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
JW Fund Management LLC
100 Springdale Rd., Suite A3-416
Cherry Hill, NJ 08003
(Name and address of agent for service)
Registrant’s telephone number, including area code: 856-528-3500
Date of fiscal year end: September 30
Date of reporting period: September 30, 2017
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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
ARABESQUE SYSTEMATIC USA FUND
Annual Investment Adviser’s Report
September 30, 2017
(Unaudited)
Dear Shareholders,
Thank you for reviewing our annual report.
The report covers the period of circa 5 months, starting from the Fund’s commencement of operations on May 3, 2017 until September 30, 2017. Within the report, we state the Fund’s performance, including a discussion on which holdings did well and which did not.
• | Since inception the Fund has returned +5.40%. |
• | Our benchmark, the MSCI USA Index (Net Returns) has returned +5.97% in the same period. |
• | Fund Net Assets have grown to circa USD 15 million (from an initial launch of circa USD 6 million). |
In terms of contributions, the top sectors were Technology Services and Finance. The bottom sectors were Distribution Services and Health Services. The top holdings with respect to contributions were Green Dot (GDOT), Thor Industries (THO) and Align Technology (ALGN). The worst holdings with respect to contributions were Equifax (EFX), Hologic (HOLX) and LHC Group (LHCG).
As of September 30, 2017, the Fund is invested in 56 U.S. equities. The Fund’s largest sector allocations are in the Health Technology sector (18.5% portfolio allocation), the Technology Services sector (17.9% portfolio allocation), the Consumer Durables sector (9.7% portfolio allocation) and the Producer Manufacturing sector (9.0% portfolio allocation). Stocks in these four sectors represent 55.1% of the Fund’s holdings.
As US equity markets have continued to be strong, the Fund has tended to be fully invested into equity. Going forward, if US equity markets weaken, the Fund’s quantitative framework would withdraw from equity holdings and increase its cash holdings.
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 than the performance information quoted. Performance data current to the most recent month end may be obtained by calling (844) 567-2134.
ARABESQUE SYSTEMATIC USA FUND
Annual Investment Adviser’s Report (Concluded)
September 30, 2017
(Unaudited)
Thank you for your investment in the Fund. We value your ongoing confidence in us, and we look forward to serving your investment needs in the future.
Sincerely,
Dr Hans-Robert Arndt
Co-CIO, Head of Quantitative Research
This letter is intended to assist shareholders in understanding how the Fund performed during the period ended September 30, 2017 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 disclosed will be profitable.
Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risks.
2
ARABESQUE SYSTEMATIC USA FUND
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $1,000,000 (investment minimum) Investment in
Arabesque Systematic USA Fund’s Institutional Class vs. MSCI USA Index (Net Returns)
Total Returns for the Period Ended September 30, 2017 | ||
Since Inception† | ||
Institutional Class* | 5.40% | |
MSCI USA Index (Net Returns) | 5.97%** |
† | Not annualized. |
* | The Arabesque Systematic USA Fund (the “Fund”) Institutional Class shares commenced operations on May 3, 2017. |
** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement 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 (844) 567-2134. 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 graph and table do 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 Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement”, are 1.57% and 0.95%, respectively, of the Fund’s average daily net assets for Institutional Class shares. These ratios are stated in the current prospectus dated May 1, 2017, and may differ from the actual expenses incurred by the Fund for the period covered by this report. Arabesque Investment Management Ltd (“Arabesque” 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 taxes, any class-specific fees and expenses (including Rule 12b-1 fees), interest, extraordinary items, “Acquired Fund” fees and expenses and brokerage commissions) do not exceed 0.95% (on an annual basis) with respect to the Fund’s average daily net assets of the Institutional Class shares (the “Expense Limitation”). The Expense Limitation
3
ARABESQUE SYSTEMATIC USA FUND
Annual Report
Performance Data (Concluded)
September 30, 2017
(Unaudited)
will remain in place until August 31, 2020, 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, amounts waived 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount.
A 1.00% 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 the performance of the MSCI USA Index (Net Returns). The MSCI USA Index (Net Returns) is a widely recognized index, designed to measure the performance of the large and mid-cap segments of the US market. With 625 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the US. You cannot invest directly into an index.
4
ARABESQUE SYSTEMATIC USA FUND
Fund Expense Disclosure
September 30, 2017
(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. 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 from May 3, 2017, the commencement of operations, through September 30, 2017 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 a 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.
5
ARABESQUE SYSTEMATIC USA FUND
Fund Expense Disclosure (Concluded)
September 30, 2017
(Unaudited)
Arabesque Systematic USA Fund | ||||||||||||
Beginning Account Value May 3, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period* | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,054.00 | $ | 4.01 | ||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.31 | 4.81 |
* | Expenses are equal to the annualized expense ratio for the period beginning May 3, 2017, commencement of operations, to September 30, 2017 of 0.95% for Institutional Class, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (150), then divided by 365 to reflect the period. The Institutional Class ending account values on the first line of the table are based on the actual total returns for the Fund since commencement of operations of 5.40%. For comparative purposes, the Hypothetical expenses are as if the Institutional Class had been in existence from April 1, 2017, and are equal to the Institutional Class annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (183), then divided by 365 to reflect the period. |
6
ARABESQUE SYSTEMATIC USA FUND
Portfolio Holdings Summary Table
September 30, 2017
(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 | 31.7 | % | $ | 4,784,223 | ||||
Technology | 20.2 | 3,055,756 | ||||||
Consumer, Cyclical | 15.0 | 2,273,119 | ||||||
Industrial | 13.0 | 1,967,299 | ||||||
Communications | 7.2 | 1,090,446 | ||||||
Financial | 6.9 | 1,042,501 | ||||||
Utilities | 3.4 | 513,898 | ||||||
Other Assets In Excess of Liabilities | 2.6 | 386,293 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 15,113,535 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
7
ARABESQUE SYSTEMATIC USA FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — 97.4% |
| |||||||
Communications — 7.2% |
| |||||||
Arista Networks, Inc.* | 1,650 | $ | 312,856 | |||||
Facebook, Inc., Class A* | 1,690 | 288,770 | ||||||
LogMeIn, Inc. | 1,900 | 209,095 | ||||||
RingCentral, Inc., Class A* | 6,700 | 279,725 | ||||||
|
| |||||||
1,090,446 | ||||||||
|
| |||||||
Consumer, Cyclical — 15.0% |
| |||||||
Big Lots, Inc. | 5,850 | �� | 313,384 | |||||
Copart, Inc.* | 8,500 | 292,145 | ||||||
Darden Restaurants, Inc. | 3,300 | 259,974 | ||||||
Fox Factory Holding Corp.* | 7,050 | 303,855 | ||||||
Hasbro, Inc. | 2,650 | 258,826 | ||||||
Home Depot, Inc. (The) | 1,630 | 266,603 | ||||||
Lear Corp. | 1,450 | 250,966 | ||||||
Thor Industries, Inc. | 2,600 | 327,366 | ||||||
|
| |||||||
2,273,119 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 31.7% |
| |||||||
Align Technology, Inc.* | 1,560 | 290,581 | ||||||
Baxter International, Inc. | 4,450 | 279,238 | ||||||
Calavo Growers, Inc. | 1,700 | 124,440 | ||||||
Celgene Corp.* | 2,050 | 298,931 | ||||||
Central Garden & Pet Co.* | 6,900 | 267,996 | ||||||
Charles River Laboratories International, Inc.* | 2,200 | 237,644 | ||||||
Chemed Corp. | 1,000 | 202,050 | ||||||
CR Bard, Inc. | 750 | 240,375 | ||||||
Edwards Lifesciences Corp.* | 2,600 | 284,206 | ||||||
Eli Lilly & Co. | 3,600 | 307,944 | ||||||
Green Dot Corp., Class A* | 5,900 | 292,522 | ||||||
Hill-Rom Holdings, Inc. | 2,600 | 192,400 | ||||||
Hologic, Inc.* | 4,700 | 172,443 | ||||||
Inogen, Inc.* | 2,800 | 266,280 | ||||||
Intuitive Surgical, Inc.* | 200 | 209,176 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer, Non-cyclical — (Continued) |
| |||||||
PRA Health Sciences, Inc.* | 3,700 | $ | 281,829 | |||||
Quest Diagnostics, Inc. | 1,700 | 159,188 | ||||||
Quintiles IMS Holdings, Inc.* | 2,500 | 237,675 | ||||||
Sysco Corp. | 4,100 | 221,195 | ||||||
WellCare Health Plans, Inc.* | 1,270 | 218,110 | ||||||
|
| |||||||
4,784,223 | ||||||||
|
| |||||||
Financial — 6.9% | ||||||||
First Merchants Corp. | 5,100 | 218,943 | ||||||
Progressive Corp. (The) | 5,500 | 266,310 | ||||||
Visa, Inc., Class A | 2,650 | 278,886 | ||||||
Zions Bancorporation | 5,900 | 278,362 | ||||||
|
| |||||||
1,042,501 | ||||||||
|
| |||||||
Industrial — 13.0% | ||||||||
AO Smith Corp. | 4,800 | 285,264 | ||||||
Illinois Tool Works, Inc. | 1,900 | 281,124 | ||||||
Mettler-Toledo International, Inc.* | 460 | 288,034 | ||||||
Nordson Corp. | 1,700 | 201,450 | ||||||
Owens Corning | 3,900 | 301,665 | ||||||
Patrick Industries, Inc.* | 3,900 | 327,990 | ||||||
Waste Management, Inc. | 3,600 | 281,772 | ||||||
|
| |||||||
1,967,299 | ||||||||
|
| |||||||
Technology — 20.2% | ||||||||
Adobe Systems, Inc.* | 1,600 | 238,688 | ||||||
Electronic Arts, Inc.* | 2,300 | 271,538 | ||||||
HubSpot, Inc.* | 3,500 | 294,175 | ||||||
Intuit, Inc. | 1,800 | 255,852 | ||||||
Lam Research Corp. | 1,670 | 309,017 | ||||||
Microchip Technology, Inc. | 2,900 | 260,362 | ||||||
MSCI, Inc. | 2,450 | 286,405 |
The accompanying notes are an integral part of the financial statements.
8
ARABESQUE SYSTEMATIC USA FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology — (Continued) |
| |||||||
New Relic, Inc.* | 5,900 | $ | 293,820 | |||||
Paycom Software, Inc.* | 4,000 | 299,840 | ||||||
salesforce.com, Inc.* | 2,700 | 252,234 | ||||||
ServiceNow, Inc.* | 2,500 | 293,825 | ||||||
|
| |||||||
3,055,756 | ||||||||
|
| |||||||
Utilities — 3.4% |
| |||||||
Atmos Energy Corp. | 3,000 | 251,520 | ||||||
Edison International | 3,400 | 262,378 | ||||||
|
| |||||||
513,898 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 14,727,242 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 97.4% |
| 14,727,242 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.6% | 386,293 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 15,113,535 | ||||||
|
|
* Non-income producing.
The accompanying notes are an integral part of the financial statements.
9
ARABESQUE SYSTEMATIC USA FUND
Statement of Assets and Liabilities
September 30, 2017
Assets | ||||
Investments, at value (Cost $13,826,342) | $ | 14,727,242 | ||
Cash | 395,578 | |||
Receivable for investments sold | 257,227 | |||
Dividends receivable | 4,713 | |||
Receivable from Investment Adviser | 15,808 | |||
Deferred offering costs (Note 1) | 12,834 | |||
Prepaid expenses and other assets | 23,991 | |||
|
| |||
Total assets | 15,437,393 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 275,936 | |||
Payable for audit fees | 17,472 | |||
Payable for capital shares redeemed | 11,225 | |||
Payable for custodian fees | 5,285 | |||
Payable for legal fees | 4,369 | |||
Payable for printing fees | 4,273 | |||
Payable for transfer agent fees | 2,036 | |||
Payable for administration and accounting fees | 1,772 | |||
Accrued expenses | 1,490 | |||
|
| |||
Total liabilities | 323,858 | |||
|
| |||
Net Assets | $ | 15,113,535 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 14,345 | ||
Paid-in capital | 14,483,506 | |||
Accumulated net investment income | 1,599 | |||
Accumulated net realized loss from investments | (286,815 | ) | ||
Net unrealized appreciation on investments | 900,900 | |||
|
| |||
Net Assets | $ | 15,113,535 | ||
|
| |||
Institutional Class: | ||||
Shares outstanding | 1,434,505 | |||
|
| |||
Net asset value, offering and redemption price per share ($15,113,535 / 1,434,505 shares) | $ | 10.54 | ||
|
|
The accompanying notes are an integral part of the financial statements.
10
ARABESQUE SYSTEMATIC USA FUND
Statement of Operations
For the Period Ended September 30, 2017*
Investment Income | ||||
Dividends | $ | 36,653 | ||
Less: foreign taxes withheld | (202 | ) | ||
|
| |||
Total investment income | 36,451 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 34,743 | |||
Administration and accounting fees (Note 2) | 25,907 | |||
Audit fees | 17,472 | |||
Transfer agent fees (Note 2) | 11,398 | |||
Registration and filing fees | 10,987 | |||
Legal fees | 10,767 | |||
Custodian fees (Note 2) | 10,285 | |||
Offering expenses | 9,156 | |||
Trustees’ and officers’ fees (Note 2) | 8,426 | |||
Printing and shareholder reporting fees | 5,959 | |||
Other expenses | 5,567 | |||
|
| |||
Total expenses before waivers and reimbursements | 150,667 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (106,659 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 44,008 | |||
|
| |||
Net investment loss | (7,557 | ) | ||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized loss from investments | (286,815 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments | 900,900 | |||
|
| |||
Net realized and unrealized gain on investments | 614,085 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 606,528 | ||
|
|
* | The Arabesque Systematic USA Fund commenced operations on May 3, 2017. |
The accompanying notes are an integral part of the financial statements.
11
ARABESQUE SYSTEMATIC USA FUND
Statement of Changes in Net Assets
For the Period Ended September 30, 2017* | ||||
Increase/(Decrease) in Net Assets from Operations: | ||||
Net investment loss | $ | (7,557 | ) | |
Net realized loss from investments | (286,815 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments | 900,900 | |||
|
| |||
Net increase in net assets resulting from operations | 606,528 | |||
|
| |||
Increase in Net Assets Derived from Capital Share Transactions (Note 4) | 14,507,007 | |||
|
| |||
Total increase in net assets | 15,113,535 | |||
|
| |||
Net assets | ||||
Beginning of period | — | |||
|
| |||
End of period | $ | 15,113,535 | ||
|
| |||
Accumulated net investment income, end of period | $ | 1,599 | ||
|
|
* | The Arabesque Systematic USA Fund commenced operations on May 3, 2017. |
The accompanying notes are an integral part of the financial statements.
12
ARABESQUE SYSTEMATIC USA 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 Period May 3, 2017* to September 30, 2017 | ||||
Per Share Operating Performance | ||||
Net asset value, beginning of period | $ | 10.00 | ||
|
| |||
Net investment loss(1) | (0.01 | ) | ||
Net realized and unrealized gain on investments | 0.55 | |||
|
| |||
Net increase in net assets resulting from operations | 0.54 | |||
|
| |||
Net asset value, end of period | $ | 10.54 | ||
|
| |||
Total investment return(2) | 5.40 | % | ||
Ratios/Supplemental Data | ||||
Net assets, end of period (in thousands) | $ | 15,114 | ||
Ratio of expenses to average net assets | 0.95 | %(3) | ||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 3.25 | %(3) | ||
Ratio of net investment loss to average net assets | (0.16 | )%(3) | ||
Portfolio turnover rate | 82.18 | %(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. |
(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
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2017
1. Organization and Significant Accounting Policies
The Arabesque Systematic USA 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 May 3, 2017. 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, Investor Class and Institutional Class shares. As of September 30, 2017, Investor Class shares had not been issued.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
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, provided such amount approximates market value. 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 FundVantage 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. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by Arabesque Investment Management Ltd (“Arabesque” or the “Adviser”). The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations.
Fair Value Measurements — The inputs and valuations 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; |
14
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2017
• 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 September 30, 2017, in valuing the Fund’s investments carried at fair value:
Total Value at 09/30/17 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks* | $ | 14,727,242 | $ | 14,727,242 | $ | — | $ | — | ||||||||
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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 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
15
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2017
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 September 30, 2017, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes 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.
Deferred Offering Costs — Offering costs, including costs of printing initial prospectus and legal fees, are amortized over twelve-months from inception of the Fund. As of September 30, 2017, the remaining amount still to be amortized for the Fund was $12,834.
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 may 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 (the “Internal Revenue 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
16
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2017
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.
Recent Accounting Pronouncement — On August 1, 2017, the Fund implemented amendments to Regulation S-X, issued by the Securities and Exchange Commission, which require standardized, enhanced disclosures, particularly related to derivatives, in investment company financial statements. Adoption had no effect on the Fund’s net assets or results of operations.
2. Transactions with Related Parties and Other Service Providers
Arabesque serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust. 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 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, any class-specific fees and expenses (including Rule 12b-1 fees), interest, extraordinary items, “Acquired Fund” fees and expenses and brokerage commissions) do not exceed 0.95% (on an annual basis) with respect to the Fund’s average daily net assets of Institutional Class shares (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2020, unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, amounts waived 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount. As of September 30, 2017, the amount of potential recovery was as follows:
Expiration | ||||
September 30, 2020 | ||||
$70,327 |
For the period ended September 30, 2017, the Adviser earned advisory fees of $34,743 and waived fees and reimbursed expenses of $70,327.
For the period ended September 30, 2017, the Fund engaged in purchases of securities from affiliated funds in the amount of $23,084.
17
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2017
Other Service Providers
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 the period ended September 30, 2017, BNY Mellon accrued administration and accounting fees totaling $25,907 and waived fees totaling $23,332.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses. For the period ended September 30, 2017, BNY Mellon accrued transfer agent fees totaling $11,398 and waived fees totaling $8,000.
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. For the period ended September 30, 2017, BNY Mellon accrued custodian fees totaling $10,285 and waived fees totaling $5,000.
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 pursuant to an underwriting agreement between the Trust and the Underwriter.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. The remuneration paid to the Trustees by the Fund during the period ended September 30, 2017 was $2,877. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Fund or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. JWFM is compensated for the services provided to the Trust.
Freeh Group International Solutions, LLC provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer.
18
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
September 30, 2017
3. Investment in Securities
From May 3, 2017, commencement of operations, to September 30, 2017, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 22,162,562 | $ | 8,049,405 |
4. Capital Share Transactions
From May 3, 2017, commencement of operations, to September 30, 2017, transactions in capital shares (authorized shares unlimited) were as follows:
For the Period Ended | ||||||||
September 30, 2017 | ||||||||
Shares | Amount | |||||||
Institutional Class | ||||||||
Sales | 1,462,795 | $ | 14,798,773 | |||||
Redemptions | (28,290 | ) | (291,766 | ) | ||||
|
|
|
| |||||
Net increase | 1,434,505 | $ | 14,507,007 | |||||
|
|
|
|
* | There is a 1.00% 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 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. 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.
Distributions are determined in accordance with federal income tax regulations, which may differ in amount or character from net investment income and realized gains for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent,
19
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements (Concluded)
September 30, 2017
such amounts are reclassified within the components of net assets based on the tax treatment; temporary differences do not require reclassifications. For the period ended September 30, 2017, these adjustments were to increase accumulated income/(loss) by $9,156 and to decrease paid-in capital by $9,156. These permanent differences were primarily attributable to disallowed expenses. Net assets were not affected by these adjustments.
During the period from May 3, 2017, commencement of operations, to September 30, 2017, the Fund had no distributions from ordinary income or long-term capital gains.
As of September 30, 2017, 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 | ||||
$(286,815) | $1,599 | $— | $900,900 | $— |
As of September 30, 2017, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 13,826,342 | ||||
|
| |||||
Gross unrealized appreciation | $ | 1,100,279 | ||||
Gross unrealized depreciation | (199,379 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 900,900 | ||||
|
|
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain net capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30, and (ii) specified ordinary and currency losses between November 1 and September 30) as occurring on the first day of the following tax year. For the period ended September 30, 2017, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2017. As of September 30, 2017, the Fund had no capital loss deferrals and no late year ordinary loss deferrals.
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2017 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2017, the Fund had capital loss carryforwards of $286,815, of which all are short-term losses.
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
ARABESQUE SYSTEMATIC USA FUND
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and
Shareholders of Arabesque Systematic USA Fund
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Arabesque Systematic USA Fund (one of the series constituting FundVantage Trust) (the “Fund”) as of September 30, 2017, and the related statement of operations, the statement of changes in net assets, and the financial highlights for the period May 3, 2017 (commencement of operations) to September 30, 2017. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2017, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Arabesque Systematic USA Fund (one of the series constituting FundVantage Trust) at September 30, 2017, and the results of its operations, the changes in its net assets, and its financial highlights for the period May 3, 2017 (commencement of operations) to September 30, 2017 in conformity with U.S. generally accepted accounting principles.
Philadelphia, Pennsylvania
November 28, 2017
21
ARABESQUE SYSTEMATIC USA FUND
Shareholder Tax Information
(Unaudited)
The Fund is required by Subchapter M of the Internal Revenue Code to advise its shareholders of the U.S. federal tax status of distributions received by the Fund’s shareholders in respect of such fiscal year. During the fiscal year ended September 30, 2017, there were no distributions from the Arabesque Systematic USA Fund. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2017. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2018.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
22
ARABESQUE SYSTEMATIC USA 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) 567-2134 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 December 31 and June 30) 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.
Board Consideration of Investment Advisory Agreement
At a meeting held on March 29-30, 2017 (the “March Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of FundVantage Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), unanimously approved an investment advisory agreement between Arabesque Asset Management (the “Adviser,” or “Arabesque”) and the Trust (the “Agreement”) on behalf of the Arabesque Systematic USA Fund and the Arabesque Systematic International Fund (together, the “Funds”). At the March Meeting, the Board considered the approval of the Agreement for an initial two year period.
At the March Meeting, the Trustees considered information that the Adviser provided regarding (i) services to be provided for the Funds, (ii) the size and qualifications of Arabesque’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 Arabesque, (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 Arabesque’s ability to service Funds, and (x) compliance with federal securities laws and other regulatory requirements.
23
ARABESQUE SYSTEMATIC USA FUND
Other Information
(Unaudited) (Continued)
Performance. The Trustees considered that the investment strategy for the Funds was new, and therefore did not have historical performance. However, the Trustees reviewed performance information of another fund managed by Arabesque with strategy similar to that to be employed by the Funds. The Trustees reviewed the performance of the comparable fund for the period from its inception on August 1, 2014 through December 31, 2016. The Trustees concluded that the performance information relating to the comparable fund demonstrated Arabesque’s ability to execute investment strategies of the type to be employed by the Fund.
Fees.The Trustees also noted that the representatives of Arabesque had provided information regarding its advisory fees and an analysis of those fees in relation to the services to be provided to the Funds and any other ancillary benefit resulting from Arabesque’s relationship with the Funds. The Trustees also reviewed the explanations provided by Arabesque as to differences in fees to be charged to the Funds and other similarly managed accounts. The Trustees evaluated explanations provided by Arabesque regarding its belief that the advisory fee is within the normal range of fees and expenses for funds of similar size, composition and type of investment product. The Trustees concluded that the advisory fee and services to be provided by Arabesque are sufficiently consistent with those of other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the Funds.
Experience and Qualifications of the Adviser. The Trustees then considered the level and depth of knowledge of Arabesque, including the professional experience and qualifications of senior personnel. The Board took into account a report regarding Arabesque’s compliance policies and procedures 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 Funds’ investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services to be provided to the Funds by Arabesque and concluded that the nature, extent and quality of the services to be 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 Funds are likely to benefit from the continued receipt of those services. They also concluded that Arabesque has sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and has demonstrated their ability to attract and retain qualified personnel.
Cost. The Trustees also considered the cost of the services to be provided by Arabesque, the compensation and benefits to be received by Arabesque in providing services to the Funds, as well as Arabesque’s profitability. The Trustees noted that Arabesque provided its most recently audited financial statements as of December 31, 2015 to the Board of Trustees for review. The Trustees considered any direct or indirect revenues which would be received by Arabesque. The Trustees noted that the level of profitability is an appropriate factor to consider, and the Trustees should be satisfied that Arabesque’s profits are sufficient to continue as a healthy concern generally and as investment adviser of the Funds. Based on
24
ARABESQUE SYSTEMATIC USA FUND
Other Information
(Unaudited) (Concluded)
the information provided, the Trustees concluded that Arabesque’s advisory fee level was reasonable in relation to the nature and quality of the services provided, taking into account the projected growth of the Funds.
Economies of Scale. The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the Funds are anticipated to 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 shareholders, but that the advisory fee structure of the Funds did not currently include breakpoint reductions as asset levels increase.
In voting to approve the Agreement, the Trustees considered all factors they deemed relevant and the information presented to them by Arabesque. 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 interests of the Funds and their shareholders. The Board, including a majority of the Independent Trustees, unanimously approved the Agreement with respect to the Funds for an initial two year period.
25
ARABESQUE SYSTEMATIC USA FUND
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 Fund Vantage 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 (844) 567-2134.
26
ARABESQUE SYSTEMATIC USA FUND
Fund Management
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Fund. The address of each Trustee and Officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Fund contains additional information about the Trustees and is available, without charge, upon request by calling (844) 567-2134.
Name and Date of Birth
| Position(s) Held
| Term of Office and Length of Time Served
| Principal Occupation(s) During Past Five Years
| Number of
| Other
| |||||
INDEPENDENT TRUSTEES
| ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee and Chairman since 2007. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006.
| 42 | Optimum Fund Trust (registered investment company with 6 portfolios). | |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007.
| University Professor, Widener University.
| 42 | None. |
27
ARABESQUE SYSTEMATIC USA FUND
Fund Management (Continued)
(Unaudited)
Name and Date of Birth
| Position(s) Held
| Term of Office and Length of Time Served
| Principal Occupation(s) During Past Five Years
| Number of
| Other
| |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2016. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010.
| 42 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios). | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Asset Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008.
| 42 | Copeland Trust (registered investment company with 2 portfolios). Context Capital Funds (registered investment company with 1 portfolio). | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007.
| 42 | None. |
28
ARABESQUE SYSTEMATIC USA FUND
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth
| Position(s) Held with Trust
| Term of Office and Length of Time Served
| Principal Occupation(s) During Past Five Years
| |||
EXECUTIVE OFFICERS
| ||||||
JOEL L. WEISS Date of Birth: 1/63 | President and Chief Executive Officer | Shall serve until death, resignation or removal. Officer since 2007. | President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016.
| |||
T. RICHARD KEYES Date of Birth: 1/57 | Treasurer and Chief Financial Officer | Shall serve until death, resignation or removal. Officer since 2016. | President of TRK Fund Consulting LLC since July 2016; Head of Tax — U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016.
| |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 | Secretary | Shall serve until death, resignation or removal. Officer since 2012. | Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001.
| |||
DAVID C. LEBISKY Date of Birth: 5/72 | Chief Compliance Officer and Anti-Money Laundering Officer | Shall serve until death, resignation or removal. Officer since 2015. | President of Lebisky Compliance Consulting LLC since October 2015; Senior Consultant, Freeh Group International Solutions, LLC (a global risk management firm) since 2015; Scotia Institutional Investments US, LP, Director of Regulatory Administration from 2010 to 2014.
|
29
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[THIS PAGE INTENTIONALLY LEFT BLANK.]
Investment Adviser Arabesque Asset Management Ltd 43 Grosvenor Street London W1K 3HL England The United Kingdom
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 225 Liberty Street New York, NY 10286
Independent Registered Public Accounting Firm Ernst & Young LLP One Commerce Square 2005 Market Street, Suite 700 Philadelphia, PA 19103-7096
Legal Counsel Pepper Hamilton LLP 3000 Two Logan Square 18th and Arch Streets Philadelphia, PA 19103 |
ARABESQUE SYSTEMATIC USA FUND
of
FundVantage Trust
Institutional Class
ANNUAL REPORT
September 30, 2017
This report is submitted for the general information of the shareholders of the Arabesque Systematic USA Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Arabesque Systematic USA Fund. | |
ARA-0917
GOTHAM FUNDS
of
FundVantage Trust
Gotham Absolute Return Fund
Gotham Absolute 500 Fund
Gotham Absolute 500 Core Fund
Gotham Enhanced Return Fund
Gotham Enhanced 500 Fund
Gotham Enhanced 500 Core Fund
Gotham Neutral Fund
Gotham Neutral 500 Fund
Gotham Short Strategies Fund
Gotham Index Plus Fund
Gotham Index Core Fund
Gotham Hedged Plus Fund
Gotham Hedged Core Fund
Gotham Institutional Value Fund
Gotham Enhanced S&P 500 Index Fund
Gotham Defensive Long Fund
Gotham Defensive Long 500 Fund
Gotham Total Return Fund
Gotham Master Long Fund
Gotham Master Neutral Fund
Institutional Class Shares
ANNUAL REPORT
September 30, 2017
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.
Annual Investment Adviser’s Report
September 30, 2017
(Unaudited)
Dear Shareholder,
Gotham offers value-focused mutual funds with varying market cap universes and gross and net exposures that share the same investment philosophy, process and research. Gotham’s all-cap funds select long and short stock portfolios from a diverse capitalization universe of U.S. stocks. Our large-cap funds select stocks primarily from the S&P 500. Within the large-cap universe, Gotham offers actively managed strategies (long/short and long-only) as well as strategies that combine an index component and an actively managed long/short overlay.
Our investment process begins with a research effort that seeks to value all of the companies in a fund’s respective investment universe. Our philosophy is simple. Although stock prices react to emotion over the short term, over the long term the market is very good at finding the fair value of stocks. Therefore, we believe that if we are good at valuing businesses (a share of stock represents a percentage ownership stake in a business), the market will agree with us...eventually.
For an individual stock, we believe the waiting period for the market to get it “right” is no more than 2 or 3 years in the vast majority of cases. For a group of stocks, we believe the average waiting period can often be much shorter. In other words, for us, there is a “true north” when it comes to the stock market. If we do a good job of analyzing and valuing companies, we believe the market will agree with us — even if it takes some time. This is crucial. No investment strategy, regardless of how good or logical, works all the time.
The important thing for us is to stick to our strategy even if it is not working over shorter time periods. We have well over 50 years of combined investment experience valuing and investing in publicly traded businesses. We know how to value businesses by using various measures of absolute and relative value. So, that’s how we invest. We buy companies that are at the biggest discount to our assessment of value and sell short those companies that are most expensive relative to our assessment of value. We do not plan to change this strategy or adopt other methodologies when short term stock prices do not reflect the values that we see.
Together with our investment team (led by Director of Research, Adam Barth), we follow a systematic process of researching and valuing companies, investing in our long and short portfolios and adjusting positions daily to take advantage of changing stock prices and fundamental information. The funds are highly diversified and invest in hundreds of positions. Our positions are not equally weighted. The funds invest in the cheapest companies and short the most expensive based on our assessment of value and subject to our risk constraints. We manage our risks by requiring substantial portfolio diversification, setting maximum limits for sector concentration and by maintaining overall gross and net exposures within carefully defined ranges.
Market Observations and Performance Commentary
We remain in a risk-on market environment. The S&P 500 has not posted a negative monthly return in 2017 thus far. In 90 years, the S&P 500 has never had a calendar year without a single monthly loss. Volatility has remained low with the VIX index down over 30% year-to-date through September. Over the same period, the MSCI USA Momentum Index has outperformed the MSCI USA Value Index by over 18%. The Russell 1000 Growth Index has outperformed the Russell 1000 Value Index by almost 13% year-to-date through September. The Russell 2000 Growth Index has also beaten the Russell 2000 Value Index by double digits over the same period.
Although we expect positive spreads in most markets, speculative environments can be challenging for our strategies given the nature of our short positions. Our shorts generally sell at 50 to 100 times pre-tax free cash flow or actually lose money. Many of them are “hope” stocks and in big up markets people get very hopeful, causing our shorts to outperform. On the long side, we typically favor companies with high cash flows relative to price and high returns on capital. The
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Annual Investment Adviser’s Report (Continued)
September 30, 2017
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good news is that even in sustained market uptrends, people tend to like the cash flows of our longs, which can help offset the performance of our shorts.
In terms of performance for the annual period from October 1, 2016 – September 30, 2017, all our mutual funds that were live during that period (with the exception of our short fund, Gotham Short Strategies Fund, “GSSFX”) posted positive returns. Performance was driven by a strong long portfolio which generated positive returns in line with the market. The short book however, continued to be challenged and posted positive returns as well, detracting from overall performance.
All-Cap Funds
Gotham Absolute Return Fund (GARIX)
Gotham Enhanced Return Fund (GENIX)
Gotham Neutral Fund (GONIX)
Gotham Absolute Return Fund (GARIX), which currently targets a net long equity exposure between 50%-60% by being approximately 120% long by 60% short, returned +9.8% for the period. Gotham Enhanced Return Fund (GENIX), which currently targets a net long equity exposure of 100% by being approximately 170% long by 70% short, returned +16.0% for the period. Gotham Neutral Fund (GONIX), which seeks minimal correlation to the general stock market, returned +3.2% for the period.
Our long portfolios contributed positively to performance for the period. The long portfolios for each of the funds (scaled to 100%) performed in line with the market and returned over 18% across the funds. Our short portfolios, however, continued to be challenged as the market remained at what we considered to be elevated levels. The short portfolios of each of the funds, adjusted for leverage, generated positive returns, detracting from overall performance.
At a sector level, Information Technology and Industrials were the top contributors on the long side. On the short side, the same sectors detracted the most. On a net basis, both sectors (Information Technology and Industrials) were the largest contributors across all three funds.
Large-Cap Funds
Gotham Absolute 500 Fund (GFIVX)
Gotham Enhanced 500 Fund (GENFX)
Gotham Neutral 500 Fund (GONFX)
Gotham Institutional Value Fund (GINVX)
Gotham Absolute 500 Core Fund (GACFX)
Gotham Enhanced 500 Core Fund (GECFX))
Gotham Absolute 500 Fund (GFIVX), which currently targets a net long equity exposure between 40%-70% by being approximately 142.5% long by 82.5% short, returned +12.6% over the period. Gotham Enhanced 500 Fund (GENFX), which currently targets a net long equity exposure of 100% by being approximately 185% long by 85% short, returned +19.7% over the period. Gotham Neutral 500 Fund (GONFX), which seeks minimal correlation to the general stock market, returned +7.7% for the period. Gotham Institutional Value Fund (GINVX), a long-only fund, returned +17.3% over the period.
The additional large-cap strategies that Gotham launched on September 30, 2016, targeting lower gross exposures in the large-cap space also posted positive returns. Gotham Absolute 500 Core Fund (GACFX), which currently
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Annual Investment Adviser’s Report (Continued)
September 30, 2017
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targets a net long equity exposure of 60% by being approximately 110% long by 50% short, returned +11.9% over the period. Gotham Enhanced 500 Core Fund (GECFX), which currently targets a net long equity exposure of 100% by being approximately 140% long by 40% short, returned +18.6% over the period.
Similar to the all-cap funds, the positive performance of the large-cap funds was driven by the long side. The long portfolios for each of the long/short funds (scaled to 100%) performed in line with the market and returned over 18% across the funds. The short portfolio for these funds, adjusted for leverage, generated positive returns thus detracting from overall performance. GINVX, which is a long-only fund slightly underperformed the market.
Index-Based Funds
Gotham Index Plus Fund (GINDX)
Gotham Hedged Plus Fund (GHPLX)
Gotham Index Core Fund (GCIDX)
Gotham Hedged Core Fund (GCHDX)
Gotham Enhanced S&P 500 Fund (GSPFX)
Gotham Index Plus Fund (GINDX) is comprised of an investment that seeks to closely track the S&P 500 Index plus an investment in an actively managed long/short overlay. Gotham Hedged Plus Fund (GHPLX) is comprised of an index investment of approximately 50-70%, plus an investment in an actively managed long/short overlay. The active long/short component is designed to be additive to the index return. We expect the long/short overlay to be uncorrelated and often negatively correlated with the index return resulting in attractive upside and downside capture ratios over the long-term. Gotham Index Plus Fund (GINDX), which currently targets a 100% net long equity exposure by being approximately 190% long by 90% short, returned +23.3% over the period. Gotham Hedged Plus Fund (GHPLX), which currently targets a 60% net long equity exposure by being approximately 150% long by 90% short, returned +15.0% over the period.
The additional index-based strategies that Gotham launched on September 30, 2016, targeting lower gross exposures in the large-cap space also posted positive returns. Gotham Index Core Fund (GCIDX), which currently targets a net long equity exposure of 100% by being approximately 140% long by 40% short (comprised of an index investment and an active long/short overlay), returned +21.2% over the period. Gotham Hedged Core Fund (GCHDX), which currently targets a net long equity exposure of 60% by being approximately 95% long by 35% short (comprised of an index investment of approximately 50-70% and an active long/short overlay), returned +13.4% over the same period. Gotham Enhanced S&P 500 Fund (GSPFX), a long-only fund which launched on December 30, 2016, returned +15.3% over the year-to-date period since its inception.
For the index-based strategies that are long/short, the long portfolio, adjusted for leverage, outperformed the S&P 500 for the period. The short portfolio, adjusted for leverage, also generated positive returns thus detracting from overall performance. GSPFX, which is long-only, outperformed the S&P 500 for the period that it was live.
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Annual Investment Adviser’s Report (Continued)
September 30, 2017
(Unaudited)
Allocation Strategies (Fund-of-Funds)
Gotham Total Return Fund (GTRFX)
Gotham Master Long Fund (GMLFX)
Gotham Master Neutral Fund (GMNFX)
Gotham Total Return Fund (GTRFX) allocates across other Gotham mutual funds based on the Co-CIOs’ assessment of market conditions. As a result of its underlying allocations, we generally expect the overall net long exposure of GTRFX to be between 40% and 85%. GTRFX returned +15.8% over the period.
On April 28, 2017, Gotham launched two other allocation funds. Gotham Master Neutral Fund (GMNFX) allocates across other Gotham mutual funds as well as invests in securities directly. As a result of its underlying allocations, we generally expect the overall net exposure of GMNFX to be between 0% and 30% during normal market conditions. GMNFX returned +0.8% for the period since inception through 9/30/17.
Gotham Master Long Fund (GMLFX) also allocates across other Gotham mutual funds and may invest in securities directly. As a result of its underlying allocations, we generally expect the overall net exposure of GMLFX to be between 70% and 100% during normal market conditions. GMLFX returned +6.0% for the period since inception through 9/30/17.
Defensive Funds
Gotham Defensive Long Fund (GDLIX)
Gotham Defensive Long 500 Fund (GDLFX)
Gotham also launched two defensive funds on September 30, 2016. These funds pursue a defensive investment style, meaning they seek to mitigate downside risk in declining markets. Gotham Defensive Long Fund (GDLIX), which selects long and short stock portfolios from a diverse capitalization universe of U.S. stocks, currently targets a net long equity exposure of 100% by being approximately 175% long by 75% short. GDLIX returned +8.7% for the period.
Gotham Defensive Long 500 Fund (GDLFX), which selects stocks primarily from the S&P 500 universe, currently targets a net long equity exposure of 100% by being approximately 185% long by 85% short. GDLFX returned +17.1% for the period.
Short Fund
Gotham Short Strategies Fund (GSSFX)
On July 31, 2017, Gotham reorganized its net short private fund (the “Predecessor Fund”) into the Gotham Short Strategies Fund (GSSFX), which seeks to provide positive returns in down markets. The Predecessor Fund was organized and commenced operations in February 2008 and had an investment objective, investment policies and restrictions that were, in all material respects, the same as those of GSSFX. However, the Predecessor Fund was not registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”) nor subject to certain limitations and restrictions imposed by the 1940 Act and the Internal Revenue Code of 1986, as amended (the “Code”).1
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Annual Investment Adviser’s Report (Continued)
September 30, 2017
(Unaudited)
GSSFX currently targets a net short equity exposure of 50% by being approximately 100% long by 150% short. It returned -0.13% for the period from 10/1/2016 to 9/30/2017. GSSFX’s performance for periods prior to the commencement of operations on July 31, 2017 is that of the Predecessor Fund adjusted to reflect GSSFX’s fee structure.
Market Valuations and Opportunity Set
As of current market valuation levels, the Russell 1000 and the S&P 500 stand roughly in the 16th percentile toward expensive over the last 27 years. From similar valuation levels in the past, year-ahead returns have averaged 3-5% over the next year and 8-10% over the next two years. The Russell 2000 is in the 5th percentile toward expensive relative to our research history. This index has been cheaper 95% of the time over the last 27 years and year-forward returns have averaged between -2% and -4% from similar valuation levels in the past.2
Based on current valuation levels, it is reasonable to assume the market will not continue to return 15%-20% annually. For the market to revert to more average valuation levels since 1990 (offering forward annual returns of 9%-10%), the market could either fall approximately 18% immediately or, alternatively, return 3-5% in each of the next 3 years. Normal to subnormal market returns over the coming period should provide a much better environment for our spreads.
Currently, we have the opportunity to short very expensive stocks within a very expensive market. On the long side, we are buying the cheapest stocks within the investment universe (based on our valuation methodology), many of which are large-cap stocks. As mentioned above, year forward returns for the S&P 500 and Russell 1000 have been positive when the markets have been at similar valuation levels in the past. We believe that buying the cheapest stocks within these indexes sets us up to outperform index returns on the long side.
If we were momentum investors and momentum hadn’t worked well over the last couple of years, we could legitimately wonder whether that trade was crowded and that the momentum factor had degraded. However, stocks are ownership shares of businesses that we value and try to buy at a discount or sell when expensive. While it is possible that the market ignores valuations over certain periods, stocks remain partial ownership stakes in businesses. Although we cannot predict when market returns revert to more normal or even subnormal levels, we are confident that sticking to our disciplined process of valuing businesses and managing our long/short portfolio risks will benefit us and our investors over time.
Thank you for your investment in the Gotham Funds.
Sincerely, | ||||
Joel Greenblatt and Robert Goldstein Managing Principals & Co-Chief Investment Officers Gotham Asset Management, LLC
|
1 | The performance of the Predecessor Fund may have been adversely affected if the Fund had been subject to certain investment limitations, diversification requirements, liquidity requirements, and other restrictions imposed by the 1940 Act and the Code. |
2 | As of October 30, 2017. |
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Annual Investment Adviser’s Report (Concluded)
September 30, 2017
(Unaudited)
Important Information
This letter is intended to assist shareholders in understanding how the Gotham Funds described herein performed during the period ended September 30, 2017, and reflects the views of the investment adviser at the time of this writing. Market and index valuations are based on Gotham’s valuation methodology. The views may change and do not guarantee the future performance of the Gotham Funds or the markets.
This letter contains forward-looking statements regarding future events, forecasts and expectations regarding equity markets and certain of Gotham’s strategies. Forward-looking statements may be identified terminology such terms as “may,” “expect,” “will,” “hope,” “believe” and/or comparable terminology. No assurance, representation, or warranty is made that any of Gotham’s expectations, views and/or objectives will be achieved and actual results may be significantly different than reflected herein.
Broad-based securities indices mentioned herein are unmanaged and are not subject to fees and expenses typically associated with investment funds. The S&P 500 Index and the Russell 1000 Index are commonly followed equity indices and are generally considered a barometer of the U.S. equity market. The Russell 2000 is a commonly followed equity index and is generally considered a barometer of the U.S. small to mid-capitalization market. Returns for the indices include the reinvestment of income. It is not possible to invest in the indices. The performance and volatility of the funds will be different than those of the indices.
Mutual fund investing involves risks, including possible loss of principal. Short sales by a fund theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. The funds will use leverage to make additional investments which could result in greater losses than if the funds were not leveraged.
An investor should consider the investment objectives, risks, charges and expenses of the Funds carefully before investing. The prospectus contains this and other information about the Funds. A copy of the prospectus is available on our website www.GothamFunds.com or by calling 877-974-6852. The prospectus should be read carefully before investing.
Gotham Funds, which are registered with the United States Securities and Exchange Commission pursuant to the 1940 Act, are distributed by Foreside Funds Distributors LLC (“Foreside”). Gotham Asset Management, LLC is the investment advisor to the Funds and is not affiliated with Foreside.
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GOTHAM FUNDS
Gotham Absolute Return Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Absolute Return Fund Institutional Class Shares
vs Hedge Fund Research Inc. (HFRX) Equity Hedge Index
Average Annual Total Returns for the Periods Ended September 30, 2017 | ||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | |||||||||||
Institutional Class Shares | 9.76% | 1.77% | 8.23% | 8.45%* | ||||||||||
HFRX Equity Hedge Index | 7.91% | 1.60% | 3.64% | 3.74%** |
* | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 3.09% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursement” are 3.04% for Institutional Class Shares of the Fund’s average daily net assets. These ratios 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 2.15% (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, 2019, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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 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
7
GOTHAM FUNDS
Gotham Absolute Return Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
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 invested in equities, both long and short. It is impossible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. 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 Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may invest in securities of large-, mid- and small-cap companies. 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. High turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. There can be no guarantee that the Fund will achieve its objectives.
8
GOTHAM FUNDS
Gotham Absolute 500 Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Absolute 500 Fund Institutional Class Shares
vs Hedge Fund Research Inc. (HFRX) Equity Hedge Index
Average Annual Total Returns for the Periods Ended September 30, 2017 | ||||||||||
1 Year | 3 Year | Since Inception | ||||||||
Institutional Class Shares | 12.63% | 5.68% | 6.39%* | |||||||
HFRX Equity Hedge Index | 7.91% | 1.60% | 2.00%** |
* | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 3.85% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 3.47% for Institutional Class Shares of the Fund’s average daily net assets. These ratios 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.50% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2019, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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 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
9
GOTHAM FUNDS
Gotham Absolute 500 Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
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 invested in equities, both long and short. It is impossible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. 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 Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. There can be no guarantee that the Fund will achieve its objectives.
10
GOTHAM FUNDS
Gotham Absolute 500 Core Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Absolute 500 Core Fund Institutional Class Shares
vs Hedge Fund Research Inc. (HFRX) Equity Hedge Index
Average Annual Total Returns for the Period Ended September 30, 2017 | ||||
1Year | ||||
Institutional Class Shares | 11.90%* | |||
HFRX Equity Hedge Index | 7.91%** |
* | The Gotham Absolute 500 Core Fund (the “Fund”) commenced operations on September 30, 2016. |
** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 2.07% for Institutional Class Shares of the Fund’s average daily net assets. This ratio 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.15% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2020, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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 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
11
GOTHAM FUNDS
Gotham Absolute 500 Core Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
would typically maintain at least 50%, and may in some cases be substantially invested in equities, both long and short. It is impossible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. 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 Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. The Fund is recently formed and has a limited history of operations. There can be no guarantee that the Fund will achieve its objectives.
12
GOTHAM FUNDS
Gotham Enhanced Return Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Enhanced Return Fund Institutional Class Shares
vs the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2017 | ||||||||||
1 Year | 3 Year | Since Inception | ||||||||
Institutional Class Shares | 16.03% | 5.08% | 10.85%* | |||||||
S&P 500® Total Return Index | 18.61% | 10.81% | 12.90%** |
* | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 3.58% for Institutional Class Shares of the Fund’s average daily net assets. This ratio 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 2.15% (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, 2019, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends. This index is unmanaged and investors cannot invest directly in this index.
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks long-term capital appreciation. The Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously
13
GOTHAM FUNDS
Gotham Enhanced Return Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may invest in securities of large-, mid- and small-cap companies. 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. High turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. There can be no guarantee that the Fund will achieve its objectives.
14
GOTHAM FUNDS
Gotham Enhanced 500 Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Enhanced 500 Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2017 | ||||||
1 Year | Since Inception | |||||
Institutional Class Shares | 19.73% | 7.88%* | ||||
S&P 500® Total Return Index | 18.61% | 9.91%** |
* | The Gotham Enhanced 500 Fund (the “Fund”) commenced operations on December 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 4.54% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 3.82% for Institutional Class Shares of the Fund’s average daily net assets. These ratios 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.50% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2019, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return 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.
15
GOTHAM FUNDS
Gotham Enhanced 500 Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks long-term capital appreciation. The Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may have a high turnover of its portfolio securities. Higher turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. There can be no guarantee that the Fund will achieve its objectives.
16
GOTHAM FUNDS
Gotham Enhanced 500 Core Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Enhanced 500 Core Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Period Ended September 30, 2017 | ||||
1 Year | ||||
Institutional Class Shares | 18.60%* | |||
S&P 500® Total Return Index | 18.61%** |
* | The Gotham Enhanced 500 Core Fund (the “Fund”) commenced operations on September 30, 2016. |
** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 2.14% for Institutional Class Shares of the Fund’s average daily net assets. This ratio 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.15% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2020, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return 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.
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks long-term capital appreciation. The Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously
17
GOTHAM FUNDS
Gotham Enhanced 500 Core Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may have a high turnover of its portfolio securities. Higher turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. The Fund is recently formed and has a limited history of operations. There can be no guarantee that the Fund will achieve its objectives.
18
GOTHAM FUNDS
Gotham Neutral Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Neutral Fund Institutional Class Shares
vs BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
Average Annual Total Returns for the Periods Ended September 30, 2017 | ||||||||||
1 Year | 3 Year | Since Inception | ||||||||
Institutional Class Shares | 3.23% | -2.23% | 1.35%* | |||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.66% | 0.32% | 0.25%** |
* | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 3.56% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursement” are 3.54% for Institutional Class Shares of the Fund’s average daily net assets. These ratios 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 2.15% (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, 2019, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below Expense Limitation.
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.
19
GOTHAM FUNDS
Gotham Neutral Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks to achieve long-term capital appreciation with minimal correlation to the general stock market. The Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may invest in securities of large-, mid- and small-cap companies. 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. Higher turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. There can be no guarantee that the Fund will achieve its objectives.
20
GOTHAM FUNDS
Gotham Neutral 500 Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Neutral 500 Fund Institutional Class Shares
vs BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
Average Annual Total Returns for the Period Ended September 30, 2017 | ||||
1 Year | ||||
Institutional Class Shares | 7.70%* | |||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.66%** |
* | The Gotham Neutral 500 Fund (the “Fund”) commenced operations on October 01, 2016. The Fund’s inception date was September 30, 2016. |
** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 3.34% for Institutional Class Shares of the Fund’s average daily net assets. This ratio 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.50% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2020, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below Expense Limitation.
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.
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks to achieve long-term capital appreciation with minimal correlation to the general stock market. The Fund will short securities. Short sales theoretically involve unlimited loss
21
GOTHAM FUNDS
Gotham Neutral 500 Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
potential since the market price of securities sold short may continuously increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may have a high turnover of its portfolio securities. Higher turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. The Fund is recently formed and has a limited history of operations. There can be no guarantee that the Fund will achieve its objectives.
22
GOTHAM FUNDS
Gotham Short Strategies Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Short Strategies Fund Institutional Class Shares
vs the 50% Inverse of the Standard & Poor’s 500® Total Return Index (“50% Inverse of the S&P 500®”)
Average Annual Total Returns for the Periods Ended September 30, 2017 | ||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | |||||||||||
Institutional Class Shares* | -0.10% | -2.64% | -4.80% | 1.02% | ||||||||||
50% Inverse of the S&P 500® | -9.11% | -5.53% | -7.46% | -5.55%** |
* | A privately offered fund (the “Predecessor Fund”) managed by Gotham Asset Management, LLC was reorganized into the Gotham Short Strategies Fund (the “Fund” or “GSSFX”) on July 31, 2017, the date GSSFX commenced operations. The Predecessor Fund was organized and commenced operations in February 2008 and had an investment objective, investment policies and restrictions that were, in all material respects, equivalent to those of GSSFX. However, the Predecessor Fund was not registered as an investment company under the 1940 Act. In addition, this Predecessor Fund was not subject to certain investment limitations, diversification requirements, liquidity requirements, and other restrictions imposed by the 1940 Act and the Code which, if applicable, might have adversely affected its performance. GSSFX’s performance for periods prior to the commencement of operations on July 31, 2017 is that of the Predecessor Fund adjusted to reflect GSSFX’s fee structure. |
** | Benchmark performance is from inception date of the Predecessor 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated August 1, 2017, the “Total Annual Fund Operating Expenses” are 1.50% and the “Total Annual Fund Operating Expenses After Fee waivers and/or Expense Reimbursements” are 1.35% for Institutional Class Shares of the Fund’s average daily net assets. These ratios 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.35% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until July 31, 2020, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
23
GOTHAM FUNDS
Gotham Short Strategies Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
The 50% Inverse of the S&P 500® reflects the return of the S&P 500® adjusted to show the negative 50% targeted net short exposure of the Predecessor Fund. Its returns reflect reinvested dividends. This index is unmanaged and investors cannot invest directly in this index.
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks long-term capital appreciation and to provide positive returns in down markets. The Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund will also seek to gain exposure to long and short positions through the use of derivative instruments such as a total return swap agreement (a “swap”), through which the Fund would receive the returns of investments in a customized basket of equity securities that are consistent with the Fund’s strategy. The Fund may invest in securities of large-, mid- and small-cap companies. 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. High turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. There can be no guarantee that the Fund will achieve its objectives.
24
GOTHAM FUNDS
Gotham Index Plus Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Index Plus Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2017 | ||||||
1 Year | Since Inception | |||||
Institutional Class Shares | 23.25% | 12.02%* | ||||
S&P 500® Total Return Index | 18.61% | 10.53%** |
* | The Gotham Index Plus Fund (the “Fund”) commenced operations on March 31, 2015. |
** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 3.47% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 3.38% for Institutional Class Shares of the Fund’s average daily net assets. These ratios 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.15% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2019, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends. This index is unmanaged and investors cannot invest directly in this index.
25
GOTHAM FUNDS
Gotham Index Plus Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks to outperform the S&P 500® Index over most annual periods. The Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may have a high turnover of its portfolio securities. Higher turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. There can be no guarantee that the Fund will achieve its objectives.
26
GOTHAM FUNDS
Gotham Index Core Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Index Core Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Period Ended September 30, 2017 | ||||
1 Year | ||||
Institutional Class Shares | 21.20%* | |||
S&P 500® Total Return Index | 18.61%** |
* | The Gotham Index Core Fund (the “Fund”) commenced operations on September 30, 2016. |
** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 1.97% for Institutional Class Shares of the Fund’s average daily net assets. This ratio 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.85% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2020, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends. This index is unmanaged and investors cannot invest directly in this index.
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks to outperform the S&P 500® Index over most annual periods. The Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities
27
GOTHAM FUNDS
Gotham Index Core Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
sold short may continuously increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may have a high turnover of its portfolio securities. Higher turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. The Fund is recently formed and has a limited history of operations. There can be no guarantee that the Fund will achieve its objectives.
28
GOTHAM FUNDS
Gotham Hedged Plus Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Hedged Plus Fund Institutional Class Shares
vs Hedge Fund Research Inc. (HFRX) Equity Hedge Index
Average Annual Total Returns for the Periods Ended September 30, 2017 | ||||||
1 Year | Since Inception | |||||
Institutional Class Shares | 15.01% | 10.35%* | ||||
HFRX Equity Hedge Index | 7.91% | 6.82%** |
* | The Gotham Hedged Plus Fund (the “Fund”) commenced operations on March 31, 2016. |
** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 8.17% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursement” are 3.13% for Institutional Class Shares of the Fund’s average daily net assets. These ratios 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.15% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2020, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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 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
29
GOTHAM FUNDS
Gotham Hedged Plus Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
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 invested in equities, both long and short. It is impossible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks long-term capital appreciation and to achieve positive returns during most annual periods in an efficient, risk-adjusted manner. The Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may have a high turnover of its portfolio securities. Higher turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. There can be no guarantee that the Fund will achieve its objectives.
30
GOTHAM FUNDS
Gotham Hedged Core Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Hedged Core Fund Institutional Class Shares
vs Hedge Fund Research Inc. (HFRX) Equity Hedge Index
Average Annual Total Returns for the Period Ended September 30, 2017 | ||||
1 Year | ||||
Institutional Class Shares | 13.40%* | |||
HFRX Equity Hedge Index | 7.91%** |
* | The Gotham Hedged Core Fund (the “Fund”) commenced operations on September 30, 2016. |
** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 1.65% for Institutional Class Shares of the Fund’s average daily net assets. This ratio 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.85% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2020, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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 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
31
GOTHAM FUNDS
Gotham Hedged Core Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
would typically maintain at least 50%, and may in some cases be substantially invested in equities, both long and short. It is impossible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks long-term capital appreciation and to achieve positive returns during most annual periods in an efficient, risk-adjusted manner. The Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may have a high turnover of its portfolio securities. Higher turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. The Fund is recently formed and has a limited history of operations. There can be no guarantee that the Fund will achieve its objectives.
32
GOTHAM FUNDS
Gotham Institutional Value Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $5,000,000 Investment in Gotham Institutional Value Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2017 | ||||||
1 Year | Since Inception | |||||
Institutional Class Shares | 17.31% | 14.90%* | ||||
S&P 500® Total Return Index | 18.61% | 10.53%** |
* | The Gotham Institutional Value Fund (the “Fund”) commenced operations on December 31, 2015. |
** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 4.90% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursement” are 0.95% for Institutional Class Shares of the Fund’s average daily net assets. These ratios 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.95% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2019, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return 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.
33
GOTHAM FUNDS
Gotham Institutional Value Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks long-term capital appreciation. The Fund may have a high turnover of its portfolio securities. Higher turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. There can be no guarantee that the Fund will achieve its objectives.
34
GOTHAM FUNDS
Gotham Enhanced S&P 500 Index Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Enhanced S&P 500 Index Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Total Returns for the Period Ended September 30, 2017 | ||||
Since Inception* | ||||
Institutional Class Shares | 15.30%** | |||
S&P 500® Total Return Index | 14.24%*** |
* | Not Annualized. |
** | The Gotham Enhanced S&P 500 Index Fund (the “Fund”) commenced operations on December 30, 2016. |
*** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 0.61% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 0.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.50% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2020, 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 following the date of such fee waiver and/or expense reimbursement. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return 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.
35
GOTHAM FUNDS
Gotham Enhanced S&P 500 Index Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks long-term capital appreciation. The Fund may have a high turnover of its portfolio securities. Higher turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. The Fund is recently formed and has a limited history of operations. There can be no guarantee that the Fund will achieve its objectives.
36
GOTHAM FUNDS
Gotham Defensive Long Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Defensive Long Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Period Ended September 30, 2017 | ||||
1 Year | ||||
Institutional Class Shares | 8.70%* | |||
S&P 500® Total Return Index | 18.61%** |
* | The Gotham Defensive Long Fund (the “Fund”) commenced operations on September 30, 2016. |
** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 3.73% for Institutional Class Shares of the Fund’s average daily net assets. This ratio 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 2.15% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2020, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return 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.
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks long-term capital appreciation. The Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously
37
GOTHAM FUNDS
Gotham Defensive Long Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may invest in securities of large-, mid- and small-cap companies. 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. Higher turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. The Fund is recently formed and has a limited history of operations. There can be no guarantee that the Fund will achieve its objectives.
38
GOTHAM FUNDS
Gotham Defensive Long 500 Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Defensive Long 500 Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Period Ended September 30, 2017 | ||||
1 Year | ||||
Institutional Class Shares | 17.10%* | |||
S&P 500® Total Return Index | 18.61%** |
* | The Gotham Defensive Long 500 Fund (the “Fund”) commenced operations on September 30, 2016. |
** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017, the “Total Annual Fund Operating Expenses” are 3.63% for Institutional Class Shares of the Fund’s average daily net assets. This ratio 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.50% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2020, 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return 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.
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks long-term capital appreciation. The Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously
39
GOTHAM FUNDS
Gotham Defensive Long 500 Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
increase. The Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Fund may have a high turnover of its portfolio securities. Higher turnover rates generally result in higher brokerage costs to the Fund, which reduce the Fund’s returns and may result in higher net taxable gain for shareholders. The Fund is recently formed and has a limited history of operations. There can be no guarantee that the Fund will achieve its objectives.
40
GOTHAM FUNDS
Gotham Total Return Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Total Return Fund Institutional Class Shares
vs Hedge Fund Research Inc. (HFRX) Equity Hedge Index
Average Annual Total Returns For the Periods Ended September 30, 2017 | ||||||
1 Year | Since Inception | |||||
Institutional Class Shares | 15.82% | 7.02%* | ||||
HFRX Equity Hedge Index | 7.91% | 0.96%** |
* | The Gotham Total Return Fund (the “Fund”) commenced operations on March 31, 2015. |
** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated February 1, 2017 (as supplemented on April 24, 2017), the “Total Annual Fund Operating Expenses” are 5.07% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Reimbursements” are 3.52% for Institutional Class Shares of the Fund’s average daily net assets. These ratios 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, management fees (if any) and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2019, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. Prior to January 1, 2017, the Expense Limitation was 0.17%. 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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 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
41
GOTHAM FUNDS
Gotham Total Return Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
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 invested in equities, both long and short. It is impossible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks long-term capital appreciation. The Fund normally allocates the majority of its assets among mutual funds advised by Gotham. Therefore, the Fund’s shareholders will indirectly bear the Fund’s proportionate share of fees and expenses of the underlying funds in addition to the Fund’s own expenses. The underlying funds will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Certain underlying funds may invest in large-, mid- and small-cap companies. 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 or underlying funds will also use leverage to make additional investments which could result in greater losses than if the Fund and/or underlying funds were not leveraged. The underlying funds may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs, which reduce returns and may result in higher net taxable gain for shareholders. There can be no guarantee that the Fund will achieve its objectives.
42
GOTHAM FUNDS
Gotham Master Long Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Master Long Fund Institutional Class Shares
vs Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Total Returns for the Period Ended September 30, 2017 | ||||
Since Inception* | ||||
Institutional Class Shares | 6.00%** | |||
S&P 500® Total Return Index | 6.61%*** |
* | Not Annualized. |
** | The Gotham Master Long Fund (the “Fund”) commenced operations on April 28, 2017. |
*** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated May 1, 2017, the “Total Annual Fund Operating Expenses” are 2.57% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 2.52% for Institutional Class Shares of the Fund’s average daily net assets. These ratios 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, management fees (if any), and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2020, 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 date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. 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® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return 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.
43
GOTHAM FUNDS
Gotham Master Long Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks long-term capital appreciation. The Fund normally allocates the majority of its assets among mutual funds advised by Gotham. Therefore, the Fund’s shareholders will indirectly bear the Fund’s proportionate share of fees and expenses of the underlying funds in addition to the Fund’s own expenses. The underlying funds will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Certain underlying funds may invest in large-, mid- and small-cap companies. 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 or underlying funds will also use leverage to make additional investments which could result in greater losses than if the Fund and/or underlying funds were not leveraged. The underlying funds may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs, which reduce returns and may result in higher net taxable gain for shareholders. The Fund is recently formed and has a limited history of operations. There can be no guarantee that the Fund will achieve its objectives.
44
GOTHAM FUNDS
Gotham Master Neutral Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $250,000 Investment in Gotham Master Neutral Fund Institutional Class Shares
vs BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
Total Returns for the Period Ended September 30, 2017 | ||||
Since Inception* | ||||
Institutional Class Shares | 0.80%** | |||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.40%*** |
* | Not Annualized. |
** | The Gotham Master Neutral Fund (the “Fund”) commenced operations on April 28, 2017. |
*** | 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 graph and table do 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 30 days of purchase. This redemption fee is not reflected in the returns shown above. As stated in the current prospectus dated May 1, 2017, the “Total Annual Fund Operating Expenses” are 3.06% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursement” are 3.00% for Institutional Class Shares of the Fund’s average daily net assets. These ratios 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, management fees (if any), and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2020, 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 date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below Expense Limitation.
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.
45
GOTHAM FUNDS
Gotham Master Neutral Fund
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Mutual fund investing involves risks, including possible loss of principal. The Fund seeks to achieve long-term capital appreciation with minimal correlation to the general stock market. The Fund normally allocates the majority of its assets among mutual funds advised by Gotham. Therefore, the Fund’s shareholders will indirectly bear the Fund’s proportionate share of fees and expenses of the underlying funds in addition to the Fund’s own expenses. The Fund or the underlying funds will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. The Fund or certain underlying funds may invest in large-, mid- and small-cap companies. 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 or underlying funds will also use leverage to make additional investments which could result in greater losses than if the Fund and/or underlying funds were not leveraged. The Fund or the underlying funds may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs, which reduce returns and may result in higher net taxable gain for shareholders. The Fund is recently formed and has a limited history of operations. There can be no guarantee that the Fund will achieve its objectives.
46
GOTHAM FUNDS
Fund Expense Disclosure
September 30, 2017
(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 April1, 2017, and held for the entire period through September 30, 2017.
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 April 1, 2017 | Ending Account Value September 30, 2017 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
Gotham Absolute Return Fund | ||||||||
Actual | $1,000.00 | $1,025.00 | 2.77% | $14.05 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,011.19 | 2.77% | 13.95 | ||||
Gotham Absolute 500 Fund | ||||||||
Actual | $1,000.00 | $1,037.90 | 3.34% | $17.04 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,008.34 | 3.34% | 16.80 | ||||
Gotham Absolute 500 Core Fund | ||||||||
Actual | $1,000.00 | $1,039.00 | 2.23% | $11.38 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,013.91 | 2.23% | 11.24 | ||||
Gotham Enhanced Return Fund | ||||||||
Actual | $1,000.00 | $1,034.80 | 3.60% | $18.36 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,007.02 | 3.60% | 18.11 |
47
GOTHAM FUNDS
Fund Expense Disclosure (Continued)
September 30, 2017
(Unaudited)
Gotham Funds - Institutional Class |
| |||||||
Beginning Account Value April 1, 2017 | Ending Account Value September 30, 2017 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
Gotham Enhanced 500 Fund | ||||||||
Actual | $1,000.00 | $1,061.80 | 4.02% | $20.76 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,004.93 | 4.02% | 20.19 | ||||
Gotham Enhanced 500 Core Fund | ||||||||
Actual | $1,000.00 | $1,064.60 | 2.31% | $11.95 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,013.49 | 2.31% | 11.65 | ||||
Gotham Neutral Fund | ||||||||
Actual | $1,000.00 | $ 987.40 | 2.92% | $14.55 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,010.43 | 2.92% | 14.72 | ||||
Gotham Neutral 500 Fund | ||||||||
Actual | $1,000.00 | $1,018.00 | 3.31% | $16.72 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,008.49 | 3.31% | 16.65 | ||||
Gotham Short Strategies Fund*** | ||||||||
Actual | $1,000.00 | $ 986.30 | 1.35% | $ 4.19 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,012.21 | 1.35% | 12.94 | ||||
Gotham Index Plus Fund | ||||||||
Actual | $1,000.00 | $1,066.50 | 3.85% | $19.92 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,005.79 | 3.85% | 19.33 | ||||
Gotham Index Core Fund | ||||||||
Actual | $1,000.00 | $1,075.40 | 2.06% | $10.69 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,014.77 | 2.06% | 10.38 | ||||
Gotham Hedged Plus Fund | ||||||||
Actual | $1,000.00 | $1,038.20 | 3.25% | $16.60 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,008.78 | 3.25% | 16.36 | ||||
Gotham Hedged Core Fund | ||||||||
Actual | $1,000.00 | $1,048.10 | 1.46% | $7.49 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.76 | 1.46% | 7.38 | ||||
Gotham Institutional Value Fund | ||||||||
Actual | $1,000.00 | $1,063.10 | 0.95% | $4.91 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.31 | 0.95% | 4.81 | ||||
Gotham Enhanced S&P 500 Index Fund | ||||||||
Actual | $1,000.00 | $1,084.70 | 0.50% | $2.61 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.56 | 0.50% | 2.54 |
48
GOTHAM FUNDS
Fund Expense Disclosure (Concluded)
September 30, 2017
(Unaudited)
Gotham Funds - Institutional Class |
| |||||||
Beginning Account Value April 1, 2017 | Ending Account Value September 30, 2017 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
Gotham Defensive Long Fund | ||||||||
Actual | $1,000.00 | $1,011.20 | 3.66% | $18.44 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,006.74 | 3.66% | 18.39 | ||||
Gotham Defensive Long 500 Fund | ||||||||
Actual | $1,000.00 | $1,055.00 | 3.90% | $20.07 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,005.54 | 3.90% | 19.58 | ||||
Gotham Total Return Fund | ||||||||
Actual | $1,000.00 | $1,045.00 | 0.00% | $ ��� | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,025.07 | 0.00% | — | ||||
Gotham Master Long Fund**** | ||||||||
Actual | $1,000.00 | $1,060.00 | 0.00% | $ — | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,025.07 | 0.00% | — | ||||
Gotham Master Neutral Fund**** | ||||||||
Actual | $1,000.00 | $1,008.00 | 0.31% | $1.68 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.05 | 0.31% | 2.04 |
* | Annualized expense ratios include dividend expense on securities sold short and interest expense on securities sold short and borrowings. |
** | 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 September 30, 2017, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 365 to reflect the period. Hypothetical expenses 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 (183), then divided by 365 to reflect the period. |
*** | The Fund commenced operations on July 31, 2017. 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, 2017 to September 30, 2017, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (60), then divided by 365 to reflect the period. Hypothetical expenses are as if the Institutional Class Shares have been in existence since April 1, 2017, 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 (183), then divided by 365 to reflect the period. |
**** | The Funds commenced operations on April 28, 2017. Expenses are equal to a Fund’s annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the period April 28, 2017 to September 30, 2017, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (152), then divided by 365 to reflect the period. Hypothetical expenses are as if the Institutional Class Shares have been in existence since April 1, 2017, 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 (183), then divided by 365 to reflect the period. |
49
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Absolute Return Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Capital Goods | 14.6 | % | $ | 129,393,871 | ||||
Software & Services | 13.6 | 119,740,215 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 11.1 | 97,677,167 | ||||||
Retailing | 9.6 | 84,786,802 | ||||||
Technology Hardware & Equipment | 9.2 | 81,678,420 | ||||||
Semiconductors & Semiconductor Equipment | 8.6 | 75,722,837 | ||||||
Health Care Equipment & Services | 8.5 | 74,697,247 | ||||||
Transportation | 6.7 | 59,447,700 | ||||||
Media | 6.6 | 57,868,693 | ||||||
Food, Beverage & Tobacco | 5.9 | 51,776,909 | ||||||
Consumer Services | 4.9 | 43,414,934 | ||||||
Food & Staples Retailing | 3.5 | 31,156,022 | ||||||
Consumer Durables & Apparel | 3.2 | 28,452,883 | ||||||
Materials | 3.1 | 27,704,014 | ||||||
Energy | 2.7 | 23,775,439 | ||||||
Commercial & Professional Services | 2.3 | 20,662,333 | ||||||
Telecommunication Services | 2.2 | 19,640,160 | ||||||
Automobiles & Components | 2.1 | 18,924,030 | ||||||
Household & Personal Products | 1.8 | 15,980,249 | ||||||
Corporate Bonds and Notes: | ||||||||
Capital Goods | 0.0 | 809 | ||||||
|
|
|
| |||||
Total Long Positions | 120.2 | 1,062,500,734 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Food & Staples Retailing | (0.6 | )% | $ | (5,428,509 | ) | |||
Telecommunication Services | (1.0 | ) | (9,316,812 | ) | ||||
Automobiles & Components | (1.1 | ) | (9,614,306 | ) | ||||
Household & Personal Products | (1.1 | ) | (9,850,001 | ) | ||||
Consumer Durables & Apparel | (1.6 | ) | (14,176,440 | ) | ||||
Commercial & Professional Services | (2.0 | ) | (17,586,344 | ) | ||||
Media | (2.0 | ) | (17,722,273 | ) | ||||
Semiconductors & Semiconductor Equipment | (2.1 | ) | (18,673,785 | ) | ||||
Energy | (2.7 | ) | (23,852,007 | ) | ||||
Transportation | (2.8 | ) | (24,861,453 | ) | ||||
Food, Beverage & Tobacco | (3.1 | ) | (27,083,930 | ) | ||||
Materials | (3.2 | ) | (27,999,793 | ) | ||||
Consumer Services | (3.8 | ) | (33,859,448 | ) | ||||
Technology Hardware & Equipment | (4.1 | ) | (36,613,044 | ) | ||||
Retailing | (4.6 | ) | (40,576,941 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (4.8 | ) | (42,176,931 | ) | ||||
Health Care Equipment & Services | (5.5 | ) | (48,649,391 | ) | ||||
Capital Goods | (5.7 | ) | (50,264,457 | ) | ||||
Software & Services | (8.3 | ) | (73,016,977 | ) | ||||
|
|
|
| |||||
Total Short Positions | (60.1 | ) | (531,322,842 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 39.9 | 353,026,908 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 884,204,800 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
50
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(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: | ||||||||
Health Care Equipment & Services | 12.8 | % | $ | 1,532,328 | ||||
Capital Goods | 12.6 | 1,512,080 | ||||||
Technology Hardware & Equipment | 10.8 | 1,300,625 | ||||||
Media | 9.9 | 1,186,069 | ||||||
Software & Services | 9.8 | 1,177,951 | ||||||
Transportation | 9.4 | 1,123,278 | ||||||
Semiconductors & Semiconductor Equipment | 9.2 | 1,104,482 | ||||||
Retailing | 9.2 | 1,102,810 | ||||||
Food & Staples Retailing | 8.9 | 1,064,112 | ||||||
Energy | 7.3 | 875,562 | ||||||
Materials | 6.8 | 811,145 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 5.7 | 680,386 | ||||||
Food, Beverage & Tobacco | 5.5 | 663,412 | ||||||
Diversified Financials | 5.4 | 651,079 | ||||||
Telecommunication Services | 3.6 | 438,345 | ||||||
Consumer Services | 3.5 | 426,818 | ||||||
Automobiles & Components | 3.1 | 371,685 | ||||||
Utilities | 2.5 | 297,136 | ||||||
Household & Personal Products | 2.2 | 270,650 | ||||||
Consumer Durables & Apparel | 1.5 | 181,453 | ||||||
Real Estate | 1.4 | 170,087 | ||||||
Commercial & Professional Services | 1.4 | 167,687 | ||||||
Insurance | 0.7 | 85,966 | ||||||
|
|
|
| |||||
Total Long Positions | 143.2 | 17,195,146 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Media | (0.2 | )% | $ | (27,325 | ) | |||
Household & Personal Products | (0.3 | ) | (34,227 | ) | ||||
Telecommunication Services | (0.4 | ) | (54,036 | ) | ||||
Technology Hardware & Equipment | (0.7 | ) | (83,794 | ) | ||||
Commercial & Professional Services | (0.8 | ) | (93,272 | ) | ||||
Transportation | (1.0 | ) | (115,527 | ) | ||||
Automobiles & Components | (1.3 | ) | (157,851 | ) | ||||
Consumer Services | (1.7 | ) | (199,837 | ) | ||||
Consumer Durables & Apparel | (2.0 | ) | (243,237 | ) | ||||
Food, Beverage & Tobacco | (2.5 | ) | (304,663 | ) | ||||
Utilities | (3.4 | ) | (404,103 | ) | ||||
Retailing | (3.5 | ) | (415,491 | ) | ||||
Semiconductors & Semiconductor Equipment | (3.5 | ) | (419,399 | ) | ||||
Diversified Financials | (3.9 | ) | (475,197 | ) | ||||
Real Estate | (4.1 | ) | (493,627 | ) | ||||
Banks | (4.3 | ) | (514,644 | ) | ||||
Insurance | (4.8 | ) | (577,361 | ) | ||||
Materials | (4.9 | ) | (588,424 | ) | ||||
Software & Services | (5.3 | ) | (633,052 | ) | ||||
Energy | (7.6 | ) | (910,853 | ) | ||||
Capital Goods | (8.6 | ) | (1,032,124 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (8.9 | ) | (1,066,419 | ) | ||||
Health Care Equipment & Services | (9.4 | ) | (1,131,514 | ) | ||||
|
|
|
| |||||
Total Short Positions | (83.1 | ) | (9,975,977 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 39.9 | 4,785,223 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 12,004,392 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
51
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Absolute 500 Core Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Health Care Equipment & Services | 10.9 | % | $ | 244,724 | ||||
Capital Goods | 10.7 | 238,462 | ||||||
Technology Hardware & Equipment | 8.3 | 185,135 | ||||||
Media | 7.7 | 172,086 | ||||||
Retailing | 7.4 | 166,552 | ||||||
Semiconductors & Semiconductor Equipment | 7.0 | 157,669 | ||||||
Software & Services | 7.0 | 157,157 | ||||||
Food & Staples Retailing | 7.0 | 157,079 | ||||||
Transportation | 6.3 | 139,985 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 5.3 | 118,031 | ||||||
Food, Beverage & Tobacco | 5.2 | 115,965 | ||||||
Energy | 4.5 | 99,681 | ||||||
Materials | 4.2 | 93,915 | ||||||
Telecommunication Services | 3.4 | 75,746 | ||||||
Diversified Financials | 3.3 | 72,822 | ||||||
Consumer Services | 2.7 | 61,010 | ||||||
Automobiles & Components | 2.6 | 58,888 | ||||||
Utilities | 2.0 | 44,287 | ||||||
Household & Personal Products | 1.8 | 40,622 | ||||||
Consumer Durables & Apparel | 1.5 | 33,478 | ||||||
Commercial & Professional Services | 1.1 | 25,728 | ||||||
Real Estate | 1.1 | 25,225 | ||||||
Insurance | 1.0 | 23,535 | ||||||
|
|
|
| |||||
Total Long Positions | 112.0 | 2,507,782 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Household & Personal Products | (0.2 | )% | $ | (3,596 | ) | |||
Telecommunication Services | (0.2 | ) | (5,009 | ) | ||||
Media | (0.3 | ) | (5,854 | ) | ||||
Transportation | (0.3 | ) | (6,826 | ) | ||||
Commercial & Professional Services | (0.4 | ) | (8,947 | ) | ||||
Technology Hardware & Equipment | (0.4 | ) | (9,217 | ) | ||||
Automobiles & Components | (0.6 | ) | (14,017 | ) | ||||
Consumer Services | (0.9 | ) | (21,007 | ) | ||||
Consumer Durables & Apparel | (1.2 | ) | (27,143 | ) | ||||
Food, Beverage & Tobacco | (1.6 | ) | (36,269 | ) | ||||
Utilities | (2.0 | ) | (44,360 | ) | ||||
Retailing | (2.0 | ) | (45,193 | ) | ||||
Real Estate | (2.1 | ) | (45,980 | ) | ||||
Semiconductors & Semiconductor Equipment | (2.3 | ) | (50,907 | ) | ||||
Materials | (2.5 | ) | (56,845 | ) | ||||
Insurance | (3.2 | ) | (70,728 | ) | ||||
Software & Services | (3.3 | ) | (74,063 | ) | ||||
Diversified Financials | (3.6 | ) | (81,492 | ) | ||||
Energy | (4.5 | ) | (99,791 | ) | ||||
Health Care Equipment & Services | (4.6 | ) | (103,981 | ) | ||||
Capital Goods | (4.7 | ) | (105,644 | ) | ||||
Banks | (4.8 | ) | (107,150 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (5.3 | ) | (119,019 | ) | ||||
|
|
|
| |||||
Total Short Positions | (51.0 | ) | (1,143,038 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 39.0 | 873,856 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,238,600 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
52
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(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 | 22.2 | % | $ | 199,241,970 | ||||
Software & Services | 18.8 | 168,412,717 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 15.8 | 141,486,753 | ||||||
Technology Hardware & Equipment | 13.7 | 122,664,116 | ||||||
Semiconductors & Semiconductor Equipment | 13.1 | 117,748,841 | ||||||
Retailing | 12.8 | 114,613,928 | ||||||
Health Care Equipment & Services | 12.6 | 113,295,693 | ||||||
Transportation | 9.9 | 88,823,460 | ||||||
Media | 8.4 | 75,004,764 | ||||||
Consumer Services | 7.2 | 65,049,363 | ||||||
Food, Beverage & Tobacco | 7.0 | 63,020,950 | ||||||
Consumer Durables & Apparel | 5.1 | 45,562,899 | ||||||
Food & Staples Retailing | 5.0 | 44,595,984 | ||||||
Materials | 4.3 | 38,769,296 | ||||||
Energy | 3.9 | 35,257,324 | ||||||
Automobiles & Components | 3.9 | 35,087,258 | ||||||
Commercial & Professional Services | 3.2 | 28,730,345 | ||||||
Household & Personal Products | 3.2 | 28,505,569 | ||||||
Telecommunication Services | 2.6 | 23,498,003 | ||||||
|
|
|
| |||||
Total Long Positions | 172.7 | 1,549,369,233 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Food & Staples Retailing | (1.1 | )% | $ | (9,885,306 | ) | |||
Automobiles & Components | (1.2 | ) | (10,722,626 | ) | ||||
Telecommunication Services | (1.2 | ) | (10,896,870 | ) | ||||
Household & Personal Products | (1.3 | ) | (11,530,807 | ) | ||||
Consumer Durables & Apparel | (2.3 | ) | (20,470,370 | ) | ||||
Media | (2.6 | ) | (22,779,893 | ) | ||||
Commercial & Professional Services | (2.6 | ) | (23,236,002 | ) | ||||
Semiconductors & Semiconductor Equipment | (2.8 | ) | (25,439,145 | ) | ||||
Transportation | (2.9 | ) | (26,045,425 | ) | ||||
Food, Beverage & Tobacco | (3.3 | ) | (29,702,618 | ) | ||||
Energy | (3.9 | ) | (35,124,996 | ) | ||||
Materials | (4.3 | ) | (38,922,673 | ) | ||||
Consumer Services | (4.4 | ) | (39,363,552 | ) | ||||
Technology Hardware & Equipment | (5.2 | ) | (46,803,718 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (5.5 | ) | (49,285,737 | ) | ||||
Retailing | (5.5 | ) | (49,540,076 | ) | ||||
Health Care Equipment & Services | (6.2 | ) | (55,688,308 | ) | ||||
Capital Goods | (7.5 | ) | (67,038,682 | ) | ||||
Software & Services | (9.8 | ) | (87,683,796 | ) | ||||
|
|
|
| |||||
Total Short Positions | (73.6 | ) | (660,160,600 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 0.9 | 8,161,981 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 897,370,614 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
53
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Enhanced 500 Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Health Care Equipment & Services | 17.4 | % | $ | 4,262,927 | ||||
Capital Goods | 17.2 | 4,203,244 | ||||||
Software & Services | 13.5 | 3,303,690 | ||||||
Media | 12.9 | 3,164,743 | ||||||
Technology Hardware & Equipment | 12.9 | 3,142,832 | ||||||
Transportation | 12.2 | 2,984,597 | ||||||
Food & Staples Retailing | 11.5 | 2,815,246 | ||||||
Retailing | 11.4 | 2,795,026 | ||||||
Semiconductors & Semiconductor Equipment | 10.9 | 2,674,086 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 9.4 | 2,303,366 | ||||||
Energy | 8.2 | 1,997,369 | ||||||
Food, Beverage & Tobacco | 7.7 | 1,880,138 | ||||||
Materials | 7.1 | 1,741,691 | ||||||
Diversified Financials | 6.9 | 1,674,025 | ||||||
Consumer Services | 5.2 | 1,267,322 | ||||||
Telecommunication Services | 5.2 | 1,261,786 | ||||||
Automobiles & Components | 3.2 | 787,630 | ||||||
Household & Personal Products | 3.2 | 772,860 | ||||||
Utilities | 3.0 | 741,056 | ||||||
Consumer Durables & Apparel | 2.1 | 515,292 | ||||||
Commercial & Professional Services | 1.6 | 393,116 | ||||||
Insurance | 1.6 | 390,300 | ||||||
Real Estate | 1.4 | 333,364 | ||||||
|
|
|
| |||||
Total Long Positions | 185.7 | 45,405,706 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Media | (0.4 | )% | $ | (90,519 | ) | |||
Telecommunication Services | (0.4 | ) | (94,750 | ) | ||||
Household & Personal Products | (0.5 | ) | (112,466 | ) | ||||
Technology Hardware & Equipment | (0.8 | ) | (187,845 | ) | ||||
Commercial & Professional Services | (0.8 | ) | (189,936 | ) | ||||
Transportation | (1.0 | ) | (234,925 | ) | ||||
Automobiles & Components | (1.1 | ) | (274,365 | ) | ||||
Consumer Services | (1.5 | ) | (361,191 | ) | ||||
Consumer Durables & Apparel | (2.0 | ) | (487,090 | ) | ||||
Food, Beverage & Tobacco | (2.8 | ) | (698,762 | ) | ||||
Retailing | (3.2 | ) | (784,473 | ) | ||||
Utilities | (3.6 | ) | (880,468 | ) | ||||
Semiconductors & Semiconductor Equipment | (3.7 | ) | (906,800 | ) | ||||
Materials | (4.5 | ) | (1,099,878 | ) | ||||
Diversified Financials | (4.7 | ) | (1,157,021 | ) | ||||
Real Estate | (4.9 | ) | (1,208,505 | ) | ||||
Insurance | (5.5 | ) | (1,346,448 | ) | ||||
Banks | (5.7 | ) | (1,389,167 | ) | ||||
Software & Services | (5.9 | ) | (1,451,368 | ) | ||||
Energy | (7.7 | ) | (1,893,874 | ) | ||||
Capital Goods | (8.0 | ) | (1,946,252 | ) | ||||
Health Care Equipment & Services | (8.8 | ) | (2,151,293 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (9.0 | ) | (2,211,813 | ) | ||||
|
|
|
| |||||
Total Short Positions | (86.5 | ) | (21,159,209 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 0.8 | 206,571 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 24,453,068 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
54
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Enhanced 500 Core Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Health Care Equipment & Services | 13.5 | % | $ | 323,161 | ||||
Capital Goods | 13.2 | 317,101 | ||||||
Technology Hardware & Equipment | 10.6 | 254,677 | ||||||
Software & Services | 9.7 | 232,993 | ||||||
Media | 9.4 | 225,519 | ||||||
Retailing | 9.1 | 218,755 | ||||||
Food & Staples Retailing | 8.7 | 209,878 | ||||||
Semiconductors & Semiconductor Equipment | 8.2 | 195,985 | ||||||
Transportation | 8.0 | 191,784 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.8 | 163,537 | ||||||
Food, Beverage & Tobacco | 6.3 | 150,696 | ||||||
Materials | 5.0 | 120,827 | ||||||
Telecommunication Services | 4.8 | 114,086 | ||||||
Energy | 4.5 | 109,021 | ||||||
Diversified Financials | 4.5 | 106,857 | ||||||
Consumer Services | 3.7 | 88,319 | ||||||
Automobiles & Components | 3.2 | 76,970 | ||||||
Household & Personal Products | 2.6 | 61,497 | ||||||
Utilities | 2.3 | 54,867 | ||||||
Consumer Durables & Apparel | 1.8 | 43,118 | ||||||
Commercial & Professional Services | 1.4 | 32,501 | ||||||
Real Estate | 1.2 | 30,027 | ||||||
Insurance | 1.2 | 29,905 | ||||||
|
|
|
| |||||
Total Long Positions | 139.7 | 3,352,081 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.0 | )% | $ | (266 | ) | |||
Transportation | (0.2 | ) | (5,407 | ) | ||||
Media | (0.3 | ) | (7,115 | ) | ||||
Household & Personal Products | (0.3 | ) | (7,707 | ) | ||||
Commercial & Professional Services | (0.3 | ) | (8,393 | ) | ||||
Technology Hardware & Equipment | (0.4 | ) | (9,016 | ) | ||||
Automobiles & Components | (0.5 | ) | (11,745 | ) | ||||
Consumer Services | (0.7 | ) | (16,764 | ) | ||||
Consumer Durables & Apparel | (1.1 | ) | (27,059 | ) | ||||
Retailing | (1.5 | ) | (34,968 | ) | ||||
Food, Beverage & Tobacco | (1.5 | ) | (35,739 | ) | ||||
Utilities | (1.6 | ) | (38,902 | ) | ||||
Materials | (1.9 | ) | (45,722 | ) | ||||
Semiconductors & Semiconductor Equipment | (1.9 | ) | (46,369 | ) | ||||
Real Estate | (2.2 | ) | (52,101 | ) | ||||
Insurance | (2.3 | ) | (54,466 | ) | ||||
Diversified Financials | (2.4 | ) | (58,652 | ) | ||||
Software & Services | (2.5 | ) | (60,319 | ) | ||||
Energy | (3.3 | ) | (78,167 | ) | ||||
Capital Goods | (3.5 | ) | (83,653 | ) | ||||
Health Care Equipment & Services | (3.6 | ) | (85,361 | ) | ||||
Banks | (3.9 | ) | (93,540 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (4.4 | ) | (106,002 | ) | ||||
|
|
|
| |||||
Total Short Positions | (40.3 | ) | (967,433 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 0.6 | 14,100 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,398,748 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
55
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(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: | ||||||||
Software & Services | 15.4 | % | $ | 102,831,925 | ||||
Capital Goods | 13.4 | 89,879,995 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 12.1 | 80,698,272 | ||||||
Health Care Equipment & Services | 10.2 | 68,036,744 | ||||||
Retailing | 9.1 | 60,922,611 | ||||||
Technology Hardware & Equipment | 8.1 | 54,563,733 | ||||||
Semiconductors & Semiconductor Equipment | 7.3 | 48,833,126 | ||||||
Consumer Services | 6.1 | 40,716,526 | ||||||
Food, Beverage & Tobacco | 5.6 | 37,765,763 | ||||||
Transportation | 5.6 | 37,627,364 | ||||||
Media | 5.2 | 34,946,536 | ||||||
Materials | 4.8 | 32,350,285 | ||||||
Energy | 4.1 | 27,384,973 | ||||||
Commercial & Professional Services | 3.1 | 21,008,453 | ||||||
Consumer Durables & Apparel | 3.1 | 20,848,873 | ||||||
Food & Staples Retailing | 2.5 | 16,616,675 | ||||||
Telecommunication Services | 2.0 | 13,203,576 | ||||||
Automobiles & Components | 1.9 | 12,961,606 | ||||||
Household & Personal Products | 1.8 | 11,735,994 | ||||||
Corporate Bonds and Notes: | ||||||||
Capital Goods | 0.0 | 736 | ||||||
|
|
|
| |||||
Total Long Positions | 121.4 | 812,933,766 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Food & Staples Retailing | (0.9 | )% | $ | (6,222,479 | ) | |||
Telecommunication Services | (1.6 | ) | (10,403,368 | ) | ||||
Household & Personal Products | (1.6 | ) | (10,706,948 | ) | ||||
Automobiles & Components | (2.0 | ) | (13,621,686 | ) | ||||
Commercial & Professional Services | (2.6 | ) | (17,321,691 | ) | ||||
Consumer Durables & Apparel | (2.7 | ) | (18,326,303 | ) | ||||
Media | (3.1 | ) | (20,843,525 | ) | ||||
Semiconductors & Semiconductor Equipment | (4.1 | ) | (27,163,686 | ) | ||||
Energy | (4.1 | ) | (27,486,747 | ) | ||||
Food, Beverage & Tobacco | (4.2 | ) | (28,289,249 | ) | ||||
Transportation | (4.5 | ) | (30,316,532 | ) | ||||
Materials | (4.9 | ) | (32,638,296 | ) | ||||
Consumer Services | (5.2 | ) | (34,696,018 | ) | ||||
Retailing | (6.0 | ) | (40,420,668 | ) | ||||
Technology Hardware & Equipment | (7.0 | ) | (46,728,408 | ) | ||||
Health Care Equipment & Services | (8.3 | ) | (55,311,500 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (8.9 | ) | (59,563,607 | ) | ||||
Capital Goods | (10.8 | ) | (72,604,386 | ) | ||||
Software & Services | (13.8 | ) | (92,159,026 | ) | ||||
|
|
|
| |||||
Total Short Positions | (96.3 | ) | (644,824,123 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 74.9 | 501,430,158 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 669,539,801 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
56
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Neutral 500 Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Capital Goods | 10.2 | % | $ | 366,311 | ||||
Health Care Equipment & Services | 9.7 | 349,953 | ||||||
Media | 7.9 | 284,965 | ||||||
Software & Services | 7.5 | 268,521 | ||||||
Retailing | 7.4 | 266,370 | ||||||
Technology Hardware & Equipment | 7.4 | 265,154 | ||||||
Transportation | 7.3 | 260,627 | ||||||
Semiconductors & Semiconductor Equipment | 6.6 | 237,297 | ||||||
Energy | 6.4 | 231,411 | ||||||
Food & Staples Retailing | 6.4 | 230,018 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.2 | 221,305 | ||||||
Materials | 4.5 | 160,484 | ||||||
Food, Beverage & Tobacco | 4.4 | 156,818 | ||||||
Diversified Financials | 3.9 | 141,831 | ||||||
Consumer Services | 2.4 | 87,396 | ||||||
Telecommunication Services | 2.4 | 86,396 | ||||||
Automobiles & Components | 2.3 | 83,353 | ||||||
Utilities | 2.1 | 73,717 | ||||||
Consumer Durables & Apparel | 1.6 | 57,811 | ||||||
Household & Personal Products | 1.0 | 36,371 | ||||||
Insurance | 0.9 | 32,045 | ||||||
Real Estate | 0.8 | 30,462 | ||||||
Commercial & Professional Services | 0.8 | 27,401 | ||||||
Banks | 0.0 | 689 | ||||||
|
|
|
| |||||
Total Long Positions | 110.1 | 3,956,706 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Food & Staples Retailing | (0.1 | )% | $ | (4,600 | ) | |||
Media | (0.1 | ) | (5,634 | ) | ||||
Telecommunication Services | (0.4 | ) | (13,376 | ) | ||||
Household & Personal Products | (0.6 | ) | (21,862 | ) | ||||
Transportation | (0.6 | ) | (22,284 | ) | ||||
Technology Hardware & Equipment | (0.8 | ) | (27,298 | ) | ||||
Commercial & Professional Services | (0.9 | ) | (32,929 | ) | ||||
Automobiles & Components | (1.1 | ) | (38,514 | ) | ||||
Consumer Durables & Apparel | (2.0 | ) | (71,041 | ) | ||||
Consumer Services | (2.6 | ) | (93,725 | ) | ||||
Food, Beverage & Tobacco | (2.8 | ) | (100,537 | ) | ||||
Banks | (3.0 | ) | (109,276 | ) | ||||
Retailing | (3.5 | ) | (127,629 | ) | ||||
Diversified Financials | (3.6 | ) | (128,464 | ) | ||||
Semiconductors & Semiconductor Equipment | (4.1 | ) | (146,989 | ) | ||||
Utilities | (4.3 | ) | (153,176 | ) | ||||
Materials | (4.6 | ) | (164,735 | ) | ||||
Insurance | (4.8 | ) | (171,568 | ) | ||||
Software & Services | (5.5 | ) | (196,384 | ) | ||||
Real Estate | (6.0 | ) | (216,568 | ) | ||||
Capital Goods | (8.0 | ) | (287,531 | ) | ||||
Energy | (8.8 | ) | (317,488 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (9.5 | ) | (342,425 | ) | ||||
Health Care Equipment & Services | (9.8 | ) | (351,798 | ) | ||||
|
|
|
| |||||
Total Short Positions | (87.5 | ) | (3,145,831 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 77.4 | 2,782,098 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 3,592,973 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
57
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Short Strategies Fund
% of Net Assets | Value | |||||||
COMMON STOCKS: | ||||||||
Semiconductors & Semiconductor Equipment | 11.8 | % | $ | 2,168,633 | ||||
Capital Goods | 9.3 | 1,706,779 | ||||||
Food, Beverage & Tobacco | 7.2 | 1,317,059 | ||||||
Technology Hardware & Equipment | 7.1 | 1,306,342 | ||||||
Consumer Services | 6.9 | 1,264,730 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.8 | 1,253,764 | ||||||
Media | 6.7 | 1,220,891 | ||||||
Health Care Equipment & Services | 6.5 | 1,197,512 | ||||||
Transportation | 6.0 | 1,100,471 | ||||||
Software & Services | 5.1 | 930,060 | ||||||
Retailing | 5.0 | 919,668 | ||||||
Food & Staples Retailing | 4.4 | 806,478 | ||||||
Consumer Durables & Apparel | 3.9 | 705,543 | ||||||
Commercial & Professional Services | 3.4 | 619,602 | ||||||
Telecommunication Services | 2.6 | 467,964 | ||||||
Household & Personal Products | 1.7 | 305,470 | ||||||
Automobiles & Components | 1.5 | 280,689 | ||||||
|
|
|
| |||||
Total Common Stocks | 95.9 | 17,571,655 | ||||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 4.1 | 756,599 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 18,328,254 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
58
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Index Plus Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Software & Services | 18.9 | % | $ | 37,847,731 | ||||
Health Care Equipment & Services | 14.1 | 28,262,126 | ||||||
Capital Goods | 13.6 | 27,256,036 | ||||||
Technology Hardware & Equipment | 12.8 | 25,566,268 | ||||||
Media | 12.1 | 24,192,783 | ||||||
Transportation | 11.5 | 23,063,040 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 11.3 | 22,635,751 | ||||||
Energy | 10.6 | 21,279,001 | ||||||
Retailing | 10.1 | 20,151,323 | ||||||
Food & Staples Retailing | 9.7 | 19,381,366 | ||||||
Semiconductors & Semiconductor Equipment | 9.3 | 18,508,793 | ||||||
Diversified Financials | 8.9 | 17,817,536 | ||||||
Food, Beverage & Tobacco | 8.0 | 15,938,905 | ||||||
Materials | 5.4 | 10,831,447 | ||||||
Telecommunication Services | 5.2 | 10,372,229 | ||||||
Utilities | 4.1 | 8,093,445 | ||||||
Consumer Services | 3.8 | 7,541,542 | ||||||
Banks | 3.7 | 7,310,819 | ||||||
Automobiles & Components | 2.6 | 5,245,028 | ||||||
Real Estate | 2.6 | 5,125,749 | ||||||
Consumer Durables & Apparel | 2.5 | 4,919,960 | ||||||
Household & Personal Products | 2.1 | 4,175,262 | ||||||
Insurance | 2.1 | 4,124,273 | ||||||
Commercial & Professional Services | 1.5 | 2,978,323 | ||||||
|
|
|
| |||||
Total Long Positions | 186.5 | 372,618,736 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Media | (0.2 | )% | $ | (393,596 | ) | |||
Household & Personal Products | (0.3 | ) | (594,964 | ) | ||||
Telecommunication Services | (0.4 | ) | (736,361 | ) | ||||
Transportation | (0.5 | ) | (1,048,656 | ) | ||||
Banks | (1.0 | ) | (1,964,360 | ) | ||||
Commercial & Professional Services | (1.2 | ) | (2,495,721 | ) | ||||
Technology Hardware & Equipment | (1.3 | ) | (2,572,619 | ) | ||||
Automobiles & Components | (1.3 | ) | (2,671,649 | ) | ||||
Consumer Services | (1.8 | ) | (3,576,335 | ) | ||||
Consumer Durables & Apparel | (2.4 | ) | (4,874,489 | ) | ||||
Diversified Financials | (2.5 | ) | (4,972,576 | ) | ||||
Retailing | (2.8 | ) | (5,541,929 | ) | ||||
Insurance | (3.2 | ) | (6,338,079 | ) | ||||
Food, Beverage & Tobacco | (3.5 | ) | (6,997,360 | ) | ||||
Semiconductors & Semiconductor Equipment | (4.8 | ) | (9,622,137 | ) | ||||
Software & Services | (5.3 | ) | (10,600,933 | ) | ||||
Materials | (5.9 | ) | (11,855,349 | ) | ||||
Utilities | (6.4 | ) | (12,688,004 | ) | ||||
Capital Goods | (6.8 | ) | (13,556,264 | ) | ||||
Real Estate | (7.1 | ) | (14,099,153 | ) | ||||
Health Care Equipment & Services | (7.6 | ) | (15,156,397 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (10.3 | ) | (20,658,966 | ) | ||||
Energy | (11.4 | ) | (22,839,990 | ) | ||||
|
|
|
| |||||
Total Short Positions | (88.0 | ) | (175,855,887 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 1.5 | 3,033,169 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 199,796,018 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
59
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Index Core Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Software & Services | 16.7 | % | $ | 408,650 | ||||
Capital Goods | 10.5 | 257,845 | ||||||
Technology Hardware & Equipment | 9.9 | 243,128 | ||||||
Health Care Equipment & Services | 9.6 | 235,190 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 8.1 | 199,188 | ||||||
Diversified Financials | 7.8 | 191,869 | ||||||
Retailing | 7.6 | 185,685 | ||||||
Media | 7.6 | 185,208 | ||||||
Semiconductors & Semiconductor Equipment | 7.0 | 171,024 | ||||||
Energy | 6.7 | 163,859 | ||||||
Transportation | 6.5 | 159,302 | ||||||
Food & Staples Retailing | 6.2 | 151,461 | ||||||
Banks | 6.0 | 146,735 | ||||||
Food, Beverage & Tobacco | 5.9 | 143,461 | ||||||
Materials | 3.9 | 96,486 | ||||||
Telecommunication Services | 3.5 | 86,642 | ||||||
Consumer Services | 2.7 | 67,209 | ||||||
Utilities | 2.7 | 65,465 | ||||||
Insurance | 2.3 | 56,283 | ||||||
Household & Personal Products | 2.2 | 53,502 | ||||||
Automobiles & Components | 2.1 | 51,112 | ||||||
Real Estate | 2.0 | 49,792 | ||||||
Consumer Durables & Apparel | 1.7 | 40,270 | ||||||
Commercial & Professional Services | 0.8 | 20,012 | ||||||
|
|
|
| |||||
Total Long Positions | 140.0 | 3,429,378 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Media | (0.1 | )% | $ | (2,266 | ) | |||
Household & Personal Products | (0.1 | ) | (3,422 | ) | ||||
Telecommunication Services | (0.2 | ) | (5,329 | ) | ||||
Banks | (0.2 | ) | (5,736 | ) | ||||
Technology Hardware & Equipment | (0.5 | ) | (11,522 | ) | ||||
Commercial & Professional Services | (0.6 | ) | (13,886 | ) | ||||
Transportation | (0.6 | ) | (14,975 | ) | ||||
Automobiles & Components | (0.6 | ) | (15,449 | ) | ||||
Consumer Services | (0.9 | ) | (21,776 | ) | ||||
Diversified Financials | (1.0 | ) | (24,100 | ) | ||||
Consumer Durables & Apparel | (1.0 | ) | (25,061 | ) | ||||
Retailing | (1.1 | ) | (25,891 | ) | ||||
Semiconductors & Semiconductor Equipment | (1.2 | ) | (29,124 | ) | ||||
Food, Beverage & Tobacco | (1.6 | ) | (39,661 | ) | ||||
Utilities | (1.9 | ) | (47,030 | ) | ||||
Software & Services | (2.2 | ) | (52,743 | ) | ||||
Insurance | (2.4 | ) | (59,453 | ) | ||||
Materials | (2.6 | ) | (64,671 | ) | ||||
Real Estate | (3.2 | ) | (77,166 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (4.1 | ) | (99,575 | ) | ||||
Capital Goods | (4.2 | ) | (103,683 | ) | ||||
Energy | (4.9 | ) | (119,817 | ) | ||||
Health Care Equipment & Services | (5.1 | ) | (124,728 | ) | ||||
|
|
|
| |||||
Total Short Positions | (40.3 | ) | (987,064 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 0.3 | 7,881 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,450,195 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
60
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Hedged Plus Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Software & Services | 13.1 | % | $ | 304,462 | ||||
Capital Goods | 11.9 | 275,722 | ||||||
Health Care Equipment & Services | 11.7 | 272,024 | ||||||
Technology Hardware & Equipment | 10.2 | 236,515 | ||||||
Media | 9.4 | 217,126 | ||||||
Transportation | 8.8 | 204,972 | ||||||
Semiconductors & Semiconductor Equipment | 8.5 | 196,345 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 8.3 | 192,894 | ||||||
Retailing | 8.1 | 188,455 | ||||||
Energy | 8.1 | 187,873 | ||||||
Food & Staples Retailing | 7.9 | 184,303 | ||||||
Diversified Financials | 7.0 | 162,639 | ||||||
Materials | 5.2 | 119,519 | ||||||
Food, Beverage & Tobacco | 5.0 | 116,472 | ||||||
Telecommunication Services | 4.1 | 95,297 | ||||||
Utilities | 3.2 | 75,122 | ||||||
Consumer Services | 3.1 | 71,791 | ||||||
Banks | 2.6 | 60,508 | ||||||
Real Estate | 2.0 | 46,669 | ||||||
Automobiles & Components | 1.9 | 43,402 | ||||||
Insurance | 1.7 | 39,807 | ||||||
Household & Personal Products | 1.7 | 38,330 | ||||||
Consumer Durables & Apparel | 1.6 | 36,542 | ||||||
Commercial & Professional Services | 1.0 | 22,298 | ||||||
|
|
|
| |||||
Total Long Positions | 146.1 | 3,389,087 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.0 | )% | $ | (639 | ) | |||
Media | (0.2 | ) | (4,137 | ) | ||||
Banks | (0.3 | ) | (6,518 | ) | ||||
Household & Personal Products | (0.7 | ) | (16,198 | ) | ||||
Transportation | (1.1 | ) | (26,583 | ) | ||||
Commercial & Professional Services | (1.2 | ) | (26,713 | ) | ||||
Technology Hardware & Equipment | (1.2 | ) | (27,380 | ) | ||||
Automobiles & Components | (1.2 | ) | (27,950 | ) | ||||
Consumer Durables & Apparel | (2.2 | ) | (50,822 | ) | ||||
Consumer Services | (2.4 | ) | (55,135 | ) | ||||
Retailing | (3.1 | ) | (72,350 | ) | ||||
Food, Beverage & Tobacco | (3.3 | ) | (77,453 | ) | ||||
Diversified Financials | (3.7 | ) | (84,970 | ) | ||||
Insurance | (3.7 | ) | (85,537 | ) | ||||
Software & Services | (4.3 | ) | (99,845 | ) | ||||
Semiconductors & Semiconductor Equipment | (4.5 | ) | (105,039 | ) | ||||
Utilities | (5.8 | ) | (134,542 | ) | ||||
Materials | (5.9 | ) | (137,383 | ) | ||||
Real Estate | (6.2 | ) | (143,593 | ) | ||||
Health Care Equipment & Services | (6.4 | ) | (148,296 | ) | ||||
Capital Goods | (6.7 | ) | (156,329 | ) | ||||
Energy | (10.1 | ) | (235,183 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (11.4 | ) | (263,425 | ) | ||||
|
|
|
| |||||
Total Short Positions | (85.6 | ) | (1,986,020 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 39.5 | 916,429 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,319,496 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
61
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Hedged Core Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Software & Services | 9.9 | % | $ | 224,800 | ||||
Capital Goods | 7.4 | 167,521 | ||||||
Health Care Equipment & Services | 7.2 | 163,306 | ||||||
Technology Hardware & Equipment | 6.8 | 154,421 | ||||||
Media | 5.4 | 121,523 | ||||||
Diversified Financials | 5.3 | 121,051 | ||||||
Retailing | 5.2 | 119,008 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 5.2 | 116,981 | ||||||
Semiconductors & Semiconductor Equipment | 5.1 | 114,610 | ||||||
Energy | 4.6 | 104,178 | ||||||
Transportation | 4.6 | 103,953 | ||||||
Food & Staples Retailing | 4.5 | 103,264 | ||||||
Banks. | 3.9 | 89,437 | ||||||
Food, Beverage & Tobacco | 3.8 | 85,396 | ||||||
Materials | 3.0 | 69,144 | ||||||
Telecommunication Services | 2.5 | 56,664 | ||||||
Utilities | 2.0 | 44,322 | ||||||
Consumer Services | 1.8 | 39,986 | ||||||
Automobiles & Components | 1.6 | 35,255 | ||||||
Insurance | 1.5 | 34,732 | ||||||
Real Estate | 1.4 | 31,071 | ||||||
Household & Personal Products | 1.2 | 28,203 | ||||||
Consumer Durables & Apparel | 1.1 | 25,328 | ||||||
Commercial & Professional Services | 0.5 | 11,998 | ||||||
|
|
|
| |||||
Total Long Positions | 95.5 | 2,166,152 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.0 | )% | $ | (213 | ) | |||
Household & Personal Products | (0.1 | ) | (2,711 | ) | ||||
Media | (0.1 | ) | (3,198 | ) | ||||
Transportation | (0.3 | ) | (6,732 | ) | ||||
Commercial & Professional Services | (0.5 | ) | (12,028 | ) | ||||
Automobiles & Components | (0.5 | ) | (12,135 | ) | ||||
Technology Hardware & Equipment | (0.7 | ) | (14,814 | ) | ||||
Diversified Financials | (0.8 | ) | (17,214 | ) | ||||
Retailing | (0.9 | ) | (19,354 | ) | ||||
Consumer Durables & Apparel | (0.9 | ) | (19,835 | ) | ||||
Consumer Services | (0.9 | ) | (20,545 | ) | ||||
Food, Beverage & Tobacco | (1.5 | ) | (33,689 | ) | ||||
Insurance | (1.8 | ) | (39,854 | ) | ||||
Semiconductors & Semiconductor Equipment | (1.8 | ) | (40,777 | ) | ||||
Software & Services | (1.9 | ) | (44,138 | ) | ||||
Utilities | (2.0 | ) | (45,689 | ) | ||||
Capital Goods | (2.6 | ) | (58,731 | ) | ||||
Materials | (2.6 | ) | (59,686 | ) | ||||
Real Estate | (2.9 | ) | (66,349 | ) | ||||
Health Care Equipment & Services | (3.2 | ) | (72,313 | ) | ||||
Energy | (3.9 | ) | (88,733 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (4.8 | ) | (108,214 | ) | ||||
|
|
|
| |||||
Total Short Positions | (34.7 | ) | (786,952 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 39.2 | 887,932 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,267,132 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
62
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Institutional Value Fund
% of Net Assets | Value | |||||||
COMMON STOCKS: | ||||||||
Health Care Equipment & Services | 9.7 | % | $ | 256,033 | ||||
Capital Goods | 8.5 | 224,043 | ||||||
Software & Services | 8.3 | 217,966 | ||||||
Retailing | 8.0 | 210,220 | ||||||
Technology Hardware & Equipment | 6.8 | 179,384 | ||||||
Semiconductors & Semiconductor Equipment | 6.3 | 164,523 | ||||||
Media | 6.2 | 161,705 | ||||||
Transportation | 5.8 | 152,400 | ||||||
Food & Staples Retailing | 5.5 | 144,354 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 5.4 | 143,101 | ||||||
Food, Beverage & Tobacco | 4.3 | 112,795 | ||||||
Diversified Financials | 4.1 | 108,538 | ||||||
Energy | 3.4 | 90,170 | ||||||
Materials | 3.3 | 87,879 | ||||||
Consumer Services | 3.1 | 81,006 | ||||||
Telecommunication Services | 2.7 | 70,851 | ||||||
Household & Personal Products | 2.2 | 57,839 | ||||||
Automobiles & Components | 1.9 | 49,222 | ||||||
Consumer Durables & Apparel | 1.5 | 38,503 | ||||||
Insurance | 1.1 | 27,557 | ||||||
Commercial & Professional Services | 1.0 | 26,752 | ||||||
Utilities | 0.9 | 22,749 | ||||||
Real Estate | 0.5 | 13,122 | ||||||
Banks | 0.0 | 244 | ||||||
|
|
|
| |||||
Total Common Stocks | 100.5 | 2,640,956 | ||||||
|
|
|
| |||||
Liabilities in Excess of Other Assets | (0.5 | ) | (14,226 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,626,730 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
63
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Enhanced S&P 500 Index Fund
% of Net Assets | Value | |||||||
COMMON STOCKS: | ||||||||
Software & Services | 11.1 | % | $ | 326,227 | ||||
Technology Hardware & Equipment | 10.4 | 304,638 | ||||||
Retailing | 8.6 | 253,391 | ||||||
Capital Goods | 8.0 | 234,344 | ||||||
Health Care Equipment & Services | 7.4 | 215,643 | ||||||
Media | 7.2 | 209,976 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.6 | 193,766 | ||||||
Food & Staples Retailing | 6.4 | 189,081 | ||||||
Semiconductors & Semiconductor Equipment | 5.9 | 173,492 | ||||||
Energy | 4.6 | 134,302 | ||||||
Transportation | 4.2 | 123,865 | ||||||
Diversified Financials | 3.7 | 108,900 | ||||||
Telecommunication Services | 3.2 | 92,414 | ||||||
Food, Beverage & Tobacco | 2.8 | 82,430 | ||||||
Materials | 2.4 | 70,400 | ||||||
Consumer Services | 1.7 | 50,003 | ||||||
Automobiles & Components | 1.6 | 46,518 | ||||||
Consumer Durables & Apparel | 1.0 | 28,384 | ||||||
Utilities | 0.9 | 27,567 | ||||||
Insurance | 0.8 | 23,599 | ||||||
Banks | 0.7 | 20,043 | ||||||
Household & Personal Products | 0.6 | 17,015 | ||||||
Real Estate | 0.3 | 9,764 | ||||||
Commercial & Professional Services | 0.2 | 5,399 | ||||||
|
|
|
| |||||
Total Common Stocks | 100.3 | 2,941,161 | ||||||
|
|
|
| |||||
Liabilities in Excess of Other Assets | (0.3 | ) | (10,132 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,931,029 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
64
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Defensive Long Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Capital Goods | 19.2 | % | $ | 417,912 | ||||
Software & Services | 17.8 | 387,504 | ||||||
Food, Beverage & Tobacco | 15.1 | 327,882 | ||||||
Health Care Equipment & Services | 14.9 | 323,223 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 14.2 | 307,668 | ||||||
Retailing | 13.7 | 298,424 | ||||||
Media | 11.4 | 246,991 | ||||||
Technology Hardware & Equipment | 10.6 | 230,383 | ||||||
Consumer Services | 9.7 | 210,848 | ||||||
Food & Staples Retailing | 7.6 | 165,737 | ||||||
Transportation | 5.9 | 128,855 | ||||||
Semiconductors & Semiconductor Equipment | 5.9 | 128,682 | ||||||
Household & Personal Products | 5.7 | 124,824 | ||||||
Commercial & Professional Services | 5.4 | 116,150 | ||||||
Consumer Durables & Apparel | 4.5 | 97,915 | ||||||
Materials | 4.3 | 94,163 | ||||||
Telecommunication Services | 4.3 | 93,410 | ||||||
Energy | 3.4 | 74,003 | ||||||
Automobiles & Components | 2.1 | 44,684 | ||||||
|
|
|
| |||||
Total Long Positions | 175.7 | 3,819,258 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Food & Staples Retailing | (0.8 | )% | $ | (16,548 | ) | |||
Household & Personal Products | (1.1 | ) | (24,170 | ) | ||||
Telecommunication Services | (1.2 | ) | (26,808 | ) | ||||
Automobiles & Components | (1.8 | ) | (38,559 | ) | ||||
Media | (2.0 | ) | (44,620 | ) | ||||
Commercial & Professional Services | (2.3 | ) | (49,122 | ) | ||||
Consumer Durables & Apparel | (2.4 | ) | (51,805 | ) | ||||
Transportation | (3.0 | ) | (65,607 | ) | ||||
Food, Beverage & Tobacco | (3.1 | ) | (68,249 | ) | ||||
Energy | (3.4 | ) | (74,270 | ) | ||||
Semiconductors & Semiconductor Equipment | (3.7 | ) | (80,015 | ) | ||||
Consumer Services | (4.4 | ) | (94,753 | ) | ||||
Materials | (4.4 | ) | (94,941 | ) | ||||
Retailing | (5.5 | ) | (119,359 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (5.8 | ) | (126,640 | ) | ||||
Health Care Equipment & Services | (6.0 | ) | (130,971 | ) | ||||
Technology Hardware & Equipment | (6.1 | ) | (132,967 | ) | ||||
Capital Goods | (8.3 | ) | (179,453 | ) | ||||
Software & Services | (10.5 | ) | (228,725 | ) | ||||
|
|
|
| |||||
Total Short Positions | (75.8 | ) | (1,647,582 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 0.1 | 2,234 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,173,910 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
65
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Defensive Long 500 Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Health Care Equipment & Services | 17.8 | % | $ | 1,412,605 | ||||
Capital Goods | 14.9 | 1,183,628 | ||||||
Media | 14.4 | 1,143,595 | ||||||
Technology Hardware & Equipment | 12.5 | 992,262 | ||||||
Retailing | 12.2 | 968,206 | ||||||
Food & Staples Retailing | 12.1 | 957,081 | ||||||
Software & Services | 11.4 | 908,243 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 10.6 | 840,245 | ||||||
Food, Beverage & Tobacco | 10.3 | 814,671 | ||||||
Semiconductors & Semiconductor Equipment | 8.3 | 658,777 | ||||||
Transportation | 8.2 | 649,577 | ||||||
Energy | 7.9 | 631,039 | ||||||
Telecommunication Services | 6.5 | 513,931 | ||||||
Materials | 5.7 | 453,158 | ||||||
Real Estate | 5.6 | 444,267 | ||||||
Consumer Services | 4.7 | 372,335 | ||||||
Household & Personal Products | 4.2 | 331,140 | ||||||
Diversified Financials | 3.6 | 287,609 | ||||||
Utilities | 3.5 | 276,033 | ||||||
Automobiles & Components | 3.1 | 250,330 | ||||||
Insurance | 2.9 | 232,313 | ||||||
Commercial & Professional Services | 2.8 | 220,052 | ||||||
Consumer Durables & Apparel | 2.1 | 169,587 | ||||||
|
|
|
| |||||
Total Long Positions | 185.3 | 14,710,684 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Household & Personal Products | (0.2 | )% | $ | (18,497 | ) | |||
Telecommunication Services | (0.4 | ) | (28,883 | ) | ||||
Commercial & Professional Services | (0.6 | ) | (44,930 | ) | ||||
Media | (0.6 | ) | (45,434 | ) | ||||
Technology Hardware & Equipment | (0.7 | ) | (52,831 | ) | ||||
Transportation | (0.8 | ) | (64,206 | ) | ||||
Automobiles & Components | (1.0 | ) | (83,697 | ) | ||||
Consumer Services | (1.5 | ) | (115,843 | ) | ||||
Consumer Durables & Apparel | (1.9 | ) | (152,680 | ) | ||||
Food, Beverage & Tobacco | (2.8 | ) | (226,081 | ) | ||||
Utilities | (3.1 | ) | (243,948 | ) | ||||
Retailing | (3.3 | ) | (258,914 | ) | ||||
Real Estate | (3.6 | ) | (286,119 | ) | ||||
Materials | (3.8 | ) | (299,779 | ) | ||||
Semiconductors & Semiconductor Equipment | (4.6 | ) | (362,398 | ) | ||||
Insurance | (4.9 | ) | (392,939 | ) | ||||
Software & Services | (5.5 | ) | (441,338 | ) | ||||
Diversified Financials | (6.3 | ) | (497,827 | ) | ||||
Energy | (7.2 | ) | (575,194 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (7.4 | ) | (587,873 | ) | ||||
Banks | (8.2 | ) | (648,068 | ) | ||||
Capital Goods | (8.6 | ) | (687,156 | ) | ||||
Health Care Equipment & Services | (8.8 | ) | (699,979 | ) | ||||
|
|
|
| |||||
Total Short Positions | (85.8 | ) | (6,814,614 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 0.5 | 43,532 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 7,939,602 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
66
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
Gotham Total Return Fund
% of Net Assets | Value | |||||||
Affiliated Equity Registered Investment Companies | 99.4 | % | $ | 18,422,169 | ||||
Other Assets in Excess of Liabilities | 0.6 | 117,002 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 18,539,171 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
67
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
Gotham Master Long Fund
% of Net Assets | Value | |||||||
Affiliated Equity Registered Investment Companies | 99.5 | % | $ | 1,104,336 | ||||
Other Assets in Excess of Liabilities | 0.5 | 5,252 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 1,109,588 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
68
GOTHAM FUNDS
Portfolio Holdings Summary Tables
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Master Neutral Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Semiconductors & Semiconductor | ||||||||
Equipment | 2.8 | % | $ | 113,203 | ||||
Capital Goods | 2.1 | 84,598 | ||||||
Food, Beverage & Tobacco | 2.0 | 83,120 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 1.8 | 74,455 | ||||||
Technology Hardware & Equipment | 1.7 | 70,252 | ||||||
Media | 1.6 | 66,585 | ||||||
Consumer Services | 1.6 | 64,733 | ||||||
Health Care Equipment & Services | 1.4 | 58,025 | ||||||
Retailing | 1.4 | 56,265 | ||||||
Software & Services | 1.3 | 54,192 | ||||||
Transportation | 1.2 | 47,709 | ||||||
Food & Staples Retailing | 1.1 | 43,544 | ||||||
Commercial & Professional Services | 0.9 | 35,179 | ||||||
Consumer Durables & Apparel | 0.8 | 34,048 | ||||||
Telecommunication Services | 0.6 | 25,060 | ||||||
Household & Personal Products | 0.5 | 19,848 | ||||||
Automobiles & Components | 0.4 | 14,962 | ||||||
Affiliated Equity Registered Investment Companies | 59.9 | 2,439,300 | ||||||
U.S. Treasury Obligations | 4.9 | 198,650 | ||||||
|
|
|
| |||||
Total Long Positions | 88.0 | 3,583,728 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.1 | )% | $ | (5,404 | ) | |||
Media | (0.3 | ) | (13,847 | ) | ||||
Food & Staples Retailing | (0.4 | ) | (15,482 | ) | ||||
Household & Personal Products | (0.4 | ) | (16,548 | ) | ||||
Commercial & Professional Services | (0.5 | ) | (19,657 | ) | ||||
Food, Beverage & Tobacco | (0.8 | ) | (32,687 | ) | ||||
Transportation | (0.9 | ) | (35,431 | ) | ||||
Consumer Services | (0.9 | ) | (35,834 | ) | ||||
Retailing | (1.0 | ) | (39,358 | ) | ||||
Automobiles & Components | (1.1 | ) | (45,222 | ) | ||||
Semiconductors & Semiconductor Equipment | (1.2 | ) | (48,385 | ) | ||||
Consumer Durables & Apparel | (1.3 | ) | (53,917 | ) | ||||
Technology Hardware & Equipment | (1.7 | ) | (67,318 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (2.0 | ) | (83,378 | ) | ||||
Software & Services | (2.9 | ) | (120,167 | ) | ||||
Health Care Equipment & Services | (3.3 | ) | (133,099 | ) | ||||
Capital Goods | (4.5 | ) | (181,920 | ) | ||||
|
|
|
| |||||
Total Short Positions | (23.3 | ) | (947,654 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 35.3 | 1,438,849 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 4,074,923 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
69
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 120.2% |
| |||||||
COMMON STOCKS — 120.2% |
| |||||||
Automobiles & Components — 2.1% |
| |||||||
BorgWarner, Inc.† | 11,366 | $ | 582,280 | |||||
Cooper-Standard Holdings, Inc.†* | 2,298 | 266,499 | ||||||
Delphi Automotive PLC (Jersey)† | 18,374 | 1,808,002 | ||||||
Dorman Products, Inc.(a)* | 8,667 | 620,731 | ||||||
General Motors Co.† | 182,926 | 7,386,552 | ||||||
Gentex Corp.†(a) | 80,680 | 1,597,464 | ||||||
Harley-Davidson, Inc.(a) | 39,121 | 1,886,023 | ||||||
Lear Corp.†(a) | 12,315 | 2,131,480 | ||||||
Motorcar Parts of America, Inc.(a)* | 3,997 | 117,752 | ||||||
Thor Industries, Inc. | 4,506 | 567,350 | ||||||
Visteon Corp.(a)(b)* | 8,623 | 1,067,269 | ||||||
Winnebago Industries, | 19,947 | 892,628 | ||||||
|
| |||||||
18,924,030 | ||||||||
|
| |||||||
Capital Goods — 14.6% | ||||||||
3M Co.†(a) | 1,971 | 413,713 | ||||||
Acuity Brands, Inc.(a) | 14,895 | 2,551,216 | ||||||
AECOM(a)* | 3,266 | 120,221 | ||||||
Allegion PLC (Ireland)†(a) | 14,663 | 1,267,910 | ||||||
Allison Transmission Holdings, Inc.(a) | 115,456 | 4,333,064 | ||||||
American Woodmark | 2,798 | 269,307 | ||||||
AMETEK, Inc.† | 45,115 | 2,979,395 | ||||||
Applied Industrial Technologies, Inc.(a) | 10,185 | 670,173 | ||||||
Arconic, Inc.†(a) | 163,800 | 4,075,344 | ||||||
Argan, Inc.† | 38,240 | 2,571,640 | ||||||
Atkore International Group, Inc.(a)* | 10,376 | 202,436 | ||||||
Blue Bird Corp.(a)* | 76 | 1,566 | ||||||
Boeing Co. (The)† | 40,798 | 10,371,260 | ||||||
Briggs & Stratton Corp.(a) | 5,392 | 126,712 | ||||||
Builders FirstSource, | 13,984 | 251,572 | ||||||
BWX Technologies, Inc.†(a) | 14,353 | 804,055 | ||||||
Caterpillar, Inc.(b) | 67,379 | 8,402,835 | ||||||
Chart Industries, Inc.†* | 9,908 | 388,691 | ||||||
Continental Building Products, Inc.†* | 27,710 | 720,460 | ||||||
Crane Co.† | 17,213 | 1,376,868 | ||||||
CSW Industrials, Inc.* | 316 | 14,015 | ||||||
Cummins, Inc.†(b) | 26,322 | 4,422,886 | ||||||
Deere & Co.(b) | 11,286 | 1,417,409 | ||||||
DigitalGlobe, Inc.(a)* | 11,190 | 394,448 | ||||||
EMCOR Group, Inc.† | 21,318 | 1,479,043 | ||||||
Emerson Electric Co.† | 4,212 | 264,682 | ||||||
EnerSys†(b) | 19,449 | 1,345,287 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Fastenal Co.†(a) | 66,682 | $ | 3,039,366 | |||||
Flowserve Corp.(a) | 33,276 | 1,417,225 | ||||||
Fortive Corp.† | 12,752 | 902,714 | ||||||
Fortune Brands Home & Security, Inc.(a) | 5,833 | 392,153 | ||||||
General Electric Co.† | 45,931 | 1,110,612 | ||||||
Gibraltar Industries, Inc.†(a)* | 55,172 | 1,718,608 | ||||||
GMS, Inc.†(a)* | 38,792 | 1,373,237 | ||||||
Harsco Corp.†* | 55,480 | 1,159,532 | ||||||
Hillenbrand, Inc.†(a)(b) | 33,908 | 1,317,326 | ||||||
Honeywell International, Inc.† | 45,714 | 6,479,502 | ||||||
Hubbell, Inc.† | 11,719 | 1,359,638 | ||||||
Illinois Tool Works, Inc.† | 13,480 | 1,994,501 | ||||||
Ingersoll-Rand PLC (Ireland)† | 43,910 | 3,915,455 | ||||||
Jacobs Engineering Group, Inc.† | 40,988 | 2,388,371 | ||||||
Kadant, Inc.(a) | 1,877 | 184,978 | ||||||
Kennametal, Inc.†(a) | 50,526 | 2,038,219 | ||||||
L3 Technologies, Inc.† | 18 | 3,392 | ||||||
Lockheed Martin Corp.†(b) | 19,926 | 6,182,839 | ||||||
Masco Corp.(a)(b) | 68,581 | 2,675,345 | ||||||
Meritor, Inc.(a)* | 16,016 | 416,576 | ||||||
Moog, Inc., Class A* | 1,637 | 136,575 | ||||||
MSC Industrial Direct Co., Inc., Class A(a) | 1,468 | 110,937 | ||||||
Mueller Industries, Inc.(a) | 9,324 | 325,874 | ||||||
Mueller Water Products, Inc., Class A(a) | 22,438 | 287,206 | ||||||
Northrop Grumman Corp.† | 1,846 | 531,131 | ||||||
Oshkosh Corp.(a)(b) | 8,190 | 676,003 | ||||||
PACCAR, Inc.†(a) | 26,891 | 1,945,295 | ||||||
Pentair PLC (Ireland)(b) | 72,437 | 4,922,819 | ||||||
Primoris Services Corp.(a) | 8,340 | 245,363 | ||||||
Regal Beloit Corp.† | 3,361 | 265,519 | ||||||
Rexnord Corp.†(b)* | 57,653 | 1,464,963 | ||||||
Rockwell Automation, Inc.†(a)(b) | 33,211 | 5,918,532 | ||||||
Rush Enterprises, Inc., Class A(a)* | 13,834 | 640,376 | ||||||
Snap-on, Inc.†(a) | 14,662 | 2,184,785 | ||||||
Spirit AeroSystems Holdings, Inc., Class A† | 25,477 | 1,980,072 | ||||||
SPX Corp.†* | 32,690 | 959,125 | ||||||
SPX FLOW, Inc.(a)* | 15,779 | 608,438 | ||||||
Stanley Black & Decker, Inc.† | 982 | 148,253 |
The accompanying notes are an integral part of the financial statements.
70
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Terex Corp.†(a) | 20,176 | $ | 908,324 | |||||
Textainer Group Holdings Ltd. (Bermuda)(a)* | 18,838 | 323,072 | ||||||
Textron, Inc.† | 37,600 | 2,025,888 | ||||||
Toro Co. (The)(a) | 16,369 | 1,015,860 | ||||||
TransDigm Group, Inc.(a) | 7,596 | 1,941,917 | ||||||
Triumph Group, Inc.(a) | 21,938 | 652,656 | ||||||
Tutor Perini Corp.(a)* | 3,642 | 103,433 | ||||||
United Rentals, Inc.†* | 2 | 277 | ||||||
United Technologies Corp.† | 17,258 | 2,003,309 | ||||||
Univar, Inc.†* | 13,131 | 379,880 | ||||||
Wabash National | 86,178 | 1,966,582 | ||||||
WW Grainger, Inc.†(a) | 19,002 | 3,415,610 | ||||||
|
| |||||||
129,393,871 | ||||||||
|
| |||||||
Commercial & Professional Services — 2.3% |
| |||||||
Copart, Inc.†* | 12,424 | 427,013 | ||||||
Deluxe Corp.(a) | 10,430 | 760,973 | ||||||
Equifax, Inc.(a)(b) | 21,431 | 2,271,472 | ||||||
KAR Auction Services, Inc.(a)(b) | 47,698 | 2,277,103 | ||||||
Kimball International, Inc., Class B(a) | 1,787 | 35,329 | ||||||
Korn/Ferry International† | 21,698 | 855,552 | ||||||
LSC Communications, Inc.(a) | 21,549 | 355,774 | ||||||
MSA Safety, Inc.(a) | 5,922 | 470,858 | ||||||
Quad/Graphics, Inc.† | 13,220 | 298,904 | ||||||
Republic Services, Inc.† | 22,958 | 1,516,605 | ||||||
Robert Half International, Inc.† | 41,225 | 2,075,266 | ||||||
RPX Corp.(a)* | 12,416 | 164,884 | ||||||
SP Plus Corp.(a)* | 11,083 | 437,778 | ||||||
Stericycle, Inc.(b)* | 23,472 | 1,681,065 | ||||||
Tetra Tech, Inc.(a)(b) | 27,773 | 1,292,833 | ||||||
TransUnion(a)* | 18,186 | 859,470 | ||||||
TriNet Group, Inc.(a)* | 10,526 | 353,884 | ||||||
TrueBlue, Inc.†* | 69 | 1,549 | ||||||
Verisk Analytics, | 26,197 | 2,179,328 | ||||||
VSE Corp.(a) | 615 | 34,969 | ||||||
Waste Management, Inc.†(a) | 29,445 | 2,304,660 | ||||||
West Corp. | 301 | 7,064 | ||||||
|
| |||||||
20,662,333 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.2% |
| |||||||
Brunswick Corp.(a) | 7,434 | 416,081 | ||||||
Cavco Industries, Inc.†* | 6,158 | 908,613 | ||||||
Coach, Inc.†(a) | 96,528 | 3,888,148 | ||||||
Crocs, Inc.(a)* | 18,681 | 181,206 | ||||||
DR Horton, Inc.†(a) | 65,895 | 2,631,187 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Ethan Allen Interiors, Inc.(a) | 9,696 | $ | 314,150 | |||||
Garmin Ltd. (Switzerland)†(a) | 52,689 | 2,843,625 | ||||||
Gildan Activewear, Inc. (Canada) | 3,986 | 124,682 | ||||||
Hasbro, Inc.†(a) | 11,986 | 1,170,673 | ||||||
iRobot Corp.(a)* | 2,259 | 174,079 | ||||||
Johnson Outdoors, Inc., Class A(a) | 1,036 | 75,918 | ||||||
La-Z-Boy, Inc.† | 23,057 | 620,233 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 36,365 | 1,740,065 | ||||||
NIKE, Inc., Class B(b) | 15,126 | 784,283 | ||||||
Oxford Industries, Inc.(a) | 3,845 | 244,311 | ||||||
PulteGroup, Inc.†(a)(b) | 79,810 | 2,181,207 | ||||||
Ralph Lauren Corp.†(a)(b) | 45,747 | 4,039,003 | ||||||
TopBuild Corp.(b)* | 25,335 | 1,651,082 | ||||||
Tupperware Brands | 12,835 | 793,460 | ||||||
Whirlpool Corp.(a)(b) | 15,420 | 2,844,065 | ||||||
Wolverine World Wide, | 28,659 | 826,812 | ||||||
|
| |||||||
28,452,883 | ||||||||
|
| |||||||
Consumer Services — 4.9% |
| |||||||
Adtalem Global Education, Inc.†(a) | 46,618 | 1,671,255 | ||||||
Bloomin’ Brands, Inc.(a) | 20,594 | 362,454 | ||||||
Bob Evans Farms, Inc.† | 23,129 | 1,792,729 | ||||||
Boyd Gaming Corp.(a)(b) | 96,504 | 2,513,929 | ||||||
Brinker International, Inc.(a) | 82,129 | 2,616,630 | ||||||
Cheesecake Factory, Inc. (The)(a) | 40,750 | 1,716,390 | ||||||
Choice Hotels International, Inc.(a) | 8,622 | 550,946 | ||||||
Churchill Downs, Inc.(a) | 4,786 | 986,873 | ||||||
Cracker Barrel Old Country Store, Inc.(a) | 2,915 | 441,972 | ||||||
Darden Restaurants, Inc.† | 3,659 | 288,256 | ||||||
DineEquity, Inc.†(a) | 52,498 | 2,256,364 | ||||||
Eldorado Resorts, Inc.(a)* | 24,543 | 629,528 | ||||||
Graham Holdings Co., Class B† | 195 | 114,094 | ||||||
Hilton Worldwide Holdings, Inc.† | 65,082 | 4,519,945 | ||||||
La Quinta Holdings, Inc.†* | 700 | 12,250 | ||||||
Marriott International, Inc., Class A† | 29,338 | 3,234,808 | ||||||
McDonald’s Corp.† | 10,799 | 1,691,987 | ||||||
Regis Corp.(a)* | 44 | 628 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)†(a) | 46,068 | 5,460,901 | ||||||
Sonic Corp.† | 27,604 | 702,522 | ||||||
Vail Resorts, Inc.(b) | 12,169 | 2,775,992 |
The accompanying notes are an integral part of the financial statements.
71
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Weight Watchers International, Inc.(a)* | 22,620 | $ | 985,101 | |||||
Wyndham Worldwide Corp.† | 41,914 | 4,418,155 | ||||||
Yum! Brands, Inc.† | 49,874 | 3,671,225 | ||||||
|
| |||||||
43,414,934 | ||||||||
|
| |||||||
Energy — 2.7% | ||||||||
Archrock, Inc.† | 127,370 | 1,598,493 | ||||||
CVR Energy, Inc.(a) | 57,986 | 1,501,837 | ||||||
Delek US Holdings, Inc.† | 32,438 | 867,068 | ||||||
Exterran Corp.(b)* | 53,366 | 1,686,899 | ||||||
Fairmount Santrol Holdings, Inc.(a)* | 357,956 | 1,711,030 | ||||||
Imperial Oil Ltd. (Canada)(a) | 6,300 | 201,222 | ||||||
McDermott International, Inc. (Panama)†(a)* | 333,174 | 2,422,175 | ||||||
Occidental Petroleum Corp.†(b) | 23,376 | 1,500,973 | ||||||
Oceaneering International, Inc.† | 16,584 | 435,662 | ||||||
Par Pacific Holdings, Inc.(a)* | 325 | 6,760 | ||||||
REX American Resources Corp.†(a)* | 5,910 | 554,535 | ||||||
Rowan Cos. PLC, Class A (United Kingdom)†* | 79,140 | 1,016,949 | ||||||
Ship Finance International Ltd. (Bermuda)(a) | 161,055 | 2,335,298 | ||||||
Tidewater, Inc.(a)* | 1,027 | 29,865 | ||||||
TransCanada Corp. (Canada)† | 74,798 | 3,697,265 | ||||||
Transocean Ltd. (Switzerland)(a)* | 364,069 | 3,917,382 | ||||||
Valero Energy Corp.(a) | 3,796 | 292,026 | ||||||
|
| |||||||
23,775,439 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.5% |
| |||||||
CVS Health Corp.† | 91,722 | 7,458,833 | ||||||
Kroger Co. (The)†(a) | 262,306 | 5,261,858 | ||||||
Sysco Corp.(a)(b) | 99,792 | 5,383,778 | ||||||
United Natural Foods, | 23,697 | 985,558 | ||||||
Walgreens Boots Alliance, Inc.†(a)(b) | 72,951 | 5,633,276 | ||||||
Wal-Mart Stores, Inc.†(a) | 82,323 | 6,432,719 | ||||||
|
| |||||||
31,156,022 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 5.9% | ||||||||
Altria Group, Inc.†(b) | 126,008 | 7,991,427 | ||||||
Brown-Forman Corp., Class B†(a) | 37,711 | 2,047,707 | ||||||
Campbell Soup Co.† | 80,530 | 3,770,415 | ||||||
Coca-Cola Co. (The)†(a)(b) | 89,080 | 4,009,491 | ||||||
Conagra Brands, Inc.† | 74,601 | 2,517,038 | ||||||
Dean Foods Co.(a) | 180,238 | 1,960,989 | ||||||
Dr Pepper Snapple Group, Inc.†(a)(b) | 43,114 | 3,814,296 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Flowers Foods, Inc.(a) | 16,545 | $ | 311,211 | |||||
General Mills, Inc.†(a) | 56,787 | 2,939,295 | ||||||
Hormel Foods Corp.†(a) | 81,193 | 2,609,543 | ||||||
Ingredion, Inc.†(a)(b) | 5,698 | 687,407 | ||||||
JM Smucker Co. (The)†(a)(b) | 42,544 | 4,464,142 | ||||||
Kellogg Co.(a) | 70,072 | 4,370,391 | ||||||
Kraft Heinz Co. (The)† | 24,072 | 1,866,784 | ||||||
Molson Coors Brewing Co., Class B(a)(b) | 27,389 | 2,236,038 | ||||||
Mondelez International, Inc., Class A†(a) | 19,872 | 807,996 | ||||||
PepsiCo, Inc.† | 12,000 | 1,337,160 | ||||||
Philip Morris International, Inc. | 20 | 2,220 | ||||||
Sanderson Farms, Inc.(a) | 18,865 | 3,047,075 | ||||||
TreeHouse Foods, Inc.(a)* | 14,562 | 986,284 | ||||||
|
| |||||||
51,776,909 | ||||||||
|
| |||||||
Health Care Equipment & Services — 8.5% |
| |||||||
Acadia Healthcare Co., | 18,495 | 883,321 | ||||||
AmerisourceBergen | 46,317 | 3,832,732 | ||||||
AMN Healthcare Services, Inc.(a)* | 39,976 | 1,826,903 | ||||||
Analogic Corp.(a) | 3,876 | 324,615 | ||||||
Anika Therapeutics, Inc.†(a)* | 5,976 | 346,608 | ||||||
Baxter International, Inc.† | 16,011 | 1,004,690 | ||||||
Becton Dickinson and Co.†(a) | 6,245 | 1,223,708 | ||||||
Cerner Corp.(a)(b)* | 39,692 | 2,830,833 | ||||||
Chemed Corp.† | 1,671 | 337,626 | ||||||
Community Health Systems, Inc.(a)* | 131,725 | 1,011,648 | ||||||
CONMED Corp.(a) | 11,952 | 627,121 | ||||||
CorVel Corp.* | 404 | 21,978 | ||||||
Cotiviti Holdings, Inc.†(a)* | 69,096 | 2,486,074 | ||||||
CR Bard, Inc.†(a) | 1,690 | 541,645 | ||||||
Danaher Corp.(a) | 2,205 | 189,145 | ||||||
Express Scripts Holding | 139,365 | 8,824,592 | ||||||
Globus Medical, Inc., Class A†(a)(b)* | 74,256 | 2,206,888 | ||||||
Halyard Health, Inc.†* | 29,673 | 1,336,175 | ||||||
HCA Healthcare, Inc.†* | 53,610 | 4,266,820 | ||||||
Hill-Rom Holdings, Inc.†(a) | 27,200 | 2,012,800 | ||||||
Hologic, Inc.(a)(b)* | 66,588 | 2,443,114 | ||||||
Integer Holdings Corp.†(a)* | 34,314 | 1,755,161 | ||||||
Kindred Healthcare, Inc.†(a) | 83,803 | 569,860 | ||||||
Laboratory Corp. of America Holdings†* | 14,686 | 2,217,145 | ||||||
Landauer, Inc. | 48 | 3,230 |
The accompanying notes are an integral part of the financial statements.
72
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
LHC Group, Inc.(a)* | 3,533 | $ | 250,560 | |||||
LifePoint Health, Inc.(a)* | 3,286 | 190,259 | ||||||
Masimo Corp.†(a)* | 11,356 | 982,975 | ||||||
McKesson Corp.†(a)(b) | 43,381 | 6,663,755 | ||||||
Medtronic PLC (Ireland)†(b) | 57,935 | 4,505,605 | ||||||
Meridian Bioscience, | 34,031 | 486,643 | ||||||
National HealthCare | 344 | 21,524 | ||||||
Patterson Cos., Inc.(a) | 32,039 | 1,238,307 | ||||||
Quality Systems, Inc.(a)* | 28,052 | 441,258 | ||||||
Quest Diagnostics, Inc.†(a) | 22,277 | 2,086,018 | ||||||
STERIS PLC (United Kingdom)(a)(b) | 7,024 | 620,922 | ||||||
Stryker Corp.(b) | 8,972 | 1,274,203 | ||||||
Tivity Health, Inc.(a)* | 17,460 | 712,368 | ||||||
Universal Health Services, Inc., Class B†(a) | 13,456 | 1,492,809 | ||||||
Varian Medical Systems, Inc.†(a)* | 53,715 | 5,374,723 | ||||||
Veeva Systems, Inc., Class A(a)(b)* | 32,738 | 1,846,751 | ||||||
Zimmer Biomet Holdings, Inc.† | 28,902 | 3,384,135 | ||||||
|
| |||||||
74,697,247 | ||||||||
|
| |||||||
Household & Personal Products — 1.8% |
| |||||||
Avon Products, Inc.* | 224,227 | 522,449 | ||||||
Central Garden & Pet Co., Class A†* | 11,780 | 438,098 | ||||||
Church & Dwight | 16,512 | 800,006 | ||||||
Clorox Co. (The)†(a)(b) | 46,248 | 6,100,574 | ||||||
Colgate-Palmolive Co.† | 17,472 | 1,272,835 | ||||||
Edgewell Personal Care | 3,403 | 247,636 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 7,058 | 761,135 | ||||||
Kimberly-Clark Corp.†(a) | 49,605 | 5,837,516 | ||||||
|
| |||||||
15,980,249 | ||||||||
|
| |||||||
Materials — 3.1% | ||||||||
Ashland Global Holdings, Inc.(a) | 15,099 | 987,324 | ||||||
Chase Corp.(a) | 346 | 38,544 | ||||||
Chemours Co. (The)† | 6,251 | 316,363 | ||||||
Domtar Corp.†(a) | 54,988 | 2,385,929 | ||||||
Eagle Materials, Inc.† | 1,123 | 119,824 | ||||||
Huntsman Corp.† | 3,906 | 107,103 | ||||||
Innophos Holdings, Inc. | 4,479 | 220,322 | ||||||
Koppers Holdings, Inc.†* | 1,095 | 50,534 | ||||||
Kronos Worldwide, Inc.(a) | 15,313 | 349,596 | ||||||
Louisiana-Pacific Corp.†(a)* | 133,023 | 3,602,263 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 7,608 | 753,572 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Martin Marietta Materials, | 9,495 | $ | 1,958,154 | |||||
Methanex Corp. (Canada)†(a)(b) | 112,187 | 5,643,006 | ||||||
Minerals Technologies, Inc.† | 4,852 | 342,794 | ||||||
Packaging Corp. of | 31,992 | 3,668,843 | ||||||
Scotts Miracle-Gro Co. (The)(a) | 11,989 | 1,167,009 | ||||||
Trinseo SA (Luxembourg)† | 6,981 | 468,425 | ||||||
Westlake Chemical Corp.†(a) | 53,284 | 4,427,368 | ||||||
WR Grace & Co.(a)(b) | 15,205 | 1,097,041 | ||||||
|
| |||||||
27,704,014 | ||||||||
|
| |||||||
Media — 6.6% | ||||||||
CBS Corp., Class B, non-voting shares†(a) | 59,495 | 3,450,710 | ||||||
Comcast Corp., Class A† | 194,549 | 7,486,245 | ||||||
Discovery Communications, Inc., Class A†(a)* | 97,948 | 2,085,313 | ||||||
DISH Network Corp., | 46,671 | 2,530,968 | ||||||
Gannett Co., Inc.(a) | 82,825 | 745,425 | ||||||
Interpublic Group of Cos., Inc. (The)† | 53,403 | 1,110,248 | ||||||
MSG Networks, Inc., | 82,364 | 1,746,117 | ||||||
News Corp., Class A(a)(b) | 146,568 | 1,943,492 | ||||||
Omnicom Group, Inc.(a) | 88,197 | 6,532,752 | ||||||
Scripps Networks Interactive, Inc., Class A†(a) | 21,758 | 1,868,795 | ||||||
TEGNA, Inc.† | 39,322 | 524,162 | ||||||
Time Warner, Inc.† | 77,444 | 7,934,138 | ||||||
Tribune Media Co., Class A(a) | 5,868 | 239,766 | ||||||
Twenty-First Century Fox, Inc., Class A†(b) | 370,000 | 9,760,600 | ||||||
Viacom, Inc., Class B†(a)(b) | 137,337 | 3,823,462 | ||||||
Walt Disney Co. (The)†(a)(b) | 61,748 | 6,086,500 | ||||||
|
| |||||||
57,868,693 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 11.1% |
| |||||||
AbbVie, Inc.†(b) | 44,638 | 3,966,533 | ||||||
Acorda Therapeutics, Inc.(a)* | 20,965 | 495,822 | ||||||
Agilent Technologies, Inc.†(a) | 12,282 | 788,504 | ||||||
Akorn, Inc.(a)* | 11,647 | 386,564 | ||||||
Alexion Pharmaceuticals, Inc.* | 2,914 | 408,805 | ||||||
AMAG Pharmaceuticals, | 122,184 | 2,254,295 | ||||||
Amgen, Inc.†(b) | 42,584 | 7,939,787 | ||||||
Biogen, Inc.†(a)* | 12,330 | 3,860,770 | ||||||
Bio-Techne Corp.(a) | 2,746 | 331,964 | ||||||
Bioverativ, Inc.†(a)(b)* | 60,060 | 3,427,624 | ||||||
Bluebird Bio, Inc.(a)* | 14,082 | 1,934,163 |
The accompanying notes are an integral part of the financial statements.
73
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & |
| |||||||
Bristol-Myers Squibb Co.†(b) | 15,502 | $ | 988,097 | |||||
Catalent, Inc.(a)* | 19,983 | 797,721 | ||||||
Celgene Corp.†(b)* | 32,038 | 4,671,781 | ||||||
Charles River Laboratories International, Inc.†(a)* | 8,606 | 929,620 | ||||||
Eagle Pharmaceuticals, | 39,778 | 2,372,360 | ||||||
Emergent BioSolutions, | 37,850 | 1,531,032 | ||||||
Endo International PLC (Ireland)†(a)(b)* | 222,201 | 1,903,152 | ||||||
Exact Sciences Corp.(a)* | 69,945 | 3,295,808 | ||||||
Exelixis, Inc.†(a)(b)* | 192,358 | 4,660,834 | ||||||
Gilead Sciences, Inc.†(a) | 110,231 | 8,930,916 | ||||||
ImmunoGen, Inc.(a)* | 22,448 | 171,727 | ||||||
Immunomedics, Inc.(a)* | 67,310 | 940,994 | ||||||
Incyte Corp.†* | 26,113 | 3,048,432 | ||||||
Innoviva, Inc.(a)* | 118,672 | 1,675,649 | ||||||
Ionis Pharmaceuticals, | 65,496 | 3,320,647 | ||||||
Jazz Pharmaceuticals PLC (Ireland)†* | 5,822 | 851,468 | ||||||
Johnson & Johnson†(a) | 12,397 | 1,611,734 | ||||||
Kite Pharma, Inc.* | 11,247 | 2,022,323 | ||||||
Ligand Pharmaceuticals, | 11,423 | 1,555,241 | ||||||
Merck & Co., Inc.† | 24,999 | 1,600,686 | ||||||
MiMedx Group, Inc.(a)* | 265,057 | 3,148,877 | ||||||
Myriad Genetics, Inc.†(a)* | 48,418 | 1,751,763 | ||||||
PerkinElmer, Inc.† | 23,242 | 1,603,001 | ||||||
Perrigo Co. PLC (Ireland)(a)(b) | 23,157 | 1,960,240 | ||||||
Phibro Animal Health Corp., Class A(a) | 12,612 | 467,275 | ||||||
Prestige Brands Holdings, | 15,767 | 789,769 | ||||||
Progenics Pharmaceuticals, Inc.(a)* | 20,224 | 148,849 | ||||||
Regeneron Pharmaceuticals, Inc.†(a)(b)* | 6,903 | 3,086,469 | ||||||
Repligen Corp.(a)* | 15,264 | 584,916 | ||||||
Supernus Pharmaceuticals, Inc.(a)* | 25,066 | 1,002,640 | ||||||
United Therapeutics Corp.†(a)* | 23,295 | 2,729,941 | ||||||
Valeant Pharmaceuticals International, Inc. (Canada)* | 28,511 | 408,563 | ||||||
Vanda Pharmaceuticals, Inc.* | 19,078 | 341,496 | ||||||
Vertex Pharmaceuticals, Inc.†* | 23,299 | 3,542,380 | ||||||
Waters Corp.†(a)(b)* | 15,758 | 2,828,876 | ||||||
Xencor, Inc.†* | 26,486 | 607,059 | ||||||
|
| |||||||
97,677,167 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — 9.6% |
| |||||||
Aaron’s, Inc.† | 21,626 | $ | 943,542 | |||||
Advance Auto Parts, Inc.†(a) | 37,255 | 3,695,696 | ||||||
Asbury Automotive Group, Inc.†* | 11,854 | 724,279 | ||||||
AutoNation, Inc.(a)* | 18,725 | 888,688 | ||||||
AutoZone, Inc.†(a)* | 7,738 | 4,604,961 | ||||||
Bed Bath & Beyond, Inc.(a) | 110,226 | 2,587,004 | ||||||
Best Buy Co., Inc.†(a) | 59,933 | 3,413,784 | ||||||
Buckle, Inc. (The)(a) | 12,026 | 202,638 | ||||||
CarMax, Inc.†(a)* | 36,938 | 2,800,270 | ||||||
Chico’s FAS, Inc.(a)(b) | 127,119 | 1,137,715 | ||||||
Dollar General Corp.†(a) | 30,050 | 2,435,552 | ||||||
Dollar Tree, Inc.†* | 21,808 | 1,893,371 | ||||||
Foot Locker, Inc.(a)(b) | 30,199 | 1,063,609 | ||||||
Gap, Inc. (The)(a) | 81,535 | 2,407,729 | ||||||
Genuine Parts Co.(a) | 24,195 | 2,314,252 | ||||||
Home Depot, Inc. (The)†(b) | 40,494 | 6,623,199 | ||||||
JC Penney Co., Inc.(a)* | 334,750 | 1,275,398 | ||||||
L Brands, Inc.†(a) | 52,325 | 2,177,243 | ||||||
LKQ Corp.†* | 77,938 | 2,804,989 | ||||||
Lowe’s Cos., Inc.†(b) | 143,262 | 11,452,364 | ||||||
Macy’s, Inc.†(a) | 13,589 | 296,512 | ||||||
Nutrisystem, Inc.(a) | 51,187 | 2,861,353 | ||||||
Office Depot, Inc.† | 33,001 | 149,825 | ||||||
O’Reilly Automotive, Inc.†(a)* | 17,162 | 3,696,180 | ||||||
PetMed Express, Inc.(a) | 38,632 | 1,280,651 | ||||||
Priceline Group, Inc. | 1,480 | 2,709,614 | ||||||
RH(a)* | 7,250 | 509,820 | ||||||
Ross Stores, Inc.†(a)(b) | 68,847 | 4,445,451 | ||||||
Sally Beauty Holdings, | 1,001 | 19,600 | ||||||
Signet Jewelers Ltd. (Bermuda)(a) | 44,782 | 2,980,242 | ||||||
Tailored Brands, Inc.(a) | 49,886 | �� | 720,354 | |||||
Target Corp.†(a)(b) | 74,898 | 4,419,731 | ||||||
Tiffany & Co.†(a) | 1,368 | 125,555 | ||||||
TJX Cos., Inc. (The)†(a) | 60,925 | 4,492,000 | ||||||
Tractor Supply Co.(a) | 5,045 | 319,298 | ||||||
Urban Outfitters, Inc.(b)* | 13,152 | 314,333 | ||||||
|
| |||||||
84,786,802 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.6% |
| |||||||
Advanced Energy Industries, Inc.†* | 17,458 | 1,409,908 | ||||||
Analog Devices, Inc.(a)(b) | 17,091 | 1,472,731 | ||||||
Applied Materials, Inc.†(b) | 202,916 | 10,569,894 | ||||||
Axcelis Technologies, Inc.* | 31,109 | 850,831 | ||||||
Cabot Microelectronics | 1,941 | 155,144 |
The accompanying notes are an integral part of the financial statements.
74
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor |
| |||||||
Diodes, Inc.(a)* | 9,309 | $ | 278,618 | |||||
Intel Corp.†(a) | 171,771 | 6,541,040 | ||||||
KLA-Tencor Corp.† | 59,382 | 6,294,492 | ||||||
Lam Research Corp.†(b) | 39,866 | 7,376,805 | ||||||
Marvell Technology Group Ltd. (Bermuda)(b) | 43,705 | 782,320 | ||||||
Maxim Integrated Products, Inc.†(a) | 38,911 | 1,856,444 | ||||||
Microchip Technology, | 26,564 | 2,384,916 | ||||||
Micron Technology, Inc.* | 287,569 | 11,310,089 | ||||||
MKS Instruments, Inc.† | 13,306 | 1,256,752 | ||||||
ON Semiconductor | 250,799 | 4,632,258 | ||||||
QUALCOMM, Inc.†(b) | 117,437 | 6,087,934 | ||||||
Rudolph Technologies, Inc.†* | 10,444 | 274,677 | ||||||
Skyworks Solutions, Inc.†(a) | 37,754 | 3,847,133 | ||||||
Teradyne, Inc.†(a) | 29,161 | 1,087,414 | ||||||
Texas Instruments, Inc.†(b) | 38,964 | 3,492,733 | ||||||
Xcerra Corp.(a)* | 36,751 | 361,997 | ||||||
Xilinx, Inc.†(a)(b) | 47,984 | 3,398,707 | ||||||
|
| |||||||
75,722,837 | ||||||||
|
| |||||||
Software & Services — 13.6% |
| |||||||
Accenture PLC, Class A (Ireland)† | 19,569 | 2,643,185 | ||||||
ACI Worldwide, Inc.(a)* | 11,448 | 260,785 | ||||||
Adobe Systems, Inc.†(a)(b)* | 15,736 | 2,347,496 | ||||||
Alphabet, Inc., Class A†(b)* | 6,027 | 5,868,610 | ||||||
Amdocs, Ltd. (Guernsey) | 6,007 | 386,370 | ||||||
ANSYS, Inc.†(a)* | 24,110 | 2,959,020 | ||||||
Appfolio, Inc., Class A(a)* | 3,748 | 179,717 | ||||||
Aspen Technology, Inc.†* | 28,043 | 1,761,381 | ||||||
Automatic Data Processing, Inc.(a)(b) | 26,304 | 2,875,553 | ||||||
AVG Technologies NV (Netherlands)* | 4,473 | 110,707 | ||||||
Blucora, Inc.†(a)* | 78,184 | 1,978,055 | ||||||
Broadridge Financial Solutions, Inc.†(a) | 19,582 | 1,582,617 | ||||||
CA, Inc.†(a) | 113,818 | 3,799,245 | ||||||
CACI International, Inc., Class A(b)* | 11,661 | 1,624,960 | ||||||
Cadence Design Systems, Inc.(a)* | 7,820 | 308,655 | ||||||
Cars.com, Inc.†(a)* | 78,009 | 2,075,819 | ||||||
CDK Global, Inc.†(a)(b) | 42,524 | 2,682,839 | ||||||
CGI Group, Inc., Class A (Canada)* | 2,302 | 119,405 | ||||||
Citrix Systems, Inc.†* | 39,178 | 3,009,654 | ||||||
Convergys Corp.(a) | 19,151 | 495,819 | ||||||
CoStar Group, Inc.(a)* | 1,205 | 323,241 | ||||||
CSRA, Inc.† | 51,658 | 1,667,004 | ||||||
eBay, Inc.†* | 57,407 | 2,207,873 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Electronic Arts, Inc.†(a)* | 73,781 | $ | 8,710,585 | |||||
Facebook, Inc., Class A†(b)* | 21,451 | 3,665,332 | ||||||
Fair Isaac Corp.(a) | 6,115 | 859,158 | ||||||
Fidelity National Information Services, Inc.† | 4,564 | 426,232 | ||||||
Fiserv, Inc.(a)* | 7,424 | 957,399 | ||||||
Guidewire Software, Inc.(a)* | 4,146 | 322,808 | ||||||
IAC/InterActiveCorp.†* | 10,616 | 1,248,229 | ||||||
International Business Machines Corp.† | 45,090 | 6,541,657 | ||||||
Intuit, Inc.† | 58,410 | 8,302,397 | ||||||
j2 Global, Inc.(a)(b) | 41,503 | 3,066,242 | ||||||
Jack Henry & Associates, Inc.(a) | 5,402 | 555,272 | ||||||
LogMeIn, Inc.† | 3 | 330 | ||||||
Manhattan Associates, Inc.†(a)* | 40,643 | 1,689,530 | ||||||
Mastercard, Inc., Class A(b) | 2,314 | 326,737 | ||||||
MAXIMUS, Inc.(a) | 9,815 | 633,068 | ||||||
Microsoft Corp.(b) | 45,124 | 3,361,287 | ||||||
MicroStrategy, Inc., Class A†(a)* | 8,523 | 1,088,472 | ||||||
NIC, Inc.†(a) | 85,767 | 1,470,904 | ||||||
Nuance Communications, Inc.(a)(b)* | 53,683 | 843,897 | ||||||
Open Text Corp. (Canada)(a) | 5,317 | 171,686 | ||||||
Oracle Corp.† | 157,489 | 7,614,593 | ||||||
Paychex, Inc.†(a) | 64,309 | 3,855,968 | ||||||
Pegasystems, Inc.(a) | 8,893 | 512,681 | ||||||
Progress Software Corp.(a)(b) | 41,661 | 1,590,200 | ||||||
Qualys, Inc.(a)* | 1,855 | 96,089 | ||||||
Red Hat, Inc.* | 7,155 | 793,203 | ||||||
Science Applications International Corp.† | 3,809 | 254,632 | ||||||
SS&C Technologies Holdings, | 41,938 | 1,683,811 | ||||||
Stamps.com, Inc.†* | 2,967 | 601,263 | ||||||
Synopsys, Inc.†* | 41,655 | 3,354,477 | ||||||
Total System Services, Inc.(a)(b) | 25,730 | 1,685,315 | ||||||
Trade Desk, Inc. (The), | 48,737 | 2,997,813 | ||||||
Travelport Worldwide Ltd. (Bermuda)(a)(b) | 46,648 | 732,374 | ||||||
VASCO Data Security International, Inc.(a)* | 14,649 | 176,520 | ||||||
VeriSign, Inc.(a)* | 20,863 | 2,219,615 | ||||||
Visa, Inc., Class A(a)(b) | 16,084 | 1,692,680 | ||||||
VMware, Inc., Class A(a)* | 13,925 | 1,520,471 | ||||||
Web.com Group, Inc.†(a)(b)* | 48,334 | 1,208,350 |
The accompanying notes are an integral part of the financial statements.
75
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Western Union Co. (The)(a) | 85,465 | $ | 1,640,928 | |||||
|
| |||||||
119,740,215 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 9.2% |
| |||||||
Anixter International, | 9,630 | 818,550 | ||||||
Apple, Inc.†(a) | 35,821 | 5,520,732 | ||||||
Avnet, Inc.† | 47,953 | 1,884,553 | ||||||
AVX Corp.† | 41,496 | 756,472 | ||||||
Benchmark Electronics, Inc.†* | 45,362 | 1,549,112 | ||||||
Celestica, Inc. (Canada)* | 122 | 1,510 | ||||||
Cisco Systems, Inc.† | 225,170 | 7,572,467 | ||||||
Coherent, Inc.(b)* | 918 | 215,886 | ||||||
Dolby Laboratories, Inc., Class A(a) | 11,397 | 655,555 | ||||||
EchoStar Corp., | 20,621 | 1,180,140 | ||||||
ePlus, Inc.(a)* | 2,357 | 217,905 | ||||||
Extreme Networks, Inc.†(a)* | 65,015 | 773,028 | ||||||
F5 Networks, Inc.†(a)(b)* | 27,027 | 3,258,375 | ||||||
FLIR Systems, Inc.† | 25,282 | 983,723 | ||||||
Harris Corp.†(a) | 46,917 | 6,178,031 | ||||||
Hewlett Packard Enterprise Co.†(a) | 360,638 | 5,304,985 | ||||||
HP, Inc.†(a)(b) | 360,534 | 7,196,259 | ||||||
InterDigital, Inc.† | 8,207 | 605,266 | ||||||
Itron, Inc.(a)* | 6,536 | 506,213 | ||||||
Jabil, Inc.(a) | 25,108 | 716,833 | ||||||
Juniper Networks, Inc.†(a)(b) | 222,004 | 6,178,371 | ||||||
Motorola Solutions, Inc.† | 16,668 | 1,414,613 | ||||||
NetApp, Inc.†(b) | 79,142 | 3,463,254 | ||||||
OSI Systems, Inc.(a)* | 9,176 | 838,411 | ||||||
Plantronics, Inc.† | 12,987 | 574,285 | ||||||
Rogers Corp.(a)* | 4,040 | 538,451 | ||||||
Seagate Technology PLC (Ireland)(a) | 91,272 | 3,027,492 | ||||||
TE Connectivity Ltd. (Switzerland)† | 35,100 | 2,915,406 | ||||||
Trimble, Inc.(a)* | 9,719 | 381,471 | ||||||
VeriFone Systems, Inc.(a)* | 24,312 | 493,047 | ||||||
Viavi Solutions, Inc.(a)* | 61,989 | 586,416 | ||||||
Vishay Intertechnology, | 124,255 | 2,335,994 | ||||||
Western Digital Corp.†(a) | 87,452 | 7,555,853 | ||||||
Xerox Corp.†(a) | 66,301 | 2,207,160 | ||||||
Zebra Technologies Corp., Class A†(a)(b)* | 30,140 | 3,272,601 | ||||||
|
| |||||||
81,678,420 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — 2.2% |
| |||||||
AT&T, Inc.† | 114,667 | $ | 4,491,506 | |||||
CenturyLink, Inc.(a) | 170,008 | 3,213,151 | ||||||
Frontier Communications | 169,369 | 1,996,861 | ||||||
Intelsat SA (Luxembourg)* | 2,462 | 11,571 | ||||||
Level 3 Communications, | 67,942 | 3,620,629 | ||||||
Rogers Communications, Inc., Class B (Canada)† | 17,998 | 927,617 | ||||||
United States Cellular Corp.(a)* | 2,915 | 103,191 | ||||||
Verizon Communications, Inc.† | 106,600 | 5,275,634 | ||||||
|
| |||||||
19,640,160 | ||||||||
|
| |||||||
Transportation — 6.7% |
| |||||||
Alaska Air Group, Inc.†(a)(b) | 53,790 | 4,102,563 | ||||||
Canadian National Railway Co. (Canada)(b) | 40,990 | 3,396,021 | ||||||
Canadian Pacific Railway Ltd. (Canada)(a) | 2,852 | 479,222 | ||||||
CSX Corp.(b) | 56,757 | 3,079,635 | ||||||
Delta Air Lines, Inc.†(a) | 214,612 | 10,348,591 | ||||||
Expeditors International of Washington, Inc.†(a) | 38,254 | 2,289,884 | ||||||
FedEx Corp.† | 22,382 | 5,048,932 | ||||||
Forward Air Corp.(a) | 7,322 | 419,038 | ||||||
Hawaiian Holdings, Inc.(a)(b)* | 52,861 | 1,984,931 | ||||||
Heartland Express, Inc.(a) | 7,286 | 182,733 | ||||||
JB Hunt Transport Services, Inc.(a)(b) | 25,752 | 2,860,532 | ||||||
Kirby Corp.(a)* | 22,847 | 1,506,760 | ||||||
Norfolk Southern Corp.†(b) | 28,323 | 3,745,434 | ||||||
Southwest Airlines Co.† | 126,314 | 7,071,058 | ||||||
Union Pacific Corp.† | 36,772 | 4,264,449 | ||||||
United Continental Holdings, Inc.†* | 234 | 14,246 | ||||||
United Parcel Service, Inc., Class B†(a)(b) | 28,165 | 3,382,335 |
The accompanying notes are an integral part of the financial statements.
76
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Werner Enterprises, Inc.(a) | 30,482 | $ | 1,114,117 | |||||
XPO Logistics, Inc.†* | 61,334 | 4,157,219 | ||||||
|
| |||||||
59,447,700 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,062,499,925 | ||||||
|
| |||||||
Par Value | ||||||||
CORPORATE BONDS AND NOTES — 0.0% |
| |||||||
Capital Goods — 0.0% |
| |||||||
Mueller Industries, Inc. 6.00%, 03/01/2027(a) | $ | 785 | 809 | |||||
|
| |||||||
TOTAL CORPORATE BONDS AND NOTES | 809 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 120.2% |
| 1,062,500,734 | ||||||
|
| |||||||
(Cost $966,769,460) | ||||||||
Number of Shares | ||||||||
SHORT POSITIONS — (60.1)% |
| |||||||
COMMON STOCKS — (60.1)% |
| |||||||
Automobiles & Components — (1.1)% |
| |||||||
American Axle & Manufacturing Holdings, Inc.* | (152,511 | ) | (2,681,143 | ) | ||||
Cooper Tire & Rubber Co. | (69,152 | ) | (2,586,285 | ) | ||||
Ford Motor Co. | (33,058 | ) | (395,704 | ) | ||||
Gentherm, Inc.* | (12,771 | ) | (474,443 | ) | ||||
LCI Industries | (14,516 | ) | (1,681,679 | ) | ||||
Magna International, Inc. (Canada) | (5,897 | ) | (314,782 | ) | ||||
Modine Manufacturing Co.* | (27,637 | ) | (532,012 | ) | ||||
Tesla, Inc.* | (2,780 | ) | (948,258 | ) | ||||
|
| |||||||
(9,614,306 | ) | |||||||
|
| |||||||
Capital Goods — (5.7)% |
| |||||||
AAR Corp. | (19,407 | ) | (733,197 | ) | ||||
Actuant Corp., Class A | (39,543 | ) | (1,012,301 | ) | ||||
Advanced Drainage Systems, Inc. | (22,900 | ) | (463,725 | ) | ||||
Aegion Corp.* | (4,845 | ) | (112,792 | ) | ||||
Aerovironment, Inc.* | (11,961 | ) | (647,329 | ) | ||||
Altra Industrial Motion Corp. | (11,108 | ) | (534,295 | ) | ||||
American Railcar Industries, Inc. | (11,985 | ) | (462,621 | ) | ||||
Apogee Enterprises, Inc. | (5,305 | ) | (256,019 | ) | ||||
Astec Industries, Inc. | (16,153 | ) | (904,730 | ) | ||||
Astronics Corp.* | (6,601 | ) | (196,380 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Axon Enterprise, Inc.* | (152,981 | ) | $ | (3,468,079 | ) | |||
Beacon Roofing Supply, Inc.* | (41,059 | ) | (2,104,274 | ) | ||||
Carlisle Cos., Inc. | (3,222 | ) | (323,134 | ) | ||||
CIRCOR International, Inc. | (6,706 | ) | (365,008 | ) | ||||
Columbus McKinnon Corp. | (6,203 | ) | (234,908 | ) | ||||
Cubic Corp. | (17,186 | ) | (876,486 | ) | ||||
Douglas Dynamics, Inc. | (7,361 | ) | (290,023 | ) | ||||
Encore Wire Corp. | (8,019 | ) | (359,051 | ) | ||||
ESCO Technologies, Inc. | (3,154 | ) | (189,082 | ) | ||||
Esterline Technologies Corp.* | (2,204 | ) | (198,691 | ) | ||||
Federal Signal Corp. | (8,924 | ) | (189,903 | ) | ||||
Franklin Electric Co., Inc. | (13,655 | ) | (612,427 | ) | ||||
General Cable Corp. | (25,324 | ) | (477,357 | ) | ||||
Granite Construction, Inc. | (18,524 | ) | (1,073,466 | ) | ||||
Herc Holdings, Inc.* | (3,489 | ) | (171,415 | ) | ||||
Hexcel Corp. | (21,652 | ) | (1,243,258 | ) | ||||
Insteel Industries, Inc. | (5,418 | ) | (141,464 | ) | ||||
John Bean Technologies Corp. | (19,870 | ) | (2,008,857 | ) | ||||
Johnson Controls International PLC (Ireland) | (36,043 | ) | (1,452,172 | ) | ||||
Kaman Corp. | (5,556 | ) | (309,914 | ) | ||||
KBR, Inc. | (29,807 | ) | (532,949 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (201,791 | ) | (2,639,426 | ) | ||||
Lydall, Inc.* | (6,949 | ) | (398,178 | ) | ||||
Manitowoc Co., Inc. (The)* | (219,232 | ) | (1,973,088 | ) | ||||
Masonite International Corp. (Canada)* | (11,022 | ) | (762,722 | ) | ||||
MasTec, Inc.* | (4,241 | ) | (196,782 | ) | ||||
Mercury Systems, Inc.* | (5,694 | ) | (295,405 | ) | ||||
Middleby Corp. (The)* | (23,695 | ) | (3,036,988 | ) | ||||
MRC Global, Inc.* | (92,507 | ) | (1,617,947 | ) | ||||
NN, Inc. | (3,947 | ) | (114,463 | ) | ||||
NOW, Inc.* | (227,903 | ) | (3,147,340 | ) | ||||
Orbital ATK, Inc. | (17,299 | ) | (2,303,535 | ) | ||||
Park-Ohio Holdings Corp. | (11 | ) | (502 | ) | ||||
Ply Gem Holdings, Inc.* | (4,940 | ) | (84,227 | ) | ||||
Proto Labs, Inc.* | (2,951 | ) | (236,965 | ) | ||||
Quanex Building Products Corp. | (5,334 | ) | (122,415 | ) | ||||
Raven Industries, Inc. | (7,195 | ) | (233,118 | ) | ||||
REV Group, Inc. | (26,774 | ) | (770,020 | ) | ||||
Simpson Manufacturing Co., Inc. | (28,297 | ) | (1,387,685 | ) | ||||
SiteOne Landscape Supply, Inc.* | (10,632 | ) | (617,719 | ) | ||||
Standex International Corp. | (4,186 | ) | (444,553 | ) |
The accompanying notes are an integral part of the financial statements.
77
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Sunrun, Inc.* | (316,682 | ) | $ | (1,757,585 | ) | |||
Teledyne Technologies, Inc.* | (10,340 | ) | (1,645,921 | ) | ||||
Tennant Co. | (4,832 | ) | (319,878 | ) | ||||
Thermon Group Holdings, Inc.* | (5,227 | ) | (94,034 | ) | ||||
Timken Co. (The) | (4,377 | ) | (212,503 | ) | ||||
Titan International, Inc. | (23,014 | ) | (233,592 | ) | ||||
Universal Forest Products, Inc. | (12,134 | ) | (1,191,073 | ) | ||||
Wabtec Corp. | (8,915 | ) | (675,311 | ) | ||||
Watsco, Inc. | (957 | ) | (154,144 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (102,251 | ) | (961,159 | ) | ||||
Xylem, Inc. | (11,031 | ) | (690,872 | ) | ||||
|
| |||||||
(50,264,457 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (2.0)% |
| |||||||
ABM Industries, Inc. | (14,435 | ) | (602,084 | ) | ||||
ACCO Brands Corp.* | (35,170 | ) | (418,523 | ) | ||||
Advanced Disposal Services, Inc.* | (57,904 | ) | (1,458,602 | ) | ||||
Advisory Board Co. (The)* | (23,476 | ) | (1,258,900 | ) | ||||
Clean Harbors, Inc.* | (9,500 | ) | (538,650 | ) | ||||
Covanta Holding Corp. | (269,051 | ) | (3,995,407 | ) | ||||
Exponent, Inc. | (1,792 | ) | (132,429 | ) | ||||
FTI Consulting, Inc.* | (45,415 | ) | (1,611,324 | ) | ||||
Healthcare Services Group, Inc. | (26,062 | ) | (1,406,566 | ) | ||||
HNI Corp. | (30,568 | ) | (1,267,655 | ) | ||||
Huron Consulting Group, Inc.* | (9,123 | ) | (312,919 | ) | ||||
ICF International, Inc.* | (2,990 | ) | (161,310 | ) | ||||
InnerWorkings, Inc.* | (7,781 | ) | (87,536 | ) | ||||
Knoll, Inc. | (25,314 | ) | (506,280 | ) | ||||
Matthews International Corp., Class A | (4,442 | ) | (276,514 | ) | ||||
Multi-Color Corp. | (10,192 | ) | (835,234 | ) | ||||
Navigant Consulting, Inc.* | (7,195 | ) | (121,739 | ) | ||||
Ritchie Bros Auctioneers, Inc. (Canada) | (11,914 | ) | (376,721 | ) | ||||
RR Donnelley & Sons Co. | (37,067 | ) | (381,790 | ) | ||||
Steelcase, Inc., Class A | (29,578 | ) | (455,501 | ) | ||||
US Ecology, Inc. | (276 | ) | (14,849 | ) | ||||
WageWorks, Inc.* | (22,501 | ) | (1,365,811 | ) | ||||
|
| |||||||
(17,586,344 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.6)% |
| |||||||
Acushnet Holdings Corp | (22,314 | ) | (396,297 | ) | ||||
American Outdoor Brands Corp.* | (82,413 | ) | (1,256,798 | ) | ||||
Callaway Golf Co. | (46,382 | ) | (669,292 | ) | ||||
Canada Goose Holdings, Inc. (Canada)* | (53,146 | ) | (1,092,150 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Deckers Outdoor Corp.* | (23,663 | ) | $ | (1,618,786 | ) | |||
G-III Apparel Group Ltd.* | (36,432 | ) | (1,057,257 | ) | ||||
Hanesbrands, Inc. | (42,233 | ) | (1,040,621 | ) | ||||
Mattel, Inc. | (179,561 | ) | (2,779,604 | ) | ||||
Mohawk Industries, Inc.* | (10,738 | ) | (2,657,762 | ) | ||||
Movado Group, Inc. | (2,048 | ) | (57,344 | ) | ||||
Polaris Industries, Inc. | (1,437 | ) | (150,353 | ) | ||||
Skechers U.S.A., Inc., Class A* | (29,185 | ) | (732,252 | ) | ||||
Under Armour, Inc., Class C* | (44,469 | ) | (667,924 | ) | ||||
|
| |||||||
(14,176,440 | ) | |||||||
|
| |||||||
Consumer Services — (3.8)% |
| |||||||
Belmond Ltd., Class A (Bermuda)* | (26,091 | ) | (356,142 | ) | ||||
Bright Horizons Family Solutions, Inc.* | (11,020 | ) | (950,034 | ) | ||||
Carnival Corp. (Panama) | (4,808 | ) | (310,453 | ) | ||||
Carrols Restaurant Group, Inc.* | (29,301 | ) | (319,381 | ) | ||||
Chegg, Inc.* | (158,872 | ) | (2,357,661 | ) | ||||
Fiesta Restaurant Group, Inc.* | (29,406 | ) | (558,714 | ) | ||||
Houghton Mifflin Harcourt Co.* | (163,878 | ) | (1,974,730 | ) | ||||
Hyatt Hotels Corp., Class A* | (5,130 | ) | (316,983 | ) | ||||
International Game Technology PLC (United Kingdom) | (65,042 | ) | (1,596,781 | ) | ||||
Laureate Education, Inc., Class A* | (22,446 | ) | (326,589 | ) | ||||
Marcus Corp. (The) | (280 | ) | (7,756 | ) | ||||
Monarch Casino & Resort, Inc.* | (554 | ) | (21,900 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (85,814 | ) | (4,638,247 | ) | ||||
Papa John’s International, Inc. | (18,895 | ) | (1,380,658 | ) | ||||
Planet Fitness, Inc., Class A | (11,787 | ) | (318,013 | ) | ||||
Red Robin Gourmet Burgers, Inc.* | (12,435 | ) | (833,145 | ) | ||||
Red Rock Resorts, Inc., Class A | (49,606 | ) | (1,148,875 | ) | ||||
Restaurant Brands International, Inc. (Canada) | (5,273 | ) | (336,839 | ) | ||||
SeaWorld Entertainment, Inc. | (380,016 | ) | (4,936,408 | ) | ||||
Shake Shack, Inc., Class A* | (167,407 | ) | (5,562,935 | ) | ||||
Texas Roadhouse, Inc. | (20,601 | ) | (1,012,333 | ) | ||||
Wendy’s Co. (The) | (188,854 | ) | (2,932,903 | ) | ||||
Wingstop, Inc. | (49,984 | ) | (1,661,968 | ) | ||||
|
| |||||||
(33,859,448 | ) | |||||||
|
| |||||||
Energy — (2.7)% | ||||||||
Andeavor | (47,096 | ) | (4,857,952 | ) | ||||
Cenovus Energy, Inc. (Canada) | (229,652 | ) | (2,301,113 | ) | ||||
Cheniere Energy, Inc.* | (11,901 | ) | (536,021 | ) | ||||
DHT Holdings, Inc. (Marshall Islands) | (22,647 | ) | (90,135 | ) |
The accompanying notes are an integral part of the financial statements.
78
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Frank’s International NV (Netherlands) | (64,153 | ) | $ | (495,261 | ) | |||
Green Plains, Inc. | (132,021 | ) | (2,660,223 | ) | ||||
Helix Energy Solutions Group, Inc.* | (297,928 | ) | (2,201,688 | ) | ||||
Helmerich & Payne, Inc. | (17,130 | ) | (892,644 | ) | ||||
Mammoth Energy Services, Inc.* | (605 | ) | (10,200 | ) | ||||
Patterson-UTI Energy, Inc. | (246,030 | ) | (5,151,868 | ) | ||||
ProPetro Holding Corp.* | (62,310 | ) | (894,148 | ) | ||||
SEACOR Holdings, Inc.* | (4,952 | ) | (228,337 | ) | ||||
SemGroup Corp., Class A | (45,407 | ) | (1,305,451 | ) | ||||
Targa Resources Corp | (22,698 | ) | (1,073,615 | ) | ||||
Unit Corp.* | (28,695 | ) | (590,543 | ) | ||||
US Silica Holdings, Inc. | (6,597 | ) | (204,969 | ) | ||||
Williams Cos., Inc. (The) | (11,924 | ) | (357,839 | ) | ||||
|
| |||||||
(23,852,007 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.6)% |
| |||||||
Casey’s General Stores, Inc. | (6,638 | ) | (726,529 | ) | ||||
Performance Food Group Co.* | (23,775 | ) | (671,644 | ) | ||||
PriceSmart, Inc. | (16,826 | ) | (1,501,720 | ) | ||||
Rite Aid Corp.* | (804,435 | ) | (1,576,693 | ) | ||||
Smart & Final Stores, Inc.* | (70,407 | ) | (552,695 | ) | ||||
SpartanNash Co. | (4,714 | ) | (124,308 | ) | ||||
Weis Markets, Inc. | (6,320 | ) | (274,920 | ) | ||||
|
| |||||||
(5,428,509 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (3.1)% |
| |||||||
B&G Foods, Inc. | (63,173 | ) | (2,012,060 | ) | ||||
Blue Buffalo Pet Products, Inc.* | (145,395 | ) | (4,121,948 | ) | ||||
Bunge Ltd. (Bermuda) | (39,445 | ) | (2,739,850 | ) | ||||
Calavo Growers, Inc. | (18,327 | ) | (1,341,536 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (9,284 | ) | (2,003,023 | ) | ||||
Cott Corp. (Canada) | (10,575 | ) | (158,731 | ) | ||||
Farmer Brothers Co.* | (6,664 | ) | (218,912 | ) | ||||
Freshpet, Inc.* | (5,809 | ) | (90,911 | ) | ||||
J&J Snack Foods Corp | (7,219 | ) | (947,855 | ) | ||||
John B Sanfilippo & Son, Inc. | (11,955 | ) | (804,691 | ) | ||||
McCormick & Co., Inc., non-voting shares | (5,455 | ) | (559,901 | ) | ||||
MGP Ingredients, Inc. | (21,317 | ) | (1,292,450 | ) | ||||
Pilgrim’s Pride Corp.* | (34,659 | ) | (984,662 | ) | ||||
Snyder’s-Lance, Inc. | (6,626 | ) | (252,716 | ) | ||||
SunOpta, Inc. (Canada)* | (8,629 | ) | (75,072 | ) | ||||
Tootsie Roll Industries, Inc. | (4,768 | ) | (181,184 | ) | ||||
Tyson Foods, Inc., Class A | (106,130 | ) | (7,476,858 | ) | ||||
Universal Corp. | (17,751 | ) | (1,017,132 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Vector Group Ltd. | (39,298 | ) | $ | (804,438 | ) | |||
|
| |||||||
(27,083,930 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (5.5)% |
| |||||||
Alere, Inc.* | (60,118 | ) | (3,065,417 | ) | ||||
Almost Family, Inc.* | (7,784 | ) | (418,001 | ) | ||||
athenahealth, Inc.* | (15,664 | ) | (1,947,975 | ) | ||||
AtriCure, Inc.* | (35,876 | ) | (802,546 | ) | ||||
BioTelemetry, Inc.* | (21,560 | ) | (711,480 | ) | ||||
Castlight Health, Inc., Class B* | (77 | ) | (331 | ) | ||||
CryoLife, Inc.* | (3,711 | ) | (84,240 | ) | ||||
DaVita, Inc.* | (83,759 | ) | (4,974,447 | ) | ||||
DENTSPLY SIRONA, Inc. | (80,929 | ) | (4,840,364 | ) | ||||
DexCom, Inc.* | (44,767 | ) | (2,190,226 | ) | ||||
Diplomat Pharmacy, Inc.* | (34,182 | ) | (707,909 | ) | ||||
Ensign Group, Inc. (The) | (50,417 | ) | (1,138,920 | ) | ||||
Evolent Health, Inc., Class A* | (139,411 | ) | (2,481,516 | ) | ||||
GenMark Diagnostics, Inc.* | (39,446 | ) | (379,865 | ) | ||||
Henry Schein, Inc.* | (11,617 | ) | (952,478 | ) | ||||
HMS Holdings Corp.* | (22,067 | ) | (438,251 | ) | ||||
ICU Medical, Inc.* | (9,285 | ) | (1,725,617 | ) | ||||
Inovalon Holdings, Inc., Class A* | (7,685 | ) | (131,029 | ) | ||||
Insulet Corp.* | (32,603 | ) | (1,795,773 | ) | ||||
iRhythm Technologies, Inc.* | (16,636 | ) | (863,076 | ) | ||||
K2M Group Holdings, Inc.* | (52,588 | ) | (1,115,391 | ) | ||||
Natus Medical, Inc.* | (57,209 | ) | (2,145,338 | ) | ||||
Nevro Corp.* | (31,028 | ) | (2,819,825 | ) | ||||
Novocure Ltd. (Jersey)* | (51,384 | ) | (1,019,972 | ) | ||||
NuVasive, Inc.* | (13,717 | ) | (760,745 | ) | ||||
NxStage Medical, Inc.* | (69,785 | ) | (1,926,066 | ) | ||||
OraSure Technologies, Inc.* | (44,029 | ) | (990,652 | ) | ||||
Owens & Minor, Inc. | (70,712 | ) | (2,064,790 | ) | ||||
Penumbra, Inc.* | (9,386 | ) | (847,556 | ) | ||||
PharMerica Corp.* | (20,022 | ) | (586,645 | ) | ||||
Quidel Corp.* | (7,449 | ) | (326,713 | ) | ||||
Select Medical Holdings Corp.* | (20,341 | ) | (390,547 | ) | ||||
Tactile Systems Technology, Inc.* | (7,340 | ) | (227,173 | ) | ||||
Teladoc, Inc.* | (95,616 | ) | (3,169,670 | ) | ||||
Varex Imaging Corp.* | (10,968 | ) | (371,157 | ) | ||||
Vocera Communications, Inc.* | (7,577 | ) | (237,690 | ) | ||||
|
| |||||||
(48,649,391 | ) | |||||||
|
| |||||||
Household & Personal Products — (1.1)% |
| |||||||
Coty, Inc., Class A | (94,640 | ) | (1,564,399 | ) | ||||
elf Beauty, Inc.* | (92,483 | ) | (2,085,492 | ) |
The accompanying notes are an integral part of the financial statements.
79
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Revlon, Inc., Class A* | (6,790 | ) | $ | (166,694 | ) | |||
Spectrum Brands Holdings, Inc. | (42,048 | ) | (4,453,724 | ) | ||||
WD-40 Co. | (14,117 | ) | (1,579,692 | ) | ||||
|
| |||||||
(9,850,001 | ) | |||||||
|
| |||||||
Materials — (3.2)% | ||||||||
Agrium, Inc. (Canada) | (43,828 | ) | (4,698,800 | ) | ||||
Albemarle Corp. | (1,390 | ) | (189,471 | ) | ||||
Avery Dennison Corp. | (4,306 | ) | (423,452 | ) | ||||
Axalta Coating Systems Ltd. (Bermuda)* | (5,942 | ) | (171,843 | ) | ||||
Balchem Corp. | (12,587 | ) | (1,023,197 | ) | ||||
Calgon Carbon Corp. | (51,685 | ) | (1,106,059 | ) | ||||
Clearwater Paper Corp.* | (3,086 | ) | (151,986 | ) | ||||
Deltic Timber Corp. | (1,193 | ) | (105,497 | ) | ||||
DowDuPont, Inc. | (8,554 | ) | (592,193 | ) | ||||
Ferro Corp.* | (62,396 | ) | (1,391,431 | ) | ||||
GCP Applied Technologies, Inc.* | (50,971 | ) | (1,564,810 | ) | ||||
Graphic Packaging Holding Co. | (49,909 | ) | (696,231 | ) | ||||
HB Fuller Co. | (27,245 | ) | (1,581,845 | ) | ||||
Innospec, Inc. | (18,048 | ) | (1,112,659 | ) | ||||
International Flavors & Fragrances, Inc | (2,758 | ) | (394,146 | ) | ||||
International Paper Co. | (10,057 | ) | (571,439 | ) | ||||
KapStone Paper and Packaging Corp. | (19,685 | ) | (423,031 | ) | ||||
Kraton Corp.* | (36,349 | ) | (1,469,954 | ) | ||||
Monsanto Co | (6,242 | ) | (747,916 | ) | ||||
Owens-Illinois, Inc.* | (120,947 | ) | (3,043,027 | ) | ||||
PH Glatfelter Co. | (22,479 | ) | (437,217 | ) | ||||
Sherwin-Williams Co. (The) | (6,729 | ) | (2,409,251 | ) | ||||
Silgan Holdings, Inc. | (41,099 | ) | (1,209,544 | ) | ||||
Sonoco Products Co. | (48,848 | ) | (2,464,382 | ) | ||||
Tredegar Corp. | (1,134 | ) | (20,412 | ) | ||||
|
| |||||||
(27,999,793 | ) | |||||||
|
| |||||||
Media — (2.0)% | ||||||||
AMC Entertainment Holdings, Inc., Class A | (226,480 | ) | (3,329,256 | ) | ||||
Cable One, Inc. | (3,874 | ) | (2,797,493 | ) | ||||
Clear Channel Outdoor Holdings, Inc., Class A | (10,077 | ) | (46,858 | ) | ||||
EW Scripps Co. (The), Class A* | (30,989 | ) | (592,200 | ) | ||||
Gray Television, Inc.* | (54,203 | ) | (850,987 | ) | ||||
John Wiley & Sons, Inc., Class A | (26,815 | ) | (1,434,602 | ) | ||||
Live Nation Entertainment, Inc.* | (11,171 | ) | (486,497 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Madison Square Garden Co. (The), Class A* | (12,408 | ) | $ | (2,656,553 | ) | |||
New Media Investment Group, Inc. | (19,967 | ) | (295,312 | ) | ||||
Nexstar Media Group, Inc., Class A | (13,780 | ) | (858,494 | ) | ||||
Regal Entertainment Group, Class A | (174,886 | ) | (2,798,176 | ) | ||||
Scholastic Corp. | (1,332 | ) | (49,550 | ) | ||||
Shaw Communications, Inc., Class B (Canada) | (15,739 | ) | (362,154 | ) | ||||
Time, Inc. | (45,062 | ) | (608,337 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (23,601 | ) | (555,804 | ) | ||||
|
| |||||||
(17,722,273 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (4.8)% |
| |||||||
Accelerate Diagnostics, Inc.* | (74,551 | ) | (1,673,670 | ) | ||||
Achaogen, Inc.* | (40,655 | ) | (648,447 | ) | ||||
Achillion Pharmaceuticals, Inc.* | (31,110 | ) | (139,684 | ) | ||||
Aclaris Therapeutics, Inc.* | (38,093 | ) | (983,180 | ) | ||||
Aduro Biotech, Inc.* | (5,919 | ) | (63,037 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (7,316 | ) | (355,558 | ) | ||||
Akcea Therapeutics, Inc.* | (3,965 | ) | (109,712 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (36,135 | ) | (442,654 | ) | ||||
Amphastar Pharmaceuticals, Inc.* | (6,626 | ) | (118,407 | ) | ||||
ANI Pharmaceuticals, Inc.* | (9,006 | ) | (472,725 | ) | ||||
Bio-Rad Laboratories, Inc., Class A* | (10,942 | ) | (2,431,531 | ) | ||||
Bruker Corp. | (68,144 | ) | (2,027,284 | ) | ||||
Cambrex Corp.* | (2,005 | ) | (110,275 | ) | ||||
Coherus Biosciences, Inc.* | (61,615 | ) | (822,560 | ) | ||||
Cytokinetics, Inc.* | (15,510 | ) | (224,895 | ) | ||||
CytomX Therapeutics, Inc.* | (8,022 | ) | (145,760 | ) | ||||
Dermira, Inc.* | (77,863 | ) | (2,102,301 | ) | ||||
Editas Medicine, Inc.* | (50,009 | ) | (1,200,716 | ) | ||||
Epizyme, Inc.* | (6,352 | ) | (121,006 | ) | ||||
Five Prime Therapeutics, Inc.* | (27,555 | ) | (1,127,275 | ) | ||||
Flexion Therapeutics, Inc.* | (23,778 | ) | (574,952 | ) | ||||
Heron Therapeutics, Inc.* | (113,463 | ) | (1,832,428 | ) | ||||
Illumina, Inc.* | (19,036 | ) | (3,791,971 | ) | ||||
Insmed, Inc.* | (30,597 | ) | (954,932 | ) | ||||
Intra-Cellular Therapies, Inc.* | (3,165 | ) | (49,944 | ) | ||||
La Jolla Pharmaceutical Co.* | (45,223 | ) | (1,572,856 | ) | ||||
Lexicon Pharmaceuticals, Inc.* | (9,474 | ) | (116,435 | ) | ||||
Luminex Corp. | (15,404 | ) | (313,163 | ) | ||||
MacroGenics, Inc.* | (9,705 | ) | (179,348 | ) | ||||
Medicines Co. (The)* | (52,441 | ) | (1,942,415 | ) | ||||
Momenta Pharmaceuticals, Inc.* | (22,544 | ) | (417,064 | ) |
The accompanying notes are an integral part of the financial statements.
80
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & |
| |||||||
Natera, Inc.* | (628 | ) | $ | (8,095 | ) | |||
Nektar Therapeutics* | (188,491 | ) | (4,523,784 | ) | ||||
NeoGenomics, Inc.* | (83,073 | ) | (924,602 | ) | ||||
Pacific Biosciences of California, Inc.* | (22,659 | ) | (118,960 | ) | ||||
Pacira Pharmaceuticals, Inc.* | (16,966 | ) | (637,073 | ) | ||||
Paratek Pharmaceuticals, Inc.* | (21,064 | ) | (528,706 | ) | ||||
QIAGEN NV (Netherlands) | (35,950 | ) | (1,132,425 | ) | ||||
Radius Health, Inc.* | (41,659 | ) | (1,605,954 | ) | ||||
Reata Pharmaceuticals, Inc., Class A* | (1,663 | ) | (51,719 | ) | ||||
Revance Therapeutics, Inc.* | (23,639 | ) | (651,254 | ) | ||||
Seres Therapeutics, Inc.* | (114 | ) | (1,829 | ) | ||||
Synergy Pharmaceuticals, Inc.* | (394,688 | ) | (1,144,595 | ) | ||||
TG Therapeutics, Inc.* | (13,857 | ) | (164,205 | ) | ||||
TherapeuticsMD, Inc.* | (94,704 | ) | (500,984 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (45,064 | ) | (1,542,991 | ) | ||||
Ultragenyx Pharmaceutical, Inc.* | (15,451 | ) | (822,920 | ) | ||||
VWR Corp.* | (22,609 | ) | (748,584 | ) | ||||
WaVe Life Sciences Ltd. (Singapore)* | (95 | ) | (2,066 | ) | ||||
|
| |||||||
(42,176,931 | ) | |||||||
|
| |||||||
Retailing — (4.6)% | ||||||||
Abercrombie & Fitch Co., Class A | (146,721 | ) | (2,118,651 | ) | ||||
American Eagle Outfitters, Inc. | (278,492 | ) | (3,982,436 | ) | ||||
At Home Group, Inc.* | (20,135 | ) | (459,883 | ) | ||||
Barnes & Noble, Inc. | (7,320 | ) | (55,632 | ) | ||||
Burlington Stores, Inc.* | (10,656 | ) | (1,017,222 | ) | ||||
Caleres, Inc. | (18,622 | ) | (568,343 | ) | ||||
Camping World Holdings, Inc., Class A | (25,806 | ) | (1,051,336 | ) | ||||
Children’s Place, Inc. (The) | (19,810 | ) | (2,340,552 | ) | ||||
Core-Mark Holding Co., Inc. | (11,549 | ) | (371,185 | ) | ||||
DSW, Inc., Class A | (28,396 | ) | (609,946 | ) | ||||
Duluth Holdings, Inc., Class B* | (5,888 | ) | (119,468 | ) | ||||
Express, Inc.* | (33,852 | ) | (228,840 | ) | ||||
Five Below, Inc.* | (65,394 | ) | (3,588,823 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (49,351 | ) | (1,921,234 | ) | ||||
GameStop Corp., Class A | (101,915 | ) | (2,105,564 | ) | ||||
Group 1 Automotive, Inc. | (17,611 | ) | (1,276,093 | ) | ||||
Guess?, Inc. | (286,550 | ) | (4,879,946 | ) | ||||
Lithia Motors, Inc., Class A | (19,937 | ) | (2,398,620 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Lumber Liquidators Holdings, Inc.* | (20,606 | ) | $ | (803,222 | ) | |||
Murphy USA, Inc.* | (28,287 | ) | (1,951,803 | ) | ||||
Netflix, Inc.* | (494 | ) | (89,587 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (76,844 | ) | (3,565,562 | ) | ||||
Pool Corp. | (7,116 | ) | (769,738 | ) | ||||
Select Comfort Corp.* | (10,691 | ) | (331,956 | ) | ||||
Shutterfly, Inc.* | (20,205 | ) | (979,538 | ) | ||||
Sonic Automotive, Inc., Class A | (29,404 | ) | (599,842 | ) | ||||
Tile Shop Holdings, Inc. | (19,337 | ) | (245,580 | ) | ||||
Wayfair, Inc., Class A* | (5,166 | ) | (348,188 | ) | ||||
Williams-Sonoma, Inc. | (36,064 | ) | (1,798,151 | ) | ||||
|
| |||||||
(40,576,941 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (2.1)% |
| |||||||
Advanced Micro Devices, Inc.* | (193,247 | ) | (2,463,899 | ) | ||||
Cavium, Inc.* | (28,966 | ) | (1,910,018 | ) | ||||
Cohu, Inc. | (2,785 | ) | (66,394 | ) | ||||
Cree, Inc.* | (13,226 | ) | (372,841 | ) | ||||
Cypress Semiconductor Corp. | (41,850 | ) | (628,587 | ) | ||||
FormFactor, Inc.* | (28,925 | ) | (487,386 | ) | ||||
Inphi Corp.* | (116,349 | ) | (4,617,892 | ) | ||||
Integrated Device Technology, Inc.* | (96,104 | ) | (2,554,444 | ) | ||||
Lattice Semiconductor Corp.* | (141,643 | ) | (737,960 | ) | ||||
MaxLinear, Inc.* | (41,685 | ) | (990,019 | ) | ||||
Nanometrics, Inc.* | (8,347 | ) | (240,394 | ) | ||||
PDF Solutions, Inc.* | (6,762 | ) | (104,743 | ) | ||||
Photronics, Inc.* | (1,846 | ) | (16,337 | ) | ||||
Power Integrations, Inc. | (23,557 | ) | (1,724,372 | ) | ||||
Veeco Instruments, Inc.* | (47,915 | ) | (1,025,381 | ) | ||||
Xperi Corp. | (28,977 | ) | (733,118 | ) | ||||
|
| |||||||
(18,673,785 | ) | |||||||
|
| |||||||
Software & Services — (8.3)% |
| |||||||
8x8, Inc.* | (51,312 | ) | (692,712 | ) | ||||
Acxiom Corp.* | (27,933 | ) | (688,269 | ) | ||||
Alliance Data Systems Corp. | (22,898 | ) | (5,073,052 | ) | ||||
Autodesk, Inc.* | (10,863 | ) | (1,219,480 | ) | ||||
Black Knight Financial Services, Inc., Class A* | (49,952 | ) | (2,150,434 | ) | ||||
Blackhawk Network Holdings, Inc.* | (69,002 | ) | (3,022,288 | ) | ||||
Booz Allen Hamilton Holding Corp. | (19,925 | ) | (744,996 | ) | ||||
Box, Inc., Class A* | (9,621 | ) | (185,878 | ) | ||||
BroadSoft, Inc.* | (35,242 | ) | (1,772,673 | ) | ||||
Callidus Software, Inc.* | (60,293 | ) | (1,486,223 | ) | ||||
Carbonite, Inc.* | (29,921 | ) | (658,262 | ) |
The accompanying notes are an integral part of the financial statements.
81
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Cardtronics PLC, Class A (United Kingdom)* | (97,981 | ) | $ | (2,254,543 | ) | |||
Conduent, Inc.* | (21,946 | ) | (343,894 | ) | ||||
Cornerstone OnDemand, Inc.* | (24,578 | ) | (998,113 | ) | ||||
Coupa Software, Inc.* | (9,749 | ) | (303,681 | ) | ||||
DST Systems, Inc. | (22,180 | ) | (1,217,238 | ) | ||||
DXC Technology Co. | (34,252 | ) | (2,941,562 | ) | ||||
Ellie Mae, Inc.* | (23,986 | ) | (1,969,970 | ) | ||||
Etsy, Inc.* | (18,744 | ) | (316,399 | ) | ||||
Euronet Worldwide, Inc.* | (7,152 | ) | (677,938 | ) | ||||
Everbridge, Inc.* | (5,480 | ) | (144,782 | ) | ||||
FireEye, Inc.* | (178,201 | ) | (2,988,431 | ) | ||||
Gartner, Inc.* | (11,733 | ) | (1,459,703 | ) | ||||
Gigamon, Inc.* | (76,239 | ) | (3,213,474 | ) | ||||
Globant SA (Luxembourg)* | (16,431 | ) | (658,390 | ) | ||||
Gogo, Inc.* | (187,238 | ) | (2,211,281 | ) | ||||
GTT Communications, Inc.* | (14,886 | ) | (471,142 | ) | ||||
Hortonworks, Inc.* | (84,866 | ) | (1,438,479 | ) | ||||
HubSpot, Inc.* | (11,552 | ) | (970,946 | ) | ||||
Imperva, Inc.* | (19,798 | ) | (859,233 | ) | ||||
Instructure, Inc.* | (28,649 | ) | (949,714 | ) | ||||
MuleSoft, Inc., Class A* | (16,303 | ) | (328,342 | ) | ||||
Pandora Media, Inc.* | (496,344 | ) | (3,821,849 | ) | ||||
PROS Holdings, Inc.* | (45,123 | ) | (1,088,818 | ) | ||||
Rapid7, Inc.* | (22,806 | ) | (401,386 | ) | ||||
SecureWorks Corp., Class A* | (15,456 | ) | (190,882 | ) | ||||
Silver Spring Networks, Inc.* | (8,095 | ) | (130,896 | ) | ||||
Splunk, Inc.* | (46,407 | ) | (3,082,817 | ) | ||||
Sykes Enterprises, Inc.* | (9,864 | ) | (287,634 | ) | ||||
Teradata Corp.* | (115,747 | ) | (3,911,091 | ) | ||||
TiVo Corp. | (17,006 | ) | (337,569 | ) | ||||
Twilio, Inc., Class A* | (13,213 | ) | (394,408 | ) | ||||
Twitter, Inc.* | (12,748 | ) | (215,059 | ) | ||||
Ultimate Software Group, Inc. (The)* | (8,935 | ) | (1,694,076 | ) | ||||
Vantiv, Inc., Class A* | (24,118 | ) | (1,699,595 | ) | ||||
Verint Systems, Inc.* | (9,077 | ) | (379,872 | ) | ||||
Virtusa Corp.* | (50,549 | ) | (1,909,741 | ) | ||||
Workday, Inc., Class A* | (14,427 | ) | (1,520,462 | ) | ||||
Workiva, Inc.* | (14,604 | ) | (304,493 | ) | ||||
Zendesk, Inc.* | (139,572 | ) | (4,062,941 | ) | ||||
Zynga, Inc., Class A* | (839,118 | ) | (3,171,866 | ) | ||||
|
| |||||||
(73,016,977 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (4.1)% |
| |||||||
3D Systems Corp.* | (92,242 | ) | (1,235,120 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Belden, Inc. | (18,015 | ) | $ | (1,450,748 | ) | |||
BlackBerry Ltd. (Canada)* | (1,742 | ) | (19,476 | ) | ||||
Corning, Inc. | (25,290 | ) | (756,677 | ) | ||||
CTS Corp. | (16 | ) | (386 | ) | ||||
Diebold Nixdorf, Inc. | (53,363 | ) | (1,219,345 | ) | ||||
FARO Technologies, Inc.* | (1,143 | ) | (43,720 | ) | ||||
Finisar Corp.* | (124,946 | ) | (2,770,053 | ) | ||||
Fitbit, Inc., Class A* | (449,596 | ) | (3,129,188 | ) | ||||
II-VI, Inc.* | (68,603 | ) | (2,823,014 | ) | ||||
Infinera Corp.* | (417,484 | ) | (3,703,083 | ) | ||||
Insight Enterprises, Inc.* | (5,103 | ) | (234,330 | ) | ||||
Keysight Technologies, Inc.* | (12,286 | ) | (511,835 | ) | ||||
Kimball Electronics, Inc.* | (95 | ) | (2,057 | ) | ||||
Knowles Corp.* | (19,196 | ) | (293,123 | ) | ||||
Lumentum Holdings, Inc.* | (58,457 | ) | (3,177,138 | ) | ||||
Methode Electronics, Inc. | (2,757 | ) | (116,759 | ) | ||||
NETGEAR, Inc.* | (38,267 | ) | (1,821,509 | ) | ||||
NetScout Systems, Inc.* | (10,815 | ) | (349,865 | ) | ||||
Palo Alto Networks, Inc.* | (5,695 | ) | (820,650 | ) | ||||
PC Connection, Inc. | (111 | ) | (3,129 | ) | ||||
Plexus Corp.* | (15,934 | ) | (893,579 | ) | ||||
Pure Storage, Inc., Class A* | (156,981 | ) | (2,510,126 | ) | ||||
Sierra Wireless, Inc. (Canada)* | (43,314 | ) | (931,251 | ) | ||||
Super Micro Computer, Inc.* | (75,740 | ) | (1,673,854 | ) | ||||
SYNNEX Corp. | (7,751 | ) | (980,579 | ) | ||||
Tech Data Corp.* | (18,028 | ) | (1,601,788 | ) | ||||
TTM Technologies, Inc.* | (45,127 | ) | (693,602 | ) | ||||
ViaSat, Inc.* | (44,264 | ) | (2,847,060 | ) | ||||
|
| |||||||
(36,613,044 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.0)% |
| |||||||
ATN International, Inc. | (10,857 | ) | (572,164 | ) | ||||
Boingo Wireless, Inc.* | (13,418 | ) | (286,743 | ) | ||||
Cincinnati Bell, Inc.* | (72,352 | ) | (1,436,187 | ) | ||||
General Communication, Inc., Class A* | (30,090 | ) | (1,227,371 | ) | ||||
Iridium Communications, Inc.* | (123,502 | ) | (1,272,071 | ) | ||||
Shenandoah Telecommunications Co. | (34,830 | ) | (1,295,676 | ) | ||||
Zayo Group Holdings, Inc.* | (93,742 | ) | (3,226,600 | ) | ||||
|
| |||||||
(9,316,812 | ) | |||||||
|
| |||||||
Transportation — (2.8)% | ||||||||
Air Transport Services Group, Inc.* | (47,690 | ) | (1,160,775 | ) | ||||
Allegiant Travel Co. | (1,956 | ) | (257,605 | ) | ||||
ArcBest Corp. | (12,998 | ) | (434,783 | ) |
The accompanying notes are an integral part of the financial statements.
82
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Atlas Air Worldwide Holdings, Inc.* | (33,576 | ) | $ | (2,209,301 | ) | |||
Genesee & Wyoming, Inc., Class A* | (80,923 | ) | (5,989,111 | ) | ||||
Golden Ocean Group Ltd. (Bermuda)* | (5,247 | ) | (41,137 | ) | ||||
Kansas City Southern | (19,410 | ) | (2,109,479 | ) | ||||
Ryder System, Inc. | (60,819 | ) | (5,142,246 | ) | ||||
Saia, Inc.* | (2,359 | ) | (147,791 | ) | ||||
SkyWest, Inc. | (68,382 | ) | (3,001,970 | ) | ||||
Spirit Airlines, Inc.* | (130,717 | ) | (4,367,255 | ) | ||||
|
| |||||||
(24,861,453 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $525,905,744) | (531,322,842 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (60.1)% |
| (531,322,842 | ) | |||||
|
| |||||||
(Proceeds $525,905,744) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.9% | 353,026,908 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 884,204,800 | ||||||
|
|
† | 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) |
(b) | Security position is either entirely or partially designated as collateral for securities on loan. |
* | Non-income producing. |
PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
83
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 143.2% | ||||||||
COMMON STOCKS — 143.2% | ||||||||
Automobiles & Components — 3.1% |
| |||||||
Delphi Automotive PLC (Jersey)† | 964 | $ | 94,858 | |||||
General Motors Co.† | 6,021 | 243,128 | ||||||
Harley-Davidson, Inc.(a) | 699 | 33,699 | ||||||
|
| |||||||
371,685 | ||||||||
|
| |||||||
Capital Goods — 12.6% | ||||||||
Allegion PLC (Ireland)(a) | 66 | 5,707 | ||||||
AMETEK, Inc.† | 547 | 36,124 | ||||||
Boeing Co. (The)† | 1,697 | 431,394 | ||||||
Caterpillar, Inc.† | 2,404 | 299,803 | ||||||
Cummins, Inc.(b) | 681 | 114,428 | ||||||
Fastenal Co.(a) | 645 | 29,399 | ||||||
Honeywell International, Inc.† | 1,194 | 169,238 | ||||||
Jacobs Engineering Group, Inc.† | 634 | 36,943 | ||||||
Lockheed Martin Corp.†(b) | 755 | 234,269 | ||||||
Pentair PLC (Ireland)† | 742 | 50,426 | ||||||
Rockwell Automation, Inc. | 161 | 28,692 | ||||||
Rockwell Collins, Inc.† | 120 | 15,685 | ||||||
Snap-on, Inc.† | 176 | 26,226 | ||||||
TransDigm Group, Inc.(a) | 132 | 33,746 | ||||||
|
| |||||||
1,512,080 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.4% |
| |||||||
Equifax, Inc. | 100 | 10,599 | ||||||
Republic Services, Inc.† | 294 | 19,422 | ||||||
Robert Half International, Inc.† | 516 | 25,975 | ||||||
Waste Management, Inc.†(b) | 1,427 | 111,691 | ||||||
|
| |||||||
167,687 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.5% |
| |||||||
Coach, Inc.† | 1,239 | 49,907 | ||||||
Garmin Ltd. (Switzerland)†(a) | 160 | 8,635 | ||||||
Hasbro, Inc. | 79 | 7,716 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 735 | 35,170 | ||||||
Ralph Lauren Corp.† | 428 | 37,788 | ||||||
Whirlpool Corp.(a)(b) | 229 | 42,237 | ||||||
|
| |||||||
181,453 | ||||||||
|
| |||||||
Consumer Services — 3.5% | ||||||||
Hilton Worldwide Holdings, | 1,329 | 92,299 | ||||||
Marriott International, Inc., Class A(b) | 1,521 | 167,705 | ||||||
McDonald’s Corp.† | 325 | 50,921 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 677 | 80,252 | ||||||
Wyndham Worldwide Corp.(a) | 306 | 32,255 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Yum! Brands, Inc. | 46 | $ | 3,386 | |||||
|
| |||||||
426,818 | ||||||||
|
| |||||||
Diversified Financials — 5.4% |
| |||||||
BlackRock, Inc. | 431 | 192,696 | ||||||
Franklin Resources, Inc. | 2,280 | 101,483 | ||||||
Invesco Ltd. (Bermuda)(b) | 1,663 | 58,272 | ||||||
Moody’s Corp.† | 780 | 108,584 | ||||||
Nasdaq, Inc.† | 716 | 55,540 | ||||||
S&P Global, Inc.(b) | 291 | 45,486 | ||||||
T Rowe Price Group, Inc.(a) | 982 | 89,018 | ||||||
|
| |||||||
651,079 | ||||||||
|
| |||||||
Energy — 7.3% | ||||||||
Anadarko Petroleum Corp.† | 2,258 | 110,303 | ||||||
Chesapeake Energy Corp.(a)* | 3,701 | 15,914 | ||||||
Chevron Corp.† | 759 | 89,182 | ||||||
ConocoPhillips† | 5,037 | 252,102 | ||||||
Devon Energy Corp. | 206 | 7,562 | ||||||
Marathon Oil Corp.† | 245 | 3,322 | ||||||
Marathon Petroleum Corp.† | 778 | 43,630 | ||||||
Occidental Petroleum Corp.† | 2,301 | 147,747 | ||||||
ONEOK, Inc.† | 850 | 47,098 | ||||||
Range Resources Corp.(a) | 1,010 | 19,766 | ||||||
Valero Energy Corp.† | 1,806 | 138,936 | ||||||
|
| |||||||
875,562 | ||||||||
|
| |||||||
Food & Staples Retailing — 8.9% |
| |||||||
CVS Health Corp.† | 4,563 | 371,063 | ||||||
Sysco Corp.† | 2,173 | 117,233 | ||||||
Walgreens Boots Alliance, Inc.† | 3,480 | 268,726 | ||||||
Wal-Mart Stores, Inc.† | 3,930 | 307,090 | ||||||
|
| |||||||
1,064,112 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 5.5% |
| |||||||
Altria Group, Inc.†(b) | 4,653 | 295,093 | ||||||
Conagra Brands, Inc.† | 2,095 | 70,685 | ||||||
Dr Pepper Snapple Group, | 726 | 64,229 | ||||||
General Mills, Inc.(a) | 1,009 | 52,226 | ||||||
Hormel Foods Corp.(a) | 4 | 129 | ||||||
Kellogg Co.(a) | 1,310 | 81,705 | ||||||
Molson Coors Brewing Co., Class B | 836 | 68,251 | ||||||
PepsiCo, Inc. | 25 | 2,786 | ||||||
Philip Morris International, Inc.† | 255 | 28,308 | ||||||
|
| |||||||
663,412 | ||||||||
|
| |||||||
Health Care Equipment & Services — 12.8% |
| |||||||
Aetna, Inc.†(b) | 1,250 | 198,763 |
The accompanying notes are an integral part of the financial statements.
84
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
AmerisourceBergen Corp.(a)(b) | 920 | $ | 76,130 | |||||
Anthem, Inc.† | 1,387 | 263,364 | ||||||
Centene Corp.†* | 905 | 87,577 | ||||||
Cigna Corp.(b) | 1,033 | 193,109 | ||||||
HCA Healthcare, Inc.†* | 1,400 | 111,426 | ||||||
Humana, Inc.† | 724 | 176,388 | ||||||
McKesson Corp.†(b) | 880 | 135,177 | ||||||
Medtronic PLC (Ireland) | 274 | 21,309 | ||||||
Patterson Cos., Inc.(a) | 25 | 966 | ||||||
Quest Diagnostics, Inc.† | 346 | 32,399 | ||||||
UnitedHealth Group, Inc.† | 788 | 154,330 | ||||||
Universal Health Services, Inc., Class B† | 390 | 43,267 | ||||||
Varian Medical Systems, | 381 | 38,123 | ||||||
|
| |||||||
1,532,328 | ||||||||
|
| |||||||
Household & Personal Products — 2.2% |
| |||||||
Church & Dwight Co., Inc. | 289 | 14,002 | ||||||
Clorox Co. (The)(a) | 528 | 69,649 | ||||||
Colgate-Palmolive Co. | 166 | 12,093 | ||||||
Estee Lauder Cos., Inc. (The), Class A(b) | 176 | 18,980 | ||||||
Kimberly-Clark Corp.† | 1,325 | 155,926 | ||||||
|
| |||||||
270,650 | ||||||||
|
| |||||||
Insurance — 0.7% | ||||||||
Aon PLC (United Kingdom)† | 278 | 40,616 | ||||||
Progressive Corp. (The)(b) | 806 | 39,027 | ||||||
Willis Towers Watson PLC (Ireland) | 41 | 6,323 | ||||||
|
| |||||||
85,966 | ||||||||
|
| |||||||
Materials — 6.8% | ||||||||
Air Products & Chemicals, Inc.† | 937 | 141,693 | ||||||
Ball Corp.(a) | 992 | 40,970 | ||||||
Freeport-McMoRan, Inc.†(b)* | 6,416 | 90,081 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 1,739 | 172,248 | ||||||
Newmont Mining Corp.(b) | 2,179 | 81,734 | ||||||
Packaging Corp. of America† | 385 | 44,152 | ||||||
PPG Industries, Inc.† | 1,137 | 123,546 | ||||||
Sherwin-Williams Co. (The)†(b) | 326 | 116,721 | ||||||
|
| |||||||
811,145 | ||||||||
|
| |||||||
Media — 9.9% | ||||||||
CBS Corp., Class B, non-voting shares† | 1,192 | 69,136 | ||||||
Comcast Corp., Class A† | 6,396 | 246,118 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) | ||||||||
News Corp., Class A(a)(b) | 3,069 | $ | 40,695 | |||||
Omnicom Group, Inc.† | 1,015 | 75,181 | ||||||
Scripps Networks Interactive, Inc., Class A | 418 | 35,902 | ||||||
Time Warner, Inc.†(b) | 3,071 | 314,624 | ||||||
Twenty-First Century Fox, Inc., Class A† | 7,633 | 201,359 | ||||||
Walt Disney Co. (The)† | 2,060 | 203,054 | ||||||
|
| |||||||
1,186,069 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 5.7% |
| |||||||
AbbVie, Inc.†(b) | 3,104 | 275,821 | ||||||
Amgen, Inc.† | 1,030 | 192,044 | ||||||
Bristol-Myers Squibb Co.† | 170 | 10,836 | ||||||
Celgene Corp.* | 408 | 59,495 | ||||||
Gilead Sciences, Inc.† | 1,755 | 142,190 | ||||||
|
| |||||||
680,386 | ||||||||
|
| |||||||
Real Estate — 1.4% | ||||||||
Alexandria Real Estate Equities, Inc., REIT(a) | 118 | 14,038 | ||||||
Duke Realty Corp., REIT | 767 | 22,105 | ||||||
Extra Space Storage, Inc., | 390 | 31,169 | ||||||
Mid-America Apartment Communities, Inc., REIT† | 444 | 47,455 | ||||||
Prologis, Inc., REIT | 214 | 13,580 | ||||||
Realty Income Corp., REIT(a)(b) | 169 | 9,665 | ||||||
Regency Centers Corp., REIT(b) | 517 | 32,075 | ||||||
|
| |||||||
170,087 | ||||||||
|
| |||||||
Retailing — 9.2% | ||||||||
Advance Auto Parts, Inc.(b) | 300 | 29,760 | ||||||
AutoZone, Inc.(a)* | 12 | 7,141 | ||||||
Best Buy Co., Inc.(a)(b) | 221 | 12,588 | ||||||
CarMax, Inc.(a)* | 295 | 22,364 | ||||||
Dollar Tree, Inc.†* | 165 | 14,325 | ||||||
Foot Locker, Inc.(a) | 139 | 4,896 | ||||||
Gap, Inc. (The)(a) | 49 | 1,447 | ||||||
Genuine Parts Co.(a) | 597 | 57,103 | ||||||
Home Depot, Inc. (The)†(b) | 2,433 | 397,941 | ||||||
LKQ Corp.†* | 1,270 | 45,707 | ||||||
Lowe’s Cos., Inc.† | 3,268 | 261,244 | ||||||
Macy’s, Inc.(a) | 104 | 2,269 | ||||||
Nordstrom, Inc.(a) | 644 | 30,365 | ||||||
O’Reilly Automotive, Inc.(a)* | 177 | 38,120 | ||||||
Ross Stores, Inc.†(b) | 1,570 | 101,375 |
The accompanying notes are an integral part of the financial statements.
85
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Signet Jewelers Ltd. (Bermuda)(a) | 278 | $ | 18,501 | |||||
Target Corp.†(a) | 664 | 39,183 | ||||||
Tractor Supply Co.(a) | 292 | 18,481 | ||||||
|
| |||||||
1,102,810 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 9.2% |
| |||||||
Applied Materials, Inc.† | 4,358 | 227,008 | ||||||
Intel Corp.† | 6,341 | 241,465 | ||||||
KLA-Tencor Corp.† | 782 | 82,892 | ||||||
Lam Research Corp.† | 884 | 163,575 | ||||||
Micron Technology, Inc.* | 4,465 | 175,608 | ||||||
Skyworks Solutions, Inc.(a) | 615 | 62,668 | ||||||
Texas Instruments, Inc.† | 891 | 79,869 | ||||||
Xilinx, Inc.†(a)(b) | 1,008 | 71,397 | ||||||
|
| |||||||
1,104,482 | ||||||||
|
| |||||||
Software & Services — 9.8% |
| |||||||
Accenture PLC, Class A (Ireland)† | 556 | 75,099 | ||||||
Alphabet, Inc., Class A(b)* | 94 | 91,530 | ||||||
Automatic Data Processing, Inc.†(b) | 646 | 70,621 | ||||||
CA, Inc.† | 1,451 | 48,434 | ||||||
Citrix Systems, Inc.†* | 473 | 36,336 | ||||||
CSRA, Inc.† | 126 | 4,066 | ||||||
Electronic Arts, Inc.†* | 1,221 | 144,151 | ||||||
International Business Machines Corp.† | 1,345 | 195,133 | ||||||
Intuit, Inc.† | 1,015 | 144,272 | ||||||
Oracle Corp.† | 4,549 | 219,944 | ||||||
Paychex, Inc.†(b) | 1,309 | 78,488 | ||||||
Total System Services, Inc. | 8 | 524 | ||||||
Visa, Inc., Class A(a)(b) | 659 | 69,353 | ||||||
|
| |||||||
1,177,951 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 10.8% |
| |||||||
Apple, Inc.† | 2,265 | 349,082 | ||||||
Cisco Systems, Inc.† | 9,581 | 322,209 | ||||||
F5 Networks, Inc.†(b)* | 174 | 20,977 | ||||||
FLIR Systems, Inc. | 579 | 22,529 | ||||||
Harris Corp. | 492 | 64,787 | ||||||
Hewlett Packard Enterprise Co.† | 6,696 | 98,498 | ||||||
HP, Inc.†(b) | 6,832 | 136,367 | ||||||
Juniper Networks, Inc.† | 2,007 | 55,855 | ||||||
Motorola Solutions, Inc.† | 260 | 22,066 | ||||||
NetApp, Inc.(a) | 1,166 | 51,024 | ||||||
Seagate Technology PLC (Ireland)(a) | 760 | 25,209 | ||||||
TE Connectivity Ltd. (Switzerland)† | 2 | 166 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Western Digital Corp.† | 1,115 | $ | 96,336 | |||||
Xerox Corp.† | 1,067 | 35,520 | ||||||
|
| |||||||
1,300,625 | ||||||||
|
| |||||||
Telecommunication Services — 3.6% |
| |||||||
AT&T, Inc.(a) | 4,045 | 158,443 | ||||||
CenturyLink, Inc.(a) | 15 | 284 | ||||||
Verizon Communications, Inc.† | 5,650 | 279,618 | ||||||
|
| |||||||
438,345 | ||||||||
|
| |||||||
Transportation — 9.4% | ||||||||
Alaska Air Group, Inc.(b) | 1 | 76 | ||||||
CSX Corp.† | 2,334 | 126,643 | ||||||
Delta Air Lines, Inc.(b) | 2,031 | 97,935 | ||||||
Expeditors International of Washington, Inc.† | 734 | 43,937 | ||||||
FedEx Corp.† | 764 | 172,343 | ||||||
JB Hunt Transport Services, Inc.(b) | 447 | 49,653 | ||||||
Norfolk Southern Corp.(b) | 670 | 88,601 | ||||||
Southwest Airlines Co.(b) | 1,901 | 106,418 | ||||||
Union Pacific Corp.† | 2,287 | 265,223 | ||||||
United Parcel Service, Inc., Class B(b) | 1,436 | 172,449 | ||||||
|
| |||||||
1,123,278 | ||||||||
|
| |||||||
Utilities — 2.5% | ||||||||
DTE Energy Co. | 699 | 75,045 | ||||||
FirstEnergy Corp.(b) | 1,816 | 55,987 | ||||||
Public Service Enterprise Group, Inc.† | 2,063 | 95,414 | ||||||
WEC Energy Group, Inc.(b) | 1,126 | 70,690 | ||||||
|
| |||||||
297,136 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 17,195,146 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 143.2% | 17,195,146 | |||||||
|
| |||||||
(Cost $15,397,520) | ||||||||
SHORT POSITIONS — (83.1)% |
| |||||||
COMMON STOCKS — (83.1)% |
| |||||||
Automobiles & Components — (1.3)% |
| |||||||
BorgWarner, Inc. | (499 | ) | (25,564 | ) | ||||
Ford Motor Co. | (9,396 | ) | (112,470 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (596 | ) | (19,817 | ) | ||||
|
| |||||||
(157,851 | ) | |||||||
|
| |||||||
Banks — (4.3)% | ||||||||
Bank of America Corp. | (3,045 | ) | (77,160 | ) |
The accompanying notes are an integral part of the financial statements.
86
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Banks — (Continued) | ||||||||
BB&T Corp. | (1,293 | ) | $ | (60,693 | ) | |||
Citigroup, Inc. | (567 | ) | (41,244 | ) | ||||
Citizens Financial Group, Inc. | (421 | ) | (15,943 | ) | ||||
Comerica, Inc. | (307 | ) | (23,412 | ) | ||||
Fifth Third Bancorp | (1,793 | ) | (50,168 | ) | ||||
M&T Bank Corp. | (207 | ) | (33,335 | ) | ||||
PNC Financial Services Group, Inc. (The) | (54 | ) | (7,278 | ) | ||||
Regions Financial Corp. | (2,969 | ) | (45,218 | ) | ||||
SunTrust Banks, Inc. | (700 | ) | (41,839 | ) | ||||
US Bancorp | (1,172 | ) | (62,807 | ) | ||||
Wells Fargo & Co. | (896 | ) | (49,414 | ) | ||||
Zions Bancorporation | (130 | ) | (6,133 | ) | ||||
|
| |||||||
(514,644 | ) | |||||||
|
| |||||||
Capital Goods — (8.6)% | ||||||||
3M Co. | (95 | ) | (19,941 | ) | ||||
Acuity Brands, Inc. | (49 | ) | (8,393 | ) | ||||
AO Smith Corp. | (409 | ) | (24,307 | ) | ||||
Arconic, Inc. | (1,136 | ) | (28,264 | ) | ||||
Dover Corp. | (372 | ) | (33,997 | ) | ||||
Eaton Corp. PLC (Ireland) | (1,120 | ) | (86,005 | ) | ||||
Emerson Electric Co. | (1,525 | ) | (95,831 | ) | ||||
Flowserve Corp. | (309 | ) | (13,160 | ) | ||||
Fluor Corp. | (330 | ) | (13,893 | ) | ||||
Fortive Corp. | (787 | ) | (55,712 | ) | ||||
Fortune Brands Home & Security, Inc. | (364 | ) | (24,472 | ) | ||||
General Dynamics Corp. | (494 | ) | (101,557 | ) | ||||
General Electric Co. | (3,923 | ) | (94,858 | ) | ||||
Ingersoll-Rand PLC (Ireland) | (607 | ) | (54,126 | ) | ||||
Johnson Controls International PLC (Ireland) | (2,205 | ) | (88,839 | ) | ||||
L3 Technologies, Inc. | (184 | ) | (34,671 | ) | ||||
Masco Corp. | (757 | ) | (29,531 | ) | ||||
PACCAR, Inc. | (258 | ) | (18,664 | ) | ||||
Parker-Hannifin Corp. | (317 | ) | (55,481 | ) | ||||
Quanta Services, Inc.* | (362 | ) | (13,528 | ) | ||||
Raytheon Co. | (154 | ) | (28,733 | ) | ||||
Stanley Black & Decker, Inc. | (199 | ) | (30,043 | ) | ||||
Textron, Inc. | (644 | ) | (34,699 | ) | ||||
United Rentals, Inc.* | (200 | ) | (27,748 | ) | ||||
United Technologies Corp. | (135 | ) | (15,671 | ) | ||||
|
| |||||||
(1,032,124 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.8)% |
| |||||||
Cintas Corp. | (250 | ) | (36,070 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
IHS Markit Ltd. (Bermuda)* | (505 | ) | $ | (22,260 | ) | |||
Nielsen Holdings PLC (United Kingdom) | (843 | ) | (34,942 | ) | ||||
|
| |||||||
(93,272 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.0)% |
| |||||||
Hanesbrands, Inc. | (840 | ) | (20,698 | ) | ||||
Leggett & Platt, Inc. | (316 | ) | (15,083 | ) | ||||
Mattel, Inc. | (810 | ) | (12,539 | ) | ||||
Mohawk Industries, Inc.* | (177 | ) | (43,809 | ) | ||||
Newell Brands, Inc. | (1,143 | ) | (48,772 | ) | ||||
NIKE, Inc., Class B | (87 | ) | (4,511 | ) | ||||
PVH Corp. | (183 | ) | (23,069 | ) | ||||
Under Armour, Inc., Class C* | (1,041 | ) | (15,636 | ) | ||||
VF Corp. | (930 | ) | (59,120 | ) | ||||
|
| |||||||
(243,237 | ) | |||||||
|
| |||||||
Consumer Services — (1.7)% |
| |||||||
Carnival Corp. (Panama) | (1,757 | ) | (113,449 | ) | ||||
Darden Restaurants, Inc. | (292 | ) | (23,004 | ) | ||||
MGM Resorts International | (1,360 | ) | (44,322 | ) | ||||
Wynn Resorts Ltd. | (128 | ) | (19,062 | ) | ||||
|
| |||||||
(199,837 | ) | |||||||
|
| |||||||
Diversified Financials — (3.9)% |
| |||||||
Affiliated Managers Group, Inc. | (142 | ) | (26,956 | ) | ||||
American Express Co. | (778 | ) | (70,378 | ) | ||||
Bank of New York Mellon Corp. (The) | (81 | ) | (4,295 | ) | ||||
Capital One Financial Corp. | (61 | ) | (5,164 | ) | ||||
Charles Schwab Corp. (The) | (228 | ) | (9,973 | ) | ||||
CME Group, Inc. | (746 | ) | (101,217 | ) | ||||
Goldman Sachs Group, Inc. (The) | (207 | ) | (49,098 | ) | ||||
Intercontinental Exchange, Inc. | (1,397 | ) | (95,974 | ) | ||||
Leucadia National Corp. | (849 | ) | (21,437 | ) | ||||
Morgan Stanley | (428 | ) | (20,617 | ) | ||||
Navient Corp. | (837 | ) | (12,572 | ) | ||||
Northern Trust Corp. | (519 | ) | (47,712 | ) | ||||
Raymond James Financial, Inc. | (8 | ) | (675 | ) | ||||
Synchrony Financial | (294 | ) | (9,129 | ) | ||||
|
| |||||||
(475,197 | ) | |||||||
|
| |||||||
Energy — (7.6)% | ||||||||
Andeavor | (161 | ) | (16,607 | ) | ||||
Apache Corp. | (762 | ) | (34,900 | ) | ||||
Cimarex Energy Co. | (225 | ) | (25,576 | ) | ||||
EOG Resources, Inc. | (345 | ) | (33,375 | ) | ||||
EQT Corp. | (530 | ) | (34,577 | ) |
The accompanying notes are an integral part of the financial statements.
87
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
Exxon Mobil Corp. | (1,720 | ) | $ | (141,006 | ) | |||
Halliburton Co. | (650 | ) | (29,920 | ) | ||||
Helmerich & Payne, Inc. | (304 | ) | (15,841 | ) | ||||
Hess Corp. | (751 | ) | (35,214 | ) | ||||
Kinder Morgan, Inc. | (1,859 | ) | (35,656 | ) | ||||
National Oilwell Varco, Inc. | (1,065 | ) | (38,052 | ) | ||||
Newfield Exploration Co.* | (471 | ) | (13,975 | ) | ||||
Phillips 66 | (1,209 | ) | (110,756 | ) | ||||
Pioneer Natural Resources Co. | (402 | ) | (59,311 | ) | ||||
Schlumberger Ltd. (Curacao) | (2,819 | ) | (196,653 | ) | ||||
TechnipFMC PLC (United Kingdom)* | (1,104 | ) | (30,824 | ) | ||||
Williams Cos., Inc. (The) | (1,953 | ) | (58,610 | ) | ||||
|
| |||||||
(910,853 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.5)% |
| |||||||
Archer-Daniels-Midland Co. | (1,281 | ) | (54,455 | ) | ||||
Brown-Forman Corp., Class B | (609 | ) | (33,069 | ) | ||||
Constellation Brands, Inc., Class A | (5 | ) | (997 | ) | ||||
Hershey Co. (The) | (435 | ) | (47,489 | ) | ||||
McCormick & Co., Inc., non-voting shares | (283 | ) | (29,047 | ) | ||||
Mondelez International, Inc., Class A | (1,933 | ) | (78,596 | ) | ||||
Tyson Foods, Inc., Class A | (866 | ) | (61,010 | ) | ||||
|
| |||||||
(304,663 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (9.4)% |
| |||||||
Abbott Laboratories | (4,021 | ) | (214,561 | ) | ||||
Align Technology, Inc.* | (4 | ) | (745 | ) | ||||
Baxter International, Inc. | (1,288 | ) | (80,822 | ) | ||||
Becton Dickinson and Co | (443 | ) | (86,806 | ) | ||||
Boston Scientific Corp.* | (2,446 | ) | (71,350 | ) | ||||
Cardinal Health, Inc. | (748 | ) | (50,056 | ) | ||||
Cerner Corp.* | (846 | ) | (60,337 | ) | ||||
Cooper Cos., Inc. (The) | (116 | ) | (27,505 | ) | ||||
CR Bard, Inc. | (172 | ) | (55,126 | ) | ||||
Danaher Corp. | (1,525 | ) | (130,814 | ) | ||||
DaVita, Inc.* | (452 | ) | (26,844 | ) | ||||
DENTSPLY SIRONA, Inc. | (542 | ) | (32,417 | ) | ||||
Edwards Lifesciences Corp.* | (489 | ) | (53,453 | ) | ||||
Henry Schein, Inc.* | (374 | ) | (30,664 | ) | ||||
Intuitive Surgical, Inc.* | (43 | ) | (44,973 | ) | ||||
ResMed, Inc. | (336 | ) | (25,859 | ) | ||||
Stryker Corp. | (858 | ) | (121,853 | ) | ||||
Zimmer Biomet Holdings, Inc. | (148 | ) | (17,329 | ) | ||||
|
| |||||||
(1,131,514 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (0.3)% |
| |||||||
Coty, Inc., Class A | (1,911 | ) | $ | (31,589 | ) | |||
Procter & Gamble Co. (The) | (29 | ) | (2,638 | ) | ||||
|
| |||||||
(34,227 | ) | |||||||
|
| |||||||
Insurance — (4.8)% | ||||||||
Aflac, Inc. | (772 | ) | (62,833 | ) | ||||
American International Group, Inc. | (1,792 | ) | (110,011 | ) | ||||
Assurant, Inc. | (165 | ) | (15,761 | ) | ||||
Brighthouse Financial, Inc.* | (22 | ) | (1,338 | ) | ||||
Chubb Ltd. (Switzerland) | (118 | ) | (16,821 | ) | ||||
Cincinnati Financial Corp. | (380 | ) | (29,097 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (741 | ) | (41,074 | ) | ||||
Lincoln National Corp. | (285 | ) | (20,942 | ) | ||||
Loews Corp. | (765 | ) | (36,613 | ) | ||||
Marsh & McLennan Cos., Inc. | (492 | ) | (41,235 | ) | ||||
Principal Financial Group, Inc. | (675 | ) | (43,430 | ) | ||||
Prudential Financial, Inc. | (1,065 | ) | (113,231 | ) | ||||
Torchmark Corp. | (180 | ) | (14,416 | ) | ||||
Unum Group | (573 | ) | (29,297 | ) | ||||
XL Group Ltd. (Bermuda) | (32 | ) | (1,262 | ) | ||||
|
| |||||||
(577,361 | ) | |||||||
|
| |||||||
Materials — (4.9)% | ||||||||
Albemarle Corp. | (261 | ) | (35,577 | ) | ||||
CF Industries Holdings, Inc. | (713 | ) | (25,069 | ) | ||||
DowDuPont, Inc. | (636 | ) | (44,030 | ) | ||||
Eastman Chemical Co. | (366 | ) | (33,119 | ) | ||||
Ecolab, Inc. | (649 | ) | (83,468 | ) | ||||
International Flavors & Fragrances, Inc. | (182 | ) | (26,010 | ) | ||||
International Paper Co. | (976 | ) | (55,456 | ) | ||||
Martin Marietta Materials, Inc. | (178 | ) | (36,709 | ) | ||||
Monsanto Co. | (1,039 | ) | (124,493 | ) | ||||
Mosaic Co. (The) | (988 | ) | (21,331 | ) | ||||
Nucor Corp. | (753 | ) | (42,198 | ) | ||||
Sealed Air Corp. | (53 | ) | (2,264 | ) | ||||
Vulcan Materials Co. | (404 | ) | (48,318 | ) | ||||
WestRock Co. | (183 | ) | (10,382 | ) | ||||
|
| |||||||
(588,424 | ) | |||||||
|
| |||||||
Media — (0.2)% | ||||||||
DISH Network Corp., Class A* | (155 | ) | (8,406 | ) | ||||
Interpublic Group of Cos., Inc. (The) | (910 | ) | (18,919 | ) | ||||
|
| |||||||
(27,325 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
88
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (8.9)% |
| |||||||
Alexion Pharmaceuticals, Inc.* | (528 | ) | $ | (74,073 | ) | |||
Allergan PLC (Ireland) | (790 | ) | (161,910 | ) | ||||
Eli Lilly & Co. | (2,209 | ) | (188,958 | ) | ||||
Illumina, Inc.* | (446 | ) | (88,843 | ) | ||||
Incyte Corp.* | (526 | ) | (61,405 | ) | ||||
Merck & Co., Inc. | (369 | ) | (23,627 | ) | ||||
Mylan NV (Netherlands)* | (1,268 | ) | (39,777 | ) | ||||
PerkinElmer, Inc. | (260 | ) | (17,932 | ) | ||||
Perrigo Co. PLC (Ireland) | (192 | ) | (16,253 | ) | ||||
Pfizer, Inc. | (3,080 | ) | (109,956 | ) | ||||
Quintiles IMS Holdings, Inc.* | (267 | ) | (25,384 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (281 | ) | (125,641 | ) | ||||
Thermo Fisher Scientific, Inc. | (483 | ) | (91,384 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (157 | ) | (23,870 | ) | ||||
Zoetis, Inc. | (273 | ) | (17,406 | ) | ||||
|
| |||||||
(1,066,419 | ) | |||||||
|
| |||||||
Real Estate — (4.1)% | ||||||||
American Tower Corp., REIT | (67 | ) | (9,158 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (257 | ) | (11,272 | ) | ||||
AvalonBay Communities, Inc., REIT | (89 | ) | (15,879 | ) | ||||
CBRE Group, Inc., Class A* | (799 | ) | (30,266 | ) | ||||
Crown Castle International Corp., REIT | (1,107 | ) | (110,678 | ) | ||||
Equity Residential, REIT | (705 | ) | (46,481 | ) | ||||
GGP, Inc., REIT | (2,084 | ) | (43,285 | ) | ||||
HCP, Inc., REIT | (1,106 | ) | (30,780 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (1,135 | ) | (20,986 | ) | ||||
Iron Mountain, Inc., REIT | (625 | ) | (24,312 | ) | ||||
Kimco Realty Corp., REIT | (1,100 | ) | (21,505 | ) | ||||
Macerich Co. (The), REIT | (432 | ) | (23,747 | ) | ||||
SBA Communications Corp., REIT* | (286 | ) | (41,198 | ) | ||||
SL Green Realty Corp., REIT | (278 | ) | (28,167 | ) | ||||
Welltower, Inc., REIT | (511 | ) | (35,913 | ) | ||||
|
| |||||||
(493,627 | ) | |||||||
|
| |||||||
Retailing — (3.5)% | ||||||||
Amazon.com, Inc.* | (227 | ) | (218,226 | ) | ||||
Dollar General Corp. | (11 | ) | (892 | ) | ||||
Expedia, Inc. | (326 | ) | (46,924 | ) | ||||
Kohl’s Corp. | (399 | ) | (18,214 | ) | ||||
L Brands, Inc. | (677 | ) | (28,170 | ) | ||||
Priceline Group, Inc. (The)* | (22 | ) | (40,278 | ) | ||||
Tiffany & Co. | (120 | ) | (11,014 | ) | ||||
TJX Cos., Inc. (The) | (92 | ) | (6,783 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
TripAdvisor, Inc.* | (424 | ) | $ | (17,185 | ) | |||
Ulta Beauty, Inc.* | (123 | ) | (27,805 | ) | ||||
|
| |||||||
(415,491 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (3.5)% |
| |||||||
Advanced Micro Devices, Inc.* | (2,330 | ) | (29,708 | ) | ||||
Analog Devices, Inc. | (879 | ) | (75,743 | ) | ||||
Broadcom Ltd. (Singapore) | (761 | ) | (184,573 | ) | ||||
Microchip Technology, Inc. | (13 | ) | (1,167 | ) | ||||
NVIDIA Corp. | (595 | ) | (106,368 | ) | ||||
Qorvo, Inc.* | (309 | ) | (21,840 | ) | ||||
|
| |||||||
(419,399 | ) | |||||||
|
| |||||||
Software & Services — (5.3)% | ||||||||
Activision Blizzard, Inc. | (1,758 | ) | (113,409 | ) | ||||
Adobe Systems, Inc.* | (66 | ) | (9,846 | ) | ||||
Akamai Technologies, Inc.* | (409 | ) | (19,927 | ) | ||||
Alliance Data Systems Corp. | (131 | ) | (29,023 | ) | ||||
ANSYS, Inc.* | (6 | ) | (736 | ) | ||||
Cadence Design Systems, Inc.* | (662 | ) | (26,129 | ) | ||||
DXC Technology Co. | (569 | ) | (48,866 | ) | ||||
Facebook, Inc., Class A* | (359 | ) | (61,342 | ) | ||||
Fidelity National Information Services, Inc. | (775 | ) | (72,377 | ) | ||||
Fiserv, Inc.* | (44 | ) | (5,674 | ) | ||||
Gartner, Inc.* | (214 | ) | (26,624 | ) | ||||
Global Payments, Inc. | (360 | ) | (34,211 | ) | ||||
PayPal Holdings, Inc.* | (1,240 | ) | (79,397 | ) | ||||
salesforce.com, Inc.* | (132 | ) | (12,331 | ) | ||||
Symantec Corp. | (1,465 | ) | (48,067 | ) | ||||
Synopsys, Inc.* | (48 | ) | (3,865 | ) | ||||
Verisign, Inc.* | (189 | ) | (20,108 | ) | ||||
Western Union Co. (The) | (1,100 | ) | (21,120 | ) | ||||
|
| |||||||
(633,052 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.7)% |
| |||||||
Amphenol Corp., Class A | (236 | ) | (19,975 | ) | ||||
Corning, Inc. | (2,133 | ) | (63,819 | ) | ||||
|
| |||||||
(83,794 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.4)% |
| |||||||
Level 3 Communications, Inc.* | (1,014 | ) | (54,036 | ) | ||||
|
| |||||||
Transportation — (1.0)% | ||||||||
American Airlines Group, Inc. | (1,298 | ) | (61,642 | ) | ||||
Kansas City Southern | (74 | ) | (8,042 | ) | ||||
United Continental Holdings, Inc.* | (753 | ) | (45,843 | ) | ||||
|
| |||||||
(115,527 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
89
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (3.4)% | ||||||||
Alliant Energy Corp. | (546 | ) | $ | (22,697 | ) | |||
Ameren Corp. | (6 | ) | (347 | ) | ||||
American Electric Power Co., Inc. | (339 | ) | (23,811 | ) | ||||
American Water Works Co., Inc. | (431 | ) | (34,872 | ) | ||||
Consolidated Edison, Inc. | (672 | ) | (54,217 | ) | ||||
Duke Energy Corp. | (89 | ) | (7,469 | ) | ||||
Entergy Corp. | (419 | ) | (31,995 | ) | ||||
Eversource Energy | (712 | ) | (43,033 | ) | ||||
Exelon Corp. | (652 | ) | (24,561 | ) | ||||
PG&E Corp. | (1,122 | ) | (76,397 | ) | ||||
Pinnacle West Capital Corp. | (257 | ) | (21,732 | ) | ||||
PPL Corp. | (1,350 | ) | (51,232 | ) | ||||
SCANA Corp. | (102 | ) | (4,946 | ) | ||||
Sempra Energy | (50 | ) | (5,706 | ) | ||||
Xcel Energy, Inc. | (23 | ) | (1,088 | ) | ||||
|
| |||||||
(404,103 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $9,945,291) | (9,975,977 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (83.1)% |
| (9,975,977 | ) | |||||
|
| |||||||
(Proceeds $9,945,291) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.9% | 4,785,223 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 12,004,392 | ||||||
|
|
† | 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) |
(b) | Security position is either entirely or partially designated as collateral for securities on loan. |
* | Non-income producing. |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
90
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 112.0% | ||||||||
COMMON STOCKS — 112.0% | ||||||||
Automobiles & Components — 2.6% |
| |||||||
BorgWarner, Inc.† | 122 | $ | 6,250 | |||||
Delphi Automotive PLC | 156 | 15,350 | ||||||
General Motors Co.† | 810 | 32,708 | ||||||
Harley-Davidson, Inc.(a) | 95 | 4,580 | ||||||
|
| |||||||
58,888 | ||||||||
|
| |||||||
Capital Goods — 10.7% | ||||||||
3M Co.† | 43 | 9,026 | ||||||
Allegion PLC (Ireland) | 43 | 3,718 | ||||||
AMETEK, Inc.† | 57 | 3,764 | ||||||
Arconic, Inc.† | 279 | 6,941 | ||||||
Boeing Co. (The)† | 240 | 61,010 | ||||||
Caterpillar, Inc.† | 277 | 34,545 | ||||||
Cummins, Inc.† | 95 | 15,963 | ||||||
Emerson Electric Co.† | 8 | 503 | ||||||
Fastenal Co | 54 | 2,461 | ||||||
Honeywell International, Inc.† | 252 | 35,719 | ||||||
Ingersoll-Rand PLC (Ireland)† | 148 | 13,197 | ||||||
Jacobs Engineering Group, Inc.† | 67 | 3,904 | ||||||
Lockheed Martin Corp.† | 109 | 33,822 | ||||||
Northrop Grumman Corp. | 2 | 575 | ||||||
Pentair PLC (Ireland) | 101 | 6,864 | ||||||
Rockwell Collins, Inc. | 7 | 915 | ||||||
Snap-on, Inc.† | 32 | 4,768 | ||||||
TransDigm Group, Inc. | 3 | 767 | ||||||
|
| |||||||
238,462 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.1% |
| |||||||
Equifax, Inc. | 6 | 636 | ||||||
Republic Services, Inc. | 55 | 3,633 | ||||||
Robert Half International, Inc.† | 74 | 3,725 | ||||||
Stericycle, Inc.* | 5 | 358 | ||||||
Waste Management, Inc.† | 222 | 17,376 | ||||||
|
| |||||||
25,728 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.5% |
| |||||||
Coach, Inc.† | 158 | 6,364 | ||||||
Garmin Ltd. (Switzerland) | 105 | 5,667 | ||||||
Hasbro, Inc. | 2 | 195 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 94 | 4,498 | ||||||
PVH Corp.† | 40 | 5,042 | ||||||
Ralph Lauren Corp. | 47 | 4,150 | ||||||
Whirlpool Corp. | 41 | 7,562 | ||||||
|
| |||||||
33,478 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — 2.7% | ||||||||
Hilton Worldwide Holdings, Inc.† | 180 | $ | 12,501 | |||||
Marriott International, Inc., Class A† | 199 | 21,942 | ||||||
McDonald’s Corp.† | 87 | 13,631 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 54 | 6,401 | ||||||
Wyndham Worldwide Corp.† | 62 | 6,535 | ||||||
|
| |||||||
61,010 | ||||||||
|
| |||||||
Diversified Financials — 3.3% | ||||||||
BlackRock, Inc. | 33 | 14,754 | ||||||
Franklin Resources, Inc. | 308 | 13,709 | ||||||
Invesco Ltd. (Bermuda) | 223 | 7,814 | ||||||
Moody’s Corp.† | 105 | 14,617 | ||||||
Nasdaq, Inc.† | 93 | 7,214 | ||||||
S&P Global, Inc. | 17 | 2,657 | ||||||
T Rowe Price Group, Inc. | 133 | 12,057 | ||||||
|
| |||||||
72,822 | ||||||||
|
| |||||||
Energy — 4.5% | ||||||||
Anadarko Petroleum Corp.† | 305 | 14,899 | ||||||
Chesapeake Energy Corp.(a)* | 500 | 2,150 | ||||||
Chevron Corp. | 77 | 9,048 | ||||||
ConocoPhillips† | 678 | 33,934 | ||||||
Marathon Oil Corp. | 2 | 27 | ||||||
Occidental Petroleum Corp. | 255 | 16,374 | ||||||
ONEOK, Inc. | 13 | 720 | ||||||
Range Resources Corp.(a) | 137 | 2,681 | ||||||
Valero Energy Corp.† | 258 | 19,848 | ||||||
|
| |||||||
99,681 | ||||||||
|
| |||||||
Food & Staples Retailing — 7.0% |
| |||||||
CVS Health Corp.† | 608 | 49,443 | ||||||
Sysco Corp.† | 293 | 15,807 | ||||||
Walgreens Boots Alliance, Inc.† | 494 | 38,147 | ||||||
Wal-Mart Stores, Inc.† | 687 | 53,682 | ||||||
|
| |||||||
157,079 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 5.2% |
| |||||||
Altria Group, Inc.† | 741 | 46,994 | ||||||
Coca-Cola Co. (The) | 97 | 4,366 | ||||||
Conagra Brands, Inc.† | 251 | 8,469 | ||||||
Dr Pepper Snapple Group, Inc.† | 101 | 8,936 | ||||||
General Mills, Inc. | 191 | 9,886 | ||||||
Kellogg Co. | 191 | 11,913 | ||||||
Kraft Heinz Co. (The) | 23 | 1,784 | ||||||
Molson Coors Brewing Co., Class B† | 119 | 9,715 | ||||||
PepsiCo, Inc. | 60 | 6,686 |
The accompanying notes are an integral part of the financial statements.
91
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Philip Morris International, Inc.† | 65 | $ | 7,216 | |||||
|
| |||||||
115,965 | ||||||||
|
| |||||||
Health Care Equipment & Services — 10.9% |
| |||||||
Aetna, Inc.† | 201 | 31,961 | ||||||
AmerisourceBergen Corp.† | 125 | 10,344 | ||||||
Anthem, Inc.† | 151 | 28,672 | ||||||
Baxter International, Inc.† | 16 | 1,004 | ||||||
Centene Corp.†* | 98 | 9,484 | ||||||
Cigna Corp.† | 147 | 27,480 | ||||||
Express Scripts Holding Co.†* | 358 | 22,669 | ||||||
HCA Healthcare, Inc.†* | 203 | 16,157 | ||||||
Humana, Inc.† | 86 | 20,952 | ||||||
Laboratory Corp. of America Holdings†* | 61 | 9,209 | ||||||
McKesson Corp.† | 116 | 17,819 | ||||||
Medtronic PLC (Ireland) | 82 | 6,377 | ||||||
Quest Diagnostics, Inc.† | 73 | 6,836 | ||||||
UnitedHealth Group, Inc.† | 126 | 24,677 | ||||||
Universal Health Services, Inc., Class B | 53 | 5,880 | ||||||
Varian Medical Systems, Inc.* | 52 | 5,203 | ||||||
|
| |||||||
244,724 | ||||||||
|
| |||||||
Household & Personal Products — 1.8% |
| |||||||
Church & Dwight Co., Inc.† | 90 | 4,361 | ||||||
Clorox Co. (The) | 72 | 9,497 | ||||||
Colgate-Palmolive Co. | 54 | 3,934 | ||||||
Kimberly-Clark Corp.† | 194 | 22,830 | ||||||
|
| |||||||
40,622 | ||||||||
|
| |||||||
Insurance — 1.0% | ||||||||
Aon PLC (United Kingdom)† | 119 | 17,386 | ||||||
Progressive Corp. (The) | 127 | 6,149 | ||||||
|
| |||||||
23,535 | ||||||||
|
| |||||||
Materials — 4.2% | ||||||||
Air Products & Chemicals, Inc.† | 123 | 18,600 | ||||||
Ball Corp. | 31 | 1,280 | ||||||
Freeport-McMoRan, Inc.†* | 798 | 11,204 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 227 | 22,484 | ||||||
Newmont Mining Corp.† | 294 | 11,028 | ||||||
Packaging Corp. of America | 53 | 6,078 | ||||||
PPG Industries, Inc.† | 6 | 652 | ||||||
Sherwin-Williams Co. (The)† | 52 | 18,618 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
WestRock Co.† | 70 | $ | 3,971 | |||||
|
| |||||||
93,915 | ||||||||
|
| |||||||
Media — 7.7% | ||||||||
CBS Corp., Class B, non-voting shares† | 199 | 11,542 | ||||||
Comcast Corp., Class A† | 980 | 37,710 | ||||||
Discovery Communications, Inc., Class A†* | 8 | 170 | ||||||
News Corp., Class A† | 332 | 4,402 | ||||||
Omnicom Group, Inc.† | 64 | 4,740 | ||||||
Scripps Networks Interactive, Inc., Class A† | 74 | 6,356 | ||||||
Time Warner, Inc.† | 429 | 43,951 | ||||||
Twenty-First Century Fox, Inc., Class A† | 1,048 | 27,646 | ||||||
Viacom, Inc., Class B† | 3 | 84 | ||||||
Walt Disney Co. (The)† | 360 | 35,485 | ||||||
|
| |||||||
172,086 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 5.3% |
| |||||||
AbbVie, Inc.† | 372 | 33,056 | ||||||
Amgen, Inc.† | 136 | 25,357 | ||||||
Biogen, Inc.†* | 3 | 939 | ||||||
Bristol-Myers Squibb Co.† | 41 | 2,613 | ||||||
Gilead Sciences, Inc.† | 692 | 56,066 | ||||||
|
| |||||||
118,031 | ||||||||
|
| |||||||
Real Estate — 1.1% | ||||||||
Digital Realty Trust, Inc., REIT | 2 | 237 | ||||||
Duke Realty Corp., REIT | 137 | 3,948 | ||||||
Essex Property Trust, Inc., REIT | 8 | 2,032 | ||||||
Extra Space Storage, Inc., REIT | 69 | 5,515 | ||||||
Mid-America Apartment Communities, Inc., REIT | 63 | 6,733 | ||||||
Realty Income Corp., REIT† | 26 | 1,487 | ||||||
Regency Centers Corp., REIT | 85 | 5,273 | ||||||
|
| |||||||
25,225 | ||||||||
|
| |||||||
Retailing — 7.4% | ||||||||
Advance Auto Parts, Inc. | 41 | 4,067 | ||||||
AutoZone, Inc.†* | 2 | 1,190 | ||||||
Best Buy Co., Inc.† | 182 | 10,367 | ||||||
Dollar Tree, Inc.†* | 8 | 695 | ||||||
Foot Locker, Inc. | 10 | 352 | ||||||
Genuine Parts Co. | 81 | 7,748 | ||||||
Home Depot, Inc. (The)† | 330 | 53,975 |
The accompanying notes are an integral part of the financial statements.
92
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
LKQ Corp.* | 171 | $ | 6,154 | |||||
Lowe’s Cos., Inc.† | 469 | 37,492 | ||||||
Nordstrom, Inc. | 92 | 4,338 | ||||||
O’Reilly Automotive, Inc.†* | 45 | 9,692 | ||||||
Ross Stores, Inc.† | 213 | 13,753 | ||||||
Signet Jewelers Ltd. (Bermuda)(a) | 34 | 2,263 | ||||||
Target Corp.† | 146 | 8,615 | ||||||
TJX Cos., Inc. (The) | 33 | 2,433 | ||||||
Tractor Supply Co.(a) | 54 | 3,418 | ||||||
|
| |||||||
166,552 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.0% |
| |||||||
Applied Materials, Inc.† | 617 | 32,139 | ||||||
Intel Corp.† | 702 | 26,732 | ||||||
KLA-Tencor Corp.† | 90 | 9,540 | ||||||
Lam Research Corp.† | 105 | 19,429 | ||||||
Micron Technology, Inc.* | 667 | 26,233 | ||||||
Skyworks Solutions, Inc.† | 103 | 10,496 | ||||||
Texas Instruments, Inc.† | 261 | 23,396 | ||||||
Xilinx, Inc. | 137 | 9,704 | ||||||
|
| |||||||
157,669 | ||||||||
|
| |||||||
Software & Services — 7.0% | ||||||||
Accenture PLC, Class A | 68 | 9,185 | ||||||
Alphabet, Inc., Class A* | 2 | 1,948 | ||||||
Automatic Data Processing, Inc.† | 99 | 10,823 | ||||||
CA, Inc.† | 114 | 3,805 | ||||||
Citrix Systems, Inc.* | 55 | 4,225 | ||||||
CSRA, Inc.† | 92 | 2,969 | ||||||
eBay, Inc.†* | 103 | 3,961 | ||||||
Electronic Arts, Inc.†* | 171 | 20,188 | ||||||
International Business Machines Corp.† | 218 | 31,628 | ||||||
Intuit, Inc.† | 141 | 20,042 | ||||||
Oracle Corp.† | 720 | 34,812 | ||||||
Paychex, Inc.† | 200 | 11,992 | ||||||
Visa, Inc., Class A | 15 | 1,579 | ||||||
|
| |||||||
157,157 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 8.3% |
| |||||||
Apple, Inc.† | 364 | 56,100 | ||||||
Cisco Systems, Inc.† | 1,219 | 40,995 | ||||||
F5 Networks, Inc.†* | 37 | 4,461 | ||||||
FLIR Systems, Inc.† | 76 | 2,957 | ||||||
Harris Corp. | 67 | 8,823 | ||||||
Hewlett Packard Enterprise Co.† | 906 | 13,327 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
HP, Inc.† | 926 | $ | 18,483 | |||||
Juniper Networks, Inc.† | 218 | 6,067 | ||||||
Motorola Solutions, Inc.† | 61 | 5,177 | ||||||
NetApp, Inc. | 152 | 6,651 | ||||||
Seagate Technology PLC (Ireland)†(a) | 97 | 3,217 | ||||||
Western Digital Corp.† | 163 | 14,083 | ||||||
Xerox Corp. | 144 | 4,794 | ||||||
|
| |||||||
185,135 | ||||||||
|
| |||||||
Telecommunication Services — 3.4% |
| |||||||
AT&T, Inc.† | 802 | 31,414 | ||||||
CenturyLink, Inc.(a) | 2 | 38 | ||||||
Verizon Communications, Inc.† | 895 | 44,294 | ||||||
|
| |||||||
75,746 | ||||||||
|
| |||||||
Transportation — 6.3% | ||||||||
Alaska Air Group, Inc.† | 41 | 3,127 | ||||||
CSX Corp.† | 191 | 10,364 | ||||||
Delta Air Lines, Inc.† | 415 | 20,011 | ||||||
Expeditors International of Washington, Inc. | 99 | 5,926 | ||||||
FedEx Corp.† | 93 | 20,979 | ||||||
JB Hunt Transport Services, Inc. | 61 | 6,776 | ||||||
Norfolk Southern Corp. | 7 | 926 | ||||||
Southwest Airlines Co.† | 346 | 19,369 | ||||||
Union Pacific Corp.† | 232 | 26,905 | ||||||
United Continental Holdings, Inc.†* | 99 | 6,027 | ||||||
United Parcel Service, Inc., Class B† | 163 | 19,575 | ||||||
|
| |||||||
139,985 | ||||||||
|
| |||||||
Utilities — 2.0% | ||||||||
CMS Energy Corp. | 4 | 185 | ||||||
DTE Energy Co. | 98 | 10,521 | ||||||
FirstEnergy Corp. | 245 | 7,553 | ||||||
NRG Energy, Inc.† | 181 | 4,632 | ||||||
Public Service Enterprise Group, Inc.† | 278 | 12,858 | ||||||
WEC Energy Group, Inc.† | 136 | 8,538 | ||||||
|
| |||||||
44,287 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 2,507,782 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 112.0% | 2,507,782 | |||||||
|
| |||||||
(Cost $2,219,467) |
The accompanying notes are an integral part of the financial statements.
93
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
SHORT POSITIONS — (51.0)% | ||||||||
COMMON STOCKS — (51.0)% | ||||||||
Automobiles & Components — (0.6)% |
| |||||||
Ford Motor Co. | (996 | ) | $ | (11,922 | ) | |||
Goodyear Tire & Rubber Co. (The) | (63 | ) | (2,095 | ) | ||||
|
| |||||||
(14,017 | ) | |||||||
|
| |||||||
Banks — (4.8)% | ||||||||
Bank of America Corp. | (717 | ) | (18,169 | ) | ||||
BB&T Corp. | (203 | ) | (9,529 | ) | ||||
Citigroup, Inc. | (161 | ) | (11,711 | ) | ||||
Citizens Financial Group, Inc. | (126 | ) | (4,772 | ) | ||||
Comerica, Inc. | (45 | ) | (3,432 | ) | ||||
Fifth Third Bancorp | (187 | ) | (5,232 | ) | ||||
Huntington Bancshares, Inc. | (80 | ) | (1,117 | ) | ||||
JPMorgan Chase & Co. | (54 | ) | (5,157 | ) | ||||
M&T Bank Corp. | (39 | ) | (6,281 | ) | ||||
People’s United Financial, Inc. | (14 | ) | (254 | ) | ||||
PNC Financial Services Group, Inc. (The) | (23 | ) | (3,100 | ) | ||||
Regions Financial Corp. | (310 | ) | (4,721 | ) | ||||
SunTrust Banks, Inc. | (121 | ) | (7,232 | ) | ||||
US Bancorp | (223 | ) | (11,951 | ) | ||||
Wells Fargo & Co. | (220 | ) | (12,133 | ) | ||||
Zions Bancorporation | (50 | ) | (2,359 | ) | ||||
|
| |||||||
(107,150 | ) | |||||||
|
| |||||||
Capital Goods — (4.7)% | ||||||||
Acuity Brands, Inc. | (11 | ) | (1,884 | ) | ||||
AO Smith Corp. | (44 | ) | (2,615 | ) | ||||
Dover Corp. | (40 | ) | (3,656 | ) | ||||
Eaton Corp. PLC (Ireland) | (115 | ) | (8,831 | ) | ||||
Flowserve Corp. | (34 | ) | (1,448 | ) | ||||
Fluor Corp. | (35 | ) | (1,473 | ) | ||||
Fortive Corp. | (87 | ) | (6,159 | ) | ||||
Fortune Brands Home & Security, Inc. | (39 | ) | (2,622 | ) | ||||
General Dynamics Corp. | (52 | ) | (10,690 | ) | ||||
General Electric Co. | (503 | ) | (12,162 | ) | ||||
Illinois Tool Works, Inc. | (13 | ) | (1,923 | ) | ||||
Johnson Controls International PLC (Ireland) | (233 | ) | (9,388 | ) | ||||
L3 Technologies, Inc. | (20 | ) | (3,769 | ) | ||||
Masco Corp. | (79 | ) | (3,082 | ) | ||||
PACCAR, Inc. | (87 | ) | (6,294 | ) | ||||
Quanta Services, Inc.* | (38 | ) | (1,420 | ) | ||||
Raytheon Co. | (73 | ) | (13,620 | ) | ||||
Stanley Black & Decker, Inc. | (23 | ) | (3,472 | ) | ||||
Textron, Inc. | (68 | ) | (3,664 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
United Rentals, Inc.* | (22 | ) | $ | (3,052 | ) | |||
United Technologies Corp. | (37 | ) | (4,295 | ) | ||||
Xylem, Inc. | (2 | ) | (125 | ) | ||||
|
| |||||||
(105,644 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.4)% |
| |||||||
Cintas Corp. | (27 | ) | (3,895 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (30 | ) | (1,322 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (90 | ) | (3,730 | ) | ||||
|
| |||||||
(8,947 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.2)% |
| |||||||
Hanesbrands, Inc. | (80 | ) | (1,971 | ) | ||||
Leggett & Platt, Inc. | (34 | ) | (1,623 | ) | ||||
Mattel, Inc. | (86 | ) | (1,331 | ) | ||||
Mohawk Industries, Inc.* | (19 | ) | (4,703 | ) | ||||
Newell Brands, Inc. | (121 | ) | (5,163 | ) | ||||
NIKE, Inc., Class B | (85 | ) | (4,407 | ) | ||||
Under Armour, Inc., Class C* | (110 | ) | (1,652 | ) | ||||
VF Corp. | (99 | ) | (6,293 | ) | ||||
|
| |||||||
(27,143 | ) | |||||||
|
| |||||||
Consumer Services — (0.9)% | ||||||||
Carnival Corp. (Panama) | (184 | ) | (11,881 | ) | ||||
Darden Restaurants, Inc. | (27 | ) | (2,127 | ) | ||||
MGM Resorts International | (144 | ) | (4,693 | ) | ||||
Wynn Resorts Ltd. | (14 | ) | (2,085 | ) | ||||
Yum! Brands, Inc. | (3 | ) | (221 | ) | ||||
|
| |||||||
(21,007 | ) | |||||||
|
| |||||||
Diversified Financials — (3.6)% |
| |||||||
American Express Co. | (141 | ) | (12,755 | ) | ||||
Bank of New York Mellon Corp. (The) | (40 | ) | (2,121 | ) | ||||
Berkshire Hathaway, Inc., Class B* | (15 | ) | (2,750 | ) | ||||
Capital One Financial Corp. | (29 | ) | (2,455 | ) | ||||
Charles Schwab Corp. (The) | (107 | ) | (4,680 | ) | ||||
CME Group, Inc. | (85 | ) | (11,533 | ) | ||||
Discover Financial Services | (17 | ) | (1,096 | ) | ||||
E*TRADE Financial Corp.* | (22 | ) | (959 | ) | ||||
Goldman Sachs Group, Inc. (The) | (49 | ) | (11,622 | ) | ||||
Intercontinental Exchange, Inc. | (148 | ) | (10,168 | ) | ||||
Leucadia National Corp. | (90 | ) | (2,272 | ) | ||||
Morgan Stanley | (147 | ) | (7,081 | ) | ||||
Navient Corp. | (80 | ) | (1,202 | ) | ||||
Northern Trust Corp. | (58 | ) | (5,332 | ) | ||||
Raymond James Financial, Inc. | (9 | ) | (759 | ) |
The accompanying notes are an integral part of the financial statements.
94
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
State Street Corp. | (8 | ) | $ | (764 | ) | |||
Synchrony Financial | (127 | ) | (3,943 | ) | ||||
|
| |||||||
(81,492 | ) | |||||||
|
| |||||||
Energy — (4.5)% | ||||||||
Andeavor | (39 | ) | (4,023 | ) | ||||
Apache Corp. | (96 | ) | (4,397 | ) | ||||
Cimarex Energy Co. | (24 | ) | (2,728 | ) | ||||
Concho Resources, Inc.* | (37 | ) | (4,874 | ) | ||||
EOG Resources, Inc. | (13 | ) | (1,258 | ) | ||||
EQT Corp. | (44 | ) | (2,870 | ) | ||||
Exxon Mobil Corp. | (165 | ) | (13,527 | ) | ||||
Halliburton Co. | (23 | ) | (1,059 | ) | ||||
Helmerich & Payne, Inc. | (29 | ) | (1,511 | ) | ||||
Hess Corp. | (80 | ) | (3,751 | ) | ||||
Kinder Morgan, Inc. | (245 | ) | (4,699 | ) | ||||
National Oilwell Varco, Inc. | (97 | ) | (3,466 | ) | ||||
Newfield Exploration Co.* | (50 | ) | (1,484 | ) | ||||
Phillips 66 | (128 | ) | (11,726 | ) | ||||
Pioneer Natural Resources Co. | (42 | ) | (6,197 | ) | ||||
Schlumberger Ltd. (Curacao) | (326 | ) | (22,742 | ) | ||||
TechnipFMC PLC (United Kingdom)* | (117 | ) | (3,267 | ) | ||||
Williams Cos., Inc. (The) | (207 | ) | (6,212 | ) | ||||
|
| |||||||
(99,791 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (1.6)% |
| |||||||
Archer-Daniels-Midland Co. | (141 | ) | (5,994 | ) | ||||
Brown-Forman Corp., Class B | (7 | ) | (380 | ) | ||||
Constellation Brands, Inc., Class A | (10 | ) | (1,994 | ) | ||||
Hershey Co. (The) | (47 | ) | (5,131 | ) | ||||
Hormel Foods Corp. | (45 | ) | (1,446 | ) | ||||
McCormick & Co., Inc., non-voting shares | (32 | ) | (3,284 | ) | ||||
Mondelez International, Inc., Class A | (286 | ) | (11,629 | ) | ||||
Tyson Foods, Inc., Class A | (91 | ) | (6,411 | ) | ||||
|
| |||||||
(36,269 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (4.6)% |
| |||||||
Abbott Laboratories | (59 | ) | (3,148 | ) | ||||
Align Technology, Inc.* | (2 | ) | (372 | ) | ||||
Becton Dickinson and Co. | (58 | ) | (11,365 | ) | ||||
Boston Scientific Corp.* | (306 | ) | (8,926 | ) | ||||
Cardinal Health, Inc. | (80 | ) | (5,354 | ) | ||||
Cerner Corp.* | (87 | ) | (6,205 | ) | ||||
Cooper Cos., Inc. (The) | (13 | ) | (3,082 | ) | ||||
CR Bard, Inc. | (19 | ) | (6,089 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Danaher Corp. | (174 | ) | $ | (14,926 | ) | |||
DaVita, Inc.* | (49 | ) | (2,910 | ) | ||||
DENTSPLY SIRONA, Inc. | (58 | ) | (3,469 | ) | ||||
Edwards Lifesciences Corp.* | (52 | ) | (5,684 | ) | ||||
Henry Schein, Inc.* | (40 | ) | (3,280 | ) | ||||
Intuitive Surgical, Inc.* | (7 | ) | (7,321 | ) | ||||
Patterson Cos., Inc. | (24 | ) | (928 | ) | ||||
ResMed, Inc. | (36 | ) | (2,771 | ) | ||||
Stryker Corp. | (94 | ) | (13,350 | ) | ||||
Zimmer Biomet Holdings, Inc. | (41 | ) | (4,801 | ) | ||||
|
| |||||||
(103,981 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.2)% |
| |||||||
Coty, Inc., Class A | (190 | ) | (3,141 | ) | ||||
Procter & Gamble Co. (The) | (5 | ) | (455 | ) | ||||
|
| |||||||
(3,596 | ) | |||||||
|
| |||||||
Insurance — (3.2)% | ||||||||
Aflac, Inc. | (100 | ) | (8,139 | ) | ||||
Allstate Corp. (The) | (6 | ) | (551 | ) | ||||
American International Group, Inc. | (227 | ) | (13,935 | ) | ||||
Assurant, Inc. | (16 | ) | (1,528 | ) | ||||
Brighthouse Financial, Inc.* | (13 | ) | (790 | ) | ||||
Chubb Ltd. (Switzerland) | (25 | ) | (3,564 | ) | ||||
Cincinnati Financial Corp. | (42 | ) | (3,216 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (91 | ) | (5,044 | ) | ||||
Lincoln National Corp. | (15 | ) | (1,102 | ) | ||||
Loews Corp. | (85 | ) | (4,068 | ) | ||||
Marsh & McLennan Cos., Inc. | (72 | ) | (6,034 | ) | ||||
MetLife, Inc. | (3 | ) | (156 | ) | ||||
Principal Financial Group, Inc. | (73 | ) | (4,697 | ) | ||||
Prudential Financial, Inc. | (110 | ) | (11,695 | ) | ||||
Torchmark Corp. | (30 | ) | (2,403 | ) | ||||
Unum Group | (59 | ) | (3,017 | ) | ||||
XL Group Ltd. (Bermuda) | (20 | ) | (789 | ) | ||||
|
| |||||||
(70,728 | ) | |||||||
|
| |||||||
Materials — (2.5)% | ||||||||
Albemarle Corp. | (27 | ) | (3,680 | ) | ||||
DowDuPont, Inc. | (53 | ) | (3,669 | ) | ||||
Eastman Chemical Co. | (38 | ) | (3,439 | ) | ||||
Ecolab, Inc. | (69 | ) | (8,874 | ) | ||||
International Flavors & Fragrances, Inc. | (19 | ) | (2,715 | ) | ||||
International Paper Co. | (104 | ) | (5,909 | ) |
The accompanying notes are an integral part of the financial statements.
95
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
Martin Marietta Materials, Inc. | (17 | ) | $ | (3,506 | ) | |||
Monsanto Co. | (110 | ) | (13,180 | ) | ||||
Mosaic Co. (The) | (91 | ) | (1,965 | ) | ||||
Nucor Corp. | (80 | ) | (4,483 | ) | ||||
Sealed Air Corp. | (29 | ) | (1,239 | ) | ||||
Vulcan Materials Co. | (35 | ) | (4,186 | ) | ||||
|
| |||||||
(56,845 | ) | |||||||
|
| |||||||
Media — (0.3)% | ||||||||
DISH Network Corp., Class A* | (70 | ) | (3,796 | ) | ||||
Interpublic Group of Cos., Inc. (The) | (99 | ) | (2,058 | ) | ||||
|
| |||||||
(5,854 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (5.3)% |
| |||||||
Alexion Pharmaceuticals, Inc.* | (55 | ) | (7,716 | ) | ||||
Allergan PLC (Ireland) | (83 | ) | (17,011 | ) | ||||
Eli Lilly & Co. | (233 | ) | (19,931 | ) | ||||
Illumina, Inc.* | (36 | ) | (7,171 | ) | ||||
Incyte Corp.* | (53 | ) | (6,187 | ) | ||||
Merck & Co., Inc. | (95 | ) | (6,083 | ) | ||||
Mylan NV (Netherlands)* | (134 | ) | (4,204 | ) | ||||
PerkinElmer, Inc. | (16 | ) | (1,104 | ) | ||||
Perrigo Co. PLC (Ireland) | (35 | ) | (2,963 | ) | ||||
Pfizer, Inc. | (470 | ) | (16,779 | ) | ||||
Quintiles IMS Holdings, Inc.* | (20 | ) | (1,901 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (30 | ) | (13,414 | ) | ||||
Thermo Fisher Scientific, Inc. | (53 | ) | (10,028 | ) | ||||
Zoetis, Inc. | (71 | ) | (4,527 | ) | ||||
|
| |||||||
(119,019 | ) | |||||||
|
| |||||||
Real Estate — (2.1)% | ||||||||
American Tower Corp., REIT | (6 | ) | (820 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (9 | ) | (395 | ) | ||||
AvalonBay Communities, Inc., REIT | (5 | ) | (892 | ) | ||||
CBRE Group, Inc., Class A* | (85 | ) | (3,220 | ) | ||||
Crown Castle International Corp., REIT | (91 | ) | (9,098 | ) | ||||
Equity Residential, REIT | (82 | ) | (5,406 | ) | ||||
GGP, Inc., REIT | (221 | ) | (4,590 | ) | ||||
HCP, Inc., REIT | (118 | ) | (3,284 | ) | ||||
Iron Mountain, Inc., REIT | (67 | ) | (2,606 | ) | ||||
Kimco Realty Corp., REIT | (111 | ) | (2,170 | ) | ||||
Macerich Co. (The), REIT | (38 | ) | (2,089 | ) | ||||
SBA Communications Corp., REIT* | (31 | ) | (4,466 | ) | ||||
Simon Property Group, Inc., REIT | (3 | ) | (483 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) | ||||||||
SL Green Realty Corp., REIT | (27 | ) | $ | (2,736 | ) | |||
Welltower, Inc., REIT | (53 | ) | (3,725 | ) | ||||
|
| |||||||
(45,980 | ) | |||||||
|
| |||||||
Retailing — (2.0)% | ||||||||
Amazon.com, Inc.* | (24 | ) | (23,072 | ) | ||||
Expedia, Inc. | (23 | ) | (3,311 | ) | ||||
Gap, Inc. (The) | (37 | ) | (1,093 | ) | ||||
Kohl’s Corp. | (43 | ) | (1,963 | ) | ||||
L Brands, Inc. | (72 | ) | (2,996 | ) | ||||
Macy’s, Inc. | (77 | ) | (1,680 | ) | ||||
Priceline Group, Inc. (The)* | (2 | ) | (3,662 | ) | ||||
Tiffany & Co. | (32 | ) | (2,937 | ) | ||||
TripAdvisor, Inc.* | (38 | ) | (1,540 | ) | ||||
Ulta Beauty, Inc.* | (13 | ) | (2,939 | ) | ||||
|
| |||||||
(45,193 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (2.3)% |
| |||||||
Advanced Micro Devices, Inc.* | (238 | ) | (3,034 | ) | ||||
Analog Devices, Inc. | (93 | ) | (8,014 | ) | ||||
Broadcom Ltd. (Singapore) | (94 | ) | (22,799 | ) | ||||
Microchip Technology, Inc. | (15 | ) | (1,347 | ) | ||||
NVIDIA Corp. | (56 | ) | (10,011 | ) | ||||
Qorvo, Inc.* | (33 | ) | (2,332 | ) | ||||
QUALCOMM, Inc. | (65 | ) | (3,370 | ) | ||||
|
| |||||||
(50,907 | ) | |||||||
|
| |||||||
Software & Services — (3.3)% | ||||||||
Activision Blizzard, Inc. | (189 | ) | (12,192 | ) | ||||
Adobe Systems, Inc.* | (28 | ) | (4,177 | ) | ||||
Akamai Technologies, Inc.* | (44 | ) | (2,144 | ) | ||||
Alliance Data Systems Corp. | (15 | ) | (3,323 | ) | ||||
ANSYS, Inc.* | (5 | ) | (614 | ) | ||||
Cadence Design Systems, Inc.* | (70 | ) | (2,763 | ) | ||||
DXC Technology Co. | (71 | ) | (6,097 | ) | ||||
Facebook, Inc., Class A* | (45 | ) | (7,689 | ) | ||||
Fidelity National Information Services, Inc. | (84 | ) | (7,845 | ) | ||||
Fiserv, Inc.* | (26 | ) | (3,353 | ) | ||||
Gartner, Inc.* | (23 | ) | (2,861 | ) | ||||
Global Payments, Inc. | (38 | ) | (3,611 | ) | ||||
PayPal Holdings, Inc.* | (137 | ) | (8,772 | ) | ||||
salesforce.com, Inc.* | (23 | ) | (2,149 | ) | ||||
Synopsys, Inc.* | (6 | ) | (483 | ) | ||||
Verisign, Inc.* | (35 | ) | (3,724 | ) |
The accompanying notes are an integral part of the financial statements.
96
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Western Union Co. (The) | (118 | ) | $ | (2,266 | ) | |||
|
| |||||||
(74,063 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.4)% |
| |||||||
Amphenol Corp., Class A | (29 | ) | (2,455 | ) | ||||
Corning, Inc. | (226 | ) | (6,762 | ) | ||||
|
| |||||||
(9,217 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.2)% |
| |||||||
Level 3 Communications, Inc.* | (94 | ) | (5,009 | ) | ||||
|
| |||||||
Transportation — (0.3)% |
| |||||||
American Airlines Group, Inc. | (130 | ) | (6,174 | ) | ||||
Kansas City Southern | (6 | ) | (652 | ) | ||||
|
| |||||||
(6,826 | ) | |||||||
|
| |||||||
Utilities — (2.0)% | ||||||||
Alliant Energy Corp. | (57 | ) | (2,369 | ) | ||||
American Electric Power Co., Inc. | (57 | ) | (4,004 | ) | ||||
American Water Works Co., Inc. | (45 | ) | (3,641 | ) | ||||
Consolidated Edison, Inc. | (76 | ) | (6,132 | ) | ||||
Duke Energy Corp. | (9 | ) | (755 | ) | ||||
Entergy Corp. | (45 | ) | (3,436 | ) | ||||
Eversource Energy | (79 | ) | (4,775 | ) | ||||
Exelon Corp. | (38 | ) | (1,431 | ) | ||||
PG&E Corp. | (128 | ) | (8,716 | ) | ||||
Pinnacle West Capital Corp. | (27 | ) | (2,283 | ) | ||||
PPL Corp. | (172 | ) | (6,527 | ) | ||||
SCANA Corp. | (6 | ) | (291 | ) | ||||
|
| |||||||
(44,360 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $1,123,503) | (1,143,038 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (51.0)% |
| (1,143,038 | ) | |||||
|
| |||||||
(Proceeds $1,123,503) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.0% | 873,856 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,238,600 | ||||||
|
|
† | 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) |
* | Non-income producing. |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
97
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 172.7% |
| |||||||
COMMON STOCKS — 172.7% |
| |||||||
Automobiles & Components — 3.9% |
| |||||||
BorgWarner, Inc.†(a) | 19,740 | $ | 1,011,280 | |||||
Cooper-Standard Holdings, | 4,453 | 516,414 | ||||||
Delphi Automotive PLC | 55,727 | 5,483,537 | ||||||
Dorman Products, Inc.(a)* | 533 | 38,173 | ||||||
General Motors Co.†(a)(b) | 356,942 | 14,413,318 | ||||||
Gentex Corp.†(a) | 111,064 | 2,199,067 | ||||||
Goodyear Tire & Rubber Co. (The)(a) | 11,808 | 392,616 | ||||||
Harley-Davidson, Inc.(a) | 55,985 | 2,699,037 | ||||||
Lear Corp.†(a)(b) | 17,914 | 3,100,555 | ||||||
Motorcar Parts of America, | 5,332 | 157,081 | ||||||
Standard Motor Products, Inc.(a) | 5,121 | 247,088 | ||||||
Tenneco, Inc.(a) | 3,116 | 189,048 | ||||||
Thor Industries, Inc.(a) | 5,845 | 735,944 | ||||||
Visteon Corp.(b)* | 14,482 | 1,792,437 | ||||||
Winnebago Industries, Inc.†(a) | 47,188 | 2,111,663 | ||||||
|
| |||||||
35,087,258 | ||||||||
|
| |||||||
Capital Goods — 22.2% | ||||||||
3M Co.†(a) | 6,328 | 1,328,247 | ||||||
Acuity Brands, Inc.(a) | 15,293 | 2,619,385 | ||||||
Aerovironment, Inc.(a)* | 5,346 | 289,325 | ||||||
Allegion PLC (Ireland)†(a) | 25,708 | 2,222,971 | ||||||
Allison Transmission Holdings, Inc.(a) | 103,772 | 3,894,563 | ||||||
American Woodmark Corp.†(a)* | 6,112 | 588,280 | ||||||
AMETEK, Inc.†(a) | 91,870 | 6,067,095 | ||||||
Applied Industrial Technologies, Inc.(a) | 13,836 | 910,409 | ||||||
Arconic, Inc.(a)(b) | 249,040 | 6,196,115 | ||||||
Argan, Inc.†(a) | 38,461 | 2,586,502 | ||||||
Atkore International Group, | 14,329 | 279,559 | ||||||
Barnes Group, Inc.†(a) | 4,355 | 306,766 | ||||||
Blue Bird Corp.(a)* | 320 | 6,592 | ||||||
Boeing Co. (The)(b) | 62,367 | 15,854,315 | ||||||
Briggs & Stratton Corp.(a) | 3,309 | 77,762 | ||||||
BWX Technologies, Inc.(a) | 13,979 | 783,103 | ||||||
Caterpillar, Inc.†(a) | 120,330 | 15,006,354 | ||||||
Chart Industries, Inc.†* | 20,952 | 821,947 | ||||||
Continental Building Products, Inc.†(a)* | 53,618 | 1,394,068 | ||||||
Crane Co.(a)(b) | 26,323 | 2,105,577 | ||||||
CSW Industrials, Inc.* | 643 | 28,517 | ||||||
Cummins, Inc.(a)(b) | 59,441 | 9,987,871 | ||||||
Curtiss-Wright Corp.† | 2,487 | 259,991 | ||||||
Deere & Co.(a)(b) | 24,056 | 3,021,193 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
DigitalGlobe, Inc.†(a)* | 31,997 | $ | 1,127,894 | |||||
Donaldson Co., Inc.(a) | 3,173 | 145,768 | ||||||
EMCOR Group, Inc.†(a) | 39,520 | 2,741,898 | ||||||
Emerson Electric Co.† | 15,468 | 972,009 | ||||||
EnerSys† | 15,078 | 1,042,945 | ||||||
Engility Holdings, Inc.(a)* | 536 | 18,588 | ||||||
Fastenal Co.(a) | 92,463 | 4,214,464 | ||||||
Flowserve Corp.(a) | 14,894 | 634,335 | ||||||
Fortive Corp.† | 28,093 | 1,988,703 | ||||||
Fortune Brands Home & Security, Inc.(a) | 16,972 | 1,141,028 | ||||||
General Cable Corp.(a) | 3,316 | 62,507 | ||||||
General Electric Co.†(a) | 1,010 | 24,422 | ||||||
Gibraltar Industries, Inc.†(a)* | 51,763 | 1,612,417 | ||||||
GMS, Inc.* | 40,803 | 1,444,426 | ||||||
Gorman-Rupp Co. (The)(a) | 4,566 | 148,715 | ||||||
Graco, Inc.(a) | 3,463 | 428,338 | ||||||
Griffon Corp.(a) | 260 | 5,772 | ||||||
Harsco Corp.* | 59,381 | 1,241,063 | ||||||
HD Supply Holdings, Inc.(a)* | 23,891 | 861,748 | ||||||
Hillenbrand, Inc.†(a) | 42,990 | 1,670,162 | ||||||
Honeywell International, Inc.†(a) | 67,367 | 9,548,599 | ||||||
Hubbell, Inc.† | 14,999 | 1,740,184 | ||||||
Huntington Ingalls Industries, Inc.† | 2 | 453 | ||||||
IDEX Corp.(a) | 3,992 | 484,908 | ||||||
Illinois Tool Works, Inc.†(a) | 35,176 | 5,204,641 | ||||||
Ingersoll-Rand PLC (Ireland)† | 65,676 | 5,856,329 | ||||||
Jacobs Engineering Group, | 71,901 | 4,189,671 | ||||||
Kadant, Inc. | 1,971 | 194,242 | ||||||
Kennametal, Inc.(a) | 62,834 | 2,534,724 | ||||||
L3 Technologies, Inc.† | 2,622 | 494,063 | ||||||
Lockheed Martin Corp.(a)(b) | 25,963 | 8,056,059 | ||||||
Masco Corp.†(a) | 74,849 | 2,919,859 | ||||||
Meritor, Inc.(a)* | 46,353 | 1,205,642 | ||||||
Moog, Inc., Class A†(a)* | 5,452 | 454,860 | ||||||
MSC Industrial Direct Co., Inc., Class A(a) | 8,574 | 647,937 | ||||||
Mueller Industries, Inc. | 9,368 | 327,412 | ||||||
Mueller Water Products, Inc., Class A† | 75,548 | 967,014 | ||||||
Northrop Grumman Corp.†(a) | 6,021 | 1,732,362 | ||||||
Oshkosh Corp.† | 19,687 | 1,624,965 | ||||||
PACCAR, Inc.(a)(b) | 45,811 | 3,313,968 | ||||||
Pentair PLC (Ireland)†(b) | 77,166 | 5,244,201 |
The accompanying notes are an integral part of the financial statements.
98
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Primoris Services Corp. | 18,102 | $ | 532,561 | |||||
Regal Beloit Corp.† | 17,545 | 1,386,055 | ||||||
Rexnord Corp.†(a)* | 78,524 | 1,995,295 | ||||||
Rockwell Automation, Inc.(a)(b) | 49,289 | 8,783,793 | ||||||
Rush Enterprises, Inc., Class A(a)* | 13,263 | 613,944 | ||||||
Snap-on, Inc.(a) | 21,034 | 3,134,276 | ||||||
Spirit AeroSystems Holdings, Inc., Class A†(a) | 54,058 | 4,201,388 | ||||||
SPX Corp.†* | 51,499 | 1,510,981 | ||||||
SPX FLOW, Inc.(a)* | 15,621 | 602,346 | ||||||
Stanley Black & Decker, Inc.† | 1,352 | 204,111 | ||||||
Terex Corp.(a) | 64,682 | 2,911,984 | ||||||
Textainer Group Holdings Ltd. (Bermuda)(a)* | 10,928 | 187,415 | ||||||
Textron, Inc.†(a) | 66,586 | 3,587,654 | ||||||
Toro Co. (The) | 2,027 | 125,796 | ||||||
TransDigm Group, Inc.(a) | 12,679 | 3,241,386 | ||||||
TriMas Corp.(a)* | 15,384 | 415,368 | ||||||
Tutor Perini Corp.(a)* | 1,224 | 34,762 | ||||||
United Rentals, Inc.†* | 2 | 277 | ||||||
United Technologies Corp.†(a) | 21,825 | 2,533,446 | ||||||
Univar, Inc.†* | 11,116 | 321,586 | ||||||
USG Corp.(a)* | 13,500 | 440,775 | ||||||
Valmont Industries, Inc.(a) | 1,600 | 252,960 | ||||||
Wabash National Corp.(a) | 125,357 | 2,860,647 | ||||||
Watts Water Technologies, Inc., Class A(a) | 5,116 | 354,027 | ||||||
Welbilt, Inc.(a)* | 468 | 10,787 | ||||||
WW Grainger, Inc.(a) | 22,768 | 4,092,548 | ||||||
|
| |||||||
199,241,970 | ||||||||
|
| |||||||
Commercial & Professional Services — 3.2% |
| |||||||
Copart, Inc.(a)(b)* | 42,689 | 1,467,221 | ||||||
Deluxe Corp.(a) | 14,733 | 1,074,920 | ||||||
Herman Miller, Inc.(a) | 4,627 | 166,109 | ||||||
ICF International, Inc.†* | 2,588 | 139,623 | ||||||
KAR Auction Services, Inc.† | 48,808 | 2,330,094 | ||||||
Kelly Services, Inc., | 11,810 | 296,313 | ||||||
Kimball International, Inc., Class B | 3,322 | 65,676 | ||||||
Korn/Ferry International†(a) | 37,317 | 1,471,409 | ||||||
LSC Communications, Inc.(a) | 2,907 | 47,995 | ||||||
ManpowerGroup, Inc.† | 1,978 | 233,048 | ||||||
MSA Safety, Inc.(a) | 8,002 | 636,239 | ||||||
Quad/Graphics, Inc.†(a) | 35,893 | 811,541 | ||||||
Republic Services, Inc.†(a) | 48,408 | 3,197,832 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Robert Half International, Inc.†(a) | 76,775 | $ | 3,864,854 | |||||
RPX Corp.(a)* | 21,916 | 291,044 | ||||||
SP Plus Corp.(a)* | 14,463 | 571,288 | ||||||
Stericycle, Inc.(b)* | 14,640 | 1,048,517 | ||||||
Tetra Tech, Inc.(a)(b) | 34,591 | 1,610,211 | ||||||
TransUnion(a)* | 28,049 | 1,325,596 | ||||||
TriNet Group, Inc.(a)* | 11,376 | 382,461 | ||||||
TrueBlue, Inc.†* | 18,140 | 407,243 | ||||||
Verisk Analytics, Inc.(a)* | 34,033 | 2,831,205 | ||||||
VSE Corp.(a) | 731 | 41,565 | ||||||
Waste Management, Inc.†(b) | 56,211 | 4,399,635 | ||||||
West Corp.(a) | 797 | 18,706 | ||||||
|
| |||||||
28,730,345 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 5.1% |
| |||||||
Brunswick Corp | 15,745 | 881,248 | ||||||
Cavco Industries, Inc.†(a)* | 9,602 | 1,416,775 | ||||||
Coach, Inc. | 131,665 | 5,303,466 | ||||||
Crocs, Inc.(a)* | 22,531 | 218,551 | ||||||
DR Horton, Inc.† | 108,462 | 4,330,888 | ||||||
Ethan Allen Interiors, Inc.(a) | 13,054 | 422,950 | ||||||
Garmin Ltd. (Switzerland)†(a) | 98,763 | 5,330,239 | ||||||
Gildan Activewear, Inc. (Canada) | 8,500 | 265,880 | ||||||
Hasbro, Inc.(a)(b) | 22,713 | 2,218,379 | ||||||
Johnson Outdoors, Inc., Class A(a) | 1,142 | 83,686 | ||||||
La-Z-Boy, Inc.(b) | 21,309 | 573,212 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 73,209 | 3,503,051 | ||||||
NIKE, Inc., Class B(b) | 28,589 | 1,482,340 | ||||||
Oxford Industries, Inc.(a) | 4,322 | 274,620 | ||||||
PulteGroup, Inc.(a)(b) | 139,218 | 3,804,828 | ||||||
PVH Corp.(b) | 6,276 | 791,153 | ||||||
Ralph Lauren Corp.†(a)(b) | 57,759 | 5,099,542 | ||||||
TopBuild Corp.(a)(b)* | 40,923 | 2,666,952 | ||||||
Tupperware Brands Corp.(a)(b) | 16,986 | 1,050,075 | ||||||
Whirlpool Corp.†(a) | 24,596 | 4,536,486 | ||||||
Wolverine World Wide, Inc.(a) | 45,358 | 1,308,578 | ||||||
|
| |||||||
45,562,899 | ||||||||
|
| |||||||
Consumer Services — 7.2% | ||||||||
Adtalem Global Education, | 60,364 | 2,164,049 | ||||||
Bob Evans Farms, Inc.(a) | 29,173 | 2,261,199 | ||||||
Boyd Gaming Corp.(a) | 72,905 | 1,899,175 | ||||||
Brinker International, Inc.(a) | 23,252 | 740,809 | ||||||
Buffalo Wild Wings, Inc.(a)* | 147 | 15,538 | ||||||
Capella Education Co.†(a) | 5,816 | 407,992 |
The accompanying notes are an integral part of the financial statements.
99
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Cheesecake Factory, Inc. | 19,738 | $ | 831,365 | |||||
Choice Hotels International, Inc. | 11,077 | 707,820 | ||||||
Churchill Downs, Inc.(a) | 4,486 | 925,013 | ||||||
Cracker Barrel Old Country Store, Inc.(a) | 8,120 | 1,231,154 | ||||||
Darden Restaurants, Inc.† | 7,832 | 617,005 | ||||||
DineEquity, Inc.(a) | 30,855 | 1,326,148 | ||||||
Eldorado Resorts, Inc.(a)* | 42,566 | 1,091,818 | ||||||
Graham Holdings Co., Class B† | 876 | 512,548 | ||||||
Grand Canyon Education, | 2,418 | 219,603 | ||||||
Hilton Worldwide Holdings, | 109,839 | 7,628,319 | ||||||
Jack in the Box, Inc.†(a) | 6,567 | 669,309 | ||||||
K12, Inc.(a)* | 9,065 | 161,720 | ||||||
La Quinta Holdings, Inc.†* | 8,852 | 154,910 | ||||||
Las Vegas Sands Corp.(a) | 9,232 | 592,325 | ||||||
Marriott International, Inc., | 73,689 | 8,124,949 | ||||||
McDonald’s Corp.† | 26,219 | 4,107,993 | ||||||
Regis Corp.(a)* | 1,128 | 16,097 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)†(a) | 63,362 | 7,510,931 | ||||||
Ruth’s Hospitality Group, Inc.(a) | 3,954 | 82,836 | ||||||
Service Corp. International(a) | 11,424 | 394,128 | ||||||
Sonic Corp.† | 39,612 | 1,008,125 | ||||||
Speedway Motorsports, Inc.(a) | 278 | 5,921 | ||||||
Stars Group, Inc. (The) (Canada)* | 888 | 18,204 | ||||||
Vail Resorts, Inc.(a)(b) | 19,560 | 4,462,027 | ||||||
Weight Watchers International, Inc.†(a)* | 57,023 | 2,483,352 | ||||||
Wyndham Worldwide Corp.†(a) | 59,775 | 6,300,883 | ||||||
Yum! Brands, Inc.†(a)(b) | 86,620 | 6,376,098 | ||||||
|
| |||||||
65,049,363 | ||||||||
|
| |||||||
Energy — 3.9% | ||||||||
Archrock, Inc.† | 157,676 | 1,978,834 | ||||||
Cenovus Energy, Inc. (Canada) | 39,104 | 391,822 | ||||||
Chevron Corp.†(a) | 13,003 | 1,527,852 | ||||||
CONSOL Energy, Inc.†(a)* | 74,447 | 1,261,132 | ||||||
CVR Energy, Inc.(a) | 100,972 | 2,615,175 | ||||||
Delek US Holdings, Inc.†(a) | 71,415 | 1,908,923 | ||||||
Diamond Offshore Drilling, | 15,938 | 231,101 | ||||||
Exterran Corp.†* | 49,263 | 1,557,203 | ||||||
Fairmount Santrol Holdings, | 167,888 | 802,505 | ||||||
Halliburton Co.†(a) | 12,366 | 569,207 | ||||||
Imperial Oil Ltd. (Canada)(a) | 26,070 | 832,676 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
McDermott International, Inc. (Panama)†(a)* | 366,701 | $ | 2,665,916 | |||||
Occidental Petroleum Corp.(b) | 43,336 | 2,782,605 | ||||||
Oceaneering International, Inc.(a) | 55,511 | 1,458,274 | ||||||
ONEOK, Inc.†(a) | 27,540 | 1,525,991 | ||||||
Par Pacific Holdings, Inc.(a)* | 1,353 | 28,142 | ||||||
Phillips 66(a) | 2,538 | 232,506 | ||||||
REX American Resources Corp.†* | 3,136 | 294,251 | ||||||
Rowan Cos. PLC, Class A (United Kingdom)†* | 57,807 | 742,820 | ||||||
Ship Finance International Ltd. (Bermuda)(a) | 151,831 | 2,201,550 | ||||||
Tidewater, Inc.(a)* | 1,215 | 35,332 | ||||||
TransCanada Corp. (Canada) | 72,077 | 3,562,766 | ||||||
Transocean Ltd. (Switzerland)(a)* | 456,951 | 4,916,793 | ||||||
Valero Energy Corp.†(a) | 14,740 | 1,133,948 | ||||||
|
| |||||||
35,257,324 | ||||||||
|
| |||||||
Food & Staples Retailing — 5.0% |
| |||||||
CVS Health Corp.† | 174,147 | 14,161,634 | ||||||
Kroger Co. (The)†(a) | 158,772 | 3,184,966 | ||||||
SUPERVALU, Inc.(a)* | 2 | 44 | ||||||
Sysco Corp.†(a) | 149,425 | 8,061,479 | ||||||
United Natural Foods, Inc.(a)* | 29,808 | 1,239,715 | ||||||
Walgreens Boots Alliance, Inc.† | 107,852 | 8,328,331 | ||||||
Wal-Mart Stores, Inc.† | 123,110 | 9,619,815 | ||||||
|
| |||||||
44,595,984 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 7.0% |
| |||||||
Altria Group, Inc.† | 159,936 | 10,143,141 | ||||||
Brown-Forman Corp., Class B†(a) | 45,375 | 2,463,862 | ||||||
Coca-Cola Co. (The)†(b) | 114,577 | 5,157,111 | ||||||
Conagra Brands, Inc.†(a)(b) | 125,026 | 4,218,377 | ||||||
Dean Foods Co.(a) | 44,794 | 487,359 | ||||||
Dr Pepper Snapple Group, Inc.† | 63,617 | 5,628,196 | ||||||
Flowers Foods, Inc.(a) | 49,815 | 937,020 | ||||||
General Mills, Inc.†(a) | 63,379 | 3,280,497 | ||||||
Hershey Co. (The)(a) | 3,689 | 402,728 | ||||||
Hormel Foods Corp.(a) | 130,472 | 4,193,370 | ||||||
Ingredion, Inc.†(a) | 14,575 | 1,758,328 | ||||||
JM Smucker Co. (The)(a)(b) | 10,150 | 1,065,040 | ||||||
Kellogg Co.(a) | 103,501 | 6,455,357 | ||||||
Kraft Heinz Co. (The)† | 44,853 | 3,478,350 | ||||||
Lamb Weston Holdings, Inc. | 5,242 | 245,797 | ||||||
Molson Coors Brewing Co., Class B(b) | 45,324 | 3,700,251 |
The accompanying notes are an integral part of the financial statements.
100
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Mondelez International, Inc., Class A† | 41,774 | $ | 1,698,531 | |||||
PepsiCo, Inc.† | 27,272 | 3,038,919 | ||||||
Philip Morris International, | 7,002 | 777,292 | ||||||
Sanderson Farms, Inc.(a) | 17,926 | 2,895,408 | ||||||
SunOpta, Inc. (Canada)* | 3,447 | 29,989 | ||||||
TreeHouse Foods, Inc.(a)* | 12,444 | 842,832 | ||||||
Universal Corp.† | 2,150 | 123,195 | ||||||
|
| |||||||
63,020,950 | ||||||||
|
| |||||||
Health Care Equipment & Services — 12.6% |
| |||||||
Abaxis, Inc.(a) | 2,500 | 111,625 | ||||||
Abbott Laboratories†(a) | 16,530 | 882,041 | ||||||
Acadia Healthcare Co., Inc.(a)* | 46,856 | 2,237,842 | ||||||
Allscripts Healthcare Solutions, Inc.(a)* | 13,024 | 185,331 | ||||||
AmerisourceBergen Corp.†(a)(b) | 67,562 | 5,590,756 | ||||||
AMN Healthcare Services, | 63,528 | 2,903,230 | ||||||
Analogic Corp.†(a) | 6,881 | 576,284 | ||||||
AngioDynamics, Inc.(a)* | 16,683 | 285,112 | ||||||
Anika Therapeutics, Inc.†(a)* | 10,868 | 630,344 | ||||||
Baxter International, Inc.(b) | 68,267 | 4,283,754 | ||||||
Becton Dickinson and Co.(a) | 9,164 | 1,795,686 | ||||||
Boston Scientific Corp.†(a)* | 13,441 | 392,074 | ||||||
Cerner Corp.†(a)(b)* | 55,121 | 3,931,230 | ||||||
Chemed Corp.†(a) | 4,636 | 936,704 | ||||||
Community Health Systems, Inc.†(a)* | 113,775 | 873,792 | ||||||
CONMED Corp.(a) | 20,658 | 1,083,925 | ||||||
Cooper Cos., Inc. (The)† | 1,073 | 254,419 | ||||||
CorVel Corp.* | 562 | 30,573 | ||||||
Cotiviti Holdings, Inc.(a)(b)* | 71,558 | 2,574,657 | ||||||
CR Bard, Inc.†(a) | 4,129 | 1,323,344 | ||||||
Danaher Corp.(a) | 11,422 | 979,779 | ||||||
Express Scripts Holding Co.†(a)* | 187,655 | 11,882,315 | ||||||
Globus Medical, Inc., Class A(a)* | 79,742 | 2,369,932 | ||||||
Haemonetics Corp.(a)* | 9,326 | 418,458 | ||||||
Halyard Health, Inc.†(a)* | 48,426 | 2,180,623 | ||||||
HCA Healthcare, Inc.†(b)* | 78,165 | 6,221,152 | ||||||
HealthSouth Corp.†(a) | 5,342 | 247,602 | ||||||
Hill-Rom Holdings, Inc.(a)(b) | 27,930 | 2,066,820 | ||||||
Hologic, Inc.(a)(b)* | 77,026 | 2,826,084 | ||||||
ICU Medical, Inc.†* | 941 | 174,885 | ||||||
IDEXX Laboratories, Inc.(a)* | 1,275 | 198,250 | ||||||
Inogen, Inc.(a)* | 1,359 | 129,241 | ||||||
Integer Holdings Corp.†(a)* | 43,165 | 2,207,890 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Kindred Healthcare, Inc.† | 12,975 | $ | 88,230 | |||||
Laboratory Corp. of America Holdings†(a)* | 32,085 | 4,843,872 | ||||||
Landauer, Inc. | 87 | 5,855 | ||||||
Lantheus Holdings, Inc.(a)* | 9,738 | 173,336 | ||||||
LHC Group, Inc.(a)* | 10,241 | 726,292 | ||||||
LifePoint Health, Inc.(a)* | 6,860 | 397,194 | ||||||
Masimo Corp.†(a)* | 17,018 | 1,473,078 | ||||||
McKesson Corp.† | 58,089 | 8,923,051 | ||||||
MEDNAX, Inc.(a)* | 11,706 | 504,763 | ||||||
Medtronic PLC (Ireland)† | 70,453 | 5,479,130 | ||||||
Meridian Bioscience, Inc.†(a) | 52,211 | 746,617 | ||||||
National HealthCare Corp.(a) | 280 | 17,520 | ||||||
Omnicell, Inc.(a)* | 3,669 | 187,302 | ||||||
Patterson Cos., Inc.(a) | 9,889 | 382,210 | ||||||
Quality Systems, Inc.(a)* | 31,593 | 496,958 | ||||||
Quest Diagnostics, Inc.†(a) | 39,098 | 3,661,137 | ||||||
Select Medical Holdings Corp.†* | 23,994 | 460,685 | ||||||
STERIS PLC (United Kingdom)†(a)(b) | 23,757 | 2,100,119 | ||||||
Stryker Corp.(a)(b) | 13,442 | 1,909,033 | ||||||
Tivity Health, Inc.(a)* | 31,132 | 1,270,186 | ||||||
Universal Health Services, Inc., Class B†(a) | 26,154 | 2,901,525 | ||||||
Varian Medical Systems, Inc.†(a)* | 73,171 | 7,321,490 | ||||||
Veeva Systems, Inc., Class A* | 36,226 | 2,043,509 | ||||||
Zimmer Biomet Holdings, Inc.† | 37,551 | 4,396,847 | ||||||
|
| |||||||
113,295,693 | ||||||||
|
| |||||||
Household & Personal Products — 3.2% |
| |||||||
Avon Products, Inc.* | 34,925 | 81,375 | ||||||
Central Garden & Pet Co., Class A†* | 20,700 | 769,833 | ||||||
Church & Dwight Co., Inc.†(a) | 34,503 | 1,671,670 | ||||||
Clorox Co. (The)(a) | 58,502 | 7,716,999 | ||||||
Colgate-Palmolive Co.†(a)(b) | 38,408 | 2,798,023 | ||||||
Edgewell Personal Care | 10,150 | 738,616 | ||||||
Estee Lauder Cos., Inc. (The), Class A†(a)(b) | 59,507 | 6,417,235 | ||||||
Kimberly-Clark Corp.†(a) | 69,379 | 8,164,521 | ||||||
Procter & Gamble Co. (The)(a) | 1,619 | 147,297 | ||||||
|
| |||||||
28,505,569 | ||||||||
|
| |||||||
Materials — 4.3% |
| |||||||
Advansix, Inc.(a)* | 1,905 | 75,724 | ||||||
AptarGroup, Inc.(a) | 3,277 | 282,838 | ||||||
Ashland Global Holdings, Inc.† | 21,643 | 1,415,236 | ||||||
Ball Corp.(a) | 7,471 | 308,552 |
The accompanying notes are an integral part of the financial statements.
101
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Bemis Co., Inc.(a) | 13,902 | $ | 633,514 | |||||
Chase Corp.(a) | 122 | 13,591 | ||||||
Chemours Co. (The)† | 4,523 | 228,909 | ||||||
Domtar Corp.†(a)(b) | 65,376 | 2,836,665 | ||||||
Eagle Materials, Inc.(a) | 377 | 40,226 | ||||||
FMC Corp.(a) | 1,093 | 97,616 | ||||||
FutureFuel Corp. | 11,656 | 183,465 | ||||||
Huntsman Corp.���(a) | 26,838 | 735,898 | ||||||
Innophos Holdings, Inc.† | 8,970 | 441,234 | ||||||
Koppers Holdings, Inc.†* | 6,894 | 318,158 | ||||||
Kronos Worldwide, Inc.(a) | 51,464 | 1,174,923 | ||||||
Louisiana-Pacific Corp.†(a)* | 168,751 | 4,569,777 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 19,636 | 1,944,946 | ||||||
Martin Marietta Materials, Inc.(b) | 9,075 | 1,871,537 | ||||||
Methanex Corp. (Canada)(a) | 126,383 | 6,357,065 | ||||||
Minerals Technologies, Inc.† | 13,056 | 922,406 | ||||||
Myers Industries, Inc. | 888 | 18,604 | ||||||
Neenah Paper, Inc.(a) | 1,326 | 113,439 | ||||||
Olin Corp.(a) | 6,847 | 234,510 | ||||||
Packaging Corp. of America†(b) | 30,924 | 3,546,364 | ||||||
Quaker Chemical Corp.(a) | 906 | 134,043 | ||||||
Scotts Miracle-Gro Co. (The)(a) | 9,632 | 937,579 | ||||||
Trinseo SA (Luxembourg)† | 8,162 | 547,670 | ||||||
Tronox Ltd., Class A | 95,483 | 2,014,691 | ||||||
Westlake Chemical Corp.(a)(b) | 63,035 | 5,237,578 | ||||||
WR Grace & Co.(b) | 21,241 | 1,532,538 | ||||||
|
| |||||||
38,769,296 | ||||||||
|
| |||||||
Media — 8.4% | ||||||||
AMC Networks, Inc., | 10,729 | 627,325 | ||||||
CBS Corp., Class B, non-voting shares† | 93,970 | 5,450,260 | ||||||
Comcast Corp., Class A† | 230,434 | 8,867,100 | ||||||
Discovery Communications, Inc., Class A(a)* | 171,444 | 3,650,043 | ||||||
DISH Network Corp., | 69,854 | 3,788,182 | ||||||
Gannett Co., Inc.(a) | 87,101 | 783,909 | ||||||
Interpublic Group of Cos., Inc. (The)† | 81,859 | 1,701,849 | ||||||
Loral Space & Communications, Inc.(a)* | 549 | 27,176 | ||||||
MSG Networks, Inc., | 110,691 | 2,346,649 | ||||||
News Corp., Class A(a)(b) | 253,431 | 3,360,495 | ||||||
Omnicom Group, Inc.(a) | 104,546 | 7,743,722 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Scripps Networks Interactive, Inc., Class A(a) | 38,439 | $ | 3,301,526 | |||||
TEGNA, Inc.† | 18,421 | 245,552 | ||||||
Time Warner, Inc.† | 100,014 | 10,246,434 | ||||||
Tribune Media Co., Class A | 17,540 | 716,684 | ||||||
Twenty-First Century Fox, Inc., Class A†(b) | 482,076 | 12,717,165 | ||||||
Viacom, Inc., Class B†(a) | 36,872 | 1,026,516 | ||||||
Walt Disney Co. (The)†(a) | 85,261 | 8,404,177 | ||||||
|
| |||||||
75,004,764 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 15.8% |
| |||||||
AbbVie, Inc.†(a) | 147,346 | 13,093,165 | ||||||
Acorda Therapeutics, Inc.(a)* | 54,290 | 1,283,958 | ||||||
Agilent Technologies, Inc.† | 16,526 | 1,060,969 | ||||||
Akorn, Inc.†* | 30,149 | 1,000,645 | ||||||
Alexion Pharmaceuticals, Inc.(a)* | 6,481 | 909,219 | ||||||
AMAG Pharmaceuticals, Inc.†* | 52,597 | 970,415 | ||||||
Amgen, Inc.†(a) | 72,016 | 13,427,383 | ||||||
Biogen, Inc.†* | 21,001 | 6,575,833 | ||||||
BioMarin Pharmaceutical, Inc.(a)* | 3,023 | 281,351 | ||||||
Bio-Techne Corp.(a) | 3,526 | 426,258 | ||||||
Bioverativ, Inc.†(a)(b)* | 56,396 | 3,218,520 | ||||||
Bluebird Bio, Inc.(a)* | 13,434 | 1,845,160 | ||||||
Bristol-Myers Squibb Co.†(a)(b) | 49,741 | 3,170,491 | ||||||
Catalent, Inc.* | 21,262 | 848,779 | ||||||
Celgene Corp.†(a)(b)* | 54,542 | 7,953,314 | ||||||
Charles River Laboratories International, Inc.(a)* | 10,966 | 1,184,547 | ||||||
Eagle Pharmaceuticals, Inc.(a)* | 12,174 | 726,057 | ||||||
Emergent BioSolutions, Inc.†(a)* | 32,709 | 1,323,079 | ||||||
Enanta Pharmaceuticals, Inc.†* | 3,504 | 163,987 | ||||||
Endo International PLC | 63,450 | 543,449 | ||||||
Exact Sciences Corp.(a)* | 98,536 | 4,643,016 | ||||||
Exelixis, Inc.(a)(b)* | 204,535 | 4,955,883 | ||||||
Gilead Sciences, Inc.† | 160,085 | 12,970,087 | ||||||
ImmunoGen, Inc.(a)* | 34,425 | 263,351 | ||||||
Immunomedics, Inc.(a)* | 142,578 | 1,993,240 | ||||||
Incyte Corp.†* | 23,960 | 2,797,090 | ||||||
Innoviva, Inc.(a)* | 137,590 | 1,942,771 | ||||||
Ionis Pharmaceuticals, Inc.(a)* | 92,503 | 4,689,902 | ||||||
Ironwood Pharmaceuticals, Inc.(a)* | 23,967 | 377,960 | ||||||
Jazz Pharmaceuticals PLC (Ireland)†* | 9,942 | 1,454,018 | ||||||
Johnson & Johnson†(a) | 17,628 | 2,291,816 |
The accompanying notes are an integral part of the financial statements.
102
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Kite Pharma, Inc.(a)* | 20,888 | $ | 3,755,871 | |||||
Ligand Pharmaceuticals, | 16,995 | 2,313,869 | ||||||
Merck & Co., Inc.† | 52,542 | 3,364,264 | ||||||
MiMedx Group, Inc.(a)* | 143,995 | 1,710,661 | ||||||
Mylan NV (Netherlands)†* | 14,109 | 442,599 | ||||||
Myriad Genetics, Inc.(a)* | 49,155 | 1,778,428 | ||||||
PAREXEL International | 14,246 | 1,254,788 | ||||||
PerkinElmer, Inc.†(a) | 40,548 | 2,796,596 | ||||||
Perrigo Co. PLC (Ireland)†(a) | 59,420 | 5,029,903 | ||||||
Pfizer, Inc.† | 11,822 | 422,045 | ||||||
Phibro Animal Health Corp., Class A†(a) | 12,077 | 447,453 | ||||||
PRA Health Sciences, Inc.†* | 4,946 | 376,737 | ||||||
Prestige Brands Holdings, Inc.†(a)* | 23,706 | 1,187,434 | ||||||
Regeneron Pharmaceuticals, Inc.†* | 6,076 | 2,716,701 | ||||||
Repligen Corp.†(a)* | 41,905 | 1,605,800 | ||||||
Supernus Pharmaceuticals, Inc.(a)* | 22,015 | 880,600 | ||||||
United Therapeutics | 18,513 | 2,169,538 | ||||||
Valeant Pharmaceuticals International, Inc. (Canada)* | 42,291 | 606,030 | ||||||
Vanda Pharmaceuticals, Inc.†* | 46,593 | 834,015 | ||||||
Vertex Pharmaceuticals, Inc.†* | 27,892 | 4,240,700 | ||||||
Waters Corp.†(a)* | 23,786 | 4,270,063 | ||||||
Xencor, Inc.†* | 32,805 | 751,891 | ||||||
Zoetis, Inc.† | 2,275 | 145,054 | ||||||
|
| |||||||
141,486,753 | ||||||||
|
| |||||||
Retailing — 12.8% | ||||||||
Aaron’s, Inc.† | 53,623 | 2,339,571 | ||||||
Advance Auto Parts, Inc.(a)(b) | 47,526 | 4,714,579 | ||||||
Asbury Automotive Group, | 22,626 | 1,382,449 | ||||||
AutoNation, Inc.(a)* | 41,171 | 1,953,976 | ||||||
AutoZone, Inc.†(a)* | 8,038 | 4,783,494 | ||||||
Best Buy Co., Inc.(a) | 80,529 | 4,586,932 | ||||||
Big Lots, Inc.(a) | 7,818 | 418,810 | ||||||
Buckle, Inc. (The)(a) | 11,360 | 191,416 | ||||||
CarMax, Inc.(a)* | 66,895 | 5,071,310 | ||||||
Chico’s FAS, Inc.(a) | 60,211 | 538,888 | ||||||
Dollar General Corp.†(a) | 55,176 | 4,472,015 | ||||||
Dollar Tree, Inc.†* | 44,160 | 3,833,971 | ||||||
Expedia, Inc.(a) | 5,715 | 822,617 | ||||||
Foot Locker, Inc.(a) | 10,998 | 387,350 | ||||||
Gap, Inc. (The)(a) | 138,271 | 4,083,143 | ||||||
Genuine Parts Co.(a) | 42,463 | 4,061,586 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Home Depot, Inc. (The)†(a)(b) | 67,626 | $ | 11,060,909 | |||||
HSN, Inc.† | 8,847 | 345,475 | ||||||
JC Penney Co., Inc.(a)* | 275,120 | 1,048,207 | ||||||
Kohl’s Corp.(a) | 3,990 | 182,144 | ||||||
L Brands, Inc.(a)(b) | 10,372 | 431,579 | ||||||
LKQ Corp.(a)(b)* | 146,536 | 5,273,831 | ||||||
Lowe’s Cos., Inc.(b) | 165,647 | 13,241,821 | ||||||
Macy’s, Inc.(a) | 23,351 | 509,519 | ||||||
Monro, Inc.(a) | 2,011 | 112,717 | ||||||
Nordstrom, Inc.(a) | 11,478 | 541,188 | ||||||
Nutrisystem, Inc.(a) | 57,025 | 3,187,698 | ||||||
O’Reilly Automotive, Inc.(a)(b)* | 24,643 | 5,307,363 | ||||||
PetMed Express, Inc.(a) | 19,040 | 631,176 | ||||||
Priceline Group, Inc. (The)†(a)* | 1,498 | 2,742,568 | ||||||
RH(a)* | 25,247 | 1,775,369 | ||||||
Ross Stores, Inc.†(a) | 106,784 | 6,895,043 | ||||||
Sally Beauty Holdings, Inc.(a)* | 5,093 | 99,721 | ||||||
Signet Jewelers Ltd. | 47,185 | 3,140,162 | ||||||
Tailored Brands, Inc.(a) | 42,195 | 609,296 | ||||||
Target Corp.†(a)(b) | 74,690 | 4,407,457 | ||||||
Tiffany & Co.(a) | 6,835 | 627,316 | ||||||
TJX Cos., Inc. (The)†(b) | 86,871 | 6,404,999 | ||||||
Tractor Supply Co.(a) | 13,834 | 875,554 | ||||||
Urban Outfitters, Inc.(a)* | 63,628 | 1,520,709 | ||||||
|
| |||||||
114,613,928 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 13.1% |
| |||||||
Advanced Energy Industries, | 26,947 | 2,176,240 | ||||||
Analog Devices, Inc.(a) | 20,251 | 1,745,029 | ||||||
Applied Materials, Inc.†(b) | 370,652 | 19,307,263 | ||||||
Axcelis Technologies, Inc.* | 26,747 | 731,530 | ||||||
Broadcom Ltd. (Singapore) | 4 | 970 | ||||||
Cabot Microelectronics Corp.(a) | 9,142 | 730,720 | ||||||
Diodes, Inc.(a)* | 20,096 | 601,473 | ||||||
Intel Corp.†(a)(b) | 262,925 | 10,012,184 | ||||||
KLA-Tencor Corp.(a) | 74,986 | 7,948,516 | ||||||
Lam Research Corp.(a)(b) | 82,273 | 15,223,796 | ||||||
Marvell Technology Group Ltd. (Bermuda)(b) | 138,321 | 2,475,946 | ||||||
Maxim Integrated Products, | 47,392 | 2,261,072 | ||||||
Microchip Technology, Inc.(a) | 42,633 | 3,827,591 | ||||||
Micron Technology, Inc.* | 290,012 | 11,406,172 | ||||||
Microsemi Corp.(a)* | 1,525 | 78,507 | ||||||
MKS Instruments, Inc.†(a) | 23,907 | 2,258,016 | ||||||
ON Semiconductor Corp.(a)(b)* | 236,135 | 4,361,413 |
The accompanying notes are an integral part of the financial statements.
103
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor |
| |||||||
QUALCOMM, Inc.† | 132,474 | $ | 6,867,452 | |||||
Rudolph Technologies, Inc.†* | 9,752 | 256,478 | ||||||
Skyworks Solutions, Inc.(a)(b) | 85,865 | 8,749,644 | ||||||
Synaptics, Inc.(a)* | 6,107 | 239,272 | ||||||
Teradyne, Inc.† | 69,036 | 2,574,352 | ||||||
Texas Instruments, Inc.†(a)(b) | 83,920 | 7,522,589 | ||||||
Xcerra Corp.†* | 41,721 | 410,952 | ||||||
Xilinx, Inc.†(a)(b) | 84,451 | 5,981,664 | ||||||
|
| |||||||
117,748,841 | ||||||||
|
| |||||||
Software & Services — 18.8% |
| |||||||
Accenture PLC, Class A (Ireland)† | 38,774 | 5,237,204 | ||||||
ACI Worldwide, Inc.(a)* | 19,489 | 443,959 | ||||||
Adobe Systems, Inc.* | 16,307 | 2,432,678 | ||||||
Alphabet, Inc., Class A†(b)* | 6,496 | 6,325,285 | ||||||
Amdocs, Ltd. (Guernsey) | 12,488 | 803,228 | ||||||
ANSYS, Inc.†(a)* | 24,520 | 3,009,340 | ||||||
Appfolio, Inc., Class A(a)* | 5,728 | 274,658 | ||||||
Aspen Technology, Inc.†(a)* | 47,136 | 2,960,612 | ||||||
Automatic Data Processing, Inc.†(b) | 39,424 | 4,309,832 | ||||||
AVG Technologies NV (Netherlands)* | 26,913 | 666,097 | ||||||
Bankrate, Inc.†* | 49,103 | 684,987 | ||||||
Blackbaud, Inc.(a) | 1,708 | 149,962 | ||||||
Blucora, Inc.†(a)* | 83,453 | 2,111,361 | ||||||
Broadridge Financial Solutions, Inc.†(a) | 21,873 | 1,767,776 | ||||||
CA, Inc.†(a) | 167,137 | 5,579,033 | ||||||
CACI International, Inc., Class A†(a)* | 16,186 | 2,255,519 | ||||||
Cadence Design Systems, Inc.†(a)* | 34,366 | 1,356,426 | ||||||
Cars.com, Inc.(a)* | 87,981 | 2,341,174 | ||||||
CDK Global, Inc.(a)(b) | 45,240 | 2,854,192 | ||||||
CGI Group, Inc., Class A (Canada)* | 2,764 | 143,369 | ||||||
Citrix Systems, Inc.†(a)* | 68,243 | 5,242,427 | ||||||
CommerceHub, Inc., | 191 | 4,311 | ||||||
Convergys Corp.(a) | 36,000 | 932,040 | ||||||
CoStar Group, Inc.(a)* | 1,241 | 332,898 | ||||||
CSRA, Inc.†(a) | 88,979 | 2,871,352 | ||||||
eBay, Inc.†(a)* | 164,910 | 6,342,439 | ||||||
Electronic Arts, Inc.†(b)* | 95,776 | 11,307,315 | ||||||
Facebook, Inc., Class A†* | 16,795 | 2,869,762 | ||||||
Fair Isaac Corp.† | 7,260 | 1,020,030 | ||||||
Fidelity National Information Services, Inc.† | 10,791 | 1,007,771 | ||||||
Fiserv, Inc.(a)* | 16,732 | 2,157,759 | ||||||
Guidewire Software, Inc.(a)* | 6,570 | 511,540 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
IAC/InterActiveCorp.†(a)* | 17,660 | $ | 2,076,463 | |||||
International Business Machines Corp.† | 59,371 | 8,613,545 | ||||||
Intuit, Inc.(a) | 85,208 | 12,111,465 | ||||||
j2 Global, Inc.(a) | 39,952 | 2,951,654 | ||||||
Jack Henry & Associates, Inc. | 7,635 | 784,802 | ||||||
LogMeIn, Inc.(a) | 4 | 440 | ||||||
Manhattan Associates, Inc.†* | 10,569 | 439,353 | ||||||
ManTech International Corp., Class A(a) | 4,010 | 177,042 | ||||||
Mastercard, Inc., Class A(a) | 7,516 | 1,061,259 | ||||||
MAXIMUS, Inc.† | 15,210 | 981,045 | ||||||
Microsoft Corp.†(b) | 40,389 | 3,008,577 | ||||||
MicroStrategy, Inc., Class A†(a)* | 5,975 | 763,067 | ||||||
NIC, Inc.†(a) | 68,780 | 1,179,577 | ||||||
Nuance Communications, | 56,341 | 885,681 | ||||||
Open Text Corp. (Canada)† | 21,897 | 707,054 | ||||||
Oracle Corp.† | 188,995 | 9,137,908 | ||||||
Paychex, Inc.(b) | 107,720 | 6,458,891 | ||||||
Pegasystems, Inc.(a) | 10,552 | 608,323 | ||||||
Progress Software Corp.(a)(b) | 54,077 | 2,064,119 | ||||||
Qualys, Inc.(a)* | 12,235 | 633,773 | ||||||
Red Hat, Inc.(a)* | 6,689 | 741,543 | ||||||
Sabre Corp.(a) | 7,996 | 144,728 | ||||||
Shopify, Inc., Class A | 2,080 | 242,299 | ||||||
SS&C Technologies Holdings, Inc.(a)(b) | 58,019 | 2,329,463 | ||||||
Stamps.com, Inc.†(a)* | 10,754 | 2,179,298 | ||||||
Symantec Corp.(a) | 45,809 | 1,502,993 | ||||||
Synopsys, Inc.†(b)* | 46,706 | 3,761,234 | ||||||
Take-Two Interactive Software, Inc.(a)* | 2,905 | 296,978 | ||||||
TeleTech Holdings, Inc.(a) | 405 | 16,909 | ||||||
TiVo Corp.(a) | 782 | 15,523 | ||||||
Total System Services, Inc.(b) | 47,233 | 3,093,762 | ||||||
Trade Desk, Inc. (The), | 59,218 | 3,642,499 | ||||||
Travelport Worldwide Ltd. (Bermuda)†(a) | 97,446 | 1,529,902 | ||||||
Tucows, Inc., Class A(a)* | 2,061 | 120,672 | ||||||
VeriSign, Inc.(a)* | 34,096 | 3,627,473 | ||||||
Visa, Inc., Class A(a)(b) | 27,097 | 2,851,688 | ||||||
VMware, Inc., Class A(a)* | 26,023 | 2,841,451 | ||||||
Web.com Group, Inc.(a)(b)* | 59,011 | 1,475,275 | ||||||
Western Union Co. (The)(a) | 158,784 | 3,048,653 | ||||||
|
| |||||||
168,412,717 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
104
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — 13.7% |
| |||||||
Amphenol Corp., Class A(a) | 2,480 | $ | 209,907 | |||||
Anixter International, Inc.†(a)* | 12,325 | 1,047,625 | ||||||
Apple, Inc.† | 49,399 | 7,613,374 | ||||||
Arista Networks, Inc.†(a)* | 8,239 | 1,562,197 | ||||||
Avnet, Inc.(b) | 62,509 | 2,456,604 | ||||||
AVX Corp.(a) | 43,605 | 794,919 | ||||||
Badger Meter, Inc.(a) | 3,554 | 174,146 | ||||||
Benchmark Electronics, Inc.†* | 64,734 | 2,210,666 | ||||||
CDW Corp.(a) | 4,450 | 293,700 | ||||||
Cisco Systems, Inc.† | 471,351 | 15,851,534 | ||||||
Coherent, Inc.(a)* | 7,241 | 1,702,866 | ||||||
CommScope Holding Co., Inc.†* | 46,440 | 1,542,272 | ||||||
Dolby Laboratories, Inc., Class A(a) | 19,416 | 1,116,808 | ||||||
EchoStar Corp., Class A(b)* | 22,076 | 1,263,409 | ||||||
ePlus, Inc.* | 1,907 | 176,302 | ||||||
Extreme Networks, Inc.(a)* | 74,147 | 881,608 | ||||||
F5 Networks, Inc.†(a)* | 35,996 | 4,339,678 | ||||||
FLIR Systems, Inc.(a)(b) | 44,767 | 1,741,884 | ||||||
Harris Corp.(b) | 61,914 | 8,152,836 | ||||||
Hewlett Packard Enterprise Co.†(a)(b) | 554,390 | 8,155,077 | ||||||
HP, Inc.†(a)(b) | 646,687 | 12,907,873 | ||||||
InterDigital, Inc.† | 10,127 | 746,866 | ||||||
IPG Photonics Corp.(a)* | 2,145 | 396,954 | ||||||
Itron, Inc.* | 11,353 | 879,290 | ||||||
Jabil, Inc.(a) | 24,190 | 690,624 | ||||||
Juniper Networks, Inc.† | 237,362 | 6,605,784 | ||||||
Methode Electronics, Inc.(a) | 2,736 | 115,870 | ||||||
Motorola Solutions, Inc.†(a) | 34,469 | 2,925,384 | ||||||
NetApp, Inc.†(a) | 125,050 | 5,472,188 | ||||||
OSI Systems, Inc.(a)* | 12,389 | 1,131,983 | ||||||
Plantronics, Inc.† | 12,488 | 552,219 | ||||||
Rogers Corp.* | 6,100 | 813,008 | ||||||
Sanmina Corp.†* | 20,543 | 763,172 | ||||||
Seagate Technology PLC (Ireland)(a) | 84,207 | 2,793,146 | ||||||
TE Connectivity Ltd. (Switzerland)† | 51,878 | 4,308,987 | ||||||
Trimble, Inc.(a)* | 19,834 | 778,484 | ||||||
TTM Technologies, Inc.†* | 10,092 | 155,114 | ||||||
Viavi Solutions, Inc.(a)* | 54,691 | 517,377 | ||||||
Vishay Intertechnology, Inc.(a) | 156,218 | 2,936,898 | ||||||
Western Digital Corp.†(b) | 104,068 | 8,991,475 | ||||||
Xerox Corp.† | 110,571 | 3,680,909 | ||||||
Zebra Technologies Corp., Class A†(a)* | 29,592 | 3,213,099 | ||||||
|
| |||||||
122,664,116 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — 2.6% |
| |||||||
AT&T, Inc.† | 164,946 | $ | 6,460,935 | |||||
CenturyLink, Inc.(a) | 80,708 | 1,525,381 | ||||||
Cogent Communications Holdings, Inc.(a) | 9,788 | 478,633 | ||||||
Intelsat SA (Luxembourg)* | 1,260 | 5,922 | ||||||
Level 3 Communications, Inc.†* | 65,625 | 3,497,156 | ||||||
Rogers Communications, Inc., Class B (Canada)†(b) | 33,008 | 1,701,232 | ||||||
Sprint Corp.(a)* | 5,708 | 44,408 | ||||||
Verizon Communications, Inc.†(a) | 182,697 | 9,041,675 | ||||||
Vonage Holdings Corp.†* | 91,236 | 742,661 | ||||||
|
| |||||||
23,498,003 | ||||||||
|
| |||||||
Transportation — 9.9% | ||||||||
Alaska Air Group, Inc.† | 23,433 | 1,787,235 | ||||||
Canadian National Railway Co. (Canada)(b) | 38,818 | 3,216,071 | ||||||
Canadian Pacific Railway Ltd. (Canada)(a) | 9,429 | 1,584,355 | ||||||
CSX Corp.(a)(b) | 98,490 | 5,344,067 | ||||||
Delta Air Lines, Inc.†(b) | 239,888 | 11,567,399 | ||||||
Expeditors International of Washington, Inc.†(a) | 68,799 | 4,118,308 | ||||||
FedEx Corp.†(a) | 55,070 | 12,422,691 | ||||||
Forward Air Corp. | 13,367 | 764,993 | ||||||
Hawaiian Holdings, Inc.(a)* | 13,274 | 498,439 | ||||||
Heartland Express, Inc.†(a) | 47,915 | 1,201,708 | ||||||
JB Hunt Transport Services, | 48,135 | 5,346,836 | ||||||
Kirby Corp.(a)* | 31,958 | 2,107,630 | ||||||
Knight-Swift Transportation Holdings, Inc.(a)* | 7,966 | 330,987 | ||||||
Landstar System, Inc.(a) | 7,497 | 747,076 | ||||||
Norfolk Southern Corp.†(a)(b) | 63,034 | 8,335,616 | ||||||
Southwest Airlines Co.†(b) | 155,466 | 8,702,987 | ||||||
Student Transportation, Inc. (Canada) | 113 | 676 | ||||||
Union Pacific Corp.†(a)(b) | 85,114 | 9,870,671 | ||||||
United Continental Holdings, Inc.†* | 879 | 53,514 | ||||||
United Parcel Service, Inc., Class B†(b) | 49,002 | 5,884,650 |
The accompanying notes are an integral part of the financial statements.
105
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Werner Enterprises, Inc.(a) | 32,762 | $ | 1,197,451 | |||||
XPO Logistics, Inc.(a)* | 55,180 | 3,740,100 | ||||||
|
| |||||||
88,823,460 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 1,549,369,233 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 172.7% |
| 1,549,369,233 | ||||||
|
| |||||||
(Cost $1,352,254,811) | ||||||||
SHORT POSITIONS — (73.6)% |
| |||||||
COMMON STOCKS — (73.6)% |
| |||||||
Automobiles & Components — (1.2)% |
| |||||||
American Axle & Manufacturing Holdings, Inc.* | (147,591 | ) | (2,594,650 | ) | ||||
Cooper Tire & Rubber Co. | (46,032 | ) | (1,721,597 | ) | ||||
Dana, Inc. | (4,868 | ) | (136,109 | ) | ||||
Ford Motor Co. | (90,745 | ) | (1,086,218 | ) | ||||
Gentherm, Inc.* | (23,674 | ) | (879,489 | ) | ||||
LCI Industries | (17,135 | ) | (1,985,090 | ) | ||||
Magna International, Inc. (Canada) | (16,390 | ) | (874,898 | ) | ||||
Modine Manufacturing Co.* | (19,657 | ) | (378,397 | ) | ||||
Tesla, Inc.* | (3,121 | ) | (1,064,573 | ) | ||||
Tower International, Inc. | (59 | ) | (1,605 | ) | ||||
|
| |||||||
(10,722,626 | ) | |||||||
|
| |||||||
Capital Goods — (7.5)% | ||||||||
AAON, Inc. | (4,287 | ) | (147,794 | ) | ||||
AAR Corp. | (29,974 | ) | (1,132,418 | ) | ||||
Actuant Corp., Class A | (72,018 | ) | (1,843,661 | ) | ||||
Advanced Drainage Systems, Inc. | (30,293 | ) | (613,433 | ) | ||||
AECOM* | (33,320 | ) | (1,226,509 | ) | ||||
Aegion Corp.* | (8,898 | ) | (207,145 | ) | ||||
AGCO Corp. | (2,145 | ) | (158,237 | ) | ||||
Alamo Group, Inc. | (1,512 | ) | (162,343 | ) | ||||
Albany International Corp., Class A | (5,841 | ) | (335,273 | ) | ||||
Altra Industrial Motion Corp. | (13,563 | ) | (652,380 | ) | ||||
American Railcar Industries, Inc. | (11,951 | ) | (461,309 | ) | ||||
Apogee Enterprises, Inc. | (5,559 | ) | (268,277 | ) | ||||
Astec Industries, Inc. | (16,901 | ) | (946,625 | ) | ||||
Astronics Corp.* | (6,278 | ) | (186,770 | ) | ||||
Axon Enterprise, Inc.* | (149,847 | ) | (3,397,031 | ) | ||||
AZZ, Inc. | (2,306 | ) | (112,302 | ) | ||||
Beacon Roofing Supply, Inc.* | (38,001 | ) | (1,947,551 | ) | ||||
Carlisle Cos., Inc. | (10,216 | ) | (1,024,563 | ) | ||||
CIRCOR International, Inc. | (10,677 | ) | (581,149 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Columbus McKinnon Corp. | (6,294 | ) | $ | (238,354 | ) | |||
Cubic Corp. | (20,118 | ) | (1,026,018 | ) | ||||
Douglas Dynamics, Inc. | (15,138 | ) | (596,437 | ) | ||||
Encore Wire Corp. | (12,282 | ) | (549,926 | ) | ||||
ESCO Technologies, Inc. | (5,486 | ) | (328,886 | ) | ||||
Esterline Technologies Corp.* | (6,921 | ) | (623,928 | ) | ||||
Federal Signal Corp. | (12,773 | ) | (271,809 | ) | ||||
Franklin Electric Co., Inc. | (14,835 | ) | (665,350 | ) | ||||
Granite Construction, Inc. | (31,624 | ) | (1,832,611 | ) | ||||
Herc Holdings, Inc.* | (10,856 | ) | (533,355 | ) | ||||
Hexcel Corp. | (33,819 | ) | (1,941,887 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (1,445 | ) | (110,456 | ) | ||||
Insteel Industries, Inc. | (8,935 | ) | (233,293 | ) | ||||
ITT, Inc. | (13,958 | ) | (617,921 | ) | ||||
John Bean Technologies Corp. | (24,970 | ) | (2,524,467 | ) | ||||
Johnson Controls International PLC (Ireland) | (46,644 | ) | (1,879,287 | ) | ||||
Kaman Corp. | (18,950 | ) | (1,057,031 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (200,600 | ) | (2,623,848 | ) | ||||
Lydall, Inc.* | (18 | ) | (1,031 | ) | ||||
Manitowoc Co., Inc. (The)* | (142,448 | ) | (1,282,032 | ) | ||||
Masonite International Corp. (Canada)* | (13,673 | ) | (946,172 | ) | ||||
MasTec, Inc.* | (26,438 | ) | (1,226,723 | ) | ||||
Mercury Systems, Inc.* | (13,308 | ) | (690,419 | ) | ||||
Middleby Corp. (The)* | (23,941 | ) | (3,068,518 | ) | ||||
Milacron Holdings Corp.* | (820 | ) | (13,825 | ) | ||||
MRC Global, Inc.* | (119,177 | ) | (2,084,406 | ) | ||||
Navistar International Corp.* | (12,834 | ) | (565,594 | ) | ||||
NCI Building Systems, Inc.* | (16,239 | ) | (253,328 | ) | ||||
NN, Inc. | (5,148 | ) | (149,292 | ) | ||||
Nordson Corp. | (1,283 | ) | (152,036 | ) | ||||
NOW, Inc.* | (230,841 | ) | (3,187,914 | ) | ||||
Orbital ATK, Inc. | (18,704 | ) | (2,490,625 | ) | ||||
Park-Ohio Holdings Corp. | (8 | ) | (365 | ) | ||||
Patrick Industries, Inc.* | (1,464 | ) | (123,122 | ) | ||||
Ply Gem Holdings, Inc.* | (4,512 | ) | (76,930 | ) | ||||
Proto Labs, Inc.* | (11,636 | ) | (934,371 | ) | ||||
Quanex Building Products Corp. | (5,747 | ) | (131,894 | ) | ||||
Raven Industries, Inc. | (13,114 | ) | (424,894 | ) | ||||
REV Group, Inc. | (25,139 | ) | (722,998 | ) | ||||
Rockwell Collins, Inc. | (1,735 | ) | (226,782 | ) | ||||
Simpson Manufacturing Co., Inc. | (34,951 | ) | (1,713,997 | ) |
The accompanying notes are an integral part of the financial statements.
106
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
SiteOne Landscape Supply, Inc.* | (14,472 | ) | $ | (840,823 | ) | |||
Standex International Corp. | (4,257 | ) | (452,093 | ) | ||||
Sun Hydraulics Corp. | (6,528 | ) | (352,512 | ) | ||||
Sunrun, Inc.* | (317,593 | ) | (1,762,641 | ) | ||||
Teledyne Technologies, Inc.* | (12,869 | ) | (2,048,487 | ) | ||||
Tennant Co. | (5,004 | ) | (331,265 | ) | ||||
Thermon Group Holdings, Inc.* | (12,655 | ) | (227,663 | ) | ||||
Timken Co. (The) | (19,775 | ) | (960,076 | ) | ||||
Titan International, Inc. | (44,690 | ) | (453,604 | ) | ||||
Universal Forest Products, Inc. | (20,024 | ) | (1,965,556 | ) | ||||
Wabtec Corp. | (17,730 | ) | (1,343,048 | ) | ||||
Watsco, Inc. | (4,103 | ) | (660,870 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (93,286 | ) | (876,888 | ) | ||||
Xylem, Inc. | (19,739 | ) | (1,236,254 | ) | ||||
|
| |||||||
(67,038,682 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (2.6)% |
| |||||||
ABM Industries, Inc. | (28,687 | ) | (1,196,535 | ) | ||||
ACCO Brands Corp.* | (52,638 | ) | (626,392 | ) | ||||
Advanced Disposal Services, Inc.* | (55,851 | ) | (1,406,887 | ) | ||||
Advisory Board Co. (The)* | (21,106 | ) | (1,131,809 | ) | ||||
Casella Waste Systems, Inc.* | (344 | ) | (6,467 | ) | ||||
Cintas Corp. | (2,173 | ) | (313,520 | ) | ||||
Clean Harbors, Inc.* | (16,160 | ) | (916,272 | ) | ||||
Covanta Holding Corp. | (262,889 | ) | (3,903,902 | ) | ||||
Exponent, Inc. | (6,304 | ) | (465,866 | ) | ||||
FTI Consulting, Inc.* | (44,328 | ) | (1,572,757 | ) | ||||
Healthcare Services Group, Inc. | (35,435 | ) | (1,912,427 | ) | ||||
HNI Corp. | (37,842 | ) | (1,569,308 | ) | ||||
Huron Consulting Group, Inc.* | (10,326 | ) | (354,182 | ) | ||||
InnerWorkings, Inc.* | (7,125 | ) | (80,156 | ) | ||||
Insperity, Inc. | (2,792 | ) | (245,696 | ) | ||||
Knoll, Inc. | (50,370 | ) | (1,007,400 | ) | ||||
Matthews International Corp., Class A | (1,935 | ) | (120,454 | ) | ||||
Multi-Color Corp. | (15,106 | ) | (1,237,937 | ) | ||||
Navigant Consulting, Inc.* | (12,296 | ) | (208,048 | ) | ||||
On Assignment, Inc.* | (10,276 | ) | (551,616 | ) | ||||
Ritchie Bros Auctioneers, Inc. (Canada) | (16,844 | ) | (532,607 | ) | ||||
RR Donnelley & Sons Co. | (54,460 | ) | (560,938 | ) | ||||
Steelcase, Inc., Class A | (33,292 | ) | (512,697 | ) | ||||
US Ecology, Inc. | (10,701 | ) | (575,714 | ) | ||||
WageWorks, Inc.* | (36,679 | ) | (2,226,415 | ) | ||||
|
| |||||||
(23,236,002 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (2.3)% |
| |||||||
Acushnet Holdings Corp. | (18,843 | ) | $ | (334,652 | ) | |||
American Outdoor Brands Corp.* | (65,241 | ) | (994,925 | ) | ||||
Callaway Golf Co. | (75,614 | ) | (1,091,110 | ) | ||||
Canada Goose Holdings, Inc. (Canada)* | (54,209 | ) | (1,113,995 | ) | ||||
Deckers Outdoor Corp.* | (21,395 | ) | (1,463,632 | ) | ||||
G-III Apparel Group Ltd.* | (34,403 | ) | (998,375 | ) | ||||
Hanesbrands, Inc. | (42,354 | ) | (1,043,603 | ) | ||||
Helen Of Troy Ltd. (Bermuda)* | (1,490 | ) | (144,381 | ) | ||||
Installed Building Products, Inc.* | (6,471 | ) | (419,321 | ) | ||||
iRobot Corp.* | (9,790 | ) | (754,417 | ) | ||||
Lululemon Athletica, Inc.* | (4,146 | ) | (258,088 | ) | ||||
Mattel, Inc. | (252,462 | ) | (3,908,112 | ) | ||||
Mohawk Industries, Inc.* | (11,685 | ) | (2,892,154 | ) | ||||
Movado Group, Inc. | (2,192 | ) | (61,376 | ) | ||||
Newell Brands, Inc. | (21,653 | ) | (923,934 | ) | ||||
Polaris Industries, Inc. | (5,468 | ) | (572,117 | ) | ||||
Skechers U.S.A., Inc., Class A* | (65,856 | ) | (1,652,327 | ) | ||||
Tempur Sealy International, Inc.* | (6,112 | ) | (394,346 | ) | ||||
Under Armour, Inc., Class C* | (96,505 | ) | (1,449,505 | ) | ||||
|
| |||||||
(20,470,370 | ) | |||||||
|
| |||||||
Consumer Services — (4.4)% |
| |||||||
Belmond Ltd., Class A (Bermuda)* | (26,211 | ) | (357,780 | ) | ||||
BJ’s Restaurants, Inc.* | (38,154 | ) | (1,161,789 | ) | ||||
Bright Horizons Family Solutions, Inc.* | (20,442 | ) | (1,762,305 | ) | ||||
Carnival Corp. (Panama) | (9,454 | ) | (610,445 | ) | ||||
Carrols Restaurant Group, Inc.* | (41,492 | ) | (452,263 | ) | ||||
Chegg, Inc.* | (91,086 | ) | (1,351,716 | ) | ||||
Chipotle Mexican Grill, Inc.* | (344 | ) | (105,893 | ) | ||||
Domino’s Pizza, Inc. | (1,252 | ) | (248,585 | ) | ||||
El Pollo Loco Holdings, Inc.* | (10,362 | ) | (125,898 | ) | ||||
Fiesta Restaurant Group, Inc.* | (49,373 | ) | (938,087 | ) | ||||
Houghton Mifflin Harcourt Co.* | (164,369 | ) | (1,980,646 | ) | ||||
International Game Technology PLC (United Kingdom) | (60,807 | ) | (1,492,812 | ) | ||||
Laureate Education, Inc., Class A* | (55,153 | ) | (802,476 | ) | ||||
Marcus Corp. (The) | (6,184 | ) | (171,297 | ) | ||||
MGM Resorts International | (16,740 | ) | (545,557 | ) | ||||
Monarch Casino & Resort, Inc.* | (1,042 | ) | (41,190 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (75,427 | ) | (4,076,829 | ) | ||||
Papa John’s International, Inc. | (28,916 | ) | (2,112,892 | ) | ||||
Planet Fitness, Inc., Class A | (28,942 | ) | (780,855 | ) |
The accompanying notes are an integral part of the financial statements.
107
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Red Robin Gourmet Burgers, Inc.* | (18,877 | ) | $ | (1,264,759 | ) | |||
Red Rock Resorts, Inc., Class A | (72,463 | ) | (1,678,243 | ) | ||||
Restaurant Brands International, Inc. (Canada) | (13,177 | ) | (841,747 | ) | ||||
SeaWorld Entertainment, Inc. | (336,783 | ) | (4,374,811 | ) | ||||
Shake Shack, Inc., Class A* | (156,409 | ) | (5,197,471 | ) | ||||
Six Flags Entertainment Corp. | (2,795 | ) | (170,327 | ) | ||||
Texas Roadhouse, Inc. | (32,194 | ) | (1,582,013 | ) | ||||
Wendy’s Co. (The) | (187,489 | ) | (2,911,704 | ) | ||||
Wingstop, Inc. | (66,862 | ) | (2,223,162 | ) | ||||
|
| |||||||
(39,363,552 | ) | |||||||
|
| |||||||
Energy — (3.9)% | ||||||||
Andeavor | (42,851 | ) | (4,420,081 | ) | ||||
Basic Energy Services, Inc.* | (11,384 | ) | (219,711 | ) | ||||
Cheniere Energy, Inc.* | (42,280 | ) | (1,904,291 | ) | ||||
DHT Holdings, Inc. (Marshall Islands) | (18,404 | ) | (73,248 | ) | ||||
Enbridge, Inc. (Canada) | (6,712 | ) | (280,830 | ) | ||||
Ensco PLC, Class A (United Kingdom) | (440,777 | ) | (2,631,439 | ) | ||||
Forum Energy Technologies, Inc.* | (51,472 | ) | (818,405 | ) | ||||
Frank’s International NV (Netherlands) | (159,922 | ) | (1,234,598 | ) | ||||
Green Plains, Inc. | (144,514 | ) | (2,911,957 | ) | ||||
Helix Energy Solutions Group, Inc.* | (368,780 | ) | (2,725,284 | ) | ||||
Helmerich & Payne, Inc. | (33,928 | ) | (1,767,988 | ) | ||||
HollyFrontier Corp. | (5,689 | ) | (204,633 | ) | ||||
Keane Group, Inc.* | (9,895 | ) | (165,049 | ) | ||||
Mammoth Energy Services, Inc.* | (1,096 | ) | (18,479 | ) | ||||
Newpark Resources, Inc.* | (17,153 | ) | (171,530 | ) | ||||
Patterson-UTI Energy, Inc. | (250,370 | ) | (5,242,748 | ) | ||||
Precision Drilling Corp. (Canada)* | (73,508 | ) | (229,345 | ) | ||||
ProPetro Holding Corp.* | (60,193 | ) | (863,770 | ) | ||||
SEACOR Holdings, Inc.* | (8,604 | ) | (396,730 | ) | ||||
SemGroup Corp., Class A | (85,378 | ) | (2,454,618 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (6,222 | ) | (108,449 | ) | ||||
Superior Energy Services, Inc.* | (10,911 | ) | (116,529 | ) | ||||
Targa Resources Corp. | (31,706 | ) | (1,499,694 | ) | ||||
TechnipFMC PLC (United Kingdom)* | (14,094 | ) | (393,504 | ) | ||||
Unit Corp.* | (22,580 | ) | (464,696 | ) | ||||
US Silica Holdings, Inc. | (34,076 | ) | (1,058,741 | ) | ||||
Weatherford International PLC (Ireland)* | (426,241 | ) | (1,952,184 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Williams Cos., Inc. (The) | (26,540 | ) | $ | (796,465 | ) | |||
|
| |||||||
(35,124,996 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.1)% |
| |||||||
Casey’s General Stores, Inc. | (15,468 | ) | (1,692,973 | ) | ||||
Performance Food Group Co.* | (26,835 | ) | (758,089 | ) | ||||
PriceSmart, Inc. | (20,784 | ) | (1,854,972 | ) | ||||
Rite Aid Corp.* | (1,803,249 | ) | (3,534,368 | ) | ||||
Smart & Final Stores, Inc.* | (92,391 | ) | (725,269 | ) | ||||
SpartanNash Co. | (245 | ) | (6,461 | ) | ||||
Sprouts Farmers Market, Inc.* | (59,208 | ) | (1,111,334 | ) | ||||
Weis Markets, Inc. | (4,640 | ) | (201,840 | ) | ||||
|
| |||||||
(9,885,306 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (3.3)% |
| |||||||
Archer-Daniels-Midland Co. | (31,623 | ) | (1,344,294 | ) | ||||
B&G Foods, Inc. | (90,091 | ) | (2,869,398 | ) | ||||
Blue Buffalo Pet Products, Inc.* | (128,416 | ) | (3,640,594 | ) | ||||
Bunge Ltd. (Bermuda) | (39,537 | ) | (2,746,240 | ) | ||||
Calavo Growers, Inc. | (20,053 | ) | (1,467,880 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (10,192 | ) | (2,198,924 | ) | ||||
Cott Corp. (Canada) | (37,860 | ) | (568,279 | ) | ||||
Darling Ingredients, Inc.* | (10,887 | ) | (190,740 | ) | ||||
Farmer Brothers Co.* | (5,905 | ) | (193,979 | ) | ||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | (24,096 | )�� | (1,095,404 | ) | ||||
Freshpet, Inc.* | (7,393 | ) | (115,700 | ) | ||||
Hain Celestial Group, Inc. (The)* | (7,974 | ) | (328,130 | ) | ||||
J&J Snack Foods Corp. | (9,626 | ) | (1,263,894 | ) | ||||
John B Sanfilippo & Son, Inc. | (10,057 | ) | (676,937 | ) | ||||
McCormick & Co., Inc., non-voting shares | (6,470 | ) | (664,081 | ) | ||||
MGP Ingredients, Inc. | (28,136 | ) | (1,705,886 | ) | ||||
Pilgrim’s Pride Corp.* | (13,520 | ) | (384,103 | ) | ||||
Snyder’s-Lance, Inc. | (16,419 | ) | (626,221 | ) | ||||
Tootsie Roll Industries, Inc. | (10,339 | ) | (392,882 | ) | ||||
Tyson Foods, Inc., Class A | (84,299 | ) | (5,938,865 | ) | ||||
Vector Group Ltd. | (63,028 | ) | (1,290,187 | ) | ||||
|
| |||||||
(29,702,618 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (6.2)% |
| |||||||
Alere, Inc.* | (61,029 | ) | (3,111,869 | ) | ||||
Align Technology, Inc.* | (2,885 | ) | (537,389 | ) | ||||
Almost Family, Inc.* | (9,154 | ) | (491,570 | ) | ||||
athenahealth, Inc.* | (20,017 | ) | (2,489,314 | ) | ||||
AtriCure, Inc.* | (39,543 | ) | (884,577 | ) |
The accompanying notes are an integral part of the financial statements.
108
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
BioTelemetry, Inc.* | (34,348 | ) | $ | (1,133,484 | ) | |||
Cardiovascular Systems, Inc.* | (1,607 | ) | (45,237 | ) | ||||
Castlight Health, Inc., Class B* | (1,124 | ) | (4,833 | ) | ||||
CryoLife, Inc.* | (3,736 | ) | (84,807 | ) | ||||
DaVita, Inc.* | (75,031 | ) | (4,456,091 | ) | ||||
DENTSPLY SIRONA, Inc. | (67,302 | ) | (4,025,333 | ) | ||||
DexCom, Inc.* | (55,695 | ) | (2,724,878 | ) | ||||
Diplomat Pharmacy, Inc.* | (42,870 | ) | (887,838 | ) | ||||
Ensign Group, Inc. (The) | (51,689 | ) | (1,167,654 | ) | ||||
Envision Healthcare Corp.* | (37,051 | ) | (1,665,442 | ) | ||||
Evolent Health, Inc., Class A* | (151,352 | ) | (2,694,066 | ) | ||||
GenMark Diagnostics, Inc.* | (41,807 | ) | (402,601 | ) | ||||
Henry Schein, Inc.* | (17,862 | ) | (1,464,505 | ) | ||||
HMS Holdings Corp.* | (35,960 | ) | (714,166 | ) | ||||
Inovalon Holdings, Inc., Class A* | (38,794 | ) | (661,438 | ) | ||||
Insulet Corp.* | (31,897 | ) | (1,756,887 | ) | ||||
iRhythm Technologies, Inc.* | (29,441 | ) | (1,527,399 | ) | ||||
K2M Group Holdings, Inc.* | (75,603 | ) | (1,603,540 | ) | ||||
LeMaitre Vascular, Inc. | (3,361 | ) | (125,769 | ) | ||||
Natus Medical, Inc.* | (57,213 | ) | (2,145,488 | ) | ||||
Nevro Corp.* | (35,458 | ) | (3,222,423 | ) | ||||
Novocure Ltd. (Jersey)* | (9,377 | ) | (186,133 | ) | ||||
NuVasive, Inc.* | (23,683 | ) | (1,313,459 | ) | ||||
NxStage Medical, Inc.* | (93,413 | ) | (2,578,199 | ) | ||||
OraSure Technologies, Inc.* | (38,001 | ) | (855,022 | ) | ||||
Owens & Minor, Inc. | (84,193 | ) | (2,458,436 | ) | ||||
Penumbra, Inc.* | (17,220 | ) | (1,554,966 | ) | ||||
PharMerica Corp.* | (21,117 | ) | (618,728 | ) | ||||
Quidel Corp.* | (12,869 | ) | (564,434 | ) | ||||
Tactile Systems Technology, Inc.* | (8,097 | ) | (250,602 | ) | ||||
Teladoc, Inc.* | (61,333 | ) | (2,033,189 | ) | ||||
Tenet Healthcare Corp.* | (162,724 | ) | (2,673,555 | ) | ||||
US Physical Therapy, Inc. | (9 | ) | (553 | ) | ||||
Varex Imaging Corp.* | (8,380 | ) | (283,579 | ) | ||||
Vocera Communications, Inc.* | (9,208 | ) | (288,855 | ) | ||||
|
| |||||||
(55,688,308 | ) | |||||||
|
| |||||||
Household & Personal Products — (1.3)% |
| |||||||
Coty, Inc., Class A | (108,234 | ) | (1,789,108 | ) | ||||
elf Beauty, Inc.* | (99,864 | ) | (2,251,933 | ) | ||||
Revlon, Inc., Class A* | (7,371 | ) | (180,958 | ) | ||||
Spectrum Brands Holdings, Inc. | (51,973 | ) | (5,504,980 | ) | ||||
WD-40 Co. | (16,120 | ) | (1,803,828 | ) | ||||
|
| |||||||
(11,530,807 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (4.3)% |
| |||||||
Agrium, Inc. (Canada) | (38,397 | ) | $ | (4,116,542 | ) | |||
Albemarle Corp. | (6,370 | ) | (868,295 | ) | ||||
Avery Dennison Corp. | (7,263 | ) | (714,243 | ) | ||||
Axalta Coating Systems Ltd. (Bermuda)* | (34,686 | ) | (1,003,119 | ) | ||||
Balchem Corp. | (11,494 | ) | (934,347 | ) | ||||
Berry Global Group, Inc.* | (2,197 | ) | (124,460 | ) | ||||
Boise Cascade Co.* | (3,687 | ) | (128,676 | ) | ||||
Calgon Carbon Corp. | (32,632 | ) | (698,325 | ) | ||||
Clearwater Paper Corp.* | (5,099 | ) | (251,126 | ) | ||||
Deltic Timber Corp. | (1,552 | ) | (137,243 | ) | ||||
DowDuPont, Inc. | (16,072 | ) | (1,112,664 | ) | ||||
Ferro Corp.* | (84,756 | ) | (1,890,059 | ) | ||||
GCP Applied Technologies, Inc.* | (69,969 | ) | (2,148,048 | ) | ||||
Graphic Packaging Holding Co. | (109,007 | ) | (1,520,648 | ) | ||||
HB Fuller Co. | (32,112 | ) | (1,864,423 | ) | ||||
Innospec, Inc. | (18,994 | ) | (1,170,980 | ) | ||||
International Flavors & Fragrances, Inc. | (4,211 | ) | (601,794 | ) | ||||
International Paper Co. | (21,851 | ) | (1,241,574 | ) | ||||
KapStone Paper and Packaging Corp. | (44,650 | ) | (959,528 | ) | ||||
Kraton Corp.* | (33,440 | ) | (1,352,314 | ) | ||||
Monsanto Co. | (8,667 | ) | (1,038,480 | ) | ||||
Mosaic Co. (The) | (49,531 | ) | (1,069,374 | ) | ||||
NewMarket Corp. | (1,138 | ) | (484,504 | ) | ||||
Owens-Illinois, Inc.* | (131,795 | ) | (3,315,962 | ) | ||||
PH Glatfelter Co. | (36,274 | ) | (705,529 | ) | ||||
RPM International, Inc. | (35,162 | ) | (1,805,217 | ) | ||||
Schweitzer-Mauduit International, Inc. | (537 | ) | (22,264 | ) | ||||
Sherwin-Williams Co. (The) | (8,669 | ) | (3,103,849 | ) | ||||
Silgan Holdings, Inc. | (33,497 | ) | (985,817 | ) | ||||
Sonoco Products Co. | (58,912 | ) | (2,972,110 | ) | ||||
Stepan Co. | (54 | ) | (4,518 | ) | ||||
Tredegar Corp. | (2,222 | ) | (39,996 | ) | ||||
Vulcan Materials Co. | (4,487 | ) | (536,645 | ) | ||||
|
| |||||||
(38,922,673 | ) | |||||||
|
| |||||||
Media — (2.6)% |
| |||||||
AMC Entertainment Holdings, Inc., Class A | (226,578 | ) | (3,330,697 | ) | ||||
Cable One, Inc. | (3,783 | ) | (2,731,780 | ) | ||||
Charter Communications, Inc., Class A* | (1,965 | ) | (714,120 | ) |
The accompanying notes are an integral part of the financial statements.
109
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Clear Channel Outdoor Holdings, Inc., Class A | (7,437 | ) | $ | (34,582 | ) | |||
EW Scripps Co. (The), Class A* | (56,629 | ) | (1,082,180 | ) | ||||
Gray Television, Inc.* | (59,854 | ) | (939,708 | ) | ||||
Hemisphere Media Group, Inc.* | (1,880 | ) | (22,466 | ) | ||||
John Wiley & Sons, Inc., Class A | (35,113 | ) | (1,878,546 | ) | ||||
Live Nation Entertainment, Inc.* | (20,024 | ) | (872,045 | ) | ||||
Madison Square Garden Co. (The), Class A* | (13,534 | ) | (2,897,629 | ) | ||||
MDC Partners, Inc., Class A (Canada)* | (6,475 | ) | (71,225 | ) | ||||
New Media Investment Group, Inc. | (24,522 | ) | (362,680 | ) | ||||
New York Times Co. (The), Class A | (5,460 | ) | (107,016 | ) | ||||
Nexstar Media Group, Inc., Class A | (20,222 | ) | (1,259,831 | ) | ||||
Regal Entertainment Group, Class A | (160,627 | ) | (2,570,032 | ) | ||||
Scholastic Corp. | (996 | ) | (37,051 | ) | ||||
Shaw Communications, Inc., Class B (Canada) | (34,198 | ) | (786,896 | ) | ||||
Time, Inc. | (129,969 | ) | (1,754,582 | ) | ||||
WideOpenWest, Inc.* | (2,272 | ) | (34,262 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (54,886 | ) | (1,292,565 | ) | ||||
|
| |||||||
(22,779,893 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (5.5)% |
| |||||||
Accelerate Diagnostics, Inc.* | (44,241 | ) | (993,210 | ) | ||||
Acceleron Pharma, Inc.* | (11,553 | ) | (431,158 | ) | ||||
Achaogen, Inc.* | (30,384 | ) | (484,625 | ) | ||||
Achillion Pharmaceuticals, Inc.* | (125,531 | ) | (563,634 | ) | ||||
Aclaris Therapeutics, Inc.* | (46,096 | ) | (1,189,738 | ) | ||||
Aduro Biotech, Inc.* | (20,970 | ) | (223,330 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (15,760 | ) | (765,936 | ) | ||||
Agios Pharmaceuticals, Inc.* | (9,492 | ) | (633,591 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (75,468 | ) | (924,483 | ) | ||||
Amphastar Pharmaceuticals, Inc.* | (7,345 | ) | (131,255 | ) | ||||
ANI Pharmaceuticals, Inc.* | (11,692 | ) | (613,713 | ) | ||||
Arena Pharmaceuticals, Inc.* | (266 | ) | (6,783 | ) | ||||
Athenex, Inc.* | (997 | ) | (17,457 | ) | ||||
Bio-Rad Laboratories, Inc., Class A* | (15,803 | ) | (3,511,743 | ) | ||||
Bruker Corp. | (63,088 | ) | (1,876,868 | ) | ||||
Cambrex Corp.* | (5,407 | ) | (297,385 | ) | ||||
Coherus Biosciences, Inc.* | (66,435 | ) | (886,907 | ) | ||||
Cytokinetics, Inc.* | (20,073 | ) | (291,058 | ) | ||||
CytomX Therapeutics, Inc.* | (9,052 | ) | (164,475 | ) | ||||
Dermira, Inc.* | (78,820 | ) | (2,128,140 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
Editas Medicine, Inc.* | (61,685 | ) | $ | (1,481,057 | ) | |||
Five Prime Therapeutics, Inc.* | (37,946 | ) | (1,552,371 | ) | ||||
Flexion Therapeutics, Inc.* | (37,865 | ) | (915,576 | ) | ||||
Heron Therapeutics, Inc.* | (143,811 | ) | (2,322,548 | ) | ||||
Horizon Pharma PLC (Ireland)* | (19,639 | ) | (249,023 | ) | ||||
Illumina, Inc.* | (19,845 | ) | (3,953,124 | ) | ||||
Intra-Cellular Therapies, Inc.* | (8,017 | ) | (126,508 | ) | ||||
Kala Pharmaceuticals, Inc.* | (279 | ) | (6,372 | ) | ||||
La Jolla Pharmaceutical Co.* | (52,064 | ) | (1,810,786 | ) | ||||
Lexicon Pharmaceuticals, Inc.* | (24,684 | ) | (303,366 | ) | ||||
Luminex Corp. | (30,575 | ) | (621,590 | ) | ||||
MacroGenics, Inc.* | (11,736 | ) | (216,881 | ) | ||||
Medicines Co. (The)* | (65,165 | ) | (2,413,712 | ) | ||||
Momenta Pharmaceuticals, Inc.* | (32,733 | ) | (605,560 | ) | ||||
Natera, Inc.* | (1,308 | ) | (16,860 | ) | ||||
Nektar Therapeutics* | (149,634 | ) | (3,591,216 | ) | ||||
NeoGenomics, Inc.* | (84,780 | ) | (943,601 | ) | ||||
Pacific Biosciences of California, Inc.* | (25,383 | ) | (133,261 | ) | ||||
Pacira Pharmaceuticals, Inc.* | (31,588 | ) | (1,186,129 | ) | ||||
Paratek Pharmaceuticals, Inc.* | (51,808 | ) | (1,300,381 | ) | ||||
QIAGEN NV (Netherlands) | (56,439 | ) | (1,777,828 | ) | ||||
Radius Health, Inc.* | (45,210 | ) | (1,742,846 | ) | ||||
Reata Pharmaceuticals, Inc., Class A* | (1,747 | ) | (54,332 | ) | ||||
Revance Therapeutics, Inc.* | (27,930 | ) | (769,472 | ) | ||||
Seres Therapeutics, Inc.* | (4,773 | ) | (76,559 | ) | ||||
Synergy Pharmaceuticals, Inc.* | (403,745 | ) | (1,170,860 | ) | ||||
TG Therapeutics, Inc.* | (10,207 | ) | (120,953 | ) | ||||
TherapeuticsMD, Inc.* | (110,757 | ) | (585,905 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (17,788 | ) | (609,061 | ) | ||||
Ultragenyx Pharmaceutical, Inc.* | (20,002 | ) | (1,065,307 | ) | ||||
VWR Corp.* | (42,536 | ) | (1,408,367 | ) | ||||
WaVe Life Sciences Ltd. (Singapore)* | (866 | ) | (18,836 | ) | ||||
|
| |||||||
(49,285,737 | ) | |||||||
|
| |||||||
Retailing — (5.5)% |
| |||||||
Abercrombie & Fitch Co., Class A | (186,022 | ) | (2,686,158 | ) | ||||
Amazon.com, Inc.* | (449 | ) | (431,646 | ) | ||||
American Eagle Outfitters, Inc. | (272,669 | ) | (3,899,167 | ) | ||||
At Home Group, Inc.* | (15,796 | ) | (360,781 | ) | ||||
Barnes & Noble, Inc. | (9,805 | ) | (74,518 | ) | ||||
Burlington Stores, Inc.* | (16,010 | ) | (1,528,315 | ) |
The accompanying notes are an integral part of the financial statements.
110
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Caleres, Inc. | (31,034 | ) | $ | (947,158 | ) | |||
Camping World Holdings, Inc., Class A | (39,422 | ) | (1,606,052 | ) | ||||
Children’s Place, Inc. (The) | (21,719 | ) | (2,566,100 | ) | ||||
Core-Mark Holding Co., Inc. | (16,239 | ) | (521,921 | ) | ||||
DSW, Inc., Class A | (43,249 | ) | (928,988 | ) | ||||
Duluth Holdings, Inc., Class B* | (4,703 | ) | (95,424 | ) | ||||
Express, Inc.* | (27,314 | ) | (184,643 | ) | ||||
Five Below, Inc.* | (55,494 | ) | (3,045,511 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (46,025 | ) | (1,791,753 | ) | ||||
GameStop Corp., Class A | (130,632 | ) | (2,698,857 | ) | ||||
Genesco, Inc.* | (10,729 | ) | (285,391 | ) | ||||
Group 1 Automotive, Inc. | (21,499 | ) | (1,557,817 | ) | ||||
Guess?, Inc. | (302,989 | ) | (5,159,903 | ) | ||||
Lithia Motors, Inc., Class A | (18,356 | ) | (2,208,410 | ) | ||||
Lumber Liquidators Holdings, Inc.* | (10,559 | ) | (411,590 | ) | ||||
Michaels Cos, Inc. (The)* | (12,025 | ) | (258,177 | ) | ||||
Murphy USA, Inc.* | (39,187 | ) | (2,703,903 | ) | ||||
Netflix, Inc.* | (1,302 | ) | (236,118 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (114,633 | ) | (5,318,971 | ) | ||||
Party City Holdco, Inc.* | (32,979 | ) | (446,865 | ) | ||||
Pool Corp. | (11,940 | ) | (1,291,550 | ) | ||||
Select Comfort Corp.* | (48,958 | ) | (1,520,146 | ) | ||||
Shutterfly, Inc.* | (28,510 | ) | (1,382,165 | ) | ||||
Sonic Automotive, Inc., Class A | (38,954 | ) | (794,662 | ) | ||||
Tile Shop Holdings, Inc. | (51,484 | ) | (653,847 | ) | ||||
Wayfair, Inc., Class A* | (1,221 | ) | (82,295 | ) | ||||
Williams-Sonoma, Inc. | (37,330 | ) | (1,861,274 | ) | ||||
|
| |||||||
(49,540,076 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (2.8)% |
| |||||||
Advanced Micro Devices, Inc.* | (220,985 | ) | (2,817,559 | ) | ||||
Ambarella, Inc. (Cayman Islands)* | (416 | ) | (20,388 | ) | ||||
Amkor Technology, Inc.* | (3,257 | ) | (34,361 | ) | ||||
Cavium, Inc.* | (33,295 | ) | (2,195,472 | ) | ||||
CEVA, Inc.* | (3,869 | ) | (165,593 | ) | ||||
Cohu, Inc. | (3,937 | ) | (93,858 | ) | ||||
Cree, Inc.* | (27,898 | ) | (786,445 | ) | ||||
Cypress Semiconductor Corp. | (95,147 | ) | (1,429,108 | ) | ||||
FormFactor, Inc.* | (62,788 | ) | (1,057,978 | ) | ||||
Inphi Corp.* | (107,416 | ) | (4,263,341 | ) | ||||
Integrated Device Technology, Inc.* | (119,111 | ) | (3,165,970 | ) | ||||
IXYS Corp.* | (6,273 | ) | (148,670 | ) | ||||
Lattice Semiconductor Corp.* | (142,210 | ) | (740,914 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor |
| |||||||
MACOM Technology Solutions Holdings, Inc.* | (20,765 | ) | $ | (926,327 | ) | |||
MaxLinear, Inc.* | (71,470 | ) | (1,697,412 | ) | ||||
Monolithic Power Systems, Inc. | (2,374 | ) | (252,950 | ) | ||||
Nanometrics, Inc.* | (9,812 | ) | (282,586 | ) | ||||
PDF Solutions, Inc.* | (11,620 | ) | (179,994 | ) | ||||
Photronics, Inc.* | (7,590 | ) | (67,172 | ) | ||||
Power Integrations, Inc. | (25,118 | ) | (1,838,638 | ) | ||||
Semtech Corp.* | (8,440 | ) | (316,922 | ) | ||||
Veeco Instruments, Inc.* | (65,795 | ) | (1,408,013 | ) | ||||
Versum Materials, Inc. | (15,369 | ) | (596,625 | ) | ||||
Xperi Corp. | (37,662 | ) | (952,849 | ) | ||||
|
| |||||||
(25,439,145 | ) | |||||||
|
| |||||||
Software & Services — (9.8)% |
| |||||||
8x8, Inc.* | (51,937 | ) | (701,149 | ) | ||||
Acxiom Corp.* | (40,588 | ) | (1,000,088 | ) | ||||
Alliance Data Systems Corp. | (19,846 | ) | (4,396,881 | ) | ||||
Apptio, Inc., Class A* | (16,865 | ) | (311,496 | ) | ||||
Autodesk, Inc.* | (17,836 | ) | (2,002,269 | ) | ||||
Benefitfocus, Inc.* | (10,666 | ) | (358,911 | ) | ||||
Black Knight Financial Services, Inc., Class A* | (58,996 | ) | (2,539,778 | ) | ||||
Blackhawk Network Holdings, Inc.* | (80,211 | ) | (3,513,242 | ) | ||||
Blackline, Inc.* | (10,189 | ) | (347,649 | ) | ||||
Booz Allen Hamilton Holding Corp. | (33,122 | ) | (1,238,431 | ) | ||||
Box, Inc., Class A* | (41,172 | ) | (795,443 | ) | ||||
BroadSoft, Inc.* | (40,215 | ) | (2,022,814 | ) | ||||
Callidus Software, Inc.* | (72,044 | ) | (1,775,885 | ) | ||||
Carbonite, Inc.* | (36,302 | ) | (798,644 | ) | ||||
Cardtronics PLC, Class A (United Kingdom)* | (94,480 | ) | (2,173,985 | ) | ||||
Conduent, Inc.* | (58,798 | ) | (921,365 | ) | ||||
Cornerstone OnDemand, Inc.* | (44,150 | ) | (1,792,932 | ) | ||||
Coupa Software, Inc.* | (28,302 | ) | (881,607 | ) | ||||
DST Systems, Inc. | (34,851 | ) | (1,912,623 | ) | ||||
DXC Technology Co. | (32,395 | ) | (2,782,083 | ) | ||||
Ellie Mae, Inc.* | (25,200 | ) | (2,069,676 | ) | ||||
Etsy, Inc.* | (53,304 | ) | (899,771 | ) | ||||
Euronet Worldwide, Inc.* | (10,345 | ) | (980,602 | ) | ||||
Everbridge, Inc.* | (16,191 | ) | (427,766 | ) | ||||
FireEye, Inc.* | (196,725 | ) | (3,299,078 | ) | ||||
Forrester Research, Inc. | (3,430 | ) | (143,546 | ) | ||||
Gartner, Inc.* | (15,005 | ) | (1,866,772 | ) | ||||
Gigamon, Inc.* | (79,426 | ) | (3,347,806 | ) |
The accompanying notes are an integral part of the financial statements.
111
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Globant SA (Luxembourg)* | (14,164 | ) | $ | (567,551 | ) | |||
Gogo, Inc.* | (198,314 | ) | (2,342,088 | ) | ||||
GTT Communications, Inc.* | (6,299 | ) | (199,363 | ) | ||||
Hortonworks, Inc.* | (74,104 | ) | (1,256,063 | ) | ||||
HubSpot, Inc.* | (15,011 | ) | (1,261,675 | ) | ||||
Imperva, Inc.* | (40,475 | ) | (1,756,615 | ) | ||||
Instructure, Inc.* | (34,113 | ) | (1,130,846 | ) | ||||
LivePerson, Inc.* | (341 | ) | (4,621 | ) | ||||
Monotype Imaging Holdings, Inc. | (13,045 | ) | (251,116 | ) | ||||
MuleSoft, Inc., Class A* | (18,412 | ) | (370,818 | ) | ||||
New Relic, Inc.* | (4,135 | ) | (205,923 | ) | ||||
Nutanix, Inc,. Class A* | (29,916 | ) | (669,819 | ) | ||||
Pandora Media, Inc.* | (499,510 | ) | (3,846,227 | ) | ||||
PROS Holdings, Inc.* | (49,319 | ) | (1,190,067 | ) | ||||
Q2 Holdings, Inc.* | (3,821 | ) | (159,145 | ) | ||||
Quotient Technology, Inc.* | (22,175 | ) | (347,039 | ) | ||||
Rapid7, Inc.* | (31,986 | ) | (562,954 | ) | ||||
Science Applications International Corp. | (11,754 | ) | (785,755 | ) | ||||
SecureWorks Corp., Class A* | (20,807 | ) | (256,966 | ) | ||||
Silver Spring Networks, Inc.* | (7,314 | ) | (118,267 | ) | ||||
Splunk, Inc.* | (49,077 | ) | (3,260,185 | ) | ||||
Sykes Enterprises, Inc.* | (5,165 | ) | (150,611 | ) | ||||
Teradata Corp.* | (121,784 | ) | (4,115,081 | ) | ||||
Twilio, Inc., Class A* | (23,888 | ) | (713,057 | ) | ||||
Twitter, Inc.* | (24,236 | ) | (408,861 | ) | ||||
Ultimate Software Group, Inc. (The)* | (12,649 | ) | (2,398,250 | ) | ||||
Vantiv, Inc., Class A* | (26,923 | ) | (1,897,264 | ) | ||||
Verint Systems, Inc.* | (11,363 | ) | (475,542 | ) | ||||
Virtusa Corp.* | (60,641 | ) | (2,291,017 | ) | ||||
Workday, Inc., Class A* | (18,756 | ) | (1,976,695 | ) | ||||
Workiva, Inc.* | (24,947 | ) | (520,145 | ) | ||||
Zendesk, Inc.* | (135,350 | ) | (3,940,038 | ) | ||||
Zynga, Inc., Class A* | (780,910 | ) | (2,951,840 | ) | ||||
|
| |||||||
(87,683,796 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (5.2)% |
| |||||||
3D Systems Corp.* | (114,066 | ) | (1,527,344 | ) | ||||
Arrow Electronics, Inc.* | (7,332 | ) | (589,566 | ) | ||||
Belden, Inc. | (20,543 | ) | (1,654,328 | ) | ||||
BlackBerry Ltd. (Canada)* | (26,220 | ) | (293,140 | ) | ||||
Celestica, Inc. (Canada)* | (1,933 | ) | (23,930 | ) | ||||
Corning, Inc. | (34,226 | ) | (1,024,042 | ) | ||||
CTS Corp. | (5,818 | ) | (140,214 | ) | ||||
Diebold Nixdorf, Inc. | (57,483 | ) | (1,313,486 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
FARO Technologies, Inc.* | (1,800 | ) | $ | (68,850 | ) | |||
Finisar Corp.* | (126,895 | ) | (2,813,262 | ) | ||||
Fitbit, Inc., Class A* | (478,034 | ) | (3,327,117 | ) | ||||
II-VI, Inc.* | (72,351 | ) | (2,977,244 | ) | ||||
Infinera Corp.* | (447,961 | ) | (3,973,414 | ) | ||||
Insight Enterprises, Inc.* | (11,602 | ) | (532,764 | ) | ||||
Keysight Technologies, Inc.* | (30,460 | ) | (1,268,964 | ) | ||||
Kimball Electronics, Inc.* | (117 | ) | (2,533 | ) | ||||
Knowles Corp.* | (40,878 | ) | (624,207 | ) | ||||
Lumentum Holdings, Inc.* | (59,894 | ) | (3,255,239 | ) | ||||
Mesa Laboratories, Inc. | (149 | ) | (22,249 | ) | ||||
MTS Systems Corp. | (153 | ) | (8,178 | ) | ||||
NETGEAR, Inc.* | (53,534 | ) | (2,548,218 | ) | ||||
NetScout Systems, Inc.* | (13,345 | ) | (431,711 | ) | ||||
Oclaro, Inc.* | (64,495 | ) | (556,592 | ) | ||||
Palo Alto Networks, Inc.* | (13,610 | ) | (1,961,201 | ) | ||||
PC Connection, Inc. | (634 | ) | (17,872 | ) | ||||
Plexus Corp.* | (13,748 | ) | (770,988 | ) | ||||
Pure Storage, Inc., Class A* | (196,348 | ) | (3,139,605 | ) | ||||
Quantenna Communications, Inc.* | (243 | ) | (4,085 | ) | ||||
Sierra Wireless, Inc. (Canada)* | (49,977 | ) | (1,074,506 | ) | ||||
Stratasys Ltd. (Israel)* | (13,170 | ) | (304,490 | ) | ||||
Super Micro Computer, Inc.* | (81,870 | ) | (1,809,327 | ) | ||||
SYNNEX Corp. | (12,227 | ) | (1,546,838 | ) | ||||
Tech Data Corp.* | (31,028 | ) | (2,756,838 | ) | ||||
VeriFone Systems, Inc.* | (38,431 | ) | (779,381 | ) | ||||
ViaSat, Inc.* | (56,934 | ) | (3,661,995 | ) | ||||
|
| |||||||
(46,803,718 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.2)% |
| |||||||
ATN International, Inc. | (13,475 | ) | (710,132 | ) | ||||
Boingo Wireless, Inc.* | (20,033 | ) | (428,105 | ) | ||||
Cincinnati Bell, Inc.* | (74,122 | ) | (1,471,322 | ) | ||||
General Communication, Inc., Class A* | (30,473 | ) | (1,242,994 | ) | ||||
Iridium Communications, Inc.* | (179,965 | ) | (1,853,640 | ) | ||||
Shenandoah Telecommunications Co. | (42,289 | ) | (1,573,151 | ) | ||||
Straight Path Communications, Inc,. Class B* | (2,253 | ) | (407,050 | ) | ||||
United States Cellular Corp.* | (2,267 | ) | (80,252 | ) | ||||
Zayo Group Holdings, Inc.* | (90,942 | ) | (3,130,224 | ) | ||||
|
| |||||||
(10,896,870 | ) | |||||||
|
| |||||||
Transportation — (2.9)% |
| |||||||
Air Transport Services Group, Inc.* | (23,306 | ) | (567,268 | ) |
The accompanying notes are an integral part of the financial statements.
112
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Allegiant Travel Co. | (4,763 | ) | $ | (627,287 | ) | |||
ArcBest Corp. | (14,723 | ) | (492,484 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (32,753 | ) | (2,155,147 | ) | ||||
CH Robinson Worldwide, Inc. | (11,617 | ) | (884,054 | ) | ||||
Echo Global Logistics, Inc.* | (17,330 | ) | (326,670 | ) | ||||
Genesee & Wyoming, Inc., Class A* | (77,373 | ) | (5,726,376 | ) | ||||
Golden Ocean Group Ltd. (Bermuda)* | (5,697 | ) | (44,664 | ) | ||||
Hub Group, Inc., Class A* | (4,559 | ) | (195,809 | ) | ||||
JetBlue Airways Corp.* | (7,164 | ) | (132,749 | ) | ||||
Kansas City Southern | (23,329 | ) | (2,535,396 | ) | ||||
Matson, Inc. | (12,460 | ) | (351,123 | ) | ||||
Ryder System, Inc. | (56,199 | ) | (4,751,625 | ) | ||||
Saia, Inc.* | (6,245 | ) | (391,249 | ) | ||||
SkyWest, Inc. | (59,696 | ) | (2,620,654 | ) | ||||
Spirit Airlines, Inc.* | (126,994 | ) | (4,242,870 | ) | ||||
|
| |||||||
(26,045,425 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $660,164,364) | (660,160,600 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD (Proceeds $660,164,364) |
| (660,160,600 | ) | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9% | 8,161,981 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 897,370,614 | ||||||
|
|
† | 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) |
(b) | Security position is either entirely or partially designated as collateral for securities on loan. |
* | Non-income producing. |
PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
113
GOTHAM ENHANCED 500 FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 185.7% |
| |||||||
COMMON STOCKS — 185.7% |
| |||||||
Automobiles & Components — 3.2% |
| |||||||
BorgWarner, Inc.(a) | 365 | $ | 18,699 | |||||
Delphi Automotive PLC | 855 | 84,132 | ||||||
General Motors Co.† | 14,854 | 599,805 | ||||||
Harley-Davidson, Inc.(a) | 1,763 | 84,994 | ||||||
|
| |||||||
787,630 | ||||||||
|
| |||||||
Capital Goods — 17.2% | ||||||||
3M Co.† | 172 | 36,103 | ||||||
Allegion PLC (Ireland)(a) | 359 | 31,043 | ||||||
AMETEK, Inc.† | 2,148 | 141,854 | ||||||
Arconic, Inc.† | 2,728 | 67,873 | ||||||
Boeing Co. (The)† | 4,018 | 1,021,416 | ||||||
Caterpillar, Inc.† | 5,940 | 740,777 | ||||||
Cummins, Inc.†(b) | 1,678 | 281,954 | ||||||
Emerson Electric Co.† | 479 | 30,100 | ||||||
Fastenal Co.(a) | 2,318 | 105,654 | ||||||
Honeywell International, Inc.† | 4,253 | 602,820 | ||||||
Ingersoll-Rand PLC (Ireland)† | 1,092 | 97,374 | ||||||
Jacobs Engineering Group, Inc.† | 1,243 | 72,430 | ||||||
Lockheed Martin Corp.†(b) | 1,718 | 533,078 | ||||||
Pentair PLC (Ireland)(b) | 1,875 | 127,425 | ||||||
Rockwell Automation, Inc.†(b) | 460 | 81,977 | ||||||
Rockwell Collins, Inc.† | 211 | 27,580 | ||||||
Snap-on, Inc.†(a) | 478 | 71,227 | ||||||
TransDigm Group, Inc.(a) | 329 | 84,109 | ||||||
United Rentals, Inc.†* | 2 | 277 | ||||||
WW Grainger, Inc. | 268 | 48,173 | ||||||
|
| |||||||
4,203,244 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.6% |
| |||||||
Equifax, Inc. | 211 | 22,364 | ||||||
Republic Services, Inc.† | 797 | 52,650 | ||||||
Robert Half International, Inc.† | 1,151 | 57,941 | ||||||
Stericycle, Inc.†* | 13 | 931 | ||||||
Waste Management, Inc.†(b) | 3,312 | 259,230 | ||||||
|
| |||||||
393,116 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.1% |
| |||||||
Coach, Inc.† | 2,978 | 119,954 | ||||||
Garmin Ltd. (Switzerland)(a) | 1,118 | 60,338 | ||||||
Hasbro, Inc. | 278 | 27,152 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 1,767 | 84,551 | ||||||
PVH Corp.† | 154 | 19,413 | ||||||
Ralph Lauren Corp.(b) | 872 | 76,989 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Whirlpool Corp.(a) | 688 | $ | 126,895 | |||||
|
| |||||||
515,292 | ||||||||
|
| |||||||
Consumer Services — 5.2% | ||||||||
Darden Restaurants, Inc.† | 90 | 7,090 | ||||||
Hilton Worldwide Holdings, Inc.† | 3,494 | 242,658 | ||||||
Marriott International, Inc., | 3,760 | 414,578 | ||||||
McDonald’s Corp.(b) | 1,289 | 201,961 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 1,985 | 235,302 | ||||||
Wyndham Worldwide Corp.(a) | 934 | 98,453 | ||||||
Yum! Brands, Inc.† | 914 | 67,280 | ||||||
|
| |||||||
1,267,322 | ||||||||
|
| |||||||
Diversified Financials — 6.9% |
| |||||||
BlackRock, Inc.(b) | 1,072 | 479,280 | ||||||
Franklin Resources, Inc. | 5,765 | 256,600 | ||||||
Invesco Ltd. (Bermuda)(b) | 4,204 | 147,308 | ||||||
Moody’s Corp.† | 1,980 | 275,636 | ||||||
Nasdaq, Inc.†(b) | 1,727 | 133,963 | ||||||
S&P Global, Inc.†(b) | 999 | 156,154 | ||||||
T Rowe Price Group, Inc.(a) | 2,483 | 225,084 | ||||||
|
| |||||||
1,674,025 | ||||||||
|
| |||||||
Energy — 8.2% | ||||||||
Anadarko Petroleum Corp.†(b) | 5,709 | 278,885 | ||||||
Chesapeake Energy Corp.(a)* | 9,357 | 40,235 | ||||||
Chevron Corp.†(b) | 1,354 | 159,095 | ||||||
ConocoPhillips†(b) | 13,109 | 656,105 | ||||||
Marathon Oil Corp.† | 1,080 | 14,645 | ||||||
Marathon Petroleum Corp.† | 1,301 | 72,960 | ||||||
Occidental Petroleum Corp.† | 4,431 | 284,515 | ||||||
ONEOK, Inc. | 1,614 | 89,432 | ||||||
Range Resources Corp.(a) | 2,563 | 50,158 | ||||||
Valero Energy Corp.†(b) | 4,567 | 351,339 | ||||||
|
| |||||||
1,997,369 | ||||||||
|
| |||||||
Food & Staples Retailing — 11.5% |
| |||||||
CVS Health Corp.† | 11,164 | 907,856 | ||||||
Sysco Corp.† | 5,651 | 304,871 | ||||||
Walgreens Boots Alliance, Inc.† | 9,657 | 745,714 | ||||||
Wal-Mart Stores, Inc.†(b) | 10,965 | 856,805 | ||||||
|
| |||||||
2,815,246 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 7.7% |
| |||||||
Altria Group, Inc.†(b) | 12,905 | 818,435 | ||||||
Conagra Brands, Inc.† | 4,427 | 149,367 |
The accompanying notes are an integral part of the financial statements.
114
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Dr Pepper Snapple Group, Inc.† | 1,882 | $ | 166,501 | |||||
General Mills, Inc.(a) | 2,826 | 146,274 | ||||||
Kellogg Co.(a) | 3,565 | 222,349 | ||||||
Kraft Heinz Co. (The) | 213 | 16,518 | ||||||
Molson Coors Brewing Co., Class B | 2,224 | 181,567 | ||||||
PepsiCo, Inc.† | 426 | 47,469 | ||||||
Philip Morris International, Inc.† | 1,186 | 131,658 | ||||||
|
| |||||||
1,880,138 | ||||||||
|
| |||||||
Health Care Equipment & Services — 17.4% |
| |||||||
Aetna, Inc.†(b) | 3,397 | 540,157 | ||||||
AmerisourceBergen Corp.(a) | 2,325 | 192,394 | ||||||
Anthem, Inc.†(b) | 2,809 | 533,373 | ||||||
Baxter International, Inc.† | 1,446 | 90,736 | ||||||
Centene Corp.†(b)* | 1,826 | 176,702 | ||||||
Cigna Corp.† | 2,670 | 499,130 | ||||||
Express Scripts Holding Co.†(b)* | 5,723 | 362,380 | ||||||
HCA Healthcare, Inc.†* | 3,605 | 286,922 | ||||||
Humana, Inc.†(b) | 1,559 | 379,819 | ||||||
Laboratory Corp. of America Holdings†* | 385 | 58,123 | ||||||
McKesson Corp.† | 2,170 | 333,334 | ||||||
Medtronic PLC (Ireland) | 1,439 | 111,911 | ||||||
Quest Diagnostics, Inc.† | 1,017 | 95,232 | ||||||
UnitedHealth Group, Inc.† | 2,013 | 394,246 | ||||||
Universal Health Services, Inc., Class B† | 988 | 109,609 | ||||||
Varian Medical Systems, Inc.(a)* | 988 | 98,859 | ||||||
|
| |||||||
4,262,927 | ||||||||
|
| |||||||
Household & Personal Products — 3.2% |
| |||||||
Church & Dwight Co., Inc.† | 1,839 | 89,100 | ||||||
Clorox Co. (The)(a) | 1,332 | 175,704 | ||||||
Colgate-Palmolive Co. | 253 | 18,431 | ||||||
Estee Lauder Cos., Inc. (The), Class A(b) | 662 | 71,390 | ||||||
Kimberly-Clark Corp.† | 3,554 | 418,235 | ||||||
|
| |||||||
772,860 | ||||||||
|
| |||||||
Insurance — 1.6% | ||||||||
Aon PLC (United Kingdom)† | 1,722 | 251,584 | ||||||
Progressive Corp. (The)† | 1,492 | 72,243 | ||||||
Willis Towers Watson PLC (Ireland)(b) | 431 | 66,473 | ||||||
|
| |||||||
390,300 | ||||||||
|
| |||||||
Materials — 7.1% | ||||||||
Air Products & Chemicals, Inc.† | 2,308 | 349,016 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Ball Corp.(a) | 1,319 | $ | 54,475 | |||||
FMC Corp. | 8 | 714 | ||||||
Freeport-McMoRan, Inc.†* | 14,950 | 209,898 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 4,268 | 422,745 | ||||||
Newmont Mining Corp.† | 5,510 | 206,680 | ||||||
Packaging Corp. of America† | 975 | 111,813 | ||||||
PPG Industries, Inc.† | 1,051 | 114,202 | ||||||
Sherwin-Williams Co. (The)†(b) | 730 | 261,369 | ||||||
WestRock Co.† | 190 | 10,779 | ||||||
|
| |||||||
1,741,691 | ||||||||
|
| |||||||
Media — 12.9% | ||||||||
CBS Corp., Class B, non-voting shares† | 3,331 | 193,198 | ||||||
Comcast Corp., Class A† | 18,263 | 702,760 | ||||||
News Corp., Class A†(a)(b) | 6,167 | 81,774 | ||||||
Omnicom Group, Inc.(a) | 2,183 | 161,695 | ||||||
Scripps Networks Interactive, Inc., Class A | 1,175 | 100,921 | ||||||
Time Warner, Inc.† | 7,935 | 812,941 | ||||||
Twenty-First Century Fox, Inc., Class A† | 19,347 | 510,374 | ||||||
Walt Disney Co. (The)† | 6,098 | 601,080 | ||||||
|
| |||||||
3,164,743 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 9.4% |
| |||||||
AbbVie, Inc.†(b) | 7,726 | 686,532 | ||||||
Amgen, Inc.† | 2,823 | 526,348 | ||||||
Biogen, Inc.†* | 404 | 126,500 | ||||||
Bristol-Myers Squibb Co.† | 293 | 18,676 | ||||||
Celgene Corp.†* | 941 | 137,217 | ||||||
Gilead Sciences, Inc.† | 9,974 | 808,093 | ||||||
|
| |||||||
2,303,366 | ||||||||
|
| |||||||
Real Estate — 1.4% | ||||||||
Alexandria Real Estate Equities, Inc., REIT(a) | 239 | 28,434 | ||||||
Duke Realty Corp., REIT | 995 | 28,676 | ||||||
Extra Space Storage, Inc., | 648 | 51,788 | ||||||
Mid-America Apartment Communities, Inc., REIT† | 1,081 | 115,537 | ||||||
Realty Income Corp., REIT†(a) | 169 | 9,665 | ||||||
Regency Centers Corp., REIT† | 1,600 | 99,264 | ||||||
|
| |||||||
333,364 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
115
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — 11.4% | ||||||||
Advance Auto Parts, Inc.(b) | 762 | $ | 75,590 | |||||
AutoZone, Inc.* | 4 | 2,380 | ||||||
Best Buy Co., Inc.†(a) | 671 | 38,220 | ||||||
CarMax, Inc.(a)* | 569 | 43,136 | ||||||
Dollar General Corp. | 127 | 10,293 | ||||||
Dollar Tree, Inc.†* | 452 | 39,243 | ||||||
Foot Locker, Inc.(a) | 20 | 704 | ||||||
Gap, Inc. (The)(a) | 752 | 22,207 | ||||||
Genuine Parts Co.(a) | 1,481 | 141,658 | ||||||
Home Depot, Inc. (The)†(b) | 5,958 | 974,490 | ||||||
LKQ Corp.†* | 3,266 | 117,543 | ||||||
Lowe’s Cos., Inc.† | 8,648 | 691,321 | ||||||
Macy’s, Inc.(a) | 305 | 6,655 | ||||||
Nordstrom, Inc.(a) | 1,599 | 75,393 | ||||||
O’Reilly Automotive, Inc.(a)* | 306 | 65,903 | ||||||
Ross Stores, Inc.† | 3,947 | 254,858 | ||||||
Signet Jewelers Ltd. | 670 | 44,588 | ||||||
Target Corp.†(a) | 2,049 | 120,911 | ||||||
TJX Cos., Inc. (The) | 127 | 9,364 | ||||||
Tractor Supply Co.(a) | 957 | 60,569 | ||||||
|
| |||||||
2,795,026 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 10.9% |
| |||||||
Applied Materials, Inc.†(b) | 11,019 | 573,980 | ||||||
Intel Corp.† | 15,472 | 589,174 | ||||||
KLA-Tencor Corp.† | 1,662 | 176,172 | ||||||
Lam Research Corp.(a) | 1,941 | 359,163 | ||||||
Micron Technology, Inc.* | 11,299 | 444,390 | ||||||
Skyworks Solutions, Inc.(a) | 1,621 | 165,180 | ||||||
Texas Instruments, Inc.† | 2,115 | 189,589 | ||||||
Xilinx, Inc.†(a)(b) | 2,491 | 176,438 | ||||||
|
| |||||||
2,674,086 | ||||||||
|
| |||||||
Software & Services — 13.5% | ||||||||
Accenture PLC, Class A (Ireland)† | 1,525 | 205,982 | ||||||
Alphabet, Inc., Class A†* | 266 | 259,010 | ||||||
Automatic Data Processing, Inc.†(b) | 2,143 | 234,273 | ||||||
CA, Inc.† | 4,032 | 134,588 | ||||||
Citrix Systems, Inc.†* | 1,420 | 109,084 | ||||||
CSRA, Inc.† | 1,549 | 49,986 | ||||||
eBay, Inc.†* | 434 | 16,692 | ||||||
Electronic Arts, Inc.†* | 3,203 | 378,146 | ||||||
International Business Machines Corp.† | 4,017 | 582,786 | ||||||
Intuit, Inc. | 2,715 | 385,910 | ||||||
Oracle Corp.† | 12,782 | 618,010 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Paychex, Inc.(b) | 3,522 | $ | 211,179 | |||||
Total System Services, Inc.† | 128 | 8,384 | ||||||
Visa, Inc., Class A(a) | 1,042 | 109,660 | ||||||
|
| |||||||
3,303,690 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 12.9% |
| |||||||
Apple, Inc.† | 3,959 | 610,161 | ||||||
Cisco Systems, Inc.† | 26,712 | 898,325 | ||||||
F5 Networks, Inc.†* | 598 | 72,095 | ||||||
FLIR Systems, Inc.† | 1,246 | 48,482 | ||||||
Harris Corp.† | 1,243 | 163,678 | ||||||
Hewlett Packard Enterprise Co.† | 17,451 | 256,704 | ||||||
HP, Inc.† | 17,839 | 356,066 | ||||||
Juniper Networks, Inc.† | 4,054 | 112,823 | ||||||
Motorola Solutions, Inc.† | 654 | 55,505 | ||||||
NetApp, Inc.†(a) | 2,855 | 124,935 | ||||||
Seagate Technology PLC | 2,706 | 89,758 | ||||||
TE Connectivity Ltd. (Switzerland) | 2 | 166 | ||||||
Western Digital Corp.† | 3,060 | 264,384 | ||||||
Xerox Corp.(b) | 2,696 | 89,750 | ||||||
|
| |||||||
3,142,832 | ||||||||
|
| |||||||
Telecommunication Services — 5.2% |
| |||||||
AT&T, Inc.†(a) | 12,974 | 508,192 | ||||||
CenturyLink, Inc.(a) | 155 | 2,930 | ||||||
Verizon Communications, Inc.† | 15,168 | 750,664 | ||||||
|
| |||||||
1,261,786 | ||||||||
|
| |||||||
Transportation — 12.2% | ||||||||
Alaska Air Group, Inc.†(b) | 161 | 12,279 | ||||||
CSX Corp.†(b) | 5,907 | 320,514 | ||||||
Delta Air Lines, Inc.†(b) | 6,587 | 317,625 | ||||||
Expeditors International of Washington, Inc.† | 1,906 | 114,093 | ||||||
FedEx Corp. | 2,090 | 471,462 | ||||||
JB Hunt Transport Services, | 1,146 | 127,298 | ||||||
Norfolk Southern Corp.†(b) | 1,731 | 228,907 | ||||||
Southwest Airlines Co.†(b) | 5,645 | 316,007 | ||||||
Union Pacific Corp.†(b) | 5,702 | 661,261 | ||||||
United Parcel Service, Inc., | 3,457 | 415,151 | ||||||
|
| |||||||
2,984,597 | ||||||||
|
| |||||||
Utilities — 3.0% | ||||||||
DTE Energy Co. | 1,845 | 198,079 | ||||||
FirstEnergy Corp.† | 4,590 | 141,510 | ||||||
NRG Energy, Inc.† | 612 | 15,661 |
The accompanying notes are an integral part of the financial statements.
116
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) | ||||||||
Public Service Enterprise Group, Inc.(b) | 5,217 | $ | 241,286 | |||||
WEC Energy Group, Inc.† | 2,302 | 144,520 | ||||||
|
| |||||||
741,056 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 45,405,706 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 185.7% |
| 45,405,706 | ||||||
|
| |||||||
(Cost $41,014,638) | ||||||||
SHORT POSITIONS — (86.5)% |
| |||||||
COMMON STOCKS — (86.5)% |
| |||||||
Automobiles & Components — (1.1)% |
| |||||||
Ford Motor Co. | (19,560 | ) | (234,133 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (1,210 | ) | (40,232 | ) | ||||
|
| |||||||
(274,365 | ) | |||||||
|
| |||||||
Banks — (5.7)% | ||||||||
Bank of America Corp. | (8,043 | ) | (203,810 | ) | ||||
BB&T Corp. | (3,480 | ) | (163,351 | ) | ||||
Citigroup, Inc. | (1,760 | ) | (128,022 | ) | ||||
Citizens Financial Group, Inc. | (913 | ) | (34,575 | ) | ||||
Comerica, Inc. | (702 | ) | (53,535 | ) | ||||
Fifth Third Bancorp | (3,695 | ) | (103,386 | ) | ||||
JPMorgan Chase & Co. | (386 | ) | (36,867 | ) | ||||
M&T Bank Corp. | (585 | ) | (94,208 | ) | ||||
PNC Financial Services Group, Inc. (The) | (213 | ) | (28,706 | ) | ||||
Regions Financial Corp. | (5,991 | ) | (91,243 | ) | ||||
SunTrust Banks, Inc. | (1,748 | ) | (104,478 | ) | ||||
US Bancorp | (3,278 | ) | (175,668 | ) | ||||
Wells Fargo & Co. | (2,801 | ) | (154,475 | ) | ||||
Zions Bancorporation | (357 | ) | (16,843 | ) | ||||
|
| |||||||
(1,389,167 | ) | |||||||
|
| |||||||
Capital Goods — (8.0)% |
| |||||||
Acuity Brands, Inc. | (167 | ) | (28,604 | ) | ||||
AO Smith Corp. | (828 | ) | (49,208 | ) | ||||
Dover Corp. | (768 | ) | (70,188 | ) | ||||
Eaton Corp. PLC (Ireland) | (2,204 | ) | (169,245 | ) | ||||
Flowserve Corp. | (626 | ) | (26,661 | ) | ||||
Fluor Corp. | (671 | ) | (28,249 | ) | ||||
Fortive Corp. | (1,667 | ) | (118,007 | ) | ||||
Fortune Brands Home & Security, Inc. | (758 | ) | (50,960 | ) | ||||
General Dynamics Corp. | (762 | ) | (156,652 | ) | ||||
General Electric Co. | (9,409 | ) | (227,510 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Illinois Tool Works, Inc. | (105 | ) | $ | (15,536 | ) | |||
Johnson Controls International PLC (Ireland) | (4,478 | ) | (180,419 | ) | ||||
L3 Technologies, Inc. | (375 | ) | (70,661 | ) | ||||
Masco Corp. | (1,557 | ) | (60,739 | ) | ||||
PACCAR, Inc. | (742 | ) | (53,676 | ) | ||||
Parker-Hannifin Corp. | (656 | ) | (114,813 | ) | ||||
Quanta Services, Inc.* | (732 | ) | (27,355 | ) | ||||
Raytheon Co. | (1,392 | ) | (259,719 | ) | ||||
Stanley Black & Decker, Inc. | (532 | ) | (80,316 | ) | ||||
Textron, Inc. | (1,344 | ) | (72,415 | ) | ||||
United Technologies Corp. | (735 | ) | (85,319 | ) | ||||
|
| |||||||
(1,946,252 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.8)% |
| |||||||
Cintas Corp. | (509 | ) | (73,439 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (1,033 | ) | (45,535 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (1,712 | ) | (70,962 | ) | ||||
|
| |||||||
(189,936 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.0)% |
| |||||||
Hanesbrands, Inc. | (1,750 | ) | (43,120 | ) | ||||
Leggett & Platt, Inc. | (652 | ) | (31,120 | ) | ||||
Mattel, Inc. | (1,645 | ) | (25,465 | ) | ||||
Mohawk Industries, Inc.* | (366 | ) | (90,589 | ) | ||||
Newell Brands, Inc. | (2,321 | ) | (99,037 | ) | ||||
NIKE, Inc., Class B | (871 | ) | (45,161 | ) | ||||
Under Armour, Inc., Class C* | (2,169 | ) | (32,578 | ) | ||||
VF Corp. | (1,888 | ) | (120,020 | ) | ||||
|
| |||||||
(487,090 | ) | |||||||
|
| |||||||
Consumer Services — (1.5)% |
| |||||||
Carnival Corp. (Panama) | (3,566 | ) | (230,257 | ) | ||||
MGM Resorts International | (2,761 | ) | (89,981 | ) | ||||
Wynn Resorts Ltd. | (275 | ) | (40,953 | ) | ||||
|
| |||||||
(361,191 | ) | |||||||
|
| |||||||
Diversified Financials — (4.7)% |
| |||||||
Affiliated Managers Group, Inc. | (279 | ) | (52,963 | ) | ||||
American Express Co. | (2,142 | ) | (193,765 | ) | ||||
Bank of New York Mellon Corp. (The) | (471 | ) | (24,972 | ) | ||||
Berkshire Hathaway, Inc., | (194 | ) | (35,564 | ) | ||||
Capital One Financial Corp. | (243 | ) | (20,572 | ) | ||||
Charles Schwab Corp. (The) | (480 | ) | (20,995 | ) | ||||
CME Group, Inc. | (1,627 | ) | (220,751 | ) | ||||
Discover Financial Services | (36 | ) | (2,321 | ) |
The accompanying notes are an integral part of the financial statements.
117
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Goldman Sachs Group, Inc. (The) | (588 | ) | $ | (139,468 | ) | |||
Intercontinental Exchange, Inc. | (2,921 | ) | (200,673 | ) | ||||
Leucadia National Corp. | (1,723 | ) | (43,506 | ) | ||||
Morgan Stanley | (1,076 | ) | (51,831 | ) | ||||
Navient Corp. | (1,415 | ) | (21,253 | ) | ||||
Northern Trust Corp. | (1,098 | ) | (100,939 | ) | ||||
Raymond James Financial, Inc. | (7 | ) | (590 | ) | ||||
Synchrony Financial | (865 | ) | (26,858 | ) | ||||
|
| |||||||
(1,157,021 | ) | |||||||
|
| |||||||
Energy — (7.7)% | ||||||||
Andeavor | (316 | ) | (32,595 | ) | ||||
Apache Corp. | (1,798 | ) | (82,348 | ) | ||||
Cimarex Energy Co. | (457 | ) | (51,947 | ) | ||||
Concho Resources, Inc.* | (231 | ) | (30,427 | ) | ||||
EOG Resources, Inc. | (579 | ) | (56,013 | ) | ||||
EQT Corp. | (853 | ) | (55,650 | ) | ||||
Exxon Mobil Corp. | (3,795 | ) | (311,114 | ) | ||||
Halliburton Co. | (1,079 | ) | (49,666 | ) | ||||
Helmerich & Payne, Inc. | (534 | ) | (27,827 | ) | ||||
Hess Corp. | (1,526 | ) | (71,554 | ) | ||||
Kinder Morgan, Inc. | (3,935 | ) | (75,473 | ) | ||||
National Oilwell Varco, Inc. | (1,872 | ) | (66,887 | ) | ||||
Newfield Exploration Co.* | (980 | ) | (29,077 | ) | ||||
Phillips 66 | (2,456 | ) | (224,994 | ) | ||||
Pioneer Natural Resources Co. | (816 | ) | (120,393 | ) | ||||
Schlumberger Ltd. (Curacao) | (6,088 | ) | (424,699 | ) | ||||
TechnipFMC PLC (United Kingdom)* | (2,298 | ) | (64,160 | ) | ||||
Williams Cos., Inc. (The) | (3,967 | ) | (119,050 | ) | ||||
|
| |||||||
(1,893,874 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.8)% |
| |||||||
Archer-Daniels-Midland Co. | (2,702 | ) | (114,862 | ) | ||||
Brown-Forman Corp., Class B | (1,585 | ) | (86,066 | ) | ||||
Constellation Brands, Inc., Class A | (22 | ) | (4,388 | ) | ||||
Hershey Co. (The) | (991 | ) | (108,188 | ) | ||||
Hormel Foods Corp. | (137 | ) | (4,403 | ) | ||||
McCormick & Co., Inc., non-voting shares | (609 | ) | (62,508 | ) | ||||
Mondelez International, Inc., Class A | (4,780 | ) | (194,355 | ) | ||||
Tyson Foods, Inc., Class A | (1,760 | ) | (123,992 | ) | ||||
|
| |||||||
(698,762 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (8.8)% |
| |||||||
Abbott Laboratories | (8,177 | ) | (436,325 | ) | ||||
Becton Dickinson and Co. | (1,036 | ) | (203,004 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Boston Scientific Corp.* | (5,984 | ) | $ | (174,553 | ) | |||
Cardinal Health, Inc. | (1,556 | ) | (104,128 | ) | ||||
Cerner Corp.* | (925 | ) | (65,971 | ) | ||||
Cooper Cos., Inc. (The) | (240 | ) | (56,906 | ) | ||||
CR Bard, Inc. | (360 | ) | (115,380 | ) | ||||
Danaher Corp. | (3,382 | ) | (290,108 | ) | ||||
DaVita, Inc.* | (959 | ) | (56,955 | ) | ||||
DENTSPLY SIRONA, Inc. | (1,101 | ) | (65,851 | ) | ||||
Edwards Lifesciences Corp.* | (630 | ) | (68,865 | ) | ||||
Henry Schein, Inc.* | (782 | ) | (64,116 | ) | ||||
IDEXX Laboratories, Inc.* | (3 | ) | (467 | ) | ||||
Intuitive Surgical, Inc.* | (76 | ) | (79,487 | ) | ||||
Patterson Cos., Inc. | (119 | ) | (4,599 | ) | ||||
ResMed, Inc. | (682 | ) | (52,487 | ) | ||||
Stryker Corp. | (1,796 | ) | (255,068 | ) | ||||
Zimmer Biomet Holdings, Inc. | (487 | ) | (57,023 | ) | ||||
|
| |||||||
(2,151,293 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.5)% |
| |||||||
Coty, Inc., Class A | (3,683 | ) | (60,880 | ) | ||||
Procter & Gamble Co. (The) | (567 | ) | (51,586 | ) | ||||
|
| |||||||
(112,466 | ) | |||||||
|
| |||||||
Insurance — (5.5)% | ||||||||
Aflac, Inc. | (1,833 | ) | (149,188 | ) | ||||
Allstate Corp. (The) | (371 | ) | (34,099 | ) | ||||
American International Group, Inc. | (4,182 | ) | (256,733 | ) | ||||
Assurant, Inc. | (283 | ) | (27,032 | ) | ||||
Brighthouse Financial, Inc.* | (203 | ) | (12,342 | ) | ||||
Chubb Ltd. (Switzerland) | (576 | ) | (82,109 | ) | ||||
Cincinnati Financial Corp. | (788 | ) | (60,337 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (1,702 | ) | (94,342 | ) | ||||
Lincoln National Corp. | (667 | ) | (49,011 | ) | ||||
Loews Corp. | (1,617 | ) | (77,390 | ) | ||||
Marsh & McLennan Cos., Inc. | (1,491 | ) | (124,961 | ) | ||||
Principal Financial Group, Inc. | (1,387 | ) | (89,240 | ) | ||||
Prudential Financial, Inc. | (2,119 | ) | (225,292 | ) | ||||
Torchmark Corp. | (559 | ) | (44,770 | ) | ||||
Unum Group | (3 | ) | (153 | ) | ||||
XL Group Ltd. (Bermuda) | (493 | ) | (19,449 | ) | ||||
|
| |||||||
(1,346,448 | ) | |||||||
|
| |||||||
Materials — (4.5)% | ||||||||
Albemarle Corp. | (530 | ) | (72,244 | ) | ||||
Avery Dennison Corp. | (3 | ) | (295 | ) |
The accompanying notes are an integral part of the financial statements.
118
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
CF Industries Holdings, Inc. | (908 | ) | $ | (31,925 | ) | |||
DowDuPont, Inc. | (1,052 | ) | (72,830 | ) | ||||
Eastman Chemical Co. | (718 | ) | (64,972 | ) | ||||
Ecolab, Inc. | (1,320 | ) | (169,765 | ) | ||||
International Flavors & Fragrances, Inc. | (379 | ) | (54,163 | ) | ||||
International Paper Co. | (1,983 | ) | (112,674 | ) | ||||
Martin Marietta Materials, Inc. | (310 | ) | (63,931 | ) | ||||
Monsanto Co. | (2,163 | ) | (259,171 | ) | ||||
Mosaic Co. (The) | (1,729 | ) | (37,329 | ) | ||||
Nucor Corp. | (1,289 | ) | (72,236 | ) | ||||
Sealed Air Corp. | (237 | ) | (10,125 | ) | ||||
Vulcan Materials Co. | (654 | ) | (78,218 | ) | ||||
|
| |||||||
(1,099,878 | ) | |||||||
|
| |||||||
Media — (0.4)% | ||||||||
DISH Network Corp., Class A* | (945 | ) | (51,247 | ) | ||||
Interpublic Group of Cos., Inc. (The) | (1,889 | ) | (39,272 | ) | ||||
|
| |||||||
(90,519 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (9.0)% |
| |||||||
Alexion Pharmaceuticals, Inc.* | (1,075 | ) | (150,812 | ) | ||||
Allergan PLC (Ireland) | (1,653 | ) | (338,782 | ) | ||||
Eli Lilly & Co. | (4,899 | ) | (419,061 | ) | ||||
Illumina, Inc.* | (54 | ) | (10,757 | ) | ||||
Incyte Corp.* | (1,051 | ) | (122,694 | ) | ||||
Johnson & Johnson | (95 | ) | (12,351 | ) | ||||
Merck & Co., Inc. | (1,888 | ) | (120,889 | ) | ||||
Mylan NV (Netherlands)* | (2,574 | ) | (80,746 | ) | ||||
PerkinElmer, Inc. | (490 | ) | (33,795 | ) | ||||
Perrigo Co. PLC (Ireland) | (593 | ) | (50,198 | ) | ||||
Pfizer, Inc. | (8,680 | ) | (309,876 | ) | ||||
Quintiles IMS Holdings, Inc.* | (511 | ) | (48,581 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (587 | ) | (262,459 | ) | ||||
Thermo Fisher Scientific, Inc. | (1,106 | ) | (209,255 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (28 | ) | (4,257 | ) | ||||
Zoetis, Inc. | (585 | ) | (37,300 | ) | ||||
|
| |||||||
(2,211,813 | ) | |||||||
|
| |||||||
Real Estate — (4.9)% | ||||||||
American Tower Corp., REIT | (757 | ) | (103,467 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (678 | ) | (29,737 | ) | ||||
AvalonBay Communities, Inc., REIT | (386 | ) | (68,870 | ) | ||||
Boston Properties, Inc., REIT | (13 | ) | (1,597 | ) | ||||
CBRE Group, Inc., Class A* | (1,623 | ) | (61,479 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Crown Castle International Corp., REIT | (1,782 | ) | $ | (178,164 | ) | |||
Equinix, Inc., REIT | (33 | ) | (14,728 | ) | ||||
Equity Residential, REIT | (1,673 | ) | (110,301 | ) | ||||
Federal Realty Investment Trust, REIT | (17 | ) | (2,112 | ) | ||||
GGP, Inc., REIT | (4,347 | ) | (90,287 | ) | ||||
HCP, Inc., REIT | (2,307 | ) | (64,204 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (3,640 | ) | (67,304 | ) | ||||
Iron Mountain, Inc., REIT | (1,269 | ) | (49,364 | ) | ||||
Kimco Realty Corp., REIT | (2,097 | ) | (40,996 | ) | ||||
Macerich Co. (The), REIT | (710 | ) | (39,029 | ) | ||||
SBA Communications Corp., REIT* | (581 | ) | (83,693 | ) | ||||
Simon Property Group, Inc., REIT | (237 | ) | (38,159 | ) | ||||
SL Green Realty Corp., REIT | (497 | ) | (50,356 | ) | ||||
Vornado Realty Trust, REIT | (26 | ) | (1,999 | ) | ||||
Welltower, Inc., REIT | (1,603 | ) | (112,659 | ) | ||||
|
| |||||||
(1,208,505 | ) | |||||||
|
| |||||||
Retailing — (3.2)% | ||||||||
Amazon.com, Inc.* | (457 | ) | (439,337 | ) | ||||
Expedia, Inc. | (212 | ) | (30,515 | ) | ||||
Kohl’s Corp. | (810 | ) | (36,976 | ) | ||||
L Brands, Inc. | (1,374 | ) | (57,172 | ) | ||||
Netflix, Inc.* | (28 | ) | (5,078 | ) | ||||
Priceline Group, Inc. (The)* | (42 | ) | (76,895 | ) | ||||
Tiffany & Co. | (496 | ) | (45,523 | ) | ||||
TripAdvisor, Inc.* | (710 | ) | (28,776 | ) | ||||
Ulta Beauty, Inc.* | (284 | ) | (64,201 | ) | ||||
|
| |||||||
(784,473 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (3.7)% |
| |||||||
Advanced Micro Devices, Inc.* | (4,632 | ) | (59,058 | ) | ||||
Analog Devices, Inc. | (1,772 | ) | (152,693 | ) | ||||
Broadcom Ltd. (Singapore) | (1,599 | ) | (387,822 | ) | ||||
Microchip Technology, Inc. | (13 | ) | (1,167 | ) | ||||
NVIDIA Corp. | (1,459 | ) | (260,825 | ) | ||||
Qorvo, Inc.* | (640 | ) | (45,235 | ) | ||||
|
| |||||||
(906,800 | ) | |||||||
|
| |||||||
Software & Services — (5.9)% | ||||||||
Activision Blizzard, Inc. | (3,626 | ) | (233,913 | ) | ||||
Adobe Systems, Inc.* | (194 | ) | (28,941 | ) | ||||
Akamai Technologies, Inc.* | (853 | ) | (41,558 | ) | ||||
Alliance Data Systems Corp. | (267 | ) | (59,154 | ) | ||||
ANSYS, Inc.* | (51 | ) | (6,259 | ) |
The accompanying notes are an integral part of the financial statements.
119
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Cadence Design Systems, Inc.* | (1,345 | ) | $ | (53,087 | ) | |||
DXC Technology Co. | (1,397 | ) | (119,974 | ) | ||||
Facebook, Inc., Class A* | (866 | ) | (147,973 | ) | ||||
Fidelity National Information Services, Inc. | (1,595 | ) | (148,957 | ) | ||||
Fiserv, Inc.* | (380 | ) | (49,005 | ) | ||||
Gartner, Inc.* | (435 | ) | (54,118 | ) | ||||
Global Payments, Inc. | (732 | ) | (69,562 | ) | ||||
PayPal Holdings, Inc.* | (2,784 | ) | (178,260 | ) | ||||
salesforce.com, Inc.* | (419 | ) | (39,143 | ) | ||||
Symantec Corp. | (3,023 | ) | (99,185 | ) | ||||
Synopsys, Inc.* | (145 | ) | (11,677 | ) | ||||
Verisign, Inc.* | (620 | ) | (65,962 | ) | ||||
Western Union Co. (The) | (2,325 | ) | (44,640 | ) | ||||
|
| |||||||
(1,451,368 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.8)% |
| |||||||
Amphenol Corp., Class A | (688 | ) | (58,232 | ) | ||||
Corning, Inc. | (4,332 | ) | (129,613 | ) | ||||
|
| |||||||
(187,845 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.4)% |
| |||||||
Level 3 Communications, Inc.* | (1,778 | ) | (94,750 | ) | ||||
|
| |||||||
Transportation — (1.0)% | ||||||||
American Airlines Group, Inc. | (2,500 | ) | (118,725 | ) | ||||
Kansas City Southern | (211 | ) | (22,932 | ) | ||||
United Continental Holdings, Inc.* | (1,532 | ) | (93,268 | ) | ||||
|
| |||||||
(234,925 | ) | |||||||
|
| |||||||
Utilities — (3.6)% | ||||||||
Alliant Energy Corp. | (1,122 | ) | (46,642 | ) | ||||
American Electric Power Co., Inc. | (901 | ) | (63,286 | ) | ||||
American Water Works Co., Inc. | (897 | ) | (72,576 | ) | ||||
Consolidated Edison, Inc. | (1,469 | ) | (118,519 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) | ||||||||
Dominion Resources, Inc. | (14 | ) | $ | (1,077 | ) | |||
Duke Energy Corp. | (292 | ) | (24,505 | ) | ||||
Entergy Corp. | (862 | ) | (65,822 | ) | ||||
Eversource Energy | (1,521 | ) | (91,929 | ) | ||||
Exelon Corp. | (1,290 | ) | (48,594 | ) | ||||
PG&E Corp. | (2,417 | ) | (164,574 | ) | ||||
Pinnacle West Capital Corp. | (549 | ) | (46,423 | ) | ||||
PPL Corp. | (3,051 | ) | (115,786 | ) | ||||
SCANA Corp. | (167 | ) | (8,098 | ) | ||||
Sempra Energy | (56 | ) | (6,391 | ) | ||||
Xcel Energy, Inc. | (132 | ) | (6,246 | ) | ||||
|
| |||||||
(880,468 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $20,938,261) | (21,159,209 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD |
| (21,159,209 | ) | |||||
|
| |||||||
(Proceeds $20,938,261) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.8% | 206,571 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 24,453,068 | ||||||
|
|
† | 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) |
(b) | Security position is either entirely or partially designated as collateral for securities on loan. |
* | Non-income producing. |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
120
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 139.7% |
| |||||||
COMMON STOCKS — 139.7% |
| |||||||
Automobiles & Components — 3.2% |
| |||||||
BorgWarner, Inc.† | 155 | $ | 7,941 | |||||
Delphi Automotive PLC (Jersey)† | 197 | 19,385 | ||||||
General Motors Co.† | 1,079 | 43,570 | ||||||
Harley-Davidson, Inc.(a) | 126 | 6,074 | ||||||
|
| |||||||
76,970 | ||||||||
|
| |||||||
Capital Goods — 13.2% |
| |||||||
3M Co.† | 63 | 13,224 | ||||||
Allegion PLC (Ireland)† | 39 | 3,372 | ||||||
AMETEK, Inc.† | 129 | 8,519 | ||||||
Arconic, Inc. | 360 | 8,957 | ||||||
Boeing Co. (The)† | 320 | 81,347 | ||||||
Caterpillar, Inc.† | 373 | 46,517 | ||||||
Cummins, Inc.† | 118 | 19,828 | ||||||
Emerson Electric Co.† | 6 | 377 | ||||||
Fastenal Co. | 62 | 2,826 | ||||||
Honeywell International, Inc.† | 344 | 48,759 | ||||||
Ingersoll-Rand PLC (Ireland)† | 183 | 16,318 | ||||||
Jacobs Engineering Group, Inc.† | 89 | 5,186 | ||||||
Lockheed Martin Corp.† | 138 | 42,820 | ||||||
Northrop Grumman Corp. | 1 | 288 | ||||||
Pentair PLC (Ireland) | 134 | 9,107 | ||||||
Rockwell Collins, Inc. | 26 | 3,398 | ||||||
Snap-on, Inc.† | 42 | 6,258 | ||||||
|
| |||||||
317,101 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.4% |
| |||||||
Equifax, Inc. | 10 | 1,060 | ||||||
Republic Services, Inc. | 68 | 4,492 | ||||||
Robert Half International, Inc.† | 93 | 4,682 | ||||||
Stericycle, Inc.* | 6 | 430 | ||||||
Waste Management, Inc.† | 279 | 21,837 | ||||||
|
| |||||||
32,501 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.8% |
| |||||||
Coach, Inc. | 208 | 8,378 | ||||||
Garmin Ltd. (Switzerland)† | 132 | 7,124 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 122 | 5,838 | ||||||
PVH Corp.† | 56 | 7,059 | ||||||
Ralph Lauren Corp.† | 56 | 4,944 | ||||||
Whirlpool Corp. | 53 | 9,775 | ||||||
|
| |||||||
43,118 | ||||||||
|
| |||||||
Consumer Services — 3.7% | ||||||||
Hilton Worldwide Holdings, Inc. | 240 | 16,668 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Marriott International, Inc., Class A | 195 | $ | 21,501 | |||||
McDonald’s Corp.† | 165 | 25,852 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 113 | 13,395 | ||||||
Wyndham Worldwide Corp.† | 79 | 8,327 | ||||||
Yum! Brands, Inc.† | 35 | 2,576 | ||||||
|
| |||||||
88,319 | ||||||||
|
| |||||||
Diversified Financials — 4.5% | ||||||||
BlackRock, Inc. | 54 | 24,143 | ||||||
Franklin Resources, Inc. | 411 | 18,294 | ||||||
Invesco Ltd. (Bermuda) | 300 | 10,512 | ||||||
Moody’s Corp.† | 140 | 19,489 | ||||||
Nasdaq, Inc.† | 122 | 9,464 | ||||||
S&P Global, Inc. | 57 | 8,910 | ||||||
T Rowe Price Group, Inc. | 177 | 16,045 | ||||||
|
| |||||||
106,857 | ||||||||
|
| |||||||
Energy — 4.5% | ||||||||
Anadarko Petroleum Corp. | 407 | 19,882 | ||||||
Chesapeake Energy Corp.(a)* | 667 | 2,868 | ||||||
Chevron Corp. | 17 | 1,998 | ||||||
ConocoPhillips† | 896 | 44,845 | ||||||
Occidental Petroleum Corp. | 168 | 10,787 | ||||||
Range Resources Corp.(a) | 182 | 3,562 | ||||||
Valero Energy Corp.† | 326 | 25,079 | ||||||
|
| |||||||
109,021 | ||||||||
|
| |||||||
Food & Staples Retailing — 8.7% | ||||||||
CVS Health Corp.† | 775 | 63,023 | ||||||
Sysco Corp.† | 391 | 21,094 | ||||||
Walgreens Boots Alliance, Inc.† | 728 | 56,216 | ||||||
Wal-Mart Stores, Inc.† | 890 | 69,545 | ||||||
|
| |||||||
209,878 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 6.3% |
| |||||||
Altria Group, Inc.† | 1,026 | 65,069 | ||||||
Conagra Brands, Inc.† | 317 | 10,696 | ||||||
Dr Pepper Snapple Group, Inc.† | 134 | 11,855 | ||||||
General Mills, Inc. | 313 | 16,201 | ||||||
Hormel Foods Corp. | 6 | 193 | ||||||
Kellogg Co. | 254 | 15,842 | ||||||
Kraft Heinz Co. (The) | 60 | 4,653 | ||||||
Molson Coors Brewing Co., | 55 | 4,490 | ||||||
PepsiCo, Inc. | 118 | 13,149 | ||||||
Philip Morris International, Inc.† | 77 | 8,548 | ||||||
|
| |||||||
150,696 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
121
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — 13.5% |
| |||||||
Aetna, Inc.† | 254 | $ | 40,388 | |||||
AmerisourceBergen Corp. | 166 | 13,736 | ||||||
Anthem, Inc.† | 194 | 36,837 | ||||||
Baxter International, Inc.† | 83 | 5,208 | ||||||
Centene Corp.†* | 127 | 12,290 | ||||||
Cigna Corp.† | 187 | 34,958 | ||||||
Express Scripts Holding Co.†* | 448 | 28,367 | ||||||
HCA Healthcare, Inc.†* | 267 | 21,251 | ||||||
Humana, Inc.† | 109 | 26,556 | ||||||
Laboratory Corp. of America Holdings* | 77 | 11,625 | ||||||
McKesson Corp.† | 155 | 23,810 | ||||||
Medtronic PLC (Ireland)† | 164 | 12,754 | ||||||
Quest Diagnostics, Inc.† | 100 | 9,364 | ||||||
UnitedHealth Group, Inc.† | 160 | 31,336 | ||||||
Universal Health Services, Inc., Class B | 71 | 7,877 | ||||||
Varian Medical Systems, Inc.* | 68 | 6,804 | ||||||
|
| |||||||
323,161 | ||||||||
|
| |||||||
Household & Personal Products — 2.6% |
| |||||||
Church & Dwight Co., Inc.† | 159 | 7,704 | ||||||
Clorox Co. (The) | 95 | 12,531 | ||||||
Colgate-Palmolive Co. | 139 | 10,126 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 5 | 539 | ||||||
Kimberly-Clark Corp.† | 260 | 30,597 | ||||||
|
| |||||||
61,497 | ||||||||
|
| |||||||
Insurance — 1.2% | ||||||||
Aon PLC (United Kingdom)† | 157 | 22,938 | ||||||
Progressive Corp. (The) | 77 | 3,728 | ||||||
Willis Towers Watson PLC (Ireland) | 21 | 3,239 | ||||||
|
| |||||||
29,905 | ||||||||
|
| |||||||
Materials — 5.0% | ||||||||
Air Products & Chemicals, Inc.† | 161 | 24,346 | ||||||
FMC Corp. | 6 | 536 | ||||||
Freeport-McMoRan, Inc.†* | 1,066 | 14,967 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 283 | 28,031 | ||||||
Newmont Mining Corp. | 393 | 14,741 | ||||||
Packaging Corp. of America | 69 | 7,913 | ||||||
PPG Industries, Inc.† | 3 | 326 | ||||||
Sherwin-Williams Co. (The)† | 65 | 23,273 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
WestRock Co.† | 118 | $ | 6,694 | |||||
|
| |||||||
120,827 | ||||||||
|
| |||||||
Media — 9.4% | ||||||||
CBS Corp., Class B, non-voting shares† | 122 | 7,076 | ||||||
Comcast Corp., Class A† | 1,346 | 51,794 | ||||||
Discovery Communications, Inc., Class A†* | 9 | 192 | ||||||
News Corp., Class A† | 429 | 5,689 | ||||||
Omnicom Group, Inc.† | 54 | 4,000 | ||||||
Scripps Networks Interactive, Inc., Class A† | 95 | 8,160 | ||||||
Time Warner, Inc.† | 572 | 58,601 | ||||||
Twenty-First Century Fox, Inc., Class A† | 1,358 | 35,824 | ||||||
Viacom, Inc., Class B | 6 | 167 | ||||||
Walt Disney Co. (The)† | 548 | 54,016 | ||||||
|
| |||||||
225,519 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 6.8% |
| |||||||
AbbVie, Inc.† | 493 | 43,808 | ||||||
Amgen, Inc.† | 199 | 37,104 | ||||||
Biogen, Inc.†* | 2 | 626 | ||||||
Bristol-Myers Squibb Co. | 84 | 5,354 | ||||||
Gilead Sciences, Inc.† | 946 | 76,645 | ||||||
|
| |||||||
163,537 | ||||||||
|
| |||||||
Real Estate — 1.2% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 1 | 119 | ||||||
Duke Realty Corp., REIT | 47 | 1,355 | ||||||
Essex Property Trust, Inc., REIT | 16 | 4,064 | ||||||
Extra Space Storage, Inc., REIT | 93 | 7,433 | ||||||
Mid-America Apartment Communities, Inc., REIT | 84 | 8,978 | ||||||
Public Storage, REIT | 4 | 856 | ||||||
Realty Income Corp., REIT | 8 | 458 | ||||||
Regency Centers Corp., REIT | 98 | 6,080 | ||||||
UDR, Inc., REIT | 6 | 228 | ||||||
Ventas, Inc., REIT | 7 | 456 | ||||||
|
| |||||||
30,027 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
122
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — 9.1% | ||||||||
Advance Auto Parts, Inc. | 55 | $ | 5,456 | |||||
AutoZone, Inc.†* | 2 | 1,190 | ||||||
Best Buy Co., Inc.† | 230 | 13,101 | ||||||
Dollar General Corp. | 40 | 3,242 | ||||||
Dollar Tree, Inc.* | 19 | 1,650 | ||||||
Foot Locker, Inc. | 1 | 35 | ||||||
Gap, Inc. (The)(a) | 70 | 2,067 | ||||||
Genuine Parts Co. | 108 | 10,330 | ||||||
Home Depot, Inc. (The)† | 435 | 71,149 | ||||||
LKQ Corp.* | 228 | 8,206 | ||||||
Lowe’s Cos., Inc.† | 617 | 49,323 | ||||||
Nordstrom, Inc. | 122 | 5,752 | ||||||
O’Reilly Automotive, Inc.* | 46 | 9,907 | ||||||
Ross Stores, Inc. | 284 | 18,338 | ||||||
Signet Jewelers Ltd. | 50 | 3,328 | ||||||
Target Corp.† | 185 | 10,917 | ||||||
TJX Cos., Inc. (The) | 38 | 2,802 | ||||||
Tractor Supply Co. | 31 | 1,962 | ||||||
|
| |||||||
218,755 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.2% |
| |||||||
Applied Materials, Inc.† | 786 | 40,943 | ||||||
Intel Corp.† | 912 | 34,729 | ||||||
KLA-Tencor Corp.† | 116 | 12,296 | ||||||
Lam Research Corp.† | 133 | 24,610 | ||||||
Micron Technology, Inc.* | 734 | 28,868 | ||||||
Skyworks Solutions, Inc. | 133 | 13,553 | ||||||
Texas Instruments, Inc.† | 315 | 28,237 | ||||||
Xilinx, Inc. | 180 | 12,749 | ||||||
|
| |||||||
195,985 | ||||||||
|
| |||||||
Software & Services — 9.7% | ||||||||
Accenture PLC, Class A (Ireland)† | 113 | 15,263 | ||||||
Alphabet, Inc., Class A* | 5 | 4,869 | ||||||
Automatic Data Processing, Inc.† | 160 | 17,491 | ||||||
CA, Inc.† | 281 | 9,380 | ||||||
Citrix Systems, Inc.* | 103 | 7,912 | ||||||
CSRA, Inc.† | 120 | 3,872 | ||||||
eBay, Inc.†* | 162 | 6,230 | ||||||
Electronic Arts, Inc.†* | 229 | 27,036 | ||||||
International Business Machines Corp.† | 346 | 50,198 | ||||||
Intuit, Inc.† | 188 | 26,722 | ||||||
Oracle Corp.† | 994 | 48,060 | ||||||
Paychex, Inc.† | 264 | 15,829 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Total System Services, Inc. | 2 | $ | 131 | |||||
|
| |||||||
232,993 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 10.6% |
| |||||||
Apple, Inc.† | 467 | 71,974 | ||||||
Cisco Systems, Inc.† | 1,921 | 64,603 | ||||||
F5 Networks, Inc.†* | 47 | 5,666 | ||||||
FLIR Systems, Inc.† | 97 | 3,774 | ||||||
Harris Corp. | 89 | 11,719 | ||||||
Hewlett Packard Enterprise Co.† | 1,197 | 17,608 | ||||||
HP, Inc.† | 1,230 | 24,551 | ||||||
Juniper Networks, Inc.† | 281 | 7,820 | ||||||
Motorola Solutions, Inc. | 72 | 6,111 | ||||||
NetApp, Inc. | 198 | 8,664 | ||||||
Seagate Technology PLC (Ireland)†(a) | 189 | 6,269 | ||||||
TE Connectivity Ltd. | 10 | 831 | ||||||
Western Digital Corp.† | 216 | 18,662 | ||||||
Xerox Corp. | 193 | 6,425 | ||||||
|
| |||||||
254,677 | ||||||||
|
| |||||||
Telecommunication Services — 4.8% |
| |||||||
AT&T, Inc.† | 1,250 | 48,962 | ||||||
CenturyLink, Inc.(a) | 5 | 94 | ||||||
Verizon Communications, Inc.† | 1,314 | 65,030 | ||||||
|
| |||||||
114,086 | ||||||||
|
| |||||||
Transportation — 8.0% | ||||||||
Alaska Air Group, Inc.† | 65 | 4,958 | ||||||
CSX Corp. | 253 | 13,728 | ||||||
Delta Air Lines, Inc.† | 520 | 25,074 | ||||||
Expeditors International of Washington, Inc. | 132 | 7,901 | ||||||
FedEx Corp.† | 144 | 32,483 | ||||||
JB Hunt Transport Services, Inc. | 80 | 8,886 | ||||||
Norfolk Southern Corp. | 25 | 3,306 | ||||||
Southwest Airlines Co.† | 438 | 24,519 | ||||||
Union Pacific Corp.† | 306 | 35,487 | ||||||
United Continental Holdings, Inc.†* | 162 | 9,863 | ||||||
United Parcel Service, Inc., | 213 | 25,579 | ||||||
|
| |||||||
191,784 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
123
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — 2.3% | ||||||||
DTE Energy Co. | 132 | $ | 14,171 | |||||
FirstEnergy Corp. | 327 | 10,081 | ||||||
NRG Energy, Inc.† | 229 | 5,860 | ||||||
Public Service Enterprise Group, Inc. | 371 | 17,159 | ||||||
WEC Energy Group, Inc. | 121 | 7,596 | ||||||
|
| |||||||
54,867 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 3,352,081 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 139.7% |
| 3,352,081 | ||||||
|
| |||||||
(Cost $2,976,549) | ||||||||
SHORT POSITIONS — (40.3)% | ||||||||
COMMON STOCKS — (40.3)% | ||||||||
Automobiles & Components — (0.5)% |
| |||||||
Ford Motor Co. | (834 | ) | (9,983 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (53 | ) | (1,762 | ) | ||||
|
| |||||||
(11,745 | ) | |||||||
|
| |||||||
Banks — (3.9)% | ||||||||
Bank of America Corp. | (694 | ) | (17,586 | ) | ||||
BB&T Corp. | (171 | ) | (8,027 | ) | ||||
Citigroup, Inc. | (94 | ) | (6,838 | ) | ||||
Citizens Financial Group, Inc. | (107 | ) | (4,052 | ) | ||||
Comerica, Inc. | (32 | ) | (2,440 | ) | ||||
Huntington Bancshares, Inc. | (20 | ) | (279 | ) | ||||
JPMorgan Chase & Co. | (61 | ) | (5,826 | ) | ||||
M&T Bank Corp. | (33 | ) | (5,314 | ) | ||||
People’s United Financial, Inc. | (9 | ) | (163 | ) | ||||
PNC Financial Services Group, Inc. (The) | (29 | ) | (3,908 | ) | ||||
Regions Financial Corp. | (255 | ) | (3,884 | ) | ||||
SunTrust Banks, Inc. | (98 | ) | (5,857 | ) | ||||
US Bancorp | (259 | ) | (13,880 | ) | ||||
Wells Fargo & Co. | (244 | ) | (13,457 | ) | ||||
Zions Bancorporation | (43 | ) | (2,029 | ) | ||||
|
| |||||||
(93,540 | ) | |||||||
|
| |||||||
Capital Goods — (3.5)% | ||||||||
Acuity Brands, Inc. | (9 | ) | (1,541 | ) | ||||
AO Smith Corp. | (37 | ) | (2,199 | ) | ||||
Dover Corp. | (16 | ) | (1,462 | ) | ||||
Eaton Corp. PLC (Ireland) | (95 | ) | (7,295 | ) | ||||
Flowserve Corp. | (28 | ) | (1,193 | ) | ||||
Fluor Corp. | (30 | ) | (1,263 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Fortive Corp. | (4 | ) | $ | (283 | ) | |||
Fortune Brands Home & Security, Inc. | (33 | ) | (2,219 | ) | ||||
General Dynamics Corp. | (46 | ) | (9,457 | ) | ||||
General Electric Co. | (672 | ) | (16,249 | ) | ||||
Illinois Tool Works, Inc. | (30 | ) | (4,439 | ) | ||||
Johnson Controls International PLC (Ireland) | (197 | ) | (7,937 | ) | ||||
L3 Technologies, Inc. | (17 | ) | (3,203 | ) | ||||
Masco Corp. | (67 | )�� | (2,614 | ) | ||||
PACCAR, Inc. | (50 | ) | (3,617 | ) | ||||
Quanta Services, Inc.* | (32 | ) | (1,196 | ) | ||||
Raytheon Co. | (19 | ) | (3,545 | ) | ||||
Stanley Black & Decker, Inc. | (25 | ) | (3,774 | ) | ||||
United Rentals, Inc.* | (18 | ) | (2,497 | ) | ||||
United Technologies Corp. | (65 | ) | (7,545 | ) | ||||
Xylem, Inc. | (2 | ) | (125 | ) | ||||
|
| |||||||
(83,653 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.3)% |
| |||||||
Cintas Corp. | (22 | ) | (3,174 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (29 | ) | (1,278 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (75 | ) | (3,109 | ) | ||||
Verisk Analytics, Inc.* | (10 | ) | (832 | ) | ||||
|
| |||||||
(8,393 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.1)% |
| |||||||
Hanesbrands, Inc. | (77 | ) | (1,897 | ) | ||||
Leggett & Platt, Inc. | (28 | ) | (1,336 | ) | ||||
Mattel, Inc. | (72 | ) | (1,115 | ) | ||||
Mohawk Industries, Inc.* | (16 | ) | (3,960 | ) | ||||
Newell Brands, Inc. | (102 | ) | (4,352 | ) | ||||
NIKE, Inc., Class B | (149 | ) | (7,726 | ) | ||||
Under Armour, Inc., Class C* | (93 | ) | (1,397 | ) | ||||
VF Corp. | (83 | ) | (5,276 | ) | ||||
|
| |||||||
(27,059 | ) | |||||||
|
| |||||||
Consumer Services — (0.7)% |
| |||||||
Carnival Corp. (Panama) | (153 | ) | (9,879 | ) | ||||
Darden Restaurants, Inc. | (26 | ) | (2,048 | ) | ||||
MGM Resorts International | (121 | ) | (3,943 | ) | ||||
Wynn Resorts Ltd. | (6 | ) | (894 | ) | ||||
|
| |||||||
(16,764 | ) | |||||||
|
| |||||||
Diversified Financials — (2.4)% |
| |||||||
American Express Co. | (23 | ) | (2,081 | ) | ||||
Bank of New York Mellon Corp. (The) | (66 | ) | (3,499 | ) |
The accompanying notes are an integral part of the financial statements.
124
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Berkshire Hathaway, Inc., | (26 | ) | $ | (4,766 | ) | |||
Capital One Financial Corp. | (35 | ) | (2,963 | ) | ||||
Charles Schwab Corp. (The) | (90 | ) | (3,937 | ) | ||||
CME Group, Inc. | (58 | ) | (7,869 | ) | ||||
Discover Financial Services | (17 | ) | (1,096 | ) | ||||
E*TRADE Financial Corp.* | (15 | ) | (654 | ) | ||||
Goldman Sachs Group, Inc. (The) | (53 | ) | (12,571 | ) | ||||
Intercontinental Exchange, Inc. | (2 | ) | (137 | ) | ||||
Leucadia National Corp. | (76 | ) | (1,919 | ) | ||||
Morgan Stanley | (135 | ) | (6,503 | ) | ||||
Navient Corp. | (64 | ) | (961 | ) | ||||
Northern Trust Corp. | (49 | ) | (4,505 | ) | ||||
Raymond James Financial, Inc. | (8 | ) | (675 | ) | ||||
State Street Corp. | (6 | ) | (573 | ) | ||||
Synchrony Financial | (127 | ) | (3,943 | ) | ||||
|
| |||||||
(58,652 | ) | |||||||
|
| |||||||
Energy — (3.3)% | ||||||||
Andeavor | (9 | ) | (928 | ) | ||||
Apache Corp. | (38 | ) | (1,740 | ) | ||||
Cimarex Energy Co. | (20 | ) | (2,273 | ) | ||||
Concho Resources, Inc.* | (31 | ) | (4,083 | ) | ||||
EQT Corp. | (36 | ) | (2,349 | ) | ||||
Exxon Mobil Corp. | (151 | ) | (12,379 | ) | ||||
Helmerich & Payne, Inc. | (23 | ) | (1,199 | ) | ||||
Hess Corp. | (67 | ) | (3,142 | ) | ||||
Kinder Morgan, Inc. | (267 | ) | (5,121 | ) | ||||
National Oilwell Varco, Inc. | (46 | ) | (1,644 | ) | ||||
Newfield Exploration Co.* | (42 | ) | (1,246 | ) | ||||
Phillips 66 | (100 | ) | (9,161 | ) | ||||
Pioneer Natural Resources Co. | (36 | ) | (5,311 | ) | ||||
Schlumberger Ltd. (Curacao) | (281 | ) | (19,603 | ) | ||||
TechnipFMC PLC (United Kingdom)* | (98 | ) | (2,736 | ) | ||||
Williams Cos., Inc. (The) | (175 | ) | (5,252 | ) | ||||
|
| |||||||
(78,167 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (1.5)% |
| |||||||
Archer-Daniels-Midland Co. | (119 | ) | (5,059 | ) | ||||
Brown-Forman Corp., Class B | (6 | ) | (326 | ) | ||||
Coca-Cola Co. (The) | (42 | ) | (1,890 | ) | ||||
Constellation Brands, Inc., Class A | (11 | ) | (2,194 | ) | ||||
Hershey Co. (The) | (46 | ) | (5,022 | ) | ||||
McCormick & Co., Inc., non-voting shares | (27 | ) | (2,771 | ) | ||||
Mondelez International, Inc., Class A | (321 | ) | (13,052 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Tyson Foods, Inc., Class A | (77 | ) | $ | (5,425 | ) | |||
|
| |||||||
(35,739 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (3.6)% |
| |||||||
Abbott Laboratories | (70 | ) | (3,735 | ) | ||||
Becton Dickinson and Co. | (37 | ) | (7,250 | ) | ||||
Boston Scientific Corp.* | (290 | ) | (8,459 | ) | ||||
Cardinal Health, Inc. | (67 | ) | (4,484 | ) | ||||
Cerner Corp.* | (20 | ) | (1,426 | ) | ||||
Cooper Cos., Inc. (The) | (11 | ) | (2,608 | ) | ||||
CR Bard, Inc. | (16 | ) | (5,128 | ) | ||||
Danaher Corp. | (147 | ) | (12,610 | ) | ||||
DaVita, Inc.* | (41 | ) | (2,435 | ) | ||||
DENTSPLY SIRONA, Inc. | (49 | ) | (2,931 | ) | ||||
Edwards Lifesciences Corp.* | (44 | ) | (4,810 | ) | ||||
Henry Schein, Inc.* | (34 | ) | (2,788 | ) | ||||
Intuitive Surgical, Inc.* | (7 | ) | (7,321 | ) | ||||
Patterson Cos., Inc. | (21 | ) | (812 | ) | ||||
ResMed, Inc. | (30 | ) | (2,309 | ) | ||||
Stryker Corp. | (79 | ) | (11,220 | ) | ||||
Zimmer Biomet Holdings, Inc. | (43 | ) | (5,035 | ) | ||||
|
| |||||||
(85,361 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.3)% |
| |||||||
Coty, Inc., Class A | (158 | ) | (2,612 | ) | ||||
Procter & Gamble Co. (The) | (56 | ) | (5,095 | ) | ||||
|
| |||||||
(7,707 | ) | |||||||
|
| |||||||
Insurance — (2.3)% | ||||||||
Aflac, Inc. | (3 | ) | (244 | ) | ||||
Allstate Corp. (The) | (35 | ) | (3,217 | ) | ||||
American International Group, Inc. | (192 | ) | (11,787 | ) | ||||
Assurant, Inc. | (13 | ) | (1,242 | ) | ||||
Brighthouse Financial, Inc.* | (26 | ) | (1,581 | ) | ||||
Chubb Ltd. (Switzerland) | (47 | ) | (6,700 | ) | ||||
Cincinnati Financial Corp. | (35 | ) | (2,680 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (77 | ) | (4,268 | ) | ||||
Lincoln National Corp. | (6 | ) | (441 | ) | ||||
Loews Corp. | (72 | ) | (3,446 | ) | ||||
Marsh & McLennan Cos., Inc. | (11 | ) | (922 | ) | ||||
Principal Financial Group, Inc. | (62 | ) | (3,989 | ) | ||||
Prudential Financial, Inc. | (91 | ) | (9,675 | ) | ||||
Torchmark Corp. | (25 | ) | (2,002 | ) | ||||
Unum Group | (2 | ) | (102 | ) |
The accompanying notes are an integral part of the financial statements.
125
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) | ||||||||
XL Group Ltd. (Bermuda) | (55 | ) | $ | (2,170 | ) | |||
|
| |||||||
(54,466 | ) | |||||||
|
| |||||||
Materials — (1.9)% | ||||||||
Albemarle Corp. | (24 | ) | (3,271 | ) | ||||
CF Industries Holdings, Inc. | (2 | ) | (70 | ) | ||||
DowDuPont, Inc. | (59 | ) | (4,085 | ) | ||||
Ecolab, Inc. | (45 | ) | (5,787 | ) | ||||
International Flavors & Fragrances, Inc. | (16 | ) | (2,287 | ) | ||||
International Paper Co. | (87 | ) | (4,943 | ) | ||||
Martin Marietta Materials, Inc. | (14 | ) | (2,887 | ) | ||||
Monsanto Co. | (93 | ) | (11,143 | ) | ||||
Mosaic Co. (The) | (74 | ) | (1,598 | ) | ||||
Nucor Corp. | (67 | ) | (3,755 | ) | ||||
Praxair, Inc. | (6 | ) | (838 | ) | ||||
Sealed Air Corp. | (40 | ) | (1,709 | ) | ||||
Vulcan Materials Co. | (28 | ) | (3,349 | ) | ||||
|
| |||||||
(45,722 | ) | |||||||
|
| |||||||
Media — (0.3)% | ||||||||
DISH Network Corp., Class A* | (99 | ) | (5,369 | ) | ||||
Interpublic Group of Cos., Inc. (The) | (84 | ) | (1,746 | ) | ||||
|
| |||||||
(7,115 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (4.4)% |
| |||||||
Alexion Pharmaceuticals, Inc.* | (35 | ) | (4,910 | ) | ||||
Allergan PLC (Ireland) | (71 | ) | (14,552 | ) | ||||
Eli Lilly & Co. | (222 | ) | (18,990 | ) | ||||
Illumina, Inc.* | (31 | ) | (6,175 | ) | ||||
Incyte Corp.* | (45 | ) | (5,253 | ) | ||||
Johnson & Johnson | (14 | ) | (1,820 | ) | ||||
Merck & Co., Inc. | (158 | ) | (10,117 | ) | ||||
Mylan NV (Netherlands)* | (113 | ) | (3,545 | ) | ||||
PerkinElmer, Inc. | (7 | ) | (483 | ) | ||||
Perrigo Co. PLC (Ireland) | (2 | ) | (169 | ) | ||||
Pfizer, Inc. | (542 | ) | (19,349 | ) | ||||
Quintiles IMS Holdings, Inc.* | (13 | ) | (1,236 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (13 | ) | (5,813 | ) | ||||
Thermo Fisher Scientific, Inc. | (50 | ) | (9,460 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (2 | ) | (304 | ) | ||||
Zoetis, Inc. | (60 | ) | (3,826 | ) | ||||
|
| |||||||
(106,002 | ) | |||||||
|
| |||||||
Real Estate — (2.2)% | ||||||||
American Tower Corp., REIT | (3 | ) | (410 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) | ||||||||
Apartment Investment & Management Co., Class A, REIT | (34 | ) | $ | (1,491 | ) | |||
AvalonBay Communities, Inc., REIT | (22 | ) | (3,925 | ) | ||||
Boston Properties, Inc., REIT | (5 | ) | (614 | ) | ||||
CBRE Group, Inc., Class A* | (71 | ) | (2,690 | ) | ||||
Crown Castle International Corp., REIT | (75 | ) | (7,498 | ) | ||||
Equinix, Inc., REIT | (3 | ) | (1,339 | ) | ||||
Equity Residential, REIT | (78 | ) | (5,143 | ) | ||||
Federal Realty Investment Trust, REIT | (5 | ) | (621 | ) | ||||
GGP, Inc., REIT | (187 | ) | (3,884 | ) | ||||
HCP, Inc., REIT | (100 | ) | (2,783 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (2 | ) | (37 | ) | ||||
Iron Mountain, Inc., REIT | (56 | ) | (2,178 | ) | ||||
Kimco Realty Corp., REIT | (91 | ) | (1,779 | ) | ||||
Macerich Co. (The), REIT | (31 | ) | (1,704 | ) | ||||
SBA Communications Corp., REIT* | (26 | ) | (3,745 | ) | ||||
Simon Property Group, Inc., REIT | (23 | ) | (3,703 | ) | ||||
SL Green Realty Corp., REIT | (22 | ) | (2,229 | ) | ||||
Vornado Realty Trust, REIT | (11 | ) | (846 | ) | ||||
Welltower, Inc., REIT | (78 | ) | (5,482 | ) | ||||
|
| |||||||
(52,101 | ) | |||||||
|
| |||||||
Retailing — (1.5)% | ||||||||
Amazon.com, Inc.* | (20 | ) | (19,227 | ) | ||||
Expedia, Inc. | (28 | ) | (4,030 | ) | ||||
L Brands, Inc. | (43 | ) | (1,789 | ) | ||||
Macy’s, Inc. | (65 | ) | (1,418 | ) | ||||
Priceline Group, Inc. (The)* | (1 | ) | (1,831 | ) | ||||
Tiffany & Co. | (27 | ) | (2,478 | ) | ||||
TripAdvisor, Inc.* | (31 | ) | (1,256 | ) | ||||
Ulta Beauty, Inc.* | (13 | ) | (2,939 | ) | ||||
|
| |||||||
(34,968 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (1.9)% |
| |||||||
Advanced Micro Devices, Inc.* | (201 | ) | (2,563 | ) | ||||
Analog Devices, Inc. | (69 | ) | (5,946 | ) | ||||
Broadcom Ltd. (Singapore) | (79 | ) | (19,161 | ) | ||||
Microchip Technology, Inc. | (9 | ) | (808 | ) | ||||
NVIDIA Corp. | (40 | ) | (7,151 | ) | ||||
Qorvo, Inc.* | (28 | ) | (1,979 | ) | ||||
QUALCOMM, Inc. | (169 | ) | (8,761 | ) | ||||
|
| |||||||
(46,369 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
126
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (2.5)% | ||||||||
Activision Blizzard, Inc. | (159 | ) | $ | (10,257 | ) | |||
Adobe Systems, Inc.* | (21 | ) | (3,133 | ) | ||||
Akamai Technologies, Inc.* | (37 | ) | (1,803 | ) | ||||
Alliance Data Systems Corp. | (12 | ) | (2,659 | ) | ||||
ANSYS, Inc.* | (9 | ) | (1,105 | ) | ||||
Cadence Design Systems, Inc.* | (59 | ) | (2,329 | ) | ||||
DXC Technology Co. | (31 | ) | (2,662 | ) | ||||
Facebook, Inc., Class A* | (30 | ) | (5,126 | ) | ||||
Fidelity National Information Services, Inc. | (70 | ) | (6,537 | ) | ||||
Fiserv, Inc.* | (45 | ) | (5,803 | ) | ||||
Gartner, Inc.* | (19 | ) | (2,364 | ) | ||||
Global Payments, Inc. | (32 | ) | (3,041 | ) | ||||
PayPal Holdings, Inc.* | (117 | ) | (7,492 | ) | ||||
salesforce.com, Inc.* | (39 | ) | (3,643 | ) | ||||
Synopsys, Inc.* | (6 | ) | (483 | ) | ||||
Western Union Co. (The) | (98 | ) | (1,882 | ) | ||||
|
| |||||||
(60,319 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.4)% |
| |||||||
Amphenol Corp., Class A | (39 | ) | (3,301 | ) | ||||
Corning, Inc. | (191 | ) | (5,715 | ) | ||||
|
| |||||||
(9,016 | ) | |||||||
|
| |||||||
Telecommunication Services — 0.0% |
| |||||||
Level 3 Communications, Inc.* | (5 | ) | (266 | ) | ||||
|
| |||||||
Transportation — (0.2)% | ||||||||
American Airlines Group, Inc. | (107 | ) | (5,081 | ) | ||||
Kansas City Southern | (3 | ) | (326 | ) | ||||
|
| |||||||
(5,407 | ) | |||||||
|
| |||||||
Utilities — (1.6)% | ||||||||
Alliant Energy Corp. | (48 | ) | (1,995 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) | ||||||||
American Electric Power Co., Inc. | (70 | ) | $ | (4,917 | ) | |||
American Water Works Co., Inc. | (39 | ) | (3,156 | ) | ||||
Consolidated Edison, Inc. | (65 | ) | (5,244 | ) | ||||
Duke Energy Corp. | (7 | ) | (587 | ) | ||||
Entergy Corp. | (38 | ) | (2,902 | ) | ||||
Eversource Energy | (67 | ) | (4,049 | ) | ||||
Exelon Corp. | (22 | ) | (829 | ) | ||||
PG&E Corp. | (108 | ) | (7,354 | ) | ||||
Pinnacle West Capital Corp. | (24 | ) | (2,029 | ) | ||||
PPL Corp. | (145 | ) | (5,503 | ) | ||||
SCANA Corp. | (5 | ) | (242 | ) | ||||
Xcel Energy, Inc. | (2 | ) | (95 | ) | ||||
|
| |||||||
(38,902 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $964,007) | (967,433 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (40.3)% | (967,433 | ) | ||||||
|
| |||||||
(Proceeds $964,007) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% | 14,100 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,398,748 | ||||||
|
|
† | 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) |
* | Non-income producing. |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
127
GOTHAM NEUTRAL FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 121.4% | ||||||||
COMMON STOCKS — 121.4% | ||||||||
Automobiles & Components — 1.9% |
| |||||||
Cooper-Standard Holdings, Inc.†* | 3,037 | $ | 352,201 | |||||
Delphi Automotive PLC | 3,318 | 326,491 | ||||||
Dorman Products, Inc.(a)(b)* | 10,469 | 749,790 | ||||||
General Motors Co.† | 70,461 | 2,845,215 | ||||||
Gentex Corp.†(b) | 100,764 | 1,995,127 | ||||||
Goodyear Tire & Rubber Co. (The)(a) | 8,858 | 294,528 | ||||||
Harley-Davidson, Inc.†(a) | 13,416 | 646,785 | ||||||
Lear Corp.†(b) | 16,239 | 2,810,646 | ||||||
Motorcar Parts of America, | 400 | 11,784 | ||||||
Standard Motor Products, | 3,801 | 183,398 | ||||||
Thor Industries, Inc. | 4,188 | 527,311 | ||||||
Visteon Corp.†(b)* | 12,026 | 1,488,458 | ||||||
Winnebago Industries, Inc.† | 16,310 | 729,872 | ||||||
|
| |||||||
12,961,606 | ||||||||
|
| |||||||
Capital Goods — 13.4% | ||||||||
3M Co.† | 2,888 | 606,191 | ||||||
Acuity Brands, Inc.†(a)(b) | 12,312 | 2,108,799 | ||||||
Allegion PLC (Ireland)† | 11,405 | 986,190 | ||||||
Allison Transmission Holdings, Inc.†(a)(b) | 112,828 | 4,234,435 | ||||||
American Woodmark Corp.†(b)* | 4,825 | 464,406 | ||||||
AMETEK, Inc.† | 38,534 | 2,544,785 | ||||||
Applied Industrial Technologies, Inc.†(b) | 11,419 | 751,370 | ||||||
Arconic, Inc.†(a)(b) | 50,745 | 1,262,536 | ||||||
Argan, Inc.† | 28,762 | 1,934,244 | ||||||
Atkore International Group, Inc.†* | 7,946 | 155,027 | ||||||
Blue Bird Corp.(a)* | 130 | 2,678 | ||||||
Boeing Co. (The)†(b) | 23,312 | 5,926,144 | ||||||
Briggs & Stratton Corp.(a)(b) | 4,543 | 106,760 | ||||||
BWX Technologies, Inc.†(b) | 12,078 | 676,610 | ||||||
Caterpillar, Inc.†(a) | 35,674 | 4,448,905 | ||||||
Continental Building Products, Inc.†* | 25,374 | 659,724 | ||||||
Crane Co.† | 19,647 | 1,571,564 | ||||||
CSW Industrials, Inc.* | 310 | 13,748 | ||||||
Cummins, Inc.† | 9,367 | 1,573,937 | ||||||
Curtiss-Wright Corp.† | 2,105 | 220,057 | ||||||
Deere & Co.†(a) | 5,378 | 675,423 | ||||||
DigitalGlobe, Inc.†(a)* | 25,977 | 915,689 | ||||||
Donaldson Co., Inc.† | 2,466 | 113,288 | ||||||
EMCOR Group, Inc.† | 23,238 | 1,612,252 | ||||||
Emerson Electric Co.† | 2,516 | 158,105 | ||||||
EnerSys† | 12,764 | 882,886 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Fastenal Co.† | 25,659 | $ | 1,169,537 | |||||
Flowserve Corp.†(a)(b) | 13,206 | 562,444 | ||||||
Fortive Corp.† | 9,515 | 673,567 | ||||||
Fortune Brands Home & Security, Inc.†(a) | 14,234 | 956,952 | ||||||
General Electric Co.†(b) | 23,058 | 557,542 | ||||||
Gibraltar Industries, Inc.†(a)(b)* | 46,964 | 1,462,929 | ||||||
GMS, Inc.†(b)* | 30,965 | 1,096,161 | ||||||
Gorman-Rupp Co. (The)† | 2,193 | 71,426 | ||||||
Graco, Inc.†(b) | 903 | 111,692 | ||||||
Harsco Corp.†(b)* | 29,978 | 626,540 | ||||||
Hillenbrand, Inc.†(b) | 30,440 | 1,182,594 | ||||||
Honeywell International, Inc.† | 29,944 | 4,244,263 | ||||||
Hubbell, Inc.† | 15,058 | 1,747,029 | ||||||
Huntington Ingalls Industries, Inc.† | 2 | 453 | ||||||
Illinois Tool Works, Inc.† | 11,106 | 1,643,244 | ||||||
Ingersoll-Rand PLC (Ireland)†(b) | 18,272 | 1,629,314 | ||||||
Jacobs Engineering Group, Inc.† | 26,038 | 1,517,234 | ||||||
Kadant, Inc.† | 1,207 | 118,950 | ||||||
Kennametal, Inc.†(b) | 46,795 | 1,887,710 | ||||||
L3 Technologies, Inc.† | 461 | 86,866 | ||||||
Lockheed Martin Corp.† | 14,214 | 4,410,462 | ||||||
Masco Corp.†(b) | 67,976 | 2,651,744 | ||||||
Meritor, Inc.†* | 14,028 | 364,868 | ||||||
Moog, Inc., Class A†* | 1,623 | 135,407 | ||||||
MSC Industrial Direct Co., Inc., Class A(a)(b) | 5,728 | 432,865 | ||||||
Mueller Industries, Inc.(b) | 4,887 | 170,801 | ||||||
Mueller Water Products, Inc., | 36,167 | 462,938 | ||||||
National Presto Industries, Inc.† | 931 | 99,105 | ||||||
Northrop Grumman Corp.† | 1,849 | 531,994 | ||||||
PACCAR, Inc.†(a)(b) | 8,442 | 610,694 | ||||||
Pentair PLC (Ireland)†(b) | 41,485 | 2,819,321 | ||||||
Primoris Services Corp.(b) | 9,341 | 274,812 | ||||||
Regal Beloit Corp.† | 8,406 | 664,074 | ||||||
Rexnord Corp.†(b)* | 47,265 | 1,201,004 | ||||||
Rockwell Automation, Inc.†(b) | 23,070 | 4,111,305 | ||||||
Rush Enterprises, Inc., Class A†* | 7,537 | 348,888 | ||||||
Snap-on, Inc.† | 6,316 | 941,147 | ||||||
Spirit AeroSystems Holdings, Inc., Class A† | 26,564 | 2,064,554 | ||||||
SPX Corp.†* | 11,010 | 323,033 | ||||||
SPX FLOW, Inc.†(a)(b)* | 14,174 | 546,549 |
The accompanying notes are an integral part of the financial statements.
128
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Terex Corp.† | 18,257 | $ | 821,930 | |||||
Textainer Group Holdings Ltd. (Bermuda)(a)* | 5,571 | 95,543 | ||||||
Textron, Inc.† | 14,590 | 786,109 | ||||||
Toro Co. (The)†(b) | 21,156 | 1,312,941 | ||||||
TransDigm Group, Inc.†(a) | 3,377 | 863,330 | ||||||
TriMas Corp.†(a)* | 6,494 | 175,338 | ||||||
United Technologies Corp.†(b) | 19,733 | 2,290,607 | ||||||
Univar, Inc.†* | 2,762 | 79,905 | ||||||
USG Corp.†* | 419 | 13,680 | ||||||
Valmont Industries, Inc.(b) | 677 | 107,034 | ||||||
Wabash National Corp.† | 73,631 | 1,680,259 | ||||||
WW Grainger, Inc.†(a) | 14,106 | 2,535,554 | ||||||
|
| |||||||
89,879,995 | ||||||||
|
| |||||||
Commercial & Professional Services — 3.1% |
| |||||||
CBIZ, Inc.* | 19 | 309 | ||||||
Copart, Inc.†* | 19,914 | 684,444 | ||||||
Deluxe Corp.†(a)(b) | 13,651 | 995,977 | ||||||
Equifax, Inc.†(a) | 19,714 | 2,089,487 | ||||||
KAR Auction Services, Inc.†(b) | 54,005 | 2,578,199 | ||||||
Kelly Services, Inc., | 12,648 | 317,338 | ||||||
Kimball International, Inc., Class B(b) | 2,274 | 44,957 | ||||||
Korn/Ferry International† | 9,759 | 384,797 | ||||||
LSC Communications, Inc.†(a) | 23,335 | 385,261 | ||||||
ManpowerGroup, Inc.† | 2 | 236 | ||||||
MSA Safety, Inc.†(b) | 6,400 | 508,864 | ||||||
Quad/Graphics, Inc.† | 21,497 | 486,047 | ||||||
Republic Services, Inc.† | 17,758 | 1,173,093 | ||||||
Robert Half International, Inc.† | 49,283 | 2,480,906 | ||||||
RPX Corp.†* | 15,186 | 201,670 | ||||||
SP Plus Corp.†* | 12,456 | 492,012 | ||||||
Stericycle, Inc.†* | 14,509 | 1,039,135 | ||||||
Tetra Tech, Inc.†(b) | 29,372 | 1,367,267 | ||||||
TransUnion†(a)(b)* | 26,906 | 1,271,578 | ||||||
TriNet Group, Inc.(a)(b)* | 10,638 | 357,650 | ||||||
Verisk Analytics, Inc.†(a)(b)* | 27,558 | 2,292,550 | ||||||
VSE Corp.(a) | 232 | 13,192 | ||||||
Waste Management, Inc.† | 23,280 | 1,822,126 | ||||||
West Corp.(a) | 910 | 21,358 | ||||||
|
| |||||||
21,008,453 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.1% |
| |||||||
Brunswick Corp.†(b) | 14,900 | 833,953 | ||||||
Cavco Industries, Inc.†* | 6,587 | 971,912 | ||||||
Coach, Inc.† | 74,975 | 3,019,993 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Crocs, Inc.(a)* | 19,616 | $ | 190,275 | |||||
DR Horton, Inc.† | 28,321 | 1,130,858 | ||||||
Ethan Allen Interiors, Inc.†(a) | 11,664 | 377,914 | ||||||
Garmin Ltd. (Switzerland)†(a) | 35,067 | 1,892,566 | ||||||
Gildan Activewear, Inc. (Canada)† | 9,127 | 285,493 | ||||||
Hasbro, Inc.† | 6,873 | 671,286 | ||||||
Johnson Outdoors, Inc., Class A | 506 | 37,080 | ||||||
La-Z-Boy, Inc.† | 21,898 | 589,056 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 20,545 | 983,078 | ||||||
NIKE, Inc., Class B†(b) | 8,214 | 425,896 | ||||||
Oxford Industries, Inc.(a) | 3,064 | 194,687 | ||||||
PulteGroup, Inc.†(a) | 27,003 | 737,992 | ||||||
Ralph Lauren Corp.†(a)(b) | 40,486 | 3,574,509 | ||||||
TopBuild Corp.†* | 17,503 | 1,140,671 | ||||||
Tupperware Brands Corp.†(b) | 18,585 | 1,148,925 | ||||||
Vista Outdoor, Inc.†* | 4,384 | 100,569 | ||||||
Whirlpool Corp.†(a)(b) | 5,733 | 1,057,395 | ||||||
Wolverine World Wide, Inc.†(a)(b) | 51,465 | 1,484,765 | ||||||
|
| |||||||
20,848,873 | ||||||||
|
| |||||||
Consumer Services — 6.1% | ||||||||
Adtalem Global Education, | 58,567 | 2,099,627 | ||||||
Bloomin’ Brands, Inc.†(a) | 40,243 | 708,277 | ||||||
Bob Evans Farms, Inc.†(b) | 24,882 | 1,928,604 | ||||||
Bojangles’, Inc.†* | 6,905 | 93,218 | ||||||
Boyd Gaming Corp.†(a)(b) | 68,100 | 1,774,005 | ||||||
Brinker International, Inc.†(a) | 95,143 | 3,031,256 | ||||||
Buffalo Wild Wings, Inc.(a)(b)* | 4,105 | 433,898 | ||||||
Capella Education Co.†(a) | 7,216 | 506,202 | ||||||
Cheesecake Factory, Inc. | 55,933 | 2,355,898 | ||||||
Choice Hotels International, Inc.†(a)(b) | 10,726 | 685,391 | ||||||
Churchill Downs, Inc.†(a)(b) | 5,258 | 1,084,200 | ||||||
Cracker Barrel Old Country Store, Inc.(a) | 9,856 | 1,494,367 | ||||||
Darden Restaurants, Inc.† | 4,011 | 315,987 | ||||||
DineEquity, Inc.†(a) | 54,708 | 2,351,350 | ||||||
Eldorado Resorts, Inc.†(a)* | 32,224 | 826,546 | ||||||
Graham Holdings Co., Class B† | 1,174 | 686,907 | ||||||
Hilton Worldwide Holdings, Inc.† | 24,761 | 1,719,651 | ||||||
International Speedway Corp., Class A | 9 | 324 | ||||||
Jack in the Box, Inc.† | 6,528 | 665,334 | ||||||
K12, Inc.(b)* | 4,130 | 73,679 | ||||||
La Quinta Holdings, Inc.†* | 486 | 8,505 |
The accompanying notes are an integral part of the financial statements.
129
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Marriott International, Inc., | 17,109 | $ | 1,886,438 | |||||
McDonald’s Corp.† | 13,083 | 2,049,844 | ||||||
Regis Corp.* | 812 | 11,587 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)†(a) | 28,355 | 3,361,202 | ||||||
Ruth’s Hospitality Group, Inc.(a) | 3,263 | 68,360 | ||||||
Sonic Corp.† | 64,007 | 1,628,978 | ||||||
Speedway Motorsports, Inc.(a) | 51 | 1,086 | ||||||
Vail Resorts, Inc.† | 14,025 | 3,199,383 | ||||||
Weight Watchers International, Inc.(a)* | 15,266 | 664,834 | ||||||
Wyndham Worldwide Corp.† | 33,016 | 3,480,217 | ||||||
Yum! Brands, Inc.† | 20,668 | 1,521,371 | ||||||
|
| |||||||
40,716,526 | ||||||||
|
| |||||||
Energy — 4.1% | ||||||||
Archrock, Inc.† | 88,168 | 1,106,508 | ||||||
Chevron Corp.† | 4,800 | 564,000 | ||||||
CONSOL Energy, Inc.†(b)* | 32,892 | 557,190 | ||||||
CVR Energy, Inc.(a) | 72,230 | 1,870,757 | ||||||
Delek US Holdings, Inc.† | 11,906 | 318,247 | ||||||
Dril-Quip, Inc.* | 113 | 4,989 | ||||||
Exterran Corp.†(b)* | 32,407 | 1,024,385 | ||||||
Fairmount Santrol Holdings, Inc.†(a)* | 202,385 | 967,400 | ||||||
Imperial Oil Ltd. (Canada)† | 23,917 | 763,909 | ||||||
Kinder Morgan, Inc. | 823 | 15,785 | ||||||
McDermott International, Inc. (Panama)†(a)(b)* | 354,968 | 2,580,617 | ||||||
Occidental Petroleum Corp.† | 39,518 | 2,537,451 | ||||||
Oceaneering International, | 36,683 | 963,662 | ||||||
Oil States International, Inc.†* | 3,684 | 93,389 | ||||||
ONEOK, Inc.† | 12,364 | 685,089 | ||||||
Par Pacific Holdings, Inc.(a)* | 2,930 | 60,944 | ||||||
Precision Drilling Corp. | 6,047 | 18,867 | ||||||
REX American Resources Corp.†* | 6,498 | 609,707 | ||||||
Rowan Cos. PLC, Class A (United Kingdom)†* | 58,137 | 747,060 | ||||||
Ship Finance International Ltd. (Bermuda)(a) | 149,840 | 2,172,680 | ||||||
Tidewater, Inc.* | 990 | 28,789 | ||||||
TransCanada Corp. (Canada)† | 85,938 | 4,247,915 | ||||||
Transocean Ltd. (Switzerland)(a)* | 377,049 | 4,057,047 | ||||||
Valero Energy Corp.†(a) | 18,050 | 1,388,586 | ||||||
|
| |||||||
27,384,973 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — 2.5% |
| |||||||
CVS Health Corp.† | 48,430 | $ | 3,938,328 | |||||
Ingles Markets, Inc., Class A† | 8,040 | 206,628 | ||||||
Kroger Co. (The)†(a) | 172,165 | 3,453,630 | ||||||
Sysco Corp.† | 38,435 | 2,073,568 | ||||||
United Natural Foods, Inc.†(a)* | 38,371 | 1,595,850 | ||||||
Walgreens Boots Alliance, Inc.† | 25,578 | 1,975,133 | ||||||
Wal-Mart Stores, Inc.†(a)(b) | 43,173 | 3,373,538 | ||||||
|
| |||||||
16,616,675 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 5.6% |
| |||||||
Altria Group, Inc.† | 73,467 | 4,659,277 | ||||||
Brown-Forman Corp., | 46,371 | 2,517,945 | ||||||
Campbell Soup Co.† | 53,977 | 2,527,203 | ||||||
Coca-Cola Co. (The)†(b) | 68,220 | 3,070,582 | ||||||
Conagra Brands, Inc.† | 35,590 | 1,200,807 | ||||||
Dean Foods Co.†(a) | 195,851 | 2,130,859 | ||||||
Dr Pepper Snapple Group, Inc.† | 29,259 | 2,588,544 | ||||||
Flowers Foods, Inc.† | 36,146 | 679,906 | ||||||
General Mills, Inc.†(a) | 27,982 | 1,448,348 | ||||||
Hershey Co. (The)† | 1,886 | 205,895 | ||||||
Hormel Foods Corp.†(a) | 31,861 | 1,024,013 | ||||||
Ingredion, Inc.†(a) | 13,701 | 1,652,889 | ||||||
JM Smucker Co. (The)†(a)(b) | 33,419 | 3,506,656 | ||||||
Kellogg Co.†(a)(b) | 39,961 | 2,492,368 | ||||||
Kraft Heinz Co. (The)† | 9,427 | 731,064 | ||||||
Molson Coors Brewing Co., Class B† | 9,247 | 754,925 | ||||||
Mondelez International, Inc., | 8,119 | 330,119 | ||||||
PepsiCo, Inc.† | 9,731 | 1,084,325 | ||||||
Philip Morris International, Inc.†(b) | 2,368 | 262,872 | ||||||
Sanderson Farms, Inc.†(a) | 20,920 | 3,378,998 | ||||||
TreeHouse Foods, Inc.†(a)(b)* | 22,415 | 1,518,168 | ||||||
|
| |||||||
37,765,763 | ||||||||
|
| |||||||
Health Care Equipment & Services — 10.2% |
| |||||||
Acadia Healthcare Co., Inc.†* | 36,192 | 1,728,530 | ||||||
Allscripts Healthcare Solutions, Inc.†(a)(b)* | 16,575 | 235,862 | ||||||
AmerisourceBergen Corp.†(b) | 16,755 | 1,386,476 | ||||||
AMN Healthcare Services, | 58,010 | 2,651,057 | ||||||
Analogic Corp.†(a) | 6,809 | 570,254 | ||||||
AngioDynamics, Inc.(b)* | 13,740 | 234,817 | ||||||
Anika Therapeutics, Inc.†(a)* | 9,773 | 566,834 | ||||||
Baxter International, Inc.† | 37,321 | 2,341,893 | ||||||
Becton Dickinson and Co.† | 10,830 | 2,122,138 | ||||||
Boston Scientific Corp.†(a)* | 7,592 | 221,459 |
The accompanying notes are an integral part of the financial statements.
130
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Brookdale Senior Living, Inc.†* | 25,089 | $ | 265,943 | |||||
Cerner Corp.†(b)* | 46,508 | 3,316,951 | ||||||
Chemed Corp.† | 3,905 | 789,005 | ||||||
Community Health Systems, Inc.†(a)* | 122,617 | 941,699 | ||||||
CONMED Corp.†(a)(b) | 15,485 | 812,498 | ||||||
Cooper Cos., Inc. (The)† | 1,737 | 411,860 | ||||||
CorVel Corp.* | 174 | 9,466 | ||||||
Cotiviti Holdings, Inc.†(a)(b)* | 60,198 | 2,165,924 | ||||||
CR Bard, Inc.† | 4,442 | 1,423,661 | ||||||
Danaher Corp.† | 7,999 | 686,154 | ||||||
Express Scripts Holding | 74,753 | 4,733,360 | ||||||
Globus Medical, Inc., | 67,370 | 2,002,236 | ||||||
Haemonetics Corp.†(a)(b)* | 9,383 | 421,015 | ||||||
Halyard Health, Inc.†* | 22,087 | 994,578 | ||||||
HCA Healthcare, Inc.†* | 20,297 | 1,615,438 | ||||||
Hill-Rom Holdings, Inc.†(b) | 32,656 | 2,416,544 | ||||||
Hologic, Inc.†(b)* | 79,616 | 2,921,111 | ||||||
Integer Holdings Corp.†(a)(b)* | 32,206 | 1,647,337 | ||||||
Kindred Healthcare, Inc.†(a)(b) | 52,700 | 358,360 | ||||||
Laboratory Corp. of America Holdings†* | 7,824 | 1,181,189 | ||||||
Landauer, Inc. | 123 | 8,278 | ||||||
Lantheus Holdings, Inc.* | 602 | 10,716 | ||||||
LHC Group, Inc.†(a)(b)* | 10,512 | 745,511 | ||||||
LifePoint Health, Inc.†(a)(b)* | 6,506 | 376,697 | ||||||
Masimo Corp.†(a)(b)* | 18,321 | 1,585,866 | ||||||
McKesson Corp.† | 14,568 | 2,237,790 | ||||||
MEDNAX, Inc.†(b)* | 11,964 | 515,888 | ||||||
Medtronic PLC (Ireland)† | 43,553 | 3,387,117 | ||||||
Meridian Bioscience, Inc.†(a) | 47,208 | 675,074 | ||||||
National HealthCare Corp.(a) | 570 | 35,665 | ||||||
Patterson Cos., Inc.†(a) | 22,366 | 864,446 | ||||||
Quality Systems, Inc.†(a)(b)* | 33,352 | 524,627 | ||||||
Quest Diagnostics, Inc.†(a) | 13,360 | 1,251,030 | ||||||
Select Medical Holdings Corp.†* | 13,730 | 263,616 | ||||||
STERIS PLC (United | 13,936 | 1,231,942 | ||||||
Stryker Corp.†(a)(b) | 14,680 | 2,084,854 | ||||||
Tivity Health, Inc.†(a)* | 25,419 | 1,037,095 | ||||||
Universal Health Services, Inc., Class B†(a)(b) | 5,242 | 581,547 | ||||||
Varian Medical Systems, Inc.†* | 42,969 | 4,299,478 | ||||||
Veeva Systems, Inc., | 39,795 | 2,244,836 | ||||||
Zimmer Biomet Holdings, | 24,776 | 2,901,022 | ||||||
|
| |||||||
68,036,744 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — 1.8% |
| |||||||
Avon Products, Inc.†* | 158,354 | $ | 368,965 | |||||
Central Garden & Pet Co., | 8,117 | 301,871 | ||||||
Church & Dwight Co., Inc.†(a) | 7,424 | 359,693 | ||||||
Clorox Co. (The)†(a)(b) | 34,953 | 4,610,650 | ||||||
Colgate-Palmolive Co.†(b) | 9,493 | 691,565 | ||||||
Edgewell Personal Care Co.(a)* | 12,053 | 877,097 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 5,196 | 560,337 | ||||||
Kimberly-Clark Corp.†(a) | 33,700 | 3,965,816 | ||||||
|
| |||||||
11,735,994 | ||||||||
|
| |||||||
Materials — 4.8% | ||||||||
Ashland Global Holdings, Inc.†(b) | 27,859 | 1,821,700 | ||||||
Ball Corp.†(b) | 13,118 | 541,773 | ||||||
Bemis Co., Inc.†(b) | 10,371 | 472,607 | ||||||
Chase Corp.(a) | 427 | 47,568 | ||||||
Crown Holdings, Inc.* | 162 | 9,675 | ||||||
Domtar Corp.†(b) | 66,026 | 2,864,868 | ||||||
Eagle Materials, Inc.† | 825 | 88,028 | ||||||
Eastman Chemical Co. | 661 | 59,814 | ||||||
FMC Corp.† | 2,847 | 254,266 | ||||||
FutureFuel Corp.(b) | 5,780 | 90,977 | ||||||
Ingevity Corp.†(a)* | 2,859 | 178,602 | ||||||
Innophos Holdings, Inc.† | 5,503 | 270,693 | ||||||
Koppers Holdings, Inc.†* | 1,206 | 55,657 | ||||||
Louisiana-Pacific Corp.†* | 141,028 | 3,819,038 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 15,167 | 1,502,291 | ||||||
Martin Marietta Materials, | 11,454 | 2,362,158 | ||||||
Methanex Corp. (Canada)† | 97,266 | 4,892,480 | ||||||
Minerals Technologies, Inc.† | 6,526 | 461,062 | ||||||
Myers Industries, Inc. | 331 | 6,934 | ||||||
Neenah Paper, Inc.(b) | 870 | 74,428 | ||||||
Packaging Corp. of America†(a)(b) | 34,649 | 3,973,547 | ||||||
Platform Specialty Products Corp.(a)* | 3,769 | 42,024 | ||||||
Rayonier Advanced Materials, Inc.(a) | 613 | 8,398 | ||||||
RPM International, Inc. | 356 | 18,277 | ||||||
Scotts Miracle-Gro Co. (The)† | 12,502 | 1,216,945 | ||||||
Sensient Technologies Corp.† | 1,829 | 140,687 | ||||||
Trinseo SA (Luxembourg)† | 7,473 | 501,438 | ||||||
Tronox Ltd., Class A (Australia)† | 20,276 | 427,824 | ||||||
Westlake Chemical Corp.† | 52,028 | 4,323,007 | ||||||
WR Grace & Co.†(b) | 25,274 | 1,823,519 | ||||||
|
| |||||||
32,350,285 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
131
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — 5.2% | ||||||||
AMC Networks, Inc., Class A†* | 6,450 | $ | 377,132 | |||||
CBS Corp., Class B, non-voting shares† | 22,421 | 1,300,418 | ||||||
Comcast Corp., Class A† | 125,369 | 4,824,199 | ||||||
Discovery Communications, Inc., Class A†(a)* | 30,885 | 657,542 | ||||||
DISH Network Corp., Class A†* | 12,838 | 696,205 | ||||||
Gannett Co., Inc.†(a)(b) | 59,963 | 539,667 | ||||||
Interpublic Group of Cos., Inc. (The)†(a) | 21,482 | 446,611 | ||||||
Loral Space & Communications, Inc.(a)* | 199 | 9,850 | ||||||
MSG Networks, Inc., | 106,516 | 2,258,139 | ||||||
News Corp., Class A†(b) | 65,735 | 871,646 | ||||||
Omnicom Group, Inc.†(a)(b) | 60,832 | 4,505,826 | ||||||
Scripps Networks Interactive, Inc., Class A† | 4,022 | 345,450 | ||||||
TEGNA, Inc.† | 86,945 | 1,158,977 | ||||||
Time Warner, Inc.† | 46,429 | 4,756,651 | ||||||
Tribune Media Co., Class A† | 20,432 | 834,852 | ||||||
Twenty-First Century Fox, Inc., Class A†(b) | 191,605 | 5,054,540 | ||||||
Viacom, Inc., Class B†(a)(b) | 105,639 | 2,940,990 | ||||||
Walt Disney Co. (The)†(b) | 34,167 | 3,367,841 | ||||||
|
| |||||||
34,946,536 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 12.1% |
| |||||||
AbbVie, Inc.† | 28,824 | 2,561,301 | ||||||
Acorda Therapeutics, Inc.†(a)(b)* | 31,751 | 750,911 | ||||||
Agilent Technologies, Inc.† | 5,031 | 322,990 | ||||||
Akorn, Inc.†(a)* | 21,951 | 728,554 | ||||||
Alexion Pharmaceuticals, | 6,434 | 902,626 | ||||||
AMAG Pharmaceuticals, Inc.†* | 104,274 | 1,923,855 | ||||||
Amgen, Inc.† | 22,793 | 4,249,755 | ||||||
Biogen, Inc.†* | 4,934 | 1,544,934 | ||||||
Bio-Techne Corp.† | 3,751 | 453,458 | ||||||
Bioverativ, Inc.†(a)(b)* | 56,766 | 3,239,636 | ||||||
Bluebird Bio, Inc.†(a)* | 11,980 | 1,645,453 | ||||||
Bristol-Myers Squibb Co.† | 9,911 | 631,727 | ||||||
Catalent, Inc.†(b)* | 21,433 | 855,605 | ||||||
Celgene Corp.†* | 24,086 | 3,512,221 | ||||||
Charles River Laboratories International, Inc.†(a)(b)* | 10,710 | 1,156,894 | ||||||
Eagle Pharmaceuticals, Inc.†(a)* | 42,801 | 2,552,652 | ||||||
Emergent BioSolutions, | 22,479 | 909,276 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Enanta Pharmaceuticals, Inc.†* | 3,093 | $ | 144,752 | |||||
Endo International PLC | 202,419 | 1,733,719 | ||||||
Exact Sciences Corp.†(a)* | 59,496 | 2,803,452 | ||||||
Exelixis, Inc.†* | 160,295 | 3,883,948 | ||||||
Gilead Sciences, Inc.† | 49,081 | 3,976,543 | ||||||
Halozyme Therapeutics, Inc.* | 172 | 2,988 | ||||||
ImmunoGen, Inc.†* | 45,670 | 349,376 | ||||||
Immunomedics, Inc.(a)* | 59,682 | 834,354 | ||||||
Incyte Corp.†* | 25,026 | 2,921,535 | ||||||
Innoviva, Inc.†(a)* | 108,689 | 1,534,689 | ||||||
Ionis Pharmaceuticals, Inc.†(a)* | 54,443 | 2,760,260 | ||||||
Ironwood Pharmaceuticals, Inc.†* | 2,422 | 38,195 | ||||||
Jazz Pharmaceuticals PLC (Ireland)†* | 7,630 | 1,115,888 | ||||||
Johnson & Johnson†(b) | 10,662 | 1,386,167 | ||||||
Kite Pharma, Inc.†(b)* | 11,835 | 2,128,051 | ||||||
Ligand Pharmaceuticals, Inc.†(a)* | 13,494 | 1,837,208 | ||||||
Merck & Co., Inc.† | 26,431 | 1,692,377 | ||||||
MiMedx Group, Inc.†(a)* | 208,571 | 2,477,823 | ||||||
Mylan NV (Netherlands)†* | 10,345 | 324,523 | ||||||
Myriad Genetics, Inc.†* | 59,492 | 2,152,421 | ||||||
PAREXEL International Corp.†* | 5,284 | 465,415 | ||||||
PerkinElmer, Inc.†(a)(b) | 16,429 | 1,133,108 | ||||||
Perrigo Co. PLC (Ireland)† | 11,222 | 949,942 | ||||||
Pfizer, Inc.† | 6,476 | 231,193 | ||||||
Phibro Animal Health Corp., Class A†(b) | 10,661 | 394,990 | ||||||
PRA Health Sciences, Inc.†* | 439 | 33,439 | ||||||
Prestige Brands Holdings, | 25,805 | 1,292,572 | ||||||
Regeneron Pharmaceuticals, Inc.†* | 6,762 | 3,023,425 | ||||||
Repligen Corp.†* | 30,558 | 1,170,983 | ||||||
Supernus Pharmaceuticals, | 26,818 | 1,072,720 | ||||||
United Therapeutics Corp.†(a)(b)* | 22,357 | 2,620,017 | ||||||
Valeant Pharmaceuticals International, Inc. (Canada)†* | 9,577 | 137,238 | ||||||
Vanda Pharmaceuticals, Inc.†* | 37,984 | 679,914 | ||||||
Vertex Pharmaceuticals, Inc.†* | 21,761 | 3,308,542 | ||||||
Waters Corp.†(b)* | 11,141 | 2,000,032 | ||||||
Xencor, Inc.†* | 6,310 | 144,625 | ||||||
|
| |||||||
80,698,272 | ||||||||
|
| |||||||
Retailing — 9.1% | ||||||||
Aaron’s, Inc.† | 27,739 | 1,210,253 |
The accompanying notes are an integral part of the financial statements.
132
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Advance Auto Parts, Inc.†(a)(b) | 32,976 | $ | 3,271,219 | |||||
Asbury Automotive Group, Inc.†* | 14,145 | 864,260 | ||||||
AutoNation, Inc.(a)* | 10,068 | 477,827 | ||||||
AutoZone, Inc.†* | 5,499 | 3,272,510 | ||||||
Bed Bath & Beyond, Inc.†(a) | 118,033 | 2,770,235 | ||||||
Best Buy Co., Inc.†(a)(b) | 45,359 | 2,583,649 | ||||||
Big Lots, Inc.†(a) | 20,883 | 1,118,702 | ||||||
Buckle, Inc. (The)(a) | 50,839 | 856,637 | ||||||
CarMax, Inc.†(a)* | 16,569 | 1,256,096 | ||||||
Chico’s FAS, Inc.†(a)(b) | 208,039 | 1,861,949 | ||||||
Dollar General Corp.†(a) | 13,301 | 1,078,046 | ||||||
Expedia, Inc.† | 4,899 | 705,162 | ||||||
Foot Locker, Inc.†(a) | 31,892 | 1,123,236 | ||||||
Gap, Inc. (The)†(a)(b) | 46,679 | 1,378,431 | ||||||
Genuine Parts Co.†(a)(b) | 8,217 | 785,956 | ||||||
Home Depot, Inc. (The)† | 14,364 | 2,349,376 | ||||||
HSN, Inc.† | 12,143 | 474,184 | ||||||
JC Penney Co., Inc.(a)* | 230,635 | 878,719 | ||||||
L Brands, Inc.†(a)(b) | 32,517 | 1,353,032 | ||||||
LKQ Corp.†* | 41,639 | 1,498,588 | ||||||
Lowe’s Cos., Inc.†(b) | 79,953 | 6,391,443 | ||||||
Nutrisystem, Inc.†(a)(b) | 55,490 | 3,101,891 | ||||||
O’Reilly Automotive, Inc.†* | 7,218 | 1,554,541 | ||||||
PetMed Express, Inc.†(a) | 49,524 | 1,641,721 | ||||||
Priceline Group, Inc. (The)†(a)* | 1,745 | 3,194,781 | ||||||
RH†(a)* | 19,587 | 1,377,358 | ||||||
Ross Stores, Inc.†(a)(b) | 35,148 | 2,269,506 | ||||||
Sally Beauty Holdings, Inc.(a)* | 8,280 | 162,122 | ||||||
Signet Jewelers Ltd. (Bermuda)† | 44,313 | 2,949,030 | ||||||
Tailored Brands, Inc.†(a) | 62,481 | 902,226 | ||||||
Target Corp.† | 36,195 | 2,135,867 | ||||||
Tiffany & Co. | 1,274 | 116,928 | ||||||
TJX Cos., Inc. (The)† | 31,062 | 2,290,201 | ||||||
Tractor Supply Co.(a)(b) | 8,176 | 517,459 | ||||||
Urban Outfitters, Inc.†(b)* | 48,095 | 1,149,470 | ||||||
|
| |||||||
60,922,611 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.3% |
| |||||||
Advanced Energy Industries, Inc.†(b)* | 14,424 | 1,164,882 | ||||||
Analog Devices, Inc.†(a)(b) | 19,480 | 1,678,592 | ||||||
Applied Materials, Inc.†(b) | 107,429 | 5,595,977 | ||||||
Axcelis Technologies, Inc.†* | 11,924 | 326,121 | ||||||
Broadcom Ltd. (Singapore)† | 375 | 90,952 | ||||||
Cabot Microelectronics Corp.† | 5,436 | 434,500 | ||||||
Intel Corp.† | 92,004 | 3,503,512 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor |
| |||||||
KLA-Tencor Corp.† | 36,047 | $ | 3,820,982 | |||||
Lam Research Corp.† | 19,621 | 3,630,670 | ||||||
Marvell Technology Group Ltd. (Bermuda)† | 26,961 | 482,602 | ||||||
Maxim Integrated Products, | 42,327 | 2,019,421 | ||||||
Microchip Technology, Inc.† | 25,763 | 2,313,002 | ||||||
Micron Technology, Inc.* | 152,709 | 6,006,045 | ||||||
MKS Instruments, Inc.† | 10,689 | 1,009,576 | ||||||
ON Semiconductor Corp.†(a)(b)* | 214,869 | 3,968,630 | ||||||
Photronics, Inc.†* | 9,017 | 79,800 | ||||||
QUALCOMM, Inc.†(b) | 65,789 | 3,410,502 | ||||||
Rudolph Technologies, Inc.†(b)* | 9,168 | 241,118 | ||||||
Skyworks Solutions, Inc.†(a) | 26,455 | 2,695,764 | ||||||
Synaptics, Inc.(a)* | 6,217 | 243,582 | ||||||
Teradyne, Inc.† | 43,378 | 1,617,566 | ||||||
Texas Instruments, Inc.† | 32,408 | 2,905,053 | ||||||
Xcerra Corp.(b)* | 22,022 | 216,917 | ||||||
Xilinx, Inc.†(b) | 19,446 | 1,377,360 | ||||||
|
| |||||||
48,833,126 | ||||||||
|
| |||||||
Software & Services — 15.4% |
| |||||||
Accenture PLC, Class A | 8,231 | 1,111,761 | ||||||
ACI Worldwide, Inc.†(a)(b)* | 10,898 | 248,256 | ||||||
Adobe Systems, Inc.†(b)* | 18,115 | 2,702,396 | ||||||
Alphabet, Inc., Class A†(b)* | 4,675 | 4,552,141 | ||||||
Amdocs, Ltd. (Guernsey)†(b) | 15,033 | 966,923 | ||||||
ANSYS, Inc.†* | 24,817 | 3,045,790 | ||||||
Appfolio, Inc., Class A(a)* | 4,521 | 216,782 | ||||||
Aspen Technology, Inc.†* | 30,566 | 1,919,851 | ||||||
Automatic Data Processing, Inc.† | 10,272 | 1,122,935 | ||||||
AVG Technologies NV (Netherlands)* | 30,358 | 751,360 | ||||||
Bankrate, Inc.†* | 23,975 | 334,451 | ||||||
Blackbaud, Inc.(a)(b) | 1,036 | 90,961 | ||||||
Blucora, Inc.(a)(b)* | 68,269 | 1,727,206 | ||||||
Broadridge Financial Solutions, Inc.†(a) | 23,745 | 1,919,071 | ||||||
CA, Inc.† | 67,222 | 2,243,870 | ||||||
CACI International, Inc., | 13,067 | 1,820,887 | ||||||
Cadence Design Systems, Inc.†* | 23,441 | 925,216 | ||||||
Cars.com, Inc.†(a)* | 82,515 | 2,195,724 | ||||||
CDK Global, Inc.†(a)(b) | 48,428 | 3,055,323 | ||||||
CGI Group, Inc., Class A (Canada)†* | 2,753 | 142,798 | ||||||
Citrix Systems, Inc.†* | 17,744 | 1,363,094 | ||||||
CommerceHub, Inc., Class A(a)* | 153 | 3,453 |
The accompanying notes are an integral part of the financial statements.
133
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Convergys Corp.†(a)(b) | 34,691 | $ | 898,150 | |||||
CoStar Group, Inc.(a)(b)* | 1,721 | 461,658 | ||||||
CSRA, Inc.† | 30,534 | 985,332 | ||||||
eBay, Inc.†* | 33,155 | 1,275,141 | ||||||
Electronic Arts, Inc.†* | 39,830 | 4,702,330 | ||||||
Facebook, Inc., Class A†* | 21,580 | 3,687,375 | ||||||
Fair Isaac Corp.†(b) | 7,403 | 1,040,122 | ||||||
Fidelity National Information Services, Inc.† | 11,843 | 1,106,018 | ||||||
Fiserv, Inc.†(a)* | 5,366 | 691,999 | ||||||
Guidewire Software, Inc.(a)* | 7,810 | 608,087 | ||||||
IAC/InterActiveCorp.†(b)* | 12,794 | 1,504,319 | ||||||
International Business Machines Corp.† | 23,226 | 3,369,628 | ||||||
Intuit, Inc.† | 33,833 | 4,809,023 | ||||||
j2 Global, Inc.† | 36,819 | 2,720,188 | ||||||
Jack Henry & Associates, Inc.†(a) | 8,984 | 923,465 | ||||||
LogMeIn, Inc.† | 2 | 220 | ||||||
Manhattan Associates, Inc.†(a)(b)* | 47,019 | 1,954,580 | ||||||
ManTech International Corp., Class A(b) | 2,490 | 109,934 | ||||||
Mastercard, Inc., Class A(b) | 1,019 | 143,883 | ||||||
MAXIMUS, Inc.†(b) | 15,001 | 967,564 | ||||||
Microsoft Corp.† | 42,538 | 3,168,656 | ||||||
MicroStrategy, Inc., | 10,180 | 1,300,088 | ||||||
NIC, Inc.†(a)(b) | 72,935 | 1,250,835 | ||||||
Nuance Communications, | 79,832 | 1,254,959 | ||||||
Open Text Corp. (Canada)†(a) | 23,276 | 751,582 | ||||||
Oracle Corp.† | 98,579 | 4,766,295 | ||||||
Paychex, Inc.† | 25,924 | 1,554,403 | ||||||
Pegasystems, Inc.†(a)(b) | 10,504 | 605,556 | ||||||
Progress Software Corp.† | 37,233 | 1,421,184 | ||||||
Qualys, Inc.†(a)(b)* | 11,393 | 590,157 | ||||||
Red Hat, Inc.†* | 8,763 | 971,466 | ||||||
Sabre Corp.(a)(b) | 13,036 | 235,952 | ||||||
Science Applications International Corp.† | 6,522 | 435,996 | ||||||
Shopify, Inc., Class A (Canada)†* | 2,498 | 290,992 | ||||||
SS&C Technologies Holdings, Inc.†(b) | 57,333 | 2,301,920 | ||||||
Stamps.com, Inc.†* | 3,786 | 767,233 | ||||||
Synopsys, Inc.†* | 44,529 | 3,585,920 | ||||||
Total System Services, Inc.†(b) | 16,000 | 1,048,000 | ||||||
Trade Desk, Inc. (The), Class A†* | 47,447 | 2,918,465 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Travelport Worldwide Ltd. (Bermuda)†(a)(b) | 96,845 | $ | 1,520,466 | |||||
Tucows, Inc., Class A(a)* | 1,184 | 69,323 | ||||||
VASCO Data Security International, Inc.†* | 13,547 | 163,241 | ||||||
VeriSign, Inc.†(a)* | 16,677 | 1,774,266 | ||||||
Visa, Inc., Class A†(a)(b) | 12,588 | 1,324,761 | ||||||
VMware, Inc., Class A†(a)* | 24,105 | 2,632,025 | ||||||
Web.com Group, Inc.†(a)(b)* | 39,748 | 993,700 | ||||||
Western Union Co. (The)† | 37,251 | 715,219 | ||||||
|
| |||||||
102,831,925 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 8.1% |
| |||||||
Anixter International, Inc.†(a)* | 6,043 | 513,655 | ||||||
Apple, Inc.†(b) | 18,679 | 2,878,808 | ||||||
Avnet, Inc.† | 48,194 | 1,894,024 | ||||||
AVX Corp.† | 31,861 | 580,826 | ||||||
Badger Meter, Inc.(b) | 1,957 | 95,893 | ||||||
Benchmark Electronics, Inc.†* | 45,241 | 1,544,980 | ||||||
CDW Corp.†(a) | 1,950 | 128,700 | ||||||
Celestica, Inc. (Canada)* | 1,359 | 16,824 | ||||||
Cisco Systems, Inc.† | 90,496 | 3,043,380 | ||||||
CommScope Holding Co., Inc.†* | 2,520 | 83,689 | ||||||
Dolby Laboratories, Inc., | 15,903 | 914,741 | ||||||
EchoStar Corp., Class A†(b)* | 16,580 | 948,873 | ||||||
ePlus, Inc.(b)* | 982 | 90,786 | ||||||
Extreme Networks, Inc.†(b)* | 59,066 | 702,295 | ||||||
F5 Networks, Inc.†(b)* | 21,896 | 2,639,782 | ||||||
FLIR Systems, Inc.† | 25,847 | 1,005,707 | ||||||
Harris Corp.† | 31,693 | 4,173,334 | ||||||
Hewlett Packard Enterprise Co.† | 141,485 | 2,081,244 | ||||||
HP,Inc.†(a) | 154,140 | 3,076,634 | ||||||
InterDigital, Inc.† | 4,870 | 359,162 | ||||||
IPG Photonics Corp.(b)* | 645 | 119,364 | ||||||
Itron, Inc.†* | 9,818 | 760,404 | ||||||
Jabil, Inc.†(a) | 27,382 | 781,756 | ||||||
Juniper Networks, Inc.†(b) | 165,239 | 4,598,601 | ||||||
Motorola Solutions, Inc.†(a) | 14,459 | 1,227,135 | ||||||
NetApp, Inc.† | 32,769 | 1,433,971 | ||||||
OSI Systems, Inc.†(a)(b)* | 10,875 | 993,649 | ||||||
Plantronics, Inc.† | 14,174 | 626,774 | ||||||
Rogers Corp.†(b)* | 6,082 | 810,609 | ||||||
Sanmina Corp.†* | 10,016 | 372,094 | ||||||
Seagate Technology PLC (Ireland)†(a) | 46,136 | 1,530,331 | ||||||
TE Connectivity Ltd. (Switzerland)†(b) | 21,186 | 1,759,709 |
The accompanying notes are an integral part of the financial statements.
134
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Trimble, Inc.†* | 11,954 | $ | 469,194 | |||||
TTM Technologies, Inc.†* | 11,106 | 170,699 | ||||||
Viavi Solutions, Inc.†(a)* | 61,191 | 578,867 | ||||||
Vishay Intertechnology, | 146,615 | 2,756,362 | ||||||
Western Digital Corp.† | 49,743 | 4,297,795 | ||||||
Xerox Corp.†(b) | 46,842 | 1,559,370 | ||||||
Zebra Technologies Corp., Class A†(a)(b)* | 27,111 | 2,943,712 | ||||||
|
| |||||||
54,563,733 | ||||||||
|
| |||||||
Telecommunication Services — 2.0% |
| |||||||
AT&T, Inc.† | 46,976 | 1,840,050 | ||||||
CenturyLink, Inc.†(a) | 124,335 | 2,349,932 | ||||||
Cogent Communications Holdings, Inc.(a) | 3,155 | 154,280 | ||||||
Frontier Communications | 117,220 | 1,382,024 | ||||||
Intelsat SA (Luxembourg)* | 332 | 1,560 | ||||||
Level 3 Communications, Inc.†* | 69,213 | 3,688,361 | ||||||
Rogers Communications, Inc., Class B (Canada)† | 29,767 | 1,534,191 | ||||||
Sprint Corp.(a)* | 569 | 4,427 | ||||||
United States Cellular Corp.(a)* | 615 | 21,771 | ||||||
Verizon Communications, Inc.† | 40,360 | 1,997,416 | ||||||
Vonage Holdings Corp.†* | 28,202 | 229,564 | ||||||
|
| |||||||
13,203,576 | ||||||||
|
| |||||||
Transportation — 5.6% | ||||||||
Alaska Air Group, Inc.†(b) | 43,366 | 3,307,525 | ||||||
Canadian National Railway Co. (Canada)†(b) | 43,992 | 3,644,737 | ||||||
Canadian Pacific Railway Ltd. (Canada)†(b) | 6,810 | 1,144,284 | ||||||
CSX Corp.† | 20,952 | 1,136,856 | ||||||
Delta Air Lines, Inc.†(b) | 119,389 | 5,756,938 | ||||||
Expeditors International of Washington, Inc.† | 18,309 | 1,095,977 | ||||||
FedEx Corp.† | 9,884 | 2,229,633 | ||||||
Forward Air Corp.†(b) | 8,562 | 490,003 | ||||||
Hawaiian Holdings, Inc.†(a)(b)* | 62,907 | 2,362,158 | ||||||
Heartland Express, Inc.† | 33,307 | 835,340 | ||||||
JB Hunt Transport Services, Inc.† | 13,684 | 1,520,019 | ||||||
Kirby Corp.†(a)(b)* | 27,657 | 1,823,979 | ||||||
Knight-Swift Transportation Holdings, Inc.(a)* | 3,295 | 136,907 | ||||||
Norfolk Southern Corp.† | 9,796 | 1,295,423 | ||||||
Southwest Airlines Co.† | 71,930 | 4,026,641 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Student Transportation, Inc. (Canada) | 15 | $ | 90 | |||||
Union Pacific Corp.† | 13,087 | 1,517,699 | ||||||
United Parcel Service, Inc., Class B† | 10,473 | 1,257,703 | ||||||
Werner Enterprises, Inc.†(a)(b) | 34,821 | 1,272,708 | ||||||
XPO Logistics, Inc.†(b)* | 40,908 | 2,772,744 | ||||||
|
| |||||||
37,627,364 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 812,933,030 | ||||||
|
| |||||||
Par Value | ||||||||
CORPORATE BONDS AND NOTES — 0.0% |
| |||||||
Capital Goods — 0.0% |
| |||||||
Mueller Industries, Inc. | $ | 715 | 736 | |||||
|
| |||||||
TOTAL CORPORATE BONDS AND NOTES | 736 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 121.4% |
| 812,933,766 | ||||||
|
| |||||||
(Cost $740,939,779) | ||||||||
Number of Shares | ||||||||
SHORT POSITIONS — (96.3)% |
| |||||||
COMMON STOCKS — (96.3)% |
| |||||||
Automobiles & Components — (2.0)% |
| |||||||
American Axle & Manufacturing Holdings, Inc.* | (175,722 | ) | (3,089,193 | ) | ||||
BorgWarner, Inc. | (12,400 | ) | (635,252 | ) | ||||
Cooper Tire & Rubber Co. | (54,989 | ) | (2,056,589 | ) | ||||
Dana, Inc. | (18,280 | ) | (511,109 | ) | ||||
Ford Motor Co. | (104,569 | ) | (1,251,691 | ) | ||||
Gentherm, Inc.* | (21,592 | ) | (802,143 | ) | ||||
LCI Industries | (16,882 | ) | (1,955,780 | ) | ||||
Magna International, Inc. (Canada) | (19,858 | ) | (1,060,020 | ) | ||||
Modine Manufacturing Co.* | (39,083 | ) | (752,348 | ) | ||||
Tesla, Inc.* | (4,415 | ) | (1,505,956 | ) | ||||
Tower International, Inc. | (59 | ) | (1,605 | ) | ||||
|
| |||||||
(13,621,686 | ) | |||||||
|
| |||||||
Capital Goods — (10.8)% |
| |||||||
AAON, Inc. | (3,633 | ) | (125,248 | ) | ||||
AAR Corp. | (25,062 | ) | (946,842 | ) | ||||
Actuant Corp., Class A | (72,775 | ) | (1,863,040 | ) | ||||
Advanced Drainage Systems, Inc. | (23,882 | ) | (483,610 | ) | ||||
AECOM* | (13,052 | ) | (480,444 | ) |
The accompanying notes are an integral part of the financial statements.
135
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Aegion Corp.* | (12,897 | ) | $ | (300,242 | ) | |||
Aerovironment, Inc.* | (14,069 | ) | (761,414 | ) | ||||
AGCO Corp. | (2,587 | ) | (190,843 | ) | ||||
Alamo Group, Inc. | (1,846 | ) | (198,205 | ) | ||||
Albany International Corp., Class A | (7,944 | ) | (455,986 | ) | ||||
Altra Industrial Motion Corp. | (11,126 | ) | (535,161 | ) | ||||
American Railcar Industries, Inc. | (10,898 | ) | (420,663 | ) | ||||
Apogee Enterprises, Inc. | (4,172 | ) | (201,341 | ) | ||||
Astec Industries, Inc. | (14,592 | ) | (817,298 | ) | ||||
Astronics Corp.* | (4,733 | ) | (140,807 | ) | ||||
Axon Enterprise, Inc.* | (125,188 | ) | (2,838,012 | ) | ||||
AZZ, Inc. | (2,733 | ) | (133,097 | ) | ||||
Beacon Roofing Supply, Inc.* | (33,157 | ) | (1,699,296 | ) | ||||
Carlisle Cos., Inc. | (7,104 | ) | (712,460 | ) | ||||
Chart Industries, Inc.* | (1,849 | ) | (72,536 | ) | ||||
Chicago Bridge & Iron Co. NV (Netherlands) | (20,474 | ) | (343,963 | ) | ||||
CIRCOR International, Inc. | (10,985 | ) | (597,914 | ) | ||||
Columbus McKinnon Corp. | (5,206 | ) | (197,151 | ) | ||||
Cubic Corp. | (17,759 | ) | (905,709 | ) | ||||
Douglas Dynamics, Inc. | (13,138 | ) | (517,637 | ) | ||||
Dycom Industries, Inc.* | (1,495 | ) | (128,391 | ) | ||||
Encore Wire Corp. | (11,732 | ) | (525,300 | ) | ||||
EnPro Industries, Inc. | (3,449 | ) | (277,748 | ) | ||||
ESCO Technologies, Inc. | (3,810 | ) | (228,410 | ) | ||||
Esterline Technologies Corp.* | (8,919 | ) | (804,048 | ) | ||||
Federal Signal Corp. | (7,385 | ) | (157,153 | ) | ||||
Franklin Electric Co., Inc. | (15,912 | ) | (713,653 | ) | ||||
General Cable Corp. | (50,761 | ) | (956,845 | ) | ||||
Granite Construction, Inc. | (40,940 | ) | (2,372,473 | ) | ||||
Herc Holdings, Inc.* | (20,368 | ) | (1,000,680 | ) | ||||
Hexcel Corp. | (37,286 | ) | (2,140,962 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (2,339 | ) | (178,793 | ) | ||||
Insteel Industries, Inc. | (5,838 | ) | (152,430 | ) | ||||
ITT, Inc. | (20,623 | ) | (912,980 | ) | ||||
John Bean Technologies Corp. | (24,708 | ) | (2,497,979 | ) | ||||
Johnson Controls International PLC (Ireland) | (58,276 | ) | (2,347,940 | ) | ||||
Kaman Corp. | (15,803 | ) | (881,491 | ) | ||||
KBR, Inc. | (27,044 | ) | (483,547 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (218,253 | ) | (2,854,749 | ) | ||||
Lydall, Inc.* | (380 | ) | (21,774 | ) | ||||
Manitowoc Co., Inc. (The)* | (341,331 | ) | (3,071,979 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Masonite International Corp. (Canada)* | (13,719 | ) | $ | (949,355 | ) | |||
MasTec, Inc.* | (17,361 | ) | (805,550 | ) | ||||
Mercury Systems, Inc.* | (14,600 | ) | (757,448 | ) | ||||
Middleby Corp. (The)* | (29,379 | ) | (3,765,506 | ) | ||||
Milacron Holdings Corp.* | (8,735 | ) | (147,272 | ) | ||||
MRC Global, Inc.* | (118,711 | ) | (2,076,255 | ) | ||||
MYR Group, Inc.* | (2,444 | ) | (71,218 | ) | ||||
Navistar International Corp.* | (39,480 | ) | (1,739,884 | ) | ||||
NCI Building Systems, Inc.* | (10,753 | ) | (167,747 | ) | ||||
Nexeo Solutions, Inc.* | (28 | ) | (204 | ) | ||||
NN, Inc. | (4,622 | ) | (134,038 | ) | ||||
Nordson Corp. | (239 | ) | (28,322 | ) | ||||
NOW, Inc.* | (215,126 | ) | (2,970,890 | ) | ||||
NV5 Global, Inc.* | (176 | ) | (9,618 | ) | ||||
Orbital ATK, Inc. | (22,156 | ) | (2,950,293 | ) | ||||
Park-Ohio Holdings Corp. | (6 | ) | (274 | ) | ||||
Patrick Industries, Inc.* | (3,643 | ) | (306,376 | ) | ||||
Ply Gem Holdings, Inc.* | (3,374 | ) | (57,527 | ) | ||||
Proto Labs, Inc.* | (13,850 | ) | (1,112,155 | ) | ||||
Quanex Building Products Corp. | (6,016 | ) | (138,067 | ) | ||||
Raven Industries, Inc. | (12,762 | ) | (413,489 | ) | ||||
REV Group, Inc. | (18,259 | ) | (525,129 | ) | ||||
Rockwell Collins, Inc. | (1,843 | ) | (240,899 | ) | ||||
Simpson Manufacturing Co., Inc. | (25,189 | ) | (1,235,269 | ) | ||||
SiteOne Landscape Supply, Inc.* | (11,573 | ) | (672,391 | ) | ||||
Standex International Corp. | (1,575 | ) | (167,265 | ) | ||||
Sun Hydraulics Corp. | (6,600 | ) | (356,400 | ) | ||||
Sunrun, Inc.* | (239,204 | ) | (1,327,582 | ) | ||||
Teledyne Technologies, Inc.* | (12,876 | ) | (2,049,602 | ) | ||||
Tennant Co. | (4,591 | ) | (303,924 | ) | ||||
Thermon Group Holdings, Inc.* | (8,796 | ) | (158,240 | ) | ||||
Timken Co. (The) | (28,517 | ) | (1,384,500 | ) | ||||
Titan International, Inc. | (49,753 | ) | (504,993 | ) | ||||
Tutor Perini Corp.* | (29,977 | ) | (851,347 | ) | ||||
United Rentals, Inc.* | (3,096 | ) | (429,539 | ) | ||||
Universal Forest Products, Inc. | (14,844 | ) | (1,457,087 | ) | ||||
Wabtec Corp. | (17,066 | ) | (1,292,750 | ) | ||||
Watsco, Inc. | (2,162 | ) | (348,233 | ) | ||||
Watts Water Technologies, Inc., Class A | (75 | ) | (5,190 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (64,130 | ) | (602,822 | ) | ||||
Xylem, Inc. | (23,016 | ) | (1,441,492 | ) | ||||
|
| |||||||
(72,604,386 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
136
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (2.6)% |
| |||||||
ABM Industries, Inc. | (18,758 | ) | $ | (782,396 | ) | |||
ACCO Brands Corp.* | (51,781 | ) | (616,194 | ) | ||||
Advanced Disposal Services, Inc.* | (35,456 | ) | (893,137 | ) | ||||
Advisory Board Co. (The)* | (11,543 | ) | (618,993 | ) | ||||
Casella Waste Systems, Inc.* | (684 | ) | (12,859 | ) | ||||
Cintas Corp. | (2,680 | ) | (386,670 | ) | ||||
Clean Harbors, Inc.* | (8,401 | ) | (476,337 | ) | ||||
Covanta Holding Corp. | (197,228 | ) | (2,928,836 | ) | ||||
Exponent, Inc. | (4,115 | ) | (304,098 | ) | ||||
FTI Consulting, Inc.* | (30,786 | ) | (1,092,287 | ) | ||||
Healthcare Services Group, Inc. | (35,723 | ) | (1,927,970 | ) | ||||
HNI Corp. | (33,244 | ) | (1,378,629 | ) | ||||
ICF International, Inc.* | (623 | ) | (33,611 | ) | ||||
InnerWorkings, Inc.* | (5,104 | ) | (57,420 | ) | ||||
Insperity, Inc. | (1,307 | ) | (115,016 | ) | ||||
Knoll, Inc. | (25,573 | ) | (511,460 | ) | ||||
Matthews International Corp., Class A | (960 | ) | (59,760 | ) | ||||
Multi-Color Corp. | (11,603 | ) | (950,866 | ) | ||||
Navigant Consulting, Inc.* | (5,829 | ) | (98,627 | ) | ||||
On Assignment, Inc.* | (4,150 | ) | (222,772 | ) | ||||
Ritchie Bros Auctioneers, Inc. (Canada) | (16,891 | ) | (534,093 | ) | ||||
RR Donnelley & Sons Co. | (67,054 | ) | (690,656 | ) | ||||
Steelcase, Inc., Class A | (31,259 | ) | (481,389 | ) | ||||
TrueBlue, Inc.* | (3,530 | ) | (79,248 | ) | ||||
US Ecology, Inc. | (3,244 | ) | (174,527 | ) | ||||
WageWorks, Inc.* | (31,200 | ) | (1,893,840 | ) | ||||
|
| |||||||
(17,321,691 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.7)% |
| |||||||
Acushnet Holdings Corp. | (11,770 | ) | (209,035 | ) | ||||
American Outdoor Brands Corp.* | (47,752 | ) | (728,218 | ) | ||||
Callaway Golf Co. | (72,735 | ) | (1,049,566 | ) | ||||
Canada Goose Holdings, Inc. (Canada)* | (53,531 | ) | (1,100,062 | ) | ||||
Deckers Outdoor Corp.* | (22,646 | ) | (1,549,213 | ) | ||||
G-III Apparel Group Ltd.* | (35,672 | ) | (1,035,201 | ) | ||||
Hanesbrands, Inc. | (52,491 | ) | (1,293,378 | ) | ||||
Installed Building Products, Inc.* | (6,244 | ) | (404,611 | ) | ||||
iRobot Corp.* | (3,947 | ) | (304,156 | ) | ||||
Mattel, Inc. | (210,649 | ) | (3,260,847 | ) | ||||
Mohawk Industries, Inc.* | (12,772 | ) | (3,161,198 | ) | ||||
Movado Group, Inc. | (1,466 | ) | (41,048 | ) | ||||
Newell Brands, Inc. | (19,878 | ) | (848,194 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Polaris Industries, Inc. | (4,898 | ) | $ | (512,478 | ) | |||
Skechers U.S.A., Inc., Class A* | (45,150 | ) | (1,132,814 | ) | ||||
Tempur Sealy International, Inc.* | (7,969 | ) | (514,160 | ) | ||||
Under Armour, Inc., Class C* | (73,503 | ) | (1,104,015 | ) | ||||
Universal Electronics, Inc.* | (1,232 | ) | (78,109 | ) | ||||
|
| |||||||
(18,326,303 | ) | |||||||
|
| |||||||
Consumer Services — (5.2)% |
| |||||||
Belmond Ltd., Class A (Bermuda)* | (22,384 | ) | (305,542 | ) | ||||
Bright Horizons Family Solutions, Inc.* | (18,197 | ) | (1,568,763 | ) | ||||
Career Education Corp.* | (10,315 | ) | (107,173 | ) | ||||
Carrols Restaurant Group, Inc.* | (21,573 | ) | (235,146 | ) | ||||
Chegg, Inc.* | (171,019 | ) | (2,537,922 | ) | ||||
Domino’s Pizza, Inc. | (3,305 | ) | (656,208 | ) | ||||
Fiesta Restaurant Group, Inc.* | (27,881 | ) | (529,739 | ) | ||||
Houghton Mifflin Harcourt Co.* | (127,773 | ) | (1,539,665 | ) | ||||
International Game Technology PLC (United Kingdom) | (48,093 | ) | (1,180,683 | ) | ||||
Laureate Education, Inc., | (30,247 | ) | (440,094 | ) | ||||
Marcus Corp. (The) | (5,243 | ) | (145,231 | ) | ||||
MGM Resorts International | (20,464 | ) | (666,922 | ) | ||||
Monarch Casino & Resort, Inc.* | (718 | ) | (28,383 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (86,394 | ) | (4,669,596 | ) | ||||
Papa John’s International, Inc. | (26,387 | ) | (1,928,098 | ) | ||||
Planet Fitness, Inc., Class A | (29,399 | ) | (793,185 | ) | ||||
Red Rock Resorts, Inc., Class A | (38,327 | ) | (887,653 | ) | ||||
Restaurant Brands International, Inc. (Canada) | (14,924 | ) | (953,345 | ) | ||||
SeaWorld Entertainment, Inc. | (338,212 | ) | (4,393,374 | ) | ||||
Shake Shack, Inc., Class A* | (137,210 | ) | (4,559,488 | ) | ||||
Texas Roadhouse, Inc. | (24,494 | ) | (1,203,635 | ) | ||||
Wendy’s Co. (The) | (217,441 | ) | (3,376,859 | ) | ||||
Wingstop, Inc. | (59,829 | ) | (1,989,314 | ) | ||||
|
| |||||||
(34,696,018 | ) | |||||||
|
| |||||||
Energy — (4.1)% | ||||||||
Andeavor | (45,063 | ) | (4,648,248 | ) | ||||
Cenovus Energy, Inc. (Canada) | (200,603 | ) | (2,010,042 | ) | ||||
Cheniere Energy, Inc.* | (10,109 | ) | (455,309 | ) | ||||
DHT Holdings, Inc. (Marshall Islands) | (7,524 | ) | (29,945 | ) | ||||
Ensco PLC, Class A (United Kingdom) | (174,622 | ) | (1,042,493 | ) | ||||
Forum Energy Technologies, Inc.* | (54,304 | ) | (863,434 | ) |
The accompanying notes are an integral part of the financial statements.
137
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Frank’s International NV (Netherlands) | (104,424 | ) | $ | (806,153 | ) | |||
Green Plains, Inc. | (107,007 | ) | (2,156,191 | ) | ||||
Helix Energy Solutions Group, Inc.* | (285,177 | ) | (2,107,458 | ) | ||||
Helmerich & Payne, Inc. | (26,591 | ) | (1,385,657 | ) | ||||
Keane Group, Inc.* | (10,528 | ) | (175,607 | ) | ||||
Mammoth Energy Services, Inc.* | (337 | ) | (5,682 | ) | ||||
Newpark Resources, Inc.* | (29,841 | ) | (298,410 | ) | ||||
Patterson-UTI Energy, Inc. | (236,725 | ) | (4,957,022 | ) | ||||
ProPetro Holding Corp.* | (38,234 | ) | (548,658 | ) | ||||
SEACOR Holdings, Inc.* | (5,967 | ) | (275,138 | ) | ||||
SemGroup Corp., Class A | (61,254 | ) | (1,761,052 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (2,862 | ) | (49,885 | ) | ||||
Targa Resources Corp. | (30,900 | ) | (1,461,570 | ) | ||||
Unit Corp.* | (31,295 | ) | (644,051 | ) | ||||
US Silica Holdings, Inc. | (31,889 | ) | (990,791 | ) | ||||
Weatherford International PLC (Ireland)* | (96,292 | ) | (441,017 | ) | ||||
Williams Cos., Inc. (The) | (12,427 | ) | (372,934 | ) | ||||
|
| |||||||
(27,486,747 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.9)% |
| |||||||
Casey’s General Stores, Inc. | (11,022 | ) | (1,206,358 | ) | ||||
Performance Food Group Co.* | (15,247 | ) | (430,728 | ) | ||||
PriceSmart, Inc. | (15,546 | ) | (1,387,480 | ) | ||||
Rite Aid Corp.* | (1,375,854 | ) | (2,696,674 | ) | ||||
Smart & Final Stores, Inc.* | (62,757 | ) | (492,642 | ) | ||||
SpartanNash Co. | (326 | ) | (8,597 | ) | ||||
|
| |||||||
(6,222,479 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (4.2)% |
| |||||||
Archer-Daniels-Midland Co. | (40,156 | ) | (1,707,032 | ) | ||||
B&G Foods, Inc. | (76,828 | ) | (2,446,972 | ) | ||||
Blue Buffalo Pet Products, Inc.* | (149,822 | ) | (4,247,454 | ) | ||||
Bunge Ltd. (Bermuda) | (44,641 | ) | (3,100,764 | ) | ||||
Calavo Growers, Inc. | (13,580 | ) | (994,056 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (7,611 | ) | (1,642,073 | ) | ||||
Cott Corp. (Canada) | (32,249 | ) | (484,057 | ) | ||||
Darling Ingredients, Inc.* | (27,034 | ) | (473,636 | ) | ||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | (2,055 | ) | (93,420 | ) | ||||
Freshpet, Inc.* | (6,865 | ) | (107,437 | ) | ||||
J&J Snack Foods Corp. | (7,179 | ) | (942,603 | ) | ||||
John B Sanfilippo & Son, Inc. | (6,134 | ) | (412,880 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
McCormick & Co., Inc., non-voting shares | (10,257 | ) | $ | (1,052,778 | ) | |||
MGP Ingredients, Inc. | (20,328 | ) | (1,232,487 | ) | ||||
Pilgrim’s Pride Corp.* | (12,880 | ) | (365,921 | ) | ||||
Snyder’s-Lance, Inc. | (17,383 | ) | (662,988 | ) | ||||
SunOpta, Inc. (Canada)* | (4,626 | ) | (40,246 | ) | ||||
Tootsie Roll Industries, Inc. | (5,529 | ) | (210,102 | ) | ||||
Tyson Foods, Inc., Class A | (96,769 | ) | (6,817,376 | ) | ||||
Universal Corp. | (3,341 | ) | (191,439 | ) | ||||
Vector Group Ltd. | (51,955 | ) | (1,063,528 | ) | ||||
|
| |||||||
(28,289,249 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (8.3)% |
| |||||||
Alere, Inc.* | (65,433 | ) | (3,336,429 | ) | ||||
Align Technology, Inc.* | (2,038 | ) | (379,618 | ) | ||||
Almost Family, Inc.* | (6,255 | ) | (335,894 | ) | ||||
athenahealth, Inc.* | (21,045 | ) | (2,617,156 | ) | ||||
AtriCure, Inc.* | (31,320 | ) | (700,628 | ) | ||||
BioTelemetry, Inc.* | (48,360 | ) | (1,595,880 | ) | ||||
Cardiovascular Systems, Inc.* | (2,279 | ) | (64,154 | ) | ||||
Castlight Health, Inc., Class B* | (1,269 | ) | (5,457 | ) | ||||
CryoLife, Inc.* | (3,516 | ) | (79,813 | ) | ||||
DaVita, Inc.* | (82,784 | ) | (4,916,542 | ) | ||||
DENTSPLY SIRONA, Inc. | (77,820 | ) | (4,654,414 | ) | ||||
DexCom, Inc.* | (51,599 | ) | (2,524,481 | ) | ||||
Diplomat Pharmacy, Inc.* | (51,922 | ) | (1,075,305 | ) | ||||
Ensign Group, Inc. (The) | (38,715 | ) | (874,572 | ) | ||||
Evolent Health, Inc., Class A* | (148,628 | ) | (2,645,578 | ) | ||||
GenMark Diagnostics, Inc.* | (32,446 | ) | (312,455 | ) | ||||
Glaukos Corp.* | (3,848 | ) | (126,984 | ) | ||||
Henry Schein, Inc.* | (11,002 | ) | (902,054 | ) | ||||
HMS Holdings Corp.* | (31,228 | ) | (620,188 | ) | ||||
Inovalon Holdings, Inc., Class A* | (28,521 | ) | (486,283 | ) | ||||
Insulet Corp.* | (45,838 | ) | (2,524,757 | ) | ||||
iRhythm Technologies, Inc.* | (26,462 | ) | (1,372,849 | ) | ||||
K2M Group Holdings, Inc.* | (64,921 | ) | (1,376,974 | ) | ||||
LeMaitre Vascular, Inc. | (4,874 | ) | (182,385 | ) | ||||
Merit Medical Systems, Inc.* | (1,842 | ) | (78,009 | ) | ||||
Natus Medical, Inc.* | (43,769 | ) | (1,641,338 | ) | ||||
Neogen Corp.* | (1,331 | ) | (103,099 | ) | ||||
Nevro Corp.* | (37,881 | ) | (3,442,625 | ) | ||||
Novocure Ltd. (Jersey)* | (97,036 | ) | (1,926,165 | ) | ||||
NuVasive, Inc.* | (27,667 | ) | (1,534,412 | ) | ||||
NxStage Medical, Inc.* | (89,262 | ) | (2,463,631 | ) | ||||
OraSure Technologies, Inc.* | (65,447 | ) | (1,472,558 | ) |
The accompanying notes are an integral part of the financial statements.
138
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Owens & Minor, Inc. | (75,528 | ) | $ | (2,205,418 | ) | |||
Penumbra, Inc.* | (18,634 | ) | (1,682,650 | ) | ||||
PharMerica Corp.* | (15,278 | ) | (447,645 | ) | ||||
Quidel Corp.* | (13,672 | ) | (599,654 | ) | ||||
Tactile Systems Technology, Inc.* | (4,988 | ) | (154,379 | ) | ||||
Teladoc, Inc.* | (107,677 | ) | (3,569,493 | ) | ||||
US Physical Therapy, Inc. | (31 | ) | (1,905 | ) | ||||
Varex Imaging Corp.* | (2,558 | ) | (86,563 | ) | ||||
Vocera Communications, Inc.* | (6,092 | ) | (191,106 | ) | ||||
|
| |||||||
(55,311,500 | ) | |||||||
|
| |||||||
Household & Personal Products — (1.6)% |
| |||||||
Coty, Inc., Class A | (109,844 | ) | (1,815,721 | ) | ||||
elf Beauty, Inc.* | (76,482 | ) | (1,724,669 | ) | ||||
Procter & Gamble Co. (The) | (13,801 | ) | (1,255,615 | ) | ||||
Revlon, Inc., Class A* | (4,653 | ) | (114,231 | ) | ||||
Spectrum Brands Holdings, Inc. | (41,661 | ) | (4,412,733 | ) | ||||
WD-40 Co. | (12,368 | ) | (1,383,979 | ) | ||||
|
| |||||||
(10,706,948 | ) | |||||||
|
| |||||||
Materials — (4.9)% |
| |||||||
Agrium, Inc. (Canada) | (40,946 | ) | (4,389,821 | ) | ||||
Albemarle Corp. | (5,034 | ) | (686,184 | ) | ||||
Avery Dennison Corp. | (2,338 | ) | (229,919 | ) | ||||
Axalta Coating Systems Ltd. (Bermuda)* | (32,054 | ) | (927,002 | ) | ||||
Balchem Corp. | (7,240 | ) | (588,540 | ) | ||||
Boise Cascade Co.* | (9,347 | ) | (326,210 | ) | ||||
Calgon Carbon Corp. | (39,647 | ) | (848,446 | ) | ||||
Clearwater Paper Corp.* | (2,744 | ) | (135,142 | ) | ||||
Deltic Timber Corp. | (1,336 | ) | (118,142 | ) | ||||
DowDuPont, Inc. | (12,759 | ) | (883,306 | ) | ||||
Ferro Corp.* | (74,358 | ) | (1,658,183 | ) | ||||
GCP Applied Technologies, Inc.* | (54,147 | ) | (1,662,313 | ) | ||||
Graphic Packaging Holding Co. | (109,313 | ) | (1,524,916 | ) | ||||
HB Fuller Co. | (27,263 | ) | (1,582,890 | ) | ||||
Innospec, Inc. | (14,950 | ) | (921,668 | ) | ||||
International Flavors & Fragrances, Inc. | (632 | ) | (90,319 | ) | ||||
International Paper Co. | (20,190 | ) | (1,147,196 | ) | ||||
KapStone Paper and Packaging Corp. | (49,423 | ) | (1,062,100 | ) | ||||
Kraton Corp.* | (31,613 | ) | (1,278,430 | ) | ||||
Monsanto Co. | (7,275 | ) | (871,690 | ) | ||||
NewMarket Corp. | (603 | ) | (256,727 | ) | ||||
Owens-Illinois, Inc.* | (147,809 | ) | (3,718,874 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
PH Glatfelter Co. | (30,027 | ) | $ | (584,025 | ) | |||
Schweitzer-Mauduit International, Inc. | (537 | ) | (22,264 | ) | ||||
Sherwin-Williams Co. (The) | (8,544 | ) | (3,059,094 | ) | ||||
Silgan Holdings, Inc. | (18,602 | ) | (547,457 | ) | ||||
Sonoco Products Co. | (59,780 | ) | (3,015,901 | ) | ||||
Stepan Co. | (2,414 | ) | (201,955 | ) | ||||
Tredegar Corp. | (2,316 | ) | (41,688 | ) | ||||
US Concrete, Inc.* | (3,380 | ) | (257,894 | ) | ||||
|
| |||||||
(32,638,296 | ) | |||||||
|
| |||||||
Media — (3.1)% | ||||||||
AMC Entertainment Holdings, Inc., Class A | (233,791 | ) | (3,436,728 | ) | ||||
Cable One, Inc. | (3,918 | ) | (2,829,266 | ) | ||||
Charter Communications, Inc., Class A* | (732 | ) | (266,023 | ) | ||||
Clear Channel Outdoor Holdings, Inc., Class A | (2,893 | ) | (13,452 | ) | ||||
EW Scripps Co. (The), Class A* | (53,071 | ) | (1,014,187 | ) | ||||
Gray Television, Inc.* | (46,908 | ) | (736,456 | ) | ||||
John Wiley & Sons, Inc., Class A | (27,471 | ) | (1,469,698 | ) | ||||
Live Nation Entertainment, Inc.* | (16,812 | ) | (732,163 | ) | ||||
Madison Square Garden Co. (The), Class A* | (13,810 | ) | (2,956,721 | ) | ||||
MDC Partners, Inc., Class A (Canada)* | (8,448 | ) | (92,928 | ) | ||||
New Media Investment Group, Inc. | (16,339 | ) | (241,654 | ) | ||||
Nexstar Media Group, Inc., Class A | (13,104 | ) | (816,379 | ) | ||||
Regal Entertainment Group, Class A | (189,931 | ) | (3,038,896 | ) | ||||
Scholastic Corp. | (848 | ) | (31,546 | ) | ||||
Shaw Communications, Inc., Class B (Canada) | (19,758 | ) | (454,632 | ) | ||||
Time, Inc. | (108,911 | ) | (1,470,298 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (52,760 | ) | (1,242,498 | ) | ||||
|
| |||||||
(20,843,525 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (8.9)% |
| |||||||
Accelerate Diagnostics, Inc.* | (61,718 | ) | (1,385,569 | ) | ||||
Acceleron Pharma, Inc.* | (21,438 | ) | (800,066 | ) | ||||
Achaogen, Inc.* | (25,919 | ) | (413,408 | ) | ||||
Achillion Pharmaceuticals, Inc.* | (165,231 | ) | (741,887 | ) | ||||
Aclaris Therapeutics, Inc.* | (37,738 | ) | (974,018 | ) | ||||
Aduro Biotech, Inc.* | (39,981 | ) | (425,798 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (28,884 | ) | (1,403,762 | ) | ||||
Agios Pharmaceuticals, Inc.* | (18,830 | ) | (1,256,902 | ) |
The accompanying notes are an integral part of the financial statements.
139
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
Akcea Therapeutics, Inc.* | (8,936 | ) | $ | (247,259 | ) | |||
Alder Biopharmaceuticals, Inc.* | (77,612 | ) | (950,747 | ) | ||||
Amphastar Pharmaceuticals, Inc.* | (5,480 | ) | (97,928 | ) | ||||
ANI Pharmaceuticals, Inc.* | (10,181 | ) | (534,401 | ) | ||||
Arena Pharmaceuticals, Inc.* | (1,417 | ) | (36,134 | ) | ||||
Athenex, Inc.* | (1,024 | ) | (17,930 | ) | ||||
Bio-Rad Laboratories, Inc., | (16,460 | ) | (3,657,741 | ) | ||||
Bruker Corp. | (46,044 | ) | (1,369,809 | ) | ||||
Cambrex Corp.* | (8,931 | ) | (491,205 | ) | ||||
Coherus Biosciences, Inc.* | (49,433 | ) | (659,931 | ) | ||||
Cytokinetics, Inc.* | (22,170 | ) | (321,465 | ) | ||||
CytomX Therapeutics, Inc.* | (7,493 | ) | (136,148 | ) | ||||
Dermira, Inc.* | (62,972 | ) | (1,700,244 | ) | ||||
Editas Medicine, Inc.* | (72,662 | ) | (1,744,615 | ) | ||||
Epizyme, Inc.* | (30,502 | ) | (581,063 | ) | ||||
Five Prime Therapeutics, Inc.* | (29,969 | ) | (1,226,032 | ) | ||||
Flexion Therapeutics, Inc.* | (56,469 | ) | (1,365,420 | ) | ||||
Heron Therapeutics, Inc.* | (134,766 | ) | (2,176,471 | ) | ||||
Horizon Pharma PLC (Ireland)* | (43,680 | ) | (553,862 | ) | ||||
Illumina, Inc.* | (23,220 | ) | (4,625,424 | ) | ||||
Insmed, Inc.* | (39,332 | ) | (1,227,552 | ) | ||||
Intra-Cellular Therapies, Inc.* | (9,416 | ) | (148,584 | ) | ||||
Juno Therapeutics, Inc.* | (3,877 | ) | (173,922 | ) | ||||
Keryx Biopharmaceuticals, Inc.* | (43,868 | ) | (311,463 | ) | ||||
La Jolla Pharmaceutical Co.* | (50,237 | ) | (1,747,243 | ) | ||||
Lexicon Pharmaceuticals, Inc.* | (21,916 | ) | (269,348 | ) | ||||
Luminex Corp. | (23,594 | ) | (479,666 | ) | ||||
MacroGenics, Inc.* | (17,909 | ) | (330,958 | ) | ||||
Medicines Co. (The)* | (70,725 | ) | (2,619,654 | ) | ||||
Momenta Pharmaceuticals, Inc.* | (34,222 | ) | (633,107 | ) | ||||
Natera, Inc.* | (1,022 | ) | (13,174 | ) | ||||
Nektar Therapeutics* | (213,421 | ) | (5,122,104 | ) | ||||
NeoGenomics, Inc.* | (64,035 | ) | (712,710 | ) | ||||
Pacific Biosciences of California, Inc.* | (18,264 | ) | (95,886 | ) | ||||
Pacira Pharmaceuticals, Inc.* | (41,771 | ) | (1,568,501 | ) | ||||
Paratek Pharmaceuticals, Inc.* | (52,017 | ) | (1,305,627 | ) | ||||
QIAGEN NV (Netherlands) | (63,413 | ) | (1,997,510 | ) | ||||
Radius Health, Inc.* | (60,582 | ) | (2,335,436 | ) | ||||
Reata Pharmaceuticals, Inc., Class A* | (1,292 | ) | (40,181 | ) | ||||
Revance Therapeutics, Inc.* | (31,610 | ) | (870,856 | ) | ||||
Seres Therapeutics, Inc.* | (5,034 | ) | (80,745 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
Spark Therapeutics, Inc.* | (1,529 | ) | $ | (136,326 | ) | |||
Synergy Pharmaceuticals, Inc.* | (558,255 | ) | (1,618,940 | ) | ||||
TG Therapeutics, Inc.* | (29,739 | ) | (352,407 | ) | ||||
TherapeuticsMD, Inc.* | (116,444 | ) | (615,989 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (51,391 | ) | (1,759,628 | ) | ||||
Ultragenyx Pharmaceutical, Inc.* | (30,022 | ) | (1,598,972 | ) | ||||
VWR Corp.* | (44,886 | ) | (1,486,175 | ) | ||||
WaVe Life Sciences Ltd. (Singapore)* | (722 | ) | (15,704 | ) | ||||
|
| |||||||
(59,563,607 | ) | |||||||
|
| |||||||
Retailing — (6.0)% | ||||||||
Abercrombie & Fitch Co., Class A | (108,769 | ) | (1,570,624 | ) | ||||
American Eagle Outfitters, Inc. | (268,787 | ) | (3,843,654 | ) | ||||
At Home Group, Inc.* | (19,853 | ) | (453,442 | ) | ||||
Barnes & Noble, Inc. | (6,908 | ) | (52,501 | ) | ||||
Burlington Stores, Inc.* | (11,702 | ) | (1,117,073 | ) | ||||
Caleres, Inc. | (5,085 | ) | (155,194 | ) | ||||
Camping World Holdings, Inc., Class A | (36,143 | ) | (1,472,466 | ) | ||||
Children’s Place, Inc. (The) | (20,039 | ) | (2,367,608 | ) | ||||
DSW, Inc., Class A | (32,709 | ) | (702,589 | ) | ||||
Duluth Holdings, Inc., Class B* | (3,050 | ) | (61,884 | ) | ||||
Five Below, Inc.* | (62,392 | ) | (3,424,073 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (38,815 | ) | (1,511,068 | ) | ||||
GameStop Corp., Class A | (106,099 | ) | (2,192,005 | ) | ||||
Group 1 Automotive, Inc. | (21,199 | ) | (1,536,079 | ) | ||||
Guess?, Inc. | (203,076 | ) | (3,458,384 | ) | ||||
Kohl’s Corp. | (8,499 | ) | (387,979 | ) | ||||
Lithia Motors, Inc., Class A | (22,846 | ) | (2,748,602 | ) | ||||
Lumber Liquidators Holdings, Inc.* | (36,565 | ) | (1,425,304 | ) | ||||
Murphy USA, Inc.* | (23,031 | ) | (1,589,139 | ) | ||||
Netflix, Inc.* | (594 | ) | (107,722 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (60,684 | ) | (2,815,738 | ) | ||||
Party City Holdco, Inc.* | (22,336 | ) | (302,653 | ) | ||||
Pool Corp. | (10,203 | ) | (1,103,659 | ) | ||||
Select Comfort Corp.* | (28,323 | ) | (879,429 | ) | ||||
Shutterfly, Inc.* | (17,303 | ) | (838,849 | ) | ||||
Sonic Automotive, Inc., Class A | (33,714 | ) | (687,766 | ) | ||||
Tile Shop Holdings, Inc. | (40,639 | ) | (516,115 | ) | ||||
Wayfair, Inc., Class A* | (11,747 | ) | (791,748 | ) | ||||
Williams-Sonoma, Inc. | (46,276 | ) | (2,307,321 | ) | ||||
|
| |||||||
(40,420,668 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
140
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (4.1)% |
| |||||||
Advanced Micro Devices, Inc.* | (246,866 | ) | $ | (3,147,542 | ) | |||
Ambarella, Inc. (Cayman Islands)* | (1,433 | ) | (70,231 | ) | ||||
Amkor Technology, Inc.* | (5,492 | ) | (57,941 | ) | ||||
Cavium, Inc.* | (42,818 | ) | (2,823,419 | ) | ||||
CEVA, Inc.* | (2,952 | ) | (126,346 | ) | ||||
Cohu, Inc. | (3,361 | ) | (80,126 | ) | ||||
Cree, Inc.* | (37,557 | ) | (1,058,732 | ) | ||||
Cypress Semiconductor Corp. | (119,298 | ) | (1,791,856 | ) | ||||
FormFactor, Inc.* | (70,199 | ) | (1,182,853 | ) | ||||
Ichor Holdings Ltd. (Cayman Islands)* | (5,335 | ) | (142,978 | ) | ||||
Inphi Corp.* | (129,104 | ) | (5,124,138 | ) | ||||
Integrated Device Technology, Inc.* | (143,789 | ) | (3,821,912 | ) | ||||
IXYS Corp.* | (5,215 | ) | (123,596 | ) | ||||
Lattice Semiconductor Corp.* | (107,087 | ) | (557,923 | ) | ||||
MACOM Technology Solutions Holdings, Inc.* | (10,787 | ) | (481,208 | ) | ||||
MaxLinear, Inc.* | (43,795 | ) | (1,040,131 | ) | ||||
Monolithic Power Systems, Inc. | (3,033 | ) | (323,166 | ) | ||||
Nanometrics, Inc.* | (9,099 | ) | (262,051 | ) | ||||
PDF Solutions, Inc.* | (8,630 | ) | (133,679 | ) | ||||
Power Integrations, Inc. | (22,887 | ) | (1,675,328 | ) | ||||
Semtech Corp.* | (6,801 | ) | (255,378 | ) | ||||
Veeco Instruments, Inc.* | (59,066 | ) | (1,264,012 | ) | ||||
Versum Materials, Inc. | (16,798 | ) | (652,098 | ) | ||||
Xperi Corp. | (38,223 | ) | (967,042 | ) | ||||
|
| |||||||
(27,163,686 | ) | |||||||
|
| |||||||
Software & Services — (13.8)% |
| |||||||
2U, Inc.* | (4,435 | ) | (248,537 | ) | ||||
8x8, Inc.* | (41,565 | ) | (561,128 | ) | ||||
Acxiom Corp.* | (43,698 | ) | (1,076,719 | ) | ||||
Alliance Data Systems Corp. | (24,024 | ) | (5,322,517 | ) | ||||
Apptio, Inc., Class A* | (14,555 | ) | (268,831 | ) | ||||
Autodesk, Inc.* | (19,886 | ) | (2,232,402 | ) | ||||
Benefitfocus, Inc.* | (14,139 | ) | (475,777 | ) | ||||
Black Knight Financial Services, Inc., Class A* | (48,326 | ) | (2,080,434 | ) | ||||
Blackhawk Network Holdings, Inc.* | (82,001 | ) | (3,591,644 | ) | ||||
Blackline, Inc.* | (8,386 | ) | (286,130 | ) | ||||
Booz Allen Hamilton Holding Corp. | (37,635 | ) | (1,407,173 | ) | ||||
Box, Inc., Class A* | (47,880 | ) | (925,042 | ) | ||||
BroadSoft, Inc.* | (42,041 | ) | (2,114,662 | ) | ||||
Callidus Software, Inc.* | (72,554 | ) | (1,788,456 | ) | ||||
Carbonite, Inc.* | (28,580 | ) | (628,760 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Cardtronics PLC, Class A (United Kingdom)* | (70,500 | ) | $ | (1,622,205 | ) | |||
Conduent, Inc.* | (54,181 | ) | (849,016 | ) | ||||
CoreLogic, Inc.* | (3,983 | ) | (184,094 | ) | ||||
Cornerstone OnDemand, Inc.* | (48,567 | ) | (1,972,306 | ) | ||||
Coupa Software, Inc.* | (35,164 | ) | (1,095,359 | ) | ||||
DST Systems, Inc. | (18,976 | ) | (1,041,403 | ) | ||||
DXC Technology Co. | (36,288 | ) | (3,116,413 | ) | ||||
Ellie Mae, Inc.* | (28,311 | ) | (2,325,182 | ) | ||||
Etsy, Inc.* | (62,976 | ) | (1,063,035 | ) | ||||
Euronet Worldwide, Inc.* | (8,828 | ) | (836,806 | ) | ||||
Everbridge, Inc.* | (14,653 | ) | (387,132 | ) | ||||
FireEye, Inc.* | (210,844 | ) | (3,535,854 | ) | ||||
Forrester Research, Inc. | (4,039 | ) | (169,032 | ) | ||||
Gartner, Inc.* | (14,794 | ) | (1,840,521 | ) | ||||
Gigamon, Inc.* | (88,703 | ) | (3,738,831 | ) | ||||
Globant SA (Luxembourg)* | (10,189 | ) | (408,273 | ) | ||||
Gogo, Inc.* | (148,468 | ) | (1,753,407 | ) | ||||
GTT Communications, Inc.* | (6,143 | ) | (194,426 | ) | ||||
Hortonworks, Inc.* | (111,793 | ) | (1,894,891 | ) | ||||
HubSpot, Inc.* | (28,617 | ) | (2,405,259 | ) | ||||
Imperva, Inc.* | (32,468 | ) | (1,409,111 | ) | ||||
Instructure, Inc.* | (31,166 | ) | (1,033,153 | ) | ||||
LivePerson, Inc.* | (8,721 | ) | (118,170 | ) | ||||
Monotype Imaging Holdings, Inc. | (9,922 | ) | (190,998 | ) | ||||
MuleSoft, Inc., Class A* | (16,330 | ) | (328,886 | ) | ||||
New Relic, Inc.* | (10,727 | ) | (534,205 | ) | ||||
Nutanix, Inc,. Class A* | (40,247 | ) | (901,130 | ) | ||||
Pandora Media, Inc.* | (499,631 | ) | (3,847,159 | ) | ||||
Paylocity Holding Corp.* | (9,614 | ) | (469,355 | ) | ||||
Proofpoint, Inc.* | (1,011 | ) | (88,179 | ) | ||||
PROS Holdings, Inc.* | (40,715 | ) | (982,453 | ) | ||||
Q2 Holdings, Inc.* | (7,474 | ) | (311,292 | ) | ||||
Quotient Technology, Inc.* | (31,987 | ) | (500,597 | ) | ||||
Rapid7, Inc.* | (35,104 | ) | (617,830 | ) | ||||
SecureWorks Corp., Class A* | (16,080 | ) | (198,588 | ) | ||||
Silver Spring Networks, Inc.* | (10,445 | ) | (168,896 | ) | ||||
Splunk, Inc.* | (54,946 | ) | (3,650,063 | ) | ||||
Sykes Enterprises, Inc.* | (3,594 | ) | (104,801 | ) | ||||
Teradata Corp.* | (136,924 | ) | (4,626,662 | ) | ||||
Twilio, Inc., Class A* | (16,639 | ) | (496,674 | ) | ||||
Twitter, Inc.* | (23,779 | ) | (401,152 | ) | ||||
Ultimate Software Group, Inc. (The)* | (12,329 | ) | (2,337,578 | ) | ||||
Vantiv, Inc., Class A* | (32,227 | ) | (2,271,037 | ) |
The accompanying notes are an integral part of the financial statements.
141
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Verint Systems, Inc.* | (14,143 | ) | $ | (591,885 | ) | |||
Virtusa Corp.* | (45,483 | ) | (1,718,348 | ) | ||||
Workday, Inc., Class A* | (20,909 | ) | (2,203,600 | ) | ||||
Workiva, Inc.* | (21,328 | ) | (444,689 | ) | ||||
Zendesk, Inc.* | (156,479 | ) | (4,555,104 | ) | ||||
Zynga, Inc., Class A* | (956,554 | ) | (3,615,774 | ) | ||||
|
| |||||||
(92,159,026 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (7.0)% |
| |||||||
3D Systems Corp.* | (154,324 | ) | (2,066,398 | ) | ||||
Arrow Electronics, Inc.* | (9,929 | ) | (798,391 | ) | ||||
Belden, Inc. | (25,168 | ) | (2,026,779 | ) | ||||
BlackBerry Ltd. (Canada)* | (7,986 | ) | (89,283 | ) | ||||
Control4 Corp.* | (3,002 | ) | (88,439 | ) | ||||
Corning, Inc. | (33,727 | ) | (1,009,112 | ) | ||||
Cray, Inc.* | (18 | ) | (350 | ) | ||||
CTS Corp. | (6,353 | ) | (153,107 | ) | ||||
Diebold Nixdorf, Inc. | (71,340 | ) | (1,630,119 | ) | ||||
FARO Technologies, Inc.* | (2,500 | ) | (95,625 | ) | ||||
Finisar Corp.* | (136,464 | ) | (3,025,407 | ) | ||||
Fitbit, Inc., Class A* | (517,088 | ) | (3,598,932 | ) | ||||
II-VI, Inc.* | (81,858 | ) | (3,368,457 | ) | ||||
Infinera Corp.* | (379,159 | ) | (3,363,140 | ) | ||||
Insight Enterprises, Inc.* | (11,131 | ) | (511,136 | ) | ||||
Keysight Technologies, Inc.* | (23,378 | ) | (973,927 | ) | ||||
Kimball Electronics, Inc.* | (162 | ) | (3,507 | ) | ||||
Knowles Corp.* | (55,329 | ) | (844,874 | ) | ||||
Lumentum Holdings, Inc.* | (71,464 | ) | (3,884,068 | ) | ||||
Mesa Laboratories, Inc. | (12 | ) | (1,792 | ) | ||||
Methode Electronics, Inc. | (1,543 | ) | (65,346 | ) | ||||
MTS Systems Corp. | (369 | ) | (19,723 | ) | ||||
NETGEAR, Inc.* | (56,287 | ) | (2,679,261 | ) | ||||
NetScout Systems, Inc.* | (18,625 | ) | (602,519 | ) | ||||
Oclaro, Inc.* | (82,465 | ) | (711,673 | ) | ||||
Palo Alto Networks, Inc.* | (9,977 | ) | (1,437,686 | ) | ||||
PC Connection, Inc. | (393 | ) | (11,079 | ) | ||||
Plexus Corp.* | (10,289 | ) | (577,007 | ) | ||||
Pure Storage, Inc., Class A* | (195,375 | ) | (3,124,046 | ) | ||||
Quantenna Communications, Inc.* | (19,571 | ) | (328,989 | ) | ||||
Sierra Wireless, Inc. (Canada)* | (48,524 | ) | (1,043,266 | ) | ||||
Stratasys Ltd. (Israel)* | (14,547 | ) | (336,327 | ) | ||||
Super Micro Computer, Inc.* | (67,979 | ) | (1,502,336 | ) | ||||
SYNNEX Corp. | (10,816 | ) | (1,368,332 | ) | ||||
Tech Data Corp.* | (19,876 | ) | (1,765,983 | ) | ||||
VeriFone Systems, Inc.* | (6,169 | ) | (125,107 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
ViaSat, Inc.* | (54,367 | ) | $ | (3,496,885 | ) | |||
|
| |||||||
(46,728,408 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.6)% |
| |||||||
ATN International, Inc. | (8,390 | ) | (442,153 | ) | ||||
Boingo Wireless, Inc.* | (19,528 | ) | (417,313 | ) | ||||
Cincinnati Bell, Inc.* | (61,812 | ) | (1,226,968 | ) | ||||
General Communication, Inc., Class A* | (26,524 | ) | (1,081,914 | ) | ||||
Iridium Communications, Inc.* | (165,340 | ) | (1,703,002 | ) | ||||
ORBCOMM, Inc.* | (6 | ) | (63 | ) | ||||
Shenandoah Telecommunications Co. | (29,855 | ) | (1,110,606 | ) | ||||
Straight Path Communications, Inc., Class B* | (4,285 | ) | (774,171 | ) | ||||
Zayo Group Holdings, Inc.* | (105,961 | ) | (3,647,178 | ) | ||||
|
| |||||||
(10,403,368 | ) | |||||||
|
| |||||||
Transportation — (4.5)% |
| |||||||
Air Transport Services Group, Inc.* | (63,045 | ) | (1,534,515 | ) | ||||
Allegiant Travel Co. | (5,278 | ) | (695,113 | ) | ||||
ArcBest Corp. | (23,700 | ) | (792,765 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (41,337 | ) | (2,719,975 | ) | ||||
CH Robinson Worldwide, Inc. | (18,283 | ) | (1,391,336 | ) | ||||
Echo Global Logistics, Inc.* | (6,462 | ) | (121,809 | ) | ||||
Genesee & Wyoming, Inc., Class A* | (76,884 | ) | (5,690,185 | ) | ||||
Golden Ocean Group Ltd. (Bermuda)* | (4,772 | ) | (37,412 | ) | ||||
Hub Group, Inc., Class A* | (5,842 | ) | (250,914 | ) | ||||
JetBlue Airways Corp.* | (9,527 | ) | (176,535 | ) | ||||
Kansas City Southern | (26,639 | ) | (2,895,127 | ) | ||||
Matson, Inc. | (6,238 | ) | (175,787 | ) | ||||
Ryder System, Inc. | (66,822 | ) | (5,649,800 | ) | ||||
Saia, Inc.* | (9,151 | ) | (573,310 | ) | ||||
Schneider National, Inc., Class B | (3,096 | ) | (78,329 | ) | ||||
SkyWest, Inc. | (66,769 | ) | (2,931,159 | ) | ||||
Spirit Airlines, Inc.* | (137,757 | ) | (4,602,461 | ) | ||||
|
| |||||||
(30,316,532 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $631,807,302) | (644,824,123 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (96.3)% | (644,824,123 | ) | ||||||
|
| |||||||
(Proceeds $631,807,302) |
The accompanying notes are an integral part of the financial statements.
142
GOTHAM NEUTRAL FUND
Portfolio of Investments (Concluded)
September 30, 2017
Value | ||||||||
COMMON STOCKS — (Continued) | ||||||||
Transportation — (Continued) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 74.9% | $ | 501,430,158 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 669,539,801 | ||||||
|
|
† | 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) |
(b) | Security position is either entirely or partially designated as collateral for securities on loan. |
* | Non-income producing. |
PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
143
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 110.1% |
| |||||||
COMMON STOCKS — 110.1% |
| |||||||
Automobiles & Components — 2.3% |
| |||||||
BorgWarner, Inc.† | 138 | $ | 7,070 | |||||
Delphi Automotive PLC (Jersey)† | 174 | 17,122 | ||||||
General Motors Co.† | 1,286 | 51,929 | ||||||
Harley-Davidson, Inc.†(a) | 150 | 7,232 | ||||||
|
| |||||||
83,353 | ||||||||
|
| |||||||
Banks — 0.0% | ||||||||
Huntington Bancshares, Inc.† | 13 | 181 | ||||||
KeyCorp.† | 27 | 508 | ||||||
|
| |||||||
689 | ||||||||
|
| |||||||
Capital Goods — 10.2% | ||||||||
3M Co.† | 11 | 2,309 | ||||||
Allegion PLC (Ireland)† | 45 | 3,891 | ||||||
AMETEK, Inc.† | 76 | 5,019 | ||||||
Arconic, Inc.† | 315 | 7,837 | ||||||
Boeing Co. (The)† | 350 | 88,973 | ||||||
Caterpillar, Inc.† | 513 | 63,976 | ||||||
Cummins, Inc.† | 145 | 24,364 | ||||||
Emerson Electric Co.† | 12 | 754 | ||||||
Fastenal Co.† | 250 | 11,395 | ||||||
Honeywell International, Inc.† | 271 | 38,412 | ||||||
Ingersoll-Rand PLC (Ireland)† | 165 | 14,713 | ||||||
Jacobs Engineering Group, Inc.† | 107 | 6,235 | ||||||
Lockheed Martin Corp.† | 133 | 41,269 | ||||||
Pentair PLC (Ireland)† | 158 | 10,738 | ||||||
Rockwell Automation, Inc.† | 90 | 16,039 | ||||||
Rockwell Collins, Inc.† | 14 | 1,830 | ||||||
Snap-on, Inc.† | 50 | 7,450 | ||||||
TransDigm Group, Inc.† | 46 | 11,760 | ||||||
WW Grainger, Inc.†(a) | 52 | 9,347 | ||||||
|
| |||||||
366,311 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.8% |
| |||||||
Equifax, Inc. | 5 | 530 | ||||||
Robert Half International, Inc.† | 110 | 5,537 | ||||||
Stericycle, Inc.†* | 64 | 4,584 | ||||||
Waste Management, Inc.† | 214 | 16,750 | ||||||
|
| |||||||
27,401 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.6% |
| |||||||
Coach, Inc.† | 247 | 9,949 | ||||||
DR Horton, Inc.† | 21 | 838 | ||||||
Garmin Ltd. (Switzerland)† | 120 | 6,476 | ||||||
Hasbro, Inc.† | 41 | 4,004 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 147 | $ | 7,034 | |||||
PulteGroup, Inc.† | 87 | 2,378 | ||||||
PVH Corp.† | 69 | 8,698 | ||||||
Ralph Lauren Corp.† | 73 | 6,445 | ||||||
Whirlpool Corp.† | 65 | 11,989 | ||||||
|
| |||||||
57,811 | ||||||||
|
| |||||||
Consumer Services — 2.4% | ||||||||
Hilton Worldwide Holdings, Inc.† | 283 | 19,654 | ||||||
Marriott International, Inc., | 326 | 35,945 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 186 | 22,048 | ||||||
Wyndham Worldwide Corp.† | 89 | 9,381 | ||||||
Yum! Brands, Inc. | 5 | 368 | ||||||
|
| |||||||
87,396 | ||||||||
|
| |||||||
Diversified Financials — 3.9% | ||||||||
BlackRock, Inc.† | 100 | 44,709 | ||||||
Franklin Resources, Inc.† | 484 | 21,543 | ||||||
Invesco Ltd. (Bermuda)† | 353 | 12,369 | ||||||
Moody’s Corp.† | 167 | 23,248 | ||||||
Nasdaq, Inc.† | 146 | 11,325 | ||||||
S&P Global, Inc.† | 62 | 9,691 | ||||||
T Rowe Price Group, Inc.† | 209 | 18,946 | ||||||
|
| |||||||
141,831 | ||||||||
|
| |||||||
Energy — 6.4% | ||||||||
Anadarko Petroleum Corp.† | 480 | 23,448 | ||||||
Chesapeake Energy Corp.(a)* | 786 | 3,380 | ||||||
Chevron Corp.† | 148 | 17,390 | ||||||
ConocoPhillips† | 1,082 | 54,154 | ||||||
Devon Energy Corp.† | 319 | 11,710 | ||||||
Marathon Oil Corp.† | 744 | 10,089 | ||||||
Marathon Petroleum Corp.† | 452 | 25,348 | ||||||
Occidental Petroleum Corp.† | 527 | 33,839 | ||||||
ONEOK, Inc.† | 330 | 18,285 | ||||||
Range Resources Corp.(a) | 216 | 4,227 | ||||||
Valero Energy Corp.† | 384 | 29,541 | ||||||
|
| |||||||
231,411 | ||||||||
|
| |||||||
Food & Staples Retailing — 6.4% |
| |||||||
CVS Health Corp.† | 930 | 75,628 | ||||||
Kroger Co. (The)† | 807 | 16,188 | ||||||
Sysco Corp.† | 468 | 25,249 | ||||||
Walgreens Boots Alliance, Inc.† | 720 | 55,598 |
The accompanying notes are an integral part of the financial statements.
144
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
Wal-Mart Stores, Inc.† | 734 | $ | 57,355 | |||||
|
| |||||||
230,018 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 4.4% |
| |||||||
Altria Group, Inc.† | 1,041 | 66,020 | ||||||
Campbell Soup Co.† | 268 | 12,548 | ||||||
Conagra Brands, Inc.† | 374 | 12,619 | ||||||
Dr Pepper Snapple Group, Inc.† | 158 | 13,978 | ||||||
General Mills, Inc. | 88 | 4,555 | ||||||
JM Smucker Co. (The)† | 99 | 10,388 | ||||||
Kellogg Co. | 237 | 14,782 | ||||||
Molson Coors Brewing Co., | 187 | 15,267 | ||||||
Philip Morris International, Inc.† | 60 | 6,661 | ||||||
|
| |||||||
156,818 | ||||||||
|
| |||||||
Health Care Equipment & Services — 9.7% |
| |||||||
Aetna, Inc.† | 289 | 45,954 | ||||||
AmerisourceBergen Corp.† | 197 | 16,302 | ||||||
Anthem, Inc.† | 232 | 44,052 | ||||||
Centene Corp.†* | 152 | 14,709 | ||||||
Cigna Corp.† | 221 | 41,314 | ||||||
Express Scripts Holding Co.†* | 532 | 33,686 | ||||||
HCA Healthcare, Inc.†* | 318 | 25,310 | ||||||
Humana, Inc.† | 131 | 31,916 | ||||||
Laboratory Corp. of America Holdings†* | 68 | 10,266 | ||||||
McKesson Corp.† | 186 | 28,571 | ||||||
Medtronic PLC (Ireland) | 20 | 1,555 | ||||||
Quest Diagnostics, Inc.† | 62 | 5,806 | ||||||
UnitedHealth Group, Inc.† | 169 | 33,099 | ||||||
Universal Health Services, Inc., Class B† | 83 | 9,208 | ||||||
Varian Medical Systems, Inc.†* | 82 | 8,205 | ||||||
|
| |||||||
349,953 | ||||||||
|
| |||||||
Household & Personal Products — 1.0% |
| |||||||
Church & Dwight Co., Inc.† | 45 | 2,180 | ||||||
Clorox Co. (The)† | 112 | 14,774 | ||||||
Kimberly-Clark Corp.† | 165 | 19,417 | ||||||
|
| |||||||
36,371 | ||||||||
|
| |||||||
Insurance — 0.9% | ||||||||
Aon PLC (United Kingdom)† | 160 | 23,376 | ||||||
Chubb Ltd. (Switzerland)† | 17 | 2,423 | ||||||
Progressive Corp. (The)† | 129 | 6,246 | ||||||
|
| |||||||
32,045 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — 4.5% | ||||||||
Air Products & Chemicals, Inc.† | 192 | $ | 29,034 | |||||
Ball Corp.† | 306 | 12,638 | ||||||
FMC Corp.† | 115 | 10,271 | ||||||
Freeport-McMoRan, Inc.†* | 1,297 | 18,210 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 354 | 35,064 | ||||||
Newmont Mining Corp.† | 463 | 17,367 | ||||||
Packaging Corp. of America† | 81 | 9,289 | ||||||
PPG Industries, Inc.† | 4 | 435 | ||||||
Sherwin-Williams Co. (The)† | 60 | 21,482 | ||||||
WestRock Co.† | 118 | 6,694 | ||||||
160,484 | ||||||||
Media — 7.9% | ||||||||
CBS Corp., Class B, non-voting shares† | 349 | 20,242 | ||||||
Comcast Corp., Class A† | 1,656 | 63,723 | ||||||
Discovery Communications, Inc., Class A†(a)* | 502 | 10,688 | ||||||
News Corp., Class A† | 510 | 6,763 | ||||||
Omnicom Group, Inc.† | 206 | 15,258 | ||||||
Scripps Networks Interactive, Inc., Class A† | 114 | 9,791 | ||||||
Time Warner, Inc.† | 675 | 69,154 | ||||||
Twenty-First Century Fox, Inc., Class A† | 1,619 | 42,709 | ||||||
Viacom, Inc., Class B† | 351 | 9,772 | ||||||
Walt Disney Co. (The)† | 374 | 36,865 | ||||||
|
| |||||||
284,965 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 6.2% |
| |||||||
AbbVie, Inc.† | 627 | 55,715 | ||||||
Amgen, Inc.† | 225 | 41,951 | ||||||
Biogen, Inc.†* | 75 | 23,484 | ||||||
Celgene Corp.†* | 99 | 14,436 | ||||||
Gilead Sciences, Inc.† | 1,058 | 85,719 | ||||||
|
| |||||||
221,305 | ||||||||
|
| |||||||
Real Estate — 0.8% | ||||||||
Alexandria Real Estate Equities, Inc., REIT† | 30 | 3,569 | ||||||
Digital Realty Trust, Inc., REIT† | 14 | 1,657 | ||||||
Duke Realty Corp., REIT | 110 | 3,170 | ||||||
Mid-America Apartment Communities, Inc., REIT† | 95 | 10,154 | ||||||
Prologis, Inc., REIT† | 36 | 2,285 | ||||||
Regency Centers Corp., REIT† | 142 | 8,810 |
The accompanying notes are an integral part of the financial statements.
145
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Weyerhaeuser Co., REIT† | 24 | $ | 817 | |||||
|
| |||||||
30,462 | ||||||||
|
| |||||||
Retailing — 7.4% | ||||||||
Advance Auto Parts, Inc. | 65 | 6,448 | ||||||
AutoZone, Inc.†* | 25 | 14,878 | ||||||
Best Buy Co., Inc.† | 204 | 11,620 | ||||||
CarMax, Inc.†* | 155 | 11,750 | ||||||
Dollar General Corp. | 7 | 567 | ||||||
Dollar Tree, Inc.†* | 40 | 3,473 | ||||||
Gap, Inc. (The)(a) | 1 | 30 | ||||||
Genuine Parts Co.† | 127 | 12,148 | ||||||
Home Depot, Inc. (The)† | 520 | 85,051 | ||||||
LKQ Corp.†* | 271 | 9,753 | ||||||
Lowe’s Cos., Inc.† | 741 | 59,236 | ||||||
Nordstrom, Inc.† | 98 | 4,621 | ||||||
O’Reilly Automotive, Inc.†* | 78 | 16,799 | ||||||
Ross Stores, Inc.† | 262 | 16,917 | ||||||
Signet Jewelers Ltd. | 60 | 3,993 | ||||||
Target Corp. | 36 | 2,124 | ||||||
Tractor Supply Co. | 110 | 6,962 | ||||||
|
| |||||||
266,370 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.6% |
| |||||||
Applied Materials, Inc.† | 947 | 49,329 | ||||||
Intel Corp.† | 1,173 | 44,668 | ||||||
KLA-Tencor Corp.† | 138 | 14,628 | ||||||
Lam Research Corp.† | 157 | 29,051 | ||||||
Micron Technology, Inc.* | 1,053 | 41,414 | ||||||
Skyworks Solutions, Inc.† | 113 | 11,515 | ||||||
Texas Instruments, Inc.† | 351 | 31,464 | ||||||
Xilinx, Inc.† | 215 | 15,228 | ||||||
|
| |||||||
237,297 | ||||||||
|
| |||||||
Software & Services — 7.5% | ||||||||
Accenture PLC, Class A (Ireland)† | 104 | 14,047 | ||||||
Alphabet, Inc., Class A†* | 22 | 21,422 | ||||||
Automatic Data Processing, Inc.† | 159 | 17,382 | ||||||
CA, Inc.† | 330 | 11,015 | ||||||
Citrix Systems, Inc.†* | 132 | 10,140 | ||||||
CSRA, Inc.† | 105 | 3,388 | ||||||
eBay, Inc.†* | 167 | 6,423 | ||||||
Electronic Arts, Inc.†* | 270 | 31,876 | ||||||
International Business Machines Corp.† | 231 | 33,513 | ||||||
Intuit, Inc.† | 223 | 31,697 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Oracle Corp.† | 1,087 | $ | 52,556 | |||||
Paychex, Inc.† | 315 | 18,887 | ||||||
Total System Services, Inc.† | 22 | 1,441 | ||||||
Visa, Inc., Class A† | 140 | 14,734 | ||||||
|
| |||||||
268,521 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 7.4% |
| |||||||
Apple, Inc.† | 394 | 60,723 | ||||||
Cisco Systems, Inc.† | 1,943 | 65,343 | ||||||
F5 Networks, Inc.†* | 57 | 6,872 | ||||||
FLIR Systems, Inc.† | 85 | 3,307 | ||||||
Harris Corp.† | 105 | 13,826 | ||||||
Hewlett Packard Enterprise Co.† | 1,454 | 21,388 | ||||||
HP, Inc.† | 1,462 | 29,182 | ||||||
Juniper Networks, Inc.† | 335 | 9,323 | ||||||
Motorola Solutions, Inc.† | 28 | 2,376 | ||||||
NetApp, Inc.† | 238 | 10,415 | ||||||
Seagate Technology PLC | 261 | 8,657 | ||||||
TE Connectivity Ltd. (Switzerland)† | 50 | 4,153 | ||||||
Western Digital Corp.† | 255 | 22,032 | ||||||
Xerox Corp. | 227 | 7,557 | ||||||
|
| |||||||
265,154 | ||||||||
|
| |||||||
Telecommunication Services — 2.4% |
| |||||||
AT&T, Inc.† | 752 | 29,456 | ||||||
CenturyLink, Inc.(a) | 478 | 9,034 | ||||||
Verizon Communications, Inc.† | 968 | 47,906 | ||||||
|
| |||||||
86,396 | ||||||||
|
| |||||||
Transportation — 7.3% | ||||||||
Alaska Air Group, Inc.† | 107 | 8,161 | ||||||
CSX Corp.† | 468 | 25,394 | ||||||
Delta Air Lines, Inc.† | 639 | 30,813 | ||||||
Expeditors International of Washington, Inc.† | 158 | 9,458 | ||||||
FedEx Corp.† | 141 | 31,807 | ||||||
JB Hunt Transport Services, Inc.† | 95 | 10,553 | ||||||
Norfolk Southern Corp.† | 182 | 24,068 | ||||||
Southwest Airlines Co.† | 520 | 29,110 | ||||||
Union Pacific Corp.† | 445 | 51,607 | ||||||
United Continental Holdings, Inc.†* | 103 | 6,271 | ||||||
United Parcel Service, Inc., | 278 | 33,385 | ||||||
|
| |||||||
260,627 | ||||||||
|
| |||||||
Utilities — 2.1% | ||||||||
CMS Energy Corp.† | 52 | 2,409 | ||||||
DTE Energy Co.† | 156 | 16,748 |
The accompanying notes are an integral part of the financial statements.
146
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) | ||||||||
FirstEnergy Corp.† | 387 | $ | 11,931 | |||||
NRG Energy, Inc.† | 202 | 5,169 | ||||||
Public Service Enterprise Group, Inc.† | 438 | 20,258 | ||||||
WEC Energy Group, Inc.† | 274 | 17,202 | ||||||
|
| |||||||
73,717 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 3,956,706 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 110.1% |
| 3,956,706 | ||||||
|
| |||||||
(Cost $3,579,826) | ||||||||
SHORT POSITIONS — (87.5)% |
| |||||||
COMMON STOCKS — (87.5)% | ||||||||
Automobiles & Components — (1.1)% |
| |||||||
Ford Motor Co. | (2,737 | ) | (32,762 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (173 | ) | (5,752 | ) | ||||
|
| |||||||
(38,514 | ) | |||||||
|
| |||||||
Banks — (3.0)% | ||||||||
Bank of America Corp. | (576 | ) | (14,596 | ) | ||||
BB&T Corp. | (281 | ) | (13,190 | ) | ||||
Citigroup, Inc. | (133 | ) | (9,674 | ) | ||||
Comerica, Inc. | (17 | ) | (1,296 | ) | ||||
Fifth Third Bancorp | (514 | ) | (14,382 | ) | ||||
JPMorgan Chase & Co. | (18 | ) | (1,719 | ) | ||||
M&T Bank Corp. | (38 | ) | (6,120 | ) | ||||
PNC Financial Services Group, Inc. (The) | (2 | ) | (270 | ) | ||||
Regions Financial Corp. | (839 | ) | (12,778 | ) | ||||
SunTrust Banks, Inc. | (75 | ) | (4,483 | ) | ||||
US Bancorp | (322 | ) | (17,256 | ) | ||||
Wells Fargo & Co. | (245 | ) | (13,512 | ) | ||||
|
| |||||||
(109,276 | ) | |||||||
|
| |||||||
Capital Goods — (8.0)% | ||||||||
Acuity Brands, Inc. | (10 | ) | (1,713 | ) | ||||
AO Smith Corp. | (119 | ) | (7,072 | ) | ||||
Dover Corp. | (94 | ) | (8,591 | ) | ||||
Eaton Corp. PLC (Ireland) | (314 | ) | (24,112 | ) | ||||
Flowserve Corp. | (90 | ) | (3,833 | ) | ||||
Fluor Corp. | (96 | ) | (4,042 | ) | ||||
Fortive Corp. | (239 | ) | (16,919 | ) | ||||
Fortune Brands Home & Security, Inc. | (107 | ) | (7,194 | ) | ||||
General Dynamics Corp. | (168 | ) | (34,537 | ) | ||||
General Electric Co. | (1,190 | ) | (28,774 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Illinois Tool Works, Inc. | (4 | ) | $ | (592 | ) | |||
Johnson Controls International PLC (Ireland) | (642 | ) | (25,866 | ) | ||||
L3 Technologies, Inc. | (54 | ) | (10,175 | ) | ||||
Masco Corp. | (219 | ) | (8,543 | ) | ||||
PACCAR, Inc. | (26 | ) | (1,881 | ) | ||||
Parker-Hannifin Corp. | (92 | ) | (16,102 | ) | ||||
Quanta Services, Inc.* | (106 | ) | (3,961 | ) | ||||
Raytheon Co. | (199 | ) | (37,129 | ) | ||||
Roper Technologies, Inc. | (1 | ) | (243 | ) | ||||
Stanley Black & Decker, Inc. | (80 | ) | (12,078 | ) | ||||
Textron, Inc. | (189 | ) | (10,183 | ) | ||||
United Rentals, Inc.* | (59 | ) | (8,186 | ) | ||||
United Technologies Corp. | (93 | ) | (10,795 | ) | ||||
Xylem, Inc. | (80 | ) | (5,010 | ) | ||||
|
| |||||||
(287,531 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.9)% |
| |||||||
Cintas Corp. | (73 | ) | (10,532 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (273 | ) | (12,034 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (246 | ) | (10,197 | ) | ||||
Verisk Analytics, Inc.* | (2 | ) | (166 | ) | ||||
|
| |||||||
(32,929 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.0)% |
| |||||||
Hanesbrands, Inc. | (252 | ) | (6,209 | ) | ||||
Leggett & Platt, Inc. | (92 | ) | (4,391 | ) | ||||
Mattel, Inc. | (237 | ) | (3,669 | ) | ||||
Mohawk Industries, Inc.* | (51 | ) | (12,623 | ) | ||||
Newell Brands, Inc. | (334 | ) | (14,252 | ) | ||||
NIKE, Inc., Class B | (156 | ) | (8,089 | ) | ||||
Under Armour, Inc., Class C* | (305 | ) | (4,581 | ) | ||||
VF Corp. | (271 | ) | (17,227 | ) | ||||
|
| |||||||
(71,041 | ) | |||||||
|
| |||||||
Consumer Services — (2.6)% |
| |||||||
Carnival Corp. (Panama) | (505 | ) | (32,608 | ) | ||||
Darden Restaurants, Inc. | (85 | ) | (6,696 | ) | ||||
McDonald’s Corp. | (241 | ) | (37,760 | ) | ||||
MGM Resorts International | (397 | ) | (12,938 | ) | ||||
Wynn Resorts Ltd. | (25 | ) | (3,723 | ) | ||||
|
| |||||||
(93,725 | ) | |||||||
|
| |||||||
Diversified Financials — (3.6)% |
| |||||||
American Express Co. | (230 | ) | (20,806 | ) | ||||
Ameriprise Financial, Inc. | (104 | ) | (15,445 | ) |
The accompanying notes are an integral part of the financial statements.
147
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Bank of New York Mellon Corp. (The) | (31 | ) | $ | (1,644 | ) | |||
Berkshire Hathaway, Inc., | (25 | ) | (4,583 | ) | ||||
CME Group, Inc. | (221 | ) | (29,985 | ) | ||||
Goldman Sachs Group, Inc. (The) | (30 | ) | (7,116 | ) | ||||
Intercontinental Exchange, Inc. | (412 | ) | (28,304 | ) | ||||
Leucadia National Corp. | (175 | ) | (4,419 | ) | ||||
Navient Corp. | (109 | ) | (1,637 | ) | ||||
Northern Trust Corp. | (158 | ) | (14,525 | ) | ||||
|
| |||||||
(128,464 | ) | |||||||
|
| |||||||
Energy — (8.8)% | ||||||||
Andeavor | (109 | ) | (11,243 | ) | ||||
Apache Corp. | (170 | ) | (7,786 | ) | ||||
Cimarex Energy Co. | (66 | ) | (7,502 | ) | ||||
Concho Resources, Inc.* | (102 | ) | (13,435 | ) | ||||
EOG Resources, Inc. | (183 | ) | (17,703 | ) | ||||
EQT Corp. | (120 | ) | (7,829 | ) | ||||
Exxon Mobil Corp. | (715 | ) | (58,616 | ) | ||||
Halliburton Co. | (297 | ) | (13,671 | ) | ||||
Helmerich & Payne, Inc. | (75 | ) | (3,908 | ) | ||||
Hess Corp. | (220 | ) | (10,316 | ) | ||||
Kinder Morgan, Inc. | (623 | ) | (11,949 | ) | ||||
National Oilwell Varco, Inc. | (263 | ) | (9,397 | ) | ||||
Newfield Exploration Co.* | (138 | ) | (4,094 | ) | ||||
Phillips 66 | (357 | ) | (32,705 | ) | ||||
Pioneer Natural Resources Co. | (118 | ) | (17,410 | ) | ||||
Schlumberger Ltd. (Curacao) | (915 | ) | (63,830 | ) | ||||
TechnipFMC PLC (United Kingdom)* | (323 | ) | (9,018 | ) | ||||
Williams Cos., Inc. (The) | (569 | ) | (17,076 | ) | ||||
|
| |||||||
(317,488 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.1)% |
| |||||||
Costco Wholesale Corp. | (28 | ) | (4,600 | ) | ||||
|
| |||||||
Food, Beverage & Tobacco — (2.8)% |
| |||||||
Archer-Daniels-Midland Co. | (388 | ) | (16,494 | ) | ||||
Brown-Forman Corp., Class B | (264 | ) | (14,335 | ) | ||||
Constellation Brands, Inc., Class A | (43 | ) | (8,576 | ) | ||||
Hershey Co. (The) | (149 | ) | (16,266 | ) | ||||
McCormick & Co., Inc., non-voting shares | (86 | ) | (8,827 | ) | ||||
Mondelez International, Inc., Class A | (428 | ) | (17,402 | ) | ||||
Monster Beverage Corp.* | (16 | ) | (884 | ) | ||||
Tyson Foods, Inc., Class A | (252 | ) | (17,753 | ) | ||||
|
| |||||||
(100,537 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (9.8)% |
| |||||||
Abbott Laboratories | (1,184 | ) | $ | (63,178 | ) | |||
Align Technology, Inc.* | (55 | ) | (10,245 | ) | ||||
Baxter International, Inc. | (376 | ) | (23,594 | ) | ||||
Becton Dickinson and Co. | (157 | ) | (30,764 | ) | ||||
Boston Scientific Corp.* | (785 | ) | (22,899 | ) | ||||
Cardinal Health, Inc. | (219 | ) | (14,656 | ) | ||||
Cerner Corp.* | (237 | ) | (16,903 | ) | ||||
Cooper Cos., Inc. (The) | (34 | ) | (8,062 | ) | ||||
CR Bard, Inc. | (51 | ) | (16,346 | ) | ||||
Danaher Corp. | (479 | ) | (41,089 | ) | ||||
DaVita, Inc.* | (132 | ) | (7,839 | ) | ||||
DENTSPLY SIRONA, Inc. | (158 | ) | (9,450 | ) | ||||
Edwards Lifesciences Corp.* | (145 | ) | (15,850 | ) | ||||
Henry Schein, Inc.* | (110 | ) | (9,019 | ) | ||||
IDEXX Laboratories, Inc.* | (19 | ) | (2,954 | ) | ||||
Intuitive Surgical, Inc.* | (13 | ) | (13,596 | ) | ||||
ResMed, Inc. | (98 | ) | (7,542 | ) | ||||
Stryker Corp. | (258 | ) | (36,641 | ) | ||||
Zimmer Biomet Holdings, Inc. | (10 | ) | (1,171 | ) | ||||
|
| |||||||
(351,798 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.6)% |
| |||||||
Coty, Inc., Class A | (519 | ) | (8,579 | ) | ||||
Procter & Gamble Co. (The) | (146 | ) | (13,283 | ) | ||||
|
| |||||||
(21,862 | ) | |||||||
|
| |||||||
Insurance — (4.8)% |
| |||||||
Aflac, Inc. | (255 | ) | (20,755 | ) | ||||
Allstate Corp. (The) | (61 | ) | (5,607 | ) | ||||
American International Group, Inc. | (581 | ) | (35,668 | ) | ||||
Assurant, Inc. | (39 | ) | (3,725 | ) | ||||
Brighthouse Financial, Inc.* | (13 | ) | (790 | ) | ||||
Cincinnati Financial Corp. | (113 | ) | (8,652 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (250 | ) | (13,858 | ) | ||||
Lincoln National Corp. | (17 | ) | (1,249 | ) | ||||
Loews Corp. | (229 | ) | (10,960 | ) | ||||
Marsh & McLennan Cos., Inc. | (189 | ) | (15,840 | ) | ||||
Principal Financial Group, Inc. | (132 | ) | (8,493 | ) | ||||
Prudential Financial, Inc. | (295 | ) | (31,364 | ) | ||||
Torchmark Corp. | (51 | ) | (4,085 | ) | ||||
Travelers Cos, Inc. (The) | (6 | ) | (735 | ) | ||||
Unum Group | (159 | ) | (8,130 | ) | ||||
XL Group Ltd. (Bermuda) | (42 | ) | (1,657 | ) | ||||
|
| |||||||
(171,568 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
148
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (4.6)% | ||||||||
Albemarle Corp. | (76 | ) | $ | (10,360 | ) | |||
Avery Dennison Corp. | (62 | ) | (6,097 | ) | ||||
CF Industries Holdings, Inc. | (2 | ) | (70 | ) | ||||
DowDuPont, Inc. | (256 | ) | (17,723 | ) | ||||
Eastman Chemical Co. | (102 | ) | (9,230 | ) | ||||
Ecolab, Inc. | (205 | ) | (26,365 | ) | ||||
International Flavors & Fragrances, Inc. | (55 | ) | (7,860 | ) | ||||
International Paper Co. | (284 | ) | (16,137 | ) | ||||
Martin Marietta Materials, Inc. | (43 | ) | (8,868 | ) | ||||
Monsanto Co. | (302 | ) | (36,186 | ) | ||||
Mosaic Co. (The) | (244 | ) | (5,268 | ) | ||||
Nucor Corp. | (132 | ) | (7,397 | ) | ||||
Sealed Air Corp. | (48 | ) | (2,051 | ) | ||||
Vulcan Materials Co. | (93 | ) | (11,123 | ) | ||||
|
| |||||||
(164,735 | ) | |||||||
|
| |||||||
Media — (0.1)% | ||||||||
Interpublic Group of Cos., Inc. (The) | (271 | ) | (5,634 | ) | ||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (9.5)% |
| |||||||
Agilent Technologies, Inc. | (2 | ) | (128 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (155 | ) | (21,745 | ) | ||||
Allergan PLC (Ireland) | (232 | ) | (47,548 | ) | ||||
Eli Lilly & Co. | (724 | ) | (61,931 | ) | ||||
Illumina, Inc.* | (98 | ) | (19,522 | ) | ||||
Incyte Corp.* | (148 | ) | (17,278 | ) | ||||
Johnson & Johnson | (25 | ) | (3,250 | ) | ||||
Merck & Co., Inc. | (263 | ) | (16,840 | ) | ||||
Mettler-Toledo International, Inc.* | (6 | ) | (3,757 | ) | ||||
Mylan NV (Netherlands)* | (369 | ) | (11,576 | ) | ||||
PerkinElmer, Inc. | (76 | ) | (5,242 | ) | ||||
Perrigo Co. PLC (Ireland) | (70 | ) | (5,926 | ) | ||||
Pfizer, Inc. | (1,233 | ) | (44,018 | ) | ||||
Quintiles IMS Holdings, Inc.* | (78 | ) | (7,415 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (84 | ) | (37,558 | ) | ||||
Thermo Fisher Scientific, Inc. | (159 | ) | (30,083 | ) | ||||
Zoetis, Inc. | (135 | ) | (8,608 | ) | ||||
|
| |||||||
(342,425 | ) | |||||||
|
| |||||||
Real Estate — (6.0)% | ||||||||
American Tower Corp., REIT | (194 | ) | (26,516 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (110 | ) | (4,825 | ) | ||||
AvalonBay Communities, Inc., REIT | (71 | ) | (12,668 | ) | ||||
Boston Properties, Inc., REIT | (8 | ) | (983 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
CBRE Group, Inc., Class A* | (232 | ) | $ | (8,788 | ) | |||
Crown Castle International Corp., REIT | (252 | ) | (25,195 | ) | ||||
Equinix, Inc., REIT | (54 | ) | (24,100 | ) | ||||
Equity Residential, REIT | (256 | ) | (16,878 | ) | ||||
Essex Property Trust, Inc., REIT | (4 | ) | (1,016 | ) | ||||
Federal Realty Investment Trust, REIT | (7 | ) | (869 | ) | ||||
GGP, Inc., REIT | (613 | ) | (12,732 | ) | ||||
HCP, Inc., REIT | (325 | ) | (9,045 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (434 | ) | (8,025 | ) | ||||
Iron Mountain, Inc., REIT | (182 | ) | (7,080 | ) | ||||
Kimco Realty Corp., REIT | (297 | ) | (5,806 | ) | ||||
Macerich Co. (The), REIT | (99 | ) | (5,442 | ) | ||||
SBA Communications Corp., REIT* | (83 | ) | (11,956 | ) | ||||
Simon Property Group, Inc., REIT | (40 | ) | (6,440 | ) | ||||
SL Green Realty Corp., REIT | (71 | ) | (7,194 | ) | ||||
UDR, Inc., REIT | (47 | ) | (1,787 | ) | ||||
Ventas, Inc., REIT | (7 | ) | (456 | ) | ||||
Vornado Realty Trust, REIT | (11 | ) | (846 | ) | ||||
Welltower, Inc., REIT | (255 | ) | (17,921 | ) | ||||
|
| |||||||
(216,568 | ) | |||||||
|
| |||||||
Retailing — (3.5)% | ||||||||
Amazon.com, Inc.* | (66 | ) | (63,449 | ) | ||||
Expedia, Inc. | (108 | ) | (15,546 | ) | ||||
L Brands, Inc. | (198 | ) | (8,239 | ) | ||||
Macy’s, Inc. | (125 | ) | (2,728 | ) | ||||
Netflix, Inc.* | (83 | ) | (15,052 | ) | ||||
Priceline Group, Inc. (The)* | (4 | ) | (7,323 | ) | ||||
Tiffany & Co. | (19 | ) | (1,744 | ) | ||||
TripAdvisor, Inc.* | (100 | ) | (4,053 | ) | ||||
Ulta Beauty, Inc.* | (42 | ) | (9,495 | ) | ||||
|
| |||||||
(127,629 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (4.1)% |
| |||||||
Advanced Micro Devices, Inc.* | (653 | ) | (8,326 | ) | ||||
Analog Devices, Inc. | (256 | ) | (22,060 | ) | ||||
Broadcom Ltd. (Singapore) | (197 | ) | (47,780 | ) | ||||
NVIDIA Corp. | (349 | ) | (62,391 | ) | ||||
Qorvo, Inc.* | (91 | ) | (6,432 | ) | ||||
|
| |||||||
(146,989 | ) | |||||||
|
| |||||||
Software & Services — (5.5)% |
| |||||||
Activision Blizzard, Inc. | (520 | ) | (33,545 | ) | ||||
Adobe Systems, Inc.* | (96 | ) | (14,321 | ) |
The accompanying notes are an integral part of the financial statements.
149
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Akamai Technologies, Inc.* | (120 | ) | $ | (5,846 | ) | |||
Alliance Data Systems Corp. | (38 | ) | (8,419 | ) | ||||
ANSYS, Inc.* | (3 | ) | (368 | ) | ||||
Autodesk, Inc.* | (42 | ) | (4,715 | ) | ||||
Cadence Design Systems, Inc.* | (193 | ) | (7,618 | ) | ||||
DXC Technology Co. | (197 | ) | (16,918 | ) | ||||
Facebook, Inc., Class A* | (137 | ) | (23,409 | ) | ||||
Fidelity National Information Services, Inc. | (229 | ) | (21,386 | ) | ||||
Fiserv, Inc.* | (23 | ) | (2,966 | ) | ||||
Gartner, Inc.* | (62 | ) | (7,713 | ) | ||||
Global Payments, Inc. | (105 | ) | (9,978 | ) | ||||
PayPal Holdings, Inc.* | (77 | ) | (4,930 | ) | ||||
Red Hat, Inc.* | (33 | ) | (3,658 | ) | ||||
salesforce.com, Inc.* | (161 | ) | (15,041 | ) | ||||
Symantec Corp. | (114 | ) | (3,740 | ) | ||||
Synopsys, Inc.* | (13 | ) | (1,047 | ) | ||||
Verisign, Inc.* | (42 | ) | (4,468 | ) | ||||
Western Union Co. (The) | (328 | ) | (6,298 | ) | ||||
|
| |||||||
(196,384 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.8)% |
| |||||||
Amphenol Corp., Class A | (103 | ) | (8,718 | ) | ||||
Corning, Inc. | (621 | ) | (18,580 | ) | ||||
|
| |||||||
(27,298 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.4)% |
| |||||||
Level 3 Communications, Inc.* | (251 | ) | (13,376 | ) | ||||
|
| |||||||
Transportation — (0.6)% |
| |||||||
American Airlines Group, Inc. | (350 | ) | (16,622 | ) | ||||
CH Robinson Worldwide, Inc. | (13 | ) | (989 | ) | ||||
Kansas City Southern | (43 | ) | (4,673 | ) | ||||
|
| |||||||
(22,284 | ) | |||||||
|
| |||||||
Utilities — (4.3)% | ||||||||
Alliant Energy Corp. | (159 | ) | (6,610 | ) | ||||
Ameren Corp. | (37 | ) | (2,140 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
American Electric Power Co., Inc. | (51 | ) | $ | (3,582 | ) | |||
American Water Works Co., Inc. | (126 | ) | (10,195 | ) | ||||
Consolidated Edison, Inc. | (210 | ) | (16,943 | ) | ||||
Dominion Resources, Inc. | (74 | ) | (5,693 | ) | ||||
Duke Energy Corp. | (116 | ) | (9,735 | ) | ||||
Entergy Corp. | (123 | ) | (9,392 | ) | ||||
Eversource Energy | (218 | ) | (13,176 | ) | ||||
Exelon Corp. | (336 | ) | (12,657 | ) | ||||
NextEra Energy, Inc. | (11 | ) | (1,612 | ) | ||||
PG&E Corp. | (352 | ) | (23,968 | ) | ||||
Pinnacle West Capital Corp. | (77 | ) | (6,511 | ) | ||||
PPL Corp. | (472 | ) | (17,912 | ) | ||||
SCANA Corp. | (64 | ) | (3,103 | ) | ||||
Sempra Energy | (10 | ) | (1,141 | ) | ||||
Southern Co. (The) | (54 | ) | (2,654 | ) | ||||
Xcel Energy, Inc. | (130 | ) | (6,152 | ) | ||||
|
| |||||||
(153,176 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $3,055,204) | (3,145,831 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD |
| (3,145,831 | ) | |||||
|
| |||||||
(Proceeds $3,055,204) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 77.4% | 2,782,098 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 3,592,973 | ||||||
|
|
† | 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) |
* | Non-income producing. |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
150
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — 95.9% | ||||||||
Automobiles & Components — 1.5% |
| |||||||
Dorman Products, Inc.(a)* | 297 | $ | 21,271 | |||||
Harley-Davidson, Inc.(a) | 3,832 | 184,741 | ||||||
Tenneco, Inc. | 766 | 46,473 | ||||||
Thor Industries, Inc. | 224 | 28,204 | ||||||
|
| |||||||
280,689 | ||||||||
|
| |||||||
Capital Goods — 9.3% | ||||||||
Acuity Brands, Inc. | 97 | 16,614 | ||||||
Allison Transmission Holdings, Inc.(a) | 7,824 | 293,635 | ||||||
Caterpillar, Inc.(a) | 1,794 | 223,730 | ||||||
Crane Co.(a) | 146 | 11,679 | ||||||
Fastenal Co.(a) | 1,308 | 59,619 | ||||||
Fortune Brands Home & Security, Inc. | 737 | 49,549 | ||||||
Honeywell International, Inc. | 221 | 31,325 | ||||||
Kennametal, Inc.(a) | 4,922 | 198,553 | ||||||
Lockheed Martin Corp. | 122 | 37,855 | ||||||
Pentair PLC (Ireland) | 3,643 | 247,578 | ||||||
Rexnord Corp.(a)* | 3,793 | 96,380 | ||||||
Snap-on, Inc. | 390 | 58,114 | ||||||
Toro Co. (The) | 2,372 | 147,206 | ||||||
TransDigm Group, Inc.(a) | 919 | 234,942 | ||||||
|
| |||||||
1,706,779 | ||||||||
|
| |||||||
Commercial & Professional Services — 3.4% |
| |||||||
Deluxe Corp.(a) | 1,370 | 99,955 | ||||||
Equifax, Inc. | 1,223 | 129,626 | ||||||
IHS Markit Ltd. (Bermuda)* | 1,034 | 45,579 | ||||||
KAR Auction Services, Inc.(a) | 4,891 | 233,496 | ||||||
MSA Safety, Inc. | 212 | 16,856 | ||||||
Stantec, Inc. (Canada) | 115 | 3,191 | ||||||
Stericycle, Inc.* | 348 | 24,924 | ||||||
TransUnion* | 1,396 | 65,975 | ||||||
|
| |||||||
619,602 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.9% |
| |||||||
Brunswick Corp. | 2,743 | 153,526 | ||||||
Carter’s, Inc. | 170 | 16,788 | ||||||
Coach, Inc. | 3,917 | 157,777 | ||||||
Columbia Sportswear Co.(a) | 805 | 49,572 | ||||||
Gildan Activewear, Inc. (Canada) | 1,765 | 55,209 | ||||||
Hasbro, Inc. | 1,460 | 142,598 | ||||||
Ralph Lauren Corp. | 1,361 | 120,163 | ||||||
Tupperware Brands Corp. | 110 | 6,800 | ||||||
Whirlpool Corp. | 2 | 369 | ||||||
Wolverine World Wide, Inc. | 95 | 2,741 | ||||||
|
| |||||||
705,543 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — 6.9% | ||||||||
Chipotle Mexican Grill, Inc.* | 185 | $ | 56,949 | |||||
Choice Hotels International, Inc. | 830 | 53,037 | ||||||
Cracker Barrel Old Country Store, Inc. | 690 | 104,618 | ||||||
Dunkin’ Brands Group, Inc. | 601 | 31,901 | ||||||
Graham Holdings Co., Class B | 4 | 2,340 | ||||||
Grand Canyon Education, Inc.* | 1,055 | 95,815 | ||||||
Hilton Worldwide Holdings, Inc.(a) | 2,696 | 187,237 | ||||||
Jack in the Box, Inc.(a) | 197 | 20,078 | ||||||
Las Vegas Sands Corp. | 1,093 | 70,127 | ||||||
Marriott International, Inc., Class A | 1,246 | 137,384 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 1,725 | 204,482 | ||||||
Stars Group, Inc. (The) (Canada)* | 451 | 9,246 | ||||||
Vail Resorts, Inc.(a) | 390 | 88,967 | ||||||
Weight Watchers International, Inc.* | 642 | 27,959 | ||||||
Wynn Resorts Ltd. | 79 | 11,765 | ||||||
Yum! Brands, Inc. | 2,212 | 162,825 | ||||||
|
| |||||||
1,264,730 | ||||||||
|
| |||||||
Food & Staples Retailing — 4.4% |
| |||||||
CVS Health Corp.(a) | 2,913 | 236,885 | ||||||
Kroger Co. (The)(a) | 12,970 | 260,178 | ||||||
Sprouts Farmers Market, Inc.* | 127 | 2,384 | ||||||
Walgreens Boots Alliance, Inc. | 2,867 | 221,390 | ||||||
Wal-Mart Stores, Inc. | 1,096 | 85,641 | ||||||
|
| |||||||
806,478 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 7.2% |
| |||||||
Altria Group, Inc.(a) | 3,879 | 246,006 | ||||||
Campbell Soup Co.(a) | 1,298 | 60,772 | ||||||
Dr Pepper Snapple Group, Inc. | 397 | 35,123 | ||||||
Hormel Foods Corp. | 3,788 | 121,746 | ||||||
Ingredion, Inc. | 453 | 54,650 | ||||||
JM Smucker Co. (The) | 656 | 68,834 | ||||||
Kellogg Co. | 2,072 | 129,231 | ||||||
Kraft Heinz Co. (The) | 448 | 34,742 | ||||||
PepsiCo, Inc. | 258 | 28,749 | ||||||
Pilgrim’s Pride Corp.* | 5,690 | 161,653 | ||||||
Sanderson Farms, Inc. | 1,636 | 264,247 | ||||||
TreeHouse Foods, Inc.(a)* | 1,601 | 108,436 | ||||||
Vector Group Ltd. | 140 | 2,870 | ||||||
|
| |||||||
1,317,059 | ||||||||
|
| |||||||
Health Care Equipment & Services — 6.5% |
| |||||||
AmerisourceBergen Corp.(a) | 3,220 | 266,455 |
The accompanying notes are an integral part of the financial statements.
151
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Chemed Corp. | 89 | $ | 17,982 | |||||
Cotiviti Holdings, Inc.* | 188 | 6,764 | ||||||
Edwards Lifesciences Corp.* | 681 | 74,440 | ||||||
Express Scripts Holding Co.(a)* | 3,378 | 213,895 | ||||||
Globus Medical, Inc., Class A* | 400 | 11,888 | ||||||
HCA Healthcare, Inc.* | 1,450 | 115,406 | ||||||
Laboratory Corp. of America Holdings* | 53 | 8,001 | ||||||
Masimo Corp.* | 155 | 13,417 | ||||||
MEDNEX, Inc.* | 2,337 | 100,771 | ||||||
Medtronic PLC (Ireland) | 590 | 45,884 | ||||||
Varian Medical Systems, Inc.(a)* | 2,038 | 203,922 | ||||||
Veeva Systems, Inc., Class A* | 2,104 | 118,687 | ||||||
|
| |||||||
1,197,512 | ||||||||
|
| |||||||
Household & Personal Products — 1.7% |
| |||||||
Clorox Co. (The) | 1,181 | 155,786 | ||||||
Edgewell Personal Care Co.* | 426 | 31,000 | ||||||
Energizer Holdings, Inc.(a) | 538 | 24,775 | ||||||
Kimberly-Clark Corp. | 798 | 93,909 | ||||||
|
| |||||||
305,470 | ||||||||
|
| |||||||
Media — 6.7% |
| |||||||
AMC Networks, Inc., Class A* | 988 | 57,768 | ||||||
CBS Corp., Class B, non-voting shares | 576 | 33,408 | ||||||
Comcast Corp., Class A | 6,284 | 241,808 | ||||||
Discovery Communications, Inc., Class A* | 8,147 | 173,450 | ||||||
News Corp., Class A | 658 | 8,725 | ||||||
Omnicom Group, Inc.(a) | 1,875 | 138,881 | ||||||
Sinclair Broadcast Group, Inc., Class A(a) | 737 | 23,621 | ||||||
Sirius XM Holdings, Inc. | 14,184 | 78,296 | ||||||
TEGNA, Inc. | 4,971 | 66,263 | ||||||
Time Warner, Inc. | 590 | 60,446 | ||||||
Twenty-First Century Fox, Inc., Class A(a) | 7,496 | 197,744 | ||||||
Viacom, Inc., Class B(a) | 5,046 | 140,481 | ||||||
|
| |||||||
1,220,891 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 6.8% |
| |||||||
Amgen, Inc.(a) | 1,059 | 197,451 | ||||||
Bio-Techne Corp. | 206 | 24,903 | ||||||
Bioverativ, Inc.(a)* | 4,692 | 267,772 | ||||||
Celgene Corp.(a)* | 1,351 | 197,003 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
Charles River Laboratories International, Inc.* | 409 | $ | 44,180 | |||||
Exelixis, Inc.(a)* | 1,421 | 34,431 | ||||||
Incyte Corp.* | 156 | 18,211 | ||||||
Ionis Pharmaceuticals, Inc.(a)* | 195 | 9,886 | ||||||
Merck & Co., Inc. | 514 | 32,911 | ||||||
Mylan NV (Netherlands)* | 127 | 3,984 | ||||||
Prestige Brands Holdings, Inc.* | 525 | 26,297 | ||||||
Regeneron Pharmaceuticals, Inc.* | 322 | 143,973 | ||||||
United Therapeutics Corp.(a)* | 1,791 | 209,887 | ||||||
Vertex Pharmaceuticals, Inc.* | 282 | 42,875 | ||||||
|
| |||||||
1,253,764 | ||||||||
|
| |||||||
Retailing — 5.0% | ||||||||
Advance Auto Parts, Inc. | 320 | 31,744 | ||||||
AutoZone, Inc.* | 8 | 4,761 | ||||||
Bed Bath & Beyond, Inc. | 1,096 | 25,723 | ||||||
Best Buy Co., Inc. | 3,296 | 187,740 | ||||||
CarMax, Inc.* | 193 | 14,631 | ||||||
Dick’s Sporting Goods, Inc.(a) | 3 | 81 | ||||||
Foot Locker, Inc.(a) | 1,007 | 35,467 | ||||||
LKQ Corp.(a)* | 4,994 | 179,734 | ||||||
Lowe’s Cos., Inc.(a) | 3,092 | 247,174 | ||||||
Ross Stores, Inc.(a) | 964 | 62,245 | ||||||
Sally Beauty Holdings, Inc.* | 10 | 196 | ||||||
Signet Jewelers Ltd. (Bermuda) | 1,956 | 130,172 | ||||||
|
| |||||||
919,668 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 11.8% |
| |||||||
Advanced Energy Industries, | 2,487 | 200,850 | ||||||
Amkor Technology, Inc.(a)* | 2,891 | 30,500 | ||||||
Analog Devices, Inc. | 1,591 | 137,096 | ||||||
Applied Materials, Inc.(a) | 5,573 | 290,298 | ||||||
Cirrus Logic, Inc.(a)* | 1,780 | 94,910 | ||||||
KLA-Tencor Corp.(a) | 534 | 56,604 | ||||||
Lam Research Corp.(a) | 1,343 | 248,509 | ||||||
Microchip Technology, Inc.(a) | 2,228 | 200,030 | ||||||
Micron Technology, Inc.* | 4,080 | 160,466 | ||||||
MKS Instruments, Inc.(a) | 2,616 | 247,081 | ||||||
ON Semiconductor Corp.* | 4,493 | 82,986 | ||||||
Skyworks Solutions, Inc.(a) | 1,491 | 151,933 | ||||||
Teradyne, Inc.(a) | 5,908 | 220,309 | ||||||
Texas Instruments, Inc.(a) | 525 | 47,061 | ||||||
|
| |||||||
2,168,633 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
152
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — 5.1% |
| |||||||
ACI Worldwide, Inc.* | 459 | $ | 10,456 | |||||
Adobe Systems, Inc.* | 454 | 67,728 | ||||||
Alphabet, Inc., Class A* | 168 | 163,585 | ||||||
Amdocs, Ltd. (Guernsey) | 38 | 2,444 | ||||||
CACI International, Inc., Class A* | 19 | 2,648 | ||||||
CDK Global, Inc. | 222 | 14,006 | ||||||
CGI Group, Inc., Class A | 22 | 1,141 | ||||||
Electronic Arts, Inc.* | 1,682 | 198,577 | ||||||
Guidewire Software, Inc.* | 48 | 3,737 | ||||||
Intuit, Inc.(a) | 1,058 | 150,384 | ||||||
j2 Global, Inc. | 200 | 14,776 | ||||||
Maximus, Inc.(a) | 1,701 | 109,714 | ||||||
Oracle Corp. | 3,155 | 152,544 | ||||||
Take-Two Interactive Software, Inc.* | 305 | 31,180 | ||||||
Total System Services, Inc. | 109 | 7,140 | ||||||
|
| |||||||
930,060 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 7.1% |
| |||||||
Apple, Inc. | 775 | 119,443 | ||||||
Avnet, Inc. | 1,939 | 76,203 | ||||||
CDW Corp. | 1,156 | 76,296 | ||||||
EchoStar Corp., Class A* | 711 | 40,691 | ||||||
F5 Networks, Inc.(a)* | 619 | 74,627 | ||||||
Harris Corp. | 363 | 47,800 | ||||||
Hewlett Packard Enterprise Co. | 11,603 | 170,680 | ||||||
Jabil, Inc. | 1,634 | 46,651 | ||||||
Juniper Networks, Inc.(a) | 7,640 | 212,621 | ||||||
NetApp, Inc.(a) | 3,589 | 157,055 | ||||||
Seagate Technology PLC | 535 | 17,746 | ||||||
Western Digital Corp.(a) | 2,557 | 220,925 | ||||||
Zebra Technologies Corp., | 420 | 45,604 | ||||||
|
| |||||||
1,306,342 | ||||||||
|
| |||||||
Telecommunication Services — 2.6% |
| |||||||
AT&T, Inc. | 231 | 9,048 | ||||||
CenturyLink, Inc.(a) | 5,489 | 103,742 | ||||||
Rogers Communications, Inc., Class B (Canada) | 1,882 | 96,998 | ||||||
Sprint Corp.* | 13,613 | 105,909 | ||||||
T-Mobile US, Inc.* | 2,187 | 134,850 | ||||||
United States Cellular Corp.* | 492 | 17,417 | ||||||
|
| |||||||
467,964 | ||||||||
|
| |||||||
Transportation — 6.0% | ||||||||
Canadian National Railway Co. (Canada) | 2,555 | 211,682 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Canadian Pacific Railway Ltd. (Canada)(a) | 1,608 | $ | 270,192 | |||||
CSX Corp.(a) | 4,190 | 227,349 | ||||||
Kirby Corp.* | 1,371 | 90,417 | ||||||
Norfolk Southern Corp.(a) | 812 | 107,379 | ||||||
Old Dominion Freight Line, Inc. | 532 | 58,579 | ||||||
Union Pacific Corp.(a) | 1,163 | 134,873 | ||||||
|
| |||||||
1,100,471 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS - 95.9% (Cost $16,930,937) |
| 17,571,655 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.1% | 756,599 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 18,328,254 | ||||||
|
|
(a) | Security position is either entirely or partially designated as collateral for total return swap. |
* | Non-income producing. |
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
153
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2017
Over-the-counter total return basket swap outstanding as of September 30, 2017.
The Fund maintains a basket of short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swap or upon termination. The basket matures on August 6, 2019, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week.
The following table represents the individual short positions and related values within the total return basket swap at September 30, 2017:
Reference Company | Counterparty | Expiration Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Short | ||||||||||||||||||||||||
Automobiles & Components | ||||||||||||||||||||||||
Adient PLC (Ireland) | Morgan Stanley | 08/06/19 | (353 | ) | $ | (28,267 | ) | $ | (1,362 | ) | $ | (1,362 | ) | |||||||||||
BorgWarner, Inc. | Morgan Stanley | 08/06/19 | (2,165 | ) | (102,665 | ) | (8,364 | ) | (8,364 | ) | ||||||||||||||
Delphi Automotive PLC (Jersey) | Morgan Stanley | 08/06/19 | (1,718 | ) | (167,081 | ) | (3,588 | ) | (3,588 | ) | ||||||||||||||
Drew Industries, Inc. | Morgan Stanley | 08/06/19 | (61 | ) | (7,046 | ) | (16 | ) | (16 | ) | ||||||||||||||
Ford Motor Co. | Morgan Stanley | 08/06/19 | (25,205 | ) | (285,885 | ) | (15,729 | ) | (15,729 | ) | ||||||||||||||
Goodyear Tire & Rubber Co. (The) | Morgan Stanley | 08/06/19 | (11,546 | ) | (355,120 | ) | (28,547 | ) | (28,547 | ) | ||||||||||||||
Magna International, Inc. (Canada) | Morgan Stanley | 08/06/19 | (1,078 | ) | (57,266 | ) | (240 | ) | (240 | ) | ||||||||||||||
Visteon Corp. | Morgan Stanley | 08/06/19 | (35 | ) | (4,327 | ) | (12 | ) | (12 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(42,161 | ) | (1,007,657 | ) | (57,858 | ) | (57,858 | ) | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Capital Goods | ||||||||||||||||||||||||
AGCO Corp. | Morgan Stanley | 08/06/19 | (2,681 | ) | (186,505 | ) | (11,298 | ) | (11,298 | ) | ||||||||||||||
AO Smith Corp. | Morgan Stanley | 08/06/19 | (3,010 | ) | (169,510 | ) | (9,261 | ) | (9,261 | ) | ||||||||||||||
Barnes Group, Inc. | Morgan Stanley | 08/06/19 | (124 | ) | (8,585 | ) | (144 | ) | (144 | ) | ||||||||||||||
Beacon Roofing Supply, Inc. | Morgan Stanley | 08/06/19 | (2,655 | ) | (129,189 | ) | (6,794 | ) | (6,794 | ) | ||||||||||||||
Colfax Corp. | Morgan Stanley | 08/06/19 | (1,960 | ) | (80,556 | ) | (1,004 | ) | (1,004 | ) | ||||||||||||||
Curtiss-Wright Corp. | Morgan Stanley | 08/06/19 | (149 | ) | (15,572 | ) | 6 | 6 | ||||||||||||||||
Donaldson Co., Inc. | Morgan Stanley | 08/06/19 | (316 | ) | (14,430 | ) | (77 | ) | (77 | ) | ||||||||||||||
Eaton Corp. PLC (Ireland) | Morgan Stanley | 08/06/19 | (3,126 | ) | (233,942 | ) | (5,955 | ) | (5,955 | ) | ||||||||||||||
Emerson Electric Co. | Morgan Stanley | 08/06/19 | (2,579 | ) | (161,726 | ) | (383 | ) | (383 | ) | ||||||||||||||
EnerSys | Morgan Stanley | 08/06/19 | (77 | ) | (5,279 | ) | (43 | ) | (43 | ) | ||||||||||||||
Fortive Corp. | Morgan Stanley | 08/06/19 | (963 | ) | (67,289 | ) | (837 | ) | (837 | ) | ||||||||||||||
Generac Holdings, Inc. | Morgan Stanley | 08/06/19 | (767 | ) | (34,953 | ) | (252 | ) | (252 | ) | ||||||||||||||
General Dynamics Corp. | Morgan Stanley | 08/06/19 | (398 | ) | (81,564 | ) | (236 | ) | (236 | ) | ||||||||||||||
HD Supply Holdings, Inc. | Morgan Stanley | 08/06/19 | (5,716 | ) | (196,225 | ) | (9,820 | ) | (9,820 | ) | ||||||||||||||
HEICO Corp. | Morgan Stanley | 08/06/19 | (1,086 | ) | (88,622 | ) | (8,853 | ) | (8,853 | ) | ||||||||||||||
Hexcel Corp. | Morgan Stanley | 08/06/19 | (3,073 | ) | (157,359 | ) | (18,988 | ) | (18,988 | ) | ||||||||||||||
Huntington Ingalls Industries, Inc. | Morgan Stanley | 08/06/19 | (497 | ) | (106,354 | ) | (6,332 | ) | (6,332 | ) | ||||||||||||||
IDEX Corp. | Morgan Stanley | 08/06/19 | (298 | ) | (36,469 | ) | 295 | 295 | ||||||||||||||||
ITT, Inc. | Morgan Stanley | 08/06/19 | (2,301 | ) | (93,095 | ) | (8,962 | ) | (8,962 | ) | ||||||||||||||
John Bean Technologies Corp. | Morgan Stanley | 08/06/19 | (765 | ) | (70,309 | ) | (7,063 | ) | (7,063 | ) | ||||||||||||||
Johnson Controls International PLC (Ireland) | Morgan Stanley | 08/06/19 | (1,674 | ) | (66,813 | ) | (795 | ) | (795 | ) | ||||||||||||||
L3 Technologies, Inc. | Morgan Stanley | 08/06/19 | (472 | ) | (88,435 | ) | (1,942 | ) | (1,942 | ) | ||||||||||||||
Lincoln Electric Holdings, Inc. | Morgan Stanley | 08/06/19 | (103 | ) | (9,540 | ) | 67 | 67 | ||||||||||||||||
Middleby Corp. (The) | Morgan Stanley | 08/06/19 | (2,428 | ) | (290,659 | ) | (20,344 | ) | (20,344 | ) |
The accompanying notes are an integral part of the financial statements.
154
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2017
Reference Company | Counterparty | Expiration Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Capital Goods — (continued) | ||||||||||||||||||||||||
Moog, Inc., Class A | Morgan Stanley | 08/06/19 | (41 | ) | $ | (3,399 | ) | $ | (20 | ) | $ | (20 | ) | |||||||||||
Northrop Grumman Corp. | Morgan Stanley | 08/06/19 | (105 | ) | (29,601 | ) | (621 | ) | (621 | ) | ||||||||||||||
Orbital ATK, Inc. | Morgan Stanley | 08/06/19 | (14 | ) | (1,832 | ) | (31 | ) | (31 | ) | ||||||||||||||
Owens Corning | Morgan Stanley | 08/06/19 | (4,381 | ) | (312,526 | ) | (26,135 | ) | (26,135 | ) | ||||||||||||||
Parker-Hannifin Corp. | Morgan Stanley | 08/06/19 | (238 | ) | (41,933 | ) | 306 | 306 | ||||||||||||||||
Raytheon Co. | Morgan Stanley | 08/06/19 | (1,803 | ) | (320,312 | ) | (17,165 | ) | (17,165 | ) | ||||||||||||||
RBC Bearings, Inc. | Morgan Stanley | 08/06/19 | (110 | ) | (13,441 | ) | (316 | ) | (316 | ) | ||||||||||||||
Regal Beloit Corp. | Morgan Stanley | 08/06/19 | (410 | ) | (32,532 | ) | 63 | 63 | ||||||||||||||||
Rockwell Automation, Inc. | Morgan Stanley | 08/06/19 | (101 | ) | (17,911 | ) | (76 | ) | (76 | ) | ||||||||||||||
Rockwell Collins, Inc. | Morgan Stanley | 08/06/19 | (587 | ) | (71,965 | ) | (4,833 | ) | (4,833 | ) | ||||||||||||||
Stanley Black & Decker, Inc. | Morgan Stanley | 08/06/19 | (511 | ) | (73,840 | ) | (3,791 | ) | (3,791 | ) | ||||||||||||||
Timken Co. (The) | Morgan Stanley | 08/06/19 | (3,883 | ) | (172,365 | ) | (16,755 | ) | (16,755 | ) | ||||||||||||||
United Rentals, Inc. | Morgan Stanley | 08/06/19 | (1,475 | ) | (175,471 | ) | (29,054 | ) | (29,054 | ) | ||||||||||||||
USG Corp. | Morgan Stanley | 08/06/19 | (755 | ) | (24,268 | ) | (367 | ) | (367 | ) | ||||||||||||||
WABCO Holdings, Inc. | Morgan Stanley | 08/06/19 | (226 | ) | (33,952 | ) | 527 | 527 | ||||||||||||||||
Wabtec Corp. | Morgan Stanley | 08/06/19 | (3,891 | ) | (289,056 | ) | (5,853 | ) | (5,853 | ) | ||||||||||||||
Watsco, Inc. | Morgan Stanley | 08/06/19 | (1,037 | ) | (158,643 | ) | (8,281 | ) | (8,281 | ) | ||||||||||||||
Welbilt, Inc. | Morgan Stanley | 08/06/19 | (347 | ) | (7,931 | ) | (62 | ) | (62 | ) | ||||||||||||||
WESCO International, Inc. | Morgan Stanley | 08/06/19 | (106 | ) | (6,108 | ) | (62 | ) | (62 | ) | ||||||||||||||
Xylem, Inc. | Morgan Stanley | 08/06/19 | (4,075 | ) | (238,566 | ) | (17,179 | ) | (17,179 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(61,314 | ) | (4,418,632 | ) | (248,720 | ) | (248,720 | ) | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Commercial & Professional Services | ||||||||||||||||||||||||
Brink’s Co. (The) | Morgan Stanley | 08/06/19 | (1,454 | ) | (113,360 | ) | (9,064 | ) | (9,064 | ) | ||||||||||||||
Cintas Corp. | Morgan Stanley | 08/06/19 | (1,141 | ) | (153,705 | ) | (14,105 | ) | (14,105 | ) | ||||||||||||||
Dun & Bradstreet Corp. (The) | Morgan Stanley | 08/06/19 | (368 | ) | (41,798 | ) | (1,199 | ) | (1,199 | ) | ||||||||||||||
Healthcare Services Group, Inc. | Morgan Stanley | 08/06/19 | (1,614 | ) | (83,838 | ) | (3,507 | ) | (3,507 | ) | ||||||||||||||
ManpowerGroup, Inc. | Morgan Stanley | 08/06/19 | (625 | ) | (69,464 | ) | (4,128 | ) | (4,128 | ) | ||||||||||||||
Ritchie Bros Auctioneers, Inc. (Canada) | Morgan Stanley | 08/06/19 | (2,239 | ) | (65,547 | ) | (5,347 | ) | (5,347 | ) | ||||||||||||||
Robert Half International, Inc. | Morgan Stanley | 08/06/19 | (25 | ) | (1,223 | ) | (43 | ) | (43 | ) | ||||||||||||||
UniFirst Corp. | Morgan Stanley | 08/06/19 | (277 | ) | (39,403 | ) | (2,547 | ) | (2,547 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(7,743 | ) | (568,338 | ) | (39,940 | ) | (39,940 | ) | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Consumer Durables & Apparel | ||||||||||||||||||||||||
iRobot Corp. | Morgan Stanley | 08/06/19 | (1,048 | ) | (109,186 | ) | 28,500 | 28,500 | ||||||||||||||||
Leggett & Platt, Inc. | Morgan Stanley | 08/06/19 | (4,660 | ) | (222,897 | ) | (886 | ) | (886 | ) | ||||||||||||||
Mattel, Inc. | Morgan Stanley | 08/06/19 | (27,582 | ) | (491,787 | ) | 62,018 | 62,018 | ||||||||||||||||
Michael Kors Holdings Ltd. (British Virgin Islands) | Morgan Stanley | 08/06/19 | (932 | ) | (43,965 | ) | (602 | ) | (602 | ) | ||||||||||||||
Mohawk Industries, Inc. | Morgan Stanley | 08/06/19 | (1,624 | ) | (404,758 | ) | 3,072 | 3,072 | ||||||||||||||||
Polaris Industries, Inc. | Morgan Stanley | 08/06/19 | (363 | ) | (38,325 | ) | 366 | 366 | ||||||||||||||||
PVH Corp. | Morgan Stanley | 08/06/19 | (304 | ) | (38,524 | ) | 216 | 216 | ||||||||||||||||
Skechers U.S.A., Inc., Class A | Morgan Stanley | 08/06/19 | (3,021 | ) | (84,860 | ) | 9,120 | 9,120 | ||||||||||||||||
Tempur Sealy International, Inc. | Morgan Stanley | 08/06/19 | (4,825 | ) | (291,377 | ) | (19,737 | ) | (19,737 | ) | ||||||||||||||
Under Armour, Inc., Class C | Morgan Stanley | 08/06/19 | (11,362 | ) | (189,251 | ) | 18,759 | 18,759 | ||||||||||||||||
VF Corp. | Morgan Stanley | 08/06/19 | (26 | ) | (1,658 | ) | 6 | 6 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(55,747 | ) | (1,916,588 | ) | 100,832 | 100,832 | |||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
155
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2017
Reference Company | Counterparty | Expiration Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Consumer Services | ||||||||||||||||||||||||
Bright Horizons Family Solutions, Inc. | Morgan Stanley | 08/06/19 | (1,295 | ) | $ | (102,318 | ) | $ | (9,256 | ) | $ | (9,256 | ) | |||||||||||
Carnival Corp. (Panama) | Morgan Stanley | 08/06/19 | (1,076 | ) | (69,156 | ) | (275 | ) | (275 | ) | ||||||||||||||
Hyatt Hotels Corp., Class A | Morgan Stanley | 08/06/19 | (88 | ) | (5,405 | ) | (29 | ) | (29 | ) | ||||||||||||||
Norwegian Cruise Line Holdings Ltd. | Morgan Stanley | 08/06/19 | (7,237 | ) | (400,992 | ) | 10,100 | 10,100 | ||||||||||||||||
Papa John’s International, Inc. | Morgan Stanley | 08/06/19 | (315 | ) | (24,998 | ) | 1,967 | 1,967 | ||||||||||||||||
Red Rock Resorts, Inc., Class A | Morgan Stanley | 08/06/19 | (2,038 | ) | (48,708 | ) | 1,337 | 1,337 | ||||||||||||||||
Six Flags Entertainment Corp. | Morgan Stanley | 08/06/19 | (413 | ) | (24,631 | ) | (521 | ) | (521 | ) | ||||||||||||||
Wendy’s Co. (The) | Morgan Stanley | 08/06/19 | (12,370 | ) | (187,676 | ) | (4,935 | ) | (4,935 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(24,832 | ) | (863,884 | ) | (1,612 | ) | (1,612 | ) | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Food & Staples Retailing | ||||||||||||||||||||||||
Casey’s General Stores, Inc. | Morgan Stanley | 08/06/19 | (2,417 | ) | (258,015 | ) | (6,354 | ) | (6,354 | ) | ||||||||||||||
Performance Food Group Co. | Morgan Stanley | 08/06/19 | (63 | ) | (1,814 | ) | 71 | 71 | ||||||||||||||||
Rite Aid Corp. | Morgan Stanley | 08/06/19 | (15,851 | ) | (35,506 | ) | 4,462 | 4,462 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(18,331 | ) | (295,335 | ) | (1,821 | ) | (1,821 | ) | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||||||||||
Archer-Daniels-Midland Co. | Morgan Stanley | 08/06/19 | (3,173 | ) | (135,318 | ) | (379 | ) | (379 | ) | ||||||||||||||
B&G Foods, Inc. | Morgan Stanley | 08/06/19 | (1,243 | ) | (45,059 | ) | 4,921 | 4,921 | ||||||||||||||||
Blue Buffalo Pet Products, Inc. | Morgan Stanley | 08/06/19 | (5,797 | ) | (150,106 | ) | (14,139 | ) | (14,139 | ) | ||||||||||||||
Bunge Ltd. (Bermuda) | Morgan Stanley | 08/06/19 | (131 | ) | (10,262 | ) | 1,162 | 1,162 | ||||||||||||||||
Darling Ingredients, Inc. | Morgan Stanley | 08/06/19 | (5,400 | ) | (92,465 | ) | (2,081 | ) | (2,081 | ) | ||||||||||||||
Flowers Foods, Inc. | Morgan Stanley | 08/06/19 | (79 | ) | (1,466 | ) | (49 | ) | (49 | ) | ||||||||||||||
Lamb Weston Holdings, Inc. | Morgan Stanley | 08/06/19 | (188 | ) | (8,584 | ) | (276 | ) | (276 | ) | ||||||||||||||
Lancaster Colony Corp. | Morgan Stanley | 08/06/19 | (11 | ) | (1,324 | ) | 4 | 4 | ||||||||||||||||
McCormick & Co., Inc., non-voting shares | Morgan Stanley | 08/06/19 | (444 | ) | (45,310 | ) | (232 | ) | (232 | ) | ||||||||||||||
Tyson Foods, Inc., Class A | Morgan Stanley | 08/06/19 | (6,047 | ) | (394,520 | ) | (32,374 | ) | (32,374 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(22,513 | ) | (884,414 | ) | (43,443 | ) | (43,443 | ) | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Health Care Equipment & Services | ||||||||||||||||||||||||
Acadia Healthcare Co., Inc. | Morgan Stanley | 08/06/19 | (1,713 | ) | (84,924 | ) | 3,167 | 3,167 | ||||||||||||||||
Alere, Inc. | Morgan Stanley | 08/06/19 | (5,817 | ) | (287,353 | ) | (9,064 | ) | (9,064 | ) | ||||||||||||||
Align Technology, Inc. | Morgan Stanley | 08/06/19 | (1,283 | ) | (217,990 | ) | (21,181 | ) | (21,181 | ) | ||||||||||||||
athenahealth, Inc. | Morgan Stanley | 08/06/19 | (735 | ) | (93,536 | ) | 2,193 | 2,193 | ||||||||||||||||
Baxter International, Inc. | Morgan Stanley | 08/06/19 | (3,759 | ) | (228,877 | ) | (7,373 | ) | (7,373 | ) | ||||||||||||||
Boston Scientific Corp. | Morgan Stanley | 08/06/19 | (5,790 | ) | (156,141 | ) | (12,649 | ) | (12,649 | ) | ||||||||||||||
Cantel Medical Corp. | Morgan Stanley | 08/06/19 | (210 | ) | (18,276 | ) | (1,488 | ) | (1,488 | ) | ||||||||||||||
Cerner Corp. | Morgan Stanley | 08/06/19 | (2,275 | ) | (158,989 | ) | (3,158 | ) | (3,158 | ) | ||||||||||||||
Cooper Cos., Inc. (The) | Morgan Stanley | 08/06/19 | (565 | ) | (137,279 | ) | 3,448 | 3,448 | ||||||||||||||||
Danaher Corp. | Morgan Stanley | 08/06/19 | (4,210 | ) | (345,654 | ) | (17,385 | ) | (17,385 | ) | ||||||||||||||
DaVita, Inc. | Morgan Stanley | 08/06/19 | (5,389 | ) | (309,280 | ) | (10,567 | ) | (10,567 | ) | ||||||||||||||
DENTSPLY SIRONA, Inc. | Morgan Stanley | 08/06/19 | (6,829 | ) | (377,769 | ) | (31,019 | ) | (31,019 | ) | ||||||||||||||
Envision Healthcare Corp. | Morgan Stanley | 08/06/19 | (827 | ) | (36,141 | ) | (1,009 | ) | (1,009 | ) | ||||||||||||||
Henry Schein, Inc. | Morgan Stanley | 08/06/19 | (2,317 | ) | (198,738 | ) | 8,900 | 8,900 | ||||||||||||||||
ICU Medical, Inc. | Morgan Stanley | 08/06/19 | (716 | ) | (123,080 | ) | (9,907 | ) | (9,907 | ) | ||||||||||||||
Intuitive Surgical, Inc. | Morgan Stanley | 08/06/19 | (392 | ) | (368,684 | ) | (41,055 | ) | (41,055 | ) | ||||||||||||||
Medidata Solutions, Inc. | Morgan Stanley | 08/06/19 | (20 | ) | (1,574 | ) | 14 | 14 |
The accompanying notes are an integral part of the financial statements.
156
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2017
Reference Company | Counterparty | Expiration Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Health Care Equipment & Services — (continued) |
| |||||||||||||||||||||||
Neogen Corp. | Morgan Stanley | 08/06/19 | (95 | ) | $ | (7,207 | ) | $ | (147 | ) | $ | (147 | ) | |||||||||||
NuVasive, Inc. | Morgan Stanley | 08/06/19 | (3,255 | ) | (211,344 | ) | 30,963 | 30,963 | ||||||||||||||||
Patterson Cos., Inc. | Morgan Stanley | 08/06/19 | (840 | ) | (32,973 | ) | 529 | 529 | ||||||||||||||||
ResMed, Inc. | Morgan Stanley | 08/06/19 | (2,659 | ) | (204,855 | ) | (615 | ) | (615 | ) | ||||||||||||||
STERIS PLC (United Kingdom) | Morgan Stanley | 08/06/19 | (683 | ) | (58,779 | ) | (1,715 | ) | (1,715 | ) | ||||||||||||||
Teleflex, Inc. | Morgan Stanley | 08/06/19 | (500 | ) | (110,759 | ) | (10,210 | ) | (10,210 | ) | ||||||||||||||
West Pharmaceutical Services, Inc. | Morgan Stanley | 08/06/19 | (1,422 | ) | (131,567 | ) | (5,227 | ) | (5,227 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(52,301 | ) | (3,901,769 | ) | (134,555 | ) | (134,555 | ) | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Household & Personal Products | ||||||||||||||||||||||||
Coty, Inc., Class A | Morgan Stanley | 08/06/19 | (24,510 | ) | (461,809 | ) | 54,811 | 54,811 | ||||||||||||||||
Estee Lauder Cos., Inc. (The), Class A | Morgan Stanley | 08/06/19 | (176 | ) | (19,088 | ) | (91 | ) | (91 | ) | ||||||||||||||
Spectrum Brands Holdings, Inc. | Morgan Stanley | 08/06/19 | (1,398 | ) | (155,928 | ) | 7,503 | 7,503 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(26,084 | ) | (636,825 | ) | 62,223 | 62,223 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Media | ||||||||||||||||||||||||
Cable One, Inc. | Morgan Stanley | 08/06/19 | (171 | ) | (127,214 | ) | 3,764 | 3,764 | ||||||||||||||||
John Wiley & Sons, Inc., Class A | Morgan Stanley | 08/06/19 | (192 | ) | (10,269 | ) | 4 | 4 | ||||||||||||||||
Live Nation Entertainment, Inc. | Morgan Stanley | 08/06/19 | (565 | ) | (23,800 | ) | (790 | ) | (790 | ) | ||||||||||||||
Nexstar Media Group, Inc., Class A | Morgan Stanley | 08/06/19 | (3,383 | ) | (221,248 | ) | 9,620 | 9,620 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(4,311 | ) | (382,531 | ) | 12,598 | 12,598 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences |
| |||||||||||||||||||||||
Agilent Technologies, Inc. | Morgan Stanley | 08/06/19 | (960 | ) | (61,093 | ) | (862 | ) | (862 | ) | ||||||||||||||
Allergan PLC (Ireland) | Morgan Stanley | 08/06/19 | (836 | ) | (209,833 | ) | 38,386 | 38,386 | ||||||||||||||||
Biogen, Inc. | Morgan Stanley | 08/06/19 | (43 | ) | (13,749 | ) | 725 | 725 | ||||||||||||||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | 08/06/19 | (848 | ) | (196,055 | ) | 7,743 | 7,743 | ||||||||||||||||
Bristol-Myers Squibb Co. | Morgan Stanley | 08/06/19 | (3,715 | ) | (232,672 | ) | (4,251 | ) | (4,251 | ) | ||||||||||||||
Bruker Corp. | Morgan Stanley | 08/06/19 | (2,838 | ) | (79,154 | ) | (5,337 | ) | (5,337 | ) | ||||||||||||||
Illumina, Inc. | Morgan Stanley | 08/06/19 | (2,038 | ) | (390,866 | ) | (14,843 | ) | (14,843 | ) | ||||||||||||||
Ligand Pharmaceuticals, Inc. | Morgan Stanley | 08/06/19 | (360 | ) | (47,938 | ) | (1,044 | ) | (1,044 | ) | ||||||||||||||
Mallinckrodt PLC (Ireland) | Morgan Stanley | 08/06/19 | (9,467 | ) | (388,672 | ) | 35,150 | 35,150 | ||||||||||||||||
Mettler-Toledo International, Inc. | Morgan Stanley | 08/06/19 | (58 | ) | (36,392 | ) | 99 | 99 | ||||||||||||||||
OPKO Health, Inc. | Morgan Stanley | 08/06/19 | (10,831 | ) | (69,860 | ) | (4,394 | ) | (4,394 | ) | ||||||||||||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | 08/06/19 | (153 | ) | (13,615 | ) | 803 | 803 | ||||||||||||||||
Pfizer, Inc. | Morgan Stanley | 08/06/19 | (5,528 | ) | (194,477 | ) | (2,743 | ) | (2,743 | ) | ||||||||||||||
PRA Health Sciences, Inc. | Morgan Stanley | 08/06/19 | (2,519 | ) | (190,807 | ) | (938 | ) | (938 | ) | ||||||||||||||
QIAGEN NV (Netherlands) | Morgan Stanley | 08/06/19 | (4,149 | ) | (131,982 | ) | 1,376 | 1,376 | ||||||||||||||||
Quintiles IMS Holdings, Inc. | Morgan Stanley | 08/06/19 | (543 | ) | (50,220 | ) | (2,386 | ) | (2,386 | ) | ||||||||||||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 08/06/19 | (1,114 | ) | (198,185 | ) | (14,385 | ) | (14,385 | ) | ||||||||||||||
VWR Corp. | Morgan Stanley | 08/06/19 | (3,749 | ) | (123,664 | ) | (382 | ) | (382 | ) | ||||||||||||||
Zoetis, Inc. | Morgan Stanley | 08/06/19 | (404 | ) | (26,387 | ) | 1,439 | 1,439 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(50,153 | ) | (2,655,621 | ) | 34,156 | 34,156 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Retailing | ||||||||||||||||||||||||
Amazon.com, Inc. | Morgan Stanley | 08/06/19 | (421 | ) | (412,804 | ) | 8,352 | 8,352 | ||||||||||||||||
Camping World Holdings, Inc. | Morgan Stanley | 08/06/19 | (174 | ) | (6,424 | ) | (677 | ) | (677 | ) | ||||||||||||||
Five Below, Inc. | Morgan Stanley | 08/06/19 | (2,433 | ) | (125,353 | ) | (8,086 | ) | (8,086 | ) |
The accompanying notes are an integral part of the financial statements.
157
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2017
Reference Company | Counterparty | Expiration Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Retailing — (continued) |
| |||||||||||||||||||||||
Floor & Decor Holdings, Inc. | Morgan Stanley | 08/06/19 | (1,054 | ) | $ | (39,297 | ) | $ | (1,709 | ) | $ | (1,709 | ) | |||||||||||
Genuine Parts Co. | Morgan Stanley | 08/06/19 | (53 | ) | (4,965 | ) | (150 | ) | (150 | ) | ||||||||||||||
L Brands, Inc. | Morgan Stanley | 08/06/19 | (788 | ) | (33,191 | ) | 424 | 424 | ||||||||||||||||
Lithia Motors, Inc., Class A | Morgan Stanley | 08/06/19 | (336 | ) | (38,443 | ) | (1,955 | ) | (1,955 | ) | ||||||||||||||
Ollie’s Bargain Outlet Holdings, Inc. | Morgan Stanley | 08/06/19 | (521 | ) | (23,714 | ) | (444 | ) | (444 | ) | ||||||||||||||
Pool Corp. | Morgan Stanley | 08/06/19 | (762 | ) | (82,298 | ) | (196 | ) | (196 | ) | ||||||||||||||
TripAdvisor, Inc. | Morgan Stanley | 08/06/19 | (8,087 | ) | (339,291 | ) | 11,097 | 11,097 | ||||||||||||||||
Williams-Sonoma, Inc. | Morgan Stanley | 08/06/19 | (2,550 | ) | (125,914 | ) | (1,145 | ) | (1,145 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(17,179 | ) | (1,231,694 | ) | 5,511 | 5,511 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Semiconductors & Semiconductor Equipment |
| |||||||||||||||||||||||
Advanced Micro Devices, Inc. | Morgan Stanley | 08/06/19 | (16,367 | ) | (218,372 | ) | 9,838 | 9,838 | ||||||||||||||||
First Solar, Inc. | Morgan Stanley | 08/06/19 | (6,887 | ) | (329,769 | ) | 14,013 | 14,013 | ||||||||||||||||
Integrated Device Technology, Inc. | Morgan Stanley | 08/06/19 | (9,240 | ) | (241,534 | ) | (3,904 | ) | (3,904 | ) | ||||||||||||||
Monolithic Power Systems, Inc. | Morgan Stanley | 08/06/19 | (1,148 | ) | (116,955 | ) | (5,508 | ) | (5,508 | ) | ||||||||||||||
Qorvo, Inc. | Morgan Stanley | 08/06/19 | (2,883 | ) | (205,161 | ) | 1,445 | 1,445 | ||||||||||||||||
Xilinx, Inc. | Morgan Stanley | 08/06/19 | (1,563 | ) | (108,487 | ) | (2,148 | ) | (2,148 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(38,088 | ) | (1,220,278 | ) | 13,736 | 13,736 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Software & Services |
| |||||||||||||||||||||||
Akamai Technologies, Inc. | Morgan Stanley | 08/06/19 | (1,705 | ) | (81,297 | ) | (1,720 | ) | (1,720 | ) | ||||||||||||||
Alliance Data Systems Corp. | Morgan Stanley | 08/06/19 | (1,304 | ) | (303,647 | ) | 14,534 | 14,534 | ||||||||||||||||
Autodesk, Inc. | Morgan Stanley | 08/06/19 | (2,123 | ) | (235,207 | ) | (2,964 | ) | (2,964 | ) | ||||||||||||||
Cadence Design Systems, Inc. | Morgan Stanley | 08/06/19 | (13 | ) | (509 | ) | (5 | ) | (5 | ) | ||||||||||||||
Cimpress NV | Morgan Stanley | 08/06/19 | (994 | ) | (87,711 | ) | (9,304 | ) | (9,304 | ) | ||||||||||||||
CommVault Systems, Inc. | Morgan Stanley | 08/06/19 | (1,802 | ) | (107,309 | ) | (2,181 | ) | (2,181 | ) | ||||||||||||||
CoStar Group, Inc. | Morgan Stanley | 08/06/19 | (510 | ) | (141,178 | ) | 4,464 | 4,464 | ||||||||||||||||
DXC Technology Co. | Morgan Stanley | 08/06/19 | (919 | ) | (77,617 | ) | (1,475 | ) | (1,475 | ) | ||||||||||||||
eBay, Inc. | Morgan Stanley | 08/06/19 | (1,584 | ) | (60,681 | ) | (175 | ) | (175 | ) | ||||||||||||||
Ellie Mae, Inc. | Morgan Stanley | 08/06/19 | (1,842 | ) | (155,808 | ) | 4,629 | 4,629 | ||||||||||||||||
Fair Isaac Corp. | Morgan Stanley | 08/06/19 | (639 | ) | (91,047 | ) | 1,317 | 1,317 | ||||||||||||||||
Fidelity National Information Services, Inc. | Morgan Stanley | 08/06/19 | (3,110 | ) | (281,813 | ) | (9,290 | ) | (9,290 | ) | ||||||||||||||
Gartner, Inc. | Morgan Stanley | 08/06/19 | (2,450 | ) | (312,062 | ) | 7,466 | 7,466 | ||||||||||||||||
GoDaddy, Inc., Class A | Morgan Stanley | 08/06/19 | (3,742 | ) | (160,140 | ) | (2,567 | ) | (2,567 | ) | ||||||||||||||
GrubHub, Inc. | Morgan Stanley | 08/06/19 | (2,784 | ) | (149,328 | ) | 1,266 | 1,266 | ||||||||||||||||
IAC/InterActiveCorp. | Morgan Stanley | 08/06/19 | (490 | ) | (56,754 | ) | (822 | ) | (822 | ) | ||||||||||||||
LogMeIn, Inc. | Morgan Stanley | 08/06/19 | (761 | ) | (88,105 | ) | 4,241 | 4,241 | ||||||||||||||||
Paycom Software, Inc. | Morgan Stanley | 08/06/19 | (2,008 | ) | (143,045 | ) | (7,379 | ) | (7,379 | ) | ||||||||||||||
PayPal Holdings, Inc. | Morgan Stanley | 08/06/19 | (913 | ) | (58,735 | ) | 315 | 315 | ||||||||||||||||
PTC, Inc. | Morgan Stanley | 08/06/19 | (862 | ) | (48,287 | ) | (194 | ) | (194 | ) | ||||||||||||||
salesforce.com, Inc. | Morgan Stanley | 08/06/19 | (405 | ) | (38,278 | ) | 495 | 495 | ||||||||||||||||
Science Applications International Corp. | Morgan Stanley | 08/06/19 | (616 | ) | (39,964 | ) | (1,189 | ) | (1,189 | ) | ||||||||||||||
Symantec Corp. | Morgan Stanley | 08/06/19 | (8,378 | ) | (266,833 | ) | (8,210 | ) | (8,210 | ) | ||||||||||||||
Teradata Corp. | Morgan Stanley | 08/06/19 | (8,199 | ) | (257,780 | ) | (19,092 | ) | (19,092 | ) | ||||||||||||||
Ultimate Software Group, Inc. (The) | Morgan Stanley | 08/06/19 | (1,278 | ) | (276,025 | ) | 33,900 | 33,900 |
The accompanying notes are an integral part of the financial statements.
158
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Concluded)
September 30, 2017
Reference Company | Counterparty | Expiration Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||||||
Vantiv, Inc., Class A | Morgan Stanley | 08/06/19 | (4,687 | ) | $ | (330,628 | ) | $ | 556 | �� | $ | 556 | ||||||||||||
VMware, Inc., Class A | Morgan Stanley | 08/06/19 | (144 | ) | (13,350 | ) | (3,939 | ) | (3,939 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(54,262 | ) | (3,863,138 | ) | 2,677 | 2,677 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Technology Hardware & Equipment |
| |||||||||||||||||||||||
Arrow Electronics, Inc. | Morgan Stanley | 08/06/19 | (2,181 | ) | (168,538 | ) | (6,723 | ) | (6,723 | ) | ||||||||||||||
Belden, Inc. | Morgan Stanley | 08/06/19 | (1,307 | ) | (95,982 | ) | (9,264 | ) | (9,264 | ) | ||||||||||||||
Cognex Corp. | Morgan Stanley | 08/06/19 | (1,143 | ) | (121,783 | ) | (4,223 | ) | (4,223 | ) | ||||||||||||||
CommScope Holding Co., Inc. | Morgan Stanley | 08/06/19 | (1,708 | ) | (56,036 | ) | (785 | ) | (785 | ) | ||||||||||||||
Corning, Inc. | Morgan Stanley | 08/06/19 | (435 | ) | (13,080 | ) | 89 | 89 | ||||||||||||||||
Keysight Technologies, Inc. | Morgan Stanley | 08/06/19 | (5,129 | ) | (213,314 | ) | (218 | ) | (218 | ) | ||||||||||||||
Lumentum Holdings, Inc. | Morgan Stanley | 08/06/19 | (5,659 | ) | (307,449 | ) | 87 | 87 | ||||||||||||||||
NetScout Systems, Inc. | Morgan Stanley | 08/06/19 | (3,649 | ) | (121,009 | ) | 3,045 | 3,045 | ||||||||||||||||
Palo Alto Networks, Inc. | Morgan Stanley | 08/06/19 | (1,574 | ) | (219,827 | ) | (6,839 | ) | (6,839 | ) | ||||||||||||||
SYNNEX Corp. | Morgan Stanley | 08/06/19 | (579 | ) | (68,855 | ) | (5,656 | ) | (5,656 | ) | ||||||||||||||
Tech Data Corp. | Morgan Stanley | 08/06/19 | (99 | ) | (10,138 | ) | 1,349 | 1,349 | ||||||||||||||||
Ubiquiti Networks, Inc. | Morgan Stanley | 08/06/19 | (1,119 | ) | (60,986 | ) | (1,829 | ) | (1,829 | ) | ||||||||||||||
ViaSat, Inc. | Morgan Stanley | 08/06/19 | (2,233 | ) | (139,872 | ) | (3,662 | ) | (3,662 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(26,815 | ) | (1,596,869 | ) | (34,629 | ) | (34,629 | ) | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Telecommunication Services |
| |||||||||||||||||||||||
Zayo Group Holdings, Inc. | Morgan Stanley | 08/06/19 | (5,677 | ) | (193,198 | ) | (2,075 | ) | (2,075 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Transportation | ||||||||||||||||||||||||
CH Robinson Worldwide, Inc. | Morgan Stanley | 08/06/19 | (1,785 | ) | (127,713 | ) | (8,327 | ) | (8,327 | ) | ||||||||||||||
Genesee & Wyoming, Inc., Class A | Morgan Stanley | 08/06/19 | (2,297 | ) | (149,673 | ) | (20,228 | ) | (20,228 | ) | ||||||||||||||
JB Hunt Transport Services, Inc. | Morgan Stanley | 08/06/19 | (279 | ) | (30,330 | ) | (641 | ) | (641 | ) | ||||||||||||||
Knight-Swift Transportation Holdings, Inc. | Morgan Stanley | 08/06/19 | (279 | ) | (11,420 | ) | (149 | ) | (149 | ) | ||||||||||||||
Landstar System, Inc. | Morgan Stanley | 08/06/19 | (2 | ) | (195 | ) | (24 | ) | (24 | ) | ||||||||||||||
Ryder System, Inc. | Morgan Stanley | 08/06/19 | (1,127 | ) | (85,564 | ) | (9,840 | ) | (9,840 | ) | ||||||||||||||
Schneider National, Inc. | Morgan Stanley | 08/06/19 | (1,265 | ) | (30,335 | ) | (1,673 | ) | (1,673 | ) | ||||||||||||||
XPO Logistics, Inc. | Morgan Stanley | 08/06/19 | (6,490 | ) | (380,925 | ) | (58,713 | ) | (58,713 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(13,524 | ) | (816,155 | ) | (99,595 | ) | (99,595 | ) | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
$ | (26,452,926 | ) | $ | (432,515 | ) | $ | (432,515 | ) | ||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
159
GOTHAM INDEX PLUS FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 186.5% |
| |||||||
COMMON STOCKS — 186.5% |
| |||||||
Automobiles & Components — 2.6% |
| |||||||
BorgWarner, Inc.† | 1,135 | $ | 58,146 | |||||
Delphi Automotive PLC (Jersey)† | 8,113 | 798,319 | ||||||
General Motors Co.† | 95,354 | 3,850,395 | ||||||
Harley-Davidson, Inc.(a) | 11,163 | 538,168 | ||||||
|
| |||||||
5,245,028 | ||||||||
|
| |||||||
Banks — 3.7% | ||||||||
Bank of America Corp.† | 55,534 | 1,407,232 | ||||||
BB&T Corp. | 262 | 12,298 | ||||||
Citigroup, Inc.† | 19,415 | 1,412,247 | ||||||
Citizens Financial Group, Inc.† | 4,139 | 156,744 | ||||||
Comerica, Inc. | 97 | 7,397 | ||||||
Huntington Bancshares, Inc.† | 26,147 | 365,012 | ||||||
JPMorgan Chase & Co.† | 25,779 | 2,462,152 | ||||||
KeyCorp.† | 25,439 | 478,762 | ||||||
M&T Bank Corp. | 334 | 53,787 | ||||||
PNC Financial Services Group, Inc. (The)† | 3,992 | 538,002 | ||||||
SunTrust Banks, Inc.† | 1,543 | 92,225 | ||||||
US Bancorp† | 418 | 22,401 | ||||||
Wells Fargo & Co.† | 4,078 | 224,902 | ||||||
Zions Bancorporation† | 1,646 | 77,658 | ||||||
|
| |||||||
7,310,819 | ||||||||
|
| |||||||
Capital Goods — 13.6% | ||||||||
3M Co.† | 1,137 | 238,656 | ||||||
Allegion PLC (Ireland)(a) | 2,164 | 187,121 | ||||||
AMETEK, Inc.† | 8,568 | 565,831 | ||||||
Arconic, Inc.† | 14,487 | 360,437 | ||||||
Boeing Co. (The)† | 19,981 | 5,079,370 | ||||||
Caterpillar, Inc.†(a) | 37,604 | 4,689,595 | ||||||
Cummins, Inc.† | 9,892 | 1,662,153 | ||||||
Deere & Co.† | 532 | 66,814 | ||||||
Emerson Electric Co.† | 1,230 | 77,293 | ||||||
Fastenal Co.(a) | 14,418 | 657,172 | ||||||
Fortive Corp. | 439 | 31,077 | ||||||
Honeywell International, Inc.† | 21,990 | 3,116,863 | ||||||
Illinois Tool Works, Inc.† | 2,861 | 423,314 | ||||||
Ingersoll-Rand PLC (Ireland)† | 3,189 | 284,363 | ||||||
Jacobs Engineering Group, Inc.† | 7,869 | 458,527 | ||||||
Lockheed Martin Corp.† | 12,369 | 3,837,977 | ||||||
Masco Corp.†(b) | 11,818 | 461,020 | ||||||
Northrop Grumman Corp.†(b) | 1,463 | 420,934 | ||||||
PACCAR, Inc. | 2,645 | 191,339 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Parker-Hannifin Corp. | 28 | $ | 4,901 | |||||
Pentair PLC (Ireland)(b) | 11,875 | 807,025 | ||||||
Rockwell Automation, Inc.†(b) | 8,166 | 1,455,263 | ||||||
Roper Technologies, Inc.(b) | 817 | 198,858 | ||||||
Snap-on, Inc.(a) | 3,768 | 561,470 | ||||||
TransDigm Group, Inc.(a) | 2,895 | 740,107 | ||||||
WW Grainger, Inc.(a) | 3,775 | 678,556 | ||||||
|
| |||||||
27,256,036 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.5% |
| |||||||
Equifax, Inc. | 1,609 | 170,538 | ||||||
Republic Services, Inc. | 6,120 | 404,287 | ||||||
Robert Half International, Inc.† | 8,257 | 415,657 | ||||||
Stericycle, Inc.(a) * | 5,188 | 371,565 | ||||||
Waste Management, Inc.† | 20,650 | 1,616,276 | ||||||
|
| |||||||
2,978,323 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.5% |
| |||||||
Coach, Inc.† | 18,446 | 743,005 | ||||||
DR Horton, Inc.† | 15,420 | 615,721 | ||||||
Garmin Ltd. (Switzerland)(a) | 3,547 | 191,432 | ||||||
Hanesbrands, Inc.(a) | 57 | 1,404 | ||||||
Hasbro, Inc.(a) | 5,958 | 581,918 | ||||||
Lennar Corp., Class A(b) | 2,028 | 107,078 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 10,175 | 486,874 | ||||||
PulteGroup, Inc.(a) | 14,575 | 398,335 | ||||||
PVH Corp.† | 3,519 | 443,605 | ||||||
Ralph Lauren Corp. | 5,320 | 469,703 | ||||||
Whirlpool Corp.†(a) | 4,776 | 880,885 | ||||||
|
| |||||||
4,919,960 | ||||||||
|
| |||||||
Consumer Services — 3.8% |
| |||||||
Darden Restaurants, Inc.† | 110 | 8,666 | ||||||
H&R Block, Inc.(a)(b) | 1,808 | 47,876 | ||||||
Hilton Worldwide Holdings, Inc.† | 21,282 | 1,478,035 | ||||||
Marriott International, Inc., Class A(b) | 23,533 | 2,594,749 | ||||||
McDonald’s Corp.† | 5,274 | 826,330 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 13,131 | 1,556,549 | ||||||
Wyndham Worldwide | 6,416 | 676,311 | ||||||
Wynn Resorts Ltd.(a) | 818 | 121,817 | ||||||
Yum! Brands, Inc.† | 3,141 | 231,209 | ||||||
|
| |||||||
7,541,542 | ||||||||
|
| |||||||
Diversified Financials — 8.9% |
| |||||||
Ameriprise Financial, Inc.† | 3 | 446 |
The accompanying notes are an integral part of the financial statements.
160
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Bank of New York Mellon Corp. (The)† | 71 | $ | 3,764 | |||||
Berkshire Hathaway, Inc., Class B†* | 20,156 | 3,694,998 | ||||||
BlackRock, Inc.†(b) | 8,193 | 3,663,008 | ||||||
Capital One Financial Corp.† | 584 | 49,442 | ||||||
CBOE Holdings, Inc.(a) | 2,941 | 316,540 | ||||||
Charles Schwab Corp. | 9,507 | 415,836 | ||||||
Discover Financial | 634 | 40,880 | ||||||
E*TRADE Financial Corp.†* | 2,981 | 130,001 | ||||||
Franklin Resources, Inc.(a) | 36,511 | 1,625,105 | ||||||
Goldman Sachs Group, Inc. (The)† | 2,447 | 580,404 | ||||||
Invesco Ltd. (Bermuda)(a) | 26,625 | 932,940 | ||||||
Leucadia National Corp.† | 858 | 21,664 | ||||||
Moody’s Corp.†(b) | 12,500 | 1,740,125 | ||||||
Morgan Stanley† | 14,975 | 721,346 | ||||||
Nasdaq, Inc.†(b) | 10,888 | 844,582 | ||||||
Northern Trust Corp.† | 59 | 5,424 | ||||||
Raymond James Financial, Inc.† | 3,396 | 286,385 | ||||||
S&P Global, Inc.† | 6,569 | 1,026,800 | ||||||
State Street Corp.† | 2,922 | 279,168 | ||||||
Synchrony Financial† | 437 | 13,569 | ||||||
T Rowe Price Group, Inc.(a) | 15,721 | 1,425,109 | ||||||
|
| |||||||
17,817,536 | ||||||||
|
| |||||||
Energy — 10.6% | ||||||||
Anadarko Petroleum Corp.† | 36,153 | 1,766,074 | ||||||
Cabot Oil & Gas Corp. | 3,805 | 101,784 | ||||||
Chesapeake Energy | 59,262 | 254,827 | ||||||
Chevron Corp.† | 35,574 | 4,179,945 | ||||||
ConocoPhillips†(b) | 79,633 | 3,985,632 | ||||||
Devon Energy Corp.† | 23,600 | 866,356 | ||||||
Marathon Oil Corp.† | 54,349 | 736,972 | ||||||
Marathon Petroleum Corp.† | 32,073 | 1,798,654 | ||||||
Noble Energy, Inc. | 18,583 | 527,014 | ||||||
Occidental Petroleum | 48,920 | 3,141,153 | ||||||
ONEOK, Inc.†(a) | 24,866 | 1,377,825 | ||||||
Range Resources Corp.(a) | 16,235 | 317,719 | ||||||
Valero Energy Corp.†(b) | 28,923 | 2,225,046 | ||||||
|
| |||||||
21,279,001 | ||||||||
|
| |||||||
Food & Staples Retailing — 9.7% |
| |||||||
Costco Wholesale Corp.† | 1,598 | 262,535 | ||||||
CVS Health Corp.† | 66,418 | 5,401,112 | ||||||
Kroger Co. (The)†(a) | 58,435 | 1,172,206 | ||||||
Sysco Corp.(a) | 34,684 | 1,871,202 | ||||||
Walgreens Boots Alliance, Inc.† | 57,250 | 4,420,845 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
Wal-Mart Stores, Inc.†(a) | 80,029 | $ | 6,253,466 | |||||
|
| |||||||
19,381,366 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 8.0% |
| |||||||
Altria Group, Inc.†(b) | 90,161 | 5,718,011 | ||||||
Campbell Soup Co.(a) | 19,827 | 928,300 | ||||||
Coca-Cola Co. (The)† | 28,430 | 1,279,634 | ||||||
Conagra Brands, Inc.† | 27,132 | 915,434 | ||||||
Dr Pepper Snapple Group, Inc.† | 11,923 | 1,054,828 | ||||||
General Mills, Inc.(a) | 13,266 | 686,648 | ||||||
Hormel Foods Corp.(a) | 125 | 4,018 | ||||||
JM Smucker Co. (The)† | 7,432 | 779,840 | ||||||
Kellogg Co.(a) | 19,798 | 1,234,801 | ||||||
Kraft Heinz Co. (The)† | 8,502 | 659,330 | ||||||
Molson Coors Brewing Co., Class B†(b) | 14,088 | 1,150,144 | ||||||
PepsiCo, Inc.†(b) | 11,042 | 1,230,410 | ||||||
Philip Morris International, Inc.† | 2,680 | 297,507 | ||||||
|
| |||||||
15,938,905 | ||||||||
|
| |||||||
Health Care Equipment & Services — 14.1% |
| |||||||
Aetna, Inc.† | 21,731 | 3,455,446 | ||||||
AmerisourceBergen Corp.†(a) | 14,721 | 1,218,163 | ||||||
Anthem, Inc.† | 17,216 | 3,268,974 | ||||||
Baxter International, Inc.† | 3,170 | 198,918 | ||||||
Centene Corp.†(b)* | 11,285 | 1,092,049 | ||||||
Cigna Corp.†(b) | 16,536 | 3,091,240 | ||||||
Express Scripts Holding Co.†* | 37,792 | 2,392,989 | ||||||
HCA Healthcare, Inc.†* | 23,746 | 1,889,944 | ||||||
Humana, Inc.† | 9,456 | 2,303,765 | ||||||
Laboratory Corp. of America Holdings†* | 4,025 | 607,654 | ||||||
McKesson Corp.† | 13,741 | 2,110,755 | ||||||
Medtronic PLC (Ireland)(b) | 13,286 | 1,033,252 | ||||||
Patterson Cos., Inc.(a) | 17 | 657 | ||||||
Quest Diagnostics, Inc.† | 4,494 | 420,818 | ||||||
UnitedHealth Group, Inc.† | 19,815 | 3,880,768 | ||||||
Universal Health Services, Inc., Class B† | 6,259 | 694,373 | ||||||
Varian Medical Systems, | 6,020 | 602,361 | ||||||
|
| |||||||
28,262,126 | ||||||||
|
| |||||||
Household & Personal Products — 2.1% |
| |||||||
Church & Dwight Co., Inc.† | 4,022 | 194,866 | ||||||
Clorox Co. (The)(a) | 8,442 | 1,113,584 | ||||||
Colgate-Palmolive Co.† | 5,692 | 414,662 |
The accompanying notes are an integral part of the financial statements.
161
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Estee Lauder Cos., Inc. (The), Class A(b) | 4,910 | $ | 529,494 | |||||
Kimberly-Clark Corp.† | 16,338 | 1,922,656 | ||||||
|
| |||||||
4,175,262 | ||||||||
|
| |||||||
Insurance — 2.1% | ||||||||
Allstate Corp. (The)† | 140 | 12,867 | ||||||
Aon PLC (United Kingdom)(b) | 13,803 | 2,016,618 | ||||||
Arthur J Gallagher & Co. | 1,493 | 91,894 | ||||||
Brighthouse Financial, Inc.* | 123 | 7,478 | ||||||
Chubb Ltd. (Switzerland)† | 1,371 | 195,436 | ||||||
Cincinnati Financial Corp. | 2 | 153 | ||||||
Lincoln National Corp. | 148 | 10,875 | ||||||
MetLife, Inc. | 8,933 | 464,069 | ||||||
Principal Financial Group, Inc.† | 2 | 129 | ||||||
Progressive Corp. (The)† | 22,760 | 1,102,039 | ||||||
Prudential Financial, Inc.† | 436 | 46,356 | ||||||
Travelers Cos., Inc. (The)† | 17 | 2,083 | ||||||
Unum Group | 15 | 767 | ||||||
Willis Towers Watson PLC (Ireland)† | 1,125 | 173,509 | ||||||
|
| |||||||
4,124,273 | ||||||||
|
| |||||||
Materials — 5.4% | ||||||||
Air Products & Chemicals, Inc.† | 14,271 | 2,158,061 | ||||||
Ball Corp.(a) | 23,007 | 950,189 | ||||||
FMC Corp. | 8,776 | 783,785 | ||||||
Freeport-McMoRan, Inc.†(b) * | 94,686 | 1,329,391 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 26,008 | 2,576,092 | ||||||
Newmont Mining Corp.(a) | 34,893 | 1,308,836 | ||||||
Packaging Corp. of America† | 6,177 | 708,378 | ||||||
PPG Industries, Inc.† | 195 | 21,189 | ||||||
Praxair, Inc. | 2,380 | 332,581 | ||||||
Sherwin-Williams Co. (The)(b) | 1,529 | 547,443 | ||||||
WestRock Co.† | 2,036 | 115,502 | ||||||
|
| |||||||
10,831,447 | ||||||||
|
| |||||||
Media — 12.1% | ||||||||
CBS Corp., Class B, non-voting shares† | 26,371 | 1,529,518 | ||||||
Charter Communications, Inc., Class A†* | 2,181 | 792,619 | ||||||
Comcast Corp., Class A† | 147,948 | 5,693,039 | ||||||
Discovery Communications, Inc., Class A(a)* | 37,822 | 805,230 | ||||||
DISH Network Corp., Class A* | 1,102 | 59,761 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
News Corp., Class A†(a) | 38,080 | $ | 504,941 | |||||
Omnicom Group, Inc.(a) | 15,115 | 1,119,568 | ||||||
Scripps Networks Interactive, Inc., Class A† | 5,016 | 430,824 | ||||||
Time Warner, Inc.† | 50,844 | 5,208,968 | ||||||
Twenty-First Century Fox, Inc., Class A | 121,127 | 3,195,330 | ||||||
Viacom, Inc., Class B(a) | 26,331 | 733,055 | ||||||
Walt Disney Co. (The)†(b) | 41,797 | 4,119,930 | ||||||
|
| |||||||
24,192,783 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 11.3% |
| |||||||
AbbVie, Inc.† | 56,718 | 5,039,962 | ||||||
Amgen, Inc.† | 20,264 | 3,778,223 | ||||||
Biogen Inc.†* | 6,501 | 2,035,593 | ||||||
Bristol-Myers Squibb Co.† | 13,518 | 861,637 | ||||||
Celgene Corp.†(b)* | 19,947 | 2,908,672 | ||||||
Gilead Sciences, Inc.† | 74,080 | 6,001,962 | ||||||
Johnson & Johnson† | 14,439 | 1,877,214 | ||||||
Merck & Co., Inc.† | 1,957 | 125,307 | ||||||
Waters Corp.* | 40 | 7,181 | ||||||
|
| |||||||
22,635,751 | ||||||||
|
| |||||||
Real Estate — 2.6% | ||||||||
Alexandria Real Estate Equities, Inc., REIT(b) | 4,685 | 557,374 | ||||||
CBRE Group, Inc., Class A, REIT†* | 213 | 8,069 | ||||||
Digital Realty Trust, Inc., REIT(a) | 3,381 | 400,074 | ||||||
Duke Realty Corp., REIT | 19,368 | 558,186 | ||||||
Essex Property Trust, Inc., REIT | 435 | 110,503 | ||||||
Extra Space Storage, Inc., | 3,095 | 247,352 | ||||||
Mid-America Apartment Communities, Inc., REIT†(b) | 7,118 | 760,772 | ||||||
Prologis, Inc., REIT†(b) | 15,586 | 989,088 | ||||||
Public Storage, REIT† | 259 | 55,423 | ||||||
Realty Income Corp., REIT(a) | 3,443 | 196,905 | ||||||
Regency Centers Corp., | 10,956 | 679,710 | ||||||
UDR, Inc., REIT† | 1,799 | 68,416 | ||||||
Ventas, Inc., REIT | 906 | 59,008 | ||||||
Weyerhaeuser Co., REIT† | 12,779 | 434,869 | ||||||
|
| |||||||
5,125,749 | ||||||||
|
| |||||||
Retailing — 10.1% | ||||||||
Advance Auto Parts, Inc. | 4,829 | 479,037 | ||||||
AutoZone, Inc.(a)* | 1,818 | 1,081,910 | ||||||
Best Buy Co., Inc.(a) | 2,819 | 160,570 |
The accompanying notes are an integral part of the financial statements.
162
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
CarMax, Inc.(a)* | 11,686 | $ | 885,916 | |||||
Dollar General Corp.†(a) | 3,052 | 247,365 | ||||||
Dollar Tree, Inc.†* | 1,945 | 168,865 | ||||||
Foot Locker, Inc.(a) | 53 | 1,867 | ||||||
Gap, Inc. (The)(a) | 2,435 | 71,906 | ||||||
Genuine Parts Co.(a) | 9,608 | 919,005 | ||||||
Home Depot, Inc. (The)† | 42,073 | 6,881,460 | ||||||
LKQ Corp.†* | 20,195 | 726,818 | ||||||
Lowe’s Cos., Inc.†(b) | 54,770 | 4,378,314 | ||||||
Macy’s, Inc.(a) | 2,501 | 54,572 | ||||||
Nordstrom, Inc.(a) | 9,048 | 426,613 | ||||||
O’Reilly Automotive, Inc.(a)(b)* | 5,758 | 1,240,100 | ||||||
Ross Stores, Inc.†(a) | 17,434 | 1,125,713 | ||||||
Signet Jewelers Ltd. (Bermuda)(a) | 3,945 | 262,540 | ||||||
Target Corp.(a) | 5,166 | 304,846 | ||||||
Tiffany & Co. | 1,441 | 132,255 | ||||||
TJX Cos., Inc. (The) | 1,014 | 74,762 | ||||||
Tractor Supply Co.(a) | 8,325 | 526,889 | ||||||
|
| |||||||
20,151,323 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 9.3% |
| |||||||
Applied Materials, Inc.† | 69,787 | 3,635,205 | ||||||
Intel Corp.† | 113,368 | 4,317,053 | ||||||
KLA-Tencor Corp. | 10,263 | 1,087,878 | ||||||
Lam Research Corp.(a) | 11,810 | 2,185,322 | ||||||
Microchip Technology, Inc.(a) | 1,982 | 177,944 | ||||||
Micron Technology, Inc.* | 51,693 | 2,033,086 | ||||||
QUALCOMM, Inc.† | 2,507 | 129,963 | ||||||
Skyworks Solutions, Inc.(a)(b) | 8,055 | 820,804 | ||||||
Texas Instruments, Inc.† | 33,514 | 3,004,195 | ||||||
Xilinx, Inc.†(a) | 15,775 | 1,117,343 | ||||||
|
| |||||||
18,508,793 | ||||||||
|
| |||||||
Software & Services — 18.9% |
| |||||||
Accenture PLC, Class A (Ireland)† | 12,380 | 1,672,167 | ||||||
Alphabet, Inc., Class A†* | 6,460 | 6,290,231 | ||||||
Automatic Data Processing, Inc.† | 14,694 | 1,606,348 | ||||||
CA, Inc.† | 25,652 | 856,264 | ||||||
Citrix Systems, Inc.†* | 9,866 | 757,906 | ||||||
Cognizant Technology Solutions Corp., Class A†(b) | 5,103 | 370,172 | ||||||
CSRA, Inc.† | 2,327 | 75,092 | ||||||
eBay, Inc.†* | 8,823 | 339,333 | ||||||
Electronic Arts, Inc.†(b)* | 20,285 | 2,394,847 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Facebook, Inc., Class A†* | 13,122 | $ | 2,242,156 | |||||
Fidelity National Information Services, Inc.† | 5,517 | 515,233 | ||||||
International Business Machines Corp.†(a) | 25,041 | 3,632,948 | ||||||
Intuit, Inc.†(b) | 16,730 | 2,378,002 | ||||||
Mastercard, Inc., Class A† | 8,669 | 1,224,063 | ||||||
Microsoft Corp.†(b) | 35,126 | 2,616,536 | ||||||
Oracle Corp.† | 108,712 | 5,256,225 | ||||||
Paychex, Inc.† | 23,517 | 1,410,079 | ||||||
Total System Services, Inc.† | 8,433 | 552,362 | ||||||
VeriSign, Inc.(a)* | 222 | 23,619 | ||||||
Visa, Inc., Class A(a) | 34,532 | 3,634,148 | ||||||
|
| |||||||
37,847,731 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 12.8% |
| |||||||
Apple, Inc.† | 62,787 | 9,676,733 | ||||||
Cisco Systems, Inc.† | 166,307 | 5,592,904 | ||||||
F5 Networks, Inc.†* | 4,158 | 501,288 | ||||||
FLIR Systems, Inc.† | 2,203 | 85,719 | ||||||
Harris Corp.† | 7,872 | 1,036,585 | ||||||
Hewlett Packard Enterprise Co.† | 106,269 | 1,563,217 | ||||||
HP, Inc.† | 109,279 | 2,181,209 | ||||||
Juniper Networks, Inc.† | 24,898 | 692,911 | ||||||
Motorola Solutions, Inc.† | 1,695 | 143,855 | ||||||
NetApp, Inc.†(a) | 17,618 | 770,964 | ||||||
Seagate Technology PLC (Ireland)(a) | 19,107 | 633,779 | ||||||
TE Connectivity Ltd. (Switzerland)† | 5,497 | 456,581 | ||||||
Western Digital Corp.† | 19,238 | 1,662,163 | ||||||
Xerox Corp.(b) | 17,073 | 568,360 | ||||||
|
| |||||||
25,566,268 | ||||||||
|
| |||||||
Telecommunication Services — 5.2% |
| |||||||
AT&T, Inc.†(a) | 112,396 | 4,402,551 | ||||||
CenturyLink, Inc.(a) | 35,973 | 679,890 | ||||||
Verizon Communications, | 106,886 | 5,289,788 | ||||||
|
| |||||||
10,372,229 | ||||||||
|
| |||||||
Transportation — 11.5% | ||||||||
Alaska Air Group, Inc.† | 8,082 | 616,414 | ||||||
CH Robinson Worldwide, Inc.(a) | 41 | 3,120 | ||||||
CSX Corp.†(b) | 48,670 | 2,640,834 | ||||||
Delta Air Lines, Inc.† | 47,245 | 2,278,154 | ||||||
Expeditors International of Washington, Inc.†(b) | 11,754 | 703,594 |
The accompanying notes are an integral part of the financial statements.
163
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
FedEx Corp.† | 12,306 | $ | 2,775,987 | |||||
JB Hunt Transport Services, Inc.† | 7,161 | 795,444 | ||||||
Norfolk Southern Corp.(a) | 17,660 | 2,335,358 | ||||||
Southwest Airlines Co.†(b) | 39,061 | 2,186,635 | ||||||
Union Pacific Corp.† | 45,385 | 5,263,298 | ||||||
United Continental Holdings, Inc.†* | 102 | 6,210 | ||||||
United Parcel Service, Inc., Class B†(b) | 28,795 | 3,457,992 | ||||||
|
| |||||||
23,063,040 | ||||||||
|
| |||||||
Utilities — 4.1% | ||||||||
AES Corp.†(b) | 5,710 | 62,924 | ||||||
CenterPoint Energy, Inc.†(b) | 22,335 | 652,405 | ||||||
CMS Energy Corp. | 18,426 | 853,492 | ||||||
DTE Energy Co.†(b) | 11,738 | 1,260,192 | ||||||
Edison International† | 14,297 | 1,103,299 | ||||||
FirstEnergy Corp.(b) | 29,073 | 896,321 | ||||||
NextEra Energy, Inc. | 816 | 119,585 | ||||||
NiSource, Inc.(b) | 2,755 | 70,500 | ||||||
NRG Energy, Inc.†(b) | 9,769 | 249,989 | ||||||
Public Service Enterprise Group, Inc.†(b) | 33,045 | 1,528,331 | ||||||
WEC Energy Group, Inc.† | 20,650 | 1,296,407 | ||||||
|
| |||||||
8,093,445 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 372,618,736 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 186.5% |
| 372,618,736 | ||||||
|
| |||||||
(Cost $342,450,636) | ||||||||
SHORT POSITIONS — (88.0)% |
| |||||||
COMMON STOCKS — (88.0)% |
| |||||||
Automobiles & Components — (1.3)% |
| |||||||
Ford Motor Co. | (189,501 | ) | (2,268,327 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (12,130 | ) | (403,322 | ) | ||||
|
| |||||||
(2,671,649 | ) | |||||||
|
| |||||||
Banks — (1.0)% | ||||||||
Fifth Third Bancorp | (35,045 | ) | (980,559 | ) | ||||
People’s United Financial, Inc. | (7,119 | ) | (129,139 | ) | ||||
Regions Financial Corp. | (56,117 | ) | (854,662 | ) | ||||
|
| |||||||
(1,964,360 | ) | |||||||
|
| |||||||
Capital Goods — (6.8)% | ||||||||
Acuity Brands, Inc. | (2,015 | ) | (345,129 | ) | ||||
AO Smith Corp. | (8,305 | ) | (493,566 | ) | ||||
Dover Corp. | (3,619 | ) | (330,740 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Eaton Corp. PLC (Ireland) | (21,412 | ) | $ | (1,644,228 | ) | |||
Flowserve Corp. | (1,005 | ) | (42,803 | ) | ||||
Fluor Corp. | (6,733 | ) | (283,459 | ) | ||||
Fortune Brands Home & Security, Inc. | (7,413 | ) | (498,376 | ) | ||||
General Dynamics Corp. | (6,323 | ) | (1,299,882 | ) | ||||
General Electric Co. | (90,522 | ) | (2,188,822 | ) | ||||
Johnson Controls International PLC (Ireland) | (44,884 | ) | (1,808,376 | ) | ||||
L3 Technologies, Inc. | (3,754 | ) | (707,366 | ) | ||||
Quanta Services, Inc.* | (7,339 | ) | (274,258 | ) | ||||
Raytheon Co. | (2,005 | ) | (374,093 | ) | ||||
Rockwell Collins, Inc. | (366 | ) | (47,840 | ) | ||||
Stanley Black & Decker, Inc. | (7,372 | ) | (1,112,951 | ) | ||||
Textron, Inc. | (420 | ) | (22,630 | ) | ||||
United Rentals, Inc.* | (3,946 | ) | (547,468 | ) | ||||
United Technologies Corp. | (12,898 | ) | (1,497,200 | ) | ||||
Xylem, Inc. | (592 | ) | (37,077 | ) | ||||
|
| |||||||
(13,556,264 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (1.2)% |
| |||||||
Cintas Corp. | (4,553 | ) | (656,907 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (19,139 | ) | (843,647 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (17,165 | ) | (711,489 | ) | ||||
Verisk Analytics, Inc.* | (3,410 | ) | (283,678 | ) | ||||
|
| |||||||
(2,495,721 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.4)% |
| |||||||
Leggett & Platt, Inc. | (6,367 | ) | (303,897 | ) | ||||
Mattel, Inc. | (16,497 | ) | (255,374 | ) | ||||
Mohawk Industries, Inc.* | (3,578 | ) | (885,591 | ) | ||||
Newell Brands, Inc. | (23,270 | ) | (992,931 | ) | ||||
NIKE, Inc., Class B | (17,641 | ) | (914,686 | ) | ||||
Under Armour, Inc., Class C* | (21,201 | ) | (318,439 | ) | ||||
VF Corp. | (18,933 | ) | (1,203,571 | ) | ||||
|
| |||||||
(4,874,489 | ) | |||||||
|
| |||||||
Consumer Services — (1.8)% | ||||||||
Carnival Corp. (Panama) | (34,852 | ) | (2,250,394 | ) | ||||
Chipotle Mexican Grill, Inc.* | (1,377 | ) | (423,882 | ) | ||||
MGM Resorts International | (27,679 | ) | (902,059 | ) | ||||
|
| |||||||
(3,576,335 | ) | |||||||
|
| |||||||
Diversified Financials — (2.5)% |
| |||||||
Affiliated Managers Group, Inc. | (115 | ) | (21,831 | ) | ||||
American Express Co. | (6,609 | ) | (597,850 | ) | ||||
CME Group, Inc. | (16,304 | ) | (2,212,127 | ) |
The accompanying notes are an integral part of the financial statements.
164
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Intercontinental Exchange, Inc. | (28,353 | ) | $ | (1,947,851 | ) | |||
Navient Corp. | (12,844 | ) | (192,917 | ) | ||||
|
| |||||||
(4,972,576 | ) | |||||||
|
| |||||||
Energy — (11.4)% | ||||||||
Andeavor | (4,045 | ) | (417,242 | ) | ||||
Apache Corp. | (18,338 | ) | (839,880 | ) | ||||
Cimarex Energy Co. | (4,309 | ) | (489,804 | ) | ||||
Concho Resources, Inc.* | (6,151 | ) | (810,210 | ) | ||||
EOG Resources, Inc. | (27,794 | ) | (2,688,792 | ) | ||||
EQT Corp. | (8,279 | ) | (540,122 | ) | ||||
Exxon Mobil Corp. | (27,420 | ) | (2,247,892 | ) | ||||
Halliburton Co. | (34,596 | ) | (1,592,454 | ) | ||||
Helmerich & Payne, Inc. | (5,156 | ) | (268,679 | ) | ||||
Hess Corp. | (14,996 | ) | (703,162 | ) | ||||
Kinder Morgan, Inc. | (104,156 | ) | (1,997,712 | ) | ||||
National Oilwell Varco, Inc. | (17,638 | ) | (630,206 | ) | ||||
Newfield Exploration Co.* | (9,436 | ) | (279,966 | ) | ||||
Phillips 66 | (20,446 | ) | (1,873,058 | ) | ||||
Pioneer Natural Resources Co. | (8,188 | ) | (1,208,058 | ) | ||||
Schlumberger Ltd. (Curacao) | (63,530 | ) | (4,431,853 | ) | ||||
TechnipFMC PLC (United Kingdom)* | (22,480 | ) | (627,642 | ) | ||||
Williams Cos., Inc. (The) | (39,762 | ) | (1,193,258 | ) | ||||
|
| |||||||
(22,839,990 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (3.5)% |
| |||||||
Archer-Daniels-Midland Co. | (27,081 | ) | (1,151,213 | ) | ||||
Brown-Forman Corp., Class B | (1,645 | ) | (89,324 | ) | ||||
Constellation Brands, Inc., Class A | (496 | ) | (98,927 | ) | ||||
Hershey Co. (The) | (10,412 | ) | (1,136,678 | ) | ||||
McCormick & Co., Inc., non-voting shares | (6,079 | ) | (623,949 | ) | ||||
Mondelez International, Inc., Class A | (50,060 | ) | (2,035,440 | ) | ||||
Monster Beverage Corp.* | (11,204 | ) | (619,021 | ) | ||||
Tyson Foods, Inc., Class A | (17,641 | ) | (1,242,808 | ) | ||||
|
| |||||||
(6,997,360 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (7.6)% |
| |||||||
Abbott Laboratories | (5,204 | ) | (277,686 | ) | ||||
Align Technology, Inc.* | (261 | ) | (48,617 | ) | ||||
Becton Dickinson and Co. | (5,079 | ) | (995,230 | ) | ||||
Boston Scientific Corp.* | (65,950 | ) | (1,923,762 | ) | ||||
Cardinal Health, Inc. | (15,212 | ) | (1,017,987 | ) | ||||
Cerner Corp.* | (2,385 | ) | (170,098 | ) | ||||
Cooper Cos., Inc. (The) | (1,243 | ) | (294,728 | ) | ||||
CR Bard, Inc. | (3,323 | ) | (1,065,022 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Danaher Corp. | (33,442 | ) | $ | (2,868,655 | ) | |||
DaVita, Inc.* | (9,204 | ) | (546,626 | ) | ||||
DENTSPLY SIRONA, Inc. | (11,038 | ) | (660,183 | ) | ||||
Edwards Lifesciences Corp.* | (2,221 | ) | (242,778 | ) | ||||
Envision Healthcare Corp.* | (1,869 | ) | (84,012 | ) | ||||
Henry Schein, Inc.* | (7,624 | ) | (625,092 | ) | ||||
Hologic, Inc.* | (3,271 | ) | (120,013 | ) | ||||
IDEXX Laboratories, Inc.* | (1,203 | ) | (187,054 | ) | ||||
Intuitive Surgical, Inc.* | (122 | ) | (127,597 | ) | ||||
ResMed, Inc. | (6,844 | ) | (526,714 | ) | ||||
Stryker Corp. | (18,003 | ) | (2,556,786 | ) | ||||
Zimmer Biomet Holdings, Inc. | (6,984 | ) | (817,757 | ) | ||||
|
| |||||||
(15,156,397 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.3)% |
| |||||||
Coty, Inc., Class A | (35,993 | ) | (594,964 | ) | ||||
|
| |||||||
Insurance — (3.2)% |
| |||||||
Aflac, Inc. | (2,535 | ) | (206,324 | ) | ||||
American International Group, Inc. | (43,488 | ) | (2,669,728 | ) | ||||
Assurant, Inc. | (2,603 | ) | (248,639 | ) | ||||
Everest Re Group Ltd. | (362 | ) | (82,677 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (14,115 | ) | (782,395 | ) | ||||
Loews Corp. | (16,204 | ) | (775,523 | ) | ||||
Marsh & McLennan Cos., Inc. | (8,261 | ) | (692,354 | ) | ||||
Torchmark Corp. | (5,597 | ) | (448,264 | ) | ||||
XL Group Ltd. (Bermuda) | (10,955 | ) | (432,175 | ) | ||||
|
| |||||||
(6,338,079 | ) | |||||||
|
| |||||||
Materials — (5.9)% |
| |||||||
Albemarle Corp. | (5,314 | ) | (724,351 | ) | ||||
Avery Dennison Corp. | (315 | ) | (30,977 | ) | ||||
CF Industries Holdings, Inc. | (4,762 | ) | (167,432 | ) | ||||
DowDuPont, Inc. | (24,838 | ) | (1,719,535 | ) | ||||
Eastman Chemical Co. | (6,309 | ) | (570,901 | ) | ||||
Ecolab, Inc. | (14,175 | ) | (1,823,047 | ) | ||||
International Flavors & Fragrances, Inc. | (3,801 | ) | (543,201 | ) | ||||
International Paper Co. | (19,876 | ) | (1,129,354 | ) | ||||
Martin Marietta Materials, Inc. | (3,025 | ) | (623,846 | ) | ||||
Monsanto Co. | (21,144 | ) | (2,533,474 | ) | ||||
Mosaic Co. (The) | (16,898 | ) | (364,828 | ) | ||||
Nucor Corp. | (15,376 | ) | (861,671 | ) | ||||
Sealed Air Corp. | (43 | ) | (1,837 | ) |
The accompanying notes are an integral part of the financial statements.
165
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Vulcan Materials Co. | (6,362 | ) | $ | (760,895 | ) | |||
|
| |||||||
(11,855,349 | ) | |||||||
|
| |||||||
Media — (0.2)% | ||||||||
Interpublic Group of Cos., Inc. (The) | (18,932 | ) | (393,596 | ) | ||||
|
| |||||||
Pharmaceuticals, Biotechnology & |
| |||||||
Agilent Technologies, Inc. | (1,057 | ) | (67,859 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (5,936 | ) | (832,762 | ) | ||||
Allergan PLC (Ireland) | (16,083 | ) | (3,296,211 | ) | ||||
Eli Lilly & Co. | (50,592 | ) | (4,327,640 | ) | ||||
Illumina, Inc.* | (1,413 | ) | (281,470 | ) | ||||
Incyte Corp.* | (10,281 | ) | (1,200,204 | ) | ||||
Mettler-Toledo International, Inc.* | (60 | ) | (37,570 | ) | ||||
Mylan NV (Netherlands)* | (25,808 | ) | (809,597 | ) | ||||
PerkinElmer, Inc. | (5,305 | ) | (365,886 | ) | ||||
Perrigo Co. PLC (Ireland) | (6,865 | ) | (581,122 | ) | ||||
Pfizer, Inc. | (86,985 | ) | (3,105,364 | ) | ||||
Quintiles IMS Holdings, Inc.* | (10,417 | ) | (990,344 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (2,134 | ) | (954,154 | ) | ||||
Thermo Fisher Scientific, Inc. | (18,756 | ) | (3,548,635 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (835 | ) | (126,953 | ) | ||||
Zoetis, Inc. | (2,089 | ) | (133,195 | ) | ||||
|
| |||||||
(20,658,966 | ) | |||||||
|
| |||||||
Real Estate — (7.1)% |
| |||||||
American Tower Corp., REIT | (3,629 | ) | (496,012 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (7,559 | ) | (331,538 | ) | ||||
AvalonBay Communities, Inc., REIT | (6,515 | ) | (1,162,406 | ) | ||||
Boston Properties, Inc., REIT | (4,605 | ) | (565,862 | ) | ||||
Crown Castle International Corp., REIT | (15,828 | ) | (1,582,483 | ) | ||||
Equinix, Inc., REIT | (1,568 | ) | (699,798 | ) | ||||
Equity Residential, REIT | (17,682 | ) | (1,165,774 | ) | ||||
Federal Realty Investment Trust, REIT | (2,326 | ) | (288,912 | ) | ||||
GGP, Inc., REIT | (42,459 | ) | (881,873 | ) | ||||
HCP, Inc., REIT | (22,572 | ) | (628,179 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (35,565 | ) | (657,597 | ) | ||||
Iron Mountain, Inc., REIT | (12,726 | ) | (495,041 | ) | ||||
Kimco Realty Corp., REIT | (20,310 | ) | (397,060 | ) | ||||
Macerich Co. (The), REIT | (6,815 | ) | (374,621 | ) | ||||
SBA Communications Corp., REIT* | (5,823 | ) | (838,803 | ) | ||||
Simon Property Group, Inc., REIT | (7,637 | ) | (1,229,633 | ) | ||||
SL Green Realty Corp., REIT | (4,736 | ) | (479,852 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Vornado Realty Trust, REIT | (7,488 | ) | $ | (575,677 | ) | |||
Welltower, Inc., REIT | (17,758 | ) | (1,248,032 | ) | ||||
|
| |||||||
(14,099,153 | ) | |||||||
|
| |||||||
Retailing — (2.8)% |
| |||||||
Amazon.com, Inc.* | (1,298 | ) | (1,247,832 | ) | ||||
Expedia, Inc. | (2,078 | ) | (299,107 | ) | ||||
Kohl’s Corp. | (168 | ) | (7,669 | ) | ||||
L Brands, Inc. | (1,898 | ) | (78,976 | ) | ||||
Netflix, Inc.* | (1,409 | ) | (255,522 | ) | ||||
Priceline Group, Inc. (The)* | (1,481 | ) | (2,711,444 | ) | ||||
TripAdvisor, Inc.* | (6,678 | ) | (270,659 | ) | ||||
Ulta Beauty, Inc.* | (2,967 | ) | (670,720 | ) | ||||
|
| |||||||
(5,541,929 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (4.8)% |
| |||||||
Advanced Micro Devices, Inc.* | (44,564 | ) | (568,191 | ) | ||||
Analog Devices, Inc. | (17,968 | ) | (1,548,303 | ) | ||||
Broadcom Ltd. (Singapore) | (17,949 | ) | (4,353,350 | ) | ||||
NVIDIA Corp. | (15,212 | ) | (2,719,449 | ) | ||||
Qorvo, Inc.* | (6,124 | ) | (432,844 | ) | ||||
|
| |||||||
(9,622,137 | ) | |||||||
|
| |||||||
Software & Services — (5.3)% |
| |||||||
Activision Blizzard, Inc. | (36,336 | ) | (2,344,035 | ) | ||||
Adobe Systems, Inc.* | (1,030 | ) | (153,655 | ) | ||||
Akamai Technologies, Inc.* | (8,281 | ) | (403,450 | ) | ||||
Alliance Data Systems Corp. | (2,676 | ) | (592,868 | ) | ||||
ANSYS, Inc.* | (3,938 | ) | (483,311 | ) | ||||
Autodesk, Inc.* | (631 | ) | (70,836 | ) | ||||
Cadence Design Systems, Inc.* | (13,488 | ) | (532,371 | ) | ||||
DXC Technology Co. | (13,652 | ) | (1,172,434 | ) | ||||
Fiserv, Inc.* | (5,340 | ) | (688,646 | ) | ||||
Gartner, Inc.* | (4,362 | ) | (542,676 | ) | ||||
Global Payments, Inc. | (7,343 | ) | (697,805 | ) | ||||
PayPal Holdings, Inc.* | (2,652 | ) | (169,808 | ) | ||||
Red Hat, Inc.* | (444 | ) | (49,222 | ) | ||||
salesforce.com, Inc.* | (12,116 | ) | (1,131,877 | ) | ||||
Symantec Corp. | (28,860 | ) | (946,897 | ) | ||||
Synopsys, Inc.* | (2,383 | ) | (191,903 | ) | ||||
Western Union Co. (The) | (22,351 | ) | (429,139 | ) | ||||
|
| |||||||
(10,600,933 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (1.3)% |
| |||||||
Amphenol Corp., Class A | (15,046 | ) | (1,273,493 | ) | ||||
Corning, Inc. | (43,420 | ) | (1,299,126 | ) | ||||
|
| |||||||
(2,572,619 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
166
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — (0.4)% |
| |||||||
Level 3 Communications, Inc.* | (13,818 | ) | $ | (736,361 | ) | |||
|
| |||||||
Transportation — (0.5)% | ||||||||
American Airlines Group, Inc. | (20,752 | ) | (985,513 | ) | ||||
Kansas City Southern | (581 | ) | (63,143 | ) | ||||
|
| |||||||
(1,048,656 | ) | |||||||
|
| |||||||
Utilities — (6.4)% | ||||||||
Alliant Energy Corp. | (11,123 | ) | (462,383 | ) | ||||
Ameren Corp. | (7,653 | ) | (442,650 | ) | ||||
American Electric Power Co., Inc. | (985 | ) | (69,186 | ) | ||||
American Water Works Co., Inc. | (8,777 | ) | (710,147 | ) | ||||
Consolidated Edison, Inc. | (14,730 | ) | (1,188,416 | ) | ||||
Dominion Resources, Inc. | (7,320 | ) | (563,128 | ) | ||||
Duke Energy Corp. | (10,454 | ) | (877,300 | ) | ||||
Entergy Corp. | (8,641 | ) | (659,827 | ) | ||||
Eversource Energy | (15,254 | ) | (921,952 | ) | ||||
Exelon Corp. | (37,460 | ) | (1,411,118 | ) | ||||
PG&E Corp. | (24,657 | ) | (1,678,895 | ) | ||||
Pinnacle West Capital Corp. | (5,373 | ) | (454,341 | ) | ||||
PPL Corp. | (32,253 | ) | (1,224,001 | ) | ||||
SCANA Corp. | (6,878 | ) | (333,514 | ) | ||||
Sempra Energy | (4,415 | ) | (503,884 | ) | ||||
Southern Co. (The) | (9,388 | ) | (461,326 | ) | ||||
Xcel Energy, Inc. | (15,341 | ) | (725,936 | ) | ||||
|
| |||||||
(12,688,004 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $174,850,221) | (175,855,887 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (88.0)% |
| (175,855,887 | ) | |||||
|
| |||||||
(Proceeds $174,850,221) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.5% | 3,033,169 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 199,796,018 | ||||||
|
|
† | 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) |
(b) | Security position is either entirely or partially designated as collateral for securities on loan. |
* | Non-income producing. |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
167
GOTHAM INDEX CORE FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 140.0% |
| |||||||
COMMON STOCKS — 140.0% |
| |||||||
Automobiles & Components — 2.1% |
| |||||||
BorgWarner, Inc.† | 103 | $ | 5,277 | |||||
Delphi Automotive PLC | 130 | 12,792 | ||||||
General Motors Co.† | 718 | 28,993 | ||||||
Harley-Davidson, Inc.(a) | 84 | 4,050 | ||||||
|
| |||||||
51,112 | ||||||||
|
| |||||||
Banks — 6.0% | ||||||||
Bank of America Corp.† | 1,025 | 25,974 | ||||||
BB&T Corp.† | 83 | 3,896 | ||||||
Citigroup, Inc.† | 198 | 14,403 | ||||||
Citizens Financial Group, Inc.† | 64 | 2,424 | ||||||
Comerica, Inc.† | 18 | 1,373 | ||||||
Huntington Bancshares, Inc.† | 323 | 4,509 | ||||||
JPMorgan Chase & Co.† | 366 | 34,957 | ||||||
KeyCorp.† | 311 | 5,853 | ||||||
M&T Bank Corp.† | 21 | 3,382 | ||||||
People’s United Financial, Inc. | 1 | 18 | ||||||
PNC Financial Services Group, Inc. (The)† | 49 | 6,604 | ||||||
Regions Financial Corp.† | 126 | 1,919 | ||||||
SunTrust Banks, Inc.† | 50 | 2,988 | ||||||
US Bancorp† | 173 | 9,271 | ||||||
Wells Fargo & Co.† | 504 | 27,796 | ||||||
Zions Bancorporation† | 29 | 1,368 | ||||||
|
| |||||||
146,735 | ||||||||
|
| |||||||
Capital Goods — 10.5% | ||||||||
3M Co.† | 54 | 11,335 | ||||||
Allegion PLC (Ireland) | 42 | 3,632 | ||||||
AMETEK, Inc.† | 50 | 3,302 | ||||||
Arconic, Inc. | 228 | 5,673 | ||||||
Boeing Co. (The)† | 231 | 58,723 | ||||||
Caterpillar, Inc.† | 287 | 35,792 | ||||||
Cummins, Inc.† | 82 | 13,778 | ||||||
Deere & Co. | 24 | 3,014 | ||||||
Emerson Electric Co.† | 4 | 251 | ||||||
Fastenal Co. | 97 | 4,421 | ||||||
Fortive Corp.† | 37 | 2,619 | ||||||
General Electric Co.† | 55 | 1,330 | ||||||
Honeywell International, Inc.† | 198 | 28,065 | ||||||
Illinois Tool Works, Inc.† | 37 | 5,475 | ||||||
Ingersoll-Rand PLC (Ireland)† | 113 | 10,076 | ||||||
Jacobs Engineering Group, Inc.† | 60 | 3,496 | ||||||
Lockheed Martin Corp.† | 100 | 31,029 | ||||||
Northrop Grumman Corp.† | 18 | 5,179 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Pentair PLC (Ireland) | 90 | $ | 6,116 | |||||
Rockwell Automation, Inc. | 50 | 8,910 | ||||||
Rockwell Collins, Inc. | 4 | 523 | ||||||
Roper Technologies, Inc. | 10 | 2,434 | ||||||
Snap-on, Inc.† | 29 | 4,321 | ||||||
TransDigm Group, Inc. | 23 | 5,880 | ||||||
United Technologies Corp. | 12 | 1,393 | ||||||
WW Grainger, Inc. | 6 | 1,078 | ||||||
|
| |||||||
257,845 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.8% |
| |||||||
Equifax, Inc. | 13 | 1,378 | ||||||
Republic Services, Inc.† | 37 | 2,444 | ||||||
Robert Half International, Inc.† | 62 | 3,121 | ||||||
Stericycle, Inc.* | 12 | 859 | ||||||
Waste Management, Inc. | 156 | 12,210 | ||||||
|
| |||||||
20,012 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.7% |
| |||||||
Coach, Inc. | 139 | 5,599 | ||||||
DR Horton, Inc.† | 154 | 6,149 | ||||||
Garmin Ltd. (Switzerland) | 19 | 1,025 | ||||||
Hasbro, Inc. | 33 | 3,223 | ||||||
Lennar Corp., Class A† | 25 | 1,320 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 81 | 3,876 | ||||||
PulteGroup, Inc.† | 146 | 3,990 | ||||||
PVH Corp.† | 39 | 4,916 | ||||||
Ralph Lauren Corp.† | 40 | 3,532 | ||||||
Whirlpool Corp.† | 36 | 6,640 | ||||||
|
| |||||||
40,270 | ||||||||
|
| |||||||
Consumer Services — 2.7% | ||||||||
H&R Block, Inc.† | 23 | 609 | ||||||
Hilton Worldwide Holdings, Inc. | 160 | 11,112 | ||||||
Marriott International, Inc., Class A† | 183 | 20,178 | ||||||
McDonald’s Corp.† | 85 | 13,318 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 75 | 8,890 | ||||||
Starbucks Corp. | 69 | 3,706 | ||||||
Wyndham Worldwide Corp.† | 52 | 5,481 | ||||||
Wynn Resorts Ltd. | 8 | 1,191 | ||||||
Yum! Brands, Inc. | 37 | 2,724 | ||||||
|
| |||||||
67,209 | ||||||||
|
| |||||||
Diversified Financials — 7.8% | ||||||||
Ameriprise Financial, Inc.† | 10 | 1,485 |
The accompanying notes are an integral part of the financial statements.
168
GOTHAM INDEX CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Bank of New York Mellon Corp. (The)† | 86 | $ | 4,560 | |||||
Berkshire Hathaway, Inc., Class B†* | 255 | 46,747 | ||||||
BlackRock, Inc.† | 57 | 25,484 | ||||||
Capital One Financial Corp.† | 50 | 4,233 | ||||||
CBOE Holdings, Inc. | 24 | 2,583 | ||||||
Charles Schwab Corp. (The)† | 248 | 10,848 | ||||||
CME Group, Inc.† | 24 | 3,256 | ||||||
Discover Financial Services† | 39 | 2,515 | ||||||
E*TRADE Financial Corp.†* | 28 | 1,221 | ||||||
Franklin Resources, Inc. | 275 | 12,240 | ||||||
Goldman Sachs Group, Inc. (The)† | 57 | 13,520 | ||||||
Invesco Ltd. (Bermuda) | 200 | 7,008 | ||||||
Leucadia National Corp. | 37 | 934 | ||||||
Moody’s Corp.† | 93 | 12,947 | ||||||
Morgan Stanley† | 238 | 11,464 | ||||||
Nasdaq, Inc.† | 81 | 6,283 | ||||||
Northern Trust Corp.† | 23 | 2,114 | ||||||
Raymond James Financial, Inc. | 14 | 1,181 | ||||||
S&P Global, Inc.† | 29 | 4,533 | ||||||
State Street Corp.† | 36 | 3,439 | ||||||
Synchrony Financial† | 83 | 2,577 | ||||||
T Rowe Price Group, Inc.† | 118 | 10,697 | ||||||
|
| |||||||
191,869 | ||||||||
|
| |||||||
Energy — 6.7% | ||||||||
Anadarko Petroleum Corp. | 272 | 13,287 | ||||||
Cabot Oil & Gas Corp. | 49 | 1,311 | ||||||
Chesapeake Energy Corp.(a) * | 351 | 1,509 | ||||||
Chevron Corp.† | 338 | 39,715 | ||||||
ConocoPhillips† | 598 | 29,930 | ||||||
Devon Energy Corp. | 122 | 4,479 | ||||||
Exxon Mobil Corp.† | 21 | 1,722 | ||||||
Marathon Oil Corp. | 92 | 1,248 | ||||||
Marathon Petroleum Corp. | 246 | 13,796 | ||||||
Noble Energy, Inc. | 117 | 3,318 | ||||||
Occidental Petroleum Corp. | 375 | 24,079 | ||||||
ONEOK, Inc.† | 186 | 10,306 | ||||||
Range Resources Corp.(a) | 122 | 2,388 | ||||||
Valero Energy Corp.† | 218 | 16,771 | ||||||
|
| |||||||
163,859 | ||||||||
|
| |||||||
Food & Staples Retailing — 6.2% |
| |||||||
Costco Wholesale Corp. | 35 | 5,750 | ||||||
CVS Health Corp.† | 513 | 41,717 | ||||||
Kroger Co. (The) | 96 | 1,926 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
Sysco Corp. | 261 | $ | 14,081 | |||||
Walgreens Boots Alliance, Inc.† | 423 | 32,664 | ||||||
Wal-Mart Stores, Inc.† | 708 | 55,323 | ||||||
|
| |||||||
151,461 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 5.9% |
| |||||||
Altria Group, Inc.† | 592 | 37,545 | ||||||
Campbell Soup Co. | 33 | 1,545 | ||||||
Coca-Cola Co. (The) | 474 | 21,335 | ||||||
Conagra Brands, Inc.† | 208 | 7,018 | ||||||
Dr Pepper Snapple Group, Inc.† | 89 | 7,874 | ||||||
General Mills, Inc. | 60 | 3,106 | ||||||
Hormel Foods Corp.† | 26 | 836 | ||||||
JM Smucker Co. (The) | 13 | 1,364 | ||||||
Kellogg Co. | 164 | 10,229 | ||||||
Kraft Heinz Co. (The) | 129 | 10,004 | ||||||
Molson Coors Brewing Co., Class B | 105 | 8,572 | ||||||
Monster Beverage Corp.* | 16 | 884 | ||||||
PepsiCo, Inc.† | 163 | 18,163 | ||||||
Philip Morris International, Inc.† | 135 | 14,986 | ||||||
|
| |||||||
143,461 | ||||||||
|
| |||||||
Health Care Equipment & Services — 9.6% |
| |||||||
Aetna, Inc.† | 164 | 26,078 | ||||||
AmerisourceBergen Corp. | 111 | 9,185 | ||||||
Anthem, Inc.† | 130 | 24,684 | ||||||
Baxter International, Inc.† | 58 | 3,640 | ||||||
Centene Corp.†* | 85 | 8,225 | ||||||
Cigna Corp.† | 125 | 23,368 | ||||||
CR Bard, Inc. | 7 | 2,244 | ||||||
Envision Healthcare Corp.* | 12 | 539 | ||||||
Express Scripts Holding Co.†* | 276 | 17,476 | ||||||
HCA Healthcare, Inc.†* | 178 | 14,167 | ||||||
Hologic, Inc.* | 26 | 954 | ||||||
Humana, Inc.† | 73 | 17,785 | ||||||
Laboratory Corp. of America Holdings†* | 51 | 7,699 | ||||||
McKesson Corp.† | 104 | 15,975 | ||||||
Medtronic PLC (Ireland)† | 171 | 13,299 | ||||||
Quest Diagnostics, Inc.† | 45 | 4,214 | ||||||
UnitedHealth Group, Inc.† | 183 | 35,841 | ||||||
Universal Health Services, Inc., Class B | 47 | 5,214 | ||||||
Varian Medical Systems, Inc.* | 46 | 4,603 | ||||||
|
| |||||||
235,190 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
169
GOTHAM INDEX CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — 2.2% |
| |||||||
Church & Dwight Co., Inc.† | 26 | $ | 1,260 | |||||
Clorox Co. (The) | 64 | 8,442 | ||||||
Colgate-Palmolive Co. | 94 | 6,848 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 40 | 4,314 | ||||||
Kimberly-Clark Corp.† | 132 | 15,534 | ||||||
Procter & Gamble Co. (The)† | 188 | 17,104 | ||||||
|
| |||||||
53,502 | ||||||||
|
| |||||||
Insurance — 2.3% | ||||||||
Allstate Corp. (The) | 27 | 2,482 | ||||||
Aon PLC (United Kingdom)† | 115 | 16,801 | ||||||
Arthur J Gallagher & Co. | 19 | 1,169 | ||||||
Chubb Ltd. (Switzerland)† | 62 | 8,838 | ||||||
Lincoln National Corp.† | 5 | 367 | ||||||
MetLife, Inc. | 112 | 5,818 | ||||||
Progressive Corp. (The)† | 158 | 7,650 | ||||||
Prudential Financial, Inc.† | 50 | 5,316 | ||||||
Torchmark Corp.† | 12 | 961 | ||||||
Travelers Cos., Inc. (The)† | 26 | 3,186 | ||||||
Unum Group† | 24 | 1,227 | ||||||
Willis Towers Watson PLC (Ireland) | 16 | 2,468 | ||||||
|
| |||||||
56,283 | ||||||||
|
| |||||||
Materials — 3.9% | ||||||||
Air Products & Chemicals, Inc.† | 107 | 16,180 | ||||||
Ball Corp. | 172 | 7,104 | ||||||
FMC Corp.† | 65 | 5,805 | ||||||
Freeport-McMoRan, Inc.†* | 663 | 9,309 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 196 | 19,414 | ||||||
Newmont Mining Corp. | 262 | 9,828 | ||||||
Packaging Corp. of America | 46 | 5,275 | ||||||
PPG Industries, Inc.† | 2 | 217 | ||||||
Praxair, Inc. | 30 | 4,192 | ||||||
Sherwin-Williams Co. (The)† | 41 | 14,680 | ||||||
WestRock Co.† | 79 | 4,482 | ||||||
|
| |||||||
96,486 | ||||||||
|
| |||||||
Media — 7.6% | ||||||||
CBS Corp., Class B, non-voting shares† | 197 | 11,426 | ||||||
Charter Communications, Inc., Class A†* | 28 | 10,176 | ||||||
Comcast Corp., Class A† | 1,242 | 47,792 | ||||||
Discovery Communications, Inc., Class A†(a) * | 62 | 1,320 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
DISH Network Corp., Class A* | 11 | $ | 597 | |||||
News Corp., Class A† | 286 | 3,792 | ||||||
Omnicom Group, Inc.† | 80 | 5,926 | ||||||
Scripps Networks Interactive, Inc., Class A†. | 63 | 5,411 | ||||||
Time Warner, Inc.† | 382 | 39,136 | ||||||
Twenty-First Century Fox, Inc., Class A† | 910 | 24,006 | ||||||
Viacom, Inc., Class B† | 44 | 1,225 | ||||||
Walt Disney Co. (The)† | 349 | 34,401 | ||||||
|
| |||||||
185,208 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 8.1% |
| |||||||
AbbVie, Inc.† | 417 | 37,055 | ||||||
Amgen, Inc.† | 161 | 30,018 | ||||||
Biogen, Inc.†* | 36 | 11,272 | ||||||
Bristol-Myers Squibb Co.† | 175 | 11,154 | ||||||
Celgene Corp.†* | 146 | 21,290 | ||||||
Eli Lilly & Co. | 25 | 2,138 | ||||||
Gilead Sciences, Inc.† | 542 | 43,913 | ||||||
Johnson & Johnson† | 261 | 33,933 | ||||||
Merck & Co., Inc.† | 109 | 6,979 | ||||||
Waters Corp.†* | 8 | 1,436 | ||||||
|
| |||||||
199,188 | ||||||||
|
| |||||||
Real Estate — 2.0% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 35 | 4,164 | ||||||
CBRE Group, Inc., Class A, REIT†* | 35 | 1,326 | ||||||
Digital Realty Trust, Inc., REIT† | 18 | 2,130 | ||||||
Duke Realty Corp., REIT | 170 | 4,899 | ||||||
Essex Property Trust, Inc., REIT† | 7 | 1,778 | ||||||
Extra Space Storage, Inc., REIT† | 47 | 3,756 | ||||||
Mid-America Apartment Communities, Inc., REIT | 55 | 5,878 | ||||||
Prologis, Inc., REIT | 121 | 7,679 | ||||||
Public Storage, REIT | 18 | 3,852 | ||||||
Realty Income Corp., REIT | 32 | 1,830 | ||||||
Regency Centers Corp., REIT | 71 | 4,405 | ||||||
UDR, Inc., REIT† | 26 | 989 | ||||||
Ventas, Inc., REIT† | 37 | 2,410 | ||||||
Weyerhaeuser Co., REIT† | 138 | 4,696 | ||||||
|
| |||||||
49,792 | ||||||||
|
| |||||||
Retailing — 7.6% | ||||||||
Advance Auto Parts, Inc. | 37 | 3,670 |
The accompanying notes are an integral part of the financial statements.
170
GOTHAM INDEX CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Amazon.com, Inc.†* | 15 | $ | 14,420 | |||||
AutoZone, Inc.†* | 10 | 5,951 | ||||||
Best Buy Co., Inc.† | 142 | 8,088 | ||||||
CarMax, Inc.* | 83 | 6,292 | ||||||
Dollar General Corp.† | 28 | 2,269 | ||||||
Dollar Tree, Inc.* | 26 | 2,257 | ||||||
Gap, Inc. (The)†(a) | 42 | 1,240 | ||||||
Genuine Parts Co. | 72 | 6,887 | ||||||
Home Depot, Inc. (The)† | 352 | 57,573 | ||||||
LKQ Corp.* | 152 | 5,470 | ||||||
Lowe’s Cos., Inc.† | 413 | 33,015 | ||||||
Macy’s, Inc. | 32 | 698 | ||||||
Nordstrom, Inc.† | 81 | 3,819 | ||||||
O’Reilly Automotive, Inc.†* | 36 | 7,753 | ||||||
Ross Stores, Inc. | 178 | 11,493 | ||||||
Signet Jewelers Ltd. (Bermuda)(a) | 30 | 1,996 | ||||||
Target Corp.† | 67 | 3,954 | ||||||
Tiffany & Co. | 15 | 1,377 | ||||||
TJX Cos., Inc. (The)† | 48 | 3,539 | ||||||
Tractor Supply Co. | 62 | 3,924 | ||||||
|
| |||||||
185,685 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.0% |
| |||||||
Analog Devices, Inc. | 22 | 1,896 | ||||||
Applied Materials, Inc.† | 524 | 27,295 | ||||||
Broadcom Ltd. (Singapore) | 4 | 970 | ||||||
Intel Corp.† | 1,013 | 38,575 | ||||||
KLA-Tencor Corp.† | 78 | 8,268 | ||||||
Lam Research Corp.† | 89 | 16,469 | ||||||
Microchip Technology, Inc.(a) | 25 | 2,244 | ||||||
Micron Technology, Inc.* | 596 | 23,441 | ||||||
QUALCOMM, Inc.† | 100 | 5,184 | ||||||
Skyworks Solutions, Inc.† | 89 | 9,069 | ||||||
Texas Instruments, Inc.† | 324 | 29,043 | ||||||
Xilinx, Inc. | 121 | 8,570 | ||||||
|
| |||||||
171,024 | ||||||||
|
| |||||||
Software & Services — 16.7% | ||||||||
Accenture PLC, Class A (Ireland)† | 123 | 16,614 | ||||||
Alphabet, Inc., Class A†* | 80 | 77,898 | ||||||
Automatic Data Processing, Inc.† | 112 | 12,244 | ||||||
CA, Inc.† | 104 | 3,472 | ||||||
Citrix Systems, Inc.†* | 67 | 5,147 | ||||||
Cognizant Technology Solutions Corp., Class A† | 63 | 4,570 | ||||||
CSRA, Inc.† | 71 | 2,291 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
eBay, Inc.†* | 208 | $ | 8,000 | |||||
Electronic Arts, Inc.†* | 153 | 18,063 | ||||||
Facebook, Inc., Class A†* | 226 | 38,617 | ||||||
Fidelity National Information Services, Inc.† | 44 | 4,109 | ||||||
International Business Machines Corp.† | 201 | 29,161 | ||||||
Intuit, Inc.† | 126 | 17,910 | ||||||
Mastercard, Inc., Class A† | 112 | 15,814 | ||||||
Microsoft Corp.† | 758 | 56,463 | ||||||
Oracle Corp.† | 978 | 47,286 | ||||||
Paychex, Inc. | 176 | 10,553 | ||||||
Total System Services, Inc. | 66 | 4,323 | ||||||
VeriSign, Inc.†* | 15 | 1,596 | ||||||
Visa, Inc., Class A† | 328 | 34,519 | ||||||
|
| |||||||
408,650 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 9.9% |
| |||||||
Apple, Inc.† | 791 | 121,909 | ||||||
Cisco Systems, Inc.† | 1,250 | 42,038 | ||||||
Corning, Inc. | 6 | 180 | ||||||
F5 Networks, Inc.†* | 29 | 3,496 | ||||||
FLIR Systems, Inc.† | 59 | 2,296 | ||||||
Harris Corp. | 60 | 7,901 | ||||||
Hewlett Packard Enterprise Co.† | 798 | 11,739 | ||||||
HP, Inc.† | 821 | 16,387 | ||||||
Juniper Networks, Inc.† | 187 | 5,204 | ||||||
NetApp, Inc. | 132 | 5,776 | ||||||
Seagate Technology PLC (Ireland)(a) | 115 | 3,815 | ||||||
TE Connectivity Ltd. (Switzerland) | 67 | 5,565 | ||||||
Western Digital Corp.† | 145 | 12,528 | ||||||
Xerox Corp. | 129 | 4,294 | ||||||
|
| |||||||
243,128 | ||||||||
|
| |||||||
Telecommunication Services — 3.5% |
| |||||||
AT&T, Inc.† | 1,035 | 40,541 | ||||||
CenturyLink, Inc.(a) | 59 | 1,115 | ||||||
Verizon Communications, Inc.† | 909 | 44,986 | ||||||
|
| |||||||
86,642 | ||||||||
|
| |||||||
Transportation — 6.5% | ||||||||
Alaska Air Group, Inc.† | 18 | 1,373 | ||||||
CH Robinson Worldwide, Inc.†(a) | 12 | 913 | ||||||
CSX Corp. | 324 | 17,580 | ||||||
Delta Air Lines, Inc.† | 342 | 16,491 |
The accompanying notes are an integral part of the financial statements.
171
GOTHAM INDEX CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Expeditors International of Washington, Inc.† | 88 | $ | 5,268 | |||||
FedEx Corp.† | 87 | 19,625 | ||||||
JB Hunt Transport Services, Inc. | 54 | 5,998 | ||||||
Norfolk Southern Corp. | 103 | 13,621 | ||||||
Southwest Airlines Co.† | 293 | 16,402 | ||||||
Union Pacific Corp.† | 305 | 35,371 | ||||||
United Parcel Service, Inc., Class B† | 222 | 26,660 | ||||||
|
| |||||||
159,302 | ||||||||
|
| |||||||
Utilities — 2.7% | ||||||||
AES Corp.† | 71 | 782 | ||||||
CenterPoint Energy, Inc.† | 69 | 2,015 | ||||||
CMS Energy Corp. | 138 | 6,392 | ||||||
DTE Energy Co.† | 88 | 9,448 | ||||||
Edison International | 84 | 6,482 | ||||||
Exelon Corp.† | 28 | 1,055 | ||||||
FirstEnergy Corp. | 218 | 6,721 | ||||||
NextEra Energy, Inc. | 21 | 3,078 | ||||||
NiSource, Inc. | 35 | 896 | ||||||
NRG Energy, Inc.† | 140 | 3,583 | ||||||
PPL Corp.† | 51 | 1,935 | ||||||
Public Service Enterprise Group, Inc. | 248 | 11,470 | ||||||
Southern Co. (The) | 26 | 1,278 | ||||||
WEC Energy Group, Inc.† | 154 | 9,668 | ||||||
Xcel Energy, Inc.† | 14 | 662 | ||||||
|
| |||||||
65,465 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 3,429,378 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 140.0% | 3,429,378 | |||||||
|
| |||||||
(Cost $2,976,244) | ||||||||
SHORT POSITIONS — (40.3)% |
| |||||||
COMMON STOCKS — (40.3)% |
| |||||||
Automobiles & Components — (0.6)% |
| |||||||
Ford Motor Co. | (1,099 | ) | (13,155 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (69 | ) | (2,294 | ) | ||||
|
| |||||||
(15,449 | ) | |||||||
|
| |||||||
Banks — (0.2)% | ||||||||
Fifth Third Bancorp | (205 | ) | (5,736 | ) | ||||
|
| |||||||
Capital Goods — (4.2)% | ||||||||
Acuity Brands, Inc. | (12 | ) | (2,055 | ) | ||||
AO Smith Corp. | (48 | ) | (2,853 | ) | ||||
Dover Corp. | (45 | ) | (4,113 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Eaton Corp. PLC (Ireland) | (124 | ) | $ | (9,522 | ) | |||
Flowserve Corp. | (37 | ) | (1,576 | ) | ||||
Fluor Corp. | (39 | ) | (1,642 | ) | ||||
Fortune Brands Home & Security, Inc. | (43 | ) | (2,891 | ) | ||||
General Dynamics Corp. | (83 | ) | (17,063 | ) | ||||
Johnson Controls International PLC (Ireland) | (258 | ) | (10,395 | ) | ||||
L3 Technologies, Inc. | (22 | ) | (4,145 | ) | ||||
Masco Corp. | (88 | ) | (3,433 | ) | ||||
PACCAR, Inc. | (98 | ) | (7,089 | ) | ||||
Parker-Hannifin Corp. | (37 | ) | (6,476 | ) | ||||
Quanta Services, Inc.* | (42 | ) | (1,570 | ) | ||||
Raytheon Co. | (80 | ) | (14,926 | ) | ||||
Stanley Black & Decker, Inc. | (43 | ) | (6,492 | ) | ||||
Textron, Inc. | (74 | ) | (3,987 | ) | ||||
United Rentals, Inc.* | (24 | ) | (3,330 | ) | ||||
Xylem, Inc. | (2 | ) | (125 | ) | ||||
|
| |||||||
(103,683 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.6)% |
| |||||||
Cintas Corp. | (29 | ) | (4,184 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (110 | ) | (4,849 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (99 | ) | (4,104 | ) | ||||
Verisk Analytics, Inc.* | (9 | ) | (749 | ) | ||||
|
| |||||||
(13,886 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.0)% |
| |||||||
Hanesbrands, Inc. | (101 | ) | (2,489 | ) | ||||
Leggett & Platt, Inc. | (37 | ) | (1,766 | ) | ||||
Mattel, Inc. | (94 | ) | (1,455 | ) | ||||
Mohawk Industries, Inc.* | (20 | ) | (4,950 | ) | ||||
Newell Brands, Inc. | (134 | ) | (5,718 | ) | ||||
Under Armour, Inc., Class C* | (121 | ) | (1,817 | ) | ||||
VF Corp. | (108 | ) | (6,866 | ) | ||||
|
| |||||||
(25,061 | ) | |||||||
|
| |||||||
Consumer Services — (0.9)% | ||||||||
Carnival Corp. (Panama) | (200 | ) | (12,914 | ) | ||||
Chipotle Mexican Grill, Inc.* | (3 | ) | (923 | ) | ||||
Darden Restaurants, Inc. | (35 | ) | (2,757 | ) | ||||
MGM Resorts International | (159 | ) | (5,182 | ) | ||||
|
| |||||||
(21,776 | ) | |||||||
|
| |||||||
Diversified Financials — (1.0)% |
| |||||||
American Express Co. | (130 | ) | (11,760 | ) | ||||
Intercontinental Exchange, Inc. | (163 | ) | (11,198 | ) |
The accompanying notes are an integral part of the financial statements.
172
GOTHAM INDEX CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Navient Corp. | (76 | ) | $ | (1,142 | ) | |||
|
| |||||||
(24,100 | ) | |||||||
|
| |||||||
Energy — (4.9)% | ||||||||
Andeavor | (43 | ) | (4,435 | ) | ||||
Apache Corp. | (106 | ) | (4,855 | ) | ||||
Cimarex Energy Co. | (26 | ) | (2,955 | ) | ||||
Concho Resources, Inc.* | (41 | ) | (5,400 | ) | ||||
EOG Resources, Inc. | (110 | ) | (10,641 | ) | ||||
EQT Corp. | (47 | ) | (3,066 | ) | ||||
Halliburton Co. | (240 | ) | (11,047 | ) | ||||
Helmerich & Payne, Inc. | (30 | ) | (1,563 | ) | ||||
Hess Corp. | (88 | ) | (4,126 | ) | ||||
Kinder Morgan, Inc. | (512 | ) | (9,820 | ) | ||||
National Oilwell Varco, Inc. | (105 | ) | (3,752 | ) | ||||
Newfield Exploration Co.* | (55 | ) | (1,632 | ) | ||||
Phillips 66 | (141 | ) | (12,917 | ) | ||||
Pioneer Natural Resources Co. | (47 | ) | (6,934 | ) | ||||
Schlumberger Ltd. (Curacao) | (376 | ) | (26,230 | ) | ||||
TechnipFMC PLC (United Kingdom)* | (129 | ) | (3,602 | ) | ||||
Williams Cos., Inc. (The) | (228 | ) | (6,842 | ) | ||||
|
| |||||||
(119,817 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (1.6)% |
| |||||||
Archer-Daniels-Midland Co. | (156 | ) | (6,632 | ) | ||||
Brown-Forman Corp., Class B | (107 | ) | (5,810 | ) | ||||
Hershey Co. (The) | (60 | ) | (6,550 | ) | ||||
McCormick & Co., Inc., non-voting shares | (35 | ) | (3,592 | ) | ||||
Mondelez International, Inc., Class A | (245 | ) | (9,962 | ) | ||||
Tyson Foods, Inc., Class A | (101 | ) | (7,115 | ) | ||||
|
| |||||||
(39,661 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (5.1)% |
| |||||||
Abbott Laboratories | (476 | ) | (25,399 | ) | ||||
Align Technology, Inc.* | (2 | ) | (372 | ) | ||||
Becton Dickinson and Co. | (64 | ) | (12,541 | ) | ||||
Boston Scientific Corp.* | (380 | ) | (11,085 | ) | ||||
Cardinal Health, Inc. | (88 | ) | (5,889 | ) | ||||
Cerner Corp.* | (96 | ) | (6,847 | ) | ||||
Cooper Cos., Inc. (The) | (14 | ) | (3,319 | ) | ||||
Danaher Corp. | (193 | ) | (16,555 | ) | ||||
DaVita, Inc.* | (53 | ) | (3,148 | ) | ||||
DENTSPLY SIRONA, Inc. | (63 | ) | (3,768 | ) | ||||
Edwards Lifesciences Corp.* | (59 | ) | (6,449 | ) | ||||
Henry Schein, Inc.* | (44 | ) | (3,608 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
IDEXX Laboratories, Inc.* | (2 | ) | $ | (311 | ) | |||
Intuitive Surgical, Inc.* | (2 | ) | (2,092 | ) | ||||
Patterson Cos., Inc. | (18 | ) | (696 | ) | ||||
ResMed, Inc. | (40 | ) | (3,078 | ) | ||||
Stryker Corp. | (104 | ) | (14,770 | ) | ||||
Zimmer Biomet Holdings, Inc. | (41 | ) | (4,801 | ) | ||||
|
| |||||||
(124,728 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.1)% |
| |||||||
Coty, Inc., Class A | (207 | ) | (3,422 | ) | ||||
|
| |||||||
Insurance — (2.4)% |
| |||||||
Aflac, Inc. | (110 | ) | (8,953 | ) | ||||
American International Group, Inc. | (251 | ) | (15,409 | ) | ||||
Assurant, Inc. | (16 | ) | (1,528 | ) | ||||
Brighthouse Financial, Inc.* | (34 | ) | (2,067 | ) | ||||
Cincinnati Financial Corp. | (46 | ) | (3,522 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (101 | ) | (5,598 | ) | ||||
Loews Corp. | (94 | ) | (4,499 | ) | ||||
Marsh & McLennan Cos., Inc. | (118 | ) | (9,890 | ) | ||||
Principal Financial Group, Inc. | (80 | ) | (5,147 | ) | ||||
XL Group Ltd. (Bermuda) | (72 | ) | (2,840 | ) | ||||
|
| |||||||
(59,453 | ) | |||||||
|
| |||||||
Materials — (2.6)% |
| |||||||
Albemarle Corp. | (31 | ) | (4,226 | ) | ||||
CF Industries Holdings, Inc. | (3 | ) | (105 | ) | ||||
DowDuPont, Inc. | (73 | ) | (5,054 | ) | ||||
Eastman Chemical Co. | (40 | ) | (3,620 | ) | ||||
Ecolab, Inc. | (83 | ) | (10,675 | ) | ||||
International Flavors & Fragrances, Inc. | (22 | ) | (3,144 | ) | ||||
International Paper Co. | (114 | ) | (6,477 | ) | ||||
Martin Marietta Materials, Inc. | (18 | ) | (3,712 | ) | ||||
Monsanto Co. | (121 | ) | (14,498 | ) | ||||
Mosaic Co. (The) | (97 | ) | (2,094 | ) | ||||
Nucor Corp. | (88 | ) | (4,932 | ) | ||||
Sealed Air Corp. | (40 | ) | (1,709 | ) | ||||
Vulcan Materials Co. | (37 | ) | (4,425 | ) | ||||
|
| |||||||
(64,671 | ) | |||||||
|
| |||||||
Media — (0.1)% |
| |||||||
Interpublic Group of Cos., Inc. (The) | (109 | ) | (2,266 | ) | ||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (4.1)% |
| |||||||
Agilent Technologies, Inc. | (1 | ) | (64 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (62 | ) | (8,698 | ) |
The accompanying notes are an integral part of the financial statements.
173
GOTHAM INDEX CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
Allergan PLC (Ireland) | (92 | ) | $ | (18,855 | ) | |||
Illumina, Inc.* | (36 | ) | (7,171 | ) | ||||
Incyte Corp.* | (59 | ) | (6,888 | ) | ||||
Mylan NV (Netherlands)* | (149 | ) | (4,674 | ) | ||||
PerkinElmer, Inc. | (31 | ) | (2,138 | ) | ||||
Perrigo Co. PLC (Ireland) | (40 | ) | (3,386 | ) | ||||
Pfizer, Inc. | (195 | ) | (6,962 | ) | ||||
Quintiles IMS Holdings, Inc.* | (60 | ) | (5,704 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (34 | ) | (15,202 | ) | ||||
Thermo Fisher Scientific, Inc. | (95 | ) | (17,974 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (3 | ) | (456 | ) | ||||
Zoetis, Inc. | (22 | ) | (1,403 | ) | ||||
|
| |||||||
(99,575 | ) | |||||||
|
| |||||||
Real Estate — (3.2)% | ||||||||
American Tower Corp., REIT | (77 | ) | (10,524 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (44 | ) | (1,930 | ) | ||||
AvalonBay Communities, Inc., REIT | (20 | ) | (3,568 | ) | ||||
Boston Properties, Inc., REIT | (20 | ) | (2,458 | ) | ||||
Crown Castle International Corp., REIT | (101 | ) | (10,098 | ) | ||||
Equinix, Inc., REIT | (2 | ) | (893 | ) | ||||
Equity Residential, REIT | (102 | ) | (6,725 | ) | ||||
Federal Realty Investment Trust, REIT | (8 | ) | (994 | ) | ||||
GGP, Inc., REIT | (245 | ) | (5,089 | ) | ||||
HCP, Inc., REIT | (130 | ) | (3,618 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (205 | ) | (3,790 | ) | ||||
Iron Mountain, Inc., REIT | (74 | ) | (2,879 | ) | ||||
Kimco Realty Corp., REIT | (118 | ) | (2,307 | ) | ||||
Macerich Co. (The), REIT | (40 | ) | (2,199 | ) | ||||
SBA Communications Corp., REIT* | (34 | ) | (4,898 | ) | ||||
Simon Property Group, Inc., REIT | (16 | ) | (2,576 | ) | ||||
SL Green Realty Corp., REIT | (28 | ) | (2,837 | ) | ||||
Vornado Realty Trust, REIT | (34 | ) | (2,614 | ) | ||||
Welltower, Inc., REIT | (102 | ) | (7,169 | ) | ||||
|
| |||||||
(77,166 | ) | |||||||
|
| |||||||
Retailing — (1.1)% | ||||||||
Expedia, Inc. | (43 | ) | (6,189 | ) | ||||
Foot Locker, Inc. | (37 | ) | (1,303 | ) | ||||
Kohl’s Corp. | (47 | ) | (2,146 | ) | ||||
L Brands, Inc. | (80 | ) | (3,329 | ) | ||||
Netflix, Inc.* | (2 | ) | (363 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Priceline Group, Inc. (The)* | (4 | ) | $ | (7,323 | ) | |||
TripAdvisor, Inc.* | (40 | ) | (1,621 | ) | ||||
Ulta Beauty, Inc.* | (16 | ) | (3,617 | ) | ||||
|
| |||||||
(25,891 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (1.2)% |
| |||||||
Advanced Micro Devices, Inc.* | (262 | ) | (3,340 | ) | ||||
NVIDIA Corp. | (130 | ) | (23,240 | ) | ||||
Qorvo, Inc.* | (36 | ) | (2,544 | ) | ||||
|
| |||||||
(29,124 | ) | |||||||
|
| |||||||
Software & Services — (2.2)% | ||||||||
Activision Blizzard, Inc. | (210 | ) | (13,547 | ) | ||||
Adobe Systems, Inc.* | (2 | ) | (298 | ) | ||||
Akamai Technologies, Inc.* | (48 | ) | (2,339 | ) | ||||
Alliance Data Systems Corp. | (16 | ) | (3,545 | ) | ||||
ANSYS, Inc.* | (24 | ) | (2,945 | ) | ||||
Cadence Design Systems, Inc.* | (78 | ) | (3,079 | ) | ||||
DXC Technology Co. | (78 | ) | (6,699 | ) | ||||
Fiserv, Inc.* | (31 | ) | (3,998 | ) | ||||
Gartner, Inc.* | (25 | ) | (3,110 | ) | ||||
Global Payments, Inc. | (43 | ) | (4,086 | ) | ||||
PayPal Holdings, Inc.* | (34 | ) | (2,177 | ) | ||||
salesforce.com, Inc.* | (11 | ) | (1,028 | ) | ||||
Symantec Corp. | (1 | ) | (33 | ) | ||||
Synopsys, Inc.* | (42 | ) | (3,382 | ) | ||||
Western Union Co. (The) | (129 | ) | (2,477 | ) | ||||
|
| |||||||
(52,743 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.5)% |
| |||||||
Amphenol Corp., Class A | (90 | ) | (7,618 | ) | ||||
Motorola Solutions, Inc. | (46 | ) | (3,904 | ) | ||||
|
| |||||||
(11,522 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.2)% |
| |||||||
Level 3 Communications, Inc.* | (100 | ) | (5,329 | ) | ||||
|
| |||||||
Transportation — (0.6)% | ||||||||
American Airlines Group, Inc. | (139 | ) | (6,601 | ) | ||||
Kansas City Southern | (30 | ) | (3,260 | ) | ||||
United Continental Holdings, Inc.* | (84 | ) | (5,114 | ) | ||||
|
| |||||||
(14,975 | ) | |||||||
|
| |||||||
Utilities — (1.9)% | ||||||||
Alliant Energy Corp. | (63 | ) | (2,619 | ) | ||||
Ameren Corp. | (44 | ) | (2,545 | ) | ||||
American Electric Power Co., Inc. | (27 | ) | (1,896 | ) | ||||
American Water Works Co., Inc. | (50 | ) | (4,046 | ) |
The accompanying notes are an integral part of the financial statements.
174
GOTHAM INDEX CORE FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
Consolidated Edison, Inc. | (84 | ) | $ | (6,777 | ) | |||
Dominion Resources, Inc. | (19 | ) | (1,462 | ) | ||||
Duke Energy Corp. | (30 | ) | (2,518 | ) | ||||
Entergy Corp. | (49 | ) | (3,742 | ) | ||||
Eversource Energy | (87 | ) | (5,258 | ) | ||||
PG&E Corp. | (141 | ) | (9,601 | ) | ||||
Pinnacle West Capital Corp. | (31 | ) | (2,621 | ) | ||||
SCANA Corp. | (39 | ) | (1,891 | ) | ||||
Sempra Energy | (18 | ) | (2,054 | ) | ||||
|
| |||||||
(47,030 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK | (987,064 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (40.3)% |
| (987,064 | ) | |||||
|
| |||||||
(Proceeds $957,394) | ||||||||
OTHER ASSETS IN EXCESS OF |
| 7,881 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,450,195 | ||||||
|
|
† | 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) |
* | Non-income producing. |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
175
GOTHAM HEDGED PLUS FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 146.1% |
| |||||||
COMMON STOCKS — 146.1% |
| |||||||
Automobiles & Components — 1.9% |
| |||||||
BorgWarner, Inc.† | 8 | $ | 410 | |||||
Delphi Automotive PLC (Jersey)† | 9 | 886 | ||||||
General Motors Co.† | 915 | 36,948 | ||||||
Harley-Davidson, Inc.(a) | 107 | 5,158 | ||||||
|
| |||||||
43,402 | ||||||||
|
| |||||||
Banks — 2.6% | ||||||||
Bank of America Corp.† | 514 | 13,025 | ||||||
BB&T Corp. | 2 | 94 | ||||||
Citigroup, Inc.† | 161 | 11,711 | ||||||
Citizens Financial Group, Inc. | 31 | 1,174 | ||||||
Comerica, Inc. | 7 | 534 | ||||||
Huntington Bancshares, Inc.† | 168 | 2,345 | ||||||
JPMorgan Chase & Co.† | 191 | 18,242 | ||||||
KeyCorp† | 277 | 5,213 | ||||||
M&T Bank Corp. | 2 | 322 | ||||||
PNC Financial Services Group, Inc. (The)† | 29 | 3,908 | ||||||
SunTrust Banks, Inc. | 28 | 1,674 | ||||||
US Bancorp† | 1 | 54 | ||||||
Wells Fargo & Co.† | 29 | 1,599 | ||||||
Zions Bancorporation† | 13 | 613 | ||||||
|
| |||||||
60,508 | ||||||||
|
| |||||||
Capital Goods — 11.9% | ||||||||
3M Co.† | 9 | 1,889 | ||||||
Allegion PLC (Ireland) | 42 | 3,632 | ||||||
AMETEK, Inc.† | 75 | 4,953 | ||||||
Arconic, Inc.† | 323 | 8,036 | ||||||
Boeing Co. (The)† | 216 | 54,909 | ||||||
Caterpillar, Inc.† | 365 | 45,519 | ||||||
Cummins, Inc.† | 96 | 16,131 | ||||||
Deere & Co. | 3 | 377 | ||||||
Emerson Electric Co.† | 8 | 503 | ||||||
Fastenal Co. | 120 | 5,470 | ||||||
Fortive Corp. | 22 | 1,557 | ||||||
Honeywell International, Inc.† | 235 | 33,309 | ||||||
Illinois Tool Works, Inc.† | 20 | 2,959 | ||||||
Ingersoll-Rand PLC (Ireland)† | 165 | 14,713 | ||||||
Jacobs Engineering Group, Inc.† | 80 | 4,662 | ||||||
Lockheed Martin Corp.† | 114 | 35,373 | ||||||
Masco Corp.† | 2 | 78 | ||||||
Northrop Grumman Corp. | 10 | 2,877 | ||||||
PACCAR, Inc. | 21 | 1,519 | ||||||
Pentair PLC (Ireland) | 114 | 7,747 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Rockwell Automation, Inc.† | 79 | $ | 14,079 | |||||
Rockwell Collins, Inc.† | 12 | 1,569 | ||||||
Roper Technologies, Inc. | 6 | 1,460 | ||||||
Snap-on, Inc.† | 27 | 4,023 | ||||||
Stanley Black & Decker, Inc.† | 3 | 453 | ||||||
TransDigm Group, Inc.† | 31 | 7,925 | ||||||
|
| |||||||
275,722 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.0% |
| |||||||
Equifax, Inc. | 12 | 1,272 | ||||||
Republic Services, Inc. | 25 | 1,652 | ||||||
Robert Half International, Inc.† | 79 | 3,977 | ||||||
Stericycle, Inc.* | 15 | 1,074 | ||||||
Waste Management, Inc.† | 183 | 14,323 | ||||||
|
| |||||||
22,298 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.6% |
| |||||||
Coach, Inc.† | 178 | 7,170 | ||||||
DR Horton, Inc.† | 73 | 2,915 | ||||||
Garmin Ltd. (Switzerland)† | 11 | 594 | ||||||
Hasbro, Inc.† | 51 | 4,981 | ||||||
Lennar Corp., Class A | 14 | 739 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 106 | 5,072 | ||||||
NIKE, Inc., Class B | 2 | 104 | ||||||
PulteGroup, Inc. | 66 | 1,804 | ||||||
Ralph Lauren Corp.† | 53 | 4,679 | ||||||
Whirlpool Corp.† | 46 | 8,484 | ||||||
|
| |||||||
36,542 | ||||||||
|
| |||||||
Consumer Services — 3.1% |
| |||||||
H&R Block, Inc.† | 13 | 344 | ||||||
Hilton Worldwide Holdings, Inc.† | 204 | 14,168 | ||||||
Marriott International, Inc., | 230 | 25,360 | ||||||
McDonald’s Corp.† | 50 | 7,834 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 124 | 14,699 | ||||||
Wyndham Worldwide Corp.† | 61 | 6,430 | ||||||
Wynn Resorts Ltd. | 7 | 1,042 | ||||||
Yum! Brands, Inc.† | 26 | 1,914 | ||||||
|
| |||||||
71,791 | ||||||||
|
| |||||||
Diversified Financials — 7.0% |
| |||||||
Berkshire Hathaway, Inc., | 148 | 27,131 | ||||||
BlackRock, Inc.† | 80 | 35,767 | ||||||
Capital One Financial Corp. | 29 | 2,455 | ||||||
CBOE Holdings, Inc. | 16 | 1,722 |
The accompanying notes are an integral part of the financial statements.
176
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Charles Schwab Corp. (The)† | 81 | $ | 3,543 | |||||
Discover Financial Services† | 23 | 1,483 | ||||||
E*TRADE Financial Corp.* | 23 | 1,003 | ||||||
Franklin Resources, Inc.† | 350 | 15,578 | ||||||
Goldman Sachs Group, Inc. (The)† | 24 | 5,693 | ||||||
Invesco Ltd. (Bermuda) | 255 | 8,935 | ||||||
Leucadia National Corp. | 22 | 556 | ||||||
Moody’s Corp.† | 120 | 16,705 | ||||||
Morgan Stanley† | 112 | 5,395 | ||||||
Nasdaq, Inc.† | 105 | 8,145 | ||||||
Raymond James Financial, Inc. | 41 | 3,458 | ||||||
S&P Global, Inc.† | 50 | 7,816 | ||||||
State Street Corp. | 23 | 2,197 | ||||||
Synchrony Financial | 47 | 1,459 | ||||||
T Rowe Price Group, Inc.† | 150 | 13,598 | ||||||
|
| |||||||
162,639 | ||||||||
|
| |||||||
Energy — 8.1% | ||||||||
Anadarko Petroleum Corp.† | 347 | 16,951 | ||||||
Cabot Oil & Gas Corp. | 28 | 749 | ||||||
Chesapeake Energy Corp.(a)* | 431 | 1,853 | ||||||
Chevron Corp.† | 300 | 35,250 | ||||||
ConocoPhillips† | 762 | 38,138 | ||||||
Devon Energy Corp.† | 134 | 4,919 | ||||||
Marathon Oil Corp. | 22 | 298 | ||||||
Marathon Petroleum Corp.† | 317 | 17,777 | ||||||
Noble Energy, Inc. | 131 | 3,715 | ||||||
Occidental Petroleum Corp.† | 478 | 30,692 | ||||||
ONEOK, Inc.† | 238 | 13,188 | ||||||
Range Resources Corp.(a) | 155 | 3,033 | ||||||
Valero Energy Corp.† | 277 | 21,310 | ||||||
|
| |||||||
187,873 | ||||||||
|
| |||||||
Food & Staples Retailing — 7.9% |
| |||||||
Costco Wholesale Corp. | 15 | 2,464 | ||||||
CVS Health Corp.† | 700 | 56,924 | ||||||
Kroger Co. (The) | 55 | 1,103 | ||||||
Sysco Corp.† | 332 | 17,911 | ||||||
Walgreens Boots Alliance, Inc.† | 572 | 44,170 | ||||||
Wal-Mart Stores, Inc.† | 790 | 61,731 | ||||||
|
| |||||||
184,303 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 5.0% |
| |||||||
Altria Group, Inc.† | 691 | 43,823 | ||||||
Campbell Soup Co. | 18 | 843 | ||||||
Coca-Cola Co. (The)† | 194 | 8,732 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Conagra Brands, Inc.† | 289 | $ | 9,751 | |||||
Dr Pepper Snapple Group, Inc.† | 114 | 10,086 | ||||||
General Mills, Inc. | 34 | 1,760 | ||||||
JM Smucker Co. (The) | 7 | 735 | ||||||
Kellogg Co. | 211 | 13,160 | ||||||
Kraft Heinz Co. (The) | 60 | 4,653 | ||||||
Molson Coors Brewing Co., | 71 | 5,796 | ||||||
PepsiCo, Inc. | 88 | 9,806 | ||||||
Philip Morris International, Inc.† | 66 | 7,327 | ||||||
|
| |||||||
116,472 | ||||||||
|
| |||||||
Health Care Equipment & Services — 11.7% |
| |||||||
Aetna, Inc.† | 208 | 33,074 | ||||||
AmerisourceBergen Corp.† | 141 | 11,668 | ||||||
Anthem, Inc.† | 174 | 33,039 | ||||||
Baxter International, Inc.† | 33 | 2,071 | ||||||
Centene Corp.†* | 113 | 10,935 | ||||||
Cigna Corp.† | 159 | 29,723 | ||||||
CR Bard, Inc. | 4 | 1,282 | ||||||
Envision Healthcare Corp.* | 2 | 90 | ||||||
Express Scripts Holding Co.†* | 437 | 27,671 | ||||||
HCA Healthcare, Inc.†* | 227 | 18,067 | ||||||
Humana, Inc.† | 92 | 22,414 | ||||||
Laboratory Corp. of America Holdings†* | 32 | 4,831 | ||||||
McKesson Corp.† | 133 | 20,430 | ||||||
Medtronic PLC (Ireland)† | 120 | 9,332 | ||||||
Patterson Cos., Inc. | 2 | 77 | ||||||
UnitedHealth Group, Inc.† | 178 | 34,861 | ||||||
Universal Health Services, Inc., Class B | 60 | 6,656 | ||||||
Varian Medical Systems, Inc.†* | 58 | 5,803 | ||||||
|
| |||||||
272,024 | ||||||||
|
| |||||||
Household & Personal Products — 1.7% |
| |||||||
Church & Dwight Co., Inc.† | 14 | 678 | ||||||
Clorox Co. (The)† | 80 | 10,553 | ||||||
Colgate-Palmolive Co. | 57 | 4,152 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 24 | 2,588 | ||||||
Kimberly-Clark Corp.† | 173 | 20,359 | ||||||
|
| |||||||
38,330 | ||||||||
|
| |||||||
Insurance — 1.7% | ||||||||
Allstate Corp. (The) | 2 | 184 | ||||||
Aon PLC (United Kingdom)† | 152 | 22,207 |
The accompanying notes are an integral part of the financial statements.
177
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Arthur J Gallagher & Co. | 4 | $ | 246 | |||||
Brighthouse Financial, Inc.* | 4 | 243 | ||||||
Chubb Ltd. (Switzerland)† | 10 | 1,426 | ||||||
Lincoln National Corp. | 13 | 955 | ||||||
MetLife, Inc. | 64 | 3,325 | ||||||
Progressive Corp. (The)† | 168 | 8,135 | ||||||
Prudential Financial, Inc. | 3 | 319 | ||||||
Travelers Cos., Inc. (The) | 10 | 1,225 | ||||||
Willis Towers Watson PLC (Ireland) | 10 | 1,542 | ||||||
|
| |||||||
39,807 | ||||||||
|
| |||||||
Materials — 5.2% | ||||||||
Air Products & Chemicals, Inc.† | 137 | 20,717 | ||||||
Ball Corp. | 220 | 9,086 | ||||||
FMC Corp. | 84 | 7,502 | ||||||
Freeport-McMoRan, Inc.†* | 896 | 12,580 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 256 | 25,357 | ||||||
Newmont Mining Corp.† | 334 | 12,528 | ||||||
Packaging Corp. of America | 59 | 6,766 | ||||||
PPG Industries, Inc.† | 2 | 217 | ||||||
Praxair, Inc. | 17 | 2,376 | ||||||
Sherwin-Williams Co. (The)† | 60 | 21,482 | ||||||
WestRock Co.† | 16 | 908 | ||||||
|
| |||||||
119,519 | ||||||||
|
| |||||||
Media — 9.4% | ||||||||
CBS Corp., Class B, non-voting shares† | 194 | 11,252 | ||||||
Charter Communications, Inc., Class A†* | 17 | 6,178 | ||||||
Comcast Corp., Class A† | 1,400 | 53,872 | ||||||
Discovery Communications, Inc., Class A(a)* | 347 | 7,388 | ||||||
DISH Network Corp., Class A* | 5 | 271 | ||||||
News Corp., Class A† | 426 | 5,649 | ||||||
Omnicom Group, Inc.†(a) | 156 | 11,555 | ||||||
Scripps Networks Interactive, Inc., Class A† | 48 | 4,123 | ||||||
Time Warner, Inc.† | 487 | 49,893 | ||||||
Twenty-First Century Fox, Inc., Class A† | 942 | 24,850 | ||||||
Viacom, Inc., Class B | 25 | 696 | ||||||
Walt Disney Co. (The)† | 420 | 41,399 | ||||||
|
| |||||||
217,126 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 8.3% |
| |||||||
AbbVie, Inc.† | 517 | $ | 45,941 | |||||
Amgen, Inc.† | 181 | 33,747 | ||||||
Biogen, Inc.†* | 28 | 8,767 | ||||||
Bristol-Myers Squibb Co.† | 106 | 6,756 | ||||||
Celgene Corp.†* | 178 | 25,956 | ||||||
Gilead Sciences, Inc.† | 712 | 57,686 | ||||||
Johnson & Johnson† | 108 | 14,041 | ||||||
|
| |||||||
192,894 | ||||||||
|
| |||||||
Real Estate — 2.0% | ||||||||
Alexandria Real Estate Equities, Inc., REIT† | 53 | 6,305 | ||||||
AvalonBay Communities, Inc., REIT† | 5 | 892 | ||||||
CBRE Group, Inc., Class A, REIT†* | 7 | 265 | ||||||
Digital Realty Trust, Inc., REIT† | 10 | 1,183 | ||||||
Duke Realty Corp., REIT | 185 | 5,332 | ||||||
Essex Property Trust, Inc., REIT† | 3 | 762 | ||||||
Extra Space Storage, Inc., REIT | 27 | 2,158 | ||||||
Mid-America Apartment Communities, Inc., REIT† | 71 | 7,588 | ||||||
Prologis, Inc., REIT | 142 | 9,011 | ||||||
Public Storage, REIT | 3 | 642 | ||||||
Realty Income Corp., REIT† | 34 | 1,944 | ||||||
Regency Centers Corp., REIT | 94 | 5,832 | ||||||
UDR, Inc., REIT† | 17 | 647 | ||||||
Ventas, Inc., REIT | 15 | 977 | ||||||
Weyerhaeuser Co., REIT† | 92 | 3,131 | ||||||
|
| |||||||
46,669 | ||||||||
|
| |||||||
Retailing — 8.1% | ||||||||
Advance Auto Parts, Inc. | 46 | 4,563 | ||||||
AutoZone, Inc.†* | 14 | 8,332 | ||||||
Best Buy Co., Inc. | 21 | 1,196 | ||||||
CarMax, Inc.* | 113 | 8,567 | ||||||
Dollar General Corp.† | 22 | 1,783 | ||||||
Dollar Tree, Inc.†* | 15 | 1,302 | ||||||
Foot Locker, Inc.† | 2 | 70 | ||||||
Gap, Inc. (The) | 24 | 709 | ||||||
Genuine Parts Co. | 92 | 8,800 | ||||||
Home Depot, Inc. (The)† | 405 | 66,242 | ||||||
LKQ Corp.†* | 193 | 6,946 | ||||||
Lowe’s Cos., Inc.† | 527 | 42,128 | ||||||
Macy’s, Inc. | 18 | 393 | ||||||
Nordstrom, Inc. | 99 | 4,668 | ||||||
O’Reilly Automotive, Inc.†* | 52 | 11,199 | ||||||
Ross Stores, Inc.† | 142 | 9,169 |
The accompanying notes are an integral part of the financial statements.
178
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Signet Jewelers Ltd. | 38 | $ | 2,529 | |||||
Target Corp.† | 39 | 2,301 | ||||||
Tiffany & Co. | 11 | 1,010 | ||||||
TJX Cos., Inc. (The) | 21 | 1,548 | ||||||
Tractor Supply Co. | 79 | 5,000 | ||||||
|
| |||||||
188,455 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.5% |
| |||||||
Applied Materials, Inc.† | 713 | 37,140 | ||||||
Intel Corp.† | 1,082 | 41,203 | ||||||
KLA-Tencor Corp.† | 104 | 11,024 | ||||||
Lam Research Corp.† | 121 | 22,390 | ||||||
Microchip Technology, Inc. | 15 | 1,347 | ||||||
Micron Technology, Inc.* | 762 | 29,969 | ||||||
QUALCOMM, Inc.† | 37 | 1,918 | ||||||
Skyworks Solutions, Inc.† | 117 | 11,922 | ||||||
Texas Instruments, Inc.† | 319 | 28,595 | ||||||
Xilinx, Inc.† | 153 | 10,837 | ||||||
|
| |||||||
196,345 | ||||||||
|
| |||||||
Software & Services — 13.1% |
| |||||||
Accenture PLC, Class A | 100 | 13,507 | ||||||
Alphabet, Inc., Class A†* | 46 | 44,791 | ||||||
Automatic Data Processing, Inc.† | 139 | 15,195 | ||||||
CA, Inc.† | 219 | 7,310 | ||||||
Citrix Systems, Inc.†* | 90 | 6,914 | ||||||
Cognizant Technology Solutions Corp., Class A† | 36 | 2,611 | ||||||
CSRA, Inc.† | 15 | 484 | ||||||
eBay, Inc.†* | 64 | 2,461 | ||||||
Electronic Arts, Inc.†* | 194 | 22,904 | ||||||
Facebook, Inc., Class A†* | 82 | 14,011 | ||||||
Fidelity National Information Services, Inc.† | 23 | 2,148 | ||||||
International Business Machines | ||||||||
Corp.† | 246 | 35,690 | ||||||
Intuit, Inc.† | 160 | 22,742 | ||||||
Mastercard, Inc., Class A† | 65 | 9,178 | ||||||
Microsoft Corp.† | 87 | 6,481 | ||||||
Oracle Corp.† | 1,035 | 50,042 | ||||||
Paychex, Inc.† | 226 | 13,551 | ||||||
Total System Services, Inc.† | 63 | 4,126 | ||||||
VeriSign, Inc.(a)* | 6 | 638 | ||||||
Visa, Inc., Class A | 282 | 29,678 | ||||||
|
| |||||||
304,462 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — 10.2% |
| |||||||
Apple, Inc.† | 509 | $ | 78,456 | |||||
Cisco Systems, Inc.† | 1,545 | 51,958 | ||||||
F5 Networks, Inc.†* | 49 | 5,907 | ||||||
FLIR Systems, Inc.† | 78 | 3,035 | ||||||
Harris Corp.† | 76 | 10,008 | ||||||
Hewlett Packard Enterprise Co.† | 1,019 | 14,989 | ||||||
HP, Inc.† | 1,047 | 20,898 | ||||||
Juniper Networks, Inc.† | 287 | 7,987 | ||||||
Motorola Solutions, Inc.† | 46 | 3,904 | ||||||
NetApp, Inc.† | 216 | 9,452 | ||||||
Seagate Technology PLC | 168 | 5,573 | ||||||
TE Connectivity Ltd. (Switzerland)† | 36 | 2,990 | ||||||
Western Digital Corp.† | 184 | 15,898 | ||||||
Xerox Corp. | 164 | 5,460 | ||||||
|
| |||||||
236,515 | ||||||||
|
| |||||||
Telecommunication Services — 4.1% |
| |||||||
AT&T, Inc.† | 1,081 | 42,343 | ||||||
CenturyLink, Inc.(a) | 34 | 643 | ||||||
Verizon Communications, Inc.† | 1,057 | 52,311 | ||||||
|
| |||||||
95,297 | ||||||||
|
| |||||||
Transportation — 8.8% |
| |||||||
Alaska Air Group, Inc. | 7 | 534 | ||||||
CSX Corp.† | 469 | 25,448 | ||||||
Delta Air Lines, Inc.† | 275 | 13,260 | ||||||
Expeditors International of Washington, Inc.† | 112 | 6,704 | ||||||
FedEx Corp.† | 119 | 26,844 | ||||||
JB Hunt Transport Services, Inc. | 68 | 7,553 | ||||||
Norfolk Southern Corp.† | 173 | 22,878 | ||||||
Southwest Airlines Co.† | 375 | 20,992 | ||||||
Union Pacific Corp.† | 423 | 49,055 | ||||||
United Parcel Service, Inc., | 264 | 31,704 | ||||||
|
| |||||||
204,972 | ||||||||
|
| |||||||
Utilities — 3.2% |
| |||||||
AES Corp.† | 40 | 441 | ||||||
CenterPoint Energy, Inc.† | 211 | 6,163 | ||||||
CMS Energy Corp.† | 176 | 8,152 | ||||||
DTE Energy Co.† | 112 | 12,024 | ||||||
Edison International | 153 | 11,807 | ||||||
Exelon Corp.† | 5 | 188 | ||||||
FirstEnergy Corp.† | 278 | 8,571 | ||||||
NiSource, Inc. | 24 | 614 | ||||||
NRG Energy, Inc. | 7 | 179 |
The accompanying notes are an integral part of the financial statements.
179
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
Public Service Enterprise Group, Inc.† | 316 | $ | 14,615 | |||||
WEC Energy Group, Inc.† | 197 | 12,368 | ||||||
|
| |||||||
75,122 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 3,389,087 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 146.1% |
| 3,389,087 | ||||||
|
| |||||||
(Cost $3,043,078) | ||||||||
SHORT POSITIONS — (85.6)% |
| |||||||
COMMON STOCKS — (85.6)% |
| |||||||
Automobiles & Components — (1.2)% |
| |||||||
Ford Motor Co. | (1,985 | ) | (23,760 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (126 | ) | (4,190 | ) | ||||
|
| |||||||
(27,950 | ) | |||||||
|
| |||||||
Banks — (0.3)% | ||||||||
Fifth Third Bancorp | (22 | ) | (616 | ) | ||||
People’s United Financial, Inc. | (170 | ) | (3,084 | ) | ||||
Regions Financial Corp. | (185 | ) | (2,818 | ) | ||||
|
| |||||||
(6,518 | ) | |||||||
|
| |||||||
Capital Goods — (6.7)% | ||||||||
Acuity Brands, Inc. | (22 | ) | (3,768 | ) | ||||
AO Smith Corp. | (86 | ) | (5,111 | ) | ||||
Dover Corp. | (76 | ) | (6,946 | ) | ||||
Eaton Corp. PLC (Ireland) | (227 | ) | (17,431 | ) | ||||
Flowserve Corp. | (27 | ) | (1,150 | ) | ||||
Fluor Corp. | (70 | ) | (2,947 | ) | ||||
Fortune Brands Home & Security, Inc. | (78 | ) | (5,244 | ) | ||||
General Dynamics Corp. | (69 | ) | (14,185 | ) | ||||
General Electric Co. | (1,342 | ) | (32,450 | ) | ||||
Johnson Controls International PLC (Ireland) | (469 | ) | (18,896 | ) | ||||
L3 Technologies, Inc. | (40 | ) | (7,537 | ) | ||||
Parker-Hannifin Corp. | (67 | ) | (11,726 | ) | ||||
Quanta Services, Inc.* | (76 | ) | (2,840 | ) | ||||
Raytheon Co. | (14 | ) | (2,612 | ) | ||||
United Rentals, Inc.* | (3 | ) | (416 | ) | ||||
United Technologies Corp. | (191 | ) | (22,171 | ) | ||||
WW Grainger, Inc. | (5 | ) | (899 | ) | ||||
|
| |||||||
(156,329 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (1.2)% |
| |||||||
Cintas Corp. | (53 | ) | (7,647 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (201 | ) | (8,860 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Nielsen Holdings PLC (United Kingdom) | (180 | ) | $ | (7,461 | ) | |||
Verisk Analytics, Inc.* | (33 | ) | (2,745 | ) | ||||
|
| |||||||
(26,713 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.2)% |
| |||||||
Hanesbrands, Inc. | (184 | ) | (4,534 | ) | ||||
Leggett & Platt, Inc. | (66 | ) | (3,150 | ) | ||||
Mattel, Inc. | (172 | ) | (2,663 | ) | ||||
Mohawk Industries, Inc.* | (37 | ) | (9,158 | ) | ||||
Newell Brands, Inc. | (243 | ) | (10,369 | ) | ||||
PVH Corp. | (40 | ) | (5,042 | ) | ||||
Under Armour, Inc., Class C* | (221 | ) | (3,319 | ) | ||||
VF Corp. | (198 | ) | (12,587 | ) | ||||
|
| |||||||
(50,822 | ) | |||||||
|
| |||||||
Consumer Services — (2.4)% | ||||||||
Carnival Corp. (Panama) | (365 | ) | (23,568 | ) | ||||
Chipotle Mexican Grill, Inc.* | (15 | ) | (4,617 | ) | ||||
Darden Restaurants, Inc. | (63 | ) | (4,963 | ) | ||||
MGM Resorts International | (289 | ) | (9,419 | ) | ||||
Starbucks Corp. | (234 | ) | (12,568 | ) | ||||
|
| |||||||
(55,135 | ) | |||||||
|
| |||||||
Diversified Financials — (3.7)% | ||||||||
American Express Co. | (66 | ) | (5,970 | ) | ||||
Ameriprise Financial, Inc. | (75 | ) | (11,138 | ) | ||||
Bank of New York Mellon Corp. (The) | (217 | ) | (11,505 | ) | ||||
CME Group, Inc. | (171 | ) | (23,201 | ) | ||||
Intercontinental Exchange, Inc. | (297 | ) | (20,404 | ) | ||||
Navient Corp. | (139 | ) | (2,088 | ) | ||||
Northern Trust Corp. | (116 | ) | (10,664 | ) | ||||
|
| |||||||
(84,970 | ) | |||||||
|
| |||||||
Energy — (10.1)% | ||||||||
Andeavor | (21 | ) | (2,166 | ) | ||||
Apache Corp. | (159 | ) | (7,282 | ) | ||||
Cimarex Energy Co. | (21 | ) | (2,387 | ) | ||||
EOG Resources, Inc. | (290 | ) | (28,055 | ) | ||||
EQT Corp. | (94 | ) | (6,133 | ) | ||||
Exxon Mobil Corp. | (376 | ) | (30,824 | ) | ||||
Halliburton Co. | (438 | ) | (20,161 | ) | ||||
Helmerich & Payne, Inc. | (56 | ) | (2,918 | ) | ||||
Hess Corp. | (164 | ) | (7,690 | ) | ||||
Kinder Morgan, Inc. | (1,153 | ) | (22,115 | ) | ||||
National Oilwell Varco, Inc. | (138 | ) | (4,931 | ) | ||||
Newfield Exploration Co.* | (99 | ) | (2,937 | ) |
The accompanying notes are an integral part of the financial statements.
180
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Phillips 66 | (212 | ) | $ | (19,421 | ) | |||
Pioneer Natural Resources Co. | (86 | ) | (12,688 | ) | ||||
Schlumberger Ltd. (Curacao) | (666 | ) | (46,460 | ) | ||||
TechnipFMC PLC (United Kingdom)* | (235 | ) | (6,561 | ) | ||||
Williams Cos., Inc. (The) | (415 | ) | (12,454 | ) | ||||
|
| |||||||
(235,183 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (3.3)% |
| |||||||
Archer-Daniels-Midland Co. | (284 | ) | (12,073 | ) | ||||
Hershey Co. (The) | (109 | ) | (11,900 | ) | ||||
McCormick & Co., Inc., non-voting shares | (64 | ) | (6,569 | ) | ||||
Mondelez International, Inc., Class A | (661 | ) | (26,876 | ) | ||||
Monster Beverage Corp.* | (128 | ) | (7,072 | ) | ||||
Tyson Foods, Inc., Class A | (184 | ) | (12,963 | ) | ||||
(77,453 | ) | |||||||
Health Care Equipment & Services — (6.4)% |
| |||||||
Abbott Laboratories | (13 | ) | (694 | ) | ||||
Align Technology, Inc.* | (2 | ) | (373 | ) | ||||
Becton Dickinson and Co. | (43 | ) | (8,426 | ) | ||||
Boston Scientific Corp.* | (690 | ) | (20,127 | ) | ||||
Cardinal Health, Inc. | (160 | ) | (10,707 | ) | ||||
Cooper Cos., Inc. (The) | (15 | ) | (3,557 | ) | ||||
Danaher Corp. | (350 | ) | (30,023 | ) | ||||
DaVita, Inc.* | (97 | ) | (5,761 | ) | ||||
DENTSPLY SIRONA, Inc. | (115 | ) | (6,878 | ) | ||||
Edwards Lifesciences Corp.* | (92 | ) | (10,057 | ) | ||||
Henry Schein, Inc.* | (79 | ) | (6,477 | ) | ||||
Hologic, Inc.* | (76 | ) | (2,788 | ) | ||||
ResMed, Inc. | (72 | ) | (5,541 | ) | ||||
Stryker Corp. | (188 | ) | (26,700 | ) | ||||
Zimmer Biomet Holdings, Inc. | (87 | ) | (10,187 | ) | ||||
|
| |||||||
(148,296 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.7)% |
| |||||||
Coty, Inc., Class A | (380 | ) | (6,281 | ) | ||||
Procter & Gamble Co. (The) | (109 | ) | (9,917 | ) | ||||
|
| |||||||
(16,198 | ) | |||||||
�� |
|
| ||||||
Insurance — (3.7)% |
| |||||||
Aflac, Inc. | (19 | ) | (1,546 | ) | ||||
American International Group, Inc. | (455 | ) | (27,932 | ) | ||||
Assurant, Inc. | (1 | ) | (96 | ) | ||||
Cincinnati Financial Corp. | (83 | ) | (6,355 | ) | ||||
Everest Re Group Ltd. | (21 | ) | (4,796 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Hartford Financial Services Group, Inc. (The) | (183 | ) | $ | (10,144 | ) | |||
Loews Corp. | (170 | ) | (8,136 | ) | ||||
Marsh & McLennan Cos., Inc. | (84 | ) | (7,040 | ) | ||||
Principal Financial Group, Inc. | (146 | ) | (9,394 | ) | ||||
Torchmark Corp. | (59 | ) | (4,725 | ) | ||||
Unum Group | (4 | ) | (205 | ) | ||||
XL Group Ltd. (Bermuda) | (131 | ) | (5,168 | ) | ||||
|
| |||||||
(85,537 | ) | |||||||
|
| |||||||
Materials — (5.9)% | ||||||||
Albemarle Corp. | (55 | ) | (7,497 | ) | ||||
CF Industries Holdings, Inc. | (93 | ) | (3,270 | ) | ||||
DowDuPont, Inc. | (420 | ) | (29,077 | ) | ||||
Eastman Chemical Co. | (75 | ) | (6,787 | ) | ||||
Ecolab, Inc. | (113 | ) | (14,533 | ) | ||||
International Flavors & Fragrances, Inc. | (40 | ) | (5,716 | ) | ||||
International Paper Co. | (207 | ) | (11,762 | ) | ||||
Martin Marietta Materials, Inc. | (33 | ) | (6,806 | ) | ||||
Monsanto Co. | (221 | ) | (26,480 | ) | ||||
Mosaic Co. (The) | (186 | ) | (4,016 | ) | ||||
Nucor Corp. | (160 | ) | (8,966 | ) | ||||
Sealed Air Corp. | (96 | ) | (4,101 | ) | ||||
Vulcan Materials Co. | (70 | ) | (8,372 | ) | ||||
|
| |||||||
(137,383 | ) | |||||||
|
| |||||||
Media — (0.2)% | ||||||||
Interpublic Group of Cos., Inc. (The) | (199 | ) | (4,137 | ) | ||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (11.4)% |
| |||||||
Agilent Technologies, Inc. | (3 | ) | (193 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (123 | ) | (17,256 | ) | ||||
Allergan PLC (Ireland) | (168 | ) | (34,432 | ) | ||||
Eli Lilly & Co. | (529 | ) | (45,251 | ) | ||||
Incyte Corp.* | (107 | ) | (12,491 | ) | ||||
Merck & Co., Inc. | (330 | ) | (21,130 | ) | ||||
Mylan NV (Netherlands)* | (270 | ) | (8,470 | ) | ||||
PerkinElmer, Inc. | (56 | ) | (3,862 | ) | ||||
Perrigo Co. PLC (Ireland) | (57 | ) | (4,825 | ) | ||||
Pfizer, Inc. | (1,087 | ) | (38,806 | ) | ||||
Quintiles IMS Holdings, Inc.* | (108 | ) | (10,268 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (61 | ) | (27,274 | ) | ||||
Thermo Fisher Scientific, Inc. | (197 | ) | (37,272 | ) | ||||
Waters Corp.* | (7 | ) | (1,257 | ) |
The accompanying notes are an integral part of the financial statements.
181
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
Zoetis, Inc. | �� | (10 | ) | $ | (638 | ) | ||
|
| |||||||
(263,425 | ) | |||||||
|
| |||||||
Real Estate — (6.2)% | ||||||||
American Tower Corp., REIT | (55 | ) | (7,517 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (80 | ) | (3,509 | ) | ||||
Boston Properties, Inc., REIT | (68 | ) | (8,356 | ) | ||||
Crown Castle International Corp., REIT | (186 | ) | (18,596 | ) | ||||
Equity Residential, REIT | (187 | ) | (12,329 | ) | ||||
Federal Realty Investment Trust, REIT | (35 | ) | (4,347 | ) | ||||
GGP, Inc., REIT | (445 | ) | (9,243 | ) | ||||
HCP, Inc., REIT | (237 | ) | (6,596 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (362 | ) | (6,693 | ) | ||||
Iron Mountain, Inc., REIT | (134 | ) | (5,213 | ) | ||||
Kimco Realty Corp., REIT | (224 | ) | (4,379 | ) | ||||
Macerich Co. (The), REIT | (77 | ) | (4,233 | ) | ||||
SBA Communications Corp., REIT* | (61 | ) | (8,787 | ) | ||||
Simon Property Group, Inc., REIT | (111 | ) | (17,872 | ) | ||||
SL Green Realty Corp., REIT | (54 | ) | (5,471 | ) | ||||
Vornado Realty Trust, REIT | (96 | ) | (7,380 | ) | ||||
Welltower, Inc., REIT | (186 | ) | (13,072 | ) | ||||
|
| |||||||
(143,593 | ) | |||||||
|
| |||||||
Retailing — (3.1)% | ||||||||
Amazon.com, Inc.* | (24 | ) | (23,072 | ) | ||||
Kohl’s Corp. | (2 | ) | (91 | ) | ||||
L Brands, Inc. | (2 | ) | (84 | ) | ||||
Priceline Group, Inc. (The)* | (21 | ) | (38,447 | ) | ||||
TripAdvisor, Inc.* | (90 | ) | (3,648 | ) | ||||
Ulta Beauty, Inc.* | (31 | ) | (7,008 | ) | ||||
|
| |||||||
(72,350 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (4.5)% |
| |||||||
Advanced Micro Devices, Inc.* | (476 | ) | (6,069 | ) | ||||
Analog Devices, Inc. | (187 | ) | (16,114 | ) | ||||
Broadcom Ltd. (Singapore) | (190 | ) | (46,083 | ) | ||||
NVIDIA Corp. | (180 | ) | (32,179 | ) | ||||
Qorvo, Inc.* | (65 | ) | (4,594 | ) | ||||
|
| |||||||
(105,039 | ) | |||||||
|
| |||||||
Software & Services — (4.3)% |
| |||||||
Activision Blizzard, Inc. | (381 | ) | (24,578 | ) | ||||
Adobe Systems, Inc.* | (4 | ) | (597 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Akamai Technologies, Inc.* | (87 | ) | $ | (4,239 | ) | |||
Alliance Data Systems Corp. | (28 | ) | (6,203 | ) | ||||
ANSYS, Inc.* | (43 | ) | (5,277 | ) | ||||
Cadence Design Systems, Inc.* | (142 | ) | (5,605 | ) | ||||
DXC Technology Co. | (142 | ) | (12,195 | ) | ||||
Fiserv, Inc.* | (73 | ) | (9,414 | ) | ||||
Gartner, Inc.* | (45 | ) | (5,598 | ) | ||||
Global Payments, Inc. | (77 | ) | (7,317 | ) | ||||
PayPal Holdings, Inc.* | (31 | ) | (1,985 | ) | ||||
salesforce.com, Inc.* | (5 | ) | (467 | ) | ||||
Symantec Corp. | (308 | ) | (10,105 | ) | ||||
Synopsys, Inc.* | (22 | ) | (1,772 | ) | ||||
Western Union Co. (The) | (234 | ) | (4,493 | ) | ||||
|
| |||||||
(99,845 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (1.2)% |
| |||||||
Amphenol Corp., Class A | (163 | ) | (13,796 | ) | ||||
Corning, Inc. | (454 | ) | (13,584 | ) | ||||
|
| |||||||
(27,380 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.0)% |
| |||||||
Level 3 Communications, Inc.* | (12 | ) | (639 | ) | ||||
|
| |||||||
Transportation — (1.1)% | ||||||||
American Airlines Group, Inc. | (246 | ) | (11,683 | ) | ||||
CH Robinson Worldwide, Inc. | (71 | ) | (5,403 | ) | ||||
United Continental Holdings, Inc.* | (156 | ) | (9,497 | ) | ||||
|
| |||||||
(26,583 | ) | |||||||
|
| |||||||
Utilities — (5.8)% | ||||||||
Alliant Energy Corp. | (116 | ) | (4,822 | ) | ||||
Ameren Corp. | (101 | ) | (5,842 | ) | ||||
American Electric Power Co., Inc. | (39 | ) | (2,739 | ) | ||||
American Water Works Co., Inc. | (91 | ) | (7,363 | ) | ||||
Consolidated Edison, Inc. | (154 | ) | (12,425 | ) | ||||
Dominion Resources, Inc. | (112 | ) | (8,616 | ) | ||||
Duke Energy Corp. | (139 | ) | (11,665 | ) | ||||
Entergy Corp. | (90 | ) | (6,872 | ) | ||||
Eversource Energy | (159 | ) | (9,610 | ) | ||||
NextEra Energy, Inc. | (4 | ) | (586 | ) | ||||
PG&E Corp. | (257 | ) | (17,499 | ) | ||||
Pinnacle West Capital Corp. | (56 | ) | (4,735 | ) | ||||
PPL Corp. | (344 | ) | (13,055 | ) | ||||
SCANA Corp. | (71 | ) | (3,443 | ) | ||||
Sempra Energy | (63 | ) | (7,190 | ) | ||||
Southern Co. (The) | (184 | ) | (9,042 | ) |
The accompanying notes are an integral part of the financial statements.
182
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
Xcel Energy, Inc. | (191 | ) | $ | (9,038 | ) | |||
|
| |||||||
(134,542 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK | (1,986,020 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD |
| (1,986,020 | ) | |||||
|
| |||||||
(Proceeds $1,975,897) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.5% | 916,429 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,319,496 | ||||||
|
|
† | 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) |
* | Non-income producing. |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
183
GOTHAM HEDGED CORE FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 95.5% |
| |||||||
COMMON STOCKS — 95.5% |
| |||||||
Automobiles & Components — 1.6% |
| |||||||
BorgWarner, Inc.† | 75 | $ | 3,842 | |||||
Delphi Automotive PLC (Jersey)† | 95 | 9,348 | ||||||
General Motors Co.† | 476 | 19,221 | ||||||
Harley-Davidson, Inc.(a) | 59 | 2,844 | ||||||
|
| |||||||
35,255 | ||||||||
|
| |||||||
Banks — 3.9% | ||||||||
Bank of America Corp.† | 621 | 15,736 | ||||||
BB&T Corp.† | 50 | 2,347 | ||||||
Citigroup, Inc.† | 110 | 8,001 | ||||||
Citizens Financial Group, Inc.† | 38 | 1,439 | ||||||
Comerica, Inc.† | 11 | 839 | ||||||
Huntington Bancshares, Inc.† | 256 | 3,574 | ||||||
JPMorgan Chase & Co.† | 218 | 20,821 | ||||||
KeyCorp.† | 230 | 4,329 | ||||||
M&T Bank Corp.† | 14 | 2,255 | ||||||
People’s United Financial, Inc. | 2 | 36 | ||||||
PNC Financial Services Group, Inc. (The)† | 30 | 4,043 | ||||||
Regions Financial Corp.† | 76 | 1,157 | ||||||
SunTrust Banks, Inc.† | 31 | 1,853 | ||||||
US Bancorp† | 104 | 5,573 | ||||||
Wells Fargo & Co.† | 305 | 16,821 | ||||||
Zions Bancorporation† | 13 | 613 | ||||||
|
| |||||||
89,437 | ||||||||
|
| |||||||
Capital Goods — 7.4% | ||||||||
3M Co.† | 31 | 6,507 | ||||||
Allegion PLC (Ireland) | 34 | 2,940 | ||||||
AMETEK, Inc.† | 32 | 2,113 | ||||||
Arconic, Inc. | 173 | 4,304 | ||||||
Boeing Co. (The)† | 158 | 40,165 | ||||||
Caterpillar, Inc.† | 200 | 24,942 | ||||||
Cummins, Inc.† | 58 | 9,746 | ||||||
Deere & Co. | 1 | 126 | ||||||
Emerson Electric Co.† | 4 | 251 | ||||||
Fastenal Co. | 25 | 1,140 | ||||||
Fortive Corp.† | 22 | 1,557 | ||||||
Honeywell International, Inc.† | 125 | 17,718 | ||||||
Illinois Tool Works, Inc.† | 22 | 3,255 | ||||||
Ingersoll-Rand PLC (Ireland)† | 90 | 8,025 | ||||||
Jacobs Engineering Group, Inc.† | 41 | 2,389 | ||||||
Lockheed Martin Corp.† | 66 | 20,479 | ||||||
Northrop Grumman Corp.† | 11 | 3,165 | ||||||
PACCAR, Inc. | 4 | 289 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Pentair PLC (Ireland) | 62 | $ | 4,214 | |||||
Rockwell Automation, Inc. | 27 | 4,812 | ||||||
Roper Technologies, Inc. | 6 | 1,460 | ||||||
Snap-on, Inc.† | 19 | 2,831 | ||||||
TransDigm Group, Inc. | 16 | 4,090 | ||||||
United Technologies Corp. | 4 | �� | 464 | |||||
WW Grainger, Inc. | 3 | 539 | ||||||
|
| |||||||
167,521 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.5% |
| |||||||
Equifax, Inc. | 3 | 318 | ||||||
Republic Services, Inc. | 21 | 1,387 | ||||||
Robert Half International, Inc.† | 45 | 2,265 | ||||||
Stericycle, Inc.* | 5 | 358 | ||||||
Waste Management, Inc. | 98 | 7,670 | ||||||
|
| |||||||
11,998 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.1% |
| |||||||
Coach, Inc. | 96 | 3,867 | ||||||
DR Horton, Inc.† | 84 | 3,354 | ||||||
Garmin Ltd. (Switzerland) | 12 | 648 | ||||||
Hasbro, Inc. | 9 | 879 | ||||||
Lennar Corp., Class A† | 14 | 739 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 57 | 2,727 | ||||||
NIKE, Inc., Class B | 2 | 104 | ||||||
PulteGroup, Inc. | 98 | 2,678 | ||||||
PVH Corp.† | 28 | 3,530 | ||||||
Ralph Lauren Corp.† | 29 | 2,560 | ||||||
Whirlpool Corp.† | 23 | 4,242 | ||||||
|
| |||||||
25,328 | ||||||||
|
| |||||||
Consumer Services — 1.8% | ||||||||
H&R Block, Inc.† | 13 | 344 | ||||||
Hilton Worldwide Holdings, Inc. | 110 | 7,640 | ||||||
Marriott International, Inc., | 127 | 14,003 | ||||||
McDonald’s Corp.† | 50 | 7,834 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 32 | 3,793 | ||||||
Wyndham Worldwide Corp.† | 38 | 4,006 | ||||||
Wynn Resorts Ltd. | 6 | 894 | ||||||
Yum! Brands, Inc.† | 20 | 1,472 | ||||||
|
| |||||||
39,986 | ||||||||
|
| |||||||
Diversified Financials — 5.3% | ||||||||
Ameriprise Financial, Inc.† | 4 | 594 |
The accompanying notes are an integral part of the financial statements.
184
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Bank of New York Mellon Corp. (The)† | 47 | $ | 2,492 | |||||
Berkshire Hathaway, Inc., | 148 | 27,131 | ||||||
BlackRock, Inc.† | 37 | 16,542 | ||||||
Capital One Financial Corp.† | 29 | 2,455 | ||||||
CBOE Holdings, Inc. | 15 | 1,614 | ||||||
Charles Schwab Corp. (The)† | 172 | 7,523 | ||||||
CME Group, Inc.† | 11 | 1,492 | ||||||
Discover Financial Services† | 23 | 1,483 | ||||||
E*TRADE Financial Corp.†* | 17 | 741 | ||||||
Franklin Resources, Inc. | 189 | 8,412 | ||||||
Goldman Sachs Group, Inc. (The)† | 38 | 9,013 | ||||||
Invesco Ltd. (Bermuda) | 138 | 4,836 | ||||||
Leucadia National Corp. | 22 | 556 | ||||||
Moody’s Corp.† | 66 | �� | 9,188 | |||||
Morgan Stanley† | 150 | 7,226 | ||||||
Nasdaq, Inc.† | 57 | 4,421 | ||||||
Northern Trust Corp.† | 14 | 1,287 | ||||||
Raymond James Financial, Inc. | 8 | 675 | ||||||
S&P Global, Inc.† | 15 | 2,345 | ||||||
State Street Corp.† | 22 | 2,102 | ||||||
Synchrony Financial† | 48 | 1,490 | ||||||
T Rowe Price Group, Inc.† | 82 | 7,433 | ||||||
|
| |||||||
121,051 | ||||||||
|
| |||||||
Energy — 4.6% | ||||||||
Anadarko Petroleum Corp. | 187 | 9,135 | ||||||
Cabot Oil & Gas Corp. | 28 | 749 | ||||||
Chesapeake Energy Corp.(a)* | 265 | 1,140 | ||||||
Chevron Corp.† | 203 | 23,852 | ||||||
ConocoPhillips† | 415 | 20,771 | ||||||
Devon Energy Corp. | 25 | 918 | ||||||
Marathon Oil Corp. | 26 | 353 | ||||||
Marathon Petroleum Corp.† | 163 | 9,141 | ||||||
Noble Energy, Inc. | 37 | 1,049 | ||||||
Occidental Petroleum Corp. | 258 | 16,566 | ||||||
ONEOK, Inc.† | 121 | 6,705 | ||||||
Range Resources Corp.(a) | 84 | 1,644 | ||||||
Valero Energy Corp.† | 158 | 12,155 | ||||||
|
| |||||||
104,178 | ||||||||
|
| |||||||
Food & Staples Retailing — 4.5% |
| |||||||
Costco Wholesale Corp. | 23 | 3,779 | ||||||
CVS Health Corp.† | 370 | 30,088 | ||||||
Kroger Co. (The) | 55 | 1,103 | ||||||
Sysco Corp.† | 180 | 9,711 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
Walgreens Boots Alliance, Inc.† | 278 | $ | 21,467 | |||||
Wal-Mart Stores, Inc.† | 475 | 37,116 | ||||||
|
| |||||||
103,264 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 3.8% |
| |||||||
Altria Group, Inc.† | 412 | 26,129 | ||||||
Campbell Soup Co. | 18 | 843 | ||||||
Coca-Cola Co. (The) | 252 | 11,343 | ||||||
Conagra Brands, Inc.† | 153 | 5,162 | ||||||
Dr Pepper Snapple Group, Inc.† | 62 | 5,485 | ||||||
General Mills, Inc. | 81 | 4,193 | ||||||
Hormel Foods Corp.(a) | 1 | 32 | ||||||
JM Smucker Co. (The) | 6 | 630 | ||||||
Kellogg Co. | 116 | 7,235 | ||||||
Kraft Heinz Co. (The) | 39 | 3,024 | ||||||
Molson Coors Brewing Co., | 73 | 5,960 | ||||||
PepsiCo, Inc. | 97 | 10,809 | ||||||
Philip Morris International, Inc.† | 41 | 4,551 | ||||||
|
| |||||||
85,396 | ||||||||
|
| |||||||
Health Care Equipment & Services — 7.2% |
| |||||||
Aetna, Inc.† | 123 | 19,558 | ||||||
AmerisourceBergen Corp. | 77 | 6,372 | ||||||
Anthem, Inc.† | 92 | 17,469 | ||||||
Baxter International, Inc.† | 35 | 2,196 | ||||||
Centene Corp.†* | 60 | 5,806 | ||||||
Cigna Corp.† | 90 | 16,825 | ||||||
CR Bard, Inc. | 4 | 1,282 | ||||||
Express Scripts Holding Co.†* | 219 | 13,867 | ||||||
HCA Healthcare, Inc.†* | 122 | 9,710 | ||||||
Humana, Inc.† | 52 | 12,669 | ||||||
Laboratory Corp. of America Holdings†* | 37 | 5,586 | ||||||
McKesson Corp.† | 72 | 11,060 | ||||||
Medtronic PLC (Ireland)† | 98 | 7,621 | ||||||
Quest Diagnostics, Inc.† | 27 | 2,528 | ||||||
UnitedHealth Group, Inc.† | 122 | 23,894 | ||||||
Universal Health Services, Inc., Class B | 33 | 3,661 | ||||||
Varian Medical Systems, Inc.* | 32 | 3,202 | ||||||
|
| |||||||
163,306 | ||||||||
|
| |||||||
Household & Personal Products — 1.2% |
| |||||||
Church & Dwight Co., Inc.† | 16 | 775 | ||||||
Clorox Co. (The) | 44 | 5,804 | ||||||
Colgate-Palmolive Co. | 51 | 3,715 |
The accompanying notes are an integral part of the financial statements.
185
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Estee Lauder Cos., Inc. (The), Class A† | 23 | $ | 2,480 | |||||
Kimberly-Clark Corp.† | 94 | 11,062 | ||||||
Procter & Gamble Co. (The)† | 48 | 4,367 | ||||||
|
| |||||||
28,203 | ||||||||
|
| |||||||
Insurance — 1.5% | ||||||||
Allstate Corp. (The) | 16 | 1,471 | ||||||
Aon PLC (United Kingdom)† | 75 | 10,958 | ||||||
Arthur J Gallagher & Co. | 10 | 616 | ||||||
Chubb Ltd. (Switzerland)† | 40 | 5,702 | ||||||
MetLife, Inc. | 64 | 3,325 | ||||||
Progressive Corp. (The)† | 99 | 4,794 | ||||||
Prudential Financial, Inc.† | 33 | 3,509 | ||||||
Torchmark Corp.† | 8 | 641 | ||||||
Travelers Cos., Inc. (The)† | 14 | 1,715 | ||||||
Unum Group† | 15 | 767 | ||||||
Willis Towers Watson PLC (Ireland) | 8 | 1,234 | ||||||
|
| |||||||
34,732 | ||||||||
|
| |||||||
Materials — 3.0% | ||||||||
Air Products & Chemicals, Inc.† | 74 | 11,190 | ||||||
Ball Corp. | 119 | 4,915 | ||||||
FMC Corp. | 45 | 4,019 | ||||||
Freeport-McMoRan, Inc.†* | 476 | 6,683 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 138 | 13,669 | ||||||
Newmont Mining Corp. | 181 | 6,789 | ||||||
Packaging Corp. of America | 32 | 3,670 | ||||||
PPG Industries, Inc.† | 2 | 217 | ||||||
Praxair, Inc. | 17 | 2,376 | ||||||
Sherwin-Williams Co. (The)† | 33 | 11,815 | ||||||
WestRock Co.† | 67 | 3,801 | ||||||
|
| |||||||
69,144 | ||||||||
|
| |||||||
Media — 5.4% | ||||||||
CBS Corp., Class B, non-voting shares† | 84 | 4,872 | ||||||
Charter Communications, Inc., Class A†* | 16 | 5,815 | ||||||
Comcast Corp., Class A† | 779 | 29,976 | ||||||
Discovery Communications, Inc., Class A†* | 58 | 1,235 | ||||||
News Corp., Class A† | 203 | 2,692 | ||||||
Omnicom Group, Inc.† | 82 | 6,074 | ||||||
Scripps Networks Interactive, Inc., Class A† | 45 | 3,865 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Time Warner, Inc.† | 262 | $ | 26,842 | |||||
Twenty-First Century Fox, Inc., Class A† | 640 | 16,883 | ||||||
Viacom, Inc., Class B | 25 | 696 | ||||||
Walt Disney Co. (The)† | 229 | 22,573 | ||||||
|
| |||||||
121,523 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 5.2% |
| |||||||
AbbVie, Inc.† | 268 | 23,815 | ||||||
Amgen, Inc.† | 103 | 19,204 | ||||||
Biogen, Inc.†* | 20 | 6,262 | ||||||
Bristol-Myers Squibb Co.† | 99 | 6,310 | ||||||
Celgene Corp.†* | 88 | 12,832 | ||||||
Gilead Sciences, Inc.† | 351 | 28,438 | ||||||
Johnson & Johnson† | 132 | 17,161 | ||||||
Merck & Co., Inc.† | 35 | 2,241 | ||||||
Waters Corp.†* | 4 | 718 | ||||||
|
| |||||||
116,981 | ||||||||
|
| |||||||
Real Estate — 1.4% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT | 24 | 2,855 | ||||||
CBRE Group, Inc., Class A, REIT†* | 21 | 796 | ||||||
Digital Realty Trust, Inc., REIT† | 11 | 1,302 | ||||||
Duke Realty Corp., REIT | 101 | 2,911 | ||||||
Essex Property Trust, Inc., REIT† | 4 | 1,016 | ||||||
Extra Space Storage, Inc., REIT† | 35 | 2,797 | ||||||
Mid-America Apartment Communities, Inc., REIT | 38 | 4,061 | ||||||
Prologis, Inc., REIT | 74 | 4,696 | ||||||
Public Storage, REIT | 5 | 1,070 | ||||||
Realty Income Corp., REIT | 18 | 1,029 | ||||||
Regency Centers Corp., REIT | 57 | 3,536 | ||||||
UDR, Inc., REIT† | 17 | 647 | ||||||
Ventas, Inc., REIT† | 12 | 782 | ||||||
Weyerhaeuser Co., REIT† | 105 | 3,573 | ||||||
|
| |||||||
31,071 | ||||||||
|
| |||||||
Retailing — 5.2% |
| |||||||
Advance Auto Parts, Inc. | 25 | 2,480 | ||||||
Amazon.com, Inc.* | 3 | 2,884 | ||||||
AutoZone, Inc.†* | 8 | 4,761 | ||||||
Best Buy Co., Inc.† | 111 | 6,323 | ||||||
CarMax, Inc.* | 51 | 3,866 | ||||||
Dollar General Corp.† | 21 | 1,702 | ||||||
Dollar Tree, Inc.* | 15 | 1,302 |
The accompanying notes are an integral part of the financial statements.
186
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Gap, Inc. (The)†(a) | 24 | $ | 709 | |||||
Genuine Parts Co. | 50 | 4,782 | ||||||
Home Depot, Inc. (The)† | 237 | 38,764 | ||||||
LKQ Corp.* | 105 | 3,779 | ||||||
Lowe’s Cos., Inc.† | 289 | 23,103 | ||||||
Macy’s, Inc. | 19 | 415 | ||||||
Nordstrom, Inc. | 51 | 2,405 | ||||||
O’Reilly Automotive, Inc.†* | 27 | 5,815 | ||||||
Ross Stores, Inc. | 102 | 6,586 | ||||||
Signet Jewelers Ltd. (Bermuda)(a) | 21 | 1,398 | ||||||
Target Corp.† | 32 | 1,888 | ||||||
Tiffany & Co. | 8 | 734 | ||||||
TJX Cos., Inc. (The)† | 36 | 2,654 | ||||||
Tractor Supply Co. | 42 | 2,658 | ||||||
|
| |||||||
119,008 | ||||||||
|
| |||||||
Semiconductors & Semiconductor |
| |||||||
Analog Devices, Inc. | 11 | 948 | ||||||
Applied Materials, Inc.† | 377 | 19,638 | ||||||
Intel Corp.† | 690 | 26,275 | ||||||
KLA-Tencor Corp.† | 55 | 5,830 | ||||||
Lam Research Corp.† | 64 | 11,843 | ||||||
Microchip Technology, Inc.(a) | 15 | 1,347 | ||||||
Micron Technology, Inc.* | 411 | 16,165 | ||||||
Skyworks Solutions, Inc. | 65 | 6,624 | ||||||
Texas Instruments, Inc.† | 223 | 19,990 | ||||||
Xilinx, Inc. | 84 | 5,950 | ||||||
|
| |||||||
114,610 | ||||||||
|
| |||||||
Software & Services — 9.9% | ||||||||
Accenture PLC, Class A (Ireland)† | 76 | 10,265 | ||||||
Alphabet, Inc., Class A†* | 40 | 38,949 | ||||||
Automatic Data Processing, Inc. | 60 | 6,559 | ||||||
CA, Inc.† | 28 | 935 | ||||||
Citrix Systems, Inc.* | 33 | 2,535 | ||||||
Cognizant Technology Solutions Corp., Class A† | 35 | 2,539 | ||||||
CSRA, Inc.† | 57 | 1,839 | ||||||
eBay, Inc.†* | 106 | 4,077 | ||||||
Electronic Arts, Inc.†* | 105 | 12,396 | ||||||
Facebook, Inc., Class A†* | 127 | 21,700 | ||||||
Fidelity National Information Services, Inc.† | 10 | 934 | ||||||
International Business Machines Corp.† | 131 | 19,005 | ||||||
Intuit, Inc.† | 87 | 12,366 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Mastercard, Inc., Class A† | 64 | $ | 9,037 | |||||
Microsoft Corp.† | 278 | 20,708 | ||||||
Oracle Corp.† | 608 | 29,397 | ||||||
Paychex, Inc. | 122 | 7,315 | ||||||
Total System Services, Inc. | 39 | 2,554 | ||||||
VeriSign, Inc.†* | 9 | 958 | ||||||
Visa, Inc., Class A† | 197 | 20,732 | ||||||
|
| |||||||
224,800 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 6.8% |
| |||||||
Apple, Inc.† | 499 | 76,908 | ||||||
Cisco Systems, Inc.† | 756 | 25,424 | ||||||
F5 Networks, Inc.†* | 23 | 2,773 | ||||||
FLIR Systems, Inc.† | 46 | 1,790 | ||||||
Harris Corp. | 41 | 5,399 | ||||||
Hewlett Packard Enterprise Co. | 557 | 8,193 | ||||||
HP, Inc.† | 588 | 11,736 | ||||||
Juniper Networks, Inc.† | 133 | 3,701 | ||||||
NetApp, Inc. | 93 | 4,070 | ||||||
TE Connectivity Ltd. (Switzerland)† | 34 | 2,824 | ||||||
Western Digital Corp.† | 100 | 8,640 | ||||||
Xerox Corp. | 89 | 2,963 | ||||||
|
| |||||||
154,421 | ||||||||
|
| |||||||
Telecommunication Services — 2.5% |
| |||||||
AT&T, Inc.† | 662 | 25,931 | ||||||
CenturyLink, Inc.(a) | 34 | 643 | ||||||
Verizon Communications, Inc.† | 608 | 30,090 | ||||||
|
| |||||||
56,664 | ||||||||
|
| |||||||
Transportation — 4.6% |
| |||||||
Alaska Air Group, Inc.† | 12 | 915 | ||||||
CH Robinson Worldwide, | 7 | 533 | ||||||
CSX Corp. | 200 | 10,852 | ||||||
Delta Air Lines, Inc.† | 253 | 12,200 | ||||||
Expeditors International of Washington, Inc.† | 61 | 3,651 | ||||||
FedEx Corp.† | 45 | 10,151 | ||||||
JB Hunt Transport Services, Inc. | 37 | 4,110 | ||||||
Norfolk Southern Corp. | 59 | 7,802 | ||||||
Southwest Airlines Co.† | 212 | 11,868 | ||||||
Union Pacific Corp.† | 204 | 23,658 | ||||||
United Continental Holdings, Inc.†* | 23 | 1,400 | ||||||
United Parcel Service, Inc., Class B | 140 | 16,813 | ||||||
|
| |||||||
103,953 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
187
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — 2.0% |
| |||||||
AES Corp.† | 40 | $ | 441 | |||||
CenterPoint Energy, Inc.† | 30 | 876 | ||||||
CMS Energy Corp. | 95 | 4,400 | ||||||
DTE Energy Co.† | 60 | 6,442 | ||||||
Edison International | 66 | 5,093 | ||||||
Exelon Corp.† | 17 | 640 | ||||||
FirstEnergy Corp. | 150 | 4,624 | ||||||
NextEra Energy, Inc. | 17 | 2,491 | ||||||
NiSource, Inc. | 20 | 512 | ||||||
NRG Energy, Inc.† | 110 | 2,815 | ||||||
PPL Corp.† | 30 | 1,138 | ||||||
Public Service Enterprise Group, Inc. | 171 | 7,909 | ||||||
Southern Co. (The) | 1 | 49 | ||||||
WEC Energy Group, Inc.† | 106 | 6,655 | ||||||
Xcel Energy, Inc.† | 5 | 237 | ||||||
|
| |||||||
44,322 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 2,166,152 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 95.5% |
| 2,166,152 | ||||||
|
| |||||||
(Cost $1,870,956) | ||||||||
SHORT POSITIONS — (34.7)% |
| |||||||
COMMON STOCKS — (34.7)% |
| |||||||
Automobiles & Components — (0.5)% |
| |||||||
Ford Motor Co. | (861 | ) | (10,306 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (55 | ) | (1,829 | ) | ||||
|
| |||||||
(12,135 | ) | |||||||
|
| |||||||
Capital Goods — (2.6)% | ||||||||
Acuity Brands, Inc. | (10 | ) | (1,713 | ) | ||||
AO Smith Corp. | (38 | ) | (2,258 | ) | ||||
Dover Corp. | (10 | ) | (914 | ) | ||||
Eaton Corp. PLC (Ireland) | (99 | ) | (7,602 | ) | ||||
Fluor Corp. | (31 | ) | (1,305 | ) | ||||
Fortune Brands Home & Security, Inc. | (34 | ) | (2,286 | ) | ||||
General Dynamics Corp. | (41 | ) | (8,429 | ) | ||||
General Electric Co. | (397 | ) | (9,599 | ) | ||||
Johnson Controls International PLC (Ireland) | (203 | ) | (8,179 | ) | ||||
L3 Technologies, Inc. | (17 | ) | (3,203 | ) | ||||
Masco Corp. | (69 | ) | (2,692 | ) | ||||
Quanta Services, Inc.* | (34 | ) | (1,271 | ) | ||||
Raytheon Co. | (6 | ) | (1,119 | ) | ||||
Rockwell Collins, Inc. | (3 | ) | (392 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Stanley Black & Decker, Inc. | (34 | ) | $ | (5,133 | ) | |||
United Rentals, Inc.* | (19 | ) | (2,636 | ) | ||||
|
| |||||||
(58,731 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.5)% |
| |||||||
Cintas Corp. | (24 | ) | (3,463 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (87 | ) | (3,835 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (78 | ) | (3,233 | ) | ||||
Verisk Analytics, Inc.* | (18 | ) | (1,497 | ) | ||||
|
| |||||||
(12,028 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (0.9)% |
| |||||||
Hanesbrands, Inc. | (80 | ) | (1,971 | ) | ||||
Leggett & Platt, Inc. | (29 | ) | (1,384 | ) | ||||
Mattel, Inc. | (74 | ) | (1,146 | ) | ||||
Mohawk Industries, Inc.* | (16 | ) | (3,960 | ) | ||||
Newell Brands, Inc. | (105 | ) | (4,480 | ) | ||||
Under Armour, Inc., Class C* | (95 | ) | (1,427 | ) | ||||
VF Corp. | (86 | ) | (5,467 | ) | ||||
|
| |||||||
(19,835 | ) | |||||||
|
| |||||||
Consumer Services — (0.9)% |
| |||||||
Carnival Corp. (Panama) | (158 | ) | (10,202 | ) | ||||
Chipotle Mexican Grill, Inc.* | (7 | ) | (2,155 | ) | ||||
Darden Restaurants, Inc. | (27 | ) | (2,127 | ) | ||||
MGM Resorts International | (125 | ) | (4,074 | ) | ||||
Starbucks Corp. | (37 | ) | (1,987 | ) | ||||
|
| |||||||
(20,545 | ) | |||||||
|
| |||||||
Diversified Financials — (0.8)% |
| |||||||
American Express Co. | (181 | ) | (16,373 | ) | ||||
Navient Corp. | (56 | ) | (841 | ) | ||||
|
| |||||||
(17,214 | ) | |||||||
|
| |||||||
Energy — (3.9)% |
| |||||||
Andeavor | (15 | ) | (1,547 | ) | ||||
Apache Corp. | (2 | ) | (92 | ) | ||||
Cimarex Energy Co. | (21 | ) | (2,387 | ) | ||||
Concho Resources, Inc.* | (32 | ) | (4,215 | ) | ||||
EOG Resources, Inc. | (71 | ) | (6,869 | ) | ||||
EQT Corp. | (38 | ) | (2,479 | ) | ||||
Exxon Mobil Corp. | (55 | ) | (4,509 | ) | ||||
Halliburton Co. | (189 | ) | (8,700 | ) | ||||
Helmerich & Payne, Inc. | (24 | ) | (1,251 | ) | ||||
Hess Corp. | (69 | ) | (3,235 | ) | ||||
Kinder Morgan, Inc. | (497 | ) | (9,532 | ) | ||||
National Oilwell Varco, Inc. | (3 | ) | (107 | ) |
The accompanying notes are an integral part of the financial statements.
188
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Newfield Exploration Co.* | (44 | ) | $ | (1,305 | ) | |||
Phillips 66 | (90 | ) | (8,245 | ) | ||||
Pioneer Natural Resources Co. | (37 | ) | (5,459 | ) | ||||
Schlumberger Ltd. (Curacao) | (295 | ) | (20,579 | ) | ||||
TechnipFMC PLC (United Kingdom)* | (101 | ) | (2,820 | ) | ||||
Williams Cos., Inc. (The) | (180 | ) | (5,402 | ) | ||||
|
| |||||||
(88,733 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (1.5)% |
| |||||||
Archer-Daniels-Midland Co. | (123 | ) | (5,229 | ) | ||||
Hershey Co. (The) | (47 | ) | (5,131 | ) | ||||
McCormick & Co., Inc., non-voting shares | (28 | ) | (2,874 | ) | ||||
Mondelez International, Inc., Class A | (320 | ) | (13,011 | ) | ||||
Monster Beverage Corp.* | (34 | ) | (1,878 | ) | ||||
Tyson Foods, Inc., Class A | (79 | ) | (5,566 | ) | ||||
|
| |||||||
(33,689 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (3.2)% |
| |||||||
Abbott Laboratories | (4 | ) | (214 | ) | ||||
Becton Dickinson and Co. | (50 | ) | (9,798 | ) | ||||
Boston Scientific Corp.* | (298 | ) | (8,693 | ) | ||||
Cardinal Health, Inc. | (69 | ) | (4,617 | ) | ||||
Cooper Cos., Inc. (The) | (11 | ) | (2,608 | ) | ||||
Danaher Corp. | (151 | ) | (12,953 | ) | ||||
DaVita, Inc.* | (42 | ) | (2,494 | ) | ||||
DENTSPLY SIRONA, Inc. | (50 | ) | (2,990 | ) | ||||
Edwards Lifesciences Corp.* | (33 | ) | (3,607 | ) | ||||
Envision Healthcare Corp.* | (4 | ) | (180 | ) | ||||
Henry Schein, Inc.* | (36 | ) | (2,952 | ) | ||||
Hologic, Inc.* | (33 | ) | (1,211 | ) | ||||
Patterson Cos., Inc. | (21 | ) | (812 | ) | ||||
ResMed, Inc. | (31 | ) | (2,386 | ) | ||||
Stryker Corp. | (82 | ) | (11,646 | ) | ||||
Zimmer Biomet Holdings, Inc. | (44 | ) | (5,152 | ) | ||||
|
| |||||||
(72,313 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.1)% |
| |||||||
Coty, Inc., Class A | (164 | ) | (2,711 | ) | ||||
Insurance — (1.8)% | ||||||||
Aflac, Inc. | (4 | ) | (326 | ) | ||||
American International Group, Inc. | (196 | ) | (12,032 | ) | ||||
Assurant, Inc. | (14 | ) | (1,337 | ) | ||||
Brighthouse Financial, Inc.* | (27 | ) | (1,642 | ) | ||||
Cincinnati Financial Corp. | (36 | ) | (2,757 | ) | ||||
Everest Re Group Ltd. | (9 | ) | (2,056 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Hartford Financial Services Group, Inc. (The) | (79 | ) | $ | (4,379 | ) | |||
Lincoln National Corp. | (49 | ) | (3,601 | ) | ||||
Loews Corp. | (73 | ) | (3,494 | ) | ||||
Marsh & McLennan Cos., Inc. | (23 | ) | (1,928 | ) | ||||
Principal Financial Group, Inc. | (63 | ) | (4,053 | ) | ||||
XL Group Ltd. (Bermuda) | (57 | ) | (2,249 | ) | ||||
|
| |||||||
(39,854 | ) | |||||||
|
| |||||||
Materials — (2.6)% |
| |||||||
Albemarle Corp. | (24 | ) | (3,272 | ) | ||||
DowDuPont, Inc. | (171 | ) | (11,838 | ) | ||||
Eastman Chemical Co. | (33 | ) | (2,986 | ) | ||||
Ecolab, Inc. | (65 | ) | (8,360 | ) | ||||
International Flavors & Fragrances, Inc. | (18 | ) | (2,572 | ) | ||||
International Paper Co. | (91 | ) | (5,171 | ) | ||||
Martin Marietta Materials, Inc. | (15 | ) | (3,093 | ) | ||||
Monsanto Co. | (95 | ) | (11,383 | ) | ||||
Mosaic Co. (The) | (79 | ) | (1,706 | ) | ||||
Nucor Corp. | (70 | ) | (3,923 | ) | ||||
Sealed Air Corp. | (42 | ) | (1,794 | ) | ||||
Vulcan Materials Co. | (30 | ) | (3,588 | ) | ||||
|
| |||||||
(59,686 | ) | |||||||
|
| |||||||
Media — (0.1)% |
| |||||||
DISH Network Corp., Class A* | (26 | ) | (1,410 | ) | ||||
Interpublic Group of Cos., Inc. (The) | (86 | ) | (1,788 | ) | ||||
|
| |||||||
(3,198 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (4.8)% |
| |||||||
Alexion Pharmaceuticals, Inc.* | (50 | ) | (7,014 | ) | ||||
Allergan PLC (Ireland) | (73 | ) | (14,961 | ) | ||||
Eli Lilly & Co. | (228 | ) | (19,503 | ) | ||||
Illumina, Inc.* | (33 | ) | (6,574 | ) | ||||
Incyte Corp.* | (47 | ) | (5,487 | ) | ||||
Mylan NV (Netherlands)* | (117 | ) | (3,670 | ) | ||||
PerkinElmer, Inc. | (24 | ) | (1,655 | ) | ||||
Perrigo Co. PLC (Ireland) | (31 | ) | (2,624 | ) | ||||
Pfizer, Inc. | (354 | ) | (12,638 | ) | ||||
Quintiles IMS Holdings, Inc.* | (47 | ) | (4,468 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (27 | ) | (12,072 | ) | ||||
Thermo Fisher Scientific, Inc. | (85 | ) | (16,082 | ) | ||||
Zoetis, Inc. | (23 | ) | (1,466 | ) | ||||
|
| |||||||
(108,214 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
189
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (2.9)% |
| |||||||
American Tower Corp., REIT | (32 | ) | $ | (4,374 | ) | |||
Apartment Investment & Management Co., Class A, REIT | (35 | ) | (1,535 | ) | ||||
AvalonBay Communities, Inc., REIT | (23 | ) | (4,104 | ) | ||||
Boston Properties, Inc., REIT | (30 | ) | (3,686 | ) | ||||
Crown Castle International Corp., REIT | (79 | ) | (7,898 | ) | ||||
Equity Residential, REIT | (80 | ) | (5,274 | ) | ||||
Federal Realty Investment Trust, REIT | (16 | ) | (1,987 | ) | ||||
GGP, Inc., REIT | (192 | ) | (3,988 | ) | ||||
HCP, Inc., REIT | (102 | ) | (2,839 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (162 | ) | (2,995 | ) | ||||
Iron Mountain, Inc., REIT | (58 | ) | (2,256 | ) | ||||
Kimco Realty Corp., REIT | (95 | ) | (1,857 | ) | ||||
Macerich Co. (The), REIT | (33 | ) | (1,814 | ) | ||||
SBA Communications Corp., REIT* | (27 | ) | (3,889 | ) | ||||
Simon Property Group, Inc., REIT | (41 | ) | (6,601 | ) | ||||
SL Green Realty Corp., REIT | (23 | ) | (2,330 | ) | ||||
Vornado Realty Trust, REIT | (42 | ) | (3,229 | ) | ||||
Welltower, Inc., REIT | (81 | ) | (5,693 | ) | ||||
|
| |||||||
(66,349 | ) | |||||||
|
| |||||||
Retailing — (0.9)% |
| |||||||
Expedia, Inc. | (3 | ) | (432 | ) | ||||
Foot Locker, Inc. | (29 | ) | (1,021 | ) | ||||
L Brands, Inc. | (14 | ) | (583 | ) | ||||
Priceline Group, Inc. (The)* | (7 | ) | (12,816 | ) | ||||
TripAdvisor, Inc.* | (33 | ) | (1,337 | ) | ||||
Ulta Beauty, Inc.* | (14 | ) | (3,165 | ) | ||||
|
| |||||||
(19,354 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (1.8)% |
| |||||||
Advanced Micro Devices, Inc.* | (205 | ) | (2,614 | ) | ||||
Broadcom Ltd. (Singapore) | (81 | ) | (19,646 | ) | ||||
NVIDIA Corp. | (75 | ) | (13,408 | ) | ||||
Qorvo, Inc.* | (29 | ) | (2,050 | ) | ||||
QUALCOMM, Inc. | (59 | ) | (3,059 | ) | ||||
|
| |||||||
(40,777 | ) | |||||||
|
| |||||||
Software & Services — (1.9)% | ||||||||
Activision Blizzard, Inc. | (164 | ) | (10,580 | ) | ||||
Adobe Systems, Inc.* | (3 | ) | (448 | ) | ||||
Akamai Technologies, Inc.* | (38 | ) | (1,851 | ) | ||||
Alliance Data Systems Corp. | (13 | ) | (2,880 | ) | ||||
ANSYS, Inc.* | (19 | ) | (2,332 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Cadence Design Systems, Inc.* | (61 | ) | $ | (2,408 | ) | |||
DXC Technology Co. | (62 | ) | (5,325 | ) | ||||
Fiserv, Inc.* | (45 | ) | (5,803 | ) | ||||
Gartner, Inc.* | (20 | ) | (2,488 | ) | ||||
Global Payments, Inc. | (34 | ) | (3,231 | ) | ||||
PayPal Holdings, Inc.* | (34 | ) | (2,177 | ) | ||||
Synopsys, Inc.* | (33 | ) | (2,657 | ) | ||||
Western Union Co. (The) | (102 | ) | (1,958 | ) | ||||
|
| |||||||
(44,138 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.7)% |
| |||||||
Amphenol Corp., Class A | (70 | ) | (5,925 | ) | ||||
Corning, Inc. | (195 | ) | (5,834 | ) | ||||
Motorola Solutions, Inc. | (36 | ) | (3,055 | ) | ||||
|
| |||||||
(14,814 | ) | |||||||
|
| |||||||
Telecommunication Services — 0.0% |
| |||||||
Level 3 Communications, Inc.* | (4 | ) | (213 | ) | ||||
|
| |||||||
Transportation — (0.3)% |
| |||||||
American Airlines Group, Inc. | (112 | ) | (5,319 | ) | ||||
Kansas City Southern | (13 | ) | (1,413 | ) | ||||
|
| |||||||
(6,732 | ) | |||||||
|
| |||||||
Utilities — (2.0)% |
| |||||||
Alliant Energy Corp. | (50 | ) | (2,078 | ) | ||||
Ameren Corp. | (53 | ) | (3,066 | ) | ||||
American Electric Power Co., Inc. | (33 | ) | (2,318 | ) | ||||
American Water Works Co., Inc. | (39 | ) | (3,155 | ) | ||||
Consolidated Edison, Inc. | (67 | ) | (5,406 | ) | ||||
Dominion Resources, Inc. | (43 | ) | (3,308 | ) | ||||
Duke Energy Corp. | (52 | ) | (4,364 | ) | ||||
Entergy Corp. | (38 | ) | (2,902 | ) | ||||
Eversource Energy | (69 | ) | (4,170 | ) | ||||
PG&E Corp. | (111 | ) | (7,558 | ) | ||||
Pinnacle West Capital Corp. | (24 | ) | (2,029 | ) | ||||
SCANA Corp. | (30 | ) | (1,455 | ) | ||||
Sempra Energy | (34 | ) | (3,880 | ) | ||||
|
| |||||||
(45,689 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK |
| (786,952 | ) | |||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (34.7)% |
| (786,952 | ) | |||||
|
| |||||||
(Proceeds $780,445) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.2% | 887,932 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,267,132 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
190
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Concluded)
September 30, 2017
† | 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) |
* | Non-income producing. |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
191
GOTHAM INSTITUTIONAL VALUE FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — 100.5% |
| |||||||
Automobiles & Components — 1.9% |
| |||||||
BorgWarner, Inc. | 4 | $ | 205 | |||||
Delphi Automotive PLC (Jersey) | 100 | 9,840 | ||||||
General Motors Co. | 852 | 34,404 | ||||||
Harley-Davidson, Inc. | 99 | 4,773 | ||||||
|
| |||||||
49,222 | ||||||||
|
| |||||||
Banks — 0.0% | ||||||||
Regions Financial Corp. | 16 | 244 | ||||||
Capital Goods — 8.5% | ||||||||
3M Co. | 16 | 3,358 | ||||||
Acuity Brands, Inc. | 10 | 1,713 | ||||||
Allegion PLC (Ireland) | 42 | 3,632 | ||||||
AMETEK, Inc. | 55 | 3,632 | ||||||
Arconic, Inc. | 148 | 3,682 | ||||||
Boeing Co. (The) | 201 | 51,096 | ||||||
Caterpillar, Inc. | 292 | 36,415 | ||||||
Cummins, Inc. | 97 | 16,299 | ||||||
Emerson Electric Co. | 3 | 189 | ||||||
Fastenal Co. | 167 | 7,612 | ||||||
Flowserve Corp. | 20 | 852 | ||||||
General Electric Co. | 15 | 363 | ||||||
Honeywell International, Inc. | 218 | 30,899 | ||||||
Illinois Tool Works, Inc. | 20 | 2,959 | ||||||
Ingersoll-Rand PLC (Ireland) | 6 | 535 | ||||||
Jacobs Engineering Group, Inc. | 70 | 4,079 | ||||||
Lockheed Martin Corp. | 65 | 20,169 | ||||||
Northrop Grumman Corp. | 10 | 2,877 | ||||||
Pentair PLC (Ireland) | 105 | 7,136 | ||||||
Rockwell Automation, Inc. | 71 | 12,653 | ||||||
Rockwell Collins, Inc. | 12 | 1,569 | ||||||
Snap-on, Inc. | 30 | 4,470 | ||||||
TransDigm Group, Inc. | 28 | 7,158 | ||||||
United Technologies Corp. | 6 | 696 | ||||||
|
| |||||||
224,043 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.0% |
| |||||||
Equifax, Inc. | 40 | 4,240 | ||||||
Republic Services, Inc. | 66 | 4,360 | ||||||
Robert Half International, Inc. | 74 | 3,725 | ||||||
Stericycle, Inc.* | 5 | 358 | ||||||
Verisk Analytics, Inc.* | 12 | 998 | ||||||
Waste Management, Inc. | 167 | 13,071 | ||||||
|
| |||||||
26,752 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.5% |
| |||||||
Coach, Inc. | 163 | 6,566 |
Number Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Garmin Ltd. (Switzerland) | 109 | $ | 5,883 | |||||
Hasbro, Inc. | 52 | 5,079 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 95 | 4,546 | ||||||
NIKE, Inc., Class B | 79 | 4,096 | ||||||
PVH Corp. | 2 | 252 | ||||||
Ralph Lauren Corp. | 47 | 4,150 | ||||||
Whirlpool Corp. | 43 | 7,931 | ||||||
|
| |||||||
38,503 | ||||||||
|
| |||||||
Consumer Services — 3.1% | ||||||||
Hilton Worldwide Holdings, Inc. | 188 | 13,057 | ||||||
Marriott International, Inc., Class A | 141 | 15,547 | ||||||
McDonald’s Corp. | 104 | 16,295 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 125 | 14,818 | ||||||
Wyndham Worldwide Corp. | 63 | 6,641 | ||||||
Yum! Brands, Inc. | 199 | 14,648 | ||||||
|
| |||||||
81,006 | ||||||||
|
| |||||||
Diversified Financials — 4.1% | ||||||||
BlackRock, Inc. | 66 | 29,508 | ||||||
E*TRADE Financial Corp.* | 3 | 131 | ||||||
Franklin Resources, Inc. | 323 | 14,377 | ||||||
Invesco Ltd. (Bermuda) | 235 | 8,234 | ||||||
Moody’s Corp. | 111 | 15,452 | ||||||
Nasdaq, Inc. | 96 | 7,447 | ||||||
S&P Global, Inc. | 133 | 20,789 | ||||||
T Rowe Price Group, Inc. | 139 | 12,600 | ||||||
|
| |||||||
108,538 | ||||||||
|
| |||||||
Energy — 3.4% | ||||||||
Anadarko Petroleum Corp. | 319 | 15,583 | ||||||
Chesapeake Energy Corp.* | 524 | 2,253 | ||||||
ConocoPhillips | 704 | 35,235 | ||||||
Marathon Oil Corp. | 197 | 2,671 | ||||||
Marathon Petroleum Corp. | 132 | 7,403 | ||||||
Occidental Petroleum Corp. | 43 | 2,761 | ||||||
ONEOK, Inc. | 33 | 1,829 | ||||||
Range Resources Corp. | 144 | 2,818 | ||||||
Valero Energy Corp. | 255 | 19,617 | ||||||
|
| |||||||
90,170 | ||||||||
|
| |||||||
Food & Staples Retailing — 5.5% |
| |||||||
CVS Health Corp. | 595 | 48,385 | ||||||
Sysco Corp. | 306 | 16,509 | ||||||
Walgreens Boots Alliance, Inc. | 519 | 40,077 |
The accompanying notes are an integral part of the financial statements.
192
GOTHAM INSTITUTIONAL VALUE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
Wal-Mart Stores, Inc. | 504 | $ | 39,383 | |||||
|
| |||||||
144,354 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 4.3% |
| |||||||
Altria Group, Inc. | 459 | 29,110 | ||||||
Campbell Soup Co. | 3 | 140 | ||||||
Coca-Cola Co. (The) | 367 | 16,519 | ||||||
Conagra Brands, Inc. | 252 | 8,502 | ||||||
Dr Pepper Snapple Group, Inc. | 106 | 9,378 | ||||||
General Mills, Inc. | 193 | 9,990 | ||||||
Hormel Foods Corp. | 39 | 1,253 | ||||||
Kellogg Co. | 79 | 4,927 | ||||||
Kraft Heinz Co. (The) | 67 | 5,196 | ||||||
Molson Coors Brewing Co., Class B | 58 | 4,735 | ||||||
Mondelez International, Inc., Class A | 126 | 5,123 | ||||||
PepsiCo, Inc. | 118 | 13,149 | ||||||
Philip Morris International, Inc. | 43 | 4,773 | ||||||
|
| |||||||
112,795 | ||||||||
|
| |||||||
Health Care Equipment & Services — 9.7% |
| |||||||
Aetna, Inc. | 192 | 30,530 | ||||||
AmerisourceBergen Corp. | 130 | 10,758 | ||||||
Anthem, Inc. | 152 | 28,862 | ||||||
Baxter International, Inc. | 8 | 502 | ||||||
Centene Corp.* | 100 | 9,677 | ||||||
Cigna Corp. | 146 | 27,293 | ||||||
Express Scripts Holding Co.* | 362 | 22,922 | ||||||
HCA Healthcare, Inc.* | 208 | 16,555 | ||||||
Hologic, Inc.* | 11 | 404 | ||||||
Humana, Inc. | 86 | 20,952 | ||||||
Laboratory Corp. of America Holdings* | 59 | 8,907 | ||||||
McKesson Corp. | 122 | 18,740 | ||||||
Medtronic PLC (Ireland) | 218 | 16,954 | ||||||
Quest Diagnostics, Inc. | 34 | 3,184 | ||||||
UnitedHealth Group, Inc. | 108 | 21,152 | ||||||
Universal Health Services, Inc., Class B | 56 | 6,213 | ||||||
Varian Medical Systems, Inc.* | 54 | 5,403 | ||||||
Zimmer Biomet Holdings, Inc. | 60 | 7,025 | ||||||
|
| |||||||
256,033 | ||||||||
|
| |||||||
Household & Personal Products — 2.2% |
| |||||||
Church & Dwight Co., Inc. | 144 | 6,977 | ||||||
Clorox Co. (The) | 75 | 9,893 | ||||||
Colgate-Palmolive Co. | 156 | 11,365 |
Number Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Estee Lauder Cos., Inc. (The), Class A | 19 | $ | 2,049 | |||||
Kimberly-Clark Corp. | 204 | 24,007 | ||||||
Procter & Gamble Co. (The) | 39 | 3,548 | ||||||
|
| |||||||
57,839 | ||||||||
|
| |||||||
Insurance — 1.1% | ||||||||
Aflac, Inc. | 4 | 326 | ||||||
Allstate Corp. (The) | 6 | 551 | ||||||
American International Group, Inc. | 2 | 123 | ||||||
Aon PLC (United Kingdom) | 77 | 11,250 | ||||||
Arthur J Gallagher & Co. | 4 | 246 | ||||||
Assurant, Inc. | 1 | 96 | ||||||
Brighthouse Financial, Inc.* | 3 | 182 | ||||||
Chubb Ltd. (Switzerland) | 4 | 570 | ||||||
Everest Re Group Ltd. (Bermuda) | 1 | 228 | ||||||
Hartford Financial Services Group, Inc. (The) | 7 | 388 | ||||||
Loews Corp. | 1 | 48 | ||||||
Progressive Corp. (The) | 13 | 629 | ||||||
Torchmark Corp. | 1 | 80 | ||||||
Travelers Cos., Inc. (The) | 5 | 613 | ||||||
Willis Towers Watson PLC (Ireland) | 78 | 12,030 | ||||||
XL Group Ltd. (Bermuda) | 5 | 197 | ||||||
|
| |||||||
27,557 | ||||||||
|
| |||||||
Materials — 3.3% | ||||||||
Air Products & Chemicals, Inc. | 126 | 19,054 | ||||||
Eastman Chemical Co. | 11 | 995 | ||||||
FMC Corp. | 21 | 1,876 | ||||||
Freeport-McMoRan, Inc.* | 547 | 7,680 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 178 | 17,631 | ||||||
Newmont Mining Corp. | 308 | 11,553 | ||||||
Packaging Corp. of America | 55 | 6,307 | ||||||
PPG Industries, Inc. | 34 | 3,694 | ||||||
Sherwin-Williams Co. (The) | 53 | 18,976 | ||||||
WestRock Co. | 2 | 113 | ||||||
|
| |||||||
87,879 | ||||||||
|
| |||||||
Media — 6.2% | ||||||||
CBS Corp., Class B, non-voting shares | 160 | 9,280 | ||||||
Comcast Corp., Class A | 802 | 30,861 | ||||||
DISH Network Corp., Class A* | 89 | 4,826 | ||||||
Interpublic Group of Cos., Inc. (The) | 101 | 2,100 |
The accompanying notes are an integral part of the financial statements.
193
GOTHAM INSTITUTIONAL VALUE FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
News Corp., Class A | 336 | $ | 4,455 | |||||
Omnicom Group, Inc. | 135 | 9,999 | ||||||
Scripps Networks Interactive, Inc., Class A | 75 | 6,442 | ||||||
Time Warner, Inc. | 384 | 39,341 | ||||||
Twenty-First Century Fox, Inc., Class A | 905 | 23,874 | ||||||
Viacom, Inc., Class B | 6 | 167 | ||||||
Walt Disney Co. (The) | 308 | 30,360 | ||||||
|
| |||||||
161,705 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 5.4% |
| |||||||
AbbVie, Inc. | 268 | 23,815 | ||||||
Amgen, Inc. | 182 | 33,934 | ||||||
Biogen, Inc.* | 40 | 12,525 | ||||||
Bristol-Myers Squibb Co. | 112 | 7,139 | ||||||
Celgene Corp.* | 53 | 7,728 | ||||||
Gilead Sciences, Inc. | 436 | 35,325 | ||||||
Johnson & Johnson | 46 | 5,980 | ||||||
Merck & Co., Inc. | 29 | 1,857 | ||||||
PerkinElmer, Inc. | 15 | 1,035 | ||||||
Perrigo Co. PLC (Ireland) | 82 | 6,941 | ||||||
Waters Corp.* | 38 | 6,822 | ||||||
|
| |||||||
143,101 | ||||||||
|
| |||||||
Real Estate — 0.5% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 2 | 238 | ||||||
Apartment Investment & Management Co., Class A, REIT | 11 | 482 | ||||||
AvalonBay Communities, Inc., REIT | 5 | 892 | ||||||
Boston Properties, Inc., REIT | 2 | 246 | ||||||
Digital Realty Trust, Inc., REIT | 4 | 473 | ||||||
Duke Realty Corp., REIT | 10 | 288 | ||||||
Equity Residential, REIT | 10 | 659 | ||||||
Essex Property Trust, Inc., REIT | 8 | 2,032 | ||||||
Extra Space Storage, Inc., REIT | 8 | 639 | ||||||
Federal Realty Investment Trust, REIT | 1 | 124 | ||||||
GGP, Inc., REIT | �� | 12 | 249 | |||||
HCP, Inc., REIT | 13 | 362 | ||||||
Kimco Realty Corp., REIT | 19 | 371 | ||||||
Macerich Co. (The) REIT | 4 | 220 | ||||||
Mid-America Apartment Communities, Inc., REIT | 3 | 321 | ||||||
Prologis, Inc., REIT | 6 | 381 |
Number Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Public Storage, REIT | 3 | $ | 642 | |||||
Realty Income Corp., REIT | 6 | 343 | ||||||
Regency Centers Corp., REIT | 6 | 372 | ||||||
Simon Property Group, Inc., REIT | 4 | 644 | ||||||
SL Green Realty Corp., REIT | 2 | 203 | ||||||
UDR, Inc., REIT | 12 | 456 | ||||||
Ventas, Inc., REIT | 8 | 521 | ||||||
Vornado Realty Trust, REIT | 4 | 308 | ||||||
Welltower, Inc., REIT | 10 | 703 | ||||||
Weyerhaeuser Co., REIT | 28 | 953 | ||||||
|
| |||||||
13,122 | ||||||||
|
| |||||||
Retailing — 8.0% | ||||||||
Advance Auto Parts, Inc. | 43 | 4,266 | ||||||
AutoZone, Inc.* | 2 | 1,190 | ||||||
Best Buy Co., Inc. | 183 | 10,424 | ||||||
CarMax, Inc.* | 105 | 7,960 | ||||||
Dollar General Corp. | 157 | 12,725 | ||||||
Dollar Tree, Inc.* | 137 | 11,894 | ||||||
Foot Locker, Inc. | 2 | 70 | ||||||
Gap, Inc. (The) | 229 | 6,762 | ||||||
Genuine Parts Co. | 85 | 8,130 | ||||||
Home Depot, Inc. (The) | 280 | 45,797 | ||||||
L Brands, Inc. | 3 | 125 | ||||||
LKQ Corp.* | 179 | 6,442 | ||||||
Lowe’s Cos., Inc. | 484 | 38,691 | ||||||
Macy’s, Inc. | 3 | 65 | ||||||
Nordstrom, Inc. | 98 | 4,621 | ||||||
O’Reilly Automotive, Inc.* | 20 | 4,307 | ||||||
Ross Stores, Inc. | 223 | 14,399 | ||||||
Signet Jewelers Ltd. (Bermuda) | 39 | 2,595 | ||||||
Tiffany & Co. | 1 | 92 | ||||||
TJX Cos., Inc. (The) | 368 | 27,133 | ||||||
Tractor Supply Co. | 40 | 2,532 | ||||||
|
| |||||||
210,220 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.3% |
| |||||||
Applied Materials, Inc. | 617 | 32,140 | ||||||
Intel Corp. | 637 | 24,257 | ||||||
KLA-Tencor Corp. | 91 | 9,646 | ||||||
Lam Research Corp. | 105 | 19,429 | ||||||
Micron Technology, Inc.* | 703 | 27,649 | ||||||
QUALCOMM, Inc. | 435 | 22,550 | ||||||
Skyworks Solutions, Inc. | 81 | 8,254 | ||||||
Texas Instruments, Inc. | 116 | 10,398 |
The accompanying notes are an integral part of the financial statements.
194
GOTHAM INSTITUTIONAL VALUE FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor |
| |||||||
Xilinx, Inc. | 144 | $ | 10,200 | |||||
|
| |||||||
164,523 | ||||||||
|
| |||||||
Software & Services — 8.3% | ||||||||
Accenture PLC, Class A (Ireland) | 127 | 17,154 | ||||||
Alphabet, Inc., Class A* | 13 | 12,658 | ||||||
Automatic Data Processing, Inc. | 168 | 18,366 | ||||||
CA, Inc. | 241 | 8,045 | ||||||
Citrix Systems, Inc.* | 89 | 6,837 | ||||||
CSRA, Inc. | 95 | 3,066 | ||||||
eBay, Inc.* | 269 | 10,346 | ||||||
Electronic Arts, Inc.* | 179 | 21,133 | ||||||
Fiserv, Inc.* | 25 | 3,224 | ||||||
International Business Machines Corp. | 224 | 32,498 | ||||||
Intuit, Inc. | 148 | 21,037 | ||||||
Microsoft Corp. | 15 | 1,117 | ||||||
Oracle Corp. | 653 | 31,573 | ||||||
Paychex, Inc. | 208 | 12,472 | ||||||
Total System Services, Inc. | 107 | 7,008 | ||||||
VeriSign, Inc.* | 41 | 4,362 | ||||||
Visa, Inc., Class A | 67 | 7,051 | ||||||
Western Union Co. (The) | 1 | 19 | ||||||
|
| |||||||
217,966 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 6.8% |
| |||||||
Apple, Inc. | 222 | 34,215 | ||||||
Cisco Systems, Inc. | 1,400 | 47,082 | ||||||
F5 Networks, Inc.* | 38 | 4,581 | ||||||
FLIR Systems, Inc. | 40 | 1,556 | ||||||
Harris Corp. | 70 | 9,218 | ||||||
Hewlett Packard Enterprise Co. | 942 | 13,857 | ||||||
HP, Inc. | 966 | 19,281 | ||||||
Juniper Networks, Inc. | 220 | 6,123 | ||||||
Motorola Solutions, Inc. | 61 | 5,177 | ||||||
NetApp, Inc. | 156 | 6,827 | ||||||
Seagate Technology PLC (Ireland) | 169 | 5,606 | ||||||
TE Connectivity Ltd. (Switzerland) | 74 | 6,146 | ||||||
Western Digital Corp. | 170 | 14,688 | ||||||
Xerox Corp. | 151 | 5,027 | ||||||
|
| |||||||
179,384 | ||||||||
|
|
Number Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — 2.7% |
| |||||||
AT&T, Inc. | 828 | $ | 32,433 | |||||
CenturyLink, Inc. | 6 | 113 | ||||||
Verizon Communications, Inc. | 774 | 38,305 | ||||||
|
| |||||||
70,851 | ||||||||
|
| |||||||
Transportation — 5.8% | ||||||||
Alaska Air Group, Inc. | 5 | 381 | ||||||
CSX Corp. | 308 | 16,712 | ||||||
Delta Air Lines, Inc. | 275 | 13,260 | ||||||
Expeditors International of Washington, Inc. | 104 | 6,225 | ||||||
FedEx Corp. | 116 | 26,167 | ||||||
JB Hunt Transport Services, Inc. | 64 | 7,109 | ||||||
Norfolk Southern Corp. | 133 | 17,588 | ||||||
Southwest Airlines Co. | 346 | 19,369 | ||||||
Union Pacific Corp. | 215 | 24,934 | ||||||
United Parcel Service, Inc., Class B | 172 | 20,655 | ||||||
|
| |||||||
152,400 | ||||||||
|
| |||||||
Utilities — 0.9% | ||||||||
FirstEnergy Corp. | 257 | 7,923 | ||||||
NRG Energy, Inc. | 5 | 128 | ||||||
Public Service Enterprise Group, Inc. | 292 | 13,505 | ||||||
WEC Energy Group, Inc. | 19 | 1,193 | ||||||
|
| |||||||
22,749 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS - 100.5% |
| 2,640,956 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER | (14,226 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,626,730 | ||||||
|
|
* | Non-income producing. |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
195
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — 100.3% |
| |||||||
Automobiles & Components — 1.6% |
| |||||||
BorgWarner, Inc. | 4 | $ | 205 | |||||
Delphi Automotive PLC (Jersey) | 108 | 10,627 | ||||||
Ford Motor Co. | 56 | 670 | ||||||
General Motors Co. | 760 | 30,689 | ||||||
Goodyear Tire & Rubber Co. (The) | 4 | 133 | ||||||
Harley-Davidson, Inc. | 87 | 4,194 | ||||||
|
| |||||||
46,518 | ||||||||
|
| |||||||
Banks — 0.7% | ||||||||
Bank of America Corp. | 142 | 3,598 | ||||||
BB&T Corp. | 12 | 563 | ||||||
Citigroup, Inc. | 33 | 2,400 | ||||||
Citizens Financial Group, Inc. | 8 | 303 | ||||||
Comerica, Inc. | 3 | 229 | ||||||
Fifth Third Bancorp | 10 | 280 | ||||||
Huntington Bancshares, Inc. | 15 | 209 | ||||||
JPMorgan Chase & Co. | 50 | 4,775 | ||||||
KeyCorp. | 15 | 282 | ||||||
M&T Bank Corp. | 3 | 483 | ||||||
People’s United Financial, Inc. | 5 | 91 | ||||||
PNC Financial Services Group, Inc. (The) | 6 | 809 | ||||||
Regions Financial Corp. | 17 | 259 | ||||||
SunTrust Banks, Inc. | 7 | 418 | ||||||
US Bancorp | 24 | 1,286 | ||||||
Wells Fargo & Co. | 71 | 3,916 | ||||||
Zions Bancorporation | 3 | 142 | ||||||
|
| |||||||
20,043 | ||||||||
|
| |||||||
Capital Goods — 8.0% | ||||||||
3M Co. | 8 | 1,679 | ||||||
Acuity Brands, Inc. | 2 | 343 | ||||||
Allegion PLC (Ireland) | 2 | 173 | ||||||
AMETEK, Inc. | 5 | 330 | ||||||
AO Smith Corp. | 2 | 119 | ||||||
Arconic, Inc. | 187 | 4,653 | ||||||
Boeing Co. (The) | 307 | 78,042 | ||||||
Caterpillar, Inc. | 306 | 38,161 | ||||||
Cummins, Inc. | 87 | 14,619 | ||||||
Deere & Co. | 4 | 502 | ||||||
Dover Corp. | 3 | 274 | ||||||
Eaton Corp. PLC (Ireland) | 6 | 461 | ||||||
Emerson Electric Co. | 12 | 754 | ||||||
Fastenal Co. | 109 | 4,968 | ||||||
Flowserve Corp. | 2 | 85 | ||||||
Fluor Corp. | 3 | 126 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Fortive Corp. | 5 | $ | 354 | |||||
Fortune Brands Home & Security, Inc. | 3 | 202 | ||||||
General Dynamics Corp. | 3 | 617 | ||||||
General Electric Co. | 124 | 2,998 | ||||||
Honeywell International, Inc. | 251 | 35,577 | ||||||
Illinois Tool Works, Inc. | 5 | 740 | ||||||
Ingersoll-Rand PLC (Ireland) | 4 | 357 | ||||||
Jacobs Engineering Group, Inc. | 63 | 3,671 | ||||||
Johnson Controls International PLC (Ireland) | 18 | 725 | ||||||
L3 Technologies, Inc. | 2 | 377 | ||||||
Lockheed Martin Corp. | 80 | 24,823 | ||||||
Masco Corp. | 5 | 195 | ||||||
Northrop Grumman Corp. | 3 | 863 | ||||||
PACCAR, Inc. | 5 | 362 | ||||||
Parker-Hannifin Corp. | 2 | 350 | ||||||
Pentair PLC (Ireland) | 94 | 6,388 | ||||||
Quanta Services, Inc.* | 3 | 112 | ||||||
Raytheon Co. | 4 | 746 | ||||||
Rockwell Automation, Inc. | 3 | 535 | ||||||
Rockwell Collins, Inc. | 2 | 261 | ||||||
Roper Technologies, Inc. | 1 | 243 | ||||||
Snap-on, Inc. | 23 | 3,427 | ||||||
Stanley Black & Decker, Inc. | 3 | 453 | ||||||
Textron, Inc. | 4 | 216 | ||||||
TransDigm Group, Inc. | 2 | 511 | ||||||
United Rentals, Inc.* | 2 | 277 | ||||||
United Technologies Corp. | 12 | 1,393 | ||||||
WW Grainger, Inc. | 12 | 2,157 | ||||||
Xylem, Inc. | 2 | 125 | ||||||
|
| |||||||
234,344 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.2% |
| |||||||
Cintas Corp. | 2 | 289 | ||||||
Equifax, Inc. | 2 | 212 | ||||||
IHS Markit Ltd. (Bermuda)* | 4 | 176 | ||||||
Nielsen Holdings PLC (United Kingdom) | 5 | 207 | ||||||
Republic Services, Inc. | 5 | 330 | ||||||
Robert Half International, Inc. | 66 | 3,322 | ||||||
Stericycle, Inc.* | 2 | 143 | ||||||
Verisk Analytics, Inc.* | 3 | 250 | ||||||
Waste Management, Inc. | 6 | 470 | ||||||
|
| |||||||
5,399 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
196
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — 1.0% |
| |||||||
Coach, Inc. | 133 | $ | 5,357 | |||||
DR Horton, Inc. | 6 | 240 | ||||||
Garmin Ltd. (Switzerland) | 3 | 162 | ||||||
Hanesbrands, Inc. | 6 | 148 | ||||||
Hasbro, Inc. | 3 | 293 | ||||||
Leggett & Platt, Inc. | 2 | 95 | ||||||
Lennar Corp., Class A | 30 | 1,584 | ||||||
Mattel, Inc. | 6 | 93 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 84 | 4,019 | ||||||
Mohawk Industries, Inc.* | 2 | 495 | ||||||
Newell Brands, Inc. | 9 | 384 | ||||||
NIKE, Inc., Class B | 21 | 1,089 | ||||||
PulteGroup, Inc. | 5 | 137 | ||||||
PVH Corp. | 33 | 4,160 | ||||||
Ralph Lauren Corp. | 43 | 3,796 | ||||||
Under Armour, Inc., Class C* | 7 | 105 | ||||||
VF Corp. | 8 | 509 | ||||||
Whirlpool Corp. | 31 | 5,718 | ||||||
|
| |||||||
28,384 | ||||||||
|
| |||||||
Consumer Services — 1.7% | ||||||||
Carnival Corp. (Panama) | 11 | 710 | ||||||
Chipotle Mexican Grill, Inc.* | 1 | 308 | ||||||
Darden Restaurants, Inc. | 2 | 158 | ||||||
H&R Block, Inc. | 27 | 715 | ||||||
Hilton Worldwide Holdings, Inc. | 169 | 11,737 | ||||||
Marriott International, Inc., Class A | 193 | 21,280 | ||||||
McDonald’s Corp. | 15 | 2,350 | ||||||
MGM Resorts International | 8 | 261 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 52 | 6,164 | ||||||
Starbucks Corp. | 17 | 913 | ||||||
Wyndham Worldwide Corp. | 45 | 4,743 | ||||||
Wynn Resorts Ltd. | 1 | 149 | ||||||
Yum! Brands, Inc. | 7 | 515 | ||||||
|
| |||||||
50,003 | ||||||||
|
| |||||||
Diversified Financials — 3.7% | ||||||||
Affiliated Managers Group, Inc. | 2 | 380 | ||||||
American Express Co. | 11 | 995 | ||||||
Ameriprise Financial, Inc. | 2 | 297 | ||||||
Bank of New York Mellon Corp. (The) | 13 | 689 | ||||||
Berkshire Hathaway, Inc., Class B* | 46 | 8,433 | ||||||
BlackRock, Inc. | 84 | 37,556 | ||||||
Capital One Financial Corp. | 7 | 593 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
CBOE Holdings, Inc. | 1 | $ | 108 | |||||
Charles Schwab Corp. (The) | 19 | 831 | ||||||
CME Group, Inc. | 7 | 950 | ||||||
Discover Financial Services | 6 | 387 | ||||||
E*TRADE Financial Corp.* | 4 | 174 | ||||||
Franklin Resources, Inc. | 289 | 12,863 | ||||||
Goldman Sachs Group, Inc. (The) | 6 | 1,423 | ||||||
Intercontinental Exchange, Inc. | 7 | 481 | ||||||
Invesco Ltd. (Bermuda) | 211 | 7,393 | ||||||
Leucadia National Corp. | 5 | 126 | ||||||
Moody’s Corp. | 99 | 13,782 | ||||||
Morgan Stanley | 26 | 1,252 | ||||||
Nasdaq, Inc. | 87 | 6,749 | ||||||
Navient Corp. | 4 | 60 | ||||||
Northern Trust Corp. | 3 | 276 | ||||||
Raymond James Financial, Inc. | 2 | 169 | ||||||
S&P Global, Inc. | 5 | 782 | ||||||
State Street Corp. | 5 | 478 | ||||||
Synchrony Financial | 11 | 342 | ||||||
T Rowe Price Group, Inc. | 125 | 11,331 | ||||||
|
| |||||||
108,900 | ||||||||
|
| |||||||
Energy — 4.6% | ||||||||
Anadarko Petroleum Corp. | 277 | 13,531 | ||||||
Andeavor | 2 | 206 | ||||||
Apache Corp. | 7 | 321 | ||||||
Cabot Oil & Gas Corp. | 8 | 214 | ||||||
Chesapeake Energy Corp.* | 455 | 1,956 | ||||||
Chevron Corp. | 181 | 21,267 | ||||||
Cimarex Energy Co. | 1 | 114 | ||||||
Concho Resources, Inc.* | 1 | 132 | ||||||
ConocoPhillips | 630 | 31,531 | ||||||
Devon Energy Corp. | 9 | 330 | ||||||
EOG Resources, Inc. | 7 | 677 | ||||||
EQT Corp. | 2 | 130 | ||||||
Exxon Mobil Corp. | 455 | 37,301 | ||||||
Halliburton Co. | 16 | 736 | ||||||
Helmerich & Payne, Inc. | 1 | 52 | ||||||
Hess Corp. | 3 | 141 | ||||||
Kinder Morgan, Inc. | 32 | 614 | ||||||
Marathon Oil Corp. | 15 | 203 | ||||||
Marathon Petroleum Corp. | 10 | 561 | ||||||
National Oilwell Varco, Inc. | 5 | 179 | ||||||
Newfield Exploration Co.* | 3 | 89 | ||||||
Noble Energy, Inc. | 7 | 199 |
The accompanying notes are an integral part of the financial statements.
197
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Occidental Petroleum Corp. | 10 | $ | 642 | |||||
ONEOK, Inc. | 5 | 277 | ||||||
Phillips 66 | 8 | 733 | ||||||
Pioneer Natural Resources Co. | 2 | 295 | ||||||
Range Resources Corp. | 127 | 2,485 | ||||||
Schlumberger Ltd. (Curacao) | 17 | 1,186 | ||||||
TechnipFMC PLC (United Kingdom)* | 8 | 223 | ||||||
Valero Energy Corp. | 229 | 17,617 | ||||||
Williams Cos., Inc. (The) | 12 | 360 | ||||||
|
| |||||||
134,302 | ||||||||
|
| |||||||
Food & Staples Retailing — 6.4% |
| |||||||
Costco Wholesale Corp. | 5 | 821 | ||||||
CVS Health Corp. | 526 | 42,774 | ||||||
Kroger Co. (The) | 115 | 2,307 | ||||||
Sysco Corp. | 275 | 14,836 | ||||||
Walgreens Boots Alliance, Inc. | 554 | 42,780 | ||||||
Wal-Mart Stores, Inc. | 1,095 | 85,563 | ||||||
|
| |||||||
189,081 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 2.8% |
| |||||||
Altria Group, Inc. | 874 | 55,429 | ||||||
Archer-Daniels-Midland Co. | 11 | 468 | ||||||
Brown-Forman Corp., Class B | 5 | 271 | ||||||
Campbell Soup Co. | 6 | 281 | ||||||
Coca-Cola Co. (The) | 64 | 2,881 | ||||||
Conagra Brands, Inc. | 54 | 1,822 | ||||||
Constellation Brands, Inc., Class A | 2 | 399 | ||||||
Dr Pepper Snapple Group, Inc. | 95 | 8,405 | ||||||
General Mills, Inc. | 8 | 414 | ||||||
Hershey Co. (The) | 4 | 437 | ||||||
Hormel Foods Corp. | 9 | 289 | ||||||
JM Smucker Co. (The) | 3 | 315 | ||||||
Kellogg Co. | 5 | 312 | ||||||
Kraft Heinz Co. (The) | 15 | 1,163 | ||||||
McCormick & Co., Inc., non-voting shares | 3 | 308 | ||||||
Molson Coors Brewing Co., Class B | 35 | 2,857 | ||||||
Mondelez International, Inc., Class A | 19 | 773 | ||||||
Monster Beverage Corp.* | 6 | 331 | ||||||
PepsiCo, Inc. | 20 | 2,229 | ||||||
Philip Morris International, Inc. | 23 | 2,553 | ||||||
Tyson Foods, Inc., Class A | 7 | 493 | ||||||
|
| |||||||
82,430 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — 7.4% |
| |||||||
Abbott Laboratories | 21 | $ | 1,121 | |||||
Aetna, Inc. | 172 | 27,350 | ||||||
Align Technology, Inc.* | 1 | 186 | ||||||
AmerisourceBergen Corp. | 116 | 9,599 | ||||||
Anthem, Inc. | 137 | 26,014 | ||||||
Baxter International, Inc. | 10 | 627 | ||||||
Becton Dickinson and Co. | 2 | 392 | ||||||
Boston Scientific Corp.* | 22 | 642 | ||||||
Cardinal Health, Inc. | 5 | 335 | ||||||
Centene Corp.* | 90 | 8,709 | ||||||
Cerner Corp.* | 4 | 285 | ||||||
Cigna Corp. | 131 | 24,489 | ||||||
Cooper Cos., Inc. (The) | 2 | 474 | ||||||
CR Bard, Inc. | 1 | 320 | ||||||
Danaher Corp. | 10 | 858 | ||||||
DaVita, Inc.* | 4 | 238 | ||||||
DENTSPLY SIRONA, Inc. | 3 | 179 | ||||||
Edwards Lifesciences Corp.* | 2 | 219 | ||||||
Envision Healthcare Corp.* | 2 | 90 | ||||||
Express Scripts Holding Co.* | 305 | 19,313 | ||||||
HCA Healthcare, Inc.* | 88 | 7,004 | ||||||
Henry Schein, Inc.* | 3 | 246 | ||||||
Hologic, Inc.* | 4 | 147 | ||||||
Humana, Inc. | 75 | 18,272 | ||||||
IDEXX Laboratories, Inc.* | 1 | 155 | ||||||
Intuitive Surgical, Inc.* | 1 | 1,046 | ||||||
Laboratory Corp. of America Holdings* | 43 | 6,492 | ||||||
McKesson Corp. | 109 | 16,743 | ||||||
Medtronic PLC (Ireland) | 26 | 2,022 | ||||||
Patterson Cos., Inc. | 2 | 77 | ||||||
Quest Diagnostics, Inc. | 4 | 375 | ||||||
ResMed, Inc. | 1 | 77 | ||||||
Stryker Corp. | 4 | 568 | ||||||
UnitedHealth Group, Inc. | 154 | 30,161 | ||||||
Universal Health Services, Inc., Class B | 50 | 5,547 | ||||||
Varian Medical Systems, Inc.* | 48 | 4,803 | ||||||
Zimmer Biomet Holdings, Inc. | 4 | 468 | ||||||
|
| |||||||
215,643 | ||||||||
|
| |||||||
Household & Personal Products — 0.6% |
| |||||||
Church & Dwight Co., Inc. | 5 | 242 | ||||||
Clorox Co. (The) | 67 | 8,838 | ||||||
Colgate-Palmolive Co. | 13 | 947 |
The accompanying notes are an integral part of the financial statements.
198
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Coty, Inc., Class A | 10 | $ | 165 | |||||
Estee Lauder Cos., Inc. (The), Class A | 7 | 755 | ||||||
Kimberly-Clark Corp. | 16 | 1,883 | ||||||
Procter & Gamble Co. (The) | 46 | 4,185 | ||||||
|
| |||||||
17,015 | ||||||||
|
| |||||||
Insurance — 0.8% | ||||||||
Aflac, Inc. | 5 | 407 | ||||||
Allstate Corp. (The) | 5 | 460 | ||||||
American International Group, Inc. | 14 | 859 | ||||||
Aon PLC (United Kingdom) | 103 | 15,048 | ||||||
Arthur J Gallagher & Co. | 3 | 185 | ||||||
Assurant, Inc. | 2 | 191 | ||||||
Brighthouse Financial, Inc.* | 2 | 122 | ||||||
Chubb Ltd. (Switzerland) | 7 | 998 | ||||||
Cincinnati Financial Corp. | 3 | 230 | ||||||
Everest Re Group Ltd. (Bermuda) | 1 | 228 | ||||||
Hartford Financial Services Group, Inc. (The) | 5 | 277 | ||||||
Lincoln National Corp. | 3 | 220 | ||||||
Loews Corp. | 5 | 239 | ||||||
Marsh & McLennan Cos., Inc. | 9 | 754 | ||||||
MetLife, Inc. | 13 | 675 | ||||||
Principal Financial Group, Inc. | 4 | 257 | ||||||
Progressive Corp. (The) | 9 | 436 | ||||||
Prudential Financial, Inc. | 7 | 744 | ||||||
Torchmark Corp. | 2 | 160 | ||||||
Travelers Cos., Inc. (The) | 4 | 490 | ||||||
Unum Group | 3 | 153 | ||||||
Willis Towers Watson PLC (Ireland) | 2 | 308 | ||||||
XL Group Ltd. (Bermuda) | 4 | 158 | ||||||
|
| |||||||
23,599 | ||||||||
|
| |||||||
Materials — 2.4% | ||||||||
Air Products & Chemicals, Inc. | 113 | 17,088 | ||||||
Albemarle Corp. | 3 | 409 | ||||||
Avery Dennison Corp. | 2 | 197 | ||||||
Ball Corp. | 4 | 165 | ||||||
CF Industries Holdings, Inc. | 3 | 105 | ||||||
DowDupont, Inc. | 23 | 1,592 | ||||||
Eastman Chemical Co. | 2 | 181 | ||||||
Ecolab, Inc. | 3 | 386 | ||||||
FMC Corp. | 2 | 179 | ||||||
Freeport-McMoRan, Inc.* | 700 | 9,828 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
International Flavors & Fragrances, Inc. | 2 | $ | 286 | |||||
International Paper Co. | 5 | 284 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 205 | 20,305 | ||||||
Martin Marietta Materials, Inc. | 1 | 206 | ||||||
Monsanto Co. | 7 | 839 | ||||||
Mosaic Co. (The) | 5 | 108 | ||||||
Newmont Mining Corp. | 276 | 10,353 | ||||||
Nucor Corp. | 3 | 168 | ||||||
Packaging Corp. of America | 49 | 5,619 | ||||||
PPG Industries, Inc. | 4 | 435 | ||||||
Praxair, Inc. | 3 | 419 | ||||||
Sealed Air Corp. | 3 | 128 | ||||||
Sherwin-Williams Co. (The) | 2 | 716 | ||||||
Vulcan Materials Co. | 1 | 120 | ||||||
WestRock Co. | 5 | 284 | ||||||
|
| |||||||
70,400 | ||||||||
|
| |||||||
Media — 7.2% | ||||||||
CBS Corp., Class B, non-voting shares | 123 | 7,134 | ||||||
Charter Communications, Inc., Class A* | 3 | 1,090 | ||||||
Comcast Corp., Class A | 2,197 | 84,541 | ||||||
Discovery Communications, Inc., Class A* | 266 | 5,663 | ||||||
DISH Network Corp., Class A* | 6 | 325 | ||||||
Interpublic Group of Cos., Inc. (The) | 7 | 146 | ||||||
News Corp., Class A | 302 | 4,005 | ||||||
Omnicom Group, Inc. | 29 | 2,148 | ||||||
Scripps Networks Interactive, Inc., Class A | 66 | 5,669 | ||||||
Time Warner, Inc. | 402 | 41,185 | ||||||
Twenty-First Century Fox, Inc., Class A | 829 | 21,869 | ||||||
Viacom, Inc., Class B | 8 | 223 | ||||||
Walt Disney Co. (The) | 365 | 35,978 | ||||||
|
| |||||||
209,976 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 6.6% |
| |||||||
AbbVie, Inc. | 590 | 52,427 | ||||||
Agilent Technologies, Inc. | 4 | 257 | ||||||
Alexion Pharmaceuticals, Inc.* | 2 | 281 | ||||||
Allergan PLC (Ireland) | 6 | 1,230 | ||||||
Amgen, Inc. | 328 | 61,156 |
The accompanying notes are an integral part of the financial statements.
199
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
Biogen, Inc.* | 4 | $ | 1,252 | |||||
Bristol-Myers Squibb Co. | 21 | 1,339 | ||||||
Celgene Corp.* | 15 | 2,187 | ||||||
Eli Lilly & Co. | 18 | 1,540 | ||||||
Gilead Sciences, Inc. | 676 | 54,770 | ||||||
Illumina, Inc.* | 1 | 199 | ||||||
Incyte Corp.* | 2 | 233 | ||||||
Johnson & Johnson | 46 | 5,980 | ||||||
Merck & Co., Inc. | 50 | 3,201 | ||||||
Mettler-Toledo International, Inc.* | 1 | 626 | ||||||
Mylan NV (Netherlands)* | 9 | 282 | ||||||
PerkinElmer, Inc. | 1 | 69 | ||||||
Perrigo Co. PLC (Ireland) | 3 | 254 | ||||||
Pfizer, Inc. | 109 | 3,891 | ||||||
Quintiles IMS Holdings, Inc.* | 2 | 190 | ||||||
Regeneron Pharmaceuticals, Inc.* | 1 | 447 | ||||||
Thermo Fisher Scientific, Inc. | 4 | 757 | ||||||
Vertex Pharmaceuticals, Inc.* | 3 | 456 | ||||||
Waters Corp.* | 2 | 359 | ||||||
Zoetis, Inc. | 6 | 383 | ||||||
|
| |||||||
193,766 | ||||||||
|
| |||||||
Real Estate — 0.3% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 2 | 238 | ||||||
American Tower Corp., REIT | 5 | 683 | ||||||
Apartment Investment & Management, Class A, REIT | 2 | 88 | ||||||
AvalonBay Communities, Inc., REIT | 2 | 357 | ||||||
Boston Properties, Inc., REIT | 2 | 246 | ||||||
CBRE Group, Inc., Class A, REIT* | 7 | 265 | ||||||
Crown Castle International Corp., REIT | 4 | 400 | ||||||
Digital Realty Trust, Inc., REIT | 3 | 355 | ||||||
Duke Realty Corp., REIT | 5 | 144 | ||||||
Equinix, Inc., REIT | 1 | 446 | ||||||
Equity Residential, REIT | 5 | 330 | ||||||
Essex Property Trust, Inc., REIT | 2 | 508 | ||||||
Extra Space Storage, Inc., REIT | 2 | 160 | ||||||
Federal Realty Investment Trust, REIT | 1 | 124 | ||||||
GGP, Inc., REIT | 11 | 228 | ||||||
HCP, Inc., REIT | 6 | 167 | ||||||
Host Hotels & Resorts, Inc., REIT | 10 | 185 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Iron Mountain, Inc., REIT | 5 | $ | 194 | |||||
Kimco Realty Corp., REIT | 6 | 117 | ||||||
Macerich Co. (The) REIT | 2 | 110 | ||||||
Mid-America Apartment Communities, Inc., REIT | 3 | 321 | ||||||
Prologis, Inc., REIT | 8 | 508 | ||||||
Public Storage, REIT | 3 | 642 | ||||||
Realty Income Corp., REIT | 4 | 229 | ||||||
Regency Centers Corp., REIT | 3 | 186 | ||||||
SBA Communications Corp., REIT* | 1 | 144 | ||||||
Simon Property Group, Inc., REIT | 4 | 644 | ||||||
SL Green Realty Corp., REIT | 2 | 203 | ||||||
UDR, Inc., REIT | 4 | 152 | ||||||
Ventas, Inc., REIT | 4 | 261 | ||||||
Vornado Realty Trust, REIT | 3 | 231 | ||||||
Welltower, Inc., REIT | 6 | 422 | ||||||
Weyerhaeuser Co., REIT | 14 | 476 | ||||||
|
| |||||||
9,764 | ||||||||
|
| |||||||
Retailing — 8.6% | ||||||||
Advance Auto Parts, Inc. | 37 | 3,670 | ||||||
Amazon.com, Inc.* | 54 | 51,913 | ||||||
AutoZone, Inc.* | 14 | 8,332 | ||||||
Best Buy Co., Inc. | 122 | 6,949 | ||||||
CarMax, Inc.* | 3 | 227 | ||||||
Dollar General Corp. | 35 | 2,837 | ||||||
Dollar Tree, Inc.* | 11 | 955 | ||||||
Expedia, Inc. | 1 | 144 | ||||||
Foot Locker, Inc. | 2 | 70 | ||||||
Gap, Inc. (The) | 69 | 2,038 | ||||||
Genuine Parts Co. | 76 | 7,269 | ||||||
Home Depot, Inc. (The) | 535 | 87,505 | ||||||
Kohl’s Corp. | 3 | 137 | ||||||
L Brands, Inc. | 5 | 208 | ||||||
LKQ Corp.* | 160 | 5,758 | ||||||
Lowe’s Cos., Inc. | 434 | 34,694 | ||||||
Macy’s, Inc. | 5 | 109 | ||||||
Netflix, Inc.* | 5 | 907 | ||||||
Nordstrom, Inc. | 56 | 2,640 | ||||||
O’Reilly Automotive, Inc.* | 45 | 9,692 | ||||||
Priceline Group, Inc. (The)* | 2 | 3,662 | ||||||
Ross Stores, Inc. | 193 | 12,462 | ||||||
Signet Jewelers Ltd. (Bermuda) | 35 | 2,329 | ||||||
Target Corp. | 122 | 7,199 | ||||||
Tiffany & Co. | 3 | 275 |
The accompanying notes are an integral part of the financial statements.
200
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
TJX Cos., Inc. (The) | 9 | $ | 664 | |||||
Tractor Supply Co. | 4 | 253 | ||||||
TripAdvisor, Inc.* | 1 | 41 | ||||||
Ulta Beauty, Inc.* | 2 | 452 | ||||||
|
| |||||||
253,391 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.9% |
| |||||||
Advanced Micro Devices, Inc.* | 12 | 153 | ||||||
Analog Devices, Inc. | 7 | 603 | ||||||
Applied Materials, Inc. | 552 | 28,754 | ||||||
Broadcom Ltd. (Singapore) | 5 | 1,213 | ||||||
Intel Corp. | 1,511 | 57,539 | ||||||
KLA-Tencor Corp. | 82 | 8,692 | ||||||
Lam Research Corp. | 94 | 17,394 | ||||||
Microchip Technology, Inc. | 3 | 269 | ||||||
Micron Technology, Inc.* | 629 | 24,739 | ||||||
NVIDIA Corp. | 7 | 1,251 | ||||||
Qorvo, Inc.* | 1 | 71 | ||||||
QUALCOMM, Inc. | 27 | 1,400 | ||||||
Skyworks Solutions, Inc. | 74 | 7,541 | ||||||
Texas Instruments, Inc. | 196 | 17,569 | ||||||
Xilinx, Inc. | 89 | 6,304 | ||||||
|
| |||||||
173,492 | ||||||||
|
| |||||||
Software & Services — 11.1% | ||||||||
Accenture PLC, Class A (Ireland) | 18 | 2,431 | ||||||
Activision Blizzard, Inc. | 9 | 581 | ||||||
Adobe Systems, Inc.* | 6 | 895 | ||||||
Akamai Technologies, Inc.* | 3 | 146 | ||||||
Alliance Data Systems Corp. | 1 | 222 | ||||||
Alphabet, Inc., Class A* | 83 | 80,819 | ||||||
ANSYS, Inc.* | 1 | 123 | ||||||
Autodesk, Inc.* | 2 | 225 | ||||||
Automatic Data Processing, Inc. | 9 | 984 | ||||||
CA, Inc. | 7 | 234 | ||||||
Cadence Design Systems, Inc.* | 3 | 118 | ||||||
Citrix Systems, Inc.* | 79 | 6,069 | ||||||
Cognizant Technology Solutions Corp., Class A | 76 | 5,513 | ||||||
CSRA, Inc. | 3 | 97 | ||||||
DXC Technology Co. | 3 | 258 | ||||||
eBay, Inc.* | 19 | 731 | ||||||
Electronic Arts, Inc.* | 161 | 19,008 | ||||||
Facebook, Inc., Class A* | 330 | 56,387 | ||||||
Fidelity National Information Services, Inc. | 6 | 560 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Fiserv, Inc.* | 3 | $ | 387 | |||||
Gartner, Inc.* | 1 | 124 | ||||||
Global Payments, Inc. | 2 | 190 | ||||||
International Business Machines Corp. | 223 | 32,353 | ||||||
Intuit, Inc. | 133 | 18,905 | ||||||
Mastercard, Inc., Class A | 16 | 2,259 | ||||||
Microsoft Corp. | 94 | 7,002 | ||||||
Oracle Corp. | 1,546 | 74,749 | ||||||
Paychex, Inc. | 125 | 7,495 | ||||||
PayPal Holdings, Inc.* | 14 | 896 | ||||||
Red Hat, Inc.* | 2 | 222 | ||||||
salesforce.com, Inc.* | 8 | 747 | ||||||
Symantec Corp. | 8 | 262 | ||||||
Synopsys, Inc.* | 1 | 81 | ||||||
Total System Services, Inc. | 4 | 262 | ||||||
VeriSign, Inc.* | 2 | 213 | ||||||
Visa, Inc., Class A | 43 | 4,525 | ||||||
Western Union Co. (The) | 8 | 154 | ||||||
|
| |||||||
326,227 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 10.4% |
| |||||||
Amphenol Corp., Class A | 3 | 254 | ||||||
Apple, Inc. | 985 | 151,808 | ||||||
Cisco Systems, Inc. | 2,463 | 82,831 | ||||||
Corning, Inc. | 15 | 449 | ||||||
F5 Networks, Inc.* | 9 | 1,085 | ||||||
FLIR Systems, Inc. | 2 | 78 | ||||||
Harris Corp. | 63 | 8,296 | ||||||
Hewlett Packard Enterprise Co. | 843 | 12,401 | ||||||
HP, Inc. | 864 | 17,245 | ||||||
Juniper Networks, Inc. | 197 | 5,483 | ||||||
Motorola Solutions, Inc. | 3 | 255 | ||||||
NetApp, Inc. | 140 | 6,126 | ||||||
Seagate Technology PLC (Ireland) | 6 | 199 | ||||||
TE Connectivity Ltd. (Switzerland) | 5 | 415 | ||||||
Western Digital Corp. | 153 | 13,219 | ||||||
Xerox Corp. | 135 | 4,494 | ||||||
|
| |||||||
304,638 | ||||||||
|
| |||||||
Telecommunication Services — 3.2% |
| |||||||
AT&T, Inc. | 739 | 28,947 | ||||||
CenturyLink, Inc. | 71 | 1,342 | ||||||
Level 3 Communications, Inc.* | 4 | 213 |
The accompanying notes are an integral part of the financial statements.
201
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — (Continued) |
| |||||||
Verizon Communications, Inc. | 1,251 | $ | 61,912 | |||||
|
| |||||||
92,414 | ||||||||
|
| |||||||
Transportation — 4.2% | ||||||||
Alaska Air Group, Inc. | 3 | 229 | ||||||
American Airlines Group, Inc. | 8 | 380 | ||||||
CH Robinson Worldwide, Inc. | 3 | 228 | ||||||
CSX Corp. | 23 | 1,248 | ||||||
Delta Air Lines, Inc. | 94 | 4,533 | ||||||
Expeditors International of Washington, Inc. | 93 | 5,567 | ||||||
FedEx Corp. | 77 | 17,370 | ||||||
JB Hunt Transport Services, Inc. | 57 | 6,332 | ||||||
Kansas City Southern | 1 | 109 | ||||||
Norfolk Southern Corp. | 18 | 2,380 | ||||||
Southwest Airlines Co. | 310 | 17,354 | ||||||
Union Pacific Corp. | 413 | 47,896 | ||||||
United Continental Holdings, Inc.* | 5 | 304 | ||||||
United Parcel Service, Inc., Class B | 166 | 19,935 | ||||||
|
| |||||||
123,865 | ||||||||
|
| |||||||
Utilities — 0.9% | ||||||||
AES Corp. | 85 | 937 | ||||||
Alliant Energy Corp. | 2 | 83 | ||||||
Ameren Corp. | 2 | 116 | ||||||
American Electric Power Co., Inc. | 6 | 421 | ||||||
American Water Works Co., Inc. | 2 | 162 | ||||||
CenterPoint Energy, Inc. | 6 | 175 | ||||||
CMS Energy Corp. | 3 | 139 | ||||||
Consolidated Edison, Inc. | 3 | 242 | ||||||
Dominion Resources, Inc. | 11 | 846 | ||||||
DTE Energy Co. | 2 | 215 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
Duke Energy Corp. | 8 | $ | 671 | |||||
Edison International | 4 | 309 | ||||||
Entergy Corp. | 3 | 229 | ||||||
Eversource Energy | 3 | 181 | ||||||
Exelon Corp. | 11 | 414 | ||||||
FirstEnergy Corp. | 230 | 7,091 | ||||||
NextEra Energy, Inc. | 5 | 733 | ||||||
NiSource, Inc. | 6 | 154 | ||||||
NRG Energy, Inc. | 5 | 128 | ||||||
PG&E Corp. | 6 | 409 | ||||||
Pinnacle West Capital Corp. | 1 | 85 | ||||||
PPL Corp. | 8 | 304 | ||||||
Public Service Enterprise Group, Inc. | 261 | 12,071 | ||||||
SCANA Corp. | 1 | 48 | ||||||
Sempra Energy | 3 | 342 | ||||||
Southern Co. (The) | 12 | 590 | ||||||
WEC Energy Group, Inc. | 3 | 188 | ||||||
Xcel Energy, Inc. | 6 | 284 | ||||||
|
| |||||||
27,567 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS - 100.3% |
| 2,941,161 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)% | (10,132 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,931,029 | ||||||
|
|
* | Non-income producing. |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
202
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 175.7% |
| |||||||
COMMON STOCKS — 175.7% |
| |||||||
Automobiles & Components — 2.1% |
| |||||||
BorgWarner, Inc. | 11 | $ | 564 | |||||
Cooper-Standard Holdings, Inc.* | 12 | 1,392 | ||||||
Dorman Products, Inc.* | 13 | 931 | ||||||
General Motors Co.† | 479 | 19,342 | ||||||
Gentex Corp. | 236 | 4,673 | ||||||
Harley-Davidson, Inc.†(a) | 122 | 5,882 | ||||||
Lear Corp. | 34 | 5,885 | ||||||
Thor Industries, Inc. | 8 | 1,007 | ||||||
Visteon Corp.* | 26 | 3,218 | ||||||
Winnebago Industries, Inc.(a) | 40 | 1,790 | ||||||
|
| |||||||
44,684 | ||||||||
|
| |||||||
Capital Goods — 19.2% | ||||||||
3M Co.† | 59 | 12,384 | ||||||
Acuity Brands, Inc.(a) | 22 | 3,768 | ||||||
Aerovironment, Inc.* | 10 | 541 | ||||||
Allegion PLC (Ireland) | 56 | 4,842 | ||||||
Allison Transmission Holdings, Inc.† | 261 | 9,795 | ||||||
American Woodmark Corp.†* | 28 | 2,695 | ||||||
AMETEK, Inc.† | 143 | 9,444 | ||||||
Applied Industrial Technologies, Inc.† | 29 | 1,908 | ||||||
Argan, Inc.†(a) | 89 | 5,985 | ||||||
Atkore International Group, Inc.* | 18 | 351 | ||||||
AZZ, Inc.† | 26 | 1,266 | ||||||
Barnes Group, Inc.† | 51 | 3,592 | ||||||
Boeing Co. (The)† | 198 | 50,340 | ||||||
Briggs & Stratton Corp. | 23 | 540 | ||||||
BWX Technologies, Inc. | 36 | 2,017 | ||||||
Caterpillar, Inc.† | 105 | 13,095 | ||||||
Chart Industries, Inc.†* | 46 | 1,805 | ||||||
Continental Building Products, Inc.†* | 116 | 3,016 | ||||||
Crane Co.† | 61 | 4,879 | ||||||
Cummins, Inc.† | 22 | 3,697 | ||||||
Curtiss-Wright Corp.† | 7 | 732 | ||||||
Deere & Co.† | 86 | 10,801 | ||||||
DigitalGlobe, Inc.* | 58 | 2,044 | ||||||
Donaldson Co., Inc.† | 40 | 1,838 | ||||||
EMCOR Group, Inc.† | 70 | 4,857 | ||||||
EnerSys | 25 | 1,729 | ||||||
Fastenal Co.† | 38 | 1,732 | ||||||
Flowserve Corp. | 28 | 1,193 | ||||||
Fortive Corp.† | 39 | 2,761 | ||||||
Fortune Brands Home & Security, Inc. | 33 | 2,219 | ||||||
GATX Corp.(a) | 11 | 677 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
General Electric Co.† | 331 | $ | 8,004 | |||||
Gibraltar Industries, Inc.* | 63 | 1,962 | ||||||
GMS, Inc.* | 59 | 2,089 | ||||||
Gorman-Rupp Co. (The)† | 17 | 554 | ||||||
Graco, Inc. | 10 | 1,237 | ||||||
Harsco Corp.* | 48 | 1,003 | ||||||
Hillenbrand, Inc.† | 60 | 2,331 | ||||||
Honeywell International, Inc.† | 156 | 22,111 | ||||||
Hubbell, Inc.† | 35 | 4,061 | ||||||
Huntington Ingalls Industries, Inc.† | 6 | 1,359 | ||||||
IDEX Corp. | 18 | 2,186 | ||||||
Illinois Tool Works, Inc.† | 30 | 4,439 | ||||||
Ingersoll-Rand PLC (Ireland)† | 60 | 5,350 | ||||||
Jacobs Engineering Group, Inc.† | 133 | 7,750 | ||||||
Kennametal, Inc. | 95 | 3,832 | ||||||
L3 Technologies, Inc.† | 45 | 8,479 | ||||||
Lockheed Martin Corp.† | 105 | 32,580 | ||||||
Lydall, Inc.†* | 30 | 1,719 | ||||||
Masco Corp. | 152 | 5,930 | ||||||
Moog, Inc., Class A†* | 56 | 4,672 | ||||||
MSC Industrial Direct Co., Inc., Class A | 11 | 831 | ||||||
Mueller Water Products, Inc., Class A | 128 | 1,638 | ||||||
Northrop Grumman Corp.† | 83 | 23,881 | ||||||
Oshkosh Corp.† | 42 | 3,467 | ||||||
Pentair PLC (Ireland)† | 170 | 11,553 | ||||||
Raytheon Co.† | 72 | 13,434 | ||||||
Regal Beloit Corp.† | 40 | 3,160 | ||||||
Rexnord Corp.* | 115 | 2,922 | ||||||
Rockwell Automation, Inc.† | 40 | 7,128 | ||||||
Rush Enterprises, Inc., Class A* | 2 | 93 | ||||||
Snap-on, Inc.† | 50 | 7,450 | ||||||
Spirit AeroSystems Holdings, Inc., Class A† | 171 | 13,290 | ||||||
Standex International Corp.† | 28 | 2,974 | ||||||
Terex Corp.(a) | 34 | 1,531 | ||||||
Textainer Group Holdings Ltd. (Bermuda)* | 4 | 69 | ||||||
Toro Co. (The) | 47 | 2,917 | ||||||
TransDigm Group, Inc. | 4 | 1,023 | ||||||
Trex Co., Inc.†* | 13 | 1,171 | ||||||
Tutor Perini Corp.†* | 14 | 398 | ||||||
United Technologies Corp.† | 107 | 12,421 | ||||||
Univar, Inc.* | 21 | 608 |
The accompanying notes are an integral part of the financial statements.
203
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Veritiv Corp.†* | 22 | $ | 715 | |||||
Wabash National Corp.† | 172 | 3,925 | ||||||
WW Grainger, Inc.† | 73 | 13,122 | ||||||
|
| |||||||
417,912 | ||||||||
|
| |||||||
Commercial & Professional Services — 5.4% |
| |||||||
Copart, Inc.†* | 70 | 2,406 | ||||||
Deluxe Corp. | 30 | 2,189 | ||||||
Equifax, Inc. | 81 | 8,585 | ||||||
ICF International, Inc.†* | 10 | 540 | ||||||
KAR Auction Services, Inc. | 127 | 6,063 | ||||||
Kimball International, Inc., Class B | 11 | 217 | ||||||
Korn/Ferry International | 11 | 434 | ||||||
LSC Communications, Inc. | 36 | 594 | ||||||
ManpowerGroup, Inc.† | 12 | 1,414 | ||||||
Matthews International Corp., Class A† | 21 | 1,307 | ||||||
Quad/Graphics, Inc.† | 76 | 1,718 | ||||||
Republic Services, Inc.† | 347 | 22,923 | ||||||
Robert Half International, Inc. | 93 | 4,682 | ||||||
RPX Corp.* | 28 | 372 | ||||||
Stericycle, Inc.†* | 109 | 7,807 | ||||||
Tetra Tech, Inc. | 73 | 3,398 | ||||||
TransUnion* | 64 | 3,025 | ||||||
TriNet Group, Inc.* | 18 | 605 | ||||||
UniFirst Corp.† | 23 | 3,484 | ||||||
Verisk Analytics, Inc.†* | 148 | 12,312 | ||||||
Waste Management, Inc.† | 402 | 31,465 | ||||||
West Corp.† | 26 | 610 | ||||||
|
| |||||||
116,150 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 4.5% |
| |||||||
Brunswick Corp. | 27 | 1,511 | ||||||
Cavco Industries, Inc.†* | 25 | 3,689 | ||||||
Coach, Inc.† | 344 | 13,856 | ||||||
Crocs, Inc.* | 47 | 456 | ||||||
Ethan Allen Interiors, Inc. | 19 | 616 | ||||||
Garmin Ltd. (Switzerland)† | 152 | 8,203 | ||||||
Gildan Activewear, Inc. (Canada) | 13 | 407 | ||||||
Hasbro, Inc.† | 56 | 5,470 | ||||||
iRobot Corp.* | 8 | 616 | ||||||
La-Z-Boy, Inc.† | 74 | 1,991 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 167 | 7,991 | ||||||
NIKE, Inc., Class B† | 133 | 6,896 | ||||||
NVR, Inc.†* | 6 | 17,130 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Oxford Industries, Inc. | 1 | $ | 64 | |||||
Ralph Lauren Corp.† | 145 | 12,802 | ||||||
TopBuild Corp.* | 38 | 2,476 | ||||||
Tupperware Brands Corp. | 30 | 1,855 | ||||||
Vista Outdoor, Inc.* | 21 | 482 | ||||||
Whirlpool Corp.† | 44 | 8,115 | ||||||
Wolverine World Wide, Inc. | 114 | 3,289 | ||||||
|
| |||||||
97,915 | ||||||||
|
| |||||||
Consumer Services — 9.7% |
| |||||||
Adtalem Global Education, | 118 | 4,230 | ||||||
Bloomin’ Brands, Inc. | 134 | 2,358 | ||||||
Bob Evans Farms, Inc.† | 65 | 5,038 | ||||||
Boyd Gaming Corp. | 147 | 3,829 | ||||||
Brinker International, Inc.†(a) | 237 | 7,551 | ||||||
Buffalo Wild Wings, Inc.* | 14 | 1,480 | ||||||
Cheesecake Factory, Inc. | 128 | 5,391 | ||||||
Chipotle Mexican Grill, Inc.†(a)* | 20 | 6,157 | ||||||
Choice Hotels International, Inc. | 11 | 703 | ||||||
Churchill Downs, Inc.† | 44 | 9,073 | ||||||
Cracker Barrel Old Country Store, Inc.†(a) | 30 | 4,549 | ||||||
Darden Restaurants, Inc.† | 132 | 10,399 | ||||||
Denny’s Corp.†* | 91 | 1,133 | ||||||
DineEquity, Inc.† | 132 | 5,673 | ||||||
Eldorado Resorts, Inc.(a)* | 135 | 3,463 | ||||||
Graham Holdings Co., Class B† | 10 | 5,851 | ||||||
Hilton Worldwide Holdings, Inc.† | 263 | 18,265 | ||||||
Jack in the Box, Inc.† | 33 | 3,363 | ||||||
La Quinta Holdings, Inc.†* | 54 | 945 | ||||||
Marriott International, Inc., Class A† | 66 | 7,277 | ||||||
McDonald’s Corp.† | 261 | 40,893 | ||||||
Regis Corp.* | 2 | 29 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 89 | 10,550 | ||||||
Sonic Corp.† | 102 | 2,596 | ||||||
Starbucks Corp.† | 67 | 3,599 | ||||||
Vail Resorts, Inc.† | 41 | 9,353 | ||||||
Weight Watchers International, Inc.†(a)* | 278 | 12,107 | ||||||
Wyndham Worldwide Corp.† | 154 | 16,233 | ||||||
Yum! Brands, Inc.† | 119 | 8,760 | ||||||
|
| |||||||
210,848 | ||||||||
|
| |||||||
Energy — 3.4% | ||||||||
Archrock, Inc.† | 160 | 2,008 |
The accompanying notes are an integral part of the financial statements.
204
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Chevron Corp. | 28 | $ | 3,290 | |||||
CONSOL Energy, Inc.* | 100 | 1,694 | ||||||
CVR Energy, Inc.(a) | 170 | 4,403 | ||||||
Exterran Corp.* | 41 | 1,296 | ||||||
Fairmount Santrol Holdings, Inc.(a)* | 385 | 1,840 | ||||||
Imperial Oil Ltd. (Canada)(a) | 70 | 2,236 | ||||||
Kinder Morgan, Inc. | 2 | 38 | ||||||
McDermott International, Inc. (Panama)* | 789 | 5,736 | ||||||
Occidental Petroleum Corp.† | 119 | 7,641 | ||||||
Oceaneering International, Inc.† | 105 | 2,758 | ||||||
Oil States International, Inc.(a)* | 21 | 532 | ||||||
ONEOK, Inc.† | 61 | 3,380 | ||||||
Phillips 66 | 7 | 641 | ||||||
Precision Drilling Corp. (Canada)* | 1 | 3 | ||||||
REX American Resources Corp.* | 41 | 3,847 | ||||||
Rowan Cos. PLC, Class A (United Kingdom)†* | 185 | 2,377 | ||||||
Ship Finance International Ltd. (Bermuda)†(a) | 422 | 6,119 | ||||||
Tidewater, Inc.* | 1 | 29 | ||||||
TransCanada Corp. (Canada)† | 207 | 10,232 | ||||||
Transocean Ltd. (Switzerland)†* | 934 | 10,050 | ||||||
Valero Energy Corp. | 47 | 3,616 | ||||||
World Fuel Services Corp. | 7 | 237 | ||||||
|
| |||||||
74,003 | ||||||||
|
| |||||||
Food & Staples Retailing — 7.6% |
| |||||||
Costco Wholesale Corp.† | 61 | 10,022 | ||||||
CVS Health Corp.† | 489 | 39,765 | ||||||
Ingles Markets, Inc., Class A† | 29 | 745 | ||||||
Kroger Co. (The)† | 952 | 19,097 | ||||||
SUPERVALU, Inc.* | 2 | 44 | ||||||
Sysco Corp.��� | 376 | 20,285 | ||||||
United Natural Foods, Inc.(a)* | 95 | 3,951 | ||||||
Walgreens Boots Alliance, Inc.† | 320 | 24,710 | ||||||
Wal-Mart Stores, Inc.† | 603 | 47,118 | ||||||
|
| |||||||
165,737 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 15.1% |
| |||||||
Altria Group, Inc.† | 644 | 40,842 | ||||||
Archer-Daniels-Midland Co.† | 178 | 7,567 | ||||||
Brown-Forman Corp., Class B† | 302 | 16,399 | ||||||
Campbell Soup Co.† | 328 | 15,357 | ||||||
Coca-Cola Co. (The)† | 700 | 31,507 | ||||||
Conagra Brands, Inc.† | 355 | 11,978 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Constellation Brands, Inc., Class A | 6 | $ | 1,197 | |||||
Dean Foods Co. | 482 | 5,244 | ||||||
Dr Pepper Snapple Group, Inc.† | 185 | 16,367 | ||||||
Flowers Foods, Inc.(a) | 110 | 2,069 | ||||||
General Mills, Inc.† | 418 | 21,636 | ||||||
Hershey Co. (The)† | 156 | 17,031 | ||||||
Hormel Foods Corp.† | 423 | 13,595 | ||||||
Ingredion, Inc.† | 44 | 5,308 | ||||||
JM Smucker Co. (The)† | 150 | 15,740 | ||||||
John B Sanfilippo & Son, Inc. | 6 | 404 | ||||||
Kellogg Co.† | 309 | 19,272 | ||||||
Kraft Heinz Co. (The)† | 219 | 16,983 | ||||||
Lamb Weston Holdings, Inc. | 13 | 610 | ||||||
Molson Coors Brewing Co., | 146 | 11,919 | ||||||
Mondelez International, Inc., Class A | 80 | 3,253 | ||||||
Monster Beverage Corp.* | 82 | 4,530 | ||||||
PepsiCo, Inc.† | 231 | 25,740 | ||||||
Philip Morris International, Inc.† | 113 | 12,544 | ||||||
Sanderson Farms, Inc.(a) | 45 | 7,268 | ||||||
TreeHouse Foods, Inc.(a)* | 52 | 3,522 | ||||||
|
| |||||||
327,882 | ||||||||
|
| |||||||
Health Care Equipment & Services — 14.9% |
| |||||||
Acadia Healthcare Co., Inc.†* | 102 | 4,872 | ||||||
Allscripts Healthcare Solutions, Inc.(a)* | 46 | 655 | ||||||
AmerisourceBergen Corp.† | 174 | 14,398 | ||||||
AMN Healthcare Services, | 146 | 6,672 | ||||||
Analogic Corp. | 18 | 1,508 | ||||||
Baxter International, Inc.† | 268 | 16,817 | ||||||
Becton Dickinson and Co.† | 80 | 15,676 | ||||||
Boston Scientific Corp.* | 33 | 963 | ||||||
Brookdale Senior Living, Inc.* | 54 | 572 | ||||||
Cerner Corp.†* | 122 | 8,701 | ||||||
Chemed Corp.† | 36 | 7,274 | ||||||
Community Health Systems, | 281 | 2,158 | ||||||
Cooper Cos., Inc. (The)† | 11 | 2,608 | ||||||
Cotiviti Holdings, Inc.†* | 140 | 5,037 | ||||||
CR Bard, Inc.† | 45 | 14,422 | ||||||
Danaher Corp. | 27 | 2,316 | ||||||
Envision Healthcare Corp.* | 58 | 2,607 | ||||||
Express Scripts Holding Co.†* | 489 | 30,963 | ||||||
Globus Medical, Inc., Class A(a)* | 172 | 5,112 | ||||||
Haemonetics Corp.(a)* | 13 | 583 | ||||||
Halyard Health, Inc.†* | 146 | 6,574 |
The accompanying notes are an integral part of the financial statements.
205
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
HCA Healthcare, Inc.†* | 249 | $ | 19,818 | |||||
Hill-Rom Holdings, Inc.† | 73 | 5,402 | ||||||
Hologic, Inc.†* | 210 | 7,705 | ||||||
ICU Medical, Inc.†* | 7 | 1,301 | ||||||
Integer Holdings Corp.†* | 119 | 6,087 | ||||||
Kindred Healthcare, Inc.†(a) | 130 | 884 | ||||||
Laboratory Corp. of America Holdings†* | 98 | 14,795 | ||||||
LifePoint Health, Inc.* | 17 | 984 | ||||||
Masimo Corp.†* | 35 | 3,030 | ||||||
McKesson Corp.† | 112 | 17,204 | ||||||
MEDNAX, Inc.* | 28 | 1,207 | ||||||
Medtronic PLC (Ireland)† | 303 | 23,564 | ||||||
Meridian Bioscience, Inc.† | 104 | 1,487 | ||||||
National HealthCare Corp. | 3 | 188 | ||||||
Patterson Cos., Inc.(a) | 128 | 4,947 | ||||||
Quality Systems, Inc.†* | 152 | 2,391 | ||||||
Quest Diagnostics, Inc.† | 148 | 13,859 | ||||||
STERIS PLC (United Kingdom)† | 55 | 4,862 | ||||||
Stryker Corp. | 34 | 4,829 | ||||||
Teleflex, Inc. | 6 | 1,452 | ||||||
Tivity Health, Inc.(a)* | 55 | 2,244 | ||||||
Universal Health Services, Inc., Class B† | 63 | 6,989 | ||||||
Varian Medical Systems, Inc.†* | 167 | 16,710 | ||||||
Veeva Systems, Inc., Class A* | 71 | 4,005 | ||||||
Zimmer Biomet Holdings, Inc.† | 58 | 6,791 | ||||||
|
| |||||||
323,223 | ||||||||
|
| |||||||
Household & Personal Products — 5.7% |
| |||||||
Avon Products, Inc.* | 340 | 792 | ||||||
Central Garden & Pet Co., | 32 | 1,190 | ||||||
Church & Dwight Co., Inc.† | 248 | 12,016 | ||||||
Clorox Co. (The)† | 164 | 21,633 | ||||||
Colgate-Palmolive Co.† | 368 | 26,809 | ||||||
Edgewell Personal Care Co.* | 19 | 1,383 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 66 | 7,117 | ||||||
Kimberly-Clark Corp.† | 311 | 36,598 | ||||||
Procter & Gamble Co. (The)† | 190 | 17,286 | ||||||
|
| |||||||
124,824 | ||||||||
|
| |||||||
Materials — 4.3% |
| |||||||
AptarGroup, Inc. | 14 | 1,208 | ||||||
Ashland Global Holdings, Inc. | 84 | 5,493 | ||||||
Ball Corp. | 60 | 2,478 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Bemis Co., Inc. | 48 | $ | 2,187 | |||||
Chase Corp. | 13 | 1,448 | ||||||
Chemours Co. (The) | 5 | 253 | ||||||
Clearwater Paper Corp.†* | 27 | 1,330 | ||||||
Crown Holdings, Inc.* | 19 | 1,135 | ||||||
Domtar Corp.† | 154 | 6,682 | ||||||
FMC Corp. | 14 | 1,250 | ||||||
Greif, Inc., Class A† | 11 | 644 | ||||||
Ingevity Corp.†* | 49 | 3,061 | ||||||
Innophos Holdings, Inc.† | 56 | 2,755 | ||||||
Louisiana-Pacific Corp.†* | 355 | 9,613 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 48 | 4,754 | ||||||
Martin Marietta Materials, Inc.† | 28 | 5,774 | ||||||
Methanex Corp. (Canada)† | 238 | 11,971 | ||||||
Myers Industries, Inc. | 1 | 21 | ||||||
Neenah Paper, Inc.† | 28 | 2,395 | ||||||
Packaging Corp. of America† | 86 | 9,862 | ||||||
Platform Specialty Products Corp.* | 6 | 67 | ||||||
Rayonier Advanced Materials, Inc. | 1 | 14 | ||||||
Scotts Miracle-Gro Co. (The)(a) | 40 | 3,894 | ||||||
Westlake Chemical Corp.† | 132 | 10,968 | ||||||
WR Grace & Co. | 68 | 4,906 | ||||||
|
| |||||||
94,163 | ||||||||
|
| |||||||
Media — 11.4% | ||||||||
AMC Networks, Inc., Class A†* | 45 | 2,631 | ||||||
CBS Corp., Class B, non-voting shares† | 316 | 18,328 | ||||||
Comcast Corp., Class A† | 682 | 26,243 | ||||||
Discovery Communications, Inc., Class A†(a)* | 427 | 9,091 | ||||||
DISH Network Corp., Class A* | 132 | 7,158 | ||||||
Gannett Co., Inc. | 172 | 1,548 | ||||||
Interpublic Group of Cos., Inc. | 108 | 2,245 | ||||||
MSG Networks, Inc., Class A†* | 289 | 6,127 | ||||||
News Corp., Class A† | 518 | 6,869 | ||||||
Omnicom Group, Inc.† | 284 | 21,036 | ||||||
Scripps Networks Interactive, Inc., Class A† | 103 | 8,847 | ||||||
TEGNA, Inc.† | 270 | 3,599 | ||||||
Time Warner, Inc.† | 459 | 47,025 | ||||||
Tribune Media Co., Class A | 45 | 1,839 | ||||||
Twenty-First Century Fox, Inc., Class A† | 1,412 | 37,249 |
The accompanying notes are an integral part of the financial statements.
206
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Viacom, Inc., Class B† | 490 | $ | 13,642 | |||||
Walt Disney Co. (The)† | 340 | 33,514 | ||||||
|
| |||||||
246,991 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 14.2% |
| |||||||
AbbVie, Inc.† | 237 | 21,060 | ||||||
Acorda Therapeutics, Inc.(a)* | 54 | 1,277 | ||||||
Agilent Technologies, Inc. | 22 | 1,412 | ||||||
Akorn, Inc.* | 50 | 1,660 | ||||||
Alexion Pharmaceuticals, Inc.* | 19 | 2,666 | ||||||
AMAG Pharmaceuticals, Inc.†* | 237 | 4,373 | ||||||
Amgen, Inc.† | 94 | 17,526 | ||||||
Biogen, Inc.†* | 7 | 2,192 | ||||||
Bioverativ, Inc.†* | 124 | 7,077 | ||||||
Bluebird Bio, Inc.* | 15 | 2,060 | ||||||
Bristol-Myers Squibb Co.† | 264 | 16,827 | ||||||
Catalent, Inc.* | 41 | 1,637 | ||||||
Celgene Corp.†* | 58 | 8,458 | ||||||
Charles River Laboratories International, Inc.* | 17 | 1,836 | ||||||
Eagle Pharmaceuticals, Inc.†(a)* | 87 | 5,189 | ||||||
Eli Lilly & Co.† | 34 | 2,908 | ||||||
Emergent BioSolutions, Inc.* | 36 | 1,456 | ||||||
Endo International PLC (Ireland)* | 439 | 3,760 | ||||||
Exact Sciences Corp.†(a)* | 134 | 6,314 | ||||||
Exelixis, Inc.†* | 370 | 8,965 | ||||||
Gilead Sciences, Inc.† | 572 | 46,343 | ||||||
ImmunoGen, Inc.(a)* | 77 | 589 | ||||||
Immunomedics, Inc.(a)* | 147 | 2,055 | ||||||
Incyte Corp.†* | 59 | 6,888 | ||||||
Innoviva, Inc.* | 259 | 3,657 | ||||||
Ionis Pharmaceuticals, Inc.†(a)* | 113 | 5,729 | ||||||
Jazz Pharmaceuticals PLC (Ireland)* | 19 | 2,779 | ||||||
Johnson & Johnson† | 162 | 21,062 | ||||||
Kite Pharma, Inc.* | 24 | 4,315 | ||||||
Ligand Pharmaceuticals, Inc.†(a)* | 50 | 6,808 | ||||||
Merck & Co., Inc.† | 175 | 11,205 | ||||||
MiMedx Group, Inc.†(a)* | 483 | 5,738 | ||||||
Mylan NV (Netherlands)†* | 47 | 1,474 | ||||||
Myriad Genetics, Inc.†(a)* | 193 | 6,983 | ||||||
PAREXEL International Corp.* | 23 | 2,026 | ||||||
PerkinElmer, Inc. | 46 | 3,173 | ||||||
Perrigo Co. PLC (Ireland)†(a) | 116 | 9,819 | ||||||
Pfizer, Inc.† | 125 | 4,462 | ||||||
PRA Health Sciences, Inc.†* | 32 | 2,437 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Prestige Brands Holdings, Inc.†* | 60 | $ | 3,005 | |||||
Regeneron Pharmaceuticals, Inc.†* | 15 | 6,707 | ||||||
Repligen Corp.†* | 108 | 4,139 | ||||||
Supernus Pharmaceuticals, | 50 | 2,000 | ||||||
United Therapeutics Corp.†* | 49 | 5,742 | ||||||
Valeant Pharmaceuticals International, Inc. (Canada)* | 66 | 946 | ||||||
Vanda Pharmaceuticals, Inc.* | 102 | 1,826 | ||||||
Vertex Pharmaceuticals, Inc.†* | 51 | 7,754 | ||||||
VWR Corp.†* | 27 | 894 | ||||||
Waters Corp.†* | 41 | 7,360 | ||||||
Xencor, Inc.†* | 48 | 1,100 | ||||||
|
| |||||||
307,668 | ||||||||
|
| |||||||
Retailing — 13.7% | ||||||||
Aaron’s, Inc.† | 128 | 5,585 | ||||||
Advance Auto Parts, Inc.† | 119 | 11,805 | ||||||
Asbury Automotive Group, Inc.†* | 61 | 3,727 | ||||||
AutoNation, Inc.†(a)* | 53 | 2,515 | ||||||
AutoZone, Inc.†* | 31 | 18,448 | ||||||
Bed Bath & Beyond, Inc.† | 287 | 6,736 | ||||||
Best Buy Co., Inc.† | 226 | 12,873 | ||||||
CarMax, Inc.* | 27 | 2,047 | ||||||
Chico’s FAS, Inc. | 259 | 2,318 | ||||||
Dollar General Corp.† | 97 | 7,862 | ||||||
Dollar Tree, Inc.†* | 65 | 5,643 | ||||||
Expedia, Inc. | 10 | 1,439 | ||||||
Foot Locker, Inc.† | 139 | 4,896 | ||||||
Gap, Inc. (The)†(a) | 285 | 8,416 | ||||||
Genuine Parts Co.† | 104 | 9,948 | ||||||
Home Depot, Inc. (The)† | 197 | 32,221 | ||||||
HSN, Inc.† | 66 | 2,577 | ||||||
JC Penney Co., Inc.(a)* | 756 | 2,880 | ||||||
Liberty Interactive Corp. QVC Group, Class A†* | 22 | 519 | ||||||
LKQ Corp.†* | 314 | 11,301 | ||||||
Lowe’s Cos., Inc.† | 366 | 29,258 | ||||||
Monro, Inc.(a) | 6 | 336 | ||||||
Nordstrom, Inc.† | 21 | 990 | ||||||
Nutrisystem, Inc.†(a) | 136 | 7,602 | ||||||
O’Reilly Automotive, Inc.†* | 74 | 15,937 | ||||||
PetMed Express, Inc.(a) | 116 | 3,845 | ||||||
Pool Corp. | 2 | 216 | ||||||
Priceline Group, Inc. (The)†* | 3 | 5,492 |
The accompanying notes are an integral part of the financial statements.
207
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
RH* | 58 | $ | 4,079 | |||||
Ross Stores, Inc.† | 288 | 18,596 | ||||||
Sally Beauty Holdings, Inc.(a)* | 20 | 392 | ||||||
Signet Jewelers Ltd. (Bermuda)† | 127 | 8,452 | ||||||
Tailored Brands, Inc.(a) | 100 | 1,444 | ||||||
Target Corp.† | 271 | 15,992 | ||||||
TJX Cos., Inc. (The)† | 339 | 24,994 | ||||||
Tractor Supply Co.(a) | 89 | 5,633 | ||||||
Urban Outfitters, Inc.(a)* | 59 | 1,410 | ||||||
|
| |||||||
298,424 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.9% |
| |||||||
Advanced Energy Industries, Inc.* | 38 | 3,069 | ||||||
Analog Devices, Inc. | 58 | 4,998 | ||||||
Applied Materials, Inc.† | 164 | 8,543 | ||||||
Axcelis Technologies, Inc.* | 28 | 766 | ||||||
Intel Corp.† | 510 | 19,421 | ||||||
KLA-Tencor Corp.† | 185 | 19,610 | ||||||
Lam Research Corp.† | 24 | 4,441 | ||||||
Marvell Technology Group Ltd. (Bermuda)† | 94 | 1,683 | ||||||
Maxim Integrated Products, Inc.† | 113 | 5,391 | ||||||
Microchip Technology, Inc.†(a) | 69 | 6,195 | ||||||
Micron Technology, Inc.* | 240 | 9,439 | ||||||
MKS Instruments, Inc.† | 29 | 2,739 | ||||||
ON Semiconductor Corp.†* | 502 | 9,272 | ||||||
QUALCOMM, Inc.† | 188 | 9,746 | ||||||
Skyworks Solutions, Inc.† | 40 | 4,076 | ||||||
Synaptics, Inc.(a)* | 1 | 39 | ||||||
Teradyne, Inc. | 69 | 2,573 | ||||||
Texas Instruments, Inc.† | 76 | 6,813 | ||||||
Xcerra Corp.* | 67 | 660 | ||||||
Xilinx, Inc.† | 130 | 9,208 | ||||||
|
| |||||||
128,682 | ||||||||
|
| |||||||
Software & Services — 17.8% | ||||||||
Accenture PLC, Class A (Ireland)† | 107 | 14,452 | ||||||
ACI Worldwide, Inc.* | 19 | 433 | ||||||
Adobe Systems, Inc.†* | 41 | 6,116 | ||||||
Alphabet, Inc., Class A†* | 11 | 10,711 | ||||||
Amdocs, Ltd. (Guernsey) | 32 | 2,058 | ||||||
ANSYS, Inc.†* | 53 | 6,505 | ||||||
Appfolio, Inc., Class A* | 1 | 48 | ||||||
Aspen Technology, Inc.†* | 103 | 6,469 | ||||||
Automatic Data Processing, Inc.† | 123 | 13,446 | ||||||
Blucora, Inc.* | 191 | 4,832 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Broadridge Financial Solutions, Inc. | 48 | $ | 3,879 | |||||
CA, Inc.† | 351 | 11,716 | ||||||
CACI International, Inc., Class A* | 33 | 4,599 | ||||||
Cadence Design Systems, Inc.* | 83 | 3,276 | ||||||
Cars.com, Inc.†(a)* | 194 | 5,162 | ||||||
CDK Global, Inc.† | 108 | 6,814 | ||||||
CGI Group, Inc., Class A (Canada)†* | 45 | 2,334 | ||||||
Citrix Systems, Inc.†* | 68 | 5,224 | ||||||
CommerceHub, Inc., Class A†* | 30 | 677 | ||||||
Convergys Corp.†(a) | 99 | 2,563 | ||||||
CoStar Group, Inc.* | 1 | 268 | ||||||
CSG Systems International, Inc.† | 22 | 882 | ||||||
CSRA, Inc.† | 114 | 3,679 | ||||||
eBay, Inc.†* | 314 | 12,076 | ||||||
Electronic Arts, Inc.†* | 184 | 21,723 | ||||||
Facebook, Inc., Class A†* | 53 | 9,056 | ||||||
Fair Isaac Corp.† | 23 | 3,232 | ||||||
Fidelity National Information Services, Inc.† | 49 | 4,576 | ||||||
Fiserv, Inc.†* | 48 | 6,190 | ||||||
Guidewire Software, Inc.* | 12 | 934 | ||||||
IAC/InterActiveCorp.†* | 41 | 4,821 | ||||||
International Business Machines Corp.† | 220 | 31,918 | ||||||
Intuit, Inc.† | 204 | 28,997 | ||||||
j2 Global, Inc.†(a) | 87 | 6,428 | ||||||
Jack Henry & Associates, Inc. | 14 | 1,439 | ||||||
Manhattan Associates, Inc.†(a)* | 109 | 4,531 | ||||||
MAXIMUS, Inc.† | 34 | 2,193 | ||||||
Microsoft Corp.† | 95 | 7,077 | ||||||
NIC, Inc.† | 169 | 2,898 | ||||||
Nuance Communications, Inc.†* | 199 | 3,128 | ||||||
Open Text Corp. (Canada) | 58 | 1,873 | ||||||
Oracle Corp.† | 594 | 28,720 | ||||||
Paychex, Inc.† | 296 | 17,748 | ||||||
Pegasystems, Inc.(a) | 13 | 749 | ||||||
Progress Software Corp.† | 123 | 4,695 | ||||||
Qualys, Inc.* | 12 | 622 | ||||||
Red Hat, Inc.* | 17 | 1,885 | ||||||
Sabre Corp. | 35 | 634 | ||||||
Science Applications International Corp.† | 24 | 1,604 | ||||||
SS&C Technologies Holdings, Inc. | 128 | 5,139 | ||||||
Stamps.com, Inc.†* | 43 | 8,714 |
The accompanying notes are an integral part of the financial statements.
208
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Synopsys, Inc.†* | 119 | $ | 9,583 | |||||
Total System Services, Inc. | 77 | 5,044 | ||||||
Trade Desk, Inc. (The), Class A†* | 96 | 5,905 | ||||||
Travelport Worldwide Ltd. (Bermuda)† | 228 | 3,580 | ||||||
Tyler Technologies, Inc.* | 4 | 697 | ||||||
VeriSign, Inc.†(a)* | 53 | 5,639 | ||||||
Visa, Inc., Class A† | 37 | 3,894 | ||||||
VMware, Inc., Class A†(a)* | 82 | 8,954 | ||||||
Web.com Group, Inc.* | 68 | 1,700 | ||||||
Western Union Co. (The)† | 144 | 2,765 | ||||||
|
| |||||||
387,504 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 10.6% |
| |||||||
Amphenol Corp., Class A | 5 | 423 | ||||||
Anixter International, Inc.* | 24 | 2,040 | ||||||
Apple, Inc.† | 160 | 24,659 | ||||||
Arista Networks, Inc.†* | 3 | 569 | ||||||
Avnet, Inc.† | 126 | 4,952 | ||||||
AVX Corp.† | 99 | 1,805 | ||||||
Badger Meter, Inc. | 22 | 1,078 | ||||||
Benchmark Electronics, Inc.†* | 142 | 4,849 | ||||||
Brocade Communications Systems, Inc. | 40 | 478 | ||||||
Cisco Systems, Inc.† | 1,016 | 34,168 | ||||||
Coherent, Inc.* | 3 | 706 | ||||||
CommScope Holding Co., Inc.†* | 4 | 133 | ||||||
Dolby Laboratories, Inc., Class A | 36 | 2,071 | ||||||
EchoStar Corp., Class A* | 7 | 401 | ||||||
Extreme Networks, Inc.* | 140 | 1,665 | ||||||
F5 Networks, Inc.†* | 95 | 11,453 | ||||||
FLIR Systems, Inc.† | 173 | 6,731 | ||||||
Harris Corp.† | 155 | 20,410 | ||||||
Hewlett Packard Enterprise Co.† | 1,216 | 17,887 | ||||||
HP, Inc.† | 1,089 | 21,736 | ||||||
InterDigital, Inc.† | 30 | 2,212 | ||||||
Itron, Inc.* | 17 | 1,317 | ||||||
Jabil, Inc. | 58 | 1,656 | ||||||
Juniper Networks, Inc.† | 630 | 17,533 | ||||||
Motorola Solutions, Inc.† | 89 | 7,553 | ||||||
NetApp, Inc.† | 59 | 2,582 | ||||||
OSI Systems, Inc.* | 9 | 822 | ||||||
Plantronics, Inc.† | 69 | 3,051 | ||||||
Rogers Corp.* | 1 | 133 | ||||||
ScanSource, Inc.†* | 53 | 2,313 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Seagate Technology PLC (Ireland)† | 43 | $ | 1,426 | |||||
TE Connectivity Ltd. (Switzerland) | 32 | 2,658 | ||||||
Trimble, Inc.* | 26 | 1,020 | ||||||
TTM Technologies, Inc.* | 24 | 369 | ||||||
VeriFone Systems, Inc.* | 11 | 223 | ||||||
Viavi Solutions, Inc.* | 129 | 1,220 | ||||||
Vishay Intertechnology, Inc.† | 325 | 6,110 | ||||||
Western Digital Corp.† | 64 | 5,530 | ||||||
Xerox Corp.† | 274 | 9,121 | ||||||
Zebra Technologies Corp., | 49 | 5,320 | ||||||
|
| |||||||
230,383 | ||||||||
|
| |||||||
Telecommunication Services — 4.3% |
| |||||||
AT&T, Inc.† | 752 | 29,456 | ||||||
CenturyLink, Inc.†(a) | 619 | 11,699 | ||||||
Cogent Communications Holdings, Inc.(a) | 9 | 440 | ||||||
Frontier Communications Corp.† | 322 | 3,796 | ||||||
Level 3 Communications, Inc.†* | 168 | 8,953 | ||||||
Rogers Communications, Inc., Class B (Canada) | 80 | 4,123 | ||||||
United States Cellular Corp.†* | 21 | 743 | ||||||
Verizon Communications, Inc.† | 681 | 33,703 | ||||||
Vonage Holdings Corp.* | 61 | 497 | ||||||
|
| |||||||
93,410 | ||||||||
|
| |||||||
Transportation — 5.9% |
| |||||||
Alaska Air Group, Inc.† | 107 | 8,161 | ||||||
Canadian National Railway Co. (Canada)† | 104 | 8,616 | ||||||
Canadian Pacific Railway Ltd. (Canada) | 18 | 3,025 | ||||||
CH Robinson Worldwide, Inc.†(a) | 95 | 7,230 | ||||||
CSX Corp.† | 93 | 5,046 | ||||||
Delta Air Lines, Inc.† | 192 | 9,258 | ||||||
Expeditors International of Washington, Inc.† | 216 | 12,930 | ||||||
FedEx Corp.† | 42 | 9,474 | ||||||
Hawaiian Holdings, Inc.†* | 146 | 5,482 | ||||||
Heartland Express, Inc.† | 142 | 3,561 | ||||||
JB Hunt Transport Services, Inc.† | 104 | 11,552 | ||||||
Kirby Corp.(a)* | 61 | 4,023 | ||||||
Knight-Swift Transportation Holdings, Inc.* | 15 | 623 | ||||||
Landstar System, Inc. | 11 | 1,096 | ||||||
Norfolk Southern Corp. | 13 | 1,719 |
The accompanying notes are an integral part of the financial statements.
209
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Southwest Airlines Co.† | 190 | $ | 10,636 | |||||
Union Pacific Corp.† | 77 | 8,930 | ||||||
United Parcel Service, Inc., Class B† | 104 | 12,489 | ||||||
Werner Enterprises, Inc. | 72 | 2,632 | ||||||
XPO Logistics, Inc.†* | 35 | 2,372 | ||||||
|
| |||||||
128,855 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 3,819,258 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 175.7% |
| 3,819,258 | ||||||
|
| |||||||
(Cost $3,509,211) | ||||||||
SHORT POSITIONS — (75.8)% |
| |||||||
COMMON STOCKS — (75.8)% |
| |||||||
Automobiles & Components — (1.8)% |
| |||||||
American Axle & Manufacturing Holdings, Inc.* | (501 | ) | (8,808 | ) | ||||
Cooper Tire & Rubber Co. | (225 | ) | (8,415 | ) | ||||
Ford Motor Co. | (450 | ) | (5,386 | ) | ||||
Gentherm, Inc.* | (76 | ) | (2,823 | ) | ||||
LCI Industries | (39 | ) | (4,518 | ) | ||||
Magna International, Inc. (Canada) | (69 | ) | (3,683 | ) | ||||
Modine Manufacturing Co.* | (61 | ) | (1,174 | ) | ||||
Tesla, Inc.* | (11 | ) | (3,752 | ) | ||||
|
| |||||||
(38,559 | ) | |||||||
|
| |||||||
Capital Goods — (8.3)% | ||||||||
AAON, Inc. | (31 | ) | (1,072 | ) | ||||
AAR Corp. | (113 | ) | (4,269 | ) | ||||
Actuant Corp., Class A | (226 | ) | (5,786 | ) | ||||
Advanced Drainage Systems, Inc. | (50 | ) | (1,012 | ) | ||||
AECOM* | (21 | ) | (773 | ) | ||||
Aegion Corp.* | (119 | ) | (2,770 | ) | ||||
AGCO Corp. | (10 | ) | (738 | ) | ||||
Albany International Corp., Class A | (10 | ) | (574 | ) | ||||
American Railcar Industries, Inc. | (1 | ) | (39 | ) | ||||
Apogee Enterprises, Inc. | (21 | ) | (1,013 | ) | ||||
Astec Industries, Inc. | (20 | ) | (1,120 | ) | ||||
Astronics Corp.* | (26 | ) | (774 | ) | ||||
Axon Enterprise, Inc.* | (317 | ) | (7,186 | ) | ||||
Beacon Roofing Supply, Inc.* | (103 | ) | (5,279 | ) | ||||
Carlisle Cos., Inc. | (34 | ) | (3,410 | ) | ||||
CIRCOR International, Inc. | (27 | ) | (1,470 | ) | ||||
Columbus McKinnon Corp. | (2 | ) | (76 | ) | ||||
Cubic Corp. | (62 | ) | (3,162 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Douglas Dynamics, Inc. | (53 | ) | $ | (2,088 | ) | |||
Dycom Industries, Inc.* | (8 | ) | (687 | ) | ||||
Emerson Electric Co. | (6 | ) | (377 | ) | ||||
Encore Wire Corp. | (1 | ) | (45 | ) | ||||
EnPro Industries, Inc. | (18 | ) | (1,450 | ) | ||||
ESCO Technologies, Inc. | (1 | ) | (60 | ) | ||||
Esterline Technologies Corp.* | (22 | ) | (1,983 | ) | ||||
Federal Signal Corp. | (35 | ) | (745 | ) | ||||
Franklin Electric Co., Inc. | (71 | ) | (3,184 | ) | ||||
General Cable Corp. | (192 | ) | (3,619 | ) | ||||
Granite Construction, Inc. | (114 | ) | (6,606 | ) | ||||
Herc Holdings, Inc.* | (8 | ) | (393 | ) | ||||
Hexcel Corp. | (95 | ) | (5,455 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (14 | ) | (1,070 | ) | ||||
ITT, Inc. | (63 | ) | (2,789 | ) | ||||
John Bean Technologies Corp. | (28 | ) | (2,831 | ) | ||||
Johnson Controls International PLC (Ireland) | (174 | ) | (7,010 | ) | ||||
Kaman Corp. | (37 | ) | (2,064 | ) | ||||
KBR, Inc. | (41 | ) | (733 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (352 | ) | (4,604 | ) | ||||
Manitowoc Co., Inc. (The)* | (667 | ) | (6,003 | ) | ||||
Masonite International Corp. (Canada)* | (35 | ) | (2,422 | ) | ||||
MasTec, Inc.* | (86 | ) | (3,990 | ) | ||||
Middleby Corp. (The)* | (73 | ) | (9,356 | ) | ||||
Milacron Holdings Corp.* | (32 | ) | (540 | ) | ||||
MRC Global, Inc.* | (359 | ) | (6,279 | ) | ||||
Navistar International Corp.* | (51 | ) | (2,248 | ) | ||||
NCI Building Systems, Inc.* | (20 | ) | (312 | ) | ||||
NN, Inc. | (3 | ) | (87 | ) | ||||
NOW, Inc.* | (644 | ) | (8,894 | ) | ||||
Orbital ATK, Inc. | (34 | ) | (4,527 | ) | ||||
Parker-Hannifin Corp. | (3 | ) | (525 | ) | ||||
Patrick Industries, Inc.* | (16 | ) | (1,346 | ) | ||||
Ply Gem Holdings, Inc.* | (6 | ) | (102 | ) | ||||
Proto Labs, Inc.* | (22 | ) | (1,767 | ) | ||||
Quanex Building Products Corp. | (2 | ) | (46 | ) | ||||
Raven Industries, Inc. | (28 | ) | (907 | ) | ||||
REV Group, Inc. | (33 | ) | (949 | ) | ||||
Rockwell Collins, Inc. | (5 | ) | (654 | ) | ||||
Simpson Manufacturing Co., Inc. | (35 | ) | (1,716 | ) | ||||
SiteOne Landscape Supply, Inc.* | (37 | ) | (2,150 | ) |
The accompanying notes are an integral part of the financial statements.
210
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
SPX Corp.* | (57 | ) | $ | (1,672 | ) | |||
Sunrun, Inc.* | (649 | ) | (3,602 | ) | ||||
Teledyne Technologies, Inc.* | (48 | ) | (7,641 | ) | ||||
Tennant Co. | (25 | ) | (1,655 | ) | ||||
Thermon Group Holdings, Inc.* | (54 | ) | (971 | ) | ||||
Timken Co. (The) | (86 | ) | (4,175 | ) | ||||
Titan International, Inc. | (102 | ) | (1,035 | ) | ||||
United Rentals, Inc.* | (18 | ) | (2,497 | ) | ||||
Universal Forest Products, Inc. | (11 | ) | (1,080 | ) | ||||
Wabtec Corp. | (48 | ) | (3,636 | ) | ||||
Watsco, Inc. | (14 | ) | (2,255 | ) | ||||
Watts Water Technologies, Inc., Class A | (1 | ) | (69 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (116 | ) | (1,090 | ) | ||||
Woodward, Inc. | (12 | ) | (931 | ) | ||||
Xylem, Inc. | (64 | ) | (4,008 | ) | ||||
|
| |||||||
(179,453 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (2.3)% |
| |||||||
ABM Industries, Inc. | (64 | ) | (2,669 | ) | ||||
ACCO Brands Corp.* | (177 | ) | (2,106 | ) | ||||
Advanced Disposal Services, Inc.* | (89 | ) | (2,242 | ) | ||||
Advisory Board Co. (The)* | (52 | ) | (2,788 | ) | ||||
Casella Waste Systems, Inc.* | (1 | ) | (19 | ) | ||||
Cintas Corp. | (8 | ) | (1,154 | ) | ||||
Clean Harbors, Inc.* | (34 | ) | (1,928 | ) | ||||
Covanta Holding Corp. | (613 | ) | (9,103 | ) | ||||
FTI Consulting, Inc.* | (79 | ) | (2,803 | ) | ||||
Healthcare Services Group, Inc. | (35 | ) | (1,889 | ) | ||||
HNI Corp. | (111 | ) | (4,603 | ) | ||||
InnerWorkings, Inc.* | (4 | ) | (45 | ) | ||||
Knoll, Inc. | (68 | ) | (1,360 | ) | ||||
Multi-Color Corp. | (34 | ) | (2,786 | ) | ||||
On Assignment, Inc.* | (16 | ) | (859 | ) | ||||
Ritchie Bros Auctioneers, Inc. (Canada) | (30 | ) | (949 | ) | ||||
RR Donnelley & Sons Co. | (250 | ) | (2,575 | ) | ||||
Steelcase, Inc., Class A | (93 | ) | (1,432 | ) | ||||
TrueBlue, Inc.* | (19 | ) | (427 | ) | ||||
US Ecology, Inc. | (47 | ) | (2,529 | ) | ||||
WageWorks, Inc.* | (80 | ) | (4,856 | ) | ||||
|
| |||||||
(49,122 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.4)% |
| |||||||
Acushnet Holdings Corp. | (7 | ) | (124 | ) | ||||
American Outdoor Brands Corp.* | (164 | ) | (2,501 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Callaway Golf Co. | (171 | ) | $ | (2,468 | ) | |||
Canada Goose Holdings, Inc. (Canada)* | (161 | ) | (3,309 | ) | ||||
Deckers Outdoor Corp.* | (58 | ) | (3,968 | ) | ||||
G-III Apparel Group Ltd.* | (116 | ) | (3,366 | ) | ||||
Hanesbrands, Inc. | (119 | ) | (2,932 | ) | ||||
Leggett & Platt, Inc. | (7 | ) | (334 | ) | ||||
Lululemon Athletica, Inc.* | (6 | ) | (374 | ) | ||||
Mattel, Inc. | (584 | ) | (9,040 | ) | ||||
Mohawk Industries, Inc.* | (34 | ) | (8,415 | ) | ||||
Movado Group, Inc. | (5 | ) | (140 | ) | ||||
Newell Brands, Inc. | (68 | ) | (2,902 | ) | ||||
Polaris Industries, Inc. | (23 | ) | (2,406 | ) | ||||
Skechers U.S.A., Inc., Class A* | (146 | ) | (3,663 | ) | ||||
Tempur Sealy International, Inc.* | (35 | ) | (2,258 | ) | ||||
Under Armour, Inc., Class C* | (240 | ) | (3,605 | ) | ||||
|
| |||||||
(51,805 | ) | |||||||
|
| |||||||
Consumer Services — (4.4)% |
| |||||||
Belmond Ltd., Class A (Bermuda)* | (37 | ) | (505 | ) | ||||
BJ’s Restaurants, Inc.* | (11 | ) | (335 | ) | ||||
Bright Horizons Family Solutions, Inc.* | (34 | ) | (2,931 | ) | ||||
Carnival Corp. (Panama) | (8 | ) | (517 | ) | ||||
Chegg, Inc.* | (346 | ) | (5,135 | ) | ||||
Domino’s Pizza, Inc. | (8 | ) | (1,588 | ) | ||||
Fiesta Restaurant Group, Inc.* | (80 | ) | (1,520 | ) | ||||
Houghton Mifflin Harcourt Co.* | (414 | ) | (4,989 | ) | ||||
International Game Technology PLC (United Kingdom) | (148 | ) | (3,633 | ) | ||||
Laureate Education, Inc., Class A* | (95 | ) | (1,382 | ) | ||||
Marcus Corp. (The) | (37 | ) | (1,025 | ) | ||||
MGM Resorts International | (123 | ) | (4,009 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (238 | ) | (12,864 | ) | ||||
Papa John’s International, Inc. | (61 | ) | (4,457 | ) | ||||
Planet Fitness, Inc., Class A | (87 | ) | (2,347 | ) | ||||
Red Rock Resorts, Inc., Class A | (116 | ) | (2,687 | ) | ||||
Restaurant Brands International, Inc. (Canada) | (48 | ) | (3,066 | ) | ||||
SeaWorld Entertainment, Inc. | (881 | ) | (11,444 | ) | ||||
Shake Shack, Inc., Class A* | (353 | ) | (11,730 | ) | ||||
Texas Roadhouse, Inc. | (72 | ) | (3,538 | ) | ||||
Wendy’s Co. (The) | (603 | ) | (9,365 | ) |
The accompanying notes are an integral part of the financial statements.
211
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Wingstop, Inc. | (171 | ) | $ | (5,686 | ) | |||
|
| |||||||
(94,753 | ) | |||||||
|
| |||||||
Energy — (3.4)% | ||||||||
Andeavor | (129 | ) | (13,306 | ) | ||||
Cenovus Energy, Inc. (Canada) | (346 | ) | (3,467 | ) | ||||
Cheniere Energy, Inc.* | (36 | ) | (1,621 | ) | ||||
DHT Holdings, Inc. (Marshall Islands) | (27 | ) | (107 | ) | ||||
Ensco PLC, Class A (United Kingdom) | (877 | ) | (5,236 | ) | ||||
Forum Energy Technologies, Inc.* | (160 | ) | (2,544 | ) | ||||
Frank’s International NV (Netherlands) | (233 | ) | (1,799 | ) | ||||
Green Plains, Inc. | (313 | ) | (6,307 | ) | ||||
Helix Energy Solutions Group, Inc.* | (747 | ) | (5,520 | ) | ||||
Helmerich & Payne, Inc. | (83 | ) | (4,325 | ) | ||||
Keane Group, Inc.* | (27 | ) | (450 | ) | ||||
Mammoth Energy Services, Inc.* | (3 | ) | (51 | ) | ||||
Newpark Resources, Inc.* | (93 | ) | (930 | ) | ||||
Patterson-UTI Energy, Inc. | (651 | ) | (13,632 | ) | ||||
ProPetro Holding Corp.* | (127 | ) | (1,822 | ) | ||||
SemGroup Corp., Class A | (167 | ) | (4,801 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (3 | ) | (52 | ) | ||||
Targa Resources Corp. | (84 | ) | (3,973 | ) | ||||
Unit Corp.* | (69 | ) | (1,420 | ) | ||||
Weatherford International PLC (Ireland)* | (412 | ) | (1,887 | ) | ||||
Williams Cos., Inc. (The) | (34 | ) | (1,020 | ) | ||||
|
| |||||||
(74,270 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.8)% |
| |||||||
Casey’s General Stores, Inc. | (33 | ) | (3,612 | ) | ||||
Performance Food Group Co.* | (54 | ) | (1,526 | ) | ||||
PriceSmart, Inc. | (8 | ) | (714 | ) | ||||
Rite Aid Corp.* | (4,486 | ) | (8,793 | ) | ||||
Smart & Final Stores, Inc.* | (192 | ) | (1,507 | ) | ||||
SpartanNash Co. | (15 | ) | (396 | ) | ||||
|
| |||||||
(16,548 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (3.1)% |
| |||||||
B&G Foods, Inc. | (181 | ) | (5,765 | ) | ||||
Blue Buffalo Pet Products, Inc.* | (393 | ) | (11,142 | ) | ||||
Bunge Ltd. (Bermuda) | (111 | ) | (7,710 | ) | ||||
Calavo Growers, Inc. | (35 | ) | (2,562 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (19 | ) | (4,099 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Cott Corp. (Canada) | (51 | ) | $ | (766 | ) | |||
Darling Ingredients, Inc.* | (119 | ) | (2,085 | ) | ||||
Farmer Brothers Co.* | (39 | ) | (1,281 | ) | ||||
J&J Snack Foods Corp. | (10 | ) | (1,313 | ) | ||||
McCormick & Co., Inc., non-voting shares | (17 | ) | (1,745 | ) | ||||
MGP Ingredients, Inc. | (49 | ) | (2,971 | ) | ||||
Pilgrim’s Pride Corp.* | (25 | ) | (710 | ) | ||||
Snyder’s-Lance, Inc. | (42 | ) | (1,602 | ) | ||||
SunOpta, Inc. (Canada)* | (19 | ) | (165 | ) | ||||
Tootsie Roll Industries, Inc. | (27 | ) | (1,026 | ) | ||||
Tyson Foods, Inc., Class A | (272 | ) | (19,162 | ) | ||||
Universal Corp. | (21 | ) | (1,203 | ) | ||||
Vector Group Ltd | (144 | ) | (2,942 | ) | ||||
|
| |||||||
(68,249 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (6.0)% |
| |||||||
Alere, Inc.* | (149 | ) | (7,598 | ) | ||||
Align Technology, Inc.* | (11 | ) | (2,049 | ) | ||||
Almost Family, Inc.* | (6 | ) | (322 | ) | ||||
Amedisys, Inc.* | (10 | ) | (560 | ) | ||||
athenahealth, Inc.* | (67 | ) | (8,332 | ) | ||||
AtriCure, Inc.* | (10 | ) | (224 | ) | ||||
BioTelemetry, Inc.* | (99 | ) | (3,267 | ) | ||||
Cardiovascular Systems, Inc.* | (25 | ) | (704 | ) | ||||
Castlight Health, Inc., Class B* | (9 | ) | (39 | ) | ||||
CryoLife, Inc.* | (2 | ) | (45 | ) | ||||
DaVita, Inc.* | (200 | ) | (11,878 | ) | ||||
DENTSPLY SIRONA, Inc. | (205 | ) | (12,261 | ) | ||||
DexCom, Inc.* | (153 | ) | (7,486 | ) | ||||
Diplomat Pharmacy, Inc.* | (98 | ) | (2,030 | ) | ||||
Ensign Group, Inc. (The) | (127 | ) | (2,869 | ) | ||||
Evolent Health, Inc., Class A* | (446 | ) | (7,939 | ) | ||||
Glaukos Corp.* | (25 | ) | (825 | ) | ||||
Henry Schein, Inc.* | (28 | ) | (2,296 | ) | ||||
HMS Holdings Corp.* | (64 | ) | (1,271 | ) | ||||
Inovalon Holdings, Inc., Class A* | (75 | ) | (1,279 | ) | ||||
Insulet Corp.* | (78 | ) | (4,296 | ) | ||||
K2M Group Holdings, Inc.* | (167 | ) | (3,542 | ) | ||||
LeMaitre Vascular, Inc. | (3 | ) | (112 | ) | ||||
Natus Medical, Inc.* | (145 | ) | (5,438 | ) | ||||
Nevro Corp.* | (101 | ) | (9,179 | ) | ||||
Novocure Ltd. (Jersey)* | (100 | ) | (1,985 | ) | ||||
NuVasive, Inc.* | (77 | ) | (4,270 | ) | ||||
NxStage Medical, Inc.* | (216 | ) | (5,962 | ) |
The accompanying notes are an integral part of the financial statements.
212
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
OraSure Technologies, Inc.* | (17 | ) | $ | (382 | ) | |||
Owens & Minor, Inc. | (209 | ) | (6,103 | ) | ||||
Penumbra, Inc.* | (76 | ) | (6,863 | ) | ||||
Quidel Corp.* | (19 | ) | (833 | ) | ||||
Select Medical Holdings Corp.* | (81 | ) | (1,555 | ) | ||||
Surgery Partners, Inc.* | (44 | ) | (455 | ) | ||||
Teladoc, Inc.* | (181 | ) | (6,000 | ) | ||||
Varex Imaging Corp.* | (13 | ) | (440 | ) | ||||
Vocera Communications, Inc.* | (9 | ) | (282 | ) | ||||
|
| |||||||
(130,971 | ) | |||||||
|
| |||||||
Household & Personal Products — (1.1)% |
| |||||||
Coty, Inc., Class A | (328 | ) | (5,422 | ) | ||||
elf Beauty, Inc.* | (199 | ) | (4,487 | ) | ||||
Spectrum Brands Holdings, Inc. | (104 | ) | (11,016 | ) | ||||
WD-40 Co. | (29 | ) | (3,245 | ) | ||||
|
| |||||||
(24,170 | ) | |||||||
|
| |||||||
Materials — (4.4)% | ||||||||
Agrium, Inc. (Canada) | (82 | ) | (8,791 | ) | ||||
Albemarle Corp. | (13 | ) | (1,772 | ) | ||||
Avery Dennison Corp. | (12 | ) | (1,180 | ) | ||||
Axalta Coating Systems Ltd. (Bermuda)* | (68 | ) | (1,967 | ) | ||||
Balchem Corp. | (52 | ) | (4,227 | ) | ||||
Boise Cascade Co.* | (32 | ) | (1,117 | ) | ||||
Calgon Carbon Corp. | (5 | ) | (107 | ) | ||||
DowDuPont, Inc. | (34 | ) | (2,354 | ) | ||||
Ferro Corp.* | (167 | ) | (3,724 | ) | ||||
GCP Applied Technologies, Inc.* | (138 | ) | (4,237 | ) | ||||
Graphic Packaging Holding Co. | (240 | ) | (3,348 | ) | ||||
HB Fuller Co. | (82 | ) | (4,761 | ) | ||||
Innospec, Inc. | (1 | ) | (62 | ) | ||||
International Flavors & Fragrances, Inc. | (7 | ) | (1,000 | ) | ||||
International Paper Co. | (46 | ) | (2,614 | ) | ||||
KapStone Paper and Packaging Corp. | (118 | ) | (2,536 | ) | ||||
Koppers Holdings, Inc.* | (1 | ) | (46 | ) | ||||
Kraton Corp.* | (63 | ) | (2,548 | ) | ||||
Monsanto Co. | (10 | ) | (1,198 | ) | ||||
NewMarket Corp. | (12 | ) | (5,109 | ) | ||||
Owens-Illinois, Inc.* | (383 | ) | (9,636 | ) | ||||
PH Glatfelter Co. | (99 | ) | (1,926 | ) | ||||
Sherwin-Williams Co. (The) | (28 | ) | (10,025 | ) | ||||
Silgan Holdings, Inc. | (37 | ) | (1,089 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Sonoco Products Co. | (135 | ) | $ | (6,811 | ) | |||
Stepan Co. | (6 | ) | (502 | ) | ||||
Tredegar Corp. | (34 | ) | (612 | ) | ||||
Trinseo SA (Luxembourg) | (161 | ) | (10,803 | ) | ||||
US Concrete, Inc.* | (11 | ) | (839 | ) | ||||
|
| |||||||
(94,941 | ) | |||||||
|
| |||||||
Media — (2.0)% | ||||||||
AMC Entertainment Holdings, Inc., Class A | (623 | ) | (9,158 | ) | ||||
Clear Channel Outdoor Holdings, Inc., Class A | (4 | ) | (19 | ) | ||||
Entravision Communications Corp., Class A | (126 | ) | (718 | ) | ||||
EW Scripps Co. (The), Class A* | (165 | ) | (3,153 | ) | ||||
Gray Television, Inc.* | (170 | ) | (2,669 | ) | ||||
John Wiley & Sons, Inc., Class A | (81 | ) | (4,334 | ) | ||||
Madison Square Garden Co. (The), Class A* | (20 | ) | (4,282 | ) | ||||
MDC Partners, Inc., Class A (Canada)* | (13 | ) | (143 | ) | ||||
New Media Investment Group, Inc. | (27 | ) | (399 | ) | ||||
New York Times Co. (The), Class A | (22 | ) | (431 | ) | ||||
Nexstar Media Group, Inc., Class A | (44 | ) | (2,741 | ) | ||||
Regal Entertainment Group, Class A | (496 | ) | (7,936 | ) | ||||
Scholastic Corp. | (17 | ) | (632 | ) | ||||
Shaw Communications, Inc., Class B (Canada) | (75 | ) | (1,726 | ) | ||||
Time, Inc. | (261 | ) | (3,524 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (117 | ) | (2,755 | ) | ||||
|
| |||||||
(44,620 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (5.8)% |
| |||||||
Accelerate Diagnostics, Inc.* | (101 | ) | (2,267 | ) | ||||
Achaogen, Inc.* | (51 | ) | (813 | ) | ||||
Achillion Pharmaceuticals, Inc.* | (499 | ) | (2,241 | ) | ||||
Aclaris Therapeutics, Inc.* | (62 | ) | (1,600 | ) | ||||
Aduro Biotech, Inc.* | (81 | ) | (863 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (94 | ) | (4,568 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (221 | ) | (2,707 | ) | ||||
Arena Pharmaceuticals, Inc.* | (11 | ) | (280 | ) | ||||
Athenex, Inc.* | (2 | ) | (35 | ) | ||||
Bio-Rad Laboratories, Inc., | (51 | ) | (11,333 | )�� | ||||
Bruker Corp. | (133 | ) | (3,957 | ) | ||||
Cambrex Corp.* | (18 | ) | (990 | ) |
The accompanying notes are an integral part of the financial statements.
213
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Coherus Biosciences, Inc.* | (129 | ) | $ | (1,722 | ) | |||
Cytokinetics, Inc.* | (62 | ) | (899 | ) | ||||
CytomX Therapeutics, Inc.* | (10 | ) | (182 | ) | ||||
Dermira, Inc.* | (167 | ) | (4,509 | ) | ||||
Editas Medicine, Inc.* | (18 | ) | (432 | ) | ||||
Five Prime Therapeutics, Inc.* | (94 | ) | (3,846 | ) | ||||
Flexion Therapeutics, Inc.* | (89 | ) | (2,152 | ) | ||||
Foundation Medicine, Inc.* | (17 | ) | (683 | ) | ||||
Heron Therapeutics, Inc.* | (337 | ) | (5,443 | ) | ||||
Horizon Pharma PLC (Ireland)* | (136 | ) | (1,724 | ) | ||||
Illumina, Inc.* | (71 | ) | (14,143 | ) | ||||
Insmed, Inc.* | (17 | ) | (531 | ) | ||||
Intercept Pharmaceuticals, Inc.* | (13 | ) | (755 | ) | ||||
Intra-Cellular Therapies, Inc.* | (12 | ) | (189 | ) | ||||
Keryx Biopharmaceuticals, Inc.* | (131 | ) | (930 | ) | ||||
La Jolla Pharmaceutical Co.* | (58 | ) | (2,017 | ) | ||||
Lexicon Pharmaceuticals, Inc.* | (36 | ) | (442 | ) | ||||
Luminex Corp. | (82 | ) | (1,667 | ) | ||||
MacroGenics, Inc.* | (23 | ) | (425 | ) | ||||
Medicines Co. (The)* | (190 | ) | (7,038 | ) | ||||
Momenta Pharmaceuticals, Inc.* | (70 | ) | (1,295 | ) | ||||
Natera, Inc.* | (4 | ) | (52 | ) | ||||
Nektar Therapeutics* | (369 | ) | (8,856 | ) | ||||
NeoGenomics, Inc.* | (105 | ) | (1,169 | ) | ||||
Pacific Biosciences of California, Inc.* | (72 | ) | (378 | ) | ||||
Pacira Pharmaceuticals, Inc.* | (99 | ) | (3,717 | ) | ||||
Paratek Pharmaceuticals, Inc.* | (135 | ) | (3,388 | ) | ||||
QIAGEN NV (Netherlands) | (142 | ) | (4,473 | ) | ||||
Radius Health, Inc.* | (152 | ) | (5,860 | ) | ||||
Reata Pharmaceuticals, Inc., Class A* | (3 | ) | (93 | ) | ||||
Revance Therapeutics, Inc.* | (13 | ) | (358 | ) | ||||
Seres Therapeutics, Inc.* | (4 | ) | (64 | ) | ||||
Synergy Pharmaceuticals, Inc.* | (1,470 | ) | (4,263 | ) | ||||
TG Therapeutics, Inc.* | (43 | ) | (510 | ) | ||||
TherapeuticsMD, Inc.* | (371 | ) | (1,963 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (120 | ) | (4,109 | ) | ||||
Ultragenyx Pharmaceutical, Inc.* | (88 | ) | (4,687 | ) | ||||
WaVe Life Sciences Ltd. (Singapore)* | (1 | ) | (22 | ) | ||||
|
| |||||||
(126,640 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (5.5)% |
| |||||||
1-800-Flowers.com, Inc., Class A* | (30 | ) | $ | (296 | ) | |||
Abercrombie & Fitch Co., Class A | (552 | ) | (7,971 | ) | ||||
Amazon.com, Inc.* | (2 | ) | (1,923 | ) | ||||
American Eagle Outfitters, Inc. | (906 | ) | (12,956 | ) | ||||
At Home Group, Inc.* | (3 | ) | (69 | ) | ||||
Barnes & Noble, Inc. | (36 | ) | (274 | ) | ||||
Burlington Stores, Inc.* | (57 | ) | (5,441 | ) | ||||
Caleres, Inc. | (83 | ) | (2,533 | ) | ||||
Camping World Holdings, Inc., Class A | (14 | ) | (570 | ) | ||||
Children’s Place, Inc. (The) | (62 | ) | (7,325 | ) | ||||
DSW, Inc., Class A | (149 | ) | (3,201 | ) | ||||
Duluth Holdings, Inc., Class B* | (2 | ) | (41 | ) | ||||
Express, Inc.* | (73 | ) | (493 | ) | ||||
Five Below, Inc.* | (183 | ) | (10,043 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (122 | ) | (4,749 | ) | ||||
GameStop Corp., Class A | (392 | ) | (8,099 | ) | ||||
Genesco, Inc.* | (36 | ) | (958 | ) | ||||
Group 1 Automotive, Inc. | (43 | ) | (3,116 | ) | ||||
Guess?, Inc. | (502 | ) | (8,549 | ) | ||||
L Brands, Inc. | (3 | ) | (125 | ) | ||||
Lithia Motors, Inc., Class A | (50 | ) | (6,016 | ) | ||||
Murphy USA, Inc.* | (60 | ) | (4,140 | ) | ||||
Netflix, Inc.* | (4 | ) | (725 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (226 | ) | (10,486 | ) | ||||
Party City Holdco, Inc.* | (76 | ) | (1,030 | ) | ||||
Select Comfort Corp.* | (85 | ) | (2,639 | ) | ||||
Shutterfly, Inc.* | (58 | ) | (2,812 | ) | ||||
Sonic Automotive, Inc., Class A | (61 | ) | (1,244 | ) | ||||
Tile Shop Holdings, Inc. | (181 | ) | (2,299 | ) | ||||
Wayfair, Inc., Class A* | (49 | ) | (3,303 | ) | ||||
Williams-Sonoma, Inc. | (119 | ) | (5,933 | ) | ||||
|
| |||||||
(119,359 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (3.7)% |
| |||||||
Advanced Micro Devices, Inc.* | (1,002 | ) | (12,776 | ) | ||||
Ambarella, Inc. (Cayman Islands)* | (13 | ) | (637 | ) | ||||
Amkor Technology, Inc.* | (37 | ) | (390 | ) | ||||
Cavium, Inc.* | (123 | ) | (8,111 | ) | ||||
Cohu, Inc. | (14 | ) | (334 | ) | ||||
Cree, Inc.* | (100 | ) | (2,819 | ) | ||||
Cypress Semiconductor Corp. | (413 | ) | (6,203 | ) | ||||
FormFactor, Inc.* | (110 | ) | (1,854 | ) |
The accompanying notes are an integral part of the financial statements.
214
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Ichor Holdings Ltd. | (37 | ) | $ | (992 | ) | |||
Inphi Corp.* | (349 | ) | (13,852 | ) | ||||
Integrated Device Technology, Inc.* | (385 | ) | (10,233 | ) | ||||
IXYS Corp.* | (9 | ) | (213 | ) | ||||
Lattice Semiconductor Corp.* | (349 | ) | (1,818 | ) | ||||
MACOM Technology Solutions Holdings, Inc.* | (38 | ) | (1,695 | ) | ||||
MaxLinear, Inc.* | (199 | ) | (4,726 | ) | ||||
Monolithic Power Systems, Inc. | (10 | ) | (1,066 | ) | ||||
Nanometrics, Inc.* | (27 | ) | (778 | ) | ||||
Photronics, Inc.* | (42 | ) | (372 | ) | ||||
Power Integrations, Inc. | (37 | ) | (2,708 | ) | ||||
Semtech Corp.* | (26 | ) | (976 | ) | ||||
Veeco Instruments, Inc.* | (184 | ) | (3,938 | ) | ||||
Versum Materials, Inc. | (38 | ) | (1,475 | ) | ||||
Xperi Corp. | (81 | ) | (2,049 | ) | ||||
|
| |||||||
(80,015 | ) | |||||||
|
| |||||||
Software & Services — (10.5)% |
| |||||||
8x8, Inc.* | (136 | ) | (1,836 | ) | ||||
A10 Networks, Inc.* | (96 | ) | (726 | ) | ||||
Acxiom Corp.* | (154 | ) | (3,795 | ) | ||||
Alliance Data Systems Corp. | (65 | ) | (14,401 | ) | ||||
Autodesk, Inc.* | (90 | ) | (10,103 | ) | ||||
Benefitfocus, Inc.* | (53 | ) | (1,783 | ) | ||||
Black Knight Financial Services, Inc., Class A* | (100 | ) | (4,305 | ) | ||||
Blackhawk Network Holdings, Inc.* | (141 | ) | (6,176 | ) | ||||
Booz Allen Hamilton Holding Corp. | (89 | ) | (3,328 | ) | ||||
Box, Inc., Class A* | (172 | ) | (3,323 | ) | ||||
BroadSoft, Inc.* | (93 | ) | (4,678 | ) | ||||
Callidus Software, Inc.* | (137 | ) | (3,377 | ) | ||||
Carbonite, Inc.* | (74 | ) | (1,628 | ) | ||||
Cardtronics PLC, Class A (United Kingdom)* | (194 | ) | (4,464 | ) | ||||
Conduent, Inc.* | (104 | ) | (1,630 | ) | ||||
Cornerstone OnDemand, Inc.* | (131 | ) | (5,320 | ) | ||||
Coupa Software, Inc.* | (69 | ) | (2,149 | ) | ||||
DST Systems, Inc. | (60 | ) | (3,293 | ) | ||||
DXC Technology Co. | (116 | ) | (9,962 | ) | ||||
Ellie Mae, Inc.* | (64 | ) | (5,256 | ) | ||||
Euronet Worldwide, Inc.* | (27 | ) | (2,559 | ) | ||||
FireEye, Inc.* | (462 | ) | (7,748 | ) | ||||
Gartner, Inc.* | (51 | ) | (6,345 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Gigamon, Inc.* | (227 | ) | $ | (9,568 | ) | |||
Globant SA (Luxembourg)* | (35 | ) | (1,402 | ) | ||||
Gogo, Inc.* | (488 | ) | (5,763 | ) | ||||
GTT Communications, Inc.* | (48 | ) | (1,519 | ) | ||||
Hortonworks, Inc.* | (135 | ) | (2,288 | ) | ||||
HubSpot, Inc.* | (23 | ) | (1,933 | ) | ||||
Imperva, Inc.* | (101 | ) | (4,383 | ) | ||||
Instructure, Inc.* | (22 | ) | (729 | ) | ||||
MuleSoft, Inc., Class A* | (52 | ) | (1,047 | ) | ||||
Nutanix, Inc,. Class A* | (18 | ) | (403 | ) | ||||
Pandora Media, Inc.* | (1,358 | ) | (10,457 | ) | ||||
Paylocity Holding Corp.* | (26 | ) | (1,269 | ) | ||||
Proofpoint, Inc.* | (19 | ) | (1,657 | ) | ||||
PROS Holdings, Inc.* | (94 | ) | (2,268 | ) | ||||
Quotient Technology, Inc.* | (106 | ) | (1,659 | ) | ||||
Rapid7, Inc.* | (113 | ) | (1,989 | ) | ||||
SecureWorks Corp., Class A* | (36 | ) | (445 | ) | ||||
Splunk, Inc.* | (176 | ) | (11,692 | ) | ||||
Sykes Enterprises, Inc.* | (2 | ) | (58 | ) | ||||
Teradata Corp.* | (386 | ) | (13,043 | ) | ||||
Twilio, Inc., Class A* | (85 | ) | (2,537 | ) | ||||
Twitter, Inc.* | (80 | ) | (1,350 | ) | ||||
Ultimate Software Group, Inc. (The)* | (32 | ) | (6,067 | ) | ||||
Vantiv, Inc., Class A* | (92 | ) | (6,483 | ) | ||||
Verint Systems, Inc.* | (33 | ) | (1,381 | ) | ||||
Virtusa Corp.* | (118 | ) | (4,458 | ) | ||||
Workday, Inc., Class A* | (79 | ) | (8,326 | ) | ||||
Workiva, Inc.* | (56 | ) | (1,168 | ) | ||||
Zendesk, Inc.* | (419 | ) | (12,197 | ) | ||||
Zynga, Inc., Class A* | (794 | ) | (3,001 | ) | ||||
|
| |||||||
(228,725 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (6.1)% |
| |||||||
3D Systems Corp.* | (490 | ) | (6,561 | ) | ||||
Arrow Electronics, Inc.* | (36 | ) | (2,895 | ) | ||||
Belden, Inc. | (58 | ) | (4,671 | ) | ||||
BlackBerry Ltd. (Canada)* | (62 | ) | (693 | ) | ||||
Corning, Inc. | (151 | ) | (4,518 | ) | ||||
CTS Corp. | (43 | ) | (1,036 | ) | ||||
Diebold Nixdorf, Inc. | (215 | ) | (4,913 | ) | ||||
FARO Technologies, Inc.* | (1 | ) | (38 | ) | ||||
Finisar Corp.* | (406 | ) | (9,001 | ) | ||||
Fitbit, Inc., Class A* | (1,493 | ) | (10,391 | ) | ||||
II-VI, Inc.* | (203 | ) | (8,353 | ) | ||||
Infinera Corp.* | (1,101 | ) | (9,766 | ) |
The accompanying notes are an integral part of the financial statements.
215
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Insight Enterprises, Inc.* | (28 | ) | $ | (1,286 | ) | |||
Keysight Technologies, Inc.* | (75 | ) | (3,124 | ) | ||||
Kimball Electronics, Inc.* | (2 | ) | (43 | ) | ||||
Knowles Corp.* | (159 | ) | (2,428 | ) | ||||
Lumentum Holdings, Inc.* | (245 | ) | (13,316 | ) | ||||
Mesa Laboratories, Inc. | (7 | ) | (1,045 | ) | ||||
Methode Electronics, Inc. | (17 | ) | (720 | ) | ||||
MTS Systems Corp. | (3 | ) | (160 | ) | ||||
NETGEAR, Inc.* | (107 | ) | (5,093 | ) | ||||
NetScout Systems, Inc.* | (67 | ) | (2,167 | ) | ||||
Oclaro, Inc.* | (388 | ) | (3,348 | ) | ||||
Palo Alto Networks, Inc.* | (33 | ) | (4,755 | ) | ||||
Plexus Corp.* | (27 | ) | (1,514 | ) | ||||
Pure Storage, Inc., Class A* | (252 | ) | (4,029 | ) | ||||
Quantenna Communications, Inc.* | (48 | ) | (807 | ) | ||||
Sierra Wireless, Inc. (Canada)* | (125 | ) | (2,688 | ) | ||||
Stratasys Ltd. (Israel)* | (50 | ) | (1,156 | ) | ||||
Super Micro Computer, Inc.* | (170 | ) | (3,757 | ) | ||||
SYNNEX Corp. | (37 | ) | (4,681 | ) | ||||
Tech Data Corp.* | (60 | ) | (5,331 | ) | ||||
ViaSat, Inc.* | (135 | ) | (8,683 | ) | ||||
|
| |||||||
(132,967 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.2)% |
| |||||||
ATN International, Inc. | (38 | ) | (2,003 | ) | ||||
Boingo Wireless, Inc.* | (7 | ) | (150 | ) | ||||
Cincinnati Bell, Inc.* | (205 | ) | (4,069 | ) | ||||
General Communication, Inc., Class A* | (47 | ) | (1,917 | ) | ||||
Iridium Communications, Inc.* | (442 | ) | (4,553 | ) | ||||
Shenandoah Telecommunications Co. | (82 | ) | (3,050 | ) | ||||
Straight Path Communications, Inc,. Class B* | (10 | ) | (1,807 | ) | ||||
Zayo Group Holdings, Inc.* | (269 | ) | (9,259 | ) | ||||
|
| |||||||
(26,808 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (3.0)% |
| |||||||
Air Transport Services Group, Inc.* | (95 | ) | $ | (2,312 | ) | |||
Allegiant Travel Co. | (4 | ) | (527 | ) | ||||
ArcBest Corp. | (68 | ) | (2,275 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (27 | ) | (1,777 | ) | ||||
Genesee & Wyoming, Inc., Class A* | (206 | ) | (15,246 | ) | ||||
Golden Ocean Group Ltd. (Bermuda)* | (9 | ) | (71 | ) | ||||
Hub Group, Inc., Class A* | (24 | ) | (1,031 | ) | ||||
JetBlue Airways Corp.* | (27 | ) | (500 | ) | ||||
Kansas City Southern | (75 | ) | (8,151 | ) | ||||
Ryder System, Inc. | (176 | ) | (14,881 | ) | ||||
SkyWest, Inc. | (139 | ) | (6,102 | ) | ||||
Spirit Airlines, Inc.* | (352 | ) | (11,760 | ) | ||||
United Continental Holdings, Inc.* | (16 | ) | (974 | ) | ||||
|
| |||||||
(65,607 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK | (1,647,582 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (75.8)% |
| (1,647,582 | ) | |||||
|
| |||||||
(Proceeds $1,625,019) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% | 2,234 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,173,910 | ||||||
|
|
† | 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) |
* | Non-income producing. |
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
216
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 185.3% |
| |||||||
COMMON STOCKS — 185.3% |
| |||||||
Automobiles & Components — 3.1% |
| |||||||
BorgWarner, Inc.† | 207 | $ | 10,605 | |||||
Delphi Automotive PLC (Jersey)† | 681 | 67,010 | ||||||
General Motors Co.† | 3,617 | 146,055 | ||||||
Harley-Davidson, Inc.(a) | 553 | 26,660 | ||||||
|
| |||||||
250,330 | ||||||||
|
| |||||||
Capital Goods — 14.9% |
| |||||||
3M Co.† | 85 | 17,842 | ||||||
Allegion PLC (Ireland)† | 32 | 2,767 | ||||||
AMETEK, Inc. | 57 | 3,764 | ||||||
Arconic, Inc.† | 88 | 2,190 | ||||||
Boeing Co. (The)† | 1,398 | 355,386 | ||||||
Caterpillar, Inc.† | 1,107 | 138,054 | ||||||
Cummins, Inc.† | 158 | 26,549 | ||||||
Emerson Electric Co.† | 13 | 817 | ||||||
Honeywell International, Inc.† | 1,264 | 179,159 | ||||||
Ingersoll-Rand PLC (Ireland)† | 244 | 21,758 | ||||||
Jacobs Engineering Group, Inc.† | 390 | 22,725 | ||||||
Lockheed Martin Corp.† | 821 | 254,748 | ||||||
Northrop Grumman Corp.† | 182 | 52,365 | ||||||
Pentair PLC (Ireland) | 588 | 39,960 | ||||||
Rockwell Collins, Inc.† | 25 | 3,268 | ||||||
Snap-on, Inc.† | 186 | 27,716 | ||||||
TransDigm Group, Inc. | 3 | 767 | ||||||
WW Grainger, Inc.†(a) | 188 | 33,793 | ||||||
|
| |||||||
1,183,628 | ||||||||
|
| |||||||
Commercial & Professional Services — 2.8% |
| |||||||
Equifax, Inc. | 48 | 5,088 | ||||||
Republic Services, Inc.† | 951 | 62,823 | ||||||
Robert Half International, Inc.† | 407 | 20,488 | ||||||
Stericycle, Inc.* | 282 | 20,197 | ||||||
Waste Management, Inc.† | 1,424 | 111,456 | ||||||
|
| |||||||
220,052 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.1% |
| |||||||
Coach, Inc.† | 914 | 36,816 | ||||||
Garmin Ltd. (Switzerland)† | 188 | 10,146 | ||||||
Hasbro, Inc.† | 113 | 11,037 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 541 | 25,887 | ||||||
PVH Corp.† | 209 | 26,347 | ||||||
Ralph Lauren Corp.† | 267 | 23,573 | ||||||
Whirlpool Corp. | 194 | 35,781 | ||||||
|
| |||||||
169,587 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — 4.7% |
| |||||||
Hilton Worldwide Holdings, Inc.† | 1,054 | $ | 73,200 | |||||
Marriott International, Inc., Class A† | 1,137 | 125,366 | ||||||
McDonald’s Corp.† | 889 | 139,289 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 49 | 5,808 | ||||||
Wyndham Worldwide Corp.† | 272 | 28,672 | ||||||
|
| |||||||
372,335 | ||||||||
|
| |||||||
Diversified Financials — 3.6% | ||||||||
BlackRock, Inc. | 74 | 33,085 | ||||||
CBOE Holdings, Inc. | 363 | 39,070 | ||||||
CME Group, Inc.† | 14 | 1,900 | ||||||
Franklin Resources, Inc. | 313 | 13,932 | ||||||
Invesco Ltd. (Bermuda) | 31 | 1,086 | ||||||
Moody’s Corp.† | 618 | 86,032 | ||||||
Nasdaq, Inc.† | 540 | 41,888 | ||||||
T Rowe Price Group, Inc.† | 779 | 70,616 | ||||||
|
| |||||||
287,609 | ||||||||
|
| |||||||
Energy — 7.9% | ||||||||
Anadarko Petroleum Corp.† | 1,791 | 87,490 | ||||||
Chesapeake Energy Corp.(a)* | 2,935 | 12,620 | ||||||
Chevron Corp.† | 767 | 90,122 | ||||||
ConocoPhillips† | 3,943 | 197,347 | ||||||
Occidental Petroleum Corp.† | 1,830 | 117,504 | ||||||
Range Resources Corp.(a) | 803 | 15,715 | ||||||
Valero Energy Corp.† | 1,433 | 110,241 | ||||||
|
| |||||||
631,039 | ||||||||
|
| |||||||
Food & Staples Retailing — 12.1% |
| |||||||
CVS Health Corp.† | 3,443 | 279,985 | ||||||
Kroger Co. (The)† | 2,997 | 60,120 | ||||||
Sysco Corp.† | 1,718 | 92,686 | ||||||
Walgreens Boots Alliance, Inc.† | 2,750 | 212,355 | ||||||
Wal-Mart Stores, Inc.† | 3,992 | 311,935 | ||||||
|
| |||||||
957,081 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 10.3% |
| |||||||
Altria Group, Inc.† | 4,739 | 300,547 | ||||||
Campbell Soup Co.† | 990 | 46,352 | ||||||
Coca-Cola Co. (The) | 1,069 | 48,116 | ||||||
Conagra Brands, Inc.† | 1,412 | 47,641 | ||||||
Dr Pepper Snapple Group, Inc.† | 593 | 52,463 | ||||||
General Mills, Inc. | 917 | 47,464 | ||||||
JM Smucker Co. (The) | 374 | 39,244 | ||||||
Kellogg Co. | 1,117 | 69,667 | ||||||
Kraft Heinz Co. (The) | 65 | 5,041 |
The accompanying notes are an integral part of the financial statements.
217
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Molson Coors Brewing Co., Class B† | 697 | $ | 56,903 | |||||
PepsiCo, Inc.† | 775 | 86,358 | ||||||
Philip Morris International, Inc.† | 134 | 14,875 | ||||||
|
| |||||||
814,671 | ||||||||
|
| |||||||
Health Care Equipment & Services — 17.8% |
| |||||||
Aetna, Inc.† | 1,076 | 171,095 | ||||||
AmerisourceBergen Corp.† | 729 | 60,325 | ||||||
Anthem, Inc.† | 855 | 162,347 | ||||||
Baxter International, Inc.† | 506 | 31,752 | ||||||
Centene Corp.†* | 559 | 54,094 | ||||||
Cigna Corp.† | 819 | 153,104 | ||||||
Envision Healthcare Corp.* | 42 | 1,888 | ||||||
Express Scripts Holding Co.†* | 2,007 | 127,083 | ||||||
HCA Healthcare, Inc.†* | 1,202 | 95,667 | ||||||
Humana, Inc.† | 485 | 118,161 | ||||||
Laboratory Corp. of America | ||||||||
Holdings†* | 267 | 40,309 | ||||||
McKesson Corp.† | 681 | 104,608 | ||||||
Medtronic PLC (Ireland)† | 709 | 55,139 | ||||||
Quest Diagnostics, Inc.† | 255 | 23,878 | ||||||
UnitedHealth Group, Inc.† | 760 | 148,846 | ||||||
Universal Health Services, Inc., Class B | 310 | 34,391 | ||||||
Varian Medical Systems, Inc.* | 299 | 29,918 | ||||||
|
| |||||||
1,412,605 | ||||||||
|
| |||||||
Household & Personal Products — 4.2% |
| |||||||
Church & Dwight Co., Inc.† | 651 | 31,541 | ||||||
Clorox Co. (The)† | 418 | 55,138 | ||||||
Colgate-Palmolive Co.† | 1,071 | 78,022 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 295 | 31,813 | ||||||
Kimberly-Clark Corp.† | 1,144 | 134,626 | ||||||
|
| |||||||
331,140 | ||||||||
|
| |||||||
Insurance — 2.9% | ||||||||
Allstate Corp. (The)† | 125 | 11,489 | ||||||
Aon PLC (United Kingdom)† | 762 | 111,328 | ||||||
Everest Re Group Ltd. (Bermuda) | 59 | 13,475 | ||||||
Progressive Corp. (The)† | 1,768 | 85,607 | ||||||
Travelers Cos., Inc. (The) | 85 | 10,414 | ||||||
|
| |||||||
232,313 | ||||||||
|
| |||||||
Materials — 5.7% | ||||||||
Air Products & Chemicals, Inc.† | 707 | 106,913 | ||||||
Ball Corp. | 649 | 26,804 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Freeport-McMoRan, Inc.* | 3,235 | $ | 45,419 | |||||
LyondellBasell Industries NV, Class A | ||||||||
(Netherlands)† | 1,262 | 125,001 | ||||||
Newmont Mining Corp.† | 1,728 | 64,817 | ||||||
Packaging Corp. of America | 305 | 34,977 | ||||||
PPG Industries, Inc.† | 55 | 5,976 | ||||||
Sherwin-Williams Co. (The)† | 88 | 31,508 | ||||||
WestRock Co.† | 207 | 11,743 | ||||||
|
| |||||||
453,158 | ||||||||
|
| |||||||
Media — 14.4% | ||||||||
CBS Corp., Class B, non-voting shares† | 1,305 | 75,690 | ||||||
Comcast Corp., Class A† | 6,169 | 237,383 | ||||||
Discovery Communications, Inc., Class A†(a)* | 1,873 | 39,876 | ||||||
News Corp., Class A† | 1,886 | 25,008 | ||||||
Omnicom Group, Inc.† | 761 | 56,367 | ||||||
Scripps Networks Interactive, Inc., Class A† | 420 | 36,074 | ||||||
Time Warner, Inc.† | 2,518 | 257,969 | ||||||
Twenty-First Century Fox, Inc., Class A† | 5,998 | 158,227 | ||||||
Viacom, Inc., Class B† | 1,304 | 36,303 | ||||||
Walt Disney Co. (The)† | 2,239 | 220,698 | ||||||
|
| |||||||
1,143,595 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 10.6% |
| |||||||
AbbVie, Inc.† | 2,507 | 222,772 | ||||||
Amgen, Inc.† | 475 | 88,564 | ||||||
Biogen, Inc.†* | 393 | 123,056 | ||||||
Bristol-Myers Squibb Co.† | 1,077 | 68,648 | ||||||
Gilead Sciences, Inc.† | 4,162 | 337,205 | ||||||
|
| |||||||
840,245 | ||||||||
|
| |||||||
Real Estate — 5.6% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 176 | 20,939 | ||||||
Apartment Investment & Management Co., Class A, REIT† | 178 | 7,807 | ||||||
AvalonBay Communities, Inc., REIT† | 127 | 22,659 | ||||||
Digital Realty Trust, Inc., REIT† | 86 | 10,176 | ||||||
Duke Realty Corp., REIT | 1,152 | 33,201 | ||||||
Essex Property Trust, Inc., REIT† | 213 | 54,108 | ||||||
Extra Space Storage, Inc., REIT† | 408 | 32,607 | ||||||
Mid-America Apartment Communities, Inc., REIT† | 368 | 39,332 |
The accompanying notes are an integral part of the financial statements.
218
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Prologis, Inc., REIT | 92 | $ | 5,838 | |||||
Public Storage, REIT† | 359 | 76,822 | ||||||
Realty Income Corp., REIT† | 887 | 50,728 | ||||||
Regency Centers Corp., REIT | 549 | 34,060 | ||||||
UDR, Inc., REIT† | 866 | 32,934 | ||||||
Ventas, Inc., REIT† | 354 | 23,056 | ||||||
|
| |||||||
444,267 | ||||||||
|
| |||||||
Retailing — 12.2% | ||||||||
Advance Auto Parts, Inc. | 240 | 23,808 | ||||||
AutoZone, Inc.†* | 92 | 54,750 | ||||||
Best Buy Co., Inc.† | 307 | 17,487 | ||||||
Dollar Tree, Inc.* | 74 | 6,425 | ||||||
Foot Locker, Inc. | 20 | 704 | ||||||
Genuine Parts Co. | 475 | 45,434 | ||||||
Home Depot, Inc. (The)† | 1,924 | 314,689 | ||||||
LKQ Corp.* | 1,000 | 35,990 | ||||||
Lowe’s Cos., Inc.† | 2,720 | 217,437 | ||||||
Nordstrom, Inc. | 479 | 22,585 | ||||||
O’Reilly Automotive, Inc.†* | 288 | 62,027 | ||||||
Ross Stores, Inc.† | 1,250 | 80,712 | ||||||
Signet Jewelers Ltd. (Bermuda)(a) | 196 | 13,044 | ||||||
Target Corp.† | 809 | 47,739 | ||||||
TJX Cos., Inc. (The) | 133 | 9,806 | ||||||
Tractor Supply Co.(a) | 246 | 15,569 | ||||||
|
| |||||||
968,206 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.3% |
| |||||||
Applied Materials, Inc.† | 3,417 | 177,992 | ||||||
Intel Corp.† | 4,276 | 162,830 | ||||||
KLA-Tencor Corp.† | 509 | 53,954 | ||||||
Lam Research Corp.† | 592 | 109,544 | ||||||
Micron Technology, Inc.* | 1,752 | 68,906 | ||||||
Texas Instruments, Inc.† | 327 | 29,312 | ||||||
Xilinx, Inc. | 794 | 56,239 | ||||||
|
| |||||||
658,777 | ||||||||
|
| |||||||
Software & Services — 11.4% | ||||||||
Accenture PLC, Class A (Ireland)† | 543 | 73,343 | ||||||
Alphabet, Inc., Class A* | 18 | 17,527 | ||||||
Automatic Data Processing, Inc.† | 628 | 68,653 | ||||||
CA, Inc.† | 424 | 14,153 | ||||||
CSRA, Inc.† | 154 | 4,970 | ||||||
eBay, Inc.†* | 278 | 10,692 | ||||||
Electronic Arts, Inc.†* | 1,005 | 118,650 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
International Business Machines | ||||||||
Corp.† | 1,269 | $ | 184,107 | |||||
Intuit, Inc.† | 829 | 117,834 | ||||||
Oracle Corp.† | 4,167 | 201,474 | ||||||
Paychex, Inc.† | 1,164 | 69,793 | ||||||
Visa, Inc., Class A | 257 | 27,047 | ||||||
|
| |||||||
908,243 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 12.5% |
| |||||||
Apple, Inc.† | 2,051 | 316,100 | ||||||
Cisco Systems, Inc.† | 7,668 | 257,875 | ||||||
F5 Networks, Inc.†* | 209 | 25,197 | ||||||
FLIR Systems, Inc.† | 128 | 4,981 | ||||||
Harris Corp. | 390 | 51,355 | ||||||
Hewlett Packard Enterprise Co.† | 5,303 | 78,007 | ||||||
HP, Inc.† | 5,411 | 108,004 | ||||||
Juniper Networks, Inc.† | 1,237 | 34,426 | ||||||
Motorola Solutions, Inc.† | 209 | 17,738 | ||||||
Western Digital Corp.† | 815 | 70,416 | ||||||
Xerox Corp. | 846 | 28,163 | ||||||
|
| |||||||
992,262 | ||||||||
|
| |||||||
Telecommunication Services — 6.5% |
| |||||||
AT&T, Inc.† | 5,021 | 196,673 | ||||||
CenturyLink, Inc.(a) | 1,782 | 33,680 | ||||||
Verizon Communications, Inc.† | 5,730 | 283,578 | ||||||
|
| |||||||
513,931 | ||||||||
|
| |||||||
Transportation — 8.2% | ||||||||
Alaska Air Group, Inc.† | 400 | 30,508 | ||||||
CH Robinson Worldwide, Inc.† | 9 | 685 | ||||||
CSX Corp. | 919 | 49,865 | ||||||
Delta Air Lines, Inc.† | 686 | 33,079 | ||||||
Expeditors International of | ||||||||
Washington, Inc.† | 581 | 34,779 | ||||||
FedEx Corp.† | 572 | 129,032 | ||||||
JB Hunt Transport Services, Inc. | 354 | 39,322 | ||||||
Southwest Airlines Co.† | 1,206 | 67,512 | ||||||
Union Pacific Corp.† | 1,225 | 142,063 | ||||||
United Parcel Service, Inc., Class B† | 1,022 | 122,732 | ||||||
|
| |||||||
649,577 | ||||||||
|
| |||||||
Utilities — 3.5% | ||||||||
CMS Energy Corp. | 466 | 21,585 | ||||||
DTE Energy Co.† | 581 | 62,376 | ||||||
FirstEnergy Corp. | 1,440 | 44,395 | ||||||
NRG Energy, Inc.† | 305 | 7,805 |
The accompanying notes are an integral part of the financial statements.
219
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
Public Service Enterprise Group, Inc.† | 1,637 | $ | 75,711 | |||||
WEC Energy Group, Inc.† | 1,022 | 64,161 | ||||||
|
| |||||||
276,033 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 14,710,684 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 185.3% |
| 14,710,684 | ||||||
|
| |||||||
(Cost $13,606,248) | ||||||||
SHORT POSITIONS — (85.8)% |
| |||||||
COMMON STOCKS — (85.8)% |
| |||||||
Automobiles & Components — (1.0)% |
| |||||||
Ford Motor Co. | (5,945 | ) | (71,162 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (377 | ) | (12,535 | ) | ||||
|
| |||||||
(83,697 | ) | |||||||
|
| |||||||
Banks — (8.2)% | ||||||||
Bank of America Corp. | (5,480 | ) | (138,863 | ) | ||||
BB&T Corp. | (1,210 | ) | (56,797 | ) | ||||
Citigroup, Inc. | (366 | ) | (26,623 | ) | ||||
Citizens Financial Group, Inc. | (758 | ) | (28,706 | ) | ||||
Comerica, Inc. | (187 | ) | (14,261 | ) | ||||
Fifth Third Bancorp | (1,037 | ) | (29,015 | ) | ||||
Huntington Bancshares, Inc. | (442 | ) | (6,170 | ) | ||||
JPMorgan Chase & Co. | (332 | ) | (31,709 | ) | ||||
M&T Bank Corp. | (229 | ) | (36,878 | ) | ||||
PNC Financial Services Group, Inc. (The) | (149 | ) | (20,081 | ) | ||||
Regions Financial Corp. | (1,276 | ) | (19,433 | ) | ||||
SunTrust Banks, Inc. | (721 | ) | (43,094 | ) | ||||
US Bancorp | (1,613 | ) | (86,441 | ) | ||||
Wells Fargo & Co. | (1,737 | ) | (95,796 | ) | ||||
Zions Bancorporation | (301 | ) | (14,201 | ) | ||||
|
| |||||||
(648,068 | ) | |||||||
|
| |||||||
Capital Goods — (8.6)% | ||||||||
Acuity Brands, Inc. | (66 | ) | (11,305 | ) | ||||
AO Smith Corp. | (258 | ) | (15,333 | ) | ||||
Dover Corp. | (191 | ) | (17,456 | ) | ||||
Eaton Corp. PLC (Ireland) | (674 | ) | (51,756 | ) | ||||
Flowserve Corp. | (195 | ) | (8,305 | ) | ||||
Fluor Corp. | (209 | ) | (8,799 | ) | ||||
Fortive Corp. | (520 | ) | (36,811 | ) | ||||
Fortune Brands Home & Security, Inc. | (231 | ) | (15,530 | ) | ||||
General Dynamics Corp. | (448 | ) | (92,100 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
General Electric Co. | (3,571 | ) | $ | (86,347 | ) | |||
Illinois Tool Works, Inc. | (147 | ) | (21,750 | ) | ||||
Johnson Controls International PLC (Ireland) | (1,395 | ) | (56,205 | ) | ||||
L3 Technologies, Inc. | (117 | ) | (22,046 | ) | ||||
Masco Corp. | (473 | ) | (18,452 | ) | ||||
PACCAR, Inc. | (485 | ) | (35,085 | ) | ||||
Parker-Hannifin Corp. | (200 | ) | (35,004 | ) | ||||
Quanta Services, Inc.* | (228 | ) | (8,520 | ) | ||||
Raytheon Co. | (434 | ) | (80,976 | ) | ||||
Stanley Black & Decker, Inc. | (47 | ) | (7,096 | ) | ||||
Textron, Inc. | (399 | ) | (21,498 | ) | ||||
United Rentals, Inc.* | (126 | ) | (17,481 | ) | ||||
United Technologies Corp. | (142 | ) | (16,483 | ) | ||||
Xylem, Inc. | (45 | ) | (2,818 | ) | ||||
|
| |||||||
(687,156 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.6)% |
| |||||||
Cintas Corp. | (158 | ) | (22,796 | ) | ||||
Nielsen Holdings PLC (United Kingdom) | (534 | ) | (22,134 | ) | ||||
|
| |||||||
(44,930 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.9)% |
| |||||||
Leggett & Platt, Inc. | (197 | ) | (9,403 | ) | ||||
Mattel, Inc. | (512 | ) | (7,926 | ) | ||||
Mohawk Industries, Inc.* | (112 | ) | (27,721 | ) | ||||
Newell Brands, Inc. | (723 | ) | (30,850 | ) | ||||
NIKE, Inc., Class B | (569 | ) | (29,503 | ) | ||||
Under Armour, Inc., Class C* | (659 | ) | (9,898 | ) | ||||
VF Corp. | (588 | ) | (37,379 | ) | ||||
|
| |||||||
(152,680 | ) | |||||||
|
| |||||||
Consumer Services — (1.5)% | ||||||||
Carnival Corp. (Panama) | (1,083 | ) | (69,929 | ) | ||||
MGM Resorts International | (860 | ) | (28,027 | ) | ||||
Yum! Brands, Inc. | (243 | ) | (17,887 | ) | ||||
|
| |||||||
(115,843 | ) | |||||||
|
| |||||||
Diversified Financials — (6.3)% | ||||||||
Affiliated Managers Group, Inc. | (22 | ) | (4,176 | ) | ||||
American Express Co. | (1,016 | ) | (91,907 | ) | ||||
Ameriprise Financial, Inc. | (49 | ) | (7,277 | ) | ||||
Bank of New York Mellon Corp. (The) | (202 | ) | (10,710 | ) | ||||
Berkshire Hathaway, Inc., Class B* | (57 | ) | (10,449 | ) | ||||
Capital One Financial Corp. | (179 | ) | (15,154 | ) | ||||
Charles Schwab Corp. (The) | (857 | ) | (37,485 | ) |
The accompanying notes are an integral part of the financial statements.
220
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Discover Financial Services | (64 | ) | $ | (4,127 | ) | |||
E*TRADE Financial Corp.* | (121 | ) | (5,277 | ) | ||||
Goldman Sachs Group, Inc. (The) | (426 | ) | (101,043 | ) | ||||
Intercontinental Exchange, Inc. | (882 | ) | (60,593 | ) | ||||
Leucadia National Corp. | (537 | ) | (13,559 | ) | ||||
Morgan Stanley | (1,303 | ) | (62,766 | ) | ||||
Navient Corp. | (436 | ) | (6,549 | ) | ||||
Northern Trust Corp. | (342 | ) | (31,440 | ) | ||||
Raymond James Financial, Inc. | (55 | ) | (4,638 | ) | ||||
Synchrony Financial | (988 | ) | (30,677 | ) | ||||
|
| |||||||
(497,827 | ) | |||||||
|
| |||||||
Energy — (7.2)% | ||||||||
Andeavor | (237 | ) | (24,447 | ) | ||||
Apache Corp. | (571 | ) | (26,152 | ) | ||||
Cimarex Energy Co. | (142 | ) | (16,141 | ) | ||||
Concho Resources, Inc.* | (222 | ) | (29,242 | ) | ||||
EQT Corp. | (259 | ) | (16,897 | ) | ||||
Exxon Mobil Corp. | (691 | ) | (56,648 | ) | ||||
Helmerich & Payne, Inc. | (162 | ) | (8,442 | ) | ||||
Hess Corp. | (475 | ) | (22,273 | ) | ||||
Kinder Morgan, Inc. | (2,489 | ) | (47,739 | ) | ||||
National Oilwell Varco, Inc. | (568 | ) | (20,295 | ) | ||||
Newfield Exploration Co.* | (298 | ) | (8,842 | ) | ||||
Phillips 66 | (765 | ) | (70,082 | ) | ||||
Pioneer Natural Resources Co. | (254 | ) | (37,475 | ) | ||||
Schlumberger Ltd. (Curacao) | (1,920 | ) | (133,939 | ) | ||||
TechnipFMC PLC (United Kingdom)* | (698 | ) | (19,488 | ) | ||||
Williams Cos., Inc. (The) | (1,236 | ) | (37,092 | ) | ||||
|
| |||||||
(575,194 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.8)% |
| |||||||
Archer-Daniels-Midland Co. | (842 | ) | (35,793 | ) | ||||
Constellation Brands, Inc., Class A | (181 | ) | (36,101 | ) | ||||
Hershey Co. (The) | (47 | ) | (5,131 | ) | ||||
Hormel Foods Corp. | (367 | ) | (11,795 | ) | ||||
McCormick & Co., Inc., non-voting shares | (136 | ) | (13,959 | ) | ||||
Mondelez International, Inc., Class A | (2,083 | ) | (84,695 | ) | ||||
Tyson Foods, Inc., Class A | (548 | ) | (38,607 | ) | ||||
|
| |||||||
(226,081 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (8.8)% |
| |||||||
Abbott Laboratories | (1,972 | ) | (105,226 | ) | ||||
Align Technology, Inc.* | (119 | ) | (22,166 | ) | ||||
Becton Dickinson and Co. | (332 | ) | (65,055 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Boston Scientific Corp.* | (1,605 | ) | $ | (46,818 | ) | |||
Cardinal Health, Inc. | (473 | ) | (31,653 | ) | ||||
Cerner Corp.* | (397 | ) | (28,314 | ) | ||||
Cooper Cos., Inc. (The) | (74 | ) | (17,546 | ) | ||||
CR Bard, Inc. | (109 | ) | (34,934 | ) | ||||
Danaher Corp. | (1,040 | ) | (89,211 | ) | ||||
DaVita, Inc.* | (287 | ) | (17,045 | ) | ||||
DENTSPLY SIRONA, Inc. | (343 | ) | (20,515 | ) | ||||
Edwards Lifesciences Corp.* | (284 | ) | (31,044 | ) | ||||
Henry Schein, Inc.* | (237 | ) | (19,432 | ) | ||||
IDEXX Laboratories, Inc.* | (30 | ) | (4,665 | ) | ||||
Intuitive Surgical, Inc.* | (30 | ) | (31,376 | ) | ||||
Patterson Cos., Inc. | (144 | ) | (5,566 | ) | ||||
ResMed, Inc. | (213 | ) | (16,392 | ) | ||||
Stryker Corp. | (546 | ) | (77,543 | ) | ||||
Zimmer Biomet Holdings, Inc. | (303 | ) | (35,478 | ) | ||||
|
| |||||||
(699,979 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.2)% |
| |||||||
Coty, Inc., Class A | (1,119 | ) | (18,497 | ) | ||||
|
| |||||||
Insurance — (4.9)% | ||||||||
Aflac, Inc. | (593 | ) | (48,264 | ) | ||||
American International Group, Inc. | (1,353 | ) | (83,061 | ) | ||||
Assurant, Inc. | (84 | ) | (8,024 | ) | ||||
Brighthouse Financial, Inc.* | (42 | ) | (2,554 | ) | ||||
Chubb Ltd. (Switzerland) | (58 | ) | (8,268 | ) | ||||
Cincinnati Financial Corp. | (246 | ) | (18,836 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (544 | ) | (30,154 | ) | ||||
Lincoln National Corp. | (239 | ) | (17,562 | ) | ||||
Loews Corp. | (504 | ) | (24,121 | ) | ||||
Marsh & McLennan Cos., Inc. | (332 | ) | (27,825 | ) | ||||
Principal Financial Group, Inc. | (432 | ) | (27,795 | ) | ||||
Prudential Financial, Inc. | (644 | ) | (68,470 | ) | ||||
Torchmark Corp. | (174 | ) | (13,936 | ) | ||||
Unum Group | (242 | ) | (12,373 | ) | ||||
XL Group Ltd. (Bermuda) | (43 | ) | (1,696 | ) | ||||
|
| |||||||
(392,939 | ) | |||||||
|
| |||||||
Materials — (3.8)% | ||||||||
Albemarle Corp. | (165 | ) | (22,491 | ) | ||||
Avery Dennison Corp. | (133 | ) | (13,079 | ) | ||||
CF Industries Holdings, Inc. | (249 | ) | (8,755 | ) | ||||
DowDuPont, Inc. | (37 | ) | (2,562 | ) | ||||
Eastman Chemical Co. | (220 | ) | (19,908 | ) |
The accompanying notes are an integral part of the financial statements.
221
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Ecolab, Inc. | (265 | ) | $ | (34,082 | ) | |||
International Flavors & Fragrances, Inc. | (12 | ) | (1,715 | ) | ||||
International Paper Co. | (617 | ) | (35,058 | ) | ||||
Martin Marietta Materials, Inc. | (95 | ) | (19,592 | ) | ||||
Monsanto Co. | (657 | ) | (78,722 | ) | ||||
Mosaic Co. (The) | (525 | ) | (11,335 | ) | ||||
Nucor Corp. | (479 | ) | (26,843 | ) | ||||
Sealed Air Corp. | (43 | ) | (1,837 | ) | ||||
Vulcan Materials Co. | (199 | ) | (23,800 | ) | ||||
|
| |||||||
(299,779 | ) | |||||||
|
| |||||||
Media — (0.6)% | ||||||||
DISH Network Corp., Class A* | (612 | ) | (33,189 | ) | ||||
Interpublic Group of Cos., Inc. (The) | (589 | ) | (12,245 | ) | ||||
|
| |||||||
(45,434 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (7.4)% |
| |||||||
Alexion Pharmaceuticals, Inc.* | (74 | ) | (10,382 | ) | ||||
Allergan PLC (Ireland) | (500 | ) | (102,475 | ) | ||||
Eli Lilly & Co. | (1,029 | ) | (88,021 | ) | ||||
Illumina, Inc.* | (190 | ) | (37,848 | ) | ||||
Incyte Corp.* | (319 | ) | (37,240 | ) | ||||
Merck & Co., Inc. | (595 | ) | (38,098 | ) | ||||
Mylan NV (Netherlands)* | (654 | ) | (20,516 | ) | ||||
PerkinElmer, Inc. | (17 | ) | (1,172 | ) | ||||
Perrigo Co. PLC (Ireland) | (150 | ) | (12,698 | ) | ||||
Pfizer, Inc. | (2,993 | ) | (106,850 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (101 | ) | (45,159 | ) | ||||
Thermo Fisher Scientific, Inc. | (215 | ) | (40,678 | ) | ||||
Zoetis, Inc. | (733 | ) | (46,736 | ) | ||||
|
| |||||||
(587,873 | ) | |||||||
|
| |||||||
Real Estate — (3.6)% | ||||||||
CBRE Group, Inc., Class A* | (505 | ) | (19,129 | ) | ||||
Crown Castle International Corp., REIT | (547 | ) | (54,689 | ) | ||||
Equinix, Inc., REIT | (115 | ) | (51,324 | ) | ||||
Equity Residential, REIT | (209 | ) | (13,779 | ) | ||||
GGP, Inc., REIT | (1,321 | ) | (27,437 | ) | ||||
HCP, Inc., REIT | (702 | ) | (19,537 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (786 | ) | (14,533 | ) | ||||
Iron Mountain, Inc., REIT | (396 | ) | (15,404 | ) | ||||
Kimco Realty Corp., REIT | (638 | ) | (12,473 | ) | ||||
Macerich Co. (The), REIT | (216 | ) | (11,874 | ) | ||||
SBA Communications Corp., REIT* | (181 | ) | (26,073 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
SL Green Realty Corp., REIT | (151 | ) | $ | (15,299 | ) | |||
Welltower, Inc., REIT | (65 | ) | (4,568 | ) | ||||
|
| |||||||
(286,119 | ) | |||||||
|
| |||||||
Retailing — (3.3)% | ||||||||
Amazon.com, Inc.* | (143 | ) | (137,473 | ) | ||||
Expedia, Inc. | (235 | ) | (33,826 | ) | ||||
L Brands, Inc. | (429 | ) | (17,851 | ) | ||||
Macy’s, Inc. | (456 | ) | (9,950 | ) | ||||
Netflix, Inc.* | (146 | ) | (26,477 | ) | ||||
Tiffany & Co. | (187 | ) | (17,163 | ) | ||||
TripAdvisor, Inc.* | (215 | ) | (8,714 | ) | ||||
Ulta Beauty, Inc.* | (33 | ) | (7,460 | ) | ||||
|
| |||||||
(258,914 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (4.6)% |
| |||||||
Advanced Micro Devices, Inc.* | (1,417 | ) | (18,067 | ) | ||||
Analog Devices, Inc. | (305 | ) | (26,282 | ) | ||||
Broadcom Ltd. (Singapore) | (558 | ) | (135,337 | ) | ||||
Microchip Technology, Inc. | (55 | ) | (4,938 | ) | ||||
NVIDIA Corp. | (568 | ) | (101,541 | ) | ||||
Qorvo, Inc.* | (192 | ) | (13,571 | ) | ||||
QUALCOMM, Inc. | (1,195 | ) | (61,949 | ) | ||||
Skyworks Solutions, Inc. | (7 | ) | (713 | ) | ||||
|
| |||||||
(362,398 | ) | |||||||
|
| |||||||
Software & Services — (5.5)% | ||||||||
Activision Blizzard, Inc. | (1,130 | ) | (72,896 | ) | ||||
Adobe Systems, Inc.* | (42 | ) | (6,266 | ) | ||||
Akamai Technologies, Inc.* | (260 | ) | (12,667 | ) | ||||
Alliance Data Systems Corp. | (86 | ) | (19,053 | ) | ||||
ANSYS, Inc.* | (27 | ) | (3,314 | ) | ||||
Autodesk, Inc.* | (8 | ) | (898 | ) | ||||
Cadence Design Systems, Inc.* | (420 | ) | (16,577 | ) | ||||
DXC Technology Co. | (424 | ) | (36,413 | ) | ||||
Facebook, Inc., Class A* | (50 | ) | (8,544 | ) | ||||
Fidelity National Information Services, Inc. | (497 | ) | (46,415 | ) | ||||
Fiserv, Inc.* | (165 | ) | (21,278 | ) | ||||
Gartner, Inc.* | (135 | ) | (16,795 | ) | ||||
Global Payments, Inc. | (229 | ) | (21,762 | ) | ||||
PayPal Holdings, Inc.* | (397 | ) | (25,420 | ) | ||||
salesforce.com, Inc.* | (1,031 | ) | (96,316 | ) | ||||
Symantec Corp. | (651 | ) | (21,359 | ) | ||||
Verisign, Inc.* | (19 | ) | (2,021 | ) |
The accompanying notes are an integral part of the financial statements.
222
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Western Union Co. (The) | (695 | ) | $ | (13,344 | ) | |||
|
| |||||||
(441,338 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.7)% |
| |||||||
Amphenol Corp., Class A | (44 | ) | (3,724 | ) | ||||
Corning, Inc. | (1,349 | ) | (40,362 | ) | ||||
NetApp, Inc. | (152 | ) | (6,652 | ) | ||||
Seagate Technology PLC (Ireland) | (3 | ) | (100 | ) | ||||
TE Connectivity Ltd. (Switzerland) | (24 | ) | (1,993 | ) | ||||
|
| |||||||
(52,831 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.4)% |
| |||||||
Level 3 Communications, Inc.* | (542 | ) | (28,883 | ) | ||||
|
| |||||||
Transportation — (0.8)% | ||||||||
American Airlines Group, Inc. | (761 | ) | (36,140 | ) | ||||
United Continental Holdings, Inc.* | (461 | ) | (28,066 | ) | ||||
|
| |||||||
(64,206 | ) | |||||||
|
| |||||||
Utilities — (3.1)% | ||||||||
Alliant Energy Corp. | (345 | ) | (14,342 | ) | ||||
American Electric Power Co., Inc. | (234 | ) | (16,436 | ) | ||||
American Water Works Co., Inc. | (272 | ) | (22,008 | ) | ||||
Consolidated Edison, Inc. | (457 | ) | (36,871 | ) | ||||
Entergy Corp. | (268 | ) | (20,464 | ) | ||||
Eversource Energy | (474 | ) | (28,649 | ) | ||||
PG&E Corp. | (766 | ) | (52,157 | ) | ||||
Pinnacle West Capital Corp. | (167 | ) | (14,122 | ) | ||||
PPL Corp. | (1,025 | ) | (38,899 | ) | ||||
|
| |||||||
(243,948 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $6,690,013) | (6,814,614 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (85.8)% |
| (6,814,614 | ) | |||||
|
| |||||||
(Proceeds $6,690,013) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% | 43,532 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 7,939,602 | ||||||
|
|
† | 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) |
* | Non-income producing. |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
223
GOTHAM TOTAL RETURN FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
AFFILIATED EQUITY REGISTERED |
| |||||||
INVESTMENT COMPANIES(a) — 99.4% |
| |||||||
Gotham Absolute 500 Fund* | 318,041 | $ | 3,657,474 | |||||
Gotham Defensive Long 500 Fund* | 475,731 | 5,570,810 | ||||||
Gotham Enhanced 500 Fund | 230,601 | 2,813,333 | ||||||
Gotham Index Plus Fund | 289,688 | 3,763,049 | ||||||
Gotham Neutral Fund* | 255,865 | 2,617,503 | ||||||
|
| |||||||
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES | 18,422,169 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% | 117,002 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 18,539,171 | ||||||
|
|
(a) | All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds accompany this report. |
* | Non-income producing. |
The accompanying notes are an integral part of the financial statements.
224
GOTHAM MASTER LONG FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
AFFILIATED EQUITY REGISTERED |
| |||||||
INVESTMENT COMPANIES(a) — 99.5% |
| |||||||
Gotham Defensive Long 500 Fund* | 18,746 | $ | 219,516 | |||||
Gotham Enhanced 500 Fund | 13,559 | 165,419 | ||||||
Gotham Enhanced Return Fund* | 11,762 | 160,904 | ||||||
Gotham Enhanced S&P 500 Index Fund* | 33,967 | 391,640 | ||||||
Gotham Index Plus Fund | 12,845 | 166,857 | ||||||
|
| |||||||
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES | 1,104,336 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% | 5,252 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,109,588 | ||||||
|
|
(a) | All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds accompany this report. |
* | Non-income producing. |
The accompanying notes are an integral part of the financial statements.
225
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
LONG POSITIONS — 88.0% |
| |||||||
COMMON STOCKS — 23.2% |
| |||||||
Automobiles & Components — 0.4% |
| |||||||
Dorman Products, Inc.†* | 51 | $ | 3,653 | |||||
Harley-Davidson, Inc.† | 198 | 9,546 | ||||||
Thor Industries, Inc. | 14 | 1,763 | ||||||
|
| |||||||
14,962 | ||||||||
|
| |||||||
Capital Goods — 2.1% | ||||||||
Acuity Brands, Inc. | 1 | 171 | ||||||
Allison Transmission Holdings, Inc.† | 417 | 15,650 | ||||||
Caterpillar, Inc.† | 97 | 12,097 | ||||||
Honeywell International, Inc. | 13 | 1,843 | ||||||
Kennametal, Inc.† | 257 | 10,367 | ||||||
Lockheed Martin Corp. | 2 | 621 | ||||||
Oshkosh Corp.† | 12 | 990 | ||||||
Pentair PLC (Ireland)† | 219 | 14,883 | ||||||
Rexnord Corp.†* | 258 | 6,556 | ||||||
Snap-on, Inc.† | 20 | 2,980 | ||||||
Toro Co. (The)† | 120 | 7,447 | ||||||
TransDigm Group, Inc.† | 43 | 10,993 | ||||||
|
| |||||||
84,598 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.9% |
| |||||||
Deluxe Corp.† | 91 | 6,639 | ||||||
Equifax, Inc.† | 88 | 9,327 | ||||||
IHS Markit Ltd. (Bermuda)* | 57 | 2,513 | ||||||
KAR Auction Services, Inc.† | 283 | 13,510 | ||||||
Stantec, Inc. (Canada) | 4 | 111 | ||||||
Stericycle, Inc.* | 10 | 716 | ||||||
TransUnion†* | 50 | 2,363 | ||||||
|
| |||||||
35,179 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 0.8% |
| |||||||
Brunswick Corp.† | 111 | 6,213 | ||||||
Coach, Inc.† | 229 | 9,224 | ||||||
Columbia Sportswear Co.† | 48 | 2,956 | ||||||
Gildan Activewear, Inc. (Canada)† | 112 | 3,503 | ||||||
Hasbro, Inc.† | 66 | 6,446 | ||||||
Ralph Lauren Corp.† | 63 | 5,562 | ||||||
Wolverine World Wide, Inc. | 5 | 144 | ||||||
|
| |||||||
34,048 | ||||||||
|
| |||||||
Consumer Services — 1.6% | ||||||||
Chipotle Mexican Grill, Inc.†* | 8 | 2,463 | ||||||
Choice Hotels International, Inc.† | 54 | 3,451 | ||||||
Cracker Barrel Old Country Store, Inc.† | 36 | 5,458 | ||||||
Dave & Buster’s Entertainment, Inc.†* | 29 | 1,522 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Dunkin’ Brands Group, Inc.† | 36 | $ | 1,911 | |||||
Graham Holdings Co., Class B† | 7 | 4,096 | ||||||
Grand Canyon Education, Inc.†* | 39 | 3,542 | ||||||
Hilton Worldwide Holdings, Inc.† | 155 | 10,765 | ||||||
Las Vegas Sands Corp.† | 57 | 3,657 | ||||||
Marriott International, Inc., Class A† | 50 | 5,513 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 74 | 8,772 | ||||||
Stars Group, Inc. (The) (Canada)* | 29 | 594 | ||||||
Vail Resorts, Inc.† | 13 | 2,966 | ||||||
Weight Watchers International, Inc.* | 29 | 1,263 | ||||||
Yum! Brands, Inc.† | 119 | 8,760 | ||||||
|
| |||||||
64,733 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.1% |
| |||||||
CVS Health Corp.† | 152 | 12,361 | ||||||
Kroger Co. (The)† | 698 | 14,002 | ||||||
Sprouts Farmers Market, Inc.* | 3 | 56 | ||||||
Walgreens Boots Alliance, Inc.† | 156 | 12,046 | ||||||
Wal-Mart Stores, Inc. | 65 | 5,079 | ||||||
|
| |||||||
43,544 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 2.0% |
| |||||||
Altria Group, Inc.† | 226 | 14,333 | ||||||
Campbell Soup Co.† | 197 | 9,224 | ||||||
Coca-Cola Co. (The) | 2 | 90 | ||||||
Dr Pepper Snapple Group, Inc. | 19 | 1,681 | ||||||
Hormel Foods Corp.† | 200 | 6,428 | ||||||
Ingredion, Inc.† | 25 | 3,016 | ||||||
JM Smucker Co. (The)† | 38 | 3,987 | ||||||
Kellogg Co.† | 124 | 7,734 | ||||||
Kraft Heinz Co. (The) | 17 | 1,318 | ||||||
PepsiCo, Inc. | 8 | 891 | ||||||
Pilgrim’s Pride Corp.†* | 323 | 9,176 | ||||||
Sanderson Farms, Inc.† | 88 | 14,214 | ||||||
TreeHouse Foods, Inc.†* | 161 | 10,904 | ||||||
Vector Group Ltd. | 6 | 124 | ||||||
|
| |||||||
83,120 | ||||||||
|
| |||||||
Health Care Equipment & Services — 1.4% |
| |||||||
AmerisourceBergen Corp.† | 170 | 14,067 | ||||||
Chemed Corp. | 1 | 202 | ||||||
Cotiviti Holdings, Inc.* | 3 | 108 | ||||||
Edwards Lifesciences Corp.†* | 28 | 3,061 | ||||||
Express Scripts Holding Co.†* | 165 | 10,448 | ||||||
Globus Medical, Inc., Class A* | 17 | 505 |
The accompanying notes are an integral part of the financial statements.
226
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
HCA Healthcare, Inc.†* | 75 | $ | 5,969 | |||||
Laboratory Corp. of America Holdings* | 2 | 302 | ||||||
MEDNAX, Inc.†* | 108 | 4,657 | ||||||
Medtronic PLC (Ireland) | 29 | 2,255 | ||||||
Varian Medical Systems, Inc.†* | 121 | 12,107 | ||||||
Veeva Systems, Inc., Class A†* | 77 | 4,344 | ||||||
|
| |||||||
58,025 | ||||||||
|
| |||||||
Household & Personal Products — 0.5% |
| |||||||
Clorox Co. (The)† | 68 | 8,970 | ||||||
Edgewell Personal Care Co.* | 23 | 1,674 | ||||||
Energizer Holdings, Inc.† | 90 | 4,144 | ||||||
Kimberly-Clark Corp.† | 43 | 5,060 | ||||||
|
| |||||||
19,848 | ||||||||
|
| |||||||
Media — 1.6% | ||||||||
AMC Networks, Inc., Class A†* | 46 | 2,690 | ||||||
CBS Corp., Class B, non-voting shares | 34 | 1,972 | ||||||
Comcast Corp., Class A† | 307 | 11,813 | ||||||
Discovery Communications, Inc., Class A†* | 429 | 9,133 | ||||||
News Corp., Class A | 16 | 212 | ||||||
Omnicom Group, Inc.† | 90 | 6,666 | ||||||
Sinclair Broadcast Group, Inc., Class A | 3 | 96 | ||||||
Sirius XM Holdings, Inc.† | 638 | 3,522 | ||||||
TEGNA, Inc.† | 368 | 4,905 | ||||||
Time Warner, Inc.† | 37 | 3,791 | ||||||
Twenty-First Century Fox, Inc., Class A† | 363 | 9,576 | ||||||
Viacom, Inc., Class B† | 435 | 12,110 | ||||||
Walt Disney Co. (The) | 1 | 99 | ||||||
|
| |||||||
66,585 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 1.8% |
| |||||||
Amgen, Inc.† | 48 | 8,950 | ||||||
Bio-Techne Corp. | 9 | 1,088 | ||||||
Bioverativ, Inc.†* | 253 | 14,439 | ||||||
Celgene Corp.†* | 60 | 8,749 | ||||||
Charles River Laboratories International, | 22 | 2,376 | ||||||
Exelixis, Inc.†* | 236 | 5,718 | ||||||
Incyte Corp.†* | 20 | 2,335 | ||||||
Merck & Co., Inc. | 24 | 1,537 | ||||||
Mylan NV (Netherlands)†* | 52 | 1,631 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
PAREXEL International Corp.†* | 16 | $ | 1,409 | |||||
Prestige Brands Holdings, Inc.†* | 31 | 1,553 | ||||||
Regeneron Pharmaceuticals, Inc.†* | 17 | 7,601 | ||||||
United Therapeutics Corp.†* | 121 | 14,180 | ||||||
Vertex Pharmaceuticals, Inc.†* | 19 | 2,889 | ||||||
|
| |||||||
74,455 | ||||||||
|
| |||||||
Retailing — 1.4% | ||||||||
Bed Bath & Beyond, Inc.† | 166 | 3,896 | ||||||
Best Buy Co., Inc.† | 150 | 8,544 | ||||||
CarMax, Inc.* | 6 | 455 | ||||||
Dick’s Sporting Goods, Inc.† | 24 | 648 | ||||||
Dollar Tree, Inc.†* | 30 | 2,605 | ||||||
Foot Locker, Inc.† | 110 | 3,874 | ||||||
LKQ Corp.†* | 253 | 9,105 | ||||||
Lowe’s Cos., Inc.† | 155 | 12,391 | ||||||
Michaels Cos., Inc. (The)†* | 20 | 429 | ||||||
O’Reilly Automotive, Inc.†* | 19 | 4,092 | ||||||
Ross Stores, Inc.† | 47 | 3,035 | ||||||
Signet Jewelers Ltd. (Bermuda)† | 90 | 5,989 | ||||||
Tractor Supply Co.† | 19 | 1,202 | ||||||
|
| |||||||
56,265 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.8% |
| |||||||
Advanced Energy Industries, Inc.†* | 139 | 11,226 | ||||||
Amkor Technology, Inc.†* | 25 | 264 | ||||||
Analog Devices, Inc.† | 79 | 6,807 | ||||||
Applied Materials, Inc.† | 279 | 14,533 | ||||||
Cirrus Logic, Inc.†* | 127 | 6,772 | ||||||
Intel Corp.† | 35 | 1,333 | ||||||
Lam Research Corp.† | 69 | 12,768 | ||||||
Microchip Technology, Inc.† | 118 | 10,594 | ||||||
Micron Technology, Inc.* | 226 | 8,889 | ||||||
MKS Instruments, Inc.† | 126 | 11,901 | ||||||
ON Semiconductor Corp.†* | 136 | 2,512 | ||||||
Skyworks Solutions, Inc.† | 81 | 8,254 | ||||||
Teradyne, Inc.† | 297 | 11,075 | ||||||
Texas Instruments, Inc.† | 70 | 6,275 | ||||||
|
| |||||||
113,203 | ||||||||
|
| |||||||
Software & Services — 1.3% | ||||||||
ACI Worldwide, Inc.†* | 32 | 729 | ||||||
Adobe Systems, Inc.†* | 23 | 3,431 | ||||||
Alphabet, Inc., Class A†* | 5 | 4,869 | ||||||
Amdocs, Ltd. (Guernsey) | 1 | 64 |
The accompanying notes are an integral part of the financial statements.
227
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
CACI International, Inc., Class A†* | 11 | $ | 1,533 | |||||
CDK Global, Inc. | 2 | 126 | ||||||
Electronic Arts, Inc.†* | 89 | 10,507 | ||||||
Guidewire Software, Inc.* | 5 | 389 | ||||||
Intuit, Inc.† | 63 | 8,955 | ||||||
j2 Global, Inc. | 6 | 443 | ||||||
MAXIMUS, Inc.† | 105 | 6,772 | ||||||
Oracle Corp.† | 188 | 9,090 | ||||||
Take-Two Interactive Software, Inc.†* | 61 | 6,236 | ||||||
Total System Services, Inc. | 16 | 1,048 | ||||||
|
| |||||||
54,192 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 1.7% |
| |||||||
Apple, Inc.† | 43 | 6,627 | ||||||
Avnet, Inc.† | 109 | 4,284 | ||||||
CDW Corp.† | 36 | 2,376 | ||||||
EchoStar Corp., Class A†* | 40 | 2,289 | ||||||
F5 Networks, Inc.†* | 37 | 4,461 | ||||||
Harris Corp.† | 22 | 2,897 | ||||||
Hewlett Packard Enterprise Co.† | 548 | 8,061 | ||||||
Jabil, Inc. | 98 | 2,798 | ||||||
Juniper Networks, Inc.† | 409 | 11,382 | ||||||
NetApp, Inc.† | 110 | 4,814 | ||||||
Seagate Technology PLC (Ireland)† | 203 | 6,733 | ||||||
Western Digital Corp.† | 139 | 12,010 | ||||||
Zebra Technologies Corp., Class A†* | 14 | 1,520 | ||||||
|
| |||||||
70,252 | ||||||||
|
| |||||||
Telecommunication Services — 0.6% |
| |||||||
CenturyLink, Inc.† | 408 | 7,711 | ||||||
Rogers Communications, Inc., Class B(Canada)† | 114 | 5,876 | ||||||
Sprint Corp.†* | 574 | 4,466 | ||||||
T-Mobile US, Inc.†* | 101 | 6,228 | ||||||
United States Cellular Corp.* | 22 | 779 | ||||||
|
| |||||||
25,060 | ||||||||
|
| |||||||
Transportation — 1.2% | ||||||||
Canadian National Railway Co. (Canada)† | 121 | 10,025 | ||||||
Canadian Pacific Railway Ltd. (Canada)† | 64 | 10,754 | ||||||
CSX Corp.† | 114 | 6,186 | ||||||
Kirby Corp.†* | 70 | 4,616 | ||||||
Norfolk Southern Corp.† | 86 | 11,373 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Union Pacific Corp.† | 41 | $ | 4,755 | |||||
|
| |||||||
47,709 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 945,778 | |||||||
|
| |||||||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANY — 59.9% | ||||||||
Gotham Neutral 500 Fund* | 133,553 | 1,438,366 | ||||||
Gotham Neutral Fund* | 97,843 | 1,000,934 | ||||||
|
| |||||||
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANY (Cost $2,426,985) | 2,439,300 | |||||||
|
| |||||||
Par Value | ||||||||
U.S. TREASURY OBLIGATIONS — 4.9% |
| |||||||
U.S. Treasury Bill — 4.9% | ||||||||
United States Treasury Bill 1.06% 04/26/2018†(a) | $ | 200,000 | 198,650 | |||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS | 198,650 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 88.0% |
| 3,583,728 | ||||||
|
| |||||||
(Cost $3,546,807) | ||||||||
Number of Shares | ||||||||
SHORT POSITIONS — (23.3)% |
| |||||||
COMMON STOCKS — (23.3)% |
| |||||||
Automobiles & Components — (1.1)% |
| |||||||
Adient PLC (Ireland) | (123 | ) | (10,331 | ) | ||||
BorgWarner, Inc. | (69 | ) | (3,535 | ) | ||||
Dana, Inc. | (224 | ) | (6,263 | ) | ||||
Delphi Automotive PLC (Jersey) | (32 | ) | (3,149 | ) | ||||
Ford Motor Co. | (594 | ) | (7,110 | ) | ||||
Goodyear Tire & Rubber Co. (The) | (399 | ) | (13,267 | ) | ||||
LCI Industries | (2 | ) | (232 | ) | ||||
Magna International, Inc. (Canada) | (25 | ) | (1,335 | ) | ||||
|
| |||||||
(45,222 | ) | |||||||
|
| |||||||
Capital Goods — (4.5)% | ||||||||
AGCO Corp. | (103 | ) | (7,598 | ) | ||||
AO Smith Corp. | (96 | ) | (5,705 | ) | ||||
Barnes Group, Inc. | (1 | ) | (70 | ) | ||||
Beacon Roofing Supply, Inc.* | (140 | ) | (7,175 | ) | ||||
Colfax Corp.* | (69 | ) | (2,873 | ) |
The accompanying notes are an integral part of the financial statements.
228
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Curtiss-Wright Corp. | (4 | ) | $ | (418 | ) | |||
Donaldson Co., Inc. | (5 | ) | (230 | ) | ||||
Eaton Corp. PLC (Ireland) | (71 | ) | (5,452 | ) | ||||
Emerson Electric Co. | (50 | ) | (3,142 | ) | ||||
EnerSys | (3 | ) | (208 | ) | ||||
Fortive Corp. | (12 | ) | (849 | ) | ||||
Generac Holdings, Inc.* | (28 | ) | (1,286 | ) | ||||
HD Supply Holdings, Inc.* | (162 | ) | (5,843 | ) | ||||
HEICO Corp. | (57 | ) | (5,119 | ) | ||||
Hexcel Corp. | (200 | ) | (11,484 | ) | ||||
Huntington Ingalls Industries, Inc. | (11 | ) | (2,491 | ) | ||||
IDEX Corp. | (9 | ) | (1,093 | ) | ||||
ITT, Inc. | (120 | ) | (5,312 | ) | ||||
John Bean Technologies Corp. | (52 | ) | (5,257 | ) | ||||
Middleby Corp. (The)* | (86 | ) | (11,023 | ) | ||||
Moog, Inc., Class A* | (4 | ) | (334 | ) | ||||
Navistar International Corp.* | (184 | ) | (8,109 | ) | ||||
Orbital ATK, Inc. | (86 | ) | (11,452 | ) | ||||
Owens Corning | (135 | ) | (10,442 | ) | ||||
Raytheon Co. | (38 | ) | (7,090 | ) | ||||
RBC Bearings, Inc.* | (4 | ) | (501 | ) | ||||
Regal Beloit Corp. | (11 | ) | (869 | ) | ||||
Rockwell Collins, Inc. | (68 | ) | (8,888 | ) | ||||
Teledyne Technologies, Inc.* | (61 | ) | (9,710 | ) | ||||
Timken Co. (The) | (183 | ) | (8,885 | ) | ||||
United Rentals, Inc.* | (75 | ) | (10,406 | ) | ||||
USG Corp.* | (14 | ) | (457 | ) | ||||
Wabtec Corp. | (155 | ) | (11,741 | ) | ||||
Watsco, Inc. | (21 | ) | (3,382 | ) | ||||
Welbilt, Inc.* | (4 | ) | (92 | ) | ||||
WESCO International, Inc.* | (4 | ) | (233 | ) | ||||
Xylem, Inc. | (107 | ) | (6,701 | ) | ||||
|
| |||||||
(181,920 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.5)% |
| |||||||
Brink’s Co. (The) | (44 | ) | (3,707 | ) | ||||
Cintas Corp. | (19 | ) | (2,741 | ) | ||||
Healthcare Services Group, Inc. | (109 | ) | (5,883 | ) | ||||
ManpowerGroup, Inc. | (13 | ) | (1,532 | ) | ||||
Ritchie Bros Auctioneers, Inc. (Canada) | (97 | ) | (3,067 | ) | ||||
UniFirst Corp. | (18 | ) | (2,727 | ) | ||||
|
| |||||||
(19,657 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.3)% |
| |||||||
Leggett & Platt, Inc. | (158 | ) | (7,541 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Mattel, Inc. | (963 | ) | $ | (14,907 | ) | |||
Michael Kors Holdings Ltd. (British Virgin Islands)* | (10 | ) | (479 | ) | ||||
Mohawk Industries, Inc.* | (53 | ) | (13,118 | ) | ||||
Polaris Industries, Inc. | (17 | ) | (1,779 | ) | ||||
Tempur Sealy International, Inc.* | (184 | ) | (11,872 | ) | ||||
Under Armour, Inc., Class C* | (281 | ) | (4,221 | ) | ||||
|
| |||||||
(53,917 | ) | |||||||
|
| |||||||
Consumer Services — (0.9)% |
| |||||||
Bright Horizons Family Solutions, Inc.* | (88 | ) | (7,586 | ) | ||||
Carnival Corp. (Panama) | (34 | ) | (2,195 | ) | ||||
International Game Technology PLC (United Kingdom) | (158 | ) | (3,879 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (247 | ) | (13,350 | ) | ||||
Red Rock Resorts, Inc., Class A | (44 | ) | (1,019 | ) | ||||
Six Flags Entertainment Corp. | (6 | ) | (366 | ) | ||||
Wendy’s Co. (The) | (479 | ) | (7,439 | ) | ||||
|
| |||||||
(35,834 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.4)% |
| |||||||
Casey’s General Stores, Inc. | (111 | ) | (12,149 | ) | ||||
PriceSmart, Inc. | (9 | ) | (803 | ) | ||||
Rite Aid Corp.* | (1,291 | ) | (2,530 | ) | ||||
|
| |||||||
(15,482 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (0.8)% |
| |||||||
Archer-Daniels-Midland Co. | (44 | ) | (1,870 | ) | ||||
B&G Foods, Inc. | (76 | ) | (2,421 | ) | ||||
Blue Buffalo Pet Products, Inc.* | (278 | ) | (7,881 | ) | ||||
Darling Ingredients, Inc.* | (367 | ) | (6,430 | ) | ||||
Lancaster Colony Corp. | (1 | ) | (120 | ) | ||||
McCormick & Co., Inc., non-voting shares | (18 | ) | (1,848 | ) | ||||
Tyson Foods, Inc., Class A | (172 | ) | (12,117 | ) | ||||
|
| |||||||
(32,687 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (3.3)% |
| |||||||
Acadia Healthcare Co., Inc.* | (66 | ) | (3,152 | ) | ||||
Alere, Inc.* | (265 | ) | (13,512 | ) | ||||
Align Technology, Inc.* | (38 | ) | (7,078 | ) | ||||
athenahealth, Inc.* | (25 | ) | (3,109 | ) | ||||
Baxter International, Inc. | (99 | ) | (6,212 | ) | ||||
Boston Scientific Corp.* | (115 | ) | (3,355 | ) | ||||
Cantel Medical Corp. | (9 | ) | (848 | ) |
The accompanying notes are an integral part of the financial statements.
229
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Cerner Corp.* | (72 | ) | $ | (5,135 | ) | |||
Cooper Cos., Inc. (The) | (10 | ) | (2,371 | ) | ||||
Danaher Corp. | (112 | ) | (9,607 | ) | ||||
DaVita, Inc.* | (169 | ) | (10,037 | ) | ||||
DENTSPLY SIRONA, Inc. | (240 | ) | (14,354 | ) | ||||
Envision Healthcare Corp.* | (19 | ) | (854 | ) | ||||
Henry Schein, Inc.* | (40 | ) | (3,280 | ) | ||||
ICU Medical, Inc.* | (41 | ) | (7,620 | ) | ||||
Intuitive Surgical, Inc.* | (13 | ) | (13,596 | ) | ||||
Medidata Solutions, Inc.* | (1 | ) | (78 | ) | ||||
Neogen Corp.* | (4 | ) | (310 | ) | ||||
NuVasive, Inc.* | (100 | ) | (5,546 | ) | ||||
Patterson Cos., Inc. | (26 | ) | (1,005 | ) | ||||
ResMed, Inc. | (85 | ) | (6,542 | ) | ||||
STERIS PLC (United Kingdom) | (12 | ) | (1,061 | ) | ||||
Teleflex, Inc. | (35 | ) | (8,469 | ) | ||||
West Pharmaceutical Services, Inc. | (62 | ) | (5,968 | ) | ||||
|
| |||||||
(133,099 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.4)% |
| |||||||
Coty, Inc., Class A | (764 | ) | (12,629 | ) | ||||
Spectrum Brands Holdings, Inc. | (37 | ) | (3,919 | ) | ||||
|
| |||||||
(16,548 | ) | |||||||
|
| |||||||
Media — (0.3)% | ||||||||
John Wiley & Sons, Inc., Class A | (9 | ) | (482 | ) | ||||
Live Nation Entertainment, Inc.* | (181 | ) | (7,883 | ) | ||||
Nexstar Media Group, Inc., Class A | (88 | ) | (5,482 | ) | ||||
|
| |||||||
(13,847 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (2.0)% |
| |||||||
Allergan PLC (Ireland) | (9 | ) | (1,845 | ) | ||||
Bio-Rad Laboratories, Inc., Class A* | (53 | ) | (11,778 | ) | ||||
Bristol-Myers Squibb Co. | (88 | ) | (5,609 | ) | ||||
Bruker Corp. | (184 | ) | (5,474 | ) | ||||
Illumina, Inc.* | (71 | ) | (14,143 | ) | ||||
Ligand Pharmaceuticals, Inc.* | (14 | ) | (1,906 | ) | ||||
Mallinckrodt PLC (Ireland)* | (326 | ) | (12,183 | ) | ||||
Mettler-Toledo International, Inc.* | (3 | ) | (1,878 | ) | ||||
Pfizer, Inc. | (100 | ) | (3,570 | ) | ||||
PRA Health Sciences, Inc.* | (84 | ) | (6,398 | ) | ||||
QIAGEN NV (Netherlands) | (223 | ) | (7,024 | ) | ||||
Thermo Fisher Scientific, Inc. | (23 | ) | (4,352 | ) | ||||
VWR Corp.* | (218 | ) | (7,218 | ) | ||||
|
| |||||||
(83,378 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (1.0)% |
| |||||||
Amazon.com, Inc.* | (13 | ) | $ | (12,498 | ) | |||
Five Below, Inc.* | (95 | ) | (5,214 | ) | ||||
Floor & Decor Holdings, Inc., | (89 | ) | (3,465 | ) | ||||
L Brands, Inc. | (45 | ) | (1,872 | ) | ||||
Lithia Motors, Inc., Class A | (13 | ) | (1,564 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (5 | ) | (232 | ) | ||||
Pool Corp. | (18 | ) | (1,947 | ) | ||||
TripAdvisor, Inc.* | (219 | ) | (8,876 | ) | ||||
Williams-Sonoma, Inc. | (74 | ) | (3,690 | ) | ||||
|
| |||||||
(39,358 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (1.2)% |
| |||||||
Advanced Micro Devices, Inc.* | (671 | ) | (8,555 | ) | ||||
First Solar, Inc.* | (240 | ) | (11,011 | ) | ||||
Integrated Device Technology, Inc.* | (502 | ) | (13,343 | ) | ||||
Monolithic Power Systems, Inc. | (47 | ) | (5,008 | ) | ||||
Qorvo, Inc.* | (99 | ) | (6,997 | ) | ||||
Xilinx, Inc. | (49 | ) | (3,471 | ) | ||||
|
| |||||||
(48,385 | ) | |||||||
|
| |||||||
Software & Services — (2.9)% | ||||||||
Akamai Technologies, Inc.* | (36 | ) | (1,754 | ) | ||||
Alliance Data Systems Corp. | (42 | ) | (9,305 | ) | ||||
Cimpress NV (Netherlands)* | (62 | ) | (6,055 | ) | ||||
CommVault Systems, Inc.* | (118 | ) | (7,174 | ) | ||||
CoStar Group, Inc.* | (4 | ) | (1,073 | ) | ||||
DXC Technology Co. | (7 | ) | (601 | ) | ||||
eBay, Inc.* | (23 | ) | (885 | ) | ||||
Ellie Mae, Inc.* | (107 | ) | (8,788 | ) | ||||
Fair Isaac Corp. | (17 | ) | (2,389 | ) | ||||
Fidelity National Information Services, Inc. | (94 | ) | (8,779 | ) | ||||
Gartner, Inc.* | (81 | ) | (10,077 | ) | ||||
GoDaddy, Inc., Class A* | (154 | ) | (6,701 | ) | ||||
GrubHub, Inc.* | (62 | ) | (3,265 | ) | ||||
IAC/InterActiveCorp.* | (19 | ) | (2,234 | ) | ||||
LogMeIn, Inc. | (20 | ) | (2,201 | ) | ||||
Paycom Software, Inc.* | (73 | ) | (5,472 | ) | ||||
PayPal Holdings, Inc.* | (23 | ) | (1,473 | ) | ||||
Pegasystems, Inc. | (1 | ) | (58 | ) | ||||
PTC, Inc.* | (38 | ) | (2,139 | ) | ||||
Science Applications International Corp. | (32 | ) | (2,139 | ) | ||||
Symantec Corp. | (289 | ) | (9,482 | ) | ||||
Teradata Corp.* | (334 | ) | (11,286 | ) |
The accompanying notes are an integral part of the financial statements.
230
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Ultimate Software Group, Inc. | (39 | ) | $ | (7,394 | ) | |||
Vantiv, Inc., Class A* | (134 | ) | (9,443 | ) | ||||
|
| |||||||
(120,167 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (1.7)% |
| |||||||
Arrow Electronics, Inc.* | (112 | ) | (9,006 | ) | ||||
Belden, Inc. | (81 | ) | (6,523 | ) | ||||
Cognex Corp. | (46 | ) | (5,073 | ) | ||||
Keysight Technologies, Inc.* | (200 | ) | (8,332 | ) | ||||
Lumentum Holdings, Inc.* | (228 | ) | (12,392 | ) | ||||
NetScout Systems, Inc.* | (248 | ) | (8,023 | ) | ||||
Palo Alto Networks, Inc.* | (54 | ) | (7,781 | ) | ||||
SYNNEX Corp. | (18 | ) | (2,277 | ) | ||||
ViaSat, Inc.* | (123 | ) | (7,911 | ) | ||||
|
| |||||||
(67,318 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.1)% |
| |||||||
Zayo Group Holdings, Inc.* | (157 | ) | (5,404 | ) | ||||
|
| |||||||
Transportation — (0.9)% | ||||||||
CH Robinson Worldwide, Inc. | (38 | ) | (2,892 | ) | ||||
Genesee & Wyoming, Inc., Class A* | (146 | ) | (10,805 | ) | ||||
JB Hunt Transport Services, Inc. | (4 | ) | (444 | ) | ||||
Knight-Swift Transportation Holdings, Inc.* | — | (8 | ) | |||||
Ryder System, Inc. | (66 | ) | (5,580 | ) | ||||
Schneider National, Inc., Class B | (50 | ) | (1,265 | ) | ||||
XPO Logistics, Inc.* | (213 | ) | (14,437 | ) | ||||
|
| |||||||
(35,431 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $913,698) | (947,654 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (23.3)% |
| (947,654 | ) | |||||
|
| |||||||
(Proceeds $913,698) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 35.3% | 1,438,849 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 4,074,923 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | Discount Yield - Rate shown is at the time of purchase. |
* | Non-income producing. |
PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
231
GOTHAM FUNDS
Statements of Assets and Liabilities
September 30, 2017
Gotham Absolute Return Fund | Gotham Absolute 500 Fund | ||||||||||||||
|
|
|
| ||||||||||||
Assets | |||||||||||||||
Non-affiliated investments, at value1,2,3 | $ | 1,062,500,734 | $ | 17,195,146 | |||||||||||
Cash | 10,147,584 | — | |||||||||||||
Deposits with brokers for securities sold short | 500,491,618 | 5,761,220 | |||||||||||||
Securities lending cash collateral | — | — | |||||||||||||
Receivables: | |||||||||||||||
Investments sold | 24,590,761 | 2,145,410 | |||||||||||||
Capital shares sold | 1,792,479 | — | |||||||||||||
Dividends and interest | 1,228,669 | 19,809 | |||||||||||||
Investment Adviser | — | — | |||||||||||||
Prepaid expenses and other assets | 72,135 | 17,586 | |||||||||||||
|
|
|
| ||||||||||||
Total assets | 1,600,823,980 | 25,139,171 | |||||||||||||
|
|
|
| ||||||||||||
Liabilities | |||||||||||||||
Securities sold short, at value4 | 531,322,842 | 9,975,977 | |||||||||||||
Due to custodian | — | 230,348 | |||||||||||||
Payables: | |||||||||||||||
Securities lending cash collateral | 156,876,422 | 1,327,427 | |||||||||||||
Investments purchased | 24,775,297 | 1,529,799 | |||||||||||||
Capital shares redeemed | 1,527,664 | — | |||||||||||||
Investment Adviser | 1,267,474 | 4,535 | |||||||||||||
Dividends and fees on securities sold short | 364,827 | 12,432 | |||||||||||||
Administration and accounting fees | 75,279 | 12,672 | |||||||||||||
Custodian fees | 16,506 | 1,184 | |||||||||||||
Accrued expenses | 392,869 | 40,405 | |||||||||||||
|
|
|
| ||||||||||||
Total liabilities | 716,619,180 | 13,134,779 | |||||||||||||
|
|
|
| ||||||||||||
Net Assets | $ | 884,204,800 | $ | 12,004,392 | |||||||||||
|
|
|
| ||||||||||||
Net Assets Consisted of: | |||||||||||||||
Capital stock, $0.01 par value | $ | 634,195 | $ | 10,443 | |||||||||||
Paid-in capital | 964,924,122 | 10,372,936 | |||||||||||||
Accumulated net investment income/(loss) | (6,483,311 | ) | (13,027 | ) | |||||||||||
Accumulated net realized gain/(loss) from investments and securities sold short | (165,184,382 | ) | (132,900 | ) | |||||||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 90,314,176 | 1,766,940 | |||||||||||||
|
|
|
| ||||||||||||
Net Assets | $ | 884,204,800 | $ | 12,004,392 | |||||||||||
|
|
|
| ||||||||||||
Institutional Class Shares: | |||||||||||||||
Net assets | $ | 884,204,800 | $ | 12,004,392 | |||||||||||
|
|
|
| ||||||||||||
Shares Outstanding | 63,419,518 | 1,044,285 | |||||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per share | $ | 13.94 | $ | 11.50 | |||||||||||
|
|
|
| ||||||||||||
1 Non-affiliated investments, at cost | $ | 966,769,460 | $ | 15,397,520 | |||||||||||
2 Includes market value of securities on loan | $ | 153,664,106 | $ | 1,297,695 | |||||||||||
3 Includes market value of securities designated as collateral for securities on loan | $ | 172,073,590 | $ | 2,814,988 | |||||||||||
4 Proceeds received, securities sold short | $ | 525,905,744 | $ | 9,945,291 |
The accompanying notes are an integral part of the financial statements.
232
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
September 30, 2017
Gotham Absolute | Gotham Enhanced Return Fund | Gotham Enhanced 500 Fund | Gotham Enhanced 500 Core Fund | Gotham Neutral Fund | Gotham Neutral 500 Fund | |||||||||||||||||||
$ | 2,507,782 | $ | 1,549,369,233 | $ | 45,405,706 | $ | 3,352,081 | $ | 812,933,766 | $ | 3,956,706 | |||||||||||||
359,523 | 25,718,851 | 597,070 | 4,971 | 29,453,945 | 107,575 | |||||||||||||||||||
549,950 | 296,149,848 | 2,732,584 | 44,570 | 541,174,220 | 2,338,534 | |||||||||||||||||||
7,636 | — | — | 10,459 | — | 15,349 | |||||||||||||||||||
25,040 | 21,620,615 | 3,218,190 | 53,265 | 23,321,642 | 78,552 | |||||||||||||||||||
— | 300,735 | — | — | 1,189,463 | 367,494 | |||||||||||||||||||
2,650 | 1,619,696 | 48,230 | 3,400 | 927,730 | 3,962 | |||||||||||||||||||
— | — | — | — | — | 1,026 | |||||||||||||||||||
654 | 44,729 | 12,839 | 594 | 66,378 | 888 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
3,453,235 | 1,894,823,707 | 52,014,619 | 3,469,340 | 1,409,067,144 | 6,870,086 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
1,143,038 | 660,160,600 | 21,159,209 | 967,433 | 644,824,123 | 3,145,831 | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
7,636 | 314,077,458 | 3,741,950 | 10,459 | 66,982,044 | 15,349 | |||||||||||||||||||
23,567 | 18,433,429 | 2,553,451 | 52,235 | 24,104,268 | 75,838 | |||||||||||||||||||
— | 2,432,438 | — | — | 2,093,415 | — | |||||||||||||||||||
2,807 | 1,406,787 | 23,840 | 2,769 | 1,032,058 | — | |||||||||||||||||||
1,177 | 721,573 | 32,120 | 1,318 | 288,635 | 2,760 | |||||||||||||||||||
10,745 | 72,562 | 14,409 | 10,821 | 60,413 | 11,579 | |||||||||||||||||||
45 | 17,785 | 107 | 55 | 17,277 | 34 | |||||||||||||||||||
25,620 | 130,461 | 36,465 | 25,502 | 125,110 | 25,722 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
1,214,635 | 997,453,093 | 27,561,551 | 1,070,592 | 739,527,343 | 3,277,113 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 2,238,600 | $ | 897,370,614 | $ | 24,453,068 | $ | 2,398,748 | $ | 669,539,801 | $ | 3,592,973 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 2,000 | $ | 656,105 | $ | 20,047 | $ | 2,023 | $ | 654,381 | $ | 3,336 | |||||||||||||
1,985,370 | 739,804,724 | 19,442,956 | 2,010,482 | 738,650,287 | 3,397,421 | |||||||||||||||||||
18,875 | (4,171,743 | ) | 42,758 | 31,448 | (6,587,385 | ) | 57 | |||||||||||||||||
(36,425 | ) | (36,036,658 | ) | 777,187 | (17,311 | ) | (122,154,648 | ) | (94,094 | ) | ||||||||||||||
268,780 | 197,118,186 | 4,170,120 | 372,106 | 58,977,166 | 286,253 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 2,238,600 | $ | 897,370,614 | $ | 24,453,068 | $ | 2,398,748 | $ | 669,539,801 | $ | 3,592,973 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 2,238,600 | $ | 897,370,614 | $ | 24,453,068 | $ | 2,398,748 | $ | 669,539,801 | $ | 3,592,973 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
200,000 | 65,610,485 | 2,004,735 | 202,256 | 65,438,071 | 333,553 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 11.19 | $ | 13.68 | $ | 12.20 | $ | 11.86 | $ | 10.23 | $ | 10.77 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 2,219,467 | $ | 1,352,254,811 | $ | 41,014,638 | $ | 2,976,549 | $ | 740,939,779 | $ | 3,579,826 | |||||||||||||
$ | 12,534 | $ | 308,072,721 | $ | 3,674,364 | $ | 20,114 | $ | 65,388,526 | $ | 29,966 | |||||||||||||
$ | — | $ | 322,028,666 | $ | 6,515,662 | $ | — | $ | 68,642,999 | $ | — | |||||||||||||
$ | 1,123,503 | $ | 660,164,364 | $ | 20,938,261 | $ | 964,007 | $ | 631,807,302 | $ | 3,055,204 |
The accompanying notes are an integral part of the financial statements.
233
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
September 30, 2017
Gotham Short Strategies Fund | Gotham Index Plus Fund | |||||||||||||
|
|
|
| |||||||||||
Assets | ||||||||||||||
Non-affiliated investments, at value1,2,3,4 | $ | 17,571,655 | $ | 372,618,736 | ||||||||||
Cash | 1,159,780 | 16,334,131 | ||||||||||||
Deposits with brokers for securities sold short | — | 24,540,320 | ||||||||||||
Securities lending cash collateral | — | — | ||||||||||||
Receivables: | ||||||||||||||
Investments sold | 373,643 | 8,581,724 | ||||||||||||
Capital shares sold | — | 1,016,905 | ||||||||||||
Dividends and interest | 21,314 | 360,443 | ||||||||||||
Investment Adviser | 16,304 | — | ||||||||||||
Prepaid expenses and other assets | 21,586 | 22,841 | ||||||||||||
|
|
|
| |||||||||||
Total assets | 19,164,282 | 423,475,100 | ||||||||||||
|
|
|
| |||||||||||
Liabilities | ||||||||||||||
Swaps, at value | 432,515 | — | ||||||||||||
Securities sold short, at value5 | — | 175,855,887 | ||||||||||||
Payables: | ||||||||||||||
Investments purchased | 373,542 | 8,864,276 | ||||||||||||
Administration and accounting fees | 5,517 | 13,283 | ||||||||||||
Custodian fees | 223 | 3,683 | ||||||||||||
Capital shares redeemed | — | 21,766 | ||||||||||||
Investment Adviser | — | 142,671 | ||||||||||||
Dividends and fees on securities sold short | — | 207,524 | ||||||||||||
Securities lending cash collateral | — | 38,535,861 | ||||||||||||
Accrued expenses | 24,231 | 34,131 | ||||||||||||
|
|
|
| |||||||||||
Total liabilities | 836,028 | 223,679,082 | ||||||||||||
|
|
|
| |||||||||||
Net Assets | $ | 18,328,254 | $ | 199,796,018 | ||||||||||
|
|
|
| |||||||||||
Net Assets Consisted of: | ||||||||||||||
Capital stock, $0.01 par value | $ | 18,206 | $ | 153,747 | ||||||||||
Paid-in capital | 18,192,587 | 174,871,499 | ||||||||||||
Accumulated net investment income/(loss) | 35,361 | 574,523 | ||||||||||||
Accumulated net realized gain/(loss) from investments, securities sold short and swaps | (126,103 | ) | (4,966,185 | ) | ||||||||||
Net unrealized appreciation/(depreciation) on investments, securities sold short and swaps | 208,203 | 29,162,434 | ||||||||||||
|
|
|
| |||||||||||
Net Assets | $ | 18,328,254 | $ | 199,796,018 | ||||||||||
|
|
|
| |||||||||||
Institutional Class Shares: | ||||||||||||||
Net assets | $ | 18,328,254 | $ | 199,796,018 | ||||||||||
|
|
|
| |||||||||||
Shares Outstanding | 1,820,601 | 15,374,683 | ||||||||||||
|
|
|
| |||||||||||
Net asset value, offering and redemption price per share | $ | 10.07 | $ | 13.00 | ||||||||||
|
|
|
| |||||||||||
1 Non-affiliated investments, at cost | $ | 16,930,937 | $ | 342,450,636 | ||||||||||
2 Includes market value of securities on loan | $ | — | $ | 37,774,492 | ||||||||||
3 Includes market value of securities designated as collateral for securities on loan | $ | — | $ | 48,743,047 | ||||||||||
4 Includes market value of securities designated as collateral for swaps | $ | 8,924,821 | $ | — | ||||||||||
5 Proceeds received, securities sold short | $ | — | $ | 174,850,221 |
The accompanying notes are an integral part of the financial statements.
234
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
September 30, 2017
Gotham Index | Gotham Hedged Plus Fund | Gotham Hedged Core Fund | Gotham Institutional Value Fund | Gotham Enhanced S&P 500 Index Fund | ||||||||||||||||
$ | 3,429,378 | $ | 3,389,087 | $ | 2,166,152 | $ | 2,640,956 | $ | 2,941,161 | |||||||||||
4,342 | 364,129 | 293,143 | 13,737 | 15,350 | ||||||||||||||||
35,357 | 568,248 | 626,056 | — | — | ||||||||||||||||
7,632 | 26,093 | 4,463 | — | — | ||||||||||||||||
43,656 | 73,653 | 36,585 | 23,438 | 22,424 | ||||||||||||||||
— | — | — | — | — | ||||||||||||||||
3,228 | 3,358 | 2,109 | 2,665 | 2,155 | ||||||||||||||||
4,049 | 10,968 | 4,508 | — | 4,441 | ||||||||||||||||
821 | 13,144 | 817 | 14,978 | 51 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
3,528,463 | 4,448,680 | 3,133,833 | 2,695,774 | 2,985,582 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
— | — | — | — | — | ||||||||||||||||
987,064 | 1,986,020 | 786,952 | — | — | ||||||||||||||||
42,914 | 69,412 | 34,222 | 22,974 | 21,943 | ||||||||||||||||
11,390 | 12,362 | 12,236 | 8,382 | 10,063 | ||||||||||||||||
56 | 6 | 57 | 131 | 87 | ||||||||||||||||
— | — | — | — | — | ||||||||||||||||
— | — | — | 6,404 | — | ||||||||||||||||
1,255 | 2,112 | 669 | — | — | ||||||||||||||||
7,632 | 26,093 | 4,463 | — | — | ||||||||||||||||
27,957 | 33,179 | 28,102 | 31,153 | 22,460 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
1,078,268 | 2,129,184 | 866,701 | 69,044 | 54,553 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,450,195 | $ | 2,319,496 | $ | 2,267,132 | $ | 2,626,730 | $ | 2,931,029 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,022 | $ | 2,029 | $ | 2,000 | $ | 2,109 | $ | 2,541 | |||||||||||
2,010,315 | 1,983,525 | 1,985,343 | 2,067,518 | 2,570,698 | ||||||||||||||||
37,267 | 18,182 | 27,359 | 46,807 | 38,386 | ||||||||||||||||
(22,873 | ) | (20,126 | ) | (36,259 | ) | 255,812 | 44,334 | |||||||||||||
423,464 | 335,886 | 288,689 | 254,484 | 275,070 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,450,195 | $ | 2,319,496 | $ | 2,267,132 | $ | 2,626,730 | $ | 2,931,029 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,450,195 | $ | 2,319,496 | $ | 2,267,132 | $ | 2,626,730 | $ | 2,931,029 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
202,238 | 202,851 | 200,000 | 210,860 | 254,107 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 12.12 | $ | 11.43 | $ | 11.34 | $ | 12.46 | $ | 11.53 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,976,244 | $ | 3,043,078 | $ | 1,870,956 | $ | 2,386,472 | $ | 2,666,091 | |||||||||||
$ | 18,052 | $ | 25,140 | $ | 8,920 | $ | — | $ | — | |||||||||||
$ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||
$ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||
$ | 957,394 | $ | 1,975,897 | $ | 780,445 | $ | — | $ | — |
The accompanying notes are an integral part of the financial statements.
235
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
September 30, 2017
Gotham Defensive Long Fund | Gotham Defensive Long 500 Fund | |||||||||||||
|
|
|
| |||||||||||
Assets | ||||||||||||||
Non-affiliated investments, at value1,2 | $ | 3,819,258 | $ | 14,710,684 | ||||||||||
Affiliated investments, at value3 | — | — | ||||||||||||
Cash | — | 48,122 | ||||||||||||
Deposits with brokers for securities sold short | 63,881 | 28,580 | ||||||||||||
Securities lending cash collateral | 44,230 | 58,677 | ||||||||||||
Receivables: | ||||||||||||||
Investments sold | 52,374 | 146,955 | ||||||||||||
Capital shares sold | — | — | ||||||||||||
Dividends and interest | 4,343 | 16,336 | ||||||||||||
Investment Adviser | 12,095 | — | ||||||||||||
Prepaid expenses and other assets | 857 | 1,042 | ||||||||||||
|
|
|
| |||||||||||
Total assets | 3,997,038 | 15,010,396 | ||||||||||||
|
|
|
| |||||||||||
Liabilities | ||||||||||||||
Securities sold short, at value4 | 1,647,582 | 6,814,614 | ||||||||||||
Due to custodian | 31,678 | — | ||||||||||||
Payables: | ||||||||||||||
Investments purchased | 52,918 | 144,493 | ||||||||||||
Securities lending cash collateral | 44,230 | 58,677 | ||||||||||||
Administration and accounting fees | 18,990 | 11,670 | ||||||||||||
Dividends and fees on securities sold short | 1,225 | 8,610 | ||||||||||||
Custodian fees | 26 | 90 | ||||||||||||
Investment Adviser | — | 3,843 | ||||||||||||
Accrued expenses | 26,479 | 28,797 | ||||||||||||
|
|
|
| |||||||||||
Total liabilities | 1,823,128 | 7,070,794 | ||||||||||||
|
|
|
| |||||||||||
Net Assets | $ | 2,173,910 | $ | 7,939,602 | ||||||||||
|
|
|
| |||||||||||
Net Assets Consisted of: | ||||||||||||||
Capital stock, $0.01 par value | $ | 2,000 | $ | 6,777 | ||||||||||
Paid-in capital | 1,984,747 | 7,080,788 | ||||||||||||
Accumulated net investment income/(loss) | 8,720 | 39,573 | ||||||||||||
Accumulated net realized gain/(loss) from investments and securities sold short | (109,041 | ) | (167,371 | ) | ||||||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 287,484 | 979,835 | ||||||||||||
|
|
|
| |||||||||||
Net Assets | $ | 2,173,910 | $ | 7,939,602 | ||||||||||
|
|
|
| |||||||||||
Institutional Class Shares: | ||||||||||||||
Net assets | $ | 2,173,910 | $ | 7,939,602 | ||||||||||
|
|
|
| |||||||||||
Shares Outstanding | 200,000 | 677,733 | ||||||||||||
|
|
|
| |||||||||||
Net asset value, offering and redemption price per share | $ | 10.87 | $ | 11.71 | ||||||||||
|
|
|
| |||||||||||
1 Non-affiliated investments, at cost | $ | 3,509,211 | $ | 13,606,248 | ||||||||||
2 Includes market value of securities on loan | $ | 113,546 | $ | 122,483 | ||||||||||
3 Affiliated investments, at cost | $ | — | $ | — | ||||||||||
4 Proceeds received, securities sold short | $ | 1,625,019 | $ | 6,690,013 |
The accompanying notes are an integral part of the financial statements.
236
GOTHAM FUNDS
Statements of Assets and Liabilities (Concluded)
September 30, 2017
Gotham Total | Gotham Master Long Fund | Gotham Master Neutral Fund | ||||||||||
$ | — | $ | — | $ | 1,144,428 | |||||||
18,422,169 | 1,104,336 | 2,439,300 | ||||||||||
135,972 | 42,749 | 171,852 | ||||||||||
— | — | 883,585 | ||||||||||
— | — | — | ||||||||||
— | — | 67,251 | ||||||||||
— | — | 1,050,000 | ||||||||||
— | — | 2,371 | ||||||||||
12,280 | — | 1,981 | ||||||||||
13,999 | 1,513 | 1,508 | ||||||||||
|
|
|
|
|
| |||||||
18,584,420 | 1,148,598 | 5,762,276 | ||||||||||
|
|
|
|
|
| |||||||
— | — | 947,654 | ||||||||||
— | — | — | ||||||||||
— | — | 695,951 | ||||||||||
— | — | — | ||||||||||
12,467 | 12,333 | 12,398 | ||||||||||
— | — | — | ||||||||||
1,730 | 4,165 | 4,165 | ||||||||||
— | 2,478 | — | ||||||||||
31,052 | 20,034 | 27,185 | ||||||||||
|
|
|
|
|
| |||||||
45,249 | 39,010 | 1,687,353 | ||||||||||
|
|
|
|
|
| |||||||
$ | 18,539,171 | $ | 1,109,588 | $ | 4,074,923 | |||||||
|
|
|
|
|
| |||||||
$ | 15,988 | $ | 1,047 | $ | 4,042 | |||||||
16,709,601 | 1,045,528 | 4,045,958 | ||||||||||
1,994 | 6 | 5,055 | ||||||||||
4,760 | — | 16,903 | ||||||||||
1,806,828 | 63,007 | 2,965 | ||||||||||
|
|
|
|
|
| |||||||
$ | 18,539,171 | $ | 1,109,588 | $ | 4,074,923 | |||||||
|
|
|
|
|
| |||||||
$ | 18,539,171 | $ | 1,109,588 | $ | 4,074,923 | |||||||
|
|
|
|
|
| |||||||
1,598,780 | 104,657 | 404,167 | ||||||||||
|
|
|
|
|
| |||||||
$ | 11.60 | $ | 10.60 | $ | 10.08 | |||||||
|
|
|
|
|
| |||||||
$ | — | $ | — | $ | 1,119,822 | |||||||
$ | — | $ | — | $ | — | |||||||
$ | 16,615,341 | $ | 1,041,329 | $ | 2,426,985 | |||||||
$ | — | $ | — | $ | 913,698 |
The accompanying notes are an integral part of the financial statements.
237
GOTHAM FUNDS
Statements of Operations
For the Year Ended September 30, 2017
Gotham Absolute Return Fund | Gotham Absolute 500 Fund | |||||||||||||||||||
|
|
|
| |||||||||||||||||
Investment Income | ||||||||||||||||||||
Dividends from non-affiliated securities | $ | 17,445,829 | $ | 382,808 | ||||||||||||||||
Less: foreign taxes withheld | (33,844 | ) | — | |||||||||||||||||
Interest | 4,001 | — | ||||||||||||||||||
Income from securities loaned (Note 5) | 563,468 | 23 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Total investment income | 17,979,454 | 382,831 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Expenses | ||||||||||||||||||||
Advisory fees (Note2) | 18,635,617 | 172,577 | ||||||||||||||||||
Dividends and fees on securities sold short | 4,500,429 | 197,638 | ||||||||||||||||||
Transfer agent fees (Note 2) | 1,702,700 | 9,830 | ||||||||||||||||||
Fees on cash collateral (Note 5) | 1,688,573 | 19,073 | ||||||||||||||||||
Administration and accounting fees (Note 2) | 264,336 | 29,440 | ||||||||||||||||||
Printing and shareholder reporting fees | 135,083 | 2,664 | ||||||||||||||||||
Trustees’ and officers’ fees (Note 2) | 106,182 | 1,440 | ||||||||||||||||||
Registration and filing fees | 90,100 | 18,301 | ||||||||||||||||||
Custodian fees (Note2) | 69,884 | 959 | ||||||||||||||||||
Legal fees | 66,839 | 363 | ||||||||||||||||||
Audit fees | 27,270 | 26,214 | ||||||||||||||||||
Offering fees | — | — | ||||||||||||||||||
Other expenses | 154,340 | 4,437 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Total expenses before waivers and reimbursements | 27,441,353 | 482,936 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Recoupments and/or waivers, reimbursements (Note 2) | (1,216,153 | ) | (74,474 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net expenses after waivers and reimbursements | 26,225,200 | 408,462 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Net investment income/(loss) | (8,245,746 | ) | (25,631 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||||||||||||
Net realized gain from non-affiliated investments | 223,924,195 | 2,657,351 | ||||||||||||||||||
Net realized loss from securities sold short | (73,076,708 | ) | (1,135,762 | ) | ||||||||||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | (45,970,411 | ) | 172,432 | |||||||||||||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | (8,630,848 | ) | (154,539 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net realized and unrealized gain on investments | 96,246,228 | 1,539,482 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Net increase in net assets resulting from operations | $ | 88,000,482 | $ | 1,513,851 | ||||||||||||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
238
GOTHAM FUNDS
Statements of Operations (Continued)
For the Year Ended September 30, 2017
Gotham Absolute | Gotham Enhanced Return Fund | Gotham Enhanced 500 Fund | Gotham Enhanced 500 Core Fund | Gotham Neutral Fund | Gotham Neutral 500 Fund | |||||||||||||||||||
$ | 50,334 | $ | 28,870,058 | $ | 935,037 | $ | 66,146 | $ | 13,061,028 | $ | 65,118 | |||||||||||||
— | (41,317 | ) | — | — | (41,306 | ) | — | |||||||||||||||||
91 | 4,948 | 299 | 8 | 4,905 | 28 | |||||||||||||||||||
12 | 527,688 | 47 | 22 | 548,653 | 25 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
50,437 | 29,361,377 | 935,383 | 66,176 | 13,573,280 | 65,171 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
21,055 | 19,364,684 | 315,771 | 21,794 | 15,171,137 | 33,754 | |||||||||||||||||||
21,032 | 9,938,148 | 497,575 | 23,115 | 6,678,249 | 43,573 | |||||||||||||||||||
3,469 | 741,330 | 10,284 | 3,419 | 694,194 | 7,483 | |||||||||||||||||||
— | 3,566,302 | 47,941 | — | 536,578 | — | |||||||||||||||||||
24,820 | 290,888 | 35,467 | 24,835 | 246,574 | 26,078 | |||||||||||||||||||
2,350 | 89,683 | 3,787 | 2,350 | 56,184 | 2,836 | |||||||||||||||||||
266 | 110,797 | 2,526 | 336 | 87,803 | 228 | |||||||||||||||||||
1,172 | 79,896 | 27,520 | 1,172 | 119,917 | 1,021 | |||||||||||||||||||
158 | 72,618 | 1,754 | 164 | 61,892 | 188 | |||||||||||||||||||
1,161 | 53,915 | 1,431 | 1,163 | 52,934 | 1,077 | |||||||||||||||||||
20,991 | 27,239 | 27,342 | 20,991 | 27,293 | 17,996 | |||||||||||||||||||
12,409 | — | — | 12,327 | — | 13,317 | |||||||||||||||||||
3,309 | 152,319 | 7,085 | 3,315 | 122,353 | 2,958 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
112,192 | 34,487,819 | 978,483 | 114,981 | 23,855,108 | 150,509 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
(66,947 | ) | (162,171 | ) | (82,079 | ) | (66,803 | ) | (326,104 | ) | (69,432 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
45,245 | 34,325,648 | 896,404 | 48,178 | 23,529,004 | 81,077 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
5,192 | (4,964,271 | ) | 38,979 | 17,998 | (9,955,724 | ) | (15,906 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
82,567 | 195,867,647 | 4,421,600 | 86,841 | 172,996,910 | 130,276 | |||||||||||||||||||
(117,939 | ) | (118,517,300 | ) | (2,695,418 | ) | (103,197 | ) | (119,011,541 | ) | (222,152 | ) | |||||||||||||
289,224 | 58,974,824 | 2,174,370 | 377,032 | (21,271,731 | ) | 376,880 | ||||||||||||||||||
(19,535 | ) | 11,509,562 | 180,554 | (3,426 | ) | 1,836,802 | (90,627 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
234,317 | 147,834,733 | 4,081,106 | 357,250 | 34,550,440 | 194,377 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 239,509 | $ | 142,870,462 | $ | 4,120,085 | $ | 375,248 | $ | 24,594,716 | $ | 178,471 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
239
GOTHAM FUNDS
Statements of Operations (Continued)
For the Period/Year Ended September 30, 2017
Gotham Short Strategies Fund* | Gotham Index Plus Fund | |||||||||||||||||||
Investment Income | ||||||||||||||||||||
Dividends from non-affiliated securities | $ | 75,760 | $ | 5,490,724 | ||||||||||||||||
Less: foreign taxes withheld | (325 | ) | — | |||||||||||||||||
Interest | 69 | 1,076 | ||||||||||||||||||
Income from securities loaned (Note 5) | — | 449 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Total investment income | 75,504 | 5,492,249 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Expenses | ||||||||||||||||||||
Advisory fees (Note 2) | 40,144 | 1,348,212 | ||||||||||||||||||
Audit fees | 18,500 | 25,785 | ||||||||||||||||||
Legal fees | 13,164 | 18,375 | ||||||||||||||||||
Printing and shareholder reporting fees | 6,233 | 14,599 | ||||||||||||||||||
Administration and accounting fees (Note 2) | 5,517 | 62,006 | ||||||||||||||||||
Registration and filing fees | 4,714 | 28,563 | ||||||||||||||||||
Transfer agent fees (Note 2) | 1,233 | 25,441 | ||||||||||||||||||
Trustees’ and officers’ fees (Note 2) | 411 | 11,328 | ||||||||||||||||||
Custodian fees (Note2) | 223 | 15,811 | ||||||||||||||||||
Dividends and fees on securities sold short | — | 2,970,772 | ||||||||||||||||||
Offering fees | — | — | ||||||||||||||||||
Fees on cash collateral (Note 5) | — | 346,782 | ||||||||||||||||||
Other expenses | 788 | 18,959 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Total expenses before waivers and reimbursements | 90,927 | 4,886,633 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Recoupments and/or waivers, reimbursements (Note 2) | (50,784 | ) | (18,635 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net expenses after waivers and reimbursements | 40,143 | 4,867,998 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Net investment income | 35,361 | 624,251 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||||||||||||
Net realized gain/(loss) from non-affiliated investments | (209,658 | ) | 12,434,508 | |||||||||||||||||
Net realized loss from securities sold short | — | (16,168,027 | ) | |||||||||||||||||
Net realized gain on swaps | 83,555 | (a) | — | |||||||||||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | 640,718 | 26,486,549 | ||||||||||||||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | — | (258,361 | ) | |||||||||||||||||
Net change in unrealized depreciation on swaps | (432,515 | )(a) | — | |||||||||||||||||
|
|
|
| |||||||||||||||||
Net realized and unrealized gain on investments | 82,100 | 22,494,669 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Net increase in net assets resulting from operations | $ | 117,461 | $ | 23,118,920 | ||||||||||||||||
|
|
|
|
* | The Fund commenced operations on July 31, 2017. |
** | The Fund commenced operations on December 30, 2016. |
(a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
240
GOTHAM FUNDS
Statements of Operations (Continued)
For the Period/Year Ended September 30, 2017
Gotham Index | Gotham Hedged Plus Fund | Gotham Hedged Core Fund | Gotham Institutional Value Fund | Gotham Enhanced S&P 500 Index Fund** | ||||||||||||||||
$ | 66,010 | $ | 69,494 | $ | 43,792 | $ | 51,891 | $ | 39,600 | |||||||||||
— | — | — | — | — | ||||||||||||||||
5 | 60 | 52 | 3 | 7 | ||||||||||||||||
18 | 20 | 12 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
66,033 | 69,574 | 43,856 | 51,894 | 39,607 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
15,465 | 21,834 | 14,856 | 19,396 | 9,155 | ||||||||||||||||
20,995 | 27,233 | 20,995 | 25,652 | 17,881 | ||||||||||||||||
1,070 | 127 | 1,068 | 237 | 1,011 | ||||||||||||||||
2,275 | 1,829 | 2,230 | 1,706 | 2,223 | ||||||||||||||||
27,796 | 31,291 | 28,668 | 16,585 | 19,740 | ||||||||||||||||
980 | 24,590 | 980 | 15,491 | 52 | ||||||||||||||||
7,487 | 4,576 | 7,485 | 4,891 | 5,579 | ||||||||||||||||
208 | 249 | 202 | 335 | 173 | ||||||||||||||||
166 | 164 | 159 | 182 | 137 | ||||||||||||||||
23,308 | 42,543 | 11,685 | — | — | ||||||||||||||||
12,392 | 25,151 | 12,447 | 17,503 | 7,934 | ||||||||||||||||
— | — | — | — | — | ||||||||||||||||
3,375 | 5,067 | 3,366 | 4,640 | 2,198 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
115,517 | 184,654 | 104,141 | 106,618 | 66,083 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(73,429 | ) | (117,002 | ) | (74,311 | ) | (83,569 | ) | (56,928 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
42,088 | 67,652 | 29,830 | 23,049 | 9,155 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
23,945 | 1,922 | 14,026 | 28,845 | 30,452 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
62,949 | 273,733 | 52,234 | 287,235 | 44,334 | ||||||||||||||||
(85,163 | ) | (264,203 | ) | (87,817 | ) | — | — | |||||||||||||
— | — | — | — | — | ||||||||||||||||
454,634 | 251,269 | 296,105 | 69,528 | 275,070 | ||||||||||||||||
(29,670 | ) | 41,661 | (6,507 | ) | — | — | ||||||||||||||
— | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
402,750 | 302,460 | 254,015 | 356,763 | 319,404 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 426,695 | $ | 304,382 | $ | 268,041 | $ | 385,608 | $ | 349,856 | |||||||||||
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
241
GOTHAM FUNDS
Statements of Operations (Continued)
For the Period/Year Ended September 30, 2017
Gotham Defensive Long Fund | Gotham Defensive Long 500 Fund | |||||||||||||||||||
|
|
|
| |||||||||||||||||
Investment Income | ||||||||||||||||||||
Dividends from non-affiliated securities | $ | 69,671 | $ | 237,269 | ||||||||||||||||
Dividends from affiliated securities | — | — | ||||||||||||||||||
Less: foreign taxes withheld | (99 | ) | — | |||||||||||||||||
Interest | 4 | 15 | ||||||||||||||||||
Income from securities loaned (Note 5) | 648 | 78 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Total investment income | 70,224 | 237,362 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Expenses | ||||||||||||||||||||
Advisory fees (Note 2) | 41,867 | 76,540 | ||||||||||||||||||
Administration and accounting fees (Note 2) | 50,884 | 26,721 | ||||||||||||||||||
Dividends and fees on securities sold short | 30,674 | 130,112 | ||||||||||||||||||
Audit fees | 20,745 | 20,745 | ||||||||||||||||||
Offering fees | 13,253 | 13,145 | ||||||||||||||||||
Transfer agent fees (Note 2) | 7,483 | 7,485 | ||||||||||||||||||
Printing and shareholder reporting fees | 2,379 | 2,502 | ||||||||||||||||||
Legal fees | 1,173 | 1,173 | ||||||||||||||||||
Registration and filing fees | 1,021 | 1,021 | ||||||||||||||||||
Trustees’ and officers’ fees (Note 2) | 200 | 462 | ||||||||||||||||||
Custodian fees (Note 2) | 157 | 425 | ||||||||||||||||||
Other expenses | 3,364 | 3,698 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Total expenses before waivers and reimbursements | 173,200 | 284,029 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Recoupments and/or waivers, reimbursements (Note 2) | (97,415 | ) | (68,706 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net expenses after waivers and reimbursements | 75,785 | 215,323 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Net investment income/(loss) | (5,561 | ) | 22,039 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||||||||||||
Net realized gain from non-affiliated investments | 152,464 | 309,152 | ||||||||||||||||||
Net realized gain from affiliated investments | — | — | ||||||||||||||||||
Net realized loss from securities sold short | (260,477 | ) | (472,250 | ) | ||||||||||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | 311,547 | 1,105,936 | ||||||||||||||||||
Net change in unrealized appreciation on affiliated investments | — | — | ||||||||||||||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | (22,563 | ) | (124,601 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net realized and unrealized gain on investments | 180,971 | 818,237 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Net increase in net assets resulting from operations | $ | 175,410 | $ | 840,276 | ||||||||||||||||
|
|
|
|
* | The Fund commenced operations on April 28, 2017. |
The accompanying notes are an integral part of the financial statements.
242
GOTHAM FUNDS
Statements of Operations (Concluded)
For the Period/Year Ended September 30, 2017
Gotham Total | Gotham Master Long Fund* | Gotham Master Neutral Fund* | ||||||||||
$ | — | $ | — | $ | 7,178 | |||||||
16,082 | — | — | ||||||||||
— | — | (27 | ) | |||||||||
31 | 6 | 1,087 | ||||||||||
— | — | — | ||||||||||
|
|
|
|
|
| |||||||
16,113 | 6 | 8,238 | ||||||||||
|
|
|
|
|
| |||||||
— | — | 3,888 | ||||||||||
41,442 | 18,892 | 18,941 | ||||||||||
— | — | 14 | ||||||||||
22,735 | 17,932 | 17,932 | ||||||||||
— | — | — | ||||||||||
6,461 | 1,596 | 5,003 | ||||||||||
5,134 | 205 | 2,551 | ||||||||||
197 | 988 | 1,003 | ||||||||||
17,000 | 610 | 605 | ||||||||||
1,121 | 45 | 142 | ||||||||||
10,139 | 4,165 | 4,165 | ||||||||||
4,877 | 922 | 2,592 | ||||||||||
|
|
|
|
|
| |||||||
109,106 | 45,355 | 56,836 | ||||||||||
|
|
|
|
|
| |||||||
(105,481 | ) | (45,355 | ) | (52,934 | ) | |||||||
|
|
|
|
|
| |||||||
3,625 | — | 3,902 | ||||||||||
|
|
|
|
|
| |||||||
12,488 | 6 | 4,336 | ||||||||||
|
|
|
|
|
| |||||||
— | — | 21,447 | ||||||||||
33,486 | — | — | ||||||||||
— | — | (3,825 | ) | |||||||||
— | — | 24,606 | ||||||||||
1,821,128 | 63,007 | 12,315 | ||||||||||
— | — | (33,956 | ) | |||||||||
|
|
|
|
|
| |||||||
1,854,614 | 63,007 | 20,587 | ||||||||||
|
|
|
|
|
| |||||||
$ | 1,867,102 | $ | 63,013 | $ | 24,923 | |||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
243
GOTHAM FUNDS
Statements of Changes in Net Assets
Gotham Absolute Return Fund | ||||||||
For the Year Ended September 30, 2017 | For the Year Ended September 30, 2016 | |||||||
Net increase/(decrease) in net assets from operations: | ||||||||
Net investment income/(loss) | $ | (8,245,746 | ) | $ | (9,831,418 | ) | ||
Net realized gain/(loss) from investments and securities sold short | 150,847,487 | 37,539,144 | ||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | (54,601,259 | ) | 18,364,150 | |||||
|
|
|
| |||||
Net increase/(decrease) in net assets resulting from operations | 88,000,482 | 46,071,876 | ||||||
|
|
|
| |||||
Less Dividends and Distributions to Shareholders from: | ||||||||
Institutional Class Shares: | ||||||||
Net realized capital gains | — | (29,543,843 | ) | |||||
Return of capital | — | — | ||||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | — | (29,543,843 | ) | |||||
|
|
|
| |||||
Increase/(decrease) in Net Assets from Capital Share Transactions (Note 4) | (186,782,887 | ) | (1,599,639,099 | ) | ||||
|
|
|
| |||||
Total increase/(decrease) in net assets | (98,782,405 | ) | (1,583,111,066 | ) | ||||
|
|
|
| |||||
Net assets | ||||||||
Beginning of period | 982,987,205 | 2,566,098,271 | ||||||
|
|
|
| |||||
End of period | $ | 884,204,800 | $ | 982,987,205 | ||||
|
|
|
| |||||
Accumulated net investment income/(loss), end of period | $ | (6,483,311 | ) | $ | (1,948,744 | ) | ||
|
|
|
|
* | The Fund commenced operations on September 30, 2016. |
The accompanying notes are an integral part of the financial statements.
244
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Absolute 500 Fund | Gotham Absolute 500 Core Fund | Gotham Enhanced Return Fund | ||||||||||||||||||||
For the Year Ended | For the Year Ended September 30, 2016 | For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016* | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2016 | |||||||||||||||||
$ | (25,631 | ) | $ | (30,215 | ) | $ | 5,192 | $ | — | $ | (4,964,271 | ) | $ | 1,611,898 | ||||||||
1,521,589 | (723,122 | ) | (35,372 | ) | — | 77,350,347 | 72,482,135 | |||||||||||||||
17,893 | 1,772,630 | 269,689 | (909 | ) | 70,484,386 | 900,681 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
1,513,851 | 1,019,293 | 239,509 | (909 | ) | 142,870,462 | 74,994,714 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
— | (317,388 | ) | — | — | — | (18,962,062 | ) | |||||||||||||||
— | (380,847 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
— | (698,235 | ) | — | — | — | (18,962,062 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(2,955,285 | ) | (2,676,554 | ) | — | 2,000,000 | (195,702,219 | ) | (232,094,666 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(1,441,434 | ) | (2,355,496 | ) | 239,509 | 1,999,091 | (52,831,757 | ) | (176,062,014 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
13,445,826 | 15,801,322 | 1,999,091 | — | 950,202,371 | 1,126,264,385 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 12,004,392 | $ | 13,445,826 | $ | 2,238,600 | $ | 1,999,091 | $ | 897,370,614 | $ | 950,202,371 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (13,027 | ) | $ | (11,056 | ) | $ | 18,875 | $ | — | $ | (4,171,743 | ) | $ | (11,694 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
245
GOTHAM FUNDS
Statements of Changes in Net Assets
Gotham Enhanced 500 Fund | ||||||||
For the Year Ended September 30, 2017 | For the Year Ended September 30, 2016 | |||||||
Net increase/(decrease) in net assets from operations: | ||||||||
Net investment income/(loss) | $ | 38,979 | $ | 36,652 | ||||
Net realized gain/(loss) from investments and securities sold short | 1,726,182 | (586,199 | ) | |||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | 2,354,924 | 2,194,341 | ||||||
|
|
|
| |||||
Net increase/(decrease) in net assets resulting from operations | 4,120,085 | 1,644,794 | ||||||
|
|
|
| |||||
Less Dividends and Distributions to Shareholders from: | ||||||||
Institutional Class Shares: | ||||||||
Net investment income | (66,405 | ) | (9,998 | ) | ||||
Net realized capital gains | — | (32,499 | ) | |||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | (66,405 | ) | (42,497 | ) | ||||
|
|
|
| |||||
Increase/(decrease) in Net Assets from Capital Share Transactions (Note 4) | 534,486 | 12,195,925 | ||||||
|
|
|
| |||||
Total increase/(decrease) in net assets | 4,588,166 | 13,798,222 | ||||||
|
|
|
| |||||
Net assets | ||||||||
Beginning of period | 19,864,902 | 6,066,680 | ||||||
|
|
|
| |||||
End of period | $ | 24,453,068 | $ | 19,864,902 | ||||
|
|
|
| |||||
Accumulated net investment income/(loss), end of period | $ | 42,758 | $ | 57,635 | ||||
|
|
|
|
* | The Fund commenced operations on September 30, 2016. |
The accompanying notes are an integral part of the financial statements.
246
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Enhanced 500 Core Fund | Gotham Neutral Fund | Gotham Neutral 500 Fund | ||||||||||||||||
For the Year Ended | For the Period Ended September 30, 2016* | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2016 | For the Year Ended September 30, 2017 | ||||||||||||||
$ | 17,998 | $ | — | $ | (9,955,724 | ) | $ | (7,950,828 | ) | $ | (15,906 | ) | ||||||
(16,356 | ) | — | 53,985,369 | 4,949,085 | (91,876 | ) | ||||||||||||
373,606 | (1,500 | ) | (19,434,929 | ) | 1,010,188 | 286,253 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
375,248 | (1,500 | ) | 24,594,716 | (1,991,555 | ) | 178,471 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
— | — | — | — | — | ||||||||||||||
— | — | — | (4,408,426 | ) | ��� | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
— | — | — | (4,408,426 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
25,000 | 2,000,000 | (138,078,816 | ) | 33,716,398 | 1,414,502 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
400,248 | 1,998,500 | (113,484,100 | ) | 27,316,417 | 1,592,973 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,998,500 | — | 783,023,901 | 755,707,484 | 2,000,000 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 2,398,748 | $ | 1,998,500 | $ | 669,539,801 | $ | 783,023,901 | $ | 3,592,973 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 31,448 | $ | — | $ | (6,587,385 | ) | $ | (5,098,749 | ) | $ | 57 | |||||||
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
247
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Short Strategies Fund | ||||
For the Period Ended September 30, 2017* | ||||
Net increase/(decrease) in net assets from operations: | ||||
Net investment income | $ | 35,361 | ||
Net realized gain/(loss) from investments, securities sold short and swaps | (126,103 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments, securities sold short and swaps | 208,203 | |||
|
| |||
Net increase/(decrease) in net assets resulting from operations | 117,461 | |||
|
| |||
Less Dividends and Distributions to Shareholders from: | ||||
Institutional Class Shares: | ||||
Net investment income | — | |||
Net realized capital gains | — | |||
|
| |||
Net decrease in net assets from dividends and distributions to shareholders | — | |||
|
| |||
Increase in Net Assets from Capital Share Transactions (Note 4) | 18,210,793 | (a) | ||
|
| |||
Total increase in net assets | 18,328,254 | |||
|
| |||
Net assets | ||||
Beginning of period | — | |||
|
| |||
End of period | $ | 18,328,254 | ||
|
| |||
Accumulated net investment income/(loss), end of period | $ | 35,361 | ||
|
|
* | The Fund commenced operations on July 31, 2017. |
** | The Fund commenced operations on September 30, 2016. |
*** | The Fund commenced operations on March 31, 2016. |
(a) | Gotham Short Strategies Fund had a subscription due to a reorganization in the amount of $17,422,918 on July 31, 2017. The subscription was composed of securities and cash in the amounts of $16,037,918 and $1,385,000, respectively, (See Note 1). |
The accompanying notes are an integral part of the financial statements.
248
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Index Plus Fund | Gotham Index Core Fund | Gotham Hedged Plus Fund | ||||||||||||||||||||
For the Year Ended | For the Year Ended September 30, 2016 | For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016** | For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016*** | |||||||||||||||||
$ | 624,251 | $ | 165,208 | $ | 23,945 | $ | — | $ | 1,922 | $ | 46 | |||||||||||
(3,733,519 | ) | (853,687 | ) | (22,214 | ) | — | 9,530 | (27,888 | ) | |||||||||||||
26,228,188 | 3,409,759 | 424,964 | (1,500 | ) | 292,930 | 42,956 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
23,118,920 | 2,721,280 | 426,695 | (1,500 | ) | 304,382 | 15,114 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(316,257 | ) | (54,282 | ) | — | — | (21,994 | ) | — | ||||||||||||||
— | (90,322 | ) | — | — | (8,651 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(316,257 | ) | (144,604 | ) | — | — | (30,645 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
132,803,527 | 33,944,340 | 25,000 | 2,000,000 | 30,645 | 2,000,000 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
155,606,190 | 36,521,016 | 451,695 | 1,998,500 | 304,382 | 2,015,114 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
44,189,828 | 7,668,812 | 1,998,500 | — | 2,015,114 | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 199,796,018 | $ | 44,189,828 | $ | 2,450,195 | $ | 1,998,500 | $ | 2,319,496 | $ | 2,015,114 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 574,523 | $ | 173,235 | $ | 37,267 | $ | — | $ | 18,182 | $ | 15,319 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
249
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Hedged Core Fund | ||||||||
For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016* | |||||||
Net increase/(decrease) in net assets from operations: | ||||||||
Net investment income/(loss) | $ | 14,026 | $ | — | ||||
Net realized gain/(loss) from investments and securities sold short | (35,583 | ) | — | |||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | 289,598 | (909 | ) | |||||
|
|
|
| |||||
Net increase/(decrease) in net assets resulting from operations | 268,041 | (909 | ) | |||||
|
|
|
| |||||
Less Dividends and Distributions to Shareholders from: | ||||||||
Institutional Class Shares: | ||||||||
Net investment income | — | — | ||||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | — | — | ||||||
|
|
|
| |||||
Increase in Net Assets from Capital Share Transactions (Note 4) | — | 2,000,000 | ||||||
|
|
|
| |||||
Total increase in net assets | 268,041 | 1,999,091 | ||||||
|
|
|
| |||||
Net assets | ||||||||
Beginning of period | 1,999,091 | — | ||||||
|
|
|
| |||||
End of period | $ | 2,267,132 | $ | 1,999,091 | ||||
|
|
|
| |||||
Accumulated net investment income/(loss), end of period | $ | 27,359 | $ | — | ||||
|
|
|
|
* | The Fund commenced operations on September 30, 2016. |
** | The Fund commenced operations on December 31, 2015. |
*** | The Fund commenced operations on December 30, 2016. |
The accompanying notes are an integral part of the financial statements.
250
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Institutional Value Fund | Gotham Enhanced S&P 500 Index Fund | Gotham Defensive Long Fund | ||||||||||||||||
For the Year Ended | For the Period Ended September 30, 2016** | For the Period Ended September 30, 2017*** | For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016* | ||||||||||||||
$ | 28,845 | $ | 21,280 | $ | 30,452 | $ | (5,561 | ) | $ | — | ||||||||
287,235 | (31,423 | ) | 44,334 | (108,013 | ) | — | ||||||||||||
69,528 | 184,956 | 275,070 | 288,984 | (1,500 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
385,608 | 174,813 | 349,856 | 175,410 | (1,500 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(53,698 | ) | — | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(53,698 | ) | — | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
58,934 | 2,061,073 | 2,581,173 | — | 2,000,000 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
390,844 | 2,235,886 | 2,931,029 | 175,410 | 1,998,500 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,235,886 | — | — | 1,998,500 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 2,626,730 | $ | 2,235,886 | $ | 2,931,029 | $ | 2,173,910 | $ | 1,998,500 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 46,807 | $ | 44,870 | $ | 38,386 | $ | 8,720 | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
251
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Defensive Long 500 Fund | ||||||||
For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016* | |||||||
Net increase/(decrease) in net assets from operations: | ||||||||
Net investment income | $ | 22,039 | $ | — | ||||
Net realized gain/(loss) from investments and securities sold short | (163,098 | ) | — | |||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | 981,335 | (1,500 | ) | |||||
|
|
|
| |||||
Net increase/(decrease) in net assets resulting from operations | 840,276 | (1,500 | ) | |||||
|
|
|
| |||||
Less Dividends and Distributions to Shareholders from: | ||||||||
Institutional Class Shares: | ||||||||
Net investment income | — | — | ||||||
Net realized capital gains | — | — | ||||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | — | — | ||||||
|
|
|
| |||||
Increase in Net Assets from Capital Share Transactions (Note 4) | 5,100,826 | 2,000,000 | ||||||
|
|
|
| |||||
Total increase in net assets | 5,941,102 | 1,998,500 | ||||||
|
|
|
| |||||
Net assets | ||||||||
Beginning of period | 1,998,500 | — | ||||||
|
|
|
| |||||
End of period | $ | 7,939,602 | $ | 1,998,500 | ||||
|
|
|
| |||||
Accumulated net investment income/(loss), end of period | $ | 39,573 | $ | — | ||||
|
|
|
|
* | The Fund commenced operations on September 30, 2016. |
** | The Fund commenced operations on April 28, 2017. |
The accompanying notes are an integral part of the financial statements.
252
GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
Gotham Total Return Fund | Gotham Master Long Fund | Gotham Master Neutral Fund | ||||||||||||
For the Year Ended | For the Year Ended September 30, 2016 | For the Period Ended September 30, 2017** | For the Period Ended September 31, 2017** | |||||||||||
$ | 12,488 | $ | 138,914 | $ | 6 | $ | 4,336 | |||||||
33,486 | (28,726 | ) | — | 17,622 | ||||||||||
1,821,128 | 580,852 | 63,007 | 2,965 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,867,102 | 691,040 | 63,013 | 24,923 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(4,144 | ) | (149,275 | ) | — | — | |||||||||
— | (13,741 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||
(4,144 | ) | (163,016 | ) | — | — | |||||||||
|
|
|
|
|
|
|
| |||||||
8,614,335 | 523,582 | 1,046,575 | 4,050,000 | |||||||||||
|
|
|
|
|
|
|
| |||||||
10,477,293 | 1,051,606 | 1,109,588 | 4,074,923 | |||||||||||
|
|
|
|
|
|
|
| |||||||
8,061,878 | 7,010,272 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 18,539,171 | $ | 8,061,878 | $ | 1,109,588 | $ | 4,074,923 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,994 | $ | (6,350 | ) | $ | 6 | $ | 5,055 | ||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
253
GOTHAM FUNDS
Statements of Cash Flow
Gotham Absolute Return Fund | Gotham Absolute 500 Fund | |||||||
For the Year Ended September 30, 2017 | For the Year Ended September 30, 2017 | |||||||
Cash flows provided by (used in) operating activities: | ||||||||
Net increase in net assets resulting from operations | $ | 88,000,482 | $ | 1,513,851 | ||||
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 | (2,672,835,250 | ) | (36,779,481 | ) | ||||
Proceeds from disposition of long-term portfolio investments | 2,974,476,882 | 41,710,499 | ||||||
Purchases to cover securities sold short | (1,857,646,725 | ) | (30,448,090 | ) | ||||
Proceeds from securities sold short | 1,714,972,784 | 27,946,640 | ||||||
Net realized gain/(loss) on investments and securities sold short | (150,847,487 | ) | (1,521,589 | ) | ||||
Net change in unrealized (appreciation)/depreciation on investments and securities sold short | 54,601,259 | (17,893 | ) | |||||
Return of capital received from real estate investment trusts | — | — | ||||||
Increase/(decrease) in deposits with brokers for securities sold short | 61,953,705 | 1,392,752 | ||||||
Increase/(decrease) in receivable for securities sold | 6,100,535 | (1,871,238 | ) | |||||
Increase in cash collateral for securities lending | — | — | ||||||
Increase/(decrease) in dividend and interest receivable | (32,991 | ) | (2,560 | ) | ||||
Increase in receivable from investment advisor | — | — | ||||||
Increase/(decrease) in prepaid expenses and other assets | 31,087 | 253 | ||||||
Increase/(decrease) in payable for investments purchased | (7,487,775 | ) | 1,292,115 | |||||
Increase/(decrease) in use of cash collateral from securities lending | (28,426,598 | ) | (766,558 | ) | ||||
Increase/(decrease) in dividends and fees payable for securities sold short | (398,911 | ) | (4,373 | ) | ||||
Increase/(decrease) in payable for investment advisor | (364,196 | ) | (12,031 | ) | ||||
Increase/(decrease) in accrued expense payable | (159,115 | ) | (63 | ) | ||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | 181,937,686 | 2,432,234 | ||||||
|
|
|
| |||||
Cash flows from financing activities: | ||||||||
Proceeds from shares sold | 185,899,513 | 2,473,111 | ||||||
Payment of shares redeemed | (374,360,068 | ) | (5,428,396 | ) | ||||
Dividends and Distributions to Shareholders | — | — | ||||||
Increase/(decrease) in due to custodian | — | 230,348 | ||||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | (188,460,555 | ) | (2,724,937 | ) | ||||
|
|
|
| |||||
Net increase/(decrease) in cash | (6,522,869 | ) | (292,703 | ) | ||||
Cash at beginning of period | 16,670,453 | 292,703 | ||||||
|
|
|
| |||||
Cash at end of period | $ | 10,147,584 | $ | — | ||||
|
|
|
| |||||
Supplemental disclosure of cash flow information: | ||||||||
Cash paid during the period for financing charges | $ | 1,432,513 | $ | 22,339 |
The accompanying notes are an integral part of the financial statements.
254
GOTHAM FUNDS
Statements of Cash Flow (Continued)
Gotham Absolute 500 Core Fund | Gotham Enhanced Return Fund | Gotham Enhanced 500 Fund | Gotham Enhanced 500 Core Fund | Gotham Neutral Fund | Gotham Neutral 500 Fund | |||||||||||||||||
For the Year Ended September 30, 2017 | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2017 | |||||||||||||||||
$ | 239,509 | $ | 142,870,462 | $ | 4,120,085 | $ | 375,248 | $ | 24,594,716 | $ | 178,471 | |||||||||||
(6,527,386 | ) | (3,259,016,774 | ) | (85,161,325 | ) | (8,033,240 | ) | (2,384,892,073 | ) | (9,185,544 | ) | |||||||||||
5,587,750 | 3,602,645,326 | 82,922,623 | 7,118,985 | 2,668,575,919 | 5,735,993 | |||||||||||||||||
(2,777,036 | ) | (2,074,377,232 | ) | (53,237,557 | ) | (2,402,942 | ) | (2,349,961,250 | ) | (5,601,301 | ) | |||||||||||
3,782,600 | 1,935,388,792 | 55,018,973 | 3,263,753 | 2,129,026,262 | 8,434,354 | |||||||||||||||||
35,372 | (77,350,347 | ) | (1,726,182 | ) | 16,356 | (53,985,369 | ) | 91,876 | ||||||||||||||
(269,689 | ) | (70,484,386 | ) | (2,354,924 | ) | (373,606 | ) | 19,434,929 | (286,253 | ) | ||||||||||||
— | — | 221 | — | — | — | |||||||||||||||||
(549,950 | ) | 32,668,755 | 2,857,890 | (44,570 | ) | 107,515,294 | (2,338,534 | ) | ||||||||||||||
(25,040 | ) | 11,257,890 | (2,293,407 | ) | (53,265 | ) | 20,675,133 | (78,552 | ) | |||||||||||||
(7,636 | ) | — | — | (10,459 | ) | — | (15,349 | ) | ||||||||||||||
(2,650 | ) | 23,136 | (19,396 | ) | (3,400 | ) | (118,972 | ) | (3,962 | ) | ||||||||||||
— | — | — | — | — | (1,026 | ) | ||||||||||||||||
(654 | ) | 39,869 | 9,219 | (594 | ) | 46,279 | (888 | ) | ||||||||||||||
(1,173,697 | ) | (18,394,433 | ) | 1,213,166 | (1,923,219 | ) | (13,951,222 | ) | 75,838 | |||||||||||||
7,636 | (5,268,911 | ) | (987,818 | ) | 10,459 | (4,706,199 | ) | 15,349 | ||||||||||||||
1,177 | (323,989 | ) | 4,613 | 1,318 | (379,436 | ) | 2,760 | |||||||||||||||
2,807 | (155,945 | ) | 9,525 | 2,769 | (272,319 | ) | — | |||||||||||||||
36,410 | (51,979 | ) | 4,134 | 36,378 | (43,644 | ) | 37,335 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(1,640,477 | ) | 219,470,234 | 379,840 | (2,020,029 | ) | 161,558,048 | (2,939,433 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
2,000,000 | 109,070,376 | 7,580,618 | 2,025,000 | 290,059,683 | 3,047,008 | |||||||||||||||||
— | (305,618,627 | ) | (6,767,359 | ) | — | (428,692,268 | ) | — | ||||||||||||||
— | — | (3,679 | ) | — | — | — | ||||||||||||||||
— | — | (592,350 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
2,000,000 | (196,548,251 | ) | 217,230 | 2,025,000 | (138,632,585 | ) | 3,047,008 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
359,523 | 22,921,983 | 597,070 | 4,971 | 22,925,463 | 107,575 | |||||||||||||||||
— | 2,796,868 | — | — | 6,528,482 | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 359,523 | $ | 25,718,851 | $ | 597,070 | $ | 4,971 | $ | 29,453,945 | $ | 107,575 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 764 | $ | 7,361,462 | $ | 152,623 | $ | 6,191 | $ | 1,092,846 | $ | (5,184 | ) |
The accompanying notes are an integral part of the financial statements.
255
GOTHAM FUNDS
Statements of Cash Flow (Continued)
Gotham Short Strategies Fund | Gotham Index Plus Fund | |||||||
For the Period Ended September 30, 2017* | For the Year Ended September 30, 2017 | |||||||
Cash flows provided by (used in) operating activities: | ||||||||
Net Increase in net assets resulting from operations | $ | 117,461 | $ | 23,118,920 | ||||
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 | (20,445,601 | ) | (775,966,803 | ) | ||||
Proceeds from disposition of long-term portfolio investments | 19,342,924 | 522,498,527 | ||||||
Purchases to cover securities sold short | — | (261,703,403 | ) | |||||
Proceeds from securities sold short | — | 384,725,391 | ||||||
Net realized gain/(loss) on investments and securities sold short | 209,658 | 3,733,519 | ||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | (640,718 | ) | (26,228,188 | ) | ||||
Net change in unrealized depreciation on swaps | 432,515 | — | ||||||
Return of capital from real estate investment trusts | — | 3,767 | ||||||
Increase/(decrease) in deposits with brokers for securities sold short | — | (12,625,765 | ) | |||||
Increase/(decrease) in receivable for securities sold | (373,643 | ) | (7,722,456 | ) | ||||
Increase in cash collateral for securities lending | — | — | ||||||
Increase in dividend and interest receivable | (21,314 | ) | (294,906 | ) | ||||
Increase in receivable from investment advisor | (16,304 | ) | — | |||||
Increase in prepaid expenses and other assets | (21,586 | ) | (1,823 | ) | ||||
Increase/(decrease) in payable for investments purchased | 373,542 | 7,550,362 | ||||||
Increase/(decrease) in use of cash collateral from securities lending | — | 26,534,332 | ||||||
Increase/(decrease) in dividends and fees payable for securities sold short | — | 143,640 | ||||||
Increase/(decrease) in payable for investment advisor | — | 112,726 | ||||||
Increase/(decrease) in accrued expense payable | 29,971 | 1,389 | ||||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | (1,013,095 | ) | (116,120,771 | ) | ||||
|
|
|
| |||||
Proceeds from shares sold | 2,172,875 | 145,791,826 | ||||||
Payment of shares redeemed | — | (13,853,894 | ) | |||||
Dividends and Distributions to Shareholders | — | (1,230 | ) | |||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | 2,172,875 | 131,936,702 | ||||||
|
|
|
| |||||
Net increase in cash | 1,159,780 | 15,815,931 | ||||||
Cash at beginning of period | — | 518,200 | ||||||
|
|
|
| |||||
Cash at end of period | $ | 1,159,780 | $ | 16,334,131 | ||||
|
|
|
| |||||
Supplemental disclosure of cash flow information: | ||||||||
Cash paid during the period for financing charges | $ | — | $ | 842,761 | ||||
Non-cash transactions consist of the following: | ||||||||
Subscriptions due to a reorganization (See Note 1) | $ | 16,037,918 | $ | — |
* | The Fund commenced operations on July 31, 2017. |
** | The Fund commenced operations on December 30, 2016. |
The accompanying notes are an integral part of the financial statements.
256
GOTHAM FUNDS
Statements of Cash Flow (Continued)
Gotham Index Core Fund | Gotham Hedged Plus Fund | Gotham Hedged Core Fund | Gotham Institutional Value Fund | Gotham Enhanced S&P 500 Index Fund | ||||||||||||||
For the Year Ended | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2017 | For the Period Ended September 30, 2017** | ||||||||||||||
$ | 426,695 | $ | 304,382 | $ | 268,041 | $ | 385,608 | $ | 349,856 | |||||||||
(8,039,762 | ) | (5,899,898 | ) | (5,634,116 | ) | (4,119,185 | ) | (8,760,737 | ) | |||||||||
7,101,878 | 6,012,448 | 5,012,658 | 4,082,727 | 6,138,980 | ||||||||||||||
(1,908,731 | ) | (4,468,293 | ) | (1,828,927 | ) | — | — | |||||||||||
2,780,963 | 4,466,957 | 2,521,555 | — | — | ||||||||||||||
22,214 | (9,530 | ) | 35,583 | (287,235 | ) | (44,334 | ) | |||||||||||
(424,964 | ) | (292,930 | ) | (289,598 | ) | (69,528 | ) | (275,070 | ) | |||||||||
— | — | — | — | — | ||||||||||||||
42 | 74 | — | 103 | — | ||||||||||||||
(35,357 | ) | 94,590 | (626,056 | ) | — | — | ||||||||||||
(43,656 | ) | 7,934 | (36,585 | ) | (15,628 | ) | (22,424 | ) | ||||||||||
(7,632 | ) | (26,093 | ) | (4,463 | ) | — | — | |||||||||||
(3,228 | ) | (802 | ) | (2,109 | ) | (581 | ) | (2,155 | ) | |||||||||
(4,049 | ) | (5,484 | ) | (4,508 | ) | — | (4,441 | ) | ||||||||||
(821 | ) | 11,972 | (817 | ) | (2,527 | ) | (51 | ) | ||||||||||
(1,932,540 | ) | (5,754 | ) | (1,163,042 | ) | 13,991 | 21,943 | |||||||||||
7,632 | (37,485 | ) | 4,463 | — | — | |||||||||||||
1,255 | (529 | ) | 669 | — | — | |||||||||||||
— | — | — | (1,015 | ) | — | |||||||||||||
39,403 | 12,693 | 40,395 | 10,050 | 32,610 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(2,020,658 | ) | 164,252 | (1,706,857 | ) | (3,220 | ) | (2,565,823 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,025,000 | 15,323 | 2,000,000 | 31,611 | 2,581,173 | ||||||||||||||
— | — | — | (258 | ) | — | |||||||||||||
— | (15,323 | ) | — | (26,117 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,025,000 | — | 2,000,000 | 5,236 | 2,581,173 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
4,342 | 164,252 | 293,143 | 2,016 | 15,350 | ||||||||||||||
— | 199,877 | — | 11,721 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 4,342 | $ | 364,129 | $ | 293,143 | $ | 13,737 | $ | 15,350 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 6,403 | $ | 5,691 | $ | (2,795 | ) | $ | — | $ | — | ||||||||
$ | — | $ | — | $ | — | $ | — | $ | — |
The accompanying notes are an integral part of the financial statements.
257
GOTHAM FUNDS
Statements of Cash Flow (Continued)
Gotham Defensive Long Fund | Gotham Defensive Long 500 Fund | |||||||
For the Year Ended September 30, 2017 | For the Year Ended September 30, 2017 | |||||||
Cash flows provided by (used in) operating activities: | ||||||||
Net Increase in net assets resulting from operations | $ | 175,410 | $ | 840,276 | ||||
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 | (10,784,740 | ) | (38,480,480 | ) | ||||
Proceeds from disposition of long-term portfolio investments | 9,403,447 | 27,158,812 | ||||||
Purchases to cover securities sold short | (4,106,168 | ) | (12,018,074 | ) | ||||
Proceeds from securities sold short | 5,470,710 | 18,235,837 | ||||||
Net realized gain/(loss) on investments and securities sold short | 108,013 | 163,098 | ||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | (288,984 | ) | (981,335 | ) | ||||
Net amortization/(accretion) of premium/(discount) | — | — | ||||||
Return of capital from real estate investment trusts | — | 26 | ||||||
Increase in deposits with brokers for securities sold short | (63,881 | ) | (28,580 | ) | ||||
Increase in receivable for securities sold | (52,374 | ) | (146,955 | ) | ||||
Increase in cash collateral for securities lending | (44,230 | ) | (58,677 | ) | ||||
Increase in dividend and interest receivable | (4,343 | ) | (16,336 | ) | ||||
Increase/(decrease) in receivable from investment advisor | (12,095 | ) | — | |||||
Increase in prepaid expenses and other assets | (857 | ) | (1,042 | ) | ||||
Increase/(decrease) in payable for investments purchased | (1,922,536 | ) | (1,830,961 | ) | ||||
Increase/(decrease) in use of cash collateral from securities lending | 44,230 | 58,677 | ||||||
Increase in dividends and fees payable for securities sold short | 1,225 | 8,610 | ||||||
Increase/(decrease) in payable for investment advisor | — | 3,843 | ||||||
Increase/(decrease) in accrued expense payable | 45,495 | 40,557 | ||||||
|
|
|
| |||||
Net cash provided by (used in) operating activities | (2,031,678 | ) | (7,052,704 | ) | ||||
|
|
|
| |||||
Proceeds from shares sold | 2,000,000 | 7,411,674 | ||||||
Payment of shares redeemed | — | (310,848 | ) | |||||
Dividends and Distributions to Shareholders | — | |||||||
Increase in due to custodian | 31,678 | — | ||||||
|
|
|
| |||||
Net cash provided by (used in) financing activities | 2,031,678 | 7,100,826 | ||||||
|
|
|
| |||||
Net increase in cash | — | 48,122 | ||||||
Cash at beginning of period | — | — | ||||||
|
|
|
| |||||
Cash at end of period | $ | — | $ | 48,122 | ||||
|
|
|
| |||||
Supplemental disclosure of cash flow information: | ||||||||
Cash paid during the period for financing charges | $ | 17,079 | $ | 34,484 |
* | The Fund commenced operations on April 28, 2017. |
The accompanying notes are an integral part of the financial statements.
258
GOTHAM FUNDS
Statements of Cash Flow (Concluded)
Gotham Total Return Fund | Gotham Master Long Fund | Gotham Master Neutral Fund | ||||||||||
For the Year Ended September 30, 2017 | For the Year Ended September 30, 2017* | For the Period Ended September 30, 2017* | ||||||||||
$ | 1,867,102 | $ | 63,013 | $ | 24,923 | |||||||
(12,448,728 | ) | (1,041,329 | ) | (5,798,801 | ) | |||||||
3,938,039 | — | 2,274,329 | ||||||||||
— | — | (1,809,785 | ) | |||||||||
— | — | 2,719,659 | ||||||||||
(33,486 | ) | — | (17,622 | ) | ||||||||
(1,821,128 | ) | (63,007 | ) | (2,965 | ) | |||||||
— | — | (889 | ) | |||||||||
— | — | — | ||||||||||
— | — | (883,585 | ) | |||||||||
— | — | (67,251 | ) | |||||||||
— | — | — | ||||||||||
— | — | (2,371 | ) | |||||||||
11,680 | — | (1,981 | ) | |||||||||
(2,084 | ) | (1,513 | ) | (1,508 | ) | |||||||
— | — | 695,951 | ||||||||||
— | — | — | ||||||||||
— | — | — | ||||||||||
— | 2,478 | — | ||||||||||
(12,362 | ) | 36,532 | 43,748 | |||||||||
|
|
|
|
|
| |||||||
(8,500,967 | ) | (1,003,826 | ) | (2,828,148 | ) | |||||||
|
|
|
|
|
| |||||||
8,866,330 | 1,046,575 | 3,000,000 | ||||||||||
(254,100 | ) | — | — | |||||||||
(2,039 | ) | — | — | |||||||||
— | — | — | ||||||||||
|
|
|
|
|
| |||||||
8,610,191 | 1,046,575 | 3,000,000 | ||||||||||
|
|
|
|
|
| |||||||
109,224 | 42,749 | 171,852 | ||||||||||
26,748 | — | — | ||||||||||
|
|
|
|
|
| |||||||
$ | 135,972 | $ | 42,749 | $ | 171,852 | |||||||
|
|
|
|
|
| |||||||
$ | — | $ | — | $ | (3,716 | ) |
The accompanying notes are an integral part of the financial statements.
259
GOTHAM FUNDS
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 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 | Return of Capital | ||||||||||||||||||||||
Gotham Absolute Return Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 12.70 | $ | (0.12 | ) | $ | 1.36 | $ | 1.24 | $ | — | $ | — | $ | — | |||||||||||||
10/01/2015-09/30/2016 | 12.48 | (0.07 | ) | 0.46 | 0.39 | — | (0.17 | ) | — | |||||||||||||||||||
05/01/2015-09/30/2015* | 13.54 | (0.06 | ) | (1.00 | ) | (1.06 | ) | — | — | — | ||||||||||||||||||
05/01/2014-04/30/2015 | 13.45 | (0.10 | ) | 0.43 | 0.33 | — | (0.24 | ) | — | |||||||||||||||||||
05/01/2013-04/30/2014 | 11.40 | (0.16 | ) | 2.77 | 2.61 | — | (0.56 | ) | — | |||||||||||||||||||
08/31/2012**-04/30/2013 | 10.00 | (0.08 | ) | 1.53 | 1.45 | (0.01 | ) | (0.05 | ) | — | ||||||||||||||||||
Gotham Absolute 500 Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 10.21 | $ | (0.02 | ) | $ | 1.31 | $ | 1.29 | $ | — | $ | — | $ | — | |||||||||||||
10/01/2015-09/30/2016 | 9.80 | (0.02 | ) | 0.77 | 0.75 | — | (0.16 | ) | (0.19 | ) | ||||||||||||||||||
05/01/2015-09/30/2015* | 10.47 | (0.03 | ) | (0.64 | ) | (0.67 | ) | — | — | — | ||||||||||||||||||
07/31/2014**-04/30/2015 | 10.00 | (0.09 | ) | 0.78 | 0.69 | — | (0.23 | ) | — | |||||||||||||||||||
Gotham Absolute 500 Core Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 10.00 | $ | 0.03 | $ | 1.16 | $ | 1.19 | $ | — | $ | — | $ | — | ||||||||||||||
09/30/2016***-09/30/2016 | 10.00 | — | (0.00 | )(5) | (0.00 | )(5) | — | — | — |
* | The Fund changed its fiscal year end from April 30 to September 30. |
** | Commencement of operations. |
*** | Commencement of operations. Initial seed capital was issued at $10.00 per share on September 30, 2016. (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) | Expense ratio includes dividend and interest expense related to securities sold short. Excluding such dividend and interest expense, the ratio of expenses to average net assets for the Gotham Absolute Return Fund would be 2.15%, 2.20%, 2.15%, 2.15%, 2.20% and 2.25%, for the years ended September 30, 2017 and 2016, the period ended September 30, 2015, the years ended April 30, 2015 and 2014 and the period ended April 30, 2013, respectively; for the Gotham Absolute 500 Fund, they would be 1.50%, 1.84%, 2.25% and 2.25% for the years ended September 30, 2017 and 2016, and the periods ended September 30, 2015, and April 30, 2015, respectively; and for the Gotham Absolute 500 Core Fund, it would be 1.15% for the year ended September 30, 2017. |
(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 shown (See Note 2). |
(5) | Amount is less than $0.005 per share. |
(6) | Annualized. |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
260
GOTHAM FUNDS
Financial Highlights (Continued)
Total Distributions | Redemption Fees | Net Asset Value, End of Year/Period | Total Return(2) | Net Assets, End of Year/Period (000s) | Ratio of Expenses to Average Net Assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | Ratio of Expenses to Average Net Assets without waivers, expense reimbursements, and recoupments if any(3)(4) | Ratio of Net Investment Income (Loss) to Average Net Assets (including dividend and interest expense) | Portfolio Turnover Rate | ||||||||||||||||||||||||||
$ | — | $ | 0.00 | (5) | $ | 13.94 | 9.76 | % | $ | 884,205 | 2.81 | % | 2.95 | % | (0.88 | )% | 238.43 | % | ||||||||||||||||
(0.17 | ) | 0.00 | (5) | 12.70 | 3.14 | % | 982,987 | 3.09 | % | 3.09 | % | (0.56 | )% | 272.37 | % | |||||||||||||||||||
— | 0.00 | (5) | 12.48 | (7.83 | )% | 2,566,098 | 2.95 | %(6) | 2.95 | %(6) | (1.03 | )%(6) | 134.07 | %(7) | ||||||||||||||||||||
(0.24 | ) | 0.00 | (5) | 13.54 | 2.44 | % | 3,657,763 | 2.81 | % | 2.81 | % | (0.75 | )% | 336.09 | % | |||||||||||||||||||
(0.56 | ) | 0.00 | (5) | 13.45 | 23.21 | % | 1,550,210 | 2.98 | % | 2.96 | % | (1.23 | )% | 399.16 | % | |||||||||||||||||||
(0.06 | ) | 0.01 | 11.40 | 14.67 | % | 53,680 | 3.24 | %(6) | 4.18 | %(6) | (1.13 | )%(6) | 279.84 | %(7) | ||||||||||||||||||||
$ | — | $ | — | $ | 11.50 | 12.63 | % | $ | 12,004 | 3.20 | % | 3.78 | % | (0.20 | )% | 203.65 | % | |||||||||||||||||
(0.35 | ) | 0.01 | 10.21 | 7.88 | % | 13,446 | 3.80 | % | 4.00 | % | (0.19 | )% | 251.62 | % | ||||||||||||||||||||
— | — | 9.80 | (6.40 | )% | 15,801 | 4.22 | %(6) | 4.75 | %(6) | (0.69 | )%(6) | 126.07 | %(7) | |||||||||||||||||||||
(0.23 | ) | 0.01 | 10.47 | 6.98 | % | 10,583 | 4.13 | %(6) | 5.92 | %(6) | (1.15 | )%(6) | 327.45 | %(7) | ||||||||||||||||||||
$ | — | $ | — | $ | 11.19 | 11.90 | % | $ | 2,239 | 2.15 | % | 5.33 | % | 0.25 | % | 244.96 | % | |||||||||||||||||
— | — | 10.00 | 0.00 | % | 1,999 | — | — | — | — |
The accompanying notes are an integral part of the financial statements.
261
GOTHAM FUNDS
Financial Highlights (Continued)
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 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 Enhanced Return Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 11.79 | $ | (0.07 | ) | $ | 1.96 | $ | 1.89 | $ | — | $ | — | $ | — | |||||||||||||
10/01/2015-09/30/2016 | 11.10 | 0.02 | 0.87 | 0.89 | — | (0.20 | ) | (0.20 | ) | |||||||||||||||||||
05/01/2015-09/30/2015* | 12.38 | (0.03 | ) | (1.25 | ) | (1.28 | ) | — | — | — | ||||||||||||||||||
05/01/2014-04/30/2015 | 12.39 | (0.04 | ) | 0.97 | 0.93 | — | (0.94 | ) | (0.94 | ) | ||||||||||||||||||
05/31/2013**-04/30/2014 | 10.00 | (0.07 | ) | 2.96 | 2.89 | — | (0.50 | ) | (0.50 | ) | ||||||||||||||||||
Gotham Enhanced 500 Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 10.22 | $ | 0.02 | $ | 1.99 | $ | 2.01 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | ||||||||||||
10/01/2015-09/30/2016 | 8.99 | 0.03 | 1.26 | 1.29 | (0.01 | ) | (0.05 | ) | (0.06 | ) | ||||||||||||||||||
12/31/2014**-09/30/2015 | 10.00 | (0.02 | ) | (0.99 | ) | (1.01 | ) | — | — | — | ||||||||||||||||||
Gotham Enhanced 500 Core Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 9.99 | $ | 0.09 | $ | 1.78 | $ | 1.87 | $ | — | $ | — | $ | — | ||||||||||||||
09/30/2016***-09/30/2016 | 10.00 | — | (0.01 | ) | (0.01 | ) | — | — | — |
* | The Fund changed its fiscal year end from April 30 to September 30. |
** | Commencement of operations. |
*** | Commencement of operations. Initial seed capital was issued at $10.00 per share on September 30, 2016. |
(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) | Expense ratio includes dividend and interest expense related to securities sold short. Excluding such dividend and interest expense, the ratio of expenses to average net assets for the Gotham Enhanced Return Fund would be 2.15%, 2.15%, 2.14%, 2.16% and 2.25% for years ended September 30, 2017 and 2016, the period ended September 30, 2015, the year ended April 30, 2015 and the period ended April 30, 2014, respectively; for the Gotham Enhanced 500 Fund, they would be 1.50%, 1.77% and 2.25% for the years ended September 30, 2017 and 2016 and the period ended September 30, 2015, respectively; and for the Gotham Enhanced 500 Core Fund, they would be 1.15% for the year ended September 30, 2017. |
(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 shown (See Note 2). |
(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 merger on February 7, 2014. If these transactions were included, portfolio turnover would have been higher. |
(9) | The performance data includes adjustments in accordance with accounting principles generally accepted in the United States of America and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
The accompanying notes are an integral part of the financial statements.
262
GOTHAM FUNDS
Financial Highlights (Continued)
Redemption Fees | Net Asset Value, End of Year/Period | Total Return(2) | Net Assets, End of Year/Period (000s) | Ratio of Expenses to Average Net Assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | Ratio of Expenses to Average Net Assets with waivers, reimbursements, and recoupments (excluding dividend and interest expense)(3)(4) | Ratio of Net Investment Income to Average Net Assets without waivers, expense reimbursements, and recoupments if any | Portfolio Turnover Rate | |||||||||||||||||||||||
$ | 0.00 | (5) | $ | 13.68 | 16.03 | % | $ | 897,371 | 3.55 | % | 3.56 | % | (0.51 | )% | 195.60 | % | ||||||||||||||
0.00 | (5) | 11.79 | 8.18 | % | 950,202 | 3.58 | % | 3.58 | % | 0.16 | % | 247.97 | % | |||||||||||||||||
0.00 | (5) | 11.10 | (10.34 | )% | 1,126,264 | 3.36 | %(6) | 3.36 | %(6) | (0.66 | )%(6) | 85.25 | %(7) | |||||||||||||||||
0.00 | (5) | 12.38 | 7.34 | % | 1,558,078 | 3.23 | % | 3.23 | % | (0.31 | )% | 274.67 | % | |||||||||||||||||
0.00 | (5) | 12.39 | 29.36 | % | 802,917 | 3.54 | %(6) | 3.54 | %(6) | (0.63 | )%(6) | 364.77 | %(7)(8) | |||||||||||||||||
$ | — | $ | 12.20 | 19.73 | % | $ | 24,453 | 3.83 | % | 4.18 | % | 0.17 | % | 192.91 | % | |||||||||||||||
0.00 | (5) | 10.22 | 14.43 | %(9) | 19,865 | 4.09 | % | 4.69 | % | 0.29 | % | 219.41 | % | |||||||||||||||||
— | 8.99 | (10.10 | )% | 6,067 | 4.40 | %(6) | 5.54 | %(6) | (0.24 | )%(6) | 355.33 | %(7) | ||||||||||||||||||
$ | — | $ | 11.86 | 18.60 | % | $ | 2,399 | 2.21 | % | 5.28 | % | 0.83 | % | 237.06 | % | |||||||||||||||
— | 9.99 | (0.10 | )% | 1,999 | — | — | — | — |
The accompanying notes are an integral part of the financial statements.
263
GOTHAM FUNDS
Financial Highlights (Continued)
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 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 Neutral Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 9.91 | $ | (0.13 | ) | $ | 0.45 | $ | 0.32 | $ | — | $ | — | $ | — | |||||||||||||
10/01/2015-09/30/2016 | 9.99 | (0.10 | ) | 0.08 | (0.02 | ) | — | (0.06 | ) | (0.06 | ) | |||||||||||||||||
05/01/2015-09/30/2015* | 10.42 | (0.06 | ) | (0.37 | ) | (0.43 | ) | — | — | — | ||||||||||||||||||
05/01/2014-04/30/2015 | 11.21 | (0.12 | ) | (0.43 | ) | (0.55 | ) | — | (0.24 | ) | (0.24 | ) | ||||||||||||||||
08/30/2013**-04/30/2014 | 10.00 | (0.12 | ) | 1.37 | 1.25 | — | (0.04 | ) | (0.04 | ) | ||||||||||||||||||
Gotham Neutral 500 Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016***-09/30/2017 | $ | 10.00 | $ | (0.07 | ) | $ | 0.84 | $ | 0.77 | $ | — | $ | — | $ | — | |||||||||||||
Gotham Short Strategies Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
07/31/2017****-09/30/2017 | $ | 10.00 | $ | 0.02 | $ | 0.05 | $ | 0.07 | $ | — | $ | — | $ | — | ||||||||||||||
Gotham Index Plus Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 10.59 | $ | 0.06 | $ | 2.41 | $ | 2.47 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | ||||||||||||
10/01/2015-09/30/2016 | 9.28 | 0.07 | 1.42 | 1.49 | (0.07 | ) | (0.11 | ) | (0.18 | ) | ||||||||||||||||||
03/31/2015*****-09/30/2015 | 10.00 | 0.03 | (0.75 | ) | (0.72 | ) | — | — | — |
* | The Fund changed its fiscal year end from April 30 to September 30. |
** | Commencement of operations. |
*** | Commencement of operations. Initial seed capital was issued at $10.00 per share on September 30, 2016. |
**** | Commencement of operations. Initial seed capital was issued at $10.00 per share on July 31, 2017. |
***** | Commencement of operations. Initial seed capital was issued at $10.00 per share on March 31, 2015. |
(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) | Expense ratio includes dividend and interest expense related to securities sold short. Excluding such dividend and interest expense, the ratio of expenses to average net assets for the Gotham Neutral Fund would be 2.15%, 2.16%, 2.16%, 2.18% and 2.25% for the years ended September 30, 2017 and 2016, the period ended September 30, 2015, the year ended April 30, 2015 and the period ended April 30, 2014, respectively; for the Gotham Neutral 500 Fund, it would be 1.50% for the year ended September 30, 2017; and for the Gotham Index Plus Fund, they would be 1.15%, 1.18% and 1.50% for the years ended September 30, 2017 and 2016 and the period ended September 30, 2015, respectively. |
(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 shown (See Note 2). |
(5) | Amount is less than $0.005 per share. |
(6) | Annualized. |
(7) | Not annualized. |
(8) | Portfolio turnover rate excludes securities received from processing a subscription due to a reorganization (See Note 1). |
The accompanying notes are an integral part of the financial statements.
264
GOTHAM FUNDS
Financial Highlights (Continued)
Redemption Fees | Net Asset Value, End of Year/Period | Total Return(2) | Net Assets, End of Year/Period (000s) | Ratio of Expenses to Average Net Assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | Ratio of Expenses to Average Net Assets without waivers, expense reimbursements, and recoupments if any(3)(4) | Ratio of Net Investment Income (Loss) to Average Net Assets (including dividend and interest expense) | Portfolio Turnover Rate | |||||||||||||||||||||||
$ | 0.00 | (5) | $ | 10.23 | 3.23 | % | $ | 669,540 | 3.10 | % | 3.14 | % | (1.31 | )% | 261.31 | % | ||||||||||||||
0.00 | (5) | 9.91 | (0.16 | )% | 783,024 | 3.56 | % | 3.56 | % | (1.02 | )% | 303.46 | % | |||||||||||||||||
0.00 | (5) | 9.99 | (4.13 | )% | 755,707 | 3.38 | %(6) | 3.38 | %(6) | (1.38 | )%(6) | 141.02 | %(7) | |||||||||||||||||
0.00 | (5) | 10.42 | (5.00 | )% | 932,434 | 3.20 | % | 3.19 | % | (1.11 | )% | 377.72 | % | |||||||||||||||||
0.00 | (5) | 11.21 | 12.50 | % | 228,472 | 3.43 | %(6) | 3.57 | %(6) | (1.64 | )%(6) | 191.65 | %(7) | |||||||||||||||||
$ | — | $ | 10.77 | 7.70 | % | $ | 3,593 | 3.24 | % | 6.02 | % | (0.64 | )% | 201.65 | % | |||||||||||||||
$ | — | $ | 10.07 | 0.70 | % | $ | 18,328 | 1.35 | %(6) | 3.06 | %(6) | 1.19 | %(6) | 165.16 | %(7)(8) | |||||||||||||||
$ | 0.00 | (5) | $ | 13.00 | 23.25 | % | $ | 199,796 | 3.61 | % | 3.62 | % | 0.46 | % | 204.07 | % | ||||||||||||||
0.00 | (5) | 10.59 | 16.14 | % | 44,190 | 3.41 | % | 3.80 | % | 0.72 | % | 234.14 | % | |||||||||||||||||
— | 9.28 | (7.20 | )% | 7,669 | 3.63 | %(6) | 4.75 | %(6) | 0.62 | %(6) | 94.47 | %(7) |
The accompanying notes are an integral part of the financial statements.
265
GOTHAM FUNDS
Financial Highlights (Continued)
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 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 Index Core Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 9.99 | $ | 0.12 | $ | 2.01 | $ | 2.13 | $ | — | $ | — | $ | — | ||||||||||||||
09/30/2016*-09/30/2016 | 10.00 | — | (0.01 | ) | (0.01 | ) | — | — | — | |||||||||||||||||||
Gotham Hedged Plus Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 10.08 | $ | 0.01 | $ | 1.49 | $ | 1.50 | $ | (0.11 | ) | $ | (0.04 | ) | $ | (0.15 | ) | |||||||||||
03/31/2016**-09/30/2016 | 10.00 | 0.00 | (5) | 0.08 | 0.08 | — | — | — | ||||||||||||||||||||
Gotham Hedged Core Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 10.00 | $ | 0.07 | $ | 1.27 | $ | 1.34 | $ | — | $ | — | $ | — | ||||||||||||||
09/30/2016*-09/30/2016 | 10.00 | — | (0.00 | )(5) | (0.00 | )(5) | — | — | — | |||||||||||||||||||
Gotham Institutional Value Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 10.87 | $ | 0.14 | $ | 1.71 | $ | 1.85 | $ | (0.26 | ) | $ | — | $ | (0.26 | ) | ||||||||||||
12/31/2015***-09/30/2016 | 10.00 | 0.11 | 0.76 | 0.87 | — | — | — | |||||||||||||||||||||
Gotham Enhanced S&P 500 Index Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
12/30/2016****-09/30/2017 | $ | 10.00 | $ | 0.13 | $ | 1.40 | $ | 1.53 | $ | — | $ | — | $ | — |
* | Commencement of operations. Initial seed capital was issued at $10.00 per share on September 30, 2016. |
** | Commencement of operations. Initial seed capital was issued at $10.00 per share on March 31, 2016. |
*** | Commencement of operations. Initial seed capital was issued at $10.00 per share on December 31, 2015. |
**** | Commencement of operations. Initial seed capital was issued at $10.00 per share on December 30, 2016. |
(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) | Expense ratio includes dividend and interest expense related to securities sold short. Excluding such dividend and interest expense, the ratio of expenses to average net assets for the Gotham Index Core Fund would be 0.85% for the year ended September 30, 2017; for the Gotham Hedged Plus Fund, it would be 1.15% and 1.15% for the year ended September 30, 2017 and the period ended September 30, 2016, respectively; and for the Gotham Hedged Core Fund, it would be 0.85% for the year ended September 30, 2017. |
(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 shown (See Note 2). |
(5) | Amount is less than $0.005 per share. |
(6) | Annualized. |
(7) | Amount is less than 0.005%. |
(8) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
266
GOTHAM FUNDS
Financial Highlights (Continued)
Redemption Fees | Net Asset Value, End of Year/Period | Total Return(2) | Net Assets, End of Year/Period (000s) | Ratio of Expenses to Average Net Assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | Ratio of Expenses to Average Net Assets without waivers, expense reimbursements, and recoupments if any(3)(4) | Ratio of Net Investment Income (Loss) to Average Net Assets (including dividend and interest expense) | Portfolio Turnover Rate | |||||||||||||||||||||||
$ | — | $ | 12.12 | 21.20 | % | $ | 2,450 | 1.91 | % | 5.23 | % | 1.08 | % | 231.97 | % | |||||||||||||||
— | 9.99 | (0.10 | )% | 1,999 | — | — | — | — | ||||||||||||||||||||||
$ | — | $ | 11.43 | 15.01 | % | $ | 2,319 | 3.10 | % | 8.46 | % | 0.09 | % | 182.53 | % | |||||||||||||||
— | 10.08 | 0.80 | % | 2,015 | 3.13 | %(6) | 8.17 | %(6) | 0.00 | %(6)(7) | 151.89 | %(8) | ||||||||||||||||||
$ | — | $ | 11.34 | 13.40 | % | $ | 2,267 | 1.40 | % | 4.91 | % | 0.66 | % | 248.96 | % | |||||||||||||||
— | 10.00 | 0.00 | % | 1,999 | — | — | — | — | ||||||||||||||||||||||
$ | — | $ | 12.46 | 17.31 | % | $ | 2,627 | 0.95 | % | 4.40 | % | 1.19 | % | 168.54 | % | |||||||||||||||
— | 10.87 | 8.70 | % | 2,236 | 0.95 | %(6) | 4.90 | %(6) | 1.41 | %(6) | 243.77 | %(8) | ||||||||||||||||||
$ | — | $ | 11.53 | 15.30 | % | $ | 2,931 | 0.50 | %(6) | 3.61 | %(6) | 1.66 | %(6) | 268.10 | %(8) |
The accompanying notes are an integral part of the financial statements.
267
GOTHAM FUNDS
Financial Highlights (Continued)
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 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 Defensive Long Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 9.99 | $ | (0.03 | ) | $ | 0.91 | $ | 0.88 | $ | — | $ | — | $ | — | |||||||||||||
09/30/2016*-09/30/2016 | 10.00 | — | (0.01 | ) | (0.01 | ) | — | — | — | |||||||||||||||||||
Gotham Defensive Long 500 Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 9.99 | $ | 0.04 | $ | 1.68 | $ | 1.72 | $ | — | $ | — | $ | — | ||||||||||||||
09/30/2016*-09/30/2016 | 10.00 | — | (0.01 | ) | (0.01 | ) | — | — | — | |||||||||||||||||||
Gotham Total Return Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
10/01/2016-09/30/2017 | $ | 10.02 | $ | 0.01 | $ | 1.58 | $ | 1.59 | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | ||||||||||||
10/01/2015-09/30/2016 | 9.33 | 0.17 | 0.72 | 0.89 | (0.18 | ) | (0.02 | ) | (0.20 | ) | ||||||||||||||||||
03/31/2015**-09/30/2015 | 10.00 | (0.01 | ) | (0.66 | ) | (0.67 | ) | — | — | — | ||||||||||||||||||
Gotham Master Long Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
04/28/2017***-09/30/2017 | $ | 10.00 | $ | 0.00 | (6) | $ | 0.60 | $ | 0.60 | $ | — | $ | — | $ | — | |||||||||||||
Gotham Master Neutral Fund | ||||||||||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||||||||||
04/28/2017***-09/30/2017 | $ | 10.00 | $ | 0.01 | $ | 0.07 | $ | 0.08 | $ | — | $ | — | $ | — |
* | Commencement of operations. Initial seed capital was issued at $10.00 per share on September 30, 2016. |
** | Commencement of operations. Initial seed capital was issued at $10.00 per share on March 31, 2015. |
*** | Commencement of operations. Initial seed capital was issued at $10.00 per share on April 28, 2017. |
(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) | Expense ratio includes dividend and interest expense related to securities sold short. Excluding such dividend and interest expense, the ratio of expenses to average net assets for the Gotham Defensive Long Fund would be 2.15% for the year ended September 30, 2017; for the Gotham Defensive Long 500 Fund, it would be 1.50% for the year ended September 30, 2017; and for the Gotham Master Neutral Fund, it would be 0.31% for the period ended September 30, 2017. |
(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 shown (See Note 2). |
(5) | The Gotham Total Return Fund, Gotham Master Long Fund and Gotham Master Neutral 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. |
(6) | Amount is less than $0.005 per share. |
(7) | Annualized. |
(8) | Not annualized. |
(9) | Amount is less than 0.005%. |
The accompanying notes are an integral part of the financial statements.
268
GOTHAM FUNDS
Financial Highlights (Concluded)
Redemption Fees | Net Asset Value, End of Year/Period | Total Return(2) | Net Assets, End of Year/Period (000s) | Ratio of Expenses to Average Net Assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | Ratio of Expenses to Average Net Assets without waivers, expense reimbursements, and recoupments if any(3)(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets (including dividend and interest expense) | Portfolio Turnover Rate | |||||||||||||||||||||||
$ | — | $ | 10.87 | 8.70 | % | $ | 2,174 | 3.62 | % | 8.27 | % | (0.27 | )% | 262.95 | % | |||||||||||||||
— | 9.99 | (0.10 | )% | 1,999 | — | — | — | — | ||||||||||||||||||||||
$ | — | $ | 11.71 | 17.10 | % | $ | 7,940 | 3.80 | % | 5.01 | % | 0.39 | % | 259.21 | % | |||||||||||||||
— | 9.99 | (0.10 | )% | 1,999 | — | — | — | — | ||||||||||||||||||||||
$ | — | $ | 11.60 | 15.82 | % | $ | 18,539 | 0.02 | % | 0.74 | % | 0.09 | % | 27.24 | % | |||||||||||||||
— | 10.02 | 9.65 | % | 8,062 | 0.17 | % | 1.55 | % | 1.78 | % | 5.85 | % | ||||||||||||||||||
0.00 | (6) | 9.33 | (6.70 | )% | 7,010 | 0.18 | %(7) | 1.57 | %(7) | (0.18 | )%(7) | 42.30 | %(8) | |||||||||||||||||
$ | — | $ | 10.60 | 6.00 | % | $ | 1,110 | 0.00 | %(7)(9) | 10.31 | %(7) | 0.00 | %(7)(9) | 0.00 | %(8) | |||||||||||||||
$ | — | $ | 10.08 | 0.80 | % | $ | 4,075 | 0.31 | %(7) | 4.60 | %(7) | 0.35 | %(7) | 96.82 | %(8) |
The accompanying notes are an integral part of the financial statements.
269
GOTHAM FUNDS
Notes to Financial Statements
September 30, 2017
1. Organization and Significant Accounting Policies
The Gotham Absolute Return Fund, the Gotham Absolute 500 Fund, the Gotham Absolute 500 Core Fund, the Gotham Enhanced Return Fund, the Gotham Enhanced 500 Fund, the Gotham Enhanced 500 Core Fund, the Gotham Neutral Fund, the Gotham Neutral 500 Fund, the Gotham Short Strategies Fund, the Gotham Index Plus Fund, the Gotham Index Core Fund, the Gotham Hedged Plus Fund, the Gotham Hedged Core Fund, the Gotham Institutional Value Fund, the Gotham Enhanced S&P 500 Index Fund, the Gotham Defensive Long Fund, the Gotham Defensive Long 500 Fund, the Gotham Total Return Fund, the Gotham Master Long Fund and the Gotham Master 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 Fund’s commencement of operations are as follows:
Gotham Absolute Return Fund | August 31, 2012 | |
Gotham Absolute 500 Fund | July 31, 2014 | |
Gotham Absolute 500 Core Fund | September 30, 2016 | |
Gotham Enhanced Return Fund | May 31, 2013 | |
Gotham Enhanced 500 Fund | December 31, 2014 | |
Gotham Enhanced 500 Core Fund | September 30, 2016 | |
Gotham Neutral Fund | August 30, 2013 | |
Gotham Neutral 500 Fund | October 01, 2016 | |
Gotham Short Strategies Fund | July 31, 2017 | |
Gotham Index Plus Fund | March 31, 2015 | |
Gotham Index Core Fund | September 30, 2016 | |
Gotham Hedged Plus Fund | March 31, 2016 | |
Gotham Hedged Core Fund | September 30, 2016 | |
Gotham Institutional Value Fund | December 31, 2015 | |
Gotham Enhanced S&P 500 Index Fund | December 30, 2016 | |
Gotham Defensive Long Fund | September 30, 2016 | |
Gotham Defensive Long 500 Fund | September 30, 2016 | |
Gotham Total Return Fund (operates as a “Fund of Funds”) | March 31, 2015 | |
Gotham Master Long Fund (operates as a “Fund of Funds”) | April 28, 2017 | |
Gotham Master Neutral Fund | April 28, 2017 |
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.
All the Funds except for the Gotham Institutional Value Fund, Gotham Enhanced S&P 500 Index Fund, Gotham Total Return Fund, Gotham Master Long Fund and the Gotham Master Neutral Fund seek to achieve their investment objectives by primarily investing in long and short positions of U.S. equity securities. Equity securities include common and preferred stocks. The Gotham Institutional Value Fund seeks to achieve its investment objective by primarily investing in long positions of U.S. equity securities listed in the S&P 500® Index, but may invest in other large capitalization companies, primarily selected from the largest 500-700 U.S. companies based on market capitalization. The Gotham Enhanced S&P 500 Index Fund seeks to achieve its investment objective by generally investing at least 80% of its assets in U.S. equity securities listed in the S&P 500® Index. The Gotham Total Return Fund and Gotham Master Long Fund seek to achieve their investment objectives by primarily investing in the other funds advised by Gotham. The Gotham Master Neutral Fund seeks to achieve
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its investment objective by primarily investing in other funds advised by Gotham, but also in long and short positions of U.S. equity securities.
On July 31, 2017, the Gotham Short Strategies Fund (“GSSFX”), as the result of a reorganization, acquired substantially all of the assets of a privately offered fund (“Predecessor Fund”) managed by Gotham Asset Management, LLC, in exchange for Institutional Class shares of GSSFX. The Predecessor Fund was organized and commenced operations in February, 2008, and had an investment objective, investment policies, and restrictions that were, in all material respects, equivalent to those of GSSFX. The Predecessor Fund was not registered as an investment company under the 1940 Act and was not subject to certain investment limitations, diversification requirements, liquidity requirements imposed by the 1940 Act and the Internal Revenue Code of 1986, as amended (the “Code”). This reorganization transaction was structured to qualify as a non-taxable transaction under the Code. In connection with this reorganization, the Predecessor Fund and GSSFX each valued its respective securities pursuant to the same valuation procedures. For financial statement purposes, assets received and shares issued by GSSFX were recorded at fair value, and GSSFX recorded the cost of such investments at their historical cost as recorded by the Predecessor Fund. The cost basis of the investments received from the Predecessor Fund was carried forward to align ongoing reporting of GSSFX’s unrealized depreciation at the time of reorganization (GSSFX had no assets or liabilities prior to the reorganization) as follows:
Predecessor Fund investments, at value at time of reorganization | Predecessor Fund cost of investments at time of reorganization | Predecessor Fund net assets at time of reorganization | Predecessor Fund unrealized (depreciation) at time of reorganization | Net assets of GSSFX immediately after reorganization | ||||||||||||||||
Gotham Short | $ | 16,037,918 | $ | 16,042,925 | $ | 17,422,918 | $ | (5,007 | ) | $ | 17,422,918 |
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
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. Each Fund’s equity securities, including exchange-traded funds, 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 Board of Trustees (the “Board”). Any assets held by a 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 a Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when a 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 a Fund. Certain Funds invest in securities of other investment companies, which are valued at their respective NAVs as determined by those investment companies each business day. Over the Counter (“OTC”) investments (including swap agreements) are generally valued by approved pricing services that use evaluated prices from various observable market factors. Securities that do not have a readily available current market value are valued in good faith under the direction of the Board. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to Gotham Asset Management, LLC (“Gotham” or “the Adviser”) the responsibility for applying the valuation methods. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security, asset or liability will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations.
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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, except for the following: a common stock security with end of period value of $110,707, $666,097 and $751,360 held by Gotham Absolute Return Fund, Gotham Enhanced Return Fund and Gotham Neutral Fund, respectively; a corporate debt security with end of period value of $809 and $736 held by Gotham Absolute Return Fund and Gotham Neutral Fund, respectively; a U.S. Treasury Obligation with the end of period value of $198,650 held by Gotham Master Neutral Fund; and total return swap with an unrealized depreciation of $(432,515) held by Gotham Short Strategies Fund. These securities are considered Level 2 as of and for the period ended September 30, 2017.
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 September 30, 2017, there were no transfers between Levels 1, 2 and 3 for the Funds.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes
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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.
Deferred Offering Costs — Offering costs, including costs of printing initial prospectus and legal fees, are amortized over twelve months from inception of the Funds.
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 continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Code, 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.
Recent Accounting Pronouncement — On August 1, 2017, the Funds implemented amendments to Regulation S-X, issued by the Securities and Exchange Commission, which require standardized, enhanced disclosures, particularly related to derivatives, in investment company financial statements. Adoption had no effect on the Funds’ net assets or results of operations.
Short Sales — Certain Funds may sell securities short. A short sale involves the sale by a Fund of a security that it does not own with the anticipation 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 Fund 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 Fund. There can be no assurance that a Fund 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 Securities and Exchange Commission and other applicable regulatory bodies with respect to coverage of short sales.
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As of September 30, 2017, the following Funds had securities sold short, securities pledged as collateral and deposits with brokers for securities sold short:
Value of Securities Sold Short | Securities Pledged as Collateral | Deposits with Brokers for Securities Sold Short | |||||||||||||
Gotham Absolute Return Fund | $531,322,842 | $609,637,036 | $500,491,618 | ||||||||||||
Gotham Absolute 500 Fund | 9,975,977 | 11,711,306 | 5,761,220 | ||||||||||||
Gotham Absolute 500 Core Fund | 1,143,038 | 1,868,910 | 549,950 | ||||||||||||
Gotham Enhanced Return Fund | 660,160,600 | 694,812,019 | 296,149,848 | ||||||||||||
Gotham Enhanced 500 Fund | 21,159,209 | 30,371,729 | 2,732,584 | ||||||||||||
Gotham Enhanced 500 Core Fund | 967,433 | 1,973,597 | 44,570 | ||||||||||||
Gotham Neutral Fund | 644,824,123 | 654,255,365 | 541,174,220 | ||||||||||||
Gotham Neutral 500 Fund | 3,145,831 | 3,412,643 | 2,338,534 | ||||||||||||
Gotham Index Plus Fund | 175,855,887 | 232,295,771 | 24,540,320 | ||||||||||||
Gotham Index Core Fund | 987,064 | 2,260,239 | 35,357 | ||||||||||||
Gotham Hedged Plus Fund | 1,986,020 | 2,633,853 | 568,248 | ||||||||||||
Gotham Hedged Core Fund | 786,952 | 1,450,231 | 626,056 | ||||||||||||
Gotham Defensive Long Fund | 1,647,582 | 2,982,024 | 63,881 | ||||||||||||
Gotham Defensive Long 500 Fund | 6,814,614 | 11,187,090 | 28,580 | ||||||||||||
Gotham Master Neutral Fund | 947,654 | 1,031,038 | 883,585 |
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. These amounts are included in dividends and fees on securities sold short on the Statement of Operations. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund. The following Funds had net charges as shown in the table below for the period ended September 30, 2017:
Rebate (Income)/Fees | |||||
Gotham Absolute Return Fund | $ | (454,796 | ) | ||
Gotham Absolute 500 Fund | (49,431 | ) | |||
Gotham Absolute 500 Core Fund | (5,307 | ) | |||
Gotham Enhanced Return Fund | (672,104 | ) | |||
Gotham Enhanced 500 Fund | (99,229 | ) | |||
Gotham Enhanced 500 Core Fund | (4,405 | ) | |||
Gotham Neutral Fund | (733,547 | ) | |||
Gotham Neutral 500 Fund | (13,066 | ) | |||
Gotham Index Plus Fund | (729,711 | ) | |||
Gotham Index Core Fund | (4,601 | ) | |||
Gotham Hedged Plus Fund | (9,429 | ) | |||
Gotham Hedged Core Fund | (3,835 | ) | |||
Gotham Defensive Long Fund | (2,033 | ) | |||
Gotham Defensive Long 500 Fund | (28,845 | ) | |||
Gotham Master Neutral Fund | (3,708 | ) |
The following Funds utilized short sales proceeds and incurred financing charges to finance purchases of long securities in order to accomplish the Funds’ respective investment objectives. 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 and are as follows for the period ended September 30, 2017:
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Short Sales Proceeds | Financing Charges | |||||||
Gotham Absolute Return Fund | $ | 33,116,926 | $ | 198,736 | ||||
Gotham Absolute 500 Fund | 4,962,548 | 52,697 | ||||||
Gotham Absolute 500 Core Fund | 585,735 | 6,071 | ||||||
Gotham Enhanced Return Fund | 367,321,460 | 4,467,263 | ||||||
Gotham Enhanced 500 Fund | 18,849,133 | 203,912 | ||||||
Gotham Enhanced 500 Core Fund | 916,360 | 10,596 | ||||||
Gotham Neutral Fund | 106,866,722 | 1,289,816 | ||||||
Gotham Neutral 500 Fund | 790,018 | 7,881 | ||||||
Gotham Index Plus Fund | 143,708,279 | 1,225,690 | ||||||
Gotham Index Core Fund | 929,514 | 11,004 | ||||||
Gotham Hedged Plus Fund | 1,357,846 | 15,120 | ||||||
Gotham Hedged Core Fund | 130,343 | 1,040 | ||||||
Gotham Defensive Long Fund | 1,593,359 | 19,113 | ||||||
Gotham Defensive Long 500 Fund | 6,747,665 | 63,329 | ||||||
Gotham Master Neutral Fund | 56,932 | 8 |
Swaps Agreements — A swap agreement is a bilateral financial instrument that involves the exchange of cash flows between two parties on specified dates (settlement dates), where the cash flows are based on valuation changes to market referenced securities. The nominal amount on which the cash flows are calculated is called the notional amount.
Swap agreements may increase or decrease the overall volatility of the investments of a Fund and its share price. The performance of swap agreements will be affected by a change in the market value of the referenced underlying securities that determine the amounts of payments due to and from a Fund. If a swap agreement calls for payments by a Fund, the Fund must be prepared to make such payments when due. In addition, if the counterparty’s creditworthiness declined, the value of a swap agreement would be likely to decline, potentially resulting in losses.
Generally, swap agreements have a fixed maturity date that will be agreed upon by the parties. The agreement can be terminated before the maturity date, in whole or part, under certain circumstances, such as default by one of the parties or insolvency, among others, and can be transferred by a party only with the prior written consent of the other party. A Fund may be able to eliminate its exposure under a swap agreement either by assignment or by other disposition, or by entering into an offsetting swap agreement with the same party or a similarly creditworthy party. If the counterparty is unable to meet its obligations under the contract, declares bankruptcy, defaults or becomes insolvent, a Fund may not be able to recover the money it expected to receive under the swap agreement. A Fund will not enter into any swap agreement unless the Adviser believes that the counterparty to the transaction is creditworthy.
A swap agreement can be a form of leverage, which can magnify a Fund’s gains or losses. In order to reduce the risk associated with leveraging, a Fund may cover its current obligations under swap agreements according to guidelines established by the SEC. If a Fund enters into a swap agreement on a net basis, it will segregate assets with a daily value at least equal to the excess, if any, of a Fund’s accrued obligations under the swap agreement over the accrued amount a Fund is entitled to receive under the agreement. If a Fund enters into a swap agreement on other than a net basis, it will segregate assets with a value equal to the full amount of a Fund’s accrued obligations under the swap agreement.
Total Return Swaps: Total return swaps are contracts in which both parties agree to make payments of the total return from a reference instrument during a specified period. The total return includes appreciation or depreciation on the underlying asset, plus any interest or dividend payments. The unrealized appreciation or depreciation also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate, such as the U.S.
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September 30, 2017
effective federal funds rate (“EFFR”). Payments under the swap are based upon an agreed upon principal amount but, since the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation or depreciation related to the change in the valuation of the notional amount of the swap is combined with the amount due to the Fund at termination or settlement. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the swap or unfavorable changes occur to the underlying reference instrument). As of September 30, 2017, only the Gotham Short Strategies Fund held a total return swap.
For the period from inception date (July 31, 2017) to September 30, 2017, the average volume of the total return swap was as follows:
Notional Amount Short | |||||
Gotham Short Strategies Fund | $ | (26,676,130 | ) |
Counterparty Risk — Certain of the derivatives entered into by the Fund may not be traded on an exchange but instead will be privately negotiated in the over-the-counter market. This means that these instruments are traded between counterparties based on contractual relationships. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease. In addition, to the extent the Fund deals with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The Fund is neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of the Fund to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Fund.
The Fund is subject to the risk that issuers of the instruments in which it invests and trades may default on their obligations, and that certain events may occur that have an immediate and significant adverse effect on the value of those instruments. There can be no assurance that an issuer will not default, or that an event that has an immediate and significant adverse effect on the value of an instrument will not occur, and that the Fund will not sustain a loss on a transaction as a result.
Liquidity Risks — The Fund may be subject to liquidity risk primarily due to investments in derivatives. The Fund may invest up to 15% of its net assets in illiquid securities or instruments. Certain derivatives, such as swaps, forward contracts and options may not be readily marketable and, therefore, may be deemed to be illiquid. An asset is not readily marketable if it cannot be sold within seven business days in the ordinary course of business for approximately the amount at which it is valued. Investments in illiquid assets involve the risk that the Fund may be unable to sell the asset or sell it at a reasonable price. In addition, the Fund may be required to liquidate positions or close out derivatives on unfavorable terms at a time contrary to the interests of the Fund in order to raise cash to pay redemptions.
An investment in derivatives is also subject to the risk that the Fund may not be able to terminate the derivatives effective on whatever date it chooses, or that the settlement of any early termination may depend on subsequent market movements. As a result, the Fund may be exposed to the risk of additional losses due to such delays.
Master Netting Agreement — In order to define its contractual rights and to secure rights that will help mitigate its counterparty risk, the Fund has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”). An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under
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September 30, 2017
certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements. The result would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements — For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Fund. Any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from its counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.
Gross Amount Not Offset in the Statement of Assets and Liabilities | ||||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments | Collateral Pledged* | Net Amount** | |||||||
Gotham Short Strategies Fund | $(432,515) | $— | $(432,515) | $— | $432,515 | $— |
* | 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. |
** | Net amount represents the net receivable from the counterparty in the event of a default. |
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September 30, 2017
2. Transactions with Related Parties and Other Service Providers
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, each Fund pays the Adviser a fee, which is computed and accrued daily and paid monthly, at an annual rate based on average daily net assets of each Fund as shown in the table below:
Gotham Absolute Return Fund | 2.00 | % | ||
Gotham Absolute 500 Fund | 1.35 | % | ||
Gotham Absolute 500 Core Fund | 1.00 | % | ||
Gotham Enhanced Return Fund | 2.00 | % | ||
Gotham Enhanced 500 Fund | 1.35 | % | ||
Gotham Enhanced 500 Core Fund | 1.00 | % | ||
Gotham Neutral Fund | 2.00 | % | ||
Gotham Neutral 500 Fund | 1.35 | % | ||
Gotham Short Strategies Fund(1) | 1.35 | % | ||
Gotham Index Plus Fund | 1.00 | % | ||
Gotham Index Core Fund | 0.70 | % | ||
Gotham Hedged Plus Fund | 1.00 | % | ||
Gotham Hedged Core Fund | 0.70 | % | ||
Gotham Institutional Value Fund | 0.80 | % | ||
Gotham Enhanced S&P 500 Index Fund(2) | 0.50 | % | ||
Gotham Defensive Long Fund | 2.00 | % | ||
Gotham Defensive Long 500 Fund | 1.35 | % | ||
Gotham Total Return Fund(3) | — | % | ||
Gotham Master Long Fund(3)(4) | — | % | ||
Gotham Master Neutral Fund(3)(4) | 0.30 | % |
(1) | The Fund commenced operations on July 31, 2017. |
(2) | The Fund commenced operations on December 30, 2016. |
(3) | For the Gotham Total Return Fund, Gotham Master Long Fund and the Gotham Master Neutral Fund (individually, the “Fund”, collectively, the “Funds”), Gotham is not entitled to receive an investment advisory fee on assets invested in mutual funds advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), but is entitled to receive an investment advisory fee of 1.00% (prior to May 1, 2017, the investment advisory fee was 2.00%), 0.75% and 0.75%, respectively, of the Gotham Total Return Fund, Gotham Master Long Fund and Gotham Master Neutral Fund’s average net assets invested in investments other than an underlying fund. Gotham does not receive an investment advisory fee from the Funds on assets invested in an underlying fund, but does receive an investment advisory fee from each underlying fund as investment adviser to such funds. The Gotham Total Return Fund and Gotham Master Long Fund do not currently expect to invest in assets other than underlying funds; however, to the extent it does, the Funds will pay an investment advisory fee on such assets. The Gotham Master Neutral Fund initially expects to invest 40% of its assets in securities directly; the Fund will pay an advisory fee on such assets. |
(4) | The Fund commenced operations on April 28, 2017. |
The Adviser 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 (exclusive of taxes, “Acquired Fund” fees and expenses, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions and for the Gotham Total Return Fund, Gotham Master Long Fund and Gotham Master Neutral Fund exclusive of investment advisory fee, if any), do not exceed the percentages set forth in the table below (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until the termination date set forth below, unless the Board approves its earlier termination. The table below reflects the Expense Limitation amounts, as a percentage of average daily net assets, in effect during the period ended September 30, 2017.
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September 30, 2017
Termination Date | ||||||
Gotham Absolute Return Fund | 2.15 | % | August 31, 2019 | |||
Gotham Absolute 500 Fund | 1.50 | % | January 31, 2019 | |||
Gotham Absolute 500 Core Fund | 1.15 | % | January 31, 2020 | |||
Gotham Enhanced Return Fund | 2.15 | % | August 31, 2019 | |||
Gotham Enhanced 500 Fund | 1.50 | % | January 31, 2019 | |||
Gotham Enhanced 500 Core Fund | 1.15 | % | January 31, 2020 | |||
Gotham Neutral Fund | 2.15 | % | August 31, 2019 | |||
Gotham Neutral 500 Fund | 1.50 | % | January 31, 2020 | |||
Gotham Short Strategies Fund(1) | 1.35 | % | July 31, 2020 | |||
Gotham Index Plus Fund | 1.15 | % | January 31, 2019 | |||
Gotham Index Core Fund | 0.85 | % | January 31, 2020 | |||
Gotham Hedged Plus Fund | 1.15 | % | January 31, 2020 | |||
Gotham Hedged Core Fund | 0.85 | % | January 31, 2020 | |||
Gotham Institutional Value Fund | 0.95 | % | January 31, 2019 | |||
Gotham Enhanced S&P 500 Index Fund(2) | 0.50 | % | January 31, 2020 | |||
Gotham Defensive Long Fund | 2.15 | % | January 31, 2020 | |||
Gotham Defensive Long 500 Fund | 1.50 | % | January 31, 2020 | |||
Gotham Total Return Fund(3) | 0.00 | % | January 31, 2019 | |||
Gotham Master Long Fund(4)(5) | 0.00 | % | January 31, 2020 | |||
Gotham Master Neutral Fund(4)(5) | 0.00 | % | January 31, 2020 |
(1) | The Fund commenced operations on July 31, 2017. |
(2) | The Fund commenced operations on December 30, 2016. |
(3) | Prior to January 1, 2017, the Expense Limitation was 0.17%. |
(4) | Per the Expense Limitation agreement for the Fund, the expenses subject to the expense limitation are also exclusive of advisory fees, if any. |
(5) | The Fund commenced operations on April 28, 2017. |
279
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
For the period ended September 30, 2017, investment advisory fees accrued and waivers were as follows:
Gross Advisory Fee | Waiver/ Reimbursements | Net Advisory Fee (Reimbursement) | |||||||||||||
Gotham Absolute Return Fund | $ | 18,635,617 | $ | (1,216,153 | ) | $ | 17,419,464 | ||||||||
Gotham Absolute 500 Fund | 172,577 | (74,474 | ) | 98,103 | |||||||||||
Gotham Absolute 500 Core Fund | 21,055 | (66,947 | ) | (45,892 | ) | ||||||||||
Gotham Enhanced Return Fund | 19,364,684 | (162,171 | ) | 19,202,513 | |||||||||||
Gotham Enhanced 500 Fund | 315,771 | (82,079 | ) | 233,692 | |||||||||||
Gotham Enhanced 500 Core Fund | 21,794 | (66,803 | ) | (45,009 | ) | ||||||||||
Gotham Neutral Fund | 15,171,137 | (326,104 | ) | 14,845,033 | |||||||||||
Gotham Neutral 500 Fund | 33,754 | (69,432 | ) | (35,678 | ) | ||||||||||
Gotham Short Strategies Fund | 40,144 | (50,784 | ) | (10,640 | ) | ||||||||||
Gotham Index Plus Fund | 1,348,212 | (18,635 | ) | 1,329,577 | |||||||||||
Gotham Index Core Fund | 15,465 | (73,429 | ) | (57,964 | ) | ||||||||||
Gotham Hedged Plus Fund | 21,834 | (117,002 | ) | (95,168 | ) | ||||||||||
Gotham Hedged Core Fund | 14,856 | (74,311 | ) | (59,455 | ) | ||||||||||
Gotham Institutional Value Fund | 19,396 | (83,569 | ) | (64,173 | ) | ||||||||||
Gotham Enhanced S&P 500 Index Fund | 9,155 | (56,928 | ) | (47,773 | ) | ||||||||||
Gotham Defensive Long Fund | 41,867 | (97,415 | ) | (55,548 | ) | ||||||||||
Gotham Defensive Long 500 Fund | 76,540 | (68,706 | ) | 7,834 | |||||||||||
Gotham Total Return Fund | — | (105,481 | ) | (105,481 | ) | ||||||||||
Gotham Master Long Fund | — | (45,355 | ) | (45,355 | ) | ||||||||||
Gotham Master Neutral Fund | 3,888 | (52,934 | ) | (49,046 | ) |
For all funds except for the Gotham Short Strategies Fund, Gotham Enhanced S&P 500 Index Fund, Gotham Master Long Fund and Gotham Master Neutral Fund, the Adviser is entitled to recover, subject to approval by the Board, 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. For the Gotham Enhanced S&P 500 Index Fund, Gotham Master Long Fund and Gotham Master Neutral Fund, 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 date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless a Fund’s expenses are below the Expense Limitation amount. Gotham Short Strategies Fund is not entitled to recoup any amounts reduced or reimbursed by the Adviser. As of September 30, 2017, the amount of potential reimbursement from the Funds to the Adviser are as follows:
280
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
Expiration 04/30/2018 | Expiration 09/30/2018 | Expiration 09/30/2019 | Expiration 09/30/2020 | |||||||||||||||||
Gotham Absolute Return Fund | N/A | N/A | N/A | $ | 1,216,153 | |||||||||||||||
Gotham Absolute 500 Fund | $ | 99,209 | $ | 29,092 | $ | 32,059 | 74,474 | |||||||||||||
Gotham Absolute 500 Core Fund | N/A | N/A | N/A | 66,947 | ||||||||||||||||
Gotham Enhanced Return Fund | N/A | N/A | N/A | 162,171 | ||||||||||||||||
Gotham Enhanced 500 Fund | N/A | 48,788 | 76,809 | 82,079 | ||||||||||||||||
Gotham Enhanced 500 Core Fund | N/A | N/A | N/A | 66,803 | ||||||||||||||||
Gotham Neutral Fund | N/A | N/A | N/A | 326,104 | ||||||||||||||||
Gotham Neutral 500 Fund | N/A | N/A | N/A | 69,432 | ||||||||||||||||
Gotham Index Plus Fund | N/A | 37,317 | 89,405 | 18,635 | ||||||||||||||||
Gotham Index Core Fund | N/A | N/A | N/A | 73,429 | ||||||||||||||||
Gotham Hedged Plus Fund | N/A | N/A | 49,689 | 117,002 | ||||||||||||||||
Gotham Hedged Core Fund | N/A | N/A | N/A | 74,311 | ||||||||||||||||
Gotham Institutional Value Fund | N/A | N/A | 59,712 | 83,569 | ||||||||||||||||
Gotham Enhanced S&P 500 Index Fund | N/A | N/A | N/A | 56,928 | ||||||||||||||||
Gotham Defensive Long Fund | N/A | N/A | N/A | 97,415 | ||||||||||||||||
Gotham Defensive Long 500 Fund | N/A | N/A | N/A | 68,706 | ||||||||||||||||
Gotham Total Return Fund | N/A | 36,613 | 107,341 | 23,788 | ||||||||||||||||
Gotham Master Long Fund | N/A | N/A | N/A | — | ||||||||||||||||
Gotham Master Neutral Fund | N/A | N/A | N/A | — |
Other Service Providers
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.
Pershing LLC provides prime brokerage services to the Funds under an Agreement for Prime Brokerage Services.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. The remuneration paid to the Trustees by the Funds during the period ended September 30, 2017 was $255,676. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
Effective June 1, 2016 and July 1, 2016, JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. JWFM is compensated for the services provided to the Trust. Until May 31, 2016 and June 30, 2016 certain employees of BNY Mellon served as Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. They were not compensated by the Trust or the Fund.
281
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
Freeh Group International Solutions, LLC provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer.
Investment in Affiliated Funds
The following tables list each issuer owned by Gotham Total Return Fund, Gotham Master Long Fund and Gotham Master Neutral Fund that may be deemed an “affiliated company” under the 1940 Act, as well as transactions that occurred in the security of such issuers during period ended September 30, 2017:
Gotham Total Return Fund | ||||||||||||||||||||||||||||||||||||||||
Name of Issuer | Value at 9/30/16 | Purchase Cost | Dividend Income | Sales Proceeds | Net Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at 9/30/17 | Shares Held at 9/30/17 | ||||||||||||||||||||||||||||||||
Gotham Absolute 500 Fund | $ | 3,186,686 | $ | 2,428,111 | $ | — | $ | 2,346,324 | $ | 9,041 | $ | 379,960 | $ | 3,657,474 | 318,041 | |||||||||||||||||||||||||
Gotham Defensive Long 500 Fund | — | 5,178,406 | — | 99,758 | 1,707 | 490,455 | 5,570,810 | 475,731 | ||||||||||||||||||||||||||||||||
Gotham Enhanced 500 Fund | 1,809,871 | 1,555,829 | 5,942 | 956,262 | 19,162 | 384,733 | 2,813,333 | 230,601 | ||||||||||||||||||||||||||||||||
Gotham Index Plus Fund | 1,882,353 | 1,826,956 | 10,140 | 497,587 | 4,622 | 546,705 | 3,763,049 | 289,688 | ||||||||||||||||||||||||||||||||
Gotham Neutral Fund | 1,177,956 | 1,459,426 | — | 38,108 | (1,046 | ) | 19,275 | 2,617,503 | 255,865 |
282
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
Gotham Master Long Fund | ||||||||||||||||||||||||||||||||||||||||
Name of | Value at 9/30/16 | Purchase Cost | Dividend Income | Sales Proceeds | Net Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at 9/30/17 | Shares Held at 9/30/17 | ||||||||||||||||||||||||||||||||
Gotham Defensive Long 500 Fund | $ | — | $ | 208,268 | $ | — | $ | — | $ | — | $ | 11,248 | $ | 219,516 | 18,746 | |||||||||||||||||||||||||
Gotham Enhanced 500 Fund | — | 156,199 | — | — | — | 9,220 | 165,419 | 13,559 | ||||||||||||||||||||||||||||||||
Gotham Enhanced Return Fund | — | 156,199 | — | — | — | 4,705 | 160,904 | 11,762 | ||||||||||||||||||||||||||||||||
Gotham Enhanced S&P 500 Index Fund | — | 364,467 | — | — | — | 27,173 | 391,640 | 33,967 | ||||||||||||||||||||||||||||||||
Gotham Index Plus Fund | — | 156,196 | — | — | — | 10,661 | 166,857 | 12,845 |
Gotham Master Neutral Fund | ||||||||||||||||||||||||||||||||||||||||
Name of | Value at 9/30/16 | Purchase Cost | Dividend Income | Sales Proceeds | Net Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at 9/30/17 | Shares Held at 9/30/17 | ||||||||||||||||||||||||||||||||
Gotham Neutral 500 Fund | $ | — | $ | 1,414,502 | $ | — | $ | — | $ | — | $ | 23,864 | $ | 1,438,366 | 133,553 | |||||||||||||||||||||||||
Gotham Neutral Fund | — | 1,012,483 | — | — | — | (11,549 | ) | 1,000,934 | 97,843 |
3. Investment in Securities
For the year ended September 30, 2017 for all funds, (except for Gotham Short Strategies Fund, Gotham Enhanced S&P 500 Index Fund, Gotham Master Long Fund and Gotham Master Neutral Fund) and from the commencement of operations of the Gotham Short Strategies Fund on July 31, 2017, the Gotham Enhanced S&P 500 Index Fund on December 30, 2016, and Gotham Master Long Fund and Gotham Master Neutral Fund on April 28, 2017 through September 30, 2017, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
283
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
Purchases | Sales | |||||||
Gotham Absolute Return Fund | $ | 2,665,522,765 | $ | 2,964,521,144 | ||||
Gotham Absolute 500 Fund | 36,720,082 | 41,646,782 | ||||||
Gotham Absolute 500 Core Fund | 7,718,081 | 5,581,172 | ||||||
Gotham Enhanced Return Fund | 3,249,228,672 | 3,591,843,619 | ||||||
Gotham Enhanced 500 Fund | 85,072,692 | 82,828,837 | ||||||
Gotham Enhanced 500 Core Fund | 8,025,044 | 7,110,780 | ||||||
Gotham Neutral Fund | 2,377,538,938 | 2,659,728,119 | ||||||
Gotham Neutral 500 Fund | 9,178,361 | 5,728,801 | ||||||
Gotham Short Strategies Fund | 20,440,588 | 19,342,925 | ||||||
Gotham Index Plus Fund | 774,855,250 | 521,378,401 | ||||||
Gotham Index Core Fund | 8,022,774 | 7,084,860 | ||||||
Gotham Hedged Plus Fund | 5,879,971 | 5,992,174 | ||||||
Gotham Hedged Core Fund | 5,623,212 | 5,001,743 | ||||||
Gotham Institutional Value Fund | 4,109,622 | 4,072,424 | ||||||
Gotham Enhanced S&P 500 Index Fund | 8,752,700 | 6,130,942 | ||||||
Gotham Defensive Long Fund | 10,767,398 | 9,386,023 | ||||||
Gotham Defensive Long 500 Fund | 38,473,497 | 27,151,804 | ||||||
Gotham Total Return Fund | 12,448,728 | 3,938,039 | ||||||
Gotham Master Long Fund | 1,041,329 | — | ||||||
Gotham Master Neutral Fund | 5,600,900 | 2,274,329 |
For the period ended September 30, 2017 , the Gotham Master Neutral Fund had purchases and sales of U.S. Government securities in the amount of $197,901 and $0, respectively.
4. Capital Share Transactions
For the periods ended September 30, 2017 and September 30, 2016, transactions in capital shares of the Funds (authorized shares unlimited) were as follows:
For the Period Ended September 30, 2017 | For the Period Ended September 30, 2016 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Gotham Absolute Return Fund: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 13,891,185 | $ | 187,082,892 | 28,752,517 | $ | 358,931,969 | ||||||||||
Reinvestments | — | — | 1,281,671 | 15,777,370 | ||||||||||||
Redemption Fees* | — | 2,067 | — | 362,242 | ||||||||||||
Redemptions | (27,893,001 | ) | (373,867,846 | ) | (158,181,691 | ) | (1,974,710,680 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (14,001,816 | ) | $ | (186,782,887 | ) | (128,147,503 | ) | $ | (1,599,639,099 | ) | ||||||
|
|
|
|
|
|
|
|
284
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
For the Period Ended September 30, 2017 | For the Period Ended September 30, 2016 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Gotham Absolute 500 Fund: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 228,505 | $ | 2,473,111 | 779,096 | $ | 7,965,630 | ||||||||||
Reinvestments | — | — | 70,100 | 689,784 | ||||||||||||
Redemption Fees* | — | — | — | 11,561 | ||||||||||||
Redemptions | (500,946 | ) | (5,428,396 | ) | (1,144,239 | ) | (11,343,529 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (272,441 | ) | $ | (2,955,285 | ) | (295,043 | ) | $ | (2,676,554 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Absolute 500 Core Fund:(1) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | — | $ | — | 200,000 | $ | 2,000,000 | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | — | $ | — | 200,000 | $ | 2,000,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Enhanced Return Fund: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 8,414,958 | $ | 107,957,821 | 14,187,433 | $ | 160,146,876 | ||||||||||
Reinvestments | — | — | 1,489,283 | 16,486,359 | ||||||||||||
Redemption Fees* | — | 3,061 | — | 12,274 | ||||||||||||
Redemptions | (23,411,239 | ) | (303,663,101 | ) | (36,527,088 | ) | (408,740,175 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (14,996,281 | ) | $ | (195,702,219 | ) | (20,850,372 | ) | $ | (232,094,666 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Enhanced 500 Fund: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 648,594 | $ | 7,239,119 | 1,286,383 | $ | 12,360,586 | ||||||||||
Reinvestments | 5,728 | 62,726 | 4,502 | 42,497 | ||||||||||||
Redemption Fees* | — | — | — | 330 | ||||||||||||
Redemptions | (593,745 | ) | (6,767,359 | ) | (21,467 | ) | (207,488 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 60,577 | $ | 534,486 | 1,269,418 | $ | 12,195,925 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Enhanced 500 Core Fund:(1) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 2,256 | $ | 25,000 | 200,000 | $ | 2,000,000 | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,256 | $ | 25,000 | 200,000 | $ | 2,000,000 | ||||||||||
|
|
|
|
|
|
|
|
285
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
For the Period Ended September 30, 2017 | For the Period Ended September 30, 2016 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Gotham Neutral Fund: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 27,583,830 | $ | 284,265,770 | 49,086,285 | $ | 488,625,057 | ||||||||||
Reinvestments | — | — | 370,929 | 3,642,528 | ||||||||||||
Redemption Fees* | — | 1,186 | — | 71,028 | ||||||||||||
Redemptions | (41,180,891 | ) | (422,345,772 | ) | (46,032,949 | ) | (458,622,215 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (13,597,061 | ) | $ | (138,078,816 | ) | 3,424,265 | $ | 33,716,398 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Neutral 500 Fund:(2) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 133,553 | $ | 1,414,502 | 200,000 | $ | 2,000,000 | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 133,553 | $ | 1,414,502 | 200,000 | $ | 2,000,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Short Strategies Fund:(3)(4) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 1,820,601 | $ | 18,210,793 | — | $ | — | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,820,601 | $ | 18,210,793 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Index Plus Fund: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 12,320,198 | $ | 146,364,160 | 3,411,887 | $ | 34,596,267 | ||||||||||
Reinvestments | 27,088 | 315,027 | 14,755 | 144,604 | ||||||||||||
Redemption Fees* | — | 2,944 | — | 1,796 | ||||||||||||
Redemptions | (1,146,409 | ) | (13,878,604 | ) | (79,022 | ) | (798,327 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 11,200,877 | $ | 132,803,527 | 3,347,620 | $ | 33,944,340 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Index Core Fund:(1) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 2,238 | $ | 25,000 | 200,000 | $ | 2,000,000 | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,238 | $ | 25,000 | 200,000 | $ | 2,000,000 | ||||||||||
|
|
|
|
|
|
|
|
286
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
For the Period Ended September 30, 2017 | For the Period Ended September 30, 2016 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Gotham Hedged Plus Fund:(5) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 1,426 | $ | 15,323 | 200,000 | $ | 2,000,000 | ||||||||||
Reinvestments | 1,425 | 15,322 | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,851 | $ | 30,645 | 200,000 | $ | 2,000,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Hedged Core Fund:(1) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | — | $ | — | 200,000 | $ | 2,000,000 | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | — | $ | — | 200,000 | $ | 2,000,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Institutional Value Fund:(6) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 2,807 | $ | 31,611 | 205,603 | $ | 2,061,073 | ||||||||||
Reinvestments | 2,473 | 27,581 | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (23 | ) | (258 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 5,257 | $ | 58,934 | 205,603 | $ | 2,061,073 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Enhanced S&P 500 Index Fund:(7) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 254,107 | $ | 2,581,173 | — | $ | — | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 254,107 | $ | 2,581,173 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Defensive Long Fund:(1) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | — | $ | — | 200,000 | $ | 2,000,000 | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | — | $ | — | 200,000 | $ | 2,000,000 | ||||||||||
|
|
|
|
|
|
|
|
287
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
For the Period Ended September 30, 2017 | For the Period Ended September 30, 2016 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Gotham Defensive Long 500 Fund:(1) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 505,581 | $ | 5,411,674 | 200,000 | $ | 2,000,000 | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (27,848 | ) | (310,848 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 477,733 | $ | 5,100,826 | 200,000 | $ | 2,000,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Total Return Fund: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 816,663 | $ | 8,866,330 | 83,211 | $ | 820,628 | ||||||||||
Reinvestments | 195 | 2,105 | 17,269 | 163,016 | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (22,667 | ) | (254,100 | ) | (47,478 | ) | (460,062 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 794,191 | $ | 8,614,335 | 53,002 | $ | 523,582 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Master Long Fund:(8) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 104,657 | $ | 1,046,575 | — | $ | — | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 104,657 | $ | 1,046,575 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Gotham Master Neutral Fund:(8) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 404,167 | $ | 4,050,000 | — | $ | — | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 404,167 | $ | 4,050,000 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
* | There is a 1.00% redemption fee that may be charged on shares redeemed within 30 days of purchase. The redemption fees are retained by each Fund for the benefit of the remaining shareholders and recorded as paid-in-capital. |
(1) | Commencement of operations September 30, 2016. |
(2) | Gotham Neutral 500 Fund issued its initial shares on September 30, 2016. The Fund commenced operations October 01, 2016. |
(3) | Gotham Short Strategies Fund had a subscription due to a reorganization in the amount of $ 17,422,918 on July 31, 2017. The subscription was composed of securities and cash in the amounts of $ 16,037,918 and $1,385,000, respectively, (See Note 1). |
(4) | Commencement of operations July 31, 2017. |
(5) | Commencement of operations March 31, 2016. |
(6) | Commencement of operations December 31, 2015. |
288
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
(7) | Commencement of operations December 30, 2016. |
(8) | Commencement of operations April 28, 2017. |
As of September 30, 2017, the following Funds had shareholders that held 10% or more of the outstanding shares of the Fund:
Gotham Absolute 500 Fund | ||||
Affiliated Shareholders | 17 | % | ||
Affiliated Fund | 30 | % | ||
Gotham Absolute 500 Core Fund | ||||
Affiliated Shareholders | 50 | % | ||
Gotham Enhanced 500 Fund | ||||
Affiliated Shareholders | 40 | % | ||
Affiliated Fund | 12 | % | ||
Gotham Enhanced 500 Core Fund | ||||
Affiliated Shareholders | 50 | % | ||
Gotham Neutral 500 Fund | ||||
Affiliated Shareholders | 33 | % | ||
Affiliated Fund | 33 | % | ||
Gotham Index Core Fund | ||||
Affiliated Shareholders | 50 | % | ||
Gotham Hedged Plus Fund | ||||
Affiliated Shareholders | 50 | % | ||
Gotham Hedged Core Fund | ||||
Affiliated Shareholders | 50 | % | ||
Gotham Institutional Value Fund | ||||
Affiliated Shareholders | 49 | % | ||
Gotham Enhanced S&P 500 Index Fund | ||||
Affiliated Shareholders | 39 | % | ||
Affiliated Fund | 13 | % | ||
Gotham Defensive Long Fund | ||||
Affiliated Shareholders | 50 | % | ||
Gotham Defensive Long 500 Fund | ||||
Affiliated Shareholders | 13 | % | ||
Affiliated Fund | 73 | % | ||
Gotham Total Return Fund | ||||
Affiliated Shareholders | 27 | % | ||
Gotham Master Long Fund | ||||
Affiliated Shareholders | 50 | % | ||
Gotham Master Neutral Fund | ||||
Affiliated Shareholders | 37 | % |
5. Securities Lending
All Funds except for Gotham Institutional Value Fund and Gotham Enhanced S&P 500 Index Fund may lend securities 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, is invested in short-term investments and/or securities consistent with the Fund’s investment objective. Securities purchased with cash collateral are included in market value of securities designated as collateral for securities on loan on the Statements of Assets and Liabilities. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. The Funds pay a fee on the cash collateral received
289
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
by the Funds at a rate equal to the Federal Funds (Open) rate plus 40 basis points with respect to the cash collateral received on those securities on loan that have a rebate that equals or exceeds the greater of either the Federal Funds (Open) rate minus 10 basis points or zero. These fees are included in the fees on cash collateral on the Statement of Operations. 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. When the collateral falls below specified amounts, the lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. During the period ended September 30, 2017, the Funds listed below each had securities lending programs. The market value of securities on loan and cash collateral received as of September 30, 2017 and the income generated from the programs during the period ended September 30, 2017, with respect to such loans are as follows:
Market Value of Securities Loaned | Cash Collateral Received | Market Value of Non-cash Collateral | Income Received from Securities Lending | |||||||||||||||||
Gotham Absolute Return Fund | $ | 153,664,106 | $ | 156,876,422 | $ | — | $ | 563,468 | ||||||||||||
Gotham Absolute 500 Fund | 1,297,695 | 1,327,427 | — | 23 | ||||||||||||||||
Gotham Absolute 500 Core Fund | 12,534 | 7,636 | 5,616 | 12 | ||||||||||||||||
Gotham Enhanced Return Fund | 308,072,721 | 314,077,458 | — | 527,688 | ||||||||||||||||
Gotham Enhanced 500 Fund | 3,674,364 | 3,741,950 | — | 47 | ||||||||||||||||
Gotham Enhanced 500 Core Fund | 20,114 | 10,459 | 10,661 | 22 | ||||||||||||||||
Gotham Neutral Fund | 65,388,526 | 66,982,044 | — | 548,653 | ||||||||||||||||
Gotham Neutral 500 Fund | 29,966 | 15,349 | 16,039 | 25 | ||||||||||||||||
Gotham Index Plus Fund | 37,774,492 | 38,535,861 | — | 449 | ||||||||||||||||
Gotham Index Core Fund | 18,052 | 7,632 | 11,138 | 18 | ||||||||||||||||
Gotham Hedged Plus Fund | 25,140 | 26,093 | — | 20 | ||||||||||||||||
Gotham Hedged Core Fund | 8,920 | 4,463 | 5,445 | 12 | ||||||||||||||||
Gotham Defensive Long Fund | 113,546 | 44,230 | 71,529 | 648 | ||||||||||||||||
Gotham Defensive Long 500 Fund | 122,483 | 58,677 | 69,111 | 78 |
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 Fund’s open securities lending transactions which are subject to a MSLA as of September 30, 2017:
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 and Non-Cash Collateral Received* | Net Amount** | |||||||||||||||||||||||||
Gotham Absolute Return Fund | $ | 153,664,106 | $ | — | $ | 153,664,106 | $ | — | $ | (153,664,106 | ) | $ | — | |||||||||||||||||
Gotham Absolute 500 Fund | 1,297,695 | — | 1,297,695 | — | (1,297,695 | ) | — | |||||||||||||||||||||||
Gotham Absolute 500 Core Fund | 12,534 | — | 12,534 | — | (12,534 | ) | — |
290
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
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 and Non-Cash Collateral Received* | Net Amount** | |||||||||||||||||||||||||
Gotham Enhanced Return Fund | $ | 308,072,721 | $ | — | $ | 308,072,721 | $ | — | $ | (308,072,721 | ) | $ | — | |||||||||||||||||
Gotham Enhanced 500 Fund | 3,674,364 | — | 3,674,364 | — | (3,674,364 | ) | — | |||||||||||||||||||||||
Gotham Enhanced 500 Core Fund | 20,114 | — | 20,114 | — | (20,114 | ) | — | |||||||||||||||||||||||
Gotham Neutral Fund | 65,388,526 | — | 65,388,526 | — | (65,388,526 | ) | — | |||||||||||||||||||||||
Gotham Neutral 500 Fund | 29,966 | — | 29,966 | — | (29,966 | ) | — | |||||||||||||||||||||||
Gotham Index Plus Fund | 37,774,492 | — | 37,774,492 | — | (37,774,492 | ) | — | |||||||||||||||||||||||
Gotham Index Core Fund | 18,052 | — | 18,052 | — | (18,052 | ) | — | |||||||||||||||||||||||
Gotham Hedged Plus Fund | 25,140 | — | 25,140 | — | (25,140 | ) | — | |||||||||||||||||||||||
Gotham Hedged Core Fund | 8,920 | — | 8,920 | — | (8,920 | ) | — | |||||||||||||||||||||||
Gotham Defensive Long Fund | 113,546 | — | 113,546 | — | (113,546 | ) | — | |||||||||||||||||||||||
Gotham Defensive Long 500 Fund | 122,483 | — | 122,483 | — | (122,483 | ) | — |
* | 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. |
** | Net amount represents the net receivable from the counterparty in the event of a default. |
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.
In order to present net assets components on the Statement of Assets and Liabilities that more closely represent their tax character, certain reclassifications are made to the net asset components. Net investment income, net realized gains and net assets were not affected by these adjustments. The following permanent differences as of September 30, 2017, primarily attributed to non-deductible expenses, capitalized dividends on short sales and write-off of current year net operating loss, were reclassified among the following accounts:
291
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
Increase/(Decrease) Undistributed Net Investment Income | Increase/(Decrease) Accumulated Net Realized Loss | Increase/(Decrease) Additional Paid-In Capital | |||||||||||||
Gotham Absolute Return Fund | $ | 3,711,179 | $ | (338,238 | ) | $ | (3,372,941 | ) | |||||||
Gotham Absolute 500 Fund | 23,660 | (6,651 | ) | (17,009 | ) | ||||||||||
Gotham Absolute 500 Core Fund | 13,683 | (1,053 | ) | (12,630 | ) | ||||||||||
Gotham Enhanced Return Fund | 804,222 | (333,053 | ) | (471,169 | ) | ||||||||||
Gotham Enhanced 500 Fund | 12,549 | (12,204 | ) | (345 | ) | ||||||||||
Gotham Enhanced 500 Core Fund | 13,450 | (955 | ) | (12,495 | ) | ||||||||||
Gotham Neutral Fund | 8,467,088 | (496,194 | ) | (7,970,894 | ) | ||||||||||
Gotham Neutral 500 Fund | 15,963 | (2,218 | ) | (13,745 | ) | ||||||||||
Gotham Index Plus Fund | 93,294 | (77,947 | ) | (15,347 | ) | ||||||||||
Gotham Index Core Fund | 13,322 | (659 | ) | (12,663 | ) | ||||||||||
Gotham Hedged Plus Fund | 22,935 | 7,639 | (30,574 | ) | |||||||||||
Gotham Hedged Core Fund | 13,333 | (676 | ) | (12,657 | ) | ||||||||||
Gotham Institutional Value Fund | 26,790 | — | (26,790 | ) | |||||||||||
Gotham Enhanced S&P 500 Index Fund | 7,934 | — | (7,934 | ) | |||||||||||
Gotham Defensive Long Fund | 14,281 | (1,028 | ) | (13,253 | ) | ||||||||||
Gotham Defensive Long 500 Fund | 17,535 | (4,274 | ) | (13,261 | ) | ||||||||||
Gotham Master Neutral Fund | 719 | (719 | ) | — |
The tax character of distributions paid by the Funds during the year/period ended September 30, 2017 were as follows:
Ordinary Income Dividend | Long-Term Capital Gain Dividend | Return of Capital | |||||||||||||
Gotham Enhanced 500 Fund | $ | 66,405 | $ | — | $ | — | |||||||||
Gotham Index Plus Fund | 316,257 | — | — | ||||||||||||
Gotham Hedged Plus Fund | 30,645 | — | — | ||||||||||||
Gotham Institutional Value Fund | 53,698 | — | — | ||||||||||||
Gotham Total Return Fund | 4,144 | — | — |
The tax character of distributions paid by the Funds during the year/period ended September 30, 2016 were as follows:
Ordinary Income Dividend | Long-Term Capital Gain Dividend | Return of Capital | |||||||||||||
Gotham Absolute Return Fund | $ | — | $ | 29,543,842 | $ | — | |||||||||
Gotham Absolute 500 Fund | 196,162 | 121,226 | 380,847 | ||||||||||||
Gotham Enhanced Return Fund | — | 18,962,062 | — | ||||||||||||
Gotham Enhanced 500 Fund | 42,497 | — | — | ||||||||||||
Gotham Neutral Fund | — | 4,408,426 | — | ||||||||||||
Gotham Index Plus Fund | 131,388 | 13,216 | — | ||||||||||||
Gotham Total Return Fund | 163,016 | — | — |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
292
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
As of September 30, 2017, 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 | |||||||||||||||||||||||||
Gotham Absolute Return Fund | $ | (101,603,797 | ) | $ | — | $ | — | $ | 50,665,532 | $ | (30,415,253 | ) | $ | — | ||||||||||||||||
Gotham Absolute 500 Fund | — | — | 244,259 | 1,389,781 | (13,028 | ) | — | |||||||||||||||||||||||
Gotham Absolute 500 Core Fund | — | 18,874 | — | 241,703 | (9,348 | ) | — | |||||||||||||||||||||||
Gotham Enhanced Return Fund | — | — | 8,942,476 | 152,128,313 | (4,161,004 | ) | — | |||||||||||||||||||||||
Gotham Enhanced 500 Fund | — | 42,758 | 1,561,277 | 3,386,030 | — | — | ||||||||||||||||||||||||
Gotham Enhanced 500 Core Fund | — | 39,517 | — | 346,726 | — | — | ||||||||||||||||||||||||
Gotham Neutral Fund | (14,311,787 | ) | — | — | 20,559,804 | (76,012,884 | ) | — | ||||||||||||||||||||||
Gotham Neutral 500 Fund | — | 57 | — | 226,974 | (34,815 | ) | — | |||||||||||||||||||||||
Gotham Short Strategies Fund | — | 35,361 | — | 113,827 | (31,727 | ) | — | |||||||||||||||||||||||
Gotham Index Plus Fund | (39,132 | ) | 574,523 | — | 24,930,036 | (694,657 | ) | — | ||||||||||||||||||||||
Gotham Index Core Fund | — | 49,413 | — | 388,445 | — | — | ||||||||||||||||||||||||
Gotham Hedged Plus Fund | — | 18,182 | 34,013 | 281,748 | — | — | ||||||||||||||||||||||||
Gotham Hedged Core Fund | — | 27,359 | — | 262,620 | (10,190 | ) | — | |||||||||||||||||||||||
Gotham Institutional Value Fund | — | 66,120 | 256,010 | 234,973 | — | — | ||||||||||||||||||||||||
Gotham Enhanced S&P 500 Index Fund | — | 104,038 | — | 253,752 | — | — | ||||||||||||||||||||||||
Gotham Defensive Long Fund | (2,252 | ) | 8,720 | — | 213,370 | (32,675 | ) | — | ||||||||||||||||||||||
Gotham Defensive Long 500 Fund | — | 39,573 | — | 845,532 | (33,068 | ) | — | |||||||||||||||||||||||
Gotham Total Return Fund | — | 1,993 | 9,105 | 1,802,483 | — | — | ||||||||||||||||||||||||
Gotham Master Long Fund | — | — | — | 63,007 | — | — | ||||||||||||||||||||||||
Gotham Master Neutral Fund | — | 44,290 | — | (19,367 | ) | — | — |
293
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2017
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 September 30, 2017, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
Federal Tax Cost (Proceeds) | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Gotham Absolute Return Fund | $ | 480,512,359 | $ | 144,473,433 | $ | (93,807,900 | ) | $ | 50,665,533 | |||||||||||
Gotham Absolute 500 Fund | 5,829,388 | 2,251,899 | (862,118 | ) | 1,389,781 | |||||||||||||||
Gotham Absolute 500 Core Fund | 1,122,830 | 331,315 | (89,401 | ) | 241,914 | |||||||||||||||
Gotham Enhanced Return Fund | 737,080,320 | 249,949,537 | (97,821,224 | ) | 152,128,313 | |||||||||||||||
Gotham Enhanced 500 Fund | 20,860,467 | 5,328,398 | (1,942,368 | ) | 3,386,030 | |||||||||||||||
Gotham Enhanced 500 Core Fund | 2,037,813 | 421,065 | (74,230 | ) | 346,835 | |||||||||||||||
Gotham Neutral Fund | 147,549,839 | 123,953,800 | (103,393,996 | ) | 20,559,804 | |||||||||||||||
Gotham Neutral 500 Fund | 583,578 | 486,270 | (258,973 | ) | 227,297 | |||||||||||||||
Gotham Short Strategies Fund | 17,025,313 | 1,301,978 | (1,188,151 | ) | 113,827 | |||||||||||||||
Gotham Index Plus Fund | 171,832,812 | 38,700,991 | (13,770,954 | ) | 24,930,037 | |||||||||||||||
Gotham Index Core Fund | 2,053,869 | 488,331 | (99,886 | ) | 388,445 | |||||||||||||||
Gotham Hedged Plus Fund | 1,121,319 | 417,276 | (135,528 | ) | 281,748 | |||||||||||||||
Gotham Hedged Core Fund | 1,116,580 | 322,578 | (59,958 | ) | 262,620 | |||||||||||||||
Gotham Institutional Value Fund | 2,405,982 | 276,909 | (41,936 | ) | 234,973 | |||||||||||||||
Gotham Enhanced S&P 500 Index Fund | 2,687,409 | 295,299 | (41,547 | ) | 253,752 | |||||||||||||||
Gotham Defensive Long Fund | 1,956,186 | 475,976 | (260,486 | ) | 215,490 | |||||||||||||||
Gotham Defensive Long 500 Fund | 7,049,108 | 1,538,957 | (691,995 | ) | 846,962 | |||||||||||||||
Gotham Total Return Fund | 16,619,686 | 1,814,969 | (12,486 | ) | 1,802,483 | |||||||||||||||
Gotham Master Long Fund | 1,041,328 | 63,008 | — | 63,008 | ||||||||||||||||
Gotham Master Neutral Fund | 2,655,441 | 82,053 | (101,420 | ) | (19,367 | ) |
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30 or (ii) specified ordinary and currency losses between November 1 and September 30) as occurring on the first day of the following tax year. For the period ended September 30, 2017, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2017. For the period ended September 30, 2017, the Funds deferred to October 1, 2017 the following losses:
Late-Year Ordinary Losses Deferral | Short-Term Capital Loss Deferral | Long-Term Capital Loss Deferral | |||||||||||||
Gotham Absolute Return Fund | $ | 6,483,311 | $ | 23,931,942 | $ | — | |||||||||
Gotham Absolute 500 Fund | 13,028 | — | — | ||||||||||||
Gotham Absolute 500 Core Fund | — | 9,349 | (1 | ) | |||||||||||
Gotham Enhanced Return Fund | 4,161,004 | — | — | ||||||||||||
Gotham Neutral Fund | 6,587,386 | 69,425,499 | — | ||||||||||||
Gotham Neutral 500 Fund | — | 34,816 | (1 | ) | |||||||||||
Gotham Short Strategies Fund | — | 31,727 | — | ||||||||||||
Gotham Index Plus Fund | — | 8,838,761 | (8,144,104 | ) | |||||||||||
Gotham Hedged Core Fund | — | 10,085 | 105 | ||||||||||||
Gotham Defensive Long Fund | — | 32,554 | 121 | ||||||||||||
Gotham Defensive Long 500 Fund | — | 33,094 | (26 | ) |
294
GOTHAM FUNDS
Notes to Financial Statements (Concluded)
September 30, 2017
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2017 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 September 30, 2017, the following Funds had long-term and short-term capital loss carryforwards in the following amounts:
Capital Losses Carryforwards | |||||
Gotham Absolute Return Fund | $ | 101,603,797 | |||
Gotham Neutral Fund | 14,311,787 | ||||
Gotham Index Plus Fund | 39,132 | ||||
Gotham Defensive Long Fund | 2,252 |
For the period ended September 30, 2017, the following Funds utilized capital losses as follows:
Capital Losses Utilized | |||||
Gotham Absolute Return Fund | $ | 101,449,553 | |||
Gotham Enhanced Return Fund | 60,397,894 | ||||
Gotham Neutral Fund | 113,060,561 |
7. 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.
295
GOTHAM FUNDS
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and Shareholders of Gotham Absolute Return Fund, Gotham Absolute 500 Fund, Gotham Absolute 500 Core Fund, Gotham Enhanced Return Fund, Gotham Enhanced 500 Fund, Gotham Enhanced 500 Core Fund, Gotham Neutral Fund, Gotham Neutral 500 Fund, Gotham Short Strategies Fund, Gotham Index Plus Fund, Gotham Index Core Fund, Gotham Hedged Plus Fund, Gotham Hedged Core Fund, Gotham Institutional Value Fund, Gotham Enhanced S&P 500 Index Fund, Gotham Defensive Long Fund, Gotham Defensive Long 500 Fund, Gotham Total Return Fund, Gotham Master Long Fund, and Gotham Master Neutral Fund:
In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations, of changes in net assets, and of cash flows and the financial highlights present fairly, in all material respects, the financial position of Gotham Absolute Return Fund, Gotham Absolute 500 Fund, Gotham Absolute 500 Core Fund, Gotham Enhanced Return Fund, Gotham Enhanced 500 Fund, Gotham Enhanced 500 Core Fund, Gotham Neutral Fund, Gotham Neutral 500 Fund, Gotham Short Strategies Fund, Gotham Index Plus Fund, Gotham Index Core Fund, Gotham Hedged Plus Fund, Gotham Hedged Core Fund, Gotham Institutional Value Fund, Gotham Enhanced S&P 500 Index Fund, Gotham Defensive Long Fund, Gotham Defensive Long 500 Fund, Gotham Total Return Fund, Gotham Master Long Fund, and Gotham Master Neutral Fund (twenty of the funds constituting FundVantage Trust, hereafter referred to as the “Funds”) as of September 30, 2017, the results of each of their operations and their cash flows, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of September 30, 2017 by correspondence with the custodian, broker, and transfer agent, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 29, 2017
296
GOTHAM FUNDS
Shareholder Tax Information
(Unaudited)
Certain tax information regarding each Fund is required to be provided to shareholders based upon each fund’s income and distributions for the taxable year ended September 30, 2017. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2017. During the fiscal year ended September 30, 2017, the following dividends and distributions were paid by each of the Funds:
Ordinary Income | Long-Term Capital Gain | |||||||||
Gotham Enhanced 500 Fund | $ | 66,405 | $ | — | ||||||
Gotham Index Plus Fund | 316,257 | — | ||||||||
Gotham Hedged Plus Fund | 30,645 | — | ||||||||
Gotham Institutional Value Fund | 53,698 | — | ||||||||
Gotham Total Return Fund | 4,144 | — |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
Where appropriate, all designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of each Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003, the following percentages of ordinary dividends paid during the fiscal year ended September 30, 2017 were designated as “qualified dividend income”, as defined in the Act, and are subject to reduced tax rates:
Gotham Enhanced 500 Fund | 100.00 | % | ||||
Gotham Index Plus Fund | 100.00 | % | ||||
Gotham Hedged Plus Fund | 100.00 | % | ||||
Gotham Institutional Value Fund | 68.84 | % | ||||
Gotham Total Return Fund | 100.00 | % |
The percentage of total ordinary income dividends paid qualifying for the corporate dividends received deduction for each Fund is as follows:
Gotham Enhanced 500 Fund | 100.00 | % | ||||
Gotham Index Plus Fund | 100.00 | % | ||||
Gotham Hedged Plus Fund | 100.00 | % | ||||
Gotham Institutional Value Fund | 67.21 | % | ||||
Gotham Total Return Fund | 100.00 | % |
The percentage of qualified interest income related dividends not subject to withholding tax for non-resident aliens and foreign corporations is as follows:
Gotham Index Plus Fund | 9.82 | % |
Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2017. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns will be made in conjunction with Form 1099-DIV and will be mailed in January 2018.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by a Fund, if any.
297
GOTHAM FUNDS
Shareholder Tax Information
(Unaudited)
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in a Fund.
298
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 December 31 and June 30) 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.
Board Consideration of Investment Advisory Agreement
Statement Regarding Basis for Approval of Investment Advisory Contract for Gotham Absolute Return Fund, Gotham Absolute 500 Fund, Gotham Enhanced Return Fund, Gotham Enhanced 500 Fund, Gotham Hedged Plus Fund, Gotham Index Plus Fund, Gotham Institutional Value Fund, Gotham Neutral Fund, Gotham Total Return Fund, Gotham Short Strategies Fund
At a meeting held on June 26-27, 2017 (the “June Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of FundVantage Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” within the meaning of Section 2(a)(19) of 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 “Existing Agreements”) on behalf of Gotham Absolute Return Fund, Gotham Absolute 500 Fund, Gotham Enhanced Return Fund, Gotham Enhanced 500 Fund, Gotham Hedged Plus Fund, Gotham Index Plus Fund, Gotham Institutional Value Fund, Gotham Neutral Fund, and Gotham Total Return Fund (together, the “Existing Funds”) and (ii) a new agreement between Gotham and the Trust (the “New Agreement,” and together with the Existing Agreement, the “Agreements”) on behalf of Gotham Short Strategies Fund (the “New Fund,” and together with the Existing Funds, the “Funds”). At the June Meeting, the Board considered the continuation of the Existing Agreement with respect to the Existing Funds for an additional one year period, and the New Agreement with respect to the New Fund for an initial two year period.
In determining whether to approve the Agreements, the Trustees considered information provided by the Adviser in accordance with Section 15(c) of the 1940 Act regarding: (i) 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 the Funds, (iv) investment performance, (v) the capitalization and financial condition of Gotham, (vi) brokerage selection procedures, (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 Gotham’s ability to service the Funds, (x) compliance with the 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. The Trustees noted the reports and discussions with senior personnel of Gotham as provided at the Board meetings throughout the year covering matters such as the relative performance of the Existing Funds; compliance with the investment objectives, policies, strategies and limitations for the Funds; the compliance of management personnel with the applicable code of ethics; and the adherence to the Trust’s pricing procedures as established by the Board.
299
GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
Representatives from Gotham attended the June Meeting both in person and via teleconference. The representatives discussed Gotham’s history, performance and investment strategies in connection with the proposed approval of the Agreements and answered questions from the Board.
Performance. The Trustees considered the investment performance for the Existing Funds and Gotham. The Trustees reviewed historical performance charts which showed the performance of the Existing Funds as compared to their respective Lipper categories for the year-to-date, one -year, two -year, three -year, and since -inception periods ended March 31, 2017, and their respective benchmark indices for the one-year, three- year and since-inception periods, as applicable. The Trustees noted that they considered performance reports provided at Board meetings throughout the year. The Trustees also noted that performance, especially short-term performance, is only one of many factors that it deems relevant to its consideration of the Agreement.
Gotham Absolute Return Fund.The Trustees noted that the Gotham Absolute Return Fund outperformed the HFRX Equity Hedge Index for the one-year, three-year and since-inception (August 31, 2012) periods ended April 30, 2017. The Trustees also noted that the Gotham Absolute Return Fund outperformed the median of the Lipper Absolute Return Fund Index for the year-to-date, one-year, three-year and since-inception periods ended March 31, 2017, and underperformed the median of the Lipper Absolute Return Fund Index for two-year period ended March 31, 2017. The Trustees concluded that, although the Gotham Absolute Return Fund underperformed the median of the Lipper Absolute Return Fund Index for the two year period ended March 31, 2017, the performance of the Gotham Absolute Return Fund since inception 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.
Gotham Absolute 500 Fund. The Trustees noted that the Gotham Absolute 500 Fund outperformed the HFRX Equity Hedge Index for the one-year and since-inception (July 31, 2014) periods ended April 30, 2017. The Trustees also noted that the Gotham Absolute 500 Fund outperformed the median of the Lipper Alternative Long/Short Equity Index for the year-to-date, two-year and since inception periods ended March 31, 2017, and underperformed the median of the Lipper Alternative Long/Short Equity Index for the one-year period ended March 31, 2017. The Trustees concluded, although the Gotham Absolute 500 Fund underperformed the median of the Lipper Alternative Long/Short Equity Index for the one year period ended March 31, 2017, that the performance of the Gotham Absolute 500 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.
Gotham Enhanced Return Fund. The Trustees noted that the Gotham Enhanced Return Fund underperformed the S&P 500 Index for the one-year, three-year and since-inception (May 31, 2013) periods ended April 30, 2017. The Trustees also noted that the Gotham Enhanced Return Fund outperformed the median of the Lipper Alternative Long/Short Equity Index for the year-to-date, one-year, two-year, three-year and since-inception periods ended March 31, 2017. The Trustees concluded that, although the Gotham Enhanced Return Fund had underperformed the S&P 500 Index during certain periods, the performance of the Gotham Enhanced Return 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.
Gotham Enhanced 500 Fund. The Trustees noted that the Gotham Enhanced 500 Fund underperformed the S&P 500 Index for the one-year and since-inception (December 31, 2014) periods ended April 30, 2017. The Trustees also noted that the Gotham Enhanced 500 Fund outperformed the median of the Lipper Alternative Long/Short Equity Index for the year-to-date, one-year, two-year, and since-inception periods ended March 31, 2017. The Trustees concluded that, although the Gotham Enhanced Return Fund had underperformed the S&P 500 Index during certain periods, the performance of the Gotham Enhanced 500 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.
300
GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
Gotham Hedged Plus Fund. The Trustees noted that the Gotham Hedged Plus Fund outperformed the HFRX Equity Hedge Index for the one-year and since-inception (March 31, 2016) periods ended April 30, 2017. The Trustees also noted that the Gotham Hedged Plus Fund outperformed the median of the Lipper Alternative Long/Short Equity Index for the year-to-date, one-year, and since-inception periods ended March 31, 2017. The Trustees concluded that the performance of the Gotham Hedged Plus 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.
Gotham Index Plus Fund. The Trustees noted that the Gotham Index Plus Fund outperformed the S&P 500 Index for the one-year and since-inception (March 31, 2015) periods ended April 30, 2017. The Trustees also noted that the Gotham Index Plus Fund outperformed the median of the S&P 500 Daily Reinvested Index for the year-to-date, one-year, two-year, and since-inception periods ended March 31, 2017. The Trustees concluded that the performance of the Gotham Index Plus 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.
Gotham Institutional Value Fund. The Trustees noted that the Gotham Institutional Value Fund underperformed the S&P 500 Index for the one-year period ended April 30, 2017, and outperformed the S&P 500 Index for the since-inception (March 31, 2015) period ended April 30, 2017. The Trustees also noted that the Gotham Institutional Value Fund outperformed the median of the Lipper Large-Cap Value Index for the year-to-date and since-inception periods ended March 31, 2017, and underperformed the median of the Lipper Large-Cap Value Index for the one-year period ended March 31, 2017. The Trustees concluded that, although the performance of the Gotham Institutional Value Fund underperformed the S&P 500 Index and the median of the Lipper Large-Cap Value Index during certain periods, the performance of the Gotham Institutional Value 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.
Gotham Neutral Fund. The Trustees noted that the Gotham Neutral Fund outperformed the BofA Merrill Lynch 3-Month US Treasury Bill Index for the one-year and since inception (August 30, 2013) periods ended April 30, 2017, and underperformed the BofA Merrill Lynch 3-Month US Treasury Bill Index for the three-year period ended April 30, 2017. The Trustees also noted that the Gotham Neutral Fund underperformed the median of the Lipper Alternative Equity Market Neutral Index for the year-to-date, two-year, and three-year periods ended March 31, 2017, and outperformed the median of the Lipper Alternative Equity Market Neutral Index for the one-year and since-inception periods ended March 31, 2017. The Trustees concluded that, although the Gotham Neutral Fund had underperformed the index and the median of the Lipper Alternative Equity Market Neutral Index for certain periods, the performance of the Gotham Neutral 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.
Gotham Total Return Fund. The Trustees noted that the Gotham Total Return Fund outperformed the HFRX Equity Hedge Index for the one-year and since inception (March 31, 2015) periods ended April 30, 2017. The Trustees also noted that the Gotham Total Return Fund outperformed the median of the Lipper Alternative Long/Short Equity Fund Index for the year-to-date, one-year, two-year and since-inception periods ended March 31, 2017. The Trustees concluded that the performance of the Gotham Total Return 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.
Gotham Short Strategies Fund. The Trustees noted that the proposed strategy for the Gotham Short Strategies Fund was new, and therefore did not have historical performance. However, the Trustees noted that they received performance information for Gotham Short Strategies (Master), LP (the “Predecessor Fund”), that the investment policies, restrictions, and limitations of the Predecessor Fund were in all material respects equivalent to those of the Gotham Short Strategies Fund, and that the performance information of the Predecessor Fund was therefore representative of the Adviser’s performance in implementing certain types of strategies to be employed for the Gotham Short Strategies Fund. The Trustees also received performance information of private accounts managed by Gotham with similar strategies. The Trustees concluded
301
GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
that the performance information relating to the comparable Funds and private accounts was acceptable for purposes of its consideration of the New Agreement.
Fees. The Trustees noted that the representatives of Gotham had provided information regarding its advisory fees and an analysis of these fees in relation to the services provided to the Funds and any other ancillary benefit resulting from Gotham’s relationship with the Funds. The Trustees also reviewed information regarding the fees Gotham charges to other clients and evaluated explanations provided by Gotham as to differences in fees charged to the Funds and other similarly managed accounts. The Trustees reviewed fees charged by other advisers that manage comparable mutual funds with similar strategies. The Trustees concluded that the advisory fees and services provided by Gotham are consistent with those of other advisers that 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 Fund:
Gotham Absolute Return Fund. With respect to advisory fees and expenses of Gotham Absolute Return Fund, the gross advisory fee and net total expense ratio were each higher than the median of funds in the Lipper Absolute Return Fund Index. The Trustees discussed the limitations of the comparative expense information of the Gotham Absolute Return Fund, given the potential varying nature, extent and quality of the services provided by the advisers of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the fund’s advisory fee was reasonable in light of the scope and quality of services received by the fund from Gotham.
Gotham Absolute 500 Fund. With respect to advisory fees and expenses of Gotham Absolute 500 Fund, the Trustees noted that 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 Index. The Trustees discussed the limitations of the comparative expense information of the Gotham Absolute 500 Fund, given the potential varying nature, extent and quality of the services provided by the advisers of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the scope and quality of services received by the fund from Gotham.
Gotham Enhanced Return Fund. With respect to advisory fees and expenses of Gotham Enhanced Return Fund, the Trustees noted that 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 Index. The Trustees discussed the limitations of the comparative expense information of the Gotham Enhanced Return Fund, given the potential varying nature, extent and quality of the services provided by the advisers of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the scope and quality of services received by the fund from Gotham.
Gotham Enhanced 500 Fund. With respect to advisory fees and expenses of Gotham Enhanced 500 Fund, the Trustees noted that 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 Index. The Trustees discussed the limitations of the comparative expense information of the Gotham Enhanced 500 Fund, given the potential varying nature, extent and quality of the services provided by the advisers of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the scope and quality of services received by the fund from Gotham.
Gotham Hedged Plus Fund. With respect to advisory fees and expenses of Gotham Hedged Plus Fund, the Trustees noted that the gross advisory fee and net total expense ratio for the fund’s Institutional Class Shares were each lower than the gross advisory fee and net total expense ratio of the median of funds with a similar share class in the Lipper
302
GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
Alternative Long/Short Equity Index. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the scope and quality of services received by the fund from Gotham.
Gotham Index Plus Fund. With respect to advisory fees and expenses, the Trustees noted that 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 S&P 500 Daily Reinvested Index with $250 million or less in assets. The Trustees discussed the limitations of the comparative expense information of the Gotham Index Plus Fund, given the potential varying nature, extent and quality of the services provided by the advisers of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the scope and quality of services received by the fund from Gotham.
Gotham Institutional Value Fund. With respect to advisory fees and expenses of Gotham Institutional Value Fund, the Trustees noted that 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 Large-Cap Value Index with $250 million or less in assets. The Trustees discussed the limitations of the comparative expense information of the Gotham Institutional Value Fund, given the potential varying nature, extent and quality of the services provided by the advisers of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the scope and quality of services received by the fund from Gotham.
Gotham Neutral Fund. With respect to advisory fees and expenses of Gotham Neutral Fund, the Trustees noted that 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 Index. The Trustees discussed the limitations of the comparative expense information of the Gotham Neutral Fund, given the potential varying nature, extent and quality of the services provided by the advisers of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the scope and quality of services received by the fund from Gotham.
Gotham Total Return Fund. With respect to advisory fees and expenses of Gotham Total Return Fund, the Trustees noted that the gross advisory fee and the net total expense ratio were each lower for the fund’s Institutional Class shares 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 Index. The Trustees also discussed the limitations of the comparative expense information of the Gotham Total Return Fund, given the potential varying nature, extent and quality of the services provided by the advisers of other portfolios included in the Lipper category. Based upon their review, the Trustees concluded that the advisory fee was reasonable in light of the scope and quality of services received by the fund from Gotham.
Gotham Short Strategies Fund. The Trustees also evaluated explanations provided by Gotham as to differences in fees proposed to be charged to Gotham Short Strategies Fund and the Predecessor Fund. The Trustees evaluated explanations provided by Gotham regarding its belief that the proposed advisory fee is within the normal range of fees and expenses for funds of similar size, composition and type of investment product. The Trustees concluded that the advisory fee and services proposed to be provided by Gotham are sufficiently consistent with those of other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the Gotham Short Strategies Fund as measured by the information provided by Gotham.
Nature and Quality of Services Provided by Adviser. The Trustees then considered the nature and quality of services provided by the Adviser. In evaluating the quality of services provided by Gotham, the Trustees considered the level and depth of knowledge of Gotham, including the professional experience and qualifications of the Funds’ portfolio managers and senior personnel. The Board took into account its familiarity with Gotham’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 Gotham’s compliance operations from the Trust’s Chief Compliance Officer. The Board also considered any potential conflicts of interest that may arise in Gotham’s management of the Funds’
303
GOTHAM FUNDS
Other Information (Concluded)
(Unaudited)
investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services provided to each Fund by Gotham and concluded that the nature, extent and quality of the services provided were appropriate and consistent with the terms of the Gotham Agreement, that the quality of the services appeared to be consistent with industry norms and that the Funds are likely to benefit from the continued receipt of those services. They also concluded that Gotham has sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated their ability to attract and retain qualified personnel.
Cost and Profitability. The Trustees then considered the cost of the services provided by Gotham, the compensation and benefits received by Gotham in providing services to the Funds, as well as Gotham’s profitability. The Trustees considered any direct or indirect revenues which would be received by Gotham. 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. Based on the information provided, the Trustees concluded that Gotham’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 continued growth of the Funds.
Economies of Scale. In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as the Funds grow and whether fee rate levels reflect these economies of scale for the benefit of Fund shareholders. The Board noted the Adviser’s representation that none of the Funds have reached an asset size at which economies of scale would traditionally be considered to exist, and the Adviser’s belief that breakpoints are not appropriate at this time. The Board further noted the Adviser’s representation that the nature of certain of the Funds’ long/short investment strategies were such that future capacity was constrained based on the Adviser’s ability to implement the strategy above certain asset levels, and as such the ability of those Funds to achieve future economies of scale was limited relative to more traditional strategies. Based on the foregoing information, the Board concluded that economies of scale did not yet exist for the Funds and that therefore it was not yet necessary to consider whether the fee structure of the Funds provided an adequate mechanism for sharing the benefit of any such economies.
At this time, the Trustees determined to approve the Existing Gotham Agreement for an additional one year period and the New Gotham Agreement for an initial two-year period. In voting to approve the continuation of the Gotham Agreements, the Board considered all factors it deemed relevant and the information presented to the Board by Gotham. 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 Existing Gotham Agreement would be in the best interests of the Existing Funds and their shareholders. The Board, including a majority of the Independent Trustees, unanimously approved the Existing Agreement for a one year period, and the New Agreement for an initial two year period.
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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.
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GOTHAM FUNDS
Fund Management
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Board” or the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Fund. The address of each Trustee and officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Funds contains additional information about the Trustees and is available, without charge, upon request, by calling (877) 974-6852.
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Funds in Trust Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
INDEPENDENT TRUSTEES
| ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee and Chairman since 2007. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006 | 42 | Optimum Fund Trust (registered investment company with 6 portfolios. | |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007. | University Professor, Widener University. | 42 | None. | |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2016. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010. | 42 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios). | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Asset Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008. | 42 | Copeland Trust (registered investment company with 2 portfolios); Context Capital Funds (registered investment company with 1 portfolio). |
306
GOTHAM FUNDS
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Funds in Trust Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007. | 42 | None. |
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS
| ||||||
JOEL L. WEISS Date of Birth: 1/63 | President and Chief Executive Officer | Shall serve until death, resignation or removal. Officer since 2007. | President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016. | |||
T. RICHARD KEYES Date of Birth: 1/57 | Treasurer and Chief Financial Officer | Shall serve until death, resignation or removal. Officer since 2016. | President of TRK Fund Consulting LLC since July 2016; Head of Tax - U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016. | |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 | Secretary | Shall serve until death, resignation or removal. Officer since 2012. | Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001. | |||
DAVID C. LEBISKY Date of Birth: 5/72 | Chief Compliance Officer and Anti-Money Laundering Officer | Shall serve until death, resignation or removal. Officer since 2015. | President of Lebisky Compliance Consulting LLC since October 2015; Senior Consultant, Freeh Group International Solutions, LLC (a global risk management firm) since 2015; Scotia Institutional Investments US, LP, Director of Regulatory Administration from 2010 to 2014. |
307
[THIS PAGE INTENTIONALLY LEFT BLANK.]
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
225 Liberty Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
GOT-0917
TOBAM EMERGING MARKETS FUND
Annual Investment Adviser’s Report
September 30, 2017
(Unaudited)
Dear Shareholders,
Portfolio Performance
Since commencement of operations on April 25, 2017, the return of the Fund was 13.50%, corresponding to an out-performance of 1.82% over the return of Morgan Stanley Capital International (“MSCI”) Emerging Markets Net Total Return Index (the Fund’s benchmark). The Fund reduced the volatility of daily returns when compared to the Fund’s benchmark by 14% since the commencement of operations on April 25, 2017.
* Net return | ||||||
Start of the period | End of the period | |||||
Date | 04/25/2017 | 09/30/2017 | ||||
Fund’s return | 13.50% | Benchmark’s return | 11.68% | |||
* Volatility | ||||||
Start of the period | End of the period | |||||
Date | 04/25/2017 | 09/30/2017 | ||||
Fund’s volatility | 7.99% | Benchmark’s volatility | 9.29% |
Performance data quoted here represents past performance. Past performance is no guarantee of future results. Investment return and principal value 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 than the performance information quoted. To obtain performance information current to the most recent month-end please call (844) 282-6161.
Over the second quarter of 2017, equity markets continued to rise: the Standard & Poor’s 500 Index (S&P 500) was up 2.8%, and the Europe STOXX 600 Index up 1.2%. Volatility remained very low compared to its historical average, S&P 500 realized volatility for the quarter using intraday data, was below 6%, well below the long-term average of approximately 14%. The levels of implied correlations, as shown by the Chicago Board Options Exchange implied correlation indexes, dropped slightly during the period, showing that systemic risk was perceived to be low. Emerging markets (EM) proved to be more turbulent over the quarter. In particular, the MSCI Brazil Index was down over 2% for the quarter following the Brazilian president’s corruption scandal. However, EM flows were positive as investors used drops in performance as an opportunity to “buy the dip”.
The commodity space proved to be yet again a main source of volatility in Q2. Iron ore led the way, losing -22% to settle in negative territory year to date on the back of weakening Chinese demand. Oil prices kept trending lower (approximately -10%) due to perceived large supply ahead despite the Organization of the Petroleum Exporting Countries announced cuts.
Bond markets were more eventful than their equity counterparts, with long-term rates initially trending lower both in the US and Europe on the back of lower than expected inflation releases and seeming dovishness from central banks. However, the Federal Reserve (Fed) still hiked rates in June, which remarkably did not trigger a higher repricing of the short end of the curve (the 2-year U.S. Treasury rate remained unchanged). This benign rate environment was suddenly put into question by Mario Draghi’s remarks at the annual European Central Bank (ECB) forum (“The threat of deflation is gone and reflationary forces are at play”) which signaled the strength of the European economy
TOBAM EMERGING MARKETS FUND
Annual Investment Adviser’s Report (Continued)
September 30, 2017
(Unaudited)
and a potential tapering of quantitative easing (QE) support by 2018. In the following 4 trading days after his remarks, European long-term rates nearly doubled, to end the quarter 15 basis points (bps) higher while the US 10-year Treasury proved less sensitive, ending the quarter -12bps lower overall.
Apart from the central bank chatter, the main events of the quarter were on the European political front, as the French elections proved to be more market and European Union friendly than expected and the Italian elections have been postponed to 2018. Additionally, the United Kingdom elections weakened Theresa May’s position in Brexit negotiations. Overall, these results were perceived as reinforcing the Eurozone stability and impacted foreign exchange rates with the euro gaining around 7% vs the U.S. dollar while the British pound lost -3.8% to the euro.
Over the third quarter, equity markets continued their upward trend, with the S&P 500 rising by 3.9%, in a low market risk environment as both realized and implied volatility levels remained very low.The market experienced small drawdowns (-2% in August), despite the real-world instabilities, notably two hurricanes hitting the US mainland in succession. Estimates of U.S. economic growth took a dip in September, with the Aruoba-Diebold-Scotti Index dipping below the trend for Q2 and Q3 of 2017. The New York Fed now-casting revised the current growth from 2.0% to 1.5% for Q3, and to 2.0% (-0.5% from the previous estimate) for Q4.
The NASDAQ was up 5.8% over the quarter, with moderate volatility, a positive but not exceptional performance for the Information Technology sector. Likewise, international markets were up in general, with the MSCI World gaining 4.4% over the quarter and Germany (DAX Index +4.1%) and China (CSI 300 Index +4.6%) having solid performance.
In this low volatility environment, commodities posted remarkable returns with West Texas Intermediate oil prices (+9.0%) eventually stabilizing above $50 from mid-September and onwards. In the foreign exchange market, the euro made a noticeable come back, trading as high as 1.2 in early September on the back of the ECB signaling policy normalization ahead. In the US, despite inflation below its target, Federal Reserve’s plans to reduce its balance sheet and raise Fed Funds rates were unchanged. The US 10-year rate ended the quarter roughly unchanged at 2.34% after having reached its lowest point year to date at 2.04% in early September. In Europe, 10-year bund yields ended the quarter at 0.45%, flat over Q3 within a 30bps trading range.
Despite some oil induced volatility in August, Q3 was another good quarter for credit markets both in the US and Europe: thus, the Global High Yield bond market returned 2.86% while the US Investment Grade bonds returned 1.37% and US High Yield bonds returned 2.27%.
Management policy of the Fund
The Adviser seeks to enhance the Fund’s portfolio diversification in terms of various risk metrics by applying a systematic, quantitative investment approach designed to identify securities of emerging market issuers included in the MSCI® EM Index that have the lowest possible correlation to each other for inclusion in the Fund’s portfolio.
From the commencement of operations on April 25, 2017 to the end of the second quarter, the relative return of the Fund was +0.39%. This positive outperformance occurred in spite of the benchmark’s bias toward the Information Technology (“IT”) sector in Asia which was rewarded. The IT sector significantly outperformed the benchmark. As an illustration, the 4 largest market caps of the benchmark as of June 30th were IT stocks: Samsung Electronics (4.35% of the index), Tencent Holdings (4.35% of the index), Taiwan Semiconductors (3.6% of the index) and Alibaba (3.41% of the index), these securities had YTD returns as of June 30, 2017 of +40%, +47%, +26% and +60%, respectively.
2
TOBAM EMERGING MARKETS FUND
Annual Investment Adviser’s Report (Concluded)
September 30, 2017
(Unaudited)
Over the 3rd quarter of 2017, the relative return of the Fund was +1.35%. The positive outperformance was related to the benchmark’s bias toward cyclical sectors such as Financials, IT and Energy as shown by its significantly higher correlation in these sectors. During Q3 2017, a bulk of the benchmark‘s underperformance was related to the poor performance of Industrials.
Since commencement of operations, the Fund outperformed by +1.82% as a result of the benchmark’s bias.
Portfolio Changes
The strategy is rebalanced on a quarterly basis. Since inception of the Fund, the turnover is 13.73%.
Dividend Distribution
The Fund will distribute a dividend for the 2017 fiscal year according to the following schedule:
Distribution | Record Date | Ex-Date | Payment Date | |||
Ordinary income | 6 December 2017 | 7 December 2017 | 8 December 2017 |
We thank you for your investment in the Fund.
Sincerely,
TOBAM, Investment Adviser
This letter is intended to assist shareholders in understanding how the Fund performed during the fiscal year ended September 30, 2017 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.
Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risk. 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.
3
TOBAM EMERGING MARKETS FUND
Annual Report
Performance Data
September 30, 2017
(Unaudited)
Comparison of Change in Value of $500,000 (investment minimum) Investment in
TOBAM Emerging Markets Fund’s Class I vs.
Morgan Stanley Capital International (“MSCI”) Emerging Markets Net Total Return Index (“MSCI EM Net TR Index”)
Total Returns for the Period Ended September 30, 2017 | ||||
Since Inception† | ||||
Class I* | 13.50% | |||
MSCI EM Net TR Index | 11.68%** |
† | Not annualized. |
* | The TOBAM Emerging Markets Fund (the “Fund”) Class I shares commenced operations on April 25, 2017. |
** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement 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 (844) 282-6161. 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 graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement” are 1.48% and 0.85%, respectively, of the Fund’s average daily net assets for Class I shares. These ratios are stated in the current prospectus dated April 10, 2017, and may differ from the actual expenses incurred by the Fund for the period covered by this report. TOBAM (“TOBAM” or the “Adviser”) has contractually agreed to waive fees and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the
4
TOBAM EMERGING MARKETS FUND
Annual Report
Performance Data (Concluded)
September 30, 2017
(Unaudited)
Fund’s total operating expenses (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items and brokerage commissions) do not exceed (on an annual basis) 0.85% with respect to the Fund’s average daily net assets of the Class I shares (“Expense Limitation”). The Expense Limitation will remain in place until April 30, 2018, and from May 1, 2018 through January 31, 2019, it will reduce its compensation and/or reimburse certain expenses for the Fund, to the extent necessary to ensure that the Fund’s total operating expenses, (exclusive of taxes, “Acquired Fund” fees and expenses (as defined in Form N-1A), dividend and interest expense on securities sold short, interest, extraordinary items and brokerage commissions), do not exceed (on an annual basis) 1.10% with respect to the Fund’s average daily net assets of the Class I shares, 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, amounts waived 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. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount.
A 1.00% redemption fee applies to shares redeemed within 30 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 EM Net TR Index. The MSCI EM Net TR Index is a free float-adjusted, market capitalization-weighted index designed to measure the equity performance of emerging market countries in Africa, Asia, Europe, Latin America, and the Middle East. An index is unmanaged and it is not possible to invest in an index.
5
TOBAM EMERGING MARKETS FUND
Fund Expense Disclosure
September 30, 2017
(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. 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 from April 25, 2017, the commencement of operations, through September 30, 2017 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 a 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.
6
TOBAM EMERGING MARKETS FUND
Fund Expense Disclosure (Concluded)
September 30, 2017
(Unaudited)
TOBAM Emerging Markets Fund | ||||||||||||
Beginning Account Value April 25, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period* | ||||||||||
Class I | ||||||||||||
Actual | $1,000.00 | $1,135.00 | $3.95 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.81 | 4.31 |
* | Expenses are equal to the annualized expense ratio for the period beginning April 25, 2017, commencement of operations, to September 30, 2017 of 0.85% for Class I shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (159), then divided by 365 to reflect the period. The Class I shares ending account values on the first line of the table are based on the actual total returns for the Fund since commencement of operations of 13.50%. For comparative purposes, the Hypothetical expenses are as if the Class I shares had been in existence from April 1, 2017, and are equal to the Class I shares annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (183), then divided by 365 to reflect the period. |
7
TOBAM EMERGING MARKETS FUND
Portfolio Holdings Summary Table
September 30, 2017
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||
Common Stocks: | ||||||||
Telecommunications | 10.4 | % | $ | 4,984,567 | ||||
Food | 7.3 | 3,482,955 | ||||||
Retail | 6.2 | 2,995,739 | ||||||
Pharmaceuticals | 5.0 | 2,425,737 | ||||||
Internet | 4.2 | 2,024,645 | ||||||
Semiconductors | 3.9 | 1,864,603 | ||||||
Electronics | 3.6 | 1,743,589 | ||||||
Mining | 3.4 | 1,620,825 | ||||||
Commercial Services | 3.3 | 1,590,855 | ||||||
Real Estate | 3.0 | 1,421,175 | ||||||
Apparel | 2.9 | 1,400,558 | ||||||
Computers | 2.5 | 1,192,380 | ||||||
Gas | 2.4 | 1,164,613 | ||||||
Auto Manufacturers | 2.4 | 1,147,746 | ||||||
Cosmetics/Personal Care | 2.1 | 1,001,467 | ||||||
Transportation | 2.1 | 989,012 | ||||||
Home Furnishings | 2.0 | 960,863 | ||||||
Banks | 2.0 | 937,689 | ||||||
Miscellaneous Manufacturing | 1.9 | 911,289 | ||||||
Insurance | 1.8 | 882,607 | ||||||
Auto Parts & Equipment | 1.8 | 881,176 | ||||||
Engineering & Construction | 1.8 | 867,501 | ||||||
Healthcare-Services | 1.8 | 865,855 | ||||||
Aerospace/Defense | 1.8 | 853,462 | ||||||
Airlines | 1.7 | 825,293 | ||||||
Energy-Alternate Sources | 1.6 | 760,902 | ||||||
Oil & Gas | 1.5 | 742,002 | ||||||
Software | 1.5 | 718,780 |
Portfolio holdings are subject to change at any time.
% of Net Assets | Value | |||||||
Common Stocks: (Continued) | ||||||||
Chemicals | 1.4 | % | $ | 690,693 | ||||
Forest Products & Paper | 1.1 | 522,361 | ||||||
Iron/Steel | 0.9 | 421,512 | ||||||
Beverages | 0.7 | 341,855 | ||||||
Healthcare-Products | 0.7 | 324,483 | ||||||
Investment Companies | 0.7 | 321,453 | ||||||
Distribution/Wholesale | 0.6 | 294,206 | ||||||
Biotechnology | 0.6 | 290,162 | ||||||
Household Products/Wares | 0.6 | 279,982 | ||||||
Media | 0.6 | 271,708 | ||||||
Building Materials | 0.5 | 246,448 | ||||||
Entertainment | 0.5 | 217,059 | ||||||
Lodging | 0.4 | 203,985 | ||||||
Coal | 0.4 | 194,754 | ||||||
Electric | 0.4 | 189,740 | ||||||
Diversified Financial Services | 0.4 | 183,607 | ||||||
Water | 0.3 | 151,359 | ||||||
Advertising | 0.2 | 106,070 | ||||||
Machinery-Construction & | ||||||||
Mining | 0.1 | 71,988 | ||||||
Holding Companies-Diversified | 0.1 | 57,011 | ||||||
Machinery-Diversified | 0.1 | 37,409 | ||||||
Preferred Stocks: | ||||||||
Chemicals | 1.0 | 464,106 | ||||||
Forest Products & Paper | 0.9 | 441,533 | ||||||
Auto Manufacturers | 0.6 | 278,868 | ||||||
Other Assets in Excess of Liabilities | 0.3 | 159,470 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 48,019,707 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
8
TOBAM EMERGING MARKETS FUND
Portfolio of Investments
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — 97.2% |
| |||||||
Brazil — 2.1% | ||||||||
BRF SA* | 9,600 | $ | 138,825 | |||||
Embraer SA | 60,400 | 341,939 | ||||||
Fibria Celulose SA | 38,600 | 522,361 | ||||||
|
| |||||||
1,003,125 | ||||||||
|
| |||||||
China — 27.0% | ||||||||
58.com, Inc., ADR* | 4,697 | 296,569 | ||||||
AAC Technologies Holdings, Inc. | 36,500 | 617,638 | ||||||
Air China, Ltd., Class H | 254,000 | 211,264 | ||||||
Aluminum Corp. of China Ltd., Class H* | 104,000 | 93,306 | ||||||
ANTA Sports Products, Ltd. | 157,000 | 660,230 | ||||||
Autohome, Inc., ADR* | 6,047 | 363,304 | ||||||
China Evergrande Group* | 152,000 | 533,007 | ||||||
China Huarong Asset Management Co., Ltd., | 152,000 | 68,062 | ||||||
China Medical System Holdings, Ltd. | 44,000 | 77,055 | ||||||
China Mengniu Dairy Co., Ltd. | 308,000 | 863,977 | ||||||
China Resources Beer Holdings Co., Ltd. | 126,000 | 341,855 | ||||||
China Resources Gas Group, Ltd. | 92,000 | 321,142 | ||||||
China Southern Airlines Co., Ltd., Class H | 230,000 | 158,523 | ||||||
China Vanke Co., Ltd., Class H | 117,700 | 389,412 | ||||||
Country Garden Holdings Co., Ltd. | 162,000 | 258,603 | ||||||
CSPC Pharmaceutical Group, Ltd. | 140,000 | 235,284 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
China — (Continued) | ||||||||
ENN Energy Holdings, Ltd. | 92,000 | $ | 666,506 | |||||
GOME Retail Holdings, Ltd. | 838,000 | 94,674 | ||||||
Great Wall Motor Co., Ltd., Class H | 361,500 | 447,416 | ||||||
Guangdong Investment, Ltd. | 106,000 | 151,359 | ||||||
Guangzhou Automobile Group Co., Ltd., Class H | 34,000 | 79,053 | ||||||
Haitian International Holdings, Ltd. | 13,000 | 37,409 | ||||||
Momo, Inc., SP ADR* | 6,874 | 215,431 | ||||||
NetEase, Inc., ADR | 1,908 | 503,349 | ||||||
New Oriental Education & Technology Group, Inc., SP ADR | 6,676 | 589,224 | ||||||
Semiconductor Manufacturing International Corp.* | 494,000 | 558,930 | ||||||
Shandong Weigao Group Medical Polymer Co., Ltd., Class H | 348,000 | 247,428 | ||||||
Shanghai Pharmaceuticals Holding Co., Ltd., Class H | 40,500 | 99,226 | ||||||
Shenzhou International Group Holdings, Ltd. | 103,000 | 807,766 | ||||||
Sunac China Holdings, Ltd. | 39,000 | 179,109 | ||||||
Sunny Optical Technology Group Co., Ltd. | 34,000 | 545,836 | ||||||
TAL Education Group, ADR | 25,485 | 859,099 | ||||||
Tingyi Cayman Islands Holding Corp. | 350,000 | 527,607 |
The accompanying notes are an integral part of the financial statements.
9
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
China — (Continued) |
| |||||||
Vipshop Holdings, Ltd., ADR* | 19,520 | $ | 171,581 | |||||
Want Want China Holdings, Ltd. | 893,000 | 629,169 | ||||||
YY, Inc., ADR* | 954 | 82,788 | ||||||
|
| |||||||
12,982,191 | ||||||||
|
| |||||||
Colombia — 0.7% | ||||||||
Grupo de Inversiones Suramericana SA | 23,024 | 321,453 | ||||||
|
| |||||||
Czech Republic — 0.3% | ||||||||
Komercni banka as | 3,324 | 145,160 | ||||||
|
| |||||||
Greece — 2.5% | ||||||||
Alpha Bank AE* | 113,664 | 225,313 | ||||||
Eurobank Ergasias SA* | 135,746 | 120,655 | ||||||
Hellenic Telecommunications Organization SA | 17,479 | 211,684 | ||||||
JUMBO SA | 15,821 | 261,595 | ||||||
National Bank of Greece SA* | 479,630 | 163,651 | ||||||
OPAP SA | 20,520 | 217,059 | ||||||
|
| |||||||
1,199,957 | ||||||||
|
| |||||||
Hong Kong — 3.1% | ||||||||
Fullshare Holdings, Ltd. | 1,250,000 | 544,063 | ||||||
Haier Electronics Group Co., Ltd. | 41,000 | 100,351 | ||||||
Sino Biopharmaceutical, Ltd. | 454,000 | 480,984 | ||||||
Sun Art Retail Group, Ltd. | 405,500 | 377,740 | ||||||
|
| |||||||
1,503,138 | ||||||||
|
| |||||||
Indonesia — 3.4% | ||||||||
Bank Danamon Indonesia Tbk PT | 253,400 | 97,875 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Indonesia — (Continued) |
| |||||||
Jasa Marga Persero Tbk PT | 342,900 | $ | 142,532 | |||||
Perusahaan Gas Negara Persero Tbk | 1,512,100 | 176,965 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 2,040,800 | 709,748 | ||||||
Unilever Indonesia Tbk PT | 77,000 | 279,982 | ||||||
United Tractors Tbk PT | 30,300 | 71,988 | ||||||
XL Axiata Tbk PT* | 595,900 | 165,571 | ||||||
|
| |||||||
1,644,661 | ||||||||
|
| |||||||
Malaysia — 2.0% | ||||||||
AirAsia Bhd | 283,200 | 231,606 | ||||||
Axiata Group Bhd | 249,985 | 310,710 | ||||||
Maxis Bhd | 291,700 | 400,677 | ||||||
|
| |||||||
942,993 | ||||||||
|
| |||||||
Mexico — 0.3% | ||||||||
Gruma SAB de CV, Class B | 11,005 | 161,618 | ||||||
|
| |||||||
Peru — 1.2% | ||||||||
Cia de Minas Buenaventura SAA, ADR | 32,166 | 411,403 | ||||||
Southern Copper Corp. | 3,831 | 152,321 | ||||||
|
| |||||||
563,724 | ||||||||
|
| |||||||
Poland — 2.4% | ||||||||
Alior Bank SA* | 6,156 | 115,545 | ||||||
Eurocash SA | 11,362 | 120,252 | ||||||
Orange Polska SA* | 106,093 | 153,929 | ||||||
Polski Koncern Naftowy | ||||||||
ORLEN SA | 22,238 | 742,002 | ||||||
|
| |||||||
1,131,728 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
10
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Russia — 1.6% |
| |||||||
PhosAgro PJSC, GDR | 18,710 | $ | 266,756 | |||||
Rostelecom PJSC | 58,190 | 70,187 | ||||||
Severstal PJSC | 27,880 | 421,512 | ||||||
|
| |||||||
758,455 | ||||||||
|
| |||||||
South Africa — 2.0% | ||||||||
AngloGold Ashanti, Ltd. | 39,553 | 371,601 | ||||||
Gold Fields, Ltd. | 91,724 | 396,672 | ||||||
Sibanye-Stillwater | 174,021 | 195,522 | ||||||
|
| |||||||
963,795 | ||||||||
|
| |||||||
South Korea — 20.7% | ||||||||
AMOREPACIFIC Group | 3,447 | 372,209 | ||||||
BGF retail Co., Ltd. | 2,167 | 157,426 | ||||||
Celltrion, Inc.* | 6,817 | 846,969 | ||||||
Cheil Worldwide, Inc. | 6,664 | 106,070 | ||||||
CJ Corp. | 382 | 57,011 | ||||||
CJ E&M Corp. | 3,111 | 209,832 | ||||||
Coway Co., Ltd. | 7,503 | 616,745 | ||||||
Hanmi Pharm Co., Ltd.* | 1,052 | 418,583 | ||||||
Hanmi Science Co., Ltd.* | 2,362 | 190,014 | ||||||
Hanon Systems | 29,381 | 324,030 | ||||||
Hanssem Co., Ltd. | 1,841 | 243,767 | ||||||
Hanwha Techwin Co., Ltd.* | 6,097 | 177,013 | ||||||
Hyundai Glovis Co., Ltd. | 3,319 | 429,589 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 10,291 | 408,150 | ||||||
Hyundai Mobis Co., Ltd. | 1,832 | 384,643 | ||||||
Hyundai Motor Co. | 1,527 | 200,880 | ||||||
Hyundai Wia Corp. | 3,021 | 172,503 | ||||||
Kakao Corp. | 2,850 | 359,569 | ||||||
Kangwon Land, Inc. | 6,667 | 203,985 | ||||||
KEPCO Plant Service & Engineering Co., Ltd. | 1,675 | 60,746 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
South Korea — (Continued) |
| |||||||
Kia Motors Corp. | 15,195 | $ | 420,397 | |||||
Korea Aerospace | ||||||||
Industries Ltd. | 2,237 | 85,472 | ||||||
LG Display Co., Ltd. | 2,401 | 64,318 | ||||||
LG Household & Health Care, Ltd. | 770 | 629,258 | ||||||
Medy-Tox, Inc. | 230 | 99,673 | ||||||
NAVER Corp. | 213 | 138,968 | ||||||
NCSoft Corp. | 1,505 | 611,866 | ||||||
Orion Corp.* | 3,513 | 297,563 | ||||||
Orion Holdings Corp. | 1 | 9 | ||||||
Pan Ocean Co., Ltd.* | 19,529 | 92,121 | ||||||
Samsung ElectroMechanics Co., Ltd. | 2,683 | 239,797 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 1,133 | 277,653 | ||||||
Samsung Life Insurance Co., Ltd. | 1,991 | 196,804 | ||||||
Samsung SDI Co., Ltd. | 1,360 | 236,626 | ||||||
Shinsegae, Inc. | 1,005 | 171,105 | ||||||
SK Telecom Co., Ltd. | 927 | 206,840 | ||||||
Yuhan Corp. | 1,406 | 253,903 | ||||||
|
| |||||||
9,962,107 | ||||||||
|
| |||||||
Taiwan — 13.3% | ||||||||
Acer, Inc. | 113,000 | 56,555 | ||||||
Asustek Computer, Inc. | 42,000 | 346,114 | ||||||
AU Optronics Corp. | 688,000 | 276,498 | ||||||
Eclat Textile Co., Ltd. | 30,660 | 373,975 | ||||||
Far EasTone Telecommunications Co., Ltd. | 249,000 | 592,411 | ||||||
Feng TAY Enterprise Co., Ltd. | 48,000 | 218,817 | ||||||
General Interface Solution Holding, Ltd. | 13,000 | 129,758 |
The accompanying notes are an integral part of the financial statements.
11
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
September 30, 2017
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Taiwan — (Continued) |
| |||||||
Globalwafers Co., Ltd. | 36,000 | $ | 352,684 | |||||
Hiwin Technologies Corp. | 21,360 | 189,038 | ||||||
HTC Corp.* | 112,000 | 280,786 | ||||||
Innolux Corp. | 725,000 | 339,362 | ||||||
Inventec Corp. | 433,000 | 320,591 | ||||||
Largan Precision Co., Ltd. | 1,000 | 176,415 | ||||||
Micro-Star International Co., Ltd. | 121,000 | 260,993 | ||||||
Nanya Technology Corp. | 116,000 | 329,204 | ||||||
Nien Made Enterprise Co., Ltd. | 24,000 | 246,448 | ||||||
Phison Electronics Corp. | 25,000 | 297,200 | ||||||
Powertech Technology, Inc. | 113,000 | 326,585 | ||||||
President Chain Store Corp. | 36,000 | 303,842 | ||||||
TaiMed Biologics, Inc.* | 30,000 | 190,489 | ||||||
Taiwan High Speed Rail Corp. | 186,000 | 147,682 | ||||||
Taiwan Mobile Co., Ltd. | 147,000 | 523,932 | ||||||
Uni-President Enterprises Corp. | 47,000 | 98,547 | ||||||
|
| |||||||
6,377,926 | ||||||||
|
| |||||||
Thailand — 12.7% | ||||||||
Advanced Info Service PCL | 134,500 | 770,710 | ||||||
Airports of Thailand PCL | 381,300 | 675,719 | ||||||
Bangkok Dusit Medical Services PCL | 714,800 | 439,723 | ||||||
Bangkok Expressway & Metro PCL | 1,322,200 | 319,620 | ||||||
Banpu PCL | 368,300 | 194,754 | ||||||
BEC World PCL | 126,600 | 61,876 | ||||||
Berli Jucker PCL | 185,700 | 294,206 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Thailand — (Continued) |
| |||||||
Bumrungrad Hospital PCL | 66,100 | $ | 426,132 | |||||
Central Pattana PCL | 26,100 | 61,044 | ||||||
Charoen Pokphand Foods PCL | 382,120 | 307,095 | ||||||
CP ALL PCL | 393,600 | 787,790 | ||||||
Delta Electronics Thailand PCL | 62,600 | 164,101 | ||||||
Energy Absolute PCL | 188,700 | 216,839 | ||||||
Glow Energy PCL | 70,900 | 189,740 | ||||||
Indorama Ventures PCL | 188,300 | 238,937 | ||||||
KCE Electronics PCL | 40,100 | 120,244 | ||||||
Minor International PCL | 67,200 | 82,111 | ||||||
Thai Union Group PCL | 357,700 | 214,513 | ||||||
TMB Bank PCL | 2,446,100 | 185,035 | ||||||
True Corp. PCL* | 1,914,200 | 350,756 | ||||||
|
| |||||||
6,100,945 | ||||||||
|
| |||||||
Turkey — 1.9% | ||||||||
Aselsan Elektronik Sanayi Ve Ticaret AS | 33,736 | 249,038 | ||||||
Petkim Petrokimya Holding AS | 110,251 | 185,000 | ||||||
TAV Havalimanlari Holding AS | 26,443 | 131,036 | ||||||
Turk Hava Yollari AO* | 91,189 | 223,900 | ||||||
Ulker Biskuvi Sanayi AS | 22,793 | 123,780 | ||||||
|
| |||||||
912,754 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 46,675,730 | ||||||
|
| |||||||
PREFERRED STOCKS — 2.5% |
| |||||||
Brazil — 1.9% | ||||||||
Braskem SA, Class A(b) | 34,700 | 464,106 |
The accompanying notes are an integral part of the financial statements.
12
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Concluded)
September 30, 2017
Number of Shares | Value | |||||||
PREFERRED STOCKS — (Continued) |
| |||||||
Brazil — (Continued) | ||||||||
Suzano Papel e Celulose SA, Class A(b) | 76,000 | $ | 441,533 | |||||
|
| |||||||
905,639 | ||||||||
|
| |||||||
South Korea — 0.6% | ||||||||
Hyundai Motor Co.(b) | 3,111 | 278,868 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 1,184,507 | |||||||
|
| |||||||
TOTAL | 47,860,237 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3% | 159,470 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 48,019,707 | ||||||
|
|
* | 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 September 30, 2017, this security amounted to $68,062 or 0.1% of net assets. This security has been determined by the Adviser to be a liquid security. |
(b) | Preferred stocks are shares that carry certain preferential rights. The dividend rate may not be consistent each pay period and could be zero for a particular year. |
ADR | American Depository Receipt | |
GDR | Global Depository Receipt | |
PCL | Public Company Limited | |
SP ADR | Sponsored American Depository Receipt |
The accompanying notes are an integral part of the financial statements.
13
TOBAM EMERGING MARKETS FUND
Statement of Assets and Liabilities
September 30, 2017
Assets | ||||
Investments, at value (Cost $42,816,361) | $ | 47,860,237 | ||
Cash | 114,027 | |||
Foreign currency (Cost $80,140) | 79,645 | |||
Dividends receivable | 48,673 | |||
Prepaid expenses and other assets | 19,570 | |||
|
| |||
Total assets | 48,122,152 | |||
|
| |||
Liabilities | ||||
Payable for custodian fees | 42,003 | |||
Payable for audit fees | 19,226 | |||
Payable for administration and accounting fees | 19,185 | |||
Payable for printing fees | 8,235 | |||
Payable for transfer agent fees | 6,238 | |||
Payable for legal fees | 4,449 | |||
Payable to Investment Adviser | 741 | |||
Accrued expenses | 2,368 | |||
|
| |||
Total liabilities | 102,445 | |||
|
| |||
Net Assets | $ | 48,019,707 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 42,300 | ||
Paid-in capital | 42,254,774 | |||
Accumulated net investment income | 627,225 | |||
Accumulated net realized gain from investments and foreign currency transactions | 52,114 | |||
Net unrealized appreciation on investments and assets and liabilities denominated in foreign currency | 5,043,294 | |||
|
| |||
Net Assets | $ | 48,019,707 | ||
|
| |||
Class I: | ||||
Shares outstanding | 4,230,008 | |||
|
| |||
Net asset value, offering and redemption price per share ($48,019,707 / 4,230,008 shares) | $ | 11.35 | ||
|
|
The accompanying notes are an integral part of the financial statements.
14
TOBAM EMERGING MARKETS FUND
Statement of Operations
For the Period Ended September 30, 2017*
Investment Income | ||||
Dividends | $ | 882,222 | ||
Less: foreign taxes withheld | (73,652 | ) | ||
|
| |||
Total investment income | 808,570 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 156,201 | |||
Custodian fees (Note 2) | 45,190 | |||
Administration and accounting fees (Note 2) | 36,644 | |||
Audit fees | 19,226 | |||
Transfer agent fees (Note 2) | 15,915 | |||
Registration and filing fees | 13,348 | |||
Legal fees | 11,761 | |||
Trustees’ and officers’ fees (Note 2) | 9,367 | |||
Printing and shareholder reporting fees | 8,712 | |||
Other expenses | 7,365 | |||
|
| |||
Total expenses before waivers and reimbursements | 323,729 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (157,765 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 165,964 | |||
|
| |||
Net investment income | 642,606 | |||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized gain from investments | 52,114 | |||
Net realized loss from foreign currency transactions | (15,381 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments | 5,043,876 | |||
Net change in unrealized appreciation/(depreciation) on foreign currency transactions | (582 | ) | ||
|
| |||
Net realized and unrealized gain on investments | 5,080,027 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 5,722,633 | ||
|
|
* | The TOBAM Emerging Markets Fund commenced operations on April 25, 2017. |
The accompanying notes are an integral part of the financial statements.
15
TOBAM EMERGING MARKETS FUND
Statement of Changes in Net Assets
For the Period Ended September 30, 2017* | ||||
Increase/(Decrease) in Net Assets from Operations: | ||||
Net investment income | $ | 642,606 | ||
Net realized gain from investments and foreign currency transactions | 36,733 | |||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency transactions | 5,043,294 | |||
|
| |||
Net increase in net assets resulting from operations | 5,722,633 | |||
|
| |||
Increase in Net Assets Derived from Capital Share Transactions (Note 4) | 42,297,074 | |||
|
| |||
Total increase in net assets | 48,019,707 | |||
|
| |||
Net assets | ||||
Beginning of period | — | |||
|
| |||
End of period | $ | 48,019,707 | ||
|
| |||
Accumulated net investment income, end of period | $ | 627,225 | ||
|
|
* | The TOBAM Emerging Markets Fund commenced operations on April 25, 2017. |
The accompanying notes are an integral part of the financial statements.
16
TOBAM EMERGING MARKETS 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 Period April 25, 2017* to September 30, 2017 | ||||
Per Share Operating Performance | ||||
Net asset value, beginning of period | $ | 10.00 | ||
|
| |||
Net investment income(1) | 0.15 | |||
Net realized and unrealized gain on investments | 1.20 | |||
|
| |||
Net increase in net assets resulting from operations | 1.35 | |||
|
| |||
Net asset value, end of period | $ | 11.35 | ||
|
| |||
Total investment return(2) | 13.50 | % | ||
Ratios/Supplemental Data | ||||
Net assets, end of period (in thousands) | $ | 48,020 | ||
Ratio of expenses to average net assets | 0.85 | %(3) | ||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 1.66 | %(3) | ||
Ratio of net investment income to average net assets | 3.29 | %(3) | ||
Portfolio turnover rate | 13.73 | %(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. |
(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.
17
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements
September 30, 2017
1. Organization and Significant Accounting Policies
The TOBAM Emerging Markets Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), and commenced investment operations on April 25, 2017. 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. As of September 30, 2017, Class A and Class C shares had not been issued.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
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 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. 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, provided such amount 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 accordance with procedures adopted by the Trust’s 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 TOBAM (“TOBAM” 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. In the event that market quotes are not readily
18
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2017
available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations.
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.
Securities listed on a non-U.S. exchange are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees and categorized as Level 2 investments within the hierarchy. The fair valuations for these securities may not be the same as quoted or published prices of the securities on their primary markets. Securities for which daily fair value prices from the independent fair value pricing service are not available are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of Valuation Time, as provided by an independent pricing service approved by the Board of Trustees.
The following is a summary of the inputs used, as of September 30, 2017, in valuing the Fund’s investments carried at fair value:
Total Value at 09/30/17 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks: | ||||||||||||||||
Brazil | $ | 1,003,125 | $ | 1,003,125 | $ | — | $ | — | ||||||||
China | 12,982,191 | 3,741,575 | 9,240,616 | — | ||||||||||||
Colombia | 321,453 | 321,453 | — | — |
19
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2017
Total Value at 09/30/17 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks: (Continued) | ||||||||||||||||
Czech Republic | $ | 145,160 | $ | 145,160 | $ | — | $ | — | ||||||||
Greece | 1,199,957 | 478,654 | 721,303 | — | ||||||||||||
Hong Kong | 1,503,138 | 544,063 | 959,075 | — | ||||||||||||
Indonesia | 1,644,661 | 351,970 | 1,292,691 | — | ||||||||||||
Malaysia | 942,993 | 400,677 | 542,316 | — | ||||||||||||
Mexico | 161,618 | 161,618 | — | — | ||||||||||||
Peru | 563,724 | 563,724 | — | — | ||||||||||||
Poland | 1,131,728 | 235,797 | 895,931 | — | ||||||||||||
Russia | 758,455 | — | 758,455 | — | ||||||||||||
South Africa | 963,795 | — | 963,795 | — | ||||||||||||
South Korea | 9,962,107 | 1,097,926 | 8,864,181 | — | ||||||||||||
Taiwan | 6,377,926 | — | 6,377,926 | — | ||||||||||||
Thailand | 6,100,945 | — | 6,100,945 | — | ||||||||||||
Turkey | 912,754 | — | 912,754 | — | ||||||||||||
Preferred Stocks: | ||||||||||||||||
Brazil | 905,639 | 905,639 | — | — | ||||||||||||
South Korea | 278,868 | — | 278,868 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 47,860,237 | $ | 9,951,381 | $ | 37,908,856 | $ | — | ||||||||
|
|
|
|
|
|
|
|
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.
20
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2017
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 period ended September 30, 2017, there were no transfers between Levels 1, 2 and 3 for the Fund.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes 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. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/ depreciation as such income and/or gains are earned. 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
21
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2017
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 may 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 (the “Internal Revenue 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.
Currency Risk — The Fund invests in securities of foreign issuers, including American Depository 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
22
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2017
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 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.
Recent Accounting Pronouncement — On August 1, 2017, the Fund implemented amendments to Regulation S-X, issued by the Securities and Exchange Commission, which require standardized, enhanced disclosures, particularly related to derivatives, in investment company financial statements. Adoption had no effect on the Fund’s net assets or results of operations.
2. Transactions with Related Parties and Other Service Providers
TOBAM serves as investment adviser to the Fund. For its services, the Adviser was paid a monthly fee at the annual of 0.80% of the Fund’s average daily net assets. The Adviser has contractually agreed to waive fees and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items and brokerage commissions) do not exceed (on an annual basis) 0.85%, with respect to the Fund’s average daily net assets of the Class I shares, (“Expense Limitation”). The Expense Limitation will remain in place until April 30, 2018, and from May 1, 2018 through January 31, 2019, the Adviser will reduce its compensation and/or reimburse certain expenses for the Fund, to the extent necessary to ensure that the Fund’s total operating expenses, (exclusive of taxes, “Acquired Fund” fees and expenses (as defined in Form N-1A), dividend and interest expense on securities sold short, interest, extraordinary items and brokerage commissions), do not exceed (on an annual basis) 1.10%, with respect to the Fund’s average daily net assets of the Class I shares, 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
23
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2017
expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount. As of September 30, 2017, the amount of potential recovery was as follows:
Expiration | ||||
September 30, 2020 | ||||
$135,477 |
For the period ended September 30, 2017, the Adviser earned advisory fees of $156,201 and waived fees of $135,477.
For the period ended September 30, 2017, the Fund engaged in purchases and sales of securities from or to affiliated funds in the amount of $192,211 and $599,481, respectively, and had net realized gains from sales of $44,249.
Other Service Providers
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 the period ended September 30,2017, BNY Mellon accrued administration and accounting fees totaling $36,644 and waived fees totaling $14,000.
For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses. For the period ended September 30, 2017, BNY Mellon accrued transfer agent fees totaling $15,915 and waived fees totaling $5,100.
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. For the period ended September 30, 2017, BNY Mellon accrued custodian fees totaling $45,190 and waived fees totaling $3,188.
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 pursuant to an underwriting agreement between the Trust and the Underwriter.
24
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2017
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. The remuneration paid to the Trustees by the Fund during the period ended September 30, 2017 was $4,128. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Fund or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. JWFM is compensated for the services provided to the Trust.
Freeh Group International Solutions, LLC provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer.
3. Investment in Securities
From April 25, 2017, commencement of operations, to September 30, 2017, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 48,005,290 | $ | 5,288,801 |
4. Capital Share Transactions
From April 25, 2017, commencement of operations, to September 30, 2017, transactions in capital shares (authorized shares unlimited) were as follows:
For the Period Ended September 30, 2017 | ||||||||
Shares | Amount | |||||||
Class I | ||||||||
Sales | 4,230,008 | $ | 42,297,074 | |||||
|
|
|
| |||||
Net increase | 4,230,008 | $ | 42,297,074 | |||||
|
|
|
|
* | There is a 1.00% 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 Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
25
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2017
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.
Distributions are determined in accordance with federal income tax regulations, which may differ in amount or character from net investment income and realized gains for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the components of net assets based on the tax treatment; temporary differences do not require reclassifications. For the period ended September 30, 2017, these adjustments were to decrease undistributed net investment income by $15,381 and increase accumulated net realized gain by $15,381. These permanent differences were primarily attributable to the reclassification of gains and losses on foreign currency transactions. Net assets were not affected by these adjustments.
During the period from April 25, 2017, commencement of operations, to September 30, 2017, the Fund had no distributions from ordinary income or long-term capital gains.
As of September 30, 2017, 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 | |||||||||||||||||||
$— | $789,590 | $— | $4,933,043 | $— |
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.
26
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Concluded)
September 30, 2017
As of September 30, 2017, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost | $ | 42,926,612 | ||||
|
| |||||
Gross unrealized appreciation | $ | 6,200,378 | ||||
Gross unrealized depreciation | (1,266,753 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 4,933,625 | ||||
|
|
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain net capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30, and (ii) specified ordinary and currency losses between November 1 and September 30) as occurring on the first day of the following tax year. For the period ended September 30, 2017, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2017. As of September 30, 2017, the Fund had no capital loss deferrals and no late year ordinary loss deferrals.
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2017 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2017, 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.
27
TOBAM EMERGING MARKETS FUND
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and
Shareholders of TOBAM Emerging Markets Fund
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of TOBAM Emerging Markets Fund (one of the series constituting FundVantage Trust) (the “Fund”) as of September 30, 2017, and the related statement of operations, the statement of changes in net assets, and the financial highlights for the period April 25, 2017 (commencement of operations) to September 30, 2017. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2017, by correspondence with the custodian. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of TOBAM Emerging Markets Fund (one of the series constituting FundVantage Trust) at September 30, 2017, and the results of its operations, the changes in its net assets, and its financial highlights for the period April 25, 2017 (commencement of operations) to September 30, 2017 in conformity with U.S. generally accepted accounting principles.
Philadelphia, Pennsylvania
November 28, 2017
28
TOBAM EMERGING MARKETS FUND
Shareholder Tax Information
(Unaudited)
The Fund is required by Subchapter M of the Internal Revenue Code to advise its shareholders of the U.S. federal tax status of distributions received by the Fund’s shareholders in respect of such fiscal year. There were no distributions for the TOBAM Emerging Markets Fund. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The TOBAM Emerging Markets Fund paid foreign taxes and recognized foreign source income as follows:
Foreign Taxes Paid | Foreign Source Income | |
$26,229 | $880,735 |
All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2017. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2018.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
29
TOBAM EMERGING MARKETS 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) 282-6161 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 December 31 and June 30) 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.
Board Consideration of Investment Advisory Agreement
At a meeting held on June 20-21, 2016 (the “June Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of FundVantage Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), unanimously approved a form of investment advisory agreement between TOBAM (the “Adviser,” or “TOBAM”) and the Trust (the “Agreement”) on behalf of the TOBAM Emerging Markets Fund (the “Fund”). At the June Meeting, the Board considered the approval of the Agreement for an initial two year period.
In determining whether to approve the Agreement, the Trustees considered information provided by the Adviser at the June Meeting in accordance with Section 15(c) of the 1940 Act regarding: (i) services to be 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 TOBAM, (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 TOBAM’s ability to service the Fund, (x) compliance with TOBAM’s policies and procedures (including codes of ethics and proxy voting policies) and (xi) compliance with federal securities laws and other regulatory requirements.
30
TOBAM EMERGING MARKETS FUND
Other Information
(Unaudited) (Continued)
Representatives from TOBAM attended the June Meeting in person and via teleconference. At the June Meeting, the representatives discussed TOBAM’s history, performance and investment strategies in connection with the proposed approval of the Agreement and answered questions from the Board.
Performance. The Trustees considered that the proposed strategy for the Fund was new, and therefore did not have historical performance. However, the Trustees reviewed the performance information of a separate account composite and a comparable account managed by TOBAM with strategies similar to that to be employed by the Fund. At the June Meeting, the Trustees reviewed the performance of the comparable account from its inception on June 29, 2011 through April 30, 2016 and the performance of the separate account composite from June 30, 2011 through April 30, 2016. The Trustees concluded that the performance information relating to the comparable funds and separate account composite demonstrated TOBAM’s ability to execute investment strategies of the type to be employed by the Fund.
Fees. The Trustees noted that the representatives of TOBAM had provided information regarding its proposed advisory fees and an analysis of those fees in relation to the services to be provided to the Fund and any other ancillary benefit to result from the TOBAM’s relationship with the Fund. The Trustees also reviewed information regarding the fees TOBAM charges to other clients and evaluated explanations provided by TOBAM as to differences in fees charged to the Fund and other similarly managed accounts. The Trustees evaluated explanations provided by TOBAM regarding its belief that the proposed advisory fee is within the normal range of fees and expenses for funds of similar size, composition and type of investment product. The Trustees concluded that the advisory fee and services proposed to be provided by TOBAM are sufficiently consistent with those of other advisers which manage mutual funds with investment objectives, strategies and policies similar to those of the Fund as measured by the information provided by TOBAM.
Experience and Qualifications of the Adviser. The Trustees then considered the level and depth of knowledge of TOBAM, including the professional experience and qualifications of senior personnel. In evaluating the quality of services to be provided by TOBAM, the Board took into account TOBAM’s compliance policies and procedures and reports regarding TOBAM’s compliance operations from the Trust’s Chief Compliance Officer. The Board also considered any potential conflicts of interest that may arise in TOBAM’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 proposed to be provided to the Fund by TOBAM 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 Fund is likely to benefit from the continued receipt of those services. In considering the Agreement, the Board also concluded that TOBAM 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.
31
TOBAM EMERGING MARKETS FUND
Other Information
(Unaudited) (Concluded)
Cost. The Trustees also considered the cost of the services to be provided by TOBAM, the compensation and benefits to be received by TOBAM in providing services to the Fund, as well as TOBAM’s profitability. The Trustees noted that TOBAM provided its audited financial statements as of December 31, 2015 to the Board for review. The Trustees considered any direct or indirect revenues that would be received by TOBAM. The Trustees noted that the level of profitability is an appropriate factor to consider, and that the Trustees should be satisfied that TOBAM’s profits are sufficient to continue as a healthy concern generally and as investment adviser of the Fund. Based on the information provided, the Trustees concluded that TOBAM’s advisory fee level was reasonably in relation to the nature and quality of the services to be provided, taking into account the projected growth of the Fund.
Economies of Scale. The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the Fund is anticipated to grow, and whether the advisory fee levels reflect those 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 shareholders, but that the advisory fee structure of the Fund did not include breakpoint reductions as asset levels increase.
The Trustees determined to approve the Agreement for an initial two year period. In voting to approve the Agreement, the Board considered all factors it deemed relevant and the information presented to the Board by TOBAM. 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, including a majority of the Independent Trustees, unanimously approved the Agreement with respect to the Fund for an initial two year period.
32
TOBAM EMERGING MARKETS FUND
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 (844) 282-6161.
33
TOBAM EMERGING MARKETS FUND
Fund Management
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Fund. The address of each Trustee and Officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Fund contains additional information about the Trustees and is available, without charge, upon request by calling (844) 282-6161.
Name and Date of Birth
| Position(s) Held with Trust
| Term of Office and Length of Time Served
| Principal Occupation(s)
|
Number of Funds in Trust Complex Overseen by Trustee
| Other
| |||||
INDEPENDENT TRUSTEES
| ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee and Chairman since 2007. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006.
| 42 | Optimum Fund Trust (registered investment company with 6 portfolios). | |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007.
| University Professor, Widener University. | 42 | None. |
34
TOBAM EMERGING MARKETS FUND
Fund Management (Continued)
(Unaudited)
Name and Date of Birth
| Position(s) Held with Trust
| Term of Office and Length of Time Served
| Principal Occupation(s) During Past Five Years
| Number of Funds in Trust Complex Overseen by Trustee
| Other Directorships Held by Trustee
| |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2016. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010.
| 42 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios). | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Asset Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008.
| 42 | Copeland Trust (registered investment company with 2 portfolios). Context Capital Funds (registered investment company with 1 portfolio). | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007.
| 42 | None. |
35
TOBAM EMERGING MARKETS FUND
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth
| Position(s) Held with Trust
|
Term of Office and Length of Time Served
| Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS
| ||||||
JOEL L. WEISS Date of Birth: 1/63 |
President and Chief Executive Officer |
Shall serve until death, resignation or removal. Officer since 2007. |
President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016.
| |||
T. RICHARD KEYES Date of Birth: 1/57 |
Treasurer and Chief Financial Officer |
Shall serve until death, resignation or removal. Officer since 2016. |
President of TRK Fund Consulting LLC since July 2016; Head of Tax — U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016.
| |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 |
Secretary |
Shall serve until death, resignation or removal. Officer since 2012. |
Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001.
| |||
DAVID C. LEBISKY Date of Birth: 5/72 |
Chief Compliance Officer and Anti-Money Laundering Officer |
Shall serve until death, resignation or removal. Officer since 2015. |
President of Lebisky Compliance Consulting LLC since October 2015; Senior Consultant, Freeh Group International Solutions, LLC (a global risk management firm) since 2015; Scotia Institutional Investments US, LP, Director of Regulatory Administration from 2010 to 2014.
|
36
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Investment Adviser
TOBAM
49-53, Avenue des Champs-Élysées
75008 Paris, France
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
225 Liberty Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7096
Legal Counsel
Pepper Hamilton LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
TOBAM EMERGING
MARKETS FUND
of
FundVantage Trust
Class I
ANNUAL REPORT
September 30, 2017
This report is submitted for the general information of the shareholders of The TOBAM Emerging Markets Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the TOBAM Emerging Markets Fund.
TOB-0917
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party, and that relates to any element of the code of ethics description. |
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(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
The Audit Committee of the Board of Trustees currently is comprised of Nicholas Marsini, Iqbal Mansur and Stephen M. Wynne, each of whom is considered “independent” within the meaning set forth under Item 3 of Form N-CSR. The Board of Trustees has determined that each of Messrs. Mansur, Marsini and Wynne is an “audit committee financial expert” as such term is defined by Item 3 of Form N-CSR.
The Registrant’s Board of Trustees has determined that Dr. Mansur acquired the attributes necessary to be considered an audit committee financial expert through his experience as a university professor of finance and because he has authored over 25 finance-related articles in peer reviewed publications.
The Registrant’s Board of Trustees has determined that Mr. Wynne acquired the attributes necessary to be considered an audit committee financial expert through his experience as a chief executive officer (and other senior-level accounting and/or financial positions) of several large financial institutions and because he has co-authored a text book on mutual fund accounting.
The Registrant’s Board of Trustees has determined that Mr. Marsini acquired the attributes necessary to be considered an audit committee financial expert through his experience as a chief executive officer or a chief financial officer (and other senior-level positions) of several large financial institutions.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $492,180 for the fiscal year ending September 30, 2017 and $213,590 for the fiscal year ending September 30, 2016. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $3,000 for the fiscal year ending September 30, 2017 and $0 for the fiscal year ending September 30, 2016. These fees were for review of 485(a) filings for two funds. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $4,716 for the fiscal year ending September 30, 2017 and $6,359 for the fiscal year ending September 30, 2016. These fees were for the Passive Foreign Investment Company (PFIC) analysis. |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for the fiscal year ending September 30, 2017 and $0 for the fiscal year ending September 30, 2016. |
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The Registrant’s Audit Committee Charter requires the Audit Committee to (i) (a) approve prior to appointment the engagement of independent registered public accounting firm to annually audit and provide their opinion on the Registrant’s financial statements, (b) recommend to the Independent Trustees the selection, retention or termination of the Registrant’s independent registered public accounting firm and, (c) in connection therewith, to review and evaluate matters potentially affecting the independence and capabilities of the independent registered public accounting firm; and (ii) to approve prior to appointment the engagement of the independent registered public accounting firm to provide other audit
services to the Registrant, or to provide non-audit services to the Registrant, its series, an investment adviser to its series or any entity controlling, controlled by, or under common control with an investment adviser to its series (“adviser-affiliate”) that provides ongoing services to the Registrant if the engagement relates directly to the operations and financial reporting of the Registrant. The Audit Committee will not approve non-audit services that the Audit Committee believes may impair the independence of the Registrant’s independent registered public accountant. The Audit Committee may delegate, to the extent permitted by law, pre-approved responsibilities to one or more members of the Audit Committee who shall report to the full Audit Committee.
(e)(2) | Not applicable. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were $7,716 for the fiscal year ending September 30, 2017 and $6,359 for the fiscal year ending September 30, 2016. |
(h) | 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 last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable. |
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to 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. |
(a)(4) | 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 12/8/2017 |
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 12/8/2017 |
By (Signature and Title)* /s/ T. Richard Keyes | ||||
T. Richard Keyes, Treasurer and | ||||
Chief Financial Officer | ||||
(principal financial officer) |
Date 12/8/2017 |
* | Print the name and title of each signing officer under his or her signature. |