
Weis Markets, Inc.(a) | 3,301 | 147,357 | ||||||
|
| |||||||
34,835,371 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 14.0% |
| |||||||
Archer-Daniels-Midland | 398,295 | 18,719,865 | ||||||
Bunge, Ltd. (Bermuda)† | 229,086 | 20,308,474 | ||||||
Coca-Cola Co. (The) | 31,677 | 1,326,633 | ||||||
ConAgra Foods, Inc.†(a) | 368,474 | 12,657,082 | ||||||
Cott Corp. (Canada)† | 99,835 | 605,998 | ||||||
Dr Pepper Snapple Group, Inc.† | 210,449 | 14,573,593 | ||||||
Ingredion, Inc.†(a) | 133,615 | 10,321,759 | ||||||
Kellogg Co.†(a) | 161,015 | 10,298,519 | ||||||
Keurig Green Mountain, Inc.(a) | 55,718 | 8,455,206 | ||||||
Kraft Foods Group, Inc.† | 10,573 | 595,789 | ||||||
Lancaster Colony Corp.† | 20,623 | 1,886,798 | ||||||
Lorillard, Inc.† | 111,335 | 6,847,103 | ||||||
Mondelez International, Inc.† | 24,709 | 871,239 | ||||||
Monster Beverage Corp.*† | 178,264 | 17,983,272 | ||||||
PepsiCo, Inc. | 40,518 | 3,896,616 | ||||||
Philip Morris International, Inc.†(a) | 112,228 | 9,989,414 | ||||||
Pilgrim’s Pride Corp.*†(a) | 507,822 | 14,427,223 | ||||||
Sanderson Farms, Inc.(a) | 187,210 | 15,721,896 | ||||||
Snyder’s-Lance, Inc.(a) | 11,857 | 353,220 | ||||||
Tyson Foods, Inc., Class A†(a) | 301,973 | 12,184,611 | ||||||
Vector Group, Ltd.(a) | 353,557 | 7,898,463 | ||||||
|
| |||||||
189,922,773 | ||||||||
|
| |||||||
Health Care Equipment & Services — 10.9% |
| |||||||
Abaxis, Inc.(a) | 37,617 | 1,980,911 | ||||||
ABIOMED, Inc.*(a) | 5,229 | 171,459 | ||||||
Align Technology, Inc.*†(a) | 223,067 | 11,737,786 | ||||||
AmerisourceBergen Corp. | 18,661 | 1,593,836 | ||||||
AMN Healthcare Services, Inc.*† | 25,024 | 429,162 | ||||||
Amsurg Corp.*†(a) | 105,880 | 5,718,579 | ||||||
Anika Therapeutics, Inc.*† | 101,545 | 4,076,016 | ||||||
Cardinal Health, Inc.† | 94,835 | 7,442,651 | ||||||
CareFusion Corp.*† | 179,394 | 10,291,834 | ||||||
Catamaran Corp.* | 5,529 | 263,567 | ||||||
Chemed Corp.(a) | 45,998 | 4,754,353 | ||||||
Computer Programs & Systems, Inc.(a) | 23,588 | 1,485,572 | ||||||
CorVel Corp.* | 13,020 | 448,148 | ||||||
Cyberonics, Inc.*(a) | 52,766 | 2,770,215 | ||||||
DaVita HealthCare Partners, Inc.*† | 17,848 | 1,393,393 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
DENTSPLY International, Inc.(a) | 131,960 | $ | 6,699,609 | |||||
Edwards Lifesciences Corp.*† | 85,187 | 10,300,812 | ||||||
Express Scripts Holding | 38,960 | 2,992,907 | ||||||
Globus Medical, Inc., Class A*† | 128,662 | 2,852,437 | ||||||
Greatbatch, Inc.*†(a) | 58,720 | 2,947,157 | ||||||
Halyard Health, Inc.*† | 18,238 | 692,497 | ||||||
Hill-Rom Holdings, Inc.† | 11,158 | 496,308 | ||||||
ICU Medical, Inc.*† | 29,291 | 2,076,732 | ||||||
Integra LifeSciences Holdings Corp.*(a) | 13,311 | 680,325 | ||||||
Kindred Healthcare, Inc.† | 64,993 | 1,413,598 | ||||||
Laboratory Corp. of America Holdings*† | 65,534 | 7,162,211 | ||||||
MEDNAX, Inc.*†(a) | 153,498 | 9,582,880 | ||||||
Meridian Bioscience, Inc.(a) | 2,180 | 40,417 | ||||||
Natus Medical, Inc.*†(a) | 88,317 | 3,002,778 | ||||||
PharMerica Corp.*† | 54,913 | 1,575,454 | ||||||
Quality Systems, Inc.† | 152,244 | 2,300,407 | ||||||
Quest Diagnostics, Inc.(a) | 47,269 | 2,999,691 | ||||||
Select Medical Holdings Corp.† | 109,882 | 1,584,498 | ||||||
Teleflex, Inc.†(a) | 54,130 | 6,177,316 | ||||||
Thoratec Corp.*† | 121,260 | 3,295,847 | ||||||
Universal Health Services, Inc., Class B† | 75,890 | 7,870,552 | ||||||
Varian Medical Systems, Inc.*(a) | 114,639 | 9,643,433 | ||||||
VCA Antech, Inc.*† | 135,286 | 6,164,983 | ||||||
|
| |||||||
147,110,331 | ||||||||
|
| |||||||
Household & Personal Products — 3.9% |
| |||||||
Avon Products, Inc.† | 1,664,153 | 17,307,191 | ||||||
Clorox Co. (The) | 1,068 | 106,266 | ||||||
Energizer Holdings, Inc.† | 148,696 | 18,237,564 | ||||||
Inter Parfums, Inc.† | 37,826 | 1,074,258 | ||||||
Kimberly-Clark Corp.†(a) | 128,764 | 14,713,862 | ||||||
Procter & Gamble Co. | 19,163 | 1,672,355 | ||||||
|
| |||||||
53,111,496 | ||||||||
|
| |||||||
Media — 5.5% |
| |||||||
Cinemark Holdings, Inc.† | 79,158 | 2,795,861 | ||||||
Clear Channel Outdoor Holdings, Inc., Class A | 6,113 | 44,380 | ||||||
Comcast Corp.† | 109,273 | 6,048,261 | ||||||
Crown Media Holdings, Inc., Class A*(a) | 15,786 | 55,093 | ||||||
DIRECTV* | 133,866 | 11,618,230 | ||||||
Gannett Co., Inc.(a) | 23,864 | 751,716 |
The accompanying notes are an integral part of the financial statements.
32
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Interpublic Group of Cos, Inc. (The)(a) | 303,969 | $ | 5,893,959 | |||||
Loral Space & Communications, Inc.*† | 21,008 | 1,607,112 | ||||||
Morningstar, Inc.(a) | 3,481 | 237,578 | ||||||
New York Times Co. (The), Class A(a) | 255,805 | 3,284,536 | ||||||
News Corp., Class A*†(a) | 743,439 | 11,508,436 | ||||||
Nexstar Broadcasting Group, Inc.(a) | 137,167 | 6,188,975 | ||||||
Omnicom Group, Inc.(a) | 214,252 | 15,396,149 | ||||||
Time, Inc.*(a) | 260,588 | 5,886,683 | ||||||
Viacom, Inc., Class B† | 51,491 | 3,742,366 | ||||||
|
| |||||||
75,059,335 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
Acorda Therapeutics, Inc.* | 11,953 | 416,203 | ||||||
Agilent Technologies, | 184,771 | 10,214,141 | ||||||
Biogen Idec, Inc.*† | 15,495 | 4,975,135 | ||||||
Bio-Rad Laboratories, | 3,869 | 436,501 | ||||||
Bruker Corp.*†(a) | 268,420 | 5,564,347 | ||||||
Covance, Inc.*†(a) | 151,093 | 12,072,331 | ||||||
Depomed, Inc.*† | 234,820 | 3,616,228 | ||||||
Enanta Pharmaceuticals, Inc.*(a) | 98,244 | 4,224,492 | ||||||
Gilead Sciences, Inc.*† | 172,254 | 19,292,448 | ||||||
Johnson & Johnson† | 158,816 | 17,117,188 | ||||||
Lannett Co., Inc.*(a) | 50,262 | 2,850,861 | ||||||
Ligand Pharmaceuticals, Inc.*(a) | 93,191 | 5,150,667 | ||||||
Luminex Corp.* | 1,978 | 37,582 | ||||||
Mallinckrodt PLC*† | 28,407 | 2,618,557 | ||||||
Mettler-Toledo International, Inc.*(a) | 34,930 | 9,028,357 | ||||||
Myriad Genetics, Inc.*(a) | 261,716 | 10,335,165 | ||||||
PAREXEL International Corp.*†(a) | 181,848 | 9,876,165 | ||||||
PerkinElmer, Inc.(a) | 70,855 | 3,076,524 | ||||||
Pfizer, Inc.† | 315,101 | 9,437,275 | ||||||
Prestige Brands Holdings, Inc.*†(a) | 100,839 | 3,571,717 | ||||||
Quintiles Transnational Holdings, Inc.*† | 114,688 | 6,713,836 | ||||||
United Therapeutics | 89,828 | 11,764,773 | ||||||
Valeant Pharmaceuticals International, Inc.* | 84,326 | 11,218,731 | ||||||
Waters Corp.*†(a) | 50,076 | 5,548,421 | ||||||
|
| |||||||
169,157,645 | ||||||||
|
| |||||||
Retailing — 21.4% |
| |||||||
Abercrombie & Fitch Co., Class A(a) | 463,550 | 15,519,654 | ||||||
Ann, Inc.* | 115,524 | 4,434,966 | ||||||
AutoNation, Inc.* | 63,362 | 3,628,108 | ||||||
Bed Bath & Beyond, Inc.*†(a) | 193,044 | 12,999,583 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Best Buy Co., Inc. | 212,977 | $ | 7,271,035 | |||||
Big Lots, Inc.†(a) | 173,171 | 7,905,256 | ||||||
Brown Shoe Co., Inc.(a) | 95,543 | 2,540,488 | ||||||
Buckle, Inc. (The)(a) | 102,041 | 5,033,683 | ||||||
Burlington Stores, Inc.*†(a) | 118,822 | 4,983,395 | ||||||
Cato Corp. (The), | 57,182 | 2,039,682 | ||||||
Chico’s FAS, Inc. | 559 | 8,430 | ||||||
Children’s Place, Inc. | 41,143 | 2,026,293 | ||||||
Core-Mark Holding Co., | 43,010 | 2,495,870 | ||||||
Dick’s Sporting Goods, Inc. | 213,056 | 9,666,351 | ||||||
Dillard’s, Inc., Class A(a) | 106,269 | 11,239,009 | ||||||
Dollar General Corp.*† | 64,307 | 4,030,120 | ||||||
Dollar Tree, Inc.*† | 125,308 | 7,589,906 | ||||||
DSW, Inc., Class A† | 230,967 | 6,848,172 | ||||||
Foot Locker, Inc.†(a) | 109,900 | 6,155,499 | ||||||
GameStop Corp., Class A(a) | 292,878 | 12,523,463 | ||||||
Gap, Inc. (The)†(a) | 409,849 | 15,529,179 | ||||||
GNC Holdings, Inc., | 48,803 | 2,028,741 | ||||||
Group 1 Automotive, Inc.(a) | 23,225 | 1,984,112 | ||||||
Guess?, Inc.†(a) | 376,372 | 8,344,167 | ||||||
Haverty Furniture Cos., Inc.† | 36,794 | 809,836 | ||||||
Hibbett Sports, Inc.*(a) | 132,970 | 6,035,508 | ||||||
Home Depot, Inc. (The)† | 17,260 | 1,683,195 | ||||||
Kohl’s Corp.(a) | 229,830 | 12,461,383 | ||||||
Lands’ End, Inc.*(a) | 144,891 | 6,877,976 | ||||||
Liberty Interactive Corp.* | 81,329 | 2,125,940 | ||||||
Lithia Motors, Inc.(a) | 64,707 | 5,022,557 | ||||||
Lowe’s Cos., Inc.† | 157,279 | 8,996,359 | ||||||
Macy’s, Inc.†(a) | 198,092 | 11,453,679 | ||||||
Michaels Cos., Inc. (The)*(a) | 128,023 | 2,340,260 | ||||||
Murphy USA, Inc.*† | 101,034 | 5,789,248 | ||||||
Outerwall, Inc.*(a) | 219,528 | 13,889,537 | ||||||
PetSmart, Inc.†(a) | 147,759 | 10,690,364 | ||||||
Ross Stores, Inc.†(a) | 80,713 | 6,515,153 | ||||||
Sally Beauty Holdings, Inc.*† | 195,591 | 5,732,772 | ||||||
Target Corp.(a) | 141,054 | 8,719,958 | ||||||
TJX Cos., Inc. (The)† | 120,869 | 7,653,425 | ||||||
Urban Outfitters, Inc.*(a) | 417,130 | 12,664,067 | ||||||
Zumiez, Inc.*†(a) | 88,475 | 2,953,295 | ||||||
|
| |||||||
289,239,674 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 11.1% |
| |||||||
Advanced Energy Industries, Inc.*† | 55,438 | 1,096,564 | ||||||
Altera Corp.†(a) | 131,116 | 4,506,457 | ||||||
Atmel Corp.*† | 1,328,217 | 9,855,370 |
The accompanying notes are an integral part of the financial statements.
33
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Cirrus Logic, Inc.*(a) | 345,475 | $ | 6,667,667 | |||||
Diodes, Inc.*†(a) | 54,341 | 1,403,628 | ||||||
Fairchild Semiconductor International, Inc.*(a) | 685,822 | 10,527,368 | ||||||
Integrated Device Technology, Inc.*† | 457,947 | 7,514,910 | ||||||
Intel Corp.† | 152,094 | 5,172,717 | ||||||
International Rectifier Corp.*† | 109,916 | 4,371,359 | ||||||
Intersil Corp., Class A(a) | 263,107 | 3,496,692 | ||||||
Lattice Semiconductor Corp.*(a) | 345,781 | 2,320,191 | ||||||
Linear Technology Corp.(a) | 214,065 | 9,170,545 | ||||||
Marvell Technology Group Ltd.† | 878,646 | 11,809,002 | ||||||
Micron Technology, Inc.*(a) | 467,324 | 15,463,751 | ||||||
MKS Instruments, Inc.† | 101,927 | 3,710,143 | ||||||
NVIDIA Corp.(a) | 97,387 | 1,902,942 | ||||||
OmniVision Technologies, Inc.*† | 342,859 | 9,181,764 | ||||||
Pentair PLC (Ireland)† | 195,822 | 13,129,865 | ||||||
RF Micro Devices, Inc.* | 199,597 | 2,596,757 | ||||||
Semtech Corp.*(a) | 56,521 | 1,434,503 | ||||||
Silicon Laboratories, Inc.* | 14,431 | 657,909 | ||||||
Skyworks Solutions, Inc.† | 96,702 | 5,631,924 | ||||||
Teradyne, Inc.(a) | 205,663 | 3,784,199 | ||||||
Tessera Technologies, Inc. | 13,481 | 409,688 | ||||||
Texas Instruments, Inc.†(a) | 286,810 | 14,242,985 | ||||||
|
| |||||||
150,058,900 | ||||||||
|
| |||||||
Software & Services — 18.9% |
| |||||||
Accenture PLC, Class A (Ireland)† | 132,580 | 10,754,890 | ||||||
ACI Worldwide, Inc.*†(a) | 187,441 | 3,606,365 | ||||||
Activision Blizzard, Inc.† | 203,018 | 4,050,209 | ||||||
Acxiom Corp.*† | 206,256 | 3,885,863 | ||||||
Advent Software, Inc.(a) | 36,477 | 1,260,645 | ||||||
Amdocs, Ltd. (Channel Islands)† | 60,999 | 2,899,892 | ||||||
ANSYS, Inc.*† | 22,206 | 1,744,503 | ||||||
Aspen Technology, Inc.*(a) | 157,321 | 5,809,865 | ||||||
AVG Technologies NV (Netherlands)*† | 128,043 | 2,294,531 | ||||||
Booz Allen Hamilton Holding Corp.† | 211,155 | 5,563,934 | ||||||
Broadridge Financial Solutions, Inc.† | 169,343 | 7,439,238 | ||||||
CA, Inc.†(a) | 358,391 | 10,414,842 | ||||||
CACI International, Inc., Class A* | 9,906 | 815,165 | ||||||
CGI Group, Inc., Class A (Canada)* | 65,808 | 2,260,505 | ||||||
Computer Sciences Corp.† | 247,523 | 14,950,389 | ||||||
Conversant, Inc.*(a) | 231,608 | 8,164,182 | ||||||
DST Systems, Inc.† | 75,517 | 7,276,063 | ||||||
Electronic Arts, Inc.* | 200,670 | 8,221,450 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
IAC/InterActiveCorp† | 123,557 | $ | 8,363,573 | |||||
International Business Machines Corp.† | 74,155 | 12,191,082 | ||||||
j2 Global, Inc.(a) | 15,258 | 825,305 | ||||||
Jack Henry & Associates, Inc.(a) | 112,234 | 6,713,838 | ||||||
Leidos Holdings, Inc.†(a) | 142,093 | 5,196,341 | ||||||
MAXIMUS, Inc.(a) | 66,224 | 3,209,215 | ||||||
Microsoft Corp. | 77,555 | 3,641,207 | ||||||
NetScout Systems, Inc.*(a) | 90,133 | 3,322,302 | ||||||
NeuStar, Inc., Class A*(a) | 337,899 | 8,923,913 | ||||||
NIC, Inc.†(a) | 84,729 | 1,561,555 | ||||||
Oracle Corp.† | 337,095 | 13,163,560 | ||||||
Pegasystems, Inc.† | 30,987 | 671,488 | ||||||
Progress Software Corp.*† | 82,947 | 2,148,327 | ||||||
Rovi Corp.*†(a) | 219,905 | 4,591,616 | ||||||
Science Applications International Corp.†(a) | 86,338 | 4,222,792 | ||||||
Stamps.com, Inc.*† | 19,291 | 711,838 | ||||||
Sykes Enterprises, Inc.*† | 60,262 | 1,298,043 | ||||||
Symantec Corp.†(a) | 411,926 | 10,224,003 | ||||||
Take-Two Interactive Software, Inc.*(a) | 529,263 | 13,999,006 | ||||||
Teradata Corp.*†(a) | 302,533 | 12,803,197 | ||||||
TiVo, Inc.*(a) | 519,072 | 6,773,890 | ||||||
VeriSign, Inc.*(a) | 144,358 | 8,626,834 | ||||||
Virtusa Corp.*† | 14,737 | 603,922 | ||||||
Western Union Co. (The)(a) | 703,840 | 11,937,126 | ||||||
Xerox Corp.†(a) | 632,608 | 8,401,034 | ||||||
|
| |||||||
255,537,538 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 16.1% |
| |||||||
Anixter International, Inc.†(a) | 48,700 | 4,147,779 | ||||||
Apple, Inc.† | 51,233 | 5,533,164 | ||||||
ARRIS Group, Inc.*†(a) | 434,780 | 13,052,096 | ||||||
Arrow Electronics, Inc.*† | 180,031 | 10,236,563 | ||||||
AVX Corp.†(a) | 64,559 | 932,232 | ||||||
Brocade Communications Systems, Inc.† | 1,475,953 | 15,836,976 | ||||||
CDW Corp.†(a) | 185,904 | 5,733,279 | ||||||
Cisco Systems, Inc.†(a) | 325,387 | 7,962,220 | ||||||
CommScope Holding Co., Inc.*†(a) | 216,876 | 4,671,509 | ||||||
Corning, Inc. | 404,110 | 8,255,967 | ||||||
Dolby Laboratories, Inc.(a) | 89,463 | 3,750,289 | ||||||
F5 Networks, Inc.*† | 18,944 | 2,329,733 | ||||||
FLIR Systems, Inc.†(a) | 119,951 | 4,021,957 | ||||||
Harris Corp.† | 92,586 | 6,443,986 |
The accompanying notes are an integral part of the financial statements.
34
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Hewlett-Packard Co.† | 146,529 | $ | 5,257,461 | |||||
Insight Enterprises, Inc.*† | 69,384 | 1,578,486 | ||||||
InterDigital, Inc.†(a) | 100,306 | 4,958,126 | ||||||
IPG Photonics Corp.*(a) | 21,378 | 1,569,359 | ||||||
Itron, Inc.*(a) | 92,573 | 3,603,867 | ||||||
Juniper Networks, Inc.† | 718,250 | 15,133,527 | ||||||
Lexmark International, Inc., Class A(a) | 13,185 | 569,065 | ||||||
Methode Electronics, | 110,106 | 4,335,974 | ||||||
National Instruments Corp. | 4,245 | 134,482 | ||||||
NCR Corp.*† | 298,947 | 8,271,863 | ||||||
NetApp, Inc.†(a) | 138,186 | 5,914,361 | ||||||
NETGEAR, Inc.* | 91 | 3,098 | ||||||
Newport Corp.*† | 54,494 | 974,898 | ||||||
OSI Systems, Inc.*† | 70,732 | 5,013,484 | ||||||
Polycom, Inc.*(a) | 573,526 | 7,501,720 | ||||||
QUALCOMM, Inc.† | 29,166 | 2,289,823 | ||||||
Rogers Corp.*† | 27,080 | 1,851,460 | ||||||
Ruckus Wireless, Inc.*(a) | 421,645 | 5,472,952 | ||||||
SanDisk Corp.†(a) | 98,230 | 9,247,372 | ||||||
Sanmina Corp.*(a) | 219,369 | 5,499,581 | ||||||
TE Connectivity Ltd. | 116,512 | 7,122,379 | ||||||
Universal Display Corp.*(a) | 59,159 | 1,850,494 | ||||||
Vishay Intertechnology, | 443,236 | 5,988,118 | ||||||
Western Digital Corp.†(a) | 117,201 | 11,529,062 | ||||||
Zebra Technologies Corp., Class A*†(a) | 122,038 | 9,000,302 | ||||||
|
| |||||||
217,579,064 | ||||||||
|
| |||||||
Telecommunication Services — 4.0% |
| |||||||
AT&T, Inc.(a) | 195,226 | 6,801,674 | ||||||
Atlantic Tele-Network, Inc.† | 21,527 | 1,446,399 | ||||||
BCE, Inc. (Canada)† | 7,567 | 336,504 | ||||||
CenturyLink, Inc.†(a) | 239,800 | 9,946,904 | ||||||
Cincinnati Bell, Inc.* | 291,438 | 1,069,577 | ||||||
Consolidated Communications Holdings, Inc.(a) | 21,320 | 552,188 | ||||||
Frontier Communications Corp.(a) | 2,081,170 | 13,610,852 | ||||||
Intelsat SA* | 76,078 | 1,480,478 | ||||||
Premiere Global Services, Inc.* | 2,893 | 30,290 | ||||||
Verizon Communications, Inc.† | 169,296 | 8,507,124 | ||||||
Vonage Holdings Corp.*(a) | 5,754 | 20,024 | ||||||
Windstream Holdings, Inc. | 988,196 | 10,356,294 | ||||||
|
| |||||||
54,158,308 | ||||||||
|
| |||||||
Transportation — 3.8% |
| |||||||
American Airlines Group, Inc.† | 37,980 | 1,570,473 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
ArcBest Corp.† | 61,664 | $ | 2,386,397 | |||||
CH Robinson Worldwide, Inc.†(a) | 19,843 | 1,373,334 | ||||||
Con-way, Inc.†(a) | 276,820 | 12,005,683 | ||||||
Delta Air Lines, Inc.† | 285,164 | 11,472,148 | ||||||
Kirby Corp.*†(a) | 26,728 | 2,955,582 | ||||||
Matson, Inc.† | 74,103 | 2,111,194 | ||||||
Norfolk Southern Corp.† | 69,367 | 7,674,765 | ||||||
Southwest Airlines Co.† | 117,898 | 4,065,123 | ||||||
United Continental Holdings, Inc.*(a) | 40,991 | 2,164,735 | ||||||
United Parcel Service, Inc., Class B | 25,284 | 2,652,544 | ||||||
Werner Enterprises, | 23,464 | 646,199 | ||||||
|
| |||||||
51,078,177 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 2,391,422,777 | ||||||
|
| |||||||
TOTAL LONG POSITIONS — 176.8% |
| 2,391,422,777 | ||||||
|
| |||||||
SHORT POSITIONS — (77.9)% |
| |||||||
COMMON STOCKS — (75.6)% |
| |||||||
Automobiles & Components — (0.2)% |
| |||||||
Cooper-Standard Holding, Inc.* | (9,499 | ) | (518,455 | ) | ||||
Dorman Products, Inc.* | (39,654 | ) | (1,838,359 | ) | ||||
Drew Industries, Inc. | (515 | ) | (24,751 | ) | ||||
Federal-Mogul Holdings Corp.* | (7,292 | ) | (113,828 | ) | ||||
Superior Industries International, Inc. | (5,354 | ) | (104,457 | ) | ||||
Tesla Motors, Inc.* | (2,596 | ) | (627,453 | ) | ||||
|
| |||||||
(3,227,303 | ) | |||||||
|
| |||||||
Capital Goods — (8.1)% |
| |||||||
Alliant Techsystems, Inc. | (28,294 | ) | (3,309,266 | ) | ||||
Altra Industrial Motion Corp. | (18,799 | ) | (592,544 | ) | ||||
Apogee Enterprises, Inc. | (53,113 | ) | (2,331,661 | ) | ||||
Applied Industrial Technologies, Inc. | (58,108 | ) | (2,836,251 | ) | ||||
Armstrong World Industries, Inc.* | (65,900 | ) | (3,190,878 | ) | ||||
Astec Industries, Inc. | (26,269 | ) | (995,858 | ) | ||||
Astronics Corp.* | (16,843 | ) | (872,636 | ) | ||||
Babcock & Wilcox Co. (The) | (240,230 | ) | (6,870,578 | ) | ||||
Barnes Group, Inc. | (66,110 | ) | (2,416,982 | ) | ||||
Beacon Roofing Supply, Inc.* | (178,783 | ) | (4,946,926 | ) | ||||
Boeing Co. (The) | (47,563 | ) | (5,941,094 | ) | ||||
Brady Corp. | (42,717 | ) | (1,018,373 | ) | ||||
CAE, Inc. | (12,752 | ) | (164,756 | ) | ||||
CLARCOR, Inc. | (41,700 | ) | (2,792,232 | ) | ||||
Continental Building Products, Inc.* | (10,568 | ) | (155,772 | ) |
The accompanying notes are an integral part of the financial statements.
35
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Cubic Corp. | (45,731 | ) | $ | (2,206,063 | ) | |||
DigitalGlobe, Inc.* | (46,600 | ) | (1,332,294 | ) | ||||
DXP Enterprises, Inc.* | (351 | ) | (23,268 | ) | ||||
Dycom Industries, Inc.* | (83,442 | ) | (2,619,244 | ) | ||||
EnerSys | (8,175 | ) | (513,390 | ) | ||||
EnPro Industries, Inc.* | (61,031 | ) | (3,938,330 | ) | ||||
Esterline Technologies Corp.* | (4,050 | ) | (474,296 | ) | ||||
Franklin Electric Co., Inc. | (48,781 | ) | (1,821,483 | ) | ||||
Gorman-Rupp Co. (The) | (15,467 | ) | (490,923 | ) | ||||
Granite Construction, Inc. | (16,626 | ) | (613,666 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (7,584 | ) | (595,268 | ) | ||||
II-VI, Inc.* | (92,217 | ) | (1,244,007 | ) | ||||
Kaman Corp. | (11,987 | ) | (516,160 | ) | ||||
Kennametal, Inc. | (144,846 | ) | (5,592,504 | ) | ||||
Lennox International, Inc. | (42,247 | ) | (3,756,603 | ) | ||||
MasTec, Inc.* | (127,224 | ) | (3,643,695 | ) | ||||
Middleby Corp. (The)* | (6,918 | ) | (612,243 | ) | ||||
MRC Global, Inc.* | (140,285 | ) | (2,950,194 | ) | ||||
Mueller Industries, Inc.† | (60,417 | ) | (1,961,136 | ) | ||||
Nortek, Inc.* | (11,724 | ) | (976,375 | ) | ||||
Oshkosh Corp. | (18,499 | ) | (828,015 | ) | ||||
Powell Industries, Inc. | (14,004 | ) | (637,602 | ) | ||||
Power Solutions International, Inc.* | (27,624 | ) | (1,809,372 | ) | ||||
Primoris Services Corp. | (574 | ) | (16,485 | ) | ||||
Proto Labs, Inc.* | (2,071 | ) | (135,381 | ) | ||||
Rexnord Corp.* | (43,335 | ) | (1,280,549 | ) | ||||
Rockwell Collins, Inc.† | (37,111 | ) | (3,122,891 | ) | ||||
Sensata Technologies Holding NV (Netherlands)* | (105,404 | ) | (5,144,769 | ) | ||||
SolarCity Corp.* | (78,940 | ) | (4,671,669 | ) | ||||
TAL International Group, Inc. | (28,343 | ) | (1,222,434 | ) | ||||
Taser International, Inc.* | (145,370 | ) | (2,738,771 | ) | ||||
Textainer Group Holdings Ltd. (Bermuda) | (15,447 | ) | (531,995 | ) | ||||
Titan International, Inc. | (173,963 | ) | (1,837,049 | ) | ||||
Triumph Group, Inc. | (54,993 | ) | (3,829,163 | ) | ||||
Tutor Perini Corp.* | (67,166 | ) | (1,881,320 | ) | ||||
WABCO Holdings, Inc.* | (18,302 | ) | (1,782,249 | ) | ||||
Wabtec Corp. | (26,926 | ) | (2,323,714 | ) | ||||
Watsco, Inc. | (7,428 | ) | (754,833 | ) | ||||
|
| |||||||
(108,865,210 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (2.2)% |
| |||||||
Acacia Research Corp. | (36,067 | ) | (649,206 | ) | ||||
Advisory Board Co. (The)* | (113,622 | ) | (6,098,093 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Covanta Holding Corp. | (19,967 | ) | $ | (440,672 | ) | |||
Healthcare Services Group, Inc. | (81,385 | ) | (2,423,645 | ) | ||||
Herman Miller, Inc. | (117,676 | ) | (3,765,632 | ) | ||||
ICF International, Inc.* | (7,985 | ) | (290,175 | ) | ||||
Interface, Inc. | (101,733 | ) | (1,630,780 | ) | ||||
Kelly Services, Inc., Class A | (51,204 | ) | (902,727 | ) | ||||
Kforce, Inc. | (38,834 | ) | (899,007 | ) | ||||
Kimball International, Inc. | (1,095 | ) | (13,995 | ) | ||||
Mistras Group, Inc.* | (17,904 | ) | (295,237 | ) | ||||
Paylocity Corp.* | (41,978 | ) | (1,028,461 | ) | ||||
Stericycle, Inc.* | (8,165 | ) | (1,028,790 | ) | ||||
US Ecology, Inc | (71,177 | ) | (3,578,780 | ) | ||||
WageWorks, Inc.* | (106,173 | ) | (6,052,923 | ) | ||||
|
| |||||||
(29,098,123 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (3.4)% |
| |||||||
Callaway Golf Co. | (27,004 | ) | (211,711 | ) | ||||
Carter’s, Inc. | (14,973 | ) | (1,169,840 | ) | ||||
Crocs, Inc.* | (83,368 | ) | (973,738 | ) | ||||
DR Horton, Inc. | (216,728 | ) | (4,939,231 | ) | ||||
G-III Apparel Group Ltd.* | (15,087 | ) | (1,197,153 | ) | ||||
Gildan Activewear, Inc. (Canada) | (63,989 | ) | (3,815,664 | ) | ||||
Hanesbrands, Inc.† | (39,267 | ) | (4,146,988 | ) | ||||
Hovnanian Enterprises, Inc., Class A* | (441,816 | ) | (1,661,228 | ) | ||||
Kate Spade & Co.* | (65,705 | ) | (1,782,577 | ) | ||||
KB Home | (378,974 | ) | (5,965,051 | ) | ||||
MDC Holdings, Inc. | (243,623 | ) | (5,949,274 | ) | ||||
Meritage Homes Corp.* | (174,485 | ) | (6,419,303 | ) | ||||
Ryland Group, Inc. (The) | (93,882 | ) | (3,361,914 | ) | ||||
Standard Pacific Corp.* | (230,101 | ) | (1,702,747 | ) | ||||
Taylor Morrison Home Corp., Class A* | (106,179 | ) | (1,830,526 | ) | ||||
William Lyon Homes, Class A* | (59,909 | ) | (1,417,447 | ) | ||||
|
| |||||||
(46,544,392 | ) | |||||||
|
| |||||||
Consumer Services — (5.1)% |
| |||||||
2U, Inc.* | (22,551 | ) | (410,428 | ) | ||||
BJ’s Restaurants, Inc.* | (2,391 | ) | (105,252 | ) | ||||
Bloomin’ Brands, Inc.* | (281,417 | ) | (5,321,595 | ) | ||||
Bob Evans Farms, Inc. | (123,625 | ) | (6,039,081 | ) | ||||
Churchill Downs, Inc. | (13,125 | ) | (1,338,488 | ) | ||||
ClubCorp Holdings, Inc. | (80,102 | ) | (1,526,744 | ) | ||||
Fiesta Restaurant Group, Inc.* | (16,316 | ) | (899,827 | ) | ||||
Grand Canyon Education, Inc.* | (25,467 | ) | (1,219,869 | ) | ||||
International Speedway Corp., Class A | (49,428 | ) | (1,548,579 | ) |
The accompanying notes are an integral part of the financial statements.
36
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Krispy Kreme Doughnuts, Inc.* | (202,926 | ) | $ | (3,839,360 | ) | |||
Life Time Fitness, Inc.* | (117,995 | ) | (6,580,581 | ) | ||||
LifeLock, Inc.* | (220,476 | ) | (3,728,249 | ) | ||||
MGM Resorts International* | (99,046 | ) | (2,302,820 | ) | ||||
Noodles & Co.* | (13,193 | ) | (301,196 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (113,220 | ) | (4,415,580 | ) | ||||
Papa John’s International, Inc. | (58,773 | ) | (2,748,225 | ) | ||||
Penn National Gaming, Inc.* | (266,180 | ) | (3,484,296 | ) | ||||
Pinnacle Entertainment, Inc.* | (193,089 | ) | (4,948,871 | ) | ||||
Popeyes Louisiana Kitchen, Inc.* | (46,413 | ) | (2,151,243 | ) | ||||
Red Robin Gourmet Burgers, Inc.* | (93,256 | ) | (5,126,282 | ) | ||||
Service Corp. International | (138,673 | ) | (3,032,779 | ) | ||||
Sonic Corp. | (126,844 | ) | (3,197,737 | ) | ||||
Texas Roadhouse, Inc. | (139,642 | ) | (4,031,465 | ) | ||||
Tim Hortons, Inc. | (2,709 | ) | (219,483 | ) | ||||
Zoe’s Kitchen, Inc.* | (30,668 | ) | (1,118,155 | ) | ||||
|
| |||||||
(69,636,185 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.5)% |
| |||||||
Casey’s General Stores, Inc. | (78,443 | ) | (6,422,128 | ) | ||||
Kroger Co. (The) | (95,492 | ) | (5,319,859 | ) | ||||
PriceSmart, Inc. | (3,182 | ) | (283,293 | ) | ||||
SpartanNash Co. | (53,056 | ) | (1,188,985 | ) | ||||
United Natural Foods, Inc.* | (104,715 | ) | (7,122,714 | ) | ||||
|
| |||||||
(20,336,979 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.6)% |
| |||||||
Boston Beer Co., Inc. (The), Class A* . | (11,358 | ) | (2,828,142 | ) | ||||
Boulder Brands, Inc.* | (149,878 | ) | (1,330,917 | ) | ||||
Brown-Forman Corp. | (6,619 | ) | (613,383 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (6,843 | ) | (618,881 | ) | ||||
Darling Ingredients, Inc.* | (349,203 | ) | (6,145,973 | ) | ||||
Dean Foods Co. | (210,490 | ) | (3,096,308 | ) | ||||
Hain Celestial Group, Inc. (The)* | (14,305 | ) | (1,548,516 | ) | ||||
Hershey Co. (The) | (27,690 | ) | (2,655,748 | ) | ||||
J&J Snack Foods Corp. | (50 | ) | (5,152 | ) | ||||
JM Smucker Co. (The) | (9,389 | ) | (976,456 | ) | ||||
Mead Johnson Nutrition Co. | (16,451 | ) | (1,633,749 | ) | ||||
Post Holdings, Inc.* | (195,918 | ) | (7,346,925 | ) | ||||
TreeHouse Foods, Inc.* | (51,938 | ) | (4,423,559 | ) | ||||
WhiteWave Foods Co., | (50,755 | ) | (1,889,609 | ) | ||||
|
| |||||||
(35,113,318 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (7.4)% |
| |||||||
Acadia Healthcare Co., Inc.* | (71,244 | ) | (4,420,690 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Accuray, Inc.* | (150,845 | ) | $ | (954,849 | ) | |||
Adeptus Health, Inc., Class A* | (12,602 | ) | (418,134 | ) | ||||
Alere, Inc.* | (20,599 | ) | (823,342 | ) | ||||
Allscripts Healthcare Solutions, Inc.* | (295,725 | ) | (4,057,347 | ) | ||||
Analogic Corp. | (10,111 | ) | (737,496 | ) | ||||
athenahealth, Inc.* | (38,911 | ) | (4,766,598 | ) | ||||
Bio-Reference Laboratories, Inc.* | (35,392 | ) | (1,063,176 | ) | ||||
BioScrip, Inc.* | (91,045 | ) | (588,151 | ) | ||||
Capital Senior Living Corp.* | (47,048 | ) | (1,058,580 | ) | ||||
Cardiovascular Systems, Inc.* | (70,421 | ) | (2,183,051 | ) | ||||
Cerner Corp.* | (16,762 | ) | (1,061,705 | ) | ||||
Community Health Systems, Inc.* | (83,235 | ) | (4,575,428 | ) | ||||
CONMED Corp. | (4,819 | ) | (202,350 | ) | ||||
Cooper Cos., Inc. (The) | (5,283 | ) | (865,884 | ) | ||||
Endologix, Inc.* | (156,421 | ) | (1,783,199 | ) | ||||
Ensign Group, Inc. (The) | (3,777 | ) | (146,245 | ) | ||||
ExamWorks Group, Inc.* | (94,980 | ) | (3,683,324 | ) | ||||
Hanger, Inc.* | (141,454 | ) | (3,384,994 | ) | ||||
Healthways, Inc.* | (75,806 | ) | (1,174,993 | ) | ||||
HeartWare International, Inc.* | (33,676 | ) | (2,597,093 | ) | ||||
Henry Schein, Inc.* | (10,437 | ) | (1,252,753 | ) | ||||
Insulet Corp.* | (56,721 | ) | (2,448,646 | ) | ||||
K2M Group Holdings, Inc.* | (1,309 | ) | (21,075 | ) | ||||
LDR Holding Corp.* | (40,976 | ) | (1,411,213 | ) | ||||
LifePoint Hospitals, Inc.* | (46,845 | ) | (3,279,150 | ) | ||||
McKesson Corp. | (2,520 | ) | (512,593 | ) | ||||
Medidata Solutions, Inc.* | (110,805 | ) | (4,998,414 | ) | ||||
MWI Veterinary Supply, Inc.* | (27,157 | ) | (4,607,321 | ) | ||||
National Healthcare Corp. | (2,161 | ) | (130,330 | ) | ||||
Neogen Corp.* | (56,660 | ) | (2,487,374 | ) | ||||
Novadaq Technologies, Inc. (Canada)* | (122,267 | ) | (1,909,811 | ) | ||||
NuVasive, Inc.* | (7,073 | ) | (289,286 | ) | ||||
NxStage Medical, Inc.* | (105,889 | ) | (1,605,277 | ) | ||||
Omnicell, Inc.* | (18,962 | ) | (612,662 | ) | ||||
Owens & Minor, Inc. | (9,112 | ) | (303,612 | ) | ||||
Patterson Cos., Inc. | (74,048 | ) | (3,192,209 | ) | ||||
Providence Service Corp. | (7,403 | ) | (327,065 | ) | ||||
Quidel Corp.* | (63,455 | ) | (1,811,640 | ) | ||||
Sirona Dental Systems, Inc.* | (36,248 | ) | (2,847,280 | ) | ||||
Spectranetics Corp.* | (151,781 | ) | (4,822,082 | ) | ||||
STERIS Corp. | (4,435 | ) | (274,083 | ) | ||||
Surgical Care Affiliates, Inc.* | (12,155 | ) | (372,915 | ) | ||||
Tenet Healthcare Corp.* | (55,333 | ) | (3,101,415 | ) |
The accompanying notes are an integral part of the financial statements.
37
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Tornier NV (Netherlands)* | (76,894 | ) | $ | (2,149,187 | ) | |||
Veeva Systems, Inc.* | (113,150 | ) | (3,369,607 | ) | ||||
Volcano Corp.* | (193,234 | ) | (1,955,528 | ) | ||||
West Pharmaceutical Services, Inc | (33,185 | ) | (1,700,731 | ) | ||||
Wright Medical Group, Inc.* | (204,611 | ) | (6,469,800 | ) | ||||
Zeltiq Aesthetics, Inc.* | (73,974 | ) | (1,896,693 | ) | ||||
|
| |||||||
(100,706,381 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.2)% |
| |||||||
Elizabeth Arden, Inc.* | (8,718 | ) | (142,975 | ) | ||||
Revlon, Inc., Class A* | (11,257 | ) | (386,115 | ) | ||||
Spectrum Brands Holdings, Inc. | (20,871 | ) | (1,890,704 | ) | ||||
|
| |||||||
WD-40 Co. | (514 | ) | (39,408 | ) | ||||
|
| |||||||
(2,459,202 | ) | |||||||
Media — (2.1)% |
| |||||||
AMC Entertainment Holdings, Inc., | ||||||||
Class A | (5,396 | ) | (137,058 | ) | ||||
AMC Networks, Inc., Class A* | (42,243 | ) | (2,562,038 | ) | ||||
Carmike Cinemas, Inc.* | (9,374 | ) | (300,437 | ) | ||||
Charter Communications, Inc., Class A* | (35,637 | ) | (5,644,544 | ) | ||||
DreamWorks Animation SKG, Inc., Class A* | (71,816 | ) | (1,600,060 | ) | ||||
EW Scripps Co. (The), Class A* | (154,031 | ) | (2,957,395 | ) | ||||
Gray Television, Inc.* | (164,144 | ) | (1,516,691 | ) | ||||
Live Nation Entertainment, Inc.* | (123,079 | ) | (3,200,054 | ) | ||||
Madison Square Garden Co. (The), Class A* | (18,770 | ) | (1,422,015 | ) | ||||
MDC Partners, Inc. | (67,941 | ) | (1,406,379 | ) | ||||
National CineMedia, Inc. | (78,431 | ) | (1,247,053 | ) | ||||
Rentrak Corp.* | (23,773 | ) | (1,827,431 | ) | ||||
Scholastic Corp. | (48,786 | ) | (1,698,241 | ) | ||||
SFX Entertainment, Inc.* | (98,342 | ) | (505,478 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (176,764 | ) | (2,183,035 | ) | ||||
|
| |||||||
(28,207,909 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
ACADIA Pharmaceuticals, Inc.* | (6,167 | ) | (170,826 | ) | ||||
Acceleron Pharma, Inc.* | (69,264 | ) | (2,561,383 | ) | ||||
Achillion Pharmaceuticals, Inc.* | (75,745 | ) | (890,004 | ) | ||||
Agios Pharmaceuticals, Inc.* | (37,603 | ) | (3,159,780 | ) | ||||
Akorn, Inc.* | (173,164 | ) | (7,714,456 | ) | ||||
Albany Molecular Research, Inc.* | (112,421 | ) | (2,614,912 | ) | ||||
Alkermes PLC (Ireland)* | (50,616 | ) | (2,558,639 | ) | ||||
AMAG Pharmaceuticals, Inc.* | (22,662 | ) | (748,073 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Anacor Pharmaceuticals, Inc.* | (377 | ) | $ | (11,088 | ) | |||
Arena Pharmaceuticals, Inc.* | (939,190 | ) | (4,094,868 | ) | ||||
ARIAD Pharmaceuticals, Inc.* | (181,971 | ) | (1,084,547 | ) | ||||
Auspex Pharmaceuticals, Inc.* | (3,624 | ) | (98,210 | ) | ||||
AVANIR Pharmaceuticals, Inc.* | (284,441 | ) | (3,680,667 | ) | ||||
BioDelivery Sciences International, Inc.* | (225,470 | ) | (3,923,178 | ) | ||||
Bluebird Bio, Inc.* | (28,143 | ) | (1,181,725 | ) | ||||
Bristol-Myers Squibb Co. | (53,120 | ) | (3,091,053 | ) | ||||
Catalent, Inc.* | (17,446 | ) | (454,119 | ) | ||||
Celldex Therapeutics, Inc.* | (237,123 | ) | (3,971,810 | ) | ||||
Cepheid* | (62,371 | ) | (3,306,287 | ) | ||||
Charles River Laboratories International, Inc.* | (8,875 | ) | (560,545 | ) | ||||
Chimerix, Inc.* | (79,759 | ) | (2,475,719 | ) | ||||
Clovis Oncology, Inc.* | (24,913 | ) | (1,486,310 | ) | ||||
Eli Lilly & Co. | (63,308 | ) | (4,199,220 | ) | ||||
Emergent Biosolutions, Inc.* | (67,824 | ) | (1,534,179 | ) | ||||
Fluidigm Corp.* | (101,945 | ) | (2,956,405 | ) | ||||
Genomic Health, Inc.* | (46,560 | ) | (1,691,990 | ) | ||||
Halozyme Therapeutics, Inc.* | (268,622 | ) | (2,584,144 | ) | ||||
ImmunoGen, Inc.* | (319,494 | ) | (2,958,514 | ) | ||||
Impax Laboratories, Inc.* | (20,233 | ) | (586,150 | ) | ||||
Incyte Corp.* | (46,377 | ) | (3,110,042 | ) | ||||
Infinity Pharmaceuticals, Inc.* | (8,533 | ) | (116,219 | ) | ||||
Insmed, Inc.* | (18,688 | ) | (265,183 | ) | ||||
Intrexon Corp.* | (66,123 | ) | (1,475,865 | ) | ||||
Ironwood Pharmaceuticals, Inc.* | (144,331 | ) | (2,023,521 | ) | ||||
Isis Pharmaceuticals, Inc.* | (41,701 | ) | (1,920,748 | ) | ||||
Jazz Pharmaceuticals PLC (Ireland)* | (3,900 | ) | (658,476 | ) | ||||
Karyopharm Therapeutics, Inc.* | (26,426 | ) | (1,085,580 | ) | ||||
Kite Pharma, Inc.* | (45,433 | ) | (1,680,567 | ) | ||||
KYTHERA Biopharmaceuticals, Inc.* | (39,529 | ) | (1,393,397 | ) | ||||
Lexicon Pharmaceuticals, Inc.* | (77,610 | ) | (112,535 | ) | ||||
Medicines Co. (The)* | (165,429 | ) | (4,188,662 | ) | ||||
Momenta Pharmaceuticals, Inc.* | (161,227 | ) | (1,758,987 | ) | ||||
Mylan, Inc.* | (152 | ) | (8,140 | ) | ||||
Nektar Therapeutics* | (12,511 | ) | (172,527 | ) | ||||
Neurocrine Biosciences, Inc.* | (189,934 | ) | (3,517,578 | ) | ||||
Novavax, Inc.* | (935,767 | ) | (5,240,295 | ) | ||||
Ophthotech Corp.* | (61,017 | ) | (2,545,629 | ) | ||||
Orexigen Therapeutics, Inc.* | (301,327 | ) | (1,223,388 | ) | ||||
Pacira Pharmaceuticals, Inc./DE* | (6,025 | ) | (559,241 | ) |
The accompanying notes are an integral part of the financial statements.
38
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Perrigo Co. PLC (Ireland) | (3,255 | ) | $ | (525,520 | ) | |||
Pharmacyclics, Inc.* | (25,662 | ) | (3,353,254 | ) | ||||
Portola Pharmaceuticals, Inc.* | (20,190 | ) | (575,415 | ) | ||||
PTC Therapeutics, Inc.* | (82,546 | ) | (3,373,655 | ) | ||||
Puma Biotechnology, Inc.* | (4,469 | ) | (1,119,931 | ) | ||||
Receptos, Inc.* | (33,188 | ) | (3,439,936 | ) | ||||
Relypsa, Inc.* | (78,941 | ) | (1,623,816 | ) | ||||
Repligen Corp.* | (105,422 | ) | (2,658,743 | ) | ||||
Sage Therapeutics, Inc.* | (18,007 | ) | (704,434 | ) | ||||
Sangamo BioSciences, Inc.* | (65,676 | ) | (797,307 | ) | ||||
Synageva BioPharma Corp.* | (54,495 | ) | (4,127,451 | ) | ||||
Techne Corp. | (10,140 | ) | (923,247 | ) | ||||
TESARO, Inc.* | (87,525 | ) | (2,434,946 | ) | ||||
TherapeuticsMD, Inc.* | (34,626 | ) | (153,739 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (57,984 | ) | (1,061,107 | ) | ||||
Ultragenyx Pharmaceutical, Inc.* | (2,258 | ) | (106,149 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (37,250 | ) | (4,195,840 | ) | ||||
Zoetis, Inc. | (33,389 | ) | (1,240,735 | ) | ||||
ZS Pharma, Inc.* | (52,221 | ) | (1,964,554 | ) | ||||
|
| |||||||
(133,785,160 | ) | |||||||
|
| |||||||
Retailing — (7.1)% |
| |||||||
Advance Auto Parts, Inc. | (44,658 | ) | (6,562,940 | ) | ||||
Amazon.com, Inc.* | (23,569 | ) | (7,199,387 | ) | ||||
Ascena Retail Group, Inc.* | (407,909 | ) | (5,078,467 | ) | ||||
CarMax, Inc.* | (123,144 | ) | (6,884,981 | ) | ||||
CST Brands, Inc. | (138,558 | ) | (5,299,844 | ) | ||||
Groupon, Inc.* | (786,726 | ) | (5,750,967 | ) | ||||
JC Penney Co., Inc.* | (217,759 | ) | (1,657,146 | ) | ||||
LKQ Corp.* | (75,362 | ) | (2,153,092 | ) | ||||
Lumber Liquidators Holdings, Inc.* | (114,454 | ) | (6,154,192 | ) | ||||
Mattress Firm Holding Corp.* | (6,489 | ) | (410,040 | ) | ||||
Men’s Wearhouse, Inc. (The) | (156,104 | ) | (7,341,571 | ) | ||||
Monro Muffler Brake, Inc. | (26,762 | ) | (1,430,161 | ) | ||||
Netflix, Inc.* | (5,264 | ) | (2,067,541 | ) | ||||
Nordstrom, Inc. | (30,886 | ) | (2,242,632 | ) | ||||
Office Depot, Inc.* | (777,721 | ) | (4,059,704 | ) | ||||
Performance Sports Group Ltd.* | (25,347 | ) | (436,729 | ) | ||||
Pier 1 Imports, Inc. | (183,150 | ) | (2,362,635 | ) | ||||
Rent-A-Center, Inc. | (35,805 | ) | (1,108,881 | ) | ||||
Restoration Hardware Holdings, Inc.* | (42,787 | ) | (3,436,652 | ) | ||||
RetailMeNot, Inc.* | (119,787 | ) | (2,522,714 | ) | ||||
Select Comfort Corp.* | (62,357 | ) | (1,601,951 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Shutterfly, Inc.* | (70,491 | ) | $ | (2,948,639 | ) | |||
Signet Jewelers Ltd. | (57,555 | ) | (6,907,176 | ) | ||||
Stein Mart, Inc. | (4,706 | ) | (62,966 | ) | ||||
Tuesday Morning Corp.* | (147,173 | ) | (3,000,857 | ) | ||||
Vitamin Shoppe, Inc.* | (143,440 | ) | (6,731,639 | ) | ||||
Wayfair, Inc.* | (35,656 | ) | (894,966 | ) | ||||
|
| |||||||
(96,308,470 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (3.4)% |
| |||||||
Advanced Micro Devices, Inc.* | (1,056,721 | ) | (2,958,819 | ) | ||||
Analog Devices, Inc. | (78,063 | ) | (3,873,486 | ) | ||||
Applied Micro Circuits Corp.* | (193,393 | ) | (1,251,253 | ) | ||||
Avago Technologies Ltd. (Singapore) | (39,872 | ) | (3,438,960 | ) | ||||
Brooks Automation, Inc. | (110,710 | ) | (1,365,054 | ) | ||||
Cree, Inc.* | (192,129 | ) | (6,048,221 | ) | ||||
Entegris, Inc.* | (265,123 | ) | (3,600,370 | ) | ||||
First Solar, Inc.* | (26,759 | ) | (1,576,105 | ) | ||||
GT Advanced Technologies, Inc.* | (254,052 | ) | (153,701 | ) | ||||
M/A-COM Technology Solutions Holdings, Inc.* | (40,693 | ) | (894,839 | ) | ||||
Microsemi Corp.* | (156,414 | ) | (4,077,713 | ) | ||||
PMC-Sierra, Inc.* | (348,669 | ) | (2,716,132 | ) | ||||
Spansion, Inc., Class A* | (273,374 | ) | (5,626,037 | ) | ||||
SunEdison, Inc.* | (32,854 | ) | (640,982 | ) | ||||
Ultratech, Inc.* | (105,476 | ) | (2,017,756 | ) | ||||
Veeco Instruments, Inc.* | (166,540 | ) | (5,993,775 | ) | ||||
|
| |||||||
(46,233,203 | ) | |||||||
|
| |||||||
Software & Services — (12.9)% |
| |||||||
Adobe Systems, Inc.* | (86,641 | ) | (6,075,267 | ) | ||||
AOL, Inc.* | (10,404 | ) | (452,886 | ) | ||||
Autodesk, Inc.* | (108,660 | ) | (6,252,296 | ) | ||||
Barracuda Networks, Inc.* | (6,222 | ) | (200,037 | ) | ||||
Benefitfocus, Inc.* | (31,070 | ) | (860,950 | ) | ||||
Blackhawk Network Holdings, Inc., Class B* | (101,824 | ) | (3,400,922 | ) | ||||
Blucora, Inc.* | (16,555 | ) | (280,607 | ) | ||||
Bottomline Technologies de, Inc.* | (80,199 | ) | (2,012,193 | ) | ||||
BroadSoft, Inc.* | (82,390 | ) | (1,886,731 | ) | ||||
CommVault Systems, Inc.* | (101,552 | ) | (4,502,816 | ) | ||||
comScore, Inc.* | (72,567 | ) | (3,057,973 | ) | ||||
Concur Technologies, Inc.* | (2,968 | ) | (380,854 | ) | ||||
Convergys Corp. | (227,970 | ) | (4,598,155 | ) | ||||
CoreLogic, Inc.* | (92,931 | ) | (2,915,245 | ) | ||||
Cornerstone OnDemand, Inc.* | (174,318 | ) | (6,322,514 | ) | ||||
CoStar Group, Inc.* | (2,941 | ) | (473,766 | ) |
The accompanying notes are an integral part of the financial statements.
39
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Cvent, Inc.* | (67,009 | ) | $ | (1,738,213 | ) | |||
Dealertrack Technologies, Inc.* | (71,201 | ) | (3,350,007 | ) | ||||
Demandware, Inc.* | (33,157 | ) | (1,987,762 | ) | ||||
Digital River, Inc.* | (10,545 | ) | (269,636 | ) | ||||
Ellie Mae, Inc.* | (84,881 | ) | (3,257,733 | ) | ||||
Envestnet, Inc.* | (56,088 | ) | (2,491,429 | ) | ||||
Equinix, Inc. | (7,945 | ) | (1,659,711 | ) | ||||
FireEye, Inc.* | (128,157 | ) | (4,356,056 | ) | ||||
Fleetmatics Group PLC* | (11,958 | ) | (444,120 | ) | ||||
Forrester Research, Inc. | (3,902 | ) | (157,173 | ) | ||||
Fortinet, Inc.* | (151,615 | ) | (3,949,571 | ) | ||||
Global Eagle Entertainment, Inc.* | (33,586 | ) | (410,757 | ) | ||||
Global Payments, Inc. | (5,897 | ) | (474,709 | ) | ||||
Google, Inc.* | (1,027 | ) | (574,175 | ) | ||||
Heartland Payment Systems, Inc. | (14,014 | ) | (723,823 | ) | ||||
Imperva, Inc.* | (50,037 | ) | (2,050,016 | ) | ||||
Infoblox, Inc.* | (175,711 | ) | (2,835,976 | ) | ||||
Interactive Intelligence Group, Inc.* | (54,058 | ) | (2,608,839 | ) | ||||
Jive Software, Inc.* | (161,440 | ) | (986,398 | ) | ||||
LinkedIn Corp., Class A* | (1,706 | ) | (390,606 | ) | ||||
LivePerson, Inc.* | (106,651 | ) | (1,535,774 | ) | ||||
LogMeIn, Inc.* | (45,588 | ) | (2,190,503 | ) | ||||
Manhattan Associates, Inc.* | (70,046 | ) | (2,809,545 | ) | ||||
Marketo, Inc.* | (164,851 | ) | (5,319,742 | ) | ||||
MicroStrategy, Inc.* | (8,599 | ) | (1,383,407 | ) | ||||
MobileIron, Inc.* | (35,947 | ) | (361,627 | ) | ||||
Move, Inc.* | (108,005 | ) | (2,262,705 | ) | ||||
NetSuite, Inc.* | (38,414 | ) | (4,174,065 | ) | ||||
Nuance Communications, Inc.* | (464,516 | ) | (7,167,482 | ) | ||||
Pandora Media, Inc.* | (20,630 | ) | (397,746 | ) | ||||
Paycom Software, Inc.* | (27,524 | ) | (488,551 | ) | ||||
Proofpoint, Inc.* | (50,553 | ) | (2,226,354 | ) | ||||
PROS Holdings, Inc.* | (37,445 | ) | (1,047,711 | ) | ||||
Qlik Technologies, Inc.* | (37,024 | ) | (1,049,630 | ) | ||||
Qualys, Inc.* | (7,312 | ) | (234,569 | ) | ||||
Rackspace Hosting, Inc.* | (180,895 | ) | (6,939,132 | ) | ||||
RealPage, Inc.* | (131,990 | ) | (2,622,641 | ) | ||||
Sapient Corp.* | (160,714 | ) | (2,783,566 | ) | ||||
ServiceNow, Inc.* | (725 | ) | (49,249 | ) | ||||
Shutterstock, Inc.* | (68,374 | ) | (5,316,762 | ) | ||||
Silver Spring Networks, Inc.* | (58,471 | ) | (560,152 | ) | ||||
Splunk, Inc.* | (46,922 | ) | (3,100,606 | ) | ||||
SPS Commerce, Inc.* | (2,785 | ) | (162,366 | ) | ||||
Tableau Software, Inc.* | (43,286 | ) | (3,574,991 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Tangoe, Inc.* | (11,156 | ) | $ | (163,659 | ) | |||
TIBCO Software, Inc.* | (294,512 | ) | (6,882,745 | ) | ||||
Twitter, Inc.* | (120,988 | ) | (5,017,372 | ) | ||||
Tyler Technologies, Inc.* | (5,042 | ) | (564,301 | ) | ||||
Vantiv, Inc., Class A* | (89,216 | ) | (2,758,559 | ) | ||||
Varonis Systems, Inc.* | (33,983 | ) | (661,989 | ) | ||||
Verint Systems, Inc.* | (110,610 | ) | (6,358,969 | ) | ||||
Vistaprint NV* | (37,684 | ) | (2,519,552 | ) | ||||
Web.com Group, Inc.* | (3,768 | ) | (77,357 | ) | ||||
Workday, Inc.* | (20,990 | ) | (2,004,125 | ) | ||||
Xoom Corp.* | (8,836 | ) | (133,424 | ) | ||||
Yelp, Inc.* | (74,313 | ) | (4,458,780 | ) | ||||
Zendesk, Inc.* | (50,908 | ) | (1,323,608 | ) | ||||
Zillow, Inc., Class A* | (4,586 | ) | (498,636 | ) | ||||
Zynga, Inc.* | (1,927,699 | ) | (4,915,632 | ) | ||||
|
| |||||||
(174,487,506 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (4.5)% |
| |||||||
ADTRAN, Inc. | (12,923 | ) | (274,097 | ) | ||||
Amphenol Corp. | (6,782 | ) | (343,034 | ) | ||||
Avnet, Inc. | (12,958 | ) | (560,434 | ) | ||||
Badger Meter, Inc. | (6,612 | ) | (376,355 | ) | ||||
Belden, Inc. | (43,858 | ) | (3,122,251 | ) | ||||
Benchmark Electronics, Inc.* | (67,973 | ) | (1,612,320 | ) | ||||
BlackBerry Ltd. (Canada)* | (327,369 | ) | (3,437,375 | ) | ||||
CalAmp Corp.* | (54,236 | ) | (1,045,670 | ) | ||||
Celestica, Inc. | (56,612 | ) | (621,600 | ) | ||||
Ciena Corp.* | (210,186 | ) | (3,522,717 | ) | ||||
Cognex Corp.* | (1,234 | ) | (48,817 | ) | ||||
Cray, Inc.* | (129,802 | ) | (4,498,937 | ) | ||||
Electronics For Imaging, Inc.* | (101,886 | ) | (4,658,228 | ) | ||||
FARO Technologies, Inc.* | (6,195 | ) | (346,920 | ) | ||||
Finisar Corp.* | (301,741 | ) | (5,045,110 | ) | ||||
Infinera Corp.* | (196,484 | ) | (2,854,913 | ) | ||||
Ingram Micro, Inc., | (43,231 | ) | (1,160,320 | ) | ||||
Ixia* | (155,846 | ) | (1,500,797 | ) | ||||
Jabil Circuit, Inc. | (63,674 | ) | (1,333,970 | ) | ||||
MTS Systems Corp. | (19,621 | ) | (1,295,182 | ) | ||||
Nimble Storage, Inc.* | (108,940 | ) | (2,980,598 | ) | ||||
Plantronics, Inc. | (16,612 | ) | (861,664 | ) | ||||
Plexus Corp.* | (18,295 | ) | (756,498 | ) | ||||
Riverbed Technology, Inc.* | (62,427 | ) | (1,185,489 | ) | ||||
ScanSource, Inc.* | (15,981 | ) | (610,155 | ) | ||||
Sonus Networks, Inc.* | (918,950 | ) | (3,188,757 | ) | ||||
Super Micro Computer, Inc.* | (14,385 | ) | (459,745 | ) |
The accompanying notes are an integral part of the financial statements.
40
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
SYNNEX Corp. | (89,318 | ) | $ | (6,179,019 | ) | |||
ViaSat, Inc.* | (108,712 | ) | (6,809,720 | ) | ||||
|
| |||||||
(60,690,692 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.8)% |
| |||||||
8X8, Inc.* | (323,140 | ) | (2,539,880 | ) | ||||
Arista Networks, Inc.* | (10,814 | ) | (878,638 | ) | ||||
Cogent Communications Holdings, Inc. | (80,220 | ) | (2,722,667 | ) | ||||
Iridium Communications, Inc.* | (253,425 | ) | (2,407,538 | ) | ||||
RingCentral, Inc., Class A* | (175,215 | ) | (2,302,325 | ) | ||||
SBA Communications Corp.* | (30,222 | ) | (3,394,837 | ) | ||||
Sprint Corp.* | (229,883 | ) | (1,363,206 | ) | ||||
T-Mobile US, Inc.* | (188,570 | ) | (5,504,358 | ) | ||||
tw telecom, Inc.* | (49,713 | ) | (2,126,722 | ) | ||||
United States Cellular Corp.* | (41,131 | ) | (1,497,991 | ) | ||||
|
| |||||||
(24,738,162 | ) | |||||||
|
| |||||||
Transportation — (3.2)% |
| |||||||
Allegiant Travel Co.* | (39,140 | ) | (5,224,016 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (82,438 | ) | (3,043,611 | ) | ||||
Canadian National Railway Co. | (230 | ) | (16,233 | ) | ||||
Canadian Pacific Railway Ltd. (Canada) | (2,785 | ) | (578,389 | ) | ||||
FedEx Corp. | (3,171 | ) | (530,825 | ) | ||||
Genesee & Wyoming, Inc., | (47,299 | ) | (4,550,164 | ) | ||||
Hawaiian Holdings, Inc.* | (29,354 | ) | (508,998 | ) | ||||
Heartland Express, Inc. | (131,063 | ) | (3,294,924 | ) | ||||
Hub Group, Inc., Class A* | (65,405 | ) | (2,373,547 | ) | ||||
JetBlue Airways Corp.* | (494,866 | ) | (5,710,754 | ) | ||||
Kansas City Southern | (11,675 | ) | (1,433,573 | ) | ||||
Knight Transportation, Inc. | (64,489 | ) | (1,886,948 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Marten Transport Ltd. | (33,483 | )$ | (656,936 | ) | ||||
Roadrunner Transportation Systems, Inc.* | (67,348 | ) | (1,388,042 | ) | ||||
Ryder System, Inc. | (23,188 | ) | (2,051,442 | ) | ||||
Saia, Inc.* | (9,531 | ) | (467,210 | ) | ||||
Spirit Airlines, Inc.* | (21,470 | ) | (1,569,672 | ) | ||||
Universal Truckload Services, Inc. | (12,413 | ) | (326,710 | ) | ||||
UTi Worldwide, Inc. (British Virgin Islands) | (423,793 | ) | (4,632,057 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (135,528 | ) | (2,405,622 | ) | ||||
|
| |||||||
(42,649,673 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK |
| (1,023,087,868 | ) | |||||
|
| |||||||
EXCHANGE TRADED FUNDS — (2.3)% |
| |||||||
SPDR S&P 500 ETF Trust | (152,739 | ) | (30,801,347 | ) | ||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS |
| (30,801,347 | ) | |||||
|
| |||||||
TOTAL SECURITES SOLD |
| (1,053,889,215 | ) | |||||
|
| |||||||
(Proceeds $1,025,053,475) |
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1% |
| 14,944,159 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 1,352,477,721 | |||||
|
|
* | Non-income producing. |
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | All or portion of the security is on loan. (see Note 5 of the Notes to Financial Statements) |
The accompanying notes are an integral part of the financial statements.
41
GOTHAM NEUTRAL FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS - 125.7% |
| |||||||
COMMON STOCKS — 125.7% |
| |||||||
Automobiles & Components — 4.6% |
| |||||||
Allison Transmission Holdings, Inc. | 105,205 | $ | 3,417,058 | |||||
American Axle & Manufacturing Holdings, Inc.*† | 103,383 | 1,998,393 | ||||||
Autoliv, Inc. (Sweden)(a) | 35,724 | 3,277,320 | ||||||
Cooper Tire & Rubber Co.† | 89,117 | 2,870,459 | ||||||
Dana Holding Corp.† | 326,203 | 6,674,113 | ||||||
Delphi Automotive PLC (United Kingdom)† | 61,241 | 4,224,404 | ||||||
Goodyear Tire & Rubber Co. (The) | 121,449 | 2,942,709 | ||||||
Johnson Controls, Inc.† | 4,433 | 209,459 | ||||||
Lear Corp. | 35,419 | 3,276,258 | ||||||
Magna International, Inc. (Canada)† | 43,455 | 4,289,443 | ||||||
Standard Motor Products, Inc.† | 9,031 | 356,905 | ||||||
Tenneco, Inc.*† | 75,025 | 3,928,309 | ||||||
Tower International, Inc.*† | 23,146 | 562,448 | ||||||
TRW Automotive Holdings Corp.* | 8,372 | 848,502 | ||||||
|
| |||||||
38,875,780 | ||||||||
|
| |||||||
Capital Goods — 17.6% |
| |||||||
3M Co.† | 5,860 | 901,092 | ||||||
AAON, Inc.† | 6,942 | 136,410 | ||||||
Actuant Corp., Class A† | 41,823 | 1,325,371 | ||||||
Aegion Corp.*†(a) | 62,532 | 1,145,586 | ||||||
Aerovironment, Inc.*† | 12,446 | 381,470 | ||||||
AZZ, Inc.†(a) | 25,487 | 1,191,772 | ||||||
Blount International, Inc.*†(a) | 55,321 | 846,965 | ||||||
Briggs & Stratton Corp.† | 24,447 | 494,074 | ||||||
Carlisle Cos., Inc.† | 16,078 | 1,429,013 | ||||||
Caterpillar, Inc.† | 64,335 | 6,524,212 | ||||||
Chicago Bridge & Iron Co. NV (Netherlands)† | 115,477 | 6,309,663 | ||||||
CIRCOR International, Inc.† | 2,678 | 201,252 | ||||||
Crane Co.† | 32,399 | 2,020,078 | ||||||
Curtiss-Wright Corp.† | 21,618 | 1,496,182 | ||||||
Danaher Corp.† | 22,037 | 1,771,775 | ||||||
Dover Corp.†(a) | 90,925 | 7,223,082 | ||||||
Eaton Corp. PLC | 39,668 | 2,712,895 | ||||||
EMCOR Group, Inc.†(a) | 72,886 | 3,216,459 | ||||||
Encore Wire Corp.† | 22,377 | 848,983 | ||||||
Engility Holdings, Inc.*† | 19,372 | 836,870 | ||||||
ESCO Technologies, Inc.† | 21,282 | 809,142 | ||||||
Federal Signal Corp.† | 57,022 | 809,712 | ||||||
Flowserve Corp.† | 19,590 | 1,331,924 | ||||||
Fluor Corp.†(a) | 67,258 | 4,461,896 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
General Dynamics Corp.† | 39,305 | $ | 5,493,267 | |||||
GrafTech International Ltd.*† | 73,596 | 315,727 | ||||||
Harsco Corp.† | 114,526 | 2,482,924 | ||||||
Honeywell International, Inc.† | 24,616 | 2,366,090 | ||||||
Hubbell, Inc., Class B† | 16,141 | 1,830,551 | ||||||
Huntington Ingalls Industries, Inc.† | 59,215 | 6,266,131 | ||||||
IDEX Corp.† | 48,162 | 3,607,815 | ||||||
Illinois Tool Works, Inc.†(a) | 21,557 | 1,962,765 | ||||||
KBR, Inc. | 20,001 | 381,619 | ||||||
L-3 Communications Holdings, Inc | 3,659 | 444,422 | ||||||
Lincoln Electric Holdings, Inc.† | 29,087 | 2,108,226 | ||||||
Lindsay Corp.†(a) | 34,459 | 3,022,054 | ||||||
Lockheed Martin Corp.† | 7,335 | 1,397,831 | ||||||
Manitowoc Co., Inc. (The)† | 56,475 | 1,176,939 | ||||||
Masco Corp.† | 196,167 | 4,329,406 | ||||||
Meritor, Inc.*† | 371,654 | 4,270,305 | ||||||
Moog, Inc., Class A*† | 7,037 | 538,612 | ||||||
Mueller Water Products, Inc., Class A† | 202,628 | 1,999,938 | ||||||
NCI Building Systems, Inc.*† | 31,992 | 635,681 | ||||||
Northrop Grumman Corp.† | 85 | 11,727 | ||||||
NOW, Inc.*†(a) | 114,326 | 3,436,640 | ||||||
Orbital Sciences Corp.*†(a) | 76,833 | 2,020,708 | ||||||
Pentair PLC (Ireland)† | 78,819 | 5,284,814 | ||||||
Polypore International, Inc.*† | 21,748 | 955,172 | ||||||
Precision Castparts Corp.† | 8,121 | 1,792,305 | ||||||
Roper Industries, Inc.† | 4,637 | 734,037 | ||||||
Simpson Manufacturing Co., Inc.† | 8,310 | 274,895 | ||||||
Snap-on, Inc. | 596 | 78,755 | ||||||
Spirit AeroSystems Holdings, Inc., Class A*† | 75,074 | 2,953,411 | ||||||
SPX Corp.†(a) | 79,361 | 7,522,629 | ||||||
Standex International Corp.† | 5,720 | 493,350 | ||||||
Stanley Black & Decker, Inc.† | 75,978 | 7,114,580 | ||||||
Teledyne Technologies, Inc.* | 17,769 | 1,841,401 | ||||||
Terex Corp.† | 94,385 | 2,715,456 | ||||||
Thermon Group Holdings, Inc.*† | 2,394 | 58,342 | ||||||
Timken Co. (The)† | 14,027 | 603,021 | ||||||
TriMas Corp.*† | 24,909 | 788,619 | ||||||
United Technologies Corp.† | 46,895 | 5,017,765 | ||||||
Universal Forest Products, Inc.† | 4,245 | 212,123 | ||||||
Wabash National Corp.*†(a) | 112,825 | 1,162,098 | ||||||
Watts Water Technologies, Inc., Class A† | 33,169 | 2,011,036 |
The accompanying notes are an integral part of the financial statements.
42
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
WESCO International, Inc.*(a) | 27,983 | $ | 2,306,079 | |||||
Woodward, Inc.† | 14,342 | 734,454 | ||||||
WW Grainger, Inc.† | 10,643 | 2,626,692 | ||||||
Xylem, Inc.(a) | 39,387 | 1,432,111 | ||||||
|
| |||||||
147,238,401 | ||||||||
|
| |||||||
Commercial & Professional Services — 7.1% |
| |||||||
ACCO Brands Corp.*† | 261,513 | 2,152,252 | ||||||
Brink’s Co. (The)† | 70,530 | 1,481,130 | ||||||
Cintas Corp.† | 51,699 | 3,786,435 | ||||||
Copart, Inc.*† | 128,572 | 4,299,448 | ||||||
Corporate Executive Board Co. (The) . | 4,086 | 301,138 | ||||||
Deluxe Corp.† | 7,343 | 446,454 | ||||||
Dun & Bradstreet Corp. (The)† | 1 | 123 | ||||||
Equifax, Inc. | 5,674 | 429,749 | ||||||
Exponent, Inc.† | 5,250 | 419,055 | ||||||
G & K Services, Inc., Class A | 72 | 4,541 | ||||||
HNI Corp.†(a) | 5,128 | 239,221 | ||||||
Huron Consulting Group, Inc.* | 11,523 | 802,116 | ||||||
Korn Ferry International*† | 20,738 | 579,212 | ||||||
Manpowergroup, Inc.† | 119,591 | 7,982,699 | ||||||
On Assignment, Inc.*† | 51,569 | 1,500,658 | ||||||
Pitney Bowes, Inc.† | 292,265 | 7,230,636 | ||||||
Progressive Waste Solutions Ltd. (Canada) | 20,770 | 607,107 | ||||||
Quad/Graphics, Inc.† | 1,063 | 23,439 | ||||||
Republic Services, Inc.† | 18,569 | 713,050 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada)† | 51,411 | 1,253,914 | ||||||
Robert Half International, Inc.† | 66,561 | 3,646,212 | ||||||
RPX Corp.*† | 50,417 | 708,359 | ||||||
ServiceMaster Global Holdings, Inc.*† | 13,543 | 324,761 | ||||||
Steelcase, Inc., Class A† | 19,232 | 340,791 | ||||||
Team, Inc.*†(a) | 16,893 | 711,871 | ||||||
Towers Watson & Co., Class A† | 50,192 | 5,535,676 | ||||||
TrueBlue, Inc.*† | 18,385 | 454,477 | ||||||
Tyco International Ltd. (Switzerland)† | 124,602 | 5,349,164 | ||||||
UniFirst Corp.† | 13,656 | 1,523,463 | ||||||
United Stationers, Inc.† | 18,834 | 786,696 | ||||||
Verisk Analytics, Inc., Class A* | 13,704 | 854,444 | ||||||
Waste Connections, Inc.†(a) | 29,401 | 1,467,110 | ||||||
Waste Management, Inc. | 61,819 | 3,022,331 | ||||||
West Corp.† | 12,883 | 412,256 | ||||||
|
| |||||||
59,389,988 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — 3.6% |
| |||||||
Coach, Inc. | 8,402 | $ | 288,861 | |||||
Columbia Sportswear Co.† | 35,941 | 1,385,166 | ||||||
Deckers Outdoor Corp.*† | 29,509 | 2,580,857 | ||||||
Ethan Allen Interiors, Inc.† | 23,125 | 654,438 | ||||||
Garmin Ltd. (Switzerland) | 53,843 | 2,987,210 | ||||||
G-III Apparel Group Ltd.*† | 161 | 12,775 | ||||||
Harman International Industries, Inc.† | 1,101 | 118,181 | ||||||
lululemon athletica, Inc.*(a) | 44,564 | 1,856,091 | ||||||
NVR, Inc.*† | 3,051 | 3,745,347 | ||||||
PVH Corp.† | 38,736 | 4,429,462 | ||||||
Skechers U.S.A., Inc., Class A*(a) | 6,483 | 354,944 | ||||||
Steven Madden, Ltd.*†(a) | 122,824 | 3,850,532 | ||||||
Sturm Ruger & Co., Inc.(a) | 3,000 | 125,040 | ||||||
Tupperware Brands Corp.†(a) | 40,775 | 2,599,406 | ||||||
Universal Electronics, Inc.*† | 16,942 | 963,830 | ||||||
Vera Bradley, Inc.*(a) | 109,946 | 2,506,769 | ||||||
Wolverine World Wide, Inc.(a) | 71,958 | 1,952,940 | ||||||
|
| |||||||
30,411,849 | ||||||||
|
| |||||||
Consumer Services — 4.3% |
| |||||||
American Public Education, Inc.*† | 17,478 | 541,643 | ||||||
Apollo Education Group, Inc.*† | 62,088 | 1,779,442 | ||||||
Boyd Gaming Corp.* | 28,476 | 328,898 | ||||||
Capella Education Co.† | 5,437 | 384,613 | ||||||
Darden Restaurants, Inc.† | 29,978 | 1,552,261 | ||||||
DeVry Education Group, Inc.† | 13,106 | 634,461 | ||||||
DineEquity, Inc.† | 28,886 | 2,569,699 | ||||||
Graham Holdings Co., Class B† | 1,512 | 1,184,803 | ||||||
Hillenbrand, Inc.†(a) | 47,540 | 1,582,607 | ||||||
Interval Leisure Group, Inc.† | 50,755 | 1,067,885 | ||||||
Jack in the Box, Inc.† | 31,971 | 2,271,220 | ||||||
K12, Inc.*† | 15,795 | 195,858 | ||||||
Las Vegas Sands Corp.† | 95,874 | 5,969,115 | ||||||
Matthews International Corp., Class A†(a) | 30,468 | 1,403,965 | ||||||
Multimedia Games Holding Co., Inc.*† | 7,313 | 255,224 | ||||||
Royal Caribbean Cruises, Ltd. (Liberia)† | 18,629 | 1,266,213 | ||||||
SeaWorld Entertainment, Inc.† | 327,870 | 6,308,219 | ||||||
Speedway Motorsports, Inc.† | 7,285 | 142,567 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 2,666 | 204,376 | ||||||
Strayer Education, Inc.*†(a) | 2,546 | 186,342 | ||||||
Weight Watchers International, Inc.(a) | 72,457 | 1,887,505 |
The accompanying notes are an integral part of the financial statements.
43
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Wyndham Worldwide Corp.† | 60,756 | $ | 4,718,919 | |||||
|
| |||||||
36,435,835 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.3% |
| |||||||
Rite Aid Corp.*† | 1,638,591 | 8,602,603 | ||||||
SUPERVALU, Inc.*†(a) | 700,508 | 6,045,384 | ||||||
Sysco Corp.† | 6,562 | 252,899 | ||||||
Wal-Mart Stores, Inc. | 51,244 | 3,908,380 | ||||||
Weis Markets, Inc.†(a) | 4,323 | 192,979 | ||||||
|
| |||||||
19,002,245 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 10.1% |
| |||||||
Altria Group, Inc.† | 556 | 26,877 | ||||||
Archer-Daniels-Midland Co.† | 192,486 | 9,046,842 | ||||||
Bunge, Ltd. (Bermuda)† | 108,413 | 9,610,813 | ||||||
Coca-Cola Co. (The)† | 47,363 | 1,983,562 | ||||||
ConAgra Foods, Inc.†(a) | 189,566 | 6,511,592 | ||||||
Cott Corp. (Canada)† | 43,033 | 261,210 | ||||||
Dr Pepper Snapple Group, Inc.† | 104,637 | 7,246,112 | ||||||
Ingredion, Inc.† | 64,022 | 4,945,700 | ||||||
Kellogg Co.† | 81,070 | 5,185,237 | ||||||
Keurig Green Mountain, Inc.† | 2,869 | 435,371 | ||||||
Lancaster Colony Corp.† | 9,961 | 911,332 | ||||||
Lorillard, Inc.† | 62,738 | 3,858,387 | ||||||
Monster Beverage Corp.*† | 13,729 | 1,384,982 | ||||||
National Beverage Corp.*† | 4,979 | 125,072 | ||||||
PepsiCo, Inc.† | 28,262 | 2,717,957 | ||||||
Philip Morris International, Inc.† | 57,084 | 5,081,047 | ||||||
Pilgrim’s Pride Corp.*†(a) | 232,019 | 6,591,660 | ||||||
Sanderson Farms, Inc.†(a) | 100,242 | 8,418,323 | ||||||
Snyder’s-Lance, Inc.† | 10,207 | 304,067 | ||||||
Tyson Foods, Inc., Class A†(a) | 123,304 | 4,975,316 | ||||||
Vector Group, Ltd.†(a) | 220,702 | 4,930,483 | ||||||
|
| |||||||
84,551,942 | ||||||||
|
| |||||||
Health Care Equipment & Services — 6.6% |
| |||||||
Abaxis, Inc.†(a) | 39,550 | 2,082,703 | ||||||
ABIOMED, Inc.*(a) | 4,771 | 156,441 | ||||||
Align Technology, Inc.*† | 78,306 | 4,120,462 | ||||||
AmerisourceBergen Corp. | 17,023 | 1,453,934 | ||||||
Amsurg Corp.*† | 36,468 | 1,969,637 | ||||||
Anika Therapeutics, Inc.*† | 46,582 | 1,869,801 | ||||||
Cardinal Health, Inc.† | 20,031 | 1,572,033 | ||||||
CareFusion Corp.*† | 66,990 | 3,843,216 | ||||||
Catamaran Corp. (Canada)* | 2,249 | 107,210 | ||||||
Chemed Corp.†(a) | 1,382 | 142,844 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Computer Programs & Systems, Inc.† | 8,000 | $ | 503,840 | |||||
CorVel Corp.*† | 6,842 | 235,502 | ||||||
Cyberonics, Inc.*† | 34,018 | 1,785,945 | ||||||
DaVita HealthCare Partners, Inc.*† | 1,568 | 122,414 | ||||||
DENTSPLY International, Inc.† | 81,005 | 4,112,624 | ||||||
Edwards Lifesciences Corp.*† | 22,100 | 2,672,332 | ||||||
Express Scripts Holding Co.*† | 15,894 | 1,220,977 | ||||||
Globus Medical, Inc., | 59,788 | 1,325,500 | ||||||
Greatbatch, Inc.*† | 36,674 | 1,840,668 | ||||||
Hill-Rom Holdings, Inc.† | 1,025 | 45,592 | ||||||
ICU Medical, Inc.*† | 15,606 | 1,106,465 | ||||||
Integra LifeSciences Holdings Corp.*† | 11,256 | 575,294 | ||||||
Kindred Healthcare, Inc.†(a) | 32,225 | 700,894 | ||||||
Laboratory Corp. of America Holdings*† | 16,878 | 1,844,597 | ||||||
Masimo Corp.* | 860 | 21,706 | ||||||
MEDNAX, Inc.*† | 59,293 | 3,701,662 | ||||||
Meridian Bioscience, Inc.†(a) | 5,205 | 96,501 | ||||||
Natus Medical, Inc.*† | 55,972 | 1,903,048 | ||||||
PharMerica Corp.*† | 23,317 | 668,965 | ||||||
Quality Systems, Inc.† | 88,329 | 1,334,651 | ||||||
Quest Diagnostics, Inc.(a) | 7,061 | 448,091 | ||||||
Select Medical Holdings Corp.† | 28,079 | 404,899 | ||||||
Teleflex, Inc.† | 27,985 | 3,193,648 | ||||||
Thoratec Corp.*† | 32,109 | 872,723 | ||||||
Universal Health Services, Inc., Class B† | 18,403 | 1,908,575 | ||||||
Varian Medical Systems, Inc.*† | 62,827 | 5,285,007 | ||||||
|
| |||||||
55,250,401 | ||||||||
|
| |||||||
Household & Personal Products — 3.4% |
| |||||||
Avon Products, Inc.† | 820,062 | 8,528,645 | ||||||
Clorox Co. (The)† | 19,596 | 1,949,802 | ||||||
Coty, Inc., Class A†(a) | 28,113 | 466,676 | ||||||
Energizer Holdings, Inc.† | 70,514 | 8,648,542 | ||||||
Inter Parfums, Inc.† | 23,921 | 679,356 | ||||||
Kimberly-Clark Corp.† | 61,470 | 7,024,177 | ||||||
Procter & Gamble Co. (The)† | 17,483 | 1,525,741 | ||||||
|
| |||||||
28,822,939 | ||||||||
|
| |||||||
Media — 4.0% |
| |||||||
Cinemark Holdings, Inc.† | 38,642 | 1,364,835 | ||||||
Clear Channel Outdoor Holdings, Inc., Class A | 8,269 | 60,033 | ||||||
Comcast Corp., Class A† | 39,851 | 2,205,753 |
The accompanying notes are an integral part of the financial statements.
44
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Crown Media Holdings, Inc., | 5,549 | $ | 19,366 | |||||
DIRECTV*† | 70,241 | 6,096,216 | ||||||
Interpublic Group of Cos, Inc. (The)† | 171,530 | 3,325,967 | ||||||
Loral Space & Communications, Inc.*† | 11,444 | 875,466 | ||||||
Morningstar, Inc.(a) | 5,253 | 358,517 | ||||||
New York Times Co. (The), Class A† | 133,131 | 1,709,402 | �� | |||||
News Corp., Class A*† | 262,187 | 4,058,655 | ||||||
Nexstar Broadcasting Group, Inc., Class A†(a) | 65,623 | 2,960,910 | ||||||
Omnicom Group, Inc.†(a) | 89,740 | 6,448,716 | ||||||
Starz, Class A*† | 4,007 | 123,816 | ||||||
Time, Inc.*†(a) | 168,369 | 3,803,456 | ||||||
Viacom, Inc., Class B† | 5,610 | 407,735 | ||||||
|
| |||||||
33,818,843 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 8.6% |
| |||||||
Agilent Technologies, Inc.† | 79,877 | 4,415,601 | ||||||
Biogen Idec, Inc.*† | 2,979 | 956,497 | ||||||
Bio-Rad Laboratories, Inc., | 5,170 | 583,279 | ||||||
Bruker Corp.*† | 163,115 | 3,381,374 | ||||||
Covance, Inc.*† | 86,889 | 6,942,431 | ||||||
Depomed, Inc.*† | 99,742 | 1,536,027 | ||||||
Enanta Pharmaceuticals, | 60,899 | 2,618,657 | ||||||
Gilead Sciences, Inc.*† | 56,374 | 6,313,888 | ||||||
Johnson & Johnson† | 73,207 | 7,890,251 | ||||||
Lannett Co., Inc.*(a) | 4,167 | 236,352 | ||||||
Ligand Pharmaceuticals, | 23,340 | 1,290,002 | ||||||
Luminex Corp.* | 9,310 | 176,890 | ||||||
Mallinckrodt PLC (Ireland)*† | 4,089 | 376,924 | ||||||
Mettler-Toledo International, Inc.*† | 15,470 | 3,998,531 | ||||||
Myriad Genetics, Inc.*(a) | 146,450 | 5,783,311 | ||||||
PAREXEL International Corp.*† | 101,804 | 5,528,975 | ||||||
PerkinElmer, Inc.† | 27,477 | 1,193,051 | ||||||
Pfizer, Inc.† | 122,771 | 3,676,991 | ||||||
Prestige Brands Holdings, Inc.*† | 62,508 | 2,214,033 | ||||||
Quintiles Transnational Holdings, Inc.*† | 47,724 | 2,793,763 | ||||||
United Therapeutics Corp.*† | 31,413 | 4,114,161 | ||||||
Valeant Pharmaceuticals International, Inc. | 32,104 | 4,271,116 | ||||||
Waters Corp.*† | 16,352 | 1,811,802 | ||||||
|
| |||||||
72,103,907 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — 15.6% |
| |||||||
Abercrombie & Fitch Co., | 214,180 | $ | 7,170,746 | |||||
ANN INC*† | 46,784 | 1,796,038 | ||||||
AutoNation, Inc.* | 26,337 | 1,508,057 | ||||||
Bed Bath & Beyond, Inc.*†(a) | 83,917 | 5,650,971 | ||||||
Best Buy Co., Inc.† | 41,493 | 1,416,571 | ||||||
Big Lots, Inc.† | 52,397 | 2,391,923 | ||||||
Brown Shoe Co., Inc.†(a) | 60,212 | 1,601,037 | ||||||
Buckle, Inc. (The)†(a) | 65,513 | 3,231,756 | ||||||
Burlington Stores, Inc.*† | 38,633 | 1,620,268 | ||||||
Cato Corp. (The), Class A† | 36,343 | 1,296,355 | ||||||
Chico’s FAS, Inc. | 14,593 | 220,062 | ||||||
Children’s Place, Inc. (The)†(a) | 38,853 | 1,913,510 | ||||||
Core-Mark Holding Co., Inc.† | 18,392 | 1,067,288 | ||||||
Dick’s Sporting Goods, Inc.† | 71,536 | 3,245,588 | ||||||
Dillard’s, Inc., Class A† | 44,400 | 4,695,744 | ||||||
Dollar General Corp.*† | 6,963 | 436,371 | ||||||
Dollar Tree, Inc.*† | 43,693 | 2,646,485 | ||||||
DSW, Inc., Class A† | 108,561 | 3,218,834 | ||||||
Foot Locker, Inc.† | 46,554 | 2,607,490 | ||||||
GameStop Corp., Class A(a) | 113,020 | 4,832,735 | ||||||
Gap, Inc. (The)† | 185,118 | 7,014,121 | ||||||
GNC Holdings, Inc., Class A† | 15,982 | 664,372 | ||||||
Group 1 Automotive, Inc.† | 9,024 | 770,920 | ||||||
Guess?, Inc.† | 231,736 | 5,137,587 | ||||||
Haverty Furniture Cos., Inc.† | 14,519 | 319,563 | ||||||
Hibbett Sports, Inc.*(a) | 83,469 | 3,788,658 | ||||||
Home Depot, Inc. (The)† | 393 | 38,325 | ||||||
HSN, Inc.† | 1,628 | 107,562 | ||||||
Kohl’s Corp.† | 115,129 | 6,242,294 | ||||||
Lands’ End, Inc.*†(a) | 88,657 | 4,208,548 | ||||||
Liberty Interactive Corp., Class A*† | 14,243 | 372,312 | ||||||
Lithia Motors, Inc., Class A† | 12,978 | 1,007,352 | ||||||
Lowe’s Cos., Inc.† | 75,024 | 4,291,373 | ||||||
Macy’s, Inc.† | 89,292 | 5,162,863 | ||||||
Michaels Cos., Inc. (The)*†(a) | 95,687 | 1,749,158 | ||||||
Murphy USA, Inc.*† | 43,239 | 2,477,595 | ||||||
Outerwall, Inc.*† | 127,480 | 8,065,660 | ||||||
PetSmart, Inc.†(a) | 53,858 | 3,896,626 | ||||||
Ross Stores, Inc.† | 43,115 | 3,480,243 | ||||||
Sally Beauty Holdings, Inc.*† | 95,798 | 2,807,839 | ||||||
Target Corp.† | 61,188 | 3,782,642 | ||||||
TJX Cos., Inc. (The)† | 50,114 | 3,173,218 | ||||||
Tractor Supply Co.† | 5,436 | 398,024 | ||||||
Urban Outfitters, Inc.*† | 237,981 | 7,225,103 |
The accompanying notes are an integral part of the financial statements.
45
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Zumiez, Inc.*†(a) | 51,005 | $ | 1,702,547 | |||||
|
| |||||||
130,452,334 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.2% |
| |||||||
Advanced Energy Industries, Inc.*† | 55,270 | 1,093,241 | ||||||
Altera Corp.†(a) | 52,648 | 1,809,512 | ||||||
Atmel Corp.*† | 333,427 | 2,474,028 | ||||||
Cirrus Logic, Inc.*† | 111,123 | 2,144,674 | ||||||
Diodes, Inc.*† | 5,954 | 153,792 | ||||||
Fairchild Semiconductor International, Inc.*† | 395,282 | 6,067,579 | ||||||
Integrated Device Technology, Inc.*† | 118,242 | 1,940,351 | ||||||
Intel Corp.† | 38,784 | 1,319,044 | ||||||
International Rectifier Corp.*† | 69,095 | 2,747,908 | ||||||
Intersil Corp., Class A† | 58,453 | 776,840 | ||||||
Lattice Semiconductor Corp.*† | 184,350 | 1,236,989 | ||||||
Linear Technology Corp | 97,665 | 4,183,969 | ||||||
Marvell Technology Group Ltd. (Bermuda)† | 393,064 | 5,282,780 | ||||||
Micron Technology, Inc.*† | 131,177 | 4,340,647 | ||||||
MKS Instruments, Inc.† | 59,105 | 2,151,422 | ||||||
OmniVision Technologies, Inc.*† | 186,238 | 4,987,454 | ||||||
Semtech Corp.* | 10,428 | 264,663 | ||||||
Silicon Laboratories, Inc.*† | 1,628 | 74,221 | ||||||
Skyworks Solutions, Inc.† | 11,155 | 649,667 | ||||||
Teradyne, Inc.† | 85,055 | 1,565,012 | ||||||
Tessera Technologies, Inc. | 16,397 | 498,305 | ||||||
Texas Instruments, Inc. | 126,134 | 6,263,814 | ||||||
|
| |||||||
52,025,912 | ||||||||
|
| |||||||
Software & Services — 14.9% |
| |||||||
Accenture PLC, Class A | 61,165 | 4,961,705 | ||||||
ACI Worldwide, Inc.*† | 108,467 | 2,086,905 | ||||||
Activision Blizzard, Inc.† | 88,417 | 1,763,919 | ||||||
Acxiom Corp.*† | 133,917 | 2,522,996 | ||||||
Advent Software, Inc.†(a) | 9,095 | 314,323 | ||||||
Amdocs, Ltd. (Channel | 28,100 | 1,335,874 | ||||||
ANSYS, Inc.*† | 10,415 | 818,202 | ||||||
Aspen Technology, Inc.*† | 71,402 | 2,636,876 | ||||||
AVG Technologies NV (Netherlands)*† | 81,943 | 1,468,419 | ||||||
Blackhawk Network Holdings, Inc., Class B*† | 15 | 501 | ||||||
Booz Allen Hamilton Holding Corp.† | 91,877 | 2,420,959 | ||||||
Broadridge Financial Solutions, Inc.† | 91,390 | 4,014,763 | ||||||
CA, Inc.† | 133,991 | 3,893,778 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
CACI International, Inc., | 15,194 | $ | 1,250,314 | |||||
CGI Group, Inc., Class A (Canada)*† . | 41,261 | 1,417,315 | ||||||
Computer Sciences Corp.† | 104,088 | 6,286,915 | ||||||
Conversant, Inc.*† | 112,326 | 3,959,492 | ||||||
DST Systems, Inc.† | 32,429 | 3,124,534 | ||||||
Electronic Arts, Inc.* | 102,151 | 4,185,127 | ||||||
IAC/InterActiveCorp.† | 53,629 | 3,630,147 | ||||||
International Business Machines Corp.† | 42,033 | 6,910,225 | ||||||
j2 Global, Inc.(a) | 6,591 | 356,507 | ||||||
Jack Henry & Associates, Inc.† | 56,467 | 3,377,856 | ||||||
Leidos Holdings, Inc.† | 79,429 | 2,904,719 | ||||||
MAXIMUS, Inc.† | 35,850 | 1,737,291 | ||||||
Microsoft Corp | 41,742 | 1,959,787 | ||||||
NetScout Systems, Inc.*† | 56,087 | 2,067,367 | ||||||
NeuStar, Inc., Class A*† | 193,828 | 5,118,998 | ||||||
NIC, Inc.† | 52,420 | 966,101 | ||||||
Oracle Corp.† | 169,427 | 6,616,124 | ||||||
Pegasystems, Inc.† | 28,738 | 622,752 | ||||||
Progress Software Corp.*† | 51,601 | 1,336,466 | ||||||
Rovi Corp.*†(a) | 138,120 | 2,883,946 | ||||||
Science Applications International Corp.† | 42,945 | 2,100,440 | ||||||
Stamps.com, Inc.*† | 2,920 | 107,748 | ||||||
Sykes Enterprises, Inc.*† | 38,239 | 823,668 | ||||||
Symantec Corp.† | 161,300 | 4,003,466 | ||||||
Take-Two Interactive Software, Inc.*†(a) | 236,441 | 6,253,865 | ||||||
TeleTech Holdings, Inc.*† | 5,310 | 137,051 | ||||||
Teradata Corp.*†(a) | 149,649 | 6,333,146 | ||||||
TiVo, Inc.*† | 234,771 | 3,063,762 | ||||||
VeriSign, Inc.*(a) | 59,845 | 3,576,337 | ||||||
Virtusa Corp.*† | 4,018 | 164,658 | ||||||
Western Union Co. (The)(a) | 331,149 | 5,616,287 | ||||||
Xerox Corp.† | 290,765 | 3,861,359 | ||||||
|
| |||||||
124,992,990 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 11.3% |
| |||||||
Anixter International, Inc.† | 17,929 | 1,527,013 | ||||||
Apple, Inc.† | 5,427 | 586,116 | ||||||
ARRIS Group, Inc.*† | 148,975 | 4,472,230 | ||||||
Arrow Electronics, Inc.*† | 79,583 | 4,525,089 | ||||||
AVX Corp.† | 40,921 | 590,899 | ||||||
Brocade Communications Systems, Inc.† | 657,208 | 7,051,842 |
The accompanying notes are an integral part of the financial statements.
46
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
CDW Corp.† | 91,074 | $ | 2,808,722 | |||||
Cisco Systems, Inc.† | 143,246 | 3,505,230 | ||||||
CommScope Holding Co., Inc.*† | 121,927 | 2,626,308 | ||||||
Corning, Inc. | 176,470 | 3,605,282 | ||||||
Dolby Laboratories, Inc., | 60,113 | 2,519,937 | ||||||
FLIR Systems, Inc.† | 81,787 | 2,742,318 | ||||||
Harris Corp.† | 24,409 | 1,698,866 | ||||||
Hewlett-Packard Co.† | 33,185 | 1,190,678 | ||||||
Insight Enterprises, Inc.*† | 29,432 | 669,578 | ||||||
InterDigital, Inc.†(a) | 15,242 | 753,412 | ||||||
IPG Photonics Corp.*(a) | 16,941 | 1,243,639 | ||||||
Itron, Inc.*† | 57,579 | 2,241,550 | ||||||
Juniper Networks, Inc.† | 341,034 | 7,185,586 | ||||||
Lexmark International, Inc., Class A† | 2,538 | 109,540 | ||||||
Methode Electronics, Inc.† | 41,155 | 1,620,684 | ||||||
National Instruments Corp. | 3,252 | 103,023 | ||||||
NCR Corp.*†(a) | 183,948 | 5,089,841 | ||||||
NetApp, Inc.† | 58,233 | 2,492,372 | ||||||
NETGEAR, Inc.* | 605 | 20,594 | ||||||
Newport Corp.*† | 19,954 | 356,977 | ||||||
OSI Systems, Inc.*† | 43,845 | 3,107,734 | ||||||
Polycom, Inc.*† | 331,304 | 4,333,456 | ||||||
QUALCOMM, Inc.† | 379 | 29,755 | ||||||
Rogers Corp.*† | 18,075 | 1,235,788 | ||||||
Ruckus Wireless, Inc.*† | 189,616 | 2,461,216 | ||||||
SanDisk Corp.†(a) | 34,121 | 3,212,151 | ||||||
Sanmina Corp.*† | 130,084 | 3,261,206 | ||||||
TE Connectivity Ltd. (Switzerland) | 57,674 | 3,525,612 | ||||||
Vishay Intertechnology, | 275,811 | 3,726,207 | ||||||
Western Digital Corp.† | 48,539 | 4,774,781 | ||||||
Zebra Technologies Corp., Class A*† | 44,452 | 3,278,335 | ||||||
|
| |||||||
94,283,567 | ||||||||
|
| |||||||
Telecommunication Services — 3.3% |
| |||||||
AT&T, Inc.(a) | 114,387 | 3,985,243 | ||||||
Atlantic Tele-Network, Inc.† | 13,344 | 896,583 | ||||||
BCE, Inc. (Canada)† | 21,879 | 972,959 | ||||||
CenturyLink, Inc.† | 109,842 | 4,556,246 | ||||||
Cincinnati Bell, Inc.*† | 184,201 | 676,018 | ||||||
Frontier Communications Corp.†(a) | 835,329 | 5,463,052 | ||||||
Intelsat SA (Luxembourg)*† | 47,340 | 921,236 | ||||||
Premiere Global Services, Inc.*† | 1,969 | 20,615 | ||||||
Verizon Communications, Inc.† | 84,705 | 4,256,426 | ||||||
Vonage Holdings Corp.*† | 2,485 | 8,648 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — (Continued) |
| |||||||
Windstream Holdings, Inc.† | 524,252 | $ | 5,494,161 | |||||
|
| |||||||
27,251,187 | ||||||||
|
| |||||||
Transportation — 2.2% |
| |||||||
CH Robinson Worldwide, Inc. | 857 | 59,313 | ||||||
Con-way, Inc.†(a) | 130,619 | 5,664,946 | ||||||
Delta Air Lines, Inc.† | 128,536 | 5,171,003 | ||||||
Matson, Inc.†(a) | 31,653 | 901,794 | ||||||
Norfolk Southern Corp.† | 25,155 | 2,783,149 | ||||||
Southwest Airlines Co.† | 56,300 | 1,941,224 | ||||||
United Continental Holdings, Inc.* | 10,940 | 577,741 | ||||||
United Parcel Service, Inc., Class B† | 8,978 | 941,882 | ||||||
Werner Enterprises, Inc.(a) | 3,610 | 99,419 | ||||||
|
| |||||||
18,140,471 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,053,048,591 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 125.7% |
| 1,053,048,591 | ||||||
|
| |||||||
SHORT POSITIONS - (99.0)% |
| |||||||
COMMON STOCKS — (99.0)% |
| |||||||
Automobiles & Components — (0.4)% |
| |||||||
Cooper-Standard Holding, Inc.* | (5,735 | ) | (313,016 | ) | ||||
Dorman Products, Inc.* | (28,837 | ) | (1,336,883 | ) | ||||
Drew Industries, Inc. | (1,461 | ) | (70,216 | ) | ||||
Federal-Mogul Holdings Corp.* | (13,030 | ) | (203,398 | ) | ||||
Harley-Davidson, Inc. | (2,473 | ) | (162,476 | ) | ||||
Superior Industries International, Inc. | (3,547 | ) | (69,202 | ) | ||||
Tesla Motors, Inc.* | (3,776 | ) | (912,659 | ) | ||||
|
| |||||||
(3,067,850 | ) | |||||||
|
| |||||||
Capital Goods — (9.8)% |
| |||||||
Altra Industrial Motion Corp. | (11,041 | ) | (348,012 | ) | ||||
Apogee Enterprises, Inc. | (33,050 | ) | (1,450,895 | ) | ||||
Applied Industrial Technologies, Inc. | (36,078 | ) | (1,760,967 | ) | ||||
Armstrong World Industries, Inc.* | (39,234 | ) | (1,899,710 | ) | ||||
Astec Industries, Inc. | (18,411 | ) | (697,961 | ) | ||||
Astronics Corp.* | (17,572 | ) | (910,405 | ) | ||||
Babcock & Wilcox Co. (The) | (176,536 | ) | (5,048,930 | ) | ||||
Barnes Group, Inc. | (16,508 | ) | (603,532 | ) | ||||
Beacon Roofing Supply, Inc.* | (111,251 | ) | (3,078,315 | ) | ||||
Boeing Co. (The) | (35,719 | ) | (4,461,660 | ) | ||||
Brady Corp., Class A | (43,119 | ) | (1,027,957 | ) | ||||
CAE, Inc. (Canada) | (7,935 | ) | (102,520 | ) |
The accompanying notes are an integral part of the financial statements.
47
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
CLARCOR, Inc. | (38,495 | ) | $ | (2,577,625 | ) | |||
Continental Building Products, Inc.* | (7,595 | ) | (111,950 | ) | ||||
Cubic Corp. | (28,414 | ) | (1,370,691 | ) | ||||
DigitalGlobe, Inc.* | (57,951 | ) | (1,656,819 | ) | ||||
Dycom Industries, Inc.* | (53,739 | ) | (1,686,867 | ) | ||||
EnerSys | (18,710 | ) | (1,174,988 | ) | ||||
EnPro Industries, Inc.* | (37,405 | ) | (2,413,745 | ) | ||||
Esterline Technologies Corp.* | (4,176 | ) | (489,051 | ) | ||||
Franklin Electric Co., Inc. | (31,168 | ) | (1,163,813 | ) | ||||
Gorman-Rupp Co. (The) | (9,622 | ) | (305,402 | ) | ||||
Granite Construction, Inc. | (28,241 | ) | (1,042,375 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (11,954 | ) | (938,269 | ) | ||||
II-VI, Inc.* | (59,707 | ) | (805,447 | ) | ||||
ITT Corp. | (870 | ) | (39,202 | ) | ||||
John Bean Technologies Corp. | (937 | ) | (28,082 | ) | ||||
Kaman Corp. | (15,776 | ) | (679,315 | ) | ||||
Kennametal, Inc. | (112,655 | ) | (4,349,610 | ) | ||||
Lennox International, Inc. | (36,373 | ) | (3,234,287 | ) | ||||
MasTec, Inc.* | (143,512 | ) | (4,110,184 | ) | ||||
Middleby Corp. (The)* | (6,760 | ) | (598,260 | ) | ||||
MRC Global, Inc.* | (107,002 | ) | (2,250,252 | ) | ||||
Mueller Industries, Inc. | (43,811 | ) | (1,422,105 | ) | ||||
Nortek, Inc.* | (7,300 | ) | (607,944 | ) | ||||
Oshkosh Corp. | (30,515 | ) | (1,365,851 | ) | ||||
Powell Industries, Inc. | (5,970 | ) | (271,814 | ) | ||||
Power Solutions International, Inc.* | (15,475 | ) | (1,013,613 | ) | ||||
Primoris Services Corp. | (7,213 | ) | (207,157 | ) | ||||
Rexnord Corp.* | (39,436 | ) | (1,165,334 | ) | ||||
Rockwell Collins, Inc. | (30,470 | ) | (2,564,051 | ) | ||||
Sensata Technologies Holding NV (Netherlands)* | (101,491 | ) | (4,953,776 | ) | ||||
SolarCity Corp.* | (71,806 | ) | (4,249,479 | ) | ||||
Sun Hydraulics Corp. | (309 | ) | (12,301 | ) | ||||
TAL International Group, Inc. | (22,138 | ) | (954,812 | ) | ||||
Taser International, Inc.* | (118,893 | ) | (2,239,944 | ) | ||||
Textainer Group Holdings Ltd. (Bermuda) | (10,751 | ) | (370,264 | ) | ||||
Titan International, Inc. | (100,832 | ) | (1,064,786 | ) | ||||
Triumph Group, Inc. | (31,237 | ) | (2,175,032 | ) | ||||
Tutor Perini Corp.* | (46,231 | ) | (1,294,930 | ) | ||||
WABCO Holdings, Inc.* | (17,827 | ) | (1,735,993 | ) | ||||
Wabtec Corp. | (21,695 | ) | (1,872,279 | ) | ||||
|
| |||||||
(81,958,563 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (2.1)% |
| |||||||
Acacia Research Corp. | (43,588 | ) | $ | (784,584 | ) | |||
Advisory Board Co. (The)* | (73,197 | ) | (3,928,483 | ) | ||||
Covanta Holding Corp. | (2,257 | ) | (49,812 | ) | ||||
Healthcare Services Group, Inc. | (32,458 | ) | (966,599 | ) | ||||
Herman Miller, Inc. | (78,887 | ) | (2,524,384 | ) | ||||
ICF International, Inc.* | (6,159 | ) | (223,818 | ) | ||||
Interface, Inc. | (58,911 | ) | (944,343 | ) | ||||
Kelly Services, Inc., Class A | (23,418 | ) | (412,859 | ) | ||||
Kforce, Inc. | (41,495 | ) | (960,609 | ) | ||||
Kimball International, Inc., Class B | (1,896 | ) | (24,233 | ) | ||||
Mistras Group, Inc.* | (1,551 | ) | (25,576 | ) | ||||
Paylocity Corp.* | (9,416 | ) | (230,692 | ) | ||||
Stericycle, Inc.* | (938 | ) | (118,188 | ) | ||||
US Ecology, Inc. | (44,291 | ) | (2,226,951 | ) | ||||
WageWorks, Inc.* | (81,796 | ) | (4,663,190 | ) | ||||
|
| |||||||
(18,084,321 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (4.5)% |
| |||||||
Callaway Golf Co. | (19,743 | ) | (154,785 | ) | ||||
Carter’s, Inc. | (1,076 | ) | (84,068 | ) | ||||
Crocs, Inc.* | (99,643 | ) | (1,163,830 | ) | ||||
DR Horton, Inc. | (190,484 | ) | (4,341,130 | ) | ||||
Gildan Activewear, Inc. (Canada) | (40,751 | ) | (2,429,982 | ) | ||||
Hanesbrands, Inc. | (36,321 | ) | (3,835,861 | ) | ||||
Hovnanian Enterprises, Inc., Class A* . | (290,350 | ) | (1,091,716 | ) | ||||
Kate Spade & Co.* | (93,313 | ) | (2,531,582 | ) | ||||
KB Home | (375,764 | ) | (5,914,525 | ) | ||||
MDC Holdings, Inc. | (171,763 | ) | (4,194,452 | ) | ||||
Meritage Homes Corp.* | (123,385 | ) | (4,539,334 | ) | ||||
Performance Sports Group Ltd. (Canada)* | (16,300 | ) | (280,849 | ) | ||||
Ryland Group, Inc. (The) | (74,400 | ) | (2,664,264 | ) | ||||
Standard Pacific Corp.* | (309,386 | ) | (2,289,456 | ) | ||||
Taylor Morrison Home Corp., Class A* | (48,516 | ) | (836,416 | ) | ||||
Under Armour, Inc., Class A* | (1,978 | ) | (129,717 | ) | ||||
William Lyon Homes, | (38,653 | ) | (914,530 | ) | ||||
|
| |||||||
(37,396,497 | ) | |||||||
|
| |||||||
Consumer Services — (6.5)% |
| |||||||
2U, Inc.* | (23,980 | ) | (436,436 | ) | ||||
Bloomin’ Brands, Inc.* | (255,621 | ) | (4,833,793 | ) | ||||
Bob Evans Farms, Inc. | (97,727 | ) | (4,773,964 | ) | ||||
Churchill Downs, Inc. | (8,376 | ) | (854,184 | ) | ||||
ClubCorp Holdings, Inc. | (57,866 | ) | (1,102,926 | ) | ||||
Fiesta Restaurant Group, Inc.* | (20,931 | ) | (1,154,345 | ) |
The accompanying notes are an integral part of the financial statements.
48
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Grand Canyon Education, Inc.* | (28,395 | ) | $ | (1,360,121 | ) | |||
International Speedway Corp., Class A | (30,757 | ) | (963,617 | ) | ||||
Krispy Kreme Doughnuts, Inc.* | (129,188 | ) | (2,444,237 | ) | ||||
Life Time Fitness, Inc.* | (91,398 | ) | (5,097,266 | ) | ||||
LifeLock, Inc.* | (138,446 | ) | (2,341,122 | ) | ||||
Marriott International, Inc., Class A | (41 | ) | (3,106 | ) | ||||
MGM Resorts International* | (92,772 | ) | (2,156,949 | ) | ||||
Noodles & Co.* | (15,139 | ) | (345,623 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (92,206 | ) | (3,596,034 | ) | ||||
Papa John’s International, Inc. | (57,048 | ) | (2,667,564 | ) | ||||
Penn National Gaming, Inc.* | (198,414 | ) | (2,597,239 | ) | ||||
Pinnacle Entertainment, Inc.* | (170,495 | ) | (4,369,787 | ) | ||||
Popeyes Louisiana Kitchen, Inc.* | (38,173 | ) | (1,769,319 | ) | ||||
Red Robin Gourmet Burgers, Inc.* | (59,192 | ) | (3,253,784 | ) | ||||
Service Corp. International | (100,709 | ) | (2,202,506 | ) | ||||
Sonic Corp.* | (75,316 | ) | (1,898,716 | ) | ||||
Texas Roadhouse, Inc. | (109,649 | ) | (3,165,567 | ) | ||||
Zoe’s Kitchen, Inc.* | (20,603 | ) | (751,185 | ) | ||||
|
| |||||||
(54,139,390 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.8)% |
| |||||||
Casey’s General Stores, Inc. | (52,919 | ) | (4,332,479 | ) | ||||
Kroger Co. (The) | (69,813 | ) | (3,889,282 | ) | ||||
PriceSmart, Inc. | (3,114 | ) | (277,239 | ) | ||||
SpartanNash Co. | (29,597 | ) | (663,269 | ) | ||||
United Natural Foods, Inc.* | (88,494 | ) | (6,019,362 | ) | ||||
|
| |||||||
(15,181,631 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (3.2)% |
| |||||||
Boston Beer Co., Inc. (The), Class A* . | (7,622 | ) | (1,897,878 | ) | ||||
Boulder Brands, Inc.* | (71,974 | ) | (639,129 | ) | ||||
Brown-Forman Corp., Class B | (7,717 | ) | (715,134 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (4,258 | ) | (385,094 | ) | ||||
Darling Ingredients, Inc.* | (269,224 | ) | (4,738,342 | ) | ||||
Dean Foods Co. | (125,437 | ) | (1,845,178 | ) | ||||
Hain Celestial Group, Inc. (The)* | (10,431 | ) | (1,129,156 | ) | ||||
Hershey Co. (The) | (18,988 | ) | (1,821,139 | ) | ||||
JM Smucker Co. (The) | (4,290 | ) | (446,160 | ) | ||||
Mead Johnson Nutrition Co. | (17,465 | ) | (1,734,449 | ) | ||||
Post Holdings, Inc.* | (173,199 | ) | (6,494,963 | ) | ||||
TreeHouse Foods, Inc.* | (35,840 | ) | (3,052,493 | ) | ||||
WhiteWave Foods Co., Class A* | (48,384 | ) | (1,801,336 | ) | ||||
|
| |||||||
(26,700,451 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (9.4)% |
| |||||||
Acadia Healthcare Co., Inc.* | (59,209 | ) | $ | (3,673,918 | ) | |||
Accuray, Inc.* | (171,687 | ) | (1,086,779 | ) | ||||
Adeptus Health, Inc., Class A* | (6,129 | ) | (203,360 | ) | ||||
Alere, Inc.* | (11,086 | ) | (443,107 | ) | ||||
Allscripts Healthcare Solutions, Inc.* | (272,083 | ) | (3,732,979 | ) | ||||
AMN Healthcare Services, Inc.* | (11,335 | ) | (194,395 | ) | ||||
Analogic Corp. | (7,379 | ) | (538,224 | ) | ||||
athenahealth, Inc.* | (36,439 | ) | (4,463,778 | ) | ||||
Bio-Reference Laboratories, Inc.* | (40,862 | ) | (1,227,494 | ) | ||||
BioScrip, Inc.* | (47,906 | ) | (309,473 | ) | ||||
Capital Senior Living Corp.* | (22,414 | ) | (504,315 | ) | ||||
Cardiovascular Systems, Inc.* | (43,652 | ) | (1,353,212 | ) | ||||
Cerner Corp.* | (12,332 | ) | (781,109 | ) | ||||
Community Health Systems, Inc.* | (75,899 | ) | (4,172,168 | ) | ||||
CONMED Corp. | (4,406 | ) | (185,008 | ) | ||||
Cooper Co., Inc. (The) | (5,946 | ) | (974,549 | ) | ||||
DexCom, Inc.* | (7,468 | ) | (335,687 | ) | ||||
Endologix, Inc.* | (99,466 | ) | (1,133,912 | ) | ||||
Ensign Group, Inc. (The) | (2,504 | ) | (96,955 | ) | ||||
ExamWorks Group, Inc.* | (68,653 | ) | (2,662,363 | ) | ||||
Hanger, Inc.* | (88,143 | ) | (2,109,262 | ) | ||||
Healthways, Inc.* | (36,599 | ) | (567,285 | ) | ||||
HeartWare International, Inc.* | (33,967 | ) | (2,619,535 | ) | ||||
Henry Schein, Inc.* | (3,521 | ) | (422,626 | ) | ||||
HMS Holdings Corp.* | (2,008 | ) | (46,646 | ) | ||||
Insulet Corp.* | (61,551 | ) | (2,657,157 | ) | ||||
K2M Group Holdings, Inc.* | (1,213 | ) | (19,529 | ) | ||||
LDR Holding Corp.* | (47,409 | ) | (1,632,766 | ) | ||||
LifePoint Hospitals, Inc.* | (45,107 | ) | (3,157,490 | ) | ||||
McKesson Corp. | (641 | ) | (130,386 | ) | ||||
Medidata Solutions, Inc.* | (101,852 | ) | (4,594,544 | ) | ||||
MWI Veterinary Supply, Inc.* | (17,112 | ) | (2,903,136 | ) | ||||
National Healthcare Corp. | (1,768 | ) | (106,628 | ) | ||||
Neogen Corp.* | (37,935 | ) | (1,665,347 | ) | ||||
Novadaq Technologies, Inc. (Canada)* | (75,790 | ) | (1,183,840 | ) | ||||
NuVasive, Inc.* | (8,832 | ) | (361,229 | ) | ||||
NxStage Medical, Inc.* | (65,891 | ) | (998,908 | ) | ||||
Omnicell, Inc.* | (18,991 | ) | (613,599 | ) | ||||
Owens & Minor, Inc. | (5,075 | ) | (169,099 | ) | ||||
Patterson Cos., Inc. | (50,049 | ) | (2,157,612 | ) | ||||
Providence Service Corp. (The)* | (1,831 | ) | (80,893 | ) | ||||
Quidel Corp.* | (37,550 | ) | (1,072,053 | ) | ||||
Sirona Dental Systems, Inc.* | (25,143 | ) | (1,974,983 | ) |
The accompanying notes are an integral part of the financial statements.
49
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Spectranetics Corp.* | (97,797 | ) | $ | (3,107,011 | ) | |||
STERIS Corp. | (5,378 | ) | (332,360 | ) | ||||
Surgical Care Affiliates, Inc.* | (11,700 | ) | (358,956 | ) | ||||
Tenet Healthcare Corp.* | (52,171 | ) | (2,924,185 | ) | ||||
Tornier NV (Netherlands)* | (47,664 | ) | (1,332,209 | ) | ||||
Veeva Systems, Inc., Class A* | (90,926 | ) | (2,707,776 | ) | ||||
Volcano Corp.* | (88,874 | ) | (899,405 | ) | ||||
West Pharmaceutical Services, Inc. | (19,872 | ) | (1,018,440 | ) | ||||
Wright Medical Group, Inc.* | (129,437 | ) | (4,092,798 | ) | ||||
Zeltiq Aesthetics, Inc.* | (95,951 | ) | (2,460,184 | ) | ||||
|
| |||||||
(78,550,662 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.1)% |
| |||||||
Elizabeth Arden, Inc.* | (3,906 | ) | (64,058 | ) | ||||
Revlon, Inc., Class A* | (6,282 | ) | (215,473 | ) | ||||
Spectrum Brands Holdings, Inc. | (11,670 | ) | (1,057,185 | ) | ||||
WD-40 Co. | (160 | ) | (12,267 | ) | ||||
|
| |||||||
(1,348,983 | ) | |||||||
|
| |||||||
Media — (2.5)% |
| |||||||
AMC Entertainment Holdings, Inc., Class A | (8,647 | ) | (219,634 | ) | ||||
AMC Networks, Inc., Class A* | (41,156 | ) | (2,496,111 | ) | ||||
Carmike Cinemas, Inc.* | (182 | ) | (5,833 | ) | ||||
Charter Communications, Inc., Class A* | (28,397 | ) | (4,497,801 | ) | ||||
DreamWorks Animation SKG, Inc., Class A* | (83,347 | ) | (1,856,971 | ) | ||||
EW Scripps Co. (The), Class A* | (97,830 | ) | (1,878,336 | ) | ||||
Gray Television, Inc.* | (72,640 | ) | (671,194 | ) | ||||
Live Nation Entertainment, Inc.* | (121,135 | ) | (3,149,510 | ) | ||||
Madison Square Garden Co. (The), Class A* | (11,776 | ) | (892,150 | ) | ||||
MDC Partners, Inc., Class A (Canada) | (52,988 | ) | (1,096,852 | ) | ||||
Media General, Inc.* | (10,530 | ) | (157,318 | ) | ||||
National CineMedia, Inc. | (77,176 | ) | (1,227,098 | ) | ||||
Rentrak Corp.* | (8,076 | ) | (620,802 | ) | ||||
Scholastic Corp. | (32,462 | ) | (1,130,002 | ) | ||||
SFX Entertainment, Inc.* | (45,715 | ) | (234,975 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (83,167 | ) | (1,027,112 | ) | ||||
|
| |||||||
(21,161,699 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (13.4)% |
| |||||||
ACADIA Pharmaceuticals, Inc.* | (26,448 | ) | (732,610 | ) | ||||
Acceleron Pharma, Inc.* | (43,109 | ) | (1,594,171 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences �� (Continued) |
| |||||||
Achillion Pharmaceuticals, Inc.* | (193,866 | ) | $ | (2,277,926 | ) | |||
Agios Pharmaceuticals, Inc.* | (40,700 | ) | (3,420,021 | ) | ||||
Akorn, Inc.* | (165,569 | ) | (7,376,099 | ) | ||||
Albany Molecular Research, Inc.* | (68,910 | ) | (1,602,847 | ) | ||||
Alkermes PLC (Ireland)* | (37,194 | ) | (1,880,157 | ) | ||||
AMAG Pharmaceuticals, Inc.* | (16,568 | ) | (546,910 | ) | ||||
Anacor Pharmaceuticals, Inc.* | (5,087 | ) | (149,609 | ) | ||||
Arena Pharmaceuticals, Inc.* | (861,300 | ) | (3,755,268 | ) | ||||
ARIAD Pharmaceuticals, Inc.* | (64,670 | ) | (385,433 | ) | ||||
Auspex Pharmaceuticals, Inc.* | (10,306 | ) | (279,293 | ) | ||||
AVANIR Pharmaceuticals, Inc.* | (202,653 | ) | (2,622,330 | ) | ||||
BioDelivery Sciences International, Inc.* | (221,714 | ) | (3,857,824 | ) | ||||
Bluebird Bio, Inc.* | (49,220 | ) | (2,066,748 | ) | ||||
Bristol-Myers Squibb Co. | (43,555 | ) | (2,534,465 | ) | ||||
Catalent, Inc.* | (4,340 | ) | (112,970 | ) | ||||
Celldex Therapeutics, Inc.* | (229,909 | ) | (3,850,976 | ) | ||||
Cepheid* | (39,481 | ) | (2,092,888 | ) | ||||
Charles River Laboratories International, Inc.* | (7,120 | ) | (449,699 | ) | ||||
Chimerix, Inc.* | (21,070 | ) | (654,013 | ) | ||||
Clovis Oncology, Inc.* | (22,432 | ) | (1,338,293 | ) | ||||
Eli Lilly & Co. | (45,072 | ) | (2,989,626 | ) | ||||
Emergent Biosolutions, Inc.* | (43,914 | ) | (993,335 | ) | ||||
Endo International PLC (Ireland)* | (6,200 | ) | (414,904 | ) | ||||
Fluidigm Corp.* | (58,030 | ) | (1,682,870 | ) | ||||
Genomic Health, Inc.* | (30,952 | ) | (1,124,796 | ) | ||||
Halozyme Therapeutics, Inc.* | (245,638 | ) | (2,363,038 | ) | ||||
ImmunoGen, Inc.* | (198,811 | ) | (1,840,990 | ) | ||||
Impax Laboratories, Inc.* | (3,989 | ) | (115,561 | ) | ||||
Incyte Corp.* | (32,588 | ) | (2,185,351 | ) | ||||
Infinity Pharmaceuticals, Inc.* | (7,089 | ) | (96,552 | ) | ||||
Insmed, Inc.* | (9,582 | ) | (135,968 | ) | ||||
Intrexon Corp.* | (37,261 | ) | (831,666 | ) | ||||
Ironwood Pharmaceuticals, Inc.* | (108,186 | ) | (1,516,768 | ) | ||||
Isis Pharmaceuticals, Inc.* | (60,440 | ) | (2,783,866 | ) | ||||
Jazz Pharmaceuticals PLC | (10,483 | ) | (1,769,950 | ) | ||||
Karyopharm Therapeutics, Inc.* | (33,188 | ) | (1,363,363 | ) | ||||
Kite Pharma, Inc.* | (40,875 | ) | (1,511,966 | ) | ||||
KYTHERA Biopharmaceuticals, Inc.* | (32,187 | ) | (1,134,592 | ) | ||||
Lexicon Pharmaceuticals, Inc.* | (111,619 | ) | (161,848 | ) | ||||
Medicines Co. (The)* | (145,407 | ) | (3,681,705 | ) | ||||
Momenta Pharmaceuticals, Inc.* | (76,680 | ) | (836,579 | ) |
The accompanying notes are an integral part of the financial statements.
50
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Mylan, Inc.* | (135 | ) | $ | (7,229 | ) | |||
Nektar Therapeutics* | (3,672 | ) | (50,637 | ) | ||||
Neurocrine Biosciences, Inc.* | (130,774 | ) | (2,421,934 | ) | ||||
Novavax, Inc.* | (719,709 | ) | (4,030,370 | ) | ||||
Ophthotech Corp.* | (42,281 | ) | (1,763,963 | ) | ||||
Orexigen Therapeutics, Inc.* | (284,401 | ) | (1,154,668 | ) | ||||
Pacira Pharmaceuticals, Inc.* | (10,599 | ) | (983,799 | ) | ||||
Perrigo Co. PLC (Ireland) | (1,974 | ) | (318,702 | ) | ||||
Pharmacyclics, Inc.* | (20,220 | ) | (2,642,147 | ) | ||||
PTC Therapeutics, Inc.* | (84,685 | ) | (3,461,076 | ) | ||||
Puma Biotechnology, Inc.* | (2,845 | ) | (712,957 | ) | ||||
Receptos, Inc.* | (32,755 | ) | (3,395,056 | ) | ||||
Relypsa, Inc.* | (53,303 | ) | (1,096,443 | ) | ||||
Repligen Corp.* | (85,681 | ) | (2,160,875 | ) | ||||
Sage Therapeutics, Inc.* | (11,450 | ) | (447,924 | ) | ||||
Sangamo BioSciences, Inc.* | (94,568 | ) | (1,148,056 | ) | ||||
Synageva BioPharma Corp.* | (45,499 | ) | (3,446,094 | ) | ||||
Techne Corp. | (10,890 | ) | (991,535 | ) | ||||
TESARO, Inc.* | (57,401 | ) | (1,596,896 | ) | ||||
TherapeuticsMD, Inc.* | (174,602 | ) | (775,233 | ) | ||||
Theravance Biopharma, Inc. (Cayman | (37,543 | ) | (687,037 | ) | ||||
Ultragenyx Pharmaceutical, Inc.* | (6,145 | ) | (288,876 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (31,029 | ) | (3,495,107 | ) | ||||
Zoetis, Inc. | (25,116 | ) | (933,311 | ) | ||||
ZS Pharma, Inc.* | (34,696 | ) | (1,305,264 | ) | ||||
|
| |||||||
(112,431,033 | ) | |||||||
|
| |||||||
Retailing — (9.9)% |
| |||||||
Advance Auto Parts, Inc. | (38,606 | ) | (5,673,538 | ) | ||||
Amazon.com, Inc.* | (18,227 | ) | (5,567,619 | ) | ||||
Asbury Automotive Group, Inc.* | (5,123 | ) | (358,815 | ) | ||||
Ascena Retail Group, Inc.* | (322,566 | ) | (4,015,947 | ) | ||||
CarMax, Inc.* | (113,246 | ) | (6,331,584 | ) | ||||
CST Brands, Inc. | (99,985 | ) | (3,824,426 | ) | ||||
Groupon, Inc.* | (597,556 | ) | (4,368,134 | ) | ||||
JC Penney Co., Inc.* | (307,559 | ) | (2,340,524 | ) | ||||
LKQ Corp.* | (48,318 | ) | (1,380,445 | ) | ||||
Lumber Liquidators Holdings, Inc.* | (95,988 | ) | (5,161,275 | ) | ||||
Mattress Firm Holding Corp.* | (7,459 | ) | (471,334 | ) | ||||
Men’s Wearhouse, Inc. (The) | (132,324 | ) | (6,223,198 | ) | ||||
Monro Muffler Brake, Inc. | (25,955 | ) | (1,387,035 | ) | ||||
Netflix, Inc.* | (5,096 | ) | (2,001,556 | ) | ||||
Nordstrom, Inc. | (16,606 | ) | (1,205,762 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Office Depot, Inc.* | (781,206 | ) | $ | (4,077,895 | ) | |||
Pep Boys-Manny Moe & Jack (The)* | (5,283 | ) | (50,347 | ) | ||||
Pier 1 Imports, Inc. | (164,702 | ) | (2,124,656 | ) | ||||
Rent-A-Center, Inc. | (11,462 | ) | (354,978 | ) | ||||
Restoration Hardware Holdings, Inc.* . | (47,825 | ) | (3,841,304 | ) | ||||
RetailMeNot, Inc.* | (136,941 | ) | (2,883,977 | ) | ||||
Select Comfort Corp.* | (62,613 | ) | (1,608,528 | ) | ||||
Shutterfly, Inc.* | (66,955 | ) | (2,800,728 | ) | ||||
Signet Jewelers Ltd. (Bermuda) | (46,199 | ) | (5,544,342 | ) | ||||
Stage Stores, Inc. | (7,481 | ) | (126,204 | ) | ||||
Tuesday Morning Corp.* | (97,343 | ) | (1,984,824 | ) | ||||
Vitamin Shoppe, Inc.* | (129,606 | ) | (6,082,410 | ) | ||||
Wayfair, Inc., Class A* | (47,987 | ) | (1,204,474 | ) | ||||
|
| |||||||
(82,995,859 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (4.8)% |
| |||||||
Advanced Micro Devices, Inc.* | (822,232 | ) | (2,302,250 | ) | ||||
Analog Devices, Inc. | (61,179 | ) | (3,035,702 | ) | ||||
Applied Micro Circuits Corp.* | (117,152 | ) | (757,973 | ) | ||||
Avago Technologies Ltd. (Singapore) . | (46,347 | ) | (3,997,429 | ) | ||||
Brooks Automation, Inc. | (71,694 | ) | (883,987 | ) | ||||
Cree, Inc.* | (175,614 | ) | (5,528,329 | ) | ||||
Entegris, Inc.* | (162,253 | ) | (2,203,396 | ) | ||||
First Solar, Inc.* | (33,650 | ) | (1,981,985 | ) | ||||
GT Advanced Technologies, Inc.* | (159,175 | ) | (96,301 | ) | ||||
KLA-Tencor Corp. | (2,627 | ) | (207,927 | ) | ||||
M/A-COM Technology Solutions Holdings, Inc.* | (27,657 | ) | (608,177 | ) | ||||
Microchip Technology, Inc. | (6,180 | ) | (266,420 | ) | ||||
Microsemi Corp.* | (99,156 | ) | (2,584,997 | ) | ||||
PMC-Sierra, Inc.* | (230,945 | ) | (1,799,062 | ) | ||||
Spansion, Inc., Class A* | (277,983 | ) | (5,720,890 | ) | ||||
SunEdison, Inc.* | (143,184 | ) | (2,793,520 | ) | ||||
Ultratech, Inc.* | (67,236 | ) | (1,286,225 | ) | ||||
Veeco Instruments, Inc.* | (111,747 | ) | (4,021,775 | ) | ||||
|
| |||||||
(40,076,345 | ) | |||||||
|
| |||||||
Software & Services — (18.2)% |
| |||||||
Adobe Systems, Inc.* | (74,327 | ) | (5,211,809 | ) | ||||
AOL, Inc.* | (2,964 | ) | (129,023 | ) | ||||
Autodesk, Inc.* | (96,925 | ) | (5,577,065 | ) | ||||
Barracuda Networks, Inc.* | (35,831 | ) | (1,151,967 | ) | ||||
Benefitfocus, Inc.* | (40,673 | ) | (1,127,049 | ) | ||||
Blucora, Inc.* | (21,569 | ) | (365,594 | ) | ||||
Bottomline Technologies de, Inc.* | (50,928 | ) | (1,277,784 | ) | ||||
BroadSoft, Inc.* | (40,431 | ) | (925,870 | ) |
The accompanying notes are an integral part of the financial statements.
51
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
CommVault Systems, Inc.* | (95,504 | ) | $ | (4,234,647 | ) | |||
comScore, Inc.* | (46,144 | ) | (1,944,508 | ) | ||||
Convergys Corp. | (142,650 | ) | (2,877,251 | ) | ||||
CoreLogic, Inc.* | (46,246 | ) | (1,450,737 | ) | ||||
Cornerstone OnDemand, Inc.* | (181,152 | ) | (6,570,383 | ) | ||||
CoStar Group, Inc.* | (1,460 | ) | (235,191 | ) | ||||
Cvent, Inc.* | (40,783 | ) | (1,057,911 | ) | ||||
Dealertrack Technologies, Inc.* | (55,831 | ) | (2,626,849 | ) | ||||
Demandware, Inc.* | (77,824 | ) | (4,665,549 | ) | ||||
Digital River, Inc.* | (23,597 | ) | (603,375 | ) | ||||
Ellie Mae, Inc.* | (54,066 | ) | (2,075,053 | ) | ||||
Envestnet, Inc.* | (39,195 | ) | (1,741,042 | ) | ||||
Equinix, Inc. | (6,243 | ) | (1,304,163 | ) | ||||
FireEye, Inc.* | (125,325 | ) | (4,259,797 | ) | ||||
FleetMatics Group PLC (Ireland)* | (10,747 | ) | (399,143 | ) | ||||
Forrester Research, Inc. | (3,016 | ) | (121,484 | ) | ||||
Fortinet, Inc.* | (140,109 | ) | (3,649,839 | ) | ||||
Global Eagle Entertainment, Inc.* | (105,485 | ) | (1,290,082 | ) | ||||
Global Payments, Inc. | (6,980 | ) | (561,890 | ) | ||||
Google, Inc., Class C* | (43 | ) | (24,040 | ) | ||||
Heartland Payment Systems, Inc. | (17,426 | ) | (900,053 | ) | ||||
Imperva, Inc.* | (47,001 | ) | (1,925,631 | ) | ||||
Infoblox, Inc.* | (162,982 | ) | (2,630,529 | ) | ||||
Interactive Intelligence Group, Inc.* | (33,873 | ) | (1,634,711 | ) | ||||
Jive Software, Inc.* | (74,656 | ) | (456,148 | ) | ||||
LinkedIn Corp., Class A* | (2,291 | ) | (524,547 | ) | ||||
LivePerson, Inc.* | (66,722 | ) | (960,797 | ) | ||||
LogMeIn, Inc.* | (55,846 | ) | (2,683,400 | ) | ||||
Manhattan Associates, Inc.* | (77,140 | ) | (3,094,085 | ) | ||||
Marketo, Inc.* | (108,123 | ) | (3,489,129 | ) | ||||
MicroStrategy, Inc., Class A* | (10,286 | ) | (1,654,812 | ) | ||||
MobileIron, Inc.* | (78,412 | ) | (788,825 | ) | ||||
Move, Inc.* | (75,486 | ) | (1,581,432 | ) | ||||
NetSuite, Inc.* | (34,505 | ) | (3,749,313 | ) | ||||
Nuance Communications, Inc.* | (414,651 | ) | (6,398,065 | ) | ||||
Pandora Media, Inc.* | (40,212 | ) | (775,287 | ) | ||||
Paycom Software, Inc.* | (26,020 | ) | (461,855 | ) | ||||
Proofpoint, Inc.* | (88,983 | ) | (3,918,811 | ) | ||||
PROS Holdings, Inc.* | (20,847 | ) | (583,299 | ) | ||||
Qlik Technologies, Inc.* | (48,422 | ) | (1,372,764 | ) | ||||
Qualys, Inc.* | (5,338 | ) | (171,243 | ) | ||||
Rackspace Hosting, Inc.* | (147,318 | ) | (5,651,118 | ) | ||||
RealPage, Inc.* | (84,819 | ) | (1,685,354 | ) | ||||
Sapient Corp.* | (168,570 | ) | (2,919,632 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
ServiceNow, Inc.* | (14,410 | ) | $ | (978,871 | ) | |||
Shutterstock, Inc.* | (56,838 | ) | (4,419,723 | ) | ||||
Silver Spring Networks, Inc.* | (23,526 | ) | (225,379 | ) | ||||
Splunk, Inc.* | (73,682 | ) | (4,868,907 | ) | ||||
SPS Commerce, Inc.* | (4,100 | ) | (239,030 | ) | ||||
Tableau Software, Inc., Class A* | (54,203 | ) | (4,476,626 | ) | ||||
Tangoe, Inc.* | (8,135 | ) | (119,340 | ) | ||||
TIBCO Software, Inc.* | (235,345 | ) | (5,500,013 | ) | ||||
Twitter, Inc.* | (105,756 | ) | (4,385,701 | ) | ||||
Tyler Technologies, Inc.* | (1,802 | ) | (201,680 | ) | ||||
Vantiv, Inc., Class A* | (46,581 | ) | (1,440,285 | ) | ||||
Varonis Systems, Inc.* | (10,523 | ) | (204,988 | ) | ||||
VASCO Data Security International, Inc.* | (3,762 | ) | (95,254 | ) | ||||
Verint Systems, Inc.* | (101,578 | ) | (5,839,719 | ) | ||||
Vistaprint NV | (1,280 | ) | (85,581 | ) | ||||
Web.com Group, Inc.* | (17,259 | ) | (354,327 | ) | ||||
Workday, Inc., Class A* | (26,460 | ) | (2,526,401 | ) | ||||
Xoom Corp.* | (1,956 | ) | (29,536 | ) | ||||
Yelp, Inc.* | (65,974 | ) | (3,958,440 | ) | ||||
Zendesk, Inc.* | (18,739 | ) | (487,214 | ) | ||||
Zillow, Inc., Class A* | (2,342 | ) | (254,646 | ) | ||||
Zynga, Inc., Class A* | (1,737,350 | ) | (4,430,243 | ) | ||||
|
| |||||||
(152,591,839 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (6.1)% |
| |||||||
ADTRAN, Inc. | (1,656 | ) | (35,124 | ) | ||||
Amphenol Corp., Class A | (8,024 | ) | (405,854 | ) | ||||
Arista Networks, Inc.* | (18,115 | ) | (1,471,844 | ) | ||||
Avnet, Inc. | (10,258 | ) | (443,658 | ) | ||||
Badger Meter, Inc. | (772 | ) | (43,942 | ) | ||||
Belden, Inc | (46,829 | ) | (3,333,757 | ) | ||||
Benchmark Electronics, Inc.* | (38,040 | ) | (902,309 | ) | ||||
BlackBerry Ltd. (Canada)* | (313,151 | ) | (3,288,086 | ) | ||||
CalAmp Corp.* | (70,545 | ) | (1,360,108 | ) | ||||
Celestica, Inc. | (37,285 | ) | (409,389 | ) | ||||
Ciena Corp.* | (233,983 | ) | (3,921,555 | ) | ||||
Cognex Corp.* | (2,508 | ) | (99,216 | ) | ||||
Cray, Inc.* | (63,275 | ) | (2,193,112 | ) | ||||
Electronics For Imaging, Inc.* | (85,940 | ) | (3,929,177 | ) | ||||
FARO Technologies, Inc.* | (8,036 | ) | (450,016 | ) | ||||
Finisar Corp.* | (271,716 | ) | (4,543,092 | ) | ||||
Infinera Corp.* | (238,694 | ) | (3,468,224 | ) | ||||
Ingram Micro, Inc., Class A* | (13,538 | ) | (363,360 | ) | ||||
Ixia* | (99,487 | ) | (958,060 | ) |
The accompanying notes are an integral part of the financial statements.
52
GOTHAM NEUTRAL FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Jabil Circuit, Inc. | (58,149 | ) | $ | (1,218,222 | ) | |||
MTS Systems Corp. | (9,839 | ) | (649,472 | ) | ||||
Nimble Storage, Inc.* | (127,119 | ) | (3,477,976 | ) | ||||
Plantronics, Inc. | (13,032 | ) | (675,970 | ) | ||||
Plexus Corp.* | (27,063 | ) | (1,119,055 | ) | ||||
Riverbed Technology, Inc.* | (44,845 | ) | (851,607 | ) | ||||
ScanSource, Inc.* | (18,797 | ) | (717,669 | ) | ||||
Sierra Wireless, Inc. (Canada)* | (4,365 | ) | (119,514 | ) | ||||
Sonus Networks, Inc.* | (592,766 | ) | (2,056,898 | ) | ||||
SYNNEX Corp. | (56,289 | ) | (3,894,073 | ) | ||||
ViaSat, Inc.* | (74,690 | ) | (4,678,582 | ) | ||||
|
| |||||||
(51,078,921 | ) | |||||||
|
| |||||||
Telecommunication Services — (2.1)% |
| |||||||
8X8, Inc.* | (185,787 | ) | (1,460,286 | ) | ||||
Cogent Communications Holdings, Inc. | (69,755 | ) | (2,367,485 | ) | ||||
Globalstar, Inc.* | (33,968 | ) | (80,504 | ) | ||||
Iridium Communications, Inc.* | (149,113 | ) | (1,416,574 | ) | ||||
RingCentral, Inc., Class A* | (109,032 | ) | (1,432,680 | ) | ||||
SBA Communications Corp., Class A* | (19,760 | ) | (2,219,641 | ) | ||||
Sprint Corp.* | (134,521 | ) | (797,710 | ) | ||||
T-Mobile US, Inc.* | (160,511 | ) | (4,685,316 | ) | ||||
tw telecom, Inc.* | (45,381 | ) | (1,941,399 | ) | ||||
United States Cellular Corp.* | (26,777 | ) | (975,218 | ) | ||||
|
| |||||||
(17,376,813 | ) | |||||||
|
| |||||||
Transportation — (4.2)% |
| |||||||
Allegiant Travel Co. | (29,398 | ) | (3,923,751 | ) | ||||
ArcBest Corp | (605 | ) | (23,413 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (52,421 | ) | (1,935,383 | ) | ||||
Canadian National Railway Co. (Canada) | (3,034 | ) | (214,140 | ) | ||||
Canadian Pacific Railway Ltd. (Canada) | (4,951 | ) | (1,028,224 | ) | ||||
FedEx Corp. | (4,133 | ) | (691,864 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Genesee & Wyoming, Inc., Class A* | (38,600 | ) | $ | (3,713,320 | ) | |||
Hawaiian Holdings, Inc.* | (25,198 | ) | (436,933 | ) | ||||
Heartland Express, Inc. | (81,556 | ) | (2,050,318 | ) | ||||
Hub Group, Inc., Class A* | (67,913 | ) | (2,464,563 | ) | ||||
JetBlue Airways Corp.* | (483,313 | ) | (5,577,432 | ) | ||||
Kansas City Southern | (12,640 | ) | (1,552,066 | ) | ||||
Knight Transportation, Inc. | (44,489 | ) | (1,301,748 | ) | ||||
Marten Transport Ltd | (19,518 | ) | (382,943 | ) | ||||
Roadrunner Transportation Systems, Inc.* | (37,420 | ) | (771,226 | ) | ||||
Ryder System, Inc. | (20,168 | ) | (1,784,263 | ) | ||||
Saia, Inc.* | (1,276 | ) | (62,549 | ) | ||||
Spirit Airlines, Inc.* | (33,404 | ) | (2,442,166 | ) | ||||
Universal Truckload Services, Inc. | (7,624 | ) | (200,664 | ) | ||||
UTi Worldwide, Inc. (British | (236,525 | ) | (2,585,218 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (88,251 | ) | (1,566,455 | ) | ||||
XPO Logistics, Inc.* | (4,573 | ) | (182,554 | ) | ||||
|
| |||||||
(34,891,193 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK |
| (829,032,050 | ) | |||||
|
| |||||||
TOTAL SECURITES SOLD |
| (829,032,050 | ) | |||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 73.3% |
| 613,868,866 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 837,885,407 | |||||
|
|
* | Non-income producing. |
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | All or a portion of the security is on loan (see Note 5 of the Notes to Financial Statements) |
The accompanying notes are an integral part of the financial statements.
53
GOTHAM FUNDS
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Gotham Absolute Return Fund | Gotham Absolute 500 Fund | |||||||||
Assets | ||||||||||
Investments, at value (Cost $3,390,911,641 and $8,077,412, respectively) | $ | 3,594,163,636 | $ | 8,375,152 | ||||||
Cash collateral for securities on loan | 599,423,863 | 157,920 | ||||||||
Cash | 84,795,576 | 46,282 | ||||||||
Deposits with brokers for securities sold short | 1,677,607,188 | 2,284,570 | ||||||||
Receivables: | ||||||||||
Investments sold | 384,657,084 | 1,255,668 | ||||||||
Capital shares sold | 32,835,492 | — | ||||||||
Dividends and interest | 1,717,914 | 6,459 | ||||||||
Investment Adviser | — | 16,396 | ||||||||
Prepaid expenses and other assets | 215,512 | — | ||||||||
|
|
|
| |||||||
Total assets | 6,375,416,265 | 12,142,447 | ||||||||
|
|
|
| |||||||
Liabilities | ||||||||||
Securities sold short, at value (proceeds $1,762,658,484 and $4,701,469, respectively) | 1,812,684,825 | 4,857,181 | ||||||||
Payables: | ||||||||||
Investments purchased | 1,024,401,495 | 1,236,175 | ||||||||
Securities lending collateral | 599,423,863 | 157,920 | ||||||||
Investment Adviser | 4,745,892 | — | ||||||||
Capital shares redeemed | 2,951,466 | — | ||||||||
Dividends and fees on securities sold short | 1,344,035 | 4,748 | ||||||||
Administration and accounting fees | 171,321 | 25,953 | ||||||||
Custodian fees | 132,690 | 4,840 | ||||||||
Accrued expenses | 40,429 | 43,303 | ||||||||
|
|
|
| |||||||
Total liabilities | 3,445,896,016 | 6,330,120 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 2,929,520,249 | $ | 5,812,327 | ||||||
|
|
|
| |||||||
Net Assets Consisted of: | ||||||||||
Capital stock, $0.01 par value | $ | 2,111,909 | $ | 5,580 | ||||||
Paid-in capital | 2,790,609,293 | 5,571,208 | ||||||||
Accumulated net investment loss | (11,824,607 | ) | (15,254 | ) | ||||||
Accumulated net realized gain/(loss) from investments and securities sold short | (4,602,000 | ) | 108,765 | |||||||
Net unrealized appreciation on investments and securities sold short | 153,225,654 | 142,028 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 2,929,520,249 | $ | 5,812,327 | ||||||
|
|
|
| |||||||
Institutional Class: | ||||||||||
Net assets | $ | 2,929,520,249 | $ | 5,812,327 | ||||||
|
|
|
| |||||||
Shares Outstanding | 211,190,943 | 557,978 | ||||||||
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 13.87 | $ | 10.42 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
54
GOTHAM FUNDS
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Gotham Enhanced Return Fund | Gotham Neutral Fund | |||||||||
Assets | ||||||||||
Investments, at value (Cost $2,219,047,204 and $1,006,658,472, respectively) | $ | 2,391,422,777 | $ | 1,053,048,591 | ||||||
Cash collateral for securities on loan | 394,551,856 | 72,107,981 | ||||||||
Cash | 7,028,825 | 12,989,341 | ||||||||
Deposits with brokers for securities sold short | 419,550,989 | 665,846,265 | ||||||||
Receivables: | ||||||||||
Investments sold | 258,915,514 | 196,936,260 | ||||||||
Capital shares sold | 5,993,934 | 7,058,891 | ||||||||
Dividends and interest | 962,453 | 433,655 | ||||||||
Prepaid expenses and other assets | 141,717 | 77,712 | ||||||||
|
|
|
| |||||||
Total assets | 3,478,568,065 | 2,008,498,696 | ||||||||
|
|
|
| |||||||
Liabilities | ||||||||||
Securities sold short, at value (proceeds $1,025,053,475 and $799,797,157, respectively) | 1,053,889,215 | 829,032,050 | ||||||||
Payables: | ||||||||||
Investments purchased | 674,153,881 | 264,854,553 | ||||||||
Securities lending collateral | 394,551,856 | 72,107,981 | ||||||||
Investment Adviser | 2,083,389 | 1,388,975 | ||||||||
Dividends and fees on securities sold short | 852,060 | 429,297 | ||||||||
Capital shares redeemed | 337,645 | 2,646,613 | ||||||||
Administration and accounting fees | 108,019 | 71,651 | ||||||||
Custodian fees | 77,574 | 42,734 | ||||||||
Accrued expenses | 36,705 | 39,435 | ||||||||
|
|
|
| |||||||
Total liabilities | 2,126,090,344 | 1,170,613,289 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 1,352,477,721 | $ | 837,885,407 | ||||||
|
|
|
| |||||||
Net Assets Consisted of: | ||||||||||
Capital stock, $0.01 par value | $ | 1,020,419 | $ | 747,800 | ||||||
Paid-in capital | 1,149,007,211 | 832,861,393 | ||||||||
Accumulated net investment loss | (3,891,478 | ) | (4,145,657 | ) | ||||||
Accumulated net realized gain/(loss) from investments and securities sold short | 62,801,736 | (8,733,355 | ) | |||||||
Net unrealized appreciation on investments and securities sold short | 143,539,833 | 17,155,226 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 1,352,477,721 | $ | 837,885,407 | ||||||
|
|
|
| |||||||
Institutional Class: | ||||||||||
Net assets | $ | 1,352,477,721 | $ | 837,885,407 | ||||||
|
|
|
| |||||||
Shares Outstanding | 102,041,887 | 74,780,018 | ||||||||
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 13.25 | $ | 11.20 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
55
GOTHAM FUNDS
Statement of Operations
For the Six Months/Period Ended October 31, 2014
(Unaudited)
Gotham Absolute Return Fund | Gotham Absolute 500 Fund* | |||||||||
Investment Income | ||||||||||
Dividends | $ | 17,835,725 | $ | 38,952 | ||||||
Interest | 977 | — | ||||||||
Income from securities loaned (Note 5) | 1,628,555 | — | ||||||||
|
|
|
| |||||||
Total investment income | 19,465,257 | 38,952 | ||||||||
|
|
|
| |||||||
Expenses | ||||||||||
Advisory fees (Note 2) | 22,016,161 | 25,197 | ||||||||
Dividends and fees on securities sold short | 7,857,598 | 25,860 | ||||||||
Transfer agent fees (Note 2) | 746,601 | 9,214 | ||||||||
Administration and accounting fees (Note 2) | 310,435 | 25,953 | ||||||||
Custodian fees (Note 2) | 98,372 | 4,840 | ||||||||
Legal fees | 96,012 | 5,705 | ||||||||
Trustees’ and officers’ fees (Note 2) | 45,722 | 4,808 | ||||||||
Registration and filing fees | 44,663 | 9,906 | ||||||||
Printing and shareholder reporting fees | 42,401 | 3,912 | ||||||||
Audit fees | 12,470 | 5,868 | ||||||||
Other expenses | 19,429 | 5,125 | ||||||||
|
|
|
| |||||||
Total expenses before waivers and reimbursements | 31,289,864 | 126,388 | ||||||||
|
|
|
| |||||||
Recoupments and/or waivers, reimbursements (Note 2) | — | (72,182 | ) | |||||||
|
|
|
| |||||||
Net expenses after waivers and reimbursements | 31,289,864 | 54,206 | ||||||||
|
|
|
| |||||||
Net investment loss | (11,824,607 | ) | (15,254 | ) | ||||||
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||
Net realized gain from investments | 5,158,443 | — | ||||||||
Net realized gain/(loss) from securities sold short | (21,517,256 | ) | 108,765 | |||||||
Net change in unrealized appreciation on investments | 161,862,685 | 297,741 | ||||||||
Net change in unrealized depreciation on securities sold short | (69,759,396 | ) | (155,713 | ) | ||||||
|
|
|
| |||||||
Net realized and unrealized gain on investments | 75,744,476 | 250,793 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 63,919,869 | $ | 235,539 | ||||||
|
|
|
|
* | The Fund commenced operations on July 31, 2014. |
The accompanying notes are an integral part of the financial statements.
56
GOTHAM FUNDS
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Gotham Enhanced Return Fund | Gotham Neutral Fund | |||||||||
Investment Income | ||||||||||
Dividends | $ | 12,376,759 | $ | 4,154,470 | ||||||
Interest | 379 | 262 | ||||||||
Income from securities loaned (Note 5) | 1,004,406 | 224,377 | ||||||||
|
|
|
| |||||||
Total investment income | 13,381,544 | 4,379,109 | ||||||||
|
|
|
| |||||||
Expenses | ||||||||||
Advisory fees (Note 2) | 10,545,042 | 5,285,869 | ||||||||
Dividends and fees on securities sold short | 5,961,692 | 2,800,118 | ||||||||
Transfer agent fees (Note 2) | 321,590 | 154,111 | ||||||||
Administration and accounting fees (Note 2) | 193,988 | 126,278 | ||||||||
Custodian fees (Note 2) | 67,658 | 24,366 | ||||||||
Legal fees | 40,309 | 19,774 | ||||||||
Registration and filing fees | 35,089 | 16,388 | ||||||||
Trustees’ and officers’ fees (Note 2) | 26,746 | 6,478 | ||||||||
Printing and shareholder reporting fees | 23,411 | 8,365 | ||||||||
Audit fees | 15,093 | 12,487 | ||||||||
Other expenses | 21,374 | 5,560 | ||||||||
|
|
|
| |||||||
Total expenses before waivers and reimbursements | 17,251,992 | 8,459,794 | ||||||||
|
|
|
| |||||||
Recoupments and/or waivers, reimbursements (Note 2) | 7,031 | 64,972 | ||||||||
|
|
|
| |||||||
Net expenses after waivers and reimbursements | 17,259,023 | 8,524,766 | ||||||||
|
|
|
| |||||||
Net investment loss | (3,877,479 | ) | (4,145,657 | ) | ||||||
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||
Net realized gain from investments | 40,916,925 | 841 | ||||||||
Net realized loss from securities sold short | (6,971,291 | ) | (10,348,898 | ) | ||||||
Net change in unrealized appreciation on investments | 80,709,627 | 42,605,343 | ||||||||
Net change in unrealized depreciation on securities sold short | (42,481,781 | ) | (33,791,759 | ) | ||||||
|
|
|
| |||||||
Net realized and unrealized gain/(loss) on investments | 72,173,480 | (1,534,473 | ) | |||||||
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | $ | 68,296,001 | $ | (5,680,130 | ) | |||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
57
GOTHAM FUNDS
Statements of Changes in Net Assets
Gotham Absolute Return Fund | Gotham Absolute 500 Fund | ||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Period Ended October 31, 2014 (Unaudited)* | |||||||||||||
Net increase in net assets from operations: | |||||||||||||||
Net investment loss | $ | (11,824,607 | ) | $ | (5,504,378 | ) | $ | (15,254 | ) | ||||||
Net realized gain/(loss) from investments and securities sold short | (16,358,813 | ) | 28,378,912 | 108,765 | |||||||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | 92,103,289 | 59,943,353 | 142,028 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets resulting from operations | 63,919,869 | 82,817,887 | 235,539 | ||||||||||||
|
|
|
|
|
| ||||||||||
Less Dividends and Distributions to Shareholders from: | |||||||||||||||
Institutional Class: | |||||||||||||||
Net realized capital gains | — | (13,191,338 | ) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Net decrease in net assets from dividends and distributions to shareholders | — | (13,191,338 | ) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Increase in Net Assets Derived from Capital Share Transactions and Merger Activity (Note 4 and Note 7) | 1,315,390,672 | 1,426,903,567 | 5,576,788 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total increase in net assets | 1,379,310,541 | 1,496,530,116 | 5,812,327 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net assets | |||||||||||||||
Beginning of period | 1,550,209,708 | 53,679,592 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
End of period | $ | 2,929,520,249 | $ | 1,550,209,708 | $ | 5,812,327 | |||||||||
|
|
|
|
|
| ||||||||||
Accumulated net investment loss, end of period | $ | (11,824,607 | ) | $ | — | $ | (15,254 | ) | |||||||
|
|
|
|
|
|
* | The Fund commenced operations on July 31, 2014. |
The accompanying notes are an integral part of the financial statements.
58
GOTHAM FUNDS
Statements of Changes in Net Assets
Gotham Enhanced Return Fund | Gotham Neutral Fund | |||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014* | For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014** | |||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||
Net investment loss | $ | (3,877,479 | ) | $ | (1,304,508 | ) | $ | (4,145,657 | ) | $ | (764,360 | ) | ||||||||
Net realized gain/(loss) from investments and securities sold short | 33,945,634 | 36,994,197 | (10,348,057 | ) | 2,474,111 | |||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | 38,227,846 | 35,742,643 | 8,813,584 | 8,341,642 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in net assets resulting from operations | 68,296,001 | 71,432,332 | (5,680,130 | ) | 10,051,393 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||||||||||||
Institutional Class: | ||||||||||||||||||||
Net realized capital gains | — | (4,952,065 | ) | — | (116,920 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | — | (4,952,065 | ) | — | (116,920 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase in Net Assets Derived from Capital Share Transactions and Merger Activity (Note 4 and Note 7) | 481,264,841 | 736,436,612 | 615,093,937 | 218,537,127 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase in net assets | 549,560,842 | 802,916,879 | 609,413,807 | 228,471,600 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of period | 802,916,879 | — | 228,471,600 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 1,352,477,721 | $ | 802,916,879 | $ | 837,885,407 | $ | 228,471,600 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Accumulated net investment loss, end of period | $ | (3,891,478 | ) | $ | (13,999 | ) | $ | (4,145,657 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
|
* | The Fund commenced operations on May 31, 2013. |
** | The Fund commenced operations on August 30, 2013. |
The accompanying notes are an integral part of the financial statements.
59
GOTHAM FUNDS
Statements of Cash Flows
(Unaudited)
Gotham Absolute Return Fund | Gotham Absolute 500 Fund | |||||||||
For the Six Months Ended October 31, 2014 | For the Period Ended October 31, 2014* | |||||||||
Cash flows provided from (used in) operating activities: | ||||||||||
Net increase in net assets resulting from operations | $ | 63,919,869 | $ | 235,539 | ||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||||||||
Purchases of long-term portfolio investments | (6,349,727,315 | ) | (16,826,350 | ) | ||||||
Proceeds from disposition of long-term portfolio investments | 4,803,826,135 | 8,852,255 | ||||||||
Purchases to cover securities sold short | (2,296,367,431 | ) | (2,132,731 | ) | ||||||
Proceeds from securities sold short | 3,071,527,255 | 6,839,648 | ||||||||
Net realized gain/(loss) on investments and securities sold short | 16,358,813 | (108,765 | ) | |||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | (92,103,289 | ) | (142,028 | ) | ||||||
Increase in deposits with brokers for securities sold short | (1,069,562,193 | ) | (2,284,570 | ) | ||||||
Increase in receivable for securities sold | (256,657,956 | ) | (1,255,668 | ) | ||||||
Increase in dividend and interest receivable | (806,103 | ) | (6,459 | ) | ||||||
Increase in prepaid expenses and other assets | (164,289 | ) | — | |||||||
Increase in payable for investments purchased | 889,761,013 | 1,236,175 | ||||||||
Increase in dividends and fees payable for securities sold short | 739,119 | 4,748 | ||||||||
Increase/(decrease) in payable for investment advisor | 2,357,975 | (16,396 | ) | |||||||
Increase in accrued expense payable | 3,092 | 74,096 | ||||||||
|
|
|
| |||||||
Net cash used in operating activities | (1,216,895,305 | ) | (5,530,506 | ) | ||||||
|
|
|
| |||||||
Cash flows from financing activities: | ||||||||||
Net payment from Fund share activity | 1,295,492,359 | 5,576,788 | ||||||||
|
|
|
| |||||||
Net cash provided by financing activities | 1,295,492,359 | 5,576,788 | ||||||||
|
|
|
| |||||||
Net increase in cash | 78,597,054 | 46,282 | ||||||||
Cash at beginning of period | 6,198,522 | — | ||||||||
|
|
|
| |||||||
Cash at end of period | $ | 84,795,576 | $ | 46,282 | ||||||
|
|
|
| |||||||
Supplemental disclosure of cash flow information: | ||||||||||
Cash paid during the period for financing charges | $ | 4,835,766 | $ | 4,972 |
* The Fund commenced operations on July 31, 2014.
The accompanying notes are an integral part of the financial statements.
60
GOTHAM FUNDS
Statements of Cash Flows
(Unaudited)
Gotham Enhanced Return Fund | Gotham Neutral Fund | |||||||||
For the Six Months Ended October 31, 2014 | For the Six Months Ended October 31, 2014 | |||||||||
Cash flows provided from (used in) operating activities: | ||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 68,296,001 | $ | (5,680,130 | ) | |||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||||||||
Purchases of long-term portfolio investments | (4,285,001,455 | ) | (2,197,286,114 | ) | ||||||
Proceeds from disposition of long-term portfolio investments | 3,428,070,879 | 1,469,297,048 | ||||||||
Purchases to cover securities sold short | (1,584,891,259 | ) | (1,013,223,754 | ) | ||||||
Proceeds from securities sold short | 1,973,943,916 | 1,570,485,911 | ||||||||
Net realized gain/(loss) on investments and securities sold short | (33,945,633 | ) | 10,348,057 | |||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | (38,227,847 | ) | (8,813,584 | ) | ||||||
Increase in deposits with brokers for securities sold short | (415,502,406 | ) | (501,948,125 | ) | ||||||
Increase in receivable for securities sold | (141,840,584 | ) | (160,549,448 | ) | ||||||
Increase in dividend and interest receivable | (176,168 | ) | (323,152 | ) | ||||||
Increase in prepaid expenses and other assets | (42,216 | ) | (58,894 | ) | ||||||
Increase in payable for investments purchased | 556,326,104 | 228,203,816 | ||||||||
Increase in dividends and fees payable for securities sold short | 315,776 | 318,902 | ||||||||
Increase in payable for investment advisor | 835,910 | 1,074,947 | ||||||||
Increase/(decrease) in accrued expense payable | (29,699 | ) | 68,722 | |||||||
|
|
|
| |||||||
Net cash used in operating activities | (471,868,681 | ) | (608,085,798 | ) | ||||||
|
|
|
| |||||||
Cash flows from financing activities: | ||||||||||
Net payment from Fund share activity | 478,364,027 | 616,926,365 | ||||||||
|
|
|
| |||||||
Net cash provided by financing activities | 478,364,027 | 616,926,365 | ||||||||
|
|
|
| |||||||
Net increase in cash | 6,495,346 | 8,840,567 | ||||||||
Cash at beginning of period | 533,479 | 4,148,774 | ||||||||
|
|
|
| |||||||
Cash at end of period | $ | 7,028,825 | $ | 12,989,341 | ||||||
|
|
|
| |||||||
Supplemental disclosure of cash flow information: | ||||||||||
Cash paid during the period for financing charges | $ | 4,116,536 | $ | 1,653,515 |
The accompanying notes are an integral part of the financial statements.
61
GOTHAM FUNDS
Financial Highlights
Contained below is per share operating performance data for each Institutional Class share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Investment Activities | Dividends and Distributions | |||||||||||||
Net Asset Value, Beginning of Year/Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain/(Loss) on Investments | Total from Investment Operations | Distributions from Net Investment Income | Distribution from Capital Gains | Total Distributions | ||||||||
Gotham Absolute Return Fund | ||||||||||||||
Institutional Class Shares | ||||||||||||||
05/01/2014-10/31/2014(4) | $13.45 | $(0.07) | $0.49 | $0.42 | $ — | $ — | $ — | |||||||
05/01/2013-04/30/2014 | 11.40 | (0.16) | 2.77 | 2.61 | — | (0.56) | (0.56) | |||||||
08/31/2012*-4/30/2013 | 10.00 | (0.08) | 1.53 | 1.45 | (0.01) | (0.05) | (0.06) | |||||||
Gotham Absolute 500 Fund | ||||||||||||||
Institutional Class Shares | ||||||||||||||
07/31/2014* -10/31/2014(4) | $10.00 | $(0.03) | $0.45 | $0.42 | $ — | $ — | $ — | |||||||
Gotham Enhanced Return Fund | ||||||||||||||
Institutional Class Shares | ||||||||||||||
05/01/2014-10/31/2014(4) | $12.39 | $(0.05) | $0.91 | $0.86 | $ — | $ — | $ — | |||||||
05/31/2013* -04/30/2014 | 10.00 | (0.07) | 2.96 | 2.89 | — | (0.50) | (0.50) | |||||||
Gotham Neutral Fund | ||||||||||||||
Institutional Class Shares | ||||||||||||||
05/01/2014-10/31/2014(4) | $11.21 | $(0.09) | $0.08 | $(0.01) | $ — | $ — | $ — | |||||||
08/30/2013* -04/30/2014 | 10.00 | (0.12) | 1.37 | 1.25 | — | (0.04) | (0.04) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as indicated (See Note 2). |
(4) | Unaudited. |
(5) | Amount is less than $0.005 per share. |
(6) | Annualized. |
(7) | Not annualized. |
(8) | Portfolio turnover excludes the purchases and sales of the Formula Investing U.S. Value 1000 Fund and the Formula Investing U.S. Value Select Fund (see Note 6). If these transactions were included, portfolio turnover would have been higher. |
The accompanying notes are an integral part of the financial statements.
62
GOTHAM FUNDS
Financial Highlights
Redemption Fees | Net Asset Value, End of Year/Period | Total Return(2) | Net Assets, End of Year/Period | Ratio of Expenses to Average Net Assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense) | Ratio of Expenses to Average Net Assets with waivers, reimbursements, and recoupments (excluding dividend and interest expense) | Ratio of Expenses to Average Net Assets without waivers, expense reimbursements, and recoupments if any(3) | Ratio of Net Investment Income to Average Net Assets (including dividend and interest expense) | Portfolio Turnover Rate | ||||||||
$0.00(5) | $13.87 | 3.12% | $2,929,520 | 2.84%(6) | 2.13%(6) | 2.84%(6) | (1.07)%(6) | 181.18%(7) | ||||||||
0.00(5) | 13.45 | 23.21% | 1,550,210 | 2.98% | 2.20% | 2.96% | (1.23)% | 399.16% | ||||||||
0.01 | 11.40 | 14.67% | 53,680 | 3.24%(6) | 2.25%(6) | 4.18%(6) | (1.13)%(6) | 279.84%(7) | ||||||||
$ — | $10.42 | 4.20% | $ 5,812 | 4.30%(6) | 2.26%(6) | 10.04%(6) | (1.21)%(6) | 153.40%(7) | ||||||||
$0.00(5) | $13.25 | 6.94% | $1,352,478 | 3.27%(6) | 2.15%(6) | 3.27%(6) | (0.74)%(6) | 186.81%(7) | ||||||||
0.00(5) | 12.39 | 29.36% | 802,917 | 3.54%(6) | 2.25%(6) | 3.54%(6) | (0.63)%(6) | 364.77%(7)(8) | ||||||||
$0.00(5) | $11.20 | (0.09)% | $ 837,885 | 3.23%(6) | 2.17%(6) | 3.20%(6) | (1.57)%(6) | 228.42%(7) | ||||||||
0.00(5) | $11.21 | 12.50% | 228,472 | 3.43%(6) | 2.25%(6) | 3.57%(6) | (1.64)%(6) | 191.65%(7) |
The accompanying notes are an integral part of the financial statements.
63
GOTHAM FUNDS
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Gotham Absolute Return Fund, the Gotham Absolute 500 Fund, the Gotham Enhanced Return Fund and the Gotham Neutral Fund (each a “Fund” and together, the “Funds”) are each a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Gotham Absolute Return Fund commenced investment operations on August 31, 2012. The Gotham Absolute 500 Fund commenced operations on July 31, 2014. The Gotham Enhanced Return Fund commenced investment operations on May 31, 2013. The Gotham Neutral Fund commenced investment operations on August 30, 2013. The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Each of the Funds offers one class of shares, Institutional Class.
The Funds seek to achieve their investment objective by primarily investing in long and short positions of U.S. equity securities. Equity securities include common and preferred stocks. There are no limits on the market capitalizations of the companies in which the Funds may invest.
The Funds will generally take long positions in securities that Gotham Asset Management, LLC (“Gotham or The Adviser”) believes to be undervalued and short positions in securities that the Adviser believes to be overvalued, based on the Adviser’s analysis of the issuer’s financial reports and market valuation. Using a proprietary methodology, securities are analyzed and ranked by the Adviser’s research team. Such analysis forms the basis of the Adviser’s proprietary database that is used to generate the portfolio. By taking both long and short positions, the Adviser attempts to provide protection in down markets relative to a fund that takes only long positions. The Adviser seeks to maintain a Fund’s net equity market exposure, which is the value of a Fund’s long positions minus its short positions, in the range of approximately 0%-70%, 0%-70%, 70%-100% and 0%-25% for Gotham Absolute Return Fund, Gotham Absolute 500 Fund, Gotham Enhanced Return Fund and Gotham Neutral Fund, respectively. In addition, the Adviser expects that a Fund’s gross equity market exposure, which is the value of a Fund’s long positions plus its short positions, will not exceed 190%, 250% and 250% for Gotham Absolute Return Fund, Gotham Absolute 500 Fund and Gotham Enhanced Return Fund, respectively. It is anticipated that each Fund will frequently adjust the size of its long and short positions.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each business day the NYSE is open. Securities held by the Funds are valued at their last sale price on the NYSE on the day the security is valued. Lacking any sales on such day, the security will be valued at the mean between the last asked price and the last bid price prior to the market close. Securities listed on other exchanges (and not subject to restriction against sale by the Funds on such exchanges) will be similarly valued, using quotations on the exchange on which the security is traded most extensively. Unlisted securities that are quoted on the National Association of Securities Dealers Market System, for which there have been sales of such securities on such day, shall be valued at the official closing price on such system on the day the security is valued. If there are no such sales on such day, the value shall be the mean between the last asked price and the last bid price prior to market close. The value of such securities quoted on the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) markets system, but not listed on the National Market System, shall be valued at the mean between closing asked price and the closing bid price. Unlisted securities that are not quoted on the NASDAQ and for which over-the-counter market quotations are readily available will be valued at the mean between the current bid and the asked prices for such security in the over-the-counter market. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Relying on prices supplied by pricing services or
64
GOTHAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of a Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
All financial instruments listed in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of a Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Funds to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Funds had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Funds had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the period ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Funds.
Use of Estimates — The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
65
GOTHAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. General expenses of the Trust are generally allocated to each Fund in proportion to its relative daily net assets. Expenses directly attributable to a particular Fund in the Trust are charged directly to that Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. A Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Short Sales — A Fund’s short sales are subject to special risks. A short sale involves the sale by the Funds of a security that it does not own with the hope of purchasing the same security at a later date at a lower price. If the price of the security has increased during this time, then the Funds will incur a loss equal to the increase in price from the time that the short sale was entered into plus any premiums and interest paid to the third party. Therefore, short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. Also, there is the risk that the third party to the short sale may fail to honor its contract terms, causing a loss to the Funds. There can be no assurance that the Funds will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Funds will comply with guidelines established by the Security and Exchange Commission and other applicable regulatory bodies with respect to coverage of short sales.
As of October 31, 2014, the Gotham Absolute Return Fund, Gotham Absolute 500 Fund, Gotham Enhanced Return Fund and Gotham Neutral Fund had securities sold short valued at $1,812,684,825, $4,857,181, $1,053,889,215 and $829,032,050, for which securities of $1,852,490,432, $4,844,234, $1,102,603,845, $794,163,928, and cash deposits of $1,677,607,188, $2,284,570, $419,550,989 and $665,846,265, respectively, were pledged as collateral.
In accordance with the terms of its prime brokerage agreements, the Funds may receive rebate income or be charged fees on securities sold short. Such income or fee is calculated on a daily basis based upon the market value of securities sold short and a variable rate that is dependent upon the availability of such security. For the six months ended October 31, 2014, Gotham Absolute Return Fund, Gotham Enhanced Return Fund and Gotham Neutral Fund had net charges of $3,868,132, $2,316,471 and $1,400,889 on securities sold short. For the period from July 31, 2014 (commencement of operations) to October 31, 2014, Gotham Absolute 500 Fund had net charges of $2,456 on securities sold short. This amount is included in dividends and fees on securities sold short on the statement of operations.
As of October 31, 2014, the Gotham Absolute Return Fund, Gotham Absolute 500 Fund, Gotham Enhanced Return Fund and Gotham Neutral Fund utilized short sales proceeds of $173,316,126, $2,466,736, $615,544,422 and $161,619,267, and incurred financing charges for the period ended October 31, 2014, of $967,634, $2,517, $1,800,065 and $252,626, respectively,
66
GOTHAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
to finance purchases of long securities. A financing fee is charged to the Funds based on the Federal Funds rate plus an agreed upon spread. These fees are included in dividends and fees on securities sold short.
2. Transactions with Affiliates and Related Parties
Gotham Asset Management, LLC (“Gotham” or the “Adviser”) serves as investment adviser to the Funds pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services as the investment adviser, Gotham is entitled to receive a monthly fee at the annual rate of 2.00% of each Fund’s average daily net assets. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 2.25% (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2017, unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. No recoupment will occur unless a Fund’s expenses are below the Expense Limitation.
For the period ended October 31, 2014, investment advisory fees accrued and waivers were as follows:
Gross Advisory Fee | Waiver/ Reimbursements | Net Advisory Fee (Reimbursement) | ||||||||||
Gotham Absolute Return Fund | $22,016,161 | $ — | $22,016,161 | |||||||||
Gotham Absolute 500 Fund | 25,197 | (72,182 | ) | (46,985 | ) | |||||||
Gotham Enhanced Return Fund | 10,545,042 | — | 10,545,042 | |||||||||
Gotham Neutral Fund | 5,285,869 | — | 5,285,869 |
During the period ended October 31, 2014, Gotham Enhanced Return Fund and Gotham Neutral Fund had investments advisory recoupment of $7,031 and $64,972, respectively. As of October 31, 2014, the amount of potential recovery for the Gotham Absolute 500 Fund was as follows:
Expiration 04/30/2018 | ||||
Gotham Absolute 500 Fund | $ | 72,182 |
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Funds.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
67
GOTHAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees, for their services as a Trustee. The remuneration paid to the Trustee by the Funds during the period ended October 31, 2014 was $107,027. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Funds or the Trust.
3. Investment in Securities
For the six months ended October 31, 2014 (Gotham Absolute Return Fund, Gotham Enhanced Return Fund and Gotham Neutral Fund) and from the commencement of operations through October 31, 2014 (Gotham Absolute 500 Fund commenced operations on July 31, 2014), aggregate purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||
Gotham Absolute Return Fund | $ | 6,347,897,191 | $ | 4,801,996,011 | ||||
Gotham Absolute 500 Fund | 16,826,350 | 8,852,255 | ||||||
Gotham Enhanced Return Fund | 4,283,680,113 | 3,426,749,600 | ||||||
Gotham Neutral Fund | 2,196,353,574 | 1,468,364,519 |
4. Capital Share Transactions
For the six months ended October 31, 2014 (Gotham Absolute Return Fund, Gotham Enhanced Return Fund and Gotham Neutral Fund) and from the commencement of operations through October 31, 2014 (Gotham Absolute 500 Fund commenced operations on July 31, 2014), transactions in capital shares of the Funds (authorized shares unlimited) were as follows:
For the Period Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Gotham Absolute Return Fund: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 114,490,034 | $ | 1,567,884,684 | 114,871,940 | $ | 1,482,840,267 | ||||||||||
Reinvestments | — | — | 753,328 | 9,522,065 | ||||||||||||
Redemption Fees* | — | 165,078 | — | 64,412 | ||||||||||||
Redemptions | (18,567,620 | ) | (252,659,090 | ) | (5,065,727 | ) | (65,523,177 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 95,922,414 | $ | 1,315,390,672 | 110,559,541 | $ | 1,426,903,567 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Absolute 500 Fund: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 557,978 | $ | 5,576,788 | — | — | |||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 557,978 | $ | 5,576,788 | — | — | |||||||||||
|
|
|
|
|
|
|
|
68
GOTHAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For the Period Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Gotham Enhanced Return Fund: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 43,946,030 | $ | 565,688,309 | 34,242,031 | $ | 394,564,020 | ||||||||||
Proceeds from Shares issued in connection | — | — | 33,008,932 | 371,020,411 | ||||||||||||
Reinvestments | — | — | 435,768 | 4,902,396 | ||||||||||||
Redemption Fees* | — | 209,459 | — | 12,613 | ||||||||||||
Redemptions | (6,684,994 | ) | (84,632,927 | ) | (2,905,880 | ) | (34,062,828 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 37,261,036 | $ | 481,264,841 | 64,780,851 | $ | 736,436,612 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Neutral Fund: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 60,210,179 | $ | 680,652,081 | 20,810,372 | $ | 223,066,030 | ||||||||||
Reinvestments | — | — | 10,648 | 111,909 | ||||||||||||
Redemption Fees* | — | 80,454 | — | 28,314 | ||||||||||||
Redemptions | (5,816,999 | ) | (65,638,598 | ) | (434,182 | ) | (4,669,126 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 54,393,180 | $ | 615,093,937 | 20,386,838 | $ | 218,537,127 | ||||||||||
|
|
|
|
|
|
|
|
*There is a 1.00% redemption fee that may be charged on shares redeemed within 90 days of purchase. The redemption fees are retained by each Fund for the benefit of the remaining shareholders and recorded as paid-in-capital.
(a)See Note 7.
5. Securities Lending
Securities may be loaned to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board of Trustees, is invested in short-term investments and securities consistent with the Fund’s investment objective. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by the Adviser to be of good standing and only when, in the Adviser’s judgment, the income to be earned from the loans justifies the attendant risks. Any loans of a Fund’s securities will be fully collateralized and marked to market daily. During the period ended October 31, 2014, the Funds each had securities lending programs. The market value of securities on loan and collateral as of October 31, 2014 and the income generated from the programs during the period ended October 31, 2014 with respect to such loans are as follows:
69
GOTHAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Market Value of Securities Loaned | Market Value of Collateral | Income Received from Securities Lending | ||||||||||
Gotham Absolute Return Fund | $594,941,678 | $599,423,863 | $1,628,555 | |||||||||
Gotham Absolute 500 Fund | 155,926 | 157,920 | — | |||||||||
Gotham Enhanced Return Fund | 391,326,713 | 394,551,856 | 1,004,406 | |||||||||
Gotham Neutral Fund | 68,761,500 | 72,107,981 | 224,377 |
Securities lending transactions are entered into by the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Funds to the same counterparty against amounts to be received from that counterparty and create one single net payment due to or from the Funds. The following table is a summary of each of the Gotham Absolute Return Fund, the Gotham Absolute Return 500 Fund, the Gotham Enhanced Return Fund and the Gotham Neutral Fund’s open securities lending transactions which are subject to a MSLA as of October 31, 2014:
Gross Amount Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments* | Cash Collateral Received | Net Amount | |||||||||||||
Gotham Absolute Return Fund | $594,941,678 | $— | $594,941,678 | $— | $(594,941,678) | $— | ||||||||||||
Gotham Absolute 500 Fund | 155,926 | — | 155,926 | — | (155,926 | ) | — | |||||||||||
Gotham Enhanced Return Fund | 391,326,713 | — | 391,326,713 | — | (391,326,713 | ) | — | |||||||||||
Gotham Neutral Fund | 68,761,500 | — | 68,761,500 | — | (68,761,500 | ) | — |
* Amount disclosed is limited to the amount of assets presented in each Statement of Assets and Liabilities. Actual collateral received may be more than the amount shown.
6. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds had determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
The tax character of distributions paid by the Funds during the year ended April 30, 2014 were as follows:
Ordinary Income Dividend | Long-Term Capital Gain Dividend | ||||||||||||||||||
Gotham Absolute Return Fund | $ | 13,141,291 | $ | 50,047 | |||||||||||||||
Gotham Absolute 500 Fund | — | — | |||||||||||||||||
Gotham Enhanced Return Fund | 4,952,065 | — |
70
GOTHAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Ordinary Income Dividend | Long-Term Capital Gain Dividend | |||||||||||||
Gotham Neutral Fund | 116,920 | — |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | Other Temporary Difference | ||||||||||||||||
Gotham Absolute Return Fund | $— | $26,246,361 | $ 3,459,202 | $44,147,745 | $(974,130 | ) | ||||||||||||||
Gotham Absolute 500 Fund | — | — | — | — | — | |||||||||||||||
Gotham Enhanced Return Fund | — | 29,916,007 | 12,993,246 | 91,821,000 | (576,163 | ) | ||||||||||||||
Gotham Neutral Fund | — | 5,088,598 | — | 5,104,734 | (236,988 | ) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation | |||||||||||||
Gotham Absolute Return Fund | $ | 3,390,911,641 | $ | 270,718,843 | $ | (67,466,848 | ) | $ | 203,251,995 | |||||||
Gotham Absolute 500 Fund | 8,077,412 | 384,148 | (86,408 | ) | 297,740 | |||||||||||
Gotham Enhanced Return Fund | 2,219,047,204 | 213,301,298 | (40,925,725 | ) | 172,375,573 | |||||||||||
Gotham Neutral Fund | 1,006,658,472 | 64,079,205 | (17,689,086 | ) | 46,390,119 |
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and April 30 and late year ordinary losses ((i) ordinary losses between January 1 and April 30, and (ii) specified ordinary and currency losses between November 1 and April 30) as occurring on the first day of the following tax year. For the year ended April 30, 2014, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until May 1, 2014.
Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Gotham Absolute Return Fund, Gotham Enhanced Return Fund and Gotham Neutral Fund did not have any capital loss carryforwards.
71
GOTHAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
7. Fund Mergers
At a meeting of the Board of Trustees of the Trust held on October 29, 2013, the Board of Trustees approved an Agreement and Plan of Reorganization (the “Agreement”) to reorganize each of the Formula Investing U.S. Value 1000 Fund and the Formula Investing U.S. Value Select Fund into the Gotham Enhanced Return Fund, each a series of the Trust. The shareholders of each of the Formula Investing U.S. Value 1000 Fund and the Formula Investing U.S. Value Select Fund approved the Agreement during a special meeting of the shareholders held on February 5, 2014.
Immediately prior to the reorganization, the Formula Investing U.S. Value 1000 Fund had Class A Shares outstanding and the Formula Investing U.S. Value Select Fund had Class A Shares and Class I Shares outstanding, which were exchanged for Institutional Class Shares of the Gotham Enhanced Return Fund. The following is a summary of shares outstanding, net assets and net asset value per share for these Funds before and after the mergers took place after the close of business on February 7, 2014:
Before Reorganization | After Reorganization | |||||||||||||||
Formula Investing U.S. Value 1000 Fund | Formula Investing U.S. Value Select Fund | Gotham Enhanced Return Fund | Gotham Enhanced Return Fund | |||||||||||||
Class A | ||||||||||||||||
Shares | 4,212,398 | 15,223,282 | NA | NA | ||||||||||||
Net Assets | $ | 61,732,742 | $ | 233,895,124 | NA | NA | ||||||||||
Net Asset Value | $ | 14.66 | $ | 15.36 | NA | NA | ||||||||||
Class I | ||||||||||||||||
Shares | NA | 4,906,586 | NA | NA | ||||||||||||
Net Assets | NA | $ | 75,392,545 | NA | NA | |||||||||||
Net Asset Value | NA | $ | 15.37 | NA | NA | |||||||||||
Institutional Class | ||||||||||||||||
Shares | NA | NA | 19,042,428 | 52,051,360 | ||||||||||||
Net Assets | NA | NA | $ | 213,989,914 | $ | 585,010,325 | ||||||||||
Net Asset Value | NA | NA | $ | 11.24 | $ | 11.24 | ||||||||||
Fund Total | ||||||||||||||||
Shares Outstanding | 4,212,398 | 20,129,868 | 19,042,428 | 52,051,360 | ||||||||||||
Net Assets | $ | 61,732,742 | $ | 309,287,669 | $ | 213,989,914 | $ | 585,010,325 | ||||||||
Unrealized Appreciation (Depreciation) | $ | 11,047,133 | $ | 58,522,211 | $ | (11,030,934 | ) | $ | 58,538,410 |
Assuming this reorganization had been completed on May 1, 2013, the Gotham Enhanced Return Fund’s results of operations for the year ended April 30, 2014 would have been as follows:
Net Investment Income | $ 2,264,700 | |||||
Net realized and change in unrealized gains (losses) on | $209,971,190 | |||||
|
|
| ||||
Net increase in asset from operations | $212,235,890 |
72
GOTHAM FUNDS
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
Because the combined portfolios of investments have been managed as a single portfolio since the mergers were completed, it is not practical to separate the amounts of revenue and earnings to the Gotham Enhanced Return Fund that have been included in its statements of operations since the mergers.
8. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
73
GOTHAM FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how a Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (877) 974-6852 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Approval of Advisory Agreement
At an in-person meeting held on June 11-12, 2014 (the “Meeting”), the Board of Trustees (the “Board” or “Trustees”) of FundVantage Trust (“Trust”), including a majority of the Trustees who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), unanimously approved (i) the continuation of the advisory agreement between Gotham Asset Management, LLC (“Gotham” or the “Adviser”) and the Trust (the “Agreement”), with respect to the Gotham Absolute Return Fund (“Absolute Fund”), Gotham Enhanced Return Fund (“Enhanced Fund”) and Gotham Neutral Fund (“Neutral Fund”) (each, an “Existing Fund” and collectively, the “Existing Funds”) for an additional one year period; and (ii) the Agreement with respect to the Gotham Absolute 500 Fund (the “Absolute 500 Fund,” and, collectively with the Existing Funds, the “Funds”) for an initial two-year period.
In determining whether to approve the Agreement, the Trustees considered information provided by the Adviser in accordance with Section 15(c) of the 1940 Act. The Trustees considered information that the Adviser provided regarding (i) the services performed or to be performed for the Funds, (ii) the size and qualifications of the Adviser’s portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with a portfolio manager’s management of a Fund, (iv) investment performance, (v) the capitalization and financial condition of the Adviser, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Funds and other clients, (viii) results of any regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on the Adviser’s ability to service a Fund; (x) with respect to the Existing Funds, compliance with such Funds’ investment objectives, policies and practices (including codes of ethics and proxy voting policies) and (xi) compliance with federal securities laws and other regulatory requirements. At the Meeting, the Adviser also provided its most recent Form ADV for the Trustees’ review and consideration. The Trustees noted the reports and discussions with portfolio managers at Board meetings throughout the year covering matters such as the relative performance of the Existing Funds and compliance with the investment objectives, policies, strategies and limitations for the Existing Funds; the compliance of management personnel with the applicable code of ethics; and the adherence to fair value pricing procedures as established by the Board. At the Meeting, the Trustees received and reviewed a memorandum from legal counsel regarding the legal standard applicable to their review of the Agreement.
Representatives from Gotham attended the Meeting both in person and via teleconference. The representatives from Gotham discussed the firm’s history, performance and investment strategies in connection with the proposed approval of the Agreement and answered questions from the Board.
The Trustees considered the investment performance information for the Funds and the Adviser. With respect to the Existing Funds, the Trustees reviewed performance information for the Existing Funds as compared to their respective
74
GOTHAM FUNDS
Other Information
(Unaudited)
benchmark indices and Lipper categories for the year to date, one year and since inception periods ended March 31, 2014, as applicable. The Trustees also received performance information for the Existing Funds for the one year and since inception periods ended April 30, 2014, as applicable, as compared to their respective benchmark indices and other private funds managed by the Adviser in a similar manner. With respect to the Absolute 500 Fund, the Trustees reviewed performance information for a private fund managed by the Adviser and the performance information of the Absolute Fund including comparisons to the HFRI Equity Hedge Index, for the one year, three year and since inception periods from July 2009 through April 30, 2014. They concluded that the performance of each of the Existing Funds was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
The Adviser provided information regarding its advisory fees and an analysis of these fees in relation to the services provided or proposed to be provided to the Funds and any other ancillary benefits resulting from the Adviser’s relationship with the Funds. For each Fund, the Trustees also reviewed information regarding the fees the Adviser charges to other clients and evaluated explanations provided by the Adviser as to differences in fees charged to the Funds and other similarly managed accounts. The Trustees also discussed the limitations of the comparative expense information of the Funds, given the potential varying nature, extent and quality of the services provided by the advisers of other portfolios included in the Funds’ respective Lipper categories. The Trustees reviewed fees charged by other advisers that manage comparable mutual funds with similar strategies to those of the Funds. The Trustees concluded that the advisory fees and services provided by the Adviser are consistent with those of other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the Funds as measured by the information provided by Gotham.
The Board considered, among other data, the specific factors and related conclusions set forth below with respect to each Existing Funds:
Absolute Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds in the Lipper Absolute Return Fund category. With respect to performance, the Trustees noted that the Absolute Fund outperformed the HFRX Equity Hedge Index and the Lipper Absolute Return Fund category for the year to date, one year and since inception periods ended March 31, 2014 and also outperformed a private fund managed by the Adviser in a comparable manner for the one year and since inception periods ended April 30, 2014. Based on their review, the Trustees concluded that the performance of the Fund was satisfactory and that the advisory fee was reasonable in light of the high quality of services received by the Fund from the Adviser.
Enhanced Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds with a similar share class in the Lipper Alternative Long/Short Equity Fund category. With respect to performance, the Trustees noted that the Enhanced Fund outperformed the S&P 500 Daily Reinvestment Index and the Lipper Alternative Long/Short Equity Fund category for the year to date and since inception periods ended March 31, 2014 and also outperformed a private fund managed by the Adviser in a comparable manner for the since inception period ended April 30, 2014. Based on their review, the Trustees concluded that the performance of the Fund was satisfactory and that the advisory fee was reasonable in light of the high quality of services received by the Fund from the Adviser.
Neutral Fund. With respect to advisory fees and expenses, the gross advisory fee and net total expense ratio for the Fund’s Institutional Class shares were each higher than the gross advisory fee and net total expense ratio of the median of funds with a similar share class in the Lipper Alternative Equity Market-Neutral Fund category with $250 million or less in assets. With respect to performance, the Trustees noted that the Neutral Fund outperformed the Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index and the Lipper Alternative Equity Market-Neutral Fund category for the year to date and since inception periods ended March 31, 2014 and also outperformed a private fund managed by the Adviser in a comparable manner for the since inception period ended April 30, 2014. Based on their review, the Trustees
75
GOTHAM FUNDS
Other Information (Concluded)
(Unaudited)
concluded that the performance of the Fund was satisfactory and that the advisory fee was reasonable in light of the high quality of services received by the Fund from the Adviser.
The Trustees then considered the level and depth of knowledge of the Adviser, including the professional experience and qualifications of senior personnel. In evaluating the quality of services to be provided by the Adviser, the Board took into account its familiarity with the Adviser’s senior management through Board meetings, discussions and reports during the preceding year. The Board also took into account Gotham’s compliance policies and procedures and reports regarding the Adviser’s compliance operations from the Trust’s CCO. The Board also considered any potential conflicts of interest that may arise in a portfolio manager’s management of the Funds’ investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services provided or to be provided to each Fund by the Adviser and concluded that the nature, extent and quality of the services provided were appropriate and consistent with the terms of the Agreement, that the quality of the proposed services appeared to be consistent with industry norms and that the Funds are likely to benefit from the provision of those services. They also concluded that the Adviser has sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract and retain qualified personnel.
The Trustees considered the costs of the services provided by the Adviser, the compensation and benefits received by the Adviser in providing services to the Funds, as well as the Adviser’s profitability. The Trustees were provided with the Adviser’s most recent balance sheet. The Trustees considered any direct or indirect revenues which would be received by the Adviser. The Trustees noted that the level of profitability is an appropriate factor to consider, and the Trustees should be satisfied that Gotham’s profits are sufficient to continue as a healthy concern generally and as investment adviser of the Funds specifically. Based on the information provided, the Trustees concluded that the Adviser’s advisory fee level was reasonable in relation to the nature and quality of the services provided, taking into account the current size and projected growth of the Funds.
The Trustees considered the extent to which economies of scale would be realized relative to fee levels as each Fund grows, and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Board noted that economies of scale may be achieved at higher asset levels for each of the Funds for the benefit of fund shareholders but the advisory fee structure for the Fund did not currently include breakpoint reductions as asset levels increased.
In voting to approve the Agreement, the Board considered all factors it deemed relevant and the information presented to the Board by the Adviser. In arriving at its decision, the Board did not identify any single factor as being of paramount importance and each member of the Board gave varying weights to each factor according to his or her own judgment. The Board determined that the approval of the Agreement would be in the best interest of each Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, unanimously approved the Agreement with respect to the Absolute 500 Fund for an initial two year period and the continuation of the Agreement with respect to each Existing Fund for an additional one year period.
76
GOTHAM FUNDS
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site www.gothamfunds.com.
If you have questions or comments about our privacy practices, please call us at 1-877-974-6852.
77
Investment Adviser
Gotham Asset Management, LLC
535 Madison Avenue, 30th Floor
New York, NY 10022
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
LATEEF FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Dear Lateef Fund Shareholder:
While we do not take our underperformance this quarter or year to date lightly, our concentrated portfolio and high “active share” (discussed below) can, at times, lead to periods of large dislocation relative to the broad market. We believe that these same factors, however, create the best opportunity for us to not only reverse recent underperformance, but outperform over the long term.
Active share, a term that was introduced to the investment world over the past decade, measures the difference between portfolio weightings and weightings of constituents within a benchmark index. For long-only portfolios, this measurement ranges from 0% to 100% with index funds having an active share of 0% and typical active managers having an active share near 50%. The definition of an active manager has evolved over time. Whereas portfolios with less than 60% active share only accounted for 1.5% of the industry in 1980, they made up 44.8% of the industry in 2003. Conversely, portfolios with greater than 80% active share accounted for 42.8% of the industry in 1980, but only represented 23.3% in 2003.1
Investment managers have three basic methods to generate active share: (1) exclude stocks held in the benchmark, (2) include stocks not held in the benchmark, and (3) hold different weightings than the benchmark. While most small-cap managers gain active share through the second method, most large-cap managers rely on the third, as not holding the largest weights in a capitalization-weighted index, such as the S&P 500, creates risks for managers. In general, it is the magnitude of difference relative to the largest weightings in an index that matter, not the number of holdings in a portfolio.
With high active share, portfolios become more susceptible to volatility in performance. Market-capitalization weighted indices tend to skew overall index returns towards the largest weighted members regardless of whether they are representative of the full index. As low active share portfolios tend to hold these largest weights, their tracking errors decline.2 We would like to note that tracking error suggests difference as opposed to a mistake.
The chart below shows the median active share and tracking error for over 2,000 funds relative to their respective benchmarks. As active share increases, so do the volatility and dispersion of returns relative to the benchmarks. This makes intuitive sense, as having more active share means holding no, or lower, weightings of the companies that are weighted most when calculating market-weighted index returns. This study suggests that a Fund with 98% active share, like the Lateef Fund, could see normal dispersion in results relative to its benchmark of 11% in any given year. The Lateef Fund had an actual tracking error of 4.8% over the past 5 years.
1 | Cremers and Petajiisto. How Active is Your Fund Manager? A New Measure that Predicts Performance. International Center for Finance. Yale School of Management. March 2009. |
2 | Tracking error measures the deviation of returns relative to a benchmark. It is calculated as the standard deviation of the difference in returns between a portfolio and its benchmark. Tracking error is expressed as a yearly percentage of expected deviation. |
1
LATEEF FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Remembering that tracking error is not akin to underperformance and, in fact, works in both directions, the makeup of tracking error is sector rotation, market timing, and stock selection. Thus, a highly concentrated portfolio that ignores several sectors adopts the risk of having no exposure to an outperforming sector for a period of time, such as old-line technology coming back into favor in 2014.
Active share is a decisive factor in a portfolio’s ability to outperform the S&P 500 after fees, a goal that becomes less attainable when funds hug a benchmark. However, having high active share also opens a manager up to not having exposure in the most heavily weighted names in the S&P 500, potential sector and stock selection risk, and therefore tracking error. Through nine-months of 2014, the 25 largest companies in the S&P 500 accounted for 32.85% of the index and contributed 2.9% to the S&P 500’s total return.3
Our Lateef Fund portfolio is demonstrating this tracking error currently. At Lateef, we construct our portfolio based strictly on our view of price to intrinsic value, not market-capitalization. This, coupled with our concentrated portfolio, produces an active share of 98% and creates periods where our results can differ widely from the S&P 500. The diverse group of investment theses in our portfolio are uncorrelated and progressing in-line with our expectations. We continue to believe that this near term performance will reverse, and that our selection of high quality growth companies creates opportunity for us to not only catch up, but outperform the market over the long run.
3 | Calculated by Lateef using Bloomberg market data. |
2
LATEEF FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Divergent Views Implied by Equity and Bond Markets
Looking outside of our Lateef Fund portfolio and into debt and equity markets globally, we find contrasting outlooks and appetites for risk. There has been much speculation that the Federal Reserve is creating an asset bubble due to its accommodative monetary policy. The world’s bond markets have tested the consensus belief that money injected into the economy will lead to inflation. Carmen Reinhart and Kenneth Rogoff’s excellent research on the boom-to-bust cycles of sovereign debt has been often discussed by investors since the credit crisis. In This Time Is Different, the pair claim that that the issuance of sovereign debt inevitably leads to financial inflation. Many investors are familiar with this book. Nonetheless, world bond markets have appeared to be poor students.
As of the writing of this letter in early October, the short-term interest rate in Ireland was negative. Yes, negative. The Fisher Effect, which states that nominal interest rates are equal to the real rate plus inflation expectations, indicates that market must be expecting deflation in Ireland over the next two years. Longer term, inflation expectations are contracting as the 10-year note contracted 70 bps to 1.6% during the third quarter.4 Yet, Irish GDP expectations for the year recently increased from 2.5% to 4.5%.5 Furthermore, greater austerity has reduced loans to Irish residents from €1.5 million in November 2008 to roughly €700 thousand today. Consumer debt remains at 200% of disposable income and sovereign debt accounts for 124% of GDP.6 In 2013, Reinhart and Rogoff stated that “in most advanced economies, debt restructuring or conversions, financial repression, and higher inflation have been integral parts of the resolution of significant debt overhangs.”7 The tightness of money and the leverage ratios of the nation appear at odds with the price of money.
The effect of this backdrop on investors’ appetite for risk has been interesting. Equity markets appear to be constructive on the economy, yet bond markets are fearful. At the moment, the cost of the 10-year Treasury is higher in the United States than in Spain – apparently, a random number generator has replaced the capital asset pricing model.
The dollar has been strengthening throughout these European bond rallies. This is one of the reasons that Ireland’s economy is growing faster than expected, as exports to the non-euro trade partners of the United States and England are rising.
It is in this environment that we are more diligent on the competitive aspects of our businesses. Broad generalizations are not descriptive of the economic backdrops of various global markets. As we have stated before, we tend to hold companies exposed to capital investment rather than consumer consumption. Ireland provides an example of an economy where growth is resulting from investments rather than increased consumption.
4 | Bloomberg market data. |
5 | Central Bank of Ireland Quarterly Bulletin. October 2014. |
6 | International Monetary Fund data. |
7 | Reinhart and Rogoff. Financial and Sovereign Debt Crisis: Some Lessons Learned and Those Forgotten. IMF Working Paper. December. 2013. |
3
LATEEF FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
As we peel back the layers of various economies, we are committing more and more of our time to how our companies fit and interact with each. We believe these insights are critical for investing in domestic equities that are situated in a global marketplace and will continue to focus on understanding how local economies impact on our holdings.
Changes to the Fund
During the quarter, we added Celgene Corporation (CELG) to our portfolio. We also sold our position in Motorola Solutions (MSI) and Waters Corporation (WAT).
Celgene (CELG) is a leading biopharmaceutical company that discovers, develops, and commercializes therapies that treat cancer and immune-inflammatory related diseases. We believe that Celgene’s dominant position in the treatment of multiple myeloma creates substantial cash flows that are underappreciated by the market. Its therapy, Revlimid, is considered the backbone for treating multiple myeloma, a disease that inflicts over 24,000 new adults in the US each year. With over $4B of sales in 2013, opportunities to expand both geographic reach and treatment duration, and high incremental margins post initial R&D, we believe Revlimid should generate predictable and growing cash flows until patent expiry.
When we opened our position, a patent infringement dispute over Revlimid had created an overhang on Celgene’s shares (Revlimid’s polymorph patent expires in 2027). Our thesis is agnostic to this patent dispute due to the multitude of outcomes inherent in the business between now and 2024, the year many experts peg as the downside scenario. Instead, we view that the market has substantially undervalued the cash flows generated by Revlimid and Celgene’s other therapies, which holds true regardless of whether Revlimid’s patent protection ends in 2024 or 2027. Wall Street routinely ascribes little to no return on these cash flows as cash deployed toward internal R&D or pipeline acquisitions are highly uncertain and have binary success rates, thus making them hard to model. Outside of Revlimid, Celgene’s other key lines of therapy include Abraxane, which treats breast and pancreatic cancer, and Otezla, which aims to fill the gap between less effective generics and more expensive biologics in the treatment of psoriatic arthritis and psoriasis.
At the end of the third quarter, we exited our position in Motorola Solutions (MSI). Motorola Solutions had a dominant position in mission critical communications equipment, a high degree of predictability from its recurring revenues, and potential to improve operational and ROIC metrics as a pure-play following the split from Motorola Mobility. Our thesis was that a recovery in municipal spending would drive growth in its Government business while a cyclical recovery would drive growth in its Enterprise business. This thesis was challenged as the adoption curve for government entities proved more challenging than anticipated as spending remained constrained by budgets and time. This made Motorola Solutions less tied to a technology upgrade cycle and more tied to economic factors outside of its control than we believed. Further, management announced the sale of its Enterprise business to Zebra Technologies, essentially trading a growing asset for cash without providing shareholders with an adequate premium. Given slower
4
LATEEF FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
projected top line growth post-Enterprise sale and our lower confidence in Motorola Solution’s ability to drive adoption at the state and local level, we see limited upside in its fair value.
Towards the end of the third quarter, we began selling our position in Waters (WAT). Waters, a manufacturer of analytical instruments, has a leading position in high performance liquid chromatography, a market where its instruments commanded a premium, and significant market share in mass spectrometry. Sales of consumables for these instruments creates a highly predictable stream of recurring revenues. We believed that Waters would benefit from rising pill counts around the world, particularly in emerging markets, given that its analytical instruments facilitate regulatory approval and quality control. We also viewed the company’s below trend line growth in 2012 as an opportunity for reversion to the mean in mature markets and greenfield growth in emerging markets. However, the slowdown in emerging markets along with the cutback in spending by traditional pharmaceutical companies challenged this thesis. The lack of diversification in Waters’ end markets made it more susceptible to delays in large ticket orders and provided few levers to pull as growth slowed. Waters’ inability to drive growth despite a boom in biotechnology and rising pill counts globally raised concerns that a reversion to traditional growth rates would be more difficult than originally modeled. Given these concerns, we lowered our growth estimates and terminal multiple in our valuation model, bringing Waters’ fair value closer to its current share price and limiting its upside.
Adding to these concerns was the clouded long-term path of the company. Long-time CEO Douglas Berthiaume announced plans to retire last August, which was soon followed by the resignation of CFO John Ornell. More than one year has passed and Waters has yet to hire its next set of leaders. An outright sale of the business, which we viewed to be a wildcard, also seems increasingly less likely.
Conclusion
The Lateef Fund trailed the S&P 500’s total return of 1.1% for the third quarter and 8.3% for the nine months ending September 30, 2014. In the third quarter, the Lateef Fund earned a total return of -3.5%8, bringing our year-to-date return to -0.3%. The Fund gained 2.76% for the month of October 2014 versus 2.44% for the S&P 500. The annualized, since inception (September 2007) return through October 31, 2014 for the Fund was 7.18% versus the S&P 500’s 6.74%.
As we review and refine our individual company theses in light of new unsystematic events and the increasingly divergent economic backdrops in which they operate, we will continue to search for new investment ideas that fit our strict definition of high quality growth. By building our portfolio based on upside to intrinsic value rather than benchmarks, we will be exposed to the potential volatility that comes with having such high active share. We believe that this same active share, while working against us currently, will enable us to outperform over the long term.
8 | For the purposes of this letter, we utilize the investment returns for the Lateef Fund Institutional Class I shares (ticker: LIMIX). Please see page 9 for more complete performance information. |
5
LATEEF FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Investing is a tension between reversion to the mean and capital destruction. Our analysis of our portfolio has proven to us that we are due for a reversion to the mean. In our view, the competitive positions of our companies are not weaker now compared to when we started our positions. We believe that their valuations, on a relative basis, create a buying opportunity for this portfolio.
As always, thank you for your support and we look forward to continuing our partnership.
Sincerely,
Lateef Investment Management
~ Celebrating 40 Years of Exceptional Results in Investment Management ~
All opinions and data included in this commentary are as of September 30, 2014 and are subject to change. The opinions and views expressed herein are of Lateef Investment Management, L.P. and may differ from others and are not intended to be seen as fact, a forecast of future events, a guarantee of future results or investment advice. This information should not be used as the sole basis to make any investment decision. The statistics have been obtained from sources believed to be reliable, but the accuracy and completeness of this information cannot be guaranteed. Neither Lateef Investment Management nor its information providers are responsible for any damages or losses arising from any use of this information. No investment strategy can assure a profit or protect against loss. Past performance is no guarantee of future results.
6
LATEEF FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Lateef Fund Q3 Leaders & Laggards
During the quarter, our bottom three performers were Trimble Navigation (TRMB), Wynn Resorts (WYNN), and Nielsen (NLSN). Wynn was one of our bottom contributors in the second quarter.
Trimble Navigation (TRMB) underperformed this quarter as weak demand from its US agriculture end market overshadowed continued strong sales outside of the US and in its other end market of Engineering & Construction. In early July, the company was downgraded by the street due to concerns over low commodity prices suppressing farm income, and thus demand for Trimble’s agriculture solutions. Further, several analysts highlighted a maturing market for farm navigation equipment within the US, a point that management had discussed during their earnings call in May. Trimble’s shares briefly rebounded in early August when the company reported second quarter results that beat expectations. Outside of the expected weakness in North American agriculture, Field Solutions continued to grow at double-digit rate in South America and Asia-Pacific. Trimble also grew at a rapid pace in its fast-adopting end market of Engineering & Construction.
We met with Trimble’s management several times during this quarter to discuss the weakness in agriculture and the threat of a new normal of lower commodity prices. We continue to believe that, over the long-term, Trimble’s ROI-enhancing solutions will provide economic value to farmers through cost reductions and yield improvement, factors that only grow in importance with greater weather pattern fluctuations and lower farm incomes. Assuming low double-digit top line growth and minimal margin improvement, Trimble’s fair value provides significant upside to its current price.
Despite beating expectations during its second quarter earnings announcement at the end of July, shares of Wynn Resorts (WYNN) have declined following several consecutive months of slowing Macau gaming data. Recently, the VIP gaming segment has been pressured by (1) a stricter restriction on Visas limiting duration of stay in Macau, (2) a pullback in credit available to VIP gaming customers from junket operators, and (3) an anti-corruption campaign by the Chinese government that has suppressed visits from both VIP and premium mass market customers. These concerns have weighed on the Macau gaming sector as a whole, causing local operators to decline over 20% during the quarter. Other US-based operators with high Macau exposure, such as Las Vegas Sands, have declined nearly 20% as well.
We continue to view the long-term prospects of Macau gaming positively and believe that VIP gaming, while shrinking currently, will eventually recover and complement the 20%+ growth in mass market gaming. Uncertainty surrounding Wynn’s final table allotment and threat of wage inflation remains; however, we believe today’s valuation provides an adequate margin of safety. Wynn remains on track to potentially double its number of gaming tables and more than double its room capacity with the opening of Wynn Palace in February 2016. At run-rate, the company has potential to more than double its $1.4B in Macau property EBITDA with this new casino resort.
7
LATEEF FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Shares of Nielsen (NLSN) pulled back this quarter after earning a total return of 9% during the second quarter. Shares nearly breached $50 at the beginning of the quarter before retreating back to the mid-$40s. The company reported second quarter earnings in July. Despite beating on the top and bottom line, management kept their full-year guidance intact, raising concerns over slowing spending by the consumer packaged goods industry and margin compression. While management’s steadfast commitment to expand developing market coverage will weigh on margins near term, they are investing for future growth which we believe should generate attractive returns on these investments long term. With mid-single-digit top line growth, continued operating efficiency improvements, deleveraging, and steady share buybacks, we believe Nielsen can grow earnings per share in the low-to-mid double-digits over the long term.
Celgene (CELG), Robert Half (RHI), and Stanley Black & Decker (SWK) were our top contributors this quarter. As discussed earlier, Celgene is a new position purchased at the beginning of this quarter.
Robert Half (RHI) continues to benefit from an improving job market within the US. Shares spiked to over $52 in late July after the company reported second quarter results that beat both management’s guidance and street expectations. On a same-day, constant-currency basis, global staffing grew 9% year-over-year with temporary staffing and permanent placement growing 8% and 14%, respectively. This was the fastest pace of growth for temporary and permanent placement since the second quarter of 2012. We continue to see upside in Robert Half driven by a recovery in the US and internationally, where staffing currently lags the US, but remains on an upward trajectory.
Stanley Black & Decker (SWK) has been one of the Fund’s top performers through the first nine months of this year. After being our worst performer in the last quarter of 2013, Stanley has since reported two consecutive quarters that beat street estimates. In July, the company reported second quarter earnings that beat estimates as outperformance in its industrials end market along with better cost management throughout the company, offset a miss on the top line. The revenue miss was caused by a shortened outdoor selling season and emerging market volatility. Stanley’s European Security business also showed its first signs of improvement following the company’s restructuring activities that began in the third quarter of 2013. We continue to believe that Stanley’s growth initiatives, such as their rollout of mid-price point tools in emerging markets and their focus on industry verticals in Security, will help drive consistent long-term growth. This, coupled with initiatives to improve top- and bottom-line results in its European Security business gives Stanley continued upside from today’s levels.
This letter is intended to assist shareholders in understanding how the Fund performed during the six months ended October 31, 2014 and reflects the views of the investment adviser at the time of this writing. Of course, these views may change and do not guarantee the future performance of the Fund, its holdings or the markets. Discussion of particular Fund holdings is not intended as a recommendation to buy, hold or sell those securities. The Fund’s portfolio composition is subject to change. Current and future portfolio holdings are subject to investment risks. Actual events may differ from the earnings projections and other forward-looking statements presented herein. Visit www.lateef.com to see the Fund’s most recently published holdings list.
8
LATEEF FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||||||||
Six Months† | 1 Year | 3 Years | 5 Years | Since Inception* | ||||||||||
Class A Shares (without sales charge) | 3.24% | 10.89% | 16.26% | 15.14% | 6.90% | |||||||||
Class A Shares (with sales charge) | -1.94% | 5.35% | 14.29% | 13.96% | 6.13% | |||||||||
Class C Shares | 2.82% | 10.06% | 15.38% | 14.28% | 6.07% | |||||||||
Class I Shares | 3.40% | 11.16% | 16.57% | 15.42% | 7.18% | |||||||||
Russell 3000® Index | 7.64% | 16.07% | 19.77% | 17.01% | 6.98%** | |||||||||
S&P 500® Index | 8.22% | 17.27% | 19.77% | 16.69% | 6.74%** |
† | Not Annualized. |
* | The Lateef Fund (the “Fund”) commenced operations on September 6, 2007. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 499-2151.
The returns shown for Class A Shares reflect a deduction for the maximum front-end sales charge of 5.00%. All of the Fund’s share classes apply a 2.00% redemption fee to the value of shares redeemed within 30 days of purchase. This redemption fee is not reflected in the returns shown above. The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated September 1, 2014, are 1.41% and 1.24% for Class A Shares, 2.16% and 1.99% for Class C Shares and 1.16% and 0.99% for Class I Shares, respectively, of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Lateef Investment Management, L.P. (“the Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 0.99% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until August 31, 2015, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
All mutual fund investing involves risk, including possible loss of principal. The Fund is non-diversified, which means that a portion of the Fund’s assets may be invested in one or few companies or sectors. The Fund could fluctuate in value more than a diversified fund.
The Fund intends to evaluate performance as compared to that of the Standard & Poor’s 500® Composite Price Index (“S&P 500®”) and the Russell 3000® Index. The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. The Russell 3000® Index is an unmanaged index that measures the performance of the 3,000 largest U.S. stocks, representing about 98% of the total capitalization of the entire U.S. stock market. It is impossible to invest directly in an index.
9
LATEEF FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs including sales charges (loads) on purchase payments (if any) or redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from May 1, 2014 through October 31, 2014 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any) or redemption fees. Therefore, each hypothetical line of the accompanying 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.
10
LATEEF FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
Lateef Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Class A Shares | |||||||||||||||
Actual | $1,000.00 | $1,032.40 | $ 6.35 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.95 | 6.31 | ||||||||||||
Class C Shares | |||||||||||||||
Actual | $1,000.00 | $1,028.20 | $10.17 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.17 | 10.11 | ||||||||||||
Class I Shares | |||||||||||||||
Actual | $1,000.00 | $1,034.00 | $ 5.08 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.21 | 5.04 |
* | Expenses are equal to an annualized expense ratio for the six month period ended October 31, 2014 of 1.24%, 1.99%, and 0.99% for Class A, Class C, and Class I Shares, respectively, for the Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. The Fund’s ending account values on the first line in the table are based on the actual six month total returns for the Fund of 3.24%, 2.82%, and 3.40% for Class A, Class C, and Class I Shares, respectively. |
11
LATEEF FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
COMMON STOCKS: | ||||||||||
Industrial | 13.8 | % | $ | 120,162,847 | ||||||
Commercial Services | 10.7 | 93,193,854 | ||||||||
Consumer, Non-cyclical | 10.1 | 88,048,409 | ||||||||
Media | 9.3 | 80,922,296 | ||||||||
Financial | 8.2 | 71,521,687 | ||||||||
Diversified Financial Services | 8.1 | 70,693,243 | ||||||||
Lodging | 7.3 | 63,069,449 | ||||||||
Electronics | 6.7 | 57,677,900 | ||||||||
Hand/Machine Tools | 5.6 | 48,146,036 | ||||||||
Machinery-Diversified | 5.5 | 47,962,433 | ||||||||
Communications | 4.3 | 37,259,481 | ||||||||
Technology | 4.0 | 34,665,253 | ||||||||
Real Estate | 3.3 | 28,271,735 | ||||||||
Other Assets In Excess of Liabilities | 3.1 | 26,483,863 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 868,078,486 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
12
LATEEF FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 96.9% |
| |||||||
Commercial Services — 10.7% |
| |||||||
Robert Half International, Inc. | 894,209 | $ | 48,984,769 | |||||
Towers Watson & Co., Class A | 400,844 | 44,209,085 | ||||||
|
| |||||||
93,193,854 | ||||||||
|
| |||||||
Communications — 4.3% |
| |||||||
Nielsen Holdings NV (Netherlands) | 876,900 | 37,259,481 | ||||||
|
| |||||||
Consumer, Non-cyclical — 10.1% |
| |||||||
Celgene Corp.* | 431,130 | 46,169,712 | ||||||
Hospira, Inc.* | 779,864 | 41,878,697 | ||||||
|
| |||||||
88,048,409 | ||||||||
|
| |||||||
Diversified Financial Services — 8.1% |
| |||||||
Affiliated Managers Group, Inc.* | 177,116 | 35,386,006 | ||||||
T. Rowe Price Group, Inc. | 430,104 | 35,307,237 | ||||||
|
| |||||||
70,693,243 | ||||||||
|
| |||||||
Electronics — 6.7% |
| |||||||
AMETEK, Inc. | 1,106,000 | 57,677,900 | ||||||
|
| |||||||
Financial — 8.2% |
| |||||||
Aon PLC (United Kingdom) | 413,650 | 35,573,900 | ||||||
Progressive Corp. (The) | 1,361,143 | 35,947,787 | ||||||
|
| |||||||
71,521,687 | ||||||||
|
| |||||||
Hand/Machine Tools — 5.6% |
| |||||||
Stanley Black & Decker, Inc. | 514,161 | 48,146,036 | ||||||
|
| |||||||
Industrial — 13.8% |
| |||||||
Danaher Corp. | 531,457 | 42,729,143 | ||||||
Trimble Navigation Ltd.* | 1,358,057 | 36,477,411 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Industrial — (Continued) | ||||||||
Tyco International, Ltd. (Switzerland) | 954,025 | $ | 40,956,293 | |||||
|
| |||||||
120,162,847 | ||||||||
|
| |||||||
Lodging — 7.3% |
| |||||||
Wynn Resorts, Ltd. | 331,927 | 63,069,449 | ||||||
|
| |||||||
Machinery-Diversified — 5.5% |
| |||||||
Wabtec Corp. | 555,764 | 47,962,433 | ||||||
|
| |||||||
Media — 9.3% |
| |||||||
Scripps Networks Interactive, Inc., Class A | 525,430 | 40,584,213 | ||||||
Twenty-First Century Fox, Inc., Class A | 1,169,898 | 40,338,083 | ||||||
|
| |||||||
80,922,296 | ||||||||
|
| |||||||
Real Estate — 3.3% |
| |||||||
Jones Lang LaSalle, Inc. | 209,095 | 28,271,735 | ||||||
|
| |||||||
Technology — 4.0% |
| |||||||
Accenture PLC, Class A (Ireland) | 427,333 | 34,665,253 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 841,594,623 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 96.9% (Cost $682,831,788) | 841,594,623 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.1% | 26,483,863 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 868,078,486 | ||||||
|
|
* | Non-income producing. |
The accompanying notes are an integral part of the financial statements.
13
LATEEF FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | ||||
Investments, at value (Cost $682,831,788) | $ | 841,594,623 | ||
Cash | 27,969,680 | |||
Receivable for capital shares sold | 592,172 | |||
Dividends and interest receivable | 711,016 | |||
Prepaid expenses and other assets | 95,427 | |||
|
| |||
Total assets | 870,962,918 | |||
|
| |||
Liabilities | ||||
Payable for capital shares redeemed | 1,968,384 | |||
Payable to Investment Adviser | 587,789 | |||
Payable for administration and accounting fees | 139,998 | |||
Payable for transfer agent fees | 73,685 | |||
Payable for distribution fees | 54,158 | |||
Payable for custodian fees | 14,382 | |||
Payable for shareholder service fees | 9,962 | |||
Accrued expenses | 36,074 | |||
|
| |||
Total liabilities | 2,884,432 | |||
|
| |||
Net Assets | $ | 868,078,486 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 586,475 | ||
Paid-in capital | 642,974,910 | |||
Accumulated net investment income | 2,586,406 | |||
Accumulated net realized gain from investments | 63,167,860 | |||
Net unrealized appreciation on investments | 158,762,835 | |||
|
| |||
Net Assets | $ | 868,078,486 | ||
|
| |||
Class A: |
Net asset value, offering and redemption price per share | $14.66 | |||
|
| |||
Maximum offering price per share (100/95 of $14.66) | $15.43 | |||
|
| |||
Class C: | ||||
Net asset value, offering and redemption price per share | $13.84 | |||
|
| |||
Class I: | ||||
Net asset value, offering and redemption price per share | $14.90 | |||
|
|
The accompanying notes are an integral part of the financial statements.
14
LATEEF FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Dividends | $ | 4,843,518 | ||
Less: foreign taxes withheld | (50,509 | ) | ||
Interest | 824 | |||
|
| |||
Total investment income | 4,793,833 | |||
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| |||
Expenses | ||||
Advisory fees (Note 2) | 4,279,420 | |||
Administration and accounting fees (Note 2) | 278,695 | |||
Distribution fees (Class C) (Note 2) | 189,095 | |||
Transfer agent fees (Note 2) | 174,531 | |||
Distribution fees (Class A) (Note 2) | 173,404 | |||
Shareholder services fees | 63,032 | |||
Custodian fees (Note 2) | 41,012 | |||
Registration and filing fees | 39,615 | |||
Trustees’ and officers’ fees (Note 2) | 34,450 | |||
Legal fees | 26,554 | |||
Printing and shareholder reporting fees | 23,994 | |||
Audit fees | 13,694 | |||
Other expenses | 32,635 | |||
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Total expenses before waivers and reimbursements | 5,370,131 | |||
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| |||
Less: waivers and reimbursements (Note 2) | (608,328 | ) | ||
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Net expenses after waivers and reimbursements | 4,761,803 | |||
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Net investment income | 32,030 | |||
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| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized gain from investments | 32,424,024 | |||
Net change in unrealized depreciation on investments | (4,998,222 | ) | ||
|
| |||
Net realized and unrealized gain on investments | 27,425,802 | |||
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| |||
Net increase in net assets resulting from operations | $ | 27,457,832 | ||
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The accompanying notes are an integral part of the financial statements.
15
LATEEF FUND
Statement of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||
Increase in net assets from operations: | ||||||||||
Net investment income | $ | 32,030 | $ | 3,551,361 | ||||||
Net realized gain from investments and written options | 32,424,024 | 68,671,547 | ||||||||
Net change in unrealized appreciation/(depreciation) from investments | (4,998,222 | ) | 65,897,966 | |||||||
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| |||||||
Net increase in net assets resulting from operations: | 27,457,832 | 138,120,874 | ||||||||
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| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Net investment income: | ||||||||||
Class A | — | (50,102 | ) | |||||||
Class I | — | (946,883 | ) | |||||||
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| |||||||
Total net investment income | — | (996,985 | ) | |||||||
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| |||||||
Net realized capital gains: | ||||||||||
Class A | — | (6,983,852 | ) | |||||||
Class C | — | (2,501,337 | ) | |||||||
Class I | — | (29,381,627 | ) | |||||||
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| |||||||
Total net realized capital gains | — | (38,866,816 | ) | |||||||
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| |||||||
Net decrease in net assets from dividends and distributions to shareholder | — | (39,863,801 | ) | |||||||
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| |||||||
Decrease in Net Assets Derived from Capital Share | (8,810,831 | ) | 104,730,544 | |||||||
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| |||||||
Total increase in net assets | 18,647,001 | 202,987,617 | ||||||||
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| |||||||
Net assets | ||||||||||
Beginning of period | 849,431,485 | 646,443,868 | ||||||||
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| |||||||
End of period | $ | 868,078,486 | $ | 849,431,485 | ||||||
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| |||||||
Accumulated net investment income, end of period | $ | 2,586,406 | $ | 2,554,376 | ||||||
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The accompanying notes are an integral part of the financial statements.
16
LATEEF FUND
Financial Highlights
Contained below is per share operating performance data for Class A Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class A | ||||||||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Year Ended April 30, 2011 | For the Year Ended April 30, 2010 | |||||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.20 | $ | 12.45 | $ | 11.73 | $ | 10.76 | $ | 9.07 | $ | 6.91 | ||||||||||||||||||
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Net investment income/(loss)(1) | (0.01 | ) | 0.04 | — | (2) | (0.05 | ) | (0.04 | ) | (0.05 | ) | |||||||||||||||||||
Net realized and unrealized gain on investments | 0.47 | 2.40 | 1.23 | 1.02 | 1.73 | 2.21 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Net increase in net assets resulting from operations | 0.46 | 2.44 | 1.23 | 0.97 | 1.69 | 2.16 | ||||||||||||||||||||||||
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Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | — | — | (2) | (0.02 | ) | — | — | — | ||||||||||||||||||||||
Net realized capital gains | — | (0.69 | ) | (0.49 | ) | — | — | — | ||||||||||||||||||||||
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| |||||||||||||||||||
Total dividends and distributions to shareholders | — | (0.69 | ) | (0.51 | ) | — | — | — | ||||||||||||||||||||||
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Net asset value, end of period | $ | 14.66 | $ | 14.20 | $ | 12.45 | $ | 11.73 | $ | 10.76 | $ | 9.07 | ||||||||||||||||||
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Total investment return(3) | 3.24 | % | 19.92 | % | 10.92 | % | 9.02 | % | 18.63 | % | 31.26 | % | ||||||||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 114,681 | $ | 148,897 | $ | 120,871 | $ | 82,128 | $ | 68,230 | $ | 46,570 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.24 | %(4) | 1.24 | % | 1.24 | % | 1.24 | % | 1.30 | % | 1.76 | % | ||||||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(5) | 1.38 | %(4) | 1.41 | % | 1.45 | % | 1.50 | % | 1.59 | % | 1.93 | % | ||||||||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.14 | )%(4) | 0.31 | % | 0.04 | % | (0.44 | )% | (0.38 | )% | (0.60 | )% | ||||||||||||||||||
Portfolio turnover rate | 14.14 | %(6) | 40.77 | % | 28.29 | % | 35.98 | % | 31.77 | % | 17.64 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. Total investment return does not reflect the impact of the maximum front-end sales load of 5.00%. If reflected, the return would be lower. |
(4) | Annualized. |
(5) | During the period, certain fees were waived. If such fee waivers had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
17
LATEEF FUND
Financial Highlights
Contained below is per share operating performance data for Class C Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class C | ||||||||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Year Ended April 30, 2011 | For the Year Ended April 30, 2010 | |||||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.46 | $ | 11.91 | $ | 11.30 | $ | 10.45 | $ | 8.87 | $ | 6.81 | ||||||||||||||||||
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| |||||||||||||||||||
Net investment loss(1) | (0.06 | ) | (0.06 | ) | (0.08 | ) | (0.12 | ) | (0.10 | ) | (0.11 | ) | ||||||||||||||||||
Net realized and unrealized gain on investments | 0.44 | 2.30 | 1.18 | 0.97 | 1.68 | 2.17 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Net increase in net assets resulting from operations | 0.38 | 2.24 | 1.10 | 0.85 | 1.58 | 2.06 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||||
Net realized capital gains | — | (0.69 | ) | (0.49 | ) | — | — | — | ||||||||||||||||||||||
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Net asset value, end of period | $ | 13.84 | $ | 13.46 | $ | 11.91 | $ | 11.30 | $ | 10.45 | $ | 8.87 | ||||||||||||||||||
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| |||||||||||||||||||
Total investment return(2) | 2.82 | % | 19.08 | % | 10.14 | % | 8.13 | % | 17.81 | % | 30.25 | % | ||||||||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 48,934 | $ | 50,080 | $ | 39,133 | $ | 30,363 | $ | 28,086 | $ | 26,081 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.99 | %(3) | 1.99 | % | 1.99 | % | 1.99 | % | 2.05 | % | 2.51 | % | ||||||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 2.13 | %(3) | 2.16 | % | 2.19 | % | 2.25 | % | 2.34 | % | 2.68 | % | ||||||||||||||||||
Ratio of net investment loss to average net assets | (0.90 | )%(3) | (0.44 | )% | (0.71 | )% | (1.19 | )% | (1.13 | )% | (1.35 | )% | ||||||||||||||||||
Portfolio turnover rate | 14.14 | %(5) | 40.77 | % | 28.29 | % | 35.98 | % | 31.77 | % | 17.64 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. Total return does not reflect any applicable sales charge. |
(3) | Annualized. |
(4) | During the period, certain fees were waived. If such fee waivers had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
18
LATEEF FUND
Financial Highlights
Contained below is per share operating performance data for Class I Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class I | ||||||||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Year Ended April 30, 2011 | For the Year Ended April 30, 2010 | |||||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.41 | $ | 12.61 | $ | 11.87 | $ | 10.87 | $ | 9.13 | $ | 6.94 | ||||||||||||||||||
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| |||||||||||||||||||
Net investment income/(loss)(1) | 0.01 | 0.08 | 0.03 | (0.02 | ) | (0.01 | ) | (0.03 | ) | |||||||||||||||||||||
Net realized and unrealized gain on investments | 0.48 | 2.43 | 1.25 | 1.02 | 1.75 | 2.22 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Net increase in net assets resulting from operations | 0.49 | 2.51 | 1.28 | 1.00 | 1.74 | 2.19 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.02 | ) | (0.05 | ) | — | — | — | ||||||||||||||||||||||
Net realized capital gains | — | (0.69 | ) | (0.49 | ) | — | — | — | ||||||||||||||||||||||
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Total dividends and distributions to shareholders | — | (0.71 | ) | (0.54 | ) | — | — | — | ||||||||||||||||||||||
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Net asset value, end of period | $ | 14.90 | $ | 14.41 | $ | 12.61 | $ | 11.87 | $ | 10.87 | $ | 9.13 | ||||||||||||||||||
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| |||||||||||||||||||
Total investment return(2) | 3.40 | % | 20.21 | % | 11.22 | % | 9.20 | % | 19.06 | % | 31.56 | % | ||||||||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 704,464 | $ | 650,454 | $ | 486,440 | $ | 283,124 | $ | 157,616 | $ | 74,896 | ||||||||||||||||||
Ratio of expenses to average net assets | 0.99 | %(3) | 0.99 | % | 0.99 | % | 0.99 | % | 1.05 | % | 1.48 | % | ||||||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 1.13 | %(3) | 1.16 | % | 1.19 | % | 1.25 | % | 1.34 | % | 1.68 | % | ||||||||||||||||||
Ratio of net investment income/(loss) to average net assets | 0.10 | %(3) | 0.56 | % | 0.29 | % | (0.19 | )% | (0.13 | )% | (0.35 | )% | ||||||||||||||||||
Portfolio turnover rate | 14.14 | %(5) | 40.77 | % | 28.29 | % | 35.98 | % | 31.77 | % | 17.64 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived. If such fee waivers had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
19
LATEEF FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Lateef Fund (the “Fund”) is a non-diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), which commenced investment operations on September 6, 2007. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares, Class A, Class C and Class I Shares. Class A Shares are sold subject to a front-end sales charge. Front-end sales charges may be reduced or waived under certain circumstances. A contingent deferred sales charge (“CDSC”) may be applicable to the purchase of Class A Shares. A CDSC, as a percentage of the lower of the original purchase price or net asset value at redemption, of up to 1.00% may be imposed on full or partial redemptions of Class A Shares made within eighteen months of purchase where: (i) $1 million or more of Class A Shares were purchased without an initial sales charge and (ii) the selling broker-dealer received a commission for such sale.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost which approximates fair value. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Options are valued at last sale price. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
20
LATEEF FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Investments in Securities* | $ | 841,594,623 | $ | 841,594,623 | $ | — | $ | — | ||||||||
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|
* | Please refer to Portfolio of Investments for details on portfolio holdings. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or are otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase
21
LATEEF FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting quidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of
22
LATEEF FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Purchased Options — The Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives. The Fund purchases option contracts. This transaction is used to hedge against changes in interest rates, foreign exchange rates and values of equities. An option contract is a commitment that gives the purchaser of the contract the right, but not the obligation, to buy or sell an underlying asset at a specific price on or before a specified future date. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
Options Written — The Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives and may enter into options written to hedge against changes in interest rates, foreign exchange rates and values of equities. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on a domestic securities exchange or issued by the Options Clearing Corporation. An option contract is a commitment that gives the purchaser of the contract the right, but not the obligation, to buy or sell an underlying asset at a specific price on or before a specified future date. On the other hand, the writer of an option contract is obligated, upon the exercise of the option, to buy or sell an underlying asset at a specific price on or before a specified future date. The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call options is potentially unlimited. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Fund also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are initially recorded as liabilities to the extent of premiums received and subsequently marked to market to reflect the current value of the option written. Gains or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received. Listed option contracts present minimal counterparty credit risk since they are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against
23
LATEEF FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
default. A Fund’s maximum risk of loss from counterparty credit risk related to OTC option contracts is limited to the premium paid.
During the six months ended October 31, 2014, the Fund did not enter into written option contracts.
2. Transactions with Affiliates and Related Parties
Lateef Investment Management, L.P. (“Lateef” or the “Adviser”) serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 1.00% of the Fund’s average daily net assets under $500 million; 0.95% of the Fund’s average daily net assets of $500 million or more but less than $1 billion; and 0.90% of the Fund’s average daily net assets of $1 billion and over. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 0.99% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until August 31, 2015, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. Each class of shares of the Fund pays its respective pro-rata portion of the advisory fee payable by the Fund.
As of October 31, 2014, investment advisory fees payable to the Adviser were $587,789. For the six months ended October 31, 2014, the Adviser waived fees of $608,328.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets and is subject to certain minimum monthly fees.
For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund.
24
LATEEF FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Class A and Class C Shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Class A and Class C Shares plan, the Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25% and 1.00% (0.75% distribution fee and 0.25% shareholder service fee), respectively, on an annualized basis of the average daily net assets of the Fund’s Class A and Class C Shares.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six months ended October 31, 2014 was $28,477. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 120,656,862 | $ | 149,034,975 |
4. Capital Share Transactions
For the six months ended October 31, 2014 and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Sales | 586,207 | $ | 8,522,434 | 2,713,614 | $ | 37,019,276 | ||||||||||
Reinvestments | — | — | 385,409 | 5,233,862 | ||||||||||||
Redemption Fees* | — | 1,858 | — | 3,811 | ||||||||||||
Redemptions | (3,247,337 | ) | (46,916,524 | ) | (2,325,423 | ) | (31,751,065 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase/(Decrease) | (2,661,130 | ) | $ | (38,392,232 | ) | 773,600 | $ | 10,505,884 | ||||||||
|
|
|
|
|
|
|
|
25
LATEEF FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Sales | 135,931 | $ | 1,846,084 | 824,775 | $ | 10,571,222 | ||||||||||
Reinvestments | — | — | 128,974 | 1,665,060 | ||||||||||||
Redemption Fees* | — | 669 | — | 1,237 | ||||||||||||
Redemptions | (321,392 | ) | (4,360,802 | ) | (518,422 | ) | (6,806,375 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase/(Decrease) | (185,461 | ) | $ | (2,514,049 | ) | 435,327 | $ | 5,431,144 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Sales | 6,812,877 | $ | 99,984,441 | 16,766,617 | $ | 231,008,776 | ||||||||||
Reinvestments | — | — | 1,045,072 | 14,390,642 | ||||||||||||
Redemption Fees* | — | 8,916 | — | 19,183 | ||||||||||||
Redemptions | (4,651,636 | ) | (67,897,907 | ) | (11,265,689 | ) | (156,625,085 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,161,241 | $ | 32,095,450 | 6,546,000 | $ | 88,793,516 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Increase/(Decrease) | (685,350 | ) | $ | (8,810,831 | ) | 7,754,927 | $ | 104,730,544 | ||||||||
|
|
|
|
|
|
|
|
* There is a 2.00% redemption fee that may be charged on shares redeemed which have been held 30 days or less. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital.
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year ended April 30, 2014, the tax characters of distributions paid by the Fund was $1,670,074 of ordinary income dividends and $38,193,727 of long-term capital gains dividends. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
26
LATEEF FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | |||
$— | $5,645,602 | $27,652,610 | $163,761,057 |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 682,831,788 | ||||
|
| |||||
Gross unrealized appreciation | $ | 167,705,836 | ||||
Gross unrealized depreciation | (8,943,001 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 158,762,835 | ||||
|
|
Accumulated capital losses represent net capital loss carry forwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Fund did not have any capital loss carry forwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
27
LATEEF FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 499-2151 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q will be available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
28
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Investment Adviser
Lateef Investment Management, L.P.
300 Drakes Landing Road
Suite 210
Greenbrae, CA 94904
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
LATEEF FUND
of
FundVantage Trust
Class A Shares
Class C Shares
Class I Shares
SEMI-ANNUAL REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Lateef Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Lateef Fund.
MONTIBUS SMALL CAP GROWTH FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns For the Periods Ended October 31, 2014 | ||||||||||||||
Six Months† | 1 Year | 3 Years | 5 Years | Since Inception†† | ||||||||||
Class A Shares (without sales charge) | 8.18% | 7.96% | 16.68% | N/A | 11.09% | |||||||||
Class A Shares (with sales charge) | 1.93% | 1.78% | 14.41% | N/A | 9.36% | |||||||||
Adviser Class Shares | 8.19% | 7.97% | 16.74% | N/A | 11.93% | |||||||||
Institutional Class Shares | 8.25% | 8.20% | 16.99%* | 18.27%* | 15.41%* | |||||||||
Russell 2000® Growth Index | 6.90% | 8.26% | 18.42% | 18.61% | 13.25%(a) | |||||||||
Russell 2000® Growth Index | 6.90% | 8.26% | 18.42% | 18.61% | 14.10%(b) | |||||||||
Russell 2000® Growth Index | 6.90% | 8.26% | 18.42% | 18.61% | 7.16%(c) |
† | Not annualized. |
†† | Class A Shares, Adviser Class Shares and Institutional Class Shares of the Fund commenced operations on February 3, 2011, March 16, 2011 and December 31, 2010, respectively. |
* | Performance shown for the period from November 1, 2007 to December 30, 2010 is the performance of TW Small Cap Growth Fund I, L.P., an unregistered pooled investment vehicle (the “Predecessor Fund”), which transferred its assets to the Fund in connection with the Fund’s commencement of operations on December 31, 2010. Performance from December 31, 2010 to October 31, 2014 is from the performance of the Fund’s Institutional Class Shares. The Predecessor Fund’s performance has been adjusted to reflect the annual deduction of fees and expenses applicable to Institutional Class Shares of the Fund. The Predecessor Fund was not registered as a mutual fund under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore was not subject to certain investment restrictions, limitations and diversification requirements imposed by the 1940 Act and the Internal Revenue Code of 1986, as amended. If the Predecessor Fund had been registered under the 1940 Act, its performance may have been different. |
(a) | Benchmark performance is from the inception date of Class A Shares of the Fund (February 3, 2011) only and is not the inception date of the benchmark itself. |
(b) | Benchmark performance is from the inception date of Adviser Class Shares of the Fund (March 16, 2011) only and is not the inception date of the benchmark itself. |
(c) | Benchmark performance is from inception date of the Predecessor Fund (November 1, 2007) only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained by calling (866) 632-9904.
1
MONTIBUS SMALL CAP GROWTH FUND
Semi-Annual Report
Performance Data (Concluded)
October 31, 2014
(Unaudited)
The returns for Class A Shares reflect a deduction for the maximum front-end sales charge of 5.75%. All of the Fund’s share classes apply a 1.00% fee to the value of shares redeemed within 60 days of purchase. This redemption fee is not reflected in the returns shown above. The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated September 1, 2014, are 2.45% and 1.30% for Class A Shares, 2.45% and 1.30% for Adviser Class Shares and 2.20% and 1.05% for Institutional Class Shares, respectively, of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Montibus Capital Management LLC (“Montibus” or the “Adviser”) has contractually agreed to a reduction of its advisory fee and/or reimbursement of other operating expenses in order to limit “Total Annual Fund Operating Expenses,” excluding class specific fees and expenses, extraordinary expenses, brokerage commissions, interest and “Acquired Fund Fees and Expenses,” to 1.05% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until December 31, 2015, unless the Board of Trustees approves its earlier termination. Subject to approval by the Board of Trustees, the Adviser may recoup any expenses or fees it has reimbursed within a three-year period from the year in which the Adviser reduced its compensation and/or assumed expenses of the Fund. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
The Fund intends to evaluate performance as compared to that of the Russell 2000® Growth Index. The Russell 2000® Growth Index is an unmanaged index that measures the performance of the small-cap growth market. It is impossible to invest directly in an index.
Investments in small capitalization companies present a greater risk of loss than investments in large companies due to greater volatility and less liquidity.
2
MONTIBUS SMALL CAP GROWTH FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, if any, and redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees, if any, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from May 1, 2014 through October 31, 2014 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), if any, or redemption fees. Therefore, the second line of the accompanying 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.
3
MONTIBUS SMALL CAP GROWTH FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
Montibus Small Cap Growth Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Class A Shares | |||||||||||||||
Actual | $1,000.00 | $1,081.80 | $6.82 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.65 | 6.61 | ||||||||||||
Adviser Class Shares | |||||||||||||||
Actual | $1,000.00 | $1,081.90 | $6.82 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.65 | 6.61 | ||||||||||||
Institutional Class Shares | |||||||||||||||
Actual | $1,000.00 | $1,082.50 | $5.51 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.91 | 5.35 |
* | Expenses are equal to an annualized expense ratio for the six month period ended October 31, 2014 of 1.30%, 1.30% and 1.05% for Class A, Adviser Class and Institutional Class Shares, respectively, for the Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. The Fund’s ending account values on the first line in the table are based on the actual six month total returns for the Fund of 8.18%, 8.19% and 8.25% for Class A, Adviser Class and Institutional Class Shares, respectively. |
4
MONTIBUS SMALL CAP GROWTH FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
COMMON STOCKS: | ||||||||||
Internet Software & Services | 7.3 | % | $ | 2,496,748 | ||||||
Software | 6.6 | 2,243,493 | ||||||||
Health Care Providers & Services | 6.5 | 2,215,385 | ||||||||
Specialty Retail | 5.9 | 2,025,720 | ||||||||
Hotels, Restaurants & Leisure | 5.9 | 2,004,146 | ||||||||
IT Services | 5.3 | 1,798,038 | ||||||||
Pharmaceuticals | 5.0 | 1,711,514 | ||||||||
Biotechnology | 4.6 | 1,552,160 | ||||||||
Semiconductors & Semiconductor Equipment | 4.1 | 1,410,820 | ||||||||
Health Care Equipment & Supplies | 3.9 | 1,344,117 | ||||||||
Commercial Banks | 3.7 | 1,270,513 | ||||||||
Commercial Services & Supplies | 3.2 | 1,088,600 | ||||||||
Internet & Catalog Retail | 2.9 | 999,602 | ||||||||
REIT | 2.6 | 875,621 | ||||||||
Professional Services | 2.4 | 833,762 | ||||||||
Construction & Engineering | 2.4 | 830,699 | ||||||||
Machinery | 2.2 | 763,108 | ||||||||
Trading Companies & Distributors | 1.9 | 642,624 | ||||||||
Road & Rail | 1.9 | 632,863 | ||||||||
Electronic Equipment, Instruments & Components | 1.8 | 601,695 | ||||||||
Communication Equipment | 1.7 | 576,104 | ||||||||
Food & Staples Retailing | 1.6 | 530,190 | ||||||||
Leisure Equipment & Products | 1.4 | 494,208 | ||||||||
Metals & Mining | 1.3 | 441,277 | ||||||||
Technology Hardware, Storage & Peripherals | 1.3 | 437,842 | ||||||||
Diversified Consumer Services | 1.2 | 408,656 | ||||||||
Building Products | 1.0 | 353,155 | ||||||||
Real Estate Management & Development | 1.0 | 351,816 | ||||||||
Chemicals | 1.0 | 339,076 | ||||||||
Energy Equipment & Services | 1.0 | 329,604 | ||||||||
Oil, Gas & Consumable Fuels | 1.0 | 324,966 | ||||||||
Textiles, Apparel & Luxury Goods | 0.8 | 259,898 | ||||||||
Diversified Financial Services | 0.8 | 257,630 | ||||||||
Paper & Forest Products | 0.6 | 210,371 | ||||||||
Media | 0.6 | 200,770 | ||||||||
Air Freight & Logistics | 0.5 | 180,986 | ||||||||
Marine | 0.4 | 141,309 | ||||||||
Other Assets in Excess of Liabilities | 2.7 | 925,116 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 34,104,202 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
5
MONTIBUS SMALL CAP GROWTH FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 97.3% |
| |||||||
Air Freight & Logistics — 0.5% |
| |||||||
Hub Group, Inc., Class A* | 4,987 | $ | 180,986 | |||||
|
| |||||||
Biotechnology — 4.6% |
| |||||||
Insmed, Inc.* | 22,075 | 313,244 | ||||||
Isis Pharmaceuticals, Inc.* | 16,287 | 750,179 | ||||||
NewLink Genetics Corp.* | 2,965 | 96,807 | ||||||
Orexigen Therapeutics, Inc.* | 38,020 | 154,361 | ||||||
Puma Biotechnology, Inc.* | 948 | 237,569 | ||||||
|
| |||||||
1,552,160 | ||||||||
|
| |||||||
Building Products — 1.0% |
| |||||||
USG Corp.* | 13,148 | 353,155 | ||||||
|
| |||||||
Chemicals — 1.0% |
| |||||||
H.B. Fuller Co. | 8,079 | 339,076 | ||||||
|
| |||||||
Commercial Banks — 3.7% |
| |||||||
Bank of the Ozarks, Inc. | 13,276 | 467,846 | ||||||
Banner Corp. | 7,933 | 342,864 | ||||||
South State Corp. | 7,624 | 459,803 | ||||||
|
| |||||||
1,270,513 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.2% |
| |||||||
Mobile Mini, Inc. | 7,486 | 328,111 | ||||||
Steelcase, Inc., Class A | 22,578 | 400,082 | ||||||
US Ecology, Inc. | 7,168 | 360,407 | ||||||
|
| |||||||
1,088,600 | ||||||||
|
| |||||||
Communications Equipment — 1.7% |
| |||||||
Ruckus Wireless, Inc.* | 44,384 | 576,104 | ||||||
|
| |||||||
Construction & Engineering — 2.4% |
| |||||||
EMCOR Group, Inc. | 6,525 | 287,948 | ||||||
Primoris Services Corp. | 18,898 | 542,751 | ||||||
|
| |||||||
830,699 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Consumer Services — 1.2% |
| |||||||
TAL Education Group, ADR* | 12,867 | $ | 408,656 | |||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
MarketAxess Holdings, Inc. | 3,985 | 257,630 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.8% |
| |||||||
Belden, Inc. | 5,072 | 361,076 | ||||||
FEI Co. | 2,855 | 240,619 | ||||||
|
| |||||||
601,695 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.0% |
| |||||||
Basic Energy Services, Inc.* | 13,246 | 170,873 | ||||||
Pioneer Energy Services Corp.* | 17,291 | 158,731 | ||||||
|
| |||||||
329,604 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.6% |
| |||||||
Casey’s General Stores, Inc. | 6,476 | 530,190 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.9% |
| |||||||
AngioDynamics, Inc.* | 9,827 | 167,059 | ||||||
DexCom, Inc.* | 9,462 | 425,317 | ||||||
LDR Holding Corp.* | 10,447 | 359,795 | ||||||
Spectranetics Corp.* | 12,337 | 391,946 | ||||||
|
| |||||||
1,344,117 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.5% |
| |||||||
Acadia Healthcare Co., Inc.* | 7,403 | 459,356 | ||||||
Centene Corp.* | 4,611 | 427,301 | ||||||
ExamWorks Group, Inc.* | 14,611 | 566,615 | ||||||
HealthSouth Corp. | 13,031 | 525,540 | ||||||
Surgical Care Affiliates, Inc.* | 7,711 | 236,573 | ||||||
|
| |||||||
2,215,385 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
6
MONTIBUS SMALL CAP GROWTH FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Hotels, Restaurants & Leisure — 5.9% |
| |||||||
Fiesta Restaurant Group, Inc.* | 13,081 | $ | 721,417 | |||||
Jack in the Box, Inc. | 8,024 | 570,025 | ||||||
Red Robin Gourmet Burgers, Inc.* | 5,693 | 312,944 | ||||||
Vail Resorts, Inc. | 4,629 | 399,760 | ||||||
|
| |||||||
2,004,146 | ||||||||
|
| |||||||
Internet & Catalog Retail — 2.9% |
| |||||||
Lands’ End, Inc.* | 6,206 | 294,599 | ||||||
Shutterfly, Inc.* | 16,854 | 705,003 | ||||||
|
| |||||||
999,602 | ||||||||
|
| |||||||
Internet Software & Services — 7.3% |
| |||||||
Cornerstone OnDemand, Inc.* | 13,741 | 498,386 | ||||||
Dealertrack Technologies, Inc.* | 6,945 | 326,762 | ||||||
Demandware, Inc.* | 9,172 | 549,861 | ||||||
Envestnet, Inc.* | 10,888 | 483,645 | ||||||
SPS Commerce, Inc.* | 10,945 | 638,094 | ||||||
|
| |||||||
2,496,748 | ||||||||
|
| |||||||
IT Services — 5.3% |
| |||||||
Euronet Worldwide, Inc.* | 9,847 | 528,488 | ||||||
MAXIMUS, Inc. | 10,202 | 494,389 | ||||||
WEX Inc.* | 6,826 | 775,161 | ||||||
|
| |||||||
1,798,038 | ||||||||
|
| |||||||
Leisure Equipment & Products — 1.4% |
| |||||||
Brunswick Corp. | 10,560 | 494,208 | ||||||
|
| |||||||
Machinery — 2.2% |
| |||||||
Actuant Corp., Class A | 13,066 | 414,062 | ||||||
Lindsay Corp. | 3,980 | 349,046 | ||||||
|
| |||||||
763,108 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Marine — 0.4% |
| |||||||
Diana Shipping, Inc. (Greece) | 16,723 | $ | 141,309 | |||||
|
| |||||||
Media — 0.6% |
| |||||||
IMAX Corp. (Canada)* | 6,815 | 200,770 | ||||||
|
| |||||||
Metals & Mining — 1.3% |
| |||||||
U.S. Silica Holdings, Inc. | 9,828 | 441,277 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.0% |
| |||||||
Rosetta Resources, Inc.* | 8,545 | 324,966 | ||||||
|
| |||||||
Paper & Forest Products — 0.6% |
| |||||||
Louisiana-Pacific Corp.* | 14,409 | 210,371 | ||||||
|
| |||||||
Pharmaceuticals — 5.0% |
| |||||||
Aerie Pharmaceuticals, Inc.* | 15,619 | 393,911 | ||||||
Akorn, Inc.* | 14,888 | 663,260 | ||||||
BioDelivery Sciences International, Inc.* | 16,250 | 282,750 | ||||||
Oramed Pharmaceuticals, Inc. (Israel)* | 16,827 | 120,145 | ||||||
Relypsa, Inc.* | 12,224 | 251,448 | ||||||
|
| |||||||
1,711,514 | ||||||||
|
| |||||||
Professional Services — 2.4% |
| |||||||
The Corporate Executive Board Co. | 6,168 | 454,582 | ||||||
TrueBlue, Inc.* | 15,339 | 379,180 | ||||||
|
| |||||||
833,762 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.0% |
| |||||||
Jones Lang LaSalle, Inc. | 2,602 | 351,816 | ||||||
|
| |||||||
REIT — 2.6% |
| |||||||
EastGroup Properties, Inc. | 6,055 | 416,947 | ||||||
Pebblebrook Hotel Trust | 10,767 | 458,674 | ||||||
|
| |||||||
875,621 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
7
MONTIBUS SMALL CAP GROWTH FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Road & Rail — 1.9% |
| |||||||
Swift Transportation Co.* | 25,622 | $ | 632,863 | |||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.1% |
| |||||||
Cavium, Inc.* | 9,953 | 510,688 | ||||||
RF Micro Devices, Inc.* | 23,241 | 302,365 | ||||||
Spansion, Inc., Class A* | 29,046 | 597,767 | ||||||
|
| |||||||
1,410,820 | ||||||||
|
| |||||||
Software — 6.6% |
| |||||||
Aspen Technology, Inc.* | 13,115 | 484,337 | ||||||
Guidewire Software, Inc.* | 6,634 | 331,302 | ||||||
Infoblox, Inc.* | 33,686 | 543,692 | ||||||
Interactive Intelligence Group, Inc.* | 5,091 | 245,692 | ||||||
Qlik Technologies Inc.* | 22,521 | 638,470 | ||||||
|
| |||||||
2,243,493 | ||||||||
|
| |||||||
Specialty Retail — 5.9% |
| |||||||
Five Below, Inc.* | 15,182 | 605,306 | ||||||
Lithia Motors, Inc., Class A | 4,405 | 341,916 | ||||||
Rush Enterprises, Inc.* | 7,181 | 273,596 | ||||||
Sportsman’s Warehouse | ||||||||
Holdings, Inc. Class A* | 21,241 | 148,475 | ||||||
Tile Shop Holdings, Inc.* | 24,241 | 208,715 | ||||||
Vitamin Shoppe, Inc.* | 9,540 | 447,712 | ||||||
|
| |||||||
2,025,720 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.3% |
| |||||||
Nimble Storage, Inc.* | 16,003 | 437,842 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
Skechers U.S.A., Inc., Class A* | 4,747 | 259,898 | ||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Trading Companies & Distributors — 1.9% |
| |||||||
Beacon Roofing Supply, Inc.* | 7,020 | $ | 194,243 | |||||
H&E Equipment Services, Inc. | 11,992 | 448,381 | ||||||
|
| |||||||
642,624 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $26,718,015) | 33,179,086 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 97.3% | 33,179,086 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.7% | 925,116 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 34,104,202 | ||||||
|
|
* | Non-income producing. |
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
8
MONTIBUS SMALL CAP GROWTH FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | ||||
Investments, at value (Cost $26,718,015) | $33,179,086 | |||
Cash | 418,889 | |||
Receivable for investments sold | 740,507 | |||
Dividends and interest receivable | 1,301 | |||
Receivable from Investment Adviser | 9,251 | |||
Prepaid expenses and other assets | 14,167 | |||
|
| |||
Total assets | 34,363,201 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 163,768 | |||
Payable for custodian fees | 8,606 | |||
Payable for transfer agent fees | 41,230 | |||
Payable for administration and accounting fees | 22,017 | |||
Payable for audit fees | 10,605 | |||
Accrued expenses | 12,773 | |||
|
| |||
Total liabilities | 258,999 | |||
|
| |||
Net Assets | $34,104,202 | |||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ 23,634 | |||
Paid-in capital | 23,974,054 | |||
Accumulated net investment loss | (90,410 | ) | ||
Accumulated net realized gain from investments | 3,735,853 | |||
Net unrealized appreciation on investments | 6,461,071 | |||
|
| |||
Net Assets | $34,104,202 | |||
|
|
Class A: | ||||
Net asset value, redemption price per share ($667,845 / 46,756 shares) | $14.28 | |||
|
| |||
Maximum offering price per share (100/94.25 of $14.28) | $15.15 | |||
|
| |||
Adviser Class: | ||||
Net asset value, offering and redemption price per share ($192,886 / 13,517 shares) | $14.27 | |||
|
| |||
Institutional Class: | ||||
Net asset value, offering and redemption price per share ($33,243,471 / 2,303,083 shares) | $14.43 | |||
|
|
The accompanying notes are an integral part of the financial statements.
9
MONTIBUS SMALL CAP GROWTH FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Dividends | $ | 82,452 | ||
Interest | 69 | |||
|
| |||
Total investment income | 82,521 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 163,708 | |||
Transfer agent fees (Note 2) | 56,064 | |||
Administration and accounting fees (Note 2) | 39,493 | |||
Registration and filing fees | 30,185 | |||
Legal fees | 17,491 | |||
Custodian fees (Note 2) | 13,176 | |||
Audit fees | 12,247 | |||
Printing and shareholder reporting fees | 6,839 | |||
Trustees’ and officers’ fees (Note 2) | 3,642 | |||
Distribution fees (Class A) (Note 2) | 1,042 | |||
Other expenses | 3,793 | |||
|
| |||
Total expenses before waivers and reimbursements | 347,680 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (174,749 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 172,931 | |||
|
| |||
Net investment loss | (90,410 | ) | ||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized gain from investments | 1,407,772 | |||
Net change in unrealized appreciation on investments | 1,299,950 | |||
|
| |||
Net realized and unrealized gain on investments | 2,707,722 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 2,617,312 | ||
|
|
The accompanying notes are an integral part of the financial statements.
10
MONTIBUS SMALL CAP GROWTH FUND
Statements of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||
Increase/(decrease) in net assets from operations: | ||||||||
Net investment loss | $ | (90,410 | ) | $ | (213,405 | ) | ||
Net realized gain from investments | 1,407,772 | 5,233,160 | ||||||
Net change in unrealized appreciation on investments | 1,299,950 | 696,373 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 2,617,312 | 5,716,128 | ||||||
|
|
|
| |||||
Less Dividends and Distributions to Shareholders from: | ||||||||
Net realized capital gains: | ||||||||
Class A | — | (24,236 | ) | |||||
Adviser Class | — | (7,505 | ) | |||||
Institutional Class | — | (1,663,344 | ) | |||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | — | (1,695,085 | ) | |||||
|
|
|
| |||||
Increase/(Decrease) in Net Assets Derived from Capital Share Transactions (Note 4) | (23,797 | ) | 1,216,275 | |||||
|
|
|
| |||||
Total increase in net assets | 2,593,515 | 5,237,318 | ||||||
|
|
|
| |||||
Net assets | ||||||||
Beginning of period | 31,510,687 | 26,273,369 | ||||||
|
|
|
| |||||
End of period | $ | 34,104,202 | $ | 31,510,687 | ||||
|
|
|
| |||||
Accumulated net investment loss, end of period | $ | (90,410 | ) | $ | — | |||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
11
MONTIBUS SMALL CAP GROWTH FUND
Financial Highlights
Contained below is per share operating performance data for each Class A Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class A | |||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Period February 3, 2011* to April 30, 2011 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.20 | $ | 11.47 | $ | 10.75 | $ | 11.85 | $ | 10.57 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment loss(1) | (0.05 | ) | (0.13 | ) | (0.11 | ) | (0.13 | ) | (0.04 | ) | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.13 | 2.63 | 0.92 | (0.71 | ) | 1.32 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.08 | 2.50 | 0.81 | (0.84 | ) | 1.28 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net realized gains | — | (0.77 | ) | (0.09 | ) | (0.26 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 14.28 | $ | 13.20 | $ | 11.47 | $ | 10.75 | $ | 11.85 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(2) | 8.18 | % | 21.72 | % | 7.65 | % | (6.75 | )% | 12.11 | % | |||||||||||||||
Ratio/Supplemental Data |
| ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 668 | $ | 631 | $ | 381 | $ | 458 | $ | 72 | |||||||||||||||
Ratio of expenses to average net assets | 1.30 | %(3) | 1.35 | % | 1.48 | % | 1.48 | % | 1.48 | %(3) | |||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 2.37 | %(3) | 2.45 | % | 2.90 | % | 3.67 | % | 3.75 | %(3) | |||||||||||||||
Ratio of net investment loss to average net assets | (0.80 | %)(3) | (0.93 | %) | (1.09 | %) | (1.27 | )% | (1.34 | )%(3) | |||||||||||||||
Portfolio turnover rate | 42.59 | %(5) | 92.93 | % | 109.97 | % | 104.56 | % | 31.40 | %(6) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. Total investment return does not reflect the impact of the maximum front-end sales load of 5.75%. If reflected, the return would be lower. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
(6) | Reflects portfolio turnover for the Fund for the period December 31, 2010 (commencement of operations) to April 30, 2011. Portfolio turnover is not annualized. |
The accompanying notes are an integral part of the financial statements.
12
MONTIBUS SMALL CAP GROWTH FUND
Financial Highlights
Contained below is per share operating performance data for each Adviser Class Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Adviser Class | |||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Period March 16, 2011* to April 30, 2011 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.19 | $ | 11.46 | $ | 10.74 | $ | 11.85 | $ | 10.40 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment loss(1) | (0.05 | ) | (0.13 | ) | (0.12 | ) | (0.13 | ) | (0.02 | ) | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.13 | 2.63 | 0.93 | (0.72 | ) | 1.47 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.08 | 2.50 | 0.81 | (0.85 | ) | 1.45 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net realized gains | — | (0.77 | ) | (0.09 | ) | (0.26 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 14.27 | $ | 13.19 | $ | 11.46 | $ | 10.74 | $ | 11.85 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(2) | 8.19 | % | 21.74 | % | 7.66 | % | (6.84 | )% | 13.94 | % | |||||||||||||||
Ratio/Supplemental Data |
| ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 193 | $ | 185 | $ | 98 | $ | 53 | $ | 28 | |||||||||||||||
Ratio of expenses to average net assets . | 1.30 | %(3) | 1.35 | % | 1.48 | % | 1.48 | % | 1.48 | %(3) | |||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 2.37 | %(3) | 2.45 | % | 2.88 | % | 3.61 | % | 3.49 | %(3) | |||||||||||||||
Ratio of net investment loss to average net assets | (0.80 | %)(3) | (0.93 | %) | (1.09 | %) | (1.27 | )% | (1.29 | )%(3) | |||||||||||||||
Portfolio turnover rate | 42.59 | %(5) | 92.93 | % | 109.97 | % | 104.56 | % | 31.40 | %(6) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
(6) | Reflects portfolio turnover for the Fund for the period December 31, 2010 (commencement of operations) to April 30, 2011. Portfolio turnover is not annualized. |
The accompanying notes are an integral part of the financial statements.
13
MONTIBUS SMALL CAP GROWTH FUND
Financial Highlights
Contained below is per share operating performance data for each Institutional Class Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class | |||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Period December 31, 2010* to April 30, 2011 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.33 | $ | 11.55 | $ | 10.79 | $ | 11.86 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment loss(1) | (0.04 | ) | (0.09 | ) | (0.09 | ) | (0.11 | ) | (0.04 | ) | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.14 | 2.64 | 0.94 | (0.70 | ) | 1.90 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.10 | 2.55 | 0.85 | (0.81 | ) | 1.86 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net realized gains | — | (0.77 | ) | (0.09 | ) | (0.26 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 14.43 | $ | 13.33 | $ | 11.55 | $ | 10.79 | $ | 11.86 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(2) | 8.25 | % | 22.02 | % | 7.99 | % | (6.49 | )% | 18.60 | % | |||||||||||||||
Ratio/Supplemental Data |
| ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 33,243 | $ | 30,695 | $ | 25,794 | $ | 20,650 | $ | 18,687 | |||||||||||||||
Ratio of expenses to average net assets | 1.05 | %(3) | 1.10 | % | 1.23 | % | 1.23 | % | 1.23 | %(3) | |||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 2.12 | %(3) | 2.20 | % | 2.64 | % | 3.45 | % | 2.81 | %(3) | |||||||||||||||
Ratio of net investment loss to average net assets | (0.55 | %)(3) | (0.68 | %) | (0.84 | %) | (1.02 | )% | (1.11 | )%(3) | |||||||||||||||
Portfolio turnover rate | 42.59 | %(5) | 92.93 | % | 109.97 | % | 104.56 | % | 31.40 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
14
MONTIBUS SMALL CAP GROWTH FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Montibus Small Cap Growth Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), which commenced investment operations on December 31, 2010. The Fund is a separate series of FundVantage Trust (the “Trust”), which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares, Class A, Adviser Class and Institutional Class Shares. Class A Shares are sold subject to a front-end sales charge. Front-end sales charges may be reduced or waived under certain circumstances. A contingent deferred sales charge (“CDSC”), as a percentage of the lower of the original purchase price or net asset value at redemption, of 1.00% may be imposed on full or partial redemptions of Class A Shares made within twelve months of purchase where (i) $1 million or more of Class A Shares was purchased without an initial sales charge and (ii) the selling broker-dealer received a commission for such sale.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost which approximates fair value. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Options are valued at last sale price. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
15
MONTIBUS SMALL CAP GROWTH FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Value at 10/31/2014 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Investments in Securities* | $ | 33,179,086 | $ | 33,179,086 | $ | — | $ | — | ||||||||
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* Please refer to Portfolio of Investments for details on portfolio holdings.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase
16
MONTIBUS SMALL CAP GROWTH FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the period ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
17
MONTIBUS SMALL CAP GROWTH FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
Montibus Capital Management LLC (the “Adviser”) serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 1.00% of the Fund’s average daily net assets. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed 1.05% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until December 31, 2015, unless the Board of Trustees of the Trust approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation. As of October 31, 2014, the amount of potential recovery was as follows:
Expiration | ||||||
April 30, 2015 | April 30, 2016 | April 30, 2017 | April 30, 2018 | |||
$386,522 | $319,654 | $340,369 | $174,749 |
For the period ended October 31, 2014, the advisory fees accrued and waived were $163,708 and fees reimbursed by the Adviser were $11,041.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.
18
MONTIBUS SMALL CAP GROWTH FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Class A and Adviser Class Shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Class A and Adviser Class Shares plan, the Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25%, on an annualized basis, of the average daily net assets of the Fund’s Class A and Adviser Class Shares.
The Trustees of the Trust who are not affiliated with BNY Mellon receive an annual retainer for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the year ended October 31, 2014 was $2,257. Certain employees of BNY Mellon serve as an Officer or Trustee of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the period ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 13,823,392 | $ | 13,615,689 |
19
MONTIBUS SMALL CAP GROWTH FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
4. Capital Share Transactions
For the six months ended October 31, 2014 and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Sales | 981 | $ | 13,293 | 25,689 | $ | 346,920 | ||||||||||
Reinvestments | — | — | 1,800 | 24,012 | ||||||||||||
Redemption Fees* | — | 4 | — | — | ||||||||||||
Redemptions | (2,003 | ) | (27,223 | ) | (12,939 | ) | (58,375 | ) | ||||||||
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Net increase/(decrease) | (1,022 | ) | $ | (13,926 | ) | 14,550 | $ | 312,557 | ||||||||
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Adviser Class Shares | ||||||||||||||||
Sales | — | $ | — | 6,625 | $ | 93,659 | ||||||||||
Reinvestments | — | — | 562 | 7,505 | ||||||||||||
Redemptions | (506 | ) | (6,738 | ) | (1,757 | ) | (24,491 | ) | ||||||||
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Net increase/(decrease) | (506 | ) | $ | (6,738 | ) | 5,430 | $ | 76,673 | ||||||||
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Institutional Class Shares | ||||||||||||||||
Sales | 4,167 | $ | 54,421 | 65,082 | $ | 898,018 | ||||||||||
Reinvestments | — | — | 123,619 | 1,662,673 | ||||||||||||
Redemption Fees* | — | 185 | — | — | ||||||||||||
Redemptions | (4,238 | ) | (57,739 | ) | (119,492 | ) | (1,733,646 | ) | ||||||||
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Net increase/(decrease) | (71 | ) | $ | (3,133 | ) | 69,209 | $ | 827,045 | ||||||||
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Total Net increase/ (decrease) | (1,599 | ) | $ | (23,797 | ) | 89,189 | $ | 1,216,275 | ||||||||
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* | There is a 1.00% redemption fee that may be charged on shares redeemed which have been held for 60 days or less. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in-capital. |
20
MONTIBUS SMALL CAP GROWTH FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year ended April 30, 2014, the tax character of distributions paid by the Fund was $589,721 of ordinary income dividends and $1,105,364 of long term capital gains dividends. Distributions from short-term capital gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | Qualified Late-Year Losses | ||||
$— | $997,146 | $1,508,797 | $4,983,259 | $— |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 26,718,015 | ||||
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Gross unrealized appreciation | $ | 7,534,212 | ||||
Gross unrealized depreciation | (1,073,141 | ) | ||||
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Net unrealized appreciation | $ | 6,461,071 | ||||
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Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, post-enactment capital losses that are carried forward will
21
MONTIBUS SMALL CAP GROWTH FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Fund did not have any capital loss carryforwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
22
MONTIBUS SMALL CAP GROWTH FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 632-9904 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Approval of Investment Advisory Agreement
At an in-person meeting held on September 22-23, 2014 (the “Meeting”), the Board of Trustees (the “Board” or “Trustees”) of FundVantage Trust (“Trust”), including a majority of the Trustees who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (“1940 Act”) (the “Independent Trustees”), unanimously approved the continuation of the advisory agreement between Montibus Capital Management LLC (the “Adviser” or “Montibus”) and the Trust on behalf of the Montibus Small Cap Growth Fund (the “Fund”) (“Agreement”). In determining whether to continue the Agreement, the Trustees considered information provided by the Adviser in accordance with Section 15(c) of the 1940 Act. The Trustees considered information that the Adviser provided regarding (i) services performed for the Fund, (ii) the size and qualifications of the Adviser’s portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with a portfolio manager’s management of the Fund, (iv) investment performance, (v) the capitalization and financial condition of the Adviser, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Fund and other clients, (viii) results of any regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on the Adviser’s ability to service the Fund, and (x) compliance with the Fund’s investment objective, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements. The Adviser also provided its most recent Form ADV for the Trustees’ review and consideration. The Trustees noted the reports provided at Board meetings throughout the year covering matters such as the relative performance of the Fund; compliance with the investment objectives, policies, strategies and limitations for the Fund; the compliance of management personnel with the applicable code of ethics; and the adherence to fair
23
MONTIBUS SMALL CAP GROWTH FUND
Other Information
(Unaudited)
value pricing procedures as established by the Board. The Trustees also received and reviewed a memorandum from legal counsel regarding the legal standards applicable to their review of the Agreement.
Representatives from Montibus attended the meeting both in person and telephonically and discussed Montibus’ history, performance and investment strategy in connection with the proposed continuation of the Agreement and answered questions from the Board.
The Trustees considered the investment performance of the Fund and the Adviser. The Trustees reviewed the historical performance charts for each of the Fund’s share classes for the year to date, one year, two year, three-year and since inception periods ended March 31, 2014, as compared to (i) the Russell 2000 Total Return Index and (ii) the Lipper Small Cap Growth Fund category, the Fund’s applicable Lipper peer group. The Trustees noted that the Fund’s Class A shares and Adviser Class shares, which had differing inception dates, each underperformed the Russell 2000 Total Return Index and Lipper Small Cap Growth Fund category for the year to date, one year, two year and three year and since inception periods ended June 30, 2014. They further noted that the Fund’s Institutional Class shares outperformed the Russell 2000 Total Return Index and Lipper Small Cap Growth Fund category from commencement of the Fund’s operations through June 30, 2014, and underperformed for the year to date, one year, two year and three year periods.
The Trustees also received performance information for the Fund’s Institutional Class shares (including the performance of the Fund’s predecessor account), as compared to the Fund’s comparable separately managed account composite and the Russell 2000 Growth Index for the one year, three year, five year and since inception periods ended June 30, 2014. The Trustees noted that the Fund underperformed the Russell 2000 Growth Index for the one year, three year and since inception periods ended June 30, 2014, and performed in-line with the index for the 5 year period. The Trustees concluded that, although the Fund had underperformed the Russell 2000 Total Return Index, Russell 2000 Growth Index and the Lipper Small Cap Growth Fund category for certain measurement periods noted above, the Trustees concluded that the performance of the Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
The Adviser provided information regarding its advisory fees and an analysis of these fees in relation to the delivery of services to the Fund and any other ancillary benefit resulting from the Adviser’s relationship with the Fund. The Trustees considered the fees that the Adviser charges to its separately managed accounts, and evaluated the explanations provided by the Adviser as to differences in fees charged to the Fund and such accounts. The Trustees also reviewed a peer comparison of advisory fees and total expenses for the Fund versus other similarly managed funds. The Trustees noted that the net total expenses of the Fund’s Class A shares, Adviser Class shares and Institutional Class shares, shares were each lower than the median of the net total expenses of funds with similar share classes in the Lipper Small Cap Growth Fund category with $250 million or less in assets. Further, the gross advisory fee for the
24
MONTIBUS SMALL CAP GROWTH FUND
Other Information
(Unaudited)
Fund’s Class A shares, Adviser Class shares and Institutional Class shares, were each higher than the median of the gross advisory fee for funds with a similar share class in the Lipper Small Cap Growth Fund category with $250 million or less in assets. The Trustees concluded that the advisory fee and services provided by the Adviser are sufficiently consistent with those of other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the Fund based on the information provided at the Meeting.
The Board considered the level and depth of knowledge of the Adviser, including the professional experience and qualifications of senior personnel. In evaluating the quality of services provided by the Adviser, the Board took into account its familiarity with the Adviser’s senior management through Board meetings, discussions and reports during the preceding year. The Board also took into account the Adviser’s compliance policies and procedures and reports regarding the Adviser’s compliance operations from the Trust’s Chief Compliance Officer. The Board also considered any potential conflicts of interest that may arise in a portfolio manager’s management of the Fund’s investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services provided to the Fund by the Adviser and concluded that the nature, extent and quality of the services provided were appropriate and consistent with the terms of the Agreement, that the quality of the services appeared to be consistent with industry norms and that the Fund is likely to benefit from the continued receipt of those services. They also concluded that the Adviser has sufficient personnel, with the appropriate education and experience, to serve the Fund effectively and had demonstrated their ability to attract and retain qualified personnel.
The Trustees considered the costs of the services provided by the Adviser, the compensation and benefits received by the Adviser in providing services to the Fund, as well as its profitability. The Trustees were provided with the audited financial statements of Montibus’ parent company as of December 31, 2013. The Trustees noted that the Adviser’s level of profitability is an appropriate factor to consider, and the Trustees should be satisfied that the Adviser’s profits are sufficient to continue as a healthy concern generally and as investment adviser of the Fund specifically. The Trustees noted that the Adviser’s contractual advisory fee level was reasonable in relation to the nature and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies. The Trustees also concluded that the overall expense ratio of the Fund was reasonable, taking into account the quality of services provided by the Adviser and the current size and projected growth of the Fund during the renewal term.
The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the Fund grows, and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Trustees noted that economies of scale may be achieved at higher asset levels for the Fund for the benefit of fund shareholders but that because such economies of scale did not yet exist and were not likely to exist in the near term, it was not appropriate to incorporate a mechanism for sharing the benefit of such economies with Fund shareholders in the advisory fee structure at this time.
25
MONTIBUS SMALL CAP GROWTH FUND
Other Information
(Unaudited)
In voting to approve the continuation of the Agreement, the Board considered all factors it deemed relevant and the information presented to the Board by the Adviser. In arriving at its decision, the Board did not identify any single factor as being of paramount importance and each member of the Board gave varying weights to each factor according to his or her own judgment. The Board determined that the continuation of the Agreement would be in the best interests of the Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, unanimously approved the continuation of the Agreement for an additional one year period.
26
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Investment Adviser
Montibus Capital Management LLC
805 SW Broadway, Suite 2400
Portland, OR 97205
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
MONTIBUS SMALL
CAP GROWTH FUND
of
FundVantage Trust
Class A Shares (SGWAX)
Adviser Class Shares (SGWYX)
Institutional Class Shares (SGRIX)
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Montibus Small Cap Growth Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Montibus Small Cap Growth Fund.
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
of
FundVantage Trust
Class I Shares
SEMI-ANNUAL REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Mount Lucas U.S. Focused Equity Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Mount Lucas U.S. Focused Equity Fund.
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for Periods Ended October 31, 2014 | ||||||||||||
| Six Months† | 1 Year | 3 Years | 5 Years | Since Inception | |||||||
Class I Shares* | 3.61% | 18.03% | 21.08% | 18.16% | 6.14% | |||||||
S&P 500® Index | 8.22% | 19.73% | 22.99% | 15.70% | 6.02%** |
† | Not annualized. |
* | Mount Lucas U.S. Focused Equity Fund - Class I Shares (the “Fund”) commenced operations on October 1, 2007. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling (844) 261-6483.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated September 1, 2014, are 1.18% and 0.95%, respectively, for Class I shares of the Fund’s average daily net assets. The Adviser has contractually agreed to waive fees and reimburse expenses in order to limit expenses until August 31, 2015. Performance would have been lower without fee waivers in effect.
The Fund operated as a series of Scotia Institutional Funds prior to the opening of business on March 24, 2014 (the “Predecessor Fund”), at which time, the Predecessor Fund was reorganized into the Fund.
Before the Fund commenced operations, all of the assets and liabilities of the Predecessor Fund were transferred to the Fund in a tax free reorganization (the “Reorganization”). The Reorganization occurred at the opening of business on March 24, 2014. As a result of the Reorganization, the Fund assumed the performance and accounting history of the Predecessor Fund prior to the date of the Reorganization. The Fund has the same investment objective and strategies as the Predecessor Fund. The Performance shown for periods prior to March 24, 2014 represents the performance for the Predecessor Fund.
The value of the Fund’s investments in equity securities may fluctuate drastically from day-to-day causing volatility and possible loss of principal. The fund may invest in undervalued securities and is subject to the risk that the securities may not appreciate in value as anticipated.
The Fund is non-diversified and invests in a limited number of securities. As a result, the Fund’s investment performance may be more volatile, as it may be more susceptible to risks associated with a single economic, political, or regulatory event than a fund that invests in a greater number of issuers. The Fund may invest in undervalued securities and is subject to the risk that the securities may not appreciate in value as anticipated.
The Fund intends to evaluate performance as compared to that of the Standard & Poor’s 500® Composite Price Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
1
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs including sales charges (loads) on purchase payments (if any) or redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from May 1, 2014 through October 31, 2014 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges on purchase payments (if any) or redemption fees. Therefore, the second line of the accompanying 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.
Mount Lucas U.S. Focused Equity Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Class I Shares | |||||||||||||||
Actual | $1,000.00 | $1,036.10 | $4.88 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.42 | 4.84 |
* | Expenses are equal to the annualized expense ratio for the six-months ended October 31, 2014 of 0.95% for Class I shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), then divided by 365 to reflect the period. The Fund’s ending account value on the first line in the table is based on the actual six-month total return for the Fund of 3.61% for Class I shares. |
2
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
COMMON STOCKS: | ||||||||||
Consumer Discretionary | 26.0 | % | $ | 14,578,124 | ||||||
Energy | 18.5 | 10,358,892 | ||||||||
Financials | 17.9 | 10,062,631 | ||||||||
Industrials | 14.8 | 8,331,246 | ||||||||
Materials | 8.8 | 4,938,790 | ||||||||
Information Technology | 7.6 | 4,255,554 | ||||||||
Consumer Staples | 3.3 | 1,840,481 | ||||||||
Health Care | 2.1 | 1,181,371 | ||||||||
Other Assets in Excess of Liabilities | 1.0 | 579,328 | ||||||||
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|
| |||||||
NET ASSETS | 100.0 | % | $ | 56,126,417 | ||||||
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|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
3
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 99.0% | ||||||||
Consumer Discretionary — 26.0% |
| |||||||
Best Buy Co., Inc. | 82,219 | $ | 2,806,957 | |||||
Ford Motor Co. | 136,570 | 1,924,271 | ||||||
GameStop Corp., Class A | 55,481 | 2,372,368 | ||||||
Graham Holdings Co., Class B | 3,175 | 2,487,930 | ||||||
Kohl’s Corp. | 37,125 | 2,012,918 | ||||||
Marriott International, Inc., Class A | 7,940 | 601,455 | ||||||
Staples, Inc. | 187,084 | 2,372,225 | ||||||
|
| |||||||
14,578,124 | ||||||||
|
| |||||||
Consumer Staples — 3.3% | ||||||||
CVS Caremark Corp. | 14,140 | 1,213,353 | ||||||
Dr. Pepper Snapple Group, Inc. | 9,056 | 627,128 | ||||||
|
| |||||||
1,840,481 | ||||||||
|
| |||||||
Energy — 18.5% | ||||||||
Marathon Petroleum Corp. | 25,808 | 2,345,947 | ||||||
Noble Corp. PLC | 88,004 | 1,841,044 | ||||||
Transocean Ltd. | 62,518 | 1,864,912 | ||||||
Valero Energy Corp. | 85,985 | 4,306,989 | ||||||
|
| |||||||
10,358,892 | ||||||||
|
| |||||||
Financials — 17.9% | ||||||||
Allstate Corp. (The) | 36,753 | 2,383,432 | ||||||
Assurant, Inc. | 73,294 | 5,000,117 | ||||||
Blackhawk Network Holdings, Inc., Class B* | — | 11 | ||||||
Marsh & McLennan Cos., Inc. | 10,683 | 580,835 | ||||||
Torchmark Corp. | 1 | 26 | ||||||
Unum Group | 62,708 | 2,098,210 | ||||||
|
| |||||||
10,062,631 | ||||||||
|
| |||||||
Health Care — 2.1% | ||||||||
Becton Dickinson & Co. | 4,543 | 584,684 | ||||||
CR Bard, Inc. | 3,639 | 596,687 | ||||||
|
| |||||||
1,181,371 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Industrials — 14.8% | ||||||||
Cintas Corp. | 16,931 | $ | 1,240,026 | |||||
Delta Air Lines, Inc. | 115,615 | 4,651,191 | ||||||
General Dynamics Corp. | 9,198 | 1,285,512 | ||||||
Raytheon Co. | 5,241 | 544,435 | ||||||
Union Pacific Corp. | 5,239 | 610,082 | ||||||
|
| |||||||
8,331,246 | ||||||||
|
| |||||||
Information Technology — 7.6% |
| |||||||
Amphenol Corp., Class A | 10,745 | 543,482 | ||||||
Fiserv, Inc.* | 17,484 | 1,214,788 | ||||||
Hewlett-Packard Co. | 69,601 | 2,497,284 | ||||||
|
| |||||||
4,255,554 | ||||||||
|
| |||||||
Materials — 8.8% | ||||||||
Ball Corp. | 8,532 | 549,717 | ||||||
Cliffs Natural Resources, Inc. | 113,671 | 1,276,525 | ||||||
The Dow Chemical Co. | 42,970 | 2,122,718 | ||||||
Ecolab, Inc. | 4,766 | 530,122 | ||||||
Lyondellbasell Industries NV | 5,017 | 459,708 | ||||||
|
| |||||||
4,938,790 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 55,547,089 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 99.0% |
| 55,547,089 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF |
| 579,328 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 56,126,417 | ||||||
|
|
* | Non-income producing. |
PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
4
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | |||||
Investments, at value (Cost $53,905,247) | $ | 55,547,089 | |||
Cash | 559,042 | ||||
Receivable for capital shares sold | 53,751 | ||||
Dividends and interest receivable | 80,259 | ||||
Prepaid expenses and other assets | 15,025 | ||||
|
| ||||
Total assets | 56,255,166 | ||||
|
| ||||
Liabilities | |||||
Payable for investments purchased | 59,461 | ||||
Payable for administration and accounting fees | 15,750 | ||||
Payable for audit fees | 14,332 | ||||
Payable to custodian | 13,083 | ||||
Payable for transfer agent fees | 10,571 | ||||
Payable to Investment Adviser | 10,016 | ||||
Payable for capital shares redeemed | 107 | ||||
Other accrued expenses | 5,429 | ||||
|
| ||||
Total liabilities | 128,749 | ||||
|
| ||||
Net Assets | $ | 56,126,417 | |||
|
| ||||
Net Assets Consisted of: | |||||
Capital stock, $0.01 par value | $ | 45,434 | |||
Paid-in capital | 41,694,117 | ||||
Accumulated net investment income | 827,065 | ||||
Accumulated net realized gain from investments | 11,917,959 | ||||
Net unrealized appreciation on investments | 1,641,842 | ||||
|
| ||||
Net Assets | $ | 56,126,417 | |||
|
|
Class I: | |||||
Net asset value, offering and redemption price per share | $ | 12.35 | |||
|
|
The accompanying notes are an integral part of the financial statements.
5
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Six Months Ended October 31, 2014 | ||||
Investment Income | ||||
Dividends | $ | 606,162 | ||
Interest | 36 | |||
|
| |||
Total investment income | 606,198 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 224,828 | |||
Administration and accounting fees (Note 2) | 40,985 | |||
Audit fees | 28,442 | |||
Transfer agent fees (Note 2) | 21,695 | |||
Printing and shareholder reporting fees | 12,985 | |||
Legal fees | 12,965 | |||
Custodian fees (Note 2) | 12,328 | |||
Registration and filing fees | 10,950 | |||
Trustees’ and officers’ fees (Note 2) | 10,595 | |||
Other expenses | 1,115 | |||
|
| |||
Total expenses before waivers | 376,888 | |||
|
| |||
Less: waivers (Note 2) | (92,009 | ) | ||
|
| |||
Net expenses after waivers | 284,879 | |||
|
| |||
Net investment income | 321,319 | |||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized gain from investments | 4,666,854 | |||
Net change in unrealized appreciation on investments | (3,067,382 | ) | ||
|
| |||
Net realized and unrealized gain on investments | 1,599,472 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 1,920,791 | ||
|
|
The accompanying notes are an integral part of the financial statements.
6
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Statements of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Seven Months Ended April 30, 2014* | For the Year Ended September 30, 2013 | |||||||||||||
Increase/(Decrease) in net assets from operations: | |||||||||||||||
Net investment income | $ | 321,319 | $ | 645,017 | $ | 612,727 | |||||||||
Net realized gain on investments | 4,666,854 | 7,347,146 | 5,819,331 | ||||||||||||
Net change in unrealized appreciation/(depreciation) from investments | (3,067,382 | ) | 1,622,739 | 2,611,774 | |||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets resulting from operations: | 1,920,791 | 9,614,902 | 9,043,832 | ||||||||||||
|
|
|
|
|
| ||||||||||
Less Dividends and Distributions to Shareholders from: | |||||||||||||||
Net investment income | |||||||||||||||
Class I | — | (519,755 | ) | (426,207 | ) | ||||||||||
Net realized gains | |||||||||||||||
Class I | — | (5,642,614 | ) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Net decrease in net assets from dividends and distributions to shareholders | — | (6,162,369 | ) | (426,207 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Increase/(Decrease) in Net Assets Derived from Capital Share Transactions (Note 4) | (4,960,692 | ) | 10,174,004 | 10,862,417 | |||||||||||
|
|
|
|
|
| ||||||||||
Total increase/(decrease) in net assets | (3,039,901 | ) | 13,626,537 | 19,480,042 | |||||||||||
|
|
|
|
|
| ||||||||||
Net assets | |||||||||||||||
Beginning of period | 59,166,318 | 45,539,781 | 26,059,739 | ||||||||||||
|
|
|
|
|
| ||||||||||
End of period | $ | 56,126,417 | $ | 59,166,318 | $ | 45,539,781 | |||||||||
|
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|
|
| ||||||||||
Accumulated net investment income, end of period | $ | 827,065 | $ | 505,746 | $ | 380,484 | |||||||||
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|
* | The Fund changed its fiscal year end to April 30. |
The accompanying notes are an integral part of the financial statements.
7
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for Class I Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
For the Six Months Ended October 31, 2014 (Unaudited) | For the Seven Months Ended April 30, 2014(1) | For the Year Ended September 30, 2013 | For the Year Ended September 30, 2012 | For the Year Ended September 30, 2011 | For the Year Ended September 30, 2010 | For the Year Ended September 30, 2009 | |||||||||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.92 | $ | 11.19 | $ | 8.72 | $ | 7.09 | $ | 7.69 | $ | 6.49 | $ | 7.07 | |||||||||||||||||||||
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| ||||||||||||||||||||||
Net investment | 0.07 | 0.14 | 0.17 | 0.12 | 0.14 | 0.07 | 0.10 | ||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.36 | 2.08 | 2.43 | 1.66 | (0.81 | ) | 1.19 | (0.51 | ) | ||||||||||||||||||||||||||
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| ||||||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.43 | 2.22 | 2.60 | 1.78 | (0.67 | ) | 1.26 | (0.41 | ) | ||||||||||||||||||||||||||
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| ||||||||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||||||||||||
Net investment income | — | (0.13 | ) | (0.13 | ) | (0.16 | ) | (0.05 | ) | (0.07 | ) | (0.17 | ) | ||||||||||||||||||||||
Net realized gains | — | (1.36 | ) | — | — | — | — | — | |||||||||||||||||||||||||||
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| ||||||||||||||||||||||
Total dividends and distributions to shareholders | — | (1.49 | ) | (0.13 | ) | (0.16 | ) | (0.05 | ) | (0.07 | ) | (0.17 | ) | ||||||||||||||||||||||
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| ||||||||||||||||||||||||||
Adviser Contribution | — | — | — | 0.01 | 0.12 | — | — | ||||||||||||||||||||||||||||
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Redemption fees added to paid-in capital(2) | — | — | — | — | 0.00 | (3) | 0.01 | 0.00 | (3) | ||||||||||||||||||||||||||
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| ||||||||||||||||||||||
Net asset value, end of period | $ | 12.35 | $ | 11.92 | $ | 11.19 | $ | 8.72 | $ | 7.09 | $ | 7.69 | $ | 6.49 | |||||||||||||||||||||
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| ||||||||||||||||||||||
Total investment | 3.61 | % | 20.54 | % | 30.16 | % | 25.38 | %(5) | (7.25 | )%(5) | 19.60 | % | (5.16 | )% | |||||||||||||||||||||
Ratio/Supplemental Data | |||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 56,126 | $ | 59,166 | $ | 45,540 | $ | 26,060 | $ | 17,003 | $ | 9,588 | $ | 3,827 | |||||||||||||||||||||
Ratio of expenses to average net assets | 0.95 | %(6) | 0.95 | %(6) | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | |||||||||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements | 1.26 | %(6) | 1.18 | %(6) | 1.25 | % | 1.74 | % | 1.74 | % | 3.39 | % | 7.91 | % | |||||||||||||||||||||
Ratio of net investment income to average net assets | 1.07 | %(6) | 2.09 | %(6) | 1.70 | % | 1.50 | % | 1.68 | % | 0.95 | % | 1.92 | % | |||||||||||||||||||||
Portfolio turnover rate | 49.57 | %(7) | 53.87 | %(7) | 103.55 | % | 118.67 | % | 102.57 | % | 120.20 | % | 178.60 | % |
(1) | The Fund changed its fiscal year end to April 30. |
(2) | Calculated based on the average number of shares outstanding during the period. |
(3) | Amount is less than $0.005 per share. |
(4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total return for periods less than one year are not annualized. |
(5) | Absent the capital contribution between the Predecessor Fund and the investment adviser to the Predecessor Fund, as described in Note 2, total returns would have been 25.23% and (8.82)% for the years ended September 30, 2012 and 2011, respectively. |
(6) | Annualized. |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
8
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Mount Lucas U.S. Focused Equity Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares, Class I and Class II. As of October 31, 2014, Class II Shares have not been issued.
Immediately prior to the opening of business on March 24, 2014, the Fund, a series of the Trust, acquired substantially all of the assets and liabilities of the Mount Lucas U.S. Focused Equity Fund, a series of Scotia Institutional Funds (the “Predecessor Fund”) pursuant to an Agreement and Plan of Reorganization. As a result of the reorganization, the Fund is the accounting successor to the Predecessor Fund. See Note 6 for additional information on the reorganization.
The fiscal year end of the Predecessor Fund was September 30. As part of the Trust, the Fund changed its fiscal year end to April 30 to reflect the fiscal year end of the other series of the Trust.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost which approximates fair value. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• | Level 1 — quoted prices in active markets for identical securities; |
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
• | Level 3 — significant unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
9
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks* | $ | 55,547,089 | $ | 55,547,089 | $ | — | $ | — | ||||||||
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|
* | Please refer to Portfolio of Investments for details on portfolio holdings. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
10
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, (the “Code”) and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
Mount Lucas Management LP (“Mount Lucas” or the “Adviser”) serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is entitled to an investment advisory fee of 0.75% (on an annualized basis), which is calculated daily and paid monthly based on the average daily net assets of the Fund.
Prior to March 24, 2014, Scotia Institutional Investments US, LP (the “Former Adviser”) served as the investment adviser to the Predecessor Fund, and was entitled to the same investment advisory fee as listed above. Prior to March 24, 2014, the Former Advisor had a sub-advisory agreement with Mount Lucas. The Former Advisor, not the Predecessor Fund, paid a sub-advisory fee to Mount Lucas. Effective immediately prior to the opening of business on March 24, 2014, Mount Lucas became the investment adviser to the Fund.
The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding taxes, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 0.95% (on an annual basis) of the Fund’s average daily net assets of Class I Shares (the “Expense Limitation”). The Expense Limitation shall remain in effect until August 31, 2015, unless the Board of Trustees of the Trust approves its earlier termination. Prior to March 24, 2014, the Former Adviser contractually agreed to waive class level expenses and fund level expenses, to the extent necessary to limit the total annual operating expenses from exceeding 0.95% for the Class I Shares average daily net assets.
11
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Subject to approval by the Board of Trustees, the Adviser may recoup any expenses or fees it has reimbursed within a three-year period from the year in which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation. As of October 31, 2014, the amount of potential recovery was as follows:
Expiration | ||
April 30, 2017 | April 30, 2018 | |
$22,635 | $92,009 |
As of October 31, 2014, the Adviser earned advisory fees of $224,828. For the six months ended October 31, 2014, the Adviser waived fees of $92,009.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six months ended October 31, 2014 was $3,143. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
12
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 29,329,895 | $ | 33,945,765 |
4. Capital Share Transactions
For the six months ended October 31, 2014, the seven months ended April 30, 2014 and year ended September 30, 2013, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Seven Months Ended April 30, 2014 | For the Year Ended September 30, 2013 | ||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||
Class I Shares* | ||||||||||||||||||||||||
Sales | 315,623 | $ | 3,837,604 | 761,691 | $ | 8,856,951 | 1,433,027 | $ | 14,406,796 | |||||||||||||||
Reinvestments | — | — | 537,560 | 6,048,236 | 47,058 | 422,109 | ||||||||||||||||||
Redemptions | (737,797 | ) | (8,798,296 | ) | (404,029 | ) | (4,731,183 | ) | (396,605 | ) | (3,966,488 | ) | ||||||||||||
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|
|
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|
| |||||||||||||
Net Increase/Decrease | (422,174 | ) | $ | (4,960,692 | ) | 895,222 | $ | 10,174,004 | 1,083,480 | $ | 10,862,417 | |||||||||||||
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* Information for period prior to March 24, 2014 pertains to the Class I Shares of the Predecessor Fund.
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the period ended April 30, 2014, the tax character of distributions paid by the Fund was $1,963,279 of ordinary income dividends and $4,199,090 of long-term capital gains dividends. For the year ended September 30, 2013, the tax character of distributions paid by the Fund was $426,207 of ordinary income dividends. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | Other Book/Tax | ||||
$— | $1,373,605 | $6,428,175 | $4,668,758 | $(4,464) |
The differences between the book and tax basis unrealized depreciation are attributable primarily to the tax deferral of losses on wash sales. Other book/tax differences in treatment of organizational and start-up costs.
13
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 53,905,247 | ||||||||
|
| |||||||||
Gross unrealized appreciation | $ | 3,706,717 | ||||||||
Gross unrealized depreciation | (2,064,875 | ) | ||||||||
|
| |||||||||
Net unrealized appreciation | $ | 1,641,842 | ||||||||
|
|
Accumulated capital losses represent net capital loss carry forwards as of September 30, 2013 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Fund did not have any capital loss carryforwards.
6. Reorganization
On March 7, 2014, at a special meeting, shareholders of Mount Lucas U.S. Focused Equity Fund, a series of Scotia Institutional Funds, (“Acquired Fund”) approved an Agreement and Plan of Reorganization pursuant to which the assets and identified liabilities of the Acquired Fund were transferred into Class I Shares of the Mount Lucas U.S. Focused Equity Fund of the Trust (“Acquiring Fund”) as noted below. The consummation of the reorganization took place immediately prior to the opening of business on March 24, 2014 in a tax-free exchange of shares.
Mount Lucas (series of Scotia Institutional Funds) | Acquiring Fund (series of FundVantage Trust) | Net Assets | Shares Outstanding | |||||||
Mount Lucas U.S. Focused | Mount Lucas U.S. Focused | |||||||||
Equity Fund Class I | Equity Fund Class I | $ | 57,966,637 | 4,923,325 |
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
14
MOUNT LUCAS U.S. FOCUSED EQUITY FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (844) 261-6483 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust will file its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year on Form N-Q. The Trust’s Forms N-Q will be available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
15
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Investment Adviser
Mount Lucas Management LP
405 South State Street
Newtown, PA 18940
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
PACIFIC CAPITAL FUNDS
Semi-Annual Report
Pacific Capital Tax-Free Securities Fund
Performance Data
October 31, 2014 (Unaudited)
Credit Quality as of October 31, 2014 (as a percentage of total investments)
Credit quality ratings are primarily sourced from Moody’s but in the event that Moody’s has not assigned a rating, the Fund will use S&P or Fitch. If these ratings are in conflict, S&P will be used before Fitch. If none of the major rating agencies have assigned a rating, the Fund will assign a rating of NR (non-rated security). The ratings represent their (Moody’s, S&P, and Fitch) opinions as to the quality of the underlying securities in the fund, and not the fund itself. The ratings range from AAA (extremely strong capacity to meet financial commitment) to D (in default). Ratings are relative and subjective and are not absolute standards of quality. A pre-refunded bond is secured by an escrow fund of U.S. government obligations (i.e. Treasury securities) and assumes the superior credit rating of the government obligation. The ratings do not predict performance and are subject to change. | Investment Style
High-quality, intermediate-term, tax-exempt
Investment Objective
The Fund seeks high current income that is exempt from federal and Hawaii income tax by normally investing at least 80% of its net assets in investment grade municipal obligations. The Fund normally invests greater than 50% of its assets in Hawaii municipal obligations — debt securities issued by or on behalf of the State of Hawaii and its political subdivisions, agencies and instrumentalities that pay interest which is exempt from Hawaii income tax as well as federal income tax.
Investment Considerations
Income received from the Fund may be subject to certain state and local taxes and, depending on one’s tax status, to the federal alternative minimum tax. Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. Generally, bond prices and values fall when interest rates rise, and vice versa. The longer the average maturity of the Fund’s portfolio, the greater the fluctuation in value. Since the Fund invests significantly in securities of issuers in Hawaii, it will also be affected by a variety of Hawaii’s economic and political factors. The values of any of the Fund’s investments may also decline in response to events affecting the issuer or its credit rating.
Investment Process
•Top-down macroeconomic analysis of interest rate trends
•Bottom-up credit research to identify high quality bonds
Investment Management
Advised by Asset Management Group of Bank of Hawaii (AMG)
• As of October 31, 2014, AMG manages $1.1 billion in mutual fund assets. In addition, AMG personnel also manage approximately $1.8 billion in assets on behalf of Bank of Hawaii clients.
|
1
PACIFIC CAPITAL FUNDS
Semi-Annual Report
Pacific Capital Tax-Free Securities Fund
Performance Data (Concluded)
October 31, 2014 (Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||||||
| Six Months* | 1 Year | 3 Year | 5 Year | 10 Year | |||||||
Class Y Shares | 3.24% | 6.62% | 4.18% | 4.35% | 3.68% | |||||||
Barclays Capital Hawaii Municipal Bond Index | 3.29% | 6.70% | 4.46% | 4.47% | 4.49% |
* | Not Annualized |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. To obtain performance information current to the most recent month end, please call (888) 678-6034.
The Fund’s total annual gross and net operating expense ratio for Class Y Shares, as disclosed in the Fund’s prospectus dated September 1, 2014, are 0.31% and 0.11%, respectively, of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered in this report. The Adviser has contractually agreed to waive its Advisory fees until August 31, 2015. The waiver may not be terminated at any time prior to that date without the consent of the Board of Trustees of FundVantage Trust. Additional information pertaining to the Fund’s expense ratio for the period ended October 31, 2014 can be found in the financial highlights.
Before the Fund commenced operations, all of the assets of the Tax-Free Securities Fund, a series of Pacific Capital Funds (the “Predecessor Fund”), were transferred to the Fund in a tax-free reorganization (the “Reorganization”). Performance presented prior to June 28, 2010 reflects the performance of the Predecessor Fund.
Total returns reflect the waiver of Advisory fees. Had these waivers not been in effect, performance quoted would have been lower.
The performance of the Fund is measured against the Barclays Capital Hawaii Municipal Bond Index, a rules-based, market-value weighted index engineered for the long-term tax-exempt Hawaii bond market. The index has four main sectors: general obligation bonds, revenue bonds, insured bonds and prerefunded bonds. The index is unmanaged and does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index.
The Fund is distributed by Foreside Funds Distributors LLC. The Asset Management Group of Bank of Hawaii is the investment adviser to the Fund and receives a fee for its services.
2
PACIFIC CAPITAL FUNDS
Semi-Annual Report
Pacific Capital Tax-Free Short Intermediate Securities Fund
Performance Data
October 31, 2014 (Unaudited)
Credit Quality as of October 31, 2014 (as a percentage of total investments)
Credit quality ratings are primarily sourced from Moody’s but in the event that Moody’s has not assigned a rating, the Fund will use S&P or Fitch. If these ratings are in conflict, S&P will be used before Fitch. If none of the major rating agencies have assigned a rating, the Fund will assign a rating of NR (non-rated security). The ratings represent their (Moody’s, S&P, and Fitch) opinions as to the quality of the underlying securities in the fund, and not the fund itself. The ratings range from AAA (extremely strong capacity to meet financial commitment) to D (in default). Ratings are relative and subjective and are not absolute standards of quality. A pre-refunded bond is secured by an escrow fund of U.S. government obligations (i.e. Treasury securities) and assumes the superior credit rating of the government obligation. The ratings do not predict performance and are subject to change. | Investment Style
High-quality, short-intermediate term, tax-exempt
Investment Objective
The Fund seeks high current income that is exempt from federal and Hawaii income tax by normally investing at least 80% of its net assets in investment grade municipal obligations. The Fund normally invests greater than 50% of its assets in Hawaii municipal obligations — debt securities issued by or on behalf of the State of Hawaii and its political subdivisions, agencies and instrumentalities that pay interest which is exempt from Hawaii income tax as well as federal income tax. The Fund seeks to provide greater price stability than a long-term bond fund.
Investment Considerations
Income received from the Fund may be subject to certain state and local taxes and, depending on one’s tax status, to the federal alternative minimum tax. Bonds offer a relatively stable level of income, although bond prices will fluctuate, providing the potential for principal gain or loss. Generally, bond prices and values fall when interest rates rise, and vice versa. Intermediate term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. Since the Fund invests significantly in securities of issuers in Hawaii, it will also be affected by a variety of Hawaii’s economic and political factors. The values of any of the Fund’s investments may also decline in response to events affecting the issuer or its credit rating.
Investment Process
•Top-down macroeconomic analysis of interest rate trends
•Bottom-up credit research to identify high quality bonds
Investment Management
Advised by Asset Management Group of Bank of Hawaii (AMG)
• As of October 31, 2014, AMG manages $1.1 billion in mutual fund assets. In addition, AMG personnel also manage approximately $1.8 billion in assets on behalf of Bank of Hawaii clients. |
3
PACIFIC CAPITAL FUNDS
Semi-Annual Report
Pacific Capital Tax-Free Short Intermediate Securities Fund
Performance Data (Concluded)
October 31, 2014 (Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||||||
| Six Months* | 1 Year | 3 Year | 5 Year | 10 Year | |||||||
Class Y Shares | 1.02% | 1.66% | 1.30% | 1.41% | 2.02% | |||||||
Barclays Capital Hawaii | 0.75% | 1.22% | 1.57% | 1.91% | 2.84% |
* | Not Annualized |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. To obtain performance information current to the most recent month end, please call (888) 678-6034.
The Fund’s total annual gross and net operating expense ratio for Class Y Shares, as disclosed in the Fund’s prospectus dated September 1, 2014, are 0.40% and 0.20%, respectively, of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered in this report. The Adviser has contractually agreed to waive its Advisory fees until August 31, 2015. The waiver may not be terminated at any time prior to that date without the consent of the Board of Trustees of FundVantage Trust. Additional information pertaining to the Fund’s expense ratio for the period ended October 31, 2014 can be found in the financial highlights.
Before the Fund commenced operations, all of the assets of the Tax-Free Short Intermediate Securities Fund, a series of Pacific Capital Funds (the “Predecessor Fund”), were transferred to the Fund in a tax-free reorganization (the “Reorganization”). Performance presented prior to June 28, 2010 reflects the performance of the Predecessor Fund.
Total returns reflect the waiver of Advisory fees. Had these waivers not been in effect, performance quoted would have been lower.
The performance of the Fund is measured against the Barclays Capital Hawaii 3-Year Municipal Bond Index, which is the 2-4 year component of the Barclays Capital Hawaii Municipal Bond Index and is a rules-based, market-value weighted index engineered for the Hawaii tax-exempt bond market. The index has four main sectors: general obligation bonds, revenue bonds, insured bonds, and prerefunded bonds. The index is unmanaged and does not reflect the deduction of fees associated with a mutual fund, such as investment management and fund accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index.
The Fund is distributed by Foreside Funds Distributors LLC. The Asset Management Group of Bank of Hawaii is the investment adviser to the Fund and receives a fee for its services.
4
PACIFIC CAPITAL FUNDS
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from May 1, 2014 and held for the entire period through October 31, 2014.
Actual Expenses
The first line for each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line for each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare these 5% hypothetical examples 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. 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.
5
PACIFIC CAPITAL FUNDS
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | Expense Ratio During Period** | ||||||||||||||||||||||
Pacific Capital Tax-Free Securities Fund | |||||||||||||||||||||||||
Actual Fund Return | Class Y | $1,000.00 | $1,032.40 | $0.61 | 0.12 | % | |||||||||||||||||||
Hypothetical Fund Return (5% return before expenses) | Class Y | 1,000.00 | 1,024.60 | 0.61 | 0.12 | % | |||||||||||||||||||
Pacific Capital Tax-Free Short Intermediate Securities Fund | |||||||||||||||||||||||||
Actual Fund Return | Class Y | $1,000.00 | $1,010.20 | $0.71 | 0.14 | % | |||||||||||||||||||
Hypothetical Fund Return (5% return before expenses) | Class Y | 1,000.00 | 1,024.50 | 0.71 | 0.14 | % |
* | Expenses are equal to the average account value times a Fund’s annualized expense ratio multiplied by the number of days in the most recent fiscal half-year (184) divided by the number of days in the fiscal year (365). The Funds’ ending account values on the first line in each table are based on the actual six month total returns of 3.24% for the Pacific Capital Tax-Free Securities Fund and 1.02% for the Pacific Capital Tax-Free Short Intermediate Securities Fund. |
** | Annualized. |
6
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Securities Fund
Portfolio of Investments
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — 97.3% |
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Arizona — 3.1% |
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Phoenix Civic Improvement Corp., Civic Plaza, Convertible CAB, Series B, 5.50%, 07/01/31, (NATL-RE, FGIC Insured) | 5,000,000 | 6,536,400 | ||||||
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California — 1.5% | ||||||||
Norwalk-La Mirada Unified School District GO, CAB, Series B, 0.00%, 08/01/27, (AGM-CR, FGIC Insured) | 5,000,000 | 3,110,850 | ||||||
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Florida — 0.9% | ||||||||
Orlando Utilities Commission, Water and Electric Revenue, Series D, ETM, 6.75%, 10/01/17 | 1,790,000 | 1,995,725 | ||||||
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Georgia — 1.8% | ||||||||
Municipal Electric Authority Power Revenue, Series W, Unrefunded Portion, 6.60%, 01/01/18, (NATL-RE, IBC, BNYM Insured) | 3,470,000 | 3,804,092 | ||||||
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Hawaii — 78.8% | ||||||||
County of Kauai GO, Series A, 5.00%, 08/01/22 | 315,000 | 382,936 | ||||||
County of Kauai GO, Series A, Callable 08/01/21 at 100, 3.25%, 08/01/23 | 1,000,000 | 1,055,130 |
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
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Hawaii — (Continued) |
| |||||||
County of Kauai GO, Series A, Prerefunded 08/01/15 at 100, 5.00%, 08/01/23, (NATL-RE, FGIC Insured) | 600,000 | 621,390 | ||||||
County of Kauai GO, Series A, Callable 08/01/22 at 100, 3.13%, 08/01/27 | 1,295,000 | 1,333,177 | ||||||
Hawaii County GO, Series A, 5.25%, 07/15/17 | 500,000 | 561,185 | ||||||
Hawaii County GO, Series A, Callable 07/15/18 at 100, 6.00%, 07/15/26 | 1,655,000 | 1,934,662 | ||||||
Hawaii County GO, Series A, Callable 03/01/20 at 100, 4.00%, 03/01/28 | 2,470,000 | 2,684,322 | ||||||
Hawaii County GO, Series A, Callable 09/01/22 at 100, 5.00%, 09/01/29 | 500,000 | 589,460 | ||||||
Hawaii Housing Finance & Development Corp., Multi-Family Housing, Halekauwila Place, Series A, Callable 06/01/15 at 100, 0.70%, 12/01/15 | 1,000,000 | 1,000,110 | ||||||
Hawaii Housing Finance & Development Corp., Multi-Family Housing, Iwilei Apartments, Series A, Callable 07/01/22 at 100, 3.75%, 01/01/31, (FHLMC Insured) | 3,460,000 | 3,517,747 |
The accompanying notes are an integral part of the financial statements.
7
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Hawaii Housing Finance & Development Corp., Series B, Callable 07/01/21 at 100, 3.88%, 07/01/25, (GNMA/FNMA Insured) | 3,890,000 | 4,166,618 | ||||||
Hawaii State Airports System Revenue, Series A, Callable 07/01/20 at 100, 5.00%, 07/01/22 | 1,350,000 | 1,572,588 | ||||||
Hawaii State Airports System Revenue, AMT, Callable 07/01/21 at 100, 5.00%, 07/01/23 | 3,500,000 | 4,021,745 | ||||||
Hawaii State Airports System Revenue, Series A, Callable 07/01/20 at 100, 5.25%, 07/01/29 | 2,000,000 | 2,321,520 | ||||||
Hawaii State Department of Budget & Finance Revenue, Hawaii Pacific Health Obligation, 4.00%, 07/01/23 | 500,000 | 536,665 | ||||||
Hawaii State Department of Budget & Finance Revenue, Hawaii Pacific Health Obligation, Callable 07/01/23 at 100, 5.00%, 07/01/26 | 500,000 | 572,025 |
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Hawaii State Department of Budget & Finance Revenue, Hawaiian Electric Co., Inc., Series A, 5.50%, 12/01/14, (AMBAC Insured) | 2,000,000 | 2,004,340 | ||||||
Hawaii State Department of Budget & Finance, Special Purpose Revenue, Kahala Nui, Callable 11/15/22 at 100, 5.00%, 11/15/27 | 1,390,000 | 1,558,565 | ||||||
Hawaii State Department of Budget & Finance, Special Purpose Revenue, Kahala Nui, Callable 11/15/22 at 100, 5.13%, 11/15/32 | 550,000 | 599,610 | ||||||
Hawaii State Department of Hawaiian Home Lands Revenue, 5.00%, 04/01/16 | 500,000 | 526,255 | ||||||
Hawaii State Department of Hawaiian Home Lands Revenue, 5.00%, 04/01/18 | 775,000 | 850,353 | ||||||
Hawaii State GO, Series CY, 5.75%, 02/01/15, (AGM Insured) | 820,000 | 831,045 | ||||||
Hawaii State GO, Series DI, Callable 03/01/16 at 100, 5.00%, 03/01/26, (AGM Insured) | 1,000,000 | 1,054,030 |
The accompanying notes are an integral part of the financial statements.
8
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Hawaii State GO, Series DJ, Unrefunded portion, Callable 04/01/17 at 100, 5.00%, 04/01/19, (AMBAC Insured) | 890,000 | 985,639 | ||||||
Hawaii State GO, Series DJ, Prerefunded 04/01/17 at 100, 5.00%, 04/01/19, (AMBAC Insured) | 110,000 | 121,877 | ||||||
Hawaii State GO, Series DJ, Callable 04/01/17 at 100, 5.00%, 04/01/22, (AMBAC Insured) | 1,025,000 | 1,131,241 | ||||||
Hawaii State GO, Series DK, 5.00%, 05/01/17 | 4,000,000 | 4,441,520 | ||||||
Hawaii State GO, Series DK, Callable 05/01/18 at 100, 5.00%, 05/01/23 | 3,100,000 | 3,512,703 | ||||||
Hawaii State GO, Series DK, Callable 05/01/18 at 100, 5.00%, 05/01/28 | 3,000,000 | 3,367,590 | ||||||
Hawaii State GO, Series DN, 5.00%, 08/01/15 | 1,000,000 | 1,035,800 | ||||||
Hawaii State GO, Series DT, 5.00%, 11/01/15 | 1,500,000 | 1,571,400 | ||||||
Hawaii State GO, Series DT, 5.00%, 11/01/16 | 1,900,000 | 2,073,755 | ||||||
Hawaii State GO, Series DT, 5.00%, 11/01/19 | 3,000,000 | 3,544,050 | ||||||
Hawaii State GO, Series DZ, Callable 12/01/21 at 100, 5.00%, 12/01/27 | 4,500,000 | 5,379,570 |
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Hawaii State GO, Series DZ, Callable 12/01/21 at 100, 5.00%, 12/01/29 | 2,000,000 | 2,376,420 | ||||||
Hawaii State GO, Series DZ, Callable 12/01/21 at 100, 5.00%, 12/01/30 | 3,000,000 | 3,553,800 | ||||||
Hawaii State GO, Series DZ, Callable 12/01/21 at 100, 5.00%, 12/01/31 | 2,800,000 | 3,306,828 | ||||||
Hawaii State GO, Series EE, Callable 11/01/22 at 100, 5.00%, 11/01/27 | 745,000 | 879,711 | ||||||
Hawaii State GO, Series EE, Callable 11/01/22 at 100, 5.00%, 11/01/29 | 3,000,000 | 3,504,600 | ||||||
Hawaii State GO, Series EH, Callable 08/01/23 at 100, 5.00%, 08/01/24 | 1,000,000 | 1,215,260 | ||||||
Hawaii State GO, Series EL, 5.00%, 08/01/23 | 1,000,000 | 1,227,710 | ||||||
Hawaii State Harbor System Revenue, Series A, 5.00%, 07/01/17 | 185,000 | 205,322 | ||||||
Hawaii State Harbor System Revenue, Series A, Callable 07/01/20 at 100, 4.75%, 07/01/24 | 220,000 | 248,675 | ||||||
Hawaii State Harbor System Revenue, Series A, Callable 07/01/20 at 100, 5.63%, 07/01/40 | 3,000,000 | 3,464,070 | ||||||
Hawaii State Harbor System Revenue, Series A, AMT, 5.25%, 07/01/16, (AGM Insured) | 1,105,000 | 1,188,936 |
The accompanying notes are an integral part of the financial statements.
9
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Hawaii State Highway Revenue, Series A, 5.00%, 01/01/21, (BAM Insured) | 500,000 | 600,240 | ||||||
Hawaii State Highway Revenue, Series A, Callable 01/01/22 at 100, 5.00%, 01/01/27 | 5,490,000 | 6,442,899 | ||||||
Hawaii State Highway Revenue, Series A, Callable 01/01/22 at 100, 5.00%, 01/01/28 | 1,120,000 | 1,305,573 | ||||||
Hawaii State Highway Revenue, Series B, 4.00%, 01/01/18, (BAM Insured) | 750,000 | 827,355 | ||||||
Honolulu City & County Board of Water Supply System Revenue, Series A, Callable 07/01/16 at 100, 4.50%, 07/01/23, (NATL-RE Insured) | 1,500,000 | 1,583,175 | ||||||
Honolulu City & County Board of Water Supply System Revenue, Series A, Callable 07/01/22 at 100, 5.00%, 07/01/26 | 3,125,000 | 3,709,250 | ||||||
Honolulu City & County Board of Water Supply System Revenue, Series B, AMT, Callable 07/01/16 at 100, 5.25%, 07/01/17, (NATL-RE Insured) | 1,300,000 | 1,395,381 |
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Honolulu City & County GO, Series A, 5.00%, 04/01/18 | 5,000,000 | 5,698,650 | ||||||
Honolulu City & County GO, Series A, 5.00%, 11/01/18 | 1,015,000 | 1,175,096 | ||||||
Honolulu City & County GO, Series A, Callable 07/01/15 at 100, 5.00%, 07/01/19, (NATL-RE Insured) | 6,250,000 | 6,447,688 | ||||||
Honolulu City & County GO, Series A, Callable 07/01/17 at 100, 5.00%, 07/01/21, (AGM Insured) | 4,000,000 | 4,450,600 | ||||||
Honolulu City & County GO, Series A, 5.00%, 11/01/22 | 2,000,000 | 2,447,580 | ||||||
Honolulu City & County GO, Series A, Callable 04/01/19 at 100, 5.00%, 04/01/24 | 1,110,000 | 1,285,280 | ||||||
Honolulu City & County GO, Series A, Callable 07/01/15 at 100, 5.00%, 07/01/26, (NATL-RE Insured) | 4,000,000 | 4,126,520 | ||||||
Honolulu City & County GO, Series A, Callable 11/01/22 at 100, 5.00%, 11/01/26 | 1,000,000 | 1,204,920 |
The accompanying notes are an integral part of the financial statements.
10
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Honolulu City & County GO, Series A, Callable 07/01/15 at 100, 5.00%, 07/01/28, (NATL-RE Insured) | 1,275,000 | 1,315,328 | ||||||
Honolulu City & County GO, Series A, Callable 07/01/15 at 100, 5.00%, 07/01/29, (NATL-RE Insured) | 1,000,000 | 1,031,630 | ||||||
Honolulu City & County GO, Series A, Callable 11/01/22 at 100, 5.00%, 11/01/32 | 1,865,000 | 2,183,076 | ||||||
Honolulu City & County GO, Series A, Refunding, Callable 11/01/22 at 100, 4.00%, 11/01/36 | 3,000,000 | 3,174,510 | ||||||
Honolulu City & County GO, Series A, Refunding, Callable 11/01/22 at 100, 4.00%, 11/01/37 | 3,000,000 | 3,163,680 | ||||||
Honolulu City & County GO, Series B, Refunding, Callable 12/01/20 at 100, 5.00%, 12/01/34 | 1,500,000 | 1,706,400 | ||||||
Honolulu City & County GO, Series D, Callable 07/01/15 at 100, 5.00%, 07/01/20, (NATL-RE Insured) | 2,000,000 | 2,063,260 | ||||||
Honolulu City & County GO, Series D, Callable 09/01/19 at 100, 4.00%, 09/01/21 | 250,000 | 276,142 |
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Honolulu City & County GO, Series F, Callable 07/01/15 at 100, 5.00%, 07/01/22, (NATL-RE, FGIC Insured) | 4,165,000 | 4,296,739 | ||||||
Honolulu City & County Waste Water System Revenue, 1st Bond Resolution, Series A, Callable 07/01/17 at 100, 5.00%, 07/01/31, (NATL-RE Insured) | 3,500,000 | 3,776,745 | ||||||
Honolulu City & County Waste Water System Revenue, Series B-1, Callable 07/01/16 at 100, 5.00%, 07/01/32, (NATL-RE Insured) | 4,015,000 | 4,266,339 | ||||||
Honolulu City & County, GO, Series B, Callable 12/01/20 at 100, 5.00%, 12/01/25 | 2,000,000 | 2,404,800 | ||||||
Maui County GO, 5.00%, 03/01/15, (NATL-RE Insured) | 2,500,000 | 2,539,375 | ||||||
Maui County GO, 5.00%, 06/01/20 | 3,075,000 | 3,666,384 | ||||||
Maui County GO, Callable 06/01/23 at 100, 3.00%, 06/01/27 | 540,000 | 552,733 | ||||||
Maui County GO, Series B, 4.00%, 06/01/16 | 1,000,000 | 1,057,500 | ||||||
University of Hawaii Revenue, Series A-2, 4.00%, 10/01/19 | 1,170,000 | 1,313,126 |
The accompanying notes are an integral part of the financial statements.
11
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
University of Hawaii Revenue, Series B-2, 5.00%, 10/01/18 | 1,310,000 | 1,500,448 | ||||||
University of Hawaii System Revenue, Series A, Callable 07/15/16 at 100, 5.00%, 07/15/24, (AGM-CR, MBIA Insured) | 470,000 | 501,913 | ||||||
University of Hawaii System Revenue, Series A, Callable 10/01/19 at 100, 5.25%, 10/01/34 | 1,000,000 | 1,148,500 | ||||||
|
| |||||||
167,270,790 | ||||||||
|
| |||||||
Illinois — 2.5% |
| |||||||
Chicago Midway Airport Revenue, Series C, 5.50%, 01/01/15, (NATL-RE Insured) | 1,000,000 | 1,008,400 | ||||||
Illinois Municipal Electric Agency Power Supply Revenue, Series C, 5.25%, 02/01/21, (NATL-RE, FGIC Insured) | 3,665,000 | 4,289,882 | ||||||
|
| |||||||
5,298,282 | ||||||||
|
| |||||||
Massachusetts — 1.4% |
| |||||||
Massachusetts State Department of Transportation, Metropolitan Highway System Revenue, Contract Assistance, Series B, Callable 01/01/20 at 100, 5.00%, 01/01/23 | 2,500,000 | 2,900,175 | ||||||
|
|
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
New Jersey — 0.2% |
| |||||||
Passaic Valley Sewage Commissioner System Revenue Refunding, Series G, 5.75%, 12/01/21 | 300,000 | 355,782 | ||||||
|
| |||||||
Ohio — 0.6% | ||||||||
Ohio State, Infrastructure Improvement GO, Series A, 5.00%, 08/01/21 | 1,000,000 | 1,209,250 | ||||||
|
| |||||||
Texas — 3.2% | ||||||||
Galveston County GO, CAB, Series RD, 0.00%, 02/01/24, (NATL-RE, FGIC Insured) | 2,630,000 | 2,023,075 | ||||||
Houston Water and Sewer System Revenue, Unrefunded Balance CAB, Junior Series A, 0.00%, 12/01/27, (AGM Insured) | 2,000,000 | 1,356,880 | ||||||
San Antonio Electric & Gas Revenue, Series A, 5.00%, 02/01/18 | 2,000,000 | 2,270,080 | ||||||
Texas State Tranportation Commission Mobility Fund GO, 5.00%, 10/01/27 | 1,000,000 | 1,218,660 | ||||||
|
| |||||||
6,868,695 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
12
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Virginia — 0.8% |
| |||||||
Virginia State College Building Authority, 21st Century College and Equipment, 5.00%, 02/01/22 | 1,500,000 | 1,816,440 | ||||||
|
| |||||||
Washington — 2.5% | ||||||||
King County School District No. 403 Renton GO, Callable 12/01/16 at 100, 5.00%, 12/01/24, (NATL-RE, FGIC Insured, School Bond Guarantee) | 3,000,000 | 3,281,880 | ||||||
Port of Seattle Revenue, Callable 02/01/16 at 100, 5.00%, 02/01/25, (XLCA Insured) | 2,000,000 | 2,102,560 | ||||||
|
| |||||||
5,384,440 | ||||||||
|
| |||||||
TOTAL MUNICIPAL BONDS |
| 206,550,921 | ||||||
|
|
Shares | Value ($) | |||||||
REGISTERED INVESTMENT COMPANY — 1.4% |
| |||||||
Dreyfus Tax Exempt Cash Management Fund, Institutional Shares, | 2,927,101 | 2,927,101 | ||||||
|
| |||||||
TOTAL REGISTERED INVESTMENT COMPANY | 2,927,101 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 98.7% |
| 209,478,022 | ||||||
OTHER ASSETS IN EXCESS OF | 2,689,024 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 212,167,046 | ||||||
|
|
(a) | Rate periodically changes. Rate disclosed is the daily yield on October 31, 2014. |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
13
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Securities Fund
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
AGM | Assured Guaranty Municipal Corp. | |
AGM-CR | Assured Guaranty Municipal Corp. Custodial Receipts | |
AMBAC | American Municipal Bond Assurance Corp. | |
AMT | Subject to Alternative Minimum Tax | |
BAM | Build America Mutual | |
BNYM | Bank of New York Mellon | |
CAB | Capital Appreciation Bond | |
ETM | Escrowed to Maturity | |
FGIC | Financial Guaranty Insurance Co. |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
GO | General Obligation | |
IBC | Insurance Bond Certificate | |
MBIA | Municipal Bond Investors Assurance | |
NATL-RE | National Reinsurance Corp. | |
XLCA | XL Capital Assurance |
The accompanying notes are an integral part of the financial statements.
14
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Short Intermediate Securities Fund
Portfolio of Investments
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — 95.4% |
| |||||||
Alaska — 0.4% |
| |||||||
Alaska State GO, Series A, 5.00%, 08/01/18 | 500,000 | 576,395 | ||||||
|
| |||||||
Arizona — 1.5% | ||||||||
Maricopa County Elementary School District No 6 Washington, Series A, 5.38%, 07/01/15, (AGM Insured) | 1,000,000 | 1,034,220 | ||||||
Mesa City, Utility Systems Revenue, ETM, 5.25%, 07/01/16, (NATL-RE, FGIC Insured) | 1,000,000 | 1,080,460 | ||||||
|
| |||||||
2,114,680 | ||||||||
|
| |||||||
Colorado — 0.4% | ||||||||
Boulder County Sales and Use Tax Revenue, Open Space, 5.00%, 12/15/18, (MAC Insured) | 500,000 | 574,470 | ||||||
|
| |||||||
Connecticut — 1.2% | ||||||||
State of Connecticut Special Tax Revenue, 5.00%, 11/01/18 | 1,000,000 | 1,156,030 | ||||||
State of Connecticut Special Tax Revenue, Series B, 5.00%, 12/01/18 | 500,000 | 579,395 | ||||||
|
| |||||||
1,735,425 | ||||||||
|
| |||||||
Florida — 0.5% | ||||||||
JEA Electric System Revenue, Sub-Series A, 5.00%, 10/01/18 | 650,000 | 749,606 | ||||||
|
|
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Georgia — 0.8% |
| |||||||
Georgia State GO, Series I, 5.00%, 11/01/17 | 1,000,000 | 1,130,460 | ||||||
|
| |||||||
Guam — 1.0% | ||||||||
Guam Economic Development & Commerce Authority, CAB, Series B, ETM, 5.40%, 05/15/15 | 1,350,000 | 1,385,910 | ||||||
|
| |||||||
Hawaii — 63.5% | ||||||||
County of Kauai GO, Series A, 2.25%, 08/01/17 | 150,000 | 156,296 | ||||||
County of Kauai GO, Series A, 3.00%, 08/01/20 | 295,000 | 319,240 | ||||||
County of Kauai GO, Series A, 2.00%, 08/01/16 | 500,000 | 514,200 | ||||||
Hawaii County GO, Series A, 5.00%, 03/01/15 | 600,000 | 609,426 | ||||||
Hawaii County GO, Series A, 4.00%, 03/01/16 | 400,000 | 419,568 | ||||||
Hawaii County GO, Series A, 5.25%, 07/15/17 | 1,155,000 | 1,296,337 | ||||||
Hawaii County GO, Series A, Callable 07/15/18 at 100, 5.00%, 07/15/21 | 120,000 | 136,381 | ||||||
Hawaii County GO, Series B, 4.00%, 09/01/15 | 500,000 | 515,770 | ||||||
Hawaii County GO, Series B, 5.00%, 07/15/16, (AMBAC Insured) | 1,215,000 | 1,310,353 | ||||||
Hawaii County GO, Series B, 5.00%, 09/01/16 | 1,000,000 | 1,084,000 |
The accompanying notes are an integral part of the financial statements.
15
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Short Intermediate Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Hawaii County GO, Series B, 5.00%, 09/01/17 | 1,000,000 | 1,119,650 | ||||||
Hawaii State Airports System Revenue, AMT, 4.00%, 07/01/15 | 515,000 | 527,607 | ||||||
Hawaii State Airports System Revenue, Refunding, AMT, 5.00%, 07/01/21 | 1,000,000 | 1,188,110 | ||||||
Hawaii State Airports System Revenue, Series A, 5.25%, 07/01/20 | 1,320,000 | 1,590,600 | ||||||
Hawaii State Airports System Revenue, Series B, AMT, 4.00%, 07/01/15 | 1,000,000 | 1,024,480 | ||||||
Hawaii State Department of Budget & Finance Various Revenue, The Queens Health, Series B, Callable 11/11/14 at 100, 0.05%, 07/01/29(a) | 6,700,000 | 6,700,000 | ||||||
Hawaii State Department of Hawaiian Home Lands, Kapolei Office, Series A, 3.75%, 11/01/15 | 500,000 | 516,010 | ||||||
Hawaii State Department of Transportation, AMT, 4.00%, 08/01/18 | 600,000 | 660,312 | ||||||
Hawaii State GO, Refunding Series DR, 4.00%, 06/01/16 | 500,000 | 528,670 |
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Hawaii State GO, Refunding Series DT, 4.00%, 11/01/15 | 500,000 | 518,860 | ||||||
Hawaii State GO, Refunding Series DY, 4.00%, 02/01/15 | 770,000 | 777,153 | ||||||
Hawaii State GO, Refunding Series DY, 4.00%, 02/01/16 | 745,000 | 779,344 | ||||||
Hawaii State GO, Refunding, Series EF, 5.00%, 11/01/17 | 750,000 | 846,892 | ||||||
Hawaii State GO, Refunding, Series EF, 5.00%, 11/01/18 | 500,000 | 578,440 | ||||||
Hawaii State GO, Refunding, Series EJ, 5.00%, 08/01/15 | 2,000,000 | 2,071,600 | ||||||
Hawaii State GO, Refunding, Series EK, 5.00%, 08/01/16 | 2,000,000 | 2,160,700 | ||||||
Hawaii State GO, Refunding, Series EL, 3.00%, 08/01/17 | 1,000,000 | 1,065,380 | ||||||
Hawaii State GO, Series DG, Callable 07/01/15 at 100, 5.00%, 07/01/16, (AMBAC Insured) | 2,075,000 | 2,140,778 | ||||||
Hawaii State GO, Series DI, Prerefunded 03/01/16 at 100, 5.00%, 03/01/25, (AGM Insured) | 1,135,000 | 1,205,654 | ||||||
Hawaii State GO, Series DN, 5.00%, 08/01/15 | 660,000 | 683,628 |
The accompanying notes are an integral part of the financial statements.
16
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Short Intermediate Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Hawaii State GO, Series DQ, 5.00%, 06/01/17 | 375,000 | 417,562 | ||||||
Hawaii State GO, Series DT, 5.00%, 11/01/17 | 200,000 | 225,838 | ||||||
Hawaii State GO, Series EA, 4.00%, 12/01/20 | 1,000,000 | 1,142,070 | ||||||
Hawaii State GO, Series EE, 4.00%, 11/01/22 | 1,020,000 | 1,169,114 | ||||||
Hawaii State GO, Series EH, Callable 08/01/23 at 100, 5.00%, 08/01/24 | 1,000,000 | 1,215,260 | ||||||
Hawaii State Harbor System Revenue, AMT, Series B, 5.00%, 07/01/15, (AGM Insured) | 2,710,000 | 2,791,896 | ||||||
Hawaii State Harbor System Revenue, Series A, 4.00%, 07/01/16 | 500,000 | 528,130 | ||||||
Hawaii State Highway Revenue, 5.50%, 07/01/18 | 1,000,000 | 1,163,080 | ||||||
Hawaii State Highway Revenue, Series A, 3.00%, 01/01/16 | 2,000,000 | 2,063,420 | ||||||
Hawaii State Highway Revenue, Series A, 4.00%, 01/01/17 | 325,000 | 348,845 | ||||||
Hawaii State Highway Revenue, Series A, 3.00%, 01/01/17 | 2,000,000 | 2,107,500 | ||||||
Hawaii State Highway Revenue, Series A, 4.00%, 01/01/18 | 995,000 | 1,096,311 |
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Hawaii State Highway Revenue, Series A, 5.00%, 01/01/21 | 1,000,000 | 1,196,590 | ||||||
Hawaii State Highway Revenue, Series A, 4.00%, 01/01/21 | 1,000,000 | 1,138,250 | ||||||
Hawaii State Highway Revenue, Series A, Callable 07/01/15 at 100, 5.00%, 07/01/22, (AGM Insured) | 1,565,000 | 1,614,501 | ||||||
Hawaii State Highway Revenue, Series B, 5.25%, 07/01/18, (AGM Insured) | 500,000 | 578,425 | ||||||
Hawaii State Housing Finance & Development Corp., Multifamily Housing Halekauwla Place, Series A, Callable 06/01/15 at 100, 0.70%, 12/01/15 | 2,000,000 | 2,000,220 | ||||||
Hawaii State Housing Finance & Development Corp., Multifamily Housing Kuhio Park Terrace, Series A, 2.00%, 10/01/15, (FHLMC Insured) | 150,000 | 151,308 | ||||||
Hawaii State Housing Finance & Development Corp., Series A, 2.35%, 07/01/17, (GNMA/FNMA Insured) | 555,000 | 571,922 |
The accompanying notes are an integral part of the financial statements.
17
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Short Intermediate Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Hawaii State Housing Finance & Development Corp., Series A, 2.70%, 07/01/18, (GNMA/FNMA Insured) | 565,000 | 589,024 | ||||||
Honolulu City & County Board of Water Supply System Revenue, AMT, Series B, Callable 7/01/16at 100, 5.25%, 07/01/21, (NATL-RE Insured) | 1,335,000 | 1,431,120 | ||||||
Honolulu City & County Board of Water Supply System Revenue, Series A, 3.00%, 07/01/15 | 500,000 | 509,335 | ||||||
Honolulu City & County Board of Water Supply System Revenue, Series A, 5.00%, 07/01/20 | 320,000 | 380,890 | ||||||
Honolulu City & County Board of Water Supply System Revenue, Series A, 5.00%, 07/01/22 | 650,000 | 787,761 | ||||||
Honolulu City & County Board of Water Supply System Revenue, Series A, Unrefunded Portion, Callable 07/01/16 at 100, 4.50%, 07/01/22, (NATL-RE Insured) | 1,070,000 | 1,132,231 |
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Honolulu City & County GO, Series A, 4.00%, 08/01/16 | 500,000 | 531,610 | ||||||
Honolulu City & County GO, Series A, 5.00%, 04/01/18 | 200,000 | 227,946 | ||||||
Honolulu City & County GO, Series A, 5.00%, 11/01/18 | 1,500,000 | 1,736,595 | ||||||
Honolulu City & County GO, Series A, 3.00%, 11/01/18 | 750,000 | 809,738 | ||||||
Honolulu City & County GO, Series A, Prerefunded 07/01/15 at 100, 5.00%, 07/01/25, (NATL-RE Insured) | 1,625,000 | 1,676,399 | ||||||
Honolulu City & County GO, Series A, Callable 07/01/15 at 100, 5.00%, 07/01/29, (NATL-RE Insured) | 1,000,000 | 1,031,630 | ||||||
Honolulu City & County GO, Series B, 5.00%, 07/01/16, (NATL-RE Insured) | 750,000 | 773,625 | ||||||
Honolulu City & County GO, Series B, 5.00%, 08/01/16 | 625,000 | 675,338 | ||||||
Honolulu City & County GO, Series B, Prerefunded 07/01/15 at 100, 5.00%, 07/01/18, (NATL-RE Insured) | 1,050,000 | 1,083,212 |
The accompanying notes are an integral part of the financial statements.
18
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Short Intermediate Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Honolulu City & County GO, Series B, 5.00%, 08/01/19 | 1,000,000 | 1,177,560 | ||||||
Honolulu City & County GO, Series B, 5.00%, 11/01/20 | 500,000 | 601,145 | ||||||
Honolulu City & County GO, Series B, 5.00%, 11/01/21 | 955,000 | 1,161,146 | ||||||
Honolulu City & County GO, Series C, Callable 07/01/15 at 100, 5.00%, 07/01/16, (NATL-RE Insured) | 200,000 | 206,300 | ||||||
Honolulu City & County GO, Series D, Prerefunded 07/01/15 at 100, 5.00%, 07/01/23, (NATL-RE Insured) | 375,000 | 386,861 | ||||||
Honolulu City & County GO, Series D, Callable 09/01/19 at 100, 5.25%, 09/01/23 | 1,000,000 | 1,181,460 | ||||||
Honolulu City & County GO, Series E, 5.25%, 07/01/15, (NATL-RE Insured) | 500,000 | 516,735 | ||||||
Honolulu City & County GO, Series F, Callable 07/01/15 at 100, 5.25%, 07/01/17, (NATL-RE, FGIC Insured) | 535,000 | 552,799 |
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Honolulu City & County Wastewater System Revenue, 5.00%, 07/01/18 | 1,150,000 | 1,317,820 | ||||||
Honolulu City & County Wastewater System Revenue, 4.00%, 07/01/19 | 480,000 | 541,834 | ||||||
Honolulu City & County Wastewater System Revenue, 1st Bond Resolution, Senior Sub-Series A, 4.00%, 07/01/16 | 905,000 | 959,481 | ||||||
Honolulu City & County Wastewater System Revenue, 1st Bond Resolution, Series-B, 4.25%, 07/01/17, (NATL-RE Insured) | 150,000 | 164,026 | ||||||
Honolulu City & County Wastewater System Revenue, Senior 1st Bond Resolution, Series B, 5.00%, 07/01/20 | 500,000 | 597,840 | ||||||
Honolulu City & County Wastewater System Revenue, Senior 1st Bond Resolution, Series B, 4.00%, 07/01/21 | 500,000 | 573,425 | ||||||
Honolulu City & County Wastewater System Revenue, Senior Series A, 5.00%, 07/01/19 | 1,000,000 | 1,173,030 |
The accompanying notes are an integral part of the financial statements.
19
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Short Intermediate Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Honolulu City & County Wastewater System Revenue, Senior Series A, 3.25%, 07/01/20 | 1,320,000 | 1,446,298 | ||||||
Honolulu City & County Wastewater System Revenue, Senior Series A, 4.00%, 07/01/21 | 1,005,000 | 1,147,137 | ||||||
Honolulu City & County Wastewater System Revenue, Series A, Prerefunded 07/01/15 at 100, 5.00%, 07/01/16, (NATL-RE Insured) | 555,000 | 572,555 | ||||||
Maui County GO, 4.00%, 06/01/16 | 500,000 | 528,750 | ||||||
Maui County GO, Prerefunded 03/01/15 at 100, 5.00%, 03/01/17, (NATL-RE Insured) | 90,000 | 91,411 | ||||||
Maui County GO, 5.00%, 06/01/18 | 1,000,000 | 1,145,330 | ||||||
Maui County GO, 5.00%, 06/01/18 | 300,000 | 343,599 | ||||||
Maui County GO, 5.00%, 06/01/20 | 530,000 | 631,930 | ||||||
Maui County GO, Series A, 3.50%, 07/01/15 | 200,000 | 204,402 | ||||||
Maui County GO, Series B, 5.00%, 06/01/18 | 250,000 | 286,332 |
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Hawaii — (Continued) |
| |||||||
Maui County GO, Unrefunded Portion, Callable 03/01/15 at 100, 5.00%, 03/01/17, (NATL-RE Insured) | 410,000 | 416,023 | ||||||
University of Hawaii Revenue, Series A, 4.00%, 10/01/16 | 625,000 | 667,912 | ||||||
University of Hawaii Revenue, Series A, 5.00%, 10/01/17 | 1,510,000 | 1,680,237 | ||||||
University of Hawaii Revenue, Series A, 2.00%, 10/01/18 | 230,000 | 233,556 | ||||||
|
| |||||||
88,449,069 | ||||||||
|
| |||||||
Idaho — 0.8% | ||||||||
Madison County School District No 321 Rexburg GO, Refunding, Series A, 4.00%, 08/15/18, (ID SLSTAX GTY Insured) | 1,000,000 | 1,113,980 | ||||||
|
| |||||||
Illinois — 0.2% | ||||||||
Winnebago County School District No 122 Harlem-Loves Park GO, ETM, 0.00%, 01/01/16, (AGM Insured) | 215,000 | 214,183 | ||||||
|
| |||||||
Indiana — 0.7% | ||||||||
Indiana Finance Authority Revenue Refunding Facilities, Prerefunded 07/01/18 at 100, 5.00%, 07/01/20 | 865,000 | 994,266 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
20
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Short Intermediate Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Iowa — 0.3% |
| |||||||
University of Iowa Facilities Corp. Revenue, Medical Education & Biomed Research Facility, 3.75%, 06/01/18 | 435,000 | 477,357 | ||||||
|
| |||||||
Kansas — 1.2% | ||||||||
City of Wichita GO, Series E, 4.00%, 10/01/17 | 1,460,000 | 1,602,759 | ||||||
|
| |||||||
Maryland — 1.3% | ||||||||
Maryland State GO, Series C, 5.00%, 11/01/18 | 1,500,000 | 1,741,710 | ||||||
|
| |||||||
Massachusetts — 0.8% | ||||||||
Commonwealth of Massachusetts GO, Series C, Prerefunded 08/01/17 at 100, 5.25%, 08/01/22, (AGM Insured) | 1,000,000 | 1,126,700 | ||||||
|
| |||||||
Michigan — 0.3% | ||||||||
Michigan Municipal Bond Authority Revenue, Clean Water Revolving Fund, Callable 10/01/16 at 100, 5.00%, 10/01/18 | 365,000 | 396,547 | ||||||
|
| |||||||
Missouri — 0.8% | ||||||||
Kansas City Special Obligation Refunding & Improvement Revenue, Series B, 5.00%, 08/01/18 | 450,000 | 510,916 |
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Missouri — (Continued) |
| |||||||
St Charles County School District No R-IV Wentzville GO, Refunding, 4.00%, 03/01/19, (ST AID DIR DEP) | 500,000 | 561,485 | ||||||
|
| |||||||
1,072,401 | ||||||||
|
| |||||||
Nevada — 1.9% | ||||||||
Clark County GO, Refunding Infrastructure Improvement, Series B, 4.00%, 07/01/18 | 585,000 | 646,501 | ||||||
Nevada System of Higher Education, Series B, Prerefunded 01/01/16 at 100, 5.00%, 07/01/26, (AMBAC Insured) | 1,900,000 | 2,003,379 | ||||||
|
| |||||||
2,649,880 | ||||||||
|
| |||||||
New York — 0.4% | ||||||||
New York City GO, Series J, 5.00%, 08/01/18 | 470,000 | 540,312 | ||||||
|
| |||||||
Ohio — 2.5% | ||||||||
City of Akron, Prerefunded, 06/01/15 at 100, 5.00%, 12/01/15, (AGM Insured) | 1,475,000 | 1,515,725 | ||||||
Ohio State GO, Infrastructure Improvement, Series A, Callable 03/01/15 at 100, 5.00%, 09/01/19 | 1,410,000 | 1,432,109 |
The accompanying notes are an integral part of the financial statements.
21
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Short Intermediate Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Ohio — (Continued) |
| |||||||
Reynoldsburg City Capital Facilities GO, Prerefunded 12/01/15 at 100, 4.00%, 12/01/20, (AMBAC Insured) | 550,000 | 572,192 | ||||||
|
| |||||||
3,520,026 | ||||||||
|
| |||||||
Oklahoma — 1.3% | ||||||||
Cleveland County Educational Facilities Authority Revenue, 5.00%, 07/01/17 | 500,000 | 554,785 | ||||||
Cleveland County Educational Facilities Authority Revenue, 5.00%, 07/01/18 | 500,000 | 568,905 | ||||||
Oklahoma Development Finance Authority Health Refunding, INTEGRIS Baptist Medical Center, Series C, 5.00%, 08/15/16 | 455,000 | 491,104 | ||||||
Oklahoma Water Resources Board Loan Revenue, Series A, 5.00%, 10/01/20 | 200,000 | 239,666 | ||||||
|
| |||||||
1,854,460 | ||||||||
|
| |||||||
Oregon — 0.9% | ||||||||
Oregon State GO, University System Revenue, Series A, 5.00%, 08/01/16 | 100,000 | 108,054 | ||||||
Portland City, Water System Revenue, First Lien, Series A, 5.00%, 05/01/18 | 460,000 | 527,027 |
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Oregon — (Continued) |
| |||||||
State of Oregon, 5.00%, 08/01/35 | 625,000 | 647,281 | ||||||
|
| |||||||
1,282,362 | ||||||||
|
| |||||||
Texas — 6.2% | ||||||||
Bexar County GO, Edgewood Independent School District, 4.00%, 08/15/21, (PSF-GTD Insured) | 450,000 | 513,508 | ||||||
Carrollton City Improvement Revenue GO, 3.00%, 08/15/23 | 870,000 | 929,569 | ||||||
Dallas Independent School District GO, Refunding Series A, 4.00%, 08/15/16, (PSF-GTD Insured) | 1,000,000 | 1,064,260 | ||||||
Dallas Independent School District GO, Refunding Series A, 5.00%, 08/15/19, (PSF-GTD Insured) | 1,000,000 | 1,179,490 | ||||||
Harris County GO, Refunding Road, Series A, 5.00%, 10/01/20 | 1,000,000 | 1,202,100 | ||||||
La Joya Independent School District GO, School Building, Prerefunded 02/15/18 at 100, 5.00%, 02/15/34, (PSF-GTD Insured) | 590,000 | 672,683 | ||||||
Texas State GO, Unrefunded Portion Transportation Commission, 5.00%, 04/01/17 | 905,000 | 1,002,025 |
The accompanying notes are an integral part of the financial statements.
22
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Short Intermediate Securities Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Texas — (Continued) |
| |||||||
University of Texas, Finance System Revenue, Series B, Prerefunded 08/15/16 at 100, 5.00%, 08/15/21 | 500,000 | 541,445 | ||||||
University of Texas, Refunding Finance System Revenue, Series B, 5.00%, 08/15/15 | 400,000 | 415,136 | ||||||
Ysleta Independent School District GO, Refunding, 4.00%, 08/15/19, (PSF-GTD Insured) | 1,000,000 | 1,129,620 | ||||||
|
| |||||||
8,649,836 | ||||||||
|
| |||||||
Utah — 0.8% | ||||||||
Utah State Board of Regents, Student Loan Series EE-2, 5.00%, 11/01/17, (GTD STD LNS Insured) | 1,000,000 | 1,125,000 | ||||||
|
| |||||||
Virgin Islands — 0.3% | ||||||||
University of The Virgin Islands Improvement Revenue, Series A, Prerefunded 12/01/14 at 100, 5.38%, 06/01/34, (GO of University Insured) | 400,000 | 401,504 | ||||||
|
| |||||||
Virginia — 0.8% | ||||||||
Virginia Public School Authority Revenue, Series II, 5.00%, 04/15/17 | 1,000,000 | 1,107,900 | ||||||
|
|
Principal Amount ($) | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Washington — 3.1% |
| |||||||
County of King GO, Callable 12/01/22 at 100, 5.00%, 06/01/23 | 1,000,000 | 1,225,930 | ||||||
County of King GO, Refunding, 5.00%, 12/01/19 | 1,000,000 | 1,184,820 | ||||||
Klickitat County Public Utility District No 1 Revenue, Series B, Callable 12/01/16 at 100, 5.25%, 12/01/19, (NATL Insured) | 1,500,000 | 1,636,575 | ||||||
Snohomish County School District GO, Callable 12/01/16 at 100, 5.00%, 12/01/17, (NATL SCH BN GTY Insured) | 200,000 | 218,792 | ||||||
|
| |||||||
4,266,117 | ||||||||
|
| |||||||
Wisconsin — 1.5% | ||||||||
Milwaukee City GO, Promissory & Corporate Notes, Series N2, 5.00%, 05/01/20 | 400,000 | 474,892 | ||||||
Waukesha City GO, Series A, Unrefunded Balance, Callable 10/01/15 at 100, 5.00%, 10/01/16, (AGM Insured) | 340,000 | 341,176 |
The accompanying notes are an integral part of the financial statements.
23
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Short Intermediate Securities Fund
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Shares | Value ($) | |||||||
MUNICIPAL BONDS — (Continued) |
| |||||||
Wisconsin — (Continued) |
| |||||||
Wisconsin State GO, Series 3, 5.00%, 11/01/22 | 1,000,000 | 1,222,130 | ||||||
|
| |||||||
2,038,198 | ||||||||
|
| |||||||
TOTAL MUNICIPAL BONDS |
| 132,891,513 | ||||||
|
| |||||||
REGISTERED INVESTMENT COMPANY — 3.7% |
| |||||||
Dreyfus Tax Exempt Cash Management Fund, Institutional Shares, | 5,161,702 | 5,161,702 | ||||||
|
| |||||||
TOTAL REGISTERED INVESTMENT COMPANY | 5,161,702 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 99.1% |
| 138,053,215 | ||||||
OTHER ASSETS IN EXCESS OF | 1,313,948 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 139,367,163 | ||||||
|
|
(a) | Floating or variable rate security. Rate disclosed is as of October 31, 2014. |
Portfolio holdings are subject to change at any time.
AGM | Assured Guaranty Municipal Corp. | |
AMBAC | American Municipal Bond Assurance Corp. | |
AMT | Subject to Alternative Minimum Tax | |
CAB | Capital Appreciation Bond | |
ETM | Escrowed to Maturity | |
FGIC | Financial Guaranty Insurance Co. | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
GO | General Obligation | |
GTD STD LNS | Guaranteed Student Loans | |
ID SLSTAX GTY | Idaho Sales Tax Guaranty | |
MAC | Municipal Assurance Corp | |
NATL-RE | National Reinsurance Corp. | |
NATL SCH BN GTY | National School Board Guarantee | |
PSF-GTD | Permanent School Fund Guaranteed | |
ST AID DIR DEP | State Aid Direct Deposit |
The accompanying notes are an integral part of the financial statements.
24
PACIFIC CAPITAL FUNDS
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Pacific Capital Tax-Free Securities Fund | Pacific Capital Tax-Free Short Intermediate Securities Fund |
Assets | ||||||||
Investments, at value (Cost $197,404,792 and $136,663,621, respectively) | $ | 209,478,022 | $ | 138,053,215 | ||||
Receivable for capital shares sold | 106,177 | 54,766 | ||||||
Dividends and interest receivable | 3,037,908 | 1,648,235 | ||||||
Prepaid expenses and other assets | 8,423 | 5,764 | ||||||
|
|
|
| |||||
Total assets | 212,630,530 | 139,761,980 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Payable for capital shares redeemed | 297,003 | 328,057 | ||||||
Payable for distributions to shareholders | 92,345 | 15,588 | ||||||
Payable for administration and accounting fees | 23,026 | 11,538 | ||||||
Payable for custodian fees | 7,966 | 7,322 | ||||||
Payable for transfer agent fees | 7,646 | 7,649 | ||||||
Accrued expenses | 35,498 | 24,663 | ||||||
|
|
|
| |||||
Total liabilities | 463,484 | 394,817 | ||||||
|
|
|
| |||||
Net Assets | $ | 212,167,046 | $ | 139,367,163 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Capital stock, $0.01 par value | $ | 205,276 | $ | 136,434 | ||||
Paid-in capital | 201,533,418 | 138,631,864 | ||||||
Undistributed net investment income | — | 49 | ||||||
Accumulated net realized loss from investments | (1,644,878 | ) | (790,778 | ) | ||||
Net unrealized appreciation on investments | 12,073,230 | 1,389,594 | ||||||
|
|
|
| |||||
Net Assets | $ | 212,167,046 | $ | 139,367,163 | ||||
|
|
|
| |||||
Class Y: | ||||||||
Outstanding shares | 20,527,599 | 13,643,387 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 10.34 | $ | 10.21 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
25
PACIFIC CAPITAL FUNDS
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Pacific Capital Tax-Free Securities Fund | Pacific Capital Tax-Free Short Intermediate Securities Fund |
Investment Income | ||||||||
Interest | $ | 3,596,453 | $ | 796,915 | ||||
|
|
|
| |||||
Total investment income | 3,596,453 | 796,915 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Advisory fees (Note 2) | 214,516 | 136,735 | ||||||
Administration and accounting fees (Note 2) | 40,326 | 27,634 | ||||||
Legal fees | 19,531 | 9,701 | ||||||
Audit fees | 13,029 | 12,999 | ||||||
Transfer agent fees (Note 2) | 11,789 | 11,733 | ||||||
Trustees’ and officers’ fees (Note 2) | 11,259 | 6,891 | ||||||
Custodian fees (Note 2) | 9,215 | 8,805 | ||||||
Printing and shareholder reporting fees | 8,048 | 5,567 | ||||||
Registration and filing fees | 2,196 | 5,405 | ||||||
Other expenses | 14,004 | 4,723 | ||||||
|
|
|
| |||||
Total expenses before waivers and reimbursements | 343,913 | 230,193 | ||||||
|
|
|
| |||||
Less: waivers and reimbursements (Note 2) | (214,516 | ) | (136,735 | ) | ||||
|
|
|
| |||||
Net expenses after waivers and reimbursements | 129,397 | 93,458 | ||||||
|
|
|
| |||||
Net investment income | 3,467,056 | 703,457 | ||||||
|
|
|
| |||||
Net realized and unrealized gain/(loss) from investments: | ||||||||
Net realized gain/(loss) from investments | 33,029 | (19,471 | ) | |||||
Net change in unrealized appreciation on investments | 3,257,650 | 640,850 | ||||||
|
|
|
| |||||
Net realized and unrealized gain on investments | 3,290,679 | 621,379 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | $ | 6,757,735 | $ | 1,324,836 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
26
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Securities Fund
Statement of Changes in Net Assets
Six Months Ended October 31, 2014 (Unaudited) | Year Ended April 30, 2014 |
Increase/(decrease) in net assets from operations: | ||||||||
Net investment income | $ | 3,467,056 | $ | 8,547,539 | ||||
Net realized gain/(loss) from investments | 33,029 | (1,020,304 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments | 3,257,650 | (10,425,333 | ) | |||||
|
|
|
| |||||
Net increase/(decrease) in net assets resulting from operations | 6,757,735 | (2,898,098 | ) | |||||
|
|
|
| |||||
Less Dividends and Distributions to Shareholders from: | ||||||||
Net investment income | (3,467,056 | ) | (8,547,539 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | (3,467,056 | ) | (8,547,539 | ) | ||||
|
|
|
| |||||
Decrease in Net Assets Derived from Capital Share Transactions (Note 4) | (9,894,772 | ) | (73,407,685 | ) | ||||
|
|
|
| |||||
Total decrease in net assets | (6,604,093 | ) | (84,853,322 | ) | ||||
|
|
|
| |||||
Net assets | ||||||||
Beginning of period | 218,771,139 | 303,624,461 | ||||||
|
|
|
| |||||
End of period | $ | 212,167,046 | $ | 218,771,139 | ||||
|
|
|
| |||||
Undistributed net investment income, end of period | $ | — | $ | — | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
27
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Short Intermediate Securities Fund
Statement of Changes in Net Assets
Six Months Ended October 31, 2014 (Unaudited) | Year Ended April 30, 2014 |
Increase/(decrease) in net assets from operations: | ||||||||
Net investment income | $ | 703,457 | $ | 929,434 | ||||
Net realized loss from investments | (19,471 | ) | (37,069 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments | 640,850 | (417,183 | ) | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 1,324,836 | 475,182 | ||||||
|
|
|
| |||||
Less Dividends and Distributions to Shareholders from: | ||||||||
Net investment income | (703,457 | ) | (929,434 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | (703,457 | ) | (929,434 | ) | ||||
|
|
|
| |||||
Increase in Net Assets Derived from Capital Share Transactions (Note 4) | 30,074,445 | 46,562,063 | ||||||
|
|
|
| |||||
Total increase in net assets | 30,695,824 | 46,107,811 | ||||||
|
|
|
| |||||
Net assets | ||||||||
Beginning of period | 108,671,339 | 62,563,528 | ||||||
|
|
|
| |||||
End of period | $ | 139,367,163 | $ | 108,671,339 | ||||
|
|
|
| |||||
Undistributed net investment income, end of period | $ | 49 | $ | 49 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
28
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Securities Fund
Financial Highlights
Contained below is per share operating performance data for each Class Y Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class Y | For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Nine Months Ended April 30, 2011† | For the Year Ended July 31, 2010 | For the Year Ended July 31, 2009 | ||||||||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.18 | $ | 10.51 | $ | 10.41 | $ | 9.92 | $ | 10.16 | $ | 9.97 | $ | 9.94 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Net investment income | 0.17 | 0.33 | 0.34 | 0.38 | 0.34 | 0.37 | 0.41 | ||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) from investments | 0.16 | (0.33 | ) | 0.11 | 0.49 | (0.25 | ) | 0.20 | 0.04 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Net increase in net assets resulting from operations | 0.33 | — | 0.45 | 0.87 | 0.09 | 0.57 | 0.45 | ||||||||||||||||||||||||||||
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| ||||||||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||||||||||||
Net investment income | (0.17 | ) | (0.33 | ) | (0.35 | ) | (0.38 | ) | �� | (0.33 | ) | (0.38 | ) | (0.41 | ) | ||||||||||||||||||||
Net realized gains | — | — | — | — | — | — | (0.01 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total dividends and distributions to shareholders | (0.17 | ) | (0.33 | ) | (0.35 | ) | (0.38 | ) | (0.33 | ) | (0.38 | ) | (0.42 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Net asset value, end of period | $ | 10.34 | $ | 10.18 | $ | 10.51 | $ | 10.41 | $ | 9.92 | $ | 10.16 | $ | 9.97 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total investment return(a) | 3.24 | % | 0.11 | % | 4.40 | % | 8.92 | % | 0.89 | %(b) | 5.77 | % | 4.75 | % | |||||||||||||||||||||
Ratio/Supplemental Data | |||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 212,167 | $ | 218,771 | $ | 303,624 | $ | 251,290 | $ | 209,482 | $ | 270,644 | $ | 233,348 | |||||||||||||||||||||
Ratio of expenses to average net assets | 0.12 | %* | 0.11 | % | 0.10 | % | 0.15 | % | 0.13 | %* | 0.71 | % | 0.76 | % | |||||||||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(c) | 0.32 | %* | 0.31 | % | 0.30 | % | 0.35 | % | 0.33 | %* | 0.87 | % | 0.91 | % | |||||||||||||||||||||
Ratio of net investment income to average net assets | 3.27 | %* | 3.30 | % | 3.28 | % | 3.71 | % | 4.49 | %(b)* | 3.80 | % | 4.21 | % | |||||||||||||||||||||
Portfolio turnover rate | 6.18 | %** | 5.35 | % | 14.78 | % | 29.36 | % | 12.26 | %** | 12.10 | % | 23.69 | % |
† | The Fund changed its fiscal year end to April 30. |
(a) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(b) | During the period, the Fund received a distribution from a ‘fair fund’ established by the Securities and Exchange Commission in connection with a consent order against BISYS Fund Services, Inc. Had this settlement not occurred, the ratio of net investment income to average net assets and total investment return for the Fund would have been 4.08% and 0.59%, respectively. |
(c) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
* | Annualized. |
** | Not annualized. |
The accompanying notes are an integral part of the financial statements.
29
PACIFIC CAPITAL FUNDS
Pacific Capital Tax-Free Short Intermediate Securities Fund
Financial Highlights
Contained below is per share operating performance data for each Class Y Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class Y | For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Nine Months Ended April 30, 2011† | For the Year Ended July 31, 2010 | For the Year Ended July 31, 2009 | ||||||||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.17 | $ | 10.30 | $ | 10.33 | $ | 10.28 | $ | 10.39 | $ | 10.32 | $ | 10.20 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Net investment income | 0.05 | 0.12 | 0.17 | 0.19 | 0.16 | 0.15 | 0.26 | ||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) from investments | 0.04 | (0.13 | ) | (0.03 | ) | 0.05 | (0.11 | ) | 0.06 | 0.12 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.09 | (0.01 | ) | 0.14 | 0.24 | 0.05 | 0.21 | 0.38 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||||||||||||
Net investment income | (0.05 | ) | (0.12 | ) | (0.17 | ) | (0.19 | ) | (0.16 | ) | (0.14 | ) | (0.26 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Net asset value, end of period | $ | 10.21 | $ | 10.17 | $ | 10.30 | $ | 10.33 | $ | 10.28 | $ | 10.39 | $ | 10.32 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total investment return(a) | 1.02 | % | (0.09 | )% | 1.39 | % | 2.37 | % | 0.45 | %(b) | 2.10 | % | 3.80 | % | |||||||||||||||||||||
Ratio/Supplemental Data | |||||||||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 139,367 | $ | 108,671 | $ | 62,564 | $ | 52,442 | $ | 57,831 | $ | 68,291 | $ | 61,113 | |||||||||||||||||||||
Ratio of expenses to average net assets | 0.14 | %* | 0.19 | % | 0.25 | % | 0.30 | % | 0.30 | %* | 0.77 | % | 0.81 | % | |||||||||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(c) | 0.34 | %* | 0.39 | % | 0.45 | % | 0.50 | % | 0.50 | %* | 0.88 | % | 0.91 | % | |||||||||||||||||||||
Ratio of net investment income to average net assets | 1.04 | %* | 1.15 | % | 1.62 | % | 1.86 | % | 2.06 | %(b)* | 1.46 | % | 2.47 | % | |||||||||||||||||||||
Portfolio turnover rate | 9.86 | %** | 26.98 | % | 23.97 | % | 40.55 | % | 13.20 | %** | 22.81 | % | 40.33 | % |
† | The Fund changed its fiscal year end to April 30. |
(a) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(b) | During the period, the Fund received a distribution from a ‘fair fund’ established by the Securities and Exchange Commission in connection with a consent order against BISYS Fund Services, Inc. Had this settlement not occurred, the ratio of net investment income to average net assets and total investment return for the Fund would have been 1.86% and 0.35%, respectively. |
(c) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
* | Annualized. |
** | Not annualized. |
The accompanying notes are an integral part of the financial statements.
30
PACIFIC CAPITAL FUNDS
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Pacific Capital Tax-Free Securities Fund and Pacific Capital Tax-Free Short Intermediate Securities Fund (each a “Fund” and together the “Funds”) are non-diversified open-end management investment companies registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Funds are each authorized to issue and offer Class Y shares.
The assets of each Fund are segregated and a shareholder’s interest is limited to the Fund in which shares are held.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by each Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost which approximates fair value. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service, which utilizes information with respect to recent sales, market transactions in comparable securities, quotations from dealers, and various relationships between securities in determining value. Valuations developed through pricing techniques may materially vary from the actual amounts realized upon sale of the securities. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of such investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
31
PACIFIC CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
• | Level 1 — quoted prices in active markets for identical securities; |
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
• | Level 3 — significant unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments). |
The fair value of a Fund’s bonds are generally based on quotes received from brokers of independent pricing services. Bonds with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Funds’ investments carried at fair value:
Funds | Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
Pacific Capital Tax-Free Securities Fund | ||||||||||||||||
Municipal Bonds | $ | 206,550,921 | $ | — | $ | 206,550,921 | $ | — | ||||||||
Registered Investment Company | 2,927,101 | 2,927,101 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 209,478,022 | $ | 2,927,101 | $ | 206,550,921 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Pacific Capital Tax-Free Short Intermediate Securities Fund | ||||||||||||||||
Municipal Bonds | $ | 132,891,513 | $ | — | $ | 132,891,513 | $ | — | ||||||||
Registered Investment Company | 5,161,702 | 5,161,702 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 138,053,215 | $ | 5,161,702 | $ | 132,891,513 | $ | — | ||||||||
|
|
|
|
|
|
|
|
32
PACIFIC CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of a Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values a Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Funds to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Funds have an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Funds have an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3.
Use of Estimates — Each Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. General expenses of the Trust are generally allocated to each
33
PACIFIC CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Dividends and Distributions to Shareholders — Dividends from net investment income are declared daily and paid monthly to shareholders. Distributions, if any, of net short-term capital gain and net capital gain (the excess of net long-term capital gain over the short-term capital loss) realized by a Fund, after deducting any available capital loss carryovers are declared and paid to its shareholders annually. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to such Fund’s shareholders, which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, a Fund may enter into contracts that provide general indemnifications. A Fund’s maximum exposure under these arrangements is dependent on claims that may be made against it in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
Investment advisory services are provided to the Funds by the Asset Management Group of Bank of Hawaii (the “Adviser”). Under terms of an advisory agreement, each Fund is charged an annual fee of 0.20% which is computed daily and paid monthly based upon average daily net assets. The Adviser has agreed to waive its entire advisory fee (the “Waiver”). The Waiver will remain in effect until August 31, 2015. The Waiver may not be terminated at any time prior to that date without the consent of the Board of Trustees.
Fee rates for the period May 1, 2014 through October 31, 2014, were as follows:
Maximum Annual Advisory Fee | Net Annual Fees Paid After Contractual Waivers | |||
Pacific Capital Tax-Free Securities Fund | 0.20% | 0.00% | ||
Pacific Capital Tax-Free Short Intermediate Securities Fund | 0.20% | 0.00% |
34
PACIFIC CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Funds.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of each Fund’s average daily net assets and is subject to certain minimum monthly fees.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the period ended October 31, 2014 was $8,343 for the Pacific Capital Tax-Free Securities Fund and $4,927 for the Pacific Capital Tax-Free Short Intermediate Securities Fund. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||
Pacific Capital Tax-Free Securities Fund | $ | 12,670,976 | $ | 23,910,596 | ||||
Pacific Capital Tax-Free Short Intermediate Securities Fund | 41,541,570 | 12,495,000 |
35
PACIFIC CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
4. Capital Share Transactions
For the six months ended October 31, 2014, and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Pacific Capital Tax-Free Securities Fund | ||||||||||||||||
Class Y | ||||||||||||||||
Sales | 2,311,685 | $ | 23,723,219 | 3,626,911 | $ | 36,516,750 | ||||||||||
Reinvestments | 4,823 | 49,645 | 9,936 | 99,595 | ||||||||||||
Redemptions | (3,277,097 | ) | (33,667,636 | ) | (11,028,779 | ) | (110,024,030 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (960,589 | ) | $ | (9,894,772 | ) | (7,391,932 | ) | $ | (73,407,685 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Pacific Capital Tax-Free Short Intermediate Securities Fund | ||||||||||||||||
Class Y | ||||||||||||||||
Sales | 3,907,437 | $ | 39,808,425 | 7,531,186 | $ | 76,188,154 | ||||||||||
Reinvestments | 350 | 3,571 | 586 | 5,947 | ||||||||||||
Redemptions | (954,771 | ) | (9,737,551 | ) | (2,914,462 | ) | (29,632,038 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 2,953,016 | $ | 30,074,445 | 4,617,310 | $ | 46,562,063 | ||||||||||
|
|
|
|
|
|
|
|
5. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state, and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
36
PACIFIC CAPITAL FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
The tax character of distributions paid during the year ended April 30, 2014, were as follows:
Net Investment Income | Net Long-Term Capital Gains | Total Taxable Distributions | Tax Exempt Distributions | Total Distributions Paid* | ||||||||||||||||
Pacific Capital Tax-Free Securities Fund | $84,496 | $— | $84,496 | $8,495,357 | $8,579,853 | |||||||||||||||
Pacific Capital Tax-Free Short Intermediate Securities Fund | 2,107 | — | 2,107 | 924,386 | 926,493 |
* | Distributions will not tie to Statement of Changes because distributions are recognized when actually paid for tax purposes. |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed Tax-Exempt Income | Qualified Late-Year Losses | Distributions Payable | Capital Loss Carryforwards | Unrealized Appreciation/ (Depreciation) | Total Accumulated Earnings/ Deficit | |||||||||||||||||||
Pacific Capital Tax-Free Securities Fund | $100,171 | $(450,884) | $(100,171) | $(1,227,023) | $8,815,580 | $7,137,673 | ||||||||||||||||||
Pacific Capital Tax-Free | ||||||||||||||||||||||||
Short Intermediate Securities Fund | 16,111 | — | (16,062) | (771,307) | 748,744 | (22,514) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
The cost for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation and net unrealized appreciation/(depreciation) as of October 31, 2014 is as follows:
Tax Cost of Securities | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation | |||||||||||||
Pacific Capital Tax-Free Securities Fund | $197,404,792 | $12,196,117 | $(122,887) | $12,073,230 | ||||||||||||
Pacific Capital Tax-Free Short Intermediate Securities Fund | 136,663,621 | 1,437,627 | (48,033) | 1,389,594 |
Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions.
37
PACIFIC CAPITAL FUNDS
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law.
As of April 30, 2014, the Funds had pre-enactment net capital loss carryforwards to offset future net capital gains, if any, to the extent provided by Treasury regulations. To the extent that these carryforwards are used to offset future capital gains, it is probable that the gains that are offset will not be distributed to shareholders.
Expires April 30, | ||||||||||||||||||||
2015 ($) | 2016 ($) | 2017 ($) | 2018 ($) | 2019 ($) | ||||||||||||||||
Pacific Capital Tax-Free Securities Fund | — | — | — | (237,475 | ) | — | ||||||||||||||
Pacific Capital Tax-Free Short Intermediate Securities Fund | (577,000 | ) | (49,093 | ) | (15,122 | ) | (75,378 | ) | (17,645 | ) |
6. Concentration of Credit Risk
The Funds primarily invest in debt obligations issued by the state of Hawaii and its political subdivisions, agencies, and public authorities to obtain funds for various public purposes. The Funds are more susceptible to factors adversely affecting issues of Hawaii municipal securities than is a municipal bond fund that is not concentrated in these issuers to the same extent.
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date that the financial statements were issued, and has determined that there were no following subsequent events requiring recognition or disclosure in the financial statements.
38
PACIFIC CAPITAL FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 678-6034 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
39
Investment Adviser
Asset Management Group of Bank of Hawaii
130 Merchant Street, Suite 370
Honolulu, HI 96813
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
of
FundVantage Trust
Pacific Capital Tax-Free Securities
Fund
Pacific Capital Tax-Free Short
Intermediate Securities Fund
SEMI-ANNUAL REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Pacific Capital Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Pacific Capital Funds.
PEMBERWICK FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns For the Periods Ended October 31, 2014 | ||||||||||
Six Months† | 1 Year | 3 Year | Since Inception* | |||||||
Pemberwick Fund | 0.38% | 0.89% | 1.72% | 1.36% | ||||||
Barclays 1-3 Year Government/Credit Index | 0.49% | 0.89% | 0.94% | 1.36% |
† Not Annualized.
* | The Pemberwick Fund (the “Fund”) commenced operations on February 1, 2010. Benchmark performance is from the inception date of the Fund only and is not the inception date of the benchmark itself. The benchmark does not reflect any expenses or transaction costs. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 447-4785.The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual operating expense ratio, as stated in the current prospectus dated September 1, 2014, is 0.76% of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. Pemberwick has voluntarily agreed to waive fees equal to 0.35% of the Fund’s average daily net assets. Such waiver will continue until Pemberwick notifies the Fund of a change in its voluntary waiver or its discontinuation. This waiver can be discontinued at any time at the discretion of Pemberwick.
The Fund intends to evaluate performance as compared to that of the Barclays 1-3 Year Government/Credit Index. The Barclays 1-3 Year Government/Credit Index is an unmanaged market index and should not be considered indicative of any Pemberwick investment. It is impossible to invest directly in an index.
All mutual fund investing involves risk, including possible loss of principal. The Fund is subject to the risks of the fixed-income securities held in its portfolio such as credit, prepayment and interest rate risk. As interest rates rise, the value of bond prices will decline and an investor may lose money. The Fund is non-diversified, which means that a large portion of the Fund’s assets may be invested in one or few issuers or sectors. The Fund could fluctuate in value more than a diversified fund.
1
PEMBERWICK FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six month period from May 1, 2014, through October 31, 2014 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line 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 second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying 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.
2
PEMBERWICK FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
Pemberwick Fund | ||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | ||||
Actual | $1,000.00 | $1,003.80 | $2.02 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.19 | 2.04 |
* | Expenses are equal to an annualized expense ratio for the six-month period ended October 31, 2014 of 0.40% for the Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184) then divided by 365 days. The Fund’s ending account values on the first line in each table are based on the actual six-months total return for the Fund of 0.38%. |
3
PEMBERWICK FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||
SECURITY TYPE: | ||||||||
Corporate Bonds and Notes | 61.7% | $ | 108,768,259 | |||||
U.S. Treasury Obligations | 23.6 | 41,552,482 | ||||||
U.S. Government Agency Obligations | 4.3 | 7,533,793 | ||||||
Collateralized Mortgage Obligations | 1.8 | 3,208,807 | ||||||
Government Bonds | 0.0 | 40,613 | ||||||
Other Assets In Excess of Liabilities | 8.6 | 15,213,559 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0% | $ | 176,317,513 | |||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
4
PEMBERWICK FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Par Value($) | Value($) | |||||||
CORPORATE BONDS AND NOTES — 61.7% |
| |||||||
Communications — 0.2% |
| |||||||
AT&T, Inc. | 42,000 | 42,648 | ||||||
AT&T, Inc. | 15,000 | 14,965 | ||||||
Cisco Systems, Inc. | 30,000 | 30,026 | ||||||
Cisco Systems, Inc. | 50,000 | 50,119 | ||||||
Cisco Systems, Inc. | 25,000 | 27,972 | ||||||
eBay, Inc. | 35,000 | 35,317 | ||||||
eBay, Inc. | 50,000 | 49,673 | ||||||
Walt Disney Co. (The) | 60,000 | 59,993 | ||||||
Walt Disney Co. (The) | 17,000 | 16,930 | ||||||
|
| |||||||
327,643 | ||||||||
|
| |||||||
Consumer, Cyclical — 0.1% |
| |||||||
Home Depot, Inc. (The) | 30,000 | 30,529 | ||||||
McDonald’s Corp. | 25,000 | 27,510 | ||||||
McDonald’s Corp. | 10,000 | 11,211 | ||||||
Wal-Mart Stores, Inc. | 25,000 | 25,340 | ||||||
Wal-Mart Stores, Inc. | 100,000 | 103,306 | ||||||
Wal-Mart Stores, Inc. | 30,000 | 30,001 | ||||||
|
| |||||||
227,897 | ||||||||
|
|
Par Value($) | Value($) | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Consumer, Non-cyclical — 0.2% |
| |||||||
Coca-Cola Co. (The) | 35,000 | 35,391 | ||||||
Coca-Cola Co. (The) | 30,000 | 30,202 | ||||||
GlaxoSmithKline Capital, Inc. | 15,000 | 15,036 | ||||||
GlaxoSmithKline Capital, Inc. | 15,000 | 17,007 | ||||||
Johnson & Johnson | 54,000 | 54,099 | ||||||
PepsiCo, Inc. | 50,000 | 50,124 | ||||||
Procter & Gamble Co. (The) | 100,000 | 100,188 | ||||||
|
| |||||||
302,047 | ||||||||
|
| |||||||
Energy — 0.1% |
| |||||||
Chevron Corp. | 20,000 | 20,110 | ||||||
Chevron Corp. | 15,000 | 14,910 | ||||||
Halliburton Co. | 70,000 | 70,350 | ||||||
Occidental Petroleum Corp. | 60,000 | 59,771 | ||||||
Shell International Finance BV | 50,000 | 50,918 | ||||||
|
| |||||||
216,059 | ||||||||
|
| |||||||
Financial — 58.9% | ||||||||
American Express Credit Corp. | 30,000 | 30,595 |
The accompanying notes are an integral part of the financial statements.
5
PEMBERWICK FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par Value($) | Value($) | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Financial — (Continued) |
| |||||||
American Express Credit Corp. | 100,000 | 103,443 | ||||||
American Express Credit Corp. | 25,000 | 24,890 | ||||||
American Express Credit Corp. | 95,000 | 95,090 | ||||||
Bank of America Corp. | 2,036,000 | 2,145,846 | ||||||
Bank of America Corp. | 10,000 | 10,357 | ||||||
Bank of America Corp. | 230,000 | 250,909 | ||||||
Bank of America Corp. | 8,000,000 | 7,947,256 | ||||||
Bank of America Corp. | 8,000,000 | 8,620,464 | ||||||
Bank of America Corp. | 1,815,000 | 1,975,079 | ||||||
Bank of America Corp. | 1,900,000 | 1,882,526 | ||||||
Bank of America Corp. | 50,000 | 56,365 | ||||||
Bank of America Corp. | 1,625,000 | 1,810,128 | ||||||
Bank of America Corp. | 2,000,000 | 2,030,418 | ||||||
Bank of America NA | 3,160,000 | 3,148,674 | ||||||
Bank of America NA | 2,000,000 | 1,986,408 |
Par Value($) | Value($) | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Financial — (Continued) |
| |||||||
Bank of New York Mellon Corp. (The) | 29,000 | 29,089 | ||||||
Bank of New York Mellon Corp. (The) | 25,000 | 25,032 | ||||||
Bank of New York Mellon Corp. (The) | 30,000 | 29,696 | ||||||
BB&T Corp. | 120,000 | 123,856 | ||||||
Berkshire Hathaway Finance Corp. | 17,000 | 17,375 | ||||||
Berkshire Hathaway Finance Corp. | 8,000 | 7,928 | ||||||
BlackRock, Inc. | 40,000 | 40,123 | ||||||
Caterpillar Financial Services Corp. | 20,000 | 20,556 | ||||||
Caterpillar Financial Services Corp. | 60,000 | 60,717 | ||||||
Caterpillar Financial Services Corp. | 20,000 | 19,990 | ||||||
Caterpillar Financial Services Corp. | 15,000 | 14,900 | ||||||
Charles Schwab Corp. (The) | 55,000 | 55,189 | ||||||
Charles Schwab Corp. (The) | 40,000 | 40,478 |
The accompanying notes are an integral part of the financial statements.
6
PEMBERWICK FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par Value($) | Value($) | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Financial — (Continued) |
| |||||||
Chubb Corp. (The) | 25,000 | 28,458 | ||||||
Citigroup, Inc. | 2,525,000 | 2,525,000 | ||||||
Citigroup, Inc. | 84,000 | 84,925 | ||||||
Citigroup, Inc. | 13,000,000 | 12,894,843 | ||||||
Citigroup, Inc. | 70,000 | 73,191 | ||||||
Citigroup, Inc. | 20,000 | 21,301 | ||||||
Citigroup, Inc. | 30,000 | 29,936 | ||||||
Daimler Finance North America, LLC | 1,000,000 | 998,564 | ||||||
General Electric Capital Corp. | 20,000 | 20,417 | ||||||
General Electric Capital Corp. | 50,000 | 52,808 | ||||||
General Electric Capital Corp. | 110,000 | 113,837 | ||||||
General Electric Capital Corp. | 277,000 | 282,193 | ||||||
General Electric Capital Corp. | 75,000 | 82,192 | ||||||
General Electric Capital Corp. | 80,000 | 90,524 |
Par Value($) | Value($) | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Financial — (Continued) |
| |||||||
General Electric Capital Corp. | 1,000,000 | 1,168,750 | ||||||
Goldman Sachs Group, Inc. (The) | 3,400,000 | 3,400,833 | ||||||
Goldman Sachs Group, Inc. (The) | 1,000,000 | 1,013,509 | ||||||
Goldman Sachs Group, Inc. (The) | 400,000 | 400,107 | ||||||
Goldman Sachs Group, Inc. (The) | 90,000 | 92,023 | ||||||
Goldman Sachs Group, Inc. (The) | 20,000 | 21,093 | ||||||
Goldman Sachs Group, Inc. (The) | 70,000 | 72,264 | ||||||
Goldman Sachs Group, Inc. (The) | 4,000,000 | 3,997,252 | ||||||
Goldman Sachs Group, Inc. (The) | 1,000,000 | 1,024,940 | ||||||
Goldman Sachs Group, Inc. (The) | 130,000 | 131,274 | ||||||
Goldman Sachs Group, Inc. (The) | 30,000 | 33,916 |
The accompanying notes are an integral part of the financial statements.
7
PEMBERWICK FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par Value($) | Value($) | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Financial — (Continued) |
| |||||||
Goldman Sachs Group, Inc. (The) | 9,000,000 | 9,144,225 | ||||||
Goldman Sachs Group, Inc. (The) | 2,000,000 | 2,022,456 | ||||||
HSBC Finance Corp. | 2,000,000 | 1,999,926 | ||||||
John Deere Capital Corp. | 18,000 | 18,072 | ||||||
John Deere Capital Corp. | 50,000 | 50,444 | ||||||
John Deere Capital Corp. | 15,000 | 15,657 | ||||||
John Deere Capital Corp. | 25,000 | 25,050 | ||||||
Morgan Stanley | 250,000 | 250,422 | ||||||
Morgan Stanley | 4,000,000 | 4,013,376 | ||||||
Morgan Stanley | 942,000 | 953,974 | ||||||
Morgan Stanley | 2,500,000 | 2,505,335 | ||||||
Morgan Stanley | 4,000,000 | 4,479,880 | ||||||
Morgan Stanley | 2,000,000 | 2,046,364 | ||||||
National City Bank | 4,000,000 | 3,983,128 | ||||||
National City Bank | 2,075,000 | 2,060,008 | ||||||
PACCAR Financial Corp. | 30,000 | 30,357 |
Par Value($) | Value($) | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Financial — (Continued) |
| |||||||
State Street Corp. | 10,000 | 10,303 | ||||||
State Street Corp. | 15,000 | 16,500 | ||||||
State Street Corp. | 32,000 | 31,582 | ||||||
Toyota Motor Credit Corp. | 55,000 | 55,977 | ||||||
Toyota Motor Credit Corp. | 50,000 | 51,343 | ||||||
Toyota Motor Credit Corp. | 30,000 | 29,975 | ||||||
Toyota Motor Credit Corp. | 40,000 | 40,091 | ||||||
Travelers Cos, Inc. (The) | 40,000 | 43,481 | ||||||
US Bancorp | 75,000 | 75,085 | ||||||
US Bancorp | 45,000 | 45,413 | ||||||
US Bancorp | 15,000 | 15,229 | ||||||
US Bancorp | 15,000 | 15,380 | ||||||
Wachovia Bank NA | 1,000,000 | 1,000,000 | ||||||
Wachovia Bank NA | 5,000,000 | 5,000,000 | ||||||
Wachovia Corp. | 100,000 | 108,711 | ||||||
Wells Fargo & Co. | 25,000 | 25,367 | ||||||
Wells Fargo & Co. | 20,000 | 20,153 |
The accompanying notes are an integral part of the financial statements.
8
PEMBERWICK FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par Value($) | Value($) | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Financial — (Continued) |
| |||||||
Wells Fargo & Co. | 200,000 | 209,123 | ||||||
Wells Fargo & Co. | 2,000,000 | 2,067,278 | ||||||
Wells Fargo & Co. | 40,000 | 39,900 | ||||||
|
| |||||||
103,757,092 | ||||||||
|
| |||||||
Health Care — 0.0% | ||||||||
Pfizer, Inc. | 50,000 | 49,926 | ||||||
|
| |||||||
Industrial — 0.1% | ||||||||
Boeing Co. (The) | 50,000 | 48,883 | ||||||
Emerson Electric Co. | 40,000 | 40,208 | ||||||
Honeywell International, Inc. | 50,000 | 56,126 | ||||||
Illinois Tool Works, Inc. | 31,000 | 30,916 | ||||||
United Parcel Service, Inc. | 30,000 | 29,920 | ||||||
|
| |||||||
206,053 | ||||||||
|
| |||||||
Technology — 2.0% | ||||||||
Apple, Inc. | 49,000 | 48,992 | ||||||
Apple, Inc. | 41,000 | 41,022 | ||||||
EMC Corp. | 50,000 | 49,745 | ||||||
Hewlett-Packard Co. | 1,500,000 | 1,496,045 | ||||||
Hewlett-Packard Co. | 1,500,000 | 1,510,122 |
Par Value($) | Value($) | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Technology — (Continued) |
| |||||||
Intel Corp. | 47,000 | 48,038 | ||||||
International Business Machines Corp. | 120,000 | 119,865 | ||||||
Microsoft Corp. | 60,000 | 59,158 | ||||||
Microsoft Corp. | 30,000 | 30,049 | ||||||
National Semiconductor Corp. | 25,000 | 28,440 | ||||||
Oracle Corp. | 60,000 | 63,374 | ||||||
Oracle Corp. | 15,000 | 15,253 | ||||||
|
| |||||||
3,510,103 | ||||||||
|
| |||||||
Utilities — 0.1% | ||||||||
Duke Energy Carolinas, LLC | 20,000 | 22,262 | ||||||
Duke Energy Florida, Inc. | 25,000 | 28,496 | ||||||
Georgia Power Co. | 25,000 | 26,368 | ||||||
PECO Energy Co. | 28,000 | 28,183 | ||||||
Southern California Edison Co. | 7,000 | 6,998 | ||||||
Southern California Edison Co. | 30,000 | 34,086 |
The accompanying notes are an integral part of the financial statements.
9
PEMBERWICK FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par Value($) | Value($) | |||||||
CORPORATE BONDS AND NOTES — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
Wisconsin Electric Power Co. | 25,000 | 25,046 | ||||||
|
| |||||||
171,439 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS AND NOTES | 108,768,259 | |||||||
|
| |||||||
GOVERNMENT BONDS — 0.0% |
| |||||||
Province of Ontario Canada | 40,000 | 40,613 | ||||||
|
| |||||||
TOTAL GOVERNMENT BONDS | 40,613 | |||||||
|
| |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 1.8% |
| |||||||
Federal Home Loan Mortgage Corporation REMICS — 0.8% |
| |||||||
Series 2542, Class ES | 23,361 | 24,388 | ||||||
Series 2564, Class HJ | 15,658 | 16,453 | ||||||
Series 2617, Class TK | 57,859 | 60,510 | ||||||
Series 2617, Class GR | 30,798 | 32,205 | ||||||
Series 2611, Class UH | 28,417 | 29,729 | ||||||
Series 2627, Class MC | 48,567 | 50,870 | ||||||
Series 2649, Class KA | 39,514 | 41,375 | ||||||
Series 2693, Class PE | 47,245 | 49,554 |
Par Value($) | Value($) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — (Continued) |
| |||||||
Federal Home Loan Mortgage Corporation REMICS — (Continued) |
| |||||||
Series 2746, Class EG | 52,172 | 54,750 | ||||||
Series 2780, Class JG | 2,688 | 2,759 | ||||||
Series 2814, Class GB | 9,598 | 10,119 | ||||||
Series 2924, Class EH | 8,159 | 8,268 | ||||||
Series 2989, Class TG | 64,116 | 69,649 | ||||||
Series 3002, Class YD | 25,417 | 27,569 | ||||||
Series 2526, Class FI | 120,349 | 123,889 | ||||||
Series 2691, Class ME | 11,362 | 11,451 | ||||||
Series 2764, Class TE | 4,436 | 4,445 | ||||||
Series 2760, Class PD | 14,839 | 14,934 | ||||||
Series 2655, Class QA | 2,746 | 2,798 | ||||||
Series 2827, Class TE | 57,967 | 59,076 | ||||||
Series 3067, Class PK | 15,209 | 15,372 | ||||||
Series 2881, Class AE | 31,941 | 33,809 | ||||||
Series 2933, Class HD | 42,928 | 47,627 | ||||||
Series 4305, Class KA | 159,059 | 164,583 |
The accompanying notes are an integral part of the financial statements.
10
PEMBERWICK FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par Value($) | Value($) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — (Continued) |
| |||||||
Federal Home Loan Mortgage Corporation REMICS — (Continued) |
| |||||||
Series 3843, Class GH | 117,337 | 123,219 | ||||||
Series 3786, Class NA | 160,881 | 174,581 | ||||||
Series 4305, Class A | 165,568 | 171,815 | ||||||
|
| |||||||
1,425,797 | ||||||||
|
| |||||||
Federal National Mortgage Association REMICS — 0.7% |
| |||||||
Series 2003-92, Class PE | 43,662 | 45,775 | ||||||
Series 2003-80, Class YE | 17,024 | 17,546 | ||||||
Series 2005-40, Class YG | 58,902 | 63,843 | ||||||
Series 2011-122, Class A | 163,912 | 169,087 | ||||||
Series 2007-27, Class MQ | 16,547 | 18,243 | ||||||
Series 2005-12, Class JE | 49,070 | 49,880 | ||||||
Series 2005-16, Class PE | 18,330 | 18,814 | ||||||
Series 2005-48, Class AR | 49,365 | 53,336 | ||||||
Series 2005-62, Class CQ | 23,945 | 25,454 | ||||||
Series 2005-64, Class PL | 97,154 | 109,186 | ||||||
Series 2005-68, Class PG | 61,719 | 68,401 |
Par Value($) | Value($) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — (Continued) |
| |||||||
Federal National Mortgage Association REMICS — (Continued) |
| |||||||
Series 2010-64, Class EH | 27,672 | 28,382 | ||||||
Series 2005-83, Class LA | 36,603 | 40,803 | ||||||
Series 2014-23, Class PA | 178,483 | 187,948 | ||||||
Series 2007-39, Class NA | 17,425 | 18,078 | ||||||
Series 2013-83, Class CA | 150,763 | 158,095 | ||||||
Series 2009-47, Class PA | 36,544 | 38,629 | ||||||
Series 2011-113, Class NE | 158,103 | 166,035 | ||||||
|
| |||||||
1,277,535 | ||||||||
|
| |||||||
Government National Mortgage Association — 0.3% |
| |||||||
Series 2013-88, Class WA | 127,292 | 138,580 | ||||||
Series 2002-22, Class GF | 59,795 | 68,235 | ||||||
Series 2002-51, Class D | 75,005 | 85,622 | ||||||
Series 2008-50, Class NA | 28,574 | 30,495 | ||||||
Series 2007-11, Class PE | 47,986 | 53,209 |
The accompanying notes are an integral part of the financial statements.
11
PEMBERWICK FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par Value($) | Value($) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — (Continued) |
| |||||||
Government National Mortgage Association — (Continued) |
| |||||||
Series 2013-113, Class UB | 124,975 | 129,334 | ||||||
|
| |||||||
505,475 | ||||||||
|
| |||||||
TOTAL | 3,208,807 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.3% |
| |||||||
Federal Home Loan Bank — 0.4% |
| |||||||
3.13%, 03/11/2016 | 165,000 | 171,180 | ||||||
0.50%, 09/28/2016 | 305,000 | 304,480 | ||||||
4.75%, 12/16/2016 | 170,000 | 184,545 | ||||||
|
| |||||||
660,205 | ||||||||
|
| |||||||
Federal Home Loan Mortgage Corporation — 2.0% |
| |||||||
0.63%, 12/29/2014 | 700,000 | 700,630 | ||||||
0.50%, 04/17/2015 | 200,000 | 200,300 | ||||||
5.25%, 04/18/2016 | 400,000 | 428,240 | ||||||
2.50%, 05/27/2016 | 580,000 | 598,711 | ||||||
2.00%, 08/25/2016 | 730,000 | 748,910 | ||||||
0.88%, 02/22/2017 | 200,000 | 200,713 | ||||||
1.25%, 05/12/2017 | 95,000 | 95,937 | ||||||
1.00%, 07/28/2017 | 150,000 | 150,319 | ||||||
5.50%, 04/01/2021 | 54,152 | 58,985 | ||||||
5.50%, 11/01/2021 | 27,118 | 29,535 | ||||||
5.50%, 04/01/2023 | 44,637 | 48,737 |
Par Value($) | Value($) | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — (Continued) |
| |||||||
Federal Home Loan Mortgage Corporation — (Continued) |
| |||||||
4.00%, 02/01/2026 | 103,366 | 110,558 | ||||||
4.00%, 06/01/2026 | 38,626 | 41,356 | ||||||
4.50%, 06/01/2029 | 35,383 | 38,528 | ||||||
4.50%, 12/01/2029 | 60,837 | 66,303 | ||||||
4.50%, 04/01/2030 | 34,930 | 38,069 | ||||||
|
| |||||||
3,555,831 | ||||||||
|
| |||||||
Federal National Mortgage Association — 1.9% |
| |||||||
5.00%, 12/01/2014 | 628 | 663 | ||||||
2.38%, 07/28/2015 | 350,000 | 355,781 | ||||||
1.63%, 10/26/2015 | 500,000 | 506,965 | ||||||
1.50%, 10/28/2015 | 150,000 | 151,844 | ||||||
2.25%, 03/15/2016 | 500,000 | 512,510 | ||||||
5.00%, 03/15/2016 | 35,000 | 37,238 | ||||||
5.25%, 09/15/2016 | 295,000 | 320,616 | ||||||
4.88%, 12/15/2016 | 170,000 | 185,235 | ||||||
1.25%, 01/30/2017 | 140,000 | 141,658 | ||||||
1.13%, 04/27/2017 | 205,000 | 206,739 | ||||||
5.38%, 06/12/2017 | 380,000 | 423,671 | ||||||
6.00%, 09/01/2019 | 9,776 | 10,277 | ||||||
5.50%, 06/01/2020 | 14,795 | 15,650 | ||||||
5.00%, 05/01/2023 | 26,819 | 29,695 |
The accompanying notes are an integral part of the financial statements.
12
PEMBERWICK FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Par Value($) | Value($) | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — (Continued) |
| |||||||
Federal National Mortgage Association — (Continued) |
| |||||||
5.50%, 01/01/2024 | 25,874 | 28,447 | ||||||
5.00%, 07/01/2024 | 13,884 | 15,373 | ||||||
5.00%, 12/01/2025 | 53,506 | 59,244 | ||||||
5.50%, 05/01/2028 | 42,090 | 47,029 | ||||||
4.00%, 08/01/2029 | 53,670 | 57,515 | ||||||
5.50%, 04/01/2037 | 57,895 | 65,152 | ||||||
7.00%, 04/01/2037 | 16,568 | 18,634 | ||||||
5.00%, 10/01/2039 | 114,407 | 127,821 | ||||||
|
| |||||||
3,317,757 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 7,533,793 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 23.6% |
| |||||||
U.S. Treasury Notes — 23.6% |
| |||||||
0.25%, 11/30/2014 | 115,000 | 115,020 | ||||||
0.25%, 02/15/2015 | 500,000 | 500,196 | ||||||
0.25%, 03/31/2015 | 250,000 | 250,156 | ||||||
0.25%, 05/15/2015 | 400,000 | 400,312 | ||||||
0.25%, 08/15/2015 | 500,000 | 500,508 | ||||||
0.25%, 09/15/2015 | 500,000 | 500,508 |
Par Value($) | Value($) | |||||||
U.S. TREASURY OBLIGATIONS — (Continued) |
| |||||||
U.S. Treasury Notes — (Continued) |
| |||||||
0.25%, 09/30/2015 | 300,000 | 300,352 | ||||||
0.25%, 10/31/2015 | 750,000 | 750,821 | ||||||
0.25%, 04/15/2016 | 800,000 | 799,562 | ||||||
0.38%, 11/15/2015 | 900,000 | 901,969 | ||||||
0.38%, 03/31/2016 | 500,000 | 500,664 | ||||||
0.50%, 07/31/2017 | 490,000 | 485,253 | ||||||
0.63%, 05/31/2017 | 890,000 | 886,315 | ||||||
0.63%, 08/31/2017 | 1,105,000 | 1,096,540 | ||||||
0.63%, 09/30/2017 | 720,000 | 713,700 | ||||||
0.63%, 11/30/2017 | 760,000 | 751,034 | ||||||
0.63%, 04/30/2018 | 690,000 | 676,739 | ||||||
0.75%, 06/30/2017 | 500,000 | 499,141 | ||||||
0.75%, 10/31/2017 | 930,000 | 923,970 | ||||||
0.75%, 12/31/2017 | 1,120,000 | 1,109,587 | ||||||
0.75%, 02/28/2018 | 450,000 | 444,340 | ||||||
0.75%, 03/31/2018 | 275,000 | 271,219 | ||||||
0.88%, 11/30/2016 | 300,000 | 302,016 | ||||||
0.88%, 12/31/2016 | 410,000 | 412,370 | ||||||
0.88%, 01/31/2017 | 1,830,000 | 1,840,151 | ||||||
0.88%, 02/28/2017 | 400,000 | 402,031 | ||||||
0.88%, 04/30/2017 | 475,000 | 476,596 | ||||||
0.88%, 01/31/2018 | 850,000 | 844,289 | ||||||
1.00%, 08/31/2016 | 720,000 | 727,256 | ||||||
1.00%, 09/30/2016 | 790,000 | 797,591 | ||||||
1.00%, 10/31/2016 | 1,220,000 | 1,231,723 | ||||||
1.00%, 03/31/2017 | 1,170,000 | 1,178,410 | ||||||
1.00%, 06/30/2019 | 175,000 | 170,543 | ||||||
1.00%, 08/31/2019 | 120,000 | 116,597 | ||||||
1.25%, 08/31/2015 | 700,000 | 706,399 | ||||||
1.25%, 09/30/2015 | 1,400,000 | 1,414,109 | ||||||
1.25%, 10/31/2015 | 100,000 | 101,086 |
The accompanying notes are an integral part of the financial statements.
13
PEMBERWICK FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Par Value($) | Value($) | |||||||
U.S. TREASURY OBLIGATIONS — (Continued) |
| |||||||
U.S. Treasury Notes — (Continued) |
| |||||||
1.25%, 10/31/2018 | 355,000 | 353,391 | ||||||
1.25%, 11/30/2018 | 200,000 | 198,859 | ||||||
1.25%, 01/31/2019 | 695,000 | 689,081 | ||||||
1.38%, 11/30/2015 | 320,000 | 324,100 | ||||||
1.38%, 06/30/2018 | 230,000 | 231,006 | ||||||
1.38%, 02/28/2019 | 450,000 | 447,961 | ||||||
1.50%, 06/30/2016 | 1,390,000 | 1,415,519 | ||||||
1.50%, 07/31/2016 | 1,050,000 | 1,069,851 | ||||||
1.50%, 12/31/2018 | 180,000 | 180,548 | ||||||
1.75%, 07/31/2015 | 150,000 | 151,805 | ||||||
1.75%, 05/31/2016 | 1,165,000 | 1,190,484 | ||||||
1.88%, 06/30/2015 | 200,000 | 202,297 | ||||||
1.88%, 09/30/2017 | 280,000 | 287,503 | ||||||
1.88%, 10/31/2017 | 275,000 | 282,434 | ||||||
2.00%, 01/31/2016 | 250,000 | 255,547 | ||||||
2.00%, 04/30/2016 | 835,000 | 855,614 | ||||||
2.13%, 05/31/2015 | 550,000 | 556,359 | ||||||
2.13%, 12/31/2015 | 400,000 | 408,906 | ||||||
2.13%, 02/29/2016 | 515,000 | 527,875 | ||||||
2.25%, 01/31/2015 | 1,095,000 | 1,100,817 | ||||||
2.38%, 02/28/2015 | 560,000 | 564,200 | ||||||
2.38%, 03/31/2016 | 770,000 | 792,439 | ||||||
2.38%, 07/31/2017 | 300,000 | 312,375 | ||||||
2.50%, 04/30/2015 | 265,000 | 268,126 |
Par Value($) | Value($) | |||||||
U.S. TREASURY OBLIGATIONS — (Continued) |
| |||||||
U.S. Treasury Notes — (Continued) |
| |||||||
2.63%, 12/31/2014 | 500,000 | 502,031 | ||||||
2.63%, 04/30/2016 | 250,000 | 258,516 | ||||||
3.00%, 09/30/2016 | 380,000 | 398,050 | ||||||
3.13%, 10/31/2016 | 330,000 | 347,042 | ||||||
3.13%, 01/31/2017 | 90,000 | 94,978 | ||||||
3.13%, 04/30/2017 | 200,000 | 211,797 | ||||||
3.25%, 12/31/2016 | 200,000 | 211,359 | ||||||
4.00%, 02/15/2015 | 520,000 | 525,728 | ||||||
4.13%, 05/15/2015 | 775,000 | 791,529 | ||||||
4.25%, 08/15/2015 | 1,400,000 | 1,445,282 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS | 41,552,482 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 91.4% |
| 161,103,954 | ||||||
OTHER ASSETS IN EXCESS |
| 15,213,559 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 176,317,513 | |||||
|
|
(a) | Variable or Floating Rate Security. Rate shown is as of October 31, 2014. |
(b) | Multi-Step Coupon. Rate disclosed is as of October 31, 2014. |
REMICs Real Estate Mortgage Investment Conduit
The accompanying notes are an integral part of the financial statements.
14
PEMBERWICK FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | ||||
Investments, at value (Cost $159,765,537) | $ | 161,103,954 | ||
Cash | 14,729,272 | |||
Dividends and interest receivable | 605,284 | |||
Prepaid expenses and other assets | 3,797 | |||
|
| |||
Total assets | 176,442,307 | |||
|
| |||
Liabilities | ||||
Payable for distributions to shareholders | 2,325 | |||
Payable for administration and accounting fees | 45,863 | |||
Payable for legal fees | 15,224 | |||
Payable for transfer agent fees | 14,991 | |||
Payable for Investment Adviser | 22,419 | |||
Payable for audit fees | 9,216 | |||
Payable for custodian fees | 5,635 | |||
Accrued expenses | 9,121 | |||
|
| |||
Total liabilities | 124,794 | |||
|
| |||
Net Assets | $ | 176,317,513 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 175,099 | ||
Paid-in capital | 175,850,580 | |||
Accumulated net investment income loss | (575 | ) | ||
Accumulated net realized loss from investments | (1,046,008 | ) | ||
Net unrealized appreciation on investments | 1,338,417 | |||
|
| |||
Net Assets | $ | 176,317,513 | ||
|
| |||
Shares Outstanding | 17,509,913 | |||
|
| |||
Net asset value, offering and redemption price per share ($176,317,513 / 17,509,913 shares) | $ | 10.07 | ||
|
|
The accompanying notes are an integral part of the financial statements.
15
PEMBERWICK FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Interest | $ | 1,173,842 | ||
|
| |||
Total investment income | 1,173,842 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 427,972 | |||
Administration and accounting fees (Note 2) | 95,288 | |||
Legal fees | 30,908 | |||
Transfer agent fees (Note 2) | 26,754 | |||
Trustees’ and officers’ fees (Note 2) | 16,991 | |||
Audit fees | 12,737 | |||
Custodian fees (Note 2) | 12,648 | |||
Printing and shareholder reporting fees | 7,280 | |||
Registration and filing fees | 6,327 | |||
Other expenses | 7,847 | |||
|
| |||
Total expenses before waivers | 644,752 | |||
|
| |||
Less: waivers (Note 2) | (299,580 | ) | ||
|
| |||
Net expenses after waivers | 345,172 | |||
|
| |||
Net investment income | 828,670 | |||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized loss from investments | (11,614 | ) | ||
Net change in unrealized depreciation on investments | (213,726 | ) | ||
|
| |||
Net realized and unrealized loss on investments | (225,340 | ) | ||
|
| |||
Net increase in net assets resulting from operations | $ | 603,330 | ||
|
|
The accompanying notes are an integral part of the financial statements.
16
PEMBERWICK FUND
Statement of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 |
Increase in net assets from operations: | ||||||||
Net investment income | $ | 828,670 | $ | 1,475,312 | ||||
Net realized gain/(loss) from investments and payment byaffiliate (See Note 2) | (11,614 | ) | 66,827 | |||||
Net change in unrealized depreciation from investments | (213,726 | ) | (400,800 | ) | ||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 603,330 | 1,141,339 | ||||||
|
|
|
| |||||
Less Dividends and Distributions to Shareholders from: | ||||||||
Net investment income | (829,323 | ) | (1,576,711 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions toshareholders | (829,323 | ) | (1,576,711 | ) | ||||
|
|
|
| |||||
Increase in Net Assets Derived from Capital Share | ||||||||
Transactions (Note 4) | 8,655,664 | 48,529,729 | ||||||
|
|
|
| |||||
Total increase in net assets | 8,429,671 | 48,094,357 | ||||||
|
|
|
| |||||
Net assets | ||||||||
Beginning of period | 167,887,842 | 119,793,485 | ||||||
|
|
|
| |||||
End of period | $ | 176,317,513 | $ | 167,887,842 | ||||
|
|
|
| |||||
Accumulated net investment income/(loss), end of period | $ | (575 | ) | $ | 78 | |||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
17
PEMBERWICK FUND
Financial Highlights
Contained below is per share operating performance data, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Year Ended April 30, 2011 | For the Period February 1, 2010* to April 30, 2010 |
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ 10.08 | $ 10.12 | $ 10.03 | $ 10.16 | $ 10.00 | $ 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income(1) | 0.05 | 0.10 | 0.11 | 0.13 | 0.13 | 0.01 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (0.01 | ) | (0.03 | ) | 0.11 | (0.12 | )(2) | 0.17 | — | (3) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 0.04 | 0.07 | 0.22 | 0.01 | 0.30 | 0.01 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.05 | ) | (0.11 | ) | (0.13 | ) | (0.14 | ) | (0.14 | ) | (0.01 | ) | ||||||||||||
Tax return of capital | — | — | — | — | — | (3) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | (0.05 | ) | (0.11 | ) | (0.13 | ) | (0.14 | ) | (0.14 | ) | (0.01 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ 10.07 | $ 10.08 | $ 10.12 | $ 10.03 | $ 10.16 | $ 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total investment return(4) | 0.38 | % | 0.68 | % | 2.19 | % | 0.12 | % | 3.01 | % | 0.07 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $176,318 | $167,888 | $119,793 | $119,521 | $162,714 | $140,411 | ||||||||||||||||||
Ratio of expenses to average net assets | 0.40 | %(5) | 0.41 | % | 0.45 | % | 0.45 | % | 0.42 | % | 0.61 | %(5) | ||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(6) | 0.75 | %(5) | 0.76 | % | 0.80 | % | 0.80 | % | 0.77 | % | 0.92 | %(5) | ||||||||||||
Ratio of net investment income to average net assets | 0.97 | %(5) | 1.00 | % | 1.10 | % | 1.07 | % | 1.31 | % | 0.42 | %(5) | ||||||||||||
Portfolio turnover rate | 11.20 | %(7) | 35.29 | % | 27.96 | % | 23.14 | % | 22.46 | % | 9.89 | %(7) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Includes payments by affiliate which equaled $0.03 per share. |
(3) | Amount is less than $0.005 per share. |
(4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(5) | Annualized. |
(6) | During the period, certain fees were waived. If such fee waivers had not occurred, the ratios would have been as indicated (See Note 2). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
18
PEMBERWICK FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Pemberwick Fund (the “Fund”) is a non-diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), which commenced investment operations on February 1, 2010. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers one class of shares and is not subject to a front-end sales charge.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m., Eastern time) on each day the NYSE is open. Securities held by the Fund are valued at their last sale price on the NYSE on the day the security is valued. Lacking any sales on such day, the security will be valued at the mean between the last asked price and the last bid price prior to the market close. Securities listed on other exchanges (and not subject to restriction against sale by the Fund on such exchanges) will be similarly valued, using quotations on the exchange on which the security is traded most extensively. Unlisted securities that are quoted on the National Association of Securities Dealers National Market System, for which there have been sales of such securities on such day, shall be valued at the official closing price on such system on the day the security is valued. If there are no such sales on such day, the value shall be the mean between the last asked price and the last bid price prior to market close. The value of such securities quoted on the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system, but not listed on the National Market System, shall be value at the mean between closing asked price and the closing bid price. Unlisted securities that are not quoted on NASDAQ and for which over-the-counter market quotations are readily available will be valued at the mean between the current bid and asked prices for such securities in the over-the-counter market. Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost, which approximates market value. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service, which utilizes information with respect to recent sales, market transactions in comparable securities, quotations from dealers, and various relationships between securities in determining value. Valuations developed through pricing techniques may materially vary from the actual amounts realized upon sale of the securities. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
19
PEMBERWICK FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Fair Value Measurements — The inputs and valuations techniques used to measure fair value of the Fund’s net assets are summarized into three levels as described in the hierarchy below:
• Level 1 — | quoted prices in active markets for identical securities; |
• Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
• Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The fair value of a Fund’s bonds are generally based on quotes received from brokers or independent pricing services. Bonds with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s assets carried at fair value:
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Corporate Bonds and Notes | $ | 108,768,259 | $ | — | $ | 108,768,259 | $ | — | ||||||||
Government Bonds | 40,613 | — | 40,613 | — | ||||||||||||
Collateralized Mortgage Obligations | 3,208,807 | — | 3,208,807 | — | ||||||||||||
U.S. Government Agency Obligations | 7,533,793 | — | 7,533,793 | — | ||||||||||||
U.S. Treasury Obligations | 41,552,482 | — | 41,552,482 | — | ||||||||||||
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Total Investments | $ | 161,103,954 | $ | — | $ | 161,103,954 | $ | — | ||||||||
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At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
20
PEMBERWICK FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Funds had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Funds had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Gains and losses on principal paydowns from mortgage backed securities are recorded as interest income on the Statement of Operations. Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums are recorded on a daily basis using the effective yield method except for short term securities, which records discounts and premiums on a straight-line basis. Dividends are recorded on the ex-dividend date. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to such fund.
21
PEMBERWICK FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Dividends and Distributions to Shareholders — Dividends from net investment income are declared daily and paid monthly to shareholders. Distributions, if any, of net short-term capital gain and net capital gain (the excess of net long-term capital gain over the short-term capital loss) realized by the Fund, after deducting any available capital loss carryovers are declared and paid to its shareholders annually. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
Pemberwick Investment Advisors LLC (“Pemberwick” or the “Advisor”) serves as the investment advisor to the Fund pursuant to an investment advisory agreement with the Trust (“Advisory Agreement”). For its services, the Advisor earns a monthly fee at the annual rate of 0.50% of the Fund’s average daily net assets. The Advisor may, in its discretion, voluntarily waive its fees or reimburse certain Fund expenses; however; the Advisor is not required to do so. As of October 31, 2014, investment advisory fees payable to the Advisor were $22,419, net of fee waivers. For the six months ended October 31, 2014, the Advisor waived fees of 0.35% of the Fund’s average daily net assets totaling $299,580.
Pemberwick has retained the services of J.P. Morgan Investment Management Inc. (“Sub-Advisor”) as the sub-advisor to the Fund. The Sub-Advisor provides certain investment services, information, advice, assistance and facilities and performs research, statistical and investment services pursuant to a sub-advisory agreement between the Advisor and the Sub-Advisor. The Sub-Advisor is compensated by the Advisor and not the Fund.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”), serves as administrator and transfer agent for the Fund.
22
PEMBERWICK FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average net assets and is subject to certain minimum monthly fees.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six months ended October 31, 2014 was $6,596. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
U.S. Government Securities | $ | 8,318,089 | $ | 8,811,179 | ||||
Other Securities | 13,562,644 | 9,205,292 |
4. Capital Share Transactions
For the six months ended October 31, 2014 and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Sales | 2,690,523 | $ | 27,127,315 | 6,580,582 | $ | 66,280,642 | ||||||||||
Reinvestments | 81,937 | 826,201 | 156,427 | 1,576,150 | ||||||||||||
Redemptions | (1,913,228 | ) | (19,297,852 | ) | (1,918,126 | ) | (19,327,063 | ) | ||||||||
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23
PEMBERWICK FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Net Increase/(Decrease) | 859,232 | $ | 8,655,664 | 4,818,883 | $ | 48,529,729 | ||||||||||
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5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state, and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year ended April 30, 2014, the tax characters of distributions paid by the Fund was $1,576,243 of ordinary income dividends. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss | Undistributed | Unrealized | Qualified | Other | ||||
$(1,023,336) | $546 | $1,544,947 | $(3,862) | $(468) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 159,765,537 | ||||
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Gross unrealized appreciation | $ | 1,406,708 | ||||
Gross unrealized depreciation | (68,291 | ) | ||||
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Net unrealized appreciation | $ | 1,338,417 | ||||
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Accumulated capital losses represent net capital loss carryovers as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under
24
PEMBERWICK FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law.
As of April 30, 2014, the Fund had pre-enactment capital loss carryforwards of $20,817. If not utilized against future capital gains, $10,862 and $9,955 of this capital loss carryforward will expire in 2018 and 2019, respectively. As of April 30, 2014, the Fund had post-enactment capital loss carryforwards of $1,002,519, of which $179,403 are short-term losses and $823,116 are long-term losses and have an unlimited period of capital loss carryforward.
6. Significant Risks
MORTGAGE-RELATED AND OTHER ASSET-BACKED SECURITIES RISK — Mortgage-related and asset-backed securities are subject to certain other risks. The value of these securities will be influenced by the factors affecting the housing market and the assets underlying such securities. As a result, during periods of declining asset value, difficult or frozen credit markets, swings in interest rates, or deteriorating economic conditions, mortgage-related and asset-backed securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid.
7. Subsequent Event
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
25
PEMBERWICK FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 447-4785 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust will file its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q will be available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
26
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Investment Adviser
Pemberwick Investment Advisors LLC
340 Pemberwick Road
Greenwich, CT 06831
Sub-Advisor
J.P. Morgan Investment Management Inc.
245 Park Ave.
New York, NY 10167
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassat Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
PEMBERWICK FUND
of
FundVantage Trust
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Pemberwick Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Pemberwick Fund.
POLEN GROWTH FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||||
Six Months† | 1 Year | 3 Year | Since Inception* | |||||||
Institutional Shares | 9.42% | 18.80% | 14.83% | 15.85% | ||||||
S&P 500® Index | 8.22% | 17.27% | 19.77% | 17.67%*** | ||||||
Russell 1000® Growth Index | 9.50% | 17.11% | 19.30% | 18.43%*** | ||||||
Six Months† | 1 Year | 3 Year | Since Inception** | |||||||
Retail Shares | 9.24% | 18.45% | 14.53% | 12.83% | ||||||
S&P 500® Index | 8.22% | 17.27% | 19.77% | 15.54%*** | ||||||
Russell 1000® Growth Index | 9.50% | 17.11% | 19.30% | 15.64%*** |
† | Not Annualized. |
* | The Polen Growth Fund (the “Fund”) Institutional Shares commenced operations on September 15, 2010. |
** | The Retail Shares commenced operations on December 30, 2010. |
*** | Benchmark performance is from the inception date of the Class only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 678-6024. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual gross and net operating expense ratios, as stated in the current prospectus dated September 1, 2014, are 1.27% and 1.00%, respectively, for the Institutional Shares and 1.52% and 1.25%, respectively, for the Retail Shares of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. Polen Capital Management, LLC (“PCM” or the “Adviser”), has contractually agreed to reduce its fees or reimburse the Fund’s operating expenses in order to limit the total annual operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) to 1.00% of average daily net assets of the Fund. Total returns would be lower had such fees and expenses not been waived and/or reimbursed. This agreement will terminate on August 31, 2015, unless the Board of Trustees of the FundVatage Trust (the “Trust”) approves an earlier termination.
A 2.00% redemption fee applies to shares redeemed within 60 days of purchase. This redemption fee is not reflected in the returns shown above. The Fund intends to evaluate performance as compared to that of the S&P 500® and the Russell 1000® Growth Index. The S&P 500® Index is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. The Russell 1000® Growth Index is an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® Growth Index companies with higher price-to-book ratios and higher forecasted growth values. It is impossible to invest directly in an index.
1
POLEN GROWTH FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
All mutual fund investing involves risk, including possible loss of principal. The Fund is non-diversified, which means that a large portion of the Fund’s assets may be invested in one or few companies or sectors. The Fund could fluctuate in value more than a diversified fund.
2
POLEN GROWTH FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from May 1, 2014 through October 31, 2014 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, each hypothetical line of the accompanying 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.
3
POLEN GROWTH FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
Polen Growth Fund | ||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | ||||
Institutional Shares | ||||||
Actual | $1,000.00 | $1,094.20 | $5.28 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.16 | 5.09 | |||
Retail Shares | ||||||
Actual | $1,000.00 | $1,092.40 | $6.59 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.90 | 6.36 |
* | Expenses are equal to an annualized expense ratio for the six month period ended October 31, 2014 of 1.00% for Institutional Shares and 1.25% for Retail Shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. The Fund’s ending account values on the first line of each table are based on the actual six month total returns for the Fund of 9.42% and 9.24% for Institutional Shares and Retail Shares, respectively. |
4
POLEN GROWTH FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
COMMON STOCKS: | ||||||||||
Computer Services Software & Systems | 17.6% | $ | 62,300,746 | |||||||
Pharmaceuticals | 15.8 | 55,771,039 | ||||||||
Financial Data & Systems | 12.5 | 44,192,072 | ||||||||
Specialty Retail | 8.4 | 29,517,036 | ||||||||
Back Office Support, HR, and Consulting | 8.2 | 29,113,052 | ||||||||
Textiles Apparel & Shoes | 6.4 | 22,778,580 | ||||||||
Restaurants | 4.8 | 16,951,282 | ||||||||
Computer Technology | 4.6 | 16,126,668 | ||||||||
Biotechnology | 4.5 | 15,838,962 | ||||||||
Leisure Time | 3.9 | 13,827,991 | ||||||||
Foods | 3.8 | 13,574,850 | ||||||||
Producer Durables: | ||||||||||
Miscellaneous | 3.1 | 10,874,255 | ||||||||
Metal Fabricating | 2.6 | 9,107,340 | ||||||||
Other Assets In Excess of Liabilities | 3.8 | 13,532,768 | ||||||||
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NET ASSETS | 100.0% | $ | 353,506,641 | |||||||
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Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
5
POLEN GROWTH FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 96.2% |
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Back Office Support, HR, and Consulting — 8.2% |
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Accenture PLC, Class A | 190,160 | $ | 15,425,779 | |||||
Automatic Data Processing, Inc. | 167,367 | 13,687,273 | ||||||
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29,113,052 | ||||||||
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Biotechnology — 4.5% |
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Regeneron Pharmaceuticals, Inc.* | 40,229 | 15,838,962 | ||||||
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Computer Services Software & Systems — 17.6% |
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CDK Global, Inc.* | 55,922 | 1,878,979 | ||||||
Gartner, Inc.* | 157,490 | 12,711,018 | ||||||
Google, Inc., Class A* | 24,707 | 14,030,364 | ||||||
Google, Inc., Class C* | 24,707 | 13,813,190 | ||||||
Oracle Corp. | 508,763 | 19,867,195 | ||||||
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62,300,746 | ||||||||
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Computer Technology — 4.6% |
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Apple, Inc. | 149,321 | 16,126,668 | ||||||
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Financial Data & Systems — 12.5% |
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FactSet Research Systems, Inc. | 90,340 | 11,874,290 | ||||||
MasterCard, Inc., Class A | 86,505 | 7,244,794 | ||||||
Visa, Inc., Class A | 103,852 | 25,072,988 | ||||||
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44,192,072 | ||||||||
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Foods — 3.8% | ||||||||
Nestle SA, SP ADR | 185,120 | 13,574,850 | ||||||
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Leisure Time — 3.9% | ||||||||
priceline.com, Inc.* | 11,464 | 13,827,991 | ||||||
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Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
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Metal Fabricating — 2.6% |
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Fastenal Co. | 206,797 | $ | 9,107,340 | |||||
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Pharmaceuticals — 15.8% |
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Abbott Laboratories | 508,362 | 22,159,498 | ||||||
Allergan, Inc. | 176,847 | 33,611,541 | ||||||
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55,771,039 | ||||||||
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Producer Durables: Miscellaneous — 3.1% |
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WW Grainger, Inc. | 44,061 | 10,874,255 | ||||||
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Restaurants — 4.8% |
| |||||||
Starbucks Corp. | 224,342 | 16,951,282 | ||||||
|
| |||||||
Specialty Retail — 8.4% |
| |||||||
O’Reilly Automotive, Inc.* | 64,626 | 11,366,421 | ||||||
TJX Cos., Inc. (The) | 286,649 | 18,150,615 | ||||||
|
| |||||||
29,517,036 | ||||||||
|
| |||||||
Textiles Apparel & Shoes — 6.4% |
| |||||||
NIKE, Inc., Class B | 245,010 | 22,778,580 | ||||||
|
| |||||||
TOTAL COMMON | 339,973,873 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 96.2% |
| 339,973,873 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.8% |
| 13,532,768 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 353,506,641 | |||||
|
|
* | Non-income producing. |
The accompanying notes are an integral part of the financial statements.
6
POLEN GROWTH FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | ||||
Investments, at value (Cost $238,912,952) | $ | 339,973,873 | ||
Cash | 13,525,451 | |||
Receivable for capital shares sold | 1,111,855 | |||
Dividends and interest receivable | 367,096 | |||
Prepaid expenses and other assets | 22,561 | |||
|
| |||
Total assets | 355,000,836 | |||
|
| |||
Liabilities | ||||
Payable for capital shares redeemed | 1,065,484 | |||
Payable to Adviser | 207,608 | |||
Payable for administration and accounting fees | 71,863 | |||
Payable for transfer agent fees | 61,136 | |||
Payable for custodian fees | 20,537 | |||
Payable for legal fees | 19,834 | |||
Payable for printing fees | 13,020 | |||
Payable for audit fees | 11,254 | |||
Payable for distribution fees | 6,008 | |||
Accrued expenses | 17,451 | |||
|
| |||
Total liabilities | 1,494,195 | |||
|
| |||
Net Assets | $ | 353,506,641 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 196,524 | ||
Paid-in capital | 228,244,846 | |||
Accumulated net investment income | 352,182 | |||
Accumulated net realized gain from investments | 23,652,168 | |||
Net unrealized appreciation on investments | 101,060,921 | |||
|
| |||
Net Assets | $ | 353,506,641 | ||
|
| |||
Institutional Shares: | ||||
Shares outstanding | 18,000,298 | |||
|
| |||
Net asset value, offering and redemption price per share ($324,002,306 / 18,000,298 shares) | $ | 18.00 | ||
|
| |||
Retail Shares: | ||||
Shares outstanding | 1,652,125 | |||
|
| |||
Net asset value, offering and redemption price per share ($29,504,335 / 1,652,125 shares) | $ | 17.86 | ||
|
|
The accompanying notes are an integral part of the financial statements.
7
POLEN GROWTH FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Dividends | $ | 1,799,038 | ||
Interest | 620 | |||
|
| |||
Total investment income | 1,799,658 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 1,693,453 | |||
Transfer agent fees (Note 2) | 161,366 | |||
Administration and accounting fees (Note 2) | 134,287 | |||
Distribution fees (Retail Shares) (Note 2) | 73,883 | |||
Registration and filing fees | 29,004 | |||
Legal fees | 24,548 | |||
Custodian fees (Note 2) | 24,445 | |||
Printing and shareholder reporting fees | 18,987 | |||
Trustees’ and officers’ fees (Note 2) | 14,176 | |||
Audit fees | 12,270 | |||
Other expenses | 17,650 | |||
|
| |||
Total expenses before waivers and reimbursements | 2,204,069 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (436,733 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 1,767,336 | |||
|
| |||
Net investment income | 32,322 | |||
|
| |||
Net realized and unrealized gain from investments: | ||||
Net realized gain from investments | 10,848,632 | |||
Net change in unrealized appreciation on investments | 19,774,251 | |||
|
| |||
Net realized and unrealized gain on investments | 30,622,883 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 30,655,205 | ||
|
|
The accompanying notes are an integral part of the financial statements.
8
POLEN GROWTH FUND
Statements of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 |
Increase in net assets from operations: | ||||||||
Net investment income | $ 32,322 | $ 386,535 | ||||||
Net realized gain from investments | 10,848,632 | 29,831,197 | ||||||
Net change in unrealized appreciation on investments | 19,774,251 | 24,808,081 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 30,655,205 | 55,025,813 | ||||||
|
|
|
| |||||
Less Dividends and Distributions to Shareholders from: | ||||||||
Net investment income: | ||||||||
Institutional Shares | — | (601,585 | ) | |||||
Retail Shares | — | (43,205 | ) | |||||
|
|
|
| |||||
Total net investment income | — | (644,790 | ) | |||||
|
|
|
| |||||
Net realized capital gains: | ||||||||
Institutional Shares | — | (3,236,891 | ) | |||||
Retail Shares | — | (988,965 | ) | |||||
|
|
|
| |||||
Total net realized capital gains | — | (4,225,856 | ) | |||||
|
|
|
| |||||
Net decrease in net assets from dividend and distributions to shareholders | — | (4,870,646 | ) | |||||
|
|
|
| |||||
Decrease in Net Assets Derived from Capital Share Transactions (Note 4) | (8,689,713 | ) | (113,880,920 | ) | ||||
|
|
|
| |||||
Total increase/(decrease) in net assets | 21,965,492 | (63,725,753 | ) | |||||
|
|
|
| |||||
Net assets | ||||||||
Beginning of period | 331,541,149 | 395,266,902 | ||||||
|
|
|
| |||||
End of period | $353,506,641 | $331,541,149 | ||||||
|
|
|
| |||||
Accumulated net investment income, end of period | $ 352,182 | $ 319,860 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
9
POLEN GROWTH FUND
Financial Highlights
Contained below is per share operating performance data for Institutional Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Shares |
| |||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended to April 30, 2012 | For the Period September 15, 2010* to April 30, 2011 |
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ 16.45 | $ 14.17 | $ 13.79 | $ 12.10 | $10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income/(loss)(1) | 0.01 | 0.03 | 0.03 | — | (2) | (0.02 | ) | |||||||||||||
Net realized and unrealized gain on investments | 1.54 | 2.48 | 0.40 | 1.68 | 2.11 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase in net assets resulting from operations | 1.55 | 2.51 | 0.43 | 1.68 | 2.09 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | — | (0.04 | ) | — | — | — | ||||||||||||||
Net realized capital gains | — | (0.20 | ) | (0.06 | ) | — | (2) | — | (2) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions to shareholders | — | (0.24 | ) | (0.06 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Redemption fees | 0.00 | (2) | 0.01 | 0.01 | 0.01 | 0.01 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ 18.00 | $ 16.45 | $ 14.17 | $ 13.79 | $12.10 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return(3) | 9.42 | % | 17.84 | % | 3.19 | % | 13.97 | % | 21.00 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $324,002 | $252,108 | $294,408 | $215,387 | $5,168 | |||||||||||||||
Ratio of expenses to average net assets | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | %(4) | ||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(5) | 1.26 | % | 1.27 | % | 1.26 | % | 1.44 | % | 8.23 | %(4) | ||||||||||
Ratio of net investment income/(loss) to average net assets | 0.06 | % | 0.17 | % | 0.24 | % | (0.01 | )% | (0.27 | )%(4) | ||||||||||
Portfolio turnover rate | 16.75 | %(6) | 39.52 | % | 51.04 | % | 35.48 | % | 25.55 | %(6) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the relevant period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
10
POLEN GROWTH FUND
Financial Highlights
Contained below is per share operating performance data for Retail Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Retail Shares |
| |||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Period December 30, 2010* April 30, 2011 |
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ 16.35 | $ 14.09 | $ 13.74 | $ 12.09 | $11.44 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment loss(1) | (0.01 | ) | (0.01 | ) | — | (2) | (0.03 | ) | (0.02 | ) | ||||||||||
Net realized and unrealized gain on investments | 1.52 | 2.47 | 0.40 | 1.67 | 0.66 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase in net assets resulting from operations | 1.51 | 2.46 | 0.40 | 1.64 | 0.64 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | — | (0.01 | ) | — | — | — | ||||||||||||||
Net realized capital gains | — | (0.20 | ) | (0.06 | ) | — | (2) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions to shareholders | — | (0.21 | ) | (0.06 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Redemption fees | 0.00 | (2) | 0.01 | 0.01 | 0.01 | 0.01 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ 17.86 | $ 16.35 | $ 14.09 | $ 13.74 | $12.09 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return(3) | 9.24 | % | 17.59 | % | 2.98 | % | 13.65 | % | 5.68 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $29,504 | $79,433 | $100,859 | $101,396 | $7,133 | |||||||||||||||
Ratio of expenses to average net assets | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | %(4) | ||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(5) | 1.50 | % | 1.52 | % | 1.51 | % | 1.74 | % | 6.35 | %(4) | ||||||||||
Ratio of net investment loss to average net assets | (0.17 | )% | (0.08 | )% | (0.01 | )% | (0.26 | )% | (0.50 | )%(4) | ||||||||||
Portfolio turnover rate | 16.75 | %(6) | 39.52 | % | 51.04 | % | 35.48 | % | 22.55 | %(6) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the relevant period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
11
POLEN GROWTH FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Polen Growth Fund (the “Fund”) is a non-diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), which commenced investment operations on September 15, 2010. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers two separate classes of shares, Retail Class and Institutional Class.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost which approximates fair value. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 — | quoted prices in active markets for identical securities; |
• Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
• Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
12
POLEN GROWTH FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Value at 10/31/2014 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||
Investments in Securities* | $339,973,873 | $339,973,873 | $— | $— | ||||||||
|
|
|
|
|
|
* | Please refer to Portfolio of Investments for details on portfolio holdings. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3.
13
POLEN GROWTH FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are generally allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each Fund in proportion to its relative daily net assets. Expenses directly attributable to a particular Fund in the Trust are charged directly to that Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and are recorded on ex-date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
Polen Capital Management, LLC (“PCM” or the “Adviser”) serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 1.00% of the Fund’s average daily net assets.
14
POLEN GROWTH FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 1.00% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2015, unless the Board of Trustees approves its earlier termination.
As of October 31, 2014, investment advisory fees payable to the Adviser were $207,608. For the six months ended October 31, 2014, the Adviser waived fees of $436,733.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets and is subject to certain minimum monthly fees.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Retail Shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Retail Shares plan, the Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25% on an annualized basis of the average daily net assets of the Fund’s Retail Shares.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six months ended October 31, 2014 was $11,733. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
15
POLEN GROWTH FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 54,416,008 | $ | 60,777,569 |
4. Capital Share Transactions
For the six months ended October 31, 2014 and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Institutional Shares | ||||||||||||||||
Sales | 4,659,641 | $ | 78,796,948 | 6,382,555 | $ | 95,495,153 | ||||||||||
Reinvestments | — | — | 171,648 | 2,667,403 | ||||||||||||
Redemption Fees* | — | 7,905 | — | 93,690 | ||||||||||||
Redemptions | (1,982,996 | ) | (33,553,389 | ) | (12,001,484 | ) | (179,023,585 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase/(Decrease) | 2,676,645 | $ | 45,251,464 | (5,447,281 | ) | $ | (80,767,339 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Retail Shares | ||||||||||||||||
Sales | 112,660 | $ | 1,875,668 | 996,726 | $ | 14,719,305 | ||||||||||
Reinvestments | — | — | 66,454 | 1,027,385 | ||||||||||||
Redemption Fees* | — | 1,167 | — | 29,053 | ||||||||||||
Redemptions | (3,320,156 | ) | (55,818,012 | ) | (3,359,746 | ) | (48,889,324 | ) | ||||||||
Net Decrease | (3,207,496 | ) | $ | (53,941,177 | ) | (2,296,566 | ) | $ | (33,113,581 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Decrease | (530,851 | ) | $ | (8,689,713 | ) | (7,743,847 | ) | $ | (113,880,920 | ) | ||||||
|
|
|
|
|
|
|
|
* | There is a 2.00% redemption fee that may be charged on shares redeemed within the first 60 days of their acquisition. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
16
POLEN GROWTH FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year ended April 30, 2014, the tax character of distributions paid by the Fund was $644,790 of ordinary income dividends and long-term capital gains of $4,225,856. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014 the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | Qualified Late-Year | ||||
$— | $2,986,505 | $11,577,691 | $79,845,870 | $— |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 238,912,952 | ||||
|
|
| ||||
Gross unrealized appreciation | 103,033,598 | |||||
Gross unrealized depreciation | (1,972,677 | ) | ||||
|
|
| ||||
Net unrealized appreciation | $ | 101,060,921 | ||||
|
|
|
Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law.
17
POLEN GROWTH FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
During the fiscal year ended April 30, 2014, the Polen fund utilized $4,385,877 of prior year capital loss carryforwards.
6. Subsequent Event
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
18
POLEN GROWTH FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 678-6024 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov, and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Approval of Advisory Agreement
At an in-person meeting held on September 22-23, 2014 (the “Meeting”), the Board of Trustees (the “Board” or “Trustees”) of FundVantage Trust (“Trust”), including a majority of the Trustees who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (“1940 Act”) (the “Independent Trustees”), unanimously approved the continuation of the advisory agreement between Polen Capital Management, LLC (the “Adviser” or “Polen”) and the Trust on behalf of the Polen Growth Fund (the “Fund”) (“Agreement”). In determining whether to continue the Agreement, the Trustees considered information provided by the Adviser in accordance with Section 15(c) of the 1940 Act. The Trustees considered information that the Adviser provided regarding (i) services performed for the Fund, (ii) the size and qualifications of the Adviser’s portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with a portfolio manager’s management of the Fund, (iv) investment performance, (v) the capitalization and financial condition of the Adviser, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Fund and other clients, (viii) results of any regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on the Adviser’s ability to service the Fund, and (x) compliance with the Fund’s investment objective, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements. The Adviser also provided its most recent Form ADV for the Trustees’ review and consideration. The Trustees noted the reports provided at Board meetings throughout the year covering matters such as the relative performance of the Fund; compliance with the investment objectives, policies, strategies and limitations for the Fund; the compliance of management personnel with the applicable code of ethics; and the adherence to fair value pricing procedures as established by
19
POLEN GROWTH FUND
Other Information
(Unaudited)
the Board. The Trustees also received and reviewed a memorandum from legal counsel regarding the legal standards applicable to their review of the Agreement.
Representatives from Polen attended the meeting both in person and telephonically and discussed Polen’s history, performance and investment strategy in connection with the proposed continuation of the Agreement and answered questions from the Board.
The Trustees considered the investment performance of the Fund and the Adviser. The Trustees reviewed the historical performance charts for the year to date, one year, two year, three year and since inception periods ended June 30, 2014 for (i) the Fund; (ii) the Russell 1000 Total Return Index; (iii) the S&P 500 Daily Reinvested Index and (iv) the Lipper Large Cap Growth Fund category, the Fund’s applicable Lipper peer group. The Trustees noted that both the Institutional Class shares and Retail Class shares of the Fund had underperformed each of the Russell 1000 Total Return Index, the S&P 500 Daily Reinvested Index and the Lipper Large Cap Growth Fund category for the year to date, one year, two year, three year and since inception periods ended June 30, 2014. The Trustees also received performance information for the Fund, the Fund’s comparable separately managed account composite, and the Russell 1000 Growth Index, for the one year, three year and since inception periods ended June 30, 2014. The Trustees concluded that, although the Fund had underperformed for certain measurement periods noted above, the performance of the Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
The Adviser provided information regarding its advisory fees and an analysis of these fees in relation to the delivery of services to the Fund and any other ancillary benefit resulting from the Adviser’s relationship with the Fund. The Trustees considered the fees that the Adviser charges to its separately managed accounts, and evaluated the explanations provided by the Adviser as to differences in fees charged to the Fund and such accounts. The Trustees also reviewed a peer comparison of advisory fees and total expenses for the Fund versus other similarly managed funds. The Trustees noted that net total expense ratios and gross advisory fees for both the Institutional Class shares and the Retail Class shares of the Fund were higher than the median of the net expenses and gross advisory fee of the respective universe of funds with a similar share class in the Lipper Large Cap Growth Fund category with $500 million or less in assets. The Trustees concluded that the advisory fee and services provided by the Adviser are sufficiently consistent with those of other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the Fund based on the information provided at the Meeting.
The Board considered the level and depth of knowledge of the Adviser, including the professional experience and qualifications of senior personnel. In evaluating the quality of services provided by the Adviser, the Board took into account its familiarity with the Adviser’s senior management through Board meetings, discussions and reports during the preceding year. The Board also took into account the Adviser’s compliance policies and procedures and reports regarding the Adviser’s compliance operations from the Trust’s Chief Compliance Officer. The Board also considered any potential conflicts of interest that may
20
POLEN GROWTH FUND
Other Information
(Unaudited) (Concluded)
arise in a portfolio manager’s management of the Fund’s investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services provided to the Fund by the Adviser and concluded that the nature, extent and quality of the services provided were appropriate and consistent with the terms of the Agreement, that the quality of the services appeared to be consistent with industry norms and that the Fund is likely to benefit from the continued receipt of those services. They also concluded that the Adviser has sufficient personnel, with the appropriate education and experience, to serve the Fund effectively and had demonstrated their ability to attract and retain qualified personnel.
The Trustees considered the costs of the services provided by the Adviser, the compensation and benefits received by the Adviser in providing services to the Fund, as well as its profitability. The
Trustees were provided with the Adviser’s balance sheet and profit and loss statement as of December 31, 2013. The Trustees noted that the Adviser’s level of profitability is an appropriate factor to consider, and the Trustees should be satisfied that the Adviser’s profits are sufficient to continue as a healthy concern generally and as investment adviser of the Fund specifically. The Trustees concluded that the Adviser’s contractual advisory fee level was reasonable in relation to the nature and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies. The Trustees also concluded that the overall expense ratio of the Fund was reasonable, taking into account the quality of services provided by the Adviser and the current size and projected growth of the Fund during the renewal term.
The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the Fund grows, and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Trustees noted that economies of scale may be achieved at higher asset levels for the Fund for the benefit of fund shareholders but that because such economies of scale did not yet exist and were not likely to exist in the near term, it was not appropriate to incorporate a mechanism for sharing the benefit of such economies with Fund shareholders in the advisory fee structure at this time.
In voting to approve the continuation of the Agreement, the Board considered all factors it deemed relevant and the information presented to the Board by the Adviser. In arriving at its decision, the Board did not identify any single factor as being of paramount importance and each member of the Board gave varying weights to each factor according to his or her own judgment. The Board determined that the continuation of the Agreement would be in the best interests of the Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, unanimously approved the continuation of the Agreement for an additional one year period.
21
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[THIS PAGE INTENTIONALLY LEFT BLANK.]
Investment Adviser Polen Capital Management, LLC 1825 NW Corporate Blvd. Suite 300 Boca Raton, FL 33431
Administrator BNY Mellon Investment Servicing (US) Inc. 301 Bellevue Parkway Wilmington, DE 19809
Transfer Agent BNY Mellon Investment Servicing (US) Inc. 4400 Computer Drive Westborough, MA 01581
Principal Underwriter Foreside Funds Distributors LLC 400 Berwyn Park 899 Cassatt Road Berwyn, PA 19312
Custodian The Bank of New York Mellon One Wall Street New York, NY 10286
Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103-7042
Legal Counsel Pepper Hamilton LLP 3000 Two Logan Square 18th and Arch Streets Philadelphia, PA 19103 |
Polen Growth Fund
of
FundVantage Trust
Institutional Shares Retail Shares
SEMI-ANNUAL REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Polen Growth Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Polen Growth Fund. | |
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Dear Fellow Shareholder:
We are pleased to report that the Private Capital Management Value Fund (“the Fund”) achieved strong results over the past six months with a return of 10.63% for Class I shares. In all candor, it has been a rather strange period for U.S. equities. Large capitalization stocks achieved record highs with the S&P 500® Index recording an 8.22% gain over the past six months, while smaller capitalization issues have struggled since the early part of the year with the Russell 2000® Index gaining 4.83% during the past six months only due to its 6.59% return in October. The divergence was clearly seen from April through September when the large-cap S&P 500® Index returned 6.42% compared to the -5.46% return of the small-cap Russell 2000® Index, a differential of almost 12%.
We characterize the period as “strange” because the factors that provoked investor discomfiture with secondary stocks – a witch’s brew of negative news ranging from geopolitical threats such as Russia’s actions in Ukraine and the ascendance of the Islamic State, to economic stagnation in Europe, recession in Japan, and below par growth in China – pose the greatest fundamental threat to some of the large multinational corporations whose stocks have outperformed thus far in 2014.
Rather than spilling additional ink discussing what happened, we think it is more useful to put recent events in context. We have, for some time now, been clear in our view that the U.S. economy is amidst a well-established recovery. Recent statistics affirm this perspective, with GDP growing 3.5% and reported unemployment dropping below 6% (its lowest level in more than six years). Nonetheless, all is not “butterflies and puppy dogs” – labor force participation remains low, which masks true unemployment levels and household income growth is tepid, which dampens consumer spending. More positively, the recent sharp decline in the price of gasoline (under $3.00/gallon for the first time since 2010) is tantamount to a meaningful tax cut for most households. Taken together, it is clear that the key trends are moving in the right direction and the U.S. economy can be viewed like a giant locomotive, slowly but steadily building up speed and momentum.
If one accepts our metaphor for the state of the economy, then far from the apocalyptic event described by some market pundits, it is actually a significant positive that the Federal Reserve (the “Fed”) is winding down its quantitative easing (QE3) activities. We have previously written about our concern that the Fed might not curtail its stimulus programs quickly enough, resulting in a significant escalation in inflationary pressures that would in turn require a rapid increase in short-term interest rates. In contrast, the track we are currently on feels quite orderly. By slowly turning off the spigot of excess liquidity flowing from QE3 and intimating the onset of a modest tightening cycle (read as a small increase in short-term interest rates), the Fed thus far has constrained inflation expectations and precipitated a powerful rally in the U.S. dollar, which through the dollar’s enhanced purchasing power promotes a virtuous cycle that should dampen inflationary realities.
1
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Semi-Annual Investment Adviser’s Report (Continued)
October 31, 2014
(Unaudited)
We continue to believe that these factors are fostering an atmosphere conducive to further growth for the U.S. economy. Recovery from the Great Recession has been slow and painful, particularly for the bottom economic quartile of our population. The upside is an economy with significant slack, minimal speculative excess, and significant headroom for growth. Contrary to the skeptics who argue that the economy has been artificially supported by the Fed’s monetary stimulus, we believe that the baton is in the process of being passed back to the “real economy” and self-sustaining economic growth.
To be clear, our view is that the improving economy will result in higher interest rates, probably sometime next year. While we acknowledge that the specter of rate hikes may continue to drive volatility for equity markets as it did last June when the Fed initially suggested that it might taper its bond-buying program, we see near-term trading disruptions as more likely to create opportunities than true threats for long-term investors. Given current inflationary expectations, interest rate increases will likely be measured, and will still leave borrowing rates at very attractive levels by historical standards. The benefits to corporate earnings and equity returns from a growing economy far outweigh the cost of higher interest rates.
In this context it is a worthwhile exercise to review and compare today’s valuations to 2007, the last time the S&P 500® Index traded at record highs. Back then, the predominant theme was that investors were benefitting from the “Goldilocks economy” – not too hot as to incite inflation, but not too cold as to risk recession. With the clarity of hindsight it is apparent that the economy back then was largely supported by massive speculative excess, propelled by reckless financial practices and sustained appreciation in the value of residential housing. Time is a great healer and seven years on, we find it is unsurprising that valuations have recovered and the broad indices have reached new highs. That said, in contrast to the euphoria typically concomitant with market peaks, we find market participants more inclined towards trepidation and consternation than approbation and complacency.
Today’s economy presents investors a series of counter-balancing, and in some cases, contradictory forces that are creating opportunities for stock-pickers willing to dig into the details, understand the risks, and take a thoughtful and contextual view of the factors that build lasting shareholder value. Among these counter-balancing forces:
• | Unemployment is falling and jobs are taking longer to fill, which would ordinarily trigger higher wage growth. However, the long-term unemployed are still waiting in the wings, creating a labor reserve that is likely to temper wage growth that might otherwise engender inflation fears. The latest official payroll data showed that despite a drop in the unemployment rate to 5.8%, the number of long-term unemployed was unchanged. The data also showed that the average earnings of American workers has grown only 2% over the past year. |
• | While well off its lows, housing remains affordable benefiting from low interest rates and prices still well below the peak. Credit worthy buyers remain in relative short-supply. In fact, the Federal |
2
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Semi-Annual Investment Adviser’s Report (Continued)
October 31, 2014
(Unaudited)
Housing Finance Agency has recently reduced lending standards to encourage more home purchase and mortgage origination activity.
• | Consumer confidence is at its highest levels since 2007, however, spending is not robust across the board. For example, the General Retailers subsector of the S&P 500 Index has returned approximately half of the overall index gain over the past twelve months. |
• | Last, and probably most importantly, while the U.S. economy is improving, China’s growth has slowed, Brazil remains weak, Europe is stagnant and Japan has fallen back in recession. |
These contradictions are representative of a global economy that is still recovering unevenly from financial crisis. In 2007, there were few worries about anything; now, the scars of 2008-2009 are still raw with investors and many are quick to see the next bogeyman in the form of a “reasonably valued” market. But even when “reasonably valued” describes the market as a whole, individual opportunities exist for the disciplined, bottom-up stock picker.
We are reminded of the statistician’s joke about the man who has his feet in the oven and his head in the freezer: on average, he’s comfortable. In other words, the market contains both overvalued and undervalued companies, which is a much more favorable environment for disciplined value investors like us than a market in which everything goes up in unison. Despite the stock market trading near all-time highs, we are seeing a steady flow of potential opportunities.
In summary, we continue to anticipate additional pockets of volatility as the prospect of higher interest rates is digested, a new Congress takes its place and sets its agenda, and spontaneous yet normal geopolitical events run their course. We continue to selectively take advantage of opportunities across a range of industries as we position the Fund’s portfolio to best capitalize on the environment we envision as we turn our eyes to 2015.
We are most grateful for your continued support.
Private Capital Management
3
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Semi-Annual Investment Adviser’s Report (Concluded)
October 31, 2014
(Unaudited)
Mutual Fund investing involves risk and it is possible to lose money by investing in a fund. The Fund is non-diversified and may invest a larger portion of its assets in the securities of a single issuer than a more diversified fund causing its value to fluctuate more widely. The Fund may engage in strategies that are considered risky or invest in stocks of companies that are undervalued which may cause greater volatility and less liquidity. Investors should consider the investment objectives, risks, charges, and expenses of the Fund carefully before investing. This report is not authorized for distribution unless preceded or accompanied by a current prospectus for the Private Capital Management Value Fund. The prospectus contains this and other important information about the Fund. Read it carefully before investing. |
Shares of the Private Capital Management Value Fund are distributed by Foreside Funds Distributors LLC, not an adviser affiliate. |
This letter is intended to assist shareholders in understanding how the Fund performed during the six months ended October 31, 2014 and reflects the views of the investment adviser at the time of this writing. Of course, these views may change and do not guarantee the future performance of the Fund or the markets.
Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risks.
4
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||||
Six Months† | 1 Year | 3 Years | Since Inception* | |||||||
Class A Shares | ||||||||||
(without sales charge) | 10.49% | 13.99% | 17.80% | 15.87% | ||||||
Class A Shares | ||||||||||
(with sales charge) | 4.95% | 8.29% | 15.80% | 14.42% | ||||||
S&P 500® Index | 8.22% | 17.27% | 19.77% | 17.02%** | ||||||
Russell 2000® Index | 4.83% | 8.06% | 18.18% | 15.68%** |
† | Not Annualized. |
* | Class A Shares of the Private Capital Management Value Fund (the “Fund”) commenced operations on October 6, 2010. |
** | Benchmark performance is from the commencement date of Class A Shares (October 6, 2010) only and is not the inception date of the benchmark itself. |
Class A Shares of the Fund have a 5.00% maximum sales charge.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 568-1267. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Class A Shares total annual gross and net operating expense ratios are 1.74% and 1.25%, respectively, of the Fund’s average daily net assets. These ratios are stated in the current prospectus dated September 1, 2014, and may differ from the actual expenses incurred by the Fund for the period covered by this report. Private Capital Management, LLC, (the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 1.00% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). This agreement will terminate on August 31, 2015, unless the Board of Trustees of FundVantage Trust approves an earlier termination. Total return would be lower had such fees and expenses not been waived and/or reimbursed.
A 2.00% redemption fee applies to shares redeemed within 30 days of purchase. This redemption fee is not reflected in the returns shown above.
The Fund intends to evaluate performance as compared to that of Standard & Poor’s 500® Composite Stock Price Index (“S&P 500® Index”) and the Russell 2000® Index. The S&P 500® Index is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. The Russell 2000® Index is an unmanaged index measuring the performance of the 2,000 smallest companies in the Russell 3000® Index, which is made up of 3,000 of the biggest U.S. stocks. It is impossible to invest directly in an index.
5
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Semi-Annual Report
Performance Data (Concluded)
October 31, 2014
(Unaudited)
Average Annual Total Returns for the Periods Ended October 31, 2014 | ||||||||||||
Six Months† | 1 Year | 3 Years | 5 Years | 10 Years | ||||||||
Class I Shares* | 10.63% | 14.28% | 18.06% | 15.67% | 6.05% | |||||||
S&P 500® Index | 8.22% | 17.27% | 19.77% | 16.69% | 8.20% | |||||||
Russell 2000® Index | 4.83% | 8.06% | 18.18% | 17.39% | 8.67% |
† | Not Annualized. |
* | Performance shown for the period from October 31, 2004 to May 28, 2010 is the performance of a corporate defined contribution plan account (the “Predecessor Account”), which transferred its assets to the Fund in connection with the Fund’s commencement of operations on May 28, 2010. Performance from May 28, 2010 to October 31, 2014 is from the performance of the Class I Shares. The Predecessor Account was not registered as a mutual fund under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore was not subject to certain investment restrictions, limitations and diversification requirements imposed by the 1940 Act and the Internal Revenue Code of 1986, as amended. If the Predecessor Account had been registered under the 1940 Act, its performance may have been different. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 568-1267. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Class I Shares total annual gross and net operating expense ratios are 1.49% and 1.00%, respectively, of the Fund’s average daily net assets. These ratios are stated in the current prospectus dated September 1, 2014, and may differ from the actual expenses incurred by the Fund for the period covered by this report. Private Capital Management, LLC, (the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 1.00% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). This agreement will terminate on August 31, 2015, unless the Board of Trustees of FundVantage Trust approves an earlier termination. Total return would be lower had such fees and expenses not been waived and/or reimbursed.
A 2.00% redemption fee applies to shares redeemed within 30 days of purchase. This redemption fee is not reflected in the returns shown above.
The Fund intends to evaluate performance as compared to that of Standard & Poor’s 500® Composite Stock Price Index (“S&P 500® Index”) and the Russell 2000® Index. The S&P 500® Index is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. The Russell 2000® Index is an unmanaged index measuring the performance of the 2,000 smallest companies in the Russell 3000® Index, which is made up of 3,000 of the biggest U.S. stocks. It is impossible to invest directly in an index.
6
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, if any, and redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees, if any, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from May 1, 2014, through October 31, 2014 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), if any, and redemption fees. Therefore, each hypothetical line of the accompanying 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.
7
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
Private Capital Management Value Fund | ||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | ||||
Class A Shares | ||||||
Actual | $1,000.00 | $1,104.90 | $6.63 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.90 | 6.36 | |||
Class I Shares | ||||||
Actual | $1,000.00 | $1,106.30 | $5.32 | |||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.16 | 5.10 |
* | Expenses are equal to an annualized expenses ratio for the six-month period ended October 31, 2014 of 1.25% and 1.00% for Class A and Class I Shares, respectively, for the Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. The Fund’s ending account values on the first line in each table are based on the actual six month total return for the Fund of 10.49% and 10.63% for Class A and Class I Shares, respectively. |
8
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
COMMON STOCKS: | ||||||||||
Information Technology | 25.6% | $ | 15,337,079 | |||||||
Consumer Discretionary | 20.1 | 12,058,128 | ||||||||
Health Care | 19.1 | 11,455,613 | ||||||||
Financials | 10.8 | 6,495,209 | ||||||||
Industrials | 7.1 | 4,224,913 | ||||||||
Energy | 5.5 | 3,310,915 | ||||||||
Materials | 4.9 | 2,940,948 | ||||||||
Consumer Staples | 2.9 | 1,706,083 | ||||||||
Utilities | 1.1 | 681,916 | ||||||||
Other Assets in Excess of Liabilities | 2.9 | 1,750,368 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0% | $ | 59,961,172 | |||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
9
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 97.1% |
| |||||||
Consumer Discretionary — 20.1% |
| |||||||
Advance Auto Parts, Inc. | 10,975 | $ | 1,612,886 | |||||
American Public Education, Inc.* | 18,850 | 584,161 | ||||||
Ascena Retail Group, Inc.* | 93,750 | 1,167,187 | ||||||
AutoNation, Inc.* | 15,375 | 880,372 | ||||||
Carrols Restaurant Group, Inc.* | 74,300 | 572,853 | ||||||
DeVry Education Group, Inc. | 16,975 | 821,760 | ||||||
Fiesta Restaurant Group, Inc.* | 45,425 | 2,505,189 | ||||||
Gildan Activewear, Inc. (Canada) | 17,575 | 1,047,997 | ||||||
GNC Holdings, Inc., Class A | 32,175 | 1,337,515 | ||||||
Rent-A-Center, Inc. | 28,500 | 882,645 | ||||||
Visteon Corp.* | 6,875 | 645,563 | ||||||
|
| |||||||
12,058,128 | ||||||||
|
| |||||||
Consumer Staples — 2.9% |
| |||||||
Darling International, Inc.* | 30,375 | 534,600 | ||||||
SpartanNash Co. | 52,275 | 1,171,483 | ||||||
|
| |||||||
1,706,083 | ||||||||
|
| |||||||
Energy — 5.5% | ||||||||
Golar LNG, Ltd. (Bermuda) | 25,200 | 1,413,972 | ||||||
Noble Corp. (United Kingdom) | 57,875 | 1,210,745 | ||||||
Paragon Offshore PLC (United Kingdom)* | 7,591 | 36,968 | ||||||
Ultra Petroleum Corp. (Canada)* | 28,475 | 649,230 | ||||||
|
| |||||||
3,310,915 | ||||||||
|
| |||||||
Financials — 10.8% | ||||||||
1st United Bancorp, Inc. | 73,100 | 646,935 | ||||||
Charter Financial Corp. | 56,000 | 635,040 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Financials — (Continued) |
| |||||||
INTL FCStone, Inc.* | 66,583 | $ | 1,205,152 | |||||
Northrim BanCorp, Inc. | 11,700 | 338,130 | ||||||
Oppenheimer Holdings, Inc., Class A | 18,943 | 465,051 | ||||||
Raymond James Financial, Inc. | 19,600 | 1,100,148 | ||||||
State Bank Financial Corp. | 34,000 | 609,280 | ||||||
Suffolk Bancorp | 16,500 | 378,840 | ||||||
Synovus Financial Corp. | 24,014 | 608,995 | ||||||
Willis Group Holdings PLC (Ireland) | 12,525 | 507,638 | ||||||
|
| |||||||
6,495,209 | ||||||||
|
| |||||||
Health Care — 19.1% | ||||||||
Actavis PLC (Ireland)* | 10,382 | 2,520,127 | ||||||
Alere, Inc.* | 51,750 | 2,068,447 | ||||||
Covidien PLC (Ireland) | 13,090 | 1,210,040 | ||||||
Universal Health Services, Inc., Class B | 15,725 | 1,630,840 | ||||||
Valeant Pharmaceuticals | 20,250 | 2,694,060 | ||||||
Zimmer Holdings, Inc. | 11,975 | 1,332,099 | ||||||
|
| |||||||
11,455,613 | ||||||||
|
| |||||||
Industrials — 7.1% | ||||||||
Air Transport Services Group, Inc.* | 125,900 | 1,029,862 | ||||||
GenCorp, Inc.* | 62,450 | 1,059,152 | ||||||
MSA Safety, Inc. | 13,575 | 780,155 | ||||||
Progressive Waste Solutions | 21,500 | 628,445 | ||||||
Titan International, Inc. | 28,750 | 303,600 | ||||||
Triumph Group, Inc. | 6,085 | 423,699 | ||||||
|
| |||||||
4,224,913 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
10
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Information Technology — 25.6% |
| |||||||
ACI Worldwide, Inc.* | 30,000 | $ | 577,200 | |||||
CA, Inc. | 56,537 | 1,642,965 | ||||||
Cisco Systems, Inc. | 69,275 | 1,695,159 | ||||||
CoreLogic, Inc.* | 25,375 | 796,014 | ||||||
Electro Rent Corp. | 29,180 | 444,703 | ||||||
Global Cash Access Holdings, Inc.* | 89,671 | 653,702 | ||||||
Imation Corp.* | 184,640 | 540,995 | ||||||
Mentor Graphics Corp. | 74,625 | 1,581,304 | ||||||
Progress Software Corp.* | 22,762 | 589,536 | ||||||
QUALCOMM, Inc. | 13,830 | 1,085,793 | ||||||
Quantum Corp.* | 536,075 | 686,176 | ||||||
Quinstreet, Inc.* | 193,786 | 784,833 | ||||||
Symantec Corp. | 52,915 | 1,313,350 | ||||||
VASCO Data Security International, Inc.* | 116,325 | 2,945,349 | ||||||
|
| |||||||
15,337,079 | ||||||||
|
| |||||||
Materials — 4.9% | ||||||||
Celanese Corp. | 16,525 | 970,513 | ||||||
Pope Resources LP | 12,100 | 812,213 | ||||||
Tronox Ltd., Class A (Australia) | 47,900 | 1,158,222 | ||||||
|
| |||||||
2,940,948 | ||||||||
|
| |||||||
Utilities — 1.1% | ||||||||
National Fuel Gas Co. | 9,850 | 681,916 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 58,210,804 | |||||||
|
|
Value | ||||||
TOTAL INVESTMENTS - 97.1% | $ | 58,210,804 | ||||
OTHER ASSETS IN EXCESS | 1,750,368 | |||||
|
| |||||
NET ASSETS - 100.0% | $ | 59,961,172 | ||||
|
|
* | Non-income producing. |
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
11
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | ||||
Investments, at value (Cost $37,803,027) | $ | 58,210,804 | ||
Cash | 2,604,046 | |||
Receivable for capital shares sold | 6,373 | |||
Dividends and interest receivable | 17,384 | |||
Prepaid expenses and other assets | 16,692 | |||
|
| |||
Total assets | 60,855,299 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 721,922 | |||
Payable for capital shares redeemed | 64,019 | |||
Payable for transfer agent fees | 27,722 | |||
Payable for administration and accounting fees | 22,676 | |||
Payable to Investment Adviser | 18,067 | |||
Payable for custodian fees | 2,607 | |||
Accrued expenses | 37,114 | |||
|
| |||
Total liabilities | 894,127 | |||
|
| |||
Net Assets | $ | 59,961,172 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital Stock, $0.01 par value | $ | 35,585 | ||
Paid-in capital | 36,312,512 | |||
Accumulated net investment income | 152,384 | |||
Accumulated net realized gain from investments | 3,052,914 | |||
Net unrealized appreciation on investments | 20,407,777 | |||
|
| |||
Net Assets | $ | 59,961,172 | ||
|
|
Class A: | ||||
Net asset value, offering and redemption price per share ($4,415,400 / 263,681 shares) | $16.75 | |||
|
| |||
Maximum offering price per share (100/95 of $16.75) | $17.63 | |||
|
| |||
Class I: | ||||
Net asset value, offering and redemption price per share ($55,545,772 / 3,294,830 shares) | $16.86 | |||
|
|
The accompanying notes are an integral part of the financial statements.
12
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Dividends | $ | 322,266 | ||
Less: foreign taxes withheld | (2,107 | ) | ||
|
| |||
Total investment income | 320,159 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 258,216 | |||
Transfer agent fees (Note 2) | 39,099 | |||
Administration and accounting fees (Note 2) | 39,024 | |||
Registration and filing fees | 25,888 | |||
Legal fees | 18,890 | |||
Audit fees | 12,271 | |||
Printing and shareholder reporting fees | 8,744 | |||
Custodian fees (Note 2) | 8,159 | |||
Distribution fees (Class A) (Note 2) | 8,089 | |||
Trustees’ and officers’ fees (Note 2) | 3,712 | |||
Other expenses | 4,848 | |||
|
| |||
Total expenses before waivers and reimbursements | 426,940 | |||
|
| |||
Less: waivers (Note 2) | (131,943 | ) | ||
|
| |||
Net expenses after waivers | 294,997 | |||
|
| |||
Net investment income | 25,162 | |||
|
| |||
Net realized and unrealized gain from investments: | ||||
Net realized gain from investments | 2,725,037 | |||
Net change in unrealized appreciation on investments | 2,966,766 | |||
|
| |||
Net realized and unrealized gain on investments | 5,691,803 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 5,716,965 | ||
|
|
The accompanying notes are an integral part of the financial statements.
13
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Statements of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||
Increase in net assets from operations: | ||||||||||
Net investment income | $ | 25,162 | $ | 39,350 | ||||||
Net realized gain from investments | 2,725,037 | 1,094,173 | ||||||||
Net change in unrealized appreciation on investments | 2,966,766 | 7,503,009 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 5,716,965 | 8,636,532 | ||||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Net realized capital gains: | ||||||||||
Class A | — | (390,110 | ) | |||||||
Class I | — | (2,654,193 | ) | |||||||
|
|
|
| |||||||
Total net realized capital gains | — | (3,044,303 | ) | |||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | — | (3,044,303 | ) | |||||||
|
|
|
| |||||||
Increase/(Decrease) in Net Assets Derived from Capital Share Transactions (Note 4) | (1,368,111 | ) | 4,334,237 | |||||||
|
|
|
| |||||||
Total increase in net assets | 4,348,854 | 9,926,466 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 55,612,318 | 45,685,852 | ||||||||
|
|
|
| |||||||
End of period | $ | 59,961,172 | $ | 55,612,318 | ||||||
|
|
|
| |||||||
Accumulated net investment income, end of period | $ | 152,384 | $ | 127,222 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
14
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Financial Highlights
Contained below is per share operating performance data for Class A Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class A | ||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Period October 6, 2010* to April 30, 2011 |
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $15.16 | $13.60 | $12.12 | $12.61 | $10.10 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income/(loss)(1) | (0.01 | ) | (0.02 | ) | 0.07 | (0.03 | ) | (0.04 | ) | |||||||||||
Net realized and unrealized gain/(loss) on investments | 1.60 | 2.45 | 1.48 | (0.16 | ) | 2.57 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.59 | 2.43 | 1.55 | (0.19 | ) | 2.53 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | — | — | (0.07 | ) | — | (0.02 | ) | |||||||||||||
Net realized capital gains | — | (0.87 | ) | — | (0.30 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions to shareholders | — | (0.87 | ) | (0.07 | ) | (0.30 | ) | (0.02 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Redemption fees | — | — | (2) | — | — | (2) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $16.75 | $15.16 | $13.60 | $12.12 | $12.61 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment return(3) | 10.49 | % | 18.04 | % | 12.92 | % | (1.16 | )% | 25.08 | % | ||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $4,415 | $7,643 | $4,921 | $2,922 | $1,162 | |||||||||||||||
Ratio of expenses to average net assets | 1.25 | %(4) | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | %(4) | ||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(5) | 1.68 | %(4) | 1.74 | % | 1.88 | % | 1.93 | % | 2.02 | %(4) | ||||||||||
Ratio of net investment income/(loss) to average net assets | (0.12 | )%(4) | (0.15 | )% | 0.62 | % | (0.26 | )% | (0.59 | )%(4) | ||||||||||
Portfolio turnover rate | 14.56 | %(6) | 19.69 | % | 11.81 | % | 18.19 | %(7) | 21.71 | %(6)(7) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | During the period, certain fees were waived. If such fee waivers had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
(7) | Portfolio turnover rate excludes securities received from processing subscription-in-kind. |
The accompanying notes are an integral part of the financial statements.
15
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Financial Highlights
Contained below is per share operating performance data for Class I Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class I | |||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Period May 28, 2010* to April 30, 2011 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $ 15.24 | $ 13.64 | $ 12.15 | $ 12.61 | $ 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(1) | 0.01 | 0.02 | 0.10 | — | (2) | — | (2) | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.61 | 2.45 | 1.49 | (0.16 | ) | 2.64 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.62 | 2.47 | 1.59 | (0.16 | ) | 2.64 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | — | — | (0.10 | ) | — | (2) | (0.03 | ) | |||||||||||||||||
Net realized capital gains | — | (0.87 | ) | — | (0.30 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | — | (0.87 | ) | (0.10 | ) | (0.30 | ) | (0.03 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Redemption fees | — | — | (2) | — | — | (2) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ 16.86 | $ 15.24 | $ 13.64 | $ 12.15 | $ 12.61 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(3) | 10.63 | % | 18.29 | % | 13.21 | % | (0.91 | )% | 26.39 | %(4) | |||||||||||||||
Ratio/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $55,546 | $47,969 | $40,765 | $43,024 | $43,914 | ||||||||||||||||||||
Ratio of expenses to average net assets | 1.00 | %(5) | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | %(5) | |||||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||||||||
without waivers and expense reimbursements(6) | 1.46 | %(5) | 1.49 | % | 1.62 | % | 1.67 | % | 1.84 | %(5) | |||||||||||||||
Ratio of net investment income/(loss) to average net assets | 0.11 | %(5) | 0.10 | % | 0.86 | % | (0.01 | )% | — | %(5)(7) | |||||||||||||||
Portfolio turnover rate | 14.56 | %(8) | 19.69 | % | 11.81 | % | 18.19 | %(9) | 21.71 | %(8)(9) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Total investment return represents performance for Class I Shares since its commencement of operations on May 28, 2010, and does not include performance of the Predecessor Account. |
(5) | Annualized. |
(6) | During the period, certain fees were waived. If such fee waivers had not occurred, the ratios would have been as indicated (See Note 2). |
(7) | Amount is less than 0.005%. |
(8) | Not annualized. |
(9) | Portfolio turnover rate excludes securities received from processing subscription-in-kind. |
The accompanying notes are an integral part of the financial statements.
16
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Private Capital Management Value Fund (the “Fund”) is a non-diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), which commenced investment operations on May 28, 2010. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares, Class A, Class C, Class I and Class R Shares. Class A Shares are sold subject to a front-end sales charge. Front-end sales charges may be reduced or waived under certain circumstances. A contingent deferred sales charge (“CDSC”) of up to 1.00% may apply for investments of $750,000 or more of Class A Shares (and therefore no initial sales charge was paid) and shares are redeemed within 12 months after initial purchase. The CDSC shall not apply to those purchases of Class A Shares of $750,000 or more where a selling broker-dealer did not receive a commission. As of October 31, 2014, Class C and Class R Shares had not been issued.
On August 30, 2013, the Fund’s adviser, Private Capital Management (“PCM or the “Adviser”), completed a transaction whereby PCM’s former parent company sold PCM to Gregg J. Powers, PCM’s CEO and Chief Investment Officer. As part of that transaction, PCM’s legal structure was changed from a limited partnership (wholly-owned and controlled by Legg Mason, Inc.) to a limited liability company (wholly-owned and controlled through certain intermediary companies by Mr. Powers). The Adviser continued its operations (including its role as the manager of the Fund) as Private Capital Management, LLC. In 2014, PCM’s equity ownership structure was further restructured such that various members of PCM’s senior management team received non-voting equity interests in the firm. As a result of this restructuring, Mr. Powers no longer owns 100% of the economic interests in PCM, though he remains in control of 100% of the voting interests in PCM.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost which approximates fair value. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end
17
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Investments in Securities* | $ | 58,210,804 | $ | 58,210,804 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
* | Please refer to Portfolio of Investments for further details on portfolio holdings. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period.
18
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are generally allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment
19
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
PCM, serves as the investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 0.90% of the Fund’s average daily net assets. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 1.00% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2015, unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation. As of October 31, 2014, the amount of potential recovery was as follows:
Expiration | ||||||
4/30/2015 | 4/30/2016 | 4/30/2017 | 4/30/2018 | |||
$297,140 | $271,563 | $266,144 | $131,943 |
As of October 31, 2014 investment advisory fees payable to the adviser were $18,067. For the six-months ended October 31, 2014, the Adviser waived fees of $131,943.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
20
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets and is subject to certain minimum monthly fees.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Class A Shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Class A Shares plan, the Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25% on an annualized basis of the average daily net assets of the Fund’s Class A Shares.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six months ended October 31, 2014 was $3,029. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the six-months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 8,045,481 | $ | 8,206,403 |
21
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
4. Capital Share Transactions
For the six-months ended October 31, 2014 and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Sales | 33,508 | $ | 533,470 | 257,448 | $ | 3,894,335 | ||||||||||
Reinvestments | — | — | 26,000 | 385,316 | ||||||||||||
Redemption Fees* | — | — | — | 168 | ||||||||||||
Redemptions | (274,056 | ) | (4,379,560 | ) | (140,969 | ) | (2,121,694 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase/(Decrease) | (240,548 | ) | $ | (3,846,090 | ) | 142,479 | $ | 2,158,125 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Sales | 527,487 | $ | 8,481,426 | 678,192 | $ | 10,223,554 | ||||||||||
Reinvestments | — | — | 165,830 | 2,467,552 | ||||||||||||
Redemption Fees* | — | — | — | 250 | ||||||||||||
Redemptions | (380,055 | ) | (6,003,447 | ) | (685,594 | ) | (10,515,244 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 147,432 | $ | 2,477,979 | 158,428 | $ | 2,176,112 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Increase/(Decrease) | (93,116 | ) | $ | (1,368,111 | ) | 300,907 | $ | 4,334,237 | ||||||||
|
|
|
|
|
|
|
|
* | There is a 2.00% redemption fee that may be charged on shares redeemed within the first 30 days of their acquisition. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
22
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For the year ended April 30, 2014, the tax character of distributions paid by the Fund was $3,044,303 of long-term capital gains dividends. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Qualified Late-Year Losses | ||||
$— | $— | $608,289 | $17,315,519 | $(27,698) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes.
At October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation/(depreciation) of securities held by the Fund were as follows:
Federal tax cost | $ | 37,803,027 | ||||
|
| |||||
Gross unrealized appreciation | 22,238,213 | |||||
Gross unrealized depreciation | (1,830,436 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 20,407,777 | ||||
|
|
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and April 30 and late year ordinary losses ((i) ordinary losses between January 1 and April 30, and (ii) specified ordinary and currency losses between November 1 and April 30) as occurring on the first day of the following tax year. For the year ended April 30, 2014, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until May 1, 2014. For the fiscal year ended April 30, 2014, the Fund had late year ordinary loss deferrals of $27,698.
Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Fund did not have any capital loss carryforwards.
23
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date that the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
24
PRIVATE CAPITAL MANAGEMENT VALUE FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 568-1267 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
25
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[THIS PAGE INTENTIONALLY LEFT BLANK.]
Investment Adviser
Private Capital Management, LLC
8889 Pelican Bay Boulevard
Suite 500
Naples, FL 34108
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
PRIVATE CAPITAL MANAGEMENT VALUE FUND
of
FundVantage Trust
Class A Shares
Class I Shares
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Private Capital Management Value Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Private Capital Management Value Fund.
QUALITY DIVIDEND FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns For the Periods Ended October 31, 2014† | ||||||||||||||||
Six Months†† | 1 Year | Since Inception | ||||||||||||||
Class A Shares (without sales charge) | 5.76% | 13.92% | 16.19% | |||||||||||||
Class A Shares (with sales charge) | -0.31% | 7.37% | 10.02% | |||||||||||||
Class C Shares | 5.37% | 13.17% | 15.42% | |||||||||||||
S&P 500 Index | 8.22% | 17.27% | 20.71% | * | ||||||||||||
S&P 500 Index | 8.22% | 17.27% | 19.88% | ** |
† | Class A Shares commenced operations on September 30, 2013; Class C Shares commenced operations on October 1, 2013. |
†† | Not annualized. |
* | Benchmark performance is from the inception date of Class A Shares of the Fund (September 30, 2013) only and is not the inception date of the benchmark itself. |
** | Benchmark performance is from the inception date of Class C Shares of the Fund (October 1, 2013) only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month end may be obtained by calling (888) 201-5799.
The returns of Class A shares reflect a deduction for the maximum front end sales charge of 5.75%. All of the Fund’s share classes apply a 1.00% fee to the value of shares redeemed within 60 days of purchase. The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated September 1, 2014, are 2.97% and 1.24% for Class A Shares and 3.72% and 1.99% for Class C Shares of the Class’ average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Choice Financial Partners, Inc., d/b/a EquityCompass Strategies (“EquityCompass” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 0.99% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in effect until September 30, 2016, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation. Total fees would be higher had such fees and expenses not been waived and/or reimbursed.
The Fund intends to evaluate performance as compared to that of the S&P 500. The S&P 500 is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
Mutual fund investing involves risk, including possible loss of principal. The Fund’s dividend income and distributions will fluctuate, and at times the Fund may underperform other funds that invest more broadly or that have different
1
QUALITY DIVIDEND FUND
Semi-Annual Report
Performance Data (Concluded)
October 31, 2014
(Unaudited)
investment styles. Some of the assets in which the Fund may invest entail special risks. Foreign stocks may be affected by currency fluctuations, social and political instability, and lax regulatory and financial reporting standards. Master Limited Partnerships (“MLPs”) may fluctuate abruptly in value and be difficult to liquidate. Real Estate Investment Trusts (“REITs”) entail risks related to real estate, such as tenant defaults, declining occupancy rates, and falling property values due to deteriorating economic conditions. Listed REIT stocks may fluctuate erratically in market price while non-listed REITs may be illiquid.
2
QUALITY DIVIDEND FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, if any, and redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees, if any, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six month period from May 1, 2014 through October 31, 2014 and held for the entire period.
Actual Expenses
The first line of each accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of each accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), if any, or redemption fees. Therefore, the second line of the accompanying 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.
3
QUALITY DIVIDEND FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
Quality Dividend Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Class A Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,057.60 | $ | 6.43 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.95 | 6.31 | ||||||||||||
Class C Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,053.70 | $ | 10.30 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.17 | 10.11 |
* | Expenses are equal to an annualized expense ratio for the six month period ended October 31, 2014 of 1.24% and 1.99% for Class A and Class C Shares, respectively, for the Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. The Fund’s ending account values on the first line in the table are based on the actual six month total returns for the Fund of 5.76% and 5.37% for Class A and Class C Shares, respectively. |
4
QUALITY DIVIDEND FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
COMMON STOCKS: | ||||||||||
Oil, Gas & Consumable Fuels | 20.5 | % | $ | 8,261,888 | ||||||
Diversified Telecommunication Services | 10.3 | 4,152,036 | ||||||||
REIT | 7.2 | 2,890,227 | ||||||||
Electric Utilities | 7.1 | 2,846,216 | ||||||||
Pharmaceuticals | 6.9 | 2,763,677 | ||||||||
Energy Equipment & Services | 3.6 | 1,470,089 | ||||||||
Multi-Utilities | 3.6 | 1,464,630 | ||||||||
Computers & Peripherals | 3.6 | 1,453,132 | ||||||||
Chemicals | 3.6 | 1,443,567 | ||||||||
Communication Equipment | 3.5 | 1,399,121 | ||||||||
Tobacco | 3.5 | 1,393,007 | ||||||||
Household Products | 3.4 | 1,392,151 | ||||||||
Software | 3.4 | 1,389,297 | ||||||||
Hotel, Restaurants & Leisure | 3.4 | 1,383,923 | ||||||||
Industrial Conglomerates | 3.4 | 1,373,970 | ||||||||
Multiline Retail | 3.4 | 1,364,244 | ||||||||
Commercial Banks | 3.4 | 1,354,571 | ||||||||
Food Products | 3.3 | 1,344,905 | ||||||||
Other Assets in Excess of Liabilities | 2.9 | 1,171,825 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 40,312,476 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
5
QUALITY DIVIDEND FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 97.1% |
| |||||||
Chemicals — 3.6% |
| |||||||
The Dow Chemical Co. | 29,222 | $ | 1,443,567 | |||||
|
| |||||||
Commercial Banks — 3.4% |
| |||||||
Bank of Montreal (Canada) | 18,658 | 1,354,571 | ||||||
|
| |||||||
Communications Equipment — 3.5% |
| |||||||
Cisco Systems, Inc. | 57,177 | 1,399,121 | ||||||
|
| |||||||
Computers & Peripherals — 3.6% |
| |||||||
Seagate Technology PLC (Ireland) | 23,128 | 1,453,132 | ||||||
|
| |||||||
Diversified Telecommunication Services — 10.3% |
| |||||||
AT&T, Inc. | 39,828 | 1,387,608 | ||||||
BCE, Inc. (Canada) | 31,102 | 1,383,106 | ||||||
Verizon Communications, Inc. | 27,489 | 1,381,322 | ||||||
|
| |||||||
4,152,036 | ||||||||
|
| |||||||
Electric Utilities — 7.1% |
| |||||||
Duke Energy Corp. | 17,694 | 1,453,562 | ||||||
The Southern Co. | 30,040 | 1,392,654 | ||||||
|
| |||||||
2,846,216 | ||||||||
|
| |||||||
Energy Equipment & Services — 3.6% |
| |||||||
Ensco PLC (United Kingdom) | 36,218 | 1,470,089 | ||||||
|
| |||||||
Food Products — 3.3% |
| |||||||
Kraft Foods Group, Inc. | 23,867 | 1,344,905 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.4% |
| |||||||
McDonald’s Corp. | 14,765 | 1,383,923 | ||||||
|
| |||||||
Household Products — 3.4% |
| |||||||
Kimberly-Clark Corp. | 12,183 | 1,392,151 | ||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Industrial Conglomerates — 3.4% |
| |||||||
General Electric Co. | 53,234 | $ | 1,373,970 | |||||
|
| |||||||
Multiline Retail — 3.4% |
| |||||||
Target Corp. | 22,068 | 1,364,244 | ||||||
|
| |||||||
Multi-Utilities — 3.6% |
| |||||||
Consolidated Edison, Inc. | 23,116 | 1,464,630 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 20.5% |
| |||||||
BP PLC, SP ADR | 32,384 | 1,407,409 | ||||||
Buckeye Partners L.P. † | 17,501 | 1,319,575 | ||||||
Enbridge Energy Partners L.P. † | 37,138 | 1,339,568 | ||||||
Energy Transfer Partners L.P. † | 22,358 | 1,440,526 | ||||||
Kinder Morgan, Inc. | 35,413 | 1,370,483 | ||||||
Royal Dutch Shell PLC, ADR | 19,283 | 1,384,327 | ||||||
|
| |||||||
8,261,888 | ||||||||
|
| |||||||
Pharmaceuticals — 6.9% |
| |||||||
GlaxoSmithKline PLC, SP ADR | 29,943 | 1,362,107 | ||||||
Pfizer, Inc. | 46,797 | 1,401,570 | ||||||
|
| |||||||
2,763,677 | ||||||||
|
| |||||||
REIT — 7.2% |
| |||||||
Digital Realty Trust, Inc. | 20,888 | 1,441,063 | ||||||
Omega Healthcare Investors, Inc. | 37,976 | 1,449,164 | ||||||
|
| |||||||
2,890,227 | ||||||||
|
| |||||||
Software — 3.4% |
| |||||||
Microsoft Corp. | 29,591 | 1,389,297 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
6
QUALITY DIVIDEND FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Tobacco — 3.5% |
| |||||||
Philip Morris International, Inc. | 15,650 | $ | 1,393,007 | |||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $36,716,767) | 39,140,651 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 97.1% |
| |||||||
(Cost $36,716,767) | 39,140,651 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.9% |
| 1,171,825 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 40,312,476 | ||||||
|
|
ADR | American Depositary Receipt |
L.P. | Limited Partnership |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
SP ADR Sponsored Depositary Receipt
† | Master Limited Partnerships |
The accompanying notes are an integral part of the financial statements.
7
QUALITY DIVIDEND FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | ||||
Investments, at value (Cost $36,716,767) | $ | 39,140,651 | ||
Cash | 553,927 | |||
Receivable for capital shares sold | 613,851 | |||
Dividends and interest receivable | 115,570 | |||
Prepaid expenses and other assets | 15,599 | |||
|
| |||
Total assets | 40,439,598 | |||
|
| |||
Liabilities | ||||
Payable for transfer agent fees | 49,189 | |||
Payable for administration and accounting fees | 22,465 | |||
Payable for distribution fees | 13,124 | |||
Payable for audit fees | 11,995 | |||
Payable for custodian fees | 10,516 | |||
Payable for Investment Adviser | 2,918 | |||
Payable for shareholder servicing fees | 2,581 | |||
Payable for capital shares redeemed | 35 | |||
Accrued expenses | 14,299 | |||
|
| |||
Total liabilities | 127,122 | |||
|
| |||
Net Assets | $ | 40,312,476 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 35,068 | ||
Paid-in capital | 37,269,328 | |||
Accumulated net investment income | 208,071 | |||
Accumulated net realized gain from investments | 376,125 | |||
Net unrealized appreciation on investments | 2,423,884 | |||
|
| |||
Net Assets | $ | 40,312,476 | ||
|
|
Class A: | ||||
Net asset value, redemption price per share ($27,230,787 / 2,368,755 shares) | $11.50 | |||
|
| |||
Maximum offering price per share (100/94.25 of $11.50) | $12.20 | |||
|
| |||
Class C: | ||||
Net asset value, offering and redemption price per share ($13,081,689 / 1,138,011 shares) | $11.50 | |||
|
|
The accompanying notes are an integral part of the financial statements.
8
QUALITY DIVIDEND FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Dividends | $ | 667,116 | ||
Less: foreign taxes withheld | (11,830 | ) | ||
Interest | 48 | |||
|
| |||
Total investment income | 655,334 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 101,852 | |||
Distribution fees (Class C) (Note 2) | 39,755 | |||
Administration and accounting fees (Note 2) | 38,350 | |||
Transfer agent fees (Note 2) | 38,258 | |||
Distribution fees (Class A) (Note 2) | 29,186 | |||
Registration and filing fees | 27,951 | |||
Trustees’ and officers’ fees (Note 2) | 13,599 | |||
Legal fees | 12,179 | |||
Custodian fees (Note 2) | 11,611 | |||
Audit fees | 11,582 | |||
Shareholder Servicing fees | 13,252 | |||
Printing and shareholder reporting fees | 8,597 | |||
Other expenses | 3,756 | |||
|
| |||
Total expenses before waivers | 349,928 | |||
|
| |||
Less: waivers (Note 2) | (99,680 | ) | ||
|
| |||
Net expenses after waivers | 250,248 | |||
|
| |||
Net investment income | 405,086 | |||
|
| |||
Net realized and unrealized gain from investments: | ||||
Net realized gain from investments | 376,127 | |||
Net change in unrealized appreciation on investments | 982,934 | |||
|
| |||
Net realized and unrealized gain on investments | 1,359,061 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 1,764,147 | ||
|
|
The accompanying notes are an integral part of the financial statements.
9
QUALITY DIVIDEND FUND
Statement of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014* | |||||||||
Increase in net assets from operations | ||||||||||
Net investment income | $ | 405,086 | $ | 227,727 | ||||||
Net realized gain from investments | 376,127 | 92,959 | ||||||||
Net change in unrealized appreciation on investments | 982,934 | 1,440,950 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 1,764,147 | 1,761,636 | ||||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Net investment income: | ||||||||||
Class A | (244,813 | ) | (118,711 | ) | ||||||
Class C | (71,842 | ) | (27,405 | ) | ||||||
|
|
|
| |||||||
Total net investment income | (316,655 | ) | (146,116 | ) | ||||||
|
|
|
| |||||||
Net realized capital gain: | ||||||||||
Class A | (63,653 | ) | — | |||||||
Class C | (29,308 | ) | — | |||||||
|
|
|
| |||||||
Total net realized capital gain | (92,961 | ) | — | |||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (409,616 | ) | (146,116 | ) | ||||||
|
|
|
| |||||||
Increase in Net Assets Derived from Capital Share Transactions (Note 4) | 10,124,154 | 27,218,271 | ||||||||
|
|
|
| |||||||
Total increase in net assets | 11,478,685 | 28,833,791 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 28,833,791 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 40,312,476 | $ | 28,833,791 | ||||||
|
|
|
| |||||||
Accumulated net investment income, end of period | $ | 208,071 | $ | 119,640 | ||||||
|
|
|
|
* | The Fund commenced operations on September 30, 2013. |
The accompanying notes are an integral part of the financial statements.
10
QUALITY DIVIDEND FUND
Financial Highlights
Contained below is per share operating performance data for each Class A Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class A | ||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period September 30, 2013* to April 30, 2014 | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 11.02 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income(1) | 0.15 | 0.16 | ||||||||
Net realized and unrealized gain on investments | 0.48 | 0.96 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 0.63 | 1.12 | ||||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | (0.12 | ) | (0.10 | ) | ||||||
Net realized capital gain | (0.03 | ) | — | |||||||
|
|
|
| |||||||
Total investment income | (0.15 | ) | (0.10 | ) | ||||||
|
|
|
| |||||||
Redemption Fees | — | (2) | — | (2) | ||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 11.50 | $ | 11.02 | ||||||
|
|
|
| |||||||
Total investment return(3) | 5.76 | % | 11.27 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (000’s omitted) | $ | 27,231 | $ | 20,745 | ||||||
Ratio of expenses to average net assets(4) | 1.24 | % | 1.24 | % | ||||||
Ratio of expenses to average net assets without waivers and expense | 1.83 | % | 2.97 | % | ||||||
Ratio of net investment income to average net assets(4) | 2.62 | % | 2.65 | % | ||||||
Portfolio turnover rate(6) | 16.10 | % | 10.71 | % |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. Total investment return does not reflect the impact of the maximum front-end sales load of 5.75%. If reflected, the return would be lower. |
(4) | Annualized. |
(5) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
11
QUALITY DIVIDEND FUND
Financial Highlights
Contained below is per share operating performance data for each Class C Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class C | ||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period October 1, 2013* to April 30, 2014 | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 11.02 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income(1) | 0.11 | 0.12 | ||||||||
Net realized and unrealized gain on investments | 0.48 | 0.96 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 0.59 | 1.08 | ||||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | (0.08 | ) | (0.06 | ) | ||||||
Net realized capital gain | (0.03 | ) | — | |||||||
|
|
|
| |||||||
Total dividends and distributions | (0.11 | ) | (0.06 | ) | ||||||
|
|
|
| |||||||
Redemption Fees | — | (2) | — | (2) | ||||||
Net asset value, end of period | $ | 11.50 | $ | 11.02 | ||||||
|
|
|
| |||||||
Total investment return(3) | 5.37 | % | 10.84 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (000’s omitted) | $ | 13,082 | $ | 8,089 | ||||||
Ratio of expenses to average net assets(4) | 1.99 | % | 1.99 | % | ||||||
Ratio of expenses to average net assets without waivers and expense | 2.57 | % | 3.72 | % | ||||||
Ratio of net investment income to average net assets(4) | 1.87 | % | 1.46 | % | ||||||
Portfolio turnover rate(6) | 16.10 | % | 10.71 | % |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. Total return does not reflect any applicable sales charge. |
(4) | Annualized. |
(5) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
12
QUALITY DIVIDEND FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Quality Dividend Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), which commenced investment operations on September 30, 2013. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares; Class A, Class C and Institutional Class Shares. Class A shares are subject to a front end sales charge. Front-end sales charges may be reduced or waived under certain circumstances. A contingent deferred sales charge (“CDSC”), as a percentage of the lower of the original purchase price or net asset value at redemption, of 1.00% may be imposed on full or partial redemptions of Class A Shares made within twelve months of purchase where (i) $1 million or more of Class A Shares was purchased without an initial sales charge and (ii) the selling broker-dealer received a commission for such sale. A CDSC of 1% may apply to Class C Shares when shares are redeemed within 12 months after initial purchase. As of October 31, 2014, Institutional Class Shares have not been issued.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost which approximates fair value. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Options are valued at last sale price. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
13
QUALITY DIVIDEND FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Market Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Investments in Securities* | $ | 39,140,651 | $ | 39,140,651 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
* | Please refer to Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
14
QUALITY DIVIDEND FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
MLP Common Units — Master Limited Partnership (“MLP”) common units represent limited partnership interests in the MLP. Common units are generally listed and traded on the U.S. securities exchanges or OTC with their value fluctuating predominantly based on the success of the MLP. Unlike owners of common stock of a corporation, owners of MLP common units have limited voting rights and have no ability to annually elect directors. MLPs generally distribute all available cash flow (cash flow from operations less maintenance capital expenditures) in the form of quarterly distributions. Common unit holders have first priority to receive quarterly cash distributions up to the minimum quarterly distribution and have arrearage
15
QUALITY DIVIDEND FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
rights. In the event of liquidation, common unit holders have preference over subordinated units, but not debt holders or preferred unit holders, to the remaining assets of the MLP.
Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid quarterly to shareholders. Distributions, if any, of net short-term capital gain and net capital gain (the excess of net long-term capital gain over the short-term capital loss) realized by the Fund, after deducting any available capital loss carryovers are declared and paid to its shareholders annually. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
Choice Financial Partners, Inc., doing business as EquityCompass Strategies (“EquityCompass” or the “Adviser”) serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 0.60% of the Fund’s average daily net assets. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 0.99% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in effect until September 30, 2016 unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
16
QUALITY DIVIDEND FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
At October 31, 2014, the amount of potential recovery was as follows:
Expiration
| |||||
April 30, 2017 | April 30, 2018 | ||||
$132,314 | $99,680 |
For the six months ended October 31, 2014, the advisory fees accrued were $101,852 and fees waived by the Adviser were $99,680.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.
For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
BNY Mellon and the Custodian have the ability to recover amounts previously waived if the Fund terminates its agreements with BNY Mellon or the Custodian within three years of signing the agreements.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Class A and Class C Shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Class A and Class C Shares plan, the Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25% and 1.00%, on an annualized basis, of the average daily net assets of the Fund’s Class A and Class C Shares, respectively.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during
17
QUALITY DIVIDEND FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
the six months ended October 31, 2014 was $2,240. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 15,252,551 | $ | 5,376,279 |
4. Capital Share Transactions
For the six months ended October 31, 2014 and the period from September 30, 2013, commencement of operations, to October 31, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Sales | 655,835 | $ | 7,425,912 | 1,891,844 | $ | 19,696,744 | ||||||||||
Reinvestments | 23,432 | 266,676 | 9,576 | 100,233 | ||||||||||||
Redemption Fees* | — | 7,615 | — | 153 | ||||||||||||
Redemptions | (193,389 | ) | (2,151,036 | ) | (18,543 | ) | (196,132 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 485,878 | $ | 5,549,167 | 1,882,877 | $ | 19,600,998 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Sales | 425,185 | $ | 4,809,542 | 742,148 | $ | 7,703,227 | ||||||||||
Reinvestments | 7,594 | 86,620 | 2,171 | 22,359 | ||||||||||||
Redemption Fees* | — | 3,134 | — | 62 | ||||||||||||
Redemptions | (28,962 | ) | (324,309 | ) | (10,125 | ) | (108,375 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 403,817 | $ | 4,574,987 | 734,194 | $ | 7,617,273 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Increase | 889,695 | $ | 10,124,154 | 2,617,071 | $ | 27,218,271 | ||||||||||
|
|
|
|
|
|
|
|
* There is a 1.00% redemption fee that may be charged on shares redeemed which have been held for 60 days or less. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital.
18
QUALITY DIVIDEND FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the period ended April 30, 2014, the tax character of distributions paid by the Fund was $146,116 of ordinary income dividends. Distributions from short-term capital gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | Other Temporary Differences | |||||||||||||||||||
$— | $176,017 | $1,625 | $1,486,074 | $ | (10,167 | ) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 36,716,767 | ||||
|
| |||||
Gross unrealized appreciation | $ | 3,031,543 | ||||
Gross unrealized depreciation | (607,659 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 2,423,884 | ||||
|
|
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and April 30 and late year ordinary losses ((i) ordinary losses between January 1 and April 30, and (ii) specified ordinary and currency losses between November 1 and April 30) as occurring on the first day of the following tax year. For the period ended April 30, 2014, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until May 1, 2014. For the period ended April 30, 2014, the Fund had no capital loss deferrals and no late year ordinary loss.
19
QUALITY DIVIDEND FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Fund did not have any capital loss carryforwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
20
QUALITY DIVIDEND FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 201-5799 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330
21
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[THIS PAGE INTENTIONALLY LEFT BLANK.]
Investment Adviser
Choice Financial Partners, Inc.
d/b/a EquityCompass Strategies
501 North Broadway
St. Louis, MO 63102
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
QUALITY DIVIDEND
FUND
of
FundVantage Trust
Class A Shares (QDVAX)
Class C Shares (QDVCX)
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Quality Dividend Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Quality Dividend Fund.
SIRIOS FOCUS FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Total Returns For the Periods Ended October 31, 2014† | ||||||
Six Months | Since Inception* | |||||
Institutional Class | 6.51% | 6.30% | ||||
S&P 500® Index | 6.42% | 10.20% |
† | Not Annualized. |
* | The Sirios Focus Fund (the “Fund”) commenced operations on December 20, 2013. Benchmark performance is from the inception date of the Fund only and is not the inception date of the benchmark itself. The benchmark does not reflect any expenses or transaction costs. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 640-5704. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated September 1, 2014, are 1.64% and 1.51%, respectively, for Institutional Class Shares of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Sirios Capital Management, L.P. (“Sirios” or the “Adviser”) has contractually agreed to waive or otherwise reduce its annual compensation received from the Fund to the extent that the Fund’s “Total Annual Fund Operating Expenses,” excluding taxes, any class-specific fees and expenses (such as Rule 12b-1 distribution fees), “Acquired Fund Fees and Expenses,” interest, extraordinary items and brokerage commissions, exceed 1.50% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2017, unless the Board of Trustees approves its earlier termination. The Adviser may recoup any expenses or fees it has reimbursed within a three-year period from the year in which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund intends to evaluate performance as compared to that of the Standard & Poor’s 500®Composite Price Index (“S&P 500®”). The S&P 500®is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
The Fund is non-diversified and invests in a limited number of securities. As a result, the Fund’s investment performance may be more volatile, as it may be more susceptible to risks associated with a single economic, political, or regulatory event than a fund that invests in a greater number of issuers.
1
SIRIOS FOCUS FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from May 1, 2014, through October 31, 2014 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line 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 second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying 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.
2
SIRIOS FOCUS FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
Sirios Focus Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Institutional Class Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,065.10 | $ | 7.70 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.74 | 7.53 |
* | Expenses are equal to an annualized expense ratio for the six month period ended October 31, 2014 of 1.48% for the Institutional Class Shares, for the Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184 days), then divided by 365 to reflect the period. The Fund’s ending account values on the first line in the table are based on the actual six month total return for the Fund of 6.51% for the Institutional Class. |
3
SIRIOS FOCUS FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||
COMMON STOCKS: | ||||||||
Financials | 18.9% | $ | 12,441,550 | |||||
Communications | 18.6 | 12,301,786 | ||||||
Industrials | 17.3 | 11,409,638 | ||||||
Health Care | 13.4 | 8,846,865 | ||||||
Consumer Discretionary | 9.4 | 6,230,888 | ||||||
Consumer Staples | 7.5 | 4,936,020 | ||||||
Materials | 2.7 | 1,800,898 | ||||||
Warrants | 0.6 | 401,623 | ||||||
Short-Term Investments | 11.8 | 7,769,289 | ||||||
Liabilities In Excess of Other Assets | (0.2) | (152,177) | ||||||
|
|
|
| |||||
NET ASSETS | 100.0% | $ | 65,986,380 | |||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
4
SIRIOS FOCUS FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 87.8% |
| |||||||
Communications — 18.6% |
| |||||||
DISH Network Corp., Class A* | 39,645 | $ | 2,523,404 | |||||
Google, Inc., Class A* | 1,903 | 1,080,657 | ||||||
Time Warner, Inc. | 33,485 | 2,661,053 | ||||||
T-Mobile US, Inc.* | 64,522 | 1,883,397 | ||||||
Verizon Communications, Inc. | 51,146 | 2,570,087 | ||||||
Viacom, Inc., Class B | 21,783 | 1,583,188 | ||||||
|
| |||||||
12,301,786 | ||||||||
|
| |||||||
Consumer Discretionary — 9.4% |
| |||||||
Lithia Motors, Inc., Class A | 2,018 | 156,637 | ||||||
Penske Automotive Group, Inc. | 21,777 | 985,192 | ||||||
Service Corp. International | 109,476 | 2,394,240 | ||||||
Whirlpool Corp. | 15,663 | 2,694,819 | ||||||
|
| |||||||
6,230,888 | ||||||||
|
| |||||||
Consumer Staples — 7.5% |
| |||||||
Constellation Brands, Inc., Class A* | 53,922 | 4,936,020 | ||||||
|
| |||||||
Financials — 18.9% |
| |||||||
Bank of America Corp. | 186,753 | 3,204,682 | ||||||
Colony Financial, Inc. REIT | 43,579 | 970,940 | ||||||
Comerica, Inc. | 50,687 | 2,419,797 | ||||||
JPMorgan Chase & Co. | 10,633 | 643,084 | ||||||
NorthStar Realty Finance Corp. REIT | 143,656 | 2,669,128 | ||||||
Signature Bank* | 20,919 | 2,533,919 | ||||||
|
| |||||||
12,441,550 | ||||||||
|
| |||||||
Health Care — 13.4% |
| |||||||
Becton Dickinson and Co. | 16,098 | 2,071,813 | ||||||
Gilead Sciences, Inc.* | 11,669 | 1,306,928 | ||||||
HCA Holdings, Inc.* | 5,783 | 405,099 | ||||||
Merck & Co., Inc. | 14,182 | 821,705 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care — (Continued) |
| |||||||
Tenet Healthcare Corp.* | 5,505 | $ | 308,555 | |||||
Universal Health Services, Inc., Class B | 9,395 | 974,355 | ||||||
Valeant Pharmaceuticals International, Inc. (Canada)* | 22,237 | 2,958,410 | ||||||
|
| |||||||
8,846,865 | ||||||||
|
| |||||||
Industrials — 17.3% |
| |||||||
Acuity Brands, Inc. | 15,379 | 2,144,294 | ||||||
Airbus Group NV (France) | 26,319 | 1,569,925 | ||||||
Greenbrier Cos, Inc. (The) | 5,691 | 355,915 | ||||||
JB Hunt Transport Services, Inc. | 3,283 | 261,885 | ||||||
Kansas City Southern | 7,082 | 869,599 | ||||||
Old Dominion Freight Line, Inc.* | 23,986 | 1,747,860 | ||||||
Precision Castparts Corp. | 8,062 | 1,779,283 | ||||||
Saia, Inc.* | 21,624 | 1,060,009 | ||||||
Union Pacific Corp. | 13,919 | 1,620,868 | ||||||
|
| |||||||
11,409,638 | ||||||||
|
| |||||||
Materials — 2.7% |
| |||||||
Sherwin-Williams Co. (The) | 7,845 | 1,800,898 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 57,967,645 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
5
SIRIOS FOCUS FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
WARRANTS — 0.6% |
| |||||||
United States — 0.6% |
| |||||||
JPMorgan Chase & Co., strike price @ $42.42, Expires 10/28/18* | 20,284 | $ | 401,623 | |||||
|
| |||||||
TOTAL WARRANTS | ||||||||
(Cost $371,633) | 401,623 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 11.8% |
| |||||||
Money Market Fund — 5.7% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, | 3,772,293 | 3,772,293 | ||||||
|
| |||||||
Par Value | ||||||||
U.S. Treasury Obligations — 6.1% |
| |||||||
U.S. Treasury Bill | $ | 4,000,000 | 3,996,996 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,769,982) | 7,769,289 | |||||||
|
|
Value | ||||||
TOTAL INVESTMENTS - 100.2% | ||||||
(Cost $62,148,798) | $ | 66,138,557 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)% | (152,177 | ) | ||||
|
| |||||
NET ASSETS - 100.0% | $ | 65,986,380 | ||||
|
|
* | Non-income producing. |
(a) | Rate periodically changes. Rate disclosed is the daily yield on October 31, 2014. |
(b) | Short-term investments reflect the annualized effective yield on the date of purchase for discounted investments. |
The accompanying notes are an integral part of the financial statements.
6
SIRIOS FOCUS FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Forward foreign currency contracts outstanding as of October 31, 2014 were as follows:
Currency Purchased | Currency Sold | Settle Date | Counterparty | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
EUR | 1,125,000 | USD | 1,430,402 | 01/15/15 | BNY | $ (19,890) | ||||||||||||||
USD | 3,067,687 | EUR | 2,380,000 | 01/15/15 | BNY | 83,671 | ||||||||||||||
| ||||||||||||||||||||
| Net unrealized appreciation on forward foreign currency contracts: | $ 63,781 | ||||||||||||||||||
|
Legend
BNY | Bank of New York Mellon |
EUR | Euro |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
7
SIRIOS FOCUS FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | ||||
Investments, at value (Cost $62,148,798) | $ | 66,138,557 | ||
Cash | 710 | |||
Receivable for investments sold | 580,686 | |||
Receivable for capital shares sold | 6,600,000 | |||
Dividends and interest receivable | 17,748 | |||
Prepaid expenses and other assets | 21,554 | |||
Forward foreign currency contracts appreciation | 83,671 | |||
|
| |||
Total assets | 73,442,926 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 7,313,870 | |||
Payable to Investment Adviser | 30,600 | |||
Payable for administration and accounting fees | 21,674 | |||
Payable for custodian fees | 21,034 | |||
Payable for transfer agent fees | 10,091 | |||
Forward foreign currency contracts depreciation | 19,890 | |||
Accrued expenses | 39,387 | |||
|
| |||
Total liabilities | 7,456,546 | |||
|
| |||
Net Assets | $ | 65,986,380 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 62,099 | ||
Paid-in capital | 61,290,189 | |||
Accumulated net investment income | 1,695,375 | |||
Accumulated net realized loss from investments | (1,114,847 | ) | ||
Net unrealized appreciation on investments, forward foreign currency contracts and translation of assets and liabilities denominated in foreign currency | 4,053,564 | |||
|
| |||
Net Assets | $ | 65,986,380 | ||
|
| |||
Institutional Class: | ||||
Shares Outstanding: | 6,209,852 | |||
|
| |||
Net asset value, offering and redemption price per share ($65,986,380 / 6,209,852 shares) | $ | 10.63 | ||
|
|
The accompanying notes are an integral part of the financial statements.
8
SIRIOS FOCUS FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Dividends | $ | 455,983 | ||
Less: foreign taxes withheld | (3,456 | ) | ||
Interest | 1,496 | |||
|
| |||
Total investment income | 454,023 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 328,779 | |||
Administration and accounting fees (Note 2) | 38,420 | |||
Legal fees | 19,849 | |||
Registration and filing fees | 15,708 | |||
Transfer agent fees (Note 2) | 14,561 | |||
Audit fees | 14,156 | |||
Custodian fees (Note 2) | 12,328 | |||
Printing and shareholder reporting fees | 9,625 | |||
Trustees’ and officers’ fees (Note 2) | 9,022 | |||
Other expenses | 3,001 | |||
|
| |||
Total expenses before recoupment | 465,449 | |||
|
| |||
Plus: Expenses recouped (Note 2) | 21,856 | |||
|
| |||
Net expenses after recoupment | 487,305 | |||
|
| |||
Net investment loss | (33,282 | ) | ||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized loss from investments | (459,754 | ) | ||
Net realized gain from foreign currency transactions* | 90,295 | |||
Net change in unrealized appreciation on investments | 4,476,373 | |||
Net change in unrealized depreciation on foreign exchange translation | (279 | ) | ||
Net change in unrealized appreciation on forward foreign currency contracts** | 137,198 | |||
|
| |||
Net realized and unrealized gain on investments | 4,243,833 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 4,210,551 | ||
|
|
* | Includes $138,893 realized loss on closed forward foreign currency contracts. Primary risk is foreign currency contracts. |
** | Primary risk is foreign currency contracts. |
The accompanying notes are an integral part of the financial statements.
9
SIRIOS FOCUS FUND
Statement of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014* | |||||||||
Increase in net assets from operations: | ||||||||||
Net investment income/(loss) | $ | (33,282 | ) | $ | 1,798,450 | |||||
Net realized loss from investments, forward foreign exchange currency contracts and foreign currency transactions | (369,459 | ) | (827,978 | ) | ||||||
Net change is unrealized appreciation/(depreciation) from investments, forward foreign currency contracts and foreign currency translations | 4,613,292 | (559,728 | ) | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 4,210,551 | 410,744 | ||||||||
|
|
|
| |||||||
Increase/(Decrease) in Net Assets Derived from Capital Share Transactions (Note 4) | (19,300,000 | ) | 80,665,085 | |||||||
|
|
|
| |||||||
Total increase/(decrease) in net assets | (15,089,449 | ) | 81,075,829 | |||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 81,075,829 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 65,986,380 | $ | 81,075,829 | ||||||
|
|
|
| |||||||
Accumulated net investment income, end of period | $ | 1,695,375 | $ | 1,728,657 | ||||||
|
|
|
|
* | The Fund commenced operations on December 20, 2013. |
The accompanying notes are an integral part of the financial statements.
10
SIRIOS FOCUS FUND
Financial Highlights
Contained below is per share operating performance data, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class | ||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period December 20, 2013* to April 30, 2014 | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 9.98 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income/(loss)(1) | (0.01 | ) | 0.33 | (2) | ||||||
Net realized and unrealized gain/(loss) on investments | 0.66 | (0.35 | ) | |||||||
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | 0.65 | (0.02 | ) | |||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 10.63 | $ | 9.98 | ||||||
|
|
|
| |||||||
Total investment return(3) | 6.51 | % | (0.20 | )% | ||||||
Ratios/Supplemental Data | ||||||||||
Net assets, end of period (000’s omitted) | $ | 65,986 | $ | 81,076 | ||||||
Ratio of expenses to average net assets(4) | 1.48 | % | 1.50 | % | ||||||
Ratio of expenses to average net assets without waivers, expense reimbursements | 1.42 | % | 1.63 | % | ||||||
Ratio of net investment income/(loss) to average net assets(4) | (0.10 | )% | 9.29 | %(2) | ||||||
Portfolio turnover rate(6) | 103.31 | % | 76.17 | % |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | For the period ended April 30, 2014, net investment income per share reflects the receipt of a special dividend which amounted to $0.35 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been (0.62)%. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | During the period, certain fees were waived or recouped. If such fee waivers /recoupments had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
11
SIRIOS FOCUS FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The Sirios Focus Fund (the “Fund”) is a non-diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), which commenced investment operations on December 20, 2013. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers Class A, Class C, Institutional Class and Retail Class Shares. As of October 31, 2014, Class A, Class C and Retail Class Shares have not been issued.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. The Fund’s equity securities listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter market are valued at their closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the FundVantage Trust’s Board of Trustees (“Board of Trustees”). Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, which approximates market value. Any assets held by the Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when the Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Fund. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Forward exchange contracts are valued at the forward rate. Investments in any mutual fund are valued at their respective NAVs as determined by those mutual funds each business day (which may use fair value pricing as disclosed in their prospectuses). Securities that do not have a readily available current market value are valued in good faith under the direction of the Board of Trustees. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to the Adviser the responsibility for applying the valuation methods. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
12
SIRIOS FOCUS FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Fair Value Measurements — The inputs and valuations techniques used to measure fair value of the Fund’s net assets are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The fair value of a Fund’s bonds are generally based on quotes received from brokers of independent pricing services. Bonds with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s assets carried at fair value:
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks* | $ | 57,967,645 | $ | 57,967,645 | $ | — | $ | — | ||||||||
Warrants | 401,623 | — | 401,623 | — | ||||||||||||
Short-Term Investments | 7,769,289 | 3,772,293 | 3,996,996 | — | ||||||||||||
Derivatives: | ||||||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 83,671 | — | 83,671 | — | ||||||||||||
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Total Assets | $ | 66,222,228 | $ | 61,739,938 | $ | 4,482,290 | $ | — | ||||||||
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13
SIRIOS FOCUS FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Derivatives: | ||||||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | $ | (19,890 | ) | $ | — | $ (19,890) | $ | — | ||||||||
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Total Liabilities | $ | (19,890 | ) | $ | — | $ (19,890) | $ | — | ||||||||
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* | Please refer to Portfolio of Investments for further details on portfolio holdings. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also require the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
14
SIRIOS FOCUS FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance un U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums are recorded on a daily basis using the effective yield method except for short term securities, which records discounts and premiums on a straight-line basis. Dividends are recorded on the ex-dividend date. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investment securities in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards
15
SIRIOS FOCUS FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Forward Foreign Currency Contracts — A forward foreign currency contract (“Forward Contract”) is a commitment to buy or sell a specific amount of a foreign currency at a negotiated price on a specified future date. Forward Contracts can help a fund manage the risk of changes in currency exchange rates. These contracts are marked-to-market daily at the applicable forward currency translation rates. A fund records realized gains or losses at the time the Forward Contract is closed. A Forward Contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. The fund’s maximum risk of loss from counterparty credit risk related to Forward Contracts is the fair value of the contract.
For the six months ended October 31, 2014, the Fund’s average volume of forward foreign currency contracts is as follows:
Forward Foreign | Forward Foreign Currency Contracts - Receivable (Value At Trade Date) | |
$(2,557,758) | $2,557,758 |
Currency Risk — The Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which the Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect the Fund’s NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for the Fund is determined on the basis of U.S. dollars, the Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of the Fund’s holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of the Fund’s holdings in foreign securities.
16
SIRIOS FOCUS FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
2. Transactions with Affiliates and Related Parties
Sirios Capital Management, L.P. (“Sirios” or the “Adviser”) serves as the investment advisor to the Fund pursuant to an investment advisory agreement with the Trust (“Advisory Agreement”). For its services, the Adviser earns a monthly fee at the annual rate of 1.00% of the Fund’s average daily net assets. The Adviser has contractually agreed to waive or otherwise reduce its annual compensation received from the Fund to the extent that the Fund’s “Total Annual Fund Operating Expenses,” excluding taxes, any class-specific fees and expenses (such as Rule 12b-1 distribution fees), “Acquired Fund Fees and Expenses,” interest, extraordinary items and brokerage commissions, exceed 1.50% of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2017, unless the Board of Trustees approves its earlier termination. The Adviser may recoup any expenses or fees it has reimbursed within a three-year period from the year in which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation. As of October 31, 2014, the amount of potential recovery is as follows:
Expiration
April 30, 2017
$3,006
As of October 31, 2014, investment advisory fees payable to the Adviser were $30,600. For the six months ended October 31, 2014, the Adviser recouped fees of $21,856 waived in prior periods.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”), serves as administrator and transfer agent for the Fund.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average net assets, subject to certain minimum monthly fees.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
17
SIRIOS FOCUS FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six months ended October 31, 2014 was $3,562. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 58,796,301 | $ | 73,550,230 |
4. Capital Share Transactions
For the six months ended October 31, 2014 and the period ended April 30, 2014 transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Sales | 2,493,718 | $ | 26,050,000 | 9,654,929 | $ | 95,864,794 | ||||||||||
Redemptions | (4,409,649 | ) | (45,350,000 | ) | (1,529,146 | ) | (15,199,709 | ) | ||||||||
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Net Increase (Decrease) | (1,915,931 | ) | $ | (19,300,000 | ) | 8,125,783 | $ | 80,665,085 | ||||||||
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5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial
18
SIRIOS FOCUS FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state, and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the period ended April 30, 2014, the Fund had no ordinary income dividends. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized (Depreciation) | Other Temporary Differences | ||||
$— | $1,942,932 | $— | $(1,511,322) | $(8,069) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 62,148,798 | ||||
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Gross unrealized appreciation | $ | 4,195,015 | ||||
Gross unrealized depreciation | (205,256 | ) | ||||
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Net unrealized depreciation | $ | 3,989,759 | ||||
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Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and April 30 and late year ordinary losses ((i) ordinary losses between January 1 and April 30, and (ii) specified ordinary and currency losses between November 1 and April 30) as occurring on the first day of the following tax year. For the period ended April 30, 2014, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until May 1, 2014. For the period ended April 30, 2014, the Fund had no capital loss deferrals.
Accumulated capital losses represent net capital loss carryovers as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Fund did not have any capital loss carryforwards.
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SIRIOS FOCUS FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
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SIRIOS FOCUS FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 640-5704 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust will file its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q will be available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
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Investment Adviser
Sirios Capital Management, L.P.
One International Place
Boston, MA 02110
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassat Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
SIRIOS FOCUS FUND
of
FundVantage Trust
Institutional Class Shares
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the Sirios Focus Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Sirios Focus Fund.
SKYBRIDGE DIVIDEND VALUE FUND
Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Dear Fellow Shareholder,
We are excited to have completed our first semi-annual period of fund operations.
The S&P 500® was up 8.22% for the six months between April 30th and October 31st. During the same time period, our SkyBridge Dividend Value Fund’s Class I shares (SKYIX) slightly underperformed its benchmark. Underweighting the financial and healthcare sectors hurt relative performance, while underweighting the materials and industrials sectors helped relative performance.
The top three performing companies over the time period were Intel Corporation (represented 4.10% of the fund’s portfolio as of 10/31/14), L Brands, Inc. (0.00%) and Dr. Pepper Snapple Group, Inc. (4.09%). The bottom three performing companies were Tupperware Brands Corporation (represented 2.43% of the fund’s portfolio as of 10/31/14), Mattel, Inc. (2.59%) and Coach, Inc. (2.24%).
The Fund invests primarily in dividend yielding equity securities for which there is no guarantee that a company will increase or continue to pay dividends over time. The Fund is subject to overall market risks which will cause its value to fluctuate over time as well as the Adviser’s ability to select securities to meet its objective.
Our rules-based process allows us to take a long view, and our strategy aims to outperform the S&P 500® over three year rolling time periods (net of fees and expenses). The repeatable investment process seeks to identify profitable, attractively valued securities with appealing dividends and favors long term gains.
We believe the current low interest rate environment generally favors equities over bonds, especially considering the tax advantages of equity dividends over bond income. As always, we thank you for your support.
Sincerely,
Brendan Voege
Portfolio Manager
Current and future portfolio holdings are subject to change and risk.
1
SKYBRIDGE DIVIDEND VALUE FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Total Returns for the Period Ended October 31, 2014† |
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Six Months | Since Inception | |||||
Class A Shares (without sales charge)* | N/A | 1.68 | % | |||
Class A Shares (with sales charge)* | N/A | -4.17 | % | |||
S&P 500® Index | N/A | 5.28 | %(a) | |||
Class C Shares* | N/A | 6.23 | % | |||
S&P 500® Index | N/A | 8.37 | %(b) | |||
Class I Shares** | 4.25% | 6.55 | % | |||
S&P 500® Index | 8.22% | 9.41 | %(c) |
† | Not Annualized. |
* | Class A Shares and Class C Shares of the SkyBridge Dividend Value Fund (the “Fund”) commenced operations on June 13, 2014 and October 17, 2014, respectively. |
** | Class I Shares of the SkyBridge Dividend Value Fund (the “Fund”) commenced operations on April 7, 2014. |
(a) | Benchmark performance is from inception date of Class A Shares of the Fund (June 13, 2014) only and is not the inception date of the benchmark itself. |
(b) | Benchmark performance is from inception date of Class C Shares of the Fund (October 17, 2014) only and is not the inception date of the benchmark itself. |
(c) | Benchmark performance is from inception date of Class I Shares of the Fund (April 7, 2014) only and is not the inception date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 919-6885.
The returns shown for Class A Shares reflect a deduction for the maximum front-end sales charge of 5.75%. The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated September 1, 2014, are 2.32% and 1.25% for Class A Shares, 3.07% and 2.00% for Class C Shares and 2.07% and 1.00% for Class I Shares, respectively, of the Fund’s average daily net assets. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. SkyBridge Capital II, LLC (“SkyBridge” or the “Adviser”) has contractually agreed to reduce its management fee and/or reimburse certain expenses so as to limit expenses. The Expense Limitation (the “Expense Limitation”) will remain in place for three (3) years from the date of the Fund’s inception, unless the Board of Trustees approves its earlier termination. Total returns would be lower had such fees and expenses not been waived and/or reimbursed. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
2
SKYBRIDGE DIVIDEND VALUE FUND
Semi-Annual Report
Performance Data (Concluded)
October 31, 2014
(Unaudited)
All mutual fund investing involves risk, including possible loss of principal. The Fund is new, with limited operating history. Value investing involves the risk that the Fund’s investing in companies believed to be undervalued will not appreciate as anticipated.
The Fund intends to evaluate performance as compared to that of the S&P 500® Index. The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is not possible to invest in an index.
3
SKYBRIDGE DIVIDEND VALUE FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs including sales charges (loads) on purchase payments (if any) or redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period from May 1, 2014 through October 31, 2014 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any) or redemption fees. Therefore, the second line of the accompanying 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.
4
SKYBRIDGE DIVIDEND VALUE FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
SkyBridge Dividend Value | |||||||||||||||
Beginning Account Value |
Ending Account Value |
Expenses Paid | |||||||||||||
Class A Shares† | |||||||||||||||
Actual | $1,000.00 | $ | 1,016.80 | $ | 4.73 | ||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.90 | 6.36 | ||||||||||||
Class C Shares†† | |||||||||||||||
Actual | $1,000.00 | $ | 1,062.30 | $ | 0.62 | ||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.12 | 10.16 | ||||||||||||
Class I Shares | |||||||||||||||
Actual | $1,000.00 | $ | 1,042.50 | $ | 5.15 | ||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.16 | 5.09 |
† | Class A Shares commenced operations on June 13, 2014. |
†† | Class C Shares commenced operations on October 17, 2014. |
* | Expenses are equal to an annualized expense ratio for the period beginning June 13, 2014 and October 17, 2014, commencement of operations, to October 31, 2014 of 1.25% and 2.00% for Class A and Class C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (137 and 11, respectively), then divided by 365 to reflect the period. The Funds’ ending account values on the first line in the table are based on the actual total returns for a Fund since commencement of operations of 1.68% and 6.23% for Class A and Class C, respectively. Hypothetical expenses are as if the Funds had been in existence from May 1, 2014, and are equal to its annualized expense ratios, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by 365 to reflect the period. Expenses are equal to the Fund’s annualized expense ratio for the six-month period ended October 31, 2014 of 1.00% for Class I, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184) then divided by 365 days to reflect the period. The Fund’s ending account value on the first line in the table is based on the actual six-month total return for the Fund of 4.25%. |
5
SKYBRIDGE DIVIDEND VALUE FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||
COMMON STOCKS: | ||||||||
Consumer Staples | 27.6% | $ | 9,726,358 | |||||
Consumer Discretionary | 19.7 | 6,945,570 | ||||||
Information Technology | 16.9 | 5,935,154 | ||||||
Telecommunication Services | 9.9 | 3,494,627 | ||||||
Energy | 9.6 | 3,363,010 | ||||||
Industrials | 6.5 | 2,274,650 | ||||||
Health Care | 6.2 | 2,196,017 | ||||||
Short-Term Investment | 0.4 | 125,951 | ||||||
Other Assets in Excess of Liabilities | 3.2 | 1,134,507 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0% | $ | 35,195,844 | |||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
6
SKYBRIDGE DIVIDEND VALUE FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 96.4% |
| |||||||
Consumer Discretionary — 19.7% |
| |||||||
Coach, Inc. | 22,211 | $ | 763,614 | |||||
GameStop Corp., Class A | 25,464 | 1,088,841 | ||||||
Mattel, Inc. | 28,432 | 883,382 | ||||||
McDonald’s Corp. | 11,255 | 1,054,931 | ||||||
Omnicom Group, Inc. | 15,694 | 1,127,771 | ||||||
Six Flags Entertainment Corp. | 29,685 | 1,196,305 | ||||||
Tupperware Brands Corp. | 13,031 | 830,726 | ||||||
|
| |||||||
6,945,570 | ||||||||
|
| |||||||
Consumer Staples — 27.6% |
| |||||||
Altria Group, Inc. | 28,725 | 1,388,566 | ||||||
Coca-Cola Co. (The) | 27,839 | 1,165,897 | ||||||
Dr Pepper Snapple Group, Inc. | 20,137 | 1,394,487 | ||||||
Kellogg Co. | 16,586 | 1,060,840 | ||||||
Kraft Foods Group, Inc. | 18,659 | 1,051,435 | ||||||
Lorillard, Inc. | 20,137 | 1,238,425 | ||||||
Philip Morris International, Inc. | 13,031 | 1,159,889 | ||||||
Reynolds American, Inc. | 20,137 | 1,266,819 | ||||||
|
| |||||||
9,726,358 | ||||||||
|
| |||||||
Energy — 9.6% |
| |||||||
Chevron Corp. | 9,182 | 1,101,381 | ||||||
CVR Energy, Inc. | 23,989 | 1,165,386 | ||||||
PBF Energy, Inc., Class A | 42,050 | 1,096,243 | ||||||
|
| |||||||
3,363,010 | ||||||||
|
| |||||||
Health Care — 6.2% |
| |||||||
Merck & Co., Inc. | 19,838 | 1,149,414 | ||||||
Pfizer, Inc. | 34,945 | 1,046,603 | ||||||
|
| |||||||
2,196,017 | ||||||||
|
| |||||||
Industrials — 6.5% |
| |||||||
General Electric Co. | 42,050 | 1,085,310 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Industrials — (Continued) |
| |||||||
RR Donnelley & Sons Co. | 68,157 | $ | 1,189,340 | |||||
|
| |||||||
2,274,650 | ||||||||
|
| |||||||
Information Technology — 16.9% |
| |||||||
CA, Inc. | 34,945 | 1,015,502 | ||||||
Cisco Systems, Inc. | 47,678 | 1,166,681 | ||||||
Intel Corp. | 41,165 | 1,400,022 | ||||||
Lexmark International, Inc., Class A | 23,692 | 1,022,547 | ||||||
Symantec Corp. | 53,602 | 1,330,402 | ||||||
|
| |||||||
5,935,154 | ||||||||
|
| |||||||
Telecommunication Services — 9.9% |
| |||||||
AT&T, Inc. | 30,501 | 1,062,655 | ||||||
Verizon Communications, Inc. | 22,211 | 1,116,103 | ||||||
Windstream Holdings, Inc. | 125,560 | 1,315,869 | ||||||
|
| |||||||
3,494,627 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 33,935,386 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
7
SKYBRIDGE DIVIDEND VALUE FUND
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
SHORT-TERM INVESTMENT — 0.4% |
| |||||||
Money Market Fund — 0.4% |
| |||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 0.00%, (a) | 125,951 | $ | 125,951 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENT (Cost $125,951) | 125,951 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 96.8% |
| |||||||
(Cost $33,908,792) | 34,061,337 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.2% |
| 1,134,507 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 35,195,844 | ||||||
|
|
(a) | Rate periodically changes. Rate disclosed is the daily yield on October 31, 2014. |
The accompanying notes are an integral part of the financial statements.
8
SKYBRIDGE DIVIDEND VALUE FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | ||||
Investments, at value (Cost $33,908,792) | $ | 34,061,337 | ||
Cash | 114 | |||
Receivable from Investment Adviser | 13,641 | |||
Receivable for capital shares sold | 1,111,019 | |||
Dividends and interest receivable | 25,322 | |||
Prepaid expenses and other assets | 47,675 | |||
|
| |||
Total assets | 35,259,108 | |||
|
| |||
Liabilities | ||||
Payable for capital shares redeemed | 848 | |||
Payable for administration and accounting fees | 20,601 | |||
Payable for transfer agent fees | 10,857 | |||
Payable for custodian fees | 7,962 | |||
Payable for legal fees | 7,607 | |||
Payable for audit fees | 7,484 | |||
Accrued expenses | 7,905 | |||
|
| |||
Total liabilities | 63,264 | |||
|
| |||
Net Assets | $ | 35,195,844 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 33,301 | ||
Paid-in capital | 34,868,324 | |||
Accumulated net investment income | 12,797 | |||
Accumulated net realized gain from investments | 128,877 | |||
Net unrealized appreciation on investments | 152,545 | |||
|
| |||
Net Assets | $ | 35,195,844 | ||
|
|
Class A: | ||||
Net asset value, offering and redemption price per share | $10.57 | |||
|
| |||
Maximum offering price per share (100/94.25 of $10.57) | $11.21 | |||
|
| |||
Class C: | ||||
Net asset value, offering and redemption price per share | $10.57 | |||
|
| |||
Class I: | ||||
Net asset value, offering and redemption price per share | $10.57 | |||
|
|
The accompanying notes are an integral part of the financial statements.
9
SKYBRIDGE DIVIDEND VALUE FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Dividends | $ | 338,128 | ||
Interest | 31 | |||
|
| |||
Total investment income | 338,159 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 69,015 | |||
Administration and accounting fees (Note 2) | 38,392 | |||
Printing and shareholder reporting fees | 31,397 | |||
Transfer agent fees (Note 2) | 24,493 | |||
Audit fees | 15,597 | |||
Distribution fees (Class A) (Note 2) | 14,793 | |||
Legal fees | 13,901 | |||
Custodian fees (Note 2) | 9,186 | |||
Registration and filing fees | 6,895 | |||
Trustees’ and officers’ fees (Note 2) | 6,614 | |||
Distribution fees (Class C) (Note 2) | 21 | |||
Other expenses | 3,752 | |||
|
| |||
Total expenses before waivers and reimbursements | 234,056 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (127,213 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 106,843 | |||
|
| |||
Net investment income | 231,316 | |||
|
| |||
Net realized and unrealized gain from investments: | ||||
Net realized gain from investments | 128,703 | |||
Net change in unrealized appreciation on investments | 151,060 | |||
|
| |||
Net realized and unrealized gain on investments | 279,763 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 511,079 | ||
|
|
The accompanying notes are an integral part of the financial statements.
10
SKYBRIDGE DIVIDEND VALUE FUND
Statement of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014* | |||||||||
Increase in net assets from operations: | ||||||||||
Net investment income | $ | 231,316 | $ | 31 | ||||||
Net realized gain from investments | 128,703 | 174 | ||||||||
Net change in unrealized appreciation from investments | 151,060 | 1,485 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 511,079 | 1,690 | ||||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Net investment income: | ||||||||||
Class A | (114,679 | ) | — | |||||||
Class I | (103,871 | ) | — | |||||||
|
|
|
| |||||||
Total net investment income | (218,550 | ) | — | |||||||
|
|
|
| |||||||
Increase in Net Assets Derived from Capital Share Transactions | 34,786,625 | 115,000 | ||||||||
|
|
|
| |||||||
Total increase in net assets | 35,079,154 | 116,690 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 116,690 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 35,195,844 | $ | 116,690 | ||||||
|
|
|
| |||||||
Accumulated net investment income, end of period | $ | 12,797 | $ | 31 | ||||||
|
|
|
|
* | The Fund commenced operations on April 7, 2014. |
The accompanying notes are an integral part of the financial statements.
11
SKYBRIDGE DIVIDEND VALUE FUND
Financial Highlights
Contained below is per share operating performance data for Class A Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class A | |||||
For the Period June 13, 2014* to October 31, 2014 (Unaudited) | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 10.47 | |||
|
| ||||
Net investment income(1) | 0.09 | ||||
Net realized and unrealized gain on investments | 0.08 | ||||
|
| ||||
Net increase in net assets resulting from operations | 0.17 | ||||
|
| ||||
Dividends and distributions to shareholders from: | |||||
Net investment income | (0.07 | ) | |||
|
| ||||
Net asset value, end of period | $ | 10.57 | |||
|
| ||||
Total investment return(2) | 1.68 | % | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $ | 16,478 | |||
Ratio of expenses to average net assets | 1.25 | %(3) | |||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 2.17 | %(3) | |||
Ratio of net investment income to average net assets | 2.47 | %(3) | |||
Portfolio turnover rate | 11.08 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. Total investment return does not reflect the impact of the maximum front-end sales load of 5.75%. If reflected, the return would be lower. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
12
SKYBRIDGE DIVIDEND VALUE FUND
Financial Highlights
Contained below is per share operating performance data for Class C Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class C | |||||
For the Period October 17, 2014* to October 31, 2014 (Unaudited) | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 9.95 | |||
|
| ||||
Net investment loss(1) | (0.01 | ) | |||
Net realized and unrealized gain on investments | 0.63 | ||||
|
| ||||
Net increase in net assets resulting from operations | 0.62 | ||||
|
| ||||
Net asset value, end of period | $ | 10.57 | |||
|
| ||||
Total investment return(2) | 6.23 | % | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $ | 245 | |||
Ratio of expenses to average net assets | 2.00 | %(3) | |||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 3.86 | %(3) | |||
Ratio of net investment loss to average net assets | (2.00 | )%(3) | |||
Portfolio turnover rate | 11.08 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. Total return does not reflect any applicable sales charge. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
13
SKYBRIDGE DIVIDEND VALUE FUND
Financial Highlights
Contained below is per share operating performance data for Class I Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class I | ||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period April 7, 2014* to April 30, 2014 | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 10.23 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income(1) | 0.13 | — | (2) | |||||||
Net realized and unrealized gain on investments | 0.29 | 0.23 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 0.42 | 0.23 | ||||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | (0.08 | ) | — | |||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 10.57 | $ | 10.23 | ||||||
|
|
|
| |||||||
Total investment return(3) | 4.25 | % | 2.30 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (000’s omitted) | $ | 18,473 | $ | 117 | ||||||
Ratio of expenses to average net assets | 1.00 | %(4) | 1.00 | %(4) | ||||||
Ratio of expenses to average net assets without waivers and expense | 3.22 | %(4) | 646.65 | %(4) | ||||||
Ratio of net investment income to average net assets | 2.59 | %(4) | 0.79 | %(4) | ||||||
Portfolio turnover rate | 11.08 | %(6) | 1.98 | %(6) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
14
SKYBRIDGE DIVIDEND VALUE FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The SkyBridge Dividend Value Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), which commenced operations on April 7, 2014. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers Class A, Class C and Class I Shares. Class A Shares are sold subject to a front-end sales charge. Front-end sales charges may be reduced or waived under certain circumstances. A contingent deferred sales charge (“CDSC”) may be applicable to the purchase of Class A Shares. A CDSC, as a percentage of the lower of the original purchase price or net asset value at redemption, of up to 1.00% may be imposed on full or partial redemptions of Class A Shares made within eighteen months of purchase where: (i) $1 million or more of Class A Shares were purchased without an initial sales charge and (ii) the selling broker-dealer received a commission for such sale.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost which approximates fair value. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• | Level 1 — quoted prices in active markets for identical securities; |
15
SKYBRIDGE DIVIDEND VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Value at 10/31/14 | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks* | $ | 33,935,386 | $ | 33,935,386 | $ | — | $ | — | ||||||||
Short-Term Investment | 125,951 | 125,951 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 34,061,337 | $ | 34,061,337 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
* | Please refer to Portfolio of Investments for further details on portfolio holdings. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts
16
SKYBRIDGE DIVIDEND VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid quarterly to shareholders. Distributions, if any, of net short-term capital gain and net capital gain (the excess of net long-term capital gain over the short-term capital loss) realized by the Fund, after deducting any available capital loss carryovers, are declared and paid to its shareholders annually. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of
17
SKYBRIDGE DIVIDEND VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
SkyBridge Capital II, LLC (“SkyBridge” or the “Adviser”) serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 0.75% of the Fund’s average daily net assets. The Adviser has contractually agreed to reduce its management fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding 12b-1 fees and any other expenses designated as being class-specific, as well as interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed (on an annual basis) 1.25% with respect to Class A shares, 2.00% with respect to Class C shares and 1.00% with respect to Class I shares of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place for three years from the date of the Fund’s inception, unless the Board of Trustees approves its earlier termination. Subject to approval by the Board of Trustees, the Adviser may recoup any expenses or fees it has reimbursed within a three-year period from the year in which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation. As of October 31, 2014, the amount of potential recovery was as follows:
Expiration
| ||
April 30, 2017 | April 30, 2018 | |
$25,454 | $127,213 |
For the six months ended October 31, 2014, the investment adviser waived fees and reimbursed expenses of $69,015 and $58,198, respectively.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.
18
SKYBRIDGE DIVIDEND VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Class A and Class C Shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Class A and Class C Shares plan, the Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25% and 1.00% (0.75% distribution fee and 0.25% shareholder service fee), respectively, on an annualized basis of the average daily net assets of the Fund’s Class A and Class C Shares.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six-months ended October 31, 2014 was $1,581. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 35,571,156 | $ | 2,030,353 |
19
SKYBRIDGE DIVIDEND VALUE FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
4. Capital Share Transactions
For the six months or period ended October 31, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares* | ||||||||||||||||
Sales | 1,593,519 | $ | 16,696,488 | — | $ | — | ||||||||||
Reinvestments | 11,079 | 114,718 | — | — | ||||||||||||
Redemptions | (45,325 | ) | (473,795 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 1,559,273 | $ | 16,337,411 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares** | ||||||||||||||||
Sales | 23,199 | $ | 238,765 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 23,199 | $ | 238,765 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Sales | 1,745,049 | $ | 18,303,075 | 11,412 | $ | 115,000 | ||||||||||
Reinvestments | 10,177 | 105,131 | — | — | ||||||||||||
Redemptions | (19,034 | ) | (197,757 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 1,736,192 | $ | 18,210,449 | 11,412 | $ | 115,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Increase | 3,318,664 | $ | 34,786,625 | 11,412 | $ | 115,000 | ||||||||||
|
|
|
|
|
|
|
|
* | Class A Shares commenced operations on June 13, 2014. |
** | Class C Shares commenced operations on October 17, 2014. |
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the period ended April 30, 2014, no distributions were paid by the Fund.
20
SKYBRIDGE DIVIDEND VALUE FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | |||||||||||||||
$ — | $205 | $— | $1,485 |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation/(depreciation) of securities held by the Fund were as follows:
Federal tax cost | $ | 33,908,792 | ||||
|
| |||||
Gross unrealized appreciation | $ | 938,051 | ||||
Gross unrealized depreciation | (785,506 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 152,545 | ||||
|
|
Pursuant to the federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and April 30 and late year ordinary losses ((i) ordinary losses between January 1 and April 30, and (ii) specified ordinary and currency losses between November 1 and April 30) as occurring on the first day of the following tax year. For the period ended April 30, 2014, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until May 1, 2014. For the period ended April 30, 2014, the Fund had no short-term capital loss deferrals and no long-term capital loss deferrals.
Accumulated capital losses represent net capital loss carryforwards as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the Fund did not have any capital loss carryforwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
21
SKYBRIDGE DIVIDEND VALUE FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 919-6885 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
22
[THIS PAGE INTENTIONALLY LEFT BLANK.]
Investment Adviser
SkyBridge Capital II, LLC
527 Madison Avenue, 16th Floor
New York, New York 10022
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
SkyBridge Dividend
Value Fund
of
FundVantage Trust
Class A Shares
Class C Shares
Class I Shares
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the SkyBridge Dividend Value Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the SkyBridge Dividend Value Fund.
WHV INTERNATIONAL EQUITY FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Dear WHV International Equity Fund Shareholder,
Market Overview
Global markets were mixed during the six months from May 1, 2014 to October 31, 2014 (“the fiscal period”) with the S&P 500 Index® posting a gain for the fiscal period while the benchmark MSCI EAFE (Gross) Index, which is highly exposed to Japan and the eurozone, closed the fiscal period with a notable -4.63% loss. This growing divergence of global developed markets was mirrored accordingly in the WHV International Equity Fund: our holdings that were most exposed to the strong North American economy — notably Canadian Pacific Railway, Canadian National Railway Company and Novartis — outperformed despite little company-specific news flow during the quarter; and those in the energy sector most affected by the falling price of oil such as Weatherford International, Nabors Industries and Core Laboratories underperformed.
During the fiscal period, disappointing economic growth in the eurozone and China placed downward pressure on our economically sensitive investments. Expectations for global growth were downgraded as the period progressed, which negatively impacted our stocks in the energy and materials sectors. The International Monetary Fund’s (IMF) forecast for the world’s real GDP growth rate for 2014 was reduced from 3.6% to 3.3%1, which would only be equal to 2013’s tepid growth rate. An acceleration in global growth appears to be delayed a year as the IMF now expects global growth to rise to 3.8%1 in 2015. We believe that the markets would be expected to resume their focus on WHV’s preferred sectors of energy, materials and industrials once positive growth momentum resumes. Despite the weak six-month period, the WHV International Equity Fund still generated a small positive return for the nine months ending September 30, 2014 compared to a small loss for the benchmark index.
Eurozone growth rate estimates for 2014 deteriorated from 1.2% to only 0.8%1 as the region continued to be negatively impacted by structural and deflationary forces, which have been deleterious to consumer and business confidence. Lackluster job creation and negligible inflation has discouraged consumer spending and business investment in the region. In our view, the European Central Bank’s (ECB) monetary policies are still not sufficiently stimulative to allow the eurozone to both reduce its unemployment rate from 11.5%2 into the single digits and to push its inflation rate significantly above 0.5%3. However, ECB President Mario Draghi has stated that more aggressive monetary accommodation could be implemented if the financial and economic health of the eurozone deteriorates further.
The eurozone’s sluggish growth has been compounded by the turmoil in neighboring Ukraine. The instability instigated by pro-Russian separatists in eastern Ukraine has compelled the United States and Europe to institute multiple rounds of economic sanctions on Russia, a major trading partner of the eurozone. The sanctions will likely have the intended effect of reducing exports from the eurozone to Russia as they will likely cause a lower Russian growth rate and thus, potentially, lower import requirements. The eurozone also relies on Russia for a substantial percentage of its oil and gas supplies, and a potential risk is that Russia retaliates against the West by either curtailing energy exports or raising prices to the eurozone, which would increase Europe’s fuel costs.
China also weighed on global growth during the fiscal period. In March, China’s Premier Li boldly forecasted that his country would grow 7.5% in 2014 and, so far, the government’s micromanagement of their economy with small stimulus programs has brought the country close to that growth target. China’s real GDP growth for the second quarter ticked up to 7.5% compared to 7.4% for the first quarter4, more than double the growth rate for the rest of the world. However, some economists are concerned that China’s growth rate gradually slipped during the third
1
WHV INTERNATIONAL EQUITY FUND
Semi-Annual Investment Adviser’s Report (Continued)
October 31, 2014
(Unaudited)
quarter as its policymakers engaged in monetary and fiscal policies to rebalance the economy towards consumption and away from industrial production while simultaneously attempting to deleverage the public and private sectors.
We would expect China’s policymakers to engage in additional mini-stimulus programs if its growth rate slips below 7% during the 2014 to 2015 period — as they have historically — as we believe history has shown that higher unemployment could lead to social instability and threaten the state. The Communist Party of China has witnessed how mass social unrest can develop quickly into full-scale revolution that can then overthrow unpopular regimes: examples include Eastern Europe (1989), Soviet Union (1991), Egypt (2011), Libya (2011), Tunisia (2011) and Ukraine (2014). China has the potential financial firepower to cushion shortfalls in economic growth and job creation if it were to deploy part of its massive foreign exchange reserves of $4 trillion to support its economy. We believe the financial strength of a nation may be expressed in the value of its currency, and China’s currency has been one of the strongest in the world.
Finally, there was the drop in the price of oil. North Sea Brent crude oil prices fell during the fiscal period as the Islamic terrorist group ISIS’ invasion into oil-rich Iraq was halted by a U.S.-Arab coalition in Iraq and Syria. In addition, the conflict between the Ukrainian government and Russian-supported separatists in eastern Ukraine has evolved into an uneasy stalemate with periodic ceasefires interrupted by violence. Market participants pushed oil prices up during the second quarter with the expectation that oil production in Iraq and/or Russia would be threatened, and then they liquidated long oil positions in the third quarter as major oil production curtailments appeared highly unlikely over the short-term. However, heightened security risks, economic sanctions and the potential for energy resource nationalization may motivate Western energy companies to deploy fewer investment funds to Iraq and Russia, which would reduce the oil production growth profile for both countries and tighten the longer term supply/demand balance for oil. In our view, the instability in Syria, Iraq, Ukraine and Russia could continue for an indefinite period and support a geopolitical risk premium for the crude oil markets and energy equities.
In summary, events in the eurozone and China appeared to lead a deceleration of global growth during the fiscal period, which appeared to act as a headwind for WHV’s economically sensitive investments. We would expect the ECB to launch more aggressive monetary easing programs to strengthen the eurozone’s weak banking system and stimulate both economic growth and moderate inflation as its unemployment rate has only improved marginally from its Great Recession peak. While China’s policymakers have stated that they will not engage in any major new stimulus policies, additional mini-stimulus actions would be expected if the country’s growth rate falls significantly short of its announced growth targets since the Communist Party of China’s primary goal is social stability. Such a potential acceleration in the rate of global growth in 2015 would tend to favor WHV’s energy, materials and industrials investments, and the WHV International Equity Fund.
Performance Review
During the fiscal period May 1, 2014 to October 31, 2014, the WHV International Equity Fund posted a loss of -5.78% (Class I shares), -5.88% (Class A shares at net asset value) and -11.28% (Class A shares with maximum 5.75% load) versus the -4.63% return of the of the benchmark MSCI EAFE Index (Gross) Index during the same period.
2
WHV INTERNATIONAL EQUITY FUND
Semi-Annual Investment Adviser’s Report (Continued)
October 31, 2014
(Unaudited)
WHV International Equity Fund Top Contributors and Detractors5
Largest Contributors | Average Weight (%) | Contribution (%) | ||||
Canadian Pacific Railway, Ltd. | 7.43 | 1.97 | ||||
Canadian National Railway, Co. | 5.04 | 0.87 | ||||
NovartisAG | 3.23 | 0.19 | ||||
Ingersoll-Rand PLC | 2.56 | 0.18 | ||||
Brookfield Asset Management, Inc. | 1.09 | 0.18 | ||||
Largest Detractors | Average Weight (%) | Contribution (%) | ||||
Weatherford International PLC | 5.70 | (1.29) | ||||
Nabors Industries Ltd. | 3.71 | (1.13) | ||||
Core Laboratories NV | 3.17 | (0.92) | ||||
BHP Billiton, Ltd. | 4.51 | (0.64) | ||||
Canadian Natural Resources, Ltd. | 4.06 | (0.60) |
Strong stock selection within the underperforming industrials sector contributed to the Fund’s relative performance during the fiscal period. Positive stock selection effect within the sector was primarily driven by our two railroad holdings — Canadian Pacific Railway and Canadian National Railway Company — as they continued their long streak of superior performance driven by continually improving company-specific factors and their leverage to the North American economic recovery.
Energy was the worst performing sector, with the Fund’s heavy overweight to this underperforming sector weighing heavily on relative performance. In addition to the falling oil prices seen in the third quarter that negatively affected portfolio holdings like Weatherford International plc and Nabors Industries, the downward pressure this has placed on day rates caused our drillers to underperform, as well.
Additionally, our overweight to the underperforming materials sector coupled with poor performance by key holdings, including Vale and BHP Billiton, detracted from relative portfolio performance. Our metals and mining holdings have been under pressure during the fiscal period due to fears about the weakening strength of iron ore demand growth in China. However, demand remains strong and we believe that our iron ore producers — Vale, BHP Billiton and Rio Tinto — will fare well during the current lower price environment as we find them to be among the lowest cost, highest quality producers of iron ore in the world.
Outlook
Our top-down investment style overweights what we believe to be the most attractive global economic sectors and underweights what we believe to be the least attractive sectors. The sector strategy is based on identifying investment supercycle growth trends projected over the long term.
One of the key pillars of our current positioning is our belief that the world will continue to struggle to fulfill its ever-growing demand for oil. This may surprise some who have read about the significant increase in oil production in the United States over the past five years due to horizontal drilling and fracking technology unlocking shale oil reserves. While
3
WHV INTERNATIONAL EQUITY FUND
Semi-Annual Investment Adviser’s Report (Concluded)
October 31, 2014
(Unaudited)
we acknowledge that this is an exciting development, and one which we have monitored closely, oil markets are global and therefore one must consider the global supply and demand picture when forecasting oil price direction.
We find that despite the U.S. shale oil revolution, the global oil supply picture remains constrained. Whether for political or geological reasons, the path towards oil exploration and production outside of the U.S. remains challenging and increasingly expensive. This year’s conflict between Ukraine and Russia has garnered the most energy-related headlines, but the past year has also seen curtailed production in Libya, Iran, Iraq, Nigeria, Venezuela and South Sudan.
The Fund’s underperformance during the last six months was driven by energy as weak global demand and strong production outweighed the concerns about the impact of unrest in Iraq and tensions between Russia and the West on global oil supply.
WHV believes that the current oil price weakness is not sustainable as it threatens future supply growth. It is possible that oil prices may remain weaker than we have seen in recent years due to weak demand out of Europe and China coupled with the strong U.S. dollar. However, we expect that the strong long-term fundamentals of the global oil supply and demand picture — namely, challenging and increasingly expensive supply clashing with demand growth driven by the emerging markets — will eventually reassert themselves. We believe the portfolio is positioned to benefit from this secular trend through our positions in oil services companies and select oil producers.
We thank you for your investment in the Fund and for your continued support of our firm.
WHV Investments, Inc.
1Source: International Monetary Fund. Data as of April 7, 2014 and October 7, 2014.
2Source: Eurostat. Data as of September 30, 2014.
3Source: Morgan Stanley. Data as of September 30, 2014.
4Source: National Bureau of Statistics-China. Data as of September 30, 2014.
5The holdings identified above may not be representative of the Fund’s current or future investments and are subject to risk. Holdings are provided for informational purposes only and should not be construed as a recommendation to buy or sell the securities mentioned. Financial professionals, please contact the WHV Sales Support team at (855) 417-8474; direct investors, please call (888) 948-4685; to obtain the methodology for calculating the top and bottom performance contribution holdings, and a list showing every holding’s contribution to the overall Fund’s performance during the quarter. Past performance does not guarantee future results.
4
WHV INTERNATIONAL EQUITY FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns For the Periods Ended October 31, 2014 |
| |||||||||||||||||||
6 Months† | 1 Year | 3 Years | 5 Years | Since Inception | ||||||||||||||||
Class A Shares (without sales charge)* | -5.88 | % | 0.38 | % | 6.44 | % | 6.14 | % | 7.55 | % | ||||||||||
Class A Shares (with sales charge)* | -11.28 | % | -5.39 | % | 4.36 | % | 4.89 | % | 6.34 | % | ||||||||||
Class I Shares** | -5.78 | % | 0.61 | % | 6.71 | % | 6.40 | % | 14.90 | % | ||||||||||
MSCI EAFE Index (Gross) | -4.63 | % | -0.19 | % | 10.17 | % | 6.99 | % | 8.24 | %*** | ||||||||||
MSCI EAFE Index (Gross) | -4.63 | % | -0.19 | % | 10.17 | % | 6.99 | % | 10.67 | %**** |
† | Not Annualized. |
* | Class A Shares of the WHV International Equity Fund (the “Fund”) commenced operations on July 31, 2009. |
** | Class I Shares of the Fund commenced operations on December 19, 2008. |
*** | Benchmark performance is from the inception date of Class A Shares of the Fund (July 31, 2009) only and is not the inception date of the benchmark itself. |
**** | Benchmark performance is from the inception date of Class I Shares of the Fund (December 19, 2008) only and is not the inception date of the benchmark itself. |
Class A Shares of the Fund have a 5.75% maximum sales charge.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 948-4685. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual Fund gross and net operating expense ratios are 1.45% and 1.49%, respectively, for Class A Shares and 1.20% and 1.24%, respectively, for Class I Shares of the Fund’s average daily net assets. These ratios are stated in the current prospectus dated September 1, 2014, and may differ from the actual expenses incurred by the Fund for the period covered by this report. WHV Investments, Inc. (the “Adviser”), formerly WHV Investment Management, Inc. has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 1.25% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2016 unless the Board of Trustees approves its earlier termination. The Advisor is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period up to three years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. Total returns would be lower had such fees and expenses not been waived and/or reimbursed, or been higher had such fees and expenses not been recouped.
The Fund evaluates its performance as compared to that of the MSCI EAFE® Index (Europe, Australasia, Far East), which is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. & Canada. As of October 31, 2014, the MSCI EAFE Index consisted of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. It is impossible to invest directly in an index.
5
WHV INTERNATIONAL EQUITY FUND
Semi-Annual Report
Performance Data (Concluded)
October 31, 2014
(Unaudited)
All mutual fund investing involves risk, including possible loss of principal. Investing in foreign securities entails special risks, such as fluctuations in currency exchange rates and possible lax regulation of securities markets and accounting practices.
6
WHV INTERNATIONAL EQUITY FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, if any, and redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from May 1, 2014 through October 31, 2014 for the Fund, and held for the entire period.
Actual Expenses
The first line of each accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of each accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), if any, or redemption fees. Therefore, the second line of each accompanying 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.
7
WHV INTERNATIONAL EQUITY FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
WHV International Equity Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Class A Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 941.20 | $ | 7.09 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.90 | 7.37 | ||||||||||||
Class I Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 942.20 | $ | 5.87 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.16 | 6.11 |
*Expenses are equal to an annualized expense ratio for the six-month period ended October 31, 2014 of 1.45% and 1.20% for Class A and Class I Shares, respectively, for the Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. The Fund’s ending account values on the first line in the table are based on the actual six-month total returns for the Fund of (5.88%) and (5.78%) for Class A and Class I Shares, respectively.
8
WHV INTERNATIONAL EQUITY FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
COMMON STOCKS: | ||||||||||
Energy Equipment & Services | 24.1% | $ | 98,774,188 | |||||||
Road & Rail | 13.3 | 54,681,463 | ||||||||
Metals & Mining | 10.7 | 43,961,762 | ||||||||
Oil, Gas & Consumable Fuels | 9.2 | 37,650,958 | ||||||||
Chemicals | 7.7 | 31,575,910 | ||||||||
Food Products | 6.4 | 26,184,311 | ||||||||
Beverages | 3.6 | 14,763,945 | ||||||||
Pharmaceuticals | 3.4 | 13,774,197 | ||||||||
Tobacco | 2.9 | 11,791,503 | ||||||||
Machinery | 2.7 | 11,057,440 | ||||||||
Electrical Equipment | 2.6 | 10,590,602 | ||||||||
Real Estate Management & Development | 1.2 | 4,912,181 | ||||||||
Insurance | 1.2 | 4,895,230 | ||||||||
Building Products | 0.8 | 3,124,877 | ||||||||
Capital Markets | 0.2 | 1,026,028 | ||||||||
Trading Companies & Distributors | 0.1 | 563,319 | ||||||||
Other Assets in Excess of Liabilities | 9.9 | 40,753,761 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0% | $ | 410,081,675 | |||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
9
WHV INTERNATIONAL EQUITY FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 90.1% |
| |||||||
Australia — 4.2% | ||||||||
BHP Billiton, Ltd., SP ADR | 289,555 | $ | 17,211,149 | |||||
|
| |||||||
Bermuda — 4.6% | ||||||||
Bunge, Ltd. | 27,765 | 2,461,367 | ||||||
Nabors Industries Ltd. | 749,332 | 13,375,576 | ||||||
PartnerRe Ltd. | 26,155 | 3,025,872 | ||||||
|
| |||||||
18,862,815 | ||||||||
|
| |||||||
Brazil — 1.9% | ||||||||
Vale SA, SP ADR | 772,320 | 7,792,709 | ||||||
|
| |||||||
Canada — 29.4% | ||||||||
Agrium, Inc. | 100,265 | 9,807,922 | ||||||
Brookfield Asset Management, Inc., Class A | 100,310 | 4,912,181 | ||||||
Canadian National Railway Co. | 312,040 | 22,023,783 | ||||||
Canadian Natural Resources, Ltd. | 521,000 | 18,172,480 | ||||||
Canadian Pacific Railway, Ltd. | 157,250 | 32,657,680 | ||||||
Ensign Energy Services, Inc. | 44,810 | 504,113 | ||||||
Finning International, Inc. | 21,775 | 563,319 | ||||||
Manulife Financial Corp. | 45,730 | 867,498 | ||||||
Potash Corp. of Saskatchewan, Inc. | 286,680 | 9,795,856 | ||||||
Suncor Energy, Inc. | 538,195 | 19,127,450 | ||||||
Talisman Energy, Inc. | 55,020 | 351,028 | ||||||
Teck Resources, Ltd., Class B | 111,925 | 1,766,176 | ||||||
|
| |||||||
120,549,486 | ||||||||
|
| |||||||
Curacao — 5.4% | ||||||||
Schlumberger, Ltd. | 222,770 | 21,978,488 | ||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
France — 0.2% | ||||||||
AXA SA, SP ADR | 43,165 | $ | 1,001,860 | |||||
|
| |||||||
Germany — 2.4% | ||||||||
BASF SE, SP ADR | 109,830 | 9,689,203 | ||||||
|
| |||||||
Ireland — 10.5% | ||||||||
Allegion PLC | 58,860 | 3,124,877 | ||||||
Eaton Corp. PLC | 154,856 | 10,590,602 | ||||||
Ingersoll-Rand PLC | 176,580 | 11,057,440 | ||||||
Weatherford International PLC* | 1,105,310 | 18,149,190 | ||||||
|
| |||||||
42,922,109 | ||||||||
|
| |||||||
Luxembourg — 4.4% | ||||||||
Tenaris SA, ADR | 452,620 | 17,941,857 | ||||||
|
| |||||||
Netherlands — 4.6% | ||||||||
Core Laboratories NV | 84,300 | 11,762,379 | ||||||
Unilever NV, New York Registry Shares | 188,275 | 7,291,891 | ||||||
|
| |||||||
19,054,270 | ||||||||
|
| |||||||
Norway — 0.2% | ||||||||
Yara International ASA, ADR | 16,160 | 742,229 | ||||||
|
| |||||||
Switzerland — 8.0% | ||||||||
Nestle SA, SP ADR | 224,070 | 16,431,053 | ||||||
Novartis AG, ADR | 148,605 | 13,774,197 | ||||||
Syngenta AG, ADR | 24,850 | 1,540,700 | ||||||
UBS AG, Registered Shares | 59,035 | 1,026,028 | ||||||
|
| |||||||
32,771,978 | ||||||||
|
| |||||||
United Kingdom — 14.3% | ||||||||
British American Tobacco PLC, SP ADR | 103,835 | 11,791,503 | ||||||
Diageo PLC, SP ADR | 125,150 | 14,763,945 | ||||||
Ensco PLC, Class A | 124,800 | 5,065,632 |
The accompanying notes are an integral part of the financial statements.
10
WHV INTERNATIONAL EQUITY FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
United Kingdom — (Continued) |
| |||||||
Noble Corp. PLC | 443,455 | $ | 9,277,079 | |||||
Paragon Offshore PLC* | 147,818 | 719,874 | ||||||
Rio Tinto PLC, SP ADR | 358,385 | 17,191,728 | ||||||
|
| |||||||
58,809,761 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 369,327,914 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 90.1% |
| 369,327,914 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 9.9% |
| 40,753,761 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 410,081,675 | |||||
|
|
* | Non-income producing. |
ADR | American Depositary Receipt |
SP ADR | Sponsored American Depositary Receipt |
PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
11
WHV INTERNATIONAL EQUITY FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | ||||
Investments, at value (Cost $311,004,232 ) | $ | 369,327,914 | ||
Cash | 39,921,738 | |||
Receivable for capital shares sold | 1,154,567 | |||
Dividends and interest receivable | 699,606 | |||
Prepaid expenses and other assets | 34,327 | |||
|
| |||
Total assets | 411,138,152 | |||
|
| |||
Liabilities | ||||
Payable for capital shares redeemed | 524,287 | |||
Payable to Investment Adviser | 337,164 | |||
Payable for administration and accounting fees | 78,004 | |||
Payable for transfer agent fees | 57,954 | |||
Payable for custodian fees | 22,256 | |||
Accrued expenses | 36,812 | |||
|
| |||
Total liabilities | 1,056,477 | |||
|
| |||
Net Assets | $ | 410,081,675 | ||
|
| |||
Net Assets Consist of: | ||||
Capital stock, $0.01 par value | $ | 185,001 | ||
Paid-in capital | 354,864,997 | |||
Accumulated net investment income | 4,044,579 | |||
Accumulated net realized loss from investments | (7,336,584 | ) | ||
Net unrealized appreciation on investments | 58,323,682 | |||
|
| |||
Net Assets | $ | 410,081,675 | ||
|
|
Class A: | ||||
Net asset value, offering and redemption price per share ($37,307,166 / 1,688,213 shares) | $22.10 | |||
|
| |||
Maximum offering price per share (100/94.25 of $22.10) | $23.45 | |||
|
| |||
Class I: | ||||
Net asset value, offering and redemption price per share ($372,774,509 / 16,811,893 shares) | $22.17 | |||
|
|
The accompanying notes are an integral part of the financial statements.
12
WHV INTERNATIONAL EQUITY FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Dividends | $ | 4,285,153 | ||
Less: foreign taxes withheld | (358,722 | ) | ||
Interest | 1,677 | |||
|
| |||
Total investment income | 3,928,108 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 2,091,856 | |||
Administration and accounting fees (Note 2) | 169,355 | |||
Transfer agent fees (Note 2) | 72,071 | |||
Distribution fees (Class A) (Note 2) | 55,144 | |||
Professional fees | 51,832 | |||
Registration and filing fees | 38,271 | |||
Printing and shareholder reporting fees | 25,586 | |||
Custodian fees (Note 2) | 19,136 | |||
Trustees’ and officers’ fees (Note 2) | 17,671 | |||
Other expenses | 21,434 | |||
|
| |||
Total expenses | 2,562,356 | |||
|
| |||
Net investment income | 1,365,752 | |||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized gain from investments | 689,190 | |||
Net change in unrealized depreciation on investments | (27,185,313 | ) | ||
|
| |||
Net realized and unrealized loss on investments | (26,496,123 | ) | ||
|
| |||
Net decrease in net assets resulting from operations | $ | (25,130,371 | ) | |
|
|
The accompanying notes are an integral part of the financial statements.
13
WHV INTERNATIONAL EQUITY FUND
Statement of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||
Increase/(Decrease) in net assets from operations: | ||||||||||
Net investment income | $ | 1,365,752 | $ | 3,334,404 | ||||||
Net realized gain/(loss) from investments | 689,190 | (4,825,882 | ) | |||||||
Net change in unrealized appreciation/(depreciation) from investments | (27,185,313 | ) | 54,473,145 | |||||||
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | (25,130,371 | ) | 52,981,667 | |||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Net investment income: | ||||||||||
Class A | — | (182,009 | ) | |||||||
Class I | — | (2,162,359 | ) | |||||||
|
|
|
| |||||||
Total net investment income | — | (2,344,368 | ) | |||||||
|
|
|
| |||||||
Net realized capital gains: | ||||||||||
Class A | — | (56,591 | ) | |||||||
Class I | — | (393,693 | ) | |||||||
|
|
|
| |||||||
Total net realized capital gains | — | (450,284 | ) | |||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | — | (2,794,652 | ) | |||||||
|
|
|
| |||||||
Increase/(Decrease) in Net Assets Derived from Capital Share Transactions (Note 4) | 40,986,051 | (29,597,932 | ) | |||||||
|
|
|
| |||||||
Total increase in net assets | 15,855,680 | 20,589,083 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 394,225,995 | 373,636,912 | ||||||||
|
|
|
| |||||||
End of period | $ | 410,081,675 | $ | 394,225,995 | ||||||
|
|
|
| |||||||
Accumulated net investment income, end of period | $ | 4,044,579 | $ | 2,678,827 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
14
WHV INTERNATIONAL EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for each Class A Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class A | ||||||||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Year Ended April 30, 2011 | For the Period July 31, 2009* to April 30, 2010 | |||||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.48 | $ | 20.54 | $ | 19.30 | $ | 22.42 | $ | 17.97 | $ | 15.22 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment income(1) | 0.05 | 0.14 | 0.05 | 0.10 | 0.01 | 0.05 | ||||||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (1.43 | ) | 2.92 | 1.22 | (3.20 | ) | 4.44 | 2.70 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (1.38 | ) | 3.06 | 1.27 | (3.10 | ) | 4.45 | 2.75 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.09 | ) | (0.03 | ) | (0.03 | ) | — | — | |||||||||||||||||||||
Net realized gains | — | (0.03 | ) | — | — | (0.01 | ) | — | (2) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions to shareholders | — | (0.12 | ) | (0.03 | ) | (0.03 | ) | (0.01 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Redemption fees | — | (2) | — | (2) | — | (2) | 0.01 | 0.01 | — | (2) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 22.10 | $ | 23.48 | $ | 20.54 | $ | 19.30 | $ | 22.42 | $ | 17.97 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(3) | (5.88 | )% | 14.90 | % | 6.61 | % | (13.75 | )% | 24.83 | % | 18.07 | % | ||||||||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 37,307 | $ | 46,435 | $ | 53,447 | $ | 58,360 | $ | 56,113 | $ | 14,349 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.45 | %(4) | 1.49 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | %(4) | ||||||||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements and/or recoupment, if any(5) | 1.45 | %(4) | 1.45 | % | 1.46 | % | 1.51 | % | 1.57 | % | 2.32 | %(4) | ||||||||||||||||||
Ratio of net investment income to average net assets | 0.43 | %(4) | 0.67 | % | 0.27 | % | 0.51 | % | 0.05 | % | 0.37 | %(4) | ||||||||||||||||||
Portfolio turnover rate | 1.89 | %(6) | 5.65 | % | 5.21 | % | 7.48 | % | 2.20 | % | 30.18 | %(6) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. Total investment return does not reflect the impact of the maximum front-end sales load of 5.75%. If reflected, the return would be lower. |
(4) | Annualized. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
15
WHV INTERNATIONAL EQUITY FUND
Financial Highlights (Continued)
Contained below is per share operating performance data for each Class I Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class I | ||||||||||||||||||||||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | For the Year Ended April 30, 2013 | For the Year Ended April 30, 2012 | For the Year Ended April 30, 2011 | For the Year Ended April 30, 2010 | |||||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.53 | $ | 20.59 | $ | 19.35 | $ | 22.47 | $ | 17.99 | $ | 12.44 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment income(1) | 0.08 | 0.20 | 0.11 | 0.15 | 0.05 | 0.12 | ||||||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (1.44 | ) | 2.92 | 1.22 | (3.21 | ) | 4.45 | 5.43 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (1.36 | ) | 3.12 | 1.33 | (3.06 | ) | 4.50 | 5.55 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.15 | ) | (0.09 | ) | (0.07 | ) | (0.02 | ) | — | (2) | |||||||||||||||||||
Net realized gains | — | (0.03 | ) | — | — | (0.01 | ) | — | (2) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions to shareholders | — | (0.18 | ) | (0.09 | ) | (0.07 | ) | (0.03 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Redemption fees | — | (2) | — | (2) | — | (2) | 0.01 | 0.01 | — | (2) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 22.17 | $ | 23.53 | $ | 20.59 | $ | 19.35 | $ | 22.47 | $ | 17.99 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(3) | (5.78 | )% | 15.18 | % | 6.88 | % | (13.51 | )% | 25.12 | % | 44.62 | % | ||||||||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 372,775 | $ | 347,791 | $ | 320,190 | $ | 256,268 | $ | 193,361 | $ | 64,538 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.20 | %(4) | 1.24 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements and/or recoupment, if any(5) | 1.20 | %(4) | 1.20 | % | 1.21 | % | 1.27 | % | 1.32 | % | 2.50 | % | ||||||||||||||||||
Ratio of net investment income to average net assets | 0.68 | %(4) | 0.92 | % | 0.58 | % | 0.77 | % | 0.24 | % | 0.68 | % | ||||||||||||||||||
Portfolio turnover rate | 1.89 | %(6) | 5.65 | % | 5.21 | % | 7.48 | % | 2.20 | % | 30.18 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
16
WHV INTERNATIONAL EQUITY FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The WHV International Equity Fund ( The “Fund” ) is a diversified, open-end management investment companies registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), and commenced investment operations on December 19, 2008. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares: Class A, Class C and Class I Shares. Class A Shares are sold subject to a front-end sales charge. Front-end sales charges may be reduced or waived under certain circumstances. A contingent deferred sales charge (“CDSC”) of up to 1.00% may apply for investments of $1 million or more of Class A Shares of each Fund (and therefore no initial sales charge was paid) and shares are redeemed within 18 months after initial purchase. The CDSC shall not apply to those purchases of Class A Shares of $1 million or more where the selling broker-dealer did not receive a commission. As of October 31, 2014, Class C shares had not been issued.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. The Fund’s equity securities listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees (“Board of Trustees”). Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost which approximates fair value. Any assets held by the Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when the Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Fund. Investments in other open-end investment companies are valued based on the NAV of such investment companies (which may use fair value pricing as disclosed in their prospectuses). Securities that do not have a readily available current market value are valued in good faith under the direction of the Board of Trustees. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to WHV Investments, Inc. (“WHV” or the “Adviser”) the responsibility for applying the valuation methods. Relying on prices supplied by pricing services or
17
WHV INTERNATIONAL EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Investments in Securities* | $ | 369,327,914 | $ | 369,327,914 | $ | — | $ | — | ||||||||
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* Please refer to Portfolio of Investments for details on portfolio holdings.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund
18
WHV INTERNATIONAL EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, accounting principles generally accepted in the United States of America (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
19
WHV INTERNATIONAL EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investment securities in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and are recorded on ex-date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Currency Risk — The Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which the Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect the Fund’s NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for the Fund is determined on the basis of U.S. dollars, the Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of the Fund’s holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of the Fund’s holdings in foreign securities.
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility
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WHV INTERNATIONAL EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
2. Transactions with Affiliates and Related Parties
WHV serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 1.00% of the Fund’s average daily net assets. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 1.25% (on an annual basis) of the Fund’s average daily net assets. The Expense Limitation will remain in place until August 31, 2016 for the Fund, unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
Hirayama Investments, LLC (“Hirayama“or the “Sub-Adviser”) serves as the sub-adviser to the Fund. The Sub-Adviser provides certain services pursuant to a sub-advisory agreement among WHV, the Sub-Adviser and the Trust, on behalf of the Fund. Sub-Advisory fees are paid by WHV, not the Fund.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets and is subject to certain minimum monthly fees.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors LLC (“the Underwriter”) provides principal underwriting services to the Fund.
21
WHV INTERNATIONAL EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Class A Shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Class A Shares plan, the Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25% on an annualized basis of the average daily net assets of the Fund’s Class A Shares.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six months ended October 31, 2014, was $17,795. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding U.S. Government and agency short-term investments and other short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 22,058,641 | $ | 7,296,656 |
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WHV INTERNATIONAL EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
4. Capital Share Transactions
For the six months ended October 31, 2014 and the year ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Year Ended April 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Sales | 155,491 | $ | 3,649,761 | 341,811 | $ | 7,288,685 | ||||||||||
Reinvestments | — | — | 9,037 | 196,184 | ||||||||||||
Redemption Fees | — | 270 | — | 6,575 | ||||||||||||
Redemptions | (445,048 | ) | (10,642,164 | ) | (975,418 | ) | (20,807,890 | ) | ||||||||
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Net decrease | (289,557 | ) | $ | (6,992,133 | ) | (624,570 | ) | $ | (13,316,446 | ) | ||||||
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Class I Shares | ||||||||||||||||
Sales | 4,199,996 | $ | 98,444,735 | 3,918,915 | $ | 84,363,542 | ||||||||||
Reinvestments | — | — | 81,219 | 1,765,693 | ||||||||||||
Redemption Fees | — | 2,193 | — | 44,529 | ||||||||||||
Redemptions | (2,170,335 | ) | (50,468,744 | ) | (4,771,179 | ) | (102,455,250 | ) | ||||||||
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Net increase/(decrease) | 2,029,661 | $ | 47,978,184 | (771,045 | ) | $ | (16,281,486 | ) | ||||||||
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Total net increase/(decrease) | 1,740,104 | $ | 40,986,051 | (1,395,615 | ) | $ | (29,597,932 | ) | ||||||||
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5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year ended April 30, 2014, the tax characters of distributions paid by the Fund was $2,344,381 of ordinary income dividends and $450,271 of long-term capital gains dividends. Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
23
WHV INTERNATIONAL EQUITY FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Qualified Late-Year Losses | ||||||||||||
$(4,178,165) | $ | 2,678,827 | $ | — | $ | 82,531,944 | $ | (870,558 | ) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 311,004,232 | ||||
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Gross unrealized appreciation | $ | 86,695,335 | ||||
Gross unrealized depreciation | (28,371,653 | ) | ||||
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Net unrealized appreciation | $ | 58,323,682 | ||||
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Accumulated capital losses represent net capital loss carryovers as of April 30, 2013 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), each Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law.
As of April 30, 2014, the Fund’s post-enactment capital loss carryforward of $4,178,165, of which $49,255 were short-term losses, $4,128,910 are long-term losses, and all have an unlimited period of capital loss carryforward.
6. Subsequent Event
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
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WHV INTERNATIONAL EQUITY FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 948-4685 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Approval of Advisory and Sub-Advisory Agreements
At an in-person meeting held on September 22-23, 2014 (the “Meeting”), the Board of Trustees (“Board” or “Trustees”) of FundVantage Trust (“Trust”), including a majority of the Trustees who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (“1940 Act”) (the “Independent Trustees”), unanimously approved (a) the continuation of the advisory agreement (the “Agreement”) between the Trust, on behalf of the WHV International Equity Fund (the “Fund”), and WHV Investments, Inc. (“WHV” or the “Adviser”); and (b) the continuation of the sub-advisory agreement (the “Sub-advisory Agreement” and together with the Agreement, the “Agreements”) among WHV, Hirayama Investments, LLC (“Hirayama” or “Sub-Adviser”) and the Trust, on behalf of the Fund. In determining whether to approve the Agreements, the Trustees considered information provided by WHV and Hirayama in accordance with Section 15(c) of the 1940 Act. The Trustees considered information that WHV and Hirayama each provided regarding (i) the services performed for the Fund, (ii) the size and qualifications of their portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with a portfolio manager’s management of the Fund, (iv) investment performance, (v) the capitalization and financial condition of the Adviser and Sub-Adviser, (vi) brokerage selection procedures (including soft dollar arrangements), (vii) the procedures for allocating investment opportunities between the Fund and other clients (viii) results of any regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on WHV’s or Hirayama’s ability to service the Fund, and (x) compliance with investment objectives, policies and practices (including codes of ethics), federal securities laws and other regulatory requirements. WHV and Hirayama also provided their respective Form ADVs for the Trustees’ review and consideration. The Trustees noted the reports provided at Board meetings throughout the year covering matters such as
25
WHV INTERNATIONAL EQUITY FUND
Other Information (Continued)
(Unaudited)
the relative performance of the Fund; compliance with the investment objectives, policies, strategies and limitations for the Fund; the compliance of management personnel with the applicable code of ethics; and the adherence to fair value pricing procedures as established by the Board. The Trustees also received and reviewed a memorandum from legal counsel regarding the legal standard applicable to their review of the Agreements.
Representatives from WHV and Hirayama attended the Meeting both in person and via teleconference and discussed the firms’ histories, performance and investment strategies in connection with the proposed continuation of the Agreements and answered questions from the Board.
The Trustees considered the investment performance for the Fund, the Adviser and Sub-Adviser. The Trustees reviewed relevant peer comparative rankings and historical performance charts which showed the performance for the Fund’s Class A and Institutional Class shares for the year to date, one year, two year, three year and since inception periods ended June 30, 2014 as compared to (i) the Lipper International Large-Cap Growth Fund category, the Fund’s applicable Lipper peer group, and (ii) the MSCI EAFE Index (Net Dividends). The Trustees noted that the Fund’s Class A shares and Institutional Class shares outperformed the Lipper International Large-Cap Growth Fund category for the year to date, one year, two year and since inception periods ended June 30, 2014, and underperformed for the three year period. They further noted that the Fund outperformed the MSCI EAFE Index (Net Dividends) for the year to date, one year and since inception periods ended June 30, 2014, and underperformed for the two year and three year periods. The Trustees also received performance information for the Fund’s Institutional Class shares for the one year, three year, five year and since inception periods ended June 30, 2014 as compared to (i) the Adviser’s comparable separate account composite, (ii) a comparable Adviser-managed fund, (iii) the MSCI EAFE Index (Gross) and (iv) the median rate of return for the Morningstar Foreign Large Growth – Institutional category. The Trustees noted that the Fund’s Institutional Class shares outperformed the MSCI EAFE Index (Gross) for the one year, five year and since inception periods ended June 30, 2014, and underperformed for the three year period. The Trustees also noted that the Fund’s Institutional Class shares also outperformed the median rate of return for the Morningstar Foreign Large Growth –Institutional category for the year ended June 30, 2014, and underperformed on a three and five year basis. The Trustees considered the short term and long term performance of the Fund, as applicable. The Trustees noted that they considered performance reports provided at Board meetings throughout the year. They concluded that the performance the Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
WHV and Hirayama provided information regarding the advisory fees and an analysis of these fees in relation to the services provided to the Fund and any other ancillary benefit resulting from the Adviser’s and Sub-Adviser’s relationship with the Fund. The Trustees also reviewed information regarding the fees the Adviser and Sub-Adviser charge to other clients and evaluated explanations provided by the Adviser and Sub-Adviser as to differences in fees charged to the Fund and other similarly managed accounts.
26
WHV INTERNATIONAL EQUITY FUND
Other Information (Continued)
(Unaudited)
The Trustees also reviewed a peer comparison of advisory fees and total expenses for the Fund versus other similarly managed funds. The Trustees noted that net total expense ratio and gross advisory fee for the Fund’s Class A shares were in line with and slightly higher than, respectively, the median of the net expenses and gross advisory fee of the universe of funds with a similar share class in the Lipper International Large-Cap Growth Fund with $500 million or less in assets. They further noted that the net total expense ratio and gross advisory fee for the Fund’s Institutional Class shares were both higher than the median of the net expenses and gross advisory fee of the respective universe of funds with a similar share class in Lipper International Large-Cap Growth Fund category with $500 million or less in assets. The Trustees concluded that the advisory and sub-advisory fees and services provided by WHV and Hirayama, respectively, are consistent with those of other advisers or sub-advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the Fund based on the information provided at the Meeting.
The Board considered the level and depth of knowledge of WHV and Hirayama, including the professional experience and qualifications of senior personnel. In evaluating the quality of services provided by WHV and Hirayama, the Board took into account its familiarity with WHV and Hirayama’s senior management through Board meetings, discussions and reports during the preceding year. The Board also took into account WHV’s and Hirayama’s compliance policies and procedures and reports regarding WHV’s and Hirayama’s compliance operations from the Trust’s Chief Compliance Officer. The Board also considered any potential conflicts of interest that may arise in a portfolio manager’s management of the Fund’s investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services provided to the Fund by WHV and Hirayama and concluded that the nature, extent and quality of the services provided by WHV and Hirayama were appropriate and consistent with the terms of the Agreements, that the quality of the services appeared to be consistent with industry norms and that the Fund is likely to benefit from the retention of those services. They also concluded that WHV and Hirayama have sufficient personnel, with the appropriate education and experience, to serve the Fund effectively and demonstrated their ability to attract and retain qualified personnel.
The Trustees considered the costs of the services provided by WHV and Hirayama, the compensation and benefits received by WHV and Hirayama in providing services to the Fund and WHV’s and Hirayama’s profitability. The Trustees were provided with WHV’s most recent audited financial statements and Hirayama’s balance sheet. The Trustees noted that WHV’s and Hirayama’s levels of profitability are appropriate factors to consider, and the Trustees should be satisfied that WHV’s and Hirayama’s profits are sufficient to continue as a healthy concern generally and as investment advisers of the Fund specifically. The Trustees noted that the sub-advisory fees under the Sub-advisory Agreement with respect to the Fund were paid by the Adviser out of the advisory fees it receives from the Fund and considered the impact of such sub-advisory fees on the profitability of the Adviser. The Trustees concluded that WHV’s and Hirayama’s fees derived from their relationship with the Trust, in light of the Fund’s expenses, were reasonable in relation to the nature and quality of the services provided, taking into account the current size and projected growth of the Fund.
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WHV INTERNATIONAL EQUITY FUND
Other Information (Concluded)
(Unaudited)
The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the Fund grows and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Board noted that economies of scale may be achieved at higher asset levels for the Fund for the benefit of fund shareholders, but that because such economies of scale did not yet exist and were not likely to exist in the near term, it was not appropriate to incorporate a mechanism for sharing the benefit of such economies with Fund shareholders in the advisory fee structure at this time.
In voting to approve the continuation of the Agreement between the Trust and WHV and the Sub-advisory Agreement between WHV and Hirayama, the Board considered all factors it deemed relevant and the information presented to the Board by WHV and Hirayama. In arriving at its decision, the Trustees did not identify any single factor as being of paramount importance and each member of the Board gave varying weights to each factor according to his or her own judgment. The Board determined that the continuation of the Agreements would be in the best interest of the Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, unanimously approved the continuation of each Agreement for an additional one year period.
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Investment Adviser
WHV Investments, Inc.
301 Battery Street
Suite 400
San Francisco, CA 94111-3203
Sub-Adviser
Hirayama Investments, LLC
301 Battery Street
Suite 400
San Francisco, CA 94111-3203
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
WHV INTERNATIONAL
EQUITY FUND
of
FundVantage Trust
Class A Shares
Class I Shares
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the WHV International Equity Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the WHV International Equity Fund.
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Dear WHV/Seizert Small Cap Value Equity Fund Shareholder,
Market Review
For the fiscal period beginning May 1, 2014 and ending October 31, 2014 (“the fiscal period”), the markets proved only modestly volatile across most asset classes. Following a positive second quarter, however, the third quarter and remainder of the fiscal period brought challenges for small cap stocks. While the Fund’s benchmark, the Russell 2000® Value Index returned 2.78% during the fiscal period, the WHV/Seizert Small Cap Value Equity Fund’s Class I Shares (“the Fund”) returned -5.25%.
The markets wrestled with the uncertainty created by geopolitical events in Russia and the Middle East during May, while concerns about the ISIS/ISIL uprising in Iraq led to further rotations within the markets in June. Compounding these issues were incoming earnings reports, offering insight into the sustainability of some companies’ growth as well as concerns about other areas in the market. Investors vacillated between growth, positive estimate revisions, earnings momentum and measures of value such as high earnings quality and traditional value metrics.
The remainder of the fiscal period left investors weighing the growing strength in the U.S. economy against the geopolitical instability in Iraq and Ukraine. Additionally, unemployment rates continued to show modest improvement as many part-time employees continued to enter the full-time job market. In all, the majority of the fiscal period was dominated by a focus on earnings and price momentum and a bias against smaller capitalization companies.
Strategy and Performance Review
In the management of the Fund, Seizert employs a team approach and multi-step, bottom-up investment process focused on identifying companies believed to be significantly undervalued compared to their intrinsic value. The Fund seeks to achieve long-term capital appreciation by investing at least 80% of portfolio assets in companies with small market capitalization that are believed to be trading below their perceived value.
For the fiscal period, the Fund posted a loss of -5.25% (Class I shares), -5.35% (Class A shares at net asset value) and -10.77% (Class A shares with 5.75% maximum load) versus a 2.78% return for the Russell 2000® Value Index during the same period.
Relative performance of the Fund during the fiscal period benefited from both allocation and stock selection effects in the industrials and consumer staples sectors, but both allocation and stock selection in the energy and financials sectors detracted from relative performance.
1
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Semi-Annual Investment Adviser’s Report (Continued)
October 31, 2014
(Unaudited)
Fund Top Contributors and Detractors (for the fiscal period ending October 31, 2014)*
Largest Contributors | Average Weight | Contribution (%) | ||||
Triple-S Management Corp. | 2.45 | 0.88 | ||||
OmniVision Technologies, Inc. | 1.88 | 0.69 | ||||
FreightCar America, Inc. | 1.66 | 0.48 | ||||
j2 Global, Inc. | 2.41 | 0.41 | ||||
International Bancshares Corp. | 1.54 | 0.37 | ||||
Largest Detractors | Average Weight | Contribution (%) | ||||
Hercules Offshore, Inc. | 1.58 | (1.34) | ||||
Stone Energy Corp. | 1.69 | (1.18) | ||||
Energy XXI Bermuda Ltd. | 0.51 | (1.13) | ||||
McDermott International, Inc. | 1.96 | (1.08) | ||||
PhotoMedex, Inc. | 1.12 | (1.03) |
During the second quarter, the information technology, materials and financials sectors performed well. Our information technology holdings benefited from low valuations, strong balance sheets and investor skepticism. Our position in materials was helped by our holding in a copper mining company. The company was the beneficiary of being very inexpensive relative to its proven reserves and its balance sheet strength. Our holdings in financials were helped by a number of our smaller banks. Additionally, our underweight of the REIT industry aided performance.
We struggled during the second quarter in both the energy and consumer discretionary sectors. Holdings within the energy sector made smaller impacts across the board, but were impactful nonetheless. We remained absent from the utility sector as we remain uncomfortable with the valuations that the market is assigning to these companies. We have seen situations like this in the past where investors, in their hunt for yield, pay up for the income generated by utility and consumer staple companies and take multiples to levels that have shown to be difficult to sustain.
During the third quarter, the industrials and materials sectors performed well. The industrials sector was helped by FreightCar America, a manufacturer of new and refurbished coal cars for the U.S. and Europe. They reported a strong quarter with earnings that exceeded investors’ expectations and indicated that visibility into orders remained very strong. Materials performed well due to the performance of our sole copper mine operator holding within the sector, and our allocation to cash in a down quarter also contributed positively to the Fund’s relative performance.
The portfolio was held back by performance in financials and energy during the third quarter, however. While the financials sector outperformed in the broader market, the portfolio was underweight the sector and held a number of stocks that negatively impacted contribution. The largest detractor from financial sector performance was a Puerto Rican bank, as the company experienced pressure due to concerns about the strength of the U.S. territory’s economy. Within the energy sector, positions in Hercules Offshore and McDermott International negatively impacted the portfolio. Hercules Offshore, a provider of oil rigs for the Gulf of Mexico as well as the African and North Sea oil fields, experienced rig cancelations for some of their smaller gulf rigs. In addition, they failed to secure long-term contracts for their large ultra-deep water high spec rigs. McDermott International is currently in the middle of a transition to work their way out of loss contracts initiated by prior management.
2
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Semi-Annual Investment Adviser’s Report (Concluded)
October 31, 2014
(Unaudited)
Outlook
We find the structure of the portfolio attractive based on its holdings’ valuations, ability to generate free cash flow and balance sheet strengths. We continue to focus our research efforts on finding companies that have the right combination of valuation, capital deployment that is in the best interests of shareholders, accounting integrity and increased interest from shareholders. We will continue to position the portfolio in a manner that reflects our risk-adjusted expectations for each company. We continue to be very excited about the portfolio and the opportunities in the market.
We appreciate your continued investment in the Fund and look forward to continuing to serve you in the future.
Sincerely,
WHV Investments, Inc. & Seizert Capital Partners, LLC
*The holdings identified may not be representative of the Fund’s current or future investments and are subject to risk. Holdings are provided for informational purposes only and should not be construed as a recommendation to buy or sell the securities mentioned. Financial Intermediaries please contact the WHV Sales Support team at 855.417.8474 or direct investors please call 888.948.4685 to obtain (i) the methodology for calculating the top and bottom performance contributing holdings, and (ii) a list showing every holding’s contribution to the overall Fund’s performance during the fiscal period. The inception date of the Fund was September 30, 2013. For funds less than one year old, performance since inception is not annualized and represents an aggregate total return. Past performance does not guarantee future results.
3
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Average Annual Total Returns For the Periods Ended October 31, 2014* | ||||||||||||
6 Months† | 1 Year | Since Inception | ||||||||||
Class A Shares (without sales charge) | -5.35% | 5.05% | 5.61% | |||||||||
Class A Shares (with sales charge) | -10.77% | -1.03% | 0.00% | |||||||||
Class I Shares | -5.25% | 5.24% | 5.88% | |||||||||
Russell 2000 Value Index | 2.78% | 7.88% | 0.90% | ** |
† | Not Annualized. |
* | The WHV/Seizert Small Cap Equity Fund (“The Fund”) commenced operations on September 30, 2013. |
** | Benchmark performance is from inception date of the Fund (September 30, 2013) only and is not the inception date of the benchmark itself. |
Class A Shares of the Fund have a 5.75% maximum sales charge.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 948-4685. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual Fund gross and net operating expense ratios are 17.94% and 1.50%, respectively, for Class A Shares and 17.69% and 1.25%, respectively, for Class I Shares of the Fund’s average daily net assets. These ratios are stated in the current prospectus dated September 1, 2014, and may differ from the actual expenses incurred by the Fund for the period covered by this report. WHV Investments, Inc. (the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding 12b-1 fees and any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 1.25% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until September 30, 2016 unless the Board of Trustees approves its earlier termination. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
Prior to September 1, 2014, a 2.00% redemption fee applied to shares redeemed within 60 days of purchase. Effective September 1, 2014, this redemption fee was discontinued and is no longer charged. This redemption fee is not reflected in the returns shown above.
The Fund evaluates its performance as compared to that of the Russell 2000 Value Index, which measures the performance of the small-cap value segment of the U.S. equity universe. Please note an investor cannot invest directly in an index.
All mutual fund investing involves risk, including possible loss of principal. The Fund is new, with a limited operating history. Investments in small capitalization companies present a greater risk of loss than investments in large companies due to greater volatility and less liquidity.
4
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, if any, and redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period ended October 31, 2014, and held for the entire period.
Actual Expenses
The first line of each accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of each accompanying table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not either Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), if any, or redemption fees. Therefore, the second line of each accompanying 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.
5
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
WHV/Seizert Small Cap Value Equity Fund | |||||||||||||||
Beginning Account Value May 1, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Class A Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 946.50 | $ | 7.36 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.64 | 7.63 | ||||||||||||
Class I Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 947.50 | $ | 6.14 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.90 | 6.36 |
*Expenses are equal to an annualized expense ratio for the six-month period ended October 31, 2014 of 1.50% and 1.25% for Class A and Class I Shares, respectively, for the Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (184), then divided by 365 to reflect the period. The Fund’s ending account values on the first line in the table are based on the actual six-month total returns for the Fund of (5.35%) and (5.25%) for Class A and Class I Shares, respectively.
6
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
COMMON STOCKS: | ||||||||||
Commercial Banks | 12.0% | $ | 1,421,532 | |||||||
Thrifts & Mortgage Finance | 10.3 | 1,228,399 | ||||||||
Semiconductors & Semiconductor Equipment | 8.4 | 996,201 | ||||||||
Electronic Equipment, Instruments & Components | 6.9 | 817,821 | ||||||||
Biotechnology | 6.1 | 730,081 | ||||||||
Real Estate Investment Trusts (REITs) | 5.4 | 635,639 | ||||||||
Specialty Retail | 4.8 | 566,934 | ||||||||
Health Care Providers & Services | 4.4 | 519,251 | ||||||||
Insurance | 3.8 | 456,749 | ||||||||
Oil, Gas & Consumable Fuels | 3.7 | 441,731 | ||||||||
Energy Equipment & Services | 3.6 | 424,954 | ||||||||
Machinery | 3.3 | 395,802 | ||||||||
Metals & Mining | 2.8 | 337,525 | ||||||||
Internet Software & Services | 2.7 | 315,074 | ||||||||
Capital Markets | 2.5 | 302,390 | ||||||||
Hotels, Restaurants & Leisure | 2.5 | 301,674 | ||||||||
Wireless Telecommunication Services | 2.5 | 297,030 | ||||||||
Commercial Services & Supplies | 2.3 | 273,310 | ||||||||
Technology Hardware, Storage & Peripherals | 2.3 | 271,323 | ||||||||
IT Services | 2.1 | 244,802 | ||||||||
Auto Components | 1.8 | 209,791 | ||||||||
Software | 1.8 | 209,583 | ||||||||
Construction & Engineering | 1.0 | 116,579 | ||||||||
Professional Services | 0.9 | 110,967 | ||||||||
Other Assets in Excess of Liabilities | 2.1 | 253,331 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0% | $ | 11,878,473 | |||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
7
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 97.9% |
| |||||||
Auto Components — 1.8% |
| |||||||
Superior Industries International, Inc. | 10,753 | $ | 209,791 | |||||
|
| |||||||
Biotechnology — 6.1% | ||||||||
Emergent Biosolutions, Inc.* | 10,930 | 247,237 | ||||||
Myriad Genetics, Inc.* | 4,315 | 170,399 | ||||||
PDL BioPharma, Inc. | 36,629 | 312,445 | ||||||
|
| |||||||
730,081 | ||||||||
|
| |||||||
Capital Markets — 2.5% |
| |||||||
Investment Technology Group, Inc.* | 16,865 | 302,390 | ||||||
|
| |||||||
Commercial Banks — 12.0% |
| |||||||
Centerstate Banks, Inc. | 14,025 | 163,251 | ||||||
HomeTrust Bancshares, Inc.* | 7,131 | 110,174 | ||||||
International Bancshares Corp. | 8,320 | 236,038 | ||||||
National Bank Holdings Corp., Class A | 9,135 | 178,955 | ||||||
OFG Bancorp | 13,120 | 204,279 | ||||||
Popular, Inc.* | 8,650 | 275,762 | ||||||
Republic Bancorp, Inc., Class A | 10,436 | 253,073 | ||||||
|
| |||||||
1,421,532 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.3% |
| |||||||
Quad/Graphics, Inc. | 12,395 | 273,310 | ||||||
|
| |||||||
Construction & Engineering — 1.0% |
| |||||||
KBR, Inc. | 6,110 | 116,579 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 6.9% |
| |||||||
AVX Corp. | 12,490 | 180,356 | ||||||
Celestica, Inc. (Canada)* | 22,495 | 246,995 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Electronic Equipment, Instruments & Components — (Continued) |
| |||||||
Multi-Fineline Electronix, Inc.* | 23,120 | $ | 234,668 | |||||
Nam Tai Property, Inc. | 28,225 | 155,802 | ||||||
|
| |||||||
817,821 | ||||||||
|
| |||||||
Energy Equipment & Services — 3.6% |
| |||||||
Helix Energy Solutions Group, Inc.* | 6,184 | 164,742 | ||||||
Hercules Offshore, Inc.* | 76,599 | 126,388 | ||||||
McDermott International, Inc. (Panama)* | 34,850 | 133,824 | ||||||
|
| |||||||
424,954 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.4% |
| |||||||
Magellan Health Services, Inc.* | 4,270 | 258,420 | ||||||
Triple-S Management Corp., Class B* | 11,781 | 260,831 | ||||||
|
| |||||||
519,251 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.5% |
| |||||||
Biglari Holdings, Inc.* | 864 | 301,674 | ||||||
|
| |||||||
Insurance — 3.8% |
| |||||||
FBL Financial Group, Inc., Class A | 4,610 | 228,564 | ||||||
Maiden Holdings Ltd. (Bermuda) | 19,095 | 228,185 | ||||||
|
| |||||||
456,749 | ||||||||
|
| |||||||
Internet Software & Services — 2.7% |
| |||||||
j2 Global, Inc. | 5,825 | 315,074 | ||||||
|
| |||||||
IT Services — 2.1% |
| |||||||
Sykes Enterprises, Inc.* | 11,365 | 244,802 | ||||||
|
| |||||||
Machinery — 3.3% |
| |||||||
FreightCar America, Inc. | 5,303 | 174,840 |
The accompanying notes are an integral part of the financial statements.
8
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Machinery — (Continued) |
| |||||||
Kadant, Inc. | 5,345 | $ | 220,962 | |||||
|
| |||||||
395,802 | ||||||||
|
| |||||||
Metals & Mining — 2.8% |
| |||||||
Nevsun Resources Ltd. (Canada) | 99,565 | 337,525 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.7% |
| |||||||
Energy XXI Bermuda Ltd. (Bermuda) | 18,780 | 144,418 | ||||||
Stone Energy Corp.* | 6,980 | 171,010 | ||||||
VAALCO Energy, Inc.* | 17,022 | 126,303 | ||||||
|
| |||||||
441,731 | ||||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
Barrett Business Services, Inc. | 4,720 | 110,967 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 5.4% |
| |||||||
Anworth Mortgage Asset Corp. | 39,790 | 206,510 | ||||||
ARMOUR Residential REIT, Inc. | 28,190 | 111,632 | ||||||
Hatteras Financial Corp. | 6,170 | 117,477 | ||||||
Redwood Trust, Inc. | 10,645 | 200,020 | ||||||
|
| |||||||
635,639 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.4% |
| |||||||
ChipMOS Technologies Bermuda Ltd. (Bermuda) | 10,835 | 232,736 | ||||||
Kulicke & Soffa Industries, Inc.* | 20,150 | 290,563 | ||||||
Nova Measuring Instruments Ltd. (Israel)* | 26,237 | 266,830 | ||||||
OmniVision Technologies, Inc.* | 7,695 | 206,072 | ||||||
|
| |||||||
996,201 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software — 1.8% |
| |||||||
TiVo, Inc.* | 16,060 | $ | 209,583 | |||||
|
| |||||||
Specialty Retail — 4.8% |
| |||||||
Outerwall, Inc.* | 5,030 | 318,248 | ||||||
Systemax, Inc.* | 16,254 | 248,686 | ||||||
|
| |||||||
566,934 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.3% |
| |||||||
QLogic Corp.* | 22,974 | 271,323 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 10.3% |
| |||||||
Astoria Financial Corp. | 15,005 | 197,316 | ||||||
Beneficial Mutual Bancorp, Inc.* | 13,205 | 177,343 | ||||||
Charter Financial Corp. | 22,605 | 256,341 | ||||||
Clifton Bancorp, Inc. | 19,001 | 247,393 | ||||||
Northfield Bancorp, Inc. | 16,415 | 233,750 | ||||||
Waterstone Financial, Inc. | 9,498 | 116,256 | ||||||
|
| |||||||
1,228,399 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 2.5% |
| |||||||
Spok Holdings, Inc. | 18,290 | 297,030 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 11,625,142 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 97.9% |
| 11,625,142 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.1% | 253,331 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 11,878,473 | ||||||
|
|
* | Non-income producing. |
The accompanying notes are an integral part of the financial statements.
9
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Statement of Assets and Liabilities
October 31, 2014
(Unaudited)
Assets | ||||
Investments, at value (Cost $12,004,583) | $ | 11,625,142 | ||
Cash | 300,304 | |||
Receivable for investments sold | 13,636 | |||
Receivable for capital shares sold | 14,124 | |||
Dividends and interest receivable | 1,089 | |||
Receivable from Investment Adviser | 8,851 | |||
Prepaid expenses and other assets | 21,593 | |||
|
| |||
Total assets | 11,984,739 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 45,358 | |||
Payable for administration and accounting fees | 20,958 | |||
Payable for audit fees | 12,024 | |||
Payable for transfer agent fees | 11,643 | |||
Payable for legal fees | 8,936 | |||
Payable for custodian fees | 4,166 | |||
Accrued expenses | 3,181 | |||
|
| |||
Total liabilities | 106,266 | |||
|
| |||
Net Assets | $ | 11,878,473 | ||
|
| |||
Net Assets Consist of: | ||||
Capital stock, $0.01 par value | $ | 11,171 | ||
Paid-in capital | 12,276,636 | |||
Accumulated net investment income | 18,962 | |||
Accumulated net realized loss from investments | (48,855 | ) | ||
Net unrealized depreciation on investments | (379,441 | ) | ||
|
| |||
Net Assets | $ | 11,878,473 | ||
|
|
Class A: | ||||
Net asset value, redemption price per share ($2,532,498 / 238,604 shares) | $10.61 | |||
|
| |||
Maximum offering price per share (100/94.25 of $10.61) | $11.26 | |||
|
| |||
Class I: | ||||
Net asset value, offering and redemption price per share ($9,345,975 / 878,532 shares) | $10.64 | |||
|
|
The accompanying notes are an integral part of the financial statements.
10
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Statement of Operations
For the Six Months Ended October 31, 2014
(Unaudited)
Investment Income | ||||
Dividends | $ | 77,108 | ||
Less: foreign taxes withheld | (842 | ) | ||
Interest | 91 | |||
|
| |||
Total investment income | 76,357 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 46,249 | |||
Administration and accounting fees (Note 2) | 37,595 | |||
Transfer agent fees (Note 2) | 34,204 | |||
Audit fees | 12,691 | |||
Custodian fees (Note 2) | 6,320 | |||
Legal fees | 5,790 | |||
Registration and filing fees | 5,193 | |||
Trustees’ and officers’ fees (Note 2) | 3,520 | |||
Distribution fees (Class A) (Note 2) | 2,732 | |||
Printing and shareholder reporting fees | 192 | |||
Other expenses | 1,843 | |||
|
| |||
Total expenses before waivers and reimbursements | 156,329 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (95,785 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 60,544 | |||
|
| |||
Net investment income | 15,813 | |||
|
| |||
Net realized and unrealized (loss) from investments: | ||||
Net realized loss from investments | (88,792 | ) | ||
Net change in unrealized depreciation on investments | (508,375 | ) | ||
|
| |||
Net realized and unrealized loss on investments | (597,167 | ) | ||
|
| |||
Net decrease in net assets resulting from operations | $ | (581,354 | ) | |
|
|
The accompanying notes are an integral part of the financial statements.
11
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Statement of Changes in Net Assets
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014* | |||||||||
Increase in net assets from operations: | ||||||||||
Net investment income | $ | 15,813 | $ | 2,090 | ||||||
Net realized gain/(loss) from investments | (88,792 | ) | 39,937 | |||||||
Net change in unrealized appreciation/(depreciation) from investments | (508,375 | ) | 128,934 | |||||||
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | (581,354 | ) | 170,961 | |||||||
|
|
|
| |||||||
Increase in Net Assets Derived from Capital Share Transactions (Note 4) | 7,274,658 | 5,014,208 | ||||||||
|
|
|
| |||||||
Total increase in net assets | 6,693,304 | 5,185,169 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 5,185,169 | — | ||||||||
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| |||||||
End of period | $ | 11,878,473 | $ | 5,185,169 | ||||||
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Accumulated net investment income, end of period | $ | 18,962 | $ | 3,149 | ||||||
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* | The Fund commenced operations on September 30, 2013. |
The accompanying notes are an integral part of the financial statements.
12
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for each Class A Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class A | ||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period September 30, 2013* to April 30, 2014 | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 11.22 | $ | 10.00 | ||||||
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| |||||||
Net investment income(1) | 0.01 | — | (2) | |||||||
Net realized and unrealized gain/(loss) on investments | (0.62 | ) | 1.22 | |||||||
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| |||||||
Net increase/(decrease) in net assets resulting from operations | (0.61 | ) | 1.22 | |||||||
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| |||||||
Net asset value, end of period | $ | 10.61 | $ | 11.22 | ||||||
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Total investment return(3) | (5.35 | %) | 12.10 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (000’s omitted) | $ | 2,532 | $ | 1,649 | ||||||
Ratio of expenses to average net assets | 1.50 | %(4) | 1.50 | %(4) | ||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(5) | 3.74 | %(4) | 16.06 | %(4) | ||||||
Ratio of net investment income to average net assets | 0.15 | %(4) | 0.04 | %(4) | ||||||
Portfolio turnover rate | 55.39 | %(6) | 36.00 | %(6) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. Total investment return does not reflect the impact of the maximum front-end sales load of 5.75%. If reflected, the return would be lower. |
(4) | Annualized. |
(5) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
13
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Financial Highlights (Continued)
Contained below is per share operating performance data for each Class I Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class I | ||||||||||
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period September 30, 2013* to April 30, 2014 | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 11.23 | $ | 10.00 | ||||||
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|
|
| |||||||
Net investment income(1) | 0.02 | 0.02 | ||||||||
Net realized and unrealized gain/(loss) on investments | (0.61 | ) | 1.21 | |||||||
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|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | (0.59 | ) | 1.23 | |||||||
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| |||||||
Net asset value, end of period | $ | 10.64 | $ | 11.23 | ||||||
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| |||||||
Total investment return(2) | (5.25 | %) | 12.30 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (000’s omitted) | $ | 9,346 | $ | 3,537 | ||||||
Ratio of expenses to average net assets | 1.25 | %(3) | 1.25 | %(3) | ||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 3.27 | %(3) | 17.69 | %(3) | ||||||
Ratio of net investment income to average net assets | 0.40 | %(3) | 0.30 | %(3) | ||||||
Portfolio turnover rate | 55.39 | %(5) | 36.00 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
14
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The WHV/Seizert Small Cap Value Equity Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), which commenced investment operations on September 30, 2013. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares: Class A, Class C and Class I Shares. Class A Shares are sold subject to a front-end sales charge. Front-end sales charges may be reduced or waived under certain circumstances. A contingent deferred sales charge (“CDSC”) of up to 1.00% may apply for investments of $1 million or more of Class A Shares of the Fund (and therefore no initial sales charge was paid) and shares are redeemed within 18 months after initial purchase. The CDSC shall not apply to those purchases of Class A Shares of $1 million or more where Foreside Funds Distributors LLC (the “Underwriter”) did not pay a commission to the selling broker-dealer. As of October 31, 2014, Class C shares had not been issued.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost which approximates fair value. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
15
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||
• Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing the Fund’s investments carried at fair value:
Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Investments in Securities* | $ | 11,625,142 | $ | 11,625,142 | $ | — | $ | — | ||||||||
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|
* Please refer to Portfolio of Investments for details on portfolio holdings.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, accounting principles generally accepted in the United States of America (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning
16
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
17
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
2. Transactions with Affiliates and Related Parties
WHV serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 1.00% of the Fund’s average daily net assets. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding 12b-1 fees and any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 1.25% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until September 30, 2016, unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
As of October 31, 2014, the amount of potential recovery was as follows:
Expiration | ||
April 30, 2017 | April 30, 2018 | |
$119,158 | $95,785 |
For the six months ended October 31, 2014, investment advisory fees accrued and waived by the Adviser was $46,249 and fees reimbursed by the Adviser were $49,536.
Seizert Capital Partners, LLC (“Seizert’’ or the “Sub-Adviser”) serves as the sub-adviser to the Fund. The Sub-Adviser provides certain services pursuant to a sub-advisory agreement among WHV, the Sub-Adviser and the Trust, on behalf of the Fund. Sub-Advisory fees are paid by WHV, not the Fund.
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Fund.
18
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of each Fund’s average daily net assets and is subject to certain minimum monthly fees.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses.
BNY Mellon and the Custodian have the ability to recover amounts previously waived, if the Fund terminates its agreements with BNY Mellon or the Custodian within three years of signing the agreements.
Foreside Funds Distributors LLC (the “Underwriter”), provides principal underwriting services to the Fund.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Class A Shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Class A Shares plan, the Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25% on an annualized basis of the average daily net assets of the Fund’s Class A Shares.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Fund during the six months ended October 31, 2014 was $350. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Fund or the Trust.
3. Investment in Securities
For the six months ended October 31, 2014, aggregate purchases and sales of investment securities (excluding U.S. Government and agency short-term investments and other short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 12,256,297 | $ | 4,832,671 |
19
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
4. Capital Share Transactions
For the six months ended October 31, 2014 and the period ended April 30, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended October 31, 2014 (Unaudited) | For the Period Ended April 30, 2014* | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Sales | 94,096 | $ | 1,018,040 | 146,978 | $ | 1,590,851 | ||||||||||
Redemptions** | (2,470 | ) | (26,970 | ) | — | — | ||||||||||
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Net increase | 91,626 | $ | 991,070 | 146,978 | $ | 1,590,851 | ||||||||||
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Class I Shares | ||||||||||||||||
Sales | 643,311 | $ | 7,158,382 | 315,059 | $ | 3,423,543 | ||||||||||
Redemptions** | (79,820 | ) | (874,794 | ) | (18 | ) | (186 | ) | ||||||||
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Net increase | 563,491 | $ | 6,283,588 | 315,041 | $ | 3,423,357 | ||||||||||
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Total net increase | 655,117 | $ | 7,274,658 | 462,019 | $ | 5,014,208 | ||||||||||
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* | The Fund commenced operations on September 30, 2013. |
** | Prior to September 1, 2014, there was a 2.00% redemption fee that may have been charged on shares redeemed which had been held for 30 days or less. The redemption fee was retained by the Funds for the benefit of the remaining shareholders and recorded as paid-in-capital. Effective September 1, 2014, this redemption fee was discontinued and is no longer charged. For the period ending six months there were no redemption fees charged. |
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
20
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Qualified Late-Year Losses | Other Temporary Differences | ||||||||||||||||||||
$— | $ | 52,482 | $ | 18 | $ | 121,038 | $ | — | $ | (1,518 | ) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 12,004,583 | ||||
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Gross unrealized appreciation | $ | 525,031 | ||||
Gross unrealized depreciation | (904,472 | ) | ||||
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Net unrealized depreciation | $ | (379,441 | ) | |||
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Accumulated capital losses represent net capital loss carryovers as of April 30, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), each Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of April 30, 2014, the fund did not have any capital loss carryforwards.
6. Subsequent Event
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
21
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 948-4685 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Approval of Sub-Advisory Agreements
On August 4, 2014, Northern Lights Capital Partners, LLC (“NLCP”), the parent company of Northern Lights Capital Group, LLC (“NLCG”) and an indirect minority owner of Seizert Capital Partners, LLC (“Seizert”), entered into an agreement to combine its businesses with those of Treasury Group, Ltd. (“Treasury Group”), an Australian corporation publicly traded on the Australian Stock Exchange (the “NL-Treasury Transaction”). Additionally, on August 4, 2014, Seizert entered into an agreement with NLCP under which NLCP through its subsidiary, Northern Lights Midco, LLC, will acquire a majority of the outstanding membership interests of Seizert (“NL-Seizert Transaction,” and together with the NL-Treasury Transaction, the “Seizert Transactions”). The Seizert Transactions, which were consummated on November 25, 2014, resulted in a change of control of Seizert (the “Change of Control”) and, pursuant to relevant provisions of the Investment Company Act of 1940, as amended (the “1940 Act”), resulted in the assignment and automatic termination of the sub-advisory agreement between Seizert, WHV Investments, Inc. and the Trust, on behalf of the WHV Fund, dated September 30, 2013 (the “Prior Sub-Advisory Agreement”).
Accordingly, at an in-person meeting held on September 22-23, 2014, the Board considered and approved two new sub-advisory agreements with the Sub-Adviser: (i) an interim sub-advisory agreement (“Interim Seizert Agreement”) in connection with the Change of Control and (ii) a new sub-advisory agreement (“New Seizert Agreement”) which would supersede the Interim Agreement upon approval by shareholders.
The Sub-Adviser continued to provide services to the Fund under the Prior Seizert Agreement prior to the consummation of the Transaction. Upon closing of the Transaction on November 25, 2014, the
22
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Other Information (Continued)
(Unaudited)
Prior Seizert Agreement was superseded by the Interim Seizert Agreement, which was superseded by the New Seizert Agreement upon approval by shareholders on December 1, 2014.
Below is a discussion regarding the Board’s considerations in approving the Interim Seizert Agreement and New Seizert Agreement at the September 22-23, 2014 in-person meeting. In connection with the Board’s consideration of the Interim and New Seizert Agreements, the Board also relied on its deliberations on the Prior Seizert Agreement at a meeting held in-person on June 19-20, 2013.
Before considering the Interim Seizert Agreement and New Seizert Agreement, the Board, including the Independent Trustees, requested information about the Change of Control. In determining whether to approve the Interim Seizert Agreement and New Seizert Agreement, the Trustees considered information provided by Seizert in conjunction with the September 22-23, 2014 in-person meeting. At the meeting, the Board, including a majority of the Independent Trustees, unanimously approved the Interim Seizert Agreement and New Seizert Agreement. In determining whether to approve the Interim Seizert Agreement and New Seizert Agreement, the Trustees considered information provided by Seizert in accordance with Section 15(c) of the 1940 Act. The Trustees considered information that Seizert provided regarding (i) the services performed for the Fund, (ii) the size and qualifications of Seizert’s portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with a portfolio manager’s management of the Fund, (iv) investment performance, (v) the capitalization and financial condition of Seizert, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Fund and other clients, (viii) results of any independent audit or regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on Seizert’s ability to service the Fund, (x) compliance with the Fund’s investment objectives, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements, and (xi) the Change of Control and the impact of the resulting change of control on the services provided by Seizert. Seizert also provided its current Form ADV for the Trustees’ review and consideration. The Trustees also received and reviewed a memorandum from legal counsel regarding the legal standard applicable to their review of the Interim Seizert Agreement and New Seizert Agreement.
At the in-person meeting, representatives from Seizert joined the meeting via teleconference and discussed the Change of Control, including the background of and reasons for the Change of Control. They also discussed Seizert’s history, performance, investment strategy, and compliance program in connection with the proposed New Seizert Agreement. Representatives of Seizert responded to questions from the Board. In connection with the Trustees’ review of the Interim Seizert Agreement and New Seizert Agreement, the representatives from Seizert emphasized that: (i) it is expected that there will be no changes as a result of the Change of Control in the nature, quality, or extent of services currently provided to the Fund and its shareholders, including investment management, distribution, or other shareholder services; (ii) it is expected that there will be no material adverse effects on Seizert’s financial condition; and (iii) no material changes in personnel or operations are contemplated.
23
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Other Information (Continued)
(Unaudited)
Consideration of the Interim Seizert Agreement and New Seizert Agreement. In addition to the information provided by Seizert as described above, the Trustees also considered all other factors they believed to be relevant to evaluating the Interim Seizert Agreement and New Seizert Agreement, including the specific matters discussed below. In their deliberations, the Trustees did not identify any particular information that was controlling, and different Trustees may have attributed different weights to the various factors. However, the Trustees determined that the overall arrangements with Seizert with respect to the WHV/Seizert Fund, as provided in the Interim Seizert Agreement and New Seizert Agreement, including the proposed sub-advisory fees, are fair and reasonable in light of the services to be performed, expenses incurred and such other matters as the Trustees considered relevant. Factors evaluated included: (i) the terms and conditions of the Interim Seizert Agreement and New Seizert Agreement, including that the contractual fees to be paid by WHV to Seizert with respect to the Fund under the Interim Seizert Agreement and New Seizert Agreement will remain the same; (ii) the Board’s review of the Current Seizert Agreement at the in-person meeting on June 19-20, 2013 as required by the 1940 Act and their determination at that time that (a) Seizert had the capabilities, resources, and personnel necessary to provide the satisfactory sub-advisory services to the Fund and (b) the sub-advisory fees to be paid by WHV to Seizert with respect to the Fund, represent reasonable compensation to Seizert in light of the services provided, the costs to Seizert of providing those services, economies of scale, and the fees and other expenses paid by similar funds and such other matters that the Board considered relevant in the exercise of their reasonable judgment; and (iii) the operations of Seizert are not currently expected to change as a result of the Change of Control. Certain of these considerations are discussed in more detail below.
In making their decision relating to the approval of the Interim Seizert Agreement and New Seizert Agreement, the Trustees gave attention to the information furnished. The following discussion, however, identifies the primary factors taken into account by the Trustees and the conclusions reached in approving the Interim Seizert Agreement and New Seizert Agreement.
Nature, Extent, and Quality of Services. The Trustees considered the services provided by Seizert to the Fund and its shareholders. In reviewing the nature, extent, and quality of services, the Board considered that the Interim Seizert Agreement and New Seizert Agreement will be substantially similar to the Current Seizert Agreement. The Trustees considered Seizert’s personnel and the depth of Seizert’s personnel who possess the experience to provide investment management services to the Fund. Based on the information provided by Seizert, including that no material changes are expected as a result of the Change of Control in Seizert’s personnel or operations, the Trustees concluded that (i) the nature, extent and quality of the services provided by Seizert are appropriate and consistent with the terms of the Interim Seizert Agreement and New Seizert Agreement, (ii) that the quality of those services has been consistent with industry norms, (iii) the Fund is likely to benefit from the continued provision of those services, (iv) Seizert has sufficient personnel, with the appropriate education and experience, to serve the Fund effectively and has demonstrated its continuing ability to attract and retain qualified personnel, and (v) the satisfactory nature, extent, and quality of services currently provided to the Fund and its shareholders is likely to continue under the Interim Seizert Agreement and New Seizert Agreement.
24
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Other Information (Continued)
(Unaudited)
Investment Performance. The Board considered the overall investment performance of Seizert and the Fund since the Fund’s inception on September 30, 2013. Trustees gave appropriate consideration to their review of investment performance presented in connection with the approval of the Interim Seizert Agreement and New Seizert Agreement at the September 22-23, 2014 in-person meeting and the approval of Seizert’s sub-advisory agreement at the June 19-20, 2013 in-person meeting. At the September 22-23, 2014 in-person meeting, the Trustees reviewed the historical performance charts for each of the Fund’s share classes as compared to the Fund’s benchmark, the Russell 2000 Value Index, and the Lipper Small-Cap Value Equity Fund, the Fund’s applicable Lipper peer group, for the since inception and year to date periods ended June 30, 2014. The Trustees noted that while absolute performance was strong for the year-to-date and since inception periods ended June 30, 2014, the Fund slightly underperformed its benchmark, the Russell 2000 Value Index, and the median of Fund’s Lipper peer group over the same periods. At the June 19-20, 2013 in-person meeting, the Trustees received performance information for Seizert’s small cap value equity separately managed account composite as compared to the benchmark for the Fund, the Russell 2000 Value Index on a one year, three year and since inception basis. They concluded that the performance of the Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies as measured by the information presented by Seizert. The Board also concluded that neither the Change of Control nor the Interim Seizert Agreement and New Seizert Agreement would likely have an adverse effect on the investment performance of the Fund because (i) Seizert does not currently expect the Change of Control to cause any material change to the Fund’s portfolio management team responsible for investment performance, which the Board found to be satisfactory, and (ii) as discussed in more detail below, the Fund’s expenses are not expected to increase as a result of the Change of Control.
Comparative Expenses. Seizert provided information regarding its advisory fees and an analysis of these fees in relation to the delivery of services to the Fund and any other ancillary benefit resulting from Seizert’s relationship with the Fund. The Trustees considered that the advisory fee rate payable by the Fund would not change. The Trustees noted that the proposed sub-advisory fees under the New Seizert Agreement would be paid by WHV out of the advisory fee it receives from the Fund. The Trustees considered the fees that Seizert charges to its separately managed accounts, and evaluated the explanations provided by Seizert as to differences in fees charged to the Fund and separately managed accounts. The Trustees reviewed the services provided to the Fund by Seizert as compared to services provided by other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the Fund. The Trustees also evaluated explanations provided by Seizert as to differences in fees charged to the Fund and other similarly managed accounts. On the basis of these considerations, together, with the other information it considered, the Board determined that the sub-advisory fee to be received by Seizert under the New Seizert Agreement is reasonable in light of the services provided. The Trustees considered whether the Change of Control would impact the services currently being provided to the Fund. Based on the information provided at the meeting, the Trustees concluded that there would not be any material impact on the expenses of the Fund and services provided to the Fund as a result of the Change of Control.
25
WHV/SEIZERT SMALL CAP VALUE EQUITY FUND
Other Information (Continued)
(Unaudited)
Management Profitability. The Trustees also considered the costs of the services provided by Seizert, the compensation and benefits received by Seizert in providing services to the Fund, as well as its profitability. The Trustees were provided with the financial statements for Seizert. In addition, the Trustees considered any direct or indirect revenues received by affiliates of Seizert. In considering the profitability to Seizert of its relationship with the Fund, the Board noted that the sub-advisory fees under the New Seizert Agreement would be paid by WHV out of the advisory fee it receives under an advisory agreement with the Fund and, in addition, are negotiated at arm’s length. As a consequence, the profitability to Seizert of its relationship with the Fund was not a substantial factor in the Board’s deliberations.
Economies of Scale. For similar reasons, the Board did not consider the potential economies of scale in Seizert’s management of the Fund to be a substantial factor in its consideration. The Trustees concluded that they would have the opportunity to periodically reexamine whether the Fund has achieved economies of scale, and the appropriateness of management fees payable to WHV and fees payable by WHV to Seizert, in the future.
Conclusion. After consideration of all the factors, taking into consideration the information presented at the meetings and deliberating in executive session, the entire Board, including the Independent Trustees, unanimously approved the Interim Seizert Agreement and New Seizert Agreement. The Board concluded that the sub-advisory fee rate under the Interim Seizert Agreement and New Seizert Agreement is reasonable in relation to the services provided and that execution of such agreement is in the best interests of the shareholders of the Fund. The Trustees also concluded that the sub-advisory fee is at an acceptable level in light of the quality of services provided to the Fund; that the advisory fee schedule would not be increased and would stay the same for the Fund; that the total expense ratio had not changed materially; and that Seizert had represented that the overall expenses for the Fund are not expected to be adversely affected by the Change of Control. The Trustees also noted that WHV had no present intention to alter any expense limitation or reimbursement currently in effect for the Fund. On that basis, the Trustees concluded that the proposed sub-advisory fee for the Fund is acceptable. In arriving at their decision, the Trustees did not identify any single matter as controlling, but made their determination in light of all the circumstances.
26
[THIS PAGE INTENTIONALLY LEFT BLANK.]
Investment Adviser
WHV Investments, Inc.
301 Battery Street
Suite 400
San Francisco, CA 94111-3203
Sub-Adviser
Seizert Capital Partners, LLC
185 Oakland Avenue
Suite 100
Birmingham, MI 48009-3433
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
As Sub-Advised by
WHV/SEIZERT SMALL CAP VALUE
EQUITY FUND
of
FundVantage Trust
Class A Shares
Class I Shares
SEMI-ANNUAL
REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the WHV/Seizert Small Cap Value Equity Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the WHV/Seizert Small Cap Value Equity Fund.
WHV/EAM INTERNATIONAL SMALL CAP EQUITY FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Dear WHV/EAM International Small Cap Equity Fund Shareholder,
Market Review
Global markets climbed steadily in the second quarter despite escalating geopolitical tensions in several regions and mixed economic data, but largely declined during the third quarter as September brought broad-based losses and increased volatility on falling oil prices and lackluster global growth. The Fund’s benchmark Russell Global ex-U.S. Small Cap Growth Index echoed these themes, increasing 2.17% in the second quarter and returning -6.20% in the third.
Political unrest dominated the global landscape in the second quarter. Thailand’s coup d’état, Ukraine’s Russia-backed separatist insurgency, and the growing tensions in the Middle East exemplified the theme. Despite this uncertainty and choppy economic data, the market took a more optimistic perspective given policy response, and global market volatility trended lower. Impressively, volatility in the MSCI EAFE Index contracted 26% during the second quarter.1
As the third quarter progressed, volatility increased roughly 40%1. The quarter was skittish even at the start as July was marked with the bailout of Banco Espirito Santo (Portugal’s largest bank), Argentina’s technical default, and military conflicts in Israel and Russia. The scope of the Russian/Ukrainian conflict became increasingly uncertain as the Malaysian Airlines passenger plane was shot down. However, the nominal damage to the Fund was relatively limited in July, with the Russell Global ex-US Small Cap Index down -1.37% in the month.
This pattern was repeatedly manifest in several emerging markets as their varied elections spurred hope for change in the second quarter while eventual disappointment led to negative market sentiment in the third. To point, euphoria overcame the Indian equity market as reformer Narendra Modi was elected Prime Minister with plans to pull India out of its sluggish growth, high inflation and elevated unemployment. In the third quarter, despite moderating inflation and quick energy infrastructure investments by Modi, concerns lingered over India’s outsized exposure to a potentially decelerating Chinese economy. In Indonesia, early Presidential election results during the second quarter suggested that Jokowi Widodo, the business-friendly Governor of Jakarta, would be sworn in with an aggressive formula to pull Indonesia out of its economic quagmire. Yet the road to positive change proved bumpy. With Indonesia running a sizeable deficit, it was discovered during the third quarter that Widodo’s compelling plan for infrastructure upgrades would have to come with cuts from elsewhere in the budget. Then in China, hints of new stimulus measures and policy change to defend the administration’s 7.5% GDP growth target stabilized the market during the second quarter. But concerns remained over potential GDP growth deceleration and a property market on the brink of collapse. In turn, the Peoples’ Bank of China (China’s central bank) responded in the third quarter by cutting short-term rates and adjusting home mortgage requirements in attempts to stabilize the property market. China had started the quarter with better than expected growth and excitement over its upcoming Hong Kong-Mainland exchange connection program, but ended with negative GDP revisions and unnerving protests.
Policy support continued to evolve during the second quarter in the developed markets, as well. In Japan, the Prime Minister Shinzo Abe’s eagerly awaited “Third Arrow” was released in June, focusing on labor market reform and corporate tax cuts to spur further economic growth. And in the eurozone, the European Central Bank (ECB) maintained its accommodative monetary policy, which at this point appears to have set developed Europe on a clearer path to sustained recovery. But then, adding a layer of uncertainty, economic data slowed considerably moving into the end of the third quarter. Germany, Europe’s stalwart of growth, was itself suddenly posting contractionary data. Exacerbating
1
WHV/EAM INTERNATIONAL SMALL CAP EQUITY FUND
Semi-Annual Investment Adviser’s Report (Continued)
October 31, 2014
(Unaudited)
the situation, ECB President Mario Draghi failed to deliver market-pleasing plans for incremental quantitative easing. In addition, the Japanese yen reaching 30-year lows served as both a headwind to South Korean exports and a tailwind to Japanese exporters.
Performance Review
The WHV/EAM International Small Cap Equity Fund (“the Fund”) is managed through a sub-advisory agreement with EAM Global Investors, LLC (“EAM Global”), an asset manager that specializes in active equity strategies in inefficient global markets. The Fund seeks to achieve long-term capital appreciation by primarily investing in a combination of equity securities of foreign (i.e., non-U.S.) companies with a suitable potential for earnings growth that are located in countries with developed markets, but may also invest in companies domiciled in emerging markets.
Since inception on May 27, 2014 through October 31, 2014 (“the fiscal period”), the WHV/EAM International Small Cap Equity Fund posted a loss of -2.20% (Class I shares), -2.20% (Class A shares at net asset value) and -7.82% (Class A shares with 5.75% maximum load) versus a -5.07% return for the Russell Global ex-U.S. Small Cap Growth Index during the same period.
From a performance attribution by sector perspective, relative outperformance during the fiscal period came largely from positive stock selection effects within the transportation and health technology sectors, as well as a notable allocation to cash during a down period. However, negative sector allocation and stock selection effects in the health services and finance sectors were the largest detractors from relative performance during the fiscal period.
By country, a complete lack of exposure to outperforming India was the main culprit for a significant negative country allocation effect, as the euphoria surrounding the election of Modi gave way to significant outperformance of India during the fiscal period. India accounted for a 4.4% weight in the benchmark and had a total return of 18.0%. The majority of our relative outperformance during the fiscal period can be credited to positive stock selection in both South Korea and China.
It is important to note that any top-down portfolio overweights and underweights will fluctuate based on our unbiased bottom-up stock selection process. We believe our disciplined approach reduces the investment universe to a rich list of stocks that signal positive fundamental change, regardless of region, country or sector.
Outlook
Going into the end of 2014, both emerging and developed markets have entered a heightened state of volatility. Investors’ attention continues to be firmly fixated on the actions and signals of global central banks.
Within developed markets, the Russian-Ukrainian conflict and subsequent sanctions appear to continue to weigh on European markets. Japan continues to outperform other developed markets as Prime Minister Shinzo Abe’s policies reverberate through the economy. In emerging markets, the once feared Thai coup d’état appears to have been welcomed as a sign of stability by the Thai market. And Brazil, Turkey and South Africa continue to be in the spotlight given their potential susceptibility to the specter of the U.S. Federal Reserve raising rates.
2
WHV/EAM INTERNATIONAL SMALL CAP EQUITY FUND
Semi-Annual Investment Adviser’s Report (Concluded)
October 31, 2014
(Unaudited)
As always, there are reasons for both optimism and pessimism for the future. Although concerns of a Chinese/European economic slowdown remain, the wide dispersion in country returns appears to represent an opportunity for outperformance if a strategy can capitalize on pockets of relative strength. Our disciplined and objective process starts from the bottom-up, identifying companies undergoing significant fundamental change that will result in earnings acceleration that is not yet fully priced in by the market. As a result, we remain confident our process will continue to help us navigate the challenging global markets.
Sincerely,
WHV Investments, Inc. & EAM Global Investors, LLC
1Source: EAM Investors, Bloomberg LP. EFA ETF Volatility Index (VXEFA) measures expected volatility of the iShares MSCI EAFE Index Fund.
3
WHV/EAM International Small Cap Equity Fund
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Total Returns For the Period Ended October 31, 2014† | ||||
Since Inception† | ||||
Class A Shares (without sales charge)* | -2.20 | % | ||
Class A Shares (with sales charge)* | -7.82 | % | ||
Class I Shares* | -2.20 | % | ||
Russell Global ex-U.S. Small Cap Growth Index | -5.07 | %** |
† | Not Annualized. |
* | The WHV/EAM International Small Cap Equity Fund commenced operations on May 27, 2014. |
** | Benchmark performance is from inception date of the Fund (May 27, 2014) only and is not the inception date of the benchmark itself. |
Class A Shares of the Fund have a 5.75% maximum sales charge.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 948-4685. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual Fund gross and net operating expense ratios are 2.47% and 1.65%, respectively, for Class A Shares and 2.22% and 1.40%, respectively, for Class I Shares of the Fund’s average daily net assets. These ratios are stated in the current prospectus dated June 2, 2014, and may differ from the actual expenses incurred by the Fund for the period covered by this report. WHV Investments, Inc. (the “Adviser”), has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 1.65% with respect to Class A Shares and 1.40% with respect to Class I Shares (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2017 unless the Board of Trustees approves its earlier termination. The Advisor is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period up to three years from the year in which the Advisor reduced its compensation and/or assumed expenses for the Fund. Total returns would be lower had such fees and expenses not been waived and/or reimbursed, or been higher had such fees and expenses not been recouped.
A 2.00% redemption fee applies to shares redeemed within 60 days of purchase. This redemption fee is not reflected in the returns shown above.
The Fund evaluates its performance as compared to that of the Russell Global ex-U.S. Small Cap Growth Index, which measures the growth segment for the smallest securities in the global equity universe, excluding companies assigned to the U.S. It includes smaller companies outside the U.S. that have higher growth earning potential as defined by Russell’s leading style methodology. The index is constructed to provide a comprehensive and unbiased barometer of the global growth market, excluding the U.S. It is impossible to invest directly in an index.
4
WHV/EAM International Small Cap Equity Fund
Semi-Annual Report
Performance Data (Concluded)
October 31, 2014
(Unaudited)
All mutual fund investing involves risk, including possible loss of principal. Investing in foreign securities entails special risks, such as fluctuations in currency exchange rates and possible lax regulation of securities markets and accounting practices.
5
WHV/EAM EMERGING MARKETS SMALL CAP EQUITY FUND
Semi-Annual Investment Adviser’s Report
October 31, 2014
(Unaudited)
Dear WHV/EAM Emerging Markets Small Cap Equity Fund Shareholder,
Market Review
Global markets climbed steadily in the second quarter despite escalating geopolitical tensions in several regions and mixed economic data, but largely declined during the third quarter as September brought broad-based losses and increased volatility on falling oil prices and lackluster global growth. The Fund’s benchmark Russell Emerging Markets Small Cap Growth Index echoed these themes, increasing 5.95% in the second quarter and returning -3.18% in the third.
Political unrest dominated the global landscape in the second quarter. Thailand’s coup d’état, Ukraine’s Russia-backed separatist insurgency, and the growing tensions in the Middle East exemplified the theme. Despite this uncertainty and choppy economic data, the market took a more optimistic perspective given policy response, and global market volatility trended lower. Impressively, volatility in the MSCI Emerging Markets Index contracted 33% during the second quarter.1
As the third quarter progressed, volatility increased roughly 40%1. The quarter was skittish even at the start as July was marked with the bailout of Banco Espirito Santo (Portugal’s largest bank), Argentina’s technical default, and military conflicts in Israel and Russia. The scope of the Russian/Ukrainian conflict became increasingly uncertain as the Malaysian Airlines passenger plane was shot down. However, the nominal damage to the Fund was relatively limited in July, with the Russell Emerging Markets Small Cap Growth Index down a nominal -0.37% in the month.
This pattern of volatility from the second to the third quarter was repeatedly manifested in several emerging markets as their varied elections spurred hope for change in the second quarter and eventual disappointment led to negative market sentiment in the third. The Indian equity market appeared to reflect a near euphoria as reform candidate Narendra Modi was elected Prime Minister with plans to pull India out of its sluggish growth, high inflation and elevated unemployment. In the third quarter, despite moderating inflation and quick energy infrastructure investments by Modi, concerns lingered over India’s outsized exposure to a potentially decelerating Chinese economy. In Indonesia, early Presidential election results during the second quarter suggested that Jokowi Widodo, the business-friendly Governor of Jakarta, would be sworn in with an aggressive formula to pull Indonesia out of its economic quagmire. Yet the road to positive change proved bumpy. With Indonesia running a sizeable deficit, it was discovered during the third quarter that Widodo’s compelling plan for infrastructure upgrades would have to come with cuts from elsewhere in the budget. Then in China, hints of new stimulus measures and policy change to defend the administration’s 7.5% GDP growth target stabilized the market during the second quarter. But concerns remained over potential GDP growth deceleration and a property market on the brink of collapse. In turn, the Peoples’ Bank of China (China’s central bank) responded in the third quarter by cutting short-term rates and adjusting home mortgage requirements in attempts to stabilize the property market. China had started the quarter with better than expected growth and excitement over its upcoming Hong Kong-Mainland exchange connection program, but ended with negative GDP revisions and unnerving protests.
Policy support continued to evolve during the second quarter in the developed markets, as well. In Japan, the Prime Minister Shinzo Abe’s eagerly awaited “Third Arrow” was released in June, focusing on labor market reform and corporate tax cuts to spur further economic growth. And in the eurozone, the European Central Bank (ECB) maintained its accommodative monetary policy, which at this point appears to have set developed Europe on a clearer path to
6
WHV/EAM EMERGING MARKETS SMALL CAP EQUITY FUND
Semi-Annual Investment Adviser’s Report (Continued)
October 31, 2014
(Unaudited)
sustained recovery. But then, adding a layer of uncertainty, economic data slowed considerably moving into the end of the third quarter. Germany, Europe’s stalwart of growth, was itself suddenly posting contractionary data. Exacerbating the situation, ECB President Mario Draghi failed to deliver market-pleasing plans for incremental quantitative easing. In addition, the Japanese yen reaching 30-year lows served as both a headwind to South Korean exports and a tailwind to Japanese exporters.
Performance Review
The WHV/EAM Emerging Markets Small Cap Equity Fund (“the Fund”) is managed through a sub-advisory agreement with EAM Global Investors, LLC (“EAM Global”), an asset manager that specializes in active equity strategies in inefficient global markets. The Fund seeks to achieve long-term capital appreciation by primarily investing in a combination of equity securities of foreign (i.e., non-U.S.) companies with a suitable potential for earnings growth that are domiciled in emerging markets, but may also invest in companies located in countries with developed markets.
Since inception on May 27, 2014 through October 31, 2014 (“the fiscal period”), the Fund posted a loss of -0.50% (Class I shares) and -0.70% (Class A shares at net asset value), and a loss of -6.41% (Class A shares with 5.75% maximum load), versus a 0.39% return for the benchmark Russell Emerging Markets Small Cap Growth Index during the same period.
From a performance attribution by sector perspective, relative outperformance during the fiscal period came from both positive allocation and stock selection effects, namely in the industrial services and non-energy minerals sectors. However, it was positive stock selection that accounted for the majority of the Fund’s positive performance. Yet stock selection was also responsible for relative underperformance in the consumer services and producer manufacturing sectors, the two largest detracting sectors from the Fund during the fiscal period.
By country, a relative lack of exposure to India was the main culprit for a negative country allocation effect, as the euphoria surrounding the election of Modi gave way to significant outperformance of India during the fiscal period. India accounted for an 11.22% weight in the benchmark and had a total return of 18.0%. The majority of our relative outperformance during the fiscal period can be credited to positive stock selection, particularly in China and South Korea.
It is important to note that any top-down portfolio overweights and underweights will fluctuate based on our unbiased bottom-up stock selection process. We believe our disciplined approach reduces the investment universe to a rich list of stocks that signal positive fundamental change, regardless of region, country or sector.
Outlook
Going into the end of 2014, both emerging and developed markets appear to have entered a heightened state of volatility. Investors’ attention continues to be firmly fixated on the actions and signals of global central banks.
Within developed markets, the Russian-Ukrainian conflict and subsequent sanctions continue to weigh on European markets. Japan continues to outperform other developed markets as Prime Minister Shinzo Abe’s policies reverberate through the economy. In emerging markets, the once feared Thai coup d’état appears to have been welcomed as
7
WHV/EAM EMERGING MARKETS SMALL CAP EQUITY FUND
Semi-Annual Investment Adviser’s Report (Concluded)
October 31, 2014
(Unaudited)
a sign of stability by the Thai market. And Brazil, Turkey and South Africa continue to be in the spotlight given their potential susceptibility to the specter of the U.S. Federal Reserve raising rates.
As always, there are reasons for both optimism and pessimism for the future. Although concerns of a Chinese/European economic slowdown remain, the wide dispersion in country returns appears to represent an opportunity for outperformance if a strategy can capitalize on pockets of relative strength. Our disciplined and objective process starts from the bottom-up, identifying companies undergoing significant fundamental change that will result in earnings acceleration that is not yet fully priced in by the market. As a result, we remain confident our process will continue to help us navigate the challenging global markets.
Sincerely,
WHV Investments, Inc. & EAM Global Investors, LLC
1Source: EAM Investors, Bloomberg LP. Emerging Markets ETF Volatility Index (VXEEM) measures expected volatility of the iShares MSCI Emerging Markets Index.
8
WHV/EAM Emerging Markets Small Cap Equity Fund
Semi-Annual Report
Performance Data
October 31, 2014
(Unaudited)
Total Returns For the Period Ended October 31, 2014† | ||||
Since Inception† | ||||
Class A Shares (without sales charge)* | -0.70 | % | ||
Class A Shares (with sales charge)* | -6.41 | % | ||
Class I Shares* | -0.50 | % | ||
Russell Emerging Markets Small Cap Growth Index | 0.39 | %** |
† | Not Annualized. |
* | The WHV/EAM Emerging Markets Small Cap Equity Fund commenced operations on May 27, 2014. |
** | Benchmark performance is from inception date of the Fund (May 27, 2014) only and is not the inception date of the benchmark itself. |
Class A Shares of the Fund have a 5.75% maximum sales charge.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 948-4685. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual Fund gross and net operating expense ratios are 2.50% and 2.00%, respectively, for Class A Shares and 2.25% and 1.75%, respectively, for Class I Shares of the Fund’s average daily net assets. These ratios are stated in the current prospectus dated June 2, 2014, and may differ from the actual expenses incurred by the Fund for the period covered by this report. WHV Investments, Inc. (the “Adviser”), has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 2.00% with respect to class A shares and 1.75% with respect to class I shares (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2017 unless the Board of Trustees approves its earlier termination. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
A 2.00% redemption fee applies to shares redeemed within 60 days of purchase. This redemption fee is not reflected in the returns shown above.
The Fund evaluates its performance as compared to that of the Russell Emerging Markets Small Cap Growth Index, which measures the growth segment of the smallest securities located in the global emerging market. It includes smaller companies with higher growth earning potential as defined by Russell’s leading style methodology. The index is constructed to provide a comprehensive and unbiased barometer of the global emerging markets growth market. It is impossible to invest directly in an index.
All mutual fund investing involves risk, including possible loss of principal. Investing in foreign securities entails special risks, such as fluctuations in currency exchange rates and possible lax regulation of securities markets and accounting practices. Emerging markets involve additional risks, including lack of market liquidity, currency devaluation, hyperinflation, political or social instability, and other factors.
9
WHV/EAM FUNDS
Fund Expense Disclosure
October 31, 2014
(Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, if any, and redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period from May 27, 2014 (commencement of operations) through October 31, 2014 for the Funds, and held for the entire period.
Actual Expenses
The first line of each accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of each accompanying table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), if any, or redemption fees. Therefore, the second line of each accompanying 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.
10
WHV/EAM FUNDS
Fund Expense Disclosure (Concluded)
October 31, 2014
(Unaudited)
WHV/EAM International Small Cap Equity Fund | |||||||||||||||
Beginning Account Value May 27, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Class A Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 978.00 | $ | 7.02 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,016.89 | 8.39 | ||||||||||||
Class I Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 978.00 | $ | 5.96 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.15 | 7.12 |
WHV/EAM Emerging Markets Small Cap Equity Fund | |||||||||||||||
Beginning Account Value May 27, 2014 | Ending Account Value October 31, 2014 | Expenses Paid During Period* | |||||||||||||
Class A Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 993.00 | $ | 8.57 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.12 | 10.16 | ||||||||||||
Class I Shares | |||||||||||||||
Actual | $ | 1,000.00 | $ | 995.00 | $ | 7.51 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,016.38 | 8.89 |
*Expenses are equal to an annualized expense ratio for the period May 27, 2014 (commencement of operations) to October 31, 2014 of 1.65% and 1.40% for Class A and Class I Shares, respectively, of the WHV/EAM International Small Cap Equity Fund; and 2.00% and 1.75% for Class A and Class I Shares, respectively, of the WHV/EAM Emerging Markets Small Cap Equity Fund; multiplied by the average account value over the period (157 days), then divided by 365 to reflect the period. Each Fund’s ending account values on the first line in the table are based on the actual total returns of the Fund since commencement of operations of (2.20%) for both Class A and Class I Shares of the WHV/EAM International Small Cap Equity Fund; and (0.70%) and (0.50%) for Class A and Class I Shares, respectively of the WHV/EAM Emerging Markets Small Cap Equity Fund. Hypothetical expenses are as if the Fund had been in existence from May 1, 2014, and are equal to its annualized expense ratios, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by 365 to reflect the period.
11
WHV/EAM INTERNATIONAL SMALL CAP EQUITY FUND
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||
COMMON STOCKS: | ||||||||
Semiconductors & Semiconductor Equipment | 7.7% | $ | 51,996 | |||||
Machinery | 4.9 | 33,239 | ||||||
Electronic Equipment, Instruments & Components | 4.9 | 33,113 | ||||||
Pharmaceuticals | 4.5 | 30,411 | ||||||
Biotechnology | 4.0 | 27,186 | ||||||
Auto Components | 4.0 | 27,176 | ||||||
Hotels, Restaurants & Leisure | 3.7 | 25,097 | ||||||
Food & Staples Retailing | 3.6 | 24,412 | ||||||
Household Durables | 3.3 | 22,500 | ||||||
Health Care Equipment & Supplies | 2.7 | 18,055 | ||||||
Chemicals | 2.6 | 17,555 | ||||||
Professional Services | 2.5 | 16,807 | ||||||
Textiles, Apparel & Luxury Goods | 2.4 | 16,039 | ||||||
Health Care Providers & Services | 2.2 | 14,884 | ||||||
Diversified Consumer Services | 2.2 | 14,657 | ||||||
Road & Rail | 2.1 | 14,175 | ||||||
Metals & Mining | 1.9 | 13,247 | ||||||
Personal Products | 1.9 | 13,246 | ||||||
Air Freight & Logistics | 1.8 | 12,198 | ||||||
Food Products | 1.6 | 11,033 | ||||||
Internet Software & Services | 1.6 | 10,916 | ||||||
Independent Power Producers & Energy Traders | 1.6 | 10,878 | ||||||
Real Estate Management & Development | 1.5 | 10,483 | ||||||
IT Services | 1.5 | 10,172 | ||||||
Construction & Engineering | 1.5 | 10,155 |
% of Net Assets | Value | |||||||
Specialty Retail | 1.4% | $ | 9,623 | |||||
Commercial Services & Supplies | 1.4 | 9,516 | ||||||
Diversified Telecommunication Services | 1.4 | 9,503 | ||||||
Electrical Equipment | 1.3 | 8,958 | ||||||
Computers & Peripherals | 1.3 | 8,801 | ||||||
Communications Equipment | 1.3 | 8,669 | ||||||
Media | 1.3 | 8,508 | ||||||
Oil, Gas & Consumable Fuels | 1.2 | 8,094 | ||||||
Software | 1.1 | 7,659 | ||||||
Industrial Conglomerates | 0.8 | 5,655 | ||||||
Airlines | 0.8 | 5,214 | ||||||
Household Products | 0.7 | 5,112 | ||||||
Consumer Finance | 0.7 | 5,053 | ||||||
Distributors | 0.7 | 5,029 | ||||||
Water Utilities | 0.7 | 4,815 | ||||||
Containers & Packaging | 0.7 | 4,740 | ||||||
Marine | 0.7 | 4,588 | ||||||
Commercial Banks | 0.7 | 4,552 | ||||||
Diversified Financial Services | 0.6 | 4,368 | ||||||
Transportation Infrastructure | 0.6 | 4,358 | ||||||
Leisure Equipment & Products | 0.6 | 4,131 | ||||||
Thrifts & Mortgage Finance | 0.6 | 4,122 | ||||||
Building Products | 0.6 | 3,822 | ||||||
Exchange Traded Fund | 2.4 | 15,991 | ||||||
Registered Investment Company | 12.7 | 86,563 | ||||||
Liabilities in Excess of Other Assets | (8.5) | (57,588) | ||||||
|
|
|
| |||||
NET ASSETS | 100.0% | $ | 679,486 | |||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
12
WHV/EAM FUNDS
WHV/EAM International Small Cap Equity Fund
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 93.4% |
| |||||||
Australia — 6.0% | ||||||||
Domino’s Pizza Enterprises, Ltd. | 266 | $ | 6,340 | |||||
Echo Entertainment Group, Ltd. | 1,345 | 4,516 | ||||||
G8 Education, Ltd. | 1,150 | 5,082 | ||||||
iiNET, Ltd. | 620 | 4,375 | ||||||
Sims Metal Management, Ltd. | 385 | 3,844 | ||||||
Sirtex Medical, Ltd. | 287 | 6,590 | ||||||
Slater & Gordon, Ltd. | 864 | 4,668 | ||||||
Vocus Communications, Ltd. | 983 | 5,128 | ||||||
|
| |||||||
40,543 | ||||||||
|
| |||||||
Austria — 0.7% | ||||||||
ams AG | 127 | 4,554 | ||||||
|
| |||||||
Brazil — 1.9% | ||||||||
GAEC Educacao SA | 386 | 4,907 | ||||||
Linx SA | 190 | 3,947 | ||||||
Smiles SA | 232 | 4,007 | ||||||
|
| |||||||
12,861 | ||||||||
|
| |||||||
Canada — 3.1% | ||||||||
Home Capital Group, Inc. | 86 | 4,122 | ||||||
NuVista Energy, Ltd.* | 392 | 3,607 | ||||||
Sierra Wireless, Inc.* | 155 | 4,244 | ||||||
TransForce, Inc. | 173 | 4,230 | ||||||
WestJet Airlines, Ltd. | 184 | 5,214 | ||||||
|
| |||||||
21,417 | ||||||||
|
| |||||||
China — 8.7% | ||||||||
China Creative Home Group, Ltd. | 16,940 | 4,213 | ||||||
China Medical System Holdings, Ltd. | 3,267 | 6,023 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
China — (Continued) | ||||||||
China Pioneer Pharma Holdings, Ltd. | 6,207 | $ | 5,902 | |||||
China Zhongwang Holdings, Ltd. | 10,315 | 5,433 | ||||||
CT Environmental Group, Ltd. | 4,509 | 4,815 | ||||||
Dynagreen Environmental Protection Group Co., Ltd.* | 6,636 | 4,681 | ||||||
Huadian Fuxin Energy Corp, Ltd., Class H | 9,930 | 5,713 | ||||||
Jintian Pharmaceutical Group, Ltd. | 12,268 | 4,853 | ||||||
Sinotrans Ltd., Class H | 8,852 | 7,024 | ||||||
Sunac China Holdings, Ltd. | 6,165 | 5,338 | ||||||
Sunny Optical Technology Group Co., Ltd. | 3,326 | 5,382 | ||||||
|
| |||||||
59,377 | ||||||||
|
| |||||||
Denmark — 0.8% | ||||||||
Bavarian Nordic A/S* | 174 | 5,388 | ||||||
|
| |||||||
Germany — 1.5% | ||||||||
Dialog Semiconductor PLC* | 156 | 5,387 | ||||||
KUKA AG | 74 | 4,664 | ||||||
|
| |||||||
10,051 | ||||||||
|
| |||||||
Hong Kong — 4.9% | ||||||||
China High Speed Transmission Equipment Group Co., Ltd.* | 5,008 | 3,948 | ||||||
China Traditional Chinese Medicine Co., Ltd.* | 7,788 | 4,391 | ||||||
EVA Precision Industrial Holdings, Ltd. | 19,391 | 5,183 |
The accompanying notes are an integral part of the financial statements.
13
WHV/EAM FUNDS
WHV/EAM International Small Cap Equity Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Hong Kong — (Continued) | ||||||||
Hua Han Bio-Pharmaceutical Holdings, Ltd. | 14,009 | $ | 5,006 | |||||
Lijun International Pharmaceutical Holding Co., Ltd. | 8,060 | 3,924 | ||||||
PAX Global Technology, Ltd.* | 5,904 | 6,341 | ||||||
Shenzhen International Holdings, Ltd. | 2,742 | 4,358 | ||||||
|
| |||||||
33,151 | ||||||||
|
| |||||||
Indonesia — 1.4% | ||||||||
Pembangunan Perumahan Persero Tbk PT | 23,799 | 5,180 | ||||||
Siloam International Hospitals Tbk PT* | 3,622 | 4,129 | ||||||
|
| |||||||
9,309 | ||||||||
|
| |||||||
Israel — 1.9% | ||||||||
Frutarom Industries, Ltd. | 173 | 4,378 | ||||||
Radware, Ltd.* | 233 | 4,425 | ||||||
Tower Semiconductor, Ltd.* | 412 | 4,038 | ||||||
|
| |||||||
12,841 | ||||||||
|
| |||||||
Italy — 1.4% | ||||||||
Brembo SpA | 141 | 4,676 | ||||||
Recordati SpA | 277 | 4,793 | ||||||
|
| |||||||
9,469 | ||||||||
|
| |||||||
Japan — 20.3% | ||||||||
ABC-Mart, Inc. | 85 | 4,901 | ||||||
Ain Pharmaciez, Inc. | 166 | 4,497 | ||||||
Canon Marketing Japan, Inc. | 246 | 5,029 | ||||||
Cosmos Pharmaceutical Corp. | 36 | 5,147 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Japan — (Continued) | ||||||||
CYBERDYNE, Inc.* | 122 | $ | 3,934 | |||||
Fancl Corp. | 334 | 4,582 | ||||||
Foster Electric Co., Ltd. | 283 | 4,483 | ||||||
FULLCAST Holdings Co., Ltd. | 962 | 4,787 | ||||||
Harmonic Drive Systems, Inc. | 292 | 3,770 | ||||||
Hoshizaki Electric Co., Ltd. | 98 | 4,747 | ||||||
Juki Corp.* | 1,608 | 5,015 | ||||||
Kobe Bussan Co., Ltd. | 125 | 5,366 | ||||||
Kose Corp. | 113 | 4,618 | ||||||
Kura Corp. | 182 | 4,934 | ||||||
Kusuri No Aoki Co., Ltd. | 95 | 4,663 | ||||||
Mabuchi Motor Co., Ltd. | 58 | 5,010 | ||||||
Nihon M&A Center, Inc. | 149 | 4,282 | ||||||
Nissan Chemical Industries, Ltd. | 230 | 4,264 | ||||||
Outsourcing, Inc. | 258 | 3,709 | ||||||
Pal Co., Ltd. | 157 | 4,722 | ||||||
Pigeon Corp. | 82 | 5,112 | ||||||
Roland DG Corp. | 105 | 4,432 | ||||||
Saizeriya Co., Ltd. | 294 | 4,351 | ||||||
Sanden Corp. | 689 | 3,974 | ||||||
Sanken Electric Co., Ltd. | 519 | 4,076 | ||||||
Teikoku Sen-I Co., Ltd. | 222 | 5,442 | ||||||
Temp Holdings Co., Ltd. | 124 | 4,029 | ||||||
Tobishima Corp.* | 1,818 | 4,975 | ||||||
Topcon Corp. | 205 | 4,813 | ||||||
Trancom Co., Ltd. | 104 | 4,346 | ||||||
|
| |||||||
138,010 | ||||||||
|
| |||||||
Luxembourg — 0.6% | ||||||||
APERAM* | �� | 138 | 3,970 | |||||
|
|
The accompanying notes are an integral part of the financial statements.
14
WHV/EAM FUNDS
WHV/EAM International Small Cap Equity Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Malaysia — 0.8% | ||||||||
Cahya Mata Sarawak Bhd | 4,291 | $ | 5,655 | |||||
|
| |||||||
Malta — 0.7% | ||||||||
Unibet Group PLC | 86 | 4,956 | ||||||
|
| |||||||
Mexico — 2.3% | ||||||||
Compartamos SAB de CV | 2,268 | 5,053 | ||||||
Gruma SAB de CV, Class B | 524 | 5,756 | ||||||
Megacable Holdings SAB de CV | 983 | 4,501 | ||||||
|
| |||||||
15,310 | ||||||||
|
| |||||||
Netherlands — 1.3% | ||||||||
BE Semiconductor Industries NV | 258 | 4,914 | ||||||
TomTom NV* | 574 | 4,170 | ||||||
|
| |||||||
9,084 | ||||||||
|
| |||||||
Norway — 1.2% | ||||||||
Nordic Semiconductor ASA* | 694 | 3,910 | ||||||
Opera Software ASA | 356 | 4,458 | ||||||
|
| |||||||
8,368 | ||||||||
|
| |||||||
Philippines — 1.4% | ||||||||
Energy Development Corp. | 30,105 | 5,165 | ||||||
GT Capital Holdings, Inc. | 194 | 4,368 | ||||||
|
| |||||||
9,533 | ||||||||
|
| |||||||
Singapore — 0.8% | ||||||||
Singapore Post, Ltd. | 3,371 | 5,174 | ||||||
|
| |||||||
South Korea — 16.4% | ||||||||
CJ Korea Express Co., Ltd.* | 31 | 5,599 | ||||||
Coreana Cosmetics Co., Ltd.* | 1,261 | 4,046 | ||||||
DNF Co., Ltd.* | 265 | 4,779 | ||||||
Fila Korea, Ltd. | 44 | 4,595 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
South Korea — (Continued) |
| |||||||
Halla Visteon Climate Control Corp. | 88 | $ | 3,922 | |||||
Hanssem Co., Ltd. | 46 | 5,483 | ||||||
Huons Co., Ltd. | 104 | 6,274 | ||||||
i-SENS, Inc.* | 79 | 4,646 | ||||||
KEPCO Plant Service & Engineering Co., Ltd. | 59 | 4,835 | ||||||
LEENO Industrial, Inc. | 149 | 5,933 | ||||||
Medy-Tox, Inc. | 24 | 5,592 | ||||||
Naturalendo Tech Co., Ltd.* | 104 | 5,458 | ||||||
Nice Information & Telecom-munication, Inc. | 199 | 6,039 | ||||||
Romanson Co., Ltd. | 332 | 6,059 | ||||||
Samchuly Bicycle Co., Ltd. | 199 | 4,131 | ||||||
SEWOONMEDICAL Co., Ltd. | 597 | 4,694 | ||||||
Tera Semicon Co., Ltd.* | 238 | 4,487 | ||||||
TES Co., Ltd. | 286 | 4,184 | ||||||
Tovis Co., Ltd. | 367 | 6,139 | ||||||
Vieworks Co., Ltd. | 141 | 4,781 | ||||||
ViroMed Co., Ltd.* | 86 | 4,158 | ||||||
Youngone Corp. | 90 | 5,385 | ||||||
|
| |||||||
111,219 | ||||||||
|
| |||||||
Sweden — 4.2% | ||||||||
Axfood AB | 77 | 4,739 | ||||||
BillerudKorsnas AB | 325 | 4,740 | ||||||
Haldex AB | 360 | 4,418 | ||||||
Net Entertainment NE AB, Class B | 209 | 6,458 | ||||||
Nibe Industrier AB, Class B | 144 | 3,822 | ||||||
Tethys Oil AB* | 407 | 4,487 | ||||||
|
| |||||||
28,664 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
15
WHV/EAM FUNDS
WHV/EAM International Small Cap Equity Fund
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Switzerland — 1.5% | ||||||||
Forbo Holding AG | 4 | $ | 4,151 | |||||
U-Blox AG | 44 | 5,948 | ||||||
|
| |||||||
10,099 | ||||||||
|
| |||||||
Taiwan — 4.1% | ||||||||
Chicony Electronics Co., Ltd. | 1,517 | 4,369 | ||||||
Hota Industrial Manufacturing Co., Ltd. | 2,804 | 5,024 | ||||||
Lu Hai Holding Corp. | 2,048 | 4,423 | ||||||
Sitronix Technology Corp. | 1,888 | 4,565 | ||||||
Wan Hai Lines, Ltd. | 6,204 | 4,588 | ||||||
YCC Parts Manufacturing Co., Ltd. | 1,676 | 5,157 | ||||||
|
| |||||||
28,126 | ||||||||
|
| |||||||
Thailand — 3.1% | ||||||||
Ananda Development PCL | 44,033 | 5,145 | ||||||
Delta Electronics Thailand PCL | 2,626 | 5,214 | ||||||
KCE Electronics PCL | 4,255 | 5,224 | ||||||
Sappe PCL* | 3,951 | 5,277 | ||||||
|
| |||||||
20,860 | ||||||||
|
| |||||||
Turkey — 0.6% | ||||||||
Petkim Petrokimya Holding AS | 2,596 | 4,134 | ||||||
|
| |||||||
United Kingdom — 1.8% | ||||||||
Bank of Georgia Holdings PLC | 111 | 4,552 | ||||||
Optimal Payments PLC* | 582 | 4,133 | ||||||
Tungsten Corp. PLC* | 773 | 3,712 | ||||||
|
| |||||||
12,397 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 634,520 | |||||||
|
|
Number of Shares | Value | |||||||
EXCHANGE TRADED FUNDS — 2.4% |
| |||||||
India — 2.4% | ||||||||
Market Vectors India Small-Cap Index ETF | 343 | $ | 15,991 | |||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS |
| 15,991 | ||||||
|
| |||||||
REGISTERED INVESTMENT COMPANY — 12.7% |
| |||||||
BlackRock Liquidity Funds TempCash Portfolio, Institutional Shares | 86,563 | 86,563 | ||||||
|
| |||||||
TOTAL REGISTERED INVESTMENT COMPANY |
| 86,563 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 108.5% |
| 737,074 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (8.5)% | (57,588 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 679,486 | ||||||
|
|
* | Non-income producing. |
Legend:
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
16
WHV/EAM Emerging Markets Small Cap Equity Fund
Portfolio Holdings Summary Table
October 31, 2014
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
COMMON STOCKS: | ||||||||||
Electronic Equipment, Instruments & Components | 7.8 | % | $ | 49,520 | ||||||
Real Estate Management & Development | 5.7 | 36,082 | ||||||||
Pharmaceuticals | 5.0 | 31,638 | ||||||||
Health Care Providers & Services | 5.0 | 31,500 | ||||||||
Food Products | 4.8 | 30,432 | ||||||||
Chemicals | 4.5 | 28,854 | ||||||||
Health Care Equipment & Supplies | 4.2 | 26,291 | ||||||||
Capital Markets | 3.4 | 21,499 | ||||||||
Textiles, Apparel & Luxury Goods | 3.3 | 21,150 | ||||||||
Semiconductors & Semiconductor Equipment | 3.3 | 20,881 | ||||||||
Commercial Services & Supplies | 3.3 | 20,737 | ||||||||
Auto Components | 3.1 | 19,325 | ||||||||
Independent Power Producers & Energy Traders | 2.5 | 15,761 | ||||||||
Media | 2.5 | 15,523 | ||||||||
Household Durables | 2.3 | 14,835 | ||||||||
Hotels, Restaurants & Leisure | 2.3 | 14,700 | ||||||||
Personal Products | 2.3 | 14,685 | ||||||||
Transportation Infrastructure | 2.2 | 13,800 | ||||||||
Construction & Engineering | 1.9 | 11,954 | ||||||||
Water Utilities | 1.8 | 11,578 | ||||||||
Road & Rail | 1.7 | 10,564 |
% of Net Assets | Value | |||||||||
Specialty Retail | 1.6 | % | $ | 10,427 | ||||||
Biotechnology | 1.6 | 10,290 | ||||||||
Machinery | 1.5 | 9,602 | ||||||||
Software | 1.4 | 8,931 | ||||||||
Leisure Equipment & Products | 1.4 | 8,785 | ||||||||
Construction Materials | 1.0 | 6,026 | ||||||||
Air Freight & Logistics | 1.0 | 6,022 | ||||||||
IT Services | 0.9 | 5,887 | ||||||||
Building Products | 0.9 | 5,848 | ||||||||
Commercial Banks | 0.9 | 5,676 | ||||||||
Diversified Telecommunication Services | 0.9 | 5,532 | ||||||||
Metals & Mining | 0.9 | 5,465 | ||||||||
Industrial Conglomerates | 0.9 | 5,410 | ||||||||
Diversified Consumer Services | 0.8 | 5,301 | ||||||||
Insurance | 0.8 | 5,283 | ||||||||
Marine | 0.8 | 5,114 | ||||||||
Aerospace & Defense | 0.8 | 4,891 | ||||||||
Diversified Financial Services | 0.8 | 4,886 | ||||||||
Consumer Finance | 0.7 | 4,652 | ||||||||
Computers & Peripherals | 0.7 | 4,263 | ||||||||
Paper & Forest Products | 0.7 | 4,220 | ||||||||
Internet & Catalog Retail | 0.7 | 4,219 | ||||||||
Exchange Traded Funds | 2.1 | 13,613 | ||||||||
Registered Investment Company | 9.4 | 59,622 | ||||||||
Liabilities in Excess of Other Assets | (6.1 | ) | (38,860 | ) | ||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 632,414 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
17
WHV/EAM FUNDS
WHV/EAM Emerging Markets Small Cap Equity Fund
Portfolio of Investments
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 94.6% |
| |||||||
Brazil — 3.7% | ||||||||
GAEC Educacao SA | 417 | $ | 5,301 | |||||
Linx SA | 195 | 4,051 | ||||||
Qualicorp SA* | 500 | 5,085 | ||||||
Sao Martinho SA | 293 | 4,612 | ||||||
Smiles SA | 261 | 4,508 | ||||||
|
| |||||||
23,557 | ||||||||
|
| |||||||
China — 17.0% | ||||||||
ANTA Sports Products, Ltd. | 2,334 | 4,581 | ||||||
AviChina Industry & Technology Co., Ltd., Class H | 6,421 | 4,891 | ||||||
China Animal Healthcare, Ltd. | 7,169 | 5,918 | ||||||
China Creative Home Group, Ltd. | 19,536 | 4,859 | ||||||
China Medical System Holdings, Ltd. | 3,240 | 5,974 | ||||||
China Singyes Solar Technologies Holdings, Ltd. | 3,211 | 6,149 | ||||||
China Zhongwang Holdings, Ltd. | 10,376 | 5,465 | ||||||
CT Environmental Group, Ltd. | 5,298 | 5,658 | ||||||
Dynagreen Environmental Protection Group Co., Ltd., Class H* | 7,002 | 4,939 | ||||||
Guotai Junan International Holdings, Ltd. | 7,366 | 5,145 | ||||||
Hollysys Automation Technologies, Ltd.* | 213 | 5,225 | ||||||
Huadian Fuxin Energy Corp, Ltd., Class H | 9,739 | 5,603 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
China — (Continued) | ||||||||
Jintian Pharmaceutical Group, Ltd. | 12,884 | $ | 5,097 | |||||
Luye Pharma Group, Ltd.* | 3,525 | 5,088 | ||||||
Sinotrans Ltd., Class H | 7,589 | 6,022 | ||||||
Sunac China Holdings, Ltd. | 6,109 | 5,289 | ||||||
Tianjin Capital Environmental Protection Group Co, Ltd., Class H | 6,981 | 4,972 | ||||||
Wasion Group Holdings, Ltd. | 5,833 | 6,088 | ||||||
Wisdom Holdings Group | 7,653 | 5,923 | ||||||
Wuzhou International Holdings, Ltd. | 19,059 | 4,660 | ||||||
|
| |||||||
107,546 | ||||||||
|
| |||||||
Hong Kong — 6.9% | ||||||||
Blue Sky Power Holdings, Ltd.* | 106,796 | 5,581 | ||||||
China Traditional Chinese Medicine Co., Ltd.* | 8,958 | 5,050 | ||||||
China Water Affairs Group, Ltd. | 11,626 | 5,920 | ||||||
EVA Precision Industrial Holdings, Ltd. | 20,348 | 5,439 | ||||||
Hua Han Bio-Pharmaceutical Holdings, Ltd., Class H | 14,254 | 5,094 | ||||||
Lijun International Pharmaceutical Holding Co., Ltd. | 9,273 | 4,514 | ||||||
PAX Global Technology, Ltd.* | 6,601 | 7,090 | ||||||
Shenzhen International Holdings Ltd. | 3,219 | 5,116 | ||||||
|
| |||||||
43,804 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
18
WHV/EAM FUNDS
WHV/EAM Emerging Markets Small Cap Equity Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
India — 0.7% |
| |||||||
MakeMyTrip, Ltd.* | 140 | $ | 4,219 | |||||
|
| |||||||
Indonesia — 2.6% | ||||||||
Pembangunan Perumahan Persero Tbk PT | 26,668 | 5,805 | ||||||
Siloam International Hospitals Tbk PT* | 4,212 | 4,801 | ||||||
Wijaya Karya Beton Tbk PT* | 63,090 | 6,026 | ||||||
|
| |||||||
16,632 | ||||||||
|
| |||||||
Malaysia — 1.7% | ||||||||
Cahya Mata Sarawak Bhd | 4,105 | 5,410 | ||||||
Eastern & Oriental Bhd | 5,803 | 4,942 | ||||||
|
| |||||||
10,352 | ||||||||
|
| |||||||
Mexico — 4.7% | ||||||||
Compartamos SAB de CV | 2,088 | 4,652 | ||||||
Gruma SAB de CV, Class B | 465 | 5,108 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B | 693 | 4,733 | ||||||
Grupo Financiero Interacciones SA de CV, Class O | 654 | 5,341 | ||||||
Infraestructura Energetica Nova SAB de CV | 807 | 4,924 | ||||||
Megacable Holdings SAB de CV | 1,112 | 5,092 | ||||||
|
| |||||||
29,850 | ||||||||
|
| |||||||
Philippines — 4.1% | ||||||||
Bloomberry Resorts Corp.* | 15,253 | 5,277 | ||||||
D&L Industries, Inc. | 19,304 | 5,889 | ||||||
Energy Development Corp. | 30,507 | 5,234 | ||||||
GT Capital Holdings, Inc. | 217 | 4,886 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Philippines — (Continued) |
| |||||||
Jollibee Foods Corp. | 1,037 | $ | 4,529 | |||||
|
| |||||||
25,815 | ||||||||
|
| |||||||
South Africa — 8.3% | ||||||||
Brait SE* | 880 | 6,615 | ||||||
Capitec Bank Holdings, Ltd. | 215 | 5,676 | ||||||
Coronation Fund Managers, Ltd. | 508 | 4,398 | ||||||
Mondi, Ltd. | 252 | 4,220 | ||||||
Mr. Price Group, Ltd. | 270 | 5,590 | ||||||
Netcare, Ltd. | 2,027 | 6,132 | ||||||
Omnia Holdings, Ltd. | 222 | 4,428 | ||||||
Rand Merchant Insurance Holdings, Ltd. | 1,482 | 5,283 | ||||||
Super Group, Ltd.* | 1,690 | 4,837 | ||||||
Telkom SA SOC, Ltd.* | 1,041 | 5,532 | ||||||
|
| |||||||
52,711 | ||||||||
|
| |||||||
South Korea — 22.4% | ||||||||
AK Holdings, Inc. | 66 | 4,398 | ||||||
Bioland, Ltd. | 230 | 5,278 | ||||||
Byucksan Corp. | 985 | 5,848 | ||||||
CJ Korea Express Co., Ltd.* | 31 | 5,599 | ||||||
Coreana Cosmetics Co., Ltd.* | 1,389 | 4,456 | ||||||
Cosmax, Inc.* | 49 | 4,951 | ||||||
Farmsco* | 365 | 5,735 | ||||||
Halla Visteon Climate Control Corp. | 96 | 4,278 | ||||||
Hansae Co., Ltd. | 154 | 5,274 | ||||||
Hanssem Co., Ltd. | 47 | 5,602 | ||||||
i-SENS, Inc.* | 78 | 4,587 | ||||||
KEPCO Plant Service & Engineering Co., Ltd. | 64 | 5,245 | ||||||
LEENO Industrial, Inc. | 155 | 6,172 |
The accompanying notes are an integral part of the financial statements.
19
WHV/EAM FUNDS
WHV/EAM Emerging Markets Small Cap Equity Fund
Portfolio of Investments (Continued)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
South Korea — (Continued) | ||||||||
Lutronic Corp.* | 236 | $ | 5,779 | |||||
MDS Technology Co., Ltd. | 245 | 4,880 | ||||||
Naturalendo Tech Co., Ltd.* | 115 | 6,035 | ||||||
Nice Information & Telecommunication, Inc. | 194 | 5,887 | ||||||
OCI Materials Co., Ltd. | 106 | 5,047 | ||||||
Romanson Co., Ltd. | 314 | 5,731 | ||||||
Samchuly Bicycle Co., Ltd. | 218 | 4,526 | ||||||
Samlip General Foods Co., Ltd. | 36 | 5,678 | ||||||
SEWOONMEDICAL Co., Ltd. | 668 | 5,252 | ||||||
Suprema, Inc.* | 162 | 4,559 | ||||||
Tera Semicon Co., Ltd.* | 273 | 5,147 | ||||||
Vieworks Co., Ltd. | 166 | 5,628 | ||||||
ViroMed Co., Ltd.* | 88 | 4,255 | ||||||
Youngone Corp. | 93 | 5,564 | ||||||
|
| |||||||
141,391 | ||||||||
|
| |||||||
Taiwan — 9.0% | ||||||||
Advantech Co., Ltd. | 1 | 4 | ||||||
Charoen Pokphand Enterprise | 5,275 | 4,363 | ||||||
Chicony Electronics Co., Ltd. | 1,479 | 4,259 | ||||||
Flytech Technology Co., Ltd. | 1 | 2 | ||||||
Giant Manufacturing Co., Ltd. | 526 | 4,259 | ||||||
Hota Industrial Manufacturing Co., Ltd. | 2,698 | 4,834 | ||||||
Kinpo Electronics* | 10,019 | 4,374 | ||||||
Lu Hai Holding Corp. | 2,301 | 4,970 | ||||||
Realtek Semiconductor Corp. | 1,350 | 4,475 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Taiwan — (Continued) | ||||||||
Sitronix Technology Corp. | 2,104 | $ | 5,087 | |||||
Swancor Ind Co., Ltd. | 1,140 | 4,474 | ||||||
Wan Hai Lines, Ltd. | 6,915 | 5,114 | ||||||
WT Microelectronics Co., Ltd. | 3,192 | 5,097 | ||||||
YCC Parts Manufacturing Co., Ltd. | 1,704 | 5,243 | ||||||
|
| |||||||
56,555 | ||||||||
|
| |||||||
Thailand — 10.7% | ||||||||
Ananda Development PCL | 49,052 | 5,731 | ||||||
Bangkok Chain Hospital PCL | 15,392 | 4,606 | ||||||
BTS Group Holdings PCL | 15,687 | 4,965 | ||||||
Bumrungrad Hospital PCL | 1,415 | 5,779 | ||||||
Delta Electronics Thailand PCL | 2,683 | 5,327 | ||||||
Hana Microelectronics PCL | 4,504 | 6,016 | ||||||
Hemaraj Land And Development PCL | 34,198 | 5,023 | ||||||
KCE Electronics PCL | 4,040 | 4,960 | ||||||
Minor International PCL | 4,588 | 4,894 | ||||||
Quality Houses PCL | 38,346 | 5,068 | ||||||
Samart Corp. PCL | 5,083 | 5,156 | ||||||
Sappe PCL* | 3,696 | 4,936 | ||||||
Supalai PCL | 6,783 | 5,369 | ||||||
|
| |||||||
67,830 | ||||||||
|
| |||||||
Turkey — 2.0% | ||||||||
Petkim Petrokimya Holding AS | 2,900 | 4,618 | ||||||
TAV Havalimanlari Holding AS | 471 | 3,951 |
The accompanying notes are an integral part of the financial statements.
20
WHV/EAM FUNDS
WHV/EAM Emerging Markets Small Cap Equity Fund
Portfolio of Investments (Concluded)
October 31, 2014
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Turkey — (Continued) |
| |||||||
Turk Traktor ve Ziraat Makineleri AS | 132 | $ | 4,163 | |||||
|
| |||||||
12,732 | ||||||||
|
| |||||||
United States — 0.8% | ||||||||
Access Bio, Inc.* | 365 | 5,045 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 598,039 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 2.1% |
| |||||||
India — 2.1% |
| |||||||
Market Vectors India Small-Cap Index ETF | 292 | 13,613 | ||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS | 13,613 | |||||||
|
|
Number of Shares | Value | |||||||
WARRANTS — 0.0% |
| |||||||
Thailand — 0.0% |
| |||||||
Minor International PCL Expires 11/17/17 | 218 | $ | — | |||||
|
| |||||||
TOTAL WARRANTS | — | |||||||
|
| |||||||
REGISTERED INVESTMENT COMPANY — 9.4% |
| |||||||
BlackRock Liquidity Funds TempCash Portfolio, Institutional Shares | 59,622 | 59,622 | ||||||
|
| |||||||
TOTAL REGISTERED INVESTMENT COMPANY | 59,622 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 106.1% | 671,274 | |||||||
LIABILITIES IN EXCESS OF | (38,860 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 632,414 | ||||||
|
|
* | Non-income producing. |
The accompanying notes are an integral part of the financial statements.
21
WHV/EAM FUNDS
Statements of Assets and Liabilities
October 31, 2014
(Unaudited)
WHV/EAM International Small Cap Equity Fund | WHV/EAM Emerging Markets Small Cap Equity Fund | |||||||||
Assets | ||||||||||
Investments, at value (Cost $711,347 and $640,816, respectively) | $ | 737,074 | $ | 671,274 | ||||||
Foreign currency (Cost $405 and $465, respectively) | 410 | 462 | ||||||||
Receivable for investments sold | 13,335 | 14,859 | ||||||||
Dividends and interest receivable | 472 | 264 | ||||||||
Receivable from Investment Adviser | 30,300 | 30,408 | ||||||||
Prepaid expenses and other assets | 812 | 855 | ||||||||
|
|
|
| |||||||
Total assets | 782,403 | 718,122 | ||||||||
|
|
|
| |||||||
Liabilities | ||||||||||
Payable for investments purchased | 27,114 | 10,202 | ||||||||
Payable for transfer agent fees | 23,158 | 23,158 | ||||||||
Payable for administration and accounting fees | 14,122 | 14,125 | ||||||||
Payable for custodian fees | 8,252 | 8,252 | ||||||||
Payable for audit fees | 8,101 | 8,101 | ||||||||
Payable for Trustees and Officers | 5,678 | 5,678 | ||||||||
Payable for printing fees | 4,629 | 4,534 | ||||||||
Payable for legal fees | 4,373 | 4,384 | ||||||||
Accrued expenses | 7,490 | 7,274 | ||||||||
|
|
|
| |||||||
Total liabilities | 102,917 | 85,708 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 679,486 | $ | 632,414 | ||||||
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||
Capital stock, $0.01 par value | $ | 695 | $ | 636 | ||||||
Paid-in capital | 693,418 | 642,557 | ||||||||
Accumulated net investment income | 99 | 787 | ||||||||
Accumulated net realized loss from investments | (40,416 | ) | (41,983 | ) | ||||||
Net unrealized appreciation on investments and foreign currency transactions | 25,690 | 30,417 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 679,486 | $ | 632,414 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
22
WHV/EAM FUNDS
Statements of Assets and Liabilities (Concluded)
October 31, 2014
(Unaudited)
WHV/EAM International Small Cap Equity Fund | WHV/EAM Emerging Markets Small Cap Equity Fund | |||||||||
Class A: | ||||||||||
Net asset value, offering and redemption price per share ($130,242 /13,317 shares) and ($149,218 / 15,029 shares), respectively | $ | 9.78 | $ | 9.93 | ||||||
|
|
|
| |||||||
Maximum offering price per share (100/94.25 of $9.78 and 100/94.25 of $9.93) | $ | 10.38 | $ | 10.54 | ||||||
|
|
|
| |||||||
Class I: | ||||||||||
Net asset value, offering and redemption price per share ($549,244 / 56,134 shares) and ($483,196 / 48,582 shares), respectively | $ | 9.78 | $ | 9.95 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
23
WHV/EAM FUNDS
Statements of Operations
For the Period Ended October 31, 2014*
(Unaudited)
WHV/EAM International Small Cap Equity Fund | WHV/EAM Emerging Markets Small Cap Equity Fund | |||||||||
Investment Income | ||||||||||
Dividends | $ | 2,958 | $ | 4,557 | ||||||
Less: foreign taxes withheld | (265 | ) | (553 | ) | ||||||
|
|
|
| |||||||
Total investment income | 2,693 | 4,004 | ||||||||
|
|
|
| |||||||
Expenses | ||||||||||
Advisory fees (Note 2) | 2,066 | 2,669 | ||||||||
Transfer agent fees (Note 2) | 34,886 | 34,886 | ||||||||
Administration and accounting fees (Note 2) | 34,121 | 34,121 | ||||||||
Custodian fees (Note 2) | 14,563 | 14,563 | ||||||||
Audit fees | 8,101 | 8,101 | ||||||||
Trustees’ and officers’ fees (Note 2) | 5,692 | 5,692 | ||||||||
Printing and shareholder reporting fees | 4,629 | 4,629 | ||||||||
Registration and filing fees | 1,490 | 1,490 | ||||||||
Distribution fees (Class A) (Note 2) | 79 | 98 | ||||||||
Legal fees | 6,712 | 6,713 | ||||||||
Other expenses | 6,714 | 6,719 | ||||||||
|
|
|
| |||||||
Total expenses before waivers and reimbursements | 119,053 | 119,681 | ||||||||
|
|
|
| |||||||
Less: waivers and reimbursements (Note 2) | (116,459 | ) | (116,464 | ) | ||||||
|
|
|
| |||||||
Net expenses after waivers and reimbursements | 2,594 | 3,217 | ||||||||
|
|
|
| |||||||
Net investment income | 99 | 787 | ||||||||
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||
Net realized loss from investments | (39,849 | ) | (40,986 | ) | ||||||
Net realized loss from foreign currency transactions | (567 | ) | (997 | ) | ||||||
Net change in unrealized appreciation on investments | 25,727 | 30,458 | ||||||||
Net change in unrealized depreciation on foreign currency transactions | (37 | ) | (41 | ) | ||||||
|
|
|
| |||||||
Net realized and unrealized loss on investments | (14,726 | ) | (11,566 | ) | ||||||
|
|
|
| |||||||
Net decrease in net assets resulting from operations | $ | (14,627 | ) | $ | (10,779 | ) | ||||
|
|
|
|
* | The Funds commenced operations on May 27, 2014. |
The accompanying notes are an integral part of the financial statements.
24
WHV/EAM FUNDS
WHV/EAM International Small Cap Equity Fund
Statement of Changes in Net Assets
For the Period Ended October 31, 2014 (Unaudited)* | |||||
Increase/(decrease) in net assets from operations: | |||||
Net investment income | $ | 99 | |||
Net realized loss from investments and foreign currency transactions | (40,416 | ) | |||
Net change in unrealized appreciation from investments and foreign currency transactions | 25,690 | ||||
|
| ||||
Net decrease in net assets resulting from operations | (14,627 | ) | |||
|
| ||||
Increase in Net Assets Derived from Capital Share Transactions (Note 4) | 694,113 | ||||
|
| ||||
Total increase in net assets | 679,486 | ||||
|
| ||||
Net assets | |||||
Beginning of period | — | ||||
|
| ||||
End of period | $ | 679,486 | |||
|
| ||||
Accumulated net investment income, end of period | $ | 99 | |||
|
|
* | The Fund commenced operations on May 27, 2014. |
The accompanying notes are an integral part of the financial statements.
25
WHV/EAM FUNDS
WHV/EAM Emerging Markets Small Cap Equity Fund
Statement of Changes in Net Assets
For the Period Ended October 31, 2014 (Unaudited)* | |||||
Increase/(decrease) in net assets from operations: | |||||
Net investment income | $ | 787 | |||
Net realized loss from investments and foreign currency transactions | (41,983 | ) | |||
Net change in unrealized appreciation from investments and foreign currency transactions | 30,417 | ||||
|
| ||||
Net decrease in net assets resulting from operations | (10,779 | ) | |||
|
| ||||
Increase in Net Assets Derived from Capital Share Transactions (Note 4) | 643,193 | ||||
|
| ||||
Total increase in net assets | 632,414 | ||||
|
| ||||
Net assets | |||||
Beginning of period | — | ||||
|
| ||||
End of period | $ | 632,414 | |||
|
| ||||
Accumulated net investment income, end of period | $ | 787 | |||
|
|
* | The Fund commenced operations on May 27, 2014. |
The accompanying notes are an integral part of the financial statements.
26
WHV/EAM INTERNATIONAL SMALL CAP EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for each Class A Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class A | |||||
For the Period May 27, 2014* to October 31, 2014 (Unaudited) | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 10.00 | |||
|
| ||||
Net investment loss(1) | (0.01 | ) | |||
Net realized and unrealized loss on investments | (0.21 | ) | |||
|
| ||||
Net decrease in net assets resulting from operations | (0.22 | ) | |||
|
| ||||
Redemption fees | — | (2) | |||
|
| ||||
Net asset value, end of period | $ | 9.78 | |||
|
| ||||
Total investment return(3) | (2.20 | )% | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $ | 130 | |||
Ratio of expenses to average net assets | 1.65 | %(4) | |||
Ratio of expenses to average net assets without waivers, expense reimbursements and/or recoupment(5) | 58.65 | %(4) | |||
Ratio of net investment income to average net assets | (0.15 | %)(4) | |||
Portfolio turnover rate | 88.00 | %(6) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. Total investment return does not reflect the impact of the maximum front-end sales load of 5.75%. If reflected, the return would be lower. |
(4) | Annualized. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
27
WHV/EAM INTERNATIONAL SMALL CAP EQUITY FUND
Financial Highlights (Continued)
Contained below is per share operating performance data for each Class I Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class I | |||||
For the Period May 27, 2014* to October 31, 2014 (Unaudited) | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 10.00 | |||
|
| ||||
Net investment income(1) | 0.00 | (2) | |||
Net realized and unrealized loss on investments | (0.22 | ) | |||
|
| ||||
Net decrease in net assets resulting from operations | (0.22 | ) | |||
|
| ||||
Redemption fees | — | (2) | |||
|
| ||||
Net asset value, end of period | $ | 9.78 | |||
|
| ||||
Total investment return(3) | (2.20 | )% | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $ | 549 | |||
Ratio of expenses to average net assets | 1.40 | %(4) | |||
Ratio of expenses to average net assets without waivers, expense reimbursements and/or recoupment(5) | 67.89 | %(4) | |||
Ratio of net investment income to average net assets | 0.10 | %(4) | |||
Portfolio turnover rate | 88.00 | %(6) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
28
WHV/EAM EMERGING MARKETS SMALL CAP EQUITY FUNDS
Financial Highlights
Contained below is per share operating performance data for each Class A Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class A | |||||
For the Period May 27, 2014* to October 31, 2014 (Unaudited) | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 10.00 | |||
|
| ||||
Net investment income(1) | 0.01 | ||||
Net realized and unrealized loss on investments | (0.08 | ) | |||
|
| ||||
Net decrease in net assets resulting from operations | (0.07 | ) | |||
|
| ||||
Net asset value, end of period | $ | 9.93 | |||
|
| ||||
Total investment return(2) | (0.70 | )% | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $ | 149 | |||
Ratio of expenses to average net assets | 2.00 | %(3) | |||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 58.88 | %(3) | |||
Ratio of net investment income to average net assets | 0.25 | %(3) | |||
Portfolio turnover rate | 91.00 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. Total investment return does not reflect the impact of the maximum front-end sales load of 5.75%. If reflected, the return would be lower. |
(3) | Annualized. |
(4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
29
WHV/EAM EMERGING MARKETS SMALL CAP EQUITY FUNDS
Financial Highlights (Continued)
Contained below is per share operating performance data for each Class I Share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class I | |||||
For the Period May 27, 2014* to October 31, 2014 (Unaudited) | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 10.00 | |||
|
| ||||
Net investment income(1) | 0.02 | ||||
Net realized and unrealized loss on investments | (0.07 | ) | |||
|
| ||||
Net decrease in net assets resulting from operations | (0.05 | ) | |||
|
| ||||
Net asset value, end of period | $ | 9.95 | |||
|
| ||||
Total investment return(2) | (0.50 | )% | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $ | 483 | |||
Ratio of expenses to average net assets | 1.75 | %(3) | |||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 69.63 | %(3) | |||
Ratio of net investment income to average net assets | 0.50 | %(3) | |||
Portfolio turnover rate | 91.00 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived. If such fee waivers had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
30
WHV/EAM FUNDS
Notes to Financial Statements
October 31, 2014
(Unaudited)
1. Organization and Significant Accounting Policies
The WHV/EAM International Small Cap Equity Fund and WHV/EAM Emerging Markets Small Cap Equity Fund (each a “Fund” and together the “Funds”) are diversified, open-end management investment companies registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), and commenced investment operations on May 27, 2014. The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Funds offer separate classes of shares, Class A and Class I Shares. Class A Shares are sold subject to a front-end sales charge. Front-end sales charges may be reduced or waived under certain circumstances. A contingent deferred sales charge (“CDSC”) of up to 1.00% may apply for investments of $1 million or more of Class A Shares of each Fund (and therefore no initial sales charge was paid) and shares are redeemed within 18 months after initial purchase. The CDSC shall not apply to those purchases of Class A Shares of $1 million or more where Foreside Funds Distributors LLC (the “Underwriter”) did not pay a commission to the selling broker-dealer.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by each Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. The Funds’ equity securities listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees (“Board of Trustees”). Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost which approximates fair value. Any assets held by the Funds that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Funds determine the daily NAV per share. Foreign securities may trade on weekends or other days when the Funds do not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Funds. Investments in other open-end investment companies are valued based on the NAV of such investment companies (which may use fair value pricing as disclosed in their prospectuses). Securities that do not have a readily available current market value are valued in good faith under the direction of the Board of Trustees. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to WHV Investment Management, Inc. (“WHV”
31
WHV/EAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
or the “Adviser”) the responsibility for applying the valuation methods. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of each Fund’s investments are summarized into three levels as described in the hierarchy below:
• | Level 1 — quoted prices in active markets for identical securities; |
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
• | Level 3 — significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of October 31, 2014, in valuing each Fund’s investments carried at fair value:
WHV/EAM International Small Cap Equity Fund | Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
Common Stocks: | ||||||||||||||||
Australia | $ | 40,543 | $ | — | $ | 40,543 | $ | — | ||||||||
Austria | 4,554 | — | 4,554 | — | ||||||||||||
Brazil | 12,861 | 12,861 | — | — | ||||||||||||
Canada | 21,417 | 21,417 | — | — | ||||||||||||
China | 59,377 | 4,681 | 54,696 | — | ||||||||||||
Denmark | 5,388 | — | 5,388 | — | ||||||||||||
Germany | 10,051 | — | 10,051 | — | ||||||||||||
Hong Kong | 33,151 | — | 33,151 | — | ||||||||||||
Indonesia | 9,309 | 4,129 | 5,180 | — | ||||||||||||
Israel | 12,841 | 8,463 | 4,378 | — | ||||||||||||
Italy | 9,469 | — | 9,469 | — | ||||||||||||
Japan | 138,010 | — | 138,010 | — | ||||||||||||
Luxembourg | 3,970 | — | 3,970 | — | ||||||||||||
Malaysia | 5,655 | — | 5,655 | — |
32
WHV/EAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
WHV/EAM International Small Cap Equity Fund | Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
(Continued) | ||||||||||||||||
Malta | $ | 4,956 | $ | 4,956 | $ | — | $ | — | ||||||||
Mexico | 15,310 | 15,310 | — | — | ||||||||||||
Netherlands | 9,084 | — | 9,084 | — | ||||||||||||
Norway | 8,368 | — | 8,368 | — | ||||||||||||
Philippines | 9,533 | — | 9,533 | — | ||||||||||||
Singapore | 5,174 | — | 5,174 | — | ||||||||||||
South Korea | 111,219 | — | 111,219 | — | ||||||||||||
Sweden | 28,664 | 4,739 | 23,925 | — | ||||||||||||
Switzerland | 10,099 | 4,151 | 5,948 | — | ||||||||||||
Taiwan | 28,126 | — | 28,126 | — | ||||||||||||
Thailand | 20,860 | 5,277 | 15,583 | — | ||||||||||||
Turkey | 4,134 | — | 4,134 | — | ||||||||||||
United Kingdom | 12,397 | — | 12,397 | — | ||||||||||||
Exchange Traded Fund | 15,991 | 15,991 | — | — | ||||||||||||
Registered Investment Company | 86,563 | 86,563 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 737,074 | $ | 188,538 | $ | 548,536 | $ | — | ||||||||
|
|
|
|
|
|
|
|
WHV/EAM Emerging Markets Small Cap Equity Fund | Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
Common Stocks: | ||||||||||||||||
Brazil | $ | 23,557 | $ | 23,557 | $ | — | $ | — | ||||||||
China | 107,546 | 10,164 | 97,382 | — | ||||||||||||
Hong Kong | 43,804 | — | 43,804 | — | ||||||||||||
India | 4,219 | 4,219 | — | — | ||||||||||||
Indonesia | 16,632 | 4,801 | 11,831 | — | ||||||||||||
Malaysia | 10,352 | — | 10,352 | — | ||||||||||||
Mexico | 29,850 | 29,850 | — | — | ||||||||||||
Philippines | 25,815 | — | 25,815 | — | ||||||||||||
South Africa | 52,711 | 18,946 | 33,765 | — | ||||||||||||
South Korea | 141,391 | — | 141,391 | — |
33
WHV/EAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
WHV/EAM Emerging Markets Small Cap Equity Fund | Total Value at 10/31/14 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
(Continued) | ||||||||||||||||
Taiwan | $ | 56,555 | $ | — | $ | 56,555 | $ | — | ||||||||
Thailand | 67,830 | 10,952 | 56,878 | — | ||||||||||||
Turkey | 12,732 | 4,163 | 8,569 | — | ||||||||||||
United States | 5,045 | — | 5,045 | — | ||||||||||||
Exchange Traded Fund | 13,613 | 13,613 | — | — | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Registered Investment Company | 59,622 | 59,622 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 671,274 | $ | 179,887 | $ | 491,387 | $ | — | ||||||||
|
|
|
|
|
|
|
|
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of each Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, accounting principles generally accepted in the United States of America (“U.S. GAAP”) require each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires each Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when each Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when
34
WHV/EAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
each Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the period ended October 31, 2014, there were no transfers between Levels 1, 2 and 3 for the Funds.
Use of Estimates — The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance under U.S. GAAP. The preparation of financial statements in conformity with U.S. 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 revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are allocated to each class based upon the relative daily net assets of each class. General expenses of the Trust are generally allocated to each fund in proportion to its relative daily net assets. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Funds do not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investment securities in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment
35
WHV/EAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, each Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Currency Risk — Each Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which each Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect the Fund’s NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for each Fund is determined on the basis of U.S. dollars, each Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of a Fund’s holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of the Fund’s holdings in foreign securities.
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
Emerging Markets Risk — Each Fund invests in emerging market instruments which are subject to certain credit and market risks. The securities and currency markets of emerging market countries are generally smaller, less developed, less liquid and more volatile than the securities and currency markets of the United States and other developed markets. Disclosure and regulatory standards in many respects are less stringent than in other developed markets. There also may be a lower level of monitoring and regulation of securities markets in emerging market countries and the activities of investors in such markets
36
WHV/EAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
and enforcement of existing regulations may be extremely limited. Political and economic structures in many of these countries may be in their infancy and developing rapidly, and such countries may lack the social, political and economic stability characteristics of more developed countries.
2. Transactions with Affiliates and Related Parties
WHV serves as investment adviser to the Funds pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 1.15% and 1.50% for the WHV/EAM International Small Cap Equity Fund and WHV/EAM Emerging Markets Small Cap Equity Fund, respectively, of each Fund’s average daily net assets. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the WHV/EAM International Small Cap Equity Fund and the WHV/EAM Emerging Markets Small Cap Equity Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding 12b-1 fees and any class-specific fees and expenses, interest, extraordinary items, “Acquired Fund fees and expenses” and brokerage commissions) do not exceed 1.65% and 2.00% with respect to Class A Shares (on an annual basis), respectively, and 1.40% and 1.75% with respect to Class I Shares (on an annual basis), respectively, of average daily net assets of each Fund (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2017 unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for a Fund. No recoupment by the Adviser will occur unless a Fund’s expenses are below the respective Expense Limitation.
For the period ended October 31, 2014, investment advisory fees accrued were $2,066 and $2,669 for the WHV/EAM International Small Cap Equity Fund and WHV/EAM Emerging Markets Small Cap Equity Fund, respectively. For the period ended October 31, 2014, the Adviser waived investment advisory fees of $2,066 and $2,669 and reimbursed fees of $84,009 and $83,411 for the WHV/EAM International Small Cap Equity Fund and WHV/EAM Emerging Markets Small Cap Equity Fund, respectively.
As of October 31, 2014, the amounts of potential recoupment by the Adviser for each Fund was as follows:
Expiration April 30, 2017 | ||||
WHV/EAM International Small Cap Equity Fund | $ | 86,075 | ||
WHV/EAM Emerging Markets Small Cap Equity Fund | 86,080 |
EAM Global Investors, LLC (“EAM Global” or “Sub-Adviser”) serves as the sub-adviser to the Funds. The Sub-Adviser provides certain services pursuant to a sub-advisory agreement among WHV, the Sub-Advisor and the Trust, on behalf of the Funds. Sub-Advisory fees are paid by WHV, not the Funds.
37
WHV/EAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator and transfer agent for the Funds.
For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of each Fund’s average daily net assets and is subject to certain minimum monthly fees. For the period ended October 31, 2014, BNY Mellon accrued administration and accounting fees totaling $34,121 and $34,121 and waived fees totaling $17,725 and $17,725 for the WHV/EAM International Small Cap Equity Fund and WHV/EAM Emerging Markets Small Cap Equity Fund, respectively.
For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses. For the period ended October 31, 2014, BNY Mellon accrued transfer agent fees totaling $34,886 and $34,866 and waived fees totaling $9,496 and $9,496 for the WHV/EAM International Small Cap Equity Fund and WHV/EAM Emerging Markets Small Cap Equity Fund, respectively.
The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee subject to certain minimum and out of pocket expenses. For the period ended October 31, 2014, the Custodian accrued custodian fees totaling $14,563 and $14,563 and waived fees totaling $3,163 and $3,163 for the WHV/EAM International Small Cap Equity Fund and WHV/EAM Emerging Markets Small Cap Equity Fund, respectively.
BNY Mellon and the Custodian have the ability to recover such amounts previously waived if each Fund terminates its agreements with BNY Mellon or the Custodian within three years of signing the agreements.
Foreside Funds Distributors LLC (“the Underwriter”) provides principal underwriting services to the Funds.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Class A Shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Class A Shares plan, each Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25% on an annualized basis of the average daily net assets of the Fund’s Class A Shares.
The Trustees of the Trust who are not officers or employees of an investment adviser, sub-adviser or other service provider to the Trust receive compensation in the form of an annual retainer and per meeting fees for their services as a Trustee. The remuneration paid to the Trustees by the Funds during the period ended October 31, 2014, was $14 for both WHV/EAM International Small Cap Equity Fund
38
WHV/EAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
and Emerging Markets Small Cap Equity Fund. Certain employees of BNY Mellon serve as Officers of the Trust. They are not compensated by the Funds or the Trust.
3. Investment in Securities
For the period from May 27, 2014 (commencement of operations) through October 31, 2014, aggregate purchases and sales of investment securities (excluding U.S. Government and agency short-term investments and other short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||
WHV/EAM International Small Cap Equity Fund | $ | 991,353 | $ | 326,958 | ||||
WHV/EAM Emerging Markets Small Cap Equity Fund | 935,794 | 313,852 |
4. Capital Share Transactions
For the period from May 27, 2014 (commencement of operations) through October 31, 2014, transactions in capital shares (authorized shares unlimited) were as follows:
WHV/EAM International Small Cap Equity Fund* | ||||||||
For the Period Ended October 31, 2014 (Unaudited) | ||||||||
Shares | Amount | |||||||
Class A Shares | ||||||||
Sales | 13,317 | $ | 135,000 | |||||
|
|
|
| |||||
Net increase | 13,317 | $ | 135,000 | |||||
|
|
|
| |||||
Class I Shares | ||||||||
Sales | 56,138 | $ | 559,147 | |||||
Redemptions | (4 | ) | (34 | ) | ||||
|
|
|
| |||||
Net increase | 56,134 | $ | 559,113 | |||||
|
|
|
| |||||
Total net increase | 69,451 | $ | 694,113 | |||||
|
|
|
|
39
WHV/EAM FUNDS
Notes to Financial Statements (Continued)
October 31, 2014
(Unaudited)
WHV/EAM Emerging Markets Small Cap Equity Fund* | ||||||||
For the Period Ended October 31, 2014 (Unaudited) | ||||||||
Shares | Amount | |||||||
Class A Shares | ||||||||
Sales | 15,029 | $ | 155,000 | |||||
|
|
|
| |||||
Net increase | 15,029 | $ | 155,000 | |||||
|
|
|
| |||||
Class I Shares | ||||||||
Sales | 48,586 | $ | 488,228 | |||||
Redemptions | (4 | ) | (35 | ) | ||||
|
|
|
| |||||
Net increase | 48,582 | $ | 488,193 | |||||
|
|
|
| |||||
Total net increase | 63,611 | $ | 643,193 | |||||
|
|
|
|
* | There is a 2.00% redemption fee that may be charged on shares redeemed which have been held for 60 days or less. The redemption fees are retained by each Fund for the benefit of the remaining shareholders and recorded as paid-in-capital. |
5. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of October 31, 2014, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation | |||||||||||||
WHV/EAM International Small Cap Equity Fund | $ | 711,347 | $ | 40,174 | $ | (14,447 | ) | $ | 25,727 | |||||||
WHV/EAM Emerging Markets Small Cap Equity Fund | 640,816 | 43,235 | (12,777 | ) | 30,458 |
40
WHV/EAM FUNDS
Notes to Financial Statements (Concluded)
October 31, 2014
(Unaudited)
6. Subsequent Event
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
41
WHV/EAM FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 948-4685 and on the Securities and Exchange Commission’s (“SEC”) website at http:// www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended July 31 and January 31) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Approval of Advisory and Sub-Advisory Agreements
At an in-person meeting held on March 20-21, 2014, the Board of Trustees (“Board” or “Trustees”) of FundVantage Trust (“Trust”), including a majority of the Trustees who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (“1940 Act”) (the “Independent Trustees”), unanimously approved the following agreements for an initial two-year period: (a) an advisory agreement (the “Advisory Agreement”) between the Trust, on behalf of the WHV/EAM Emerging Markets Small Cap Equity Fund (“WHV/EAM Emerging Markets Fund”) and WHV/EAM International Small Cap Equity Fund (“WHV/EAM International Fund” and together with the WHV/EAM Emerging Markets Fund the “Funds,” each a “Fund”), and WHV Investments, Inc. (“WHV”); and (b) a sub-advisory agreement (the “Prior EAM Agreement”) among WHV, EAM Global Investors, LLC (“EAM Global” or the “Sub-Adviser”) and the Trust, on behalf of the Funds. The Advisory Agreement and Prior Sub-Advisory Agreement were executed on May 27, 2014, prior to the Funds’ commencement.
Subsequently, on August 4, 2014, Northern Lights Capital Partners, LLC (“NLCP”), the parent company of Northern Lights Capital Group, LLC (“NLCG”) and an indirect minority owner of EAM Global via NLCG, entered into an agreement to combine its businesses with those of Treasury Group, Ltd. (“Treasury Group”), an Australian corporation publicly traded on the Australian Stock Exchange (the “NL-Treasury Transaction”), which was completed on November 25, 2014. Because consummation of the Transaction constituted a change in control (the “Change of Control”) of the Sub-Adviser, under the 1940 Act, the Transaction resulted in the assignment and automatic termination of the Prior Sub-Advisory Agreement.
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Other Information (Continued)
(Unaudited)
Accordingly, at an in-person meeting held on September 22-23, 2014, the Board considered and approved two new sub-advisory agreements with the Sub-Adviser: (i) an interim sub-advisory agreement (“Interim EAM Agreement”) in connection with the Change of Control and (ii) a new sub-advisory agreement (“New EAM Agreement”) which would supersede the Interim Agreement upon approval by shareholders.
The Sub-Adviser continued to provide services to the Funds under the Prior EAM Agreement prior to the consummation of the Transaction. Upon closing of the Transaction on November 25, 2014, the Prior EAM Agreement was superseded by the Interim EAM Agreement, which was superseded by the New EAM Agreement upon approval by shareholders on December 1, 2014.
Below is a discussion regarding the Board’s considerations in approving (i) the Advisory Agreement and Prior Sub-Advisory Agreement at the March 20-21, 2014 in-person meeting and (ii) the Interim Agreement and New Agreement at the September 22-23, 2014 in-person meeting. In connection with the Board’s consideration of the Interim and New EAM Agreements, the Board also relied on its deliberations on the Prior EAM Agreement at the September 22-23, 2014 meeting. Each of the Advisory Agreement, Prior EAM Agreement, Interim EAM Agreement and New EAM Agreement are herein referred to as an “Agreement,” and collectively, the “Agreements.”
Before considering the Interim EAM Agreement and New EAM Agreement, the Board, including the Independent Trustees, requested information about the Sub-Adviser, the Transaction, the Change of Control and any anticipated impact of the Transaction or the Change of Control on the Fund and its shareholders. In determining whether to approve the Prior EAM Agreement, Interim EAM Agreement and New EAM Agreement, the Trustees considered information provided by EAM Global in conjunction with the September 22-23, 2014 in-person meeting. At the meeting, the Board, including a majority of the Independent Trustees, unanimously approved the Interim EAM Agreement and New EAM Agreement.
In determining whether to approve the Agreements, the Trustees considered information provided by WHV and EAM Global in accordance with Section 15(c) of the 1940 Act. The Trustees considered information that WHV and EAM Global provided regarding (i) the services performed or to be performed for the Funds, (ii) the size and qualifications of WHV’s and EAM Global’s portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with a portfolio manager’s management of the Funds, (iv) investment performance, (v) the capitalization and financial condition of WHV and EAM Global, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Funds and other clients, (viii) results of any independent audit or regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on WHV’s or EAM Global’s ability to service the Funds, (x) compliance with the Funds’ investment objectives, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements, and (xi) the Change of Control and the impact of the resulting change of control on the services provided by EAM Global. WHV and EAM Global also provided their most recent
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Other Information (Continued)
(Unaudited)
Form ADV for the Trustees’ review and consideration. The Trustees also received and reviewed a memorandum from legal counsel regarding the legal standard applicable to their review of the Interim EAM Agreement and New EAM Agreement.
At the in-person meeting on September 22-23, 2014, representatives from WHV and EAM Global joined the meeting via teleconference and discussed the Change of Control, including the background of and reasons for the Change of Control. They also discussed EAM Global’s history, performance, investment strategy, and compliance program in connection with the proposed New EAM Agreement. Representatives of EAM Global responded to questions from the Board. In connection with the Trustees’ review of the Interim EAM Agreement and New EAM Agreement, the representatives from EAM Global emphasized that: (i) it expected that there will be no changes as a result of the Change of Control in the nature, quality, or extent of services currently provided to each Fund and its shareholders, including investment management, distribution, or other shareholder services; (ii) no material adverse effects on EAM Global’s financial condition; and (iii) no material changes in personnel or operations are contemplated. At the in-person meeting held on March 20-21, 2014, representatives from WHV and EAM Global attended the meeting both in person and telephonically and discussed the firms’ histories, performance and investment strategies in connection with the Trustees’ review of the Advisory Agreement and Prior EAM Agreement.
Consideration of the Advisory Agreement, Prior EAM Agreement, Interim EAM Agreement and New EAM Agreement. In addition to the information provided by WHV and EAM Global as described above, the Trustees also considered all other factors they believed to be relevant to evaluating the Agreements, including the specific matters discussed below. In their deliberations, the Trustees did not identify any particular information that was controlling, and different Trustees may have attributed different weights to the various factors. However, the Trustees determined that the overall arrangements with WHV and EAM Global with respect to the WHV/EAM Funds, as provided in the Agreements, including the proposed advisory and sub-advisory fees, are fair and reasonable in light of the services to be performed, expenses incurred and such other matters as the Trustees considered relevant. Factors evaluated included: (i) the terms and conditions of the Interim EAM Agreement and New EAM Agreement, including that the contractual fees to be paid by WHV to EAM Global with respect to the Funds under the Interim EAM Agreement and New EAM Agreement will remain the same; (ii) the Board’s review of the Prior EAM Agreement at the in-person meeting on March 20-21, 2014 as required by the 1940 Act and their determination at that time that (a) EAM Global had the capabilities, resources, and personnel necessary to provide the satisfactory sub-advisory services to the Funds and (b) the sub-advisory fees to be paid by WHV to EAM Global with respect to the Funds, represent reasonable compensation to EAM Global in light of the services provided, the costs to EAM Global of providing those services, economies of scale, and the fees and other expenses paid by similar funds and such other matters that the Board considered relevant in the exercise of their reasonable judgment; and (iii) the operations of EAM Global are not currently expected to change as a result of the Change of Control. Certain of these considerations are discussed in more detail below.
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Other Information (Continued)
(Unaudited)
In making their decision relating to the approval of the Agreements, the Trustees gave attention to the information furnished. The following discussion, however, identifies the primary factors taken into account by the Trustees and the conclusions reached in approving the Agreements.
Nature, Extent, and Quality of Services. The Trustees considered the services provided or to be provided by WHV and EAM Global to each Fund and its shareholders. In evaluating the quality of services to be provided by WHV and EAM Global, the Board took into account its familiarity with WHV’s senior management through Board meetings, discussions and reports during the preceding year in connection with WHV’s role as investment adviser to certain other series of the Trust. The Trustees also took into account the compliance policies and procedures of WHV and EAM, and reports regarding WHV’s and EAM’s compliance operations from the Trust’s Chief Compliance Officer. In reviewing the nature, extent, and quality of services, the Board considered that the Interim EAM Agreement and New EAM Agreement will be substantially similar to the Prior EAM Agreement. The Trustees considered WHV’s and EAM Global’s personnel and the depth of such personnel who possess the experience to provide investment management services to the Funds. Based on the information provided by WHV and EAM Global, including that no material changes are expected as a result of the Change of Control in EAM Global’s personnel or operations, the Trustees concluded that (i) the nature, extent and quality of the services provided by WHV and EAM Global are appropriate and consistent with the terms of the respective Agreements, (ii) the quality of those services are consistent with industry norms, (iii) each Fund is likely to benefit from the provision or continued receipt of those services, (iv) WHV and EAM Global have sufficient personnel, with the appropriate education and experience, to serve each Fund effectively and has demonstrated their continuing ability to attract and retain qualified personnel, and (v) the satisfactory nature, extent, and quality of services currently provided to each Fund and its shareholders is likely to continue under the Interim EAM Agreement and New EAM Agreement.
Investment Performance. The Board considered the overall investment performance of EAM Global and the Funds since the Funds’ inception on June 2, 2014. Trustees gave appropriate consideration to their review of investment performance presented in connection with the approval of the Interim EAM Agreement and New EAM Agreement at the September 22-23, 2014 in-person meeting and the approval of EAM Global’s sub-advisory agreement at the March 20-21, 2014 in-person meeting. At the September 22-23, 2014 in-person meeting, the Trustees reviewed the historical performance charts for the since inception period ended June 30, 2014 for (i) the Funds; (ii) the Russell Global Ex-U.S. Small Cap Growth Index, benchmark for the WHV/EAM International Small Cap Equity Fund; (iii) the Russell Small Cap Emerging Markets Growth Index, benchmark for the WHV/EAM Emerging Markets Small Cap Equity Fund; (iv) the median of the Lipper Emerging Markets Fund category, the WHV/EAM Emerging Markets Fund’s applicable Lipper peer group; and (v) the median of the Lipper International Small-/Mid-Cap Growth Fund category, the WHV/EAM International Small Cap Equity Fund’s applicable Lipper peer group. The Trustees noted that the WHV/EAM Emerging Markets Small Cap Equity Fund underperformed the median of its Lipper peer group, the WHV/EAM International Small Cap Equity Fund outperformed the median of its Lipper peer group and that each Fund had outperformed its respective benchmark for the since
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WHV/EAM FUNDS
Other Information (Continued)
(Unaudited)
inception period ended June 30, 2014. The Trustees also received performance information for the one-year, three-year and since inception periods ended June 30, 2014, as applicable, for the Funds’ respective benchmarks as compared to the International Small Cap Composite (“International Composite”) and the Emerging Markets Small Cap Composite (“Emerging Markets Composite”), which each consist of one account managed by the same investment team and with the same investment objective and strategies as the WHV/EAM International Small Cap Equity Fund and WHV/EAM Emerging Markets Small Cap Equity Fund, respectively. The Trustees noted that the International Composite and the Emerging Markets Composite outperformed the respective benchmarks for the WHV/EAM Funds for all periods.
At the March 20-21, 2014 in-person meeting, the Trustees reviewed the performance information for the International Composite and the Emerging Markets Composite as compared to each Composite’s relative benchmark, the Russell Small Cap Emerging Markets Growth Index and Russell Global Ex-U.S. Small Cap Growth Index, as well as the median of the eVestment Emerging Markets Small Cap Equity and eVestment ACWI ex-U.S. Small Cap Equity separate account universes on an annualized one year basis and since inception basis. The Trustees noted that the International Composite outperformed its benchmark and the median of the eVestment ACWI ex-U.S. Small Cap Equity separate account universe for the year ended December 31, 2013. The Trustees noted that the EAM Emerging Markets Composite outperformed its benchmark and the median of eVestment Emerging Markets Small Cap Equity separate account universe for the year ended December 31, 2013. They concluded that the performance of each Fund was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies as measured by the information presented by EAM Global. The Board also concluded that neither the Change of Control nor the Interim EAM Agreement and New EAM Agreement would likely have an adverse effect on the investment performance of the Funds because (i) EAM Global does not currently expect the Change of Control to cause any material change to the Funds’ portfolio management teams responsible for investment performance, which the Board found to be satisfactory, and (ii) as discussed in more detail below, the Funds’ expenses are not expected to increase as a result of the Change of Control.
Comparative Expenses. WHV and EAM Global provided information regarding the proposed advisory and sub-advisory fees and an analysis of these fees in relation to the delivery of services to the Funds and any other ancillary benefit resulting from WHV’s and EAM Global’s relationship with the Funds. The Trustees considered that the advisory fee rate payable by each Fund to WHV would not change. The Trustees noted that the proposed sub-advisory fees under the New EAM Agreement with respect to each Fund would be paid by WHV out of the advisory fees it receives from a Fund. The Trustees considered that the separately managed account in both the International Composite and the Emerging Markets Composite was not charged a management fee since the seed capital for each account was provided by a capital partner of EAM Investors, LLC (“EAM”), a registered investment adviser that wholly owns and controls EAM Global. The Trustees received a peer comparison which showed the median gross advisory fees and net total expenses for load, no load and institutional share classes of funds in the Lipper International Small Cap Fund category, Lipper International Small-/Mid-Cap Core Fund and Lipper
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WHV/EAM FUNDS
Other Information (Continued)
(Unaudited)
Emerging Markets Fund Category. The Trustees reviewed the services provided to the Funds by WHV and EAM Global as compared to services provided by other advisers and sub-advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the Funds. On the basis of these considerations, together, with the other information it considered, the Board determined that the advisory and sub-advisory fees to be received by WHV and EAM Global under the Agreements are reasonable in light of the services to be provided. The Trustees considered whether the Change of Control would impact the services currently being provided to the Funds. Based on the information provided at the meeting, the Trustees concluded that there would not be any material impact on the expenses of the Funds and services provided to the Funds as a result of the Change of Control.
Management Profitability. The Trustees also considered the costs of the services provided by WHV and EAM Global, the compensation and benefits to be received by WHV and EAM Global in providing services to the Funds, as well as their profitability. The Trustees were provided with the most recent audited financial statements of WHV, as well as the most recent profit and loss statement and balance sheet of EAM Global’s parent, EAM. In addition, the Trustees considered any direct or indirect revenues received by affiliates of WHV and EAM Global. In considering the profitability to EAM Global of its relationship with the Funds, the Board noted that the sub-advisory fees under the Prior EAM Agreement and New EAM Agreement would be paid by WHV out of the advisory fees it receives under an advisory agreement with the Funds and, in addition, are negotiated at arm’s length. As a consequence, the profitability to EAM Global of its relationship with each Fund was not a substantial factor in the Board’s deliberations.
Economies of Scale. For similar reasons, the Board did not consider the potential economies of scale in EAM Global’s management of the Funds to be a substantial factor in its consideration. The Trustees concluded that they would have the opportunity to periodically reexamine whether a Fund has achieved economies of scale, and the appropriateness of management fees payable to WHV and fees payable by WHV to EAM Global, in the future. With respect to advisory fees, the Trustees considered the extent to which economies of scale would be realized relative to fee levels as the Funds grow and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Board noted that economies of scale may be achieved at higher asset levels for the Funds for the benefit of fund shareholders, but that because such economies of scale did not yet exist and were not likely to exist in the near term, it was not appropriate to incorporate a mechanism for sharing the benefit of such economies with Fund shareholders in the advisory fee structure at this time.
Conclusion. After consideration of all the factors, taking into consideration the information presented at the meetings and deliberating in executive session, the entire Board, including the Independent Trustees, unanimously approved the Agreements. The Board concluded that the advisory and sub-advisory fee rate under the Agreements were reasonable in relation to the services provided or to be provided and that execution of such Agreements is in the best interests of the shareholders of the Funds. The Trustees also concluded that the advisory and sub-advisory fees are at acceptable levels in light of the quality of services provided to the Funds; that the advisory fee schedule would not be increased and would stay
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Other Information (Concluded)
(Unaudited)
the same for the Funds; that the total expense ratio had not changed materially; and that EAM Global had represented that the overall expenses for the Funds are not expected to be adversely affected by the Change of Control. The Trustees also noted that WHV had no present intention to alter any expense limitation or reimbursement currently in effect for the Funds. On that basis, the Trustees concluded that the proposed advisory and sub-advisory fees for the Funds are acceptable. In arriving at their decision, the Trustees did not identify any single matter as controlling, but made their determination in light of all the circumstances.
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Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site.
If you have questions or comments about our privacy practices, please call us at (888) 948-4685.
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Investment Adviser
WHV Investments, Inc.
301 Battery Street
Suite 400
San Francisco, CA 94111-3203
Sub-Adviser
EAM Global Investors, LLC
2533 South Coast Highway 101
Suite 240
Cardiff-by-the-Sea, CA 92007
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
As Sub-Advised by
WHV/EAM INTERNATIONAL SMALL CAP EQUITY FUND
WHV/EAM EMERGING
MARKETS SMALL CAP
EQUITY FUND
of
FundVantage Trust
Class A Shares
Class I Shares
SEMI-ANNUAL REPORT
October 31, 2014
(Unaudited)
This report is submitted for the general information of the shareholders of the WHV/EAM International Small Cap Equity Fund and WHV/EAM Emerging Markets Small Cap Equity Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the WHV/EAM International Small Cap Equity Fund and WHV/EAM Emerging Markets Small Cap Equity Fund.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Exhibits. |
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) FundVantage Trust |
By (Signature and Title)* /s/ Joel L. Weiss | ||
Joel L. Weiss, President and Chief Executive Officer | ||
(principal executive officer) |
Date 12/29/2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Joel L. Weiss | ||
Joel L. Weiss, President and Chief Executive Officer | ||
(principal executive officer) |
Date 12/29/2014 |
By (Signature and Title)* /s/ James G. Shaw | ||
James G. Shaw, Treasurer and Chief Financial Officer | ||
(principal financial officer) |
Date 12/29/2014 |
* | Print the name and title of each signing officer under his or her signature. |