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: March 31, 2018
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
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Total Returns for the Period Ended March 31, 2018 | ||||||||||
Six Months† | Since Inception | |||||||||
Institutional Class* | 7.99 | % | 13.82 | % | ||||||
MSCI USA Index (Net Returns)
|
| 5.59
| %
|
| 11.89
| %**
|
† | 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 table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement”, are 3.25% and 0.95%, respectively, for Institutional Class shares of the Fund’s average daily net assets. These ratios are stated in the current prospectus dated February 1, 2018, 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, dividend and interest expense on securities sold short, 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 (the “Expense Limitation”). The Expense Limitation 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, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount that was in effect at the time of the Expense Limitation.
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.
All mutual fund investing involves risk, including possible loss of principal.
ARABESQUE SYSTEMATIC USA FUND
Fund Expense Disclosure
March 31, 2018
(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 at the beginning of the six month period from October 1, 2017 through March 31, 2018 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.
2
ARABESQUE SYSTEMATIC USA FUND
Fund Expense Disclosure (Concluded)
March 31, 2018
(Unaudited)
Arabesque Systematic USA Fund | |||||||||||||||
Beginning Account Value October 1, 2017 | Ending Account Value March 31, 2018 | Expenses Paid During Period* | |||||||||||||
Institutional Class | |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,079.90 | $ | 4.93 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.19 | 4.78 |
* | Expenses are equal to an annualized expense ratio for the six-month period ended March 31, 2018 of 0.95% for the Institutional Class of the Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (182), then divided by 365 to reflect the period. The Fund’s ending account value on the first line in the table is based on the actual six-month total returns for the Fund of 7.99% for Institutional Class shares. |
3
ARABESQUE SYSTEMATIC USA FUND
Portfolio Holdings Summary Table
March 31, 2018
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||
COMMON STOCKS: | ||||||||
Technology | 34.4 | % | $ | 8,704,688 | ||||
Consumer, Non-cyclical | 28.3 | 7,175,779 | ||||||
Consumer, Cyclical | 9.5 | 2,411,768 | ||||||
Industrial | 8.7 | 2,209,264 | ||||||
Communications | 7.5 | 1,898,879 | ||||||
Financial | 5.5 | 1,392,297 | ||||||
Energy | 3.4 | 871,465 | ||||||
Other Assets In Excess of Liabilities | 2.7 | 679,105 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 25,343,245 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
4
ARABESQUE SYSTEMATIC USA FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 97.3% |
| |||||||
Communications — 7.5% |
| |||||||
Imperva, Inc.* | 11,400 | $ | 493,620 | |||||
Palo Alto Networks, Inc.* | 2,700 | 490,104 | ||||||
Proofpoint, Inc.* | 4,700 | 534,155 | ||||||
RingCentral, Inc., Class A* | 6,000 | 381,000 | ||||||
|
| |||||||
1,898,879 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.5% |
| |||||||
Darden Restaurants, Inc. | 4,200 | 358,050 | ||||||
Domino’s Pizza, Inc. | 2,200 | 513,832 | ||||||
Home Depot, Inc. (The) | 2,360 | 420,646 | ||||||
McDonald’s Corp. | 2,400 | 375,312 | ||||||
Ross Stores, Inc. | 5,700 | 444,486 | ||||||
Thor Industries, Inc. | 2,600 | 299,442 | ||||||
|
| |||||||
2,411,768 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 28.3% |
| |||||||
Abbott Laboratories | 7,400 | 443,408 | ||||||
Align Technology, Inc.* | 1,860 | 467,102 | ||||||
Baxter International, Inc. | 6,050 | 393,492 | ||||||
Becton Dickinson and Co. | 1 | 118 | ||||||
Bright Horizons Family Solutions, Inc.* | 5,100 | 508,572 | ||||||
Calavo Growers, Inc. | 2,000 | 184,400 | ||||||
Chemed Corp. | 1,000 | 272,860 | ||||||
Cintas Corp. | 350 | 59,703 | ||||||
Edwards Lifesciences Corp.* | 3,400 | 474,368 | ||||||
Eli Lilly & Co. | 5,100 | 394,587 | ||||||
FleetCor Technologies, Inc.* | 2,350 | 475,875 | ||||||
Green Dot Corp., Class A* | 7,900 | 506,864 | ||||||
IDEXX Laboratories, Inc.* | 2,400 | 459,336 | ||||||
Insperity, Inc. | 7,100 | 493,805 | ||||||
Paylocity Holding Corp.* | 4,700 | 240,781 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer, Non-cyclical — (Continued) |
| |||||||
PRA Health Sciences, Inc.* | 5,700 | $ | 472,872 | |||||
Quest Diagnostics, Inc. | 1,700 | 170,510 | ||||||
S&P Global, Inc. | 2,500 | 477,650 | ||||||
Thermo Fisher Scientific, Inc. | 2,100 | 433,566 | ||||||
WellCare Health Plans, Inc.* | 1,270 | 245,910 | ||||||
|
| |||||||
7,175,779 | ||||||||
|
| |||||||
Energy — 3.4% | ||||||||
ConocoPhillips | 7,600 | 450,604 | ||||||
Pioneer Natural Resources Co. | 2,450 | 420,861 | ||||||
|
| |||||||
871,465 | ||||||||
|
| |||||||
Financial — 5.5% | ||||||||
First Merchants Corp. | 5,700 | 237,690 | ||||||
Progressive Corp. (The) | 5,500 | 335,115 | ||||||
Visa, Inc., Class A | 4,250 | 508,385 | ||||||
Zions Bancorporation | 5,900 | 311,107 | ||||||
|
| |||||||
1,392,297 | ||||||||
|
| |||||||
Industrial — 8.7% | ||||||||
AO Smith Corp. | 5,200 | 330,668 | ||||||
Exponent, Inc. | 3,000 | 235,950 | ||||||
Illinois Tool Works, Inc. | 2,650 | 415,149 | ||||||
Masco Corp. | 5,400 | 218,376 | ||||||
Mettler-Toledo International, Inc.* | 690 | 396,771 | ||||||
Nordson Corp. | 1,900 | 259,046 | ||||||
Waste Management, Inc. | 4,200 | 353,304 | ||||||
|
| |||||||
2,209,264 | ||||||||
|
| |||||||
Technology — 34.4% | ||||||||
Adobe Systems, Inc.* | 2,400 | 518,592 |
The accompanying notes are an integral part of the financial statements.
5
ARABESQUE SYSTEMATIC USA FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology — (Continued) |
| |||||||
Applied Materials, Inc. | 9,000 | $ | 500,490 | |||||
Five9, Inc.* | 16,000 | 476,640 | ||||||
Fortinet, Inc.* | 9,700 | 519,726 | ||||||
HubSpot, Inc.* | 4,950 | 536,085 | ||||||
Lam Research Corp. | 2,400 | 487,584 | ||||||
Microchip Technology, Inc. | 4,100 | 374,576 | ||||||
Microsoft Corp. | 4,600 | 419,842 | ||||||
MKS Instruments, Inc. | 4,200 | 485,730 | ||||||
MSCI, Inc. | 3,300 | 493,251 | ||||||
New Relic, Inc.* | 6,200 | 459,544 | ||||||
NVIDIA Corp. | 2,000 | 463,180 | ||||||
ON Semiconductor Corp.* | 19,900 | 486,754 | ||||||
Paycom Software, Inc.* | 5,000 | 536,950 | ||||||
Red Hat, Inc.* | 600 | 89,706 | ||||||
salesforce.com, Inc.* | 4,200 | 488,460 | ||||||
ServiceNow, Inc.* | 3,000 | 496,350 | ||||||
Silicon Laboratories, Inc.* | 4,000 | 359,600 | ||||||
Splunk, Inc.* | 5,200 | 511,628 | ||||||
|
| |||||||
8,704,688 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 24,664,140 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 97.3% |
| 24,664,140 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.7% | 679,105 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 25,343,245 | ||||||
|
|
* | Non-income producing. |
The accompanying notes are an integral part of the financial statements.
6
ARABESQUE SYSTEMATIC USA FUND
Statement of Assets and Liabilities
March 31, 2018
(Unaudited)
Assets | ||||
Investments, at value (Cost $22,738,163) | $ | 24,664,140 | ||
Cash | 714,140 | |||
Receivable for investments sold | 723,698 | |||
Receivable for capital shares sold | 103,229 | |||
Dividends receivable | 7,269 | |||
Deferred offering costs (Note 1) | 1,870 | |||
Prepaid expenses and other assets | 25,464 | |||
|
| |||
Total assets | 26,239,810 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 838,522 | |||
Payable for capital shares redeemed | 13,776 | |||
Payable for audit fees | 8,407 | |||
Payable for printing fees | 7,939 | |||
Payable for administration and accounting fees | 7,478 | |||
Payable to Adviser | 5,807 | |||
Payable for custodian fees | 5,027 | |||
Payable for transfer agent fees | 4,768 | |||
Payable for legal fees | 4,121 | |||
Accrued expenses | 720 | |||
|
| |||
Total liabilities | 896,565 | |||
|
| |||
Net Assets | $ | 25,343,245 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 22,266 | ||
Paid-in capital | 23,496,865 | |||
Accumulated net investment loss | (13,406 | ) | ||
Accumulated net realized loss from investments | (88,457 | ) | ||
Net unrealized appreciation on investments | 1,925,977 | |||
|
| |||
Net Assets | $ | 25,343,245 | ||
|
|
Institutional Class: | ||||
Shares outstanding | 2,226,634 | |||
|
| |||
Net asset value, offering and redemption price per share ($25,343,245 / 2,226,634 shares) | $ | 11.38 | ||
|
|
The accompanying notes are an integral part of the financial statements.
7
ARABESQUE SYSTEMATIC USA FUND
Statement of Operations
For the Six Months Ended March 31, 2018
(Unaudited)
Investment Income | ||||
Dividends | $ | 84,260 | ||
|
| |||
Total investment income | 84,260 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 75,410 | |||
Administration and accounting fees (Note 2) | 37,479 | |||
Legal fees | 14,576 | |||
Transfer agent fees (Note 2) | 13,662 | |||
Registration and filing fees | 11,586 | |||
Offering expenses | 10,964 | |||
Audit fees | 10,934 | |||
Custodian fees (Note 2) | 10,333 | |||
Trustees’ and officers’ fees (Note 2) | 9,267 | |||
Printing and shareholder reporting fees | 7,899 | |||
Other expenses | 3,897 | |||
|
| |||
Total expenses before waivers and reimbursements | 206,007 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (110,142 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 95,865 | |||
|
| |||
Net investment loss | (11,605 | ) | ||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized gain from investments | 198,358 | |||
Net change in unrealized appreciation/(depreciation) on investments | 1,025,077 | |||
|
| |||
Net realized and unrealized gain on investments | 1,223,435 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 1,211,830 | ||
|
|
The accompanying notes are an integral part of the financial statements.
8
ARABESQUE SYSTEMATIC USA FUND
Statement of Changes in Net Assets
For the Six Months Ended March 31, 2018 (Unaudited) | For the Period Ended September 30, 2017* | |||||||||
Increase/(Decrease) in Net Assets from Operations: | ||||||||||
Net investment loss | $ | (11,605 | ) | $ | (7,557 | ) | ||||
Net realized gain/(loss) from investments | 198,358 | (286,815 | ) | |||||||
Net change in unrealized appreciation/(depreciation) on investments | 1,025,077 | 900,900 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 1,211,830 | 606,528 | ||||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Institutional Class: | ||||||||||
Net investment income | (3,400 | ) | — | |||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (3,400 | ) | — | |||||||
|
|
|
| |||||||
Increase in Net Assets Derived from Capital Share Transactions (Note 4) | 9,021,280 | 14,507,007 | ||||||||
|
|
|
| |||||||
Total increase in net assets | 10,229,710 | 15,113,535 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 15,113,535 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 25,343,245 | $ | 15,113,535 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss), end of period | $ | (13,406 | ) | $ | 1,599 | |||||
|
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|
|
* | The Arabesque Systematic USA Fund commenced operations on May 3, 2017. |
The accompanying notes are an integral part of the financial statements.
9
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 Six Months Ended March 31, 2018 (Unaudited) | For the Period May 3, 2017*to September 30, 2017 | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 10.54 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment loss(1) | (0.01 | ) | (0.01 | ) | ||||||
Net realized and unrealized gain on investments | 0.85 | 0.55 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 0.84 | 0.54 | ||||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | — | (2) | — | |||||||
Net asset value, end of period | $ | 11.38 | $ | 10.54 | ||||||
|
|
|
| |||||||
Total investment return(3) | 7.99 | % | 5.40 | % | ||||||
Ratios/Supplemental Data | ||||||||||
Net assets, end of period (in thousands) | $ | 25,343 | $ | 15,114 | ||||||
Ratio of expenses to average net assets | 0.95 | %(4) | 0.95 | %(4) | ||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(5) | 2.05 | %(4) | 3.25 | %(4) | ||||||
Ratio of net investment loss to average net assets | (0.12 | )%(4) | (0.16 | )%(4) | ||||||
Portfolio turnover rate | 111.00 | %(6) | 82.18 | %(6) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
10
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
March 31, 2018
(Unaudited)
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 March 31, 2018, 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. 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 Arabesque (“Arabesque” 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
11
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
March 31, 2018
(Unaudited)
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 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.
The following is a summary of the inputs used, as of March 31, 2018,in valuing the Fund’s investments carried at fair value:
Total Value at 03/31/18 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks* | $ | 24,664,140 | $ | 24,664,140 | $ | — | $ | — | ||||||||
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* Please refer to Portfolio of Investments for further details on portfolio holdings.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund
12
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
March 31, 2018
(Unaudited)
may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that present 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 March 31, 2018, 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 March 31, 2018, the remaining amount still to be amortized for the Fund was $1,870.
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
13
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
March 31, 2018
(Unaudited)
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.
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, dividend and interest expense on securities sold short, 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 (the “Expense Limitation”). The Expense Limitation 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, such amounts reduced or reimbursed for a period of up to three (3) years from the year in which the Adviser reduced its compensation and/or assumed expenses for the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount that was in effect at the time of the Expense Limitation. As of March 31, 2018, the amount of potential recovery was as follows:
Expiration | ||||
September 30, 2020 | September 30, 2021 | Total | ||
$70,327 | $70,010 | $140,337 |
14
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
March 31, 2018
(Unaudited)
For the six month period ended March 31, 2018, the Adviser earned advisory fees of $75,410 and waived fees and reimbursed expenses of $70,010.
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses. For the six month period ended March 31, 2018, BNY Mellon accrued administration and accounting fees totaling $37,479 and waived fees totaling $25,773. For the six month period ended March 31, 2018, BNY Mellon accrued custodian fees totaling $10,333 and waived fees totaling $5,523.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Fund. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses. For the six month period ended March 31, 2018, BNY Mellon accrued transfer agent fees totaling $13,662 and waived fees totaling $8,836.
BNY Mellon and the Transfer Agent have the ability to recover such amounts previously waived, if the Fund terminates its agreements with BNY Mellon or the Transfer Agent 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 March 31, 2018 was $3,034. 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.
15
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements
March 31, 2018
(Unaudited)
3. Investment in Securities
For the six months ended March 31, 2018, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 30,377,415 | $ | 21,663,952 |
4. Capital Share Transactions
For the six months ended March 31, 2018 and for the period ended September 30, 2017, transactions in capital shares of the Fund (authorized shares unlimited) were as follows:
For the Six Months Ended March 31, 2018 | For the Period Ended September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Institutional Class | ||||||||||||||||
Sales | 965,741 | $ | 11,005,173 | 1,462,795 | $ | 14,798,773 | ||||||||||
Reinvestments | 261 | 2,890 | — | — | ||||||||||||
Redemption Fees* | — | 170 | — | — | ||||||||||||
Redemptions | (173,873 | ) | (1,986,953 | ) | (28,290 | ) | (291,766 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 792,129 | $ | 9,021,280 | 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.
16
ARABESQUE SYSTEMATIC USA FUND
Notes to Financial Statements (Concluded)
March 31, 2018
(Unaudited)
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 Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation | Qualified Late-Year Losses | ||||
$(286,815) | $1,599 | $— | $900,900 | $— |
As of March 31, 2018, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost* | $ | 22,738,163 | ||||
|
| |||||
Gross unrealized appreciation | $ | 2,150,409 | ||||
Gross unrealized depreciation | (224,432 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 1,925,977 | ||||
|
|
* | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report. |
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.
17
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.
18
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Investment Adviser
Arabesque Asset Management Ltd
43 Grosvenor Street
London W1K 3HL
England
The United Kingdom
Administrator
The Bank of New York Mellon
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
SEMI-ANNUAL
REPORT
March 31, 2018
(Unaudited)
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-0318
GOTHAM FUNDS
of
FundVantage Trust
Gotham Absolute Return Fund
Gotham Enhanced Return Fund
Gotham Neutral Fund
SEMI-ANNUAL REPORT
March 31, 2018
(Unaudited)
This report is submitted for the general information of the shareholders of the Gotham Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Gotham Funds.
GOTHAM FUNDS
Important Information
The performance data quoted in this report represents past performance and does not guarantee future results. The investment return and principal value of an investment in a Gotham Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
Each Gotham Fund covered by this report (each a, “Fund”) compares its performance to an unmanaged index. An index does not reflect operational and transactional costs which apply to a mutual fund. It is not possible to invest direct in an index.
Mutual fund investing involves risks, including possible loss of principal. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Each Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. A 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. A Fund may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs to a Fund. There can be no guarantee that a Fund will achieve its objectives.
A prospective investor should consider the investment objectives, risks, charges and expenses of a Fund carefully before investing. The prospectus and summary prospectus contains this and other information about the Funds, and should be read carefully before investing. A copy of the prospectus or summary prospectus is available at www.GothamFunds.com or by calling 877-974-6852.
1
GOTHAM FUNDS
Gotham Absolute Return Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018 | ||||||||||||||||||||
Six Months* | 1 Year | 3 year | 5 Year | Since Inception | ||||||||||||||||
Institutional Class Shares | 5.02% | 7.65% | 2.90% | 7.10% | 8.62%** | |||||||||||||||
HFRX Equity Hedge Index | 3.93% | 8.35% | 2.10% | 3.12% | 4.12%*** |
* | Not Annualized. |
** | The Gotham Absolute Return Fund (the “Fund”) commenced operations on August 31, 2012. |
*** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 2.95% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 2.81% 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, 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 Hedge Fund Research Inc. Equity Hedge Index (“HFRX”). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
2
GOTHAM FUNDS
Gotham Enhanced Return Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018 | ||||||||||||||||
Six Months* | 1 Year | 3 Year | Since Inception | |||||||||||||
Institutional Class Shares | 9.03% | 12.83% | 6.55% | 11.66%** | ||||||||||||
S&P 500® Total Return Index | 5.84% | 13.99% | 10.78% | 12.81%*** |
* | Not Annualized. |
** | The Gotham Enhanced Return Fund (the “Fund”) commenced operations on May 31, 2013. |
*** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Istitutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 3.56% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 3.55% 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, 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. Its returns reflect reinvested dividends.
3
GOTHAM FUNDS
Gotham Neutral Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018 | ||||||||||||||||
Six Months* | 1 Year | 3 Year | Since Inception | |||||||||||||
Institutional Class Shares | 3.91% | 2.61% | 0.69% | 2.05%** | ||||||||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.64% | 1.11% | 0.53% | 0.36%*** |
* | Not Annualized. |
** | The Gotham Neutral Fund (the “Fund”) commenced operations on August 30, 2013. |
*** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 3.14% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 3.10% 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, 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”). 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.
4
GOTHAM FUNDS
Fund Expense Disclosure
March 31, 2018
(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 October 1, 2017, and held for the entire period through March 31, 2018.
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.
Institutional Class | ||||||||||||||||||||
Beginning Account Value October 1, 2017 | Ending Account Value March 31, 2018 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||
Gotham Absolute Return Fund | ||||||||||||||||||||
Actual | $1,000.00 | $1,050.20 | 2.72 | % | $13.90 | |||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,011.37 | 2.72 | % | 13.64 | |||||||||||||||
Gotham Enhanced Return Fund | ||||||||||||||||||||
Actual | $1,000.00 | $1,090.30 | 3.67 | % | $19.13 | |||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,006.63 | 3.67 | % | 18.36 | |||||||||||||||
Gotham Neutral Fund | ||||||||||||||||||||
Actual | $1,000.00 | $1,039.10 | 2.82 | % | $14.34 | |||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,010.87 | 2.82 | % | 14.14 |
* | 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 March 31, 2018, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (182), 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 (182), then divided by 365 to reflect the period. |
5
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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 | 22.4 | % | $ | 230,007,548 | ||||
Software & Services | 13.1 | 134,998,535 | ||||||
Technology Hardware & Equipment | 9.1 | 94,067,208 | ||||||
Semiconductors & Semiconductor Equipment | 8.2 | 83,935,899 | ||||||
Health Care Equipment & Services | 8.1 | 83,441,262 | ||||||
Retailing | 8.1 | 83,200,730 | ||||||
Food, Beverage & Tobacco | 7.3 | 74,593,688 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.9 | 70,615,793 | ||||||
Media | 4.9 | 50,022,623 | ||||||
Consumer Services | 4.3 | 44,269,235 | ||||||
Consumer Durables & Apparel | 3.9 | 40,458,511 | ||||||
Transportation | 3.8 | 39,267,294 | ||||||
Energy | 3.7 | 38,163,893 | ||||||
Materials | 3.7 | 37,815,408 | ||||||
Food & Staples Retailing | 3.6 | 37,096,238 | ||||||
Automobiles & Components | 3.2 | 33,309,850 | ||||||
Household & Personal Products | 2.7 | 27,350,629 | ||||||
Commercial & Professional Services | 2.0 | 20,567,548 | ||||||
Telecommunication Services | 1.6 | 16,856,092 | ||||||
Corporate Bonds and Notes: | ||||||||
Capital Goods | 0.0 | 784 | ||||||
|
|
|
| |||||
Total Long Positions | 120.6 | 1,240,038,768 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Household & Personal Products | (0.8 | )% | $ (7,934,194 | ) | ||||
Telecommunication Services | (0.9 | ) | (9,282,488 | ) | ||||
Food & Staples Retailing | (1.1 | ) | (11,485,063 | ) | ||||
Automobiles & Components | (1.7 | ) | (17,753,009 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (2.0 | ) | (20,360,194 | ) | ||||
Commercial & Professional Services | (2.2 | ) | (22,545,830 | ) | ||||
Media | (2.2 | ) | (22,779,121 | ) | ||||
Consumer Durables & Apparel | (2.5 | ) | (25,882,374 | ) | ||||
Food, Beverage & Tobacco | (2.6 | ) | (26,618,207 | ) | ||||
Semiconductors & Semiconductor Equipment | (2.9 | ) | (29,698,120 | ) | ||||
Transportation | (3.0 | ) | (30,383,187 | ) | ||||
Consumer Services | (3.6 | ) | (37,433,937 | ) | ||||
Materials | (3.7 | ) | (37,587,465 | ) | ||||
Retailing | (3.7 | ) | (37,901,441 | ) | ||||
Energy | (3.7 | ) | (38,063,858 | ) | ||||
Technology Hardware & Equipment | (3.7 | ) | (38,383,609 | ) | ||||
Software & Services | (6.3 | ) | (65,167,943 | ) | ||||
Health Care Equipment & Services | (6.7 | ) | (68,711,377 | ) | ||||
Capital Goods | (7.1 | ) | (73,039,962 | ) | ||||
|
|
|
| |||||
Total Short Positions | (60.4 | ) | (621,011,379 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 39.8 | 409,461,617 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $1,028,489,006 | |||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
6
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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 | 32.0 | % | $ | 283,092,724 | ||||
Software & Services | 18.9 | 166,762,179 | ||||||
Technology Hardware & Equipment | 12.8 | 112,713,255 | ||||||
Retailing | 11.9 | 105,089,939 | ||||||
Semiconductors & Semiconductor Equipment | 11.3 | 99,864,637 | ||||||
Health Care Equipment & Services | 11.2 | 99,309,100 | ||||||
Food, Beverage & Tobacco | 10.8 | 95,617,033 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 9.9 | 87,228,781 | ||||||
Media | 7.1 | 62,966,161 | ||||||
Consumer Services | 6.5 | 57,817,380 | ||||||
Consumer Durables & Apparel | 6.1 | 53,483,098 | ||||||
Transportation | 5.3 | 47,298,083 | ||||||
Food & Staples Retailing | 5.3 | 46,667,132 | ||||||
Materials | 5.1 | 44,745,461 | ||||||
Automobiles & Components | 4.6 | 40,642,034 | ||||||
Energy | 4.4 | 38,908,569 | ||||||
Household & Personal Products | 4.1 | 36,504,325 | ||||||
Commercial & Professional Services | 3.4 | 29,816,336 | ||||||
Telecommunication Services | 2.6 | 22,624,461 | ||||||
|
|
|
| |||||
Total Long Positions | 173.3 | 1,531,150,688 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Household & Personal Products | (0.9 | )% | $ (8,136,252 | ) | ||||
Telecommunication Services | (1.1 | ) | (10,027,200 | ) | ||||
Food & Staples Retailing | (1.3 | ) | (11,228,287 | ) | ||||
Automobiles & Components | (1.9 | ) | (17,327,561 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (2.4 | ) | (21,169,520 | ) | ||||
Media | (2.8 | ) | (24,586,800 | ) | ||||
Commercial & Professional Services | (2.8 | ) | (24,668,794 | ) | ||||
Consumer Durables & Apparel | (2.9 | ) | (25,682,320 | ) | ||||
Food, Beverage & Tobacco | (3.3 | ) | (28,940,206 | ) | ||||
Transportation | (3.3 | ) | (28,961,429 | ) | ||||
Semiconductors & Semiconductor Equipment | (3.3 | ) | (29,004,179 | ) | ||||
Technology Hardware & Equipment | (4.2 | ) | (37,274,542 | ) | ||||
Energy | (4.4 | ) | (38,706,197 | ) | ||||
Consumer Services | (4.7 | ) | (41,518,612 | ) | ||||
Retailing | (4.9 | ) | (43,010,252 | ) | ||||
Materials | (5.0 | ) | (44,348,550 | ) | ||||
Health Care Equipment & Services | (7.9 | ) | (70,140,517 | ) | ||||
Software & Services | (8.4 | ) | (73,944,212 | ) | ||||
Capital Goods | (8.5 | ) | (74,846,508 | ) | ||||
|
|
|
| |||||
Total Short Positions | (74.0 | ) | (653,521,938 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 0.7 | 5,822,301 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $883,451,051 | |||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
7
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Neutral Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Capital Goods | 19.6 | % | $ | 89,484,854 | ||||
Software & Services | 14.7 | 66,748,005 | ||||||
Health Care Equipment & Services | 10.6 | 48,127,716 | ||||||
Technology Hardware & Equipment | 7.8 | 35,627,129 | ||||||
Retailing | 7.7 | 34,900,557 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 7.4 | 33,915,718 | ||||||
Semiconductors & Semiconductor Equipment | 7.3 | 33,384,073 | ||||||
Materials | 6.1 | 27,690,859 | ||||||
Energy | 6.0 | 27,336,643 | ||||||
Food, Beverage & Tobacco | 5.9 | 26,707,525 | ||||||
Consumer Services | 5.5 | 25,055,547 | ||||||
Transportation | 4.7 | 21,459,789 | ||||||
Media | 4.3 | 19,659,222 | ||||||
Consumer Durables & Apparel | 4.3 | 19,656,237 | ||||||
Automobiles & Components | 3.0 | 13,759,608 | ||||||
Food & Staples Retailing | 2.7 | 12,528,954 | ||||||
Commercial & Professional Services | 2.5 | 11,281,676 | ||||||
Household & Personal Products | 2.1 | 9,402,908 | ||||||
Telecommunication Services | 1.6 | 7,426,967 | ||||||
Corporate Bonds and Notes: | ||||||||
Capital Goods | 0.0 | 714 | ||||||
|
|
|
| |||||
Total Long Positions | 123.8 | 564,154,701 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Household & Personal Products | (1.0 | )% | $ (4,716,869 | ) | ||||
Telecommunication Services | (1.4 | ) | (6,240,339 | ) | ||||
Food & Staples Retailing | (1.4 | ) | (6,585,838 | ) | ||||
Automobiles & Components | (2.7 | ) | (12,352,408 | ) | ||||
Media | (3.0 | ) | (13,791,428 | ) | ||||
Commercial & Professional Services | (3.3 | ) | (15,243,446 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (3.6 | ) | (16,284,393 | ) | ||||
Food, Beverage & Tobacco | (3.7 | ) | (16,756,630 | ) | ||||
Consumer Durables & Apparel | (3.9 | ) | (17,696,670 | ) | ||||
Transportation | (4.8 | ) | (21,726,631 | ) | ||||
Semiconductors & Semiconductor Equipment | (5.4 | ) | (24,571,782 | ) | ||||
Consumer Services | (5.4 | ) | (24,729,307 | ) | ||||
Technology Hardware & Equipment | (5.8 | ) | (26,452,405 | ) | ||||
Energy | (6.0 | ) | (27,267,157 | ) | ||||
Materials | (6.0 | ) | (27,566,688 | ) | ||||
Retailing | (6.3 | ) | (28,606,981 | ) | ||||
Health Care Equipment & Services | (10.0 | ) | (45,410,084 | ) | ||||
Software & Services | (11.9 | ) | (54,190,527 | ) | ||||
Capital Goods | (12.8 | ) | (58,384,040 | ) | ||||
|
|
|
| |||||
Total Short Positions | (98.4 | ) | (448,573,623 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 74.6 | 340,001,850 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $455,582,928 | |||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
8
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 120.6% | ||||||||
COMMON STOCKS — 120.6% | ||||||||
Automobiles & Components — 3.2% |
| |||||||
Aptiv PLC (Jersey)†(a) | 110,361 | $ | 9,377,374 | |||||
BorgWarner, Inc.†(b) | 50,768 | 2,550,077 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)†(b) | 323,883 | 6,646,079 | ||||||
General Motors Co.† | 227,245 | 8,258,083 | ||||||
Gentex Corp.(b) | 28,895 | 665,163 | ||||||
Goodyear Tire & Rubber Co. (The)(b) | 52,910 | 1,406,348 | ||||||
Lear Corp.† | 10,401 | 1,935,522 | ||||||
Modine Manufacturing Co.†* | 23,690 | 501,044 | ||||||
Standard Motor Products, Inc.(b) | 4,574 | 217,585 | ||||||
Tenneco, Inc.(b) | 15,814 | 867,714 | ||||||
Tower International, Inc. | 1,021 | 28,333 | ||||||
Winnebago Industries, Inc.(b) | 22,780 | 856,528 | ||||||
|
| |||||||
33,309,850 | ||||||||
|
| |||||||
Capital Goods — 22.4% | ||||||||
3M Co.†(a) | 13,663 | 2,999,302 | ||||||
Acuity Brands, Inc.(b) | 15,799 | 2,199,063 | ||||||
AGCO Corp.†(b) | 20,130 | 1,305,431 | ||||||
Allegion PLC (Ireland)(b) | 18,632 | 1,589,123 | ||||||
Allison Transmission Holdings, Inc.†(b) | 103,744 | 4,052,241 | ||||||
AMETEK, Inc.† | 59,393 | 4,512,086 | ||||||
AO Smith Corp. | 2,716 | 172,710 | ||||||
Arconic, Inc.† | 165,531 | 3,813,834 | ||||||
Argan, Inc.†(b) | 50,889 | 2,185,683 | ||||||
Beacon Roofing Supply, Inc.(a)* | 12,044 | 639,175 | ||||||
Boeing Co. (The)† | 25,091 | 8,226,837 | ||||||
Builders FirstSource, Inc.(b)* | 98,031 | 1,944,935 | ||||||
BWX Technologies, Inc.† | 14,048 | 892,469 | ||||||
Caterpillar, Inc.†(a) | 25,969 | 3,827,311 | ||||||
Continental Building Products, Inc.†* | 5,790 | 165,304 | ||||||
Crane Co.† | 32,698 | 3,032,413 | ||||||
Cummins, Inc.†(a) | 62,341 | 10,104,853 | ||||||
Curtiss-Wright Corp.†(a) | 21,802 | 2,944,796 | ||||||
Deere & Co.†(a) | 26,189 | 4,067,675 | ||||||
Dover Corp.† | 62,682 | 6,156,626 | ||||||
Eaton Corp. PLC (Ireland)† | 34,553 | 2,761,130 | ||||||
EMCOR Group, Inc.† | 35,418 | 2,760,125 | ||||||
Emerson Electric Co.† | 115,789 | 7,908,389 | ||||||
Encore Wire Corp. | 2,497 | 141,580 | ||||||
Engility Holdings, Inc.(b)* | 11,305 | 275,842 | ||||||
Fastenal Co.(b) | 13,385 | 730,687 | ||||||
Flowserve Corp.†(b) | 40,401 | 1,750,575 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Fluor Corp.(b) | 14,886 | $ | 851,777 | |||||
Fortune Brands Home & Security, Inc.(a) | 70,675 | 4,162,051 | ||||||
Generac Holdings, Inc.(a)(b)* | 71,373 | 3,276,734 | ||||||
General Dynamics Corp.†(a) | 47,475 | 10,487,228 | ||||||
General Electric Co.† | 297,806 | 4,014,425 | ||||||
Gibraltar Industries, Inc.†* | 37,802 | 1,279,598 | ||||||
Granite Construction, Inc.(b) | 8,304 | 463,861 | ||||||
Harris Corp.† | 42,784 | 6,900,204 | ||||||
Harsco Corp.†* | 82,252 | 1,698,504 | ||||||
HD Supply Holdings, Inc.†* | 26,593 | 1,008,938 | ||||||
Hillenbrand, Inc.†(a) | 56,874 | 2,610,517 | ||||||
Honeywell International, Inc.† | 65,470 | 9,461,070 | ||||||
Hubbell, Inc.† | 18,995 | 2,313,211 | ||||||
Huntington Ingalls Industries, Inc.† | 10,771 | 2,776,333 | ||||||
Illinois Tool Works, Inc.†(a) | 25,306 | 3,964,438 | ||||||
Ingersoll-Rand PLC (Ireland)† | 54,797 | 4,685,691 | ||||||
Johnson Controls International PLC (Ireland)† | 123,770 | 4,361,655 | ||||||
L3 Technologies, Inc.†(a) | 17,321 | 3,602,768 | ||||||
Manitowoc Co., Inc. (The)(b)* | 51,617 | 1,469,020 | ||||||
Masco Corp.†(a) | 148,473 | 6,004,248 | ||||||
Navistar International Corp.(b)* | 30,362 | 1,061,759 | ||||||
NCI Building Systems, Inc.* | 9,630 | 170,451 | ||||||
NN, Inc.(b) | 6,212 | 149,088 | ||||||
Northrop Grumman Corp. | 3,009 | 1,050,502 | ||||||
Owens Corning† | 54,250 | 4,361,700 | ||||||
Pentair PLC (Ireland)†(a) | 54,280 | 3,698,096 | ||||||
Primoris Services Corp. | 28,282 | 706,484 | ||||||
Raytheon Co.†(a) | 62,850 | 13,564,287 | ||||||
Rexnord Corp.†* | 11,367 | 337,373 | ||||||
Rockwell Automation, Inc.† | 8,852 | 1,542,018 | ||||||
Rockwell Collins, Inc.† | 7,290 | 983,056 | ||||||
Snap-on, Inc.(b) | 25,486 | 3,760,204 | ||||||
Spartan Motors, Inc. | 5,881 | 101,153 | ||||||
Spirit AeroSystems Holdings, Inc., Class A† | 8,600 | 719,820 | ||||||
SPX FLOW, Inc.†* | 47,966 | 2,359,448 | ||||||
Stanley Black & Decker, Inc.†(a) | 62,404 | 9,560,293 | ||||||
Teledyne Technologies, Inc.* | 9,800 | 1,834,266 | ||||||
Terex Corp.†(b) | 36,529 | 1,366,550 | ||||||
Textainer Group Holdings Ltd. (Bermuda)†(b)* | 31,770 | 538,502 | ||||||
Textron, Inc.† | 35,031 | 2,065,778 |
The accompanying notes are an integral part of the financial statements.
9
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
TransDigm Group, Inc.(b) | 9,509 | $ | 2,918,692 | |||||
Trex Co., Inc.†* | 3,210 | 349,152 | ||||||
Tutor Perini Corp.(b)* | 8,347 | 184,051 | ||||||
United Technologies Corp.† | 37,091 | 4,666,790 | ||||||
Universal Forest Products, | 55,142 | 1,789,358 | ||||||
Watsco, Inc.(a)(b) | 13,730 | 2,484,718 | ||||||
Watts Water Technologies, Inc., Class A | 7,248 | 563,170 | ||||||
Welbilt, Inc.(b)* | 6,855 | 133,330 | ||||||
WESCO International, Inc.* | 6,300 | 390,915 | ||||||
WW Grainger, Inc.(b) | 19,252 | 5,434,262 | ||||||
Xylem, Inc.†(a)(b) | 59,930 | 4,609,816 | ||||||
|
| |||||||
230,007,548 | ||||||||
|
| |||||||
Commercial & Professional Services — 2.0% |
| |||||||
ACCO Brands Corp. | 26,790 | 336,215 | ||||||
Cintas Corp.† | 26,899 | 4,588,431 | ||||||
Deluxe Corp.(b) | 3,096 | 229,135 | ||||||
FTI Consulting, Inc.(b)* | 26,845 | 1,299,566 | ||||||
ICF International, Inc. | 4,665 | 272,669 | ||||||
Interface, Inc. | 13,445 | 338,814 | ||||||
Korn/Ferry International | 11,871 | 612,425 | ||||||
ManpowerGroup, Inc.† | 8,193 | 943,014 | ||||||
Navigant Consulting, Inc.* | 30,740 | 591,438 | ||||||
Nielsen Holdings PLC (United Kingdom)†(b) | 87,460 | 2,780,353 | ||||||
Quad/Graphics, Inc.† | 19,989 | 506,721 | ||||||
Republic Services, Inc.† | 29,386 | 1,946,235 | ||||||
Robert Half International, Inc.† | 49,178 | 2,846,914 | ||||||
SP Plus Corp.* | 22,257 | 792,349 | ||||||
Steelcase, Inc., Class A | 13,982 | 190,155 | ||||||
Stericycle, Inc.(a)(b)* | 22,822 | 1,335,772 | ||||||
TriNet Group, Inc.* | 20,668 | 957,342 | ||||||
|
| |||||||
20,567,548 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.9% |
| |||||||
Acushnet Holdings Corp.(b) | 7,223 | 166,779 | ||||||
Callaway Golf Co.† | 43,025 | 703,889 | ||||||
Carter’s, Inc. | 27,794 | 2,893,355 | ||||||
Cavco Industries, Inc.†* | 404 | 70,195 | ||||||
Crocs, Inc.(b)* | 126,412 | 2,054,195 | ||||||
Deckers Outdoor Corp.(b)* | 24,612 | 2,215,818 | ||||||
DR Horton, Inc.† | 46,933 | 2,057,543 | ||||||
Ethan Allen Interiors, Inc.(b) | 12,337 | 283,134 | ||||||
Garmin Ltd. (Switzerland)† | 44,624 | 2,629,692 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Gildan Activewear, Inc. | 32,251 | $ | 931,731 | |||||
Hanesbrands, Inc.(b) | 120,006 | 2,210,511 | ||||||
Hasbro, Inc.(b) | 21,332 | 1,798,288 | ||||||
Leggett & Platt, Inc.(b) | 22,429 | 994,950 | ||||||
Mattel, Inc.(b) | 36,027 | 473,755 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 33,299 | 2,067,202 | ||||||
Newell Brands, Inc.(b) | 108,825 | 2,772,861 | ||||||
PulteGroup, Inc.† | 18,781 | 553,852 | ||||||
Ralph Lauren Corp.†(a) | 31,227 | 3,491,179 | ||||||
Steven Madden Ltd | 1,239 | 54,392 | ||||||
TopBuild Corp.(a)* | 25,580 | 1,957,382 | ||||||
Tupperware Brands Corp.(b) | 39,301 | 1,901,382 | ||||||
Under Armour, Inc., Class C(b)* | 76,740 | 1,101,219 | ||||||
VF Corp.(a) | 79,836 | 5,917,444 | ||||||
Vista Outdoor, Inc.(b)* | 46,774 | 763,352 | ||||||
Whirlpool Corp.(b) | 2,576 | 394,411 | ||||||
|
| |||||||
40,458,511 | ||||||||
|
| |||||||
Consumer Services — 4.3% | ||||||||
Adtalem Global Education, | 9,263 | 440,456 | ||||||
BJ’s Restaurants, Inc.(b) | 4,471 | 200,748 | ||||||
Boyd Gaming Corp.†(a)(b) | 145,311 | 4,629,609 | ||||||
Brinker International, Inc.(b) | 30,048 | 1,084,733 | ||||||
Carnival Corp. (Panama)† | 14,066 | 922,448 | ||||||
Choice Hotels International, Inc. | 536 | 42,960 | ||||||
Churchill Downs, Inc. | 994 | 242,586 | ||||||
Cracker Barrel Old Country Store, Inc.(b) | 881 | 140,255 | ||||||
Darden Restaurants, Inc. | 2,333 | 198,888 | ||||||
Dine Brands Global, Inc.† | 17,521 | 1,149,027 | ||||||
Dunkin’ Brands Group, Inc.(b) | 21,398 | 1,277,247 | ||||||
Eldorado Resorts, Inc.(b)* | 365 | 12,045 | ||||||
Graham Holdings Co., Class B† | 661 | 398,087 | ||||||
Hilton Worldwide Holdings, Inc.† | 33,080 | 2,605,381 | ||||||
Hyatt Hotels Corp., Class A† | 40,698 | 3,103,629 | ||||||
Jack in the Box, Inc.(b) | 7,614 | 649,703 | ||||||
Marriott International, Inc., Class A†(a) | 41,082 | 5,586,330 | ||||||
McDonald’s Corp.†(a) | 39,039 | 6,104,919 | ||||||
Regis Corp.* | 667 | 10,092 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 13,723 | 1,615,746 | ||||||
Sonic Corp.(b) | 38,154 | 962,625 |
The accompanying notes are an integral part of the financial statements.
10
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Stars Group, Inc. (The) | 22,648 | $ | 623,952 | |||||
Wyndham Worldwide Corp.† | 31,775 | 3,636,013 | ||||||
Yum! Brands, Inc.† | 101,395 | 8,631,756 | ||||||
|
| |||||||
44,269,235 | ||||||||
|
| |||||||
Energy — 3.7% | ||||||||
Archrock, Inc.† | 20,441 | 178,859 | ||||||
Cameco Corp. (Canada) | 22,187 | 201,680 | ||||||
Cenovus Energy, Inc. (Canada) | 20,122 | 171,842 | ||||||
CVR Energy, Inc.(b) | 42,811 | 1,293,748 | ||||||
Diamond Offshore Drilling, | 43,901 | 643,589 | ||||||
Dril-Quip, Inc.(b)* | 43,552 | 1,951,130 | ||||||
Enbridge, Inc. (Canada)(b) | 113,969 | 3,586,604 | ||||||
Exterran Corp.†* | 40,470 | 1,080,549 | ||||||
Fairmount Santrol Holdings, | 226,783 | 963,828 | ||||||
Frank’s International NV (Netherlands)(b) | 77,393 | 420,244 | ||||||
Halliburton Co.† | 6,726 | 315,718 | ||||||
Marathon Petroleum Corp.† | 73,111 | 5,345,145 | ||||||
National Oilwell Varco, Inc.(b) | 62,658 | 2,306,441 | ||||||
ONEOK, Inc. | 11,336 | 645,245 | ||||||
Phillips 66† | 19,958 | 1,914,371 | ||||||
Rowan Cos. PLC, Class A (United Kingdom)†(b)* | 186,870 | 2,156,480 | ||||||
RPC, Inc. | 3,477 | 62,690 | ||||||
Schlumberger Ltd. (Curacao)† | 41,958 | 2,718,039 | ||||||
SEACOR Holdings, Inc.* | 771 | 39,398 | ||||||
Ship Finance International Ltd. (Bermuda)(b) | 21,114 | 301,930 | ||||||
Superior Energy Services, | 117,912 | 993,998 | ||||||
TechnipFMC PLC (United Kingdom)†(a) | 173,565 | 5,111,489 | ||||||
Transocean Ltd. | 176,453 | 1,746,885 | ||||||
Valero Energy Corp.† | 40,778 | 3,782,975 | ||||||
World Fuel Services Corp. | 9,410 | 231,016 | ||||||
|
| |||||||
38,163,893 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.6% |
| |||||||
CVS Health Corp.†(b) | 95,697 | 5,953,310 | ||||||
Kroger Co. (The)† | 317,990 | 7,612,681 | ||||||
Rite Aid Corp.(b)* | 682,320 | 1,146,298 | ||||||
Sysco Corp.†(a)(b) | 89,899 | 5,390,344 | ||||||
US Foods Holding Corp.(a)* | 91,050 | 2,983,708 | ||||||
Walgreens Boots Alliance, Inc.† | 71,448 | 4,677,701 | ||||||
Walmart, Inc.†(a) | 101,834 | 9,060,171 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
Weis Markets, Inc.(b) | 6,638 | $ | 272,025 | |||||
|
| |||||||
37,096,238 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 7.3% |
| |||||||
Altria Group, Inc.† | 133,497 | 8,319,533 | ||||||
Brown-Forman Corp., Class B | 16,003 | 870,563 | ||||||
Campbell Soup Co.(b) | 69,646 | 3,016,368 | ||||||
Coca-Cola Co. (The)† | 91,801 | 3,986,917 | ||||||
Conagra Brands, Inc.† | 71,199 | 2,625,819 | ||||||
Dr Pepper Snapple Group, Inc.† | 41,127 | 4,868,614 | ||||||
General Mills, Inc.†(b) | 137,268 | 6,185,296 | ||||||
Hershey Co. (The)† | 49,402 | 4,888,822 | ||||||
Hormel Foods Corp.(b) | 41,029 | 1,408,115 | ||||||
Ingredion, Inc.† | 27,769 | 3,579,979 | ||||||
JM Smucker Co. (The)†(b) | 21,198 | 2,628,764 | ||||||
Kraft Heinz Co. (The)†(a) | 85,278 | 5,311,967 | ||||||
McCormick & Co., Inc., non-voting shares(b) | 33,556 | 3,570,023 | ||||||
Molson Coors Brewing Co., Class B†(a) | 19,103 | 1,439,029 | ||||||
PepsiCo, Inc.† | 73,018 | 7,969,915 | ||||||
Philip Morris International, Inc.† | 35,217 | 3,500,570 | ||||||
TreeHouse Foods, Inc.(b)* | 10,751 | 411,441 | ||||||
Tyson Foods, Inc., Class A†(a) | 136,794 | 10,011,953 | ||||||
|
| |||||||
74,593,688 | ||||||||
|
| |||||||
Health Care Equipment & Services — 8.1% |
| |||||||
Abbott Laboratories† | 118,469 | 7,098,663 | ||||||
AmerisourceBergen Corp.† | 46,324 | 3,993,592 | ||||||
AMN Healthcare Services, | 6,391 | 362,689 | ||||||
Analogic Corp. | 5,972 | 572,715 | ||||||
Anika Therapeutics, Inc.(b)* | 5,618 | 279,327 | ||||||
Baxter International, Inc.† | 52,270 | 3,399,641 | ||||||
Brookdale Senior Living, Inc.(b)* | 192,057 | 1,288,703 | ||||||
CONMED Corp.(b) | 5,150 | 326,150 | ||||||
Cotiviti Holdings, Inc.†* | 94,577 | 3,257,232 | ||||||
Danaher Corp.† | 26,239 | 2,569,060 | ||||||
DENTSPLY SIRONA, Inc. | 6,702 | 337,178 | ||||||
Envision Healthcare Corp.(b)* | 38,339 | 1,473,368 | ||||||
Express Scripts Holding Co.†* | 140,812 | 9,727,293 | ||||||
Globus Medical, Inc., Class A†* | 70,789 | 3,526,708 | ||||||
Haemonetics Corp.†(b)* | 29,281 | 2,142,198 | ||||||
Halyard Health, Inc.†(b)* | 15,328 | 706,314 | ||||||
Hill-Rom Holdings, Inc.† | 14,119 | 1,228,353 | ||||||
ICU Medical, Inc.†(a)* | 20,313 | 5,127,001 | ||||||
Integer Holdings Corp.†* | 38,490 | 2,176,610 |
The accompanying notes are an integral part of the financial statements.
11
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Kindred Healthcare, Inc.† | 1,565 | $ | 14,320 | |||||
Laboratory Corp. of America Holdings†(a)* | 47,485 | 7,680,699 | ||||||
Lantheus Holdings, Inc.* | 2,254 | 35,839 | ||||||
LifePoint Health, Inc.(b)* | 32,889 | 1,545,783 | ||||||
MEDNAX, Inc.†(b)* | 31,583 | 1,756,962 | ||||||
Medtronic PLC (Ireland)†(a) | 99,075 | 7,947,796 | ||||||
Owens & Minor, Inc.(b) | 134,935 | 2,098,239 | ||||||
Quality Systems, Inc.(b)* | 34,499 | 470,911 | ||||||
Quest Diagnostics, Inc.† | 36,230 | 3,633,869 | ||||||
Stryker Corp.† | 4,621 | 743,611 | ||||||
Tenet Healthcare Corp.* | 57,040 | 1,383,220 | ||||||
Tivity Health, Inc.(b)* | 1,490 | 59,078 | ||||||
Universal Health Services, Inc., Class B† | 15,072 | 1,784,676 | ||||||
Varex Imaging Corp.* | 7,319 | 261,874 | ||||||
Varian Medical Systems, Inc.†* | 36,132 | 4,431,590 | ||||||
|
| |||||||
83,441,262 | ||||||||
|
| |||||||
Household & Personal Products — 2.7% |
| |||||||
Avon Products, Inc.(a)* | 582,938 | 1,655,544 | ||||||
Church & Dwight Co., Inc. | 30,043 | 1,512,966 | ||||||
Colgate-Palmolive Co.† | 38,442 | 2,755,523 | ||||||
Edgewell Personal Care | 9,359 | 456,906 | ||||||
Energizer Holdings, Inc.(b) | 7,361 | 438,568 | ||||||
Estee Lauder Cos., Inc. (The), Class A†(a) | 32,669 | 4,891,203 | ||||||
Kimberly-Clark Corp.† | 49,715 | 5,475,113 | ||||||
Procter & Gamble Co. | 128,214 | 10,164,806 | ||||||
|
| |||||||
27,350,629 | ||||||||
|
| |||||||
Materials — 3.7% | ||||||||
Avery Dennison Corp.† | 27,657 | 2,938,556 | ||||||
CF Industries Holdings, Inc. | 8,750 | 330,138 | ||||||
Chemours Co. (The)† | 19,703 | 959,733 | ||||||
Domtar Corp.† | 52,947 | 2,252,365 | ||||||
Eagle Materials, Inc.(a) | 15,773 | 1,625,408 | ||||||
Eastman Chemical Co.(b) | 5,676 | 599,272 | ||||||
GCP Applied Technologies, Inc.* | 1,140 | 33,117 | ||||||
Greif, Inc., Class A | 3,653 | 190,869 | ||||||
Innospec, Inc. | 2,511 | 172,255 | ||||||
International Paper Co.†(b) | 40,182 | 2,146,924 | ||||||
KapStone Paper and Packaging Corp. | 7,519 | 257,977 | ||||||
Kraton Corp.(b)* | 32,299 | 1,540,985 | ||||||
Louisiana-Pacific Corp.† | 22,785 | 655,524 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 37,523 | $ | 3,965,431 | |||||
Methanex Corp. (Canada)† | 46,973 | 2,848,912 | ||||||
Minerals Technologies, Inc.† | 1,609 | 107,723 | ||||||
Monsanto Co.†(a) | 31,671 | 3,695,689 | ||||||
Norbord, Inc. (Canada) | 5,994 | 217,762 | ||||||
PolyOne Corp.†(a) | 41,368 | 1,758,967 | ||||||
Praxair, Inc. | 3,638 | 524,963 | ||||||
Stepan Co. | 5,731 | 476,705 | ||||||
Summit Materials, Inc., Class A(b)* | 43,994 | 1,332,138 | ||||||
Trinseo SA (Luxembourg) | 1,966 | 145,582 | ||||||
Tronox Ltd., Class A (Australia)(a) | 98,495 | 1,816,248 | ||||||
Verso Corp., Class A* | 24,677 | 415,561 | ||||||
Westlake Chemical Corp.†(b) | 61,238 | 6,806,604 | ||||||
|
| |||||||
37,815,408 | ||||||||
|
| |||||||
Media — 4.9% | ||||||||
AMC Entertainment Holdings, Inc., Class A | 18,647 | 261,990 | ||||||
CBS Corp., Class B, non-voting shares | 118,442 | 6,086,734 | ||||||
Comcast Corp., Class A† | 6,921 | 236,491 | ||||||
Discovery, Inc., Class A(b)* | 271,821 | 5,825,124 | ||||||
DISH Network Corp., Class A†* | 22,088 | 836,914 | ||||||
Entravision Communications Corp., Class A | 54,428 | 255,812 | ||||||
Gannett Co., Inc.(b) | 125,233 | 1,249,825 | ||||||
Interpublic Group of Cos., Inc. | 133,531 | 3,075,219 | ||||||
Loral Space & Communications, Inc.* | 1,574 | 65,557 | ||||||
MSG Networks, Inc., Class A†* | 37,056 | 837,466 | ||||||
News Corp., Class A(a) | 217,114 | 3,430,401 | ||||||
Omnicom Group, Inc.(b) | 51,983 | 3,777,605 | ||||||
Shaw Communications, Inc., Class B (Canada)† | 23,186 | 446,562 | ||||||
Time Warner, Inc.† | 108,640 | 10,275,171 | ||||||
Twenty-First Century Fox, Inc., Class A(a) | 241,826 | 8,872,596 | ||||||
Viacom, Inc., Class B | 89,720 | 2,786,703 | ||||||
Walt Disney Co. (The)† | 9,347 | 938,813 | ||||||
WideOpenWest, Inc.* | 465 | 3,325 | ||||||
World Wrestling Entertainment, Inc., Class A(b) | 21,114 | 760,315 | ||||||
|
| |||||||
50,022,623 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
12
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 6.9% |
| |||||||
AbbVie, Inc.†(a) | 65,275 | $ | 6,178,279 | |||||
Agilent Technologies, Inc.† | 5,723 | 382,869 | ||||||
Amgen, Inc.† | 37,907 | 6,462,385 | ||||||
Biogen, Inc.†(a)* | 16,073 | 4,401,109 | ||||||
Bruker Corp. | 15,333 | 458,763 | ||||||
Cambrex Corp.(b)* | 13,637 | 713,215 | ||||||
Celgene Corp.†* | 59,782 | 5,333,152 | ||||||
Eli Lilly & Co.† | 20,386 | 1,577,265 | ||||||
Exact Sciences Corp.(b)* | 11,007 | 443,912 | ||||||
Exelixis, Inc.†* | 81,082 | 1,795,966 | ||||||
Gilead Sciences, Inc.†(b) | 82,703 | 6,234,979 | ||||||
Innoviva, Inc.(b)* | 120,627 | 2,010,852 | ||||||
Ionis Pharmaceuticals, Inc.†* | 3,488 | 153,751 | ||||||
Johnson & Johnson† | 55,071 | 7,057,349 | ||||||
Ligand Pharmaceuticals, Inc.(b)* | 715 | 118,089 | ||||||
Merck & Co., Inc.† | 121,831 | 6,636,135 | ||||||
Myriad Genetics, Inc.(b)* | 1,289 | 38,090 | ||||||
Pfizer, Inc.†(a) | 220,266 | 7,817,240 | ||||||
Phibro Animal Health Corp., Class A | 4,079 | 161,936 | ||||||
PRA Health Sciences, Inc.(b)* | 12,710 | 1,054,422 | ||||||
Prestige Brands Holdings, Inc.(b)* | 18,135 | 611,512 | ||||||
Waters Corp.†(b)* | 27,394 | 5,441,818 | ||||||
Zoetis, Inc.†(a)(b) | 66,252 | 5,532,705 | ||||||
|
| |||||||
70,615,793 | ||||||||
|
| |||||||
Retailing — 8.1% | ||||||||
Abercrombie & Fitch Co., | 126,668 | 3,066,632 | ||||||
Advance Auto Parts, Inc.†(a)(b) | 49,417 | 5,858,385 | ||||||
Amazon.com, Inc.†(a)* | 6,522 | 9,439,552 | ||||||
Asbury Automotive Group, | 16,439 | 1,109,633 | ||||||
AutoNation, Inc.(b)* | 11,247 | 526,135 | ||||||
AutoZone, Inc.†* | 10,141 | 6,578,365 | ||||||
Bed Bath & Beyond, Inc.(b) | 20,394 | 428,070 | ||||||
Best Buy Co., Inc.†(b) | 21,023 | 1,471,400 | ||||||
Booking Holdings, Inc.†* | 1,493 | 3,106,022 | ||||||
Buckle, Inc. (The)(b) | 4,790 | 106,099 | ||||||
Dick’s Sporting Goods, Inc. | 14,254 | 499,603 | ||||||
Dollar General Corp.† | 10,442 | 976,849 | ||||||
Dollar Tree, Inc.†* | 17,925 | 1,701,082 | ||||||
DSW, Inc., Class A(b) | 15,328 | 344,267 | ||||||
Foot Locker, Inc.(a) | 23,698 | 1,079,207 | ||||||
GameStop Corp., Class A(b) | 10,672 | 134,681 | ||||||
Gap, Inc. (The)(b) | 81,214 | 2,533,877 | ||||||
Home Depot, Inc. (The)† | 20,053 | 3,574,247 | ||||||
Kohl’s Corp.(b) | 48,763 | 3,194,464 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
L Brands, Inc.(b) | 47,357 | $ | 1,809,511 | |||||
Lumber Liquidators Holdings, | 49,805 | 1,191,336 | ||||||
Macy’s, Inc.(b) | 69,455 | 2,065,592 | ||||||
Michaels Cos., Inc. (The)(b)* | 1,827 | 36,010 | ||||||
Murphy USA, Inc.(b)* | 14,161 | 1,030,921 | ||||||
Nutrisystem, Inc.(b) | 85,906 | 2,315,167 | ||||||
Office Depot, Inc. | 57,496 | 123,616 | ||||||
O’Reilly Automotive, Inc.†(a)* | 16,965 | 4,196,802 | ||||||
Penske Automotive Group, Inc.(b) | 16,075 | 712,605 | ||||||
PetMed Express, Inc.(b) | 36,712 | 1,532,726 | ||||||
Pool Corp. | 2,212 | 323,439 | ||||||
RH(b)* | 3,033 | 288,984 | ||||||
Ross Stores, Inc.† | 53,977 | 4,209,126 | ||||||
Sally Beauty Holdings, Inc.(b)* | 35,116 | 577,658 | ||||||
Shutterfly, Inc.(b)* | 16,565 | 1,345,906 | ||||||
Signet Jewelers Ltd. (Bermuda)(b) | 39,388 | 1,517,226 | ||||||
Tailored Brands, Inc.(b) | 66,291 | 1,661,252 | ||||||
Target Corp.† | 56,259 | 3,906,062 | ||||||
Tiffany & Co. | 11,473 | 1,120,453 | ||||||
TJX Cos., Inc. (The)†(a) | 67,517 | 5,506,687 | ||||||
Tractor Supply Co.†(a) | 30,900 | 1,947,318 | ||||||
Ulta Beauty, Inc.* | 235 | 48,003 | ||||||
Zumiez, Inc.* | 241 | 5,760 | ||||||
|
| |||||||
83,200,730 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.2% |
| |||||||
Advanced Energy Industries, Inc.* | 9,982 | 637,850 | ||||||
Advanced Micro Devices, Inc.(b)* | 80,035 | 804,352 | ||||||
Analog Devices, Inc.(a) | 19,871 | 1,810,844 | ||||||
Applied Materials, Inc.†(a) | 107,526 | 5,979,521 | ||||||
Axcelis Technologies, Inc.†(b)* | 25,279 | 621,863 | ||||||
Cirrus Logic, Inc.(a)* | 69,737 | 2,833,414 | ||||||
Cohu, Inc.(b) | 31,387 | 715,938 | ||||||
Diodes, Inc.(b)* | 22,186 | 675,786 | ||||||
First Solar, Inc.(a)* | 36,248 | 2,572,883 | ||||||
Intel Corp.† | 112,168 | 5,841,709 | ||||||
KLA-Tencor Corp.† | 48,765 | 5,315,873 | ||||||
Lam Research Corp.† | 24,255 | 4,927,646 | ||||||
Marvell Technology Group Ltd. (Bermuda)†(b) | 195,985 | 4,115,685 | ||||||
Maxim Integrated Products, Inc.† | 9,488 | 571,367 | ||||||
Micron Technology, Inc.†* | 290,820 | 15,163,355 | ||||||
MKS Instruments, Inc.† | 13,571 | 1,569,486 | ||||||
ON Semiconductor Corp.†* | 154,399 | 3,776,600 |
The accompanying notes are an integral part of the financial statements.
13
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor |
| |||||||
Qorvo, Inc.†(b)* | 42,577 | $ | 2,999,550 | |||||
QUALCOMM, Inc.† | 127,819 | 7,082,451 | ||||||
Rambus, Inc.* | 13,553 | 182,017 | ||||||
Skyworks Solutions, Inc.(a) | 24,158 | 2,422,081 | ||||||
SMART Global Holdings, Inc. (Cayman Islands)* | 7,061 | 351,920 | ||||||
Teradyne, Inc.†(a) | 72,776 | 3,326,591 | ||||||
Texas Instruments, Inc.†(a) | 89,846 | 9,334,101 | ||||||
Xcerra Corp.* | 26,010 | 303,016 | ||||||
|
| |||||||
83,935,899 | ||||||||
|
| |||||||
Software & Services — 13.1% | ||||||||
Accenture PLC, Class A | 31,508 | 4,836,478 | ||||||
Adobe Systems, Inc.* | 3,873 | 836,878 | ||||||
Alliance Data Systems Corp.(a) | 17,170 | 3,654,806 | ||||||
Alphabet, Inc., Class A†(a)* | 14,032 | 14,553,149 | ||||||
ANSYS, Inc.†* | 17,820 | 2,792,216 | ||||||
Appfolio, Inc., Class A(b)* | 16,518 | 674,760 | ||||||
Aspen Technology, Inc.†(b)* | 27,389 | 2,160,718 | ||||||
Blucora, Inc.†* | 23,772 | 584,791 | ||||||
CA, Inc.† | 114,078 | 3,867,244 | ||||||
CACI International, Inc., Class A†* | 6,057 | 916,727 | ||||||
Cadence Design Systems, Inc.†* | 75,720 | 2,784,224 | ||||||
Cardtronics PLC, Class A (United Kingdom)(b)* | 66,318 | 1,479,555 | ||||||
Cars.com, Inc.(b)* | 17,397 | 492,857 | ||||||
CDK Global, Inc.† | 18,118 | 1,147,594 | ||||||
CGI Group, Inc., Class A (Canada)†* | 22,974 | 1,324,221 | ||||||
Citrix Systems, Inc.†* | 24,520 | 2,275,456 | ||||||
Conduent, Inc.* | 145 | 2,703 | ||||||
Convergys Corp.(b) | 65,951 | 1,491,812 | ||||||
DST Systems, Inc.† | 7,684 | 642,767 | ||||||
DXC Technology Co.†(a) | 66,766 | 6,711,986 | ||||||
eBay, Inc.†* | 92,121 | 3,706,949 | ||||||
Envestnet, Inc.(b)* | 6,447 | 369,413 | ||||||
Etsy, Inc.* | 92,545 | 2,596,813 | ||||||
Euronet Worldwide, Inc.(b)* | 2,187 | 172,598 | ||||||
Facebook, Inc., Class A†* | 72,619 | 11,603,790 | ||||||
Fair Isaac Corp.†* | 8,063 | 1,365,630 | ||||||
Fidelity National Information Services, Inc.(a) | 50,125 | 4,827,038 | ||||||
Fiserv, Inc.†* | 24,389 | 1,739,180 | ||||||
Globant SA (Luxembourg)* | 7,873 | 405,774 | ||||||
GoDaddy, Inc., Class A* | 18,146 | 1,114,527 | ||||||
IAC/InterActiveCorp.†(a)* | 20,966 | 3,278,663 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
International Business Machines Corp.†(a) | 55,056 | $ | 8,447,242 | |||||
j2 Global, Inc.(b) | 27,175 | 2,144,651 | ||||||
Leidos Holdings, Inc.(a) | 28,437 | 1,859,780 | ||||||
LogMeIn, Inc.(b) | 9,678 | 1,118,293 | ||||||
Manhattan Associates, Inc.†(b)* | 14,999 | 628,158 | ||||||
Mastercard, Inc., Class A† | 6,702 | 1,173,922 | ||||||
Microsoft Corp.† | 41,587 | 3,795,645 | ||||||
MicroStrategy, Inc., Class A†* | 7,995 | 1,031,275 | ||||||
NIC, Inc.†(b) | 122,634 | 1,631,032 | ||||||
Open Text Corp. (Canada)†(b) | 48,962 | 1,703,878 | ||||||
Oracle Corp.† | 149,718 | 6,849,598 | ||||||
Paychex, Inc.†(b) | 75,049 | 4,622,268 | ||||||
Progress Software Corp.(a) | 56,609 | 2,176,616 | ||||||
Quotient Technology, Inc.(b)* | 1,345 | 17,620 | ||||||
SS&C Technologies Holdings, Inc.†(b) | 44,098 | 2,365,417 | ||||||
Stamps.com, Inc.(b)* | 10,791 | 2,169,531 | ||||||
Symantec Corp.(a)(b) | 48,128 | 1,244,109 | ||||||
Synopsys, Inc.†* | 7,462 | 621,137 | ||||||
Total System Services, Inc.(a) | 10,101 | 871,312 | ||||||
Trade Desk, Inc. (The), | 7,611 | 377,658 | ||||||
VeriSign, Inc.(b)* | 17,705 | 2,099,105 | ||||||
Visa, Inc., Class A(b) | 17,117 | 2,047,536 | ||||||
Web.com Group, Inc.†(b)* | 60,913 | 1,102,525 | ||||||
Zynga, Inc., Class A* | 133,582 | 488,910 | ||||||
|
| |||||||
134,998,535 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 9.1% |
| |||||||
Amphenol Corp., Class A† | 23,993 | 2,066,517 | ||||||
Apple, Inc.† | 73,674 | 12,361,024 | ||||||
Arista Networks, Inc.* | 3,542 | 904,273 | ||||||
AVX Corp.† | 20,509 | 339,424 | ||||||
CDW Corp.†(a) | 32,595 | 2,291,755 | ||||||
Ciena Corp.(b)* | 7,827 | 202,719 | ||||||
Cisco Systems, Inc.† | 210,733 | 9,038,338 | ||||||
Diebold Nixdorf, Inc.(b) | 84,177 | 1,296,326 | ||||||
EchoStar Corp., Class A†* | 3,010 | 158,838 | ||||||
Electro Scientific Industries, | 159,412 | 3,081,434 | ||||||
F5 Networks, Inc.†* | 20,538 | 2,970,000 | ||||||
FLIR Systems, Inc.†(a) | 61,323 | 3,066,763 | ||||||
Hewlett Packard Enterprise Co.† | 183,892 | 3,225,466 | ||||||
HP, Inc.†(b) | 303,040 | 6,642,637 | ||||||
InterDigital, Inc.†(b) | 39,331 | 2,894,762 | ||||||
Jabil, Inc. | 26,465 | 760,339 | ||||||
Juniper Networks, Inc.† | 192,148 | 4,674,961 |
The accompanying notes are an integral part of the financial statements.
14
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
KEMET Corp.(a)(b)* | 172,593 | $ | 3,129,111 | |||||
Mitel Networks Corp. | 41,952 | 389,315 | ||||||
Motorola Solutions, Inc.†(a) | 67,865 | 7,146,184 | ||||||
NCR Corp.(b)* | 8,856 | 279,141 | ||||||
NetApp, Inc.†(a) | 90,886 | 5,606,757 | ||||||
NETGEAR, Inc.(b)* | 11,602 | 663,634 | ||||||
OSI Systems, Inc.(b)* | 13,308 | 868,613 | ||||||
Plantronics, Inc.† | 9,536 | 575,688 | ||||||
Rogers Corp.†* | 4,231 | 505,774 | ||||||
Seagate Technology PLC (Ireland)(b) | 77,749 | 4,549,871 | ||||||
SYNNEX Corp.† | 3,777 | 447,197 | ||||||
Systemax, Inc.(b) | 14,110 | 402,840 | ||||||
Tech Data Corp.(b)* | 11,414 | 971,674 | ||||||
TTM Technologies, Inc.(b)* | 32,514 | 497,139 | ||||||
Ubiquiti Networks, Inc.(b)* | 2,325 | 159,960 | ||||||
Vishay Intertechnology, Inc.(b) | 205,287 | 3,818,338 | ||||||
Western Digital Corp.† | 51,620 | 4,762,977 | ||||||
Xerox Corp.† | 39,444 | 1,135,198 | ||||||
Zebra Technologies Corp., Class A†(b)* | 15,678 | 2,182,221 | ||||||
|
| |||||||
94,067,208 | ||||||||
|
| |||||||
Telecommunication Services — 1.6% |
| |||||||
AT&T, Inc.† | 115,231 | 4,107,985 | ||||||
Frontier Communications | 151,419 | 1,123,529 | ||||||
Rogers Communications, Inc., Class B (Canada)† | 34,177 | 1,527,028 | ||||||
Verizon Communications, | 175,471 | 8,391,023 | ||||||
Vonage Holdings Corp.†(b)* | 149,120 | 1,588,128 | ||||||
Zayo Group Holdings, Inc.* | 3,466 | 118,399 | ||||||
|
| |||||||
16,856,092 | ||||||||
|
| |||||||
Transportation — 3.8% | ||||||||
Alaska Air Group, Inc.(a)(b) | 94,110 | 5,831,056 | ||||||
CH Robinson Worldwide, Inc.(b) | 46,766 | 4,382,442 | ||||||
Delta Air Lines, Inc.† | 62,539 | 3,427,763 | ||||||
Expeditors International of Washington, Inc.†(b) | 109,959 | 6,960,405 | ||||||
Forward Air Corp.(b) | 1,466 | 77,493 | ||||||
JB Hunt Transport Services, | 6,708 | 785,842 | ||||||
Kansas City Southern†(a) | 51,551 | 5,662,877 | ||||||
Landstar System, Inc.†(b) | 13,038 | 1,429,617 | ||||||
Norfolk Southern Corp.† | 26,086 | 3,541,957 | ||||||
Old Dominion Freight Line, | 16,030 | 2,355,929 | ||||||
Saia, Inc.* | 3,166 | 237,925 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Union Pacific Corp.† | 33,212 | $ | 4,464,689 | |||||
Universal Logistics Holdings, Inc. | 744 | 15,736 | ||||||
XPO Logistics, Inc.(b)* | 919 | 93,563 | ||||||
|
| |||||||
39,267,294 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,240,037,984 | ||||||
|
| |||||||
Par Value | ||||||||
CORPORATE BONDS AND NOTES — 0.0% |
| |||||||
Capital Goods — 0.0% |
| |||||||
Mueller Industries, Inc. 6.00%, 03/01/2027 | $ | 785 | 784 | |||||
|
| |||||||
TOTAL CORPORATE BONDS AND NOTES |
| 784 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 120.6% | 1,240,038,768 | |||||||
|
| |||||||
(Cost $1,176,944,778) | ||||||||
SHORT POSITIONS — (60.4)% |
| |||||||
COMMON STOCKS — (60.4)% |
| |||||||
Automobiles & Components — (1.7)% |
| |||||||
Adient PLC (Ireland) | (98,339 | ) | (5,876,739 | ) | ||||
American Axle & Manufacturing Holdings, Inc.* | (40,037 | ) | (609,363 | ) | ||||
Cooper-Standard Holding, Inc.* | (4,817 | ) | (591,576 | ) | ||||
Dorman Products, Inc.* | (22,174 | ) | (1,468,141 | ) | ||||
Ford Motor Co. | (233,997 | ) | (2,592,687 | ) | ||||
Fox Factory Holding Corp.* | (24,800 | ) | (865,520 | ) | ||||
Gentherm, Inc.* | (11,445 | ) | (388,558 | ) | ||||
LCI Industries | (8,989 | ) | (936,204 | ) | ||||
Tesla, Inc.* | (14,800 | ) | (3,938,724 | ) | ||||
Visteon Corp.* | (4,404 | ) | (485,497 | ) | ||||
|
| |||||||
(17,753,009 | ) | |||||||
|
| |||||||
Capital Goods — (7.1)% |
| |||||||
AAON, Inc. | (22,116 | ) | (862,524 | ) | ||||
AAR Corp. | (40,299 | ) | (1,777,589 | ) | ||||
Actuant Corp., Class A | (11,617 | ) | (270,095 | ) | ||||
Advanced Drainage Systems, Inc. | (33,445 | ) | (866,226 | ) | ||||
American Railcar Industries, Inc. | (17,190 | ) | (643,078 | ) | ||||
American Woodmark Corp.* | (23,025 | ) | (2,266,811 | ) | ||||
Apogee Enterprises, Inc. | (61,059 | ) | (2,646,908 | ) | ||||
Astec Industries, Inc. | (1,876 | ) | (103,518 | ) | ||||
Astronics Corp.* | (14,124 | ) | (526,825 | ) |
The accompanying notes are an integral part of the financial statements.
15
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Axon Enterprise, Inc.* | (97,769 | ) | $ | (3,843,299 | ) | |||
Briggs & Stratton Corp. | (22,962 | ) | (491,616 | ) | ||||
Carlisle Cos., Inc. | (11,403 | ) | (1,190,587 | ) | ||||
Chart Industries, Inc.* | (27,641 | ) | (1,631,648 | ) | ||||
CIRCOR International, Inc. | (14,893 | ) | (635,335 | ) | ||||
Colfax Corp.* | (13,261 | ) | (423,026 | ) | ||||
Cubic Corp. | (20,593 | ) | (1,309,715 | ) | ||||
Donaldson Co., Inc. | (17,096 | ) | (770,175 | ) | ||||
Douglas Dynamics, Inc. | (4,299 | ) | (186,362 | ) | ||||
DXP Enterprises, Inc.* | (3,451 | ) | (134,417 | ) | ||||
Dycom Industries, Inc.* | (29,244 | ) | (3,147,532 | ) | ||||
EnerSys | (7,009 | ) | (486,214 | ) | ||||
EnPro Industries, Inc. | (10,017 | ) | (775,116 | ) | ||||
ESCO Technologies, Inc. | (4,633 | ) | (271,262 | ) | ||||
Evoqua Water Technologies Corp.* | (14,653 | ) | (311,962 | ) | ||||
Franklin Electric Co., Inc. | (7,678 | ) | (312,878 | ) | ||||
General Cable Corp. | (9,811 | ) | (290,406 | ) | ||||
Global Brass & Copper Holdings, Inc. | (1,962 | ) | (65,629 | ) | ||||
Griffon Corp. | (5,880 | ) | (107,310 | ) | ||||
HEICO Corp. | (1,330 | ) | (115,457 | ) | ||||
Herc Holdings, Inc.* | (15,307 | ) | (994,190 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (3,409 | ) | (238,391 | ) | ||||
Jacobs Engineering Group, Inc. | (43,544 | ) | (2,575,628 | ) | ||||
JELD-WEN Holding, Inc.* | (32,402 | ) | (992,149 | ) | ||||
Kadant, Inc. | (5,433 | ) | (513,418 | ) | ||||
Kennametal, Inc. | (4,997 | ) | (200,680 | ) | ||||
KLX, Inc.* | (4,463 | ) | (317,141 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (337,161 | ) | (3,469,387 | ) | ||||
Lincoln Electric Holdings, Inc. | (9,467 | ) | (851,557 | ) | ||||
Lindsay Corp. | (7,654 | ) | (699,882 | ) | ||||
Masonite International Corp. (Canada)* | (7,674 | ) | (470,800 | ) | ||||
MasTec, Inc.* | (73,876 | ) | (3,475,866 | ) | ||||
Maxar Technologies Ltd. (Canada) | (12,742 | ) | (589,318 | ) | ||||
Mercury Systems, Inc.* | (32,283 | ) | (1,559,915 | ) | ||||
Meritor, Inc.* | (78,694 | ) | (1,617,949 | ) | ||||
Milacron Holdings Corp.* | (24,857 | ) | (500,620 | ) | ||||
Moog, Inc., Class A* | (7,891 | ) | (650,297 | ) | ||||
MRC Global, Inc.* | (178,006 | ) | (2,926,419 | ) | ||||
Mueller Industries, Inc. | (2,461 | ) | (64,380 | ) | ||||
Mueller Water Products, Inc., Class A | (643 | ) | (6,989 | ) | ||||
MYR Group, Inc.* | (5,395 | ) | (166,274 | ) | ||||
National Presto Industries, Inc. | (3,763 | ) | (352,781 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
NOW, Inc.* | (351,549 | ) | $ | (3,592,831 | ) | |||
Patrick Industries, Inc.* | (17,132 | ) | (1,059,614 | ) | ||||
Proto Labs, Inc.* | (3,675 | ) | (431,996 | ) | ||||
Quanex Building Products Corp. | (3,252 | ) | (56,585 | ) | ||||
Raven Industries, Inc. | (14,999 | ) | (525,715 | ) | ||||
RBC Bearings, Inc.* | (191 | ) | (23,722 | ) | ||||
REV Group, Inc. | (24,479 | ) | (508,184 | ) | ||||
Rush Enterprises, Inc., Class A* | (19,773 | ) | (840,155 | ) | ||||
SPX Corp.* | (19,605 | ) | (636,770 | ) | ||||
Sunrun, Inc.* | (315,235 | ) | (2,815,049 | ) | ||||
Tennant Co. | (4,569 | ) | (309,321 | ) | ||||
Thermon Group Holdings, Inc.* | (23,564 | ) | (528,069 | ) | ||||
Timken Co. (The) | (52,160 | ) | (2,378,496 | ) | ||||
Titan International, Inc. | (16,313 | ) | (205,707 | ) | ||||
Triumph Group, Inc. | (47,301 | ) | (1,191,985 | ) | ||||
United Rentals, Inc.* | (2,690 | ) | (464,644 | ) | ||||
USG Corp.* | (25,759 | ) | (1,041,179 | ) | ||||
Vicor Corp.* | (887 | ) | (25,324 | ) | ||||
Wabash National Corp. | (40,239 | ) | (837,374 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (134,548 | ) | (1,379,117 | ) | ||||
Woodward, Inc. | (62,665 | ) | (4,490,574 | ) | ||||
|
| |||||||
(73,039,962 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (2.2)% |
| |||||||
ABM Industries, Inc. | (86,799 | ) | (2,906,031 | ) | ||||
Advanced Disposal Services, Inc.* | (87,228 | ) | (1,943,440 | ) | ||||
CoStar Group, Inc.* | (5,389 | ) | (1,954,483 | ) | ||||
Covanta Holding Corp. | (171,128 | ) | (2,481,356 | ) | ||||
Healthcare Services Group, Inc. | (11,033 | ) | (479,715 | ) | ||||
HNI Corp. | (13,458 | ) | (485,699 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (26,220 | ) | (1,264,853 | ) | ||||
Insperity, Inc. | (1,992 | ) | (138,544 | ) | ||||
KAR Auction Services, Inc. | (41,457 | ) | (2,246,969 | ) | ||||
Kelly Services, Inc., Class A | (6,531 | ) | (189,660 | ) | ||||
Kimball International, Inc., Class B | (109 | ) | (1,857 | ) | ||||
MSA Safety, Inc. | (17,387 | ) | (1,447,294 | ) | ||||
Multi-Color Corp. | (13,383 | ) | (883,947 | ) | ||||
Pitney Bowes, Inc. | (186,814 | ) | (2,034,404 | ) | ||||
Ritchie Bros Auctioneers, Inc. (Canada) | (67,505 | ) | (2,124,382 | ) | ||||
Rollins, Inc. | (3,574 | ) | (182,381 | ) | ||||
Tetra Tech, Inc. | (3,380 | ) | (165,451 | ) | ||||
TransUnion* | (2,688 | ) | (152,625 | ) | ||||
TrueBlue, Inc.* | (39,454 | ) | (1,021,859 | ) | ||||
Verisk Analytics, Inc.* | (2,692 | ) | (279,968 | ) |
The accompanying notes are an integral part of the financial statements.
16
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
WageWorks, Inc.* | (3,560 | ) | $ | (160,912 | ) | |||
|
| |||||||
(22,545,830 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.5)% |
| |||||||
American Outdoor Brands Corp.* | (275,816 | ) | (2,846,421 | ) | ||||
Columbia Sportswear Co. | (12,451 | ) | (951,630 | ) | ||||
G-III Apparel Group Ltd.* | (109,064 | ) | (4,109,532 | ) | ||||
GoPro, Inc., Class A* | (191,133 | ) | (915,527 | ) | ||||
Installed Building Products, Inc.* | (15,709 | ) | (943,325 | ) | ||||
iRobot Corp.* | (21,763 | ) | (1,396,967 | ) | ||||
Johnson Outdoors, Inc., Class A | (28 | ) | (1,736 | ) | ||||
Lululemon Athletica, Inc.* | (35,181 | ) | (3,135,331 | ) | ||||
Mohawk Industries, Inc.* | (10,556 | ) | (2,451,314 | ) | ||||
NIKE, Inc., Class B | (25,248 | ) | (1,677,477 | ) | ||||
Oxford Industries, Inc. | (3,489 | ) | (260,140 | ) | ||||
PVH Corp. | (1,135 | ) | (171,873 | ) | ||||
Skechers U.S.A., Inc., Class A* | (114,364 | ) | (4,447,616 | ) | ||||
Sturm Ruger & Co., Inc. | (18,531 | ) | (972,878 | ) | ||||
Tapestry, Inc. | (30,424 | ) | (1,600,607 | ) | ||||
|
| |||||||
(25,882,374 | ) | |||||||
|
| |||||||
Consumer Services — (3.6)% |
| |||||||
Belmond Ltd., Class A (Bermuda)* | (58,586 | ) | (653,234 | ) | ||||
Bloomin’ Brands, Inc. | (54,286 | ) | (1,318,064 | ) | ||||
Carrols Restaurant Group, Inc.* | (22,385 | ) | (250,712 | ) | ||||
Chegg, Inc.* | (108,184 | ) | (2,235,081 | ) | ||||
Chipotle Mexican Grill, Inc.* | (4,267 | ) | (1,378,710 | ) | ||||
Dave & Buster’s Entertainment, Inc.* | (114,762 | ) | (4,790,166 | ) | ||||
Golden Entertainment, Inc.* | (8,974 | ) | (208,466 | ) | ||||
ILG, Inc. | (118,672 | ) | (3,691,886 | ) | ||||
International Game Technology PLC (United Kingdom) | (4,235 | ) | (113,202 | ) | ||||
International Speedway Corp., Class A | (10,800 | ) | (476,280 | ) | ||||
K12, Inc.* | (13,540 | ) | (191,997 | ) | ||||
La Quinta Holdings, Inc.* | (104,652 | ) | (1,978,969 | ) | ||||
Marcus Corp. (The) | (7,686 | ) | (233,270 | ) | ||||
MGM Resorts International | (99,990 | ) | (3,501,650 | ) | ||||
Monarch Casino & Resort, Inc.* | (1,970 | ) | (83,311 | ) | ||||
Papa John’s International, Inc. | (3,886 | ) | (222,668 | ) | ||||
Planet Fitness, Inc., Class A* | (20,890 | ) | (789,015 | ) | ||||
Red Robin Gourmet Burgers, Inc.* | (7,755 | ) | (449,790 | ) | ||||
Service Corp. International | (22,029 | ) | (831,374 | ) | ||||
Shake Shack, Inc., Class A* | (118,280 | ) | (4,923,996 | ) | ||||
Starbucks Corp. | (25,582 | ) | (1,480,942 | ) | ||||
Strayer Education, Inc. | (5,798 | ) | (585,888 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Texas Roadhouse, Inc. | (45,971 | ) | $ | (2,656,204 | ) | |||
Weight Watchers International, Inc.* | (5,514 | ) | (351,352 | ) | ||||
Wendy’s Co. (The) | (116,464 | ) | (2,043,943 | ) | ||||
Wingstop, Inc. | (42,214 | ) | (1,993,767 | ) | ||||
|
| |||||||
(37,433,937 | ) | |||||||
|
| |||||||
Energy — (3.7)% | ||||||||
Cheniere Energy, Inc.* | (4,736 | ) | (253,139 | ) | ||||
Delek US Holdings, Inc. | (90,734 | ) | (3,692,874 | ) | ||||
Ensco PLC, Class A (United Kingdom) | (1,171,080 | ) | (5,141,041 | ) | ||||
Forum Energy Technologies, Inc.* | (104,272 | ) | (1,146,992 | ) | ||||
Green Plains, Inc. | (174,065 | ) | (2,924,292 | ) | ||||
Helix Energy Solutions Group, Inc.* | (356,607 | ) | (2,064,755 | ) | ||||
Keane Group, Inc.* | (208,021 | ) | (3,078,711 | ) | ||||
Nabors Industries Ltd. (Bermuda) | (68,788 | ) | (480,828 | ) | ||||
NexGen Energy Ltd. (Canada)* | (8,382 | ) | (14,249 | ) | ||||
Oceaneering International, Inc. | (69,933 | ) | (1,296,558 | ) | ||||
Par Pacific Holdings, Inc.* | (2,209 | ) | (37,929 | ) | ||||
Patterson-UTI Energy, Inc. | (192,168 | ) | (3,364,862 | ) | ||||
Pembina Pipeline Corp. (Canada) | (24,185 | ) | (755,298 | ) | ||||
ProPetro Holding Corp.* | (9,445 | ) | (150,081 | ) | ||||
Select Energy Services, Inc., Class A* | (13,097 | ) | (165,284 | ) | ||||
SemGroup Corp., Class A | (169,669 | ) | (3,630,917 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (37,831 | ) | (626,481 | ) | ||||
Suncor Energy, Inc. (Canada) | (22,811 | ) | (787,892 | ) | ||||
Targa Resources Corp. | (72,541 | ) | (3,191,804 | ) | ||||
Unit Corp.* | (94,065 | ) | (1,858,724 | ) | ||||
US Silica Holdings, Inc. | (86,396 | ) | (2,204,826 | ) | ||||
Weatherford International PLC (Ireland)* | (522,411 | ) | (1,196,321 | ) | ||||
|
| |||||||
(38,063,858 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.1)% |
| |||||||
Casey’s General Stores, Inc. | (30,865 | ) | (3,388,051 | ) | ||||
Chefs’ Warehouse, Inc. (The)* | (1,769 | ) | (40,687 | ) | ||||
PriceSmart, Inc. | (34,178 | ) | (2,855,572 | ) | ||||
Smart & Final Stores, Inc.* | (73,039 | ) | (405,366 | ) | ||||
SUPERVALU, Inc.* | (159,243 | ) | (2,425,271 | ) | ||||
United Natural Foods, Inc.* | (55,196 | ) | (2,370,116 | ) | ||||
|
| |||||||
(11,485,063 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.6)% |
| |||||||
B&G Foods, Inc. | (103,875 | ) | (2,461,838 | ) |
The accompanying notes are an integral part of the financial statements.
17
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Blue Buffalo Pet Products, Inc.* | (115,806 | ) | $ | (4,610,237 | ) | |||
Bunge Ltd. (Bermuda) | (9,868 | ) | (729,640 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (10,914 | ) | (1,884,520 | ) | ||||
Constellation Brands, Inc., Class A | (3,804 | ) | (867,008 | ) | ||||
Cott Corp. (Canada) | (43,100 | ) | (634,432 | ) | ||||
Darling Ingredients, Inc.* | (128,939 | ) | (2,230,645 | ) | ||||
Farmer Brothers Co.* | (6,233 | ) | (188,237 | ) | ||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | (16,835 | ) | (761,615 | ) | ||||
Freshpet, Inc.* | (3,979 | ) | (65,455 | ) | ||||
Hain Celestial Group, Inc. (The)* | (197,486 | ) | (6,333,376 | ) | ||||
J&J Snack Foods Corp. | (4,685 | ) | (639,784 | ) | ||||
Lamb Weston Holdings, Inc. | (7,097 | ) | (413,187 | ) | ||||
MGP Ingredients, Inc. | (30,882 | ) | (2,766,718 | ) | ||||
Post Holdings, Inc.* | (6,753 | ) | (511,607 | ) | ||||
SunOpta, Inc. (Canada)* | (30,563 | ) | (216,997 | ) | ||||
Tootsie Roll Industries, Inc. | (9,267 | ) | (272,913 | ) | ||||
Universal Corp. | (19,415 | ) | (941,628 | ) | ||||
Vector Group Ltd. | (4,334 | ) | (88,370 | ) | ||||
|
| |||||||
(26,618,207 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (6.7)% |
| |||||||
Acadia Healthcare Co., Inc.* | (139,378 | ) | (5,460,830 | ) | ||||
Almost Family, Inc.* | (21,006 | ) | (1,176,336 | ) | ||||
Amedisys, Inc.* | (14,060 | ) | (848,380 | ) | ||||
AtriCure, Inc.* | (42,657 | ) | (875,322 | ) | ||||
Becton Dickinson and Co. | (13,079 | ) | (2,834,219 | ) | ||||
BioTelemetry, Inc.* | (76,994 | ) | (2,390,664 | ) | ||||
Cardinal Health, Inc. | (31,785 | ) | (1,992,284 | ) | ||||
Cardiovascular Systems, Inc.* | (32,069 | ) | (703,273 | ) | ||||
Civitas Solutions, Inc.* | (1,299 | ) | (20,005 | ) | ||||
Cooper Cos., Inc. (The) | (15,475 | ) | (3,540,835 | ) | ||||
CryoLife, Inc.* | (16,026 | ) | (321,321 | ) | ||||
DaVita, Inc.* | (92,360 | ) | (6,090,218 | ) | ||||
DexCom, Inc.* | (24,458 | ) | (1,813,805 | ) | ||||
Diplomat Pharmacy, Inc.* | (90,049 | ) | (1,814,487 | ) | ||||
Ensign Group, Inc. (The) | (44,442 | ) | (1,168,825 | ) | ||||
Evolent Health, Inc., Class A* | (138,205 | ) | (1,969,421 | ) | ||||
Glaukos Corp.* | (5,092 | ) | (156,986 | ) | ||||
HCA Healthcare, Inc. | (1,487 | ) | (144,239 | ) | ||||
Inovalon Holdings, Inc., Class A* | (26,718 | ) | (283,211 | ) | ||||
Insulet Corp.* | (11,030 | ) | (956,080 | ) | ||||
Integra LifeSciences Holdings Corp.* | (18,717 | ) | (1,035,799 | ) | ||||
Invacare Corp. | (18,616 | ) | (323,918 | ) | ||||
iRhythm Technologies, Inc.* | (27,504 | ) | (1,731,377 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
K2M Group Holdings, Inc.* | (84,097 | ) | $ | (1,593,638 | ) | |||
LHC Group, Inc.* | (29,709 | ) | (1,828,886 | ) | ||||
McKesson Corp. | (35,554 | ) | (5,008,492 | ) | ||||
Merit Medical Systems, Inc.* | (14,581 | ) | (661,248 | ) | ||||
Natus Medical, Inc.* | (10,712 | ) | (360,459 | ) | ||||
Neogen Corp.* | (6,248 | ) | (418,554 | ) | ||||
Nevro Corp.* | (37,620 | ) | (3,260,525 | ) | ||||
Novocure Ltd. (Jersey)* | (27,539 | ) | (600,350 | ) | ||||
NxStage Medical, Inc.* | (123,045 | ) | (3,058,899 | ) | ||||
Omnicell, Inc.* | (42,067 | ) | (1,825,708 | ) | ||||
OraSure Technologies, Inc.* | (41,979 | ) | (709,025 | ) | ||||
Penumbra, Inc.* | (4,322 | ) | (499,839 | ) | ||||
PetIQ, Inc.* | (1,072 | ) | (28,515 | ) | ||||
Providence Service Corp. (The)* | (4,894 | ) | (338,371 | ) | ||||
Quidel Corp.* | (73,288 | ) | (3,797,051 | ) | ||||
STAAR Surgical Co.* | (9,813 | ) | (145,232 | ) | ||||
Tactile Systems Technology, Inc.* | (20,040 | ) | (637,272 | ) | ||||
Teladoc, Inc.* | (61,236 | ) | (2,467,811 | ) | ||||
ViewRay, Inc.* | (49,286 | ) | (316,909 | ) | ||||
West Pharmaceutical Services, Inc. | (16,768 | ) | (1,480,447 | ) | ||||
Wright Medical Group NV (Netherlands)* | (101,931 | ) | (2,022,311 | ) | ||||
|
| |||||||
(68,711,377 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.8)% |
| |||||||
Central Garden & Pet Co., Class A* | (6,804 | ) | (269,506 | ) | ||||
Clorox Co. (The) | (32,199 | ) | (4,286,009 | ) | ||||
Coty, Inc., Class A | (94,769 | ) | (1,734,273 | ) | ||||
WD-40 Co. | (12,486 | ) | (1,644,406 | ) | ||||
|
| |||||||
(7,934,194 | ) | |||||||
|
| |||||||
Materials — (3.7)% | ||||||||
A Schulman, Inc. | (921 | ) | (39,603 | ) | ||||
Air Products & Chemicals, Inc. | (1,982 | ) | (315,198 | ) | ||||
Albemarle Corp. | (9,007 | ) | (835,309 | ) | ||||
AptarGroup, Inc. | (21,672 | ) | (1,946,796 | ) | ||||
Ashland Global Holdings, Inc. | (73,816 | ) | (5,151,619 | ) | ||||
Balchem Corp. | (10,912 | ) | (892,056 | ) | ||||
Cabot Corp. | (8,432 | ) | (469,831 | ) | ||||
Clearwater Paper Corp.* | (10,427 | ) | (407,696 | ) | ||||
Ferro Corp.* | (74,541 | ) | (1,730,842 | ) | ||||
FutureFuel Corp. | (62 | ) | (743 | ) | ||||
HB Fuller Co. | (61,468 | ) | (3,056,804 | ) | ||||
Huntsman Corp. | (24,733 | ) | (723,440 | ) | ||||
Innophos Holdings, Inc. | (15,209 | ) | (611,554 | ) | ||||
KMG Chemicals, Inc. | (6,441 | ) | (386,138 | ) |
The accompanying notes are an integral part of the financial statements.
18
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
NewMarket Corp. | (1,748 | ) | $ | (702,137 | ) | |||
Nutrien Ltd. (Canada) | (73,449 | ) | (3,471,200 | ) | ||||
Packaging Corp. of America | (1,601 | ) | (180,433 | ) | ||||
PH Glatfelter Co. | (27,812 | ) | (570,980 | ) | ||||
Rayonier Advanced Materials, Inc. | (88,993 | ) | (1,910,680 | ) | ||||
Silgan Holdings, Inc. | (15,187 | ) | (422,958 | ) | ||||
Sonoco Products Co. | (4,577 | ) | (221,984 | ) | ||||
Tredegar Corp. | (487 | ) | (8,742 | ) | ||||
US Concrete, Inc.* | (68,528 | ) | (4,139,091 | ) | ||||
Valvoline, Inc. | (55,799 | ) | (1,234,832 | ) | ||||
Venator Materials PLC (United Kingdom)* | (151,165 | ) | (2,734,575 | ) | ||||
Vulcan Materials Co. | (15,629 | ) | (1,784,363 | ) | ||||
WestRock Co. | (56,691 | ) | (3,637,861 | ) | ||||
|
| |||||||
(37,587,465 | ) | |||||||
|
| |||||||
Media — (2.2)% | ||||||||
Altice USA, Inc., Class A* | (89,836 | ) | (1,660,169 | ) | ||||
Cable One, Inc. | (2,195 | ) | (1,508,207 | ) | ||||
Charter Communications, Inc., Class A* | (12,215 | ) | (3,801,552 | ) | ||||
Emerald Expositions Events, Inc. | (1,706 | ) | (33,233 | ) | ||||
Entercom Communications Corp., Class A | (165,665 | ) | (1,598,667 | ) | ||||
EW Scripps Co. (The), Class A | (62,585 | ) | (750,394 | ) | ||||
Gray Television, Inc.* | (8,374 | ) | (106,350 | ) | ||||
Live Nation Entertainment, Inc.* | (50,389 | ) | (2,123,392 | ) | ||||
Madison Square Garden Co. (The), Class A* | (14,407 | ) | (3,541,241 | ) | ||||
Meredith Corp. | (30,814 | ) | (1,657,793 | ) | ||||
New Media Investment Group, Inc. | (8,232 | ) | (141,096 | ) | ||||
New York Times Co. (The), Class A | (62,602 | ) | (1,508,708 | ) | ||||
Nexstar Media Group, Inc., Class A | (10,026 | ) | (666,729 | ) | ||||
Scholastic Corp. | (13,208 | ) | (512,999 | ) | ||||
Sinclair Broadcast Group, Inc., Class A | (60,855 | ) | (1,904,762 | ) | ||||
TEGNA, Inc. | (109,665 | ) | (1,249,084 | ) | ||||
tronc, Inc.* | (898 | ) | (14,745 | ) | ||||
|
| |||||||
(22,779,121 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (2.0)% |
| |||||||
Aclaris Therapeutics, Inc.* | (43,818 | ) | (767,691 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (5,332 | ) | (289,261 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (1,837 | ) | (23,330 | ) | ||||
Bio-Rad Laboratories, Inc., Class A* | (6,157 | ) | (1,539,743 | ) | ||||
Coherus Biosciences, Inc.* | (32,641 | ) | (360,683 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
Epizyme, Inc.* | (32,687 | ) | $ | (580,194 | ) | |||
Flexion Therapeutics, Inc.* | (34,997 | ) | (784,283 | ) | ||||
Heron Therapeutics, Inc.* | (20,373 | ) | (562,295 | ) | ||||
Illumina, Inc.* | (4,959 | ) | (1,172,407 | ) | ||||
Insmed, Inc.* | (20,256 | ) | (456,165 | ) | ||||
Intra-Cellular Therapies, Inc.* | (20,246 | ) | (426,178 | ) | ||||
La Jolla Pharmaceutical Co.* | (56,102 | ) | (1,670,718 | ) | ||||
MacroGenics, Inc.* | (17,886 | ) | (450,012 | ) | ||||
Medicines Co. (The)* | (14,277 | ) | (470,284 | ) | ||||
Momenta Pharmaceuticals, Inc.* | (20,945 | ) | (380,152 | ) | ||||
NeoGenomics, Inc.* | (101,047 | ) | (824,544 | ) | ||||
PerkinElmer, Inc. | (5,229 | ) | (395,940 | ) | ||||
Portola Pharmaceuticals, Inc.* | (16,294 | ) | (532,162 | ) | ||||
QIAGEN NV (Netherlands)* | (47,906 | ) | (1,547,843 | ) | ||||
Radius Health, Inc.* | (18,383 | ) | (660,685 | ) | ||||
Reata Pharmaceuticals, Inc., Class A* | (15,220 | ) | (312,162 | ) | ||||
Revance Therapeutics, Inc.* | (27,136 | ) | (835,789 | ) | ||||
Rigel Pharmaceuticals, Inc.* | (18,542 | ) | (65,639 | ) | ||||
Spark Therapeutics, Inc.* | (4,421 | ) | (294,394 | ) | ||||
Syneos Health, Inc.* | (71,926 | ) | (2,553,373 | ) | ||||
TG Therapeutics, Inc.* | (15,891 | ) | (225,652 | ) | ||||
TherapeuticsMD, Inc.* | (132,922 | ) | (647,330 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (46,480 | ) | (1,127,140 | ) | ||||
Zogenix, Inc.* | (10,091 | ) | (404,145 | ) | ||||
|
| |||||||
(20,360,194 | ) | |||||||
|
| |||||||
Retailing — (3.7)% | ||||||||
Aaron’s, Inc. | (6,577 | ) | (306,488 | ) | ||||
At Home Group, Inc.* | (30,261 | ) | (969,562 | ) | ||||
Burlington Stores, Inc.* | (11,902 | ) | (1,584,751 | ) | ||||
Caleres, Inc. | (19,857 | ) | (667,195 | ) | ||||
Camping World Holdings, Inc., Class A | (56,538 | ) | (1,823,350 | ) | ||||
Core-Mark Holding Co., Inc. | (42,068 | ) | (894,366 | ) | ||||
Duluth Holdings, Inc., Class B* | (33,615 | ) | (629,609 | ) | ||||
Express, Inc.* | (317,444 | ) | (2,272,899 | ) | ||||
Finish Line, Inc. (The), Class A | (32,377 | ) | (438,385 | ) | ||||
Five Below, Inc.* | (5,099 | ) | (373,961 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (76,981 | ) | (4,012,250 | ) | ||||
Genesco, Inc.* | (8,552 | ) | (347,211 | ) | ||||
Genuine Parts Co. | (5,223 | )�� | (469,234 | ) |
The accompanying notes are an integral part of the financial statements.
19
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Group 1 Automotive, Inc. | (17,890 | ) | $ | (1,168,933 | ) | |||
Guess?, Inc. | (260,893 | ) | (5,410,921 | ) | ||||
Lands’ End, Inc.* | (18,319 | ) | (427,749 | ) | ||||
Lithia Motors, Inc., Class A | (17,183 | ) | (1,727,235 | ) | ||||
National Vision Holdings, Inc.* | (7,702 | ) | (248,852 | ) | ||||
Nordstrom, Inc. | (66,770 | ) | (3,232,336 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (20,522 | ) | (1,237,477 | ) | ||||
Overstock.com, Inc.* | (83,858 | ) | (3,039,852 | ) | ||||
Party City Holdco, Inc.* | (79,944 | ) | (1,247,126 | ) | ||||
Qurate Retail Group, Inc., Class A* | (45,560 | ) | (1,146,745 | ) | ||||
Sonic Automotive, Inc., Class A | (27,832 | ) | (527,416 | ) | ||||
TripAdvisor, Inc.* | (22,183 | ) | (907,063 | ) | ||||
Wayfair, Inc., Class A* | (41,322 | ) | (2,790,475 | ) | ||||
|
| |||||||
(37,901,441 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (2.9)% |
| |||||||
Ambarella, Inc. (Cayman Islands)* | (64,198 | ) | (3,145,060 | ) | ||||
Aquantia Corp.* | (7,859 | ) | (123,386 | ) | ||||
Brooks Automation, Inc. | (77,566 | ) | (2,100,487 | ) | ||||
Cavium, Inc.* | (48,997 | ) | (3,889,382 | ) | ||||
Cree, Inc.* | (68,413 | ) | (2,757,728 | ) | ||||
FormFactor, Inc.* | (41,353 | ) | (564,469 | ) | ||||
Ichor Holdings Ltd. (Cayman Islands)* | (73,310 | ) | (1,774,835 | ) | ||||
Inphi Corp.* | (128,251 | ) | (3,860,355 | ) | ||||
Lattice Semiconductor Corp.* | (84,209 | ) | (469,044 | ) | ||||
MACOM Technology Solutions Holdings, Inc.* | (61,449 | ) | (1,020,053 | ) | ||||
MaxLinear, Inc.* | (64,534 | ) | (1,468,148 | ) | ||||
Microsemi Corp.* | (32,787 | ) | (2,121,975 | ) | ||||
Monolithic Power Systems, Inc. | (4,654 | ) | (538,794 | ) | ||||
Nanometrics, Inc.* | (24,087 | ) | (647,940 | ) | ||||
Photronics, Inc.* | (65,742 | ) | (542,372 | ) | ||||
Rudolph Technologies, Inc.* | (8,870 | ) | (245,699 | ) | ||||
Semtech Corp.* | (17,268 | ) | (674,315 | ) | ||||
Synaptics, Inc.* | (77,248 | ) | (3,532,551 | ) | ||||
Veeco Instruments, Inc.* | (13,031 | ) | (221,527 | ) | ||||
|
| |||||||
(29,698,120 | ) | |||||||
|
| |||||||
Software & Services — (6.3)% | ||||||||
8x8, Inc.* | (169,438 | ) | (3,160,019 | ) | ||||
Acxiom Corp.* | (100,204 | ) | (2,275,633 | ) | ||||
Altair Engineering, Inc., Class A* | (3,253 | ) | (102,014 | ) | ||||
Autodesk, Inc.* | (2,723 | ) | (341,954 | ) | ||||
Black Knight, Inc.* | (31,434 | ) | (1,480,541 | ) | ||||
BlackBerry Ltd. (Canada)* | (30,596 | ) | (351,854 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Blackhawk Network Holdings, Inc.* | (23,837 | ) | $ | (1,065,514 | ) | |||
Blackline, Inc.* | (29,185 | ) | (1,144,344 | ) | ||||
Box, Inc., Class A* | (135,668 | ) | (2,787,977 | ) | ||||
Callidus Software, Inc.* | (43,337 | ) | (1,557,965 | ) | ||||
Carbonite, Inc.* | (12,703 | ) | (365,846 | ) | ||||
Cloudera, Inc.* | (249,049 | ) | (5,374,477 | ) | ||||
Cornerstone OnDemand, Inc.* | (4,322 | ) | (169,033 | ) | ||||
Coupa Software, Inc.* | (4,927 | ) | (224,770 | ) | ||||
Electronic Arts, Inc.* | (16,239 | ) | (1,968,816 | ) | ||||
Ellie Mae, Inc.* | (23,002 | ) | (2,114,804 | ) | ||||
Everbridge, Inc.* | (9,465 | ) | (346,419 | ) | ||||
FireEye, Inc.* | (199,685 | ) | (3,380,667 | ) | ||||
First Data Corp., Class A* | (277,012 | ) | (4,432,192 | ) | ||||
ForeScout Technologies, Inc.* | (7,611 | ) | (246,901 | ) | ||||
Global Payments, Inc. | (3,627 | ) | (404,483 | ) | ||||
Gogo, Inc.* | (265,244 | ) | (2,289,056 | ) | ||||
Guidewire Software, Inc.* | (2,945 | ) | (238,044 | ) | ||||
Hortonworks, Inc.* | (50,258 | ) | (1,023,756 | ) | ||||
Instructure, Inc.* | (23,842 | ) | (1,004,940 | ) | ||||
MuleSoft, Inc., Class A* | (42,084 | ) | (1,850,854 | ) | ||||
Okta, Inc.* | (25,356 | ) | (1,010,437 | ) | ||||
Pandora Media, Inc.* | (438,316 | ) | (2,204,729 | ) | ||||
Presidio, Inc.* | (11,214 | ) | (175,387 | ) | ||||
PROS Holdings, Inc.* | (52,748 | ) | (1,741,211 | ) | ||||
QAD, Inc., Class A | (52 | ) | (2,166 | ) | ||||
Rapid7, Inc.* | (23,624 | ) | (604,066 | ) | ||||
Science Applications International Corp. | (30,316 | ) | (2,388,901 | ) | ||||
SecureWorks Corp., Class A* | (18,208 | ) | (147,121 | ) | ||||
Snap, Inc., Class A* | (376,008 | ) | (5,967,247 | ) | ||||
Square, Inc., Class A* | (6,420 | ) | (315,864 | ) | ||||
Tableau Software, Inc., Class A* | (2,412 | ) | (194,938 | ) | ||||
Teradata Corp.* | (49,866 | ) | (1,978,184 | ) | ||||
TrueCar, Inc.* | (235,728 | ) | (2,229,987 | ) | ||||
TTEC Holdings, Inc. | (4,743 | ) | (145,610 | ) | ||||
Twilio, Inc., Class A* | (38,862 | ) | (1,483,751 | ) | ||||
Virtusa Corp.* | (11,583 | ) | (561,312 | ) | ||||
Workday, Inc., Class A* | (4,307 | ) | (547,463 | ) | ||||
Workiva, Inc.* | (20,777 | ) | (492,415 | ) | ||||
Worldpay, Inc., Class A* | (7,148 | ) | (587,852 | ) | ||||
Yext, Inc.* | (6,945 | ) | (87,854 | ) | ||||
Zendesk, Inc.* | (54,284 | ) | (2,598,575 | ) | ||||
|
| |||||||
(65,167,943 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
20
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (3.7)% |
| |||||||
ADTRAN, Inc. | (55,052 | ) | $ | (856,059 | ) | |||
ARRIS International PLC (United Kingdom)* | (127,676 | ) | (3,392,351 | ) | ||||
Benchmark Electronics, Inc. | (3,611 | ) | (107,788 | ) | ||||
Celestica, Inc. (Canada)* | (16,808 | ) | (173,963 | ) | ||||
Corning, Inc. | (13,485 | ) | (375,962 | ) | ||||
Cray, Inc.* | (44,086 | ) | (912,580 | ) | ||||
Electronics For Imaging, Inc.* | (60,292 | ) | (1,647,780 | ) | ||||
FARO Technologies, Inc.* | (2,615 | ) | (152,716 | ) | ||||
Finisar Corp.* | (328,028 | ) | (5,186,123 | ) | ||||
Fitbit, Inc., Class A* | (915,888 | ) | (4,671,029 | ) | ||||
II-VI, Inc.* | (88,022 | ) | (3,600,100 | ) | ||||
Infinera Corp.* | (316,483 | ) | (3,437,005 | ) | ||||
Insight Enterprises, Inc.* | (26,711 | ) | (933,015 | ) | ||||
Knowles Corp.* | (11,638 | ) | (146,522 | ) | ||||
Methode Electronics, Inc. | (37,597 | ) | (1,470,043 | ) | ||||
Oclaro, Inc.* | (24,933 | ) | (238,359 | ) | ||||
Sanmina Corp.* | (130,753 | ) | (3,419,191 | ) | ||||
ScanSource, Inc.* | (8,699 | ) | (309,249 | ) | ||||
Sierra Wireless, Inc. | (38,649 | ) | (637,708 | ) | ||||
Stratasys Ltd. (Israel)* | (59,198 | ) | (1,194,616 | ) | ||||
Trimble, Inc.* | (8,823 | ) | (316,569 | ) | ||||
ViaSat, Inc.* | (53,424 | ) | (3,511,025 | ) | ||||
Viavi Solutions, Inc.* | (174,265 | ) | (1,693,856 | ) | ||||
|
| |||||||
(38,383,609 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.9)% |
| |||||||
ATN International, Inc. | (6,332 | ) | (377,514 | ) | ||||
Boingo Wireless, Inc.* | (16,516 | ) | (409,101 | ) | ||||
CenturyLink, Inc. | (180,671 | ) | (2,968,425 | ) | ||||
Cincinnati Bell, Inc.* | (72,128 | ) | (998,973 | ) | ||||
Consolidated Communications Holdings, Inc. | (142,919 | ) | (1,566,392 | ) | ||||
Iridium Communications, Inc.* | (155,734 | ) | (1,752,008 | ) | ||||
ORBCOMM, Inc.* | (54,706 | ) | (512,595 | ) | ||||
Shenandoah Telecommunications Co. | (16,790 | ) | (604,440 | ) | ||||
United States Cellular Corp.* | (2,315 | ) | (93,040 | ) | ||||
|
| |||||||
(9,282,488 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (3.0)% |
| |||||||
Air Transport Services Group, Inc.* | (50,956 | ) | $ | (1,188,294 | ) | |||
Allegiant Travel Co. | (22,351 | ) | (3,856,665 | ) | ||||
American Airlines Group, Inc. | (11,269 | ) | (585,537 | ) | ||||
ArcBest Corp. | (15,937 | ) | (510,781 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (58,644 | ) | (3,545,030 | ) | ||||
CSX Corp. | (58,768 | ) | (3,273,965 | ) | ||||
Genesee & Wyoming, Inc., Class A* | (30,361 | ) | (2,149,255 | ) | ||||
Heartland Express, Inc. | (68,320 | ) | (1,229,077 | ) | ||||
Hub Group, Inc., Class A* | (64,896 | ) | (2,715,898 | ) | ||||
JetBlue Airways Corp.* | (177,363 | ) | (3,604,016 | ) | ||||
Knight-Swift Transportation Holdings, Inc. | (99,645 | ) | (4,584,666 | ) | ||||
Spirit Airlines, Inc.* | (56,726 | ) | (2,143,108 | ) | ||||
Student Transportation, Inc. (Canada) | (8,598 | ) | (64,399 | ) | ||||
United Continental Holdings, Inc.* | (13,423 | ) | (932,496 | ) | ||||
|
| |||||||
(30,383,187 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $645,110,129) |
| (621,011,379 | ) | |||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (60.4)% |
| (621,011,379 | ) | |||||
|
| |||||||
(Proceeds $645,110,129) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.8% | 409,461,617 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,028,489,006 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | Security position is either entirely or partially designated as collateral for securities on loan. |
(b) | 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.
21
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 173.3% | ||||||||
COMMON STOCKS — 173.3% | ||||||||
Automobiles & Components — 4.6% |
| |||||||
Aptiv PLC (Jersey)†(a) | 127,969 | $ | 10,873,526 | |||||
BorgWarner, Inc.†(b) | 71,980 | 3,615,555 | ||||||
Cooper Tire & Rubber Co.(b) | 3,522 | 103,195 | ||||||
Dana, Inc.† | 11,875 | 305,900 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)†(b) | 293,269 | 6,017,880 | ||||||
General Motors Co.† | 288,167 | 10,471,989 | ||||||
Gentex Corp.(b) | 39,224 | 902,936 | ||||||
Goodyear Tire & Rubber Co. | 73,914 | 1,964,634 | ||||||
Lear Corp.†(a) | 13,570 | 2,525,241 | ||||||
Magna International, Inc. | 3,502 | 197,338 | ||||||
Modine Manufacturing Co.* | 31,558 | 667,452 | ||||||
Standard Motor Products, Inc.(b) | 9,326 | 443,638 | ||||||
Tenneco, Inc.(b) | 14,820 | 813,173 | ||||||
Tower International, Inc. | 995 | 27,611 | ||||||
Winnebago Industries, Inc.(b) | 45,531 | 1,711,966 | ||||||
|
| |||||||
40,642,034 | ||||||||
|
| |||||||
Capital Goods — 32.0% | ||||||||
3M Co.†(a)(b) | 19,319 | 4,240,907 | ||||||
Acuity Brands, Inc.(b) | 20,238 | 2,816,927 | ||||||
Aegion Corp.(b)* | 2,283 | 52,304 | ||||||
AGCO Corp.(b) | 21,309 | 1,381,889 | ||||||
Allegion PLC (Ireland)(b) | 25,097 | 2,140,523 | ||||||
Allison Transmission Holdings, | 101,212 | 3,953,341 | ||||||
Altra Industrial Motion Corp. | 155 | 7,122 | ||||||
AMETEK, Inc.† | 79,509 | 6,040,299 | ||||||
AO Smith Corp. | 3,456 | 219,767 | ||||||
Arconic, Inc.(a) | 234,537 | 5,403,732 | ||||||
Argan, Inc.†(b) | 48,836 | 2,097,506 | ||||||
Atkore International Group, Inc.* | 2,327 | 46,191 | ||||||
Beacon Roofing Supply, Inc.* | 15,428 | 818,764 | ||||||
Boeing Co. (The)†(a) | 34,484 | 11,306,614 | ||||||
Builders FirstSource, Inc.(b)* | 89,737 | 1,780,382 | ||||||
BWX Technologies, Inc.† | 15,934 | 1,012,287 | ||||||
Caterpillar, Inc.†(a) | 34,063 | 5,020,205 | ||||||
Continental Building Products, Inc.†* | 24,895 | 710,752 | ||||||
Crane Co.(a) | 33,283 | 3,086,665 | ||||||
Cummins, Inc.(a) | 74,382 | 12,056,578 | ||||||
Curtiss-Wright Corp.† | 21,687 | 2,929,263 | ||||||
Deere & Co.†(a) | 36,282 | 5,635,320 | ||||||
Dover Corp.(a) | 76,665 | 7,530,036 | ||||||
Eaton Corp. PLC (Ireland)† | 45,155 | 3,608,336 | ||||||
EMCOR Group, Inc.† | 42,214 | 3,289,737 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Emerson Electric Co.† | 166,727 | $ | 11,387,454 | |||||
Encore Wire Corp. | 2,436 | 138,121 | ||||||
Engility Holdings, Inc.(b)* | 12,339 | 301,072 | ||||||
Fastenal Co.(b) | 14,362 | 784,022 | ||||||
Flowserve Corp.(b) | 54,352 | 2,355,072 | ||||||
Fluor Corp.(b) | 20,585 | 1,177,874 | ||||||
Fortune Brands Home & Security, | 84,096 | 4,952,413 | ||||||
Generac Holdings, Inc.(a)(b)* | 69,430 | 3,187,531 | ||||||
General Dynamics Corp.(a) | 64,785 | 14,311,007 | ||||||
General Electric Co.†(a) | 424,178 | 5,717,919 | ||||||
Gibraltar Industries, Inc.†* | 37,686 | 1,275,671 | ||||||
GMS, Inc.* | 3,123 | 95,439 | ||||||
Gorman-Rupp Co. (The) | 4,317 | 126,272 | ||||||
Graco, Inc. | 6,197 | 283,327 | ||||||
Granite Construction, Inc.(b) | 12,349 | 689,815 | ||||||
Harris Corp.(a) | 41,723 | 6,729,085 | ||||||
Harsco Corp.(a)* | 95,623 | 1,974,615 | ||||||
HD Supply Holdings, Inc.(a)* | 29,637 | 1,124,428 | ||||||
Hillenbrand, Inc.†(a) | 57,955 | 2,660,135 | ||||||
Honeywell International, Inc.† | 78,965 | 11,411,232 | ||||||
Hubbell, Inc.† | 17,994 | 2,191,309 | ||||||
Huntington Ingalls Industries, Inc.†(a) | 13,584 | 3,501,412 | ||||||
IDEX Corp.(b) | 3,993 | 569,042 | ||||||
Illinois Tool Works, Inc.†(a) | 35,717 | 5,595,425 | ||||||
Ingersoll-Rand PLC (Ireland)† | 76,041 | 6,502,266 | ||||||
Johnson Controls International PLC (Ireland)†(a) | 168,742 | 5,946,468 | ||||||
KBR, Inc.(b) | 5,846 | 94,647 | ||||||
L3 Technologies, Inc.†(a) | 24,856 | 5,170,048 | ||||||
Manitowoc Co., Inc. (The)(b)* | 46,932 | 1,335,685 | ||||||
Masco Corp.†(a) | 173,682 | 7,023,700 | ||||||
Moog, Inc., Class A†* | 2,973 | 245,005 | ||||||
MSC Industrial Direct Co., Inc., Class A(b) | 4,097 | 375,736 | ||||||
Navistar International Corp.(b)* | 38,800 | 1,356,836 | ||||||
NCI Building Systems, Inc.* | 9,035 | 159,919 | ||||||
NN, Inc.(b) | 5,179 | 124,296 | ||||||
Northrop Grumman Corp.† | 3,434 | 1,198,878 | ||||||
Orbital ATK, Inc. | 1,114 | 147,728 | ||||||
Owens Corning(a) | 48,026 | 3,861,290 | ||||||
Pentair PLC (Ireland)† | 76,141 | 5,187,486 | ||||||
Primoris Services Corp. | 30,081 | 751,423 | ||||||
Raytheon Co.†(a) | 77,820 | 16,795,112 |
The accompanying notes are an integral part of the financial statements.
22
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Rexnord Corp.†* | 24,284 | $ | 720,749 | |||||
Rockwell Automation, Inc.† | 8,774 | 1,528,431 | ||||||
Rockwell Collins, Inc. | 10,353 | 1,396,102 | ||||||
Snap-on, Inc.(b) | 31,383 | 4,630,248 | ||||||
Spartan Motors, Inc. | 4,953 | 85,192 | ||||||
Spirit AeroSystems Holdings, Inc., Class A† | 54 | 4,520 | ||||||
SPX FLOW, Inc.(a)* | 48,077 | 2,364,908 | ||||||
Stanley Black & Decker, | 72,677 | 11,134,116 | ||||||
Teledyne Technologies, Inc.†* | 10,707 | 2,004,029 | ||||||
Terex Corp.(b) | 49,578 | 1,854,713 | ||||||
Textainer Group Holdings Ltd. (Bermuda)(b)* | 25,030 | 424,259 | ||||||
Textron, Inc.† | 47,059 | 2,775,069 | ||||||
TransDigm Group, Inc.(b) | 12,378 | 3,799,303 | ||||||
Trex Co., Inc.(b)* | 4,782 | 520,138 | ||||||
TriMas Corp.(b)* | 17,971 | 471,739 | ||||||
Tutor Perini Corp.* | 1,444 | 31,840 | ||||||
United Technologies Corp.† | 51,931 | 6,533,958 | ||||||
Univar, Inc.* | 2,649 | 73,510 | ||||||
Universal Forest Products, Inc.† | 45,455 | 1,475,015 | ||||||
Watsco, Inc.(a) | 12,895 | 2,333,608 | ||||||
Watts Water Technologies, Inc., Class A | 10,837 | 842,035 | ||||||
Welbilt, Inc.(b)* | 19,136 | 372,195 | ||||||
WESCO International, Inc.* | 10,991 | 681,992 | ||||||
WW Grainger, Inc.(b) | 18,339 | 5,176,550 | ||||||
Xylem, Inc.†(a)(b) | 76,142 | 5,856,843 | ||||||
|
| |||||||
283,092,724 | ||||||||
|
| |||||||
Commercial & Professional Services — 3.4% |
| |||||||
ACCO Brands Corp. | 25,200 | 316,260 | ||||||
Cintas Corp.(a) | 31,027 | 5,292,586 | ||||||
Copart, Inc.(b)* | 42,248 | 2,151,691 | ||||||
Deluxe Corp.(b) | 6,771 | 501,122 | ||||||
FTI Consulting, Inc.(b)* | 28,587 | 1,383,897 | ||||||
ICF International, Inc.† | 8,535 | 498,871 | ||||||
Interface, Inc. | 17,021 | 428,929 | ||||||
Kelly Services, Inc., Class A† | 2,452 | 71,206 | ||||||
Kforce, Inc. | 139 | 3,760 | ||||||
Knoll, Inc. | 1,414 | 28,549 | ||||||
Korn/Ferry International† | 25,950 | 1,338,761 | ||||||
ManpowerGroup, Inc.† | 13,408 | 1,543,261 | ||||||
Navigant Consulting, Inc.* | 27,783 | 534,545 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Nielsen Holdings PLC (United Kingdom)†(b) | 130,452 | $ | 4,147,069 | |||||
Quad/Graphics, Inc.† | 40,554 | 1,028,044 | ||||||
Republic Services, Inc.† | 42,105 | 2,788,614 | ||||||
Robert Half International, Inc.† | 60,721 | 3,515,139 | ||||||
SP Plus Corp.†* | 23,360 | 831,616 | ||||||
Steelcase, Inc., Class A | 15,007 | 204,095 | ||||||
Stericycle, Inc.(b)* | 31,830 | 1,863,010 | ||||||
Tetra Tech, Inc.† | 7,623 | 373,146 | ||||||
TriNet Group, Inc.* | 10,266 | 475,521 | ||||||
Waste Management, Inc.† | 5,904 | 496,644 | ||||||
|
| |||||||
29,816,336 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 6.1% |
| |||||||
Acushnet Holdings Corp.(b) | 10,236 | 236,349 | ||||||
Callaway Golf Co.† | 34,534 | 564,976 | ||||||
Carter’s, Inc.(b) | 22,276 | 2,318,932 | ||||||
Cavco Industries, Inc.†* | 3,627 | 630,191 | ||||||
Crocs, Inc.(b)* | 129,706 | 2,107,723 | ||||||
Deckers Outdoor Corp.(b)* | 19,890 | 1,790,697 | ||||||
DR Horton, Inc.† | 65,762 | 2,883,006 | ||||||
Ethan Allen Interiors, Inc.(b) | 18,305 | 420,100 | ||||||
Fossil Group, Inc.(b)* | 39,805 | 505,524 | ||||||
Garmin Ltd. (Switzerland)(a) | 47,910 | 2,823,336 | ||||||
Gildan Activewear, Inc. (Canada)† | 38,352 | 1,107,989 | ||||||
Hanesbrands, Inc.(b) | 171,892 | 3,166,251 | ||||||
Hasbro, Inc.(b) | 30,097 | 2,537,177 | ||||||
La-Z-Boy, Inc.(b) | 6,373 | 190,871 | ||||||
Leggett & Platt, Inc.(b) | 31,527 | 1,398,538 | ||||||
Mattel, Inc.(b) | 56,726 | 745,947 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 59,112 | 3,669,673 | ||||||
Newell Brands, Inc.(b) | 152,088 | 3,875,202 | ||||||
PulteGroup, Inc.(a) | 19,975 | 589,063 | ||||||
Ralph Lauren Corp.†(b) | 42,559 | 4,758,096 | ||||||
Steven Madden Ltd. | 2,810 | 123,359 | ||||||
TopBuild Corp.(a)* | 39,145 | 2,995,375 | ||||||
Tupperware Brands Corp.(b) | 42,369 | 2,049,812 | ||||||
Under Armour, Inc., Class C(b)* | 100,095 | 1,436,363 | ||||||
VF Corp.(a) | 113,375 | 8,403,355 | ||||||
Vista Outdoor, Inc.(b)* | 39,051 | 637,312 | ||||||
Whirlpool Corp.(b) | 9,267 | 1,418,870 | ||||||
Wolverine World Wide, Inc.(b) | 3,426 | 99,011 | ||||||
|
| |||||||
53,483,098 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
23
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — 6.5% | ||||||||
Adtalem Global Education, | 14,909 | $ | 708,923 | |||||
BJ’s Restaurants, Inc.(b) | 5,014 | 225,129 | ||||||
Boyd Gaming Corp.(b) | 130,039 | 4,143,043 | ||||||
Brinker International, Inc.(b) | 41,411 | 1,494,937 | ||||||
Carnival Corp. (Panama)† | 34,951 | 2,292,087 | ||||||
Choice Hotels International, Inc. | 1,434 | 114,935 | ||||||
Cracker Barrel Old Country Store, Inc.(b) | 2,325 | 370,140 | ||||||
Darden Restaurants, Inc. | 3,056 | 260,524 | ||||||
Dine Brands Global, Inc.(b) | 14,887 | 976,289 | ||||||
Dunkin’ Brands Group, Inc.(b) | 23,833 | 1,422,592 | ||||||
Eldorado Resorts, Inc.(b)* | 1,647 | 54,351 | ||||||
Graham Holdings Co., Class B† | 1,295 | 779,914 | ||||||
Grand Canyon Education, Inc.* | 1,160 | 121,707 | ||||||
Hilton Worldwide Holdings, Inc.† | 48,996 | 3,858,925 | ||||||
Hyatt Hotels Corp., Class A | 35,469 | 2,704,866 | ||||||
Jack in the Box, Inc.(b) | 9,481 | 809,014 | ||||||
Las Vegas Sands Corp. | 5,921 | 425,720 | ||||||
Marriott International, Inc., Class A(a) | 55,693 | 7,573,134 | ||||||
McDonald’s Corp.†(a) | 53,741 | 8,404,018 | ||||||
Regis Corp.(b)* | 2,763 | 41,804 | ||||||
Restaurant Brands International, Inc. (Canada)† | 10,914 | 621,225 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 16,638 | 1,958,958 | ||||||
Six Flags Entertainment Corp.(b) | 2,817 | 175,386 | ||||||
Sonic Corp.(b) | 49,483 | 1,248,456 | ||||||
Stars Group, Inc. (The) | 20,760 | 571,938 | ||||||
Vail Resorts, Inc.(b) | 1,718 | 380,881 | ||||||
Wyndham Worldwide Corp.† | 43,128 | 4,935,137 | ||||||
Yum! Brands, Inc.†(a) | 130,898 | 11,143,347 | ||||||
|
| |||||||
57,817,380 | ||||||||
|
| |||||||
Energy — 4.4% | ||||||||
Andeavor | 73 | 7,341 | ||||||
Archrock, Inc.† | 38,500 | 336,875 | ||||||
Cameco Corp. (Canada) | 29,138 | 264,864 | ||||||
Cenovus Energy, Inc. (Canada) | 37,605 | 321,147 | ||||||
CVR Energy, Inc.(b) | 85,427 | 2,581,604 | ||||||
Delek US Holdings, Inc.† | 18,559 | 755,351 | ||||||
Diamond Offshore Drilling, | 63,872 | 936,364 | ||||||
Dril-Quip, Inc.(b)* | 40,384 | 1,809,203 | ||||||
Enbridge, Inc. (Canada)(b) | 87,843 | 2,764,419 | ||||||
Exterran Corp.†* | 36,791 | 982,320 | ||||||
Fairmount Santrol Holdings, Inc.* | 170,844 | 726,087 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
Frank’s International NV (Netherlands) | 23,996 | $ | 130,298 | |||||
Halliburton Co.† | 20,278 | 951,849 | ||||||
Imperial Oil Ltd. (Canada)† | 9,477 | 251,141 | ||||||
Mammoth Energy Services, Inc.* | 78 | 2,501 | ||||||
Marathon Petroleum Corp.†(b) | 58,539 | 4,279,786 | ||||||
McDermott International, Inc. (Panama)†* | 79,693 | 485,330 | ||||||
National Oilwell Varco, Inc.(b) | 62,087 | 2,285,422 | ||||||
Noble Corp. PLC (United Kingdom)* | 4,302 | 15,960 | ||||||
ONEOK, Inc. | 16,300 | 927,796 | ||||||
Phillips 66† | 17,696 | 1,697,400 | ||||||
Rowan Cos. PLC, Class A (United Kingdom)†(b)* | 167,325 | 1,930,930 | ||||||
RPC, Inc.(b) | 22,982 | 414,365 | ||||||
Schlumberger Ltd. (Curacao)†(a) | 36,979 | 2,395,500 | ||||||
SEACOR Holdings, Inc.* | 461 | 23,557 | ||||||
Ship Finance International Ltd. (Bermuda)(b) | 57,545 | 822,894 | ||||||
Superior Energy Services, Inc.(b)* | 176,918 | 1,491,419 | ||||||
TechnipFMC PLC (United Kingdom)† | 141,961 | 4,180,751 | ||||||
Transocean Ltd. (Switzerland)(b)* | 194,468 | 1,925,233 | ||||||
Valero Energy Corp.† | 34,611 | 3,210,862 | ||||||
|
| |||||||
38,908,569 | ||||||||
|
| |||||||
Food & Staples Retailing — 5.3% |
| |||||||
CVS Health Corp.† | 134,856 | 8,389,392 | ||||||
Kroger Co. (The)†(a) | 397,278 | 9,510,835 | ||||||
Rite Aid Corp.(b)* | 660,875 | 1,110,270 | ||||||
Sysco Corp.†(a)(b) | 104,958 | 6,293,282 | ||||||
US Foods Holding Corp.* | 84,499 | 2,769,032 | ||||||
Walgreens Boots Alliance, Inc.† | 99,556 | 6,517,931 | ||||||
Walmart, Inc.†(a) | 132,807 | 11,815,839 | ||||||
Weis Markets, Inc.(b) | 6,358 | 260,551 | ||||||
|
| |||||||
46,667,132 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 10.8% |
| |||||||
Altria Group, Inc.† | 188,642 | 11,756,169 | ||||||
Brown-Forman Corp., Class B(b) | 38,484 | 2,093,530 | ||||||
Campbell Soup Co.(b) | 93,366 | 4,043,681 | ||||||
Coca-Cola Co. (The)†(a) | 122,234 | 5,308,623 | ||||||
Conagra Brands, Inc.† | 102,210 | 3,769,505 | ||||||
Dr Pepper Snapple Group, Inc.† | 36,841 | 4,361,238 | ||||||
Flowers Foods, Inc.(b) | 35,106 | 767,417 | ||||||
General Mills, Inc.†(b) | 179,041 | 8,067,587 | ||||||
Hershey Co. (The)(b) | 68,987 | 6,826,954 |
The accompanying notes are an integral part of the financial statements.
24
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Hormel Foods Corp.(b) | 36,413 | $ | 1,249,694 | |||||
Hostess Brands, Inc.(b)* | 7,356 | 108,795 | ||||||
Ingredion, Inc.† | 24,519 | 3,160,989 | ||||||
JM Smucker Co. (The)(b) | 30,372 | 3,766,432 | ||||||
John B Sanfilippo & Son, Inc.(b) | 1,463 | 84,664 | ||||||
Kraft Heinz Co. (The)†(a) | 121,576 | 7,572,969 | ||||||
McCormick & Co., Inc., non-voting shares(b) | 39,665 | 4,219,959 | ||||||
Molson Coors Brewing Co., | 22,969 | 1,730,255 | ||||||
PepsiCo, Inc.† | 88,208 | 9,627,903 | ||||||
Philip Morris International, Inc.†(b) | 48,422 | 4,813,147 | ||||||
TreeHouse Foods, Inc.(b)* | 12,617 | 482,853 | ||||||
Tyson Foods, Inc., Class A(a) | 161,288 | 11,804,669 | ||||||
|
| |||||||
95,617,033 | ||||||||
|
| |||||||
Health Care Equipment & Services — 11.2% |
| |||||||
Abbott Laboratories† | 127,643 | 7,648,369 | ||||||
AmerisourceBergen Corp.† | 72,231 | 6,227,035 | ||||||
AMN Healthcare Services, | 19,897 | 1,129,155 | ||||||
Analogic Corp.† | 8,744 | 838,550 | ||||||
Anika Therapeutics, Inc.†(b)* | 10,836 | 538,766 | ||||||
athenahealth, Inc.†* | 1,899 | 271,614 | ||||||
Baxter International, Inc. | 57,777 | 3,757,816 | ||||||
Brookdale Senior Living, Inc.(b)* | 179,771 | 1,206,263 | ||||||
CONMED Corp.(b) | 9,737 | 616,644 | ||||||
Cotiviti Holdings, Inc.(a)(b)* | 89,478 | 3,081,622 | ||||||
Danaher Corp.†(b) | 34,673 | 3,394,833 | ||||||
DENTSPLY SIRONA, Inc. | 9,375 | 471,656 | ||||||
Envision Healthcare Corp.(b)* | 45,763 | 1,758,672 | ||||||
Express Scripts Holding Co.†* | 176,226 | 12,173,692 | ||||||
Globus Medical, Inc., | 69,050 | 3,440,071 | ||||||
Haemonetics Corp.(a)(b)* | 30,718 | 2,247,329 | ||||||
Halyard Health, Inc.(b)* | 16,354 | 753,592 | ||||||
Hill-Rom Holdings, Inc.† | 17,816 | 1,549,992 | ||||||
HMS Holdings Corp.(b)* | 8,974 | 151,122 | ||||||
ICU Medical, Inc.(a)* | 19,579 | 4,941,740 | ||||||
Integer Holdings Corp.†* | 40,507 | 2,290,671 | ||||||
Laboratory Corp. of America Holdings†* | 53,800 | 8,702,150 | ||||||
Lantheus Holdings, Inc.* | 11,999 | 190,784 | ||||||
LifePoint Health, Inc.(b)* | 36,127 | 1,697,969 | ||||||
Masimo Corp.* | 1,907 | 167,721 | ||||||
MEDNAX, Inc.†(b)* | 34,514 | 1,920,014 | ||||||
Medtronic PLC (Ireland)† | 114,045 | 9,148,690 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Meridian Bioscience, Inc.† | 18,516 | $ | 262,927 | |||||
Owens & Minor, Inc.(b) | 120,951 | 1,880,788 | ||||||
Patterson Cos., Inc.(b) | 5,511 | 122,510 | ||||||
Quality Systems, Inc.(b)* | 37,915 | 517,540 | ||||||
Quest Diagnostics, Inc.† | 46,446 | 4,658,534 | ||||||
STERIS PLC | 8,306 | 775,448 | ||||||
Stryker Corp.† | 4,524 | 728,002 | ||||||
Tabula Rasa HealthCare, | 2,838 | 110,114 | ||||||
Tenet Healthcare Corp.* | 74,256 | 1,800,708 | ||||||
Tivity Health, Inc.(b)* | 11,682 | 463,191 | ||||||
Universal Health Services, Inc., Class B† | 20,513 | 2,428,944 | ||||||
Varex Imaging Corp.* | 8,291 | 296,652 | ||||||
Varian Medical Systems, | 40,336 | 4,947,210 | ||||||
|
| |||||||
99,309,100 | ||||||||
|
| |||||||
Household & Personal Products — 4.1% |
| |||||||
Avon Products, Inc.(b)* | 523,539 | 1,486,851 | ||||||
Central Garden & Pet Co., Class A†* | 2,640 | 104,570 | ||||||
Church & Dwight Co., Inc.(b) | 43,892 | 2,210,401 | ||||||
Colgate-Palmolive Co.† | 53,960 | 3,867,853 | ||||||
Edgewell Personal Care Co.(b)* | 10,750 | 524,815 | ||||||
Energizer Holdings, Inc.(b) | 13,407 | 798,789 | ||||||
Estee Lauder Cos., Inc. (The), Class A†(a) | 43,075 | 6,449,189 | ||||||
Kimberly-Clark Corp.† | 70,746 | 7,791,257 | ||||||
Procter & Gamble Co. (The)†(a) | 167,389 | 13,270,600 | ||||||
|
| |||||||
36,504,325 | ||||||||
|
| |||||||
Materials — 5.1% | ||||||||
Avery Dennison Corp.(b) | 23,527 | 2,499,744 | ||||||
CF Industries Holdings, Inc.(b) | 22,656 | 854,811 | ||||||
Chemours Co. (The)† | 30,580 | 1,489,552 | ||||||
Domtar Corp.†(b) | 64,880 | 2,759,995 | ||||||
Eagle Materials, Inc.(b) | 16,974 | 1,749,171 | ||||||
Eastman Chemical Co.(b) | 10,486 | 1,107,112 | ||||||
Forterra, Inc.(b)* | 12,306 | 102,386 | ||||||
FutureFuel Corp. | 12,609 | 151,182 | ||||||
GCP Applied Technologies, Inc.* | 1,945 | 56,502 | ||||||
Greif, Inc., Class A(b) | 6,307 | 329,541 | ||||||
Ingevity Corp.* | 1,242 | 91,523 | ||||||
Innospec, Inc. | 668 | 45,825 | ||||||
International Paper Co.(b) | 41,409 | 2,212,483 | ||||||
KapStone Paper and Packaging Corp. | 11,248 | 385,919 | ||||||
Koppers Holdings, Inc.* | 275 | 11,302 |
The accompanying notes are an integral part of the financial statements.
25
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
Kraton Corp.(b)* | 31,928 | $ | 1,523,285 | |||||
Kronos Worldwide, Inc.(b) | 49,045 | 1,108,417 | ||||||
Louisiana-Pacific Corp.† | 36,007 | 1,035,921 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 32,770 | 3,463,134 | ||||||
Methanex Corp. (Canada)† | 67,255 | 4,079,016 | ||||||
Minerals Technologies, Inc.† | 7,999 | 535,533 | ||||||
Monsanto Co.†(a) | 22,760 | 2,655,864 | ||||||
Norbord, Inc. (Canada) | 4,177 | 151,750 | ||||||
Packaging Corp. of America† | 1,298 | 146,285 | ||||||
PolyOne Corp.(a) | 42,880 | 1,823,258 | ||||||
PPG Industries, Inc. | 1,330 | 148,428 | ||||||
Praxair, Inc. | 7,712 | 1,112,842 | ||||||
Stepan Co. | 8,843 | 735,561 | ||||||
Summit Materials, Inc., Class A(b)* | 46,911 | 1,420,465 | ||||||
Trinseo SA (Luxembourg) | 1,381 | 102,263 | ||||||
Tronox Ltd., Class A | 149,914 | 2,764,414 | ||||||
Verso Corp., Class A* | 20,417 | 343,822 | ||||||
Westlake Chemical Corp.(a)(b) | 69,709 | 7,748,155 | ||||||
|
| |||||||
44,745,461 | ||||||||
|
| |||||||
Media — 7.1% | ||||||||
AMC Entertainment Holdings, Inc., Class A | 16,820 | 236,321 | ||||||
CBS Corp., Class B, non-voting shares† | 155,105 | 7,970,846 | ||||||
Comcast Corp., Class A† | 15,449 | 527,892 | ||||||
Discovery, Inc., Class A(b)* | 313,858 | 6,725,977 | ||||||
DISH Network Corp., Class A†* | 30,198 | 1,144,202 | ||||||
Entravision Communications Corp., Class A | 50,787 | 238,699 | ||||||
Gannett Co., Inc.(b) | 135,997 | 1,357,250 | ||||||
Interpublic Group of Cos., Inc. (The)†(b) | 186,517 | 4,295,487 | ||||||
Loral Space & Communications, Inc.* | 1,665 | 69,347 | ||||||
MSG Networks, Inc., Class A†* | 61,555 | 1,391,143 | ||||||
News Corp., Class A(a)(b) | 288,221 | 4,553,892 | ||||||
Omnicom Group, Inc.(b) | 70,147 | 5,097,582 | ||||||
Shaw Communications, Inc., Class B (Canada)(b) | 24,811 | 477,860 | ||||||
Time Warner, Inc.† | 144,835 | 13,698,494 | ||||||
Twenty-First Century Fox, Inc., Class A(a) | 256,989 | 9,428,926 | ||||||
Viacom, Inc., Class B(b) | 119,205 | 3,702,507 | ||||||
Walt Disney Co. (The)†(a) | 11,227 | 1,127,640 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) | ||||||||
WideOpenWest, Inc.* | 250 | $ | 1,788 | |||||
World Wrestling Entertainment, Inc., Class A(b) | 25,557 | 920,308 | ||||||
|
| |||||||
62,966,161 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 9.9% |
| |||||||
AbbVie, Inc.†(a) | 77,978 | 7,380,618 | ||||||
Agilent Technologies, Inc.† | 9,282 | 620,966 | ||||||
Amgen, Inc.† | 47,724 | 8,135,988 | ||||||
Biogen, Inc.†* | 16,531 | 4,526,518 | ||||||
Bluebird Bio, Inc.(b)* | 4,820 | 823,015 | ||||||
Bruker Corp. | 1,599 | 47,842 | ||||||
Cambrex Corp.(b)* | 15,076 | 788,475 | ||||||
Celgene Corp.* | 68,518 | 6,112,491 | ||||||
Charles River Laboratories International, Inc.* | 1,071 | 114,319 | ||||||
Eli Lilly & Co.† | 18,051 | 1,396,606 | ||||||
Exact Sciences Corp.(b)* | 42,971 | 1,733,020 | ||||||
Exelixis, Inc.(a)* | 32,788 | 726,254 | ||||||
Gilead Sciences, Inc.(a)(b) | 105,356 | 7,942,789 | ||||||
Innoviva, Inc.(b)* | 128,259 | 2,138,078 | ||||||
Ionis Pharmaceuticals, Inc.(b)* | 4,110 | 181,169 | ||||||
Johnson & Johnson†(a) | 71,795 | 9,200,529 | ||||||
Ligand Pharmaceuticals, Inc.(b)* | 3,042 | 502,417 | ||||||
Merck & Co., Inc.† | 164,606 | 8,966,089 | ||||||
Mettler-Toledo International, Inc.* | 710 | 408,271 | ||||||
Myriad Genetics, Inc.(b)* | 1,870 | 55,258 | ||||||
Pfizer, Inc.†(a) | 292,594 | 10,384,161 | ||||||
Phibro Animal Health Corp., Class A† | 2,218 | 88,055 | ||||||
PRA Health Sciences, Inc.†(b)* | 18,017 | 1,494,690 | ||||||
Prestige Brands Holdings, | 2,085 | 70,306 | ||||||
Vertex Pharmaceuticals, Inc.†* | 1,476 | 240,558 | ||||||
Waters Corp.†(a)(b)* | 30,177 | 5,994,661 | ||||||
Zoetis, Inc.†(a)(b) | 85,686 | 7,155,638 | ||||||
|
| |||||||
87,228,781 | ||||||||
|
| |||||||
Retailing — 11.9% | ||||||||
1-800-Flowers.com, Inc., Class A* | 448 | 5,286 | ||||||
Abercrombie & Fitch Co., Class A(b) | 94,283 | 2,282,591 | ||||||
Advance Auto Parts, Inc.(a)(b) | 54,059 | 6,408,694 | ||||||
Amazon.com, Inc.†(a)* | 9,559 | 13,835,123 | ||||||
Asbury Automotive Group, | 21,970 | 1,482,975 | ||||||
AutoNation, Inc.(b)* | 12,439 | 581,896 | ||||||
AutoZone, Inc.†(a)* | 11,301 | 7,330,846 | ||||||
Bed Bath & Beyond, Inc.(b) | 31,103 | 652,852 | ||||||
Best Buy Co., Inc.(b) | 30,276 | 2,119,017 |
The accompanying notes are an integral part of the financial statements.
26
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Booking Holdings, Inc.(a)* | 1,985 | $ | 4,129,574 | |||||
Dick’s Sporting Goods, Inc. | 5,900 | 206,795 | ||||||
Dollar General Corp.† | 17,038 | 1,593,905 | ||||||
Dollar Tree, Inc.†* | 27,969 | 2,654,258 | ||||||
DSW, Inc., Class A(b) | 11,668 | 262,063 | ||||||
Foot Locker, Inc.(b) | 23,662 | 1,077,567 | ||||||
GameStop Corp., Class A(b) | 2,710 | 34,200 | ||||||
Gap, Inc. (The)(b) | 100,000 | 3,120,000 | ||||||
Home Depot, Inc. (The)†(a) | 26,255 | 4,679,691 | ||||||
Kohl’s Corp.(b) | 50,685 | 3,320,374 | ||||||
L Brands, Inc.(b) | 61,787 | 2,360,881 | ||||||
LKQ Corp.(b)* | 21,090 | 800,366 | ||||||
Lumber Liquidators Holdings, Inc.(b)* | 50,943 | 1,218,557 | ||||||
Macy’s, Inc.(b) | 67,401 | 2,004,506 | ||||||
Michaels Cos., Inc. (The)(b)* | 5,755 | 113,431 | ||||||
Murphy USA, Inc.(b)* | 17,402 | 1,266,866 | ||||||
Nutrisystem, Inc.(b) | 88,853 | 2,394,588 | ||||||
Office Depot, Inc. | 155,467 | 334,254 | ||||||
O’Reilly Automotive, Inc.(b)* | 13,786 | 3,410,381 | ||||||
Penske Automotive Group, | 17,005 | 753,832 | ||||||
PetMed Express, Inc.(b) | 38,030 | 1,587,752 | ||||||
Pool Corp.(b) | 6,455 | 943,850 | ||||||
RH(b)* | 18,150 | 1,729,332 | ||||||
Ross Stores, Inc.† | 83,919 | 6,544,004 | ||||||
Sally Beauty Holdings, Inc.(b)* | 47,358 | 779,039 | ||||||
Shutterfly, Inc.(b)* | 15,640 | 1,270,750 | ||||||
Signet Jewelers Ltd. | 40,342 | 1,553,974 | ||||||
Tailored Brands, Inc.(b) | 61,725 | 1,546,828 | ||||||
Target Corp.†(a)(b) | 76,045 | 5,279,804 | ||||||
Tiffany & Co. | 20,333 | 1,985,721 | ||||||
TJX Cos., Inc. (The)†(a) | 88,766 | 7,239,755 | ||||||
Tractor Supply Co.(a)(b) | 43,101 | 2,716,225 | ||||||
Ulta Beauty, Inc.* | 962 | 196,508 | ||||||
Urban Outfitters, Inc.(b)* | 29,132 | 1,076,719 | ||||||
Williams-Sonoma, Inc.(b) | 3,679 | 194,104 | ||||||
Zumiez, Inc.(b)* | 427 | 10,205 | ||||||
|
| |||||||
105,089,939 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 11.3% |
| |||||||
Advanced Energy Industries, Inc.* | 20,045 | 1,280,876 | ||||||
Advanced Micro Devices, | 134,807 | 1,354,810 | ||||||
Analog Devices, Inc.(b) | 24,439 | 2,227,126 | ||||||
Applied Materials, Inc.†(a) | 115,879 | 6,444,031 | ||||||
Axcelis Technologies, Inc.(b)* | 29,248 | 719,501 | ||||||
Cabot Microelectronics Corp. | 4,414 | 472,784 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor |
| |||||||
Cirrus Logic, Inc.(b)* | 66,817 | $ | 2,714,775 | |||||
Cohu, Inc. | 30,825 | 703,118 | ||||||
Cypress Semiconductor Corp.(b) | 84,677 | 1,436,122 | ||||||
Diodes, Inc.(b)* | 24,848 | 756,870 | ||||||
First Solar, Inc.(a)* | 34,236 | 2,430,071 | ||||||
Intel Corp.† | 154,644 | 8,053,860 | ||||||
KLA-Tencor Corp.(a) | 35,801 | 3,902,667 | ||||||
Lam Research Corp.(a)(b) | 24,284 | 4,933,537 | ||||||
Marvell Technology Group Ltd. (Bermuda)†(b) | 180,095 | 3,781,995 | ||||||
Maxim Integrated Products, Inc.† | 17,300 | 1,041,806 | ||||||
Micron Technology, Inc.†* | 330,113 | 17,212,092 | ||||||
MKS Instruments, Inc.† | 20,972 | 2,425,412 | ||||||
ON Semiconductor Corp.(a)* | 147,544 | 3,608,926 | ||||||
Qorvo, Inc.†(b)* | 60,220 | 4,242,499 | ||||||
QUALCOMM, Inc.† | 170,241 | 9,433,054 | ||||||
Rambus, Inc.* | 24,532 | 329,465 | ||||||
Skyworks Solutions, Inc. | 33,608 | 3,369,538 | ||||||
SMART Global Holdings, Inc. (Cayman Islands)(b)* | 16,323 | 813,538 | ||||||
Teradyne, Inc.†(a) | 80,683 | 3,688,020 | ||||||
Texas Instruments, Inc.†(a)(b) | 117,052 | 12,160,532 | ||||||
Xcerra Corp.†* | 26,333 | 306,779 | ||||||
Xperi Corp. | 985 | 20,833 | ||||||
|
| |||||||
99,864,637 | ||||||||
|
| |||||||
Software & Services — 18.9% | ||||||||
Accenture PLC, Class A | 44,663 | 6,855,770 | ||||||
Adobe Systems, Inc.†* | 10,324 | 2,230,810 | ||||||
Alarm.com Holdings, Inc.(b)* | 10,477 | 395,402 | ||||||
Alliance Data Systems Corp.(a)(b) | 20,958 | 4,461,120 | ||||||
Alphabet, Inc., Class A†(a)* | 16,991 | 17,622,046 | ||||||
ANSYS, Inc.†* | 13,425 | 2,103,563 | ||||||
Appfolio, Inc., Class A(b)* | 20,571 | 840,325 | ||||||
Aspen Technology, Inc.†* | 23,569 | 1,859,358 | ||||||
Blucora, Inc.†* | 31,840 | 783,264 | ||||||
CA, Inc.† | 155,728 | 5,279,179 | ||||||
CACI International, Inc., Class A†* | 12,242 | 1,852,827 | ||||||
Cadence Design Systems, Inc.†(a)* | 75,799 | 2,787,129 | ||||||
Cardtronics PLC, Class A | 62,103 | 1,385,518 | ||||||
Cars.com, Inc.(b)* | 35,291 | 999,794 | ||||||
CDK Global, Inc.(b) | 18,748 | 1,187,498 | ||||||
CGI Group, Inc., Class A | 22,213 | 1,280,357 |
The accompanying notes are an integral part of the financial statements.
27
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Citrix Systems, Inc.†* | 33,871 | $ | 3,143,229 | |||||
Conduent, Inc.(b)* | 12,528 | 233,522 | ||||||
Convergys Corp.(b) | 68,942 | 1,559,468 | ||||||
DST Systems, Inc.† | 10,761 | 900,158 | ||||||
DXC Technology Co.(a) | 85,976 | 8,643,167 | ||||||
eBay, Inc.†* | 118,509 | 4,768,802 | ||||||
Envestnet, Inc.(b)* | 9,060 | 519,138 | ||||||
Etsy, Inc.* | 92,433 | 2,593,670 | ||||||
Euronet Worldwide, Inc.(b)* | 6,416 | 506,351 | ||||||
Facebook, Inc., Class A†(a)* | 82,764 | 13,224,860 | ||||||
Fair Isaac Corp.†* | 9,362 | 1,585,642 | ||||||
Fidelity National Information Services, Inc.(a) | 68,678 | 6,613,691 | ||||||
Fiserv, Inc.* | 34,319 | 2,447,288 | ||||||
Globant SA (Luxembourg)* | 10,009 | 515,864 | ||||||
GoDaddy, Inc., Class A* | 25,995 | 1,596,613 | ||||||
GTT Communications, Inc.* | 5,029 | 285,144 | ||||||
IAC/InterActiveCorp.†(b)* | 20,505 | 3,206,572 | ||||||
International Business Machines Corp.†(a) | 75,744 | 11,621,402 | ||||||
j2 Global, Inc.(b) | 25,926 | 2,046,080 | ||||||
Leidos Holdings, Inc.(a) | 28,334 | 1,853,044 | ||||||
LogMeIn, Inc.(b) | 15,063 | 1,740,530 | ||||||
Manhattan Associates, Inc.†(b)* | 17,844 | 747,307 | ||||||
ManTech International Corp., Class A† | 4,412 | 244,734 | ||||||
Mastercard, Inc., Class A | 7,492 | 1,312,299 | ||||||
Microsoft Corp.† | 40,813 | 3,725,003 | ||||||
MicroStrategy, Inc., Class A†* | 7,840 | 1,011,282 | ||||||
Monotype Imaging Holdings, Inc. | 491 | 11,023 | ||||||
NIC, Inc.†(b) | 103,632 | 1,378,306 | ||||||
Open Text Corp. (Canada)†(b) | 57,779 | 2,010,709 | ||||||
Oracle Corp.† | 175,324 | 8,021,073 | ||||||
Paychex, Inc.(a)(b) | 97,094 | 5,980,019 | ||||||
Progress Software Corp.(a) | 60,549 | 2,328,109 | ||||||
Qualys, Inc.(b)* | 2,320 | 168,780 | ||||||
Quotient Technology, Inc.(b)* | 2,825 | 37,008 | ||||||
Red Hat, Inc.†* | 2,405 | 359,572 | ||||||
SS&C Technologies Holdings, | 65,842 | 3,531,765 | ||||||
Stamps.com, Inc.(b)* | 10,934 | 2,198,281 | ||||||
Symantec Corp.(a)(b) | 74,187 | 1,917,734 | ||||||
Synopsys, Inc.†* | 9,109 | 758,233 | ||||||
Total System Services, Inc. | 17,638 | 1,521,454 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Trade Desk, Inc. (The), | 15,210 | $ | 754,720 | |||||
Tucows, Inc., Class A* | 2,069 | 115,864 | ||||||
VeriSign, Inc.(b)* | 18,986 | 2,250,980 | ||||||
Visa, Inc., Class A(b) | 23,741 | 2,839,898 | ||||||
Web.com Group, Inc.(b)* | 65,785 | 1,190,708 | ||||||
Zynga, Inc., Class A* | 223,804 | 819,123 | ||||||
|
| |||||||
166,762,179 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 12.8% |
| |||||||
Amphenol Corp., Class A(a) | 31,939 | 2,750,906 | ||||||
Apple, Inc.†(a) | 92,333 | 15,491,631 | ||||||
Arista Networks, Inc.†* | 8,314 | 2,122,564 | ||||||
AVX Corp.† | 23,952 | 396,406 | ||||||
CDW Corp.(a) | 30,063 | 2,113,730 | ||||||
Ciena Corp.(b)* | 21,616 | 559,854 | ||||||
Cisco Systems, Inc.† | 234,867 | 10,073,446 | ||||||
Coherent, Inc.(b)* | 2,282 | 427,647 | ||||||
CommScope Holding Co., Inc.* | 8,665 | 346,340 | ||||||
Diebold Nixdorf, Inc.(b) | 92,400 | 1,422,960 | ||||||
EchoStar Corp., Class A* | 3,993 | 210,711 | ||||||
Electro Scientific Industries, Inc.(b)* | 152,375 | 2,945,409 | ||||||
F5 Networks, Inc.†* | 23,938 | 3,461,674 | ||||||
FLIR Systems, Inc.(a)(b) | 65,205 | 3,260,902 | ||||||
Hewlett Packard Enterprise Co.†(a) | 218,740 | 3,836,700 | ||||||
HP, Inc.†(b) | 429,175 | 9,407,516 | ||||||
InterDigital, Inc.†(b) | 37,335 | 2,747,856 | ||||||
IPG Photonics Corp.(b)* | 1,237 | 288,691 | ||||||
Jabil, Inc. | 32,571 | 935,765 | ||||||
Juniper Networks, Inc.†(b) | 216,977 | 5,279,050 | ||||||
KEMET Corp.(b)* | 180,067 | 3,264,615 | ||||||
Keysight Technologies, Inc.†* | 4,243 | 222,291 | ||||||
Littelfuse, Inc.(b) | 468 | 97,428 | ||||||
Mitel Networks Corp. | 48,801 | 452,873 | ||||||
Motorola Solutions, Inc.† | 77,350 | 8,144,955 | ||||||
NCR Corp.(b)* | 19,837 | 625,262 | ||||||
NetApp, Inc.† | 100,230 | 6,183,189 | ||||||
NETGEAR, Inc.(b)* | 14,455 | 826,826 | ||||||
OSI Systems, Inc.(b)* | 16,859 | 1,100,387 | ||||||
Plantronics, Inc.† | 10,679 | 644,691 | ||||||
Plexus Corp.* | 2,313 | 138,155 | ||||||
Rogers Corp.†* | 8,030 | 959,906 | ||||||
Seagate Technology PLC (Ireland) | 103,284 | 6,044,180 | ||||||
SYNNEX Corp. | 4,911 | 581,462 | ||||||
Systemax, Inc.(b) | 16,160 | 461,368 | ||||||
Tech Data Corp.* | 6,584 | 560,496 |
The accompanying notes are an integral part of the financial statements.
28
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
TTM Technologies, | 45,860 | $ | 701,199 | |||||
Ubiquiti Networks, | 7,821 | 538,085 | ||||||
Vishay Intertechnology, Inc.(b) | 201,166 | 3,741,688 | ||||||
Western Digital Corp.† | 55,896 | 5,157,524 | ||||||
Xerox Corp.† | 56,472 | 1,625,264 | ||||||
Zebra Technologies Corp., Class A†* | 18,404 | 2,561,653 | ||||||
|
| |||||||
112,713,255 | ||||||||
|
| |||||||
Telecommunication Services — 2.6% |
| |||||||
AT&T, Inc.† | 149,753 | 5,338,694 | ||||||
Cogent Communications Holdings, Inc.(b) | 5,403 | 234,490 | ||||||
Frontier Communications Corp.(b) | 170,488 | 1,265,021 | ||||||
Rogers Communications, Inc., Class B (Canada)† | 36,393 | 1,626,039 | ||||||
Verizon Communications, | 247,877 | 11,853,478 | ||||||
Vonage Holdings | 181,133 | 1,929,066 | ||||||
Zayo Group Holdings, Inc.* | 11,056 | 377,673 | ||||||
|
| |||||||
22,624,461 | ||||||||
|
| |||||||
Transportation — 5.3% | ||||||||
Alaska Air Group, | 90,094 | 5,582,224 | ||||||
CH Robinson Worldwide, Inc.(b) | 42,166 | 3,951,376 | ||||||
Delta Air Lines, Inc.† | 85,586 | 4,690,969 | ||||||
Expeditors International of Washington, Inc.†(b) | 116,546 | 7,377,362 | ||||||
Forward Air Corp.(b) | 8,137 | 430,122 | ||||||
Hawaiian Holdings, | 3,041 | 117,687 | ||||||
JB Hunt Transport Services, Inc.(b) | 15,052 | 1,763,342 | ||||||
Kansas City Southern†(a) | 54,625 | 6,000,556 | ||||||
Landstar System, Inc.(b) | 18,520 | 2,030,718 | ||||||
Marten Transport Ltd. | 6,852 | 156,226 | ||||||
Norfolk Southern Corp.† | 32,948 | 4,473,679 | ||||||
Old Dominion Freight Line, Inc.(b) | 19,296 | 2,835,933 | ||||||
Saia, Inc.* | 6,673 | 501,476 | ||||||
Schneider National, Inc., Class B(b) | 12,048 | 313,971 | ||||||
SkyWest, Inc. | 640 | 34,816 | ||||||
Union Pacific Corp.† | 47,367 | 6,367,546 | ||||||
Universal Logistics Holdings, Inc. | 759 | 16,053 | ||||||
XPO Logistics, Inc.(b)* | 6,424 | 654,027 | ||||||
|
| |||||||
47,298,083 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,531,150,688 | ||||||
|
|
Number of Shares | Value | |||||||
TOTAL LONG POSITIONS - 173.3% |
| $ | 1,531,150,688 | |||||
|
| |||||||
(Cost $1,425,997,629) |
| |||||||
SHORT POSITIONS — (74.0)% |
| |||||||
COMMON STOCKS — (74.0)% |
| |||||||
Automobiles & Components — (1.9)% |
| |||||||
Adient PLC (Ireland) | (87,270 | ) | (5,215,255 | ) | ||||
American Axle & Manufacturing Holdings, Inc.* | (34,372 | ) | (523,142 | ) | ||||
Cooper-Standard Holding, Inc.* | (5,061 | ) | (621,541 | ) | ||||
Dorman Products, Inc.* | (24,307 | ) | (1,609,366 | ) | ||||
Ford Motor Co. | (259,655 | ) | (2,876,977 | ) | ||||
Fox Factory Holding Corp.* | (29,772 | ) | (1,039,043 | ) | ||||
Gentherm, Inc.* | (16,065 | ) | (545,407 | ) | ||||
LCI Industries | (11,102 | ) | (1,156,273 | ) | ||||
Tesla, Inc.* | (12,403 | ) | (3,300,810 | ) | ||||
Visteon Corp.* | (3,989 | ) | (439,747 | ) | ||||
|
| |||||||
(17,327,561 | ) | |||||||
|
| |||||||
Capital Goods — (8.5)% | ||||||||
AAON, Inc. | (18,335 | ) | (715,065 | ) | ||||
AAR Corp. | (39,687 | ) | (1,750,594 | ) | ||||
Actuant Corp., Class A | (8,709 | ) | (202,484 | ) | ||||
Advanced Drainage Systems, Inc. | (33,386 | ) | (864,697 | ) | ||||
AECOM* | (5,842 | ) | (208,150 | ) | ||||
Aerovironment, Inc.* | (669 | ) | (30,446 | ) | ||||
American Railcar Industries, Inc. | (15,578 | ) | (582,773 | ) | ||||
American Woodmark Corp.* | (19,751 | ) | (1,944,486 | ) | ||||
Apogee Enterprises, Inc. | (53,402 | ) | (2,314,977 | ) | ||||
Astec Industries, Inc. | (3,808 | ) | (210,125 | ) | ||||
Astronics Corp.* | (13,738 | ) | (512,427 | ) | ||||
Axon Enterprise, Inc.* | (96,672 | ) | (3,800,176 | ) | ||||
Briggs & Stratton Corp. | (17,612 | ) | (377,073 | ) | ||||
Carlisle Cos., Inc. | (13,877 | ) | (1,448,898 | ) | ||||
Chart Industries, Inc.* | (18,904 | ) | (1,115,903 | ) | ||||
CIRCOR International, Inc. | (15,143 | ) | (646,000 | ) | ||||
Colfax Corp.* | (8,435 | ) | (269,076 | ) | ||||
Cubic Corp. | (19,385 | ) | (1,232,886 | ) | ||||
Donaldson Co., Inc. | (20,627 | ) | (929,246 | ) | ||||
Douglas Dynamics, Inc. | (11,441 | ) | (495,967 | ) | ||||
DXP Enterprises, Inc.* | (1,869 | ) | (72,798 | ) | ||||
Dycom Industries, Inc.* | (31,042 | ) | (3,341,050 | ) | ||||
EnerSys | (11,359 | ) | (787,974 | ) | ||||
EnPro Industries, Inc. | (8,048 | ) | (622,754 | ) | ||||
ESCO Technologies, Inc. | (6,902 | ) | (404,112 | ) | ||||
Esterline Technologies Corp.* | (3,132 | ) | (229,106 | ) |
The accompanying notes are an integral part of the financial statements.
29
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Evoqua Water Technologies Corp.* | (12,021 | ) | $ | (255,927 | ) | |||
Franklin Electric Co., Inc. | (10,846 | ) | (441,974 | ) | ||||
General Cable Corp. | (19,587 | ) | (579,775 | ) | ||||
Global Brass & Copper Holdings, Inc. | (1,322 | ) | (44,221 | ) | ||||
Griffon Corp. | (3,976 | ) | (72,562 | ) | ||||
HEICO Corp. | (3,417 | ) | (296,630 | ) | ||||
Herc Holdings, Inc.* | (19,890 | ) | (1,291,856 | ) | ||||
Hexcel Corp. | (7,085 | ) | (457,620 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (3,599 | ) | (251,678 | ) | ||||
Jacobs Engineering Group, Inc. | (40,096 | ) | (2,371,678 | ) | ||||
JELD-WEN Holding, Inc.* | (36,437 | ) | (1,115,701 | ) | ||||
Kadant, Inc. | (4,528 | ) | (427,896 | ) | ||||
Kennametal, Inc. | (8,252 | ) | (331,400 | ) | ||||
KLX, Inc.* | (7,348 | ) | (522,149 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (316,665 | ) | (3,258,483 | ) | ||||
Lincoln Electric Holdings, Inc. | (11,321 | ) | (1,018,324 | ) | ||||
Lindsay Corp. | (9,005 | ) | (823,417 | ) | ||||
Masonite International Corp. (Canada)* | (15,265 | ) | (936,508 | ) | ||||
MasTec, Inc.* | (64,903 | ) | (3,053,686 | ) | ||||
Maxar Technologies Ltd. (Canada) | (11,868 | ) | (548,895 | ) | ||||
Mercury Systems, Inc.* | (40,282 | ) | (1,946,426 | ) | ||||
Meritor, Inc.* | (73,810 | ) | (1,517,534 | ) | ||||
Milacron Holdings Corp.* | (33,251 | ) | (669,675 | ) | ||||
MRC Global, Inc.* | (168,862 | ) | (2,776,091 | ) | ||||
Mueller Industries, Inc. | (449 | ) | (11,746 | ) | ||||
Mueller Water Products, Inc., Class A | (2,975 | ) | (32,338 | ) | ||||
MYR Group, Inc.* | (3,866 | ) | (119,150 | ) | ||||
National Presto Industries, Inc. | (3,131 | ) | (293,531 | ) | ||||
Nordson Corp. | (2,664 | ) | (363,210 | ) | ||||
NOW, Inc.* | (319,108 | ) | (3,261,284 | ) | ||||
Patrick Industries, Inc.* | (17,954 | ) | (1,110,455 | ) | ||||
Ply Gem Holdings, Inc.* | (5,546 | ) | (119,794 | ) | ||||
Proto Labs, Inc.* | (11,341 | ) | (1,333,135 | ) | ||||
Quanex Building Products Corp. | (2,175 | ) | (37,845 | ) | ||||
Raven Industries, Inc. | (17,209 | ) | (603,175 | ) | ||||
RBC Bearings, Inc.* | (3,083 | ) | (382,909 | ) | ||||
REV Group, Inc. | (20,611 | ) | (427,884 | ) | ||||
Roper Technologies, Inc. | (672 | ) | (188,624 | ) | ||||
Rush Enterprises, Inc., Class A* | (15,871 | ) | (674,359 | ) | ||||
SPX Corp.* | (4,625 | ) | (150,220 | ) | ||||
Sunrun, Inc.* | (292,207 | ) | (2,609,409 | ) | ||||
Tennant Co. | (4,121 | ) | (278,992 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Thermon Group Holdings, Inc.* | (27,534 | ) | $ | (617,037 | ) | |||
Timken Co. (The) | (57,048 | ) | (2,601,389 | ) | ||||
Titan International, Inc. | (30,299 | ) | (382,070 | ) | ||||
Toro Co. (The) | (1,684 | ) | (105,166 | ) | ||||
Triumph Group, Inc. | (56,453 | ) | (1,422,616 | ) | ||||
United Rentals, Inc.* | (3,400 | ) | (587,282 | ) | ||||
USG Corp.* | (32,778 | ) | (1,324,887 | ) | ||||
Vicor Corp.* | (12 | ) | (343 | ) | ||||
Wabash National Corp. | (19,783 | ) | (411,684 | ) | ||||
WABCO Holdings, Inc.* | (1,002 | ) | (134,138 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (114,784 | ) | (1,176,536 | ) | ||||
Woodward, Inc. | (55,344 | ) | (3,965,951 | ) | ||||
|
| |||||||
(74,846,508 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (2.8)% |
| |||||||
ABM Industries, Inc. | (78,723 | ) | (2,635,646 | ) | ||||
Advanced Disposal Services, Inc.* | (80,079 | ) | (1,784,160 | ) | ||||
Casella Waste Systems, Inc., Class A* | (2,281 | ) | (53,330 | ) | ||||
CoStar Group, Inc.* | (5,835 | ) | (2,116,238 | ) | ||||
Covanta Holding Corp. | (156,637 | ) | (2,271,236 | ) | ||||
Exponent, Inc. | (1,228 | ) | (96,582 | ) | ||||
Forrester Research, Inc. | (5,920 | ) | (245,384 | ) | ||||
Healthcare Services Group, Inc. | (17,048 | ) | (741,247 | ) | ||||
HNI Corp. | (17,078 | ) | (616,345 | ) | ||||
Huron Consulting Group, Inc.* | (3,038 | ) | (115,748 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (34,332 | ) | (1,656,176 | ) | ||||
Insperity, Inc. | (2,588 | ) | (179,995 | ) | ||||
KAR Auction Services, Inc. | (41,237 | ) | (2,235,045 | ) | ||||
Kimball International, Inc., Class B | (103 | ) | (1,755 | ) | ||||
MSA Safety, Inc. | (18,816 | ) | (1,566,244 | ) | ||||
Multi-Color Corp. | (15,839 | ) | (1,046,166 | ) | ||||
Pitney Bowes, Inc. | (172,914 | ) | (1,883,033 | ) | ||||
Ritchie Bros Auctioneers, Inc. (Canada) | (77,986 | ) | (2,454,219 | ) | ||||
Rollins, Inc. | (11,559 | ) | (589,856 | ) | ||||
TransUnion* | (4,867 | ) | (276,348 | ) | ||||
TrueBlue, Inc.* | (29,044 | ) | (752,240 | ) | ||||
US Ecology, Inc. | (7,073 | ) | (376,991 | ) | ||||
Verisk Analytics, Inc.* | (5,642 | ) | (586,768 | ) | ||||
WageWorks, Inc.* | (8,585 | ) | (388,042 | ) | ||||
|
| |||||||
(24,668,794 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.9)% |
| |||||||
American Outdoor Brands Corp.* | (277,132 | ) | (2,860,002 | ) | ||||
Columbia Sportswear Co. | (9,871 | ) | (754,441 | ) |
The accompanying notes are an integral part of the financial statements.
30
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
G-III Apparel Group Ltd.* | (97,723 | ) | $ | (3,682,203 | ) | |||
GoPro, Inc., Class A* | (178,721 | ) | (856,074 | ) | ||||
Installed Building Products, Inc.* | (17,276 | ) | (1,037,424 | ) | ||||
iRobot Corp.* | (20,657 | ) | (1,325,973 | ) | ||||
Johnson Outdoors, Inc., Class A | (238 | ) | (14,756 | ) | ||||
Lululemon Athletica, Inc.* | (35,280 | ) | (3,144,154 | ) | ||||
Mohawk Industries, Inc.* | (12,170 | ) | (2,826,117 | ) | ||||
NIKE, Inc., Class B | (31,047 | ) | (2,062,763 | ) | ||||
Oxford Industries, Inc. | (5,428 | ) | (404,712 | ) | ||||
PVH Corp. | (1,815 | ) | (274,845 | ) | ||||
Skechers U.S.A., Inc., Class A* | (95,960 | ) | (3,731,884 | ) | ||||
Sturm Ruger & Co., Inc. | (19,813 | ) | (1,040,182 | ) | ||||
Tapestry, Inc. | (31,682 | ) | (1,666,790 | ) | ||||
|
| |||||||
(25,682,320 | ) | |||||||
|
| |||||||
Consumer Services — (4.7)% | ||||||||
Belmond Ltd., Class A (Bermuda)* | (51,834 | ) | (577,949 | ) | ||||
Bloomin’ Brands, Inc. | (55,298 | ) | (1,342,635 | ) | ||||
Carrols Restaurant Group, Inc.* | (36,156 | ) | (404,947 | ) | ||||
Chegg, Inc.* | (93,410 | ) | (1,929,851 | ) | ||||
Chipotle Mexican Grill, Inc.* | (5,339 | ) | (1,725,084 | ) | ||||
Dave & Buster’s Entertainment, Inc.* | (103,439 | ) | (4,317,544 | ) | ||||
Domino’s Pizza, Inc. | (1,405 | ) | (328,152 | ) | ||||
Fiesta Restaurant Group, Inc.* | (12,722 | ) | (235,357 | ) | ||||
Golden Entertainment, Inc.* | (8,181 | ) | (190,045 | ) | ||||
ILG, Inc. | (115,019 | ) | (3,578,241 | ) | ||||
International Game Technology PLC (United Kingdom) | (15,299 | ) | (408,942 | ) | ||||
International Speedway Corp., Class A | (11,796 | ) | (520,204 | ) | ||||
K12, Inc.* | (11,302 | ) | (160,262 | ) | ||||
La Quinta Holdings, Inc.* | (118,774 | ) | (2,246,016 | ) | ||||
Laureate Education, Inc., Class A* | (14,267 | ) | (196,171 | ) | ||||
Marcus Corp. (The) | (11,845 | ) | (359,496 | ) | ||||
MGM Resorts International | (82,689 | ) | (2,895,769 | ) | ||||
Monarch Casino & Resort, Inc.* | (4,098 | ) | (173,304 | ) | ||||
Papa John’s International, Inc. | (11,637 | ) | (666,800 | ) | ||||
Planet Fitness, Inc., Class A* | (25,082 | ) | (947,347 | ) | ||||
Red Robin Gourmet Burgers, Inc.* | (16,393 | ) | (950,794 | ) | ||||
Ruth’s Hospitality Group, Inc. | (6,188 | ) | (151,297 | ) | ||||
Service Corp. International | (29,041 | ) | (1,096,007 | ) | ||||
Shake Shack, Inc., Class A* | (110,235 | ) | (4,589,083 | ) | ||||
Starbucks Corp. | (39,190 | ) | (2,268,709 | ) | ||||
Strayer Education, Inc. | (7,998 | ) | (808,198 | ) | ||||
Texas Roadhouse, Inc. | (51,089 | ) | (2,951,922 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Weight Watchers International, Inc.* | (5,934 | ) | $ | (378,114 | ) | |||
Wendy’s Co. (The) | (160,570 | ) | (2,818,004 | ) | ||||
Wingstop, Inc. | (48,748 | ) | (2,302,368 | ) | ||||
|
| |||||||
(41,518,612 | ) | |||||||
|
| |||||||
Energy — (4.4)% | ||||||||
Cheniere Energy, Inc.* | (13,080 | ) | (699,126 | ) | ||||
DHT Holdings, Inc. (Marshall Islands) | (28,914 | ) | (98,308 | ) | ||||
Ensco PLC, Class A (United Kingdom) | (996,155 | ) | (4,373,120 | ) | ||||
Forum Energy Technologies, Inc.* | (90,542 | ) | (995,962 | ) | ||||
Green Plains, Inc. | (183,966 | ) | (3,090,629 | ) | ||||
Helix Energy Solutions Group, Inc.* | (376,909 | ) | (2,182,303 | ) | ||||
Keane Group, Inc.* | (201,698 | ) | (2,985,130 | ) | ||||
Nabors Industries Ltd. (Bermuda) | (138,709 | ) | (969,576 | ) | ||||
Newpark Resources, Inc.* | (15,221 | ) | (123,290 | ) | ||||
NexGen Energy Ltd. (Canada)* | (8,101 | ) | (13,772 | ) | ||||
Occidental Petroleum Corp. | (2,607 | ) | (169,351 | ) | ||||
Oceaneering International, Inc. | (89,647 | ) | (1,662,055 | ) | ||||
Oil States International, Inc.* | (11,574 | ) | (303,239 | ) | ||||
Par Pacific Holdings, Inc.* | (7,657 | ) | (131,471 | ) | ||||
Patterson-UTI Energy, Inc. | (183,668 | ) | (3,216,027 | ) | ||||
Pembina Pipeline Corp. (Canada) | (33,337 | ) | (1,041,115 | ) | ||||
ProPetro Holding Corp.* | (34,199 | ) | (543,422 | ) | ||||
REX American Resources Corp.* | (2,778 | ) | (202,238 | ) | ||||
Select Energy Services, Inc., Class A* | (19,092 | ) | (240,941 | ) | ||||
SemGroup Corp., Class A | (176,383 | ) | (3,774,596 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (46,512 | ) | (770,239 | ) | ||||
Suncor Energy, Inc. (Canada) | (37,373 | ) | (1,290,863 | ) | ||||
Targa Resources Corp. | (81,299 | ) | (3,577,156 | ) | ||||
Unit Corp.* | (90,425 | ) | (1,786,798 | ) | ||||
US Silica Holdings, Inc. | (99,513 | ) | (2,539,572 | ) | ||||
Weatherford International PLC (Ireland)* | (683,937 | ) | (1,566,216 | ) | ||||
World Fuel Services Corp. | (14,651 | ) | (359,682 | ) | ||||
|
| |||||||
(38,706,197 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.3)% |
| |||||||
Casey’s General Stores, Inc. | (31,279 | ) | (3,433,496 | ) | ||||
Chefs’ Warehouse, Inc. (The)* | (5,045 | ) | (116,035 | ) | ||||
PriceSmart, Inc. | (32,227 | ) | (2,692,566 | ) | ||||
Smart & Final Stores, Inc.* | (91,623 | ) | (508,508 | ) | ||||
SUPERVALU, Inc.* | (144,574 | ) | (2,201,862 | ) |
The accompanying notes are an integral part of the financial statements.
31
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
United Natural Foods, Inc.* | (53,000 | ) | $ | (2,275,820 | ) | |||
|
| |||||||
(11,228,287 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (3.3)% |
| |||||||
B&G Foods, Inc. | (115,651 | ) | (2,740,929 | ) | ||||
Blue Buffalo Pet Products, Inc.* | (111,133 | ) | (4,424,205 | ) | ||||
Bunge Ltd. (Bermuda) | (22,118 | ) | (1,635,405 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (10,695 | ) | (1,846,706 | ) | ||||
Constellation Brands, Inc., Class A | (4,271 | ) | (973,446 | ) | ||||
Cott Corp. (Canada) | (70,901 | ) | (1,043,663 | ) | ||||
Darling Ingredients, Inc.* | (134,487 | ) | (2,326,625 | ) | ||||
Farmer Brothers Co.* | (4,880 | ) | (147,376 | ) | ||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | (25,904 | ) | (1,171,897 | ) | ||||
Freshpet, Inc.* | (16,936 | ) | (278,597 | ) | ||||
Hain Celestial Group, Inc. | (178,810 | ) | (5,734,437 | ) | ||||
J&J Snack Foods Corp. | (6,184 | ) | (844,487 | ) | ||||
Lamb Weston Holdings, Inc. | (14,793 | ) | (861,248 | ) | ||||
MGP Ingredients, Inc. | (32,923 | ) | (2,949,572 | ) | ||||
Post Holdings, Inc.* | (10,025 | ) | (759,494 | ) | ||||
Tootsie Roll Industries, Inc. | (13,419 | ) | (395,182 | ) | ||||
Universal Corp. | (10,264 | ) | (497,804 | ) | ||||
Vector Group Ltd. | (15,161 | ) | (309,133 | ) | ||||
|
| |||||||
(28,940,206 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (7.9)% |
| |||||||
Acadia Healthcare Co., Inc.* | (127,403 | ) | (4,991,650 | ) | ||||
Almost Family, Inc.* | (20,955 | ) | (1,173,480 | ) | ||||
Amedisys, Inc.* | (8,402 | ) | (506,977 | ) | ||||
AtriCure, Inc.* | (40,939 | ) | (840,068 | ) | ||||
Becton Dickinson and Co. | (14,629 | ) | (3,170,104 | ) | ||||
BioTelemetry, Inc.* | (76,481 | ) | (2,374,735 | ) | ||||
Cardinal Health, Inc. | (40,394 | ) | (2,531,896 | ) | ||||
Cardiovascular Systems, Inc.* | (29,809 | ) | (653,711 | ) | ||||
Chemed Corp. | (529 | ) | (144,343 | ) | ||||
Civitas Solutions, Inc.* | (1,218 | ) | (18,757 | ) | ||||
Cooper Cos., Inc. (The) | (13,991 | ) | (3,201,281 | ) | ||||
CryoLife, Inc.* | (13,845 | ) | (277,592 | ) | ||||
DaVita, Inc.* | (75,041 | ) | (4,948,204 | ) | ||||
DexCom, Inc.* | (29,084 | ) | (2,156,869 | ) | ||||
Diplomat Pharmacy, Inc.* | (100,120 | ) | (2,017,418 | ) | ||||
Encompass Health Corp. | (2,058 | ) | (117,656 | ) | ||||
Ensign Group, Inc. (The) | (44,076 | ) | (1,159,199 | ) | ||||
Evolent Health, Inc., Class A* | (148,780 | ) | (2,120,115 | ) | ||||
Glaukos Corp.* | (13,643 | ) | (420,614 | ) | ||||
HCA Healthcare, Inc. | (5,601 | ) | (543,297 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Heska Corp.* | (597 | ) | $ | (47,205 | ) | |||
Inovalon Holdings, Inc., Class A* | (19,019 | ) | (201,601 | ) | ||||
Insulet Corp.* | (13,654 | ) | (1,183,529 | ) | ||||
Integra LifeSciences Holdings Corp.* | (11,261 | ) | (623,184 | ) | ||||
Invacare Corp. | (18,540 | ) | (322,596 | ) | ||||
iRhythm Technologies, Inc.* | (33,260 | ) | (2,093,717 | ) | ||||
K2M Group Holdings, Inc.* | (88,906 | ) | (1,684,769 | ) | ||||
Kindred Healthcare, Inc. | (28,182 | ) | (257,865 | ) | ||||
LHC Group, Inc.* | (26,782 | ) | (1,648,700 | ) | ||||
McKesson Corp. | (32,962 | ) | (4,643,357 | ) | ||||
Medidata Solutions, Inc.* | (2,699 | ) | (169,524 | ) | ||||
Merit Medical Systems, Inc.* | (21,869 | ) | (991,759 | ) | ||||
Natus Medical, Inc.* | (14,731 | ) | (495,698 | ) | ||||
Neogen Corp.* | (7,701 | ) | (515,890 | ) | ||||
Nevro Corp.* | (39,193 | ) | (3,396,857 | ) | ||||
Novocure Ltd. (Jersey)* | (30,755 | ) | (670,459 | ) | ||||
NxStage Medical, Inc.* | (114,344 | ) | (2,842,592 | ) | ||||
Omnicell, Inc.* | (39,273 | ) | (1,704,448 | ) | ||||
OraSure Technologies, Inc.* | (43,309 | ) | (731,489 | ) | ||||
Penumbra, Inc.* | (8,633 | ) | (998,406 | ) | ||||
PetIQ, Inc.* | (959 | ) | (25,509 | ) | ||||
Providence Service Corp. | (6,015 | ) | (415,877 | ) | ||||
Quidel Corp.* | (67,486 | ) | (3,496,450 | ) | ||||
STAAR Surgical Co.* | (7,960 | ) | (117,808 | ) | ||||
Tactile Systems Technology, Inc.* | (20,799 | ) | (661,408 | ) | ||||
Teladoc, Inc.* | (58,993 | ) | (2,377,418 | ) | ||||
ViewRay, Inc.* | (39,547 | ) | (254,287 | ) | ||||
Vocera Communications, Inc.* | (5,642 | ) | (132,136 | ) | ||||
West Pharmaceutical Services, Inc. | (19,860 | ) | (1,753,439 | ) | ||||
Wright Medical Group NV (Netherlands)* | (116,662 | ) | (2,314,574 | ) | ||||
|
| |||||||
(70,140,517 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.9)% |
| |||||||
Clorox Co. (The) | (31,608 | ) | (4,207,341 | ) | ||||
Coty, Inc., Class A | (111,947 | ) | (2,048,630 | ) | ||||
WD-40 Co. | (14,277 | ) | (1,880,281 | ) | ||||
|
| |||||||
(8,136,252 | ) | |||||||
|
| |||||||
Materials — (5.0)% | ||||||||
A Schulman, Inc. | (825 | ) | (35,475 | ) | ||||
AdvanSix, Inc.* | (3,361 | ) | (116,896 | ) | ||||
Air Products & Chemicals, Inc. | (4,787 | ) | (761,277 | ) | ||||
Albemarle Corp. | (15,365 | ) | (1,424,950 | ) | ||||
AptarGroup, Inc. | (25,895 | ) | (2,326,148 | ) | ||||
Ashland Global Holdings, Inc. | (70,156 | ) | (4,896,187 | ) |
The accompanying notes are an integral part of the financial statements.
32
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
Balchem Corp. | (11,854 | ) | $ | (969,064 | ) | |||
Bemis Co., Inc. | (24,668 | ) | (1,073,551 | ) | ||||
Cabot Corp. | (13,713 | ) | (764,088 | ) | ||||
Clearwater Paper Corp.* | (13,478 | ) | (526,990 | ) | ||||
Ferro Corp.* | (91,118 | ) | (2,115,760 | ) | ||||
HB Fuller Co. | (60,981 | ) | (3,032,585 | ) | ||||
Huntsman Corp. | (42,875 | ) | (1,254,094 | ) | ||||
Innophos Holdings, Inc. | (12,167 | ) | (489,235 | ) | ||||
KMG Chemicals, Inc. | (9,020 | ) | (540,749 | ) | ||||
Martin Marietta Materials, Inc. | (882 | ) | (182,839 | ) | ||||
Neenah, Inc. | (3,033 | ) | (237,787 | ) | ||||
NewMarket Corp. | (3,478 | ) | (1,397,043 | ) | ||||
Nutrien Ltd. (Canada) | (79,345 | ) | (3,749,845 | ) | ||||
PH Glatfelter Co. | (36,336 | ) | (745,978 | ) | ||||
Rayonier Advanced Materials, Inc. | (79,604 | ) | (1,709,098 | ) | ||||
RPM International, Inc. | (6,259 | ) | (298,367 | ) | ||||
Silgan Holdings, Inc. | (23,951 | ) | (667,035 | ) | ||||
Sonoco Products Co. | (11,178 | ) | (542,133 | ) | ||||
Tredegar Corp. | (281 | ) | (5,044 | ) | ||||
US Concrete, Inc.* | (63,974 | ) | (3,864,030 | ) | ||||
Valvoline, Inc. | (80,256 | ) | (1,776,065 | ) | ||||
Venator Materials PLC (United Kingdom)* | (151,589 | ) | (2,742,245 | ) | ||||
Vulcan Materials Co. | (20,903 | ) | (2,386,496 | ) | ||||
WestRock Co. | (57,932 | ) | (3,717,496 | ) | ||||
|
| |||||||
(44,348,550 | ) | |||||||
|
| |||||||
Media — (2.8)% | ||||||||
Altice USA, Inc., Class A* | (93,060 | ) | (1,719,749 | ) | ||||
Cable One, Inc. | (2,410 | ) | (1,655,935 | ) | ||||
Charter Communications, Inc., Class A* | (10,496 | ) | (3,266,565 | ) | ||||
Cinemark Holdings, Inc. | (6,317 | ) | (237,961 | ) | ||||
Emerald Expositions Events, Inc. | (4,767 | ) | (92,861 | ) | ||||
Entercom Communications Corp., Class A | (144,034 | ) | (1,389,928 | ) | ||||
EW Scripps Co. (The), Class A | (77,459 | ) | (928,733 | ) | ||||
Gray Television, Inc.* | (17,766 | ) | (225,628 | ) | ||||
Lions Gate Entertainment Corp., Class B (Canada) | (6,032 | ) | (145,251 | ) | ||||
Live Nation Entertainment, Inc.* | (49,734 | ) | (2,095,791 | ) | ||||
Madison Square Garden Co. (The), Class A* | (15,152 | ) | (3,724,362 | ) | ||||
Meredith Corp. | (40,669 | ) | (2,187,992 | ) | ||||
New Media Investment Group, Inc. | (7,234 | ) | (123,991 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) | ||||||||
New York Times Co. (The), Class A | (79,888 | ) | $ | (1,925,301 | ) | |||
Nexstar Media Group, Inc., Class A | (11,529 | ) | (766,678 | ) | ||||
Scholastic Corp. | (14,523 | ) | (564,073 | ) | ||||
Sinclair Broadcast Group, Inc., Class A | (69,546 | ) | (2,176,790 | ) | ||||
TEGNA, Inc. | (118,264 | ) | (1,347,027 | ) | ||||
tronc, Inc.* | (742 | ) | (12,184 | ) | ||||
|
| |||||||
(24,586,800 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (2.4)% |
| |||||||
Aclaris Therapeutics, Inc.* | (45,576 | ) | (798,492 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (8,274 | ) | (448,864 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (10,645 | ) | (135,192 | ) | ||||
Bio-Rad Laboratories, Inc., Class A* | (8,262 | ) | (2,066,161 | ) | ||||
Coherus Biosciences, Inc.* | (27,871 | ) | (307,975 | ) | ||||
Epizyme, Inc.* | (38,444 | ) | (682,381 | ) | ||||
Flexion Therapeutics, Inc.* | (27,129 | ) | (607,961 | ) | ||||
Heron Therapeutics, Inc.* | (23,161 | ) | (639,244 | ) | ||||
Illumina, Inc.* | (6,339 | ) | (1,498,666 | ) | ||||
Insmed, Inc.* | (12,110 | ) | (272,717 | ) | ||||
Intra-Cellular Therapies, Inc.* | (20,783 | ) | (437,482 | ) | ||||
La Jolla Pharmaceutical Co.* | (58,679 | ) | (1,747,461 | ) | ||||
MacroGenics, Inc.* | (21,670 | ) | (545,217 | ) | ||||
Medicines Co. (The)* | (16,122 | ) | (531,059 | ) | ||||
Momenta Pharmaceuticals, Inc.* | (19,714 | ) | (357,809 | ) | ||||
NeoGenomics, Inc.* | (93,291 | ) | (761,255 | ) | ||||
PerkinElmer, Inc. | (8,837 | ) | (669,138 | ) | ||||
Portola Pharmaceuticals, Inc.* | (6,612 | ) | (215,948 | ) | ||||
QIAGEN NV (Netherlands)* | (71,308 | ) | (2,303,961 | ) | ||||
Radius Health, Inc.* | (11,808 | ) | (424,380 | ) | ||||
Reata Pharmaceuticals, Inc., Class A* | (14,365 | ) | (294,626 | ) | ||||
Revance Therapeutics, Inc.* | (28,974 | ) | (892,399 | ) | ||||
Rigel Pharmaceuticals, Inc.* | (11,595 | ) | (41,046 | ) | ||||
Spark Therapeutics, Inc.* | (3,167 | ) | (210,891 | ) | ||||
Syneos Health, Inc.* | (70,466 | ) | (2,501,543 | ) | ||||
TG Therapeutics, Inc.* | (14,030 | ) | (199,226 | ) | ||||
TherapeuticsMD, Inc.* | (143,482 | ) | (698,757 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (24,516 | ) | (594,513 | ) | ||||
Zogenix, Inc.* | (7,120 | ) | (285,156 | ) | ||||
|
| |||||||
(21,169,520 | ) | |||||||
|
| |||||||
Retailing — (4.9)% | ||||||||
Aaron’s, Inc. | (19,784 | ) | (921,934 | ) | ||||
At Home Group, Inc.* | (27,175 | ) | (870,687 | ) |
The accompanying notes are an integral part of the financial statements.
33
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Burlington Stores, Inc.* | (16,932 | ) | $ | (2,254,496 | ) | |||
Caleres, Inc. | (30,056 | ) | (1,009,882 | ) | ||||
Camping World Holdings, Inc., Class A | (55,311 | ) | (1,783,780 | ) | ||||
Children’s Place, Inc. (The) | (1,672 | ) | (226,138 | ) | ||||
Core-Mark Holding Co., Inc. | (42,007 | ) | (893,069 | ) | ||||
Duluth Holdings, Inc., Class B* | (27,693 | ) | (518,690 | ) | ||||
Express, Inc.* | (356,050 | ) | (2,549,318 | ) | ||||
Finish Line, Inc. (The), Class A | (28,934 | ) | (391,766 | ) | ||||
Five Below, Inc.* | (11,558 | ) | (847,664 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (72,902 | ) | (3,799,652 | ) | ||||
Genesco, Inc.* | (17,452 | ) | (708,551 | ) | ||||
Genuine Parts Co. | (9,383 | ) | (842,969 | ) | ||||
Group 1 Automotive, Inc. | (16,945 | ) | (1,107,186 | ) | ||||
Guess?, Inc. | (245,057 | ) | (5,082,482 | ) | ||||
Lands’ End, Inc.* | (16,246 | ) | (379,344 | ) | ||||
Lithia Motors, Inc., Class A | (19,162 | ) | (1,926,164 | ) | ||||
Lowe’s Cos., Inc. | (12,289 | ) | (1,078,360 | ) | ||||
Monro, Inc. | (617 | ) | (33,071 | ) | ||||
National Vision Holdings, Inc.* | (7,314 | ) | (236,315 | ) | ||||
Nordstrom, Inc. | (53,203 | ) | (2,575,557 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (42,603 | ) | (2,568,961 | ) | ||||
Overstock.com, Inc.* | (68,294 | ) | (2,475,658 | ) | ||||
Party City Holdco, Inc.* | (95,644 | ) | (1,492,046 | ) | ||||
Qurate Retail Group, Inc., Class A* | (59,272 | ) | (1,491,876 | ) | ||||
Sonic Automotive, Inc., Class A | (31,059 | ) | (588,568 | ) | ||||
TripAdvisor, Inc.* | (40,060 | ) | (1,638,053 | ) | ||||
Wayfair, Inc., Class A* | (40,249 | ) | (2,718,015 | ) | ||||
|
| |||||||
(43,010,252 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (3.3)% |
| |||||||
Ambarella, Inc. (Cayman Islands)* | (67,379 | ) | (3,300,897 | ) | ||||
Amkor Technology, Inc.* | (9,511 | ) | (96,346 | ) | ||||
Aquantia Corp.* | (6,004 | ) | (94,263 | ) | ||||
Brooks Automation, Inc. | (60,878 | ) | (1,648,576 | ) | ||||
Cavium, Inc.* | (43,709 | ) | (3,469,620 | ) | ||||
CEVA, Inc.* | (3,850 | ) | (139,370 | ) | ||||
Cree, Inc.* | (75,690 | ) | (3,051,064 | ) | ||||
FormFactor, Inc.* | (60,324 | ) | (823,423 | ) | ||||
Ichor Holdings Ltd. (Cayman Islands)* | (52,244 | ) | (1,264,827 | ) | ||||
Inphi Corp.* | (109,641 | ) | (3,300,194 | ) | ||||
Lattice Semiconductor Corp.* | (88,940 | ) | (495,396 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor |
| |||||||
MACOM Technology Solutions Holdings, Inc.* | (60,828 | ) | $ | (1,009,745 | ) | |||
MaxLinear, Inc.* | (73,998 | ) | (1,683,454 | ) | ||||
Microsemi Corp.* | (32,682 | ) | (2,115,179 | ) | ||||
Monolithic Power Systems, Inc. | (4,376 | ) | (506,610 | ) | ||||
Nanometrics, Inc.* | (20,637 | ) | (555,135 | ) | ||||
Photronics, Inc.* | (58,061 | ) | (479,003 | ) | ||||
Rudolph Technologies, Inc.* | (7,440 | ) | (206,088 | ) | ||||
Semtech Corp.* | (24,855 | ) | (970,588 | ) | ||||
Synaptics, Inc.* | (75,003 | ) | (3,429,887 | ) | ||||
Veeco Instruments, Inc.* | (21,442 | ) | (364,514 | ) | ||||
|
| |||||||
(29,004,179 | ) | |||||||
|
| |||||||
Software & Services — (8.4)% | ||||||||
8x8, Inc.* | (147,359 | ) | (2,748,245 | ) | ||||
Acxiom Corp.* | (93,359 | ) | (2,120,183 | ) | ||||
Altair Engineering, Inc., Class A* | (2,508 | ) | (78,651 | ) | ||||
Autodesk, Inc.* | (3,179 | ) | (399,219 | ) | ||||
Benefitfocus, Inc.* | (15,627 | ) | (381,299 | ) | ||||
Black Knight, Inc.* | (41,501 | ) | (1,954,697 | ) | ||||
BlackBerry Ltd. (Canada)* | (92,502 | ) | (1,063,773 | ) | ||||
Blackhawk Network Holdings, Inc.* | (22,140 | ) | (989,658 | ) | ||||
Blackline, Inc.* | (34,545 | ) | (1,354,509 | ) | ||||
Box, Inc., Class A* | (127,011 | ) | (2,610,076 | ) | ||||
Callidus Software, Inc.* | (54,442 | ) | (1,957,190 | ) | ||||
Carbonite, Inc.* | (17,002 | ) | (489,658 | ) | ||||
Cloudera, Inc.* | (227,410 | ) | (4,907,508 | ) | ||||
Cornerstone OnDemand, Inc.* | (13,081 | ) | (511,598 | ) | ||||
Coupa Software, Inc.* | (11,202 | ) | (511,035 | ) | ||||
CSRA, Inc. | (14,547 | ) | (599,773 | ) | ||||
Electronic Arts, Inc.* | (20,319 | ) | (2,463,476 | ) | ||||
Ellie Mae, Inc.* | (24,922 | ) | (2,291,329 | ) | ||||
Everbridge, Inc.* | (21,906 | ) | (801,760 | ) | ||||
FireEye, Inc.* | (217,581 | ) | (3,683,646 | ) | ||||
First Data Corp., Class A* | (249,466 | ) | (3,991,456 | ) | ||||
ForeScout Technologies, Inc.* | (5,783 | ) | (187,601 | ) | ||||
Global Payments, Inc. | (4,569 | ) | (509,535 | ) | ||||
Gogo, Inc.* | (244,660 | ) | (2,111,416 | ) | ||||
Guidewire Software, Inc.* | (7,161 | ) | (578,824 | ) | ||||
Hortonworks, Inc.* | (54,978 | ) | (1,119,902 | ) | ||||
Imperva, Inc.* | (9,129 | ) | (395,286 | ) | ||||
Instructure, Inc.* | (28,828 | ) | (1,215,100 | ) | ||||
MuleSoft, Inc., Class A* | (47,551 | ) | (2,091,293 | ) | ||||
Okta, Inc.* | (27,923 | ) | (1,112,732 | ) | ||||
Pandora Media, Inc.* | (535,627 | ) | (2,694,204 | ) |
The accompanying notes are an integral part of the financial statements.
34
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Paylocity Holding Corp.* | (4,515 | ) | $ | (231,303 | ) | |||
PayPal Holdings, Inc.* | (3,864 | ) | (293,162 | ) | ||||
Presidio, Inc.* | (9,667 | ) | (151,192 | ) | ||||
PROS Holdings, Inc.* | (51,152 | ) | (1,688,528 | ) | ||||
Q2 Holdings, Inc.* | (2,163 | ) | (98,525 | ) | ||||
QAD, Inc., Class A | (161 | ) | (6,706 | ) | ||||
Rapid7, Inc.* | (30,327 | ) | (775,461 | ) | ||||
Science Applications International Corp. | (39,884 | ) | (3,142,859 | ) | ||||
SecureWorks Corp., Class A* | (15,632 | ) | (126,307 | ) | ||||
Shutterstock, Inc.* | (622 | ) | (29,949 | ) | ||||
Snap, Inc., Class A* | (336,526 | ) | (5,340,668 | ) | ||||
Square, Inc., Class A* | (8,674 | ) | (426,761 | ) | ||||
Tableau Software, Inc., Class A* | (10,499 | ) | (848,529 | ) | ||||
Teradata Corp.* | (53,593 | ) | (2,126,034 | ) | ||||
Travelport Worldwide Ltd. (Bermuda) | (6,038 | ) | (98,661 | ) | ||||
TrueCar, Inc.* | (220,165 | ) | (2,082,761 | ) | ||||
TTEC Holdings, Inc. | (4,386 | ) | (134,650 | ) | ||||
Twilio, Inc., Class A* | (43,436 | ) | (1,658,386 | ) | ||||
Virtusa Corp.* | (13,298 | ) | (644,421 | ) | ||||
WEX, Inc.* | (3,105 | ) | (486,305 | ) | ||||
Workday, Inc., Class A* | (6,838 | ) | (869,178 | ) | ||||
Workiva, Inc.* | (29,825 | ) | (706,852 | ) | ||||
Worldpay, Inc., Class A* | (14,108 | ) | (1,160,242 | ) | ||||
Yext, Inc.* | (5,701 | ) | (72,118 | ) | ||||
Zendesk, Inc.* | (58,910 | ) | (2,820,022 | ) | ||||
|
| |||||||
(73,944,212 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (4.2)% |
| |||||||
ADTRAN, Inc. | (51,699 | ) | (803,919 | ) | ||||
ARRIS International PLC (United Kingdom)* | (117,385 | ) | (3,118,919 | ) | ||||
Celestica, Inc. (Canada)* | (34,583 | ) | (357,934 | ) | ||||
Comtech Telecommunications Corp. | (111 | ) | (3,318 | ) | ||||
Corning, Inc. | (13,605 | ) | (379,307 | ) | ||||
Cray, Inc.* | (37,111 | ) | (768,198 | ) | ||||
Electronics For Imaging, Inc.* | (59,417 | ) | (1,623,867 | ) | ||||
FARO Technologies, Inc.* | (2,723 | ) | (159,023 | ) | ||||
Finisar Corp.* | (283,421 | ) | (4,480,886 | ) | ||||
Fitbit, Inc., Class A* | (819,887 | ) | (4,181,424 | ) | ||||
II-VI, Inc.* | (79,612 | ) | (3,256,131 | ) | ||||
Infinera Corp.* | (336,473 | ) | (3,654,097 | ) | ||||
Insight Enterprises, Inc.* | (25,381 | ) | (886,558 | ) | ||||
Itron, Inc.* | (5,797 | ) | (414,775 | ) | ||||
Knowles Corp.* | (14,847 | ) | (186,924 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Methode Electronics, Inc. | (28,657 | ) | $ | (1,120,489 | ) | |||
MTS Systems Corp. | (227 | ) | (11,725 | ) | ||||
Oclaro, Inc.* | (50,940 | ) | (486,986 | ) | ||||
Sanmina Corp.* | (115,594 | ) | (3,022,783 | ) | ||||
ScanSource, Inc.* | (6,694 | ) | (237,972 | ) | ||||
Sierra Wireless, Inc. (Canada)* | (42,472 | ) | (700,788 | ) | ||||
Stratasys Ltd. (Israel)* | (52,097 | ) | (1,051,317 | ) | ||||
Trimble, Inc.* | (19,268 | ) | (691,336 | ) | ||||
ViaSat, Inc.* | (58,199 | ) | (3,824,838 | ) | ||||
Viavi Solutions, Inc.* | (190,435 | ) | (1,851,028 | ) | ||||
|
| |||||||
(37,274,542 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.1)% |
| |||||||
ATN International, Inc. | (8,166 | ) | (486,857 | ) | ||||
Boingo Wireless, Inc.* | (27,674 | ) | (685,485 | ) | ||||
CenturyLink, Inc. | (139,094 | ) | (2,285,314 | ) | ||||
Cincinnati Bell, Inc.* | (75,003 | ) | (1,038,792 | ) | ||||
Consolidated Communications Holdings, Inc. | (141,070 | ) | (1,546,127 | ) | ||||
Iridium Communications, Inc.* | (178,213 | ) | (2,004,896 | ) | ||||
ORBCOMM, Inc.* | (60,325 | ) | (565,245 | ) | ||||
Shenandoah Telecommunications Co. | (24,633 | ) | (886,788 | ) | ||||
Sprint Corp.* | (59,252 | ) | (289,150 | ) | ||||
TELUS Corp. (Canada) | (3,408 | ) | (119,825 | ) | ||||
United States Cellular Corp.* | (2,954 | ) | (118,721 | ) | ||||
|
| |||||||
(10,027,200 | ) | |||||||
|
| |||||||
Transportation — (3.3)% | ||||||||
Air Transport Services Group, Inc.* | (42,894 | ) | (1,000,288 | ) | ||||
Allegiant Travel Co. | (22,109 | ) | (3,814,908 | ) | ||||
American Airlines Group, Inc. | (17,937 | ) | (932,007 | ) | ||||
ArcBest Corp. | (13,279 | ) | (425,592 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (51,378 | ) | (3,105,800 | ) | ||||
CSX Corp. | (56,861 | ) | (3,167,726 | ) | ||||
FedEx Corp. | (1,127 | ) | (270,604 | ) | ||||
Genesee & Wyoming, Inc., Class A* | (31,739 | ) | (2,246,804 | ) | ||||
Heartland Express, Inc. | (21,521 | ) | (387,163 | ) | ||||
Hub Group, Inc., Class A* | (59,312 | ) | (2,482,207 | ) | ||||
JetBlue Airways Corp.* | (162,291 | ) | (3,297,753 | ) | ||||
Knight-Swift Transportation Holdings, Inc. | (90,301 | ) | (4,154,749 | ) | ||||
Matson, Inc. | (67 | ) | (1,919 | ) | ||||
Spirit Airlines, Inc.* | (63,000 | ) | (2,380,140 | ) | ||||
Student Transportation, Inc. (Canada) | (12,757 | ) | (95,550 | ) |
The accompanying notes are an integral part of the financial statements.
35
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
United Continental Holdings, Inc.* | (17,248 | ) | $ | (1,198,219 | ) | |||
|
| |||||||
(28,961,429 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $677,311,458) |
| (653,521,938 | ) | |||||
|
| |||||||
TOTAL SECURITES SOLD |
| (653,521,938 | ) | |||||
|
| |||||||
(Proceeds $677,311,458) | ||||||||
OTHER ASSETS IN EXCESS OF |
| 5,822,301 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 883,451,051 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | Security position is either entirely or partially designated as collateral for securities on loan. |
(b) | 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.
36
GOTHAM NEUTRAL FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 123.8% | ||||||||
COMMON STOCKS — 123.8% | ||||||||
Automobiles & Components — 3.0% |
| |||||||
Aptiv PLC (Jersey)†(a) | 40,665 | $ | 3,455,305 | |||||
BorgWarner, Inc.†(a) | 9,282 | 466,235 | ||||||
Cooper Tire & Rubber Co.(b) | 1,900 | 55,670 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)† | 166,825 | 3,423,249 | ||||||
General Motors Co.†(a) | 77,869 | 2,829,759 | ||||||
Gentex Corp.† | 27,626 | 635,951 | ||||||
Goodyear Tire & Rubber Co. | 9,738 | 258,836 | ||||||
Lear Corp.† | 7,469 | 1,389,906 | ||||||
Modine Manufacturing Co.†* | 2,864 | 60,574 | ||||||
Standard Motor Products, Inc.†(a)(b) | 5,421 | 257,877 | ||||||
Tenneco, Inc.(a)(b) | 6,760 | 370,921 | ||||||
Tower International, Inc. | 373 | 10,351 | ||||||
Winnebago Industries, Inc.†(b) | 14,494 | 544,974 | ||||||
|
| |||||||
13,759,608 | ||||||||
|
| |||||||
Capital Goods — 19.6% | ||||||||
3M Co.† | 3,049 | 669,316 | ||||||
Acuity Brands, Inc.(b) | 5,596 | 778,907 | ||||||
Aegion Corp.(b)* | 1,049 | 24,033 | ||||||
AGCO Corp.†(b) | 14,586 | 945,902 | ||||||
Allegion PLC (Ireland)†(b) | 4,757 | 405,725 | ||||||
Allison Transmission Holdings, Inc.† | 64,632 | 2,524,526 | ||||||
AMETEK, Inc.† | 22,425 | 1,703,627 | ||||||
AO Smith Corp. | 223 | 14,181 | ||||||
Arconic, Inc.†(a)(b) | 60,029 | 1,383,068 | ||||||
Argan, Inc.†(b) | 24,502 | 1,052,361 | ||||||
Atkore International Group, Inc.* | 1,522 | 30,212 | ||||||
Beacon Roofing Supply, Inc.†* | 5,808 | 308,231 | ||||||
Boeing Co. (The)† | 8,038 | 2,635,499 | ||||||
Builders FirstSource, Inc.†(a)(b)* | 53,732 | 1,066,043 | ||||||
BWX Technologies, Inc.† | 11,336 | 720,176 | ||||||
Caterpillar, Inc.† | 7,227 | 1,065,115 | ||||||
Continental Building Products, Inc.†* | 1,273 | 36,344 | ||||||
Crane Co.† | 20,866 | 1,935,113 | ||||||
Cummins, Inc.†(a) | 23,532 | 3,814,302 | ||||||
Curtiss-Wright Corp.†(a)(b) | 13,334 | 1,801,023 | ||||||
Deere & Co.†(a) | 4,960 | 770,387 | ||||||
Dover Corp.†(a) | 25,799 | 2,533,978 | ||||||
Eaton Corp. PLC (Ireland)† | 8,236 | 658,139 | ||||||
EMCOR Group, Inc.† | 22,032 | 1,716,954 | ||||||
Emerson Electric Co.† | 23,629 | 1,613,861 | ||||||
Encore Wire Corp.(b) | 475 | 26,932 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Engility Holdings, Inc.(b)* | 3,651 | $ | 89,084 | |||||
Flowserve Corp.†(b) | 10,139 | 439,323 | ||||||
Fluor Corp.(b) | 2,543 | 145,510 | ||||||
Fortune Brands Home & Security, Inc.†(a)(b) | 32,327 | 1,903,737 | ||||||
Generac Holdings, Inc.†(a)(b)* | 41,295 | 1,895,853 | ||||||
General Dynamics Corp.† | 13,791 | 3,046,432 | ||||||
General Electric Co.†(a) | 65,674 | 885,286 | ||||||
Gibraltar Industries, Inc.†* | 21,222 | 718,365 | ||||||
Granite Construction, Inc.(b) | 2,575 | 143,840 | ||||||
Harris Corp.† | 21,942 | 3,538,806 | ||||||
Harsco Corp.†* | 31,898 | 658,694 | ||||||
HD Supply Holdings, Inc.†* | 19,589 | 743,207 | ||||||
Hillenbrand, Inc.† | 31,273 | 1,435,431 | ||||||
Honeywell International, Inc.† | 24,061 | 3,477,055 | ||||||
Hubbell, Inc.†(a)(b) | 12,803 | 1,559,149 | ||||||
Huntington Ingalls Industries, Inc.† | 3,153 | 812,717 | ||||||
Illinois Tool Works, Inc.†(b) | 7,187 | 1,125,915 | ||||||
Ingersoll-Rand PLC (Ireland)† | 14,153 | 1,210,223 | ||||||
Johnson Controls International PLC (Ireland)† | 21,427 | 755,087 | ||||||
L3 Technologies, Inc.†(b) | 4,500 | 936,000 | ||||||
Masco Corp.†(a)(b) | 62,070 | 2,510,111 | ||||||
MSC Industrial Direct Co., Inc., Class A† | 2,903 | 266,234 | ||||||
Navistar International Corp.†* | 14,099 | 493,042 | ||||||
NCI Building Systems, Inc.†(a)* | 7,806 | 138,166 | ||||||
NN, Inc.(b) | 1,824 | 43,776 | ||||||
Northrop Grumman Corp.† | 795 | 277,550 | ||||||
Orbital ATK, Inc.† | 2,895 | 383,906 | ||||||
Owens Corning†(a)(b) | 31,406 | 2,525,042 | ||||||
Pentair PLC (Ireland)† | 19,660 | 1,339,436 | ||||||
Ply Gem Holdings, Inc.* | 2,117 | 45,727 | ||||||
Primoris Services Corp.†(a) | 13,240 | 330,735 | ||||||
Raytheon Co.†(a) | 20,703 | 4,468,121 | ||||||
Rockwell Automation, Inc.† | 2,980 | 519,116 | ||||||
Rockwell Collins, Inc.† | 2,229 | 300,581 | ||||||
Snap-on, Inc.†(b) | 12,085 | 1,783,021 | ||||||
Spartan Motors, Inc.(b) | 2,774 | 47,713 | ||||||
Spirit AeroSystems Holdings, Inc., Class A† | 4,013 | 335,888 | ||||||
SPX FLOW, Inc.†(a)* | 22,884 | 1,125,664 | ||||||
Stanley Black & Decker, Inc.†(a) | 24,489 | 3,751,715 | ||||||
Teledyne Technologies, Inc.†(a)* | 6,645 | 1,243,745 | ||||||
Terex Corp.†(b) | 18,131 | 678,281 |
The accompanying notes are an integral part of the financial statements.
37
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Textron, Inc.†(b) | 9,825 | $ | 579,380 | |||||
TransDigm Group, Inc.†(b) | 3,481 | 1,068,458 | ||||||
Trex Co., Inc.†* | 2,654 | 288,676 | ||||||
TriMas Corp.†(a)* | 7,051 | 185,089 | ||||||
United Technologies Corp.† | 10,119 | 1,273,173 | ||||||
Univar, Inc.* | 1,437 | 39,877 | ||||||
Universal Forest Products, | 22,101 | 717,177 | ||||||
Watsco, Inc.†(a)(b) | 9,549 | 1,728,083 | ||||||
Watts Water Technologies, Inc., Class A(a)(b) | 3,966 | 308,158 | ||||||
Welbilt, Inc.†(b)* | 9,000 | 175,050 | ||||||
WESCO International, Inc.†(a)(b)* | 6,391 | 396,562 | ||||||
WW Grainger, Inc.†(b) | 7,933 | 2,239,248 | ||||||
Xylem, Inc.†(a)(b) | 27,622 | 2,124,684 | ||||||
|
| |||||||
89,484,854 | ||||||||
|
| |||||||
Commercial & Professional Services — 2.5% |
| |||||||
ACCO Brands Corp.(b) | 9,644 | 121,032 | ||||||
Cimpress NV (Netherlands)†* | 726 | 112,312 | ||||||
Cintas Corp.† | 14,821 | 2,528,166 | ||||||
Deluxe Corp.† | 3,845 | 284,568 | ||||||
Dun & Bradstreet Corp. (The)† | 680 | 79,560 | ||||||
FTI Consulting, Inc.†(a)(b)* | 15,603 | 755,341 | ||||||
ICF International, Inc.† | 3,150 | 184,118 | ||||||
Interface, Inc.(a)(b) | 9,507 | 239,576 | ||||||
Kelly Services, Inc., Class A† | 1,082 | 31,421 | ||||||
Kforce, Inc. | 240 | 6,492 | ||||||
Knoll, Inc. | 788 | 15,910 | ||||||
Korn/Ferry International†(b) | 8,598 | 443,571 | ||||||
ManpowerGroup, Inc.† | 6,233 | 717,418 | ||||||
Navigant Consulting, Inc.†(a)* | 13,356 | 256,969 | ||||||
Nielsen Holdings PLC (United Kingdom)† | 24,001 | 762,992 | ||||||
Quad/Graphics, Inc.†(b) | 16,041 | 406,639 | ||||||
Republic Services, Inc.† | 12,491 | 827,279 | ||||||
Robert Half International, Inc.† | 11,076 | 641,190 | ||||||
SP Plus Corp.†* | 14,407 | 512,889 | ||||||
Steelcase, Inc., Class A† | 10,037 | 136,503 | ||||||
Stericycle, Inc.†(b)* | 17,547 | 1,027,026 | ||||||
Tetra Tech, Inc.† | 3,501 | 171,374 | ||||||
TriNet Group, Inc.(a)* | 12,817 | 593,683 | ||||||
Waste Management, Inc.† | 5,060 | 425,647 | ||||||
|
| |||||||
11,281,676 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 4.3% |
| |||||||
Acushnet Holdings Corp.(b) | 6,781 | 156,573 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Callaway Golf Co.† | 18,716 | $ | 306,194 | |||||
Carter’s, Inc.† | 17,149 | 1,785,211 | ||||||
Cavco Industries, Inc.†* | 1,765 | 306,669 | ||||||
Crocs, Inc.(a)* | 62,095 | 1,009,044 | ||||||
Deckers Outdoor Corp.†(b)* | 17,327 | 1,559,950 | ||||||
DR Horton, Inc.†(a)(b) | 10,604 | 464,879 | ||||||
Ethan Allen Interiors, Inc.†(b) | 12,987 | 298,052 | ||||||
Fossil Group, Inc.(b)* | 7,445 | 94,552 | ||||||
Garmin Ltd. (Switzerland)† | 28,159 | 1,659,410 | ||||||
Gildan Activewear, Inc. (Canada)† | 24,472 | 706,996 | ||||||
Hanesbrands, Inc.(b) | 48,843 | 899,688 | ||||||
Hasbro, Inc.†(b) | 4,545 | 383,144 | ||||||
La-Z-Boy, Inc.†(b) | 5,750 | 172,212 | ||||||
Leggett & Platt, Inc.(b) | 4,412 | 195,716 | ||||||
Mattel, Inc.(b) | 17,694 | 232,676 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 18,429 | 1,144,072 | ||||||
Newell Brands, Inc.†(b) | 17,754 | 452,372 | ||||||
PulteGroup, Inc.† | 4,874 | 143,734 | ||||||
Ralph Lauren Corp.†(b) | 19,985 | 2,234,323 | ||||||
Steven Madden Ltd.(b) | 2,201 | 96,624 | ||||||
TopBuild Corp.†(b)* | 14,930 | 1,142,444 | ||||||
Tupperware Brands Corp.†(a)(b) | 27,616 | 1,336,062 | ||||||
Under Armour, Inc., Class C(b)* | 10,762 | 154,435 | ||||||
VF Corp.†(a)(b) | 16,308 | 1,208,749 | ||||||
Vista Outdoor, Inc.†(a)(b)* | 42,110 | 687,235 | ||||||
Whirlpool Corp.†(b) | 4,781 | 732,019 | ||||||
Wolverine World Wide, Inc.(b) | 3,225 | 93,202 | ||||||
|
| |||||||
19,656,237 | ||||||||
|
| |||||||
Consumer Services — 5.5% | ||||||||
Adtalem Global Education, Inc.†* | 11,967 | 569,031 | ||||||
BJ’s Restaurants, Inc. | 3,682 | 165,322 | ||||||
Boyd Gaming Corp.†(a)(b) | 88,388 | 2,816,042 | ||||||
Brinker International, Inc.(b) | 30,925 | 1,116,392 | ||||||
Capella Education Co.† | 687 | 60,009 | ||||||
Carnival Corp. (Panama)† | 844 | 55,350 | ||||||
Choice Hotels International, Inc.†(b) | 2,227 | 178,494 | ||||||
Churchill Downs, Inc.(b) | 1,267 | 309,211 | ||||||
Cracker Barrel Old Country Store, Inc.(b) | 2,606 | 414,875 | ||||||
Darden Restaurants, Inc. | 2,724 | 232,221 | ||||||
Dine Brands Global, Inc.† | 22,797 | 1,495,027 | ||||||
Dunkin’ Brands Group, Inc.†(b) | 21,850 | 1,304,226 | ||||||
Eldorado Resorts, Inc.†* | 1,114 | 36,762 |
The accompanying notes are an integral part of the financial statements.
38
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Graham Holdings Co., Class B†(b) | 1,262 | $ | 760,040 | |||||
Hilton Worldwide Holdings, Inc.† | 11,701 | 921,571 | ||||||
Hyatt Hotels Corp., Class A† | 26,855 | 2,047,962 | ||||||
Jack in the Box, Inc.†(b) | 10,796 | 921,223 | ||||||
Las Vegas Sands Corp.† | 4,751 | 341,597 | ||||||
Marriott International, Inc., Class A†(a)(b) | 15,985 | 2,173,640 | ||||||
McDonald’s Corp.† | 8,971 | 1,402,885 | ||||||
Regis Corp.(b)* | 2,683 | 40,594 | ||||||
Restaurant Brands International, Inc. (Canada)† | 8,090 | 460,483 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 5,985 | 704,674 | ||||||
Six Flags Entertainment Corp.(b) | 4,212 | 262,239 | ||||||
Sonic Corp.† | 44,126 | 1,113,299 | ||||||
Stars Group, Inc. (The) | 14,543 | 400,660 | ||||||
Vail Resorts, Inc.†(b) | 2,020 | 447,834 | ||||||
Wyndham Worldwide Corp.† | 11,336 | 1,297,178 | ||||||
Yum! Brands, Inc.†(b) | 35,319 | 3,006,706 | ||||||
|
| |||||||
25,055,547 | ||||||||
|
| |||||||
Energy — 6.0% | ||||||||
Andeavor | 206 | 20,715 | ||||||
Cameco Corp. (Canada)†(b) | 33,371 | 303,342 | ||||||
Cenovus Energy, Inc. (Canada)† | 25,824 | 220,537 | ||||||
CVR Energy, Inc.†(b) | 52,623 | 1,590,267 | ||||||
Diamond Offshore Drilling, Inc.(b)* | 41,916 | 614,489 | ||||||
Dril-Quip, Inc.†(b)* | 27,218 | 1,219,366 | ||||||
Enbridge, Inc. (Canada)† | 74,543 | 2,345,868 | ||||||
Exterran Corp.†* | 18,080 | 482,736 | ||||||
Fairmount Santrol Holdings, | 27,062 | 115,014 | ||||||
Frank’s International NV (Netherlands)†(b) | 26,142 | 141,951 | ||||||
Halliburton Co.†(a) | 17,705 | 831,073 | ||||||
Imperial Oil Ltd. (Canada)† | 11,823 | 313,310 | ||||||
Mammoth Energy Services, Inc.* | 2 | 64 | ||||||
Marathon Petroleum Corp.†(a) | 42,860 | 3,133,495 | ||||||
National Oilwell Varco, Inc.†(b) | 42,980 | 1,582,094 | ||||||
Noble Corp. PLC (United Kingdom)* | 1,287 | 4,775 | ||||||
ONEOK, Inc.† | 16,749 | 953,353 | ||||||
Phillips 66†(b) | 15,822 | 1,517,646 | ||||||
Rowan Cos. PLC, Class A (United Kingdom)†(b)* | 98,297 | 1,134,347 | ||||||
RPC, Inc.(b) | 17,520 | 315,886 | ||||||
Schlumberger Ltd. (Curacao)†(a) | 30,434 | 1,971,515 | ||||||
SEACOR Holdings, Inc.(b)* | 416 | 21,258 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
Ship Finance International Ltd. (Bermuda)† | 74,899 | $ | 1,071,056 | |||||
Superior Energy Services, | 82,216 | 693,081 | ||||||
TechnipFMC PLC (United Kingdom)†(a) | 104,974 | 3,091,484 | ||||||
Transocean Ltd. (Switzerland)†(b)* | 120,706 | 1,194,989 | ||||||
Valero Energy Corp.† | 26,441 | 2,452,932 | ||||||
|
| |||||||
27,336,643 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.7% | ||||||||
CVS Health Corp.† | 19,648 | 1,222,302 | ||||||
Ingles Markets, Inc., Class A† | 1,789 | 60,558 | ||||||
Kroger Co. (The)†(b) | 120,277 | 2,879,431 | ||||||
Rite Aid Corp.†(b)* | 119,694 | 201,086 | ||||||
Sysco Corp.†(a)(b) | 42,374 | 2,540,745 | ||||||
US Foods Holding Corp.†(a)* | 55,996 | 1,834,989 | ||||||
Walgreens Boots Alliance, Inc.† | 7,950 | 520,486 | ||||||
Walmart, Inc.† | 35,060 | 3,119,288 | ||||||
Weis Markets, Inc.(b) | 3,662 | 150,069 | ||||||
|
| |||||||
12,528,954 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 5.9% |
| |||||||
Altria Group, Inc.† | 27,196 | 1,694,855 | ||||||
Brown-Forman Corp., Class B(b) | 22,206 | 1,208,006 | ||||||
Campbell Soup Co.(b) | 22,944 | 993,705 | ||||||
Coca-Cola Co. (The)† | 22,319 | 969,314 | ||||||
Conagra Brands, Inc.†(b) | 24,079 | 888,034 | ||||||
Dr Pepper Snapple Group, Inc.† | 7,437 | 880,392 | ||||||
Flowers Foods, Inc.† | 13,454 | 294,104 | ||||||
General Mills, Inc.†(b) | 47,862 | 2,156,662 | ||||||
Hershey Co. (The)† | 19,231 | 1,903,100 | ||||||
Hormel Foods Corp.(b) | 6,894 | 236,602 | ||||||
Hostess Brands, Inc.(b)* | 10,387 | 153,624 | ||||||
Ingredion, Inc.† | 18,983 | 2,447,288 | ||||||
JM Smucker Co. (The)†(b) | 5,717 | 708,965 | ||||||
John B Sanfilippo & Son, Inc.(b) | 1,532 | 88,657 | ||||||
Kraft Heinz Co. (The)†(a) | 20,028 | 1,247,544 | ||||||
McCormick & Co., Inc., non-voting shares†(b) | 17,154 | 1,825,014 | ||||||
Molson Coors Brewing Co., Class B†(a) | 6,444 | 485,427 | ||||||
PepsiCo, Inc.†(a) | 28,704 | 3,133,042 | ||||||
Philip Morris International, Inc.† | 8,551 | 849,969 | ||||||
TreeHouse Foods, Inc.(b)* | 13,189 | 504,743 | ||||||
Tyson Foods, Inc., Class A†(a)(b) | 55,178 | 4,038,478 | ||||||
|
| |||||||
26,707,525 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
39
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — 10.6% |
| |||||||
Abbott Laboratories† | 57,779 | $ | 3,462,118 | |||||
Addus HomeCare Corp.* | 12 | 584 | ||||||
AmerisourceBergen Corp.† | 7,823 | 674,421 | ||||||
AMN Healthcare Services, Inc.†(a)(b)* | 19,487 | 1,105,887 | ||||||
Analogic Corp.†(a) | 6,908 | 662,477 | ||||||
AngioDynamics, Inc.(a)* | 2,820 | 48,645 | ||||||
Anika Therapeutics, Inc.†(a)(b)* | 8,122 | 403,826 | ||||||
athenahealth, Inc.†* | 1,706 | 244,009 | ||||||
Baxter International, Inc.†(a) | 31,420 | 2,043,557 | ||||||
Brookdale Senior Living, Inc.†(a)(b)* | 133,670 | 896,926 | ||||||
CONMED Corp.† | 8,951 | 566,867 | ||||||
Cotiviti Holdings, Inc.†(a)(b)* | 59,447 | 2,047,355 | ||||||
Danaher Corp.†(b) | 16,922 | 1,656,833 | ||||||
DENTSPLY SIRONA, Inc.† | 10,926 | 549,687 | ||||||
Envision Healthcare Corp.(a)(b)* | 37,954 | 1,458,572 | ||||||
Express Scripts Holding Co.†(a)(b)* | 50,465 | 3,486,122 | ||||||
Globus Medical, Inc., Class A†(a)* | 63,641 | 3,170,595 | ||||||
Haemonetics Corp.†(a)* | 20,205 | 1,478,198 | ||||||
Halyard Health, Inc.†(b)* | 10,784 | 496,927 | ||||||
Hill-Rom Holdings, Inc.† | 12,418 | 1,080,366 | ||||||
HMS Holdings Corp.(b)* | 4,598 | 77,430 | ||||||
ICU Medical, Inc.†(a)(b)* | 11,539 | 2,912,444 | ||||||
Integer Holdings Corp.†(a)* | 20,615 | 1,165,778 | ||||||
Invacare Corp. | 259 | 4,507 | ||||||
Kindred Healthcare, Inc.† | 5,717 | 52,311 | ||||||
Laboratory Corp. of America Holdings†(a)(b)* | 20,850 | 3,372,488 | ||||||
Lantheus Holdings, Inc.(b)* | 4,784 | 76,066 | ||||||
LifePoint Health, Inc.†(a)(b)* | 26,726 | 1,256,122 | ||||||
Masimo Corp.(b)* | 1,590 | 139,840 | ||||||
MEDNAX, Inc.†(b)* | 27,096 | 1,507,350 | ||||||
Medtronic PLC (Ireland)†(a) | 41,683 | 3,343,810 | ||||||
Meridian Bioscience, Inc.† | 16,328 | 231,858 | ||||||
Owens & Minor, Inc.†(b) | 81,552 | 1,268,134 | ||||||
Quality Systems, Inc.†(a)(b)* | 31,372 | 428,228 | ||||||
Quest Diagnostics, Inc.† | 8,629 | 865,489 | ||||||
STERIS PLC (United Kingdom)† | 3,986 | 372,133 | ||||||
Stryker Corp.† | 2,060 | 331,495 | ||||||
Tabula Rasa HealthCare, Inc.(b)* | 2,157 | 83,692 | ||||||
Tenet Healthcare Corp.†(b)* | 41,515 | 1,006,739 | ||||||
Tivity Health, Inc.†* | 9,952 | 394,597 | ||||||
Universal Health Services, Inc., Class B† | 5,964 | 706,197 | ||||||
Varex Imaging Corp.†(b)* | 6,008 | 214,966 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Varian Medical Systems, Inc.†(a)* | 22,683 | $ | 2,782,070 | |||||
|
| |||||||
48,127,716 | ||||||||
|
| |||||||
Household & Personal Products — 2.1% |
| |||||||
Avon Products, Inc.†(b)* | 306,903 | 871,605 | ||||||
Church & Dwight Co., Inc.†(b) | 8,327 | 419,348 | ||||||
Colgate-Palmolive Co.† | 9,691 | 694,651 | ||||||
Edgewell Personal Care Co.†* | 7,855 | 383,481 | ||||||
Energizer Holdings, Inc.†(b) | 11,512 | 685,885 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 8,833 | 1,322,477 | ||||||
Kimberly-Clark Corp.†(b) | 11,397 | 1,255,152 | ||||||
Procter & Gamble Co. (The)†(a) | 45,897 | 3,638,714 | ||||||
Spectrum Brands Holdings, Inc.† | 1,269 | 131,595 | ||||||
|
| |||||||
9,402,908 | ||||||||
|
| |||||||
Materials — 6.1% | ||||||||
Avery Dennison Corp.† | 18,428 | 1,957,975 | ||||||
CF Industries Holdings, Inc.† | 9,137 | 344,739 | ||||||
Chemours Co. (The)† | 4,454 | 216,954 | ||||||
Domtar Corp.† | 56,137 | 2,388,068 | ||||||
Eagle Materials, Inc.†(a) | 10,285 | 1,059,869 | ||||||
Eastman Chemical Co.†(b) | 6,997 | 738,743 | ||||||
FutureFuel Corp. | 4,559 | 54,662 | ||||||
GCP Applied Technologies, Inc.(b)* | 2,224 | 64,607 | ||||||
Greif, Inc., Class A† | 1,406 | 73,464 | ||||||
Ingevity Corp.†* | 2,245 | 165,434 | ||||||
International Flavors & Fragrances, Inc.(b) | 1,021 | 139,785 | ||||||
International Paper Co.† | 27,144 | 1,450,304 | ||||||
KapStone Paper and Packaging Corp.† | 13,682 | 469,429 | ||||||
Kraton Corp.†(a)(b)* | 13,081 | 624,095 | ||||||
Kronos Worldwide, Inc. | 397 | 8,972 | ||||||
Louisiana-Pacific Corp.† | 18,471 | 531,411 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 23,687 | 2,503,242 | ||||||
Methanex Corp. (Canada)† | 30,545 | 1,852,554 | ||||||
Minerals Technologies, Inc.† | 992 | 66,414 | ||||||
Monsanto Co.†(a) | 21,605 | 2,521,087 | ||||||
Norbord, Inc. (Canada)(a) | 2,647 | 96,166 | ||||||
Packaging Corp. of America† | 2,068 | 233,064 | ||||||
PolyOne Corp.† | 23,176 | 985,444 | ||||||
PPG Industries, Inc. | 1,683 | 187,823 | ||||||
Praxair, Inc.† | 5,474 | 789,898 | ||||||
Quaker Chemical Corp. | 3 | 444 |
The accompanying notes are an integral part of the financial statements.
40
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Stepan Co.†(a)(b) | 3,512 | $ | 292,128 | |||||
Summit Materials, Inc., | 26,589 | 805,115 | ||||||
Tronox Ltd., Class A (Australia)†(a) | 57,249 | 1,055,672 | ||||||
Verso Corp., Class A(a)* | 13,496 | 227,273 | ||||||
Westlake Chemical Corp.†(b) | 52,056 | 5,786,024 | ||||||
|
| |||||||
27,690,859 | ||||||||
|
| |||||||
Media — 4.3% | ||||||||
AMC Entertainment Holdings, Inc., Class A | 12,143 | 170,609 | ||||||
CBS Corp., Class B, non-voting shares† | 48,051 | 2,469,341 | ||||||
Discovery, Inc., Class A(b)* | 121,000 | 2,593,030 | ||||||
DISH Network Corp., Class A†(b)* | 9,989 | 378,483 | ||||||
Entravision Communications Corp., Class A(a) | 24,057 | 113,068 | ||||||
Gannett Co., Inc.(a)(b) | 75,584 | 754,328 | ||||||
Interpublic Group of Cos., Inc. (The)†(b) | 63,675 | 1,466,435 | ||||||
Loral Space & Communications, Inc.(b)* | 541 | 22,533 | ||||||
MSG Networks, Inc., Class A†* | 45,333 | 1,024,526 | ||||||
News Corp., Class A†(a)(b) | 98,821 | 1,561,372 | ||||||
Omnicom Group, Inc.† | 13,838 | 1,005,607 | ||||||
Shaw Communications, Inc., Class B (Canada)†(b) | 24,650 | 474,759 | ||||||
Time Warner, Inc.† | 30,688 | 2,902,471 | ||||||
Twenty-First Century Fox, Inc., Class A† | 65,567 | 2,405,653 | ||||||
Viacom, Inc., Class B† | 26,132 | 811,660 | ||||||
Walt Disney Co. (The)† | 8,678 | 871,618 | ||||||
WideOpenWest, Inc.* | 341 | 2,438 | ||||||
World Wrestling Entertainment, Inc., Class A†(a)(b) | 17,531 | 631,291 | ||||||
|
| |||||||
19,659,222 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 7.4% |
| |||||||
AbbVie, Inc.† | 17,141 | 1,622,396 | ||||||
Acorda Therapeutics, Inc.(a)* | 9,381 | 221,861 | ||||||
Agilent Technologies, Inc.† | 1,981 | 132,529 | ||||||
Allergan PLC (Ireland)(a) | 605 | 101,815 | ||||||
Amgen, Inc.† | 9,250 | 1,576,940 | ||||||
Biogen, Inc.†* | 5,240 | 1,434,817 | ||||||
Cambrex Corp.†(b)* | 9,497 | 496,693 | ||||||
Celgene Corp.†* | 17,220 | 1,536,196 | ||||||
Charles River Laboratories International, Inc.†* | 805 | 85,926 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
ChemoCentryx, Inc.(b)* | 277 | $ | 3,767 | |||||
CytomX Therapeutics, Inc.* | 1,226 | 34,880 | ||||||
Eagle Pharmaceuticals, Inc.†* | 12,049 | 634,862 | ||||||
Eli Lilly & Co.† | 10,672 | 825,693 | ||||||
Emergent BioSolutions, Inc.†* | 9,079 | 478,009 | ||||||
Enanta Pharmaceuticals, Inc.†(b)* | 3,342 | 270,401 | ||||||
Endo International PLC | 9,488 | 56,359 | ||||||
Exact Sciences Corp.†* | 39,218 | 1,581,662 | ||||||
Exelixis, Inc.†* | 47,071 | 1,042,623 | ||||||
Gilead Sciences, Inc.†(a)(b) | 20,165 | 1,520,239 | ||||||
Halozyme Therapeutics, Inc.(b)* | 11,262 | 220,623 | ||||||
Immunomedics, Inc.†* | 5,521 | 80,662 | ||||||
Innoviva, Inc.†(b)* | 91,812 | 1,530,506 | ||||||
Ionis Pharmaceuticals, Inc.†* | 17,489 | 770,915 | ||||||
Johnson & Johnson†(a) | 17,364 | 2,225,197 | ||||||
Ligand Pharmaceuticals, Inc.†* | 8,424 | 1,391,308 | ||||||
Merck & Co., Inc.†(a) | 32,191 | 1,753,444 | ||||||
Myriad Genetics, Inc.(a)* | 18,425 | 544,459 | ||||||
Pfizer, Inc.† | 62,249 | 2,209,217 | ||||||
Phibro Animal Health Corp., Class A† | 6,492 | 257,732 | ||||||
PRA Health Sciences, Inc.†(a)(b)* | 12,924 | 1,072,175 | ||||||
Prestige Brands Holdings, | 26,256 | 885,352 | ||||||
Regeneron Pharmaceuticals, Inc.†* | 1,503 | 517,573 | ||||||
Repligen Corp.†* | 8,179 | 295,916 | ||||||
Supernus Pharmaceuticals, | 9,664 | 442,611 | ||||||
United Therapeutics Corp.†* | 746 | 83,821 | ||||||
Vanda Pharmaceuticals, Inc.†* | 2,605 | 43,894 | ||||||
Vertex Pharmaceuticals, Inc.†* | 8,862 | 1,444,329 | ||||||
Waters Corp.†* | 13,169 | 2,616,022 | ||||||
Zoetis, Inc.†(a) | 22,420 | 1,872,294 | ||||||
|
| |||||||
33,915,718 | ||||||||
|
| |||||||
Retailing — 7.7% | ||||||||
1-800-Flowers.com, Inc., | 348 | 4,106 | ||||||
Abercrombie & Fitch Co., Class A†(a)(b) | 74,158 | 1,795,365 | ||||||
Advance Auto Parts, Inc.†(b) | 24,966 | 2,959,719 | ||||||
Amazon.com, Inc.†* | 1,303 | 1,885,884 | ||||||
American Eagle Outfitters, Inc.(b) | 7,179 | 143,077 | ||||||
Asbury Automotive Group, | 11,108 | 749,790 | ||||||
AutoNation, Inc.(b)* | 5,346 | 250,086 | ||||||
AutoZone, Inc.†* | 4,629 | 3,002,786 | ||||||
Bed Bath & Beyond, Inc.†(a)(b) | 22,404 | 470,260 | ||||||
Booking Holdings, Inc.†* | 352 | 732,297 |
The accompanying notes are an integral part of the financial statements.
41
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Buckle, Inc. (The)(b) | 8,508 | $ | 188,452 | |||||
Dollar Tree, Inc.†(b)* | 1,604 | 152,220 | ||||||
DSW, Inc., Class A†(b) | 20,282 | 455,534 | ||||||
Foot Locker, Inc.† | 5,516 | 251,199 | ||||||
GameStop Corp., Class A(b) | 24,754 | 312,395 | ||||||
Gap, Inc. (The)(b) | 11,907 | 371,498 | ||||||
Home Depot, Inc. (The)†(a) | 8,773 | 1,563,700 | ||||||
Kohl’s Corp.†(b) | 20,067 | 1,314,589 | ||||||
L Brands, Inc.†(b) | 8,424 | 321,881 | ||||||
Lumber Liquidators Holdings, Inc.†(b)* | 29,041 | 694,661 | ||||||
Macy’s, Inc.†(b) | 30,978 | 921,286 | ||||||
Michaels Cos., Inc. (The)(b)* | 3,847 | 75,824 | ||||||
Murphy USA, Inc.†(b)* | 11,824 | 860,787 | ||||||
Nutrisystem, Inc.†(b) | 55,672 | 1,500,360 | ||||||
Office Depot, Inc.† | 23,815 | 51,202 | ||||||
O’Reilly Automotive, Inc.†* | 3,942 | 975,172 | ||||||
Penske Automotive Group, Inc.†(b) | 7,869 | 348,833 | ||||||
PetMed Express, Inc.†(b) | 36,018 | 1,503,752 | ||||||
Pool Corp.†(a)(b) | 4,346 | 635,472 | ||||||
RH(b)* | 7,989 | 761,192 | ||||||
Ross Stores, Inc.†(b) | 19,231 | 1,499,633 | ||||||
Sally Beauty Holdings, Inc.†(b)* | 42,769 | 703,550 | ||||||
Shutterfly, Inc.†(b)* | 12,822 | 1,041,788 | ||||||
Signet Jewelers Ltd. | 21,554 | 830,260 | ||||||
Tailored Brands, Inc.† | 63,928 | 1,602,036 | ||||||
Target Corp.† | 23,348 | 1,621,052 | ||||||
Tiffany & Co.(b) | 2,359 | 230,380 | ||||||
TJX Cos., Inc. (The)† | 11,160 | 910,210 | ||||||
Tractor Supply Co.† | 7,203 | 453,933 | ||||||
Urban Outfitters, Inc.†(b)* | 13,794 | 509,826 | ||||||
Williams-Sonoma, Inc.(b) | 3,766 | 198,694 | ||||||
Zumiez, Inc.(b)* | 1,917 | 45,816 | ||||||
|
| |||||||
34,900,557 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.3% |
| |||||||
Advanced Energy Industries, Inc.(a)(b)* | 6,092 | 389,279 | ||||||
Advanced Micro Devices, | 28,342 | 284,837 | ||||||
Analog Devices, Inc.† | 12,454 | 1,134,933 | ||||||
Applied Materials, Inc.†(a) | 41,498 | 2,307,704 | ||||||
Axcelis Technologies, Inc.†* | 3,321 | 81,697 | ||||||
Cirrus Logic, Inc.†(a)(b)* | 36,748 | 1,493,071 | ||||||
Cohu, Inc.(a)(b) | 9,786 | 223,219 | ||||||
Cypress Semiconductor | 16,964 | 287,709 | ||||||
Diodes, Inc.†(b)* | 6,005 | 182,912 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
First Solar, Inc.†* | 17,243 | $ | 1,223,908 | |||||
Intel Corp.† | 50,363 | 2,622,905 | ||||||
KLA-Tencor Corp.†(b) | 13,344 | 1,454,629 | ||||||
Lam Research Corp.† | 6,642 | 1,349,389 | ||||||
Marvell Technology Group Ltd. (Bermuda)†(b) | 108,477 | 2,278,017 | ||||||
Maxim Integrated Products, Inc.† | 4,524 | 272,435 | ||||||
Micron Technology, Inc.†* | 99,357 | 5,180,474 | ||||||
MKS Instruments, Inc.† | 7,186 | 831,061 | ||||||
ON Semiconductor Corp.†* | 92,896 | 2,272,236 | ||||||
Qorvo, Inc.†(b)* | 17,380 | 1,224,421 | ||||||
QUALCOMM, Inc.† | 42,301 | 2,343,898 | ||||||
Rambus, Inc.†* | 12,142 | 163,067 | ||||||
Skyworks Solutions, Inc.† | 4,584 | 459,592 | ||||||
SMART Global Holdings, Inc. (Cayman Islands)†* | 3,037 | 151,364 | ||||||
Teradyne, Inc.† | 42,893 | 1,960,639 | ||||||
Texas Instruments, Inc.†(a) | 29,203 | 3,033,900 | ||||||
Xcerra Corp.†* | 15,174 | 176,777 | ||||||
|
| |||||||
33,384,073 | ||||||||
|
| |||||||
Software & Services — 14.7% | ||||||||
Accenture PLC, Class A (Ireland)† | 6,400 | 982,400 | ||||||
Adobe Systems, Inc.†* | 4,068 | 879,013 | ||||||
Alarm.com Holdings, Inc.†* | 6,512 | 245,763 | ||||||
Alliance Data Systems Corp.†(a)(b) | 5,218 | 1,110,703 | ||||||
Alphabet, Inc., Class A†* | 4,671 | 4,844,481 | ||||||
ANSYS, Inc.†* | 9,748 | 1,527,414 | ||||||
Appfolio, Inc., Class A(a)(b)* | 10,655 | 435,257 | ||||||
Aspen Technology, Inc.†* | 14,016 | 1,105,722 | ||||||
Blucora, Inc.(a)* | 27,680 | 680,928 | ||||||
CA, Inc.†(b) | 36,183 | 1,226,604 | ||||||
CACI International, Inc., Class A†* | 6,780 | 1,026,153 | ||||||
Cadence Design Systems, Inc.†(b)* | 45,807 | 1,684,323 | ||||||
Cardtronics PLC, Class A (United Kingdom)†(b)* | 32,120 | 716,597 | ||||||
Cars.com, Inc.†* | 21,770 | 616,744 | ||||||
CDK Global, Inc.† | 14,468 | 916,403 | ||||||
CGI Group, Inc., Class A (Canada)†(b)* | 14,620 | 842,697 | ||||||
Citrix Systems, Inc.†* | 8,821 | 818,589 | ||||||
Conduent, Inc.†(b)* | 19,823 | 369,501 | ||||||
Convergys Corp.†(b) | 52,582 | 1,189,405 | ||||||
DST Systems, Inc.†(b) | 11,325 | 947,336 | ||||||
DXC Technology Co.†(a) | 25,399 | 2,553,361 |
The accompanying notes are an integral part of the financial statements.
42
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
eBay, Inc.†* | 50,344 | $ | 2,025,843 | |||||
Envestnet, Inc.†* | 5,092 | 291,772 | ||||||
Etsy, Inc.†* | 63,347 | 1,777,517 | ||||||
Euronet Worldwide, Inc.†* | 4,518 | 356,561 | ||||||
Facebook, Inc., Class A†* | 27,677 | 4,422,508 | ||||||
Fair Isaac Corp.†* | 6,246 | 1,057,885 | ||||||
Fidelity National Information Services, Inc.† | 16,587 | 1,597,328 | ||||||
Fiserv, Inc.†(b)* | 5,929 | 422,797 | ||||||
Globant SA (Luxembourg)†(b)* | 7,502 | 386,653 | ||||||
GoDaddy, Inc., Class A(a)* | 12,477 | 766,337 | ||||||
GTT Communications, Inc.* | 2,752 | 156,038 | ||||||
IAC/InterActiveCorp.†* | 12,580 | 1,967,260 | ||||||
International Business Machines Corp.† | 11,929 | 1,830,266 | ||||||
j2 Global, Inc.(b) | 14,341 | 1,131,792 | ||||||
Leidos Holdings, Inc.† | 19,254 | 1,259,212 | ||||||
LogMeIn, Inc.(b) | 7,088 | 819,018 | ||||||
Manhattan Associates, Inc.†(b)* | 10,986 | 460,094 | ||||||
Mastercard, Inc., Class A† | 1,550 | 271,498 | ||||||
Microsoft Corp.† | 23,702 | 2,163,282 | ||||||
MicroStrategy, Inc., Class A†* | 7,051 | 909,508 | ||||||
Monotype Imaging Holdings, Inc. | 726 | 16,299 | ||||||
NIC, Inc.†(b) | 75,830 | 1,008,539 | ||||||
Open Text Corp. (Canada)†(a)(b) | 41,893 | 1,457,876 | ||||||
Oracle Corp.†(b) | 58,724 | 2,686,623 | ||||||
Paychex, Inc.†(b) | 24,028 | 1,479,885 | ||||||
Progress Software Corp.†(b) | 38,418 | 1,477,172 | ||||||
Qualys, Inc.†* | 2,062 | 150,010 | ||||||
Quotient Technology, Inc.(b)* | 1,536 | 20,122 | ||||||
SS&C Technologies Holdings, Inc.† | 52,825 | 2,833,533 | ||||||
Stamps.com, Inc.†* | 8,146 | 1,637,753 | ||||||
Symantec Corp.†(b) | 42,841 | 1,107,440 | ||||||
Synopsys, Inc.†* | 4,292 | 357,266 | ||||||
Total System Services, Inc.†(b) | 3,492 | 301,220 | ||||||
Travelport Worldwide Ltd. (Bermuda)† | 18,395 | 300,574 | ||||||
Tucows, Inc., Class A(b)* | 1,752 | 98,112 | ||||||
VeriSign, Inc.(b)* | 11,819 | 1,401,261 | ||||||
Visa, Inc., Class A†(a) | 4,132 | 494,270 | ||||||
Web.com Group, Inc.†(a)* | 38,252 | 692,361 | ||||||
Zynga, Inc., Class A†* | 118,887 | 435,126 | ||||||
|
| |||||||
66,748,005 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — 7.8% |
| |||||||
Amphenol Corp., Class A† | 14,962 | $ | 1,288,677 | |||||
Apple, Inc.†(a) | 23,636 | 3,965,648 | ||||||
Arista Networks, Inc.* | 2,290 | 584,637 | ||||||
AVX Corp.† | 14,766 | 244,377 | ||||||
CDW Corp.† | 21,369 | 1,502,454 | ||||||
Ciena Corp.†* | 4,134 | 107,071 | ||||||
Cisco Systems, Inc.† | 35,581 | 1,526,069 | ||||||
CommScope Holding Co., Inc.†* | 4,937 | 197,332 | ||||||
Diebold Nixdorf, Inc.†(b) | 35,353 | 544,436 | ||||||
EchoStar Corp., Class A†* | 3,807 | 200,895 | ||||||
Electro Scientific Industries, Inc.†(a)(b)* | 77,385 | 1,495,852 | ||||||
F5 Networks, Inc.†(b)* | 5,500 | 795,355 | ||||||
FLIR Systems, Inc.†(a) | 32,995 | 1,650,080 | ||||||
Hewlett Packard Enterprise Co.† | 38,068 | 667,713 | ||||||
HP, Inc.† | 92,475 | 2,027,052 | ||||||
InterDigital, Inc.†(a)(b) | 21,648 | 1,593,293 | ||||||
Jabil, Inc.†(b) | 20,906 | 600,629 | ||||||
Juniper Networks, Inc.†(b) | 83,510 | 2,031,798 | ||||||
KEMET Corp.†(a)(b)* | 84,613 | 1,534,034 | ||||||
Keysight Technologies, Inc.†* | 972 | 50,923 | ||||||
Mitel Networks Corp. (Canada)†(a)* | 24,846 | 230,571 | ||||||
Motorola Solutions, Inc.†(a) | 27,810 | 2,928,393 | ||||||
NCR Corp.(b)* | 5,995 | 188,962 | ||||||
NetApp, Inc.†(a) | 18,586 | 1,146,570 | ||||||
NETGEAR, Inc.†* | 3,136 | 179,379 | ||||||
OSI Systems, Inc.†(b)* | 10,075 | 657,595 | ||||||
Plantronics, Inc.†(b) | 5,482 | 330,948 | ||||||
Plexus Corp.(a)* | 1,044 | 62,358 | ||||||
Rogers Corp.†* | 2,722 | 325,388 | ||||||
Seagate Technology PLC (Ireland)† | 17,231 | 1,008,358 | ||||||
SYNNEX Corp.† | 1,864 | 220,698 | ||||||
Systemax, Inc.(b) | 2,461 | 70,262 | ||||||
TTM Technologies, Inc.(b)* | 22,341 | 341,594 | ||||||
Ubiquiti Networks, Inc.(b)* | 2,928 | 201,446 | ||||||
Vishay Intertechnology, Inc.†(a)(b) | 122,299 | 2,274,761 | ||||||
Western Digital Corp.†(b) | 7,844 | 723,766 | ||||||
Xerox Corp.†(a)(b) | 7,756 | 223,218 | ||||||
Zebra Technologies Corp., Class A†* | 13,683 | 1,904,537 | ||||||
|
| |||||||
35,627,129 | ||||||||
|
| |||||||
Telecommunication Services — 1.6% |
| |||||||
AT&T, Inc.† | 30,803 | 1,098,127 | ||||||
BCE, Inc. (Canada)† | 8,125 | 349,700 |
The accompanying notes are an integral part of the financial statements.
43
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — (Continued) |
| |||||||
Cogent Communications Holdings, Inc.(b) | 2,481 | $ | 107,675 | |||||
Frontier Communications Corp.(b) | 59,434 | 441,000 | ||||||
Rogers Communications, Inc., Class B (Canada)† | 29,223 | 1,305,684 | ||||||
Verizon Communications, Inc.†(a) | 51,195 | 2,448,145 | ||||||
Vonage Holdings | 116,538 | 1,241,130 | ||||||
Zayo Group Holdings, | 12,749 | 435,506 | ||||||
|
| |||||||
7,426,967 | ||||||||
|
| |||||||
Transportation — 4.7% |
| |||||||
Alaska Air Group, | 54,664 | 3,386,981 | ||||||
CH Robinson Worldwide, Inc.(a)(b) | 31,131 | 2,917,286 | ||||||
Delta Air Lines, Inc.† | 33,680 | 1,846,001 | ||||||
Expeditors International of Washington, Inc.†(a)(b) | 53,999 | 3,418,137 | ||||||
Forward Air Corp.† | 3,708 | 196,005 | ||||||
JB Hunt Transport Services, Inc.†(b) | 2,689 | 315,016 | ||||||
Kansas City Southern†(a) | 27,135 | 2,980,780 | ||||||
Landstar System, Inc.† | 9,263 | 1,015,688 | ||||||
Marten Transport Ltd.(b) | 4,251 | 96,923 | ||||||
Norfolk Southern Corp.†(a) | 13,483 | 1,830,722 | ||||||
Old Dominion Freight Line, Inc.†(a)(b) | 11,937 | 1,754,381 | ||||||
Saia, Inc.†* | 1,292 | 97,094 | ||||||
Schneider National, Inc., Class B(b) | 8,668 | 225,888 | ||||||
SkyWest, Inc.(b) | 468 | 25,459 | ||||||
Union Pacific Corp.† | 8,519 | 1,145,209 | ||||||
Universal Logistics Holdings, Inc.(b) | 126 | 2,665 | ||||||
XPO Logistics, Inc.†(b)* | 2,019 | 205,554 | ||||||
|
| |||||||
21,459,789 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 564,153,987 | ||||||
|
| |||||||
Par Value | ||||||||
CORPORATE BONDS AND NOTES — 0.0% |
| |||||||
Capital Goods — 0.0% |
| |||||||
Mueller Industries, Inc. | $ | 715 | 714 | |||||
|
| |||||||
TOTAL CORPORATE BONDS AND NOTES |
| 714 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 123.8% |
| 564,154,701 | ||||||
|
| |||||||
(Cost $524,867,908) |
Number of Shares | Value | |||||||
SHORT POSITIONS — (98.4)% |
| |||||||
COMMON STOCKS — (98.4)% |
| |||||||
Automobiles & Components — (2.7)% |
| |||||||
Adient PLC (Ireland) | (60,732 | ) | $ | (3,629,344 | ) | |||
American Axle & Manufacturing Holdings, Inc.* | (47,047 | ) | (716,055 | ) | ||||
Cooper-Standard Holding, Inc.* | (2,899 | ) | (356,026 | ) | ||||
Dorman Products, Inc.* | (15,324 | ) | (1,014,602 | ) | ||||
Ford Motor Co. | (173,807 | ) | (1,925,782 | ) | ||||
Fox Factory Holding Corp.* | (15,294 | ) | (533,761 | ) | ||||
Gentherm, Inc.* | (12,536 | ) | (425,597 | ) | ||||
LCI Industries | (8,115 | ) | (845,177 | ) | ||||
Tesla, Inc.* | (9,694 | ) | (2,579,864 | ) | ||||
Visteon Corp.* | (2,959 | ) | (326,200 | ) | ||||
|
| |||||||
(12,352,408 | ) | |||||||
|
| |||||||
Capital Goods — (12.8)% | ||||||||
AAON, Inc. | (9,556 | ) | (372,684 | ) | ||||
AAR Corp. | (25,234 | ) | (1,113,072 | ) | ||||
Actuant Corp., Class A | (17,659 | ) | (410,572 | ) | ||||
Advanced Drainage Systems, Inc. | (16,877 | ) | (437,114 | ) | ||||
AECOM* | (11,403 | ) | (406,289 | ) | ||||
Aerovironment, Inc.* | (1,439 | ) | (65,489 | ) | ||||
Albany International Corp., Class A | (3,779 | ) | (236,943 | ) | ||||
Altra Industrial Motion Corp. | (2,602 | ) | (119,562 | ) | ||||
Ameresco, Inc., Class A* | (24 | ) | (312 | ) | ||||
American Railcar Industries, Inc. | (10,827 | ) | (405,038 | ) | ||||
American Woodmark Corp.* | (10,438 | ) | (1,027,621 | ) | ||||
Apogee Enterprises, Inc. | (28,585 | ) | (1,239,160 | ) | ||||
Astec Industries, Inc. | (2,889 | ) | (159,415 | ) | ||||
Astronics Corp.* | (8,544 | ) | (318,691 | ) | ||||
Axon Enterprise, Inc.* | (56,812 | ) | (2,233,280 | ) | ||||
Barnes Group, Inc. | (2,133 | ) | (127,745 | ) | ||||
Blue Bird Corp.* | (33 | ) | (782 | ) | ||||
Briggs & Stratton Corp. | (12,211 | ) | (261,438 | ) | ||||
CAI International, Inc.* | (6,944 | ) | (147,629 | ) | ||||
Carlisle Cos., Inc. | (8,137 | ) | (849,584 | ) | ||||
Chart Industries, Inc.* | (18,003 | ) | (1,062,717 | ) | ||||
Chicago Bridge & Iron Co. NV (Netherlands) | (3,693 | ) | (53,179 | ) | ||||
CIRCOR International, Inc. | (12,047 | ) | (513,925 | ) | ||||
Colfax Corp.* | (12,021 | ) | (383,470 | ) | ||||
Columbus McKinnon Corp. | (1,545 | ) | (55,373 | ) | ||||
Cubic Corp. | (12,359 | ) | (786,032 | ) | ||||
Donaldson Co., Inc. | (15,277 | ) | (688,229 | ) | ||||
Douglas Dynamics, Inc. | (8,530 | ) | (369,776 | ) | ||||
DXP Enterprises, Inc.* | (2,357 | ) | (91,805 | ) |
The accompanying notes are an integral part of the financial statements.
44
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Dycom Industries, Inc.* | (23,568 | ) | $ | (2,536,624 | ) | |||
EnerSys | (10,381 | ) | (720,130 | ) | ||||
EnPro Industries, Inc. | (4,325 | ) | (334,668 | ) | ||||
ESCO Technologies, Inc. | (3,502 | ) | (205,042 | ) | ||||
Esterline Technologies Corp.* | (4,534 | ) | (331,662 | ) | ||||
Evoqua Water Technologies Corp.* | (6,511 | ) | (138,619 | ) | ||||
Franklin Electric Co., Inc. | (10,320 | ) | (420,540 | ) | ||||
General Cable Corp. | (24,358 | ) | (720,997 | ) | ||||
Global Brass & Copper Holdings, Inc. | (908 | ) | (30,373 | ) | ||||
Griffon Corp. | (3,022 | ) | (55,152 | ) | ||||
HEICO Corp. | (3,819 | ) | (331,527 | ) | ||||
Herc Holdings, Inc.* | (17,493 | ) | (1,136,170 | ) | ||||
Hexcel Corp. | (5,027 | ) | (324,694 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (2,528 | ) | (176,783 | ) | ||||
Jacobs Engineering Group, Inc. | (36,885 | ) | (2,181,748 | ) | ||||
JELD-WEN Holding, Inc.* | (32,336 | ) | (990,128 | ) | ||||
John Bean Technologies Corp. | (1,861 | ) | (211,037 | ) | ||||
Kadant, Inc. | (1,893 | ) | (178,888 | ) | ||||
Kennametal, Inc. | (18,320 | ) | (735,731 | ) | ||||
KLX, Inc.* | (7,257 | ) | (515,682 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (219,760 | ) | (2,261,330 | ) | ||||
Lincoln Electric Holdings, Inc. | (8,636 | ) | (776,808 | ) | ||||
Lindsay Corp. | (4,786 | ) | (437,632 | ) | ||||
Manitowoc Co., Inc. (The)* | (9,826 | ) | (279,648 | ) | ||||
Masonite International Corp. (Canada)* | (13,114 | ) | (804,544 | ) | ||||
MasTec, Inc.* | (52,711 | ) | (2,480,053 | ) | ||||
Maxar Technologies Ltd. (Canada) | (4,095 | ) | (189,394 | ) | ||||
Mercury Systems, Inc.* | (29,099 | ) | (1,406,064 | ) | ||||
Meritor, Inc.* | (66,203 | ) | (1,361,134 | ) | ||||
Milacron Holdings Corp.* | (23,312 | ) | (469,504 | ) | ||||
Moog, Inc., Class A* | (6,159 | ) | (507,563 | ) | ||||
MRC Global, Inc.* | (105,673 | ) | (1,737,264 | ) | ||||
Mueller Industries, Inc. | (2,176 | ) | (56,924 | ) | ||||
Mueller Water Products, Inc., Class A | (9,767 | ) | (106,167 | ) | ||||
MYR Group, Inc.* | (3,058 | ) | (94,248 | ) | ||||
National Presto Industries, Inc. | (1,160 | ) | (108,750 | ) | ||||
Nexeo Solutions, Inc.* | (453 | ) | (4,847 | ) | ||||
Nordson Corp. | (1,496 | ) | (203,965 | ) | ||||
NOW, Inc.* | (204,868 | ) | (2,093,751 | ) | ||||
Oshkosh Corp. | (700 | ) | (54,089 | ) | ||||
Patrick Industries, Inc.* | (15,403 | ) | (952,676 | ) | ||||
Proto Labs, Inc.* | (10,234 | ) | (1,203,007 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Quanex Building Products Corp. | (1,538 | ) | $ | (26,761 | ) | |||
Raven Industries, Inc. | (14,056 | ) | (492,663 | ) | ||||
RBC Bearings, Inc.* | (3,126 | ) | (388,249 | ) | ||||
Regal Beloit Corp. | (1,118 | ) | (82,005 | ) | ||||
REV Group, Inc. | (10,287 | ) | (213,558 | ) | ||||
Roper Technologies, Inc. | (1,211 | ) | (339,916 | ) | ||||
Rush Enterprises, Inc., Class A* | (8,803 | ) | (374,039 | ) | ||||
SPX Corp.* | (14,590 | ) | (473,883 | ) | ||||
Sunrun, Inc.* | (154,358 | ) | (1,378,417 | ) | ||||
Tennant Co. | (2,808 | ) | (190,102 | ) | ||||
Textainer Group Holdings Ltd. (Bermuda)* | (767 | ) | (13,001 | ) | ||||
Thermon Group Holdings, Inc.* | (12,381 | ) | (277,458 | ) | ||||
Timken Co. (The) | (47,457 | ) | (2,164,039 | ) | ||||
Titan International, Inc. | (28,050 | ) | (353,710 | ) | ||||
Toro Co. (The) | (3,855 | ) | (240,745 | ) | ||||
Triumph Group, Inc. | (43,629 | ) | (1,099,451 | ) | ||||
Tutor Perini Corp.* | (19,959 | ) | (440,096 | ) | ||||
United Rentals, Inc.* | (5,796 | ) | (1,001,143 | ) | ||||
USG Corp.* | (31,833 | ) | (1,286,690 | ) | ||||
Valmont Industries, Inc. | (57 | ) | (8,339 | ) | ||||
Vicor Corp.* | (1,353 | ) | (38,628 | ) | ||||
Wabash National Corp. | (25,677 | ) | (534,338 | ) | ||||
WABCO Holdings, Inc.* | (555 | ) | (74,298 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (67,484 | ) | (691,711 | ) | ||||
Woodward, Inc. | (33,468 | ) | (2,398,317 | ) | ||||
|
| |||||||
(58,384,040 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (3.3)% |
| |||||||
ABM Industries, Inc. | (41,843 | ) | (1,400,904 | ) | ||||
Advanced Disposal Services, Inc.* | (40,340 | ) | (898,775 | ) | ||||
ASGN, Inc.* | (1,202 | ) | (98,420 | ) | ||||
Casella Waste Systems, Inc., Class A* | (1,384 | ) | (32,358 | ) | ||||
CoStar Group, Inc.* | (3,539 | ) | (1,283,525 | ) | ||||
Covanta Holding Corp. | (78,022 | ) | (1,131,319 | ) | ||||
Forrester Research, Inc. | (4,357 | ) | (180,598 | ) | ||||
Healthcare Services Group, Inc. | (14,622 | ) | (635,765 | ) | ||||
HNI Corp. | (13,842 | ) | (499,558 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (21,010 | ) | (1,013,522 | ) | ||||
Insperity, Inc. | (2,186 | ) | (152,036 | ) | ||||
KAR Auction Services, Inc. | (27,280 | ) | (1,478,576 | ) | ||||
Kimball International, Inc., Class B | (46 | ) | (784 | ) | ||||
MSA Safety, Inc. | (13,134 | ) | (1,093,274 | ) | ||||
Multi-Color Corp. | (8,621 | ) | (569,417 | ) |
The accompanying notes are an integral part of the financial statements.
45
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Pitney Bowes, Inc. | (126,333 | ) | $ | (1,375,766 | ) | |||
Ritchie Bros Auctioneers, Inc. (Canada) | (46,724 | ) | (1,470,404 | ) | ||||
Rollins, Inc. | (6,595 | ) | (336,543 | ) | ||||
RR Donnelley & Sons Co. | (15,874 | ) | (138,580 | ) | ||||
TransUnion* | (4,608 | ) | (261,642 | ) | ||||
TrueBlue, Inc.* | (21,235 | ) | (549,986 | ) | ||||
US Ecology, Inc. | (1,595 | ) | (85,014 | ) | ||||
Verisk Analytics, Inc.* | (3,772 | ) | (392,288 | ) | ||||
WageWorks, Inc.* | (3,637 | ) | (164,392 | ) | ||||
|
| |||||||
(15,243,446 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (3.9)% |
| |||||||
American Outdoor Brands Corp.* | (130,349 | ) | (1,345,202 | ) | ||||
Canada Goose Holdings, Inc. (Canada)* | (6,606 | ) | (220,773 | ) | ||||
Columbia Sportswear Co. | (3,473 | ) | (265,441 | ) | ||||
G-III Apparel Group Ltd.* | (67,240 | ) | (2,533,603 | ) | ||||
GoPro, Inc., Class A* | (98,546 | ) | (472,035 | ) | ||||
Installed Building Products, Inc.* | (13,020 | ) | (781,851 | ) | ||||
iRobot Corp.* | (33,373 | ) | (2,142,213 | ) | ||||
Johnson Outdoors, Inc., Class A | (84 | ) | (5,208 | ) | ||||
Lululemon Athletica, Inc.* | (21,634 | ) | (1,928,022 | ) | ||||
Mohawk Industries, Inc.* | (7,388 | ) | (1,715,641 | ) | ||||
NIKE, Inc., Class B | (21,995 | ) | (1,461,348 | ) | ||||
Oxford Industries, Inc. | (3,171 | ) | (236,430 | ) | ||||
PVH Corp. | (1,385 | ) | (209,731 | ) | ||||
Skechers U.S.A., Inc., Class A* | (69,770 | ) | (2,713,355 | ) | ||||
Sturm Ruger & Co., Inc. | (8,837 | ) | (463,942 | ) | ||||
Tapestry, Inc. | (22,845 | ) | (1,201,875 | ) | ||||
|
| |||||||
(17,696,670 | ) | |||||||
|
| |||||||
Consumer Services — (5.4)% | ||||||||
Belmond Ltd., Class A (Bermuda)* | (31,254 | ) | (348,482 | ) | ||||
Bloomin’ Brands, Inc. | (33,253 | ) | (807,383 | ) | ||||
Carrols Restaurant Group, Inc.* | (12,477 | ) | (139,742 | ) | ||||
Chegg, Inc.* | (80,201 | ) | (1,656,953 | ) | ||||
Chipotle Mexican Grill, Inc.* | (3,121 | ) | (1,008,426 | ) | ||||
Dave & Buster’s Entertainment, Inc. | (67,369 | ) | (2,811,982 | ) | ||||
Domino’s Pizza, Inc. | (1,114 | ) | (260,186 | ) | ||||
Golden Entertainment, Inc.* | (1,795 | ) | (41,698 | ) | ||||
Grand Canyon Education, Inc.* | (1,103 | ) | (115,727 | ) | ||||
ILG, Inc. | (74,319 | ) | (2,312,064 | ) | ||||
International Speedway Corp., Class A | (4,303 | ) | (189,762 | ) | ||||
K12, Inc.* | (6,079 | ) | (86,200 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
La Quinta Holdings, Inc.* | (74,169 | ) | $ | (1,402,536 | ) | |||
Marcus Corp. (The) | (7,010 | ) | (212,754 | ) | ||||
MGM Resorts International | (55,620 | ) | (1,947,812 | ) | ||||
Monarch Casino & Resort, Inc.* | (614 | ) | (25,966 | ) | ||||
Papa John’s International, Inc. | (7,964 | ) | (456,337 | ) | ||||
Planet Fitness, Inc., Class A* | (17,119 | ) | (646,585 | ) | ||||
Service Corp. International | (15,143 | ) | (571,497 | ) | ||||
Shake Shack, Inc., Class A* | (68,455 | ) | (2,849,782 | ) | ||||
Starbucks Corp. | (21,020 | ) | (1,216,848 | ) | ||||
Strayer Education, Inc. | (4,422 | ) | (446,843 | ) | ||||
Texas Roadhouse, Inc. | (31,263 | ) | (1,806,376 | ) | ||||
Wendy’s Co. (The) | (105,096 | ) | (1,844,435 | ) | ||||
Wingstop, Inc. | (32,245 | ) | (1,522,931 | ) | ||||
|
| |||||||
(24,729,307 | ) | |||||||
|
| |||||||
Energy — (6.0)% | ||||||||
Cheniere Energy, Inc.* | (2,971 | ) | (158,800 | ) | ||||
Delek US Holdings, Inc. | (64,360 | ) | (2,619,452 | ) | ||||
Ensco PLC, Class A (United Kingdom) | (715,674 | ) | (3,141,809 | ) | ||||
Forum Energy Technologies, Inc.* | (52,851 | ) | (581,361 | ) | ||||
Green Plains, Inc. | (103,430 | ) | (1,737,624 | ) | ||||
Helix Energy Solutions Group, Inc.* | (194,542 | ) | (1,126,398 | ) | ||||
Keane Group, Inc.* | (121,494 | ) | (1,798,111 | ) | ||||
McDermott International, Inc. (Panama)* | (65,779 | ) | (400,594 | ) | ||||
Nabors Industries Ltd. (Bermuda) | (105,446 | ) | (737,068 | ) | ||||
Newpark Resources, Inc.* | (17,751 | ) | (143,783 | ) | ||||
NexGen Energy Ltd. (Canada)* | (3,212 | ) | (5,460 | ) | ||||
Oceaneering International, Inc. | (57,404 | ) | (1,064,270 | ) | ||||
Oil States International, Inc.* | (12,788 | ) | (335,046 | ) | ||||
Par Pacific Holdings, Inc.* | (2,668 | ) | (45,810 | ) | ||||
Patterson-UTI Energy, Inc. | (144,226 | ) | (2,525,397 | ) | ||||
Pembina Pipeline Corp. (Canada) | (17,858 | ) | (557,705 | ) | ||||
ProPetro Holding Corp.* | (24,771 | ) | (393,611 | ) | ||||
Select Energy Services, Inc., Class A* | (5,594 | ) | (70,596 | ) | ||||
SemGroup Corp., Class A | (110,066 | ) | (2,355,412 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (21,453 | ) | (355,262 | ) | ||||
Suncor Energy, Inc. (Canada) | (14,456 | ) | (499,310 | ) | ||||
Targa Resources Corp. | (49,926 | ) | (2,196,744 | ) | ||||
Unit Corp.* | (56,750 | ) | (1,121,380 | ) | ||||
US Silica Holdings, Inc. | (72,870 | ) | (1,859,642 | ) |
The accompanying notes are an integral part of the financial statements.
46
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Weatherford International PLC (Ireland)* | (593,614 | ) | $ | (1,359,376 | ) | |||
World Fuel Services Corp. | (3,142 | ) | (77,136 | ) | ||||
|
| |||||||
(27,267,157 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.4)% |
| |||||||
Casey’s General Stores, Inc. | (19,389 | ) | (2,128,331 | ) | ||||
Chefs’ Warehouse, Inc. (The)* | (2,231 | ) | (51,313 | ) | ||||
PriceSmart, Inc. | (16,682 | ) | (1,393,781 | ) | ||||
Smart & Final Stores, Inc.* | (48,175 | ) | (267,371 | ) | ||||
SpartanNash Co. | (2,950 | ) | (50,770 | ) | ||||
SUPERVALU, Inc.* | (86,912 | ) | (1,323,670 | ) | ||||
United Natural Foods, Inc.* | (31,919 | ) | (1,370,602 | ) | ||||
|
| |||||||
(6,585,838 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (3.7)% |
| |||||||
B&G Foods, Inc. | (66,935 | ) | (1,586,360 | ) | ||||
Blue Buffalo Pet Products, Inc.* | (72,952 | ) | (2,904,219 | ) | ||||
Bunge Ltd. (Bermuda) | (11,152 | ) | (824,579 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (5,650 | ) | (975,586 | ) | ||||
Constellation Brands, Inc., Class A | (2,624 | ) | (598,062 | ) | ||||
Cott Corp. (Canada) | (38,939 | ) | (573,182 | ) | ||||
Darling Ingredients, Inc.* | (101,325 | ) | (1,752,922 | ) | ||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | (7,362 | ) | (333,057 | ) | ||||
Freshpet, Inc.* | (9,726 | ) | (159,993 | ) | ||||
Hain Celestial Group, Inc. (The)* | (112,624 | ) | (3,611,852 | ) | ||||
J&J Snack Foods Corp. | (3,304 | ) | (451,194 | ) | ||||
Kellogg Co. | (1,222 | ) | (79,442 | ) | ||||
Lamb Weston Holdings, Inc. | (8,552 | ) | (497,897 | ) | ||||
MGP Ingredients, Inc. | (18,089 | ) | (1,620,594 | ) | ||||
Post Holdings, Inc.* | (3,674 | ) | (278,342 | ) | ||||
Tootsie Roll Industries, Inc. | (5,082 | ) | (149,655 | ) | ||||
Universal Corp. | (2,886 | ) | (139,971 | ) | ||||
Vector Group Ltd. | (10,776 | ) | (219,723 | ) | ||||
|
| |||||||
(16,756,630 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (10.0)% |
| |||||||
Acadia Healthcare Co., Inc.* | (90,638 | ) | (3,551,197 | ) | ||||
Almost Family, Inc.* | (10,626 | ) | (595,056 | ) | ||||
Amedisys, Inc.* | (3,453 | ) | (208,354 | ) | ||||
AtriCure, Inc.* | (25,045 | ) | (513,923 | ) | ||||
Becton Dickinson and Co. | (9,850 | ) | (2,134,495 | ) | ||||
BioTelemetry, Inc.* | (50,613 | ) | (1,571,534 | ) | ||||
Cardinal Health, Inc. | (26,424 | ) | (1,656,256 | ) | ||||
Cardiovascular Systems, Inc.* | (16,875 | ) | (370,069 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Chemed Corp. | (450 | ) | $ | (122,787 | ) | |||
Civitas Solutions, Inc.* | (384 | ) | (5,914 | ) | ||||
Cooper Cos., Inc. (The) | (9,531 | ) | (2,180,788 | ) | ||||
CryoLife, Inc.* | (7,364 | ) | (147,648 | ) | ||||
DaVita, Inc.* | (53,860 | ) | (3,551,528 | ) | ||||
DexCom, Inc.* | (15,336 | ) | (1,137,318 | ) | ||||
Diplomat Pharmacy, Inc.* | (67,448 | ) | (1,359,077 | ) | ||||
Encompass Health Corp. | (971 | ) | (55,512 | ) | ||||
Ensign Group, Inc. (The) | (24,200 | ) | (636,460 | ) | ||||
Evolent Health, Inc., Class A* | (117,472 | ) | (1,673,976 | ) | ||||
Glaukos Corp.* | (12,265 | ) | (378,130 | ) | ||||
HCA Healthcare, Inc. | (1,855 | ) | (179,935 | ) | ||||
Heska Corp.* | (494 | ) | (39,061 | ) | ||||
Inovalon Holdings, Inc., Class A* | (10,620 | ) | (112,572 | ) | ||||
Insulet Corp.* | (9,571 | ) | (829,614 | ) | ||||
Integra LifeSciences Holdings Corp.* | (4,715 | ) | (260,928 | ) | ||||
iRhythm Technologies, Inc.* | (20,186 | ) | (1,270,709 | ) | ||||
K2M Group Holdings, Inc.* | (49,557 | ) | (939,105 | ) | ||||
LHC Group, Inc.* | (12,660 | ) | (779,350 | ) | ||||
McKesson Corp. | (21,582 | ) | (3,040,256 | ) | ||||
Medidata Solutions, Inc.* | (3,743 | ) | (235,098 | ) | ||||
Merit Medical Systems, Inc.* | (15,882 | ) | (720,249 | ) | ||||
Natus Medical, Inc.* | (14,026 | ) | (471,975 | ) | ||||
Neogen Corp.* | (4,247 | ) | (284,507 | ) | ||||
Nevro Corp.* | (26,641 | ) | (2,308,975 | ) | ||||
Novocure Ltd. (Jersey)* | (41,983 | ) | (915,229 | ) | ||||
NxStage Medical, Inc.* | (59,208 | ) | (1,471,911 | ) | ||||
Omnicell, Inc.* | (24,676 | ) | (1,070,938 | ) | ||||
OraSure Technologies, Inc.* | (38,406 | ) | (648,677 | ) | ||||
Penumbra, Inc.* | (7,752 | ) | (896,519 | ) | ||||
PetIQ, Inc.* | (447 | ) | (11,890 | ) | ||||
Providence Service Corp. (The)* | (2,729 | ) | (188,683 | ) | ||||
Quidel Corp.* | (37,617 | ) | (1,948,937 | ) | ||||
STAAR Surgical Co.* | (3,342 | ) | (49,462 | ) | ||||
Tactile Systems Technology, Inc.* | (7,651 | ) | (243,302 | ) | ||||
Teladoc, Inc.* | (50,474 | ) | (2,034,102 | ) | ||||
ViewRay, Inc.* | (11,382 | ) | (73,186 | ) | ||||
Vocera Communications, Inc.* | (2,173 | ) | (50,892 | ) | ||||
West Pharmaceutical Services, Inc. | (11,450 | ) | (1,010,920 | ) | ||||
Wright Medical Group NV (Netherlands)* | (74,248 | ) | (1,473,080 | ) | ||||
|
| |||||||
(45,410,084 | ) | |||||||
|
| |||||||
Household & Personal Products — (1.0)% |
| |||||||
Central Garden & Pet Co., Class A* | (2,839 | ) | (112,453 | ) |
The accompanying notes are an integral part of the financial statements.
47
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Clorox Co. (The) | (19,853 | ) | $ | (2,642,633 | ) | |||
Coty, Inc., Class A | (54,694 | ) | (1,000,900 | ) | ||||
WD-40 Co. | (7,296 | ) | (960,883 | ) | ||||
|
| |||||||
(4,716,869 | ) | |||||||
|
| |||||||
Materials — (6.0)% | ||||||||
A Schulman, Inc. | (437 | ) | (18,791 | ) | ||||
AdvanSix, Inc.* | (3,343 | ) | (116,270 | ) | ||||
Air Products & Chemicals, Inc. | (2,882 | ) | (458,324 | ) | ||||
Albemarle Corp. | (11,252 | ) | (1,043,510 | ) | ||||
AptarGroup, Inc. | (15,385 | ) | (1,382,035 | ) | ||||
Ashland Global Holdings, Inc. | (39,996 | ) | (2,791,321 | ) | ||||
Balchem Corp. | (5,673 | ) | (463,768 | ) | ||||
Bemis Co., Inc. | (10,087 | ) | (438,986 | ) | ||||
Cabot Corp. | (10,989 | ) | (612,307 | ) | ||||
Clearwater Paper Corp.* | (3,949 | ) | (154,406 | ) | ||||
Ferro Corp.* | (62,451 | ) | (1,450,112 | ) | ||||
HB Fuller Co. | (39,387 | ) | (1,958,716 | ) | ||||
Huntsman Corp. | (40,173 | ) | (1,175,060 | ) | ||||
Innophos Holdings, Inc. | (6,180 | ) | (248,498 | ) | ||||
Innospec, Inc. | (2,885 | ) | (197,911 | ) | ||||
KMG Chemicals, Inc. | (5,346 | ) | (320,493 | ) | ||||
Koppers Holdings, Inc.* | (1,291 | ) | (53,060 | ) | ||||
Martin Marietta Materials, Inc. | (1,178 | ) | (244,199 | ) | ||||
Neenah, Inc. | (1,230 | ) | (96,432 | ) | ||||
NewMarket Corp. | (1,555 | ) | (624,612 | ) | ||||
Nutrien Ltd. (Canada) | (51,472 | ) | (2,432,567 | ) | ||||
PH Glatfelter Co. | (20,958 | ) | (430,268 | ) | ||||
Rayonier Advanced Materials, Inc. | (33,164 | ) | (712,031 | ) | ||||
RPM International, Inc. | (2,675 | ) | (127,517 | ) | ||||
Silgan Holdings, Inc. | (9,869 | ) | (274,852 | ) | ||||
Sonoco Products Co. | (5,647 | ) | (273,880 | ) | ||||
Tredegar Corp. | (488 | ) | (8,760 | ) | ||||
Trinseo SA (Luxembourg) | (5,602 | ) | (414,828 | ) | ||||
US Concrete, Inc.* | (39,011 | ) | (2,356,264 | ) | ||||
Valvoline, Inc. | (44,296 | ) | (980,270 | ) | ||||
Venator Materials PLC (United Kingdom)* | (80,065 | ) | (1,448,376 | ) | ||||
Vulcan Materials Co. | (14,654 | ) | (1,673,047 | ) | ||||
WestRock Co. | (40,287 | ) | (2,585,217 | ) | ||||
|
| |||||||
(27,566,688 | ) | |||||||
|
| |||||||
Media — (3.0)% | ||||||||
Altice USA, Inc., Class A* | (47,298 | ) | (874,067 | ) | ||||
Cable One, Inc. | (1,355 | ) | (931,034 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Charter Communications, Inc., Class A* | (6,121 | ) | $ | (1,904,978 | ) | |||
Emerald Expositions Events, Inc. | (1,589 | ) | (30,954 | ) | ||||
Entercom Communications Corp., Class A | (91,036 | ) | (878,497 | ) | ||||
EW Scripps Co. (The), Class A | (47,251 | ) | (566,539 | ) | ||||
Gray Television, Inc.* | (11,360 | ) | (144,272 | ) | ||||
Live Nation Entertainment, Inc.* | (32,047 | ) | (1,350,461 | ) | ||||
Madison Square Garden Co. (The), Class A* | (8,984 | ) | (2,208,267 | ) | ||||
Meredith Corp. | (26,586 | ) | (1,430,327 | ) | ||||
New Media Investment Group, Inc. | (3,338 | ) | (57,213 | ) | ||||
New York Times Co. (The), Class A | (36,513 | ) | (879,963 | ) | ||||
Nexstar Media Group, Inc., Class A | (3,247 | ) | (215,926 | ) | ||||
Scholastic Corp. | (5,561 | ) | (215,989 | ) | ||||
Sinclair Broadcast Group, Inc., Class A | (40,158 | ) | (1,256,945 | ) | ||||
TEGNA, Inc. | (73,680 | ) | (839,215 | ) | ||||
tronc, Inc.* | (413 | ) | (6,781 | ) | ||||
|
| |||||||
(13,791,428 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (3.6)% |
| |||||||
Aclaris Therapeutics, Inc.* | (29,179 | ) | (511,216 | ) | ||||
Aduro Biotech, Inc.* | (20,157 | ) | (187,460 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (5,158 | ) | (279,822 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (19,939 | ) | (253,225 | ) | ||||
Bio-Rad Laboratories, Inc., Class A* | (5,869 | ) | (1,467,720 | ) | ||||
Bruker Corp. | (5,909 | ) | (176,797 | ) | ||||
Coherus Biosciences, Inc.* | (29,135 | ) | (321,942 | ) | ||||
Dynavax Technologies Corp.* | (3,499 | ) | (69,455 | ) | ||||
Epizyme, Inc.* | (21,892 | ) | (388,583 | ) | ||||
Flexion Therapeutics, Inc.* | (17,901 | ) | (401,161 | ) | ||||
Heron Therapeutics, Inc.* | (17,889 | ) | (493,736 | ) | ||||
Illumina, Inc.* | (5,899 | ) | (1,394,642 | ) | ||||
Insmed, Inc.* | (159 | ) | (3,581 | ) | ||||
Intra-Cellular Therapies, Inc.* | (10,068 | ) | (211,931 | ) | ||||
La Jolla Pharmaceutical Co.* | (35,468 | ) | (1,056,237 | ) | ||||
MacroGenics, Inc.* | (7,523 | ) | (189,279 | ) | ||||
Medicines Co. (The)* | (6,517 | ) | (214,670 | ) | ||||
Momenta Pharmaceuticals, Inc.* | (8,884 | ) | (161,245 | ) | ||||
NeoGenomics, Inc.* | (48,345 | ) | (394,495 | ) | ||||
Pacira Pharmaceuticals, Inc.* | (3,529 | ) | (109,928 | ) | ||||
PerkinElmer, Inc. | (8,577 | ) | (649,450 | ) | ||||
Portola Pharmaceuticals, Inc.* | (16,426 | ) | (536,473 | ) | ||||
QIAGEN NV (Netherlands)* | (47,909 | ) | (1,547,940 | ) |
The accompanying notes are an integral part of the financial statements.
48
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Radius Health, Inc.* | (10,302 | ) | $ | (370,254 | ) | |||
Revance Therapeutics, Inc.* | (20,797 | ) | (640,548 | ) | ||||
Rigel Pharmaceuticals, Inc.* | (10,594 | ) | (37,503 | ) | ||||
Spark Therapeutics, Inc.* | (4,679 | ) | (311,575 | ) | ||||
Syneos Health, Inc.* | (50,232 | ) | (1,783,236 | ) | ||||
TG Therapeutics, Inc.* | (13,798 | ) | (195,932 | ) | ||||
TherapeuticsMD, Inc.* | (76,437 | ) | (372,248 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (28,464 | ) | (690,252 | ) | ||||
Ultragenyx Pharmaceutical, Inc.* | (6,035 | ) | (307,725 | ) | ||||
Zogenix, Inc.* | (13,836 | ) | (554,132 | ) | ||||
|
| |||||||
(16,284,393 | ) | |||||||
|
| |||||||
Retailing — (6.3)% | ||||||||
Aaron’s, Inc. | (13,719 | ) | (639,305 | ) | ||||
At Home Group, Inc.* | (21,466 | ) | (687,771 | ) | ||||
Best Buy Co., Inc. | (4,513 | ) | (315,865 | ) | ||||
Burlington Stores, Inc.* | (8,970 | ) | (1,194,356 | ) | ||||
Caleres, Inc. | (13,796 | ) | (463,546 | ) | ||||
Camping World Holdings, Inc., Class A | (40,430 | ) | (1,303,868 | ) | ||||
Children’s Place, Inc. (The) | (777 | ) | (105,089 | ) | ||||
Core-Mark Holding Co., Inc. | (14,757 | ) | (313,734 | ) | ||||
Dick’s Sporting Goods, Inc. | (10,223 | ) | (358,316 | ) | ||||
Dollar General Corp. | (2,694 | ) | (252,024 | ) | ||||
Duluth Holdings, Inc., Class B* | (10,441 | ) | (195,560 | ) | ||||
Express, Inc.* | (192,604 | ) | (1,379,045 | ) | ||||
Finish Line, Inc. (The), Class A | (14,655 | ) | (198,429 | ) | ||||
Five Below, Inc.* | (6,676 | ) | (489,618 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (48,816 | ) | (2,544,290 | ) | ||||
Genesco, Inc.* | (5,979 | ) | (242,747 | ) | ||||
Genuine Parts Co. | (7,344 | ) | (659,785 | ) | ||||
Group 1 Automotive, Inc. | (11,176 | ) | (730,240 | ) | ||||
Guess?, Inc. | (130,405 | ) | (2,704,600 | ) | ||||
Lands’ End, Inc.* | (4,400 | ) | (102,740 | ) | ||||
Lithia Motors, Inc., Class A | (13,991 | ) | (1,406,375 | ) | ||||
Lowe’s Cos., Inc. | (11,116 | ) | (975,429 | ) | ||||
Monro, Inc. | (696 | ) | (37,306 | ) | ||||
National Vision Holdings, Inc.* | (5,197 | ) | (167,915 | ) | ||||
Nordstrom, Inc. | (46,029 | ) | (2,228,264 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (16,575 | ) | (999,472 | ) | ||||
Overstock.com, Inc.* | (72,699 | ) | (2,635,339 | ) | ||||
Party City Holdco, Inc.* | (38,598 | ) | (602,129 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Qurate Retail Group, Inc., Class A* | (45,035 | ) | $ | (1,133,531 | ) | |||
Sonic Automotive, Inc., Class A | (25,761 | ) | (488,171 | ) | ||||
TripAdvisor, Inc.* | (29,249 | ) | (1,195,992 | ) | ||||
Wayfair, Inc., Class A* | (27,486 | ) | (1,856,130 | ) | ||||
|
| |||||||
(28,606,981 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (5.4)% |
| |||||||
Ambarella, Inc. (Cayman Islands)* | (45,568 | ) | (2,232,376 | ) | ||||
Amkor Technology, Inc.* | (27,701 | ) | (280,611 | ) | ||||
Aquantia Corp.* | (3,578 | ) | (56,175 | ) | ||||
Brooks Automation, Inc. | (67,409 | ) | (1,825,436 | ) | ||||
Cavium, Inc.* | (30,380 | ) | (2,411,564 | ) | ||||
CEVA, Inc.* | (2,724 | ) | (98,609 | ) | ||||
Cree, Inc.* | (52,070 | ) | (2,098,942 | ) | ||||
FormFactor, Inc.* | (54,139 | ) | (738,997 | ) | ||||
Ichor Holdings Ltd. (Cayman Islands)* | (85,857 | ) | (2,078,598 | ) | ||||
Inphi Corp.* | (93,472 | ) | (2,813,507 | ) | ||||
Lattice Semiconductor Corp.* | (54,760 | ) | (305,013 | ) | ||||
MACOM Technology Solutions Holdings, Inc.* | (55,755 | ) | (925,533 | ) | ||||
MaxLinear, Inc.* | (45,452 | ) | (1,034,033 | ) | ||||
Microsemi Corp.* | (27,079 | ) | (1,752,553 | ) | ||||
Monolithic Power Systems, Inc. | (6,168 | ) | (714,069 | ) | ||||
Nanometrics, Inc.* | (14,377 | ) | (386,741 | ) | ||||
Photronics, Inc.* | (35,404 | ) | (292,083 | ) | ||||
Power Integrations, Inc. | (5,662 | ) | (386,998 | ) | ||||
Rudolph Technologies, Inc.* | (8,082 | ) | (223,871 | ) | ||||
Semtech Corp.* | (22,292 | ) | (870,503 | ) | ||||
Synaptics, Inc.* | (53,963 | ) | (2,467,728 | ) | ||||
Veeco Instruments, Inc.* | (25,522 | ) | (433,874 | ) | ||||
Xperi Corp. | (6,807 | ) | (143,968 | ) | ||||
|
| |||||||
(24,571,782 | ) | |||||||
|
| |||||||
Software & Services — (11.9)% |
| |||||||
8x8, Inc.* | (84,717 | ) | (1,579,972 | ) | ||||
Acxiom Corp.* | (55,877 | ) | (1,268,967 | ) | ||||
Altair Engineering, Inc., Class A* | (1,524 | ) | (47,793 | ) | ||||
Autodesk, Inc.* | (5,724 | ) | (718,820 | ) | ||||
Benefitfocus, Inc.* | (11,865 | ) | (289,506 | ) | ||||
Black Knight, Inc.* | (26,134 | ) | (1,230,911 | ) | ||||
BlackBerry Ltd. (Canada)* | (90,537 | ) | (1,041,176 | ) | ||||
Blackhawk Network Holdings, Inc.* | (12,683 | ) | (566,930 | ) | ||||
Blackline, Inc.* | (17,368 | ) | (680,999 | ) | ||||
Box, Inc., Class A* | (107,838 | ) | (2,216,071 | ) | ||||
Callidus Software, Inc.* | (36,925 | ) | (1,327,454 | ) |
The accompanying notes are an integral part of the financial statements.
49
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Carbonite, Inc.* | (17,935 | ) | $ | (516,528 | ) | |||
Cloudera, Inc.* | (138,106 | ) | (2,980,327 | ) | ||||
Cornerstone OnDemand, Inc.* | (16,164 | ) | (632,174 | ) | ||||
Coupa Software, Inc.* | (10,121 | ) | (461,720 | ) | ||||
CSRA, Inc. | (25,576 | ) | (1,054,498 | ) | ||||
Electronic Arts, Inc.* | (16,803 | ) | (2,037,196 | ) | ||||
Ellie Mae, Inc.* | (19,278 | ) | (1,772,419 | ) | ||||
Everbridge, Inc.* | (17,310 | ) | (633,546 | ) | ||||
FireEye, Inc.* | (151,613 | ) | (2,566,808 | ) | ||||
First Data Corp., Class A* | (189,326 | ) | (3,029,216 | ) | ||||
ForeScout Technologies, Inc.* | (3,028 | ) | (98,228 | ) | ||||
Global Payments, Inc. | (3,129 | ) | (348,946 | ) | ||||
Gogo, Inc.* | (147,329 | ) | (1,271,449 | ) | ||||
Guidewire Software, Inc.* | (5,449 | ) | (440,443 | ) | ||||
Hortonworks, Inc.* | (51,647 | ) | (1,052,049 | ) | ||||
HubSpot, Inc.* | (2,791 | ) | (302,265 | ) | ||||
Imperva, Inc.* | (6,798 | ) | (294,353 | ) | ||||
Instructure, Inc.* | (18,209 | ) | (767,509 | ) | ||||
ManTech International Corp., Class | (474 | ) | (26,293 | ) | ||||
MuleSoft, Inc., Class A* | (34,120 | ) | (1,500,598 | ) | ||||
Okta, Inc.* | (19,087 | ) | (760,617 | ) | ||||
Pandora Media, Inc.* | (338,590 | ) | (1,703,108 | ) | ||||
Paylocity Holding Corp.* | (7,789 | ) | (399,030 | ) | ||||
PayPal Holdings, Inc.* | (4,961 | ) | (376,391 | ) | ||||
Pegasystems, Inc. | (2,427 | ) | (147,198 | ) | ||||
Presidio, Inc.* | (3,445 | ) | (53,880 | ) | ||||
PROS Holdings, Inc.* | (27,982 | ) | (923,686 | ) | ||||
Q2 Holdings, Inc.* | (2,657 | ) | (121,026 | ) | ||||
QAD, Inc., Class A | (125 | ) | (5,206 | ) | ||||
Rapid7, Inc.* | (21,977 | ) | (561,952 | ) | ||||
Science Applications International Corp. | (23,894 | ) | (1,882,847 | ) | ||||
SecureWorks Corp., Class A* | (8,171 | ) | (66,022 | ) | ||||
Shutterstock, Inc.* | (3,316 | ) | (159,665 | ) | ||||
Snap, Inc., Class A* | (207,125 | ) | (3,287,074 | ) | ||||
Square, Inc., Class A* | (20,821 | ) | (1,024,393 | ) | ||||
Tableau Software, Inc., Class A* | (7,461 | ) | (602,998 | ) | ||||
Teradata Corp.* | (35,155 | ) | (1,394,599 | ) | ||||
TrueCar, Inc.* | (138,899 | ) | (1,313,985 | ) | ||||
TTEC Holdings, Inc. | (293 | ) | (8,995 | ) | ||||
Twilio, Inc., Class A* | (43,111 | ) | (1,645,978 | ) | ||||
Virtusa Corp.* | (5,824 | ) | (282,231 | ) | ||||
WEX, Inc.* | (2,379 | ) | (372,599 | ) | ||||
Workday, Inc., Class A* | (7,808 | ) | (992,475 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Workiva, Inc.* | (17,259 | ) | $ | (409,038 | ) | |||
Worldpay, Inc., Class A* | (9,443 | ) | (776,592 | ) | ||||
Yext, Inc.* | (3,077 | ) | (38,924 | ) | ||||
Zendesk, Inc.* | (44,388 | ) | (2,124,854 | ) | ||||
|
| |||||||
(54,190,527 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (5.8)% |
| |||||||
ADTRAN, Inc. | (26,767 | ) | (416,227 | ) | ||||
ARRIS International PLC (United Kingdom)* | (84,951 | ) | (2,257,148 | ) | ||||
Celestica, Inc. (Canada)* | (14,337 | ) | (148,388 | ) | ||||
Comtech Telecommunications Corp. | (94 | ) | (2,810 | ) | ||||
Corning, Inc. | (16,292 | ) | (454,221 | ) | ||||
Cray, Inc.* | (20,958 | ) | (433,831 | ) | ||||
Electronics For Imaging, Inc.* | (36,445 | ) | (996,042 | ) | ||||
FARO Technologies, Inc.* | (3,925 | ) | (229,220 | ) | ||||
Finisar Corp.* | (213,659 | ) | (3,377,949 | ) | ||||
Fitbit, Inc., Class A* | (545,346 | ) | (2,781,265 | ) | ||||
II-VI, Inc.* | (68,737 | ) | (2,811,343 | ) | ||||
Infinera Corp.* | (167,861 | ) | (1,822,970 | ) | ||||
Insight Enterprises, Inc.* | (16,898 | ) | (590,247 | ) | ||||
Itron, Inc.* | (5,610 | ) | (401,396 | ) | ||||
Knowles Corp.* | (27,311 | ) | (343,845 | ) | ||||
Methode Electronics, Inc. | (17,650 | ) | (690,115 | ) | ||||
MTS Systems Corp. | (558 | ) | (28,821 | ) | ||||
Oclaro, Inc.* | (77,446 | ) | (740,384 | ) | ||||
Sanmina Corp.* | (68,675 | ) | (1,795,851 | ) | ||||
ScanSource, Inc.* | (3,676 | ) | (130,682 | ) | ||||
Sierra Wireless, Inc. (Canada)* | (38,646 | ) | (637,659 | ) | ||||
Stratasys Ltd. (Israel)* | (37,136 | ) | (749,404 | ) | ||||
Trimble, Inc.* | (18,664 | ) | (669,664 | ) | ||||
VeriFone Systems, Inc.* | (7,150 | ) | (109,967 | ) | ||||
ViaSat, Inc.* | (40,736 | ) | (2,677,170 | ) | ||||
Viavi Solutions, Inc.* | (118,908 | ) | (1,155,786 | ) | ||||
|
| |||||||
(26,452,405 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.4)% |
| |||||||
ATN International, Inc. | (3,179 | ) | (189,532 | ) | ||||
Boingo Wireless, Inc.* | (19,956 | ) | (494,310 | ) | ||||
CenturyLink, Inc. | (110,814 | ) | (1,820,674 | ) | ||||
Cincinnati Bell, Inc.* | (41,918 | ) | (580,564 | ) | ||||
Consolidated Communications Holdings, Inc. | (80,863 | ) | (886,258 | ) | ||||
Iridium Communications, Inc.* | (105,757 | ) | (1,189,766 | ) | ||||
ORBCOMM, Inc.* | (31,940 | ) | (299,278 | ) |
The accompanying notes are an integral part of the financial statements.
50
GOTHAM NEUTRAL FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — (Continued) |
| |||||||
Shenandoah Telecommunications Co. | (14,430 | ) | $ | (519,480 | ) | |||
Sprint Corp.* | (42,670 | ) | (208,230 | ) | ||||
United States Cellular Corp.* | (1,300 | ) | (52,247 | ) | ||||
|
| |||||||
(6,240,339 | ) | |||||||
|
| |||||||
Transportation — (4.8)% |
| |||||||
Air Transport Services Group, Inc.* | (44,311 | ) | (1,033,333 | ) | ||||
Allegiant Travel Co. | (15,495 | ) | (2,673,662 | ) | ||||
American Airlines Group, Inc. | (21,239 | ) | (1,103,578 | ) | ||||
ArcBest Corp. | (16,499 | ) | (528,793 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (39,720 | ) | (2,401,074 | ) | ||||
CSX Corp. | (47,235 | ) | (2,631,462 | ) | ||||
FedEx Corp. | (313 | ) | (75,154 | ) | ||||
Genesee & Wyoming, Inc., Class A* | (24,650 | ) | (1,744,974 | ) | ||||
Heartland Express, Inc. | (11,244 | ) | (202,280 | ) | ||||
Hub Group, Inc., Class A* | (32,004 | ) | (1,339,367 | ) | ||||
JetBlue Airways Corp.* | (118,509 | ) | (2,408,103 | ) | ||||
Knight-Swift Transportation Holdings, Inc. | (59,146 | ) | (2,721,307 | ) | ||||
Matson, Inc. | (3,767 | ) | (107,887 | ) | ||||
Spirit Airlines, Inc.* | (43,841 | ) | (1,656,313 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Student Transportation, Inc. (Canada) | (3,522 | ) | $ | (26,380 | ) | |||
United Continental Holdings, Inc.* | (15,445 | ) | (1,072,964 | ) | ||||
|
| |||||||
(21,726,631 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $466,924,102) |
| (448,573,623 | ) | |||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (98.4)% |
| (448,573,623 | ) | |||||
|
| |||||||
(Proceeds $466,924,102) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 74.6% |
| 340,001,850 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 455,582,928 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | Security position is either entirely or partially designated as collateral for securities on loan. |
(b) | 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.
51
GOTHAM FUNDS
Statements of Assets and Liabilities
March 31, 2018
(Unaudited)
Gotham Absolute Return Fund | Gotham Enhanced Return Fund | Gotham Neutral Fund | |||||||||||||
Assets | |||||||||||||||
Non-affiliated investments, at value1,2,3 | $ | 1,240,038,768 | $ | 1,531,150,688 | $ | 564,154,701 | |||||||||
Cash | 11,740,301 | 18,797,787 | 4,835,344 | ||||||||||||
Deposits with brokers for securities sold short | 590,828,853 | 292,858,224 | 386,465,278 | ||||||||||||
Receivables: | |||||||||||||||
Investments sold | 34,435,779 | 37,040,531 | 22,477,485 | ||||||||||||
Capital shares sold | 1,223,665 | 193,558 | 795,393 | ||||||||||||
Dividends and interest | 1,145,193 | 1,471,042 | 478,824 | ||||||||||||
Prepaid expenses and other assets | 84,353 | 61,103 | 37,361 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total assets | 1,879,496,912 | 1,881,572,933 | 979,244,386 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities | |||||||||||||||
Securities sold short, at value4 | 621,011,379 | 653,521,938 | 448,573,623 | ||||||||||||
Payables: | |||||||||||||||
Securities lending cash collateral | 189,224,481 | 302,594,223 | 43,980,702 | ||||||||||||
Investments purchased | 36,287,996 | 36,807,224 | 21,819,366 | ||||||||||||
Dividends and fees on securities sold short | 338,373 | 708,137 | 113,484 | ||||||||||||
Capital shares redeemed | 1,753,134 | 2,590,405 | 8,028,007 | ||||||||||||
Distributions to shareholders | — | 71 | — | ||||||||||||
Investment Adviser | 1,728,353 | 1,494,955 | 773,785 | ||||||||||||
Administration and accounting fees | 151,356 | 141,659 | 91,259 | ||||||||||||
Accrued expenses | 512,834 | 263,270 | 281,232 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total liabilities | 851,007,906 | 998,121,882 | 523,661,458 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 1,028,489,006 | $ | 883,451,051 | $ | 455,582,928 | |||||||||
|
|
|
|
|
| ||||||||||
Net Assets Consisted of: | |||||||||||||||
Capital stock, $0.01 par value | $ | 702,474 | $ | 597,944 | $ | 428,649 | |||||||||
Paid-in capital | 1,063,824,430 | 653,287,990 | 504,874,871 | ||||||||||||
Accumulated net investment income/(loss) | (10,229,708 | ) | (8,217,803 | ) | (9,375,961 | ) | |||||||||
Accumulated net realized gain/(loss) from investments, securities sold short and translation of assets and liabilities denominated in foreign currency | (113,000,930 | ) | 108,840,341 | (97,981,903 | ) | ||||||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 87,192,740 | 128,942,579 | 57,637,272 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 1,028,489,006 | $ | 883,451,051 | $ | 455,582,928 | |||||||||
|
|
|
|
|
| ||||||||||
Institutional Class Shares: | |||||||||||||||
Net assets | $ | 1,028,489,006 | $ | 883,451,051 | $ | 455,582,928 | |||||||||
|
|
|
|
|
| ||||||||||
Shares Outstanding | 70,247,362 | 59,794,385 | 42,864,915 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | $ | 14.64 | $ | 14.77 | $ | 10.63 | |||||||||
|
|
|
|
|
| ||||||||||
1Non-affiliated investments, at cost | $ | 1,176,944,778 | $ | 1,425,997,629 | $ | 524,867,908 | |||||||||
2Includes market value of securities on loan | $ | 187,460,262 | $ | 300,101,648 | $ | 43,593,867 | |||||||||
3Includes market value of securities designated as collateral for securities on loan | $ | 198,120,004 | $ | 314,992,216 | $ | 47,812,451 | |||||||||
4Proceeds received, securities sold short | $ | 645,110,129 | $ | 677,311,458 | $ | 466,924,102 |
The accompanying notes are an integral part of the financial statements.
52
GOTHAM FUNDS
Statements of Operations
For the Six Months Ended March 31, 2018
(Unaudited)
Gotham Absolute Return Fund | Gotham Enhanced Return Fund | Gotham Neutral Fund | |||||||||||||
Investment Income | |||||||||||||||
Dividends from non-affiliated securities | $ | 9,498,971 | $ | 12,632,478 | $ | 4,123,203 | |||||||||
Less: foreign taxes withheld | (20,384 | ) | (24,554 | ) | (18,082 | ) | |||||||||
Interest | 14,641 | 12,710 | 12,989 | ||||||||||||
Income from securities loaned (Note 5) | 181,746 | 159,884 | 121,005 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 9,674,974 | 12,780,518 | 4,239,115 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses | |||||||||||||||
Advisory fees (Note 2) | 9,869,454 | 9,181,795 | 4,978,760 | ||||||||||||
Administration and accounting fees (Note 2) | 133,356 | 128,623 | 79,508 | ||||||||||||
Dividends and fees on securities sold short | 1,442,161 | 4,495,826 | 1,370,999 | ||||||||||||
Fees on cash collateral (Note 5) | 1,369,547 | 2,460,797 | 304,525 | ||||||||||||
Transfer agent fees (Note 2) | 726,986 | 403,536 | 319,226 | ||||||||||||
Custodian fees (Note 2) | 37,010 | 34,432 | 18,670 | ||||||||||||
Trustees’ and officers’ fees (Note 2) | 100,143 | 97,391 | 69,018 | ||||||||||||
Printing and shareholder reporting fees | 67,292 | 37,200 | 30,518 | ||||||||||||
Registration and filing fees | 35,352 | 7,312 | 30,332 | ||||||||||||
Legalfees | 31,437 | 38,953 | 25,112 | ||||||||||||
Audit fees | 14,288 | 13,840 | 13,194 | ||||||||||||
Other expenses | 51,793 | 52,230 | 39,599 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses before waivers and reimbursements | 13,878,819 | 16,951,935 | 7,279,461 | ||||||||||||
|
|
|
|
|
| ||||||||||
Recoupments and/or waivers, reimbursements (Note 2) | (457,448 | ) | (125,357 | ) | (251,770 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net expenses after waivers and reimbursements | 13,421,371 | 16,826,578 | 7,027,691 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment loss | (3,746,397 | ) | (4,046,060 | ) | (2,788,576 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain/(loss) from investments: | |||||||||||||||
Net realized gain from non-affiliated investments | 103,020,309 | 202,466,389 | 74,689,862 | ||||||||||||
Net realized loss from securities sold short | (50,836,859 | ) | (48,646,918 | ) | (50,517,135 | ) | |||||||||
Net realized gain from foreign currency transactions | 2 | 16 | 18 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | (32,637,284 | ) | (91,961,363 | ) | (32,707,194 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | 29,515,848 | 23,785,756 | 31,367,300 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain on investments | 49,062,016 | 85,643,880 | 22,832,851 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets resulting from operations | $ | 45,315,619 | $ | 81,597,820 | $ | 20,044,275 | |||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
53
GOTHAM FUNDS
Statements of Changes in Net Assets
Gotham Absolute Return Fund | Gotham Enhanced Return Fund | |||||||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | |||||||||||||||||
Net increase in net assets from operations: | ||||||||||||||||||||
Net investment loss | $ | (3,746,397 | ) | $ | (8,245,746 | ) | $ | (4,046,060 | ) | $ | (4,964,271 | ) | ||||||||
Net realized gain from investments, securities sold short and foreign currency transactions | 52,183,452 | 150,847,487 | 153,819,487 | 77,350,347 | ||||||||||||||||
Net change in unrealized appreciation/ (depreciation) on investments and securities sold short | (3,121,436 | ) | (54,601,259 | ) | (68,175,607 | ) | 70,484,386 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 45,315,619 | 88,000,482 | 81,597,820 | 142,870,462 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Net realized capital gains | — | — | (8,942,488 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | — | — | (8,942,488 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase/(decrease) in Net Assets from Capital Share Transactions (Note 4) | 98,968,587 | (186,782,887 | ) | (86,574,895 | ) | (195,702,219 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase/(decrease) in net assets | 144,284,206 | (98,782,405 | ) | (13,919,563 | ) | (52,831,757 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of period | 884,204,800 | 982,987,205 | 897,370,614 | 950,202,371 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 1,028,489,006 | $ | 884,204,800 | $ | 883,451,051 | $ | 897,370,614 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Accumulated net investment loss, end of period | $ | (10,229,708 | ) | $ | (6,483,311 | ) | $ | (8,217,803 | ) | $ | (4,171,743 | ) | ||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
54
GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
Gotham Neutral Fund | ||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | |||||||||
Net increase in net assets from operations: | ||||||||||
Net investment loss | $ | (2,788,576 | ) | $ | (9,955,724 | ) | ||||
Net realized gain from investments and securities sold short | 24,172,745 | 53,985,369 | ||||||||
Net change in unrealized depreciation on investments and securities sold short | (1,339,894 | ) | (19,434,929 | ) | ||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 20,044,275 | 24,594,716 | ||||||||
|
|
|
| |||||||
Decrease in Net Assets from Capital Share Transactions (Note 4) | (234,001,148 | ) | (138,078,816 | ) | ||||||
|
|
|
| |||||||
Total decrease in net assets | (213,956,873 | ) | (113,484,100 | ) | ||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 669,539,801 | 783,023,901 | ||||||||
|
|
|
| |||||||
End of period | $ | 455,582,928 | $ | 669,539,801 | ||||||
|
|
|
| |||||||
Accumulated net investment loss, end of period | $ | (9,375,961 | ) | $ | (6,587,385 | ) | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
55
GOTHAM FUNDS
Statements of Cash Flow
(Unaudited)
Gotham Enhanced Return Fund | |||||
For the Six Months Ended March 31, 2018 | |||||
Cash flows provided by (used in) operating activities: | |||||
Net increase in net assets resulting from operations | $ | 81,597,820 | |||
Adjustments to reconcile net increase in net assets resulting | |||||
Purchases of long-term portfolio investments | (1,722,386,521 | ) | |||
Proceeds from disposition of long-term portfolio investments | 1,851,190,110 | ||||
Purchases to cover securities sold short | (992,220,969 | ) | |||
Proceeds from securities sold short | 960,721,144 | ||||
Net realized gain on investments and securities sold short | (153,819,471 | ) | |||
Class action settlement proceeds | (80,017 | ) | |||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | 68,175,607 | ||||
Decrease in deposits with brokers for securities sold short | 3,291,624 | ||||
Increase in receivable for securities sold | (15,419,916 | ) | |||
Decrease in dividend and interest receivable | 148,654 | ||||
Increase in prepaid expenses and other assets | (16,374 | ) | |||
Increase in payable for investments purchased | 18,373,795 | ||||
Decrease in use of cash collateral from securities lending | (11,483,235 | ) | |||
Decrease in dividends and fees payable for securities sold short | (13,436 | ) | |||
Increase in payable for investment advisor | 88,168 | ||||
Increase in accrued expense payable | 184,192 | ||||
|
| ||||
Net cash provided by operating activities | 88,331,175 | ||||
|
| ||||
Cash flows from financing activities: | |||||
Proceeds from shares sold | 39,484,958 | ||||
Payment of shares redeemed | (133,670,074 | ) | |||
Dividends and Distributions to Shareholders | (1,067,123 | ) | |||
|
| ||||
Net cash used in financing activities | (95,252,239 | ) | |||
|
| ||||
Net decrease in cash | (6,921,064 | ) | |||
Cash at beginning of period | 25,718,851 | ||||
|
| ||||
Cash at end of period | $ | 18,797,787 | |||
|
| ||||
Supplemental disclosure of cash flow information: | |||||
Cash paid during the period for financing charges. | $ | 3,659,314 |
The accompanying notes are an integral part of the financial statements.
56
GOTHAM FUNDS
Financial Highlights
Gotham Absolute Return Fund Institutional Class Shares | |||||||||||||||||||||||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015* | For the Year Ended April 30, 2015 | For the Year Ended April 30, 2014 | For the Period Ended April 30, 2013** | |||||||||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 13.94 | $ | 12.70 | $ | 12.48 | $ | 13.54 | $ | 13.45 | $ | 11.40 | $ | 10.00 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Net investment loss(1) | (0.06 | ) | (0.12 | ) | (0.07 | ) | (0.06 | ) | (0.10 | ) | (0.16 | ) | (0.08 | ) | |||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.76 | 1.36 | 0.46 | (1.00 | ) | 0.43 | 2.77 | 1.53 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total from investment operations | 0.70 | 1.24 | 0.39 | (1.06 | ) | 0.33 | 2.61 | 1.45 | |||||||||||||||||||||||||||
|
|
|
|
|
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|
|
|
|
|
| ||||||||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||||||||||||
Net investment income | — | — | — | — | — | — | (0.01 | ) | |||||||||||||||||||||||||||
Net realized capital gains | — | — | (0.17 | ) | — | (0.24 | ) | (0.56 | ) | (0.05 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total dividends and distributions to shareholders | — | — | (0.17 | ) | — | (0.24 | ) | (0.56 | ) | (0.06 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Redemption fees | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.01 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Net asset value, end of year/period | $ | 14.64 | $ | 13.94 | $ | 12.70 | $ | 12.48 | $ | 13.54 | $ | 13.45 | $ | 11.40 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total investment return(3) | 5.02 | % | 9.76 | % | 3.14 | % | (7.83 | )% | 2.44 | % | 23.21 | % | 14.67 | % | |||||||||||||||||||||
Ratio/Supplemental Data | |||||||||||||||||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 1,028,489 | $ | 884,205 | $ | 982,987 | $ | 2,566,098 | $ | 3,657,763 | $ | 1,550,210 | $ | 53,680 | |||||||||||||||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 2.72 | %(5) | 2.81 | % | 3.09 | % | 2.95 | %(5) | 2.81 | % | 2.98 | % | 3.24 | %(5) | |||||||||||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 2.81 | %(5) | 2.95 | % | 3.09 | % | 2.95 | %(5) | 2.81 | % | 2.96 | % | 4.18 | %(5) | |||||||||||||||||||||
Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.76 | )%(5) | (0.88 | )% | (0.56 | )% | (1.03 | )%(5) | (0.75 | )% | (1.23 | )% | (1.13 | )%(5) | |||||||||||||||||||||
Portfolio turnover rate | 127.65 | %(7) | 238.43 | % | 272.37 | % | 134.07 | %(7) | 336.09 | % | 399.16 | % | 279.84 | %(7) |
* | The Fund changed its fiscal year end from April 30 to September 30. |
** | Commencement of operations. Initial seed capital was issued at $10.00 per share on August 31, 2012. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | 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 Fund would be 2.15%, 2.15%, 2.20%, 2.15%, 2.15%, 2.20% and 2.25%, for the six months ended March 31, 2018, 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. |
(5) | Annualized. |
(6) | 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). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
57
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Enhanced Return Fund Institutional Class Shares | ||||||||||||||||||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015* | For the Year Ended April 30, 2015 | For the Period Ended April 30, 2014** | |||||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 13.68 | $ | 11.79 | $ | 11.10 | $ | 12.38 | $ | 12.39 | $ | 10.00 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment income/(loss)(1) | (0.06 | ) | (0.07 | ) | 0.02 | (0.03 | ) | (0.04 | ) | (0.07 | ) | |||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.29 | 1.96 | 0.87 | (1.25 | ) | 0.97 | 2.96 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.23 | 1.89 | 0.89 | (1.28 | ) | 0.93 | 2.89 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||||
Net realized capital gains | (0.14 | ) | — | (0.20 | ) | — | (0.94 | ) | (0.50 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions to shareholders | (0.14 | ) | — | (0.20 | ) | — | (0.94 | ) | (0.50 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Redemption fees | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of year/period | $ | 14.77 | $ | 13.68 | $ | 11.79 | $ | 11.10 | $ | 12.38 | $ | 12.39 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(3) | 9.03 | % | 16.03 | % | 8.18 | % | (10.34 | )% | 7.34 | % | 29.36 | % | ||||||||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 883,451 | $ | 897,371 | $ | 950,202 | $ | 1,126,264 | $ | 1,558,078 | $ | 802,917 | ||||||||||||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 3.67 | %(5) | 3.55 | % | 3.58 | % | 3.36 | %(5) | 3.23 | % | 3.54 | %(5) | ||||||||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 3.70 | %(5) | 3.56 | % | 3.58 | % | 3.36 | %(5) | 3.23 | % | 3.54 | %(5) | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets (including dividend and interest expense) | (0.88 | )%(5) | (0.51 | )% | 0.16 | % | (0.66 | )%(5) | (0.31 | )% | (0.63 | )%(5) | ||||||||||||||||||
Portfolio turnover rate | 108.82 | %(7) | 195.60 | % | 247.97 | % | 85.25 | %(7) | 274.67 | % | 364.77 | %(7)(8) |
* | The Fund changed its fiscal year end from April 30 to September 30. |
** | Commencement of operations. Initial seed capital was issued at $10.00 per share on May 31, 2013. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | 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 Fund would be 2.15%, 2.15%, 2.15%, 2.14%, 2.16% and 2.25% for the six months ended March 31, 2018, 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. |
(5) | Annualized. |
(6) | 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). |
(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. |
The accompanying notes are an integral part of the financial statements.
58
GOTHAM FUNDS
Financial Highlights (Concluded)
Gotham Neutral Fund Institutional Class Shares | ||||||||||||||||||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015* | For the Year Ended April 30, 2015 | For the Period Ended April 30, 2014** | |||||||||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 10.23 | $ | 9.91 | $ | 9.99 | $ | 10.42 | $ | 11.21 | $ | 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment loss(1) | (0.06 | ) | (0.13 | ) | (0.10 | ) | (0.06 | ) | (0.12 | ) | (0.12 | ) | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.46 | 0.45 | 0.08 | (0.37 | ) | (0.43 | ) | 1.37 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.40 | 0.32 | (0.02 | ) | (0.43 | ) | (0.55 | ) | 1.25 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||||
Net realized capital gains | — | — | (0.06 | ) | — | (0.24 | ) | (0.04 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions to shareholders | — | — | (0.06 | ) | — | (0.24 | ) | (0.04 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Redemption fees | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of year/period | $ | 10.63 | $ | 10.23 | $ | 9.91 | $ | 9.99 | $ | 10.42 | $ | 11.21 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(3) | 3.91 | % | 3.23 | % | (0.16 | )% | (4.13 | )% | (5.00 | )% | 12.50 | % | ||||||||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 455,583 | $ | 669,540 | $ | 783,024 | $ | 755,707 | $ | 932,434 | $ | 228,472 | ||||||||||||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 2.82 | %(5) | 3.10 | % | 3.56 | % | 3.38 | %(5) | 3.20 | % | 3.43 | %(5) | ||||||||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 2.92 | %(5) | 3.14 | % | 3.56 | % | 3.38 | %(5) | 3.19 | % | 3.57 | %(5) | ||||||||||||||||||
Ratio of net investment loss to average net assets (including dividend and interest expense) | (1.12 | )%(5) | (1.31 | )% | (1.02 | )% | (1.38 | )%(5) | (1.11 | )% | (1.64 | )%(5) | ||||||||||||||||||
Portfolio turnover rate | 130.59 | %(7) | 261.31 | % | 303.46 | % | 141.02 | %(7) | 377.72 | % | 191.65 | %(7) |
* | The Fund changed its fiscal year end from April 30 to September 30. |
** | Commencement of operations. Initial seed capital was issued at $10.00 per share on August 30, 2013. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | 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 Fund would be 2.15%, 2.15%, 2.16%, 2.16%, 2.18% and 2.25% for the six months ended March 31, 2018, 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. |
(5) | Annualized. |
(6) | 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). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
59
GOTHAM FUNDS
Notes to Financial Statements
March 31, 2018
(Unaudited)
1. Organization and Significant Accounting Policies
The Gotham Absolute Return Fund, the Gotham Enhanced Return Fund and the Gotham Neutral Fund (each a “Fund” and together, the “Funds”) are each a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Each of the Funds offers one class of shares, Institutional Class. The Fund’s commencement of operations are as follows:
Gotham Absolute Return Fund (“Absolute Return”) | August 31, 2012 | |
Gotham Enhanced Return Fund (“Enhanced Return”) | May 31, 2013 | |
Gotham Neutral Fund (“Neutral”) | August 30, 2013 |
All the Funds 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 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. 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.
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 corporate debt security with end of period
60
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
value of $784 and $714 held by Absolute Return and Neutral, respectively. These securities are considered Level 2 as of and for the period ended March 31, 2018.
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 March 31, 2018, 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 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.
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.
61
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
Short Sales — The Funds 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.
As of March 31, 2018, 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 | ||||||||||
Absolute Return | $621,011,379 | $680,951,579 | $590,828,853 | |||||||||
Enhanced Return | 653,521,938 | 667,567,622 | 292,858,224 | |||||||||
Neutral | 448,573,623 | 450,101,587 | 386,465,278 |
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 March 31, 2018:
Rebate (Income)/Fees | ||||
Absolute Return | $(1,682,193 | ) | ||
Enhanced Return | (1,951,873 | ) | ||
Neutral | (1,439,761 | ) |
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 March 31, 2018:
Short Sales Proceeds | Financing Charges | |||||||
Absolute Return | $ | 15,924,376 | $ | 234,749 | ||||
Enhanced Return | 347,846,784 | 3,150,390 | ||||||
Neutral | 47,669,222 | 652,292 |
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:
Absolute Return | 2.00 | % | ||
Enhanced Return | 2.00 | % | ||
Neutral | 2.00 | % |
62
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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) 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 March 31, 2018.
Termination Date | ||||||||||
Absolute Return | 2.15 | % | August 31, 2020 | |||||||
Enhanced Return | 2.15 | % | August 31, 2020 | |||||||
Neutral | 2.15 | % | August 31, 2020 |
For the period ended March 31, 2018, investment advisory fees accrued and waivers were as follows:
Gross Advisory Fee | Waiver/ Reimbursements | Net Advisory Fee (Reimbursement) | |||||||||||||
Absolute Return | $9,869,454 | $(457,448 | ) | $9,412,006 | |||||||||||
Enhanced Return | 9,181,795 | (125,357 | ) | 9,056,438 | |||||||||||
Neutral | 4,978,760 | (251,770 | ) | 4,726,990 |
For all Funds, 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 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. As of March 31, 2018, the amount of potential reimbursement from the Funds to the Adviser are as follows:
Expiration | Expiration | Expiration | Expiration | |||||||||||||||||
09/30/2018 | 09/30/2019 | 09/30/2020 | 03/31/2021 | |||||||||||||||||
Absolute Return | N/A | N/A | $1,216,153 | $457,448 | ||||||||||||||||
Enhanced Return | N/A | N/A | 162,171 | 125,357 | ||||||||||||||||
Neutral | N/A | N/A | 326,104 | 251,770 |
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian 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 certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent 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. Pershing LLC is a wholly owned subsidiary of The Bank of New York Mellon Corporation.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
63
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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 March 31, 2018 was $121,824. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds 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
For the six months ended March 31, 2018 for all Funds, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||
Absolute Return | $ | 1,613,046,167 | $ | 1,505,771,437 | ||||
Enhanced Return | 1,720,385,602 | 1,848,952,914 | ||||||
Neutral | 800,153,097 | 1,090,703,023 |
4. Capital Share Transactions
For the periods ended March 31, 2018 and September 30, 2017, transactions in capital shares of the Funds (authorized shares unlimited) were as follows:
For the Period Ended March 31, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Absolute Return: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 16,158,331 | $ | 235,339,793 | 13,891,185 | $ | 187,082,892 | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | 1,105 | — | 2,067 | ||||||||||||
Redemptions | (9,330,487 | ) | (136,372,311 | ) | (27,893,001 | ) | (373,867,846 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | 6,827,844 | $ | 98,968,587 | (14,001,816 | ) | $ | (186,782,887 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Enhanced Return: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 2,633,817 | $ | 39,377,781 | 8,414,958 | $ | 107,957,821 | ||||||||||
Reinvestments | 543,508 | 7,875,365 | — | — | ||||||||||||
Redemption Fees* | — | 244 | — | 3,061 | ||||||||||||
Redemptions | (8,993,425 | ) | (133,828,285 | ) | (23,411,239 | ) | (303,663,101 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (5,816,100 | ) | $ | (86,574,895 | ) | (14,996,281 | ) | $ | (195,702,219 | ) | ||||||
|
|
|
|
|
|
|
|
64
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
For the Period Ended March 31, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Neutral: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 9,771,161 | $ | 103,346,816 | 27,583,830 | $ | 284,265,770 | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | 4,906 | — | 1,186 | ||||||||||||
Redemptions | (32,344,317 | ) | (337,352,870 | ) | (41,180,891 | ) | (422,345,772 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (22,573,156 | ) | $ | (234,001,148 | ) | (13,597,061 | ) | $ | (138,078,816 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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. |
5. Securities Lending
All Funds 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 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 March 31, 2018, the Funds listed below each had securities lending programs. The market value of securities on loan and cash collateral received as of March 31, 2018 and the income generated from the programs during the period ended March 31, 2018, 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 | |||||||||||||||||
Absolute Return | $187,460,262 | $189,224,481 | $— | $181,746 | ||||||||||||||||
Enhanced Return | 300,101,648 | 302,594,223 | — | 159,884 | ||||||||||||||||
Neutral | 43,593,867 | 43,980,702 | — | 121,005 |
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 March 31, 2018:
65
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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** | |||||||||||||||||||||||||
Absolute Return | $187,460,262 | $— | $187,460,262 | $— | $(187,460,262 | ) | $— | |||||||||||||||||||||||
Enhanced Return | 300,101,648 | — | 300,101,648 | — | (300,101,648 | ) | — | |||||||||||||||||||||||
Neutral | 43,593,867 | — | 43,593,867 | — | (43,593,867 | ) | — |
* | 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.
There were no dividends or distributions paid by the Funds during the year ended September 30, 2017.
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
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 | |||||||||||||||||||||||||
Absolute Return | $(101,603,797 | ) | $— | $ — | $50,665,532 | $(30,415,253 | ) | $— | ||||||||||||||||||||||
Enhanced Return | — | — | 8,942,476 | 152,128,313 | (4,161,004 | ) | — | |||||||||||||||||||||||
Neutral | (14,311,787 | ) | — | — | 20,559,804 | (76,012,884 | ) | — |
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.
66
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
As of March 31, 2018, 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) | |||||||||||||
Absolute Return | $ | 531,834,649 | $ | 144,306,525 | $ | (57,113,785 | ) | $ | 87,192,740 | |||||||
Enhanced Return | 748,686,171 | 190,787,033 | (61,844,454 | ) | 128,942,579 | |||||||||||
Neutral | 57,943,806 | 91,586,779 | (33,949,507 | ) | 57,637,272 |
* | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report. |
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 | |||||||||||||
Absolute Return | $6,483,311 | $23,931,942 | $— | ||||||||||||
Enhanced Return | 4,161,004 | — | — | ||||||||||||
Neutral | 6,587,386 | 69,425,499 | — |
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 | ||||
Absolute Return | $ | 101,603,797 | ||
Neutral | 14,311,787 |
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.
67
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.
68
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.
69
Investment Adviser
Gotham Asset Management, LLC
535 Madison Avenue, 30th Floor
New York, NY 10022
Administrator
The Bank of New York Mellon
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
GOTI-0318
GOTHAM FUNDS
of
FundVantage Trust
Gotham Index Plus Fund
Gotham Index Plus All-Cap Fund
Gotham Enhanced Index Plus Fund
(formerly, Gotham Index Core Fund)
Gotham Enhanced S&P 500 Index Fund
Gotham Master Index Plus Fund
(formerly, Gotham Master Long Fund)
SEMI-ANNUAL REPORT
March 31, 2018
(Unaudited)
This report is submitted for the general information of the shareholders of the Gotham Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Gotham Funds.
GOTHAM FUNDS
Important Information
The performance data quoted in this report represents past performance and does not guarantee future results. The investment return and principal value of an investment in a Gotham Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
Each Gotham Fund covered by this report (each, a “Fund”) compares its performance to an unmanaged index. An index does not reflect operational and transactional costs which apply to a mutual fund. It is not possible to invest direct in an index.
Mutual fund investing involves risks, including possible loss of principal. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. The use of leverage to make additional investments could result in greater losses than if a Fund were not leveraged. The securities issued by small-cap and mid-cap companies tend to be more volatile and less liquid than those of large-cap issuers. Each Fund may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs to a Fund. There can be no guarantee that a Fund will achieve its objectives. Gotham Index Plus All-Cap Fund is recently formed and has a limited history of operations.
A prospective investor should consider the investment objectives, risks, charges and expenses of a Fund carefully before investing. The prospectus and summary prospectus contains this and other information about the Funds, and should be read carefully before investing. A copy of the prospectus or summary prospectus is available at www.GothamFunds.com or by calling 877-974-6852.
1
GOTHAM FUNDS
Gotham Index Plus Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018 | ||||||||||||||||||||
Six Months* | 1 Year | 3 Year | Since Inception | |||||||||||||||||
Institutional Class Shares | 9.88 | % | 17.18 | % | 13.43 | % | 13.43 | %** | ||||||||||||
Investor Class Shares | N/A | N/A | N/A | -1.86 | %*,** | |||||||||||||||
S&P 500® Total Return Index | 5.84 | % | 13.99 | % | 10.78 | % | 10.78 | %*** |
* | Not Annualized. |
** | Institutional Class shares and Investor Class shares of the Gotham Index Plus Fund (the “Fund”) commenced operations on March 31, 2015 and January 2, 2018, respectively. |
*** | Benchmark performance is from inception date of the Fund’s Institutional Class shares only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class and Investor Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018 (as supplemented on March 5, 2018), the “Total Annual Fund Operating Expenses” and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 3.62% and 3.61%, 3.87% and 3.86%, respectively, for the Institutional Class shares and Investor Class shares, respectively, 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% with respect to Institutional Class shares (on an annual basis) and 1.40% with respect to Investor Class shares (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. Its returns reflect reinvested dividends.
2
GOTHAM FUNDS
Gotham Index Plus All-Cap Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Total Returns for the Period Ended March 31, 2018 | |||||
Since Inception* | |||||
Institutional Class Shares | -0.40 | %** | |||
S&P 500® Total Return Index | -0.76 | %*** |
* | Not Annualized. |
** | The Gotham Index Plus All-Cap Fund (the “Fund”) commenced operations on December 29, 2017. |
*** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018 (as supplemented on March 5, 2018), the “Total Annual Fund Operating Expenses” are 2.55% 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, 2021, 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. Its returns reflect reinvested dividends.
3
GOTHAM FUNDS
Gotham Enhanced Index Plus Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018 | |||||||||||||||
Six Months* | 1 Year | Since Inception | |||||||||||||
Institutional Class Shares | 9.38 | % | 17.63 | % | 20.70 | %** | |||||||||
S&P 500® Total Return Index | 5.84 | % | 13.99 | % | 16.37 | %*** |
* | Not Annualized. |
** | The Gotham Enhanced Index Plus 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018 (as supplemented on March 5, 2018), the “Total Annual Fund Operating Expenses” are 5.53% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 2.21% 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. Prior to March 2, 2018, the Expense Limitation was 0.85%. 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. Its returns reflect reinvested dividends.
4
GOTHAM FUNDS
Gotham Enhanced S&P 500 Index Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018 | |||||||||||||||
Six Months* | 1 Year | Since Inception | |||||||||||||
Institutional Class Shares | 9.15 | % | 18.39 | % | 20.20 | %** | |||||||||
S&P 500® Total Return Index | 5.84 | % | 13.99 | % | 16.40 | %*** |
* | 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018 (as supplemented on March 5, 2018), the “Total Annual Fund Operating Expenses” are 3.61% 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 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.
5
GOTHAM FUNDS
Gotham Master Index Plus Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Total Returns for the Periods Ended March 31, 2018 | ||||||||||
Six Months* | Since Inception* | |||||||||
Institutional Class Shares | 8.95 | % | 15.49 | %** | ||||||
S&P 500® Total Return Index | 5.84 | % | 12.83 | %*** |
* | Not Annualized. |
** | The Gotham Master Index Plus Fund (formerly, “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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018 (as supplemented on March 5, 2018), the “Total Annual Fund Operating Expenses” are 11.38% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.07% 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 the 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.
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 also is subject to the risks of the underlying funds, which may include any or all the risks described in Important Information.
6
GOTHAM FUNDS
Fund Expense Disclosure
March 31, 2018
(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 October 1, 2017, and held for the entire period through March 31, 2018.
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.
| ||||||||||||||||||||||
Beginning Account Value | Ending Account Value March 31, 2018 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||||
Gotham Index Plus Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,098.80 | 3.61 | % | $ | 18.87 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,006.95 | 3.61 | % | 18.04 | |||||||||||||||||
Investor Class*** | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 981.40 | 3.86 | % | $ | 9.22 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,005.69 | 3.86 | % | 19.30 | |||||||||||||||||
Gotham Index Plus All-Cap Fund**** | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 996.00 | 2.56 | % | $ | 6.16 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,012.17 | 2.56 | % | 12.84 | |||||||||||||||||
Gotham Enhanced Index Plus Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,093.80 | 1.78 | % | $ | 9.29 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,016.06 | 1.78 | % | 8.95 |
7
GOTHAM FUNDS
Fund Expense Disclosure (Concluded)
March 31, 2018
(Unaudited)
| ||||||||||||||||||||||
Beginning Account Value | Ending Account Value March 31, 2018 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||||
Gotham Enhanced S&P 500 Index Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,091.50 | 0.50 | % | $ | 2.61 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.44 | 0.50 | % | 2.52 | |||||||||||||||||
Gotham Master Index Plus Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,089.50 | 0.00 | % | $ | — | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.93 | 0.00 | % | — |
* | 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 March 31, 2018, multiplied by the average account value over the period, multiplied by the number of days in the most recent period, then divided by 365 to reflect the period. Hypothetical expenses are equal to the Fund’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, then divided by 365 to reflect the period. |
*** | Investor Class commenced operations on January 2, 2018. Expenses are equal to the Class’ annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the period January 2, 2018 to March 31, 2018, multiplied by the average account value over the period, multiplied by the number of days in the most recent period, then divided by 365 to reflect the period. Hypothetical expenses are as if the Investor Class shares have been in existence since October 1, 2017, and are equal to the Investor 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, then divided by 365 to reflect the period. |
**** | The Fund commenced operations on December 29, 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 December 29, 2017 to March 31, 2018, multiplied by the average account value over the period, multiplied by the number of days in the most recent period, then divided by 365 to reflect the period. Hypothetical expenses are as if the Institutional Class shares have been in existence since October 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, then divided by 365 to reflect the period. |
8
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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: | ||||||||
Capital Goods | 25.9 | % | $ | 98,924,878 | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 22.2 | 84,829,853 | ||||||
Software & Services | 17.9 | 68,410,897 | ||||||
Diversified Financials | 13.1 | 50,159,223 | ||||||
Technology Hardware & Equipment | 12.1 | 46,305,774 | ||||||
Energy | 10.7 | 40,674,984 | ||||||
Food, Beverage & Tobacco | 9.6 | 36,818,219 | ||||||
Health Care Equipment & Services | 9.4 | 36,033,426 | ||||||
Materials | 7.9 | 30,132,981 | ||||||
Semiconductors & Semiconductor Equipment | 7.9 | 30,057,387 | ||||||
Retailing | 7.0 | 26,738,080 | ||||||
Food & Staples Retailing | 5.5 | 20,851,823 | ||||||
Insurance | 5.3 | 20,157,374 | ||||||
Utilities | 5.3 | 20,047,134 | ||||||
Media | 5.1 | 19,484,790 | ||||||
Household & Personal Products | 5.1 | 19,448,588 | ||||||
Banks | 4.6 | 17,744,139 | ||||||
Consumer Services | 4.1 | 15,633,442 | ||||||
Telecommunication Services | 3.4 | 12,802,702 | ||||||
Consumer Durables & Apparel | 2.5 | 9,512,883 | ||||||
Real Estate | 2.4 | 9,260,367 | ||||||
Transportation | 2.1 | 8,009,765 | ||||||
Automobiles & Components | 1.6 | 6,243,094 | ||||||
Commercial & Professional Services | 0.8 | 2,963,899 | ||||||
|
|
|
| |||||
Total Long Positions | 191.5 | 731,245,702 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.4 | )% | $ | (1,462,664 | ) | |||
Diversified Financials | (0.6 | ) | (2,128,885 | ) | ||||
Household & Personal Products | (0.7 | ) | (2,576,234 | ) | ||||
Commercial & Professional Services | (0.9 | ) | (3,571,131 | ) | ||||
Capital Goods | (1.0 | ) | (3,849,359 | ) | ||||
Automobiles & Components | (1.1 | ) | (4,265,653 | ) | ||||
Technology Hardware & Equipment | (1.3 | ) | (4,914,749 | ) | ||||
Food & Staples Retailing | (1.6 | ) | (6,289,417 | ) | ||||
Banks | (2.0 | ) | (7,661,894 | ) | ||||
Consumer Durables & Apparel | (2.8 | ) | (10,637,343 | ) | ||||
Media | (2.9 | ) | (11,120,103 | ) | ||||
Insurance | (3.2 | ) | (12,294,970 | ) | ||||
Semiconductors & Semiconductor Equipment | (3.4 | ) | (12,977,965 | ) | ||||
Consumer Services | (3.8 | ) | (14,340,599 | ) | ||||
Materials | (4.5 | ) | (17,056,775 | ) | ||||
Food, Beverage & Tobacco | (4.5 | ) | (17,065,275 | ) | ||||
Retailing | (4.8 | ) | (18,446,961 | ) | ||||
Transportation | (5.5 | ) | (21,012,029 | ) | ||||
Utilities | (5.9 | ) | (22,713,949 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (6.7 | ) | (25,458,147 | ) | ||||
Energy | (7.4 | ) | (28,354,273 | ) | ||||
Health Care Equipment & Services | (8.1 | ) | (30,982,951 | ) | ||||
Real Estate | (9.6 | ) | (36,724,978 | ) | ||||
Software & Services | (9.9 | ) | (37,811,859 | ) | ||||
|
|
|
| |||||
Total Short Positions | (92.6 | ) | (353,718,163 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 1.1 | 4,253,208 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 381,780,747 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
9
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Index Plus All-Cap Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Software & Services | 23.2 | % | $ | 533,294 | ||||
Capital Goods | 18.3 | 420,270 | ||||||
Health Care Equipment & Services | 12.1 | 277,462 | ||||||
Retailing | 10.9 | 250,206 | ||||||
Technology Hardware & Equipment | 10.9 | 248,981 | ||||||
Energy | 10.1 | 231,644 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 9.8 | 224,293 | ||||||
Semiconductors & Semiconductor Equipment | 7.6 | 174,528 | ||||||
Materials | 7.5 | 171,091 | ||||||
Food, Beverage & Tobacco | 6.6 | 151,813 | ||||||
Banks | 6.3 | 145,156 | ||||||
Diversified Financials | 6.1 | 139,732 | ||||||
Consumer Services | 5.6 | �� | 129,144 | |||||
Transportation | 4.4 | 100,790 | ||||||
Media | 4.3 | 98,134 | ||||||
Commercial & Professional Services | 3.8 | 86,825 | ||||||
Consumer Durables & Apparel | 3.6 | 82,441 | ||||||
Food & Staples Retailing | 3.2 | 72,910 | ||||||
Telecommunication Services | 2.9 | 67,061 | ||||||
Automobiles & Components | 2.7 | 62,850 | ||||||
Utilities | 2.7 | 61,932 | ||||||
Real Estate | 2.6 | 59,950 | ||||||
Insurance | 2.4 | 56,055 | ||||||
Household & Personal Products | 2.1 | 48,125 | ||||||
|
|
|
| |||||
Total Long Positions | 169.7 | 3,894,687 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Household & Personal Products | (0.4 | )% | $ | (9,976 | ) | |||
Food & Staples Retailing | (1.1 | ) | (25,078 | ) | ||||
Telecommunication Services | (1.1 | ) | (25,658 | ) | ||||
Media | (1.8 | ) | (40,883 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (1.8 | ) | (41,629 | ) | ||||
Automobiles & Components | (2.2 | ) | (49,610 | ) | ||||
Food, Beverage & Tobacco | (2.2 | ) | (49,997 | ) | ||||
Transportation | (2.3 | ) | (52,078 | ) | ||||
Consumer Durables & Apparel | (2.4 | ) | (54,802 | ) | ||||
Commercial & Professional Services | (3.4 | ) | (77,476 | ) | ||||
Semiconductors & Semiconductor Equipment | (3.5 | ) | (80,404 | ) | ||||
Consumer Services | (3.9 | ) | (89,384 | ) | ||||
Retailing | (4.3 | ) | (99,012 | ) | ||||
Energy | (4.7 | ) | (108,376 | ) | ||||
Materials | (4.9 | ) | (113,030 | ) | ||||
Technology Hardware & Equipment | (5.0 | ) | (115,634 | ) | ||||
Health Care Equipment & Services | (6.8 | ) | (155,757 | ) | ||||
Software & Services | (7.5 | ) | (172,131 | ) | ||||
Capital Goods | (11.0 | ) | (253,212 | ) | ||||
|
|
|
| |||||
Total Short Positions | (70.3 | ) | (1,614,127 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 0.6 | 14,442 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,295,002 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
10
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Enhanced Index Plus Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 18.6 | % | $ | 551,357 | ||||
Capital Goods | 16.7 | 494,720 | ||||||
Software & Services | 14.5 | 428,933 | ||||||
Technology Hardware & Equipment | 12.6 | 371,939 | ||||||
Retailing | 10.9 | 321,150 | ||||||
Energy | 8.6 | 253,599 | ||||||
Materials | 6.3 | 187,584 | ||||||
Health Care Equipment & Services | 5.8 | 170,206 | ||||||
Semiconductors & Semiconductor Equipment | 5.6 | 166,578 | ||||||
Food, Beverage & Tobacco | 5.1 | 152,317 | ||||||
Consumer Services | 4.7 | 138,945 | ||||||
Diversified Financials | 4.0 | 119,380 | ||||||
Media | 3.3 | 98,724 | ||||||
Household & Personal Products | 3.2 | 93,529 | ||||||
Transportation | 2.9 | 86,551 | ||||||
Food & Staples Retailing | 2.7 | 81,175 | ||||||
Telecommunication Services | 2.7 | 78,473 | ||||||
Consumer Durables & Apparel | 2.5 | 73,776 | ||||||
Automobiles & Components | 2.1 | 62,552 | ||||||
Commercial & Professional Services | 2.1 | 61,775 | ||||||
Insurance | 1.6 | 46,093 | ||||||
Real Estate | 1.0 | 29,945 | ||||||
Banks | 0.9 | 25,293 | ||||||
Utilities | 0.7 | 21,931 | ||||||
|
|
|
| |||||
Total Long Positions | 139.1 | 4,116,525 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Household & Personal Products | (0.3 | )% | $ | (8,380 | ) | |||
Food & Staples Retailing | (0.6 | ) | (18,111 | ) | ||||
Telecommunication Services | (0.8 | ) | (22,380 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (1.0 | ) | (28,773 | ) | ||||
Media | (1.0 | ) | (29,964 | ) | ||||
Transportation | (1.1 | ) | (31,030 | ) | ||||
Food, Beverage & Tobacco | (1.1 | ) | (32,781 | ) | ||||
Automobiles & Components | (1.2 | ) | (36,763 | ) | ||||
Consumer Durables & Apparel | (1.3 | ) | (39,466 | ) | ||||
Commercial & Professional Services | (2.0 | ) | (58,434 | ) | ||||
Semiconductors & Semiconductor Equipment | (2.0 | ) | (60,594 | ) | ||||
Consumer Services | (2.2 | ) | (65,111 | ) | ||||
Retailing | (2.4 | ) | (71,624 | ) | ||||
Energy | (2.8 | ) | (82,282 | ) | ||||
Materials | (2.8 | ) | (83,129 | ) | ||||
Technology Hardware & Equipment | (2.9 | ) | (86,692 | ) | ||||
Health Care Equipment & Services | (3.8 | ) | (112,541 | ) | ||||
Software & Services | (4.2 | ) | (124,643 | ) | ||||
Capital Goods | (6.6 | ) | (193,937 | ) | ||||
|
|
|
| |||||
Total Short Positions | (40.1 | ) | (1,186,635 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 1.0 | 28,369 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,958,259 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
11
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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: | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 18.0 | % | $ | 564,825 | ||||
Capital Goods | 10.8 | 338,170 | ||||||
Technology Hardware & Equipment | 9.5 | 296,606 | ||||||
Software & Services | 9.2 | 288,602 | ||||||
Retailing | 8.1 | 255,318 | ||||||
Energy | 6.0 | 188,839 | ||||||
Semiconductors & Semiconductor Equipment | 5.0 | 156,998 | ||||||
Diversified Financials | 4.4 | 136,714 | ||||||
Food, Beverage & Tobacco | 4.2 | 130,621 | ||||||
Materials | 3.7 | 114,670 | ||||||
Household & Personal Products | 2.9 | 90,465 | ||||||
Media | 2.8 | 88,733 | ||||||
Health Care Equipment & Services | 2.8 | 86,965 | ||||||
Food & Staples Retailing | 2.3 | 71,973 | ||||||
Telecommunication Services | 2.1 | 64,789 | ||||||
Consumer Services | 2.1 | 64,567 | ||||||
Insurance | 1.5 | 48,412 | ||||||
Consumer Durables & Apparel | 1.2 | 38,296 | ||||||
Real Estate | 1.0 | 32,229 | ||||||
Automobiles & Components | 0.9 | 27,708 | ||||||
Utilities | 0.7 | 22,651 | ||||||
Banks | 0.7 | 21,841 | ||||||
Transportation | 0.3 | 10,387 | ||||||
Commercial & Professional Services | 0.3 | 8,516 | ||||||
|
|
|
| |||||
Total Common Stocks | 100.5 | 3,148,895 | ||||||
|
|
|
| |||||
Liabilities in Excess of Other Assets | (0.5 | ) | (14,568 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 3,134,327 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
12
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
Gotham Master Index Plus Fund
% of Net Assets | Value | |||||||
Affiliated Equity Registered Investment Companies | 101.8 | % | $ | 1,222,563 | ||||
Liabilities in Excess of Other Assets | (1.8 | ) | (21,834 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 1,200,729 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
13
GOTHAM INDEX PLUS FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 191.5% |
| |||||||
COMMON STOCKS — 191.5% |
| |||||||
Automobiles & Components — 1.6% |
| |||||||
Aptiv PLC (Jersey)†(a) | 30,601 | $ | 2,600,167 | |||||
BorgWarner, Inc.†(b) | 24,161 | 1,213,607 | ||||||
General Motors Co.† | 46,718 | 1,697,732 | ||||||
Goodyear Tire & Rubber Co. (The)(b) | 27,524 | 731,588 | ||||||
|
| |||||||
6,243,094 | ||||||||
|
| |||||||
Banks — 4.6% | ||||||||
Bank of America Corp.† | 163,173 | 4,893,558 | ||||||
BB&T Corp.† | 12,403 | 645,452 | ||||||
Citigroup, Inc.† | 40,762 | 2,751,435 | ||||||
Citizens Financial Group, Inc.† | 874 | 36,691 | ||||||
Comerica, Inc. | 62 | 5,948 | ||||||
Huntington Bancshares, Inc.† | 2,606 | 39,351 | ||||||
JPMorgan Chase & Co.† | 54,330 | 5,974,670 | ||||||
KeyCorp.† | 138 | 2,698 | ||||||
People’s United Financial, Inc. | 5,392 | 100,615 | ||||||
PNC Financial Services Group, Inc. (The)† | 7,502 | 1,134,602 | ||||||
SunTrust Banks, Inc.† | 13 | 885 | ||||||
Wells Fargo & Co.† | 41,045 | 2,151,168 | ||||||
Zions Bancorporation† | 134 | 7,066 | ||||||
|
| |||||||
17,744,139 | ||||||||
|
| |||||||
Capital Goods — 25.9% | ||||||||
3M Co.(a)(b) | 17,903 | 3,930,067 | ||||||
Acuity Brands, Inc.(b) | 2,687 | 374,003 | ||||||
Allegion PLC (Ireland)(b) | 1,507 | 128,532 | ||||||
AMETEK, Inc.† | 26,496 | 2,012,901 | ||||||
AO Smith Corp. | 2,722 | 173,092 | ||||||
Arconic, Inc.(b) | 50,346 | 1,159,972 | ||||||
Boeing Co. (The)† | 32,600 | 10,688,888 | ||||||
Caterpillar, Inc.†(a) | 53,112 | 7,827,646 | ||||||
Cummins, Inc.† | 18,934 | 3,069,012 | ||||||
Deere & Co.† | 36,151 | 5,614,973 | ||||||
Dover Corp.† | 18,161 | 1,783,773 | ||||||
Eaton Corp. PLC (Ireland)† | 6,977 | 557,532 | ||||||
Emerson Electric Co.† | 72,688 | 4,964,590 | ||||||
Fastenal Co.(b) | 9,510 | 519,151 | ||||||
Flowserve Corp.(b) | 10,810 | 468,397 | ||||||
Fluor Corp.(b) | 2,219 | 126,971 | ||||||
Fortune Brands Home & Security, Inc.† | 17,410 | 1,025,275 | ||||||
General Dynamics Corp.†(a) | 34,032 | 7,517,669 | ||||||
General Electric Co.†(a) | 137,615 | 1,855,050 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Harris Corp.† | 7,120 | $ | 1,148,314 | |||||
Honeywell International, Inc.† | 58,046 | 8,388,227 | ||||||
Huntington Ingalls Industries, Inc.† | 715 | 184,298 | ||||||
Illinois Tool Works, Inc.(a) | 26,562 | 4,161,203 | ||||||
Ingersoll-Rand PLC (Ireland)† | 20,289 | 1,734,912 | ||||||
Jacobs Engineering Group, Inc.† | 1,099 | 65,006 | ||||||
Johnson Controls International PLC (Ireland)† | 14,689 | 517,640 | ||||||
L3 Technologies, Inc. | 6,513 | 1,354,704 | ||||||
Lockheed Martin Corp.† | 4,065 | 1,373,685 | ||||||
Masco Corp.† | 35,667 | 1,442,373 | ||||||
Northrop Grumman Corp.† | 2,746 | 958,684 | ||||||
PACCAR, Inc.(b) | 4,544 | 300,676 | ||||||
Pentair PLC (Ireland)† | 16,353 | 1,114,130 | ||||||
Raytheon Co.† | 33,008 | 7,123,787 | ||||||
Rockwell Automation, Inc.† | 1,005 | 175,071 | ||||||
Rockwell Collins, Inc.† | 13,791 | 1,859,716 | ||||||
Roper Technologies, Inc.† | 1,625 | 456,121 | ||||||
Snap-on, Inc.(b) | 6,497 | 958,567 | ||||||
Stanley Black & Decker, Inc.(a) | 17,655 | 2,704,746 | ||||||
Textron, Inc. | 4,147 | 244,549 | ||||||
TransDigm Group, Inc.(b) | 823 | 252,612 | ||||||
United Technologies Corp.† | 41,329 | 5,200,015 | ||||||
WW Grainger, Inc.(b) | 6,456 | 1,822,335 | ||||||
Xylem, Inc.†(b) | 20,619 | 1,586,013 | ||||||
|
| |||||||
98,924,878 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.8% |
| |||||||
Cintas Corp.† | 3,950 | 673,791 | ||||||
Nielsen Holdings PLC | 40,794 | 1,296,841 | ||||||
Republic Services, Inc.† | 5,261 | 348,436 | ||||||
Robert Half International, Inc.† | 7,557 | 437,475 | ||||||
Waste Management, Inc.† | 2,465 | 207,356 | ||||||
|
| |||||||
2,963,899 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.5% |
| |||||||
DR Horton, Inc.† | 5,959 | 261,243 | ||||||
Garmin Ltd. (Switzerland) | 2,984 | 175,847 | ||||||
Hanesbrands, Inc.(b) | 41,273 | 760,249 | ||||||
Hasbro, Inc. | 1,975 | 166,492 | ||||||
Leggett & Platt, Inc.(b) | 3,792 | 168,213 | ||||||
Lennar Corp., Class A | 3,806 | 224,326 | ||||||
Mattel, Inc.(b) | 39,402 | 518,136 |
The accompanying notes are an integral part of the financial statements.
14
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 17,888 | $ | 1,110,487 | |||||
Newell Brands, Inc.†(b) | 55,609 | 1,416,917 | ||||||
PulteGroup, Inc. | 4,548 | 134,121 | ||||||
PVH Corp.† | 476 | 72,081 | ||||||
Ralph Lauren Corp.(b) | 9,318 | 1,041,752 | ||||||
Under Armour, Inc., | 7,008 | 100,565 | ||||||
VF Corp.(a) | 45,365 | 3,362,454 | ||||||
|
| |||||||
9,512,883 | ||||||||
|
| |||||||
Consumer Services — 4.1% |
| |||||||
H&R Block, Inc.(b) | 3,316 | 84,260 | ||||||
Hilton Worldwide Holdings, Inc.† | 20,744 | 1,633,797 | ||||||
Marriott International, Inc., Class A(a) | 27,080 | 3,682,338 | ||||||
McDonald’s Corp.†(a) | 33,064 | 5,170,548 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 3,365 | 396,195 | ||||||
Wyndham Worldwide Corp.† | 11,450 | 1,310,224 | ||||||
Yum! Brands, Inc.† | 39,423 | 3,356,080 | ||||||
|
| |||||||
15,633,442 | ||||||||
|
| |||||||
Diversified Financials — 13.1% |
| |||||||
American Express Co.† | 43,274 | 4,036,599 | ||||||
Bank of New York Mellon Corp. (The)† | 16,074 | 828,293 | ||||||
Berkshire Hathaway, Inc., Class B†* | 48,187 | 9,612,343 | ||||||
BlackRock, Inc.† | 18,458 | 9,999,068 | ||||||
Capital One Financial Corp.† | 3,152 | 302,025 | ||||||
Cboe Global Markets, Inc. | 1,788 | 204,011 | ||||||
Charles Schwab Corp. | 20,644 | 1,078,030 | ||||||
CME Group, Inc.(b) | 5,380 | 870,161 | ||||||
Discover Financial Services† | 5,677 | 408,347 | ||||||
E*TRADE Financial Corp.†* | 4,232 | 234,495 | ||||||
Franklin Resources, Inc.† | 63,310 | 2,195,591 | ||||||
Goldman Sachs Group, Inc. (The)† | 955 | 240,526 | ||||||
Intercontinental Exchange, Inc.† | 49,903 | 3,618,966 | ||||||
Invesco Ltd. (Bermuda)† | 46,646 | 1,493,138 | ||||||
Moody’s Corp.†(a) | 21,578 | 3,480,531 | ||||||
Morgan Stanley† | 24,135 | 1,302,325 | ||||||
Nasdaq, Inc.† | 19,190 | 1,654,562 | ||||||
Northern Trust Corp.† | 3,586 | 369,824 | ||||||
Raymond James Financial, Inc.† | 2,303 | 205,911 | ||||||
S&P Global, Inc.† | 22,531 | 4,304,773 | ||||||
State Street Corp.† | 6,834 | 681,555 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Synchrony Financial† | 154 | $ | 5,164 | |||||
T Rowe Price Group, Inc.† | 28,091 | 3,032,985 | ||||||
|
| |||||||
50,159,223 | ||||||||
|
| |||||||
Energy — 10.7% | ||||||||
Andeavor | 17,569 | 1,766,739 | ||||||
Apache Corp.(b) | 43,660 | 1,680,037 | ||||||
Cabot Oil & Gas Corp.(b) | 52,790 | 1,265,904 | ||||||
Chevron Corp.† | 17,392 | 1,983,384 | ||||||
ConocoPhillips†(b) | 134,907 | 7,998,636 | ||||||
Exxon Mobil Corp.† | 72,506 | 5,409,673 | ||||||
Hess Corp.(b) | 36,119 | 1,828,344 | ||||||
Marathon Oil Corp.† | 13,482 | 217,465 | ||||||
Marathon Petroleum Corp.† | 55,700 | 4,072,227 | ||||||
National Oilwell Varco, Inc.(b) | 6,029 | 221,927 | ||||||
Noble Energy, Inc.†(b) | 35,160 | 1,065,348 | ||||||
ONEOK, Inc.† | 615 | 35,006 | ||||||
Phillips 66†(a) | 57,534 | 5,518,661 | ||||||
Schlumberger Ltd. | 21,952 | 1,422,051 | ||||||
TechnipFMC PLC | 53,522 | 1,576,223 | ||||||
Valero Energy Corp.†(b) | 49,729 | 4,613,359 | ||||||
|
| |||||||
40,674,984 | ||||||||
|
| |||||||
Food & Staples Retailing — 5.5% |
| |||||||
CVS Health Corp.† | 61,692 | 3,837,859 | ||||||
Kroger Co. (The)† | 99,709 | 2,387,033 | ||||||
Sysco Corp.†(b) | 8,270 | 495,869 | ||||||
Walgreens Boots Alliance, Inc.† | 68,876 | 4,509,312 | ||||||
Walmart, Inc.† | 108,146 | 9,621,750 | ||||||
|
| |||||||
20,851,823 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 9.6% |
| |||||||
Altria Group, Inc.† | 133,369 | 8,311,556 | ||||||
Campbell Soup Co.(b) | 4,774 | 206,762 | ||||||
Coca-Cola Co. (The)† | 69,806 | 3,031,675 | ||||||
Conagra Brands, Inc.† | 14,836 | 547,152 | ||||||
Dr Pepper Snapple Group, Inc.† | 11,683 | 1,383,034 | ||||||
General Mills, Inc.†(b) | 63,847 | 2,876,946 | ||||||
Hershey Co. (The)(b) | 24,167 | 2,391,566 | ||||||
Hormel Foods Corp.(b) | 5,313 | 182,342 | ||||||
JM Smucker Co. (The)(b) | 1,801 | 223,342 | ||||||
Kraft Heinz Co. (The)† | 64,112 | 3,993,536 | ||||||
McCormick & Co., Inc., non-voting shares(b) | 3,075 | 327,149 | ||||||
Molson Coors Brewing Co., Class B† | 3,416 | 257,327 | ||||||
PepsiCo, Inc.†(a) | 48,013 | 5,240,619 |
The accompanying notes are an integral part of the financial statements.
15
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Philip Morris International, Inc.†(b) | 47,870 | $ | 4,758,278 | |||||
Tyson Foods, Inc., Class A† | 42,177 | 3,086,935 | ||||||
|
| |||||||
36,818,219 | ||||||||
|
| |||||||
Health Care Equipment & Services — 9.4% |
| |||||||
Abbott Laboratories† | 109,770 | 6,577,418 | ||||||
Aetna, Inc.† | 18,002 | 3,042,338 | ||||||
AmerisourceBergen Corp.† | 5,560 | 479,328 | ||||||
Anthem, Inc.† | 3,138 | 689,419 | ||||||
Baxter International, Inc.† | 8,588 | 558,563 | ||||||
Centene Corp.†* | 1,350 | 144,274 | ||||||
Cigna Corp.†(a) | 27,836 | 4,669,211 | ||||||
Danaher Corp.(b) | 11,049 | 1,081,808 | ||||||
Envision Healthcare Corp.(b)* | 1,919 | 73,747 | ||||||
Express Scripts Holding Co.†* | 55,707 | 3,848,240 | ||||||
Humana, Inc.† | 11,495 | 3,090,201 | ||||||
Laboratory Corp. of America Holdings†* | 11,841 | 1,915,282 | ||||||
Medtronic PLC (Ireland)† | 21,496 | 1,724,409 | ||||||
Quest Diagnostics, Inc.† | 15,038 | 1,508,311 | ||||||
UnitedHealth Group, Inc.† | 26,939 | 5,764,946 | ||||||
Universal Health Services, Inc., Class B | 1,499 | 177,497 | ||||||
Varian Medical Systems, | 5,613 | 688,434 | ||||||
|
| |||||||
36,033,426 | ||||||||
|
| |||||||
Household & Personal Products — 5.1% |
| |||||||
Church & Dwight Co., Inc. | 6,661 | 335,448 | ||||||
Colgate-Palmolive Co.† | 13,540 | 970,547 | ||||||
Estee Lauder Cos., Inc. (The), Class A†(a) | 42,763 | 6,402,476 | ||||||
Kimberly-Clark Corp.† | 11,899 | 1,310,437 | ||||||
Procter & Gamble Co. | 131,555 | 10,429,680 | ||||||
|
| |||||||
19,448,588 | ||||||||
|
| |||||||
Insurance — 5.3% |
| |||||||
Aflac, Inc.† | 12,387 | 542,055 | ||||||
Allstate Corp. (The)† | 14,612 | 1,385,218 | ||||||
Aon PLC | 28,377 | 3,982,144 | ||||||
Arthur J Gallagher & Co. | 2,871 | 197,324 | ||||||
Brighthouse Financial, Inc.†* | 1,889 | 97,095 | ||||||
Hartford Financial Services Group, Inc. (The)† | 34,548 | 1,779,913 | ||||||
Loews Corp. | 5,267 | 261,928 | ||||||
Marsh & McLennan Cos., Inc.†(a) | 58,303 | 4,815,245 | ||||||
MetLife, Inc.† | 5,734 | 263,133 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Progressive Corp. (The)† | 66,668 | $ | 4,062,081 | |||||
Prudential Financial, Inc.† | 7,002 | 725,057 | ||||||
Torchmark Corp.† | 13,133 | 1,105,405 | ||||||
Travelers Cos., Inc. (The)† | 6,775 | 940,776 | ||||||
|
| |||||||
20,157,374 | ||||||||
|
| |||||||
Materials — 7.9% | ||||||||
Air Products & Chemicals, Inc.† | 4,146 | 659,338 | ||||||
Avery Dennison Corp.† | 10,095 | 1,072,594 | ||||||
Eastman Chemical Co.(b) | 16,380 | 1,729,400 | ||||||
Ecolab, Inc. | 4,588 | 628,877 | ||||||
Freeport-McMoRan, Inc.† | 165,953 | 2,915,794 | ||||||
International Flavors & Fragrances, Inc.† | 6,279 | 859,658 | ||||||
International Paper Co.† | 47,325 | 2,528,575 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 45,215 | 4,778,321 | ||||||
Monsanto Co.† | 50,509 | 5,893,895 | ||||||
Packaging Corp. of America | 1,495 | 168,486 | ||||||
PPG Industries, Inc.†(a) | 28,787 | 3,212,629 | ||||||
Praxair, Inc. | 4,548 | 656,276 | ||||||
Sealed Air Corp.(b) | 19,322 | 826,788 | ||||||
Sherwin-Williams Co. (The)(a) | 10,717 | 4,202,350 | ||||||
|
| |||||||
30,132,981 | ||||||||
|
| |||||||
Media — 5.1% | ||||||||
CBS Corp., Class B, non-voting shares† | 46,187 | 2,373,550 | ||||||
Discovery, Inc., Class A(b)* | 65,098 | 1,395,050 | ||||||
Interpublic Group of Cos., Inc. (The)(b) | 43,918 | 1,011,432 | ||||||
News Corp., Class A†(b) | 66,785 | 1,055,203 | ||||||
Omnicom Group, Inc.(b) | 26,371 | 1,916,381 | ||||||
Time Warner, Inc.† | 89,395 | 8,454,979 | ||||||
Twenty-First Century Fox, Inc., Class A | 50,297 | 1,845,397 | ||||||
Viacom, Inc., Class B(b) | 46,130 | 1,432,798 | ||||||
|
| |||||||
19,484,790 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 22.2% |
| |||||||
AbbVie, Inc.†(b) | 123,707 | 11,708,867 | ||||||
Amgen, Inc.† | 48,956 | 8,346,019 | ||||||
Biogen Inc.†* | 24,228 | 6,634,111 | ||||||
Bristol-Myers Squibb Co.† | 13,474 | 852,230 | ||||||
Celgene Corp.†* | 87,022 | 7,763,233 | ||||||
Eli Lilly & Co.† | 17,458 | 1,350,725 | ||||||
Gilead Sciences, Inc.†(a)(b) | 90,194 | 6,799,726 |
The accompanying notes are an integral part of the financial statements.
16
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Johnson & Johnson†(a) | 116,379 | $ | 14,913,969 | |||||
Merck & Co., Inc.† | 167,118 | 9,102,917 | ||||||
Pfizer, Inc.†(a) | 337,826 | 11,989,445 | ||||||
Waters Corp.(b)* | 3,604 | 715,935 | ||||||
Zoetis, Inc.† | 55,714 | 4,652,676 | ||||||
|
| |||||||
84,829,853 | ||||||||
|
| |||||||
Real Estate — 2.4% | ||||||||
Alexandria Real Estate Equities, Inc., REIT(b) | 10,588 | 1,322,335 | ||||||
AvalonBay Communities, Inc., REIT(b) | 2,190 | 360,167 | ||||||
CBRE Group, Inc., Class A(b)* | 38,906 | 1,837,141 | ||||||
Equity Residential, REIT | 9,304 | 573,312 | ||||||
Mid-America Apartment Communities, Inc., REIT† | 8,496 | 775,175 | ||||||
Prologis, Inc., REIT | 8,396 | 528,864 | ||||||
Realty Income Corp., REIT(b) | 4,508 | 233,199 | ||||||
Ventas, Inc., REIT | 5,649 | 279,795 | ||||||
Welltower, Inc., REIT(b) | 5,896 | 320,919 | ||||||
Weyerhaeuser Co., REIT† | 86,556 | 3,029,460 | ||||||
|
| |||||||
9,260,367 | ||||||||
|
| |||||||
Retailing — 7.0% | ||||||||
Advance Auto Parts, Inc.(b) | 6,119 | 725,407 | ||||||
Amazon.com, Inc.†* | 2,805 | 4,059,789 | ||||||
AutoZone, Inc.†* | 694 | 450,191 | ||||||
Best Buy Co., Inc.(b) | 10,043 | 702,910 | ||||||
Booking Holdings, Inc.†(a)* | 3,747 | 7,795,221 | ||||||
Dollar General Corp.† | 4 | 374 | ||||||
Dollar Tree, Inc.†* | 3,762 | 357,014 | ||||||
Foot Locker, Inc.(b) | 1,901 | 86,572 | ||||||
Gap, Inc. (The)(b) | 6,170 | 192,504 | ||||||
Home Depot, Inc. (The)† | 24,599 | 4,384,526 | ||||||
Kohl’s Corp.(b) | 16,817 | 1,101,682 | ||||||
L Brands, Inc.(b) | 4,473 | 170,913 | ||||||
Macy’s, Inc.(b) | 4,808 | 142,990 | ||||||
O’Reilly Automotive, Inc.(b)* | 2,700 | 667,926 | ||||||
Ross Stores, Inc.† | 17,149 | 1,337,279 | ||||||
Target Corp.(b) | 22,849 | 1,586,406 | ||||||
Tiffany & Co. | 4,983 | 486,640 | ||||||
TJX Cos., Inc. (The) | 22,740 | 1,854,674 | ||||||
Tractor Supply Co.(b) | 8,920 | 562,138 | ||||||
Ulta Beauty, Inc.* | 357 | 72,924 | ||||||
|
| |||||||
26,738,080 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — 7.9% |
| |||||||
Advanced Micro Devices, | 16,934 | $ | 170,187 | |||||
Analog Devices, Inc.(b) | 5,854 | 533,475 | ||||||
Applied Materials, Inc.† | 57,574 | 3,201,690 | ||||||
Intel Corp.† | 80,001 | 4,166,452 | ||||||
KLA-Tencor Corp. | 4,254 | 463,729 | ||||||
Lam Research Corp. | 11,394 | 2,314,805 | ||||||
Microchip Technology, Inc.(b) | 2 | 183 | ||||||
Micron Technology, Inc.†(a)* | 144,919 | 7,556,077 | ||||||
Qorvo, Inc.(b)* | 2,006 | 141,323 | ||||||
QUALCOMM, Inc.† | 26,857 | 1,488,146 | ||||||
Skyworks Solutions, Inc. | 3,438 | 344,694 | ||||||
Texas Instruments, Inc.†(a)(b) | 93,143 | 9,676,626 | ||||||
|
| |||||||
30,057,387 | ||||||||
|
| |||||||
Software & Services — 17.9% |
| |||||||
Accenture PLC, Class A | 56,595 | 8,687,332 | ||||||
Alliance Data Systems | 6,349 | 1,351,448 | ||||||
Alphabet, Inc., Class A†* | 11,020 | 11,429,283 | ||||||
CA, Inc.†(b) | 47,241 | 1,601,470 | ||||||
Citrix Systems, Inc.†* | 2,279 | 211,491 | ||||||
Cognizant Technology Solutions Corp., Class A† | 9,327 | 750,824 | ||||||
CSRA, Inc.† | 2,598 | 107,116 | ||||||
DXC Technology Co.(a) | 32,726 | 3,289,945 | ||||||
eBay, Inc.†* | 16,321 | 656,757 | ||||||
Facebook, Inc., Class A†* | 36,159 | 5,777,847 | ||||||
Fidelity National Information Services, Inc. | 8,801 | 847,536 | ||||||
Fiserv, Inc.* | 6,585 | 469,576 | ||||||
Gartner, Inc.(b)* | 1,440 | 169,373 | ||||||
International Business Machines Corp.† | 57,333 | 8,796,602 | ||||||
Mastercard, Inc., Class A† | 17,533 | 3,071,080 | ||||||
Microsoft Corp.† | 122,213 | 11,154,381 | ||||||
Oracle Corp.† | 68,696 | 3,142,842 | ||||||
Paychex, Inc. | 38,425 | 2,366,596 | ||||||
Total System Services, Inc.† | 2,869 | 247,480 | ||||||
Visa, Inc., Class A(b) | 35,796 | 4,281,918 | ||||||
|
| |||||||
68,410,897 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 12.1% |
| |||||||
Amphenol Corp., Class A | 5,440 | 468,547 | ||||||
Apple, Inc.† | 136,172 | 22,846,938 | ||||||
Cisco Systems, Inc.† | 206,118 | 8,840,401 | ||||||
F5 Networks, Inc.†* | 2,824 | 408,379 | ||||||
FLIR Systems, Inc. | 2,202 | 110,122 |
The accompanying notes are an integral part of the financial statements.
17
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||||
COMMON STOCKS — (Continued) | ||||||||||
Technology Hardware & Equipment — (Continued) | ||||||||||
Hewlett Packard Enterprise Co.† | 106,103 | $ | 1,861,047 | |||||||
HP, Inc.†(b) | 186,010 | 4,077,339 | ||||||||
IPG Photonics Corp.* | 850 | 198,373 | ||||||||
Juniper Networks, Inc.† | 18,751 | 456,212 | ||||||||
Motorola Solutions, Inc.† | 18,475 | 1,945,418 | ||||||||
NetApp, Inc.† | 30,715 | 1,894,808 | ||||||||
Seagate Technology PLC (Ireland) | 32,663 | 1,911,439 | ||||||||
Western Digital Corp.† | 12,686 | 1,170,537 | ||||||||
Xerox Corp. | 4,038 | 116,214 | ||||||||
|
| |||||||||
46,305,774 | ||||||||||
|
| |||||||||
Telecommunication Services — 3.4% |
| |||||||||
AT&T, Inc.† | 97,381 | 3,471,633 | ||||||||
Verizon Communications, Inc.†(a) | 195,129 | 9,331,069 | ||||||||
|
| |||||||||
12,802,702 | ||||||||||
|
| |||||||||
Transportation — 2.1% | ||||||||||
Alaska Air Group, Inc. | 3,693 | 228,818 | ||||||||
Delta Air Lines, Inc. | 11,217 | 614,804 | ||||||||
Expeditors International of Washington, Inc.†(b) | 20,214 | 1,279,546 | ||||||||
JB Hunt Transport Services, | 539 | 63,144 | ||||||||
Kansas City Southern† | 1,634 | 179,495 | ||||||||
Norfolk Southern Corp.†(a) | 17,661 | 2,398,011 | ||||||||
Union Pacific Corp.† | 24,146 | 3,245,947 | ||||||||
|
| |||||||||
8,009,765 | ||||||||||
|
| |||||||||
Utilities — 5.3% | ||||||||||
AES Corp.† | 10,475 | 119,101 | ||||||||
Consolidated Edison, Inc. | 4,918 | 383,309 | ||||||||
Duke Energy Corp.† | 45,584 | 3,531,392 | ||||||||
Exelon Corp.† | 15,280 | 596,073 | ||||||||
FirstEnergy Corp.(b) | 51,040 | 1,735,870 | ||||||||
NextEra Energy, Inc.†(a) | 41,941 | 6,850,224 | ||||||||
NRG Energy, Inc.(b) | 36,302 | 1,108,300 | ||||||||
Pinnacle West Capital Corp.† | 1,772 | 141,406 | ||||||||
SCANA Corp. | 4,624 | 173,631 | ||||||||
Southern Co. (The)(b) | 112,888 | 5,041,578 | ||||||||
Xcel Energy, Inc.(b) | 8,053 | 366,250 | ||||||||
|
| |||||||||
20,047,134 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS | 731,245,702 | |||||||||
|
| |||||||||
TOTAL LONG POSITIONS - 191.5% | 731,245,702 | |||||||||
|
| |||||||||
(Cost $709,511,858) |
Number of Shares | Value | |||||||||
SHORT POSITIONS — (92.6)% |
| |||||||||
COMMON STOCKS — (92.6)% |
| |||||||||
Automobiles & Components — (1.1)% |
| |||||||||
Ford Motor Co. | (330,756 | ) | $ | (3,664,776 | ) | |||||
Harley-Davidson, Inc. | (14,013 | ) | (600,877 | ) | ||||||
|
| |||||||||
(4,265,653 | ) | |||||||||
|
| |||||||||
Banks — (2.0)% | ||||||||||
Fifth Third Bancorp | (57,771 | ) | (1,834,229 | ) | ||||||
M&T Bank Corp. | (2,438 | ) | (449,470 | ) | ||||||
Regions Financial Corp. | (97,865 | ) | (1,818,332 | ) | ||||||
SVB Financial Group* | (779 | ) | (186,968 | ) | ||||||
US Bancorp | (66,790 | ) | (3,372,895 | ) | ||||||
|
| |||||||||
(7,661,894 | ) | |||||||||
|
| |||||||||
Capital Goods — (1.0)% | ||||||||||
Fortive Corp. | (4,147 | ) | (321,475 | ) | ||||||
Parker-Hannifin Corp. | (10,953 | ) | (1,873,292 | ) | ||||||
Quanta Services, Inc.* | (12,808 | ) | (439,955 | ) | ||||||
United Rentals, Inc.* | (7,032 | ) | (1,214,637 | ) | ||||||
|
| |||||||||
(3,849,359 | ) | |||||||||
|
| |||||||||
Commercial & Professional Services — (0.9)% |
| |||||||||
Equifax, Inc. | (9,658 | ) | (1,137,809 | ) | ||||||
IHS Markit Ltd. (Bermuda)* | (33,239 | ) | (1,603,449 | ) | ||||||
Stericycle, Inc.* | (7,542 | ) | (441,433 | ) | ||||||
Verisk Analytics, Inc.* | (3,735 | ) | (388,440 | ) | ||||||
|
| |||||||||
(3,571,131 | ) | |||||||||
|
| |||||||||
Consumer Durables & Apparel — (2.8)% |
| |||||||||
Mohawk Industries, Inc.* | (6,197 | ) | (1,439,067 | ) | ||||||
NIKE, Inc., Class B | (106,043 | ) | (7,045,497 | ) | ||||||
Tapestry, Inc. | (23,714 | ) | (1,247,593 | ) | ||||||
Whirlpool Corp. | (5,912 | ) | (905,186 | ) | ||||||
|
| |||||||||
(10,637,343 | ) | |||||||||
|
| |||||||||
Consumer Services — (3.8)% |
| |||||||||
Carnival Corp. (Panama) | (26,896 | ) | (1,763,840 | ) | ||||||
Chipotle Mexican Grill, Inc.* | (2,333 | ) | (753,816 | ) | ||||||
Darden Restaurants, Inc. | (9,913 | ) | (845,083 | ) | ||||||
MGM Resorts International | (47,151 | ) | (1,651,228 | ) | ||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (18,459 | ) | (977,773 | ) | ||||||
Starbucks Corp. | (117,204 | ) | (6,784,940 | ) | ||||||
Wynn Resorts Ltd. | (8,576 | ) | (1,563,919 | ) | ||||||
|
| |||||||||
(14,340,599 | ) | |||||||||
|
| |||||||||
Diversified Financials — (0.6)% |
| |||||||||
Affiliated Managers Group, Inc. | (4,588 | ) | (869,793 | ) | ||||||
Ameriprise Financial, Inc. | (2,175 | ) | (321,770 | ) | ||||||
Leucadia National Corp. | (28,594 | ) | (649,942 | ) | ||||||
Navient Corp. | (21,904 | ) | (287,380 | ) | ||||||
|
| |||||||||
(2,128,885 | ) | |||||||||
|
|
The accompanying notes are an integral part of the financial statements.
18
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||||
COMMON STOCKS — (Continued) |
| |||||||||
Energy — (7.4)% | ||||||||||
Anadarko Petroleum Corp. | (44,197 | ) | $ | (2,669,941 | ) | |||||
Cimarex Energy Co. | (7,946 | ) | (742,951 | ) | ||||||
Concho Resources, Inc.* | (12,433 | ) | (1,869,053 | ) | ||||||
Devon Energy Corp. | (43,714 | ) | (1,389,668 | ) | ||||||
EOG Resources, Inc. | (48,167 | ) | (5,070,540 | ) | ||||||
EQT Corp. | (22,008 | ) | (1,045,600 | ) | ||||||
Halliburton Co. | (69,701 | ) | (3,271,765 | ) | ||||||
Helmerich & Payne, Inc. | (9,063 | ) | (603,233 | ) | ||||||
Kinder Morgan, Inc. | (189,442 | ) | (2,852,997 | ) | ||||||
Newfield Exploration Co.* | (16,628 | ) | (406,056 | ) | ||||||
Occidental Petroleum Corp. | (61,394 | ) | (3,988,154 | ) | ||||||
Pioneer Natural Resources Co. | (14,170 | ) | (2,434,123 | ) | ||||||
Range Resources Corp. | (20,660 | ) | (300,396 | ) | ||||||
Williams Cos., Inc. (The) | (68,777 | ) | (1,709,796 | ) | ||||||
|
| |||||||||
(28,354,273 | ) | |||||||||
|
| |||||||||
Food & Staples Retailing — (1.6)% |
| |||||||||
Costco Wholesale Corp. | (33,378 | ) | (6,289,417 | ) | ||||||
|
| |||||||||
Food, Beverage & Tobacco — (4.5)% |
| |||||||||
Archer-Daniels-Midland Co. | (46,378 | ) | (2,011,414 | ) | ||||||
Brown-Forman Corp., Class B | (39,998 | ) | (2,175,891 | ) | ||||||
Constellation Brands, Inc., Class A | (14,823 | ) | (3,378,458 | ) | ||||||
Kellogg Co. | (27,340 | ) | (1,777,373 | ) | ||||||
Mondelez International, Inc., Class A | (120,404 | ) | (5,024,459 | ) | ||||||
Monster Beverage Corp.* | (47,154 | ) | (2,697,680 | ) | ||||||
|
| |||||||||
(17,065,275 | ) | |||||||||
|
| |||||||||
Health Care Equipment & Services — (8.1)% |
| |||||||||
Align Technology, Inc.* | (6,664 | ) | (1,673,530 | ) | ||||||
Becton Dickinson and Co. | (22,168 | ) | (4,803,806 | ) | ||||||
Boston Scientific Corp.* | (114,365 | ) | (3,124,452 | ) | ||||||
Cardinal Health, Inc. | (26,228 | ) | (1,643,971 | ) | ||||||
Cerner Corp.* | (28,535 | ) | (1,655,030 | ) | ||||||
Cooper Cos., Inc. (The) | (4,071 | ) | (931,486 | ) | ||||||
DaVita, Inc.* | (15,192 | ) | (1,001,760 | ) | ||||||
DENTSPLY SIRONA, Inc. | (19,035 | ) | (957,651 | ) | ||||||
Edwards Lifesciences Corp.* | (16,832 | ) | (2,348,401 | ) | ||||||
HCA Healthcare, Inc. | (29,150 | ) | (2,827,550 | ) | ||||||
Henry Schein, Inc.* | (12,798 | ) | (860,154 | ) | ||||||
Hologic, Inc.* | (22,997 | ) | (859,168 | ) | ||||||
IDEXX Laboratories, Inc.* | (7,252 | ) | (1,387,960 | ) | ||||||
Intuitive Surgical, Inc.* | (3,092 | ) | (1,276,470 | ) |
Number of Shares | Value | |||||||||
COMMON STOCKS — (Continued) |
| |||||||||
Health Care Equipment & Services — (Continued) |
| |||||||||
McKesson Corp. | (17,152 | ) | $ | (2,416,202 | ) | |||||
ResMed, Inc. | (11,898 | ) | (1,171,596 | ) | ||||||
Stryker Corp. | (1,270 | ) | (204,368 | ) | ||||||
Zimmer Biomet Holdings, Inc. | (16,869 | ) | (1,839,396 | ) | ||||||
|
| |||||||||
(30,982,951 | ) | |||||||||
|
| |||||||||
Household & Personal Products — (0.7)% |
| |||||||||
Clorox Co. (The) | (10,771 | ) | (1,433,728 | ) | ||||||
Coty, Inc., Class A | (62,432 | ) | (1,142,506 | ) | ||||||
|
| |||||||||
(2,576,234 | ) | |||||||||
|
| |||||||||
Insurance — (3.2)% | ||||||||||
American International Group, Inc. | (60,623 | ) | (3,299,104 | ) | ||||||
Assurant, Inc. | (4,365 | ) | (399,005 | ) | ||||||
Chubb Ltd. (Switzerland) | (4,621 | ) | (632,014 | ) | ||||||
Cincinnati Financial Corp. | (13,648 | ) | (1,013,500 | ) | ||||||
Everest Re Group Ltd. (Bermuda) | (3,340 | ) | (857,779 | ) | ||||||
Lincoln National Corp. | (18,160 | ) | (1,326,770 | ) | ||||||
Principal Financial Group, Inc. | (21,357 | ) | (1,300,855 | ) | ||||||
Unum Group | (18,430 | ) | (877,452 | ) | ||||||
Willis Towers Watson PLC (Ireland) | (11,003 | ) | (1,674,546 | ) | ||||||
XL Group Ltd. (Bermuda) | (16,539 | ) | (913,945 | ) | ||||||
|
| |||||||||
(12,294,970 | ) | |||||||||
|
| |||||||||
Materials — (4.5)% | ||||||||||
Albemarle Corp. | (9,204 | ) | (853,579 | ) | ||||||
Ball Corp. | (8,382 | ) | (332,849 | ) | ||||||
CF Industries Holdings, Inc. | (19,365 | ) | (730,641 | ) | ||||||
DowDuPont, Inc. | (110,539 | ) | (7,042,440 | ) | ||||||
FMC Corp. | (11,185 | ) | (856,435 | ) | ||||||
Martin Marietta Materials, Inc. | (5,235 | ) | (1,085,216 | ) | ||||||
Mosaic Co. (The) | (29,230 | ) | (709,704 | ) | ||||||
Newmont Mining Corp. | (44,388 | ) | (1,734,239 | ) | ||||||
Nucor Corp. | (26,476 | ) | (1,617,419 | ) | ||||||
Vulcan Materials Co. | (11,018 | ) | (1,257,925 | ) | ||||||
WestRock Co. | (13,033 | ) | (836,328 | ) | ||||||
|
| |||||||||
(17,056,775 | ) | |||||||||
|
| |||||||||
Media — (2.9)% | ||||||||||
Charter Communications, Inc., Class A* | (14,954 | ) | (4,653,984 | ) | ||||||
Comcast Corp., Class A | (4,116 | ) | (140,644 | ) | ||||||
DISH Network Corp., Class A* | (31,202 | ) | (1,182,244 | ) | ||||||
Walt Disney Co. (The) | (51,207 | ) | (5,143,231 | ) | ||||||
|
| |||||||||
(11,120,103 | ) | |||||||||
|
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (6.7)% |
| |||||||||
Agilent Technologies, Inc. | (7,674 | ) | (513,391 | ) |
The accompanying notes are an integral part of the financial statements.
19
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||||
COMMON STOCKS — (Continued) |
| |||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||||
Alexion Pharmaceuticals, Inc.* | (18,509 | ) | $ | (2,063,013 | ) | |||||
Allergan PLC (Ireland) | (2,581 | ) | (434,356 | ) | ||||||
Illumina, Inc.* | (12,240 | ) | (2,893,781 | ) | ||||||
Incyte Corp.* | (18,140 | ) | (1,511,606 | ) | ||||||
IQVIA Holdings, Inc.* | (17,586 | ) | (1,725,362 | ) | ||||||
Mettler-Toledo International, Inc.* | (2,065 | ) | (1,187,437 | ) | ||||||
Mylan NV (Netherlands)* | (42,864 | ) | (1,764,711 | ) | ||||||
Nektar Therapeutics* | (13,282 | ) | (1,411,345 | ) | ||||||
PerkinElmer, Inc. | (9,190 | ) | (695,867 | ) | ||||||
Perrigo Co. PLC (Ireland) | (11,724 | ) | (977,078 | ) | ||||||
Regeneron Pharmaceuticals, Inc.* | (10,315 | ) | (3,552,073 | ) | ||||||
Thermo Fisher Scientific, Inc. | (15,593 | ) | (3,219,331 | ) | ||||||
Vertex Pharmaceuticals, Inc.* | (21,529 | ) | (3,508,796 | ) | ||||||
|
| |||||||||
(25,458,147 | ) | |||||||||
|
| |||||||||
Real Estate — (9.6)% | ||||||||||
American Tower Corp., REIT | (35,741 | ) | (5,194,597 | ) | ||||||
Apartment Investment & Management Co., Class A, REIT | (13,089 | ) | (533,377 | ) | ||||||
Boston Properties, Inc., REIT | (12,850 | ) | (1,583,377 | ) | ||||||
Crown Castle International Corp., REIT | (33,829 | ) | (3,707,997 | ) | ||||||
Digital Realty Trust, Inc., REIT | (16,492 | ) | (1,737,927 | ) | ||||||
Duke Realty Corp., REIT | (29,673 | ) | (785,741 | ) | ||||||
Equinix, Inc., REIT | (6,581 | ) | (2,751,779 | ) | ||||||
Essex Property Trust, Inc., REIT | (5,379 | ) | (1,294,618 | ) | ||||||
Extra Space Storage, Inc., REIT | (10,493 | ) | (916,668 | ) | ||||||
Federal Realty Investment Trust, REIT | (6,086 | ) | (706,645 | ) | ||||||
GGP, Inc., REIT | (79,684 | ) | (1,630,335 | ) | ||||||
HCP, Inc., REIT | (36,776 | ) | (854,306 | ) | ||||||
Host Hotels & Resorts, Inc., REIT | (61,542 | ) | (1,147,143 | ) | ||||||
Iron Mountain, Inc., REIT | (23,573 | ) | (774,609 | ) | ||||||
Kimco Realty Corp., REIT | (35,442 | ) | (510,365 | ) | ||||||
Macerich Co. (The), REIT | (11,740 | ) | (657,675 | ) | ||||||
Public Storage, REIT | (14,476 | ) | (2,900,846 | ) | ||||||
Regency Centers Corp., REIT | (13,112 | ) | (773,346 | ) | ||||||
SBA Communications Corp., REIT* | (9,695 | ) | (1,657,069 | ) | ||||||
Simon Property Group, Inc., REIT | (25,910 | ) | (3,999,208 | ) | ||||||
SL Green Realty Corp., REIT | (7,728 | ) | (748,302 | ) | ||||||
UDR, Inc., REIT | (22,301 | ) | (794,362 | ) | ||||||
Vornado Realty Trust, REIT | (15,820 | ) | (1,064,686 | ) | ||||||
|
| |||||||||
(36,724,978 | ) | |||||||||
|
|
Number of Shares | Value | |||||||||
COMMON STOCKS — (Continued) |
| |||||||||
Retailing — (4.8)% | ||||||||||
CarMax, Inc.* | (15,111 | ) | $ | (935,975 | ) | |||||
Expedia Group, Inc. | (13,127 | ) | (1,449,352 | ) | ||||||
Genuine Parts Co. | (12,211 | ) | (1,097,036 | ) | ||||||
LKQ Corp.* | (25,739 | ) | (976,795 | ) | ||||||
Lowe’s Cos., Inc. | (69,111 | ) | (6,064,490 | ) | ||||||
Netflix, Inc.* | (24,445 | ) | (7,219,831 | ) | ||||||
Nordstrom, Inc. | (4,770 | ) | (230,916 | ) | ||||||
TripAdvisor, Inc.* | (11,557 | ) | (472,566 | ) | ||||||
|
| |||||||||
(18,446,961 | ) | |||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — (3.4)% |
| |||||||||
Broadcom Ltd. (Singapore) | (21,009 | ) | (4,950,771 | ) | ||||||
NVIDIA Corp. | (28,043 | ) | (6,494,478 | ) | ||||||
Xilinx, Inc. | (21,217 | ) | (1,532,716 | ) | ||||||
|
| |||||||||
(12,977,965 | ) | |||||||||
|
| |||||||||
Software & Services — (9.9)% |
| |||||||||
Activision Blizzard, Inc. | (63,074 | ) | (4,254,972 | ) | ||||||
Adobe Systems, Inc.* | (1,457 | ) | (314,829 | ) | ||||||
Akamai Technologies, Inc.* | (14,147 | ) | (1,004,154 | ) | ||||||
ANSYS, Inc.* | (7,011 | ) | (1,098,554 | ) | ||||||
Autodesk, Inc.* | (18,340 | ) | (2,303,137 | ) | ||||||
Automatic Data Processing, Inc. | (36,862 | ) | (4,183,100 | ) | ||||||
Cadence Design Systems, Inc.* | (23,511 | ) | (864,499 | ) | ||||||
Electronic Arts, Inc.* | (25,562 | ) | (3,099,137 | ) | ||||||
Global Payments, Inc. | (13,255 | ) | (1,478,198 | ) | ||||||
Intuit, Inc. | (21,316 | ) | (3,695,129 | ) | ||||||
PayPal Holdings, Inc.* | (34,485 | ) | (2,616,377 | ) | ||||||
Red Hat, Inc.* | (14,207 | ) | (2,124,088 | ) | ||||||
salesforce.com, Inc.* | (49,452 | ) | (5,751,268 | ) | ||||||
Symantec Corp. | (51,738 | ) | (1,337,427 | ) | ||||||
Synopsys, Inc.* | (12,403 | ) | (1,032,426 | ) | ||||||
Take-Two Interactive Software, Inc.* | (8,826 | ) | (863,006 | ) | ||||||
VeriSign, Inc.* | (8,912 | ) | (1,056,607 | ) | ||||||
Western Union Co. (The) | (38,219 | ) | (734,951 | ) | ||||||
|
| |||||||||
(37,811,859 | ) | |||||||||
|
| |||||||||
Technology Hardware & Equipment — (1.3)% |
| |||||||||
Corning, Inc. | (71,441 | ) | (1,991,775 | ) | ||||||
TE Connectivity Ltd. (Switzerland) | (29,259 | ) | (2,922,974 | ) | ||||||
|
| |||||||||
(4,914,749 | ) | |||||||||
|
| |||||||||
Telecommunication Services — (0.4)% |
| |||||||||
CenturyLink, Inc. | (89,024 | ) | (1,462,664 | ) | ||||||
|
| |||||||||
Transportation — (5.5)% | ||||||||||
American Airlines Group, Inc. | (39,731 | ) | (2,064,423 | ) | ||||||
CH Robinson Worldwide, Inc. | (4,529 | ) | (424,413 | ) |
The accompanying notes are an integral part of the financial statements.
20
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
CSX Corp. | (74,093 | ) | $ | (4,127,721 | ) | |||
FedEx Corp. | (22,481 | ) | (5,397,913 | ) | ||||
Southwest Airlines Co. | (49,007 | ) | (2,807,121 | ) | ||||
United Continental Holdings, Inc.* | (23,894 | ) | (1,659,916 | ) | ||||
United Parcel Service, Inc., Class B | (43,288 | ) | (4,530,522 | ) | ||||
|
| |||||||
(21,012,029 | ) | |||||||
|
| |||||||
Utilities — (5.9)% | ||||||||
Alliant Energy Corp. | (16,803 | ) | (686,571 | ) | ||||
Ameren Corp. | (20,201 | ) | (1,143,983 | ) | ||||
American Electric Power Co., Inc. | (40,967 | ) | (2,809,927 | ) | ||||
American Water Works Co., Inc. | (14,858 | ) | (1,220,288 | ) | ||||
CenterPoint Energy, Inc. | (4,334 | ) | (118,752 | ) | ||||
CMS Energy Corp. | (23,447 | ) | (1,061,915 | ) | ||||
Dominion Energy, Inc. | (13,839 | ) | (933,164 | ) | ||||
DTE Energy Co. | (10,540 | ) | (1,100,376 | ) | ||||
Edison International | (11,811 | ) | (751,888 | ) | ||||
Entergy Corp. | (15,030 | ) | (1,184,063 | ) | ||||
Eversource Energy | (26,385 | ) | (1,554,604 | ) | ||||
NiSource, Inc. | (28,061 | ) | (670,939 | ) | ||||
PG&E Corp. | (41,319 | ) | (1,815,144 | ) | ||||
PPL Corp. | (55,658 | ) | (1,574,565 | ) | ||||
Public Service Enterprise Group, Inc. | (42,049 | ) | (2,112,542 | ) | ||||
Sempra Energy | (20,929 | ) | (2,327,723 | ) | ||||
WEC Energy Group, Inc. | (26,276 | ) | (1,647,505 | ) | ||||
|
| |||||||
(22,713,949 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $359,434,190) | (353,718,163 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (92.6)% |
| (353,718,163 | ) | |||||
|
| |||||||
(Proceeds $359,434,190) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1% | 4,253,208 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 381,780,747 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | Security position is either entirely or partially designated as collateral for securities on loan. |
(b) | 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.
21
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 169.7% |
| |||||||
COMMON STOCKS — 169.7% |
| |||||||
Automobiles & Components — 2.7% |
| |||||||
Aptiv PLC (Jersey)† | 25 | $ | 2,124 | |||||
BorgWarner, Inc.† | 20 | 1,005 | ||||||
Cooper-Standard Holdings, Inc.* | 46 | 5,649 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)† | 589 | 12,086 | ||||||
Ford Motor Co.† | 379 | 4,199 | ||||||
General Motors Co.† | 133 | 4,833 | ||||||
Gentex Corp. | 24 | 552 | ||||||
Goodyear Tire & Rubber Co. (The)† | 23 | 611 | ||||||
Harley-Davidson, Inc.† | 16 | 686 | ||||||
Lear Corp.† | 46 | 8,560 | ||||||
Magna International, Inc. (Canada) | 59 | 3,325 | ||||||
Modine Manufacturing Co.†* | 216 | 4,568 | ||||||
Standard Motor Products, Inc.† | 79 | 3,758 | ||||||
Tenneco, Inc.† | 118 | 6,475 | ||||||
Tower International, Inc. | 59 | 1,637 | ||||||
Winnebago Industries, Inc. | 74 | 2,782 | ||||||
|
| |||||||
62,850 | ||||||||
|
| |||||||
Banks — 6.3% |
| |||||||
Bank of America Corp.† | 980 | 29,390 | ||||||
BB&T Corp.† | 75 | 3,903 | ||||||
Citigroup, Inc.† | 245 | 16,538 | ||||||
Citizens Financial Group, Inc.† | 47 | 1,973 | ||||||
Comerica, Inc.† | 17 | 1,631 | ||||||
Fifth Third Bancorp† | 67 | 2,127 | ||||||
Huntington Bancshares, Inc.† | 103 | 1,555 | ||||||
JPMorgan Chase & Co.† | 327 | 35,960 | ||||||
KeyCorp.† | 102 | 1,994 | ||||||
M&T Bank Corp.† | 15 | 2,765 | ||||||
People’s United Financial, Inc.† | 33 | 616 | ||||||
PNC Financial Services Group, Inc. (The)† | 46 | 6,957 | ||||||
Regions Financial Corp.† | 112 | 2,081 | ||||||
SunTrust Banks, Inc.† | 45 | 3,062 | ||||||
SVB Financial Group* | 5 | 1,200 | ||||||
US Bancorp† | 158 | 7,979 | ||||||
Wells Fargo & Co.† | 466 | 24,423 | ||||||
Zions Bancorporation† | 19 | 1,002 | ||||||
|
| |||||||
145,156 | ||||||||
|
| |||||||
Capital Goods — 18.3% |
| |||||||
3M Co.† | 57 | 12,513 | ||||||
AAR Corp. | 44 | 1,941 | ||||||
Acuity Brands, Inc.† | 3 | 418 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Advanced Drainage Systems, Inc. | 161 | $ | 4,170 | |||||
Aegion Corp.* | 60 | 1,375 | ||||||
AGCO Corp.† | 77 | 4,993 | ||||||
Allegion PLC (Ireland)† | 9 | 768 | ||||||
Allison Transmission Holdings, Inc.† | 285 | 11,132 | ||||||
Altra Industrial Motion Corp. | 100 | 4,595 | ||||||
AMETEK, Inc.† | 23 | 1,747 | ||||||
AO Smith Corp.† | 17 | 1,081 | ||||||
Arconic, Inc.† | 45 | 1,037 | ||||||
Argan, Inc.† | 148 | 6,357 | ||||||
Armstrong World Industries, Inc.* | 23 | 1,295 | ||||||
Atkore International Group, Inc.* | 148 | 2,938 | ||||||
Beacon Roofing Supply, Inc.* | 3 | 159 | ||||||
Boeing Co. (The)† | 57 | 18,689 | ||||||
Builders FirstSource, Inc.†* | 566 | 11,229 | ||||||
Caterpillar, Inc.† | 57 | 8,401 | ||||||
Colfax Corp.* | 36 | 1,148 | ||||||
Columbus McKinnon Corp. | 39 | 1,398 | ||||||
Continental Building Products, Inc.* | 44 | 1,256 | ||||||
Crane Co.† | 111 | 10,294 | ||||||
CSW Industrials, Inc.†* | 23 | 1,036 | ||||||
Cummins, Inc.† | 16 | 2,593 | ||||||
Curtiss-Wright Corp.† | 84 | 11,346 | ||||||
Deere & Co.† | 31 | 4,815 | ||||||
Douglas Dynamics, Inc. | 54 | 2,341 | ||||||
Dover Corp.† | 16 | 1,572 | ||||||
Eaton Corp. PLC | 42 | 3,356 | ||||||
EMCOR Group, Inc.† | 85 | 6,624 | ||||||
Emerson Electric Co.† | 61 | 4,166 | ||||||
Encore Wire Corp.† | 49 | 2,778 | ||||||
Engility Holdings, Inc.†* | 82 | 2,001 | ||||||
Fastenal Co.† | 27 | 1,474 | ||||||
Flowserve Corp.† | 13 | 563 | ||||||
Fluor Corp.† | 14 | 801 | ||||||
Fortive Corp.† | 33 | 2,558 | ||||||
Fortune Brands Home & Security, Inc.† | 14 | 824 | ||||||
Foundation Building Materials, Inc.* | 48 | 716 | ||||||
Gardner Denver Holdings, Inc.†* | 98 | 3,007 | ||||||
Generac Holdings, Inc.†* | 260 | 11,937 | ||||||
General Cable Corp. | 171 | 5,062 | ||||||
General Dynamics Corp.† | 29 | 6,406 | ||||||
General Electric Co.† | 827 | 11,148 |
The accompanying notes are an integral part of the financial statements.
22
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Gorman-Rupp Co. (The) | 16 | $ | 468 | |||||
Graco, Inc. | 5 | 229 | ||||||
Granite Construction, Inc.† | 94 | 5,251 | ||||||
Harris Corp.† | 12 | 1,935 | ||||||
Harsco Corp.†* | 233 | 4,811 | ||||||
Hillenbrand, Inc.† | 105 | 4,820 | ||||||
Honeywell International, Inc.† | 72 | 10,405 | ||||||
Hubbell, Inc.† | 79 | 9,621 | ||||||
Huntington Ingalls Industries, Inc.† | 4 | 1,031 | ||||||
IDEX Corp. | 2 | 285 | ||||||
Illinois Tool Works, Inc.† | 33 | 5,170 | ||||||
Ingersoll-Rand PLC (Ireland)† | 24 | 2,052 | ||||||
Jacobs Engineering Group, Inc.† | 14 | 828 | ||||||
Johnson Controls International PLC (Ireland)† | 89 | 3,136 | ||||||
L3 Technologies, Inc.† | 7 | 1,456 | ||||||
Lockheed Martin Corp.† | 28 | 9,462 | ||||||
Lydall, Inc.* | 1 | 48 | ||||||
Manitowoc Co., Inc. (The)†* | 416 | 11,839 | ||||||
Masco Corp.† | 30 | 1,213 | ||||||
Milacron Holdings Corp.* | 183 | 3,686 | ||||||
MSC Industrial Direct Co., Inc., Class A† | 45 | 4,127 | ||||||
Navistar International Corp.†* | 46 | 1,609 | ||||||
NN, Inc.† | 64 | 1,536 | ||||||
Northrop Grumman Corp.† | 17 | 5,935 | ||||||
Orbital ATK, Inc.† | 44 | 5,835 | ||||||
Owens Corning† | 147 | 11,819 | ||||||
PACCAR, Inc.† | 34 | 2,250 | ||||||
Parker-Hannifin Corp.† | 13 | 2,223 | ||||||
Pentair PLC (Ireland)† | 18 | 1,226 | ||||||
Ply Gem Holdings, Inc.* | 130 | 2,808 | ||||||
Quanta Services, Inc.†* | 14 | 481 | ||||||
Raytheon Co.† | 28 | 6,043 | ||||||
Rockwell Automation, Inc.† | 13 | 2,265 | ||||||
Rockwell Collins, Inc.† | 15 | 2,023 | ||||||
Roper Technologies, Inc.† | 9 | 2,526 | ||||||
Snap-on, Inc.† | 6 | 885 | ||||||
Spartan Motors, Inc. | 171 | 2,941 | ||||||
SPX FLOW, Inc.†* | 183 | 9,002 | ||||||
Standex International Corp. | 18 | 1,716 | ||||||
Stanley Black & Decker, Inc.† | 15 | 2,298 | ||||||
Teledyne Technologies, Inc.†* | 63 | 11,792 | ||||||
Tennant Co. | 33 | 2,234 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Terex Corp.† | 163 | $ | 6,098 | |||||
Textron, Inc.† | 25 | 1,474 | ||||||
Titan International, Inc. | 31 | 391 | ||||||
TPI Composites, Inc.†* | 4 | 90 | ||||||
TransDigm Group, Inc.† | 4 | 1,228 | ||||||
TriMas Corp.†* | 72 | 1,890 | ||||||
Tutor Perini Corp.* | 251 | 5,535 | ||||||
United Rentals, Inc.†* | 8 | 1,382 | ||||||
United Technologies Corp.† | 76 | 9,562 | ||||||
Univar, Inc.* | 113 | 3,136 | ||||||
Universal Forest Products, Inc.† | 203 | 6,587 | ||||||
Watsco, Inc.† | 50 | 9,048 | ||||||
Watts Water Technologies, Inc., Class A† | 75 | 5,828 | ||||||
Welbilt, Inc.†* | 144 | 2,801 | ||||||
WESCO International, Inc.†* | 78 | 4,840 | ||||||
WW Grainger, Inc.† | 6 | 1,694 | ||||||
Xylem, Inc.† | 17 | 1,308 | ||||||
|
| |||||||
420,270 | ||||||||
|
| |||||||
Commercial & Professional Services — 3.8% |
| |||||||
ACCO Brands Corp.† | 328 | 4,116 | ||||||
Cintas Corp.† | 11 | 1,876 | ||||||
Clean Harbors, Inc.†* | 56 | 2,733 | ||||||
Covanta Holding Corp.† | 513 | 7,438 | ||||||
Deluxe Corp.† | 35 | 2,590 | ||||||
Equifax, Inc.† | 12 | 1,414 | ||||||
FTI Consulting, Inc.†* | 148 | 7,165 | ||||||
HNI Corp. | 11 | 397 | ||||||
ICF International, Inc.† | 59 | 3,449 | ||||||
IHS Markit Ltd. (Bermuda)†* | 37 | 1,785 | ||||||
Interface, Inc. | 228 | 5,746 | ||||||
Kforce, Inc. | 77 | 2,083 | ||||||
Knoll, Inc. | 36 | 727 | ||||||
Korn/Ferry International† | 144 | 7,429 | ||||||
LSC Communications, Inc. | 63 | 1,099 | ||||||
ManpowerGroup, Inc.† | 41 | 4,719 | ||||||
Matthews International Corp., Class A | 3 | 152 | ||||||
Navigant Consulting, Inc.†* | 193 | 3,713 | ||||||
Nielsen Holdings PLC (United Kingdom)† | 33 | 1,049 | ||||||
Quad/Graphics, Inc.† | 119 | 3,017 | ||||||
Republic Services, Inc.† | 31 | 2,053 |
The accompanying notes are an integral part of the financial statements.
23
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Robert Half International, Inc.† | 12 | $ | 695 | |||||
RR Donnelley & Sons Co. | 203 | 1,772 | ||||||
SP Plus Corp.†* | 92 | 3,275 | ||||||
Steelcase, Inc., Class A | 445 | 6,052 | ||||||
Stericycle, Inc.†* | 8 | 468 | ||||||
UniFirst Corp. | 10 | 1,616 | ||||||
US Ecology, Inc. | 49 | 2,612 | ||||||
Verisk Analytics, Inc.†* | 16 | 1,664 | ||||||
Viad Corp.† | 9 | 472 | ||||||
Waste Management, Inc.† | 41 | 3,449 | ||||||
|
| |||||||
86,825 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.6% |
| |||||||
Acushnet Holdings Corp.† | 114 | 2,632 | ||||||
Carter’s, Inc.† | 85 | 8,848 | ||||||
Columbia Sportswear Co.† | 7 | 535 | ||||||
Deckers Outdoor Corp.†* | 65 | 5,852 | ||||||
DR Horton, Inc.† | 35 | 1,534 | ||||||
Fossil Group, Inc.* | 259 | 3,289 | ||||||
Garmin Ltd. (Switzerland)† | 17 | 1,002 | ||||||
G-III Apparel Group Ltd.* | 89 | 3,354 | ||||||
Gildan Activewear, Inc. (Canada)† | 53 | 1,531 | ||||||
Hanesbrands, Inc. | 34 | 626 | ||||||
Hasbro, Inc.† | 12 | 1,012 | ||||||
Helen Of Troy Ltd. (Bermuda)†* | 70 | 6,090 | ||||||
La-Z-Boy, Inc. | 44 | 1,318 | ||||||
Leggett & Platt, Inc.† | 13 | 577 | ||||||
Lennar Corp., Class A† | 23 | 1,356 | ||||||
Mattel, Inc.† | 33 | 434 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 14 | 869 | ||||||
Mohawk Industries, Inc.†* | 7 | 1,626 | ||||||
Newell Brands, Inc.† | 47 | 1,198 | ||||||
NIKE, Inc., Class B† | 154 | 10,232 | ||||||
PulteGroup, Inc.† | 28 | 826 | ||||||
PVH Corp.† | 8 | 1,211 | ||||||
Ralph Lauren Corp.† | 7 | 783 | ||||||
Steven Madden Ltd. | 61 | 2,678 | ||||||
Tapestry, Inc.† | 27 | 1,420 | ||||||
Tempur Sealy International, Inc.* | 2 | 91 | ||||||
TopBuild Corp.†* | 97 | 7,422 | ||||||
Under Armour, Inc., Class C†* | 42 | 603 | ||||||
Universal Electronics, Inc.* | 14 | 729 | ||||||
VF Corp.† | 38 | 2,817 | ||||||
Vista Outdoor, Inc.†* | 386 | 6,300 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Whirlpool Corp.† | 7 | $ | 1,072 | |||||
ZAGG, Inc.†* | 211 | 2,574 | ||||||
|
| |||||||
82,441 | ||||||||
|
| |||||||
Consumer Services — 5.6% |
| |||||||
Adtalem Global Education, Inc.†* | 5 | 238 | ||||||
BJ’s Restaurants, Inc. | 68 | 3,053 | ||||||
Boyd Gaming Corp.† | 322 | 10,259 | ||||||
Brinker International, Inc.† | 109 | 3,935 | ||||||
Carnival Corp. | 68 | 4,459 | ||||||
Chipotle Mexican Grill, Inc.†* | 2 | 646 | ||||||
Choice Hotels International, Inc.† | 93 | 7,454 | ||||||
Cracker Barrel Old Country Store, Inc.† | 35 | 5,572 | ||||||
Darden Restaurants, Inc.† | 11 | 938 | ||||||
Denny’s Corp.* | 92 | 1,420 | ||||||
Dine Brands Global, Inc. | 24 | 1,574 | ||||||
Dunkin’ Brands Group, Inc.† | 134 | 7,998 | ||||||
Graham Holdings Co., Class B | 2 | 1,204 | ||||||
H&R Block, Inc.† | 20 | 508 | ||||||
Hilton Worldwide Holdings, Inc.† | 31 | 2,442 | ||||||
Hyatt Hotels Corp., Class A† | 150 | 11,439 | ||||||
Jack in the Box, Inc.† | 89 | 7,594 | ||||||
Las Vegas Sands Corp. | 34 | 2,445 | ||||||
Laureate Education, Inc., Class A* | 50 | 688 | ||||||
Marriott International, Inc., Class A† | 34 | 4,623 | ||||||
McDonald’s Corp.† | 76 | 11,885 | ||||||
MGM Resorts International† | 54 | 1,891 | ||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)†* | 21 | 1,112 | ||||||
Regis Corp.†* | 115 | 1,740 | ||||||
Restaurant Brands International, Inc. (Canada)† | 88 | 5,009 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 20 | 2,355 | ||||||
Ruth’s Hospitality Group, Inc. | 28 | 685 | ||||||
Six Flags Entertainment Corp. | 48 | 2,988 | ||||||
Starbucks Corp.† | 134 | 7,757 | ||||||
Stars Group, Inc. (The) (Canada)†* | 185 | 5,097 | ||||||
Vail Resorts, Inc. | 21 | 4,656 | ||||||
Wyndham Worldwide Corp.† | 9 | 1,030 | ||||||
Wynn Resorts Ltd.† | 9 | 1,641 | ||||||
Yum! Brands, Inc.† | 33 | 2,809 | ||||||
|
| |||||||
129,144 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
24
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — 6.1% |
| |||||||
Affiliated Managers Group, Inc.† | 5 | $ | 948 | |||||
American Express Co.† | 82 | 7,649 | ||||||
Ameriprise Financial, Inc.† | 13 | 1,923 | ||||||
Bank of New York Mellon Corp. (The)† | 97 | 4,998 | ||||||
Berkshire Hathaway, Inc., Class B†* | 236 | 47,077 | ||||||
BlackRock, Inc.† | 15 | 8,126 | ||||||
Capital One Financial Corp.† | 46 | 4,408 | ||||||
Cboe Global Markets, Inc.† | 10 | 1,141 | ||||||
Charles Schwab Corp. (The)† | 128 | 6,684 | ||||||
CME Group, Inc.† | 32 | 5,176 | ||||||
Discover Financial Services† | 34 | 2,446 | ||||||
E*TRADE Financial Corp.†* | 25 | 1,385 | ||||||
Franklin Resources, Inc.† | 53 | 1,838 | ||||||
Goldman Sachs Group, Inc. (The)† | 37 | 9,319 | ||||||
Intercontinental Exchange, Inc.† | 55 | 3,989 | ||||||
Invesco Ltd. (Bermuda)† | 38 | 1,216 | ||||||
Leucadia National Corp.† | 34 | 773 | ||||||
Moody’s Corp.† | 18 | 2,903 | ||||||
Morgan Stanley† | 170 | 9,173 | ||||||
Nasdaq, Inc.† | 15 | 1,293 | ||||||
Navient Corp.† | 26 | 341 | ||||||
Northern Trust Corp.† | 22 | 2,269 | ||||||
Raymond James Financial, Inc.† | 14 | 1,252 | ||||||
S&P Global, Inc.† | 25 | 4,776 | ||||||
State Street Corp.† | 36 | 3,590 | ||||||
Synchrony Financial† | 73 | 2,448 | ||||||
T Rowe Price Group, Inc.† | 24 | 2,591 | ||||||
|
| |||||||
139,732 | ||||||||
|
| |||||||
Energy — 10.1% |
| |||||||
Anadarko Petroleum Corp.† | 51 | 3,081 | ||||||
Andeavor† | 15 | 1,508 | ||||||
Apache Corp.† | 37 | 1,424 | ||||||
Bristow Group, Inc. | 145 | 1,885 | ||||||
Cabot Oil & Gas Corp.† | 44 | 1,055 | ||||||
Cameco Corp. (Canada) | 651 | 5,918 | ||||||
Cenovus Energy, Inc. (Canada) | 538 | 4,595 | ||||||
Chevron Corp.† | 182 | 20,755 | ||||||
Cimarex Energy Co.† | 9 | 842 | ||||||
Concho Resources, Inc.†* | 14 | 2,105 | ||||||
ConocoPhillips† | 113 | 6,700 | ||||||
Core Laboratories NV (Netherlands) | 5 | 541 | ||||||
Devon Energy Corp.† | 50 | 1,590 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
DHT Holdings, Inc. (Marshall Islands) | 149 | $ | 507 | |||||
Diamond Offshore Drilling, Inc.†* | 383 | 5,615 | ||||||
Dril-Quip, Inc.†* | 156 | 6,989 | ||||||
Enbridge, Inc. (Canada)† | 322 | 10,133 | ||||||
EOG Resources, Inc.† | 55 | 5,790 | ||||||
EQT Corp.† | 26 | 1,235 | ||||||
Exterran Corp.†* | 34 | 908 | ||||||
Exxon Mobil Corp.† | 404 | 30,142 | ||||||
Fairmount Santrol Holdings, Inc.†* | 1,787 | 7,595 | ||||||
Frank’s International NV (Netherlands)† | 643 | 3,491 | ||||||
Gener8 Maritime, Inc. (Marshall Islands)†* | 5 | 28 | ||||||
Halliburton Co.† | 84 | 3,943 | ||||||
Helmerich & Payne, Inc.† | 11 | 732 | ||||||
Hess Corp.† | 31 | 1,569 | ||||||
HollyFrontier Corp. | 41 | 2,003 | ||||||
Kinder Morgan, Inc.† | 217 | 3,268 | ||||||
Mammoth Energy Services, Inc.* | 111 | 3,559 | ||||||
Marathon Oil Corp.† | 81 | 1,307 | ||||||
Marathon Petroleum Corp.† | 46 | 3,363 | ||||||
National Oilwell Varco, Inc.† | 36 | 1,325 | ||||||
Newfield Exploration Co.†* | 19 | 464 | ||||||
Newpark Resources, Inc.* | 83 | 672 | ||||||
Noble Corp. PLC (United Kingdom)* | 160 | 594 | ||||||
Noble Energy, Inc.† | 47 | 1,424 | ||||||
Occidental Petroleum Corp.† | 73 | 4,742 | ||||||
ONEOK, Inc.† | 38 | 2,163 | ||||||
Par Pacific Holdings, Inc.†* | 73 | 1,253 | ||||||
Phillips 66† | 48 | 4,604 | ||||||
Pioneer Natural Resources Co.† | 16 | 2,748 | ||||||
Range Resources Corp.† | 24 | 349 | ||||||
Rowan Cos. PLC, Class A (United Kingdom)†* | 843 | 9,728 | ||||||
RPC, Inc.† | 464 | 8,366 | ||||||
Schlumberger Ltd. (Curacao)† | 132 | 8,551 | ||||||
SEACOR Holdings, Inc.†* | 58 | 2,964 | ||||||
Superior Energy Services, Inc.†* | 1,102 | 9,290 | ||||||
TechnipFMC PLC (United Kingdom)† | 44 | 1,296 | ||||||
Transocean Ltd. (Switzerland)†* | 643 | 6,366 | ||||||
Valero Energy Corp.† | 41 | 3,804 | ||||||
Weatherford International PLC (Ireland)* | 2,593 | 5,938 | ||||||
Williams Cos., Inc. (The)† | 79 | 1,964 |
The accompanying notes are an integral part of the financial statements.
25
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
World Fuel Services Corp.† | 361 | $ | 8,863 | |||||
|
| |||||||
231,644 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.2% |
| |||||||
Costco Wholesale Corp.† | 41 | 7,726 | ||||||
CVS Health Corp.† | 97 | 6,034 | ||||||
Ingles Markets, Inc., Class A† | 54 | 1,828 | ||||||
Kroger Co. (The)† | 83 | 1,987 | ||||||
Sprouts Farmers Market, Inc.†* | 272 | 6,384 | ||||||
Sysco Corp.† | 50 | 2,998 | ||||||
US Foods Holding Corp.†* | 357 | 11,699 | ||||||
Walgreens Boots Alliance, Inc.† | 95 | 6,220 | ||||||
Walmart, Inc.† | 281 | 25,001 | ||||||
Weis Markets, Inc.† | 74 | 3,033 | ||||||
|
| |||||||
72,910 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 6.6% |
| |||||||
Altria Group, Inc.† | 182 | 11,342 | ||||||
Archer-Daniels-Midland Co.† | 54 | 2,342 | ||||||
Brown-Forman Corp., Class B | 46 | 2,502 | ||||||
Campbell Soup Co.† | 29 | 1,256 | ||||||
Coca-Cola Co. (The)† | 420 | 18,241 | ||||||
Conagra Brands, Inc.† | 39 | 1,438 | ||||||
Constellation Brands, Inc., Class A† | 19 | 4,330 | ||||||
Dean Foods Co. | 216 | 1,862 | ||||||
Dr Pepper Snapple Group, Inc.† | 17 | 2,012 | ||||||
General Mills, Inc.† | 55 | 2,478 | ||||||
Hershey Co. (The)† | 21 | 2,078 | ||||||
Hormel Foods Corp. | 51 | 1,750 | ||||||
Hostess Brands, Inc.* | 378 | 5,591 | ||||||
Ingredion, Inc.† | 84 | 10,829 | ||||||
JM Smucker Co. (The)† | 11 | 1,364 | ||||||
John B Sanfilippo & Son, Inc.† | 49 | 2,836 | ||||||
Kellogg Co.† | 33 | 2,145 | ||||||
Kraft Heinz Co. (The)† | 117 | 7,288 | ||||||
Lancaster Colony Corp.† | 4 | 493 | ||||||
McCormick & Co., Inc., non-voting shares† | 13 | 1,383 | ||||||
Molson Coors Brewing Co., Class B† | 21 | 1,582 | ||||||
Mondelez International, Inc., Class A† | 141 | 5,884 | ||||||
Monster Beverage Corp.†* | 53 | 3,032 | ||||||
National Beverage Corp.† | 31 | 2,760 | ||||||
PepsiCo, Inc.† | 136 | 14,844 | ||||||
Philip Morris International, Inc.† | 147 | 14,612 | ||||||
Pilgrim’s Pride Corp.†* | 149 | 3,667 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Pinnacle Foods, Inc. | 68 | $ | 3,679 | |||||
SunOpta, Inc. (Canada)* | 78 | 554 | ||||||
Tootsie Roll Industries, Inc. | 61 | 1,796 | ||||||
TreeHouse Foods, Inc.†* | 181 | 6,927 | ||||||
Tyson Foods, Inc., Class A† | 35 | 2,562 | ||||||
Universal Corp.† | 131 | 6,354 | ||||||
|
| |||||||
151,813 | ||||||||
|
| |||||||
Health Care Equipment & Services — 12.1% |
| |||||||
Abbott Laboratories† | 167 | 10,007 | ||||||
Addus HomeCare Corp.* | 2 | 97 | ||||||
Aetna, Inc.† | 32 | 5,408 | ||||||
Align Technology, Inc.†* | 7 | 1,758 | ||||||
Allscripts Healthcare Solutions, Inc.* | 121 | 1,494 | ||||||
Almost Family, Inc.* | 83 | 4,648 | ||||||
AmerisourceBergen Corp.† | 20 | 1,724 | ||||||
Analogic Corp.† | 47 | 4,507 | ||||||
Anika Therapeutics, Inc.†* | 42 | 2,088 | ||||||
Anthem, Inc.† | 24 | 5,273 | ||||||
athenahealth, Inc.†* | 12 | 1,716 | ||||||
Baxter International, Inc.† | 52 | 3,382 | ||||||
Becton Dickinson and Co.† | 26 | 5,634 | ||||||
Boston Scientific Corp.†* | 130 | 3,552 | ||||||
Brookdale Senior Living, Inc.†* | 1,329 | 8,918 | ||||||
Cardinal Health, Inc.† | 31 | 1,943 | ||||||
Centene Corp.†* | 16 | 1,710 | ||||||
Cerner Corp.†* | 33 | 1,914 | ||||||
Cigna Corp.† | 24 | 4,026 | ||||||
CONMED Corp.† | 58 | 3,673 | ||||||
Cooper Cos., Inc. (The)† | 5 | 1,144 | ||||||
CorVel Corp.* | 12 | 607 | ||||||
Cotiviti Holdings, Inc.†* | 291 | 10,022 | ||||||
Danaher Corp.† | 67 | 6,560 | ||||||
DaVita, Inc.†* | 17 | 1,121 | ||||||
DENTSPLY SIRONA, Inc.† | 22 | 1,107 | ||||||
Edwards Lifesciences Corp.†* | 20 | 2,790 | ||||||
Envision Healthcare Corp.†* | 11 | 423 | ||||||
Express Scripts Holding Co.†* | 53 | 3,661 | ||||||
Globus Medical, Inc., Class A* | 2 | 100 | ||||||
Haemonetics Corp.†* | 111 | 8,121 | ||||||
Halyard Health, Inc.†* | 192 | 8,847 | ||||||
HCA Healthcare, Inc.† | 33 | 3,201 | ||||||
Henry Schein, Inc.†* | 14 | 941 | ||||||
Hill-Rom Holdings, Inc.† | 85 | 7,395 |
The accompanying notes are an integral part of the financial statements.
26
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
HMS Holdings Corp.†* | 235 | $ | 3,957 | |||||
Hologic, Inc.†* | 26 | 971 | ||||||
Humana, Inc.† | 13 | 3,495 | ||||||
ICU Medical, Inc.†* | 54 | 13,630 | ||||||
IDEXX Laboratories, Inc.†* | 9 | 1,723 | ||||||
Integer Holdings Corp.†* | 76 | 4,298 | ||||||
Intuitive Surgical, Inc.†* | 10 | 4,128 | ||||||
Invacare Corp. | 227 | 3,950 | ||||||
Laboratory Corp. of America Holdings†* | 10 | 1,618 | ||||||
Lantheus Holdings, Inc.†* | 211 | 3,355 | ||||||
LeMaitre Vascular, Inc. | 50 | 1,812 | ||||||
LifePoint Health, Inc.†* | 94 | 4,418 | ||||||
Masimo Corp.†* | 97 | 8,531 | ||||||
McKesson Corp.† | 20 | 2,817 | ||||||
MEDNAX, Inc.†* | 164 | 9,123 | ||||||
Medtronic PLC (Ireland)† | 130 | 10,429 | ||||||
National HealthCare Corp.† | 20 | 1,193 | ||||||
Natus Medical, Inc.* | 70 | 2,356 | ||||||
Owens & Minor, Inc. | 382 | 5,940 | ||||||
Quality Systems, Inc.†* | 192 | 2,621 | ||||||
Quest Diagnostics, Inc.† | 12 | 1,204 | ||||||
ResMed, Inc.† | 13 | 1,280 | ||||||
Select Medical Holdings Corp.* | 65 | 1,121 | ||||||
STERIS PLC (United Kingdom)† | 73 | 6,815 | ||||||
Stryker Corp.† | 36 | 5,793 | ||||||
Tabula Rasa HealthCare, Inc.* | 93 | 3,608 | ||||||
Teleflex, Inc.† | 13 | 3,315 | ||||||
Tenet Healthcare Corp.†* | 215 | 5,214 | ||||||
UnitedHealth Group, Inc.† | 92 | 19,688 | ||||||
Universal Health Services, Inc., Class B† | 9 | 1,066 | ||||||
US Physical Therapy, Inc. | 1 | 81 | ||||||
Varex Imaging Corp.†* | 146 | 5,224 | ||||||
Varian Medical Systems, Inc.†* | 9 | 1,104 | ||||||
Zimmer Biomet Holdings, Inc.† | 19 | 2,072 | ||||||
|
| |||||||
277,462 | ||||||||
|
| |||||||
Household & Personal Products — 2.1% |
| |||||||
Avon Products, Inc.* | 1,807 | 5,132 | ||||||
Church & Dwight Co., Inc.† | 24 | 1,209 | ||||||
Clorox Co. (The)† | 13 | 1,730 | ||||||
Colgate-Palmolive Co.† | 84 | 6,021 | ||||||
Coty, Inc., Class A† | 72 | 1,318 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Energizer Holdings, Inc.† | 55 | $ | 3,277 | |||||
Estee Lauder Cos., Inc. (The), Class A† | 35 | 5,240 | ||||||
Kimberly-Clark Corp.† | 34 | 3,744 | ||||||
Procter & Gamble Co. (The)† | 241 | 19,106 | ||||||
Spectrum Brands Holdings, Inc. | 13 | 1,348 | ||||||
|
| |||||||
48,125 | ||||||||
|
| |||||||
Insurance — 2.4% |
| |||||||
Aflac, Inc.† | 75 | 3,282 | ||||||
Allstate Corp. (The)† | 34 | 3,223 | ||||||
American International Group, Inc.† | 86 | 4,680 | ||||||
Aon PLC (United Kingdom)† | 24 | 3,368 | ||||||
Arthur J Gallagher & Co.† | 18 | 1,237 | ||||||
Assurant, Inc.† | 5 | 457 | ||||||
Brighthouse Financial, Inc.†* | 11 | 565 | ||||||
Chubb Ltd. (Switzerland)† | 44 | 6,018 | ||||||
Cincinnati Financial Corp.† | 16 | 1,188 | ||||||
Everest Re Group Ltd. (Bermuda)† | 3 | 770 | ||||||
Hartford Financial Services Group, Inc. (The)† | 33 | 1,700 | ||||||
Lincoln National Corp.† | 21 | 1,534 | ||||||
Loews Corp.† | 32 | 1,591 | ||||||
Marsh & McLennan Cos., Inc.† | 49 | 4,047 | ||||||
MetLife, Inc.† | 99 | 4,543 | ||||||
Principal Financial Group, Inc.† | 27 | 1,645 | ||||||
Progressive Corp. (The)† | 56 | 3,412 | ||||||
Prudential Financial, Inc.† | 40 | 4,142 | ||||||
Torchmark Corp.† | 11 | 926 | ||||||
Travelers Cos., Inc. | 25 | 3,472 | ||||||
Unum Group† | 22 | 1,047 | ||||||
Willis Towers Watson PLC (Ireland)† | 12 | 1,826 | ||||||
XL Group Ltd. | 25 | 1,382 | ||||||
|
| |||||||
56,055 | ||||||||
|
| |||||||
Materials — 7.5% |
| |||||||
Air Products & Chemicals, Inc.† | 21 | 3,340 | ||||||
Albemarle Corp.† | 10 | 927 | ||||||
American Vanguard Corp. | 11 | 222 | ||||||
Avery Dennison Corp.† | 9 | 956 | ||||||
Axalta Coating Systems Ltd. (Bermuda)* | 23 | 694 | ||||||
Ball Corp.† | 34 | 1,350 | ||||||
Celanese Corp., Class A | 33 | 3,307 | ||||||
CF Industries Holdings, Inc.† | 22 | 830 | ||||||
Chase Corp.† | 8 | 932 |
The accompanying notes are an integral part of the financial statements.
27
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Chemours Co. (The)† | 130 | $ | 6,332 | |||||
Domtar Corp. | 2 | 85 | ||||||
DowDuPont, Inc.† | 222 | 14,144 | ||||||
Eastman Chemical Co.† | 13 | 1,373 | ||||||
Ecolab, Inc.† | 28 | 3,838 | ||||||
FMC Corp.† | 13 | 995 | ||||||
Forterra, Inc.†* | 200 | 1,664 | ||||||
Freeport-McMoRan, Inc.† | 138 | 2,425 | ||||||
FutureFuel Corp.† | 14 | 168 | ||||||
GCP Applied Technologies, Inc.* | 122 | 3,544 | ||||||
Graphic Packaging Holding Co.† | 322 | 4,943 | ||||||
Innospec, Inc. | 70 | 4,802 | ||||||
International Flavors & Fragrances, Inc.† | 8 | 1,095 | ||||||
International Paper Co.† | 40 | 2,137 | ||||||
KapStone Paper and Packaging Corp.† | 122 | 4,186 | ||||||
Koppers Holdings, Inc.* | 67 | 2,754 | ||||||
Kraton Corp.†* | 172 | 8,206 | ||||||
Kronos Worldwide, Inc. | 232 | 5,243 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 37 | 3,910 | ||||||
Martin Marietta Materials, Inc.† | 5 | 1,036 | ||||||
Methanex Corp. (Canada)† | 77 | 4,670 | ||||||
Minerals Technologies, Inc. | 5 | 335 | ||||||
Monsanto Co.† | 41 | 4,784 | ||||||
Mosaic Co. (The)† | 33 | 801 | ||||||
Newmont Mining Corp.† | 51 | 1,993 | ||||||
Norbord, Inc. (Canada)† | 94 | 3,415 | ||||||
Nucor Corp.† | 31 | 1,894 | ||||||
Owens-Illinois, Inc.* | 26 | 563 | ||||||
Packaging Corp. of America† | 8 | 902 | ||||||
Platform Specialty Products Corp.* | 309 | 2,976 | ||||||
PolyOne Corp.† | 127 | 5,400 | ||||||
PPG Industries, Inc.† | 24 | 2,678 | ||||||
Praxair, Inc.† | 27 | 3,896 | ||||||
Quaker Chemical Corp. | 7 | 1,037 | ||||||
Scotts Miracle-Gro Co. (The) | 4 | 343 | ||||||
Sealed Air Corp.† | 17 | 727 | ||||||
Sensient Technologies Corp. | 16 | 1,129 | ||||||
Sherwin-Williams Co. (The)† | 9 | 3,529 | ||||||
Silgan Holdings, Inc.† | 329 | 9,163 | ||||||
Stepan Co.† | 53 | 4,409 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Summit Materials, Inc., Class A* | 8 | $ | 242 | |||||
Trinseo SA (Luxembourg)† | 133 | 9,849 | ||||||
Tronox Ltd., Class A (Australia) | 6 | 111 | ||||||
Verso Corp., Class A†* | 330 | 5,557 | ||||||
Vulcan Materials Co.† | 13 | 1,484 | ||||||
Westlake Chemical Corp.† | 110 | 12,226 | ||||||
WestRock Co.† | 24 | 1,540 | ||||||
|
| |||||||
171,091 | ||||||||
|
| |||||||
Media — 4.3% |
| |||||||
AMC Entertainment Holdings, Inc., Class A | 371 | 5,213 | ||||||
AMC Networks, Inc., Class A* | 47 | 2,430 | ||||||
CBS Corp., Class B, non-voting shares† | 39 | 2,004 | ||||||
Charter Communications, Inc., Class A†* | 23 | 7,158 | ||||||
Comcast Corp., Class A† | 443 | 15,137 | ||||||
Discovery, Inc., Class A†* | 54 | 1,157 | ||||||
DISH Network Corp., Class A†* | 44 | 1,667 | ||||||
Entravision Communications Corp., Class A† | 433 | 2,035 | ||||||
Gannett Co., Inc.† | 689 | 6,876 | ||||||
Interpublic Group of Cos., Inc. (The)† | 37 | 852 | ||||||
John Wiley & Sons, Inc., Class A | 87 | 5,542 | ||||||
Lions Gate Entertainment Corp., Class B (Canada) | 130 | 3,130 | ||||||
Loral Space & Communications, Inc.†* | 25 | 1,041 | ||||||
MDC Partners, Inc., Class A (Canada)†* | 223 | 1,606 | ||||||
News Corp., Class A† | 55 | 869 | ||||||
Omnicom Group, Inc.† | 22 | 1,599 | ||||||
Shaw Communications, Inc., Class B | 7 | 135 | ||||||
Time Warner, Inc.† | 74 | 6,999 | ||||||
Twenty-First Century Fox, Inc., Class A† | 176 | 6,457 | ||||||
Viacom, Inc., Class B† | 38 | 1,180 | ||||||
Walt Disney Co. (The)† | 144 | 14,463 | ||||||
WideOpenWest, Inc.* | 60 | 429 | ||||||
World Wrestling Entertainment, Inc., Class A† | 282 | 10,155 | ||||||
|
| |||||||
98,134 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
28
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 9.8% |
| |||||||
AbbVie, Inc.† | 151 | $ | 14,292 | |||||
Agilent Technologies, Inc.† | 30 | 2,007 | ||||||
Alexion Pharmaceuticals, Inc.†* | 21 | 2,341 | ||||||
Allergan PLC (Ireland)† | 31 | 5,217 | ||||||
Amgen, Inc.† | 70 | 11,934 | ||||||
ANI Pharmaceuticals, Inc.* | 21 | 1,223 | ||||||
Biogen, Inc.†* | 20 | 5,476 | ||||||
Bristol-Myers Squibb Co.† | 156 | 9,867 | ||||||
Bruker Corp.† | 336 | 10,053 | ||||||
Cambrex Corp.†* | 124 | 6,485 | ||||||
Celgene Corp.†* | 73 | 6,512 | ||||||
Charles River Laboratories International, Inc.* | 1 | 107 | ||||||
ChemoCentryx, Inc.* | 11 | 150 | ||||||
Corcept Therapeutics, Inc.†* | 60 | 987 | ||||||
CytomX Therapeutics, Inc.* | 37 | 1,053 | ||||||
Eli Lilly & Co.† | 105 | 8,124 | ||||||
Enanta Pharmaceuticals, Inc.†* | 30 | 2,427 | ||||||
Exelixis, Inc.* | 51 | 1,130 | ||||||
Gilead Sciences, Inc.† | 124 | 9,348 | ||||||
Halozyme Therapeutics, Inc.* | 106 | 2,077 | ||||||
Illumina, Inc.†* | 14 | 3,310 | ||||||
Incyte Corp.†* | 20 | 1,667 | ||||||
Innoviva, Inc.†* | 164 | 2,734 | ||||||
IQVIA Holdings, Inc.†* | 20 | 1,962 | ||||||
Johnson & Johnson† | 256 | 32,806 | ||||||
Luminex Corp.† | 130 | 2,739 | ||||||
MacroGenics, Inc.* | 34 | 855 | ||||||
Mallinckrodt PLC (Ireland)* | 28 | 405 | ||||||
Merck & Co., Inc.† | 257 | 13,999 | ||||||
Mettler-Toledo International, Inc.†* | 2 | 1,150 | ||||||
Mylan NV | 50 | 2,058 | ||||||
Nektar Therapeutics* | 15 | 1,594 | ||||||
PerkinElmer, Inc.† | 11 | 833 | ||||||
Perrigo Co. PLC | 13 | 1,083 | ||||||
Pfizer, Inc.† | 570 | 20,229 | ||||||
PRA Health Sciences, Inc.†* | 100 | 8,296 | ||||||
Prestige Brands Holdings, Inc.†* | 96 | 3,237 | ||||||
PTC Therapeutics, Inc.* | 34 | 920 | ||||||
Regeneron Pharmaceuticals, Inc.†* | 12 | 4,132 | ||||||
Repligen Corp.* | 12 | 434 | ||||||
Sarepta Therapeutics, Inc.* | 15 | 1,111 | ||||||
Sorrento Therapeutics, Inc.* | 126 | 649 | ||||||
Thermo Fisher Scientific, Inc.† | 39 | 8,052 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Vertex Pharmaceuticals, Inc.†* | 24 | $ | 3,912 | |||||
Waters Corp.†* | 7 | 1,391 | ||||||
Zoetis, Inc.† | 47 | 3,925 | ||||||
|
| |||||||
224,293 | ||||||||
|
| |||||||
Real Estate — 2.6% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT† | 9 | 1,124 | ||||||
American Tower Corp., REIT† | 40 | 5,814 | ||||||
Apartment Investment & Management Co., Class A, REIT† | 14 | 570 | ||||||
AvalonBay Communities, Inc., REIT† | 13 | 2,138 | ||||||
Boston Properties, Inc., REIT† | 14 | 1,725 | ||||||
CBRE Group, Inc., Class A†* | 32 | 1,511 | ||||||
Crown Castle International Corp., REIT† | 38 | 4,165 | ||||||
Digital Realty Trust, Inc., REIT† | 19 | 2,002 | ||||||
Duke Realty Corp., REIT† | 34 | 900 | ||||||
Equinix, Inc., REIT† | 7 | 2,927 | ||||||
Equity Residential, REIT† | 35 | 2,157 | ||||||
Essex Property Trust, Inc., REIT† | 6 | 1,444 | ||||||
Extra Space Storage, Inc., REIT† | 12 | 1,048 | ||||||
Federal Realty Investment Trust, REIT† | 7 | 813 | ||||||
GGP, Inc., REIT† | 91 | 1,862 | ||||||
HCP, Inc., REIT† | 45 | 1,045 | ||||||
Host Hotels & Resorts, Inc., REIT† | 71 | 1,323 | ||||||
Iron Mountain, Inc., REIT† | 26 | 854 | ||||||
Kimco Realty Corp., REIT† | 40 | 576 | ||||||
Macerich Co. (The) REIT† | 13 | 728 | ||||||
Mid-America Apartment Communities, Inc., REIT† | 10 | 912 | ||||||
Prologis, Inc., REIT† | 50 | 3,150 | ||||||
Public Storage, REIT† | 17 | 3,407 | ||||||
Realty Income Corp., REIT† | 27 | 1,397 | ||||||
Regency Centers Corp., REIT† | 16 | 944 | ||||||
SBA Communications Corp., REIT†* | 11 | 1,880 | ||||||
Simon Property Group, Inc., REIT† | 29 | 4,476 | ||||||
SL Green Realty Corp., REIT† | 8 | 775 | ||||||
UDR, Inc., REIT† | 26 | 926 | ||||||
Ventas, Inc., REIT† | 33 | 1,634 | ||||||
Vornado Realty Trust, REIT† | 19 | 1,279 |
The accompanying notes are an integral part of the financial statements.
29
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Welltower, Inc., REIT† | 36 | $ | 1,959 | |||||
Weyerhaeuser Co., REIT† | 71 | 2,485 | ||||||
|
| |||||||
59,950 | ||||||||
|
| |||||||
Retailing — 10.9% |
| |||||||
1-800-Flowers.com, Inc., Class A* | 93 | 1,097 | ||||||
Abercrombie & Fitch Co., Class A† | 500 | 12,105 | ||||||
Advance Auto Parts, Inc.† | 7 | 830 | ||||||
Amazon.com, Inc.†* | 46 | 66,578 | ||||||
Asbury Automotive Group, Inc.†* | 101 | 6,818 | ||||||
AutoNation, Inc.†* | 97 | 4,538 | ||||||
AutoZone, Inc.†* | 3 | 1,946 | ||||||
Bed Bath & Beyond, Inc. | 25 | 525 | ||||||
Best Buy Co., Inc.† | 29 | 2,030 | ||||||
Booking Holdings, Inc.†* | 4 | 8,322 | ||||||
Boot Barn Holdings, Inc.* | 101 | 1,791 | ||||||
CarMax, Inc.†* | 17 | 1,053 | ||||||
Dick’s Sporting Goods, Inc.† | 285 | 9,989 | ||||||
Dollar General Corp.† | 26 | 2,432 | ||||||
Dollar Tree, Inc.†* | 22 | 2,088 | ||||||
Expedia, Inc.† | 15 | 1,656 | ||||||
Express, Inc.* | 308 | 2,205 | ||||||
Foot Locker, Inc.† | 12 | 546 | ||||||
Gap, Inc. (The)† | 38 | 1,186 | ||||||
Genuine Parts Co.† | 14 | 1,258 | ||||||
Guess?, Inc. | 15 | 311 | ||||||
Home Depot, Inc. (The)† | 111 | 19,785 | ||||||
Kohl’s Corp.† | 16 | 1,048 | ||||||
L Brands, Inc.† | 27 | 1,032 | ||||||
LKQ Corp.†* | 29 | 1,101 | ||||||
Lowe’s Cos., Inc.† | 80 | 7,020 | ||||||
Lumber Liquidators Holdings, Inc.* | 204 | 4,880 | ||||||
Macy’s, Inc.† | 30 | 892 | ||||||
Michaels Cos., Inc. | 139 | 2,740 | ||||||
Murphy USA, Inc.†* | 110 | 8,008 | ||||||
Netflix, Inc.†* | 41 | 12,109 | ||||||
Nordstrom, Inc.† | 16 | 775 | ||||||
Nutrisystem, Inc.† | 281 | 7,573 | ||||||
O’Reilly Automotive, Inc.†* | 8 | 1,979 | ||||||
Penske Automotive Group, Inc.† | 220 | 9,753 | ||||||
PetMed Express, Inc.† | 98 | 4,092 | ||||||
Pool Corp.† | 16 | 2,340 | ||||||
RH* | 26 | 2,477 | ||||||
Ross Stores, Inc.† | 37 | 2,885 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Shutterfly, Inc.†* | 79 | $ | 6,419 | |||||
Signet Jewelers Ltd. (Bermuda) | 177 | 6,818 | ||||||
Sonic Automotive, Inc., Class A | 17 | 322 | ||||||
Target Corp.† | 52 | 3,610 | ||||||
Tiffany & Co.† | 12 | 1,172 | ||||||
TJX Cos., Inc. (The)† | 60 | 4,894 | ||||||
Tractor Supply Co.† | 11 | 693 | ||||||
TripAdvisor, Inc.†* | 13 | 532 | ||||||
Ulta Beauty, Inc.†* | 5 | 1,021 | ||||||
Williams-Sonoma, Inc. | 74 | 3,904 | ||||||
Zumiez, Inc.* | 43 | 1,028 | ||||||
|
| |||||||
250,206 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.6% |
| |||||||
Advanced Energy Industries, Inc.†* | 122 | 7,796 | ||||||
Advanced Micro Devices, Inc.†* | 102 | 1,025 | ||||||
Amkor Technology, Inc.* | 75 | 760 | ||||||
Analog Devices, Inc.† | 36 | 3,281 | ||||||
Applied Materials, Inc.† | 101 | 5,617 | ||||||
Axcelis Technologies, Inc.†* | 54 | 1,328 | ||||||
Broadcom Ltd. (Singapore)† | 39 | 9,190 | ||||||
Cirrus Logic, Inc.†* | 197 | 8,004 | ||||||
Cohu, Inc.† | 149 | 3,399 | ||||||
Cypress Semiconductor Corp.† | 370 | 6,275 | ||||||
Diodes, Inc.†* | 202 | 6,153 | ||||||
First Solar, Inc.†* | 36 | 2,555 | ||||||
Intel Corp.† | 447 | 23,280 | ||||||
KLA-Tencor Corp.† | 15 | 1,635 | ||||||
Lam Research Corp.† | 17 | 3,454 | ||||||
Marvell Technology Group Ltd. (Bermuda)† | 466 | 9,786 | ||||||
Maxim Integrated Products, Inc.† | 96 | 5,781 | ||||||
Microchip Technology, Inc.† | 24 | 2,193 | ||||||
Micron Technology, Inc.†* | 124 | 6,465 | ||||||
MKS Instruments, Inc.† | 40 | 4,626 | ||||||
NVIDIA Corp.† | 59 | 13,664 | ||||||
Qorvo, Inc.†* | 12 | 845 | ||||||
QUALCOMM, Inc.† | 140 | 7,757 | ||||||
Rambus, Inc.†* | 356 | 4,781 | ||||||
Silicon Laboratories, Inc.†* | 3 | 270 | ||||||
Skyworks Solutions, Inc.† | 18 | 1,805 | ||||||
SMART Global Holdings, Inc. (Cayman | 112 | 5,582 | ||||||
Teradyne, Inc.† | 162 | 7,405 | ||||||
Texas Instruments, Inc.† | 96 | 9,973 |
The accompanying notes are an integral part of the financial statements.
30
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Xcerra Corp.* | 353 | $ | 4,112 | |||||
Xilinx, Inc.† | 24 | 1,734 | ||||||
Xperi Corp. | 189 | 3,997 | ||||||
|
| |||||||
174,528 | ||||||||
|
| |||||||
Software & Services — 23.2% |
| |||||||
Accenture PLC, Class A (Ireland)† | 58 | 8,903 | ||||||
Activision Blizzard, Inc.† | 72 | 4,857 | ||||||
Adobe Systems, Inc.†* | 47 | 10,156 | ||||||
Akamai Technologies, Inc.†* | 16 | 1,136 | ||||||
Alarm.com Holdings, Inc.†* | 33 | 1,245 | ||||||
Alliance Data Systems Corp.† | 5 | 1,064 | ||||||
Alphabet, Inc., Class A†* | 66 | 68,451 | ||||||
ANSYS, Inc.†* | 8 | 1,254 | ||||||
Appfolio, Inc., Class A†* | 80 | 3,268 | ||||||
Aspen Technology, Inc.†* | 60 | 4,733 | ||||||
Autodesk, Inc.†* | 21 | 2,637 | ||||||
Automatic Data Processing, Inc.† | 43 | 4,880 | ||||||
CA, Inc.† | 40 | 1,356 | ||||||
Cadence Design Systems, Inc.†* | 27 | 993 | ||||||
Cardtronics PLC, Class A (United Kingdom)†* | 375 | 8,366 | ||||||
Care.com, Inc.†* | 168 | 2,733 | ||||||
Cars.com, Inc.* | 18 | 510 | ||||||
CDK Global, Inc.† | 105 | 6,651 | ||||||
CGI Group, Inc., Class A (Canada)†* | 101 | 5,822 | ||||||
Cision Ltd. (Cayman Islands)* | 32 | 370 | ||||||
Citrix Systems, Inc.†* | 13 | 1,206 | ||||||
Cognizant Technology Solutions Corp., Class A† | 56 | 4,508 | ||||||
CommerceHub, Inc., Class C* | 78 | 1,754 | ||||||
Conduent, Inc.* | 184 | 3,430 | ||||||
Convergys Corp.† | 243 | 5,497 | ||||||
CSRA, Inc.† | 15 | 618 | ||||||
Descartes Systems Group, Inc. (The) (Canada)* | 35 | 999 | ||||||
DST Systems, Inc.† | 48 | 4,015 | ||||||
DXC Technology Co.† | 28 | 2,815 | ||||||
eBay, Inc.†* | 98 | 3,944 | ||||||
Electronic Arts, Inc.†* | 29 | 3,516 | ||||||
Endurance International Group Holdings, Inc.†* | 147 | 1,088 | ||||||
Envestnet, Inc.†* | 107 | 6,131 | ||||||
Etsy, Inc.†* | 333 | 9,344 | ||||||
Euronet Worldwide, Inc.* | 23 | 1,815 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Facebook, Inc., Class A†* | 276 | $ | 44,102 | |||||
Fair Isaac Corp.†* | 7 | 1,186 | ||||||
Fidelity National Information Services, Inc.† | 31 | 2,985 | ||||||
Fiserv, Inc.†* | 40 | 2,852 | ||||||
Fortinet, Inc.†* | 102 | 5,465 | ||||||
Gartner, Inc.†* | 9 | 1,059 | ||||||
Global Payments, Inc.† | 15 | 1,673 | ||||||
Globant SA | 127 | 6,546 | ||||||
GoDaddy, Inc., Class A* | 83 | 5,098 | ||||||
GTT Communications, Inc.* | 95 | 5,386 | ||||||
IAC/InterActiveCorp.†* | 55 | 8,601 | ||||||
International Business Machines Corp.† | 88 | 13,502 | ||||||
Intuit, Inc.† | 24 | 4,160 | ||||||
j2 Global, Inc.† | 33 | 2,604 | ||||||
Leidos Holdings, Inc. | 100 | 6,540 | ||||||
LogMeIn, Inc.† | 64 | 7,395 | ||||||
Manhattan Associates, Inc.†* | 69 | 2,890 | ||||||
Mastercard, Inc., Class A† | 100 | 17,516 | ||||||
Microsoft Corp.† | 733 | 66,901 | ||||||
MicroStrategy, Inc., Class A†* | 29 | 3,741 | ||||||
Monotype Imaging Holdings, Inc. | 133 | 2,986 | ||||||
NIC, Inc.† | 432 | 5,746 | ||||||
Open Text Corp. | 185 | 6,438 | ||||||
Oracle Corp.† | 412 | 18,849 | ||||||
Paychex, Inc.† | 35 | 2,156 | ||||||
PayPal Holdings, Inc.†* | 114 | 8,649 | ||||||
Perficient, Inc.* | 37 | 848 | ||||||
Progress Software Corp.† | 195 | 7,498 | ||||||
Qualys, Inc.* | 3 | 218 | ||||||
QuinStreet, Inc.* | 92 | 1,175 | ||||||
Quotient Technology, Inc.* | 75 | 982 | ||||||
RealPage, Inc.* | 22 | 1,133 | ||||||
Red Hat, Inc.†* | 16 | 2,392 | ||||||
SailPoint Technologies Holding, Inc.* | 139 | 2,876 | ||||||
salesforce.com, Inc.†* | 68 | 7,908 | ||||||
ServiceNow, Inc.†* | 6 | 993 | ||||||
SS&C Technologies Holdings, Inc.† | 90 | 4,828 | ||||||
Stamps.com, Inc.†* | 43 | 8,645 | ||||||
Symantec Corp.† | 59 | 1,525 | ||||||
Synopsys, Inc.†* | 14 | 1,165 | ||||||
Take-Two Interactive Software, Inc.* | 10 | 978 | ||||||
TechTarget, Inc.* | 2 | 40 |
The accompanying notes are an integral part of the financial statements.
31
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Total System Services, Inc.† | 18 | $ | 1,553 | |||||
Tucows, Inc., Class A†* | 66 | 3,696 | ||||||
Tyler Technologies, Inc.†* | 14 | 2,953 | ||||||
Varonis Systems, Inc.†* | 106 | 6,413 | ||||||
VeriSign, Inc.†* | 12 | 1,423 | ||||||
Virtusa Corp.* | 1 | 48 | ||||||
Visa, Inc., Class A† | 214 | 25,599 | ||||||
Web.com Group, Inc.†* | 134 | 2,425 | ||||||
Western Union Co. | 43 | 827 | ||||||
XO Group, Inc.* | 3 | 62 | ||||||
|
| |||||||
533,294 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 10.9% |
| |||||||
Amphenol Corp., Class A† | 31 | 2,670 | ||||||
Apple, Inc.† | 485 | 81,373 | ||||||
Arista Networks, Inc.†* | 37 | 9,446 | ||||||
Belden, Inc. | 1 | 69 | ||||||
CDW Corp.† | 76 | 5,344 | ||||||
Cisco Systems, Inc.† | 463 | 19,858 | ||||||
Coherent, Inc.* | 5 | 937 | ||||||
CommScope Holding Co., Inc.†* | 56 | 2,238 | ||||||
Corning, Inc.† | 82 | 2,286 | ||||||
Diebold Nixdorf, Inc.† | 479 | 7,377 | ||||||
Electro Scientific Industries, Inc.†* | 519 | 10,032 | ||||||
ePlus, Inc.* | 6 | 466 | ||||||
F5 Networks, Inc.†* | 5 | 723 | ||||||
FLIR Systems, Inc.† | 13 | 650 | ||||||
Hewlett Packard Enterprise Co.† | 149 | 2,613 | ||||||
HP, Inc.† | 155 | 3,398 | ||||||
InterDigital, Inc.† | 104 | 7,654 | ||||||
IPG Photonics Corp.* | 5 | 1,167 | ||||||
Itron, Inc.†* | 101 | 7,227 | ||||||
Jabil, Inc. | 178 | 5,114 | ||||||
Juniper Networks, Inc.† | 35 | 852 | ||||||
KEMET Corp.†* | 403 | 7,306 | ||||||
Knowles Corp.†* | 547 | 6,887 | ||||||
Mitel Networks Corp. (Canada)†* | 321 | 2,979 | ||||||
Motorola Solutions, Inc.† | 16 | 1,685 | ||||||
NCR Corp.* | 5 | 158 | ||||||
NetApp, Inc.† | 25 | 1,542 | ||||||
NETGEAR, Inc.* | 40 | 2,288 | ||||||
OSI Systems, Inc.†* | 78 | 5,091 | ||||||
PC Connection, Inc.† | 14 | 350 | ||||||
Plantronics, Inc.† | 61 | 3,683 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Pure Storage, Inc., Class A* | 119 | $ | 2,374 | |||||
Rogers Corp.* | 15 | 1,793 | ||||||
Seagate Technology PLC (Ireland)† | 27 | 1,580 | ||||||
Systemax, Inc.† | 66 | 1,884 | ||||||
TE Connectivity Ltd. (Switzerland)† | 33 | 3,297 | ||||||
Tech Data Corp.†* | 109 | 9,279 | ||||||
TTM Technologies, Inc.†* | 259 | 3,960 | ||||||
Ubiquiti Networks, Inc.†* | 31 | 2,133 | ||||||
Vishay Intertechnology, Inc.† | 469 | 8,723 | ||||||
Western Digital Corp.† | 29 | 2,676 | ||||||
Xerox Corp.† | 25 | 720 | ||||||
Zebra Technologies Corp., Class A†* | 51 | 7,099 | ||||||
|
| |||||||
248,981 | ||||||||
|
| |||||||
Telecommunication Services — 2.9% |
| |||||||
AT&T, Inc.† | 585 | 20,855 | ||||||
BCE, Inc. (Canada)† | 170 | 7,317 | ||||||
CenturyLink, Inc.† | 102 | 1,676 | ||||||
Intelsat SA | 346 | 1,301 | ||||||
Rogers Communications, Inc., Class B | 196 | 8,757 | ||||||
Verizon Communications, Inc.† | 389 | 18,602 | ||||||
Vonage Holdings Corp.†* | 755 | 8,041 | ||||||
Zayo Group Holdings, Inc.* | 15 | 512 | ||||||
|
| |||||||
67,061 | ||||||||
|
| |||||||
Transportation — 4.4% |
| |||||||
Alaska Air Group, Inc.† | 12 | 744 | ||||||
American Airlines Group, Inc.† | 46 | 2,390 | ||||||
Canadian National Railway Co. (Canada) | 16 | 1,170 | ||||||
CH Robinson Worldwide, Inc.† | 13 | 1,218 | ||||||
CSX Corp.† | 85 | 4,735 | ||||||
Delta Air Lines, Inc.† | 68 | 3,727 | ||||||
Echo Global Logistics, Inc.†* | 86 | 2,374 | ||||||
Expeditors International of Washington, Inc.† | 17 | 1,076 | ||||||
FedEx Corp.† | 26 | 6,243 | ||||||
Forward Air Corp.† | 123 | 6,502 | ||||||
Hawaiian Holdings, Inc. | 37 | 1,432 | ||||||
JB Hunt Transport Services, Inc.† | 11 | 1,289 | ||||||
Kansas City Southern† | 10 | 1,098 | ||||||
Kirby Corp.* | 18 | 1,385 | ||||||
Landstar System, Inc.† | 23 | 2,522 | ||||||
Marten Transport Ltd.† | 156 | 3,557 | ||||||
Norfolk Southern Corp.† | 28 | 3,802 |
The accompanying notes are an integral part of the financial statements.
32
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Old Dominion Freight Line, Inc.† | 59 | $ | 8,671 | |||||
Ryder System, Inc. | 15 | 1,092 | ||||||
Saia, Inc.†* | 21 | 1,578 | ||||||
Schneider National, Inc., Class B† | 205 | 5,342 | ||||||
SkyWest, Inc. | 96 | 5,222 | ||||||
Southwest Airlines Co.† | 57 | 3,265 | ||||||
Union Pacific Corp.† | 75 | 10,082 | ||||||
United Continental Holdings, Inc.†* | 28 | 1,945 | ||||||
United Parcel Service, Inc., Class B† | 82 | 8,582 | ||||||
Universal Logistics Holdings, Inc.† | 18 | 381 | ||||||
XPO Logistics, Inc.†* | 92 | 9,366 | ||||||
|
| |||||||
100,790 | ||||||||
|
| |||||||
Utilities — 2.7% |
| |||||||
AES Corp.† | 62 | 705 | ||||||
Alliant Energy Corp.† | 22 | 899 | ||||||
Ameren Corp.† | 24 | 1,359 | ||||||
American Electric Power Co., Inc.† | 47 | 3,224 | ||||||
American Water Works Co., Inc.† | 17 | 1,396 | ||||||
CenterPoint Energy, Inc.† | 42 | 1,151 | ||||||
CMS Energy Corp.† | 27 | 1,223 | ||||||
Consolidated Edison, Inc.† | 30 | 2,338 | ||||||
Dominion Energy, Inc.† | 61 | 4,113 | ||||||
DTE Energy Co.† | 18 | 1,879 | ||||||
Duke Energy Corp.† | 67 | 5,190 | ||||||
Edison International† | 32 | 2,037 | ||||||
Entergy Corp.† | 18 | 1,418 | ||||||
Eversource Energy† | 31 | 1,827 | ||||||
Exelon Corp.† | 92 | 3,589 | ||||||
FirstEnergy Corp.† | 43 | 1,462 | ||||||
NextEra Energy, Inc.† | 45 | 7,350 | ||||||
NiSource, Inc.† | 33 | 789 | ||||||
NRG Energy, Inc.† | 30 | 916 | ||||||
PG&E Corp.† | 50 | 2,196 | ||||||
Pinnacle West Capital Corp.† | 11 | 878 | ||||||
PPL Corp.† | 67 | 1,895 | ||||||
Public Service Enterprise Group, Inc.† | 49 | 2,462 | ||||||
SCANA Corp.† | 14 | 526 | ||||||
Sempra Energy† | 24 | 2,669 | ||||||
Southern Co. (The)† | 97 | 4,332 | ||||||
WEC Energy Group, Inc.† | 30 | 1,881 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
Xcel Energy, Inc.† | 49 | $ | 2,228 | |||||
|
| |||||||
61,932 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 3,894,687 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 169.7% | 3,894,687 | |||||||
|
| |||||||
(Cost $3,990,932) | ||||||||
SHORT POSITIONS - (70.3)% |
| |||||||
COMMON STOCKS — (70.3)% |
| |||||||
Automobiles & Components — (2.2)% |
| |||||||
Adient PLC (Ireland) | (201 | ) | (12,012 | ) | ||||
American Axle & Manufacturing Holdings, Inc.* | (17 | ) | (259 | ) | ||||
Delphi Technologies PLC (Jersey) | (51 | ) | (2,430 | ) | ||||
Dorman Products, Inc.* | (128 | ) | (8,475 | ) | ||||
Fox Factory Holding Corp.* | (148 | ) | (5,165 | ) | ||||
Gentherm, Inc.* | (139 | ) | (4,719 | ) | ||||
LCI Industries | (16 | ) | (1,666 | ) | ||||
Tesla, Inc.* | (29 | ) | (7,718 | ) | ||||
Visteon Corp.* | (65 | ) | (7,166 | ) | ||||
|
| |||||||
(49,610 | ) | |||||||
|
| |||||||
Capital Goods — (11.0)% |
| |||||||
AAON, Inc. | (118 | ) | (4,602 | ) | ||||
Actuant Corp., Class A | (204 | ) | (4,743 | ) | ||||
AECOM* | (57 | ) | (2,031 | ) | ||||
Aerovironment, Inc.* | (5 | ) | (228 | ) | ||||
Ameresco, Inc., Class A* | (3 | ) | (39 | ) | ||||
American Railcar Industries, Inc. | (49 | ) | (1,833 | ) | ||||
American Woodmark Corp.* | (81 | ) | (7,974 | ) | ||||
Apogee Enterprises, Inc. | (190 | ) | (8,236 | ) | ||||
Applied Industrial Technologies, Inc. | (5 | ) | (364 | ) | ||||
Astec Industries, Inc. | (56 | ) | (3,090 | ) | ||||
Astronics Corp.* | (87 | ) | (3,245 | ) | ||||
Blue Bird Corp.* | (32 | ) | (758 | ) | ||||
Briggs & Stratton Corp. | (207 | ) | (4,432 | ) | ||||
CAI International, Inc.* | (156 | ) | (3,317 | ) | ||||
Chart Industries, Inc.* | (12 | ) | (708 | ) | ||||
CIRCOR International, Inc. | (75 | ) | (3,200 | ) | ||||
Cubic Corp. | (99 | ) | (6,296 | ) | ||||
Donaldson Co., Inc. | (101 | ) | (4,550 | ) | ||||
DXP Enterprises, Inc.* | (62 | ) | (2,415 | ) | ||||
Dycom Industries, Inc.* | (90 | ) | (9,687 | ) | ||||
EnPro Industries, Inc. | (87 | ) | (6,732 | ) |
The accompanying notes are an integral part of the financial statements.
33
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Evoqua Water Technologies Corp.* | (207 | ) | $ | (4,407 | ) | |||
Global Brass & Copper Holdings, Inc. | (64 | ) | (2,141 | ) | ||||
Griffon Corp. | (86 | ) | (1,570 | ) | ||||
HEICO Corp. | (1 | ) | (87 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (31 | ) | (2,168 | ) | ||||
JELD-WEN Holding, Inc.* | (141 | ) | (4,317 | ) | ||||
Kennametal, Inc. | (23 | ) | (924 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (1,141 | ) | (11,741 | ) | ||||
Lindsay Corp. | (64 | ) | (5,852 | ) | ||||
MasTec, Inc.* | (235 | ) | (11,057 | ) | ||||
Maxar Technologies Ltd. (Canada) | (121 | ) | (5,596 | ) | ||||
Mercury Systems, Inc.* | (70 | ) | (3,382 | ) | ||||
Meritor, Inc.* | (305 | ) | (6,271 | ) | ||||
Moog, Inc., Class A* | (12 | ) | (989 | ) | ||||
MRC Global, Inc.* | (517 | ) | (8,499 | ) | ||||
Mueller Industries, Inc. | (155 | ) | (4,055 | ) | ||||
Mueller Water Products, Inc., Class A | (288 | ) | (3,131 | ) | ||||
MYR Group, Inc.* | (60 | ) | (1,849 | ) | ||||
National Presto Industries, Inc. | (13 | ) | (1,219 | ) | ||||
Nexeo Solutions, Inc.* | (77 | ) | (824 | ) | ||||
Nordson Corp. | (6 | ) | (818 | ) | ||||
NOW, Inc.* | (948 | ) | (9,689 | ) | ||||
Patrick Industries, Inc.* | (72 | ) | (4,453 | ) | ||||
Primoris Services Corp. | (75 | ) | (1,874 | ) | ||||
Proto Labs, Inc.* | (26 | ) | (3,056 | ) | ||||
Quanex Building Products Corp. | (117 | ) | (2,036 | ) | ||||
Raven Industries, Inc. | (65 | ) | (2,278 | ) | ||||
RBC Bearings, Inc.* | (18 | ) | (2,236 | ) | ||||
REV Group, Inc. | (325 | ) | (6,747 | ) | ||||
Rush Enterprises, Inc., Class A* | (164 | ) | (6,968 | ) | ||||
SPX Corp.* | (158 | ) | (5,132 | ) | ||||
Sunrun, Inc.* | (925 | ) | (8,260 | ) | ||||
Textainer Group Holdings Ltd. (Bermuda)* | (181 | ) | (3,068 | ) | ||||
Thermon Group Holdings, Inc.* | (84 | ) | (1,882 | ) | ||||
Timken Co. (The) | (74 | ) | (3,374 | ) | ||||
Toro Co. (The) | (34 | ) | (2,123 | ) | ||||
Triumph Group, Inc. | (190 | ) | (4,788 | ) | ||||
USG Corp.* | (127 | ) | (5,133 | ) | ||||
Valmont Industries, Inc. | (21 | ) | (3,072 | ) | ||||
Vicor Corp.* | (56 | ) | (1,599 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (407 | ) | (4,172 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Woodward, Inc. | (166 | ) | $ | (11,895 | ) | |||
|
| |||||||
(253,212 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (3.4)% |
| |||||||
ABM Industries, Inc. | (269 | ) | (9,006 | ) | ||||
Advanced Disposal Services, Inc.* | (85 | ) | (1,894 | ) | ||||
ASGN, Inc.* | (28 | ) | (2,293 | ) | ||||
Brady Corp., Class A | (39 | ) | (1,449 | ) | ||||
CBIZ, Inc.* | (40 | ) | (730 | ) | ||||
CoStar Group, Inc.* | (16 | ) | (5,803 | ) | ||||
Forrester Research, Inc. | (30 | ) | (1,244 | ) | ||||
Healthcare Services Group, Inc. | (72 | ) | (3,131 | ) | ||||
InnerWorkings, Inc.* | (21 | ) | (190 | ) | ||||
Insperity, Inc. | (52 | ) | (3,617 | ) | ||||
KAR Auction Services, Inc. | (136 | ) | (7,371 | ) | ||||
Kelly Services, Inc., Class A | (6 | ) | (174 | ) | ||||
Kimball International, Inc., Class B | (42 | ) | (716 | ) | ||||
Mistras Group, Inc.* | (41 | ) | (777 | ) | ||||
MSA Safety, Inc. | (87 | ) | (7,242 | ) | ||||
Multi-Color Corp. | (60 | ) | (3,963 | ) | ||||
Pitney Bowes, Inc. | (702 | ) | (7,645 | ) | ||||
Ritchie Bros Auctioneers, Inc. (Canada) | (14 | ) | (441 | ) | ||||
Stantec, Inc. (Canada) | (11 | ) | (271 | ) | ||||
Team, Inc.* | (73 | ) | (1,004 | ) | ||||
Tetra Tech, Inc. | (141 | ) | (6,902 | ) | ||||
TransUnion* | (76 | ) | (4,315 | ) | ||||
TriNet Group, Inc.* | (72 | ) | (3,335 | ) | ||||
TrueBlue, Inc.* | (153 | ) | (3,963 | ) | ||||
|
| |||||||
(77,476 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.4)% |
| |||||||
American Outdoor Brands Corp.* | (594 | ) | (6,130 | ) | ||||
Canada Goose Holdings, Inc. (Canada)* | (23 | ) | (769 | ) | ||||
Cavco Industries, Inc.* | (16 | ) | (2,780 | ) | ||||
Crocs, Inc.* | (170 | ) | (2,762 | ) | ||||
Ethan Allen Interiors, Inc. | (113 | ) | (2,593 | ) | ||||
GoPro, Inc., Class A* | (1,360 | ) | (6,514 | ) | ||||
Installed Building Products, Inc.* | (97 | ) | (5,825 | ) | ||||
iRobot Corp.* | (46 | ) | (2,953 | ) | ||||
Johnson Outdoors, Inc., Class A | (24 | ) | (1,488 | ) | ||||
Lululemon Athletica, Inc.* | (5 | ) | (446 | ) | ||||
Movado Group, Inc. | (50 | ) | (1,920 | ) | ||||
Oxford Industries, Inc. | (63 | ) | (4,697 | ) | ||||
Skechers U.S.A., Inc., Class A* | (234 | ) | (9,100 | ) |
The accompanying notes are an integral part of the financial statements.
34
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Sturm Ruger & Co., Inc. | (130 | ) | $ | (6,825 | ) | |||
|
| |||||||
(54,802 | ) | |||||||
|
| |||||||
Consumer Services — (3.9)% |
| |||||||
Aramark | (35 | ) | (1,385 | ) | ||||
Belmond Ltd., Class A (Bermuda)* | (201 | ) | (2,241 | ) | ||||
Bloomin’ Brands, Inc. | (338 | ) | (8,207 | ) | ||||
Capella Education Co. | (10 | ) | (874 | ) | ||||
Carrols Restaurant Group, Inc.* | (161 | ) | (1,803 | ) | ||||
Cheesecake Factory, Inc. (The) | (56 | ) | (2,700 | ) | ||||
Chegg, Inc.* | (68 | ) | (1,405 | ) | ||||
Dave & Buster’s Entertainment, Inc.* | (171 | ) | (7,138 | ) | ||||
Domino’s Pizza, Inc. | (8 | ) | (1,868 | ) | ||||
Golden Entertainment, Inc.* | (146 | ) | (3,392 | ) | ||||
Grand Canyon Education, Inc.* | (28 | ) | (2,938 | ) | ||||
ILG, Inc. | (287 | ) | (8,929 | ) | ||||
International Game Technology PLC (United Kingdom) | (91 | ) | (2,432 | ) | ||||
International Speedway Corp., Class A | (44 | ) | (1,940 | ) | ||||
K12, Inc.* | (118 | ) | (1,673 | ) | ||||
La Quinta Holdings, Inc.* | (3 | ) | (57 | ) | ||||
Marcus Corp. (The) | (38 | ) | (1,153 | ) | ||||
Monarch Casino & Resort, Inc.* | (37 | ) | (1,565 | ) | ||||
Papa John’s International, Inc. | (77 | ) | (4,412 | ) | ||||
Planet Fitness, Inc., Class A* | (149 | ) | (5,628 | ) | ||||
Service Corp. International | (52 | ) | (1,962 | ) | ||||
Shake Shack, Inc., Class A* | (160 | ) | (6,661 | ) | ||||
Strayer Education, Inc. | (55 | ) | (5,558 | ) | ||||
Texas Roadhouse, Inc. | (88 | ) | (5,085 | ) | ||||
Wendy’s Co. (The) | (324 | ) | (5,686 | ) | ||||
Wingstop, Inc. | (57 | ) | (2,692 | ) | ||||
|
| |||||||
(89,384 | ) | |||||||
|
| |||||||
Energy — (4.7)% |
| |||||||
Ensco PLC, Class A (United Kingdom) | (2,608 | ) | (11,449 | ) | ||||
Forum Energy Technologies, Inc.* | (680 | ) | (7,480 | ) | ||||
Green Plains, Inc. | (468 | ) | (7,862 | ) | ||||
Helix Energy Solutions Group, Inc.* | (855 | ) | (4,950 | ) | ||||
Keane Group, Inc.* | (512 | ) | (7,578 | ) | ||||
McDermott International, Inc. (Panama)* | (52 | ) | (317 | ) | ||||
Nabors Industries Ltd. (Bermuda) | (248 | ) | (1,734 | ) | ||||
NexGen Energy Ltd. (Canada)* | (157 | ) | (267 | ) | ||||
Oceaneering International, Inc. | (376 | ) | (6,971 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Oil States International, Inc.* | (37 | ) | $ | (969 | ) | |||
Patterson-UTI Energy, Inc. | (454 | ) | (7,950 | ) | ||||
Pembina Pipeline Corp. (Canada) | (154 | ) | (4,809 | ) | ||||
ProPetro Holding Corp.* | (106 | ) | (1,684 | ) | ||||
REX American Resources Corp.* | (20 | ) | (1,456 | ) | ||||
Select Energy Services, Inc., Class A* | (267 | ) | (3,370 | ) | ||||
SemGroup Corp., Class A | (363 | ) | (7,768 | ) | ||||
Ship Finance International Ltd. | (22 | ) | (315 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (287 | ) | (4,753 | ) | ||||
Suncor Energy, Inc. (Canada) | (208 | ) | (7,184 | ) | ||||
Targa Resources Corp. | (122 | ) | (5,368 | ) | ||||
Tidewater, Inc.* | (77 | ) | (2,203 | ) | ||||
Unit Corp.* | (302 | ) | (5,967 | ) | ||||
US Silica Holdings, Inc. | (234 | ) | (5,972 | ) | ||||
|
| |||||||
(108,376 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.1)% |
| |||||||
Casey’s General Stores, Inc. | (80 | ) | (8,782 | ) | ||||
Chefs’ Warehouse, Inc. (The)* | (97 | ) | (2,231 | ) | ||||
Smart & Final Stores, Inc.* | (82 | ) | (455 | ) | ||||
SpartanNash Co. | (41 | ) | (706 | ) | ||||
SUPERVALU, Inc.* | (337 | ) | (5,132 | ) | ||||
United Natural Foods, Inc.* | (181 | ) | (7,772 | ) | ||||
|
| |||||||
(25,078 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.2)% |
| |||||||
B&G Foods, Inc. | (18 | ) | (427 | ) | ||||
Blue Buffalo Pet Products, Inc.* | (211 | ) | (8,400 | ) | ||||
Boston Beer Co., Inc. (The), Class A* | (22 | ) | (4,159 | ) | ||||
Bunge Ltd. (Bermuda) | (26 | ) | (1,922 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (11 | ) | (1,899 | ) | ||||
Darling Ingredients, Inc.* | (245 | ) | (4,238 | ) | ||||
Farmer Brothers Co.* | (39 | ) | (1,178 | ) | ||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | (146 | ) | (6,605 | ) | ||||
Freshpet, Inc.* | (118 | ) | (1,941 | ) | ||||
Hain Celestial Group, Inc. (The)* | (303 | ) | (9,717 | ) | ||||
Lamb Weston Holdings, Inc. | (54 | ) | (3,144 | ) | ||||
MGP Ingredients, Inc. | (21 | ) | (1,881 | ) | ||||
Vector Group Ltd. | (220 | ) | (4,486 | ) | ||||
|
| |||||||
(49,997 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (6.8)% |
| |||||||
Acadia Healthcare Co., Inc.* | (275 | ) | (10,774 | ) |
The accompanying notes are an integral part of the financial statements.
35
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Amedisys, Inc.* | (118 | ) | $ | (7,120 | ) | |||
American Renal Associates Holdings, Inc.* | (36 | ) | (679 | ) | ||||
AtriCure, Inc.* | (128 | ) | (2,627 | ) | ||||
BioTelemetry, Inc.* | (119 | ) | (3,695 | ) | ||||
Cardiovascular Systems, Inc.* | (159 | ) | (3,487 | ) | ||||
Chemed Corp. | (8 | ) | (2,183 | ) | ||||
Civitas Solutions, Inc.* | (80 | ) | (1,232 | ) | ||||
Community Health Systems, Inc.* | (515 | ) | (2,039 | ) | ||||
CryoLife, Inc.* | (77 | ) | (1,544 | ) | ||||
DexCom, Inc.* | (8 | ) | (593 | ) | ||||
Diplomat Pharmacy, Inc.* | (245 | ) | (4,937 | ) | ||||
Encompass Health Corp. | (57 | ) | (3,259 | ) | ||||
Ensign Group, Inc. (The) | (105 | ) | (2,762 | ) | ||||
Evolent Health, Inc., Class A* | (246 | ) | (3,506 | ) | ||||
HealthStream, Inc. | (6 | ) | (149 | ) | ||||
Heska Corp.* | (1 | ) | (79 | ) | ||||
Inovalon Holdings, Inc., Class A* | (373 | ) | (3,954 | ) | ||||
Insulet Corp.* | (20 | ) | (1,734 | ) | ||||
Integra LifeSciences Holdings Corp.* | (94 | ) | (5,202 | ) | ||||
iRhythm Technologies, Inc.* | (91 | ) | (5,728 | ) | ||||
K2M Group Holdings, Inc.* | (206 | ) | (3,904 | ) | ||||
Kindred Healthcare, Inc. | (541 | ) | (4,950 | ) | ||||
LHC Group, Inc.* | (170 | ) | (10,465 | ) | ||||
Medidata Solutions, Inc.* | (44 | ) | (2,764 | ) | ||||
Meridian Bioscience, Inc. | (80 | ) | (1,136 | ) | ||||
Merit Medical Systems, Inc.* | (53 | ) | (2,404 | ) | ||||
Neogen Corp.* | (19 | ) | (1,273 | ) | ||||
Nevro Corp.* | (67 | ) | (5,807 | ) | ||||
NxStage Medical, Inc.* | (180 | ) | (4,475 | ) | ||||
Omnicell, Inc.* | (170 | ) | (7,378 | ) | ||||
OraSure Technologies, Inc.* | (285 | ) | (4,814 | ) | ||||
Patterson Cos., Inc. | (274 | ) | (6,091 | ) | ||||
Penumbra, Inc.* | (11 | ) | (1,272 | ) | ||||
PetIQ, Inc.* | (44 | ) | (1,170 | ) | ||||
Providence Service Corp. (The)* | (41 | ) | (2,835 | ) | ||||
Quidel Corp.* | (178 | ) | (9,222 | ) | ||||
STAAR Surgical Co.* | (84 | ) | (1,243 | ) | ||||
Tactile Systems Technology, Inc.* | (101 | ) | (3,212 | ) | ||||
Teladoc, Inc.* | (154 | ) | (6,206 | ) | ||||
ViewRay, Inc.* | (473 | ) | (3,041 | ) | ||||
Vocera Communications, Inc.* | (12 | ) | (281 | ) | ||||
West Pharmaceutical Services, Inc. | (3 | ) | (265 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Wright Medical Group NV (Netherlands)* | (215 | ) | $ | (4,266 | ) | |||
|
| |||||||
(155,757 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.4)% |
| |||||||
Central Garden & Pet Co., Class A* | (130 | ) | (5,149 | ) | ||||
Inter Parfums, Inc. | (13 | ) | (613 | ) | ||||
WD-40 Co. | (32 | ) | (4,214 | ) | ||||
|
| |||||||
(9,976 | ) | |||||||
|
| |||||||
Materials — (4.9)% |
| |||||||
A Schulman, Inc. | (19 | ) | (817 | ) | ||||
AdvanSix, Inc.* | (1 | ) | (35 | ) | ||||
AptarGroup, Inc. | (96 | ) | (8,624 | ) | ||||
Ashland Global Holdings, Inc. | (144 | ) | (10,050 | ) | ||||
Balchem Corp. | (17 | ) | (1,390 | ) | ||||
Bemis Co., Inc. | (188 | ) | (8,182 | ) | ||||
Boise Cascade Co. | (49 | ) | (1,891 | ) | ||||
Cabot Corp. | (68 | ) | (3,789 | ) | ||||
Clearwater Paper Corp.* | (63 | ) | (2,463 | ) | ||||
Ferro Corp.* | (239 | ) | (5,550 | ) | ||||
Greif, Inc., Class A | (126 | ) | (6,584 | ) | ||||
HB Fuller Co. | (161 | ) | (8,007 | ) | ||||
Huntsman Corp. | (77 | ) | (2,252 | ) | ||||
Innophos Holdings, Inc. | (86 | ) | (3,458 | ) | ||||
Myers Industries, Inc. | (31 | ) | (656 | ) | ||||
Neenah, Inc. | (37 | ) | (2,901 | ) | ||||
NewMarket Corp. | (10 | ) | (4,017 | ) | ||||
Nutrien Ltd. (Canada) | (76 | ) | (3,592 | ) | ||||
PH Glatfelter Co. | (50 | ) | (1,026 | ) | ||||
PQ Group Holdings, Inc.* | (27 | ) | (377 | ) | ||||
Rayonier Advanced Materials, Inc. | (509 | ) | (10,928 | ) | ||||
Sonoco Products Co. | (30 | ) | (1,455 | ) | ||||
Tredegar Corp. | (44 | ) | (790 | ) | ||||
US Concrete, Inc.* | (189 | ) | (11,416 | ) | ||||
Valvoline, Inc. | (226 | ) | (5,001 | ) | ||||
Venator Materials PLC (United Kingdom)* | (430 | ) | (7,779 | ) | ||||
|
| |||||||
(113,030 | ) | |||||||
|
| |||||||
Media — (1.8)% |
| |||||||
Altice USA, Inc., Class A* | (132 | ) | (2,439 | ) | ||||
Cable One, Inc. | (6 | ) | (4,123 | ) | ||||
Clear Channel Outdoor Holdings, Inc., Class A | (65 | ) | (318 | ) | ||||
Emerald Expositions Events, Inc. | (57 | ) | (1,110 | ) |
The accompanying notes are an integral part of the financial statements.
36
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Entercom Communications Corp., Class A | (741 | ) | $ | (7,151 | ) | |||
EW Scripps Co. (The), Class A | (255 | ) | (3,057 | ) | ||||
Live Nation Entertainment, Inc.* | (81 | ) | (3,413 | ) | ||||
Madison Square Garden Co. (The), Class A* | (23 | ) | (5,653 | ) | ||||
Meredith Corp. | (65 | ) | (3,497 | ) | ||||
New Media Investment Group, Inc. | (72 | ) | (1,234 | ) | ||||
New York Times Co. (The), Class A | (64 | ) | (1,542 | ) | ||||
Nexstar Media Group, Inc., Class A | (13 | ) | (864 | ) | ||||
Scholastic Corp. | (29 | ) | (1,126 | ) | ||||
Sirius XM Holdings, Inc. | (34 | ) | (212 | ) | ||||
TEGNA, Inc. | (430 | ) | (4,898 | ) | ||||
tronc, Inc.* | (15 | ) | (246 | ) | ||||
|
| |||||||
(40,883 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (1.8)% |
| |||||||
Achillion Pharmaceuticals, Inc.* | (55 | ) | (204 | ) | ||||
Aclaris Therapeutics, Inc.* | (63 | ) | (1,104 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (8 | ) | (434 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (30 | ) | (381 | ) | ||||
Axovant Sciences Ltd. (Bermuda)* | (19 | ) | (25 | ) | ||||
Biohaven Pharmaceutical Holding Co. Ltd. (British Virgin Islands)* | (2 | ) | (52 | ) | ||||
Bio-Rad Laboratories, Inc., Class A* | (27 | ) | (6,752 | ) | ||||
Bio-Techne Corp. | (24 | ) | (3,625 | ) | ||||
Dermira, Inc.* | (76 | ) | (607 | ) | ||||
Flexion Therapeutics, Inc.* | (42 | ) | (941 | ) | ||||
Insmed, Inc.* | (55 | ) | (1,239 | ) | ||||
La Jolla Pharmaceutical Co.* | (149 | ) | (4,437 | ) | ||||
Medpace Holdings, Inc.* | (28 | ) | (977 | ) | ||||
NeoGenomics, Inc.* | (246 | ) | (2,007 | ) | ||||
Portola Pharmaceuticals, Inc.* | (83 | ) | (2,711 | ) | ||||
QIAGEN NV (Netherlands)* | (144 | ) | (4,653 | ) | ||||
Reata Pharmaceuticals, Inc., Class A* | (67 | ) | (1,374 | ) | ||||
Revance Therapeutics, Inc.* | (83 | ) | (2,556 | ) | ||||
Rigel Pharmaceuticals, Inc.* | (292 | ) | (1,034 | ) | ||||
Spark Therapeutics, Inc.* | (7 | ) | (466 | ) | ||||
Syneos Health, Inc.* | (86 | ) | (3,053 | ) | ||||
TherapeuticsMD, Inc.* | (88 | ) | (428 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (101 | ) | (2,449 | ) | ||||
Zogenix, Inc.* | (3 | ) | (120 | ) | ||||
|
| |||||||
(41,629 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (4.3)% |
| |||||||
Aaron’s, Inc. | (142 | ) | $ | (6,617 | ) | |||
At Home Group, Inc.* | (24 | ) | (769 | ) | ||||
Blue Apron Holdings, Inc., Class A* | (1,344 | ) | (2,688 | ) | ||||
Burlington Stores, Inc.* | (52 | ) | (6,924 | ) | ||||
Caleres, Inc. | (180 | ) | (6,048 | ) | ||||
Camping World Holdings, Inc., Class A | (243 | ) | (7,837 | ) | ||||
Chico’s FAS, Inc. | (210 | ) | (1,898 | ) | ||||
Children’s Place, Inc. (The) | (42 | ) | (5,680 | ) | ||||
Core-Mark Holding Co., Inc. | (200 | ) | (4,252 | ) | ||||
DSW, Inc., Class A | (294 | ) | (6,603 | ) | ||||
Duluth Holdings, Inc., Class B* | (61 | ) | (1,143 | ) | ||||
Finish Line, Inc. (The), Class A | (404 | ) | (5,470 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (16 | ) | (834 | ) | ||||
Group 1 Automotive, Inc. | (96 | ) | (6,273 | ) | ||||
Lands’ End, Inc.* | (4 | ) | (93 | ) | ||||
Lithia Motors, Inc., Class A | (52 | ) | (5,227 | ) | ||||
Monro, Inc. | (29 | ) | (1,554 | ) | ||||
National Vision Holdings, Inc.* | (96 | ) | (3,102 | ) | ||||
Office Depot, Inc. | (1,764 | ) | (3,793 | ) | ||||
Overstock.com, Inc.* | (178 | ) | (6,452 | ) | ||||
Qurate Retail Group, Inc., Class A* | (208 | ) | (5,235 | ) | ||||
Sally Beauty Holdings, Inc.* | (3 | ) | (49 | ) | ||||
Tailored Brands, Inc. | (30 | ) | (752 | ) | ||||
Urban Outfitters, Inc.* | (62 | ) | (2,291 | ) | ||||
Wayfair, Inc., Class A* | (110 | ) | (7,428 | ) | ||||
|
| |||||||
(99,012 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (3.5)% |
| |||||||
Ambarella, Inc. (Cayman Islands)* | (148 | ) | (7,251 | ) | ||||
Aquantia Corp.* | (166 | ) | (2,606 | ) | ||||
Brooks Automation, Inc. | (264 | ) | (7,149 | ) | ||||
Cavium, Inc.* | (101 | ) | (8,017 | ) | ||||
CEVA, Inc.* | (57 | ) | (2,063 | ) | ||||
Cree, Inc.* | (130 | ) | (5,240 | ) | ||||
FormFactor, Inc.* | (202 | ) | (2,757 | ) | ||||
Ichor Holdings Ltd. (Cayman Islands)* | (228 | ) | (5,520 | ) | ||||
Inphi Corp.* | (254 | ) | (7,645 | ) | ||||
Lattice Semiconductor Corp.* | (382 | ) | (2,128 | ) | ||||
MACOM Technology Solutions Holdings, Inc.* | (132 | ) | (2,191 | ) | ||||
MaxLinear, Inc.* | (169 | ) | (3,845 | ) | ||||
Microsemi Corp.* | (45 | ) | (2,912 | ) |
The accompanying notes are an integral part of the financial statements.
37
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Monolithic Power Systems, Inc. | (27 | ) | $ | (3,126 | ) | |||
Nanometrics, Inc.* | (126 | ) | (3,389 | ) | ||||
Photronics, Inc.* | (392 | ) | (3,234 | ) | ||||
Rudolph Technologies, Inc.* | (135 | ) | (3,740 | ) | ||||
Synaptics, Inc.* | (166 | ) | (7,591 | ) | ||||
|
| |||||||
(80,404 | ) | |||||||
|
| |||||||
Software & Services — (7.5)% |
| |||||||
8x8, Inc.* | (464 | ) | (8,654 | ) | ||||
Acxiom Corp.* | (312 | ) | (7,086 | ) | ||||
Altair Engineering, Inc., Class A* | (59 | ) | (1,850 | ) | ||||
Benefitfocus, Inc.* | (82 | ) | (2,001 | ) | ||||
Black Knight, Inc.* | (130 | ) | (6,123 | ) | ||||
BlackBerry Ltd. | (62 | ) | (713 | ) | ||||
Blackline, Inc.* | (67 | ) | (2,627 | ) | ||||
Blucora, Inc.* | (265 | ) | (6,519 | ) | ||||
Box, Inc., Class A* | (379 | ) | (7,788 | ) | ||||
CACI International, Inc., Class A* | (11 | ) | (1,665 | ) | ||||
Callidus Software, Inc.* | (118 | ) | (4,242 | ) | ||||
Cloudera, Inc.* | (505 | ) | (10,898 | ) | ||||
Ellie Mae, Inc.* | (71 | ) | (6,528 | ) | ||||
Everbridge, Inc.* | (57 | ) | (2,086 | ) | ||||
FireEye, Inc.* | (432 | ) | (7,314 | ) | ||||
First Data Corp., Class A* | (698 | ) | (11,168 | ) | ||||
ForeScout Technologies, Inc.* | (93 | ) | (3,017 | ) | ||||
Glu Mobile, Inc.* | (363 | ) | (1,369 | ) | ||||
Gogo, Inc.* | (674 | ) | (5,817 | ) | ||||
Guidewire Software, Inc.* | (20 | ) | (1,617 | ) | ||||
Hortonworks, Inc.* | (170 | ) | (3,463 | ) | ||||
LivePerson, Inc.* | (21 | ) | (343 | ) | ||||
ManTech International Corp., Class A | (39 | ) | (2,163 | ) | ||||
MAXIMUS, Inc. | (11 | ) | (734 | ) | ||||
Okta, Inc.* | (9 | ) | (359 | ) | ||||
Pandora Media, Inc.* | (769 | ) | (3,868 | ) | ||||
Paylocity Holding Corp.* | (3 | ) | (154 | ) | ||||
Pegasystems, Inc. | (2 | ) | (121 | ) | ||||
Presidio, Inc.* | (142 | ) | (2,221 | ) | ||||
PROS Holdings, Inc.* | (139 | ) | (4,588 | ) | ||||
Q2 Holdings, Inc.* | (2 | ) | (91 | ) | ||||
QAD, Inc., Class A | (1 | ) | (42 | ) | ||||
Rapid7, Inc.* | (32 | ) | (818 | ) | ||||
Science Applications International Corp. | (64 | ) | (5,043 | ) | ||||
SecureWorks Corp., Class A* | (41 | ) | (331 | ) | ||||
Shutterstock, Inc.* | (27 | ) | (1,300 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Snap, Inc., Class A* | (565 | ) | $ | (8,967 | ) | |||
Sykes Enterprises, Inc.* | (27 | ) | (781 | ) | ||||
Tableau Software, Inc., Class A* | (26 | ) | (2,101 | ) | ||||
Teradata Corp.* | (116 | ) | (4,602 | ) | ||||
Travelport Worldwide Ltd. (Bermuda) | (196 | ) | (3,203 | ) | ||||
TrueCar, Inc.* | (868 | ) | (8,211 | ) | ||||
TTEC Holdings, Inc. | (36 | ) | (1,105 | ) | ||||
Twilio, Inc., Class A* | (60 | ) | (2,291 | ) | ||||
WEX, Inc.* | (11 | ) | (1,723 | ) | ||||
Workday, Inc., Class A* | (23 | ) | (2,923 | ) | ||||
Workiva, Inc.* | (126 | ) | (2,986 | ) | ||||
Worldpay, Inc., Class A* | (26 | ) | (2,138 | ) | ||||
Yext, Inc.* | (194 | ) | (2,454 | ) | ||||
Zendesk, Inc.* | (82 | ) | (3,925 | ) | ||||
|
| |||||||
(172,131 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (5.0)% |
| |||||||
ADTRAN, Inc. | (392 | ) | (6,096 | ) | ||||
ARRIS International PLC (United Kingdom)* | (402 | ) | (10,681 | ) | ||||
Arrow Electronics, Inc.* | (13 | ) | (1,001 | ) | ||||
AVX Corp. | (121 | ) | (2,003 | ) | ||||
Celestica, Inc. (Canada)* | (246 | ) | (2,546 | ) | ||||
Comtech Telecommunications Corp. | (3 | ) | (90 | ) | ||||
Cray, Inc.* | (222 | ) | (4,595 | ) | ||||
CTS Corp. | (5 | ) | (136 | ) | ||||
Electronics For Imaging, Inc.* | (215 | ) | (5,876 | ) | ||||
Extreme Networks, Inc.* | (3 | ) | (33 | ) | ||||
Finisar Corp.* | (755 | ) | (11,937 | ) | ||||
Fitbit, Inc., Class A* | (1,017 | ) | (5,187 | ) | ||||
II-VI, Inc.* | (155 | ) | (6,340 | ) | ||||
Infinera Corp.* | (433 | ) | (4,702 | ) | ||||
Insight Enterprises, Inc.* | (133 | ) | (4,646 | ) | ||||
Methode Electronics, Inc. | (164 | ) | (6,412 | ) | ||||
MTS Systems Corp. | (29 | ) | (1,498 | ) | ||||
Oclaro, Inc.* | (326 | ) | (3,117 | ) | ||||
Sanmina Corp.* | (439 | ) | (11,480 | ) | ||||
ScanSource, Inc.* | (64 | ) | (2,275 | ) | ||||
Stratasys Ltd. (Israel)* | (239 | ) | (4,823 | ) | ||||
Trimble, Inc.* | (109 | ) | (3,911 | ) | ||||
ViaSat, Inc.* | (135 | ) | (8,872 | ) | ||||
Viavi Solutions, Inc.* | (759 | ) | (7,377 | ) | ||||
|
| |||||||
(115,634 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.1)% |
| |||||||
ATN International, Inc. | (59 | ) | (3,518 | ) |
The accompanying notes are an integral part of the financial statements.
38
GOTHAM INDEX PLUS ALL-CAP FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — (Continued) |
| |||||||
Boingo Wireless, Inc.* | (144 | ) | $ | (3,567 | ) | |||
Cincinnati Bell, Inc.* | (96 | ) | (1,330 | ) | ||||
Consolidated Communications Holdings, Inc. | (510 | ) | (5,590 | ) | ||||
Iridium Communications, Inc.* | (428 | ) | (4,815 | ) | ||||
ORBCOMM, Inc.* | (381 | ) | (3,570 | ) | ||||
Sprint Corp.* | (19 | ) | (93 | ) | ||||
United States Cellular Corp.* | (79 | ) | (3,175 | ) | ||||
|
| |||||||
(25,658 | ) | |||||||
|
| |||||||
Transportation — (2.3)% |
| |||||||
Air Transport Services Group, Inc.* | (167 | ) | (3,894 | ) | ||||
Allegiant Travel Co. | (46 | ) | (7,937 | ) | ||||
ArcBest Corp. | (116 | ) | (3,718 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (50 | ) | (3,022 | ) | ||||
Daseke, Inc.* | (111 | ) | (1,087 | ) | ||||
Genesee & Wyoming, Inc., Class A* | (16 | ) | (1,133 | ) | ||||
Heartland Express, Inc. | (213 | ) | (3,832 | ) | ||||
Hub Group, Inc., Class A* | (175 | ) | (7,324 | ) | ||||
JetBlue Airways Corp.* | (102 | ) | (2,073 | ) | ||||
Knight-Swift Transportation Holdings, Inc. | (182 | ) | (8,374 | ) | ||||
Matson, Inc. | (109 | ) | (3,122 | ) | ||||
Spirit Airlines, Inc.* | (139 | ) | (5,251 | ) | ||||
Student Transportation, Inc. (Canada) | (175 | ) | (1,311 | ) | ||||
|
| |||||||
(52,078 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $1,705,527) | (1,614,127 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (70.3)% |
| (1,614,127 | ) | |||||
|
| |||||||
(Proceeds $1,705,527) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% | 14,442 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,295,002 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
* | Non-income producing. |
PLC Public Limited Company
REIT Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
39
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 139.1% |
| |||||||
COMMON STOCKS — 139.1% |
| |||||||
Automobiles & Components — 2.1% |
| |||||||
Aptiv PLC (Jersey)† | 133 | $ | 11,301 | |||||
BorgWarner, Inc.† | 104 | 5,224 | ||||||
Cooper-Standard Holdings, Inc.* | 36 | 4,420 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)† | 433 | 8,885 | ||||||
Ford Motor Co. | 45 | 499 | ||||||
General Motors Co.† | 153 | 5,560 | ||||||
Gentex Corp. | 2 | 46 | ||||||
Goodyear Tire & Rubber Co. (The) | 120 | 3,190 | ||||||
Harley-Davidson, Inc.(a) | 1 | 43 | ||||||
Lear Corp. | 34 | 6,327 | ||||||
Magna International, Inc. (Canada) | 37 | 2,085 | ||||||
Modine Manufacturing Co.†* | 164 | 3,469 | ||||||
Standard Motor Products, Inc. | 69 | 3,282 | ||||||
Tenneco, Inc. | 79 | 4,335 | ||||||
Tower International, Inc. | 75 | 2,081 | ||||||
Winnebago Industries, Inc.(a) | 48 | 1,805 | ||||||
|
| |||||||
62,552 | ||||||||
|
| |||||||
Banks — 0.9% |
| |||||||
Bank of America Corp.† | 176 | 5,278 | ||||||
BB&T Corp. | 14 | 729 | ||||||
Citigroup, Inc.† | 44 | 2,970 | ||||||
Citizens Financial Group, Inc.† | 9 | 378 | ||||||
Comerica, Inc.† | 2 | 192 | ||||||
Fifth Third Bancorp | 8 | 254 | ||||||
Huntington Bancshares, Inc.† | 18 | 271 | ||||||
JPMorgan Chase & Co.† | 58 | 6,378 | ||||||
KeyCorp.† | 12 | 235 | ||||||
M&T Bank Corp. | 1 | 184 | ||||||
People’s United Financial, Inc. | 5 | 93 | ||||||
PNC Financial Services Group, Inc. (The)† | 8 | 1,210 | ||||||
Regions Financial Corp. | 13 | 242 | ||||||
SunTrust Banks, Inc. | 9 | 612 | ||||||
SVB Financial Group* | 1 | 240 | ||||||
US Bancorp† | 28 | 1,414 | ||||||
Wells Fargo & Co.† | 84 | 4,402 | ||||||
Zions Bancorporation† | 4 | 211 | ||||||
|
| |||||||
25,293 | ||||||||
|
| |||||||
Capital Goods — 16.7% |
| |||||||
3M Co.† | 11 | 2,415 | ||||||
AAR Corp. | 70 | 3,088 | ||||||
Acuity Brands, Inc.† | 1 | 139 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Advanced Drainage Systems, Inc. | 203 | $ | 5,258 | |||||
Aegion Corp.(a)* | 59 | 1,352 | ||||||
AGCO Corp. | 56 | 3,631 | ||||||
Allegion PLC (Ireland) | 2 | 171 | ||||||
Allison Transmission Holdings, Inc.† | 193 | 7,538 | ||||||
Altra Industrial Motion Corp. | 81 | 3,722 | ||||||
AMETEK, Inc.† | 114 | 8,661 | ||||||
AO Smith Corp. | 1 | 64 | ||||||
Arconic, Inc. | 9 | 207 | ||||||
Argan, Inc.† | 186 | 7,989 | ||||||
Armstrong World Industries, Inc.* | 13 | 732 | ||||||
Atkore International Group, Inc.* | 108 | 2,144 | ||||||
Boeing Co. (The)† | 181 | 59,346 | ||||||
Builders FirstSource, Inc.* | 406 | 8,055 | ||||||
Caterpillar, Inc.† | 124 | 18,275 | ||||||
Colfax Corp.* | 28 | 893 | ||||||
Columbus McKinnon Corp. | 21 | 753 | ||||||
Continental Building Products, Inc.* | 21 | 600 | ||||||
Crane Co.† | 78 | 7,234 | ||||||
CSW Industrials, Inc.* | 27 | 1,216 | ||||||
Cummins, Inc.† | 83 | 13,453 | ||||||
Curtiss-Wright Corp. | 58 | 7,834 | ||||||
Deere & Co.† | 31 | 4,815 | ||||||
Douglas Dynamics, Inc. | 57 | 2,471 | ||||||
Dover Corp. | 72 | 7,072 | ||||||
Eaton Corp. PLC (Ireland) | 7 | 559 | ||||||
EMCOR Group, Inc.† | 57 | 4,442 | ||||||
Emerson Electric Co.† | 319 | 21,788 | ||||||
Encore Wire Corp. | 59 | 3,345 | ||||||
Engility Holdings, Inc.* | 75 | 1,830 | ||||||
Fastenal Co.(a) | 48 | 2,620 | ||||||
Flowserve Corp.(a) | 2 | 87 | ||||||
Fluor Corp. | 1 | 57 | ||||||
Fortive Corp.† | 3 | 233 | ||||||
Fortune Brands Home & Security, Inc. | 78 | 4,593 | ||||||
Foundation Building Materials, Inc.* | 43 | 641 | ||||||
Gardner Denver Holdings, Inc.* | 33 | 1,012 | ||||||
Generac Holdings, Inc.†* | 184 | 8,447 | ||||||
General Cable Corp. | 110 | 3,256 | ||||||
General Dynamics Corp.† | 146 | 32,251 | ||||||
General Electric Co. | 97 | 1,308 | ||||||
Gorman-Rupp Co. (The) | 14 | 410 | ||||||
Graco, Inc. | 2 | 91 | ||||||
Granite Construction, | 66 | 3,687 |
The accompanying notes are an integral part of the financial statements.
40
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Harris Corp.† | 59 | $ | 9,516 | |||||
Harsco Corp.†* | 146 | 3,015 | ||||||
Hillenbrand, Inc. | 56 | 2,570 | ||||||
Honeywell International, Inc.† | 200 | 28,902 | ||||||
Hubbell, Inc.† | 55 | 6,698 | ||||||
Huntington Ingalls Industries, Inc. | 2 | 516 | ||||||
IDEX Corp. | 1 | 143 | ||||||
Illinois Tool Works, Inc.† | 6 | 940 | ||||||
Ingersoll-Rand PLC (Ireland)† | 5 | 428 | ||||||
Jacobs Engineering Group, Inc.† | 3 | 177 | ||||||
Johnson Controls International PLC (Ireland)† | 16 | 564 | ||||||
L3 Technologies, Inc. | 1 | 208 | ||||||
Lockheed Martin Corp.† | 5 | 1,690 | ||||||
Lydall, Inc.* | 3 | 145 | ||||||
Manitowoc Co., Inc. (The)* | 306 | 8,709 | ||||||
Masco Corp.† | 159 | 6,430 | ||||||
Milacron Holdings Corp.* | 149 | 3,001 | ||||||
MSC Industrial Direct Co., Inc., Class A | 26 | 2,384 | ||||||
Navistar International Corp.* | 20 | 699 | ||||||
NN, Inc. | 82 | 1,968 | ||||||
Northrop Grumman Corp. | 1 | 349 | ||||||
Orbital ATK, Inc. | 30 | 3,978 | ||||||
Owens Corning | 103 | 8,281 | ||||||
PACCAR, Inc. | 6 | 397 | ||||||
Parker-Hannifin Corp. | 3 | 513 | ||||||
Pentair PLC (Ireland)† | 89 | 6,064 | ||||||
Ply Gem Holdings, Inc.* | 128 | 2,765 | ||||||
Quanta Services, Inc.* | 1 | 34 | ||||||
Raytheon Co.† | 143 | 30,861 | ||||||
Rockwell Automation, Inc. | 14 | 2,439 | ||||||
Rockwell Collins, Inc. | 3 | 405 | ||||||
Roper Technologies, Inc. | 10 | 2,807 | ||||||
Snap-on, Inc.† | 1 | 148 | ||||||
Spartan Motors, Inc. | 219 | 3,767 | ||||||
SPX FLOW, Inc.†* | 145 | 7,133 | ||||||
Standex International Corp. | 16 | 1,526 | ||||||
Stanley Black & Decker, Inc.† | 77 | 11,796 | ||||||
Teledyne Technologies, Inc.†* | 45 | 8,423 | ||||||
Tennant Co.(a) | 29 | 1,963 | ||||||
Terex Corp. | 108 | 4,040 | ||||||
Textron, Inc. | 5 | 295 | ||||||
Titan International, Inc. | 16 | 202 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
TransDigm Group, Inc.† | 2 | $ | 614 | |||||
TriMas Corp.* | 62 | 1,628 | ||||||
Tutor Perini Corp.(a)* | 224 | 4,939 | ||||||
United Technologies Corp. | 13 | 1,636 | ||||||
Univar, Inc.* | 80 | 2,220 | ||||||
Universal Forest Products, Inc.† | 166 | 5,387 | ||||||
Watsco, Inc. | 33 | 5,972 | ||||||
Watts Water Technologies, Inc., Class A | 85 | 6,604 | ||||||
Welbilt, Inc.* | 81 | 1,575 | ||||||
WESCO International, Inc.* | 36 | 2,234 | ||||||
WW Grainger, Inc.†(a) | 30 | 8,468 | ||||||
Xylem, Inc.† | 88 | 6,769 | ||||||
|
| |||||||
494,720 | ||||||||
|
| |||||||
Commercial & Professional Services — 2.1% |
| |||||||
ACCO Brands Corp. | 420 | 5,271 | ||||||
Cintas Corp. | 2 | 341 | ||||||
Clean Harbors, Inc.* | 19 | 927 | ||||||
Covanta Holding Corp. | 426 | 6,177 | ||||||
Deluxe Corp.(a) | 4 | 296 | ||||||
Equifax, Inc. | 1 | 118 | ||||||
FTI Consulting, Inc.†* | 85 | 4,115 | ||||||
HNI Corp. | 7 | 253 | ||||||
ICF International, Inc. | 74 | 4,325 | ||||||
IHS Markit Ltd. (Bermuda)* | 4 | 193 | ||||||
Interface, Inc. | 145 | 3,654 | ||||||
Kforce, Inc. | 55 | 1,488 | ||||||
Knoll, Inc. | 29 | 586 | ||||||
Korn/Ferry International | 101 | 5,211 | ||||||
LSC Communications, Inc. | 30 | 524 | ||||||
ManpowerGroup, Inc. | 27 | 3,108 | ||||||
Matthews International Corp., Class A | 1 | 51 | ||||||
Navigant Consulting, Inc.* | 243 | 4,675 | ||||||
Nielsen Holdings PLC (United Kingdom)† | 44 | 1,399 | ||||||
Quad/Graphics, Inc. | 66 | 1,673 | ||||||
Republic Services, Inc.† | 6 | 397 | ||||||
Robert Half International, Inc.† | 6 | 347 | ||||||
RR Donnelley & Sons Co. | 117 | 1,020 | ||||||
SP Plus Corp.* | 108 | 3,845 | ||||||
Steelcase, Inc., | 353 | 4,801 | ||||||
Stericycle, Inc.(a)* | 2 | 117 | ||||||
UniFirst Corp. | 8 | 1,293 |
The accompanying notes are an integral part of the financial statements.
41
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
US Ecology, Inc. | 41 | $ | 2,185 | |||||
Verisk Analytics, Inc.* | 1 | 104 | ||||||
Waste Management, Inc. | 39 | 3,281 | ||||||
|
| |||||||
61,775 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.5% |
| |||||||
Acushnet Holdings Corp. | 93 | 2,147 | ||||||
Carter’s, Inc. | 56 | 5,830 | ||||||
Deckers Outdoor | 41 | 3,691 | ||||||
DR Horton, Inc.† | 6 | 263 | ||||||
Fossil Group, Inc.(a)* | 167 | 2,120 | ||||||
Garmin Ltd. (Switzerland) | 3 | 177 | ||||||
G-III Apparel Group Ltd.* | 111 | 4,181 | ||||||
Hanesbrands, Inc.(a) | 8 | 147 | ||||||
Hasbro, Inc. | 3 | 252 | ||||||
Helen Of Troy Ltd. (Bermuda)†* | 47 | 4,089 | ||||||
La-Z-Boy, Inc. | 34 | 1,018 | ||||||
Leggett & Platt, Inc.(a) | 3 | 133 | ||||||
Lennar Corp., Class A† | 29 | 1,709 | ||||||
Mattel, Inc.(a) | 5 | 66 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 81 | 5,028 | ||||||
Mohawk Industries, Inc.* | 1 | 232 | ||||||
Newell Brands, Inc.(a) | 240 | 6,115 | ||||||
NIKE, Inc., Class B | 18 | 1,196 | ||||||
PulteGroup, Inc.† | 5 | 147 | ||||||
PVH Corp.† | 2 | 303 | ||||||
Ralph Lauren Corp.† | 42 | 4,696 | ||||||
Steven Madden Ltd. | 54 | 2,371 | ||||||
Tapestry, Inc. | 3 | 158 | ||||||
Tempur Sealy International, Inc.* | 1 | 45 | ||||||
TopBuild Corp.* | 63 | 4,821 | ||||||
Under Armour, Inc., Class C(a)* | 7 | 100 | ||||||
Universal Electronics, Inc.* | 64 | 3,331 | ||||||
VF Corp.† | 195 | 14,453 | ||||||
Vista Outdoor, Inc.* | 285 | 4,651 | ||||||
Whirlpool Corp.† | 2 | 306 | ||||||
|
| |||||||
73,776 | ||||||||
|
| |||||||
Consumer Services — 4.7% |
| |||||||
Adtalem Global Education, Inc.* | 1 | 48 | ||||||
BJ’s Restaurants, Inc. | 68 | 3,053 | ||||||
Boyd Gaming Corp.†(a) | 223 | 7,105 | ||||||
Brinker International, Inc.†(a) | 68 | 2,455 | ||||||
Carnival Corp. | 13 | 853 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Chipotle Mexican Grill, Inc.(a)* | 1 | $ | 323 | |||||
Choice Hotels International, Inc. | 61 | 4,889 | ||||||
Cracker Barrel Old Country Store, Inc.(a) | 25 | 3,980 | ||||||
Darden Restaurants, Inc. | 1 | 85 | ||||||
Denny’s Corp.* | 73 | 1,126 | ||||||
Dine Brands Global, Inc. | 20 | 1,312 | ||||||
Dunkin’ Brands Group, Inc.(a) | 93 | 5,551 | ||||||
Graham Holdings Co., Class B | 3 | 1,806 | ||||||
H&R Block, Inc.† | 25 | 635 | ||||||
Hilton Worldwide Holdings, Inc.† | 159 | 12,523 | ||||||
Hyatt Hotels Corp., Class A† | 108 | 8,236 | ||||||
Jack in the Box, Inc. | 63 | 5,376 | ||||||
Las Vegas Sands Corp. | 25 | 1,798 | ||||||
Laureate Education, Inc., Class A* | 45 | 619 | ||||||
Marriott International, Inc., Class A† | 183 | 24,884 | ||||||
McDonald’s Corp.† | 124 | 19,391 | ||||||
MGM Resorts International | 6 | 210 | ||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | 2 | 106 | ||||||
Regis Corp.* | 125 | 1,891 | ||||||
Restaurant Brands International, Inc. (Canada) | 58 | 3,301 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 4 | 471 | ||||||
Six Flags Entertainment Corp.(a) | 24 | 1,494 | ||||||
Starbucks Corp. | 15 | 868 | ||||||
Stars Group, Inc. (The) (Canada)* | 200 | 5,510 | ||||||
Vail Resorts, Inc. | 14 | 3,104 | ||||||
Wyndham Worldwide Corp.† | 12 | 1,373 | ||||||
Wynn Resorts Ltd. | 1 | 182 | ||||||
Yum! Brands, Inc.† | 169 | 14,387 | ||||||
|
| |||||||
138,945 | ||||||||
|
| |||||||
Diversified Financials — 4.0% |
| |||||||
Affiliated Managers Group, Inc. | 1 | 190 | ||||||
American Express Co. | 14 | 1,306 | ||||||
Ameriprise Financial, Inc. | 1 | 148 | ||||||
Bank of New York Mellon Corp. (The)† | 17 | 876 | ||||||
Berkshire Hathaway, Inc., Class B†* | 135 | 26,930 | ||||||
BlackRock, Inc.† | 79 | 42,796 | ||||||
Capital One Financial Corp.† | 9 | 862 | ||||||
Cboe Global Markets, Inc. | 13 | 1,483 | ||||||
Charles Schwab Corp. (The)† | 23 | 1,201 |
The accompanying notes are an integral part of the financial statements.
42
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
CME Group, Inc.† | 3 | $ | 485 | |||||
Discover Financial Services† | 7 | 504 | ||||||
E*TRADE Financial Corp.†* | 5 | 277 | ||||||
Franklin Resources, Inc.†(a) | 283 | 9,814 | ||||||
Goldman Sachs Group, Inc. (The)† | 6 | 1,511 | ||||||
Intercontinental Exchange, Inc. | 56 | 4,061 | ||||||
Invesco Ltd. (Bermuda)† | 208 | 6,658 | ||||||
Leucadia National Corp. | 6 | 136 | ||||||
Moody’s Corp.† | 4 | 645 | ||||||
Morgan Stanley† | 31 | 1,673 | ||||||
Nasdaq, Inc.† | 2 | 172 | ||||||
Navient Corp. | 4 | 52 | ||||||
Northern Trust Corp.† | 3 | 309 | ||||||
Raymond James Financial, Inc. | 11 | 983 | ||||||
S&P Global, Inc.† | 5 | 955 | ||||||
State Street Corp.† | 15 | 1,496 | ||||||
Synchrony Financial† | 14 | 469 | ||||||
T Rowe Price Group, Inc.† | 124 | 13,388 | ||||||
|
| |||||||
119,380 | ||||||||
|
| |||||||
Energy — 8.6% |
| |||||||
Anadarko Petroleum Corp. | 6 | 362 | ||||||
Andeavor | 75 | 7,542 | ||||||
Apache Corp.† | 6 | 231 | ||||||
Bristow Group, Inc.(a) | 95 | 1,235 | ||||||
Cabot Oil & Gas Corp. | 25 | 599 | ||||||
Cameco Corp. (Canada) | 472 | 4,290 | ||||||
Cenovus Energy, Inc. (Canada) | 307 | 2,622 | ||||||
Chevron Corp.† | 169 | 19,273 | ||||||
Cimarex Energy Co. | 1 | 94 | ||||||
Concho Resources, Inc.* | 1 | 150 | ||||||
ConocoPhillips† | 607 | 35,989 | ||||||
Devon Energy Corp. | 5 | 159 | ||||||
DHT Holdings, Inc. (Marshall Islands). | 324 | 1,102 | ||||||
Diamond Offshore Drilling, Inc.(a)* | 260 | 3,812 | ||||||
Dril-Quip, Inc.†* | 98 | 4,390 | ||||||
Enbridge, Inc. (Canada) | 265 | 8,340 | ||||||
EOG Resources, Inc. | 6 | 632 | ||||||
EQT Corp. | 2 | 95 | ||||||
Exterran Corp.* | 5 | 134 | ||||||
Exxon Mobil Corp.† | 430 | 32,082 | ||||||
Fairmount Santrol Holdings, Inc.(a)* | 1,175 | 4,994 | ||||||
Frank’s International NV (Netherlands) | 755 | 4,100 | ||||||
Halliburton Co. | 15 | 704 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Helmerich & Payne, Inc. | 1 | $ | 67 | |||||
Hess Corp. | 137 | 6,935 | ||||||
HollyFrontier Corp. | 21 | 1,026 | ||||||
Kinder Morgan, Inc. | 26 | 392 | ||||||
Mammoth Energy Services, Inc.* | 133 | 4,264 | ||||||
Marathon Oil Corp. | 14 | 226 | ||||||
Marathon Petroleum Corp.† | 249 | 18,204 | ||||||
National Oilwell Varco, Inc. | 7 | 258 | ||||||
Newfield Exploration Co.* | 2 | 49 | ||||||
Newpark Resources, Inc.* | 80 | 648 | ||||||
Noble Corp. PLC (United Kingdom)* | 170 | 631 | ||||||
Noble Energy, Inc. | 9 | 273 | ||||||
Occidental Petroleum Corp. | 8 | 520 | ||||||
ONEOK, Inc.† | 7 | 398 | ||||||
Par Pacific Holdings, Inc.* | 26 | 446 | ||||||
Phillips 66† | 248 | 23,788 | ||||||
Pioneer Natural Resources Co. | 1 | 172 | ||||||
Range Resources | 3 | 44 | ||||||
Rowan Cos. PLC, Class A (United Kingdom)* | 600 | 6,924 | ||||||
RPC, Inc.(a) | 322 | 5,806 | ||||||
Schlumberger Ltd. (Curacao)† | 24 | 1,555 | ||||||
SEACOR Holdings, Inc.* | 57 | 2,913 | ||||||
Superior Energy Services, Inc.* | 744 | 6,272 | ||||||
TechnipFMC PLC (United Kingdom)† | 8 | 236 | ||||||
Transocean Ltd. (Switzerland)(a)* | 456 | 4,514 | ||||||
Valero Energy Corp.† | 223 | 20,688 | ||||||
Weatherford International PLC (Ireland)* | 2,310 | 5,290 | ||||||
Williams Cos., Inc. (The) | 9 | 224 | ||||||
World Fuel Services Corp. | 322 | 7,905 | ||||||
|
| |||||||
253,599 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.7% |
| |||||||
Costco Wholesale Corp. | 4 | 754 | ||||||
CVS Health Corp.† | 18 | 1,120 | ||||||
Ingles Markets, Inc., Class A(a) | 33 | 1,117 | ||||||
Kroger Co. (The)† | 439 | 10,510 | ||||||
Sprouts Farmers Market, Inc.(a)* | 161 | 3,779 | ||||||
Sysco Corp.† | 9 | 540 | ||||||
US Foods Holding Corp.* | 254 | 8,324 | ||||||
Walgreens Boots Alliance, Inc.† | 16 | 1,048 | ||||||
Walmart, Inc.† | 563 | 50,090 | ||||||
Weis Markets, Inc.(a) | 95 | 3,893 | ||||||
|
| |||||||
81,175 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
43
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — 5.1% |
| |||||||
Altria Group, Inc.† | 936 | $ | 58,332 | |||||
Archer-Daniels-Midland Co. | 6 | 260 | ||||||
Brown-Forman Corp., Class B | 5 | 272 | ||||||
Campbell Soup Co.(a) | 6 | 260 | ||||||
Coca-Cola Co. (The)† | 74 | 3,214 | ||||||
Conagra Brands, Inc.† | 6 | 221 | ||||||
Constellation Brands, Inc., Class A | 2 | 456 | ||||||
Dean Foods Co.(a) | 119 | 1,026 | ||||||
Dr Pepper Snapple Group, Inc.† | 73 | 8,642 | ||||||
General Mills, Inc.† | 281 | 12,662 | ||||||
Hershey Co. (The)† | 37 | 3,662 | ||||||
Hormel Foods Corp.(a) | 10 | 343 | ||||||
Hostess Brands, Inc.(a)* | 238 | 3,520 | ||||||
Ingredion, Inc.† | 57 | 7,348 | ||||||
JM Smucker Co. (The) | 2 | 248 | ||||||
John B Sanfilippo & Son, Inc. | 67 | 3,877 | ||||||
Kellogg Co.(a) | 5 | 325 | ||||||
Kraft Heinz Co. (The) | 148 | 9,219 | ||||||
McCormick & Co., Inc., non-voting shares† | 2 | 213 | ||||||
Molson Coors Brewing Co., Class B† | 4 | 301 | ||||||
Mondelez International, Inc., Class A | 16 | 668 | ||||||
Monster Beverage Corp.* | 10 | 572 | ||||||
National Beverage Corp.† | 11 | 979 | ||||||
PepsiCo, Inc.† | 48 | 5,239 | ||||||
Philip Morris International, Inc.† | 27 | 2,684 | ||||||
Pilgrim’s Pride Corp.* | 80 | 1,969 | ||||||
Pinnacle Foods, Inc. | 40 | 2,164 | ||||||
SunOpta, Inc. | 73 | 518 | ||||||
TreeHouse Foods, Inc.* | 123 | 4,707 | ||||||
Tyson Foods, Inc., Class A† | 188 | 13,760 | ||||||
Universal Corp. | 96 | 4,656 | ||||||
|
| |||||||
152,317 | ||||||||
|
| |||||||
Health Care Equipment & Services — 5.8% |
| |||||||
Abbott Laboratories† | 29 | 1,737 | ||||||
Addus HomeCare Corp.* | 4 | 195 | ||||||
Aetna, Inc.† | 7 | 1,183 | ||||||
Align Technology, Inc.* | 1 | 251 | ||||||
Allscripts Healthcare Solutions, Inc.* | 62 | 766 | ||||||
Almost Family, Inc.* | 92 | 5,152 | ||||||
AmerisourceBergen Corp.† | 39 | 3,362 | ||||||
Analogic Corp. | 34 | 3,261 | ||||||
Anika Therapeutics, Inc.* | 30 | 1,492 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Anthem, Inc.† | 5 | $ | 1,098 | |||||
athenahealth, Inc.†* | 4 | 572 | ||||||
Baxter International, Inc.† | 6 | 390 | ||||||
Becton Dickinson and Co. | 2 | 433 | ||||||
Boston Scientific Corp.* | 16 | 437 | ||||||
Brookdale Senior Living, Inc.(a)* | 949 | 6,368 | ||||||
Cardinal Health, Inc.† | 6 | 376 | ||||||
Centene Corp.†* | 3 | 321 | ||||||
Cerner Corp.* | 3 | 174 | ||||||
Cigna Corp.† | 126 | 21,135 | ||||||
CONMED Corp. | 30 | 1,900 | ||||||
Cooper Cos., Inc. (The) | 2 | 458 | ||||||
CorVel Corp.* | 21 | 1,062 | ||||||
Cotiviti Holdings, Inc.†* | 207 | 7,129 | ||||||
Danaher Corp. | 12 | 1,175 | ||||||
DaVita, Inc.†* | 4 | 264 | ||||||
DENTSPLY SIRONA, Inc. | 2 | 101 | ||||||
Edwards Lifesciences Corp.* | 2 | 279 | ||||||
Envision Healthcare Corp.(a)* | 3 | 115 | ||||||
Express Scripts Holding Co.†* | 9 | 622 | ||||||
Haemonetics Corp.†* | 72 | 5,268 | ||||||
Halyard Health, Inc.* | 141 | 6,497 | ||||||
HCA Healthcare, Inc. | 3 | 291 | ||||||
Henry Schein, Inc.(a)* | 1 | 67 | ||||||
Hill-Rom Holdings, Inc.† | 53 | 4,611 | ||||||
HMS Holdings Corp.* | 125 | 2,105 | ||||||
Hologic, Inc.* | 3 | 112 | ||||||
Humana, Inc.† | 2 | 538 | ||||||
ICU Medical, Inc.†* | 39 | 9,844 | ||||||
Integer Holdings Corp.* | 44 | 2,488 | ||||||
Intuitive Surgical, Inc.* | 1 | 413 | ||||||
Invacare Corp.(a) | 255 | 4,437 | ||||||
Laboratory Corp. of America Holdings†* | 52 | 8,411 | ||||||
Lantheus Holdings, Inc.* | 151 | 2,401 | ||||||
LeMaitre Vascular, Inc. | 37 | 1,341 | ||||||
LifePoint Health, Inc.* | 56 | 2,632 | ||||||
Masimo Corp.* | 65 | 5,717 | ||||||
McKesson Corp.† | 4 | 563 | ||||||
MEDNAX, Inc.†* | 112 | 6,231 | ||||||
Medtronic PLC (Ireland) | 15 | 1,203 | ||||||
National HealthCare Corp. | 23 | 1,371 | ||||||
Natus Medical, Inc.* | 29 | 976 |
The accompanying notes are an integral part of the financial statements.
44
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Owens & Minor, Inc. | 300 | $ | 4,665 | |||||
Quality Systems, Inc.* | 206 | 2,812 | ||||||
Quest Diagnostics, Inc.† | 30 | 3,009 | ||||||
ResMed, Inc. | 1 | 98 | ||||||
Select Medical Holdings Corp.* | 14 | 242 | ||||||
STERIS PLC (United Kingdom)† | 48 | 4,481 | ||||||
Stryker Corp. | 4 | 644 | ||||||
Tabula Rasa HealthCare, Inc.(a)* | 73 | 2,832 | ||||||
Teleflex, Inc. | 7 | 1,785 | ||||||
Tenet Healthcare | 156 | 3,783 | ||||||
UnitedHealth Group, Inc.† | 17 | 3,638 | ||||||
Universal Health Services, Inc., Class B | 2 | 237 | ||||||
US Physical Therapy, Inc. | 1 | 81 | ||||||
Varex Imaging Corp.†* | 185 | 6,619 | ||||||
Varian Medical Systems, Inc.* | 45 | 5,519 | ||||||
Zimmer Biomet Holdings, Inc. | 4 | 436 | ||||||
|
| |||||||
170,206 | ||||||||
|
| |||||||
Household & Personal Products — 3.2% |
| |||||||
Avon Products, Inc.* | 1,446 | 4,107 | ||||||
Church & Dwight Co., Inc. | 3 | 151 | ||||||
Clorox Co. (The) | 3 | 399 | ||||||
Colgate-Palmolive Co. | 15 | 1,075 | ||||||
Coty, Inc., Class A | 8 | 146 | ||||||
Energizer Holdings, Inc.(a) | 41 | 2,443 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 41 | 6,139 | ||||||
Kimberly-Clark Corp.† | 5 | 551 | ||||||
Procter & Gamble Co. (The)† | 976 | 77,377 | ||||||
Spectrum Brands Holdings, Inc.(a) | 11 | 1,141 | ||||||
|
| |||||||
93,529 | ||||||||
|
| |||||||
Insurance — 1.6% |
| |||||||
Aflac, Inc. | 10 | 438 | ||||||
Allstate Corp. (The) | 6 | 569 | ||||||
American International Group, Inc. | 10 | 544 | ||||||
Aon PLC (United Kingdom)† | 122 | 17,120 | ||||||
Arthur J Gallagher & Co. | 2 | 137 | ||||||
Assurant, Inc. | 1 | 91 | ||||||
Brighthouse Financial, Inc.* | 3 | 154 | ||||||
Chubb Ltd. (Switzerland) | 5 | 684 | ||||||
Cincinnati Financial Corp. | 1 | 74 | ||||||
Everest Re Group Ltd. (Bermuda) | 2 | 514 | ||||||
Hartford Financial Services Group, Inc. (The) | 4 | 206 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Lincoln National Corp. | 2 | $ | 146 | |||||
Loews Corp. | 5 | 249 | ||||||
Marsh & McLennan Cos., Inc.† | 251 | 20,730 | ||||||
MetLife, Inc. | 11 | 505 | ||||||
Principal Financial Group, Inc. | 5 | 305 | ||||||
Progressive Corp. (The)† | 30 | 1,828 | ||||||
Prudential Financial, Inc. | 4 | 414 | ||||||
Torchmark Corp.† | 2 | 168 | ||||||
Travelers Cos., Inc. | 5 | 694 | ||||||
Unum Group | 2 | 95 | ||||||
Willis Towers Watson PLC (Ireland) | 1 | 152 | ||||||
XL Group Ltd. (Bermuda) | 5 | 276 | ||||||
|
| |||||||
46,093 | ||||||||
|
| |||||||
Materials — 6.3% |
| |||||||
Air Products & Chemicals, Inc.† | 26 | 4,135 | ||||||
Albemarle Corp. | 1 | 93 | ||||||
American Vanguard Corp. | 8 | 162 | ||||||
Avery Dennison Corp. | 44 | 4,675 | ||||||
Axalta Coating Systems Ltd. (Bermuda)* | 6 | 181 | ||||||
Ball Corp.† | 6 | 238 | ||||||
Celanese Corp., Class A | 18 | 1,804 | ||||||
CF Industries Holdings, Inc. | 2 | 75 | ||||||
Chemours Co. (The) | 83 | 4,043 | ||||||
DowDupont, Inc. | 26 | 1,656 | ||||||
Eastman Chemical Co. | 71 | 7,496 | ||||||
Ecolab, Inc. | 4 | 548 | ||||||
FMC Corp. | 1 | 77 | ||||||
Freeport-McMoRan, Inc.† | 547 | 9,611 | ||||||
FutureFuel Corp. | 16 | 192 | ||||||
GCP Applied Technologies, Inc.* | 96 | 2,789 | ||||||
Graphic Packaging Holding Co. | 164 | 2,517 | ||||||
Innospec, Inc. | 89 | 6,105 | ||||||
International Flavors & Fragrances, Inc. | 2 | 274 | ||||||
International Paper Co.† | 204 | 10,900 | ||||||
KapStone Paper and Packaging Corp. | 67 | 2,299 | ||||||
Koppers Holdings, Inc.* | 62 | 2,548 | ||||||
Kraton Corp.†* | 182 | 8,683 | ||||||
Kronos Worldwide, Inc. | 152 | 3,435 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 201 | 21,242 |
The accompanying notes are an integral part of the financial statements.
45
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Martin Marietta Materials, Inc. | 1 | $ | 207 | |||||
Methanex Corp. (Canada)† | 24 | 1,456 | ||||||
Minerals Technologies, Inc. | 3 | 201 | ||||||
Monsanto Co.† | 219 | 25,555 | ||||||
Mosaic Co. (The) | 3 | 73 | ||||||
Newmont Mining Corp.† | 10 | 391 | ||||||
Norbord, Inc. (Canada) | 120 | 4,360 | ||||||
Nucor Corp. | 6 | 367 | ||||||
Packaging Corp. of America | 2 | 225 | ||||||
Platform Specialty Products Corp.* | 121 | 1,165 | ||||||
PolyOne Corp. | 74 | 3,146 | ||||||
PPG Industries, Inc.† | 131 | 14,620 | ||||||
Praxair, Inc. | 5 | 722 | ||||||
Quaker Chemical Corp. | 5 | 741 | ||||||
Sealed Air Corp. | 79 | 3,380 | ||||||
Sensient Technologies Corp. | 10 | 706 | ||||||
Sherwin-Williams Co. (The) | 1 | 392 | ||||||
Silgan Holdings, Inc. | 230 | 6,406 | ||||||
Stepan Co. | 65 | 5,407 | ||||||
Summit Materials, Inc., Class A* | 12 | 363 | ||||||
Trinseo SA (Luxembourg) | 90 | 6,664 | ||||||
Tronox Ltd., Class A (Australia) | 3 | 55 | ||||||
Verso Corp., Class A* | 366 | 6,163 | ||||||
Vulcan Materials Co. | 1 | 114 | ||||||
Westlake Chemical Corp.† | 78 | 8,670 | ||||||
WestRock Co.† | 4 | 257 | ||||||
|
| |||||||
187,584 | ||||||||
|
| |||||||
Media — 3.3% |
| |||||||
AMC Entertainment Holdings, Inc., Class A | 329 | 4,622 | ||||||
AMC Networks, Inc., Class A(a)* | 15 | 775 | ||||||
CBS Corp., Class B, non-voting shares† | 6 | 308 | ||||||
Charter Communications, Inc., Class A* | 2 | 622 | ||||||
Comcast Corp., Class A† | 80 | 2,734 | ||||||
Discovery, Inc., Class A†(a)* | 291 | 6,236 | ||||||
DISH Network Corp., Class A* | 8 | 303 | ||||||
Entravision Communications Corp., Class A | 535 | 2,514 | ||||||
Gannett Co., Inc. | 621 | 6,198 | ||||||
Interpublic Group of Cos., Inc. (The) | 198 | 4,560 | ||||||
John Wiley & Sons, Inc., Class A | 60 | 3,822 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Lions Gate Entertainment Corp., Class B (Canada) | 90 | $ | 2,167 | |||||
Loral Space & Communications, Inc.* | 32 | 1,333 | ||||||
MDC Partners, Inc., Class A (Canada)* | 17 | 122 | ||||||
News Corp., Class A† | 288 | 4,550 | ||||||
Omnicom Group, Inc.† | 30 | 2,180 | ||||||
Time Warner, Inc.† | 386 | 36,508 | ||||||
Twenty-First Century Fox, Inc., Class A† | 107 | 3,926 | ||||||
Viacom, Inc., Class B† | 196 | 6,088 | ||||||
Walt Disney Co. (The)† | 22 | 2,210 | ||||||
WideOpenWest, Inc.* | 70 | 500 | ||||||
World Wrestling Entertainment, Inc., Class A | 179 | 6,446 | ||||||
|
| |||||||
98,724 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 18.6% |
| |||||||
AbbVie, Inc.† | 786 | 74,395 | ||||||
Agilent Technologies, Inc. | 3 | 201 | ||||||
Alexion Pharmaceuticals, Inc.* | 2 | 223 | ||||||
Allergan PLC (Ireland) | 3 | 505 | ||||||
Amgen, Inc.† | 360 | 61,373 | ||||||
ANI Pharmaceuticals, | 18 | 1,048 | ||||||
Biogen, Inc.†* | 87 | 23,822 | ||||||
Bristol-Myers Squibb Co.† | 125 | 7,906 | ||||||
Bruker Corp. | 251 | 7,510 | ||||||
Cambrex Corp.* | 81 | 4,236 | ||||||
Celgene Corp.†* | 253 | 22,570 | ||||||
ChemoCentryx, Inc.* | 13 | 177 | ||||||
Corcept Therapeutics, Inc.(a)* | 32 | 526 | ||||||
CytomX Therapeutics, Inc.* | 34 | 967 | ||||||
Eli Lilly & Co.† | 19 | 1,470 | ||||||
Enanta Pharmaceuticals, Inc.* | 15 | 1,214 | ||||||
Exelixis, Inc.* | 37 | 820 | ||||||
Gilead Sciences, Inc.† | 645 | 48,627 | ||||||
Halozyme Therapeutics, Inc.* | 76 | 1,489 | ||||||
Illumina, Inc.* | 1 | 236 | ||||||
Incyte Corp.* | 2 | 167 | ||||||
Innoviva, Inc.* | 123 | 2,050 | ||||||
IQVIA Holdings, Inc.* | 2 | 196 | ||||||
Johnson & Johnson† | 797 | 102,136 | ||||||
Luminex Corp. | 105 | 2,212 | ||||||
MacroGenics, Inc.* | 32 | 805 | ||||||
Mallinckrodt PLC | 24 | 348 |
The accompanying notes are an integral part of the financial statements.
46
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Merck & Co., Inc.† | 1,181 | $ | 64,329 | |||||
Mettler-Toledo International, Inc.* | 1 | 575 | ||||||
Mylan NV (Netherlands)* | 9 | 371 | ||||||
Nektar Therapeutics* | 1 | 106 | ||||||
PerkinElmer, Inc. | 1 | 76 | ||||||
Perrigo Co. PLC (Ireland) | 1 | 83 | ||||||
Pfizer, Inc.† | 2,421 | 85,921 | ||||||
PRA Health Sciences, Inc.†* | 68 | 5,641 | ||||||
Prestige Brands Holdings, Inc.* | 67 | 2,259 | ||||||
PTC Therapeutics, Inc.* | 28 | 758 | ||||||
Regeneron Pharmaceuticals, Inc.* | 3 | 1,033 | ||||||
Repligen Corp.(a)* | 2 | 72 | ||||||
Sarepta Therapeutics, | 10 | 741 | ||||||
Sorrento Therapeutics, Inc.* | 111 | 572 | ||||||
Thermo Fisher Scientific, Inc. | 4 | 826 | ||||||
Vertex Pharmaceuticals, Inc.* | 2 | 326 | ||||||
Waters Corp.†* | 2 | 397 | ||||||
Zoetis, Inc.† | 240 | 20,042 | ||||||
|
| |||||||
551,357 | ||||||||
|
| |||||||
Real Estate — 1.0% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT(a) | 3 | 375 | ||||||
American Tower Corp., REIT | 4 | 581 | ||||||
Apartment Investment & Management Co., Class A, REIT | 2 | 82 | ||||||
AvalonBay Communities, Inc., REIT | 3 | 493 | ||||||
Boston Properties, Inc., REIT | 1 | 123 | ||||||
CBRE Group, Inc., Class A* | 168 | 7,933 | ||||||
Crown Castle International Corp., REIT | 4 | 438 | ||||||
Digital Realty Trust, Inc., REIT† | 4 | 422 | ||||||
Duke Realty Corp., REIT | 4 | 106 | ||||||
Equinix, Inc., REIT | 1 | 418 | ||||||
Equity Residential, REIT | 5 | 308 | ||||||
Essex Property Trust, Inc., REIT† | 2 | 481 | ||||||
Extra Space Storage, Inc., REIT† | 3 | 262 | ||||||
Federal Realty Investment Trust, REIT | 1 | 116 | ||||||
GGP, Inc., REIT | 17 | 348 | ||||||
HCP, Inc., REIT | 6 | 139 | ||||||
Host Hotels & Resorts, Inc., REIT | 13 | 242 | ||||||
Iron Mountain, Inc., REIT | 3 | 99 | ||||||
Kimco Realty Corp., REIT | 7 | 101 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Macerich Co. (The) REIT | 3 | $ | 168 | |||||
Mid-America Apartment Communities, Inc., REIT | 2 | 182 | ||||||
Prologis, Inc., REIT | 6 | 378 | ||||||
Public Storage, REIT | 1 | 200 | ||||||
Realty Income Corp., REIT(a) | 5 | 259 | ||||||
Regency Centers Corp., REIT | 3 | 177 | ||||||
SBA Communications Corp., REIT* | 1 | 171 | ||||||
Simon Property Group, Inc., REIT | 6 | 926 | ||||||
SL Green Realty Corp., REIT | 2 | 194 | ||||||
UDR, Inc., REIT† | 5 | 178 | ||||||
Ventas, Inc., REIT | 4 | 198 | ||||||
Vornado Realty Trust, REIT | 2 | 135 | ||||||
Welltower, Inc., REIT | 5 | 272 | ||||||
Weyerhaeuser Co., REIT† | 384 | 13,440 | ||||||
|
| |||||||
29,945 | ||||||||
|
| |||||||
Retailing — 10.9% |
| |||||||
1-800-Flowers.com, Inc., Class A* | 98 | 1,156 | ||||||
Abercrombie & Fitch Co., Class A | 352 | 8,522 | ||||||
Advance Auto Parts, Inc.† | 38 | 4,505 | ||||||
Amazon.com, Inc.†* | 54 | 78,156 | ||||||
Asbury Automotive Group, Inc.* | 65 | 4,388 | ||||||
AutoNation, Inc.* | 66 | 3,087 | ||||||
AutoZone, Inc.†* | 14 | 9,082 | ||||||
Bed Bath & Beyond, | 2 | 42 | ||||||
Best Buy Co., Inc.† | 76 | 5,319 | ||||||
Booking Holdings, Inc.†* | 24 | 49,929 | ||||||
Boot Barn Holdings, Inc.* | 117 | 2,074 | ||||||
CarMax, Inc.(a)* | 2 | 124 | ||||||
Dick’s Sporting Goods, Inc.(a) | 203 | 7,115 | ||||||
Dollar General Corp.† | 5 | 468 | ||||||
Dollar Tree, Inc.* | 23 | 2,183 | ||||||
Expedia, Inc.(a) | 3 | 331 | ||||||
Express, Inc.* | 330 | 2,363 | ||||||
Foot Locker, Inc. | 53 | 2,414 | ||||||
Gap, Inc. (The)†(a) | 31 | 967 | ||||||
Genuine Parts Co.† | 3 | 270 | ||||||
Guess?, Inc. | 23 | 477 | ||||||
Home Depot, Inc. (The)† | 259 | 46,164 | ||||||
Kohl’s Corp. | 86 | 5,634 | ||||||
L Brands, Inc. | 4 | 153 | ||||||
Lands’ End, Inc.* | 5 | 117 | ||||||
LKQ Corp.* | 3 | 114 | ||||||
Lowe’s Cos., Inc.† | 15 | 1,316 |
The accompanying notes are an integral part of the financial statements.
47
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Lumber Liquidators Holdings, Inc.(a)* | 137 | $ | 3,277 | |||||
Macy’s, Inc.(a) | 4 | 119 | ||||||
Michaels Cos., Inc. | 108 | 2,129 | ||||||
Murphy USA, Inc.†* | 71 | 5,169 | ||||||
Netflix, Inc.* | 4 | 1,181 | ||||||
Nordstrom, Inc.† | 8 | 387 | ||||||
Nutrisystem, Inc.†(a) | 205 | 5,525 | ||||||
O’Reilly Automotive, Inc.†* | 31 | 7,669 | ||||||
Penske Automotive Group, Inc.† | 156 | 6,915 | ||||||
PetMed Express, Inc.† | 51 | 2,129 | ||||||
Pool Corp. | 8 | 1,170 | ||||||
RH* | 20 | 1,906 | ||||||
Ross Stores, Inc.† | 151 | 11,775 | ||||||
Shutterfly, Inc.* | 56 | 4,550 | ||||||
Signet Jewelers Ltd. (Bermuda)†(a) | 128 | 4,931 | ||||||
Sonic Automotive, Inc., Class A | 14 | 265 | ||||||
Target Corp.† | 58 | 4,027 | ||||||
Tiffany & Co. | 14 | 1,367 | ||||||
TJX Cos., Inc. (The)† | 144 | 11,745 | ||||||
Tractor Supply Co. | 61 | 3,844 | ||||||
TripAdvisor, Inc.(a)* | 1 | 41 | ||||||
Ulta Beauty, Inc.* | 1 | 204 | ||||||
Williams-Sonoma, Inc.(a) | 54 | 2,849 | ||||||
Zumiez, Inc.(a)* | 63 | 1,506 | ||||||
|
| |||||||
321,150 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.6% |
| |||||||
Advanced Energy Industries, Inc.* | 89 | 5,687 | ||||||
Advanced Micro Devices, Inc.(a)* | 18 | 181 | ||||||
Amkor Technology, Inc.* | 51 | 517 | ||||||
Analog Devices, Inc.† | 7 | 638 | ||||||
Applied Materials, Inc.† | 18 | 1,001 | ||||||
Broadcom Ltd. (Singapore) | 7 | 1,650 | ||||||
Cirrus Logic, Inc.* | 139 | 5,648 | ||||||
Cohu, Inc. | 190 | 4,334 | ||||||
Cypress Semiconductor Corp. | 241 | 4,087 | ||||||
Diodes, Inc.* | 194 | 5,909 | ||||||
First Solar, Inc.†* | 27 | 1,916 | ||||||
Intel Corp.† | 184 | 9,583 | ||||||
KLA-Tencor Corp.† | 3 | 327 | ||||||
Lam Research Corp.† | 3 | 609 | ||||||
Marvell Technology Group Ltd. (Bermuda) | 319 | 6,699 | ||||||
Maxim Integrated Products, Inc. | 62 | 3,734 | ||||||
Microchip Technology, Inc.(a) | 5 | 457 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Micron Technology, Inc.†* | 659 | $ | 34,360 | |||||
MKS Instruments, Inc.† | 28 | 3,238 | ||||||
NVIDIA Corp. | 7 | 1,621 | ||||||
Qorvo, Inc.* | 3 | 211 | ||||||
QUALCOMM, Inc.† | 26 | 1,441 | ||||||
Rambus, Inc.* | 201 | 2,699 | ||||||
Skyworks Solutions, Inc.† | 4 | 401 | ||||||
SMART Global Holdings, Inc. (Cayman Islands)* | 92 | 4,585 | ||||||
Teradyne, Inc.† | 107 | 4,891 | ||||||
Texas Instruments, Inc.† | 496 | 51,529 | ||||||
Xcerra Corp.* | 452 | 5,266 | ||||||
Xilinx, Inc. | 2 | 144 | ||||||
Xperi Corp. | 152 | 3,215 | ||||||
|
| |||||||
166,578 | ||||||||
|
| |||||||
Software & Services — 14.5% |
| |||||||
Accenture PLC, Class A (Ireland)† | 106 | 16,271 | ||||||
Activision Blizzard, Inc. | 8 | 540 | ||||||
Adobe Systems, Inc.* | 5 | 1,079 | ||||||
Akamai Technologies, Inc.* | 1 | 71 | ||||||
Alarm.com Holdings, Inc.* | 5 | 189 | ||||||
Alliance Data Systems Corp. | 4 | 851 | ||||||
Alphabet, Inc., Class A†* | 78 | 80,897 | ||||||
Appfolio, Inc., Class A* | 90 | 3,676 | ||||||
Aspen Technology, Inc.* | 40 | 3,156 | ||||||
Autodesk, Inc.* | 2 | 251 | ||||||
Automatic Data Processing, Inc. | 4 | 454 | ||||||
CA, Inc.† | 33 | 1,119 | ||||||
Cadence Design Systems, Inc.* | 3 | 110 | ||||||
Cardtronics PLC, Class A (United Kingdom)* | 271 | 6,046 | ||||||
Care.com, Inc.* | 146 | 2,375 | ||||||
Cars.com, Inc.* | 16 | 453 | ||||||
CDK Global, Inc. | 78 | 4,941 | ||||||
CGI Group, Inc., Class A (Canada)* | 70 | 4,035 | ||||||
Cision Ltd. (Cayman Islands)(a)* | 32 | 370 | ||||||
Citrix Systems, Inc.†* | 3 | 278 | ||||||
Cognizant Technology Solutions Corp., Class A† | 72 | 5,796 | ||||||
CommerceHub, Inc., Class C* | 61 | 1,372 | ||||||
Conduent, Inc.* | 147 | 2,740 | ||||||
Convergys Corp. | 180 | 4,072 | ||||||
CSRA, Inc.† | 2 | 82 |
The accompanying notes are an integral part of the financial statements.
48
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Descartes Systems Group, Inc. (The) (Canada)* | 36 | $ | 1,028 | |||||
DST Systems, Inc. | 28 | 2,342 | ||||||
DXC Technology Co.† | 5 | 503 | ||||||
eBay, Inc.†* | 18 | 724 | ||||||
Electronic Arts, Inc.†* | 6 | 727 | ||||||
Endurance International Group Holdings, | 94 | 696 | ||||||
Envestnet, Inc.* | 79 | 4,527 | ||||||
Etsy, Inc.* | 227 | 6,370 | ||||||
Euronet Worldwide, Inc.* | 22 | 1,736 | ||||||
Facebook, Inc., Class A†* | 316 | 50,494 | ||||||
Fair Isaac Corp.* | 3 | 508 | ||||||
Fidelity National Information Services, Inc.† | 5 | 482 | ||||||
Fiserv, Inc.* | 6 | 428 | ||||||
Fortinet, Inc.* | 70 | 3,751 | ||||||
Gartner, Inc.* | 1 | 118 | ||||||
Global Payments, Inc. | 1 | 112 | ||||||
Globant SA (Luxembourg)* | 95 | 4,896 | ||||||
GoDaddy, Inc., Class A* | 52 | 3,194 | ||||||
GTT Communications, Inc.* | 66 | 3,742 | ||||||
IAC/InterActiveCorp.* | 39 | 6,099 | ||||||
International Business Machines Corp.† | 392 | 60,145 | ||||||
Intuit, Inc. | 2 | 347 | ||||||
j2 Global, Inc.(a) | 25 | 1,973 | ||||||
Leidos Holdings, Inc. | 74 | 4,840 | ||||||
LogMeIn, Inc. | 43 | 4,969 | ||||||
Manhattan Associates, Inc.* | 51 | 2,136 | ||||||
Mastercard, Inc., Class A† | 34 | 5,955 | ||||||
Microsoft Corp.† | 429 | 39,155 | ||||||
MicroStrategy, Inc., Class A* | 15 | 1,935 | ||||||
Monotype Imaging Holdings, Inc. | 144 | 3,233 | ||||||
NIC, Inc.† | 388 | 5,160 | ||||||
Open Text Corp. (Canada) | 117 | 4,072 | ||||||
Oracle Corp.† | 137 | 6,268 | ||||||
Paychex, Inc.† | 177 | 10,901 | ||||||
PayPal Holdings, Inc.* | 13 | 986 | ||||||
Perficient, Inc.* | 37 | 848 | ||||||
Progress Software Corp. | 144 | 5,537 | ||||||
Qualys, Inc.* | 1 | 73 | ||||||
QuinStreet, Inc.* | 33 | 421 | ||||||
Quotient Technology, Inc.* | 84 | 1,100 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
RealPage, Inc.* | 7 | $ | 360 | |||||
Red Hat, Inc.* | 1 | 150 | ||||||
SailPoint Technologies Holding, Inc.* | 103 | 2,131 | ||||||
salesforce.com, Inc.* | 8 | 930 | ||||||
ServiceNow, Inc.* | 3 | 496 | ||||||
SS&C Technologies Holdings, Inc. | 59 | 3,165 | ||||||
Stamps.com, Inc.* | 29 | 5,830 | ||||||
Symantec Corp. | 11 | 284 | ||||||
Synopsys, Inc.* | 1 | 83 | ||||||
Take-Two Interactive Software, Inc.* | 1 | 98 | ||||||
TechTarget, Inc.* | 2 | 40 | ||||||
Total System Services, Inc. | 4 | 345 | ||||||
Tucows, Inc., Class A(a)* | 74 | 4,144 | ||||||
Tyler Technologies, Inc.* | 8 | 1,688 | ||||||
Varonis Systems, Inc.* | 71 | 4,296 | ||||||
VeriSign, Inc.(a)* | 1 | 119 | ||||||
Visa, Inc., Class A† | 75 | 8,972 | ||||||
Web.com Group, Inc.* | 100 | 1,810 | ||||||
Western Union Co. (The) | 8 | 154 | ||||||
XO Group, Inc.* | 4 | 83 | ||||||
|
| |||||||
428,933 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 12.6% |
| |||||||
Amphenol Corp., Class A | 3 | 258 | ||||||
Apple, Inc.† | 1,012 | 169,793 | ||||||
Arista Networks, Inc.* | 27 | 6,893 | ||||||
Belden, Inc.(a) | 1 | 69 | ||||||
CDW Corp. | 57 | 4,008 | ||||||
Cisco Systems, Inc.† | 1,476 | 63,306 | ||||||
Coherent, Inc.* | 5 | 937 | ||||||
CommScope Holding Co., Inc.* | 43 | 1,719 | ||||||
Corning, Inc. | 9 | 251 | ||||||
Diebold Nixdorf, Inc.(a) | 370 | 5,698 | ||||||
Electro Scientific Industries, Inc.†* | 350 | 6,766 | ||||||
F5 Networks, Inc.†* | 4 | 578 | ||||||
FLIR Systems, Inc.† | 3 | 150 | ||||||
Hewlett Packard Enterprise Co.† | 590 | 10,349 | ||||||
HP, Inc.† | 797 | 17,470 | ||||||
InterDigital, Inc.† | 75 | 5,520 | ||||||
IPG Photonics Corp.* | 1 | 233 | ||||||
Itron, Inc.* | 79 | 5,652 | ||||||
Jabil, Inc. | 131 | 3,764 | ||||||
Juniper Networks, Inc.† | 6 | 146 | ||||||
KEMET Corp.†* | 273 | 4,949 |
The accompanying notes are an integral part of the financial statements.
49
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Knowles Corp.(a)* | 443 | $ | 5,577 | |||||
Mitel Networks Corp. (Canada)* | 185 | 1,717 | ||||||
Motorola Solutions, Inc.† | 81 | 8,529 | ||||||
NCR Corp.(a)* | 9 | 284 | ||||||
NetApp, Inc.† | 27 | 1,666 | ||||||
NETGEAR, Inc.(a)* | 34 | 1,945 | ||||||
OSI Systems, Inc.(a)* | 53 | 3,459 | ||||||
PC Connection, Inc. | 16 | 400 | ||||||
Plantronics, Inc.† | 42 | 2,536 | ||||||
Pure Storage, Inc., Class A* | 74 | 1,476 | ||||||
Rogers Corp.* | 11 | 1,315 | ||||||
Seagate Technology PLC (Ireland)† | 144 | 8,427 | ||||||
Systemax, Inc. | 85 | 2,427 | ||||||
TE Connectivity Ltd. (Switzerland)† | 3 | 300 | ||||||
Tech Data Corp.* | 85 | 7,236 | ||||||
TTM Technologies, Inc.* | 189 | 2,890 | ||||||
Ubiquiti Networks, Inc.(a)* | 19 | 1,307 | ||||||
Vishay Intertechnology, Inc.† | 320 | 5,952 | ||||||
Western Digital Corp.† | 6 | 554 | ||||||
Xerox Corp. | 5 | 144 | ||||||
Zebra Technologies Corp., Class A* | 38 | 5,289 | ||||||
|
| |||||||
371,939 | ||||||||
|
| |||||||
Telecommunication Services — 2.7% |
| |||||||
AT&T, Inc.† | 106 | 3,779 | ||||||
BCE, Inc. (Canada) | 138 | 5,940 | ||||||
CenturyLink, Inc. | 18 | 296 | ||||||
Intelsat SA | 438 | 1,647 | ||||||
Rogers Communications, Inc., Class B (Canada) | 155 | 6,925 | ||||||
Verizon Communications, Inc.† | 1,104 | 52,793 | ||||||
Vonage Holdings Corp.* | 573 | 6,102 | ||||||
Zayo Group Holdings, Inc.* | 29 | 991 | ||||||
|
| |||||||
78,473 | ||||||||
|
| |||||||
Transportation — 2.9% |
| |||||||
Alaska Air Group, Inc.† | 3 | 186 | ||||||
American Airlines Group, Inc.(a) | 9 | 468 | ||||||
Canadian National Railway Co. (Canada) | 7 | 512 | ||||||
CH Robinson Worldwide, Inc.(a) | 1 | 94 | ||||||
CSX Corp.† | 16 | 891 | ||||||
Delta Air Lines, Inc.† | 13 | 713 | ||||||
Echo Global Logistics, Inc.* | 30 | 828 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Expeditors International of Washington, Inc.† | 48 | $ | 3,038 | |||||
FedEx Corp. | 3 | 720 | ||||||
Forward Air Corp. | 87 | 4,599 | ||||||
Hawaiian Holdings, Inc.(a) | 3 | 116 | ||||||
JB Hunt Transport Services, Inc. | 10 | 1,172 | ||||||
Kansas City Southern | 2 | 220 | ||||||
Kirby Corp.* | 2 | 154 | ||||||
Landstar System, Inc.† | 11 | 1,206 | ||||||
Marten Transport Ltd. | 107 | 2,440 | ||||||
Norfolk Southern Corp.† | 104 | 14,121 | ||||||
Old Dominion Freight Line, Inc. | 39 | 5,732 | ||||||
Ryder System, Inc. | 4 | 291 | ||||||
Saia, Inc.* | 5 | 376 | ||||||
Schneider National, Inc., Class B | 124 | 3,231 | ||||||
SkyWest, Inc. | 67 | 3,645 | ||||||
Southwest Airlines Co. | 6 | 344 | ||||||
Union Pacific Corp.† | 250 | 33,608 | ||||||
United Continental Holdings, Inc.* | 3 | 208 | ||||||
United Parcel Service, Inc., Class B | 9 | 942 | ||||||
Universal Logistics Holdings, Inc. | 23 | 486 | ||||||
XPO Logistics, Inc.(a)* | 61 | 6,210 | ||||||
|
| |||||||
86,551 | ||||||||
|
| |||||||
Utilities — 0.7% |
| |||||||
AES Corp.† | 80 | 910 | ||||||
Alliant Energy Corp. | 2 | 82 | ||||||
Ameren Corp. | 5 | 283 | ||||||
American Electric Power Co., Inc. | 5 | 343 | ||||||
American Water Works Co., Inc. | 2 | 164 | ||||||
CenterPoint Energy, Inc.† | 8 | 219 | ||||||
CMS Energy Corp. | 3 | 136 | ||||||
Consolidated Edison, Inc. | 3 | 234 | ||||||
Dominion Energy, Inc. | 7 | 472 | ||||||
DTE Energy Co.† | 4 | 418 | ||||||
Duke Energy Corp.† | 12 | 930 | ||||||
Edison International | 3 | 191 | ||||||
Entergy Corp. | 2 | 158 | ||||||
Eversource Energy | 3 | 177 | ||||||
Exelon Corp.† | 17 | 663 | ||||||
FirstEnergy Corp.† | 219 | 7,448 | ||||||
NextEra Energy, Inc. | 9 | 1,470 | ||||||
NiSource, Inc. | 4 | 96 | ||||||
NRG Energy, Inc.† | 156 | 4,763 |
The accompanying notes are an integral part of the financial statements.
50
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
PG&E Corp. | 9 | $ | 395 | |||||
Pinnacle West Capital Corp. | 2 | 160 | ||||||
PPL Corp. | 8 | 226 | ||||||
Public Service Enterprise Group, Inc. | 5 | 251 | ||||||
SCANA Corp. | 3 | 113 | ||||||
Sempra Energy(a) | 2 | 222 | ||||||
Southern Co. (The)(a) | 18 | 804 | ||||||
WEC Energy Group, Inc.† | 6 | 376 | ||||||
Xcel Energy, Inc. | 5 | 227 | ||||||
|
| |||||||
21,931 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 4,116,525 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 139.1% | 4,116,525 | |||||||
|
| |||||||
(Cost $3,964,466) | ||||||||
SHORT POSITIONS — (40.1)% |
| |||||||
COMMON STOCKS — (40.1)% |
| |||||||
Automobiles & Components — (1.2)% |
| |||||||
Adient PLC (Ireland) | (142 | ) | (8,486 | ) | ||||
American Axle & Manufacturing Holdings, Inc.* | (7 | ) | (107 | ) | ||||
Delphi Technologies PLC (Jersey) | (23 | ) | (1,096 | ) | ||||
Dorman Products, Inc.* | (84 | ) | (5,562 | ) | ||||
Fox Factory Holding Corp.* | (145 | ) | (5,060 | ) | ||||
Gentherm, Inc.* | (178 | ) | (6,043 | ) | ||||
LCI Industries | (8 | ) | (833 | ) | ||||
Tesla, Inc.* | (19 | ) | (5,056 | ) | ||||
Visteon Corp.* | (41 | ) | (4,520 | ) | ||||
|
| |||||||
(36,763 | ) | |||||||
|
| |||||||
Capital Goods — (6.6)% |
| |||||||
AAON, Inc. | (152 | ) | (5,928 | ) | ||||
Actuant Corp., Class A | (175 | ) | (4,069 | ) | ||||
AECOM* | (17 | ) | (606 | ) | ||||
American Railcar Industries, Inc. | (62 | ) | (2,319 | ) | ||||
American Woodmark Corp.* | (75 | ) | (7,384 | ) | ||||
Apogee Enterprises, Inc. | (138 | ) | (5,981 | ) | ||||
Applied Industrial Technologies, Inc. | (2 | ) | (146 | ) | ||||
Astec Industries, Inc. | (18 | ) | (993 | ) | ||||
Astronics Corp.* | (81 | ) | (3,021 | ) | ||||
Blue Bird Corp.* | (14 | ) | (332 | ) | ||||
Briggs & Stratton Corp. | (270 | ) | (5,781 | ) | ||||
CIRCOR International, Inc. | (97 | ) | (4,138 | ) | ||||
Cubic Corp. | (92 | ) | (5,851 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Donaldson Co., Inc. | (57 | ) | $ | (2,568 | ) | |||
DXP Enterprises, Inc.* | (80 | ) | (3,116 | ) | ||||
Dycom Industries, Inc.* | (56 | ) | (6,027 | ) | ||||
EnPro Industries, Inc. | (79 | ) | (6,113 | ) | ||||
Evoqua Water Technologies Corp.* | (163 | ) | (3,470 | ) | ||||
Global Brass & Copper Holdings, Inc. | (82 | ) | (2,743 | ) | ||||
Griffon Corp. | (111 | ) | (2,026 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (26 | ) | (1,818 | ) | ||||
JELD-WEN Holding, Inc.* | (55 | ) | (1,684 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (829 | ) | (8,530 | ) | ||||
Lindsay Corp. | (50 | ) | (4,572 | ) | ||||
MasTec, Inc.* | (153 | ) | (7,199 | ) | ||||
Maxar Technologies Ltd. (Canada) | (149 | ) | (6,891 | ) | ||||
Mercury Systems, Inc.* | (39 | ) | (1,884 | ) | ||||
Meritor, Inc.* | (172 | ) | (3,536 | ) | ||||
Moog, Inc., Class A* | (1 | ) | (82 | ) | ||||
MRC Global, Inc.* | (414 | ) | (6,806 | ) | ||||
Mueller Industries, Inc. | (138 | ) | (3,610 | ) | ||||
Mueller Water Products, Inc., Class A | (125 | ) | (1,359 | ) | ||||
MYR Group, Inc.* | (45 | ) | (1,387 | ) | ||||
National Presto Industries, Inc. | (12 | ) | (1,125 | ) | ||||
Nexeo Solutions, Inc.* | (55 | ) | (588 | ) | ||||
NOW, Inc.* | (683 | ) | (6,980 | ) | ||||
Patrick Industries, Inc.* | (32 | ) | (1,979 | ) | ||||
Primoris Services Corp. | (55 | ) | (1,374 | ) | ||||
Proto Labs, Inc.* | (5 | ) | (588 | ) | ||||
Quanex Building Products Corp. | (119 | ) | (2,071 | ) | ||||
Raven Industries, Inc. | (42 | ) | (1,472 | ) | ||||
RBC Bearings, Inc.* | (4 | ) | (497 | ) | ||||
REV Group, Inc. | (345 | ) | (7,162 | ) | ||||
Rush Enterprises, Inc., Class A* | (120 | ) | (5,099 | ) | ||||
SPX Corp.* | (204 | ) | (6,626 | ) | ||||
Sunrun, Inc.* | (654 | ) | (5,840 | ) | ||||
Textainer Group Holdings Ltd. (Bermuda)* | (232 | ) | (3,932 | ) | ||||
Thermon Group Holdings, Inc.* | (104 | ) | (2,331 | ) | ||||
Timken Co. (The) | (32 | ) | (1,459 | ) | ||||
Toro Co. (The) | (4 | ) | (250 | ) | ||||
Triumph Group, Inc. | (78 | ) | (1,966 | ) | ||||
USG Corp.* | (100 | ) | (4,042 | ) | ||||
Valmont Industries, Inc. | (9 | ) | (1,317 | ) | ||||
Vicor Corp.* | (72 | ) | (2,056 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (520 | ) | (5,330 | ) |
The accompanying notes are an integral part of the financial statements.
51
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Woodward, Inc. | (110 | ) | $ | (7,883 | ) | |||
|
| |||||||
(193,937 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (2.0)% |
| |||||||
ABM Industries, Inc. | (187 | ) | (6,261 | ) | ||||
Advanced Disposal Services, Inc.* | (27 | ) | (602 | ) | ||||
ASGN, Inc.* | (15 | ) | (1,228 | ) | ||||
Brady Corp., Class A | (63 | ) | (2,340 | ) | ||||
CBIZ, Inc.* | (10 | ) | (182 | ) | ||||
CoStar Group, Inc.* | (10 | ) | (3,627 | ) | ||||
Forrester Research, Inc. | (39 | ) | (1,617 | ) | ||||
Healthcare Services Group, Inc. | (48 | ) | (2,087 | ) | ||||
Insperity, Inc. | (40 | ) | (2,782 | ) | ||||
KAR Auction Services, Inc. | (87 | ) | (4,715 | ) | ||||
Kimball International, Inc., Class B | (40 | ) | (682 | ) | ||||
Mistras Group, Inc.* | (52 | ) | (985 | ) | ||||
MSA Safety, Inc. | (58 | ) | (4,828 | ) | ||||
Multi-Color Corp. | (71 | ) | (4,690 | ) | ||||
Pitney Bowes, Inc. | (456 | ) | (4,966 | ) | ||||
Ritchie Bros Auctioneers, Inc. (Canada) | (13 | ) | (409 | ) | ||||
Stantec, Inc. (Canada) | (9 | ) | (222 | ) | ||||
Team, Inc.* | (53 | ) | (729 | ) | ||||
Tetra Tech, Inc. | (108 | ) | (5,287 | ) | ||||
TransUnion* | (51 | ) | (2,896 | ) | ||||
TriNet Group, Inc.* | (48 | ) | (2,223 | ) | ||||
TrueBlue, Inc.* | (196 | ) | (5,076 | ) | ||||
|
| |||||||
(58,434 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.3)% |
| |||||||
American Outdoor Brands Corp.* | (340 | ) | (3,508 | ) | ||||
Canada Goose Holdings, Inc. (Canada)* | (20 | ) | (668 | ) | ||||
Cavco Industries, Inc.* | (13 | ) | (2,259 | ) | ||||
Crocs, Inc.* | (115 | ) | (1,869 | ) | ||||
Ethan Allen Interiors, Inc. | (85 | ) | (1,951 | ) | ||||
GoPro, Inc., Class A* | (914 | ) | (4,378 | ) | ||||
Installed Building Products, Inc.* | (74 | ) | (4,444 | ) | ||||
iRobot Corp.* | (30 | ) | (1,926 | ) | ||||
Johnson Outdoors, Inc., Class A | (31 | ) | (1,922 | ) | ||||
Movado Group, Inc. | (50 | ) | (1,920 | ) | ||||
Oxford Industries, Inc. | (47 | ) | (3,504 | ) | ||||
Skechers U.S.A., Inc., Class A* | (163 | ) | (6,339 | ) | ||||
Sturm Ruger & Co., Inc. | (91 | ) | (4,778 | ) | ||||
|
| |||||||
(39,466 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (2.2)% |
| |||||||
Aramark | (9 | ) | $ | (356 | ) | |||
Belmond Ltd., Class A (Bermuda)* | (258 | ) | (2,877 | ) | ||||
Bloomin’ Brands, Inc. | (231 | ) | (5,608 | ) | ||||
Capella Education Co. | (7 | ) | (611 | ) | ||||
Carrols Restaurant Group, Inc.* | (205 | ) | (2,296 | ) | ||||
Cheesecake Factory, Inc. (The) | (27 | ) | (1,302 | ) | ||||
Chegg, Inc.* | (39 | ) | (806 | ) | ||||
Dave & Buster’s Entertainment, Inc.* | (109 | ) | (4,550 | ) | ||||
Domino’s Pizza, Inc. | (4 | ) | (934 | ) | ||||
Golden Entertainment, Inc.* | (158 | ) | (3,670 | ) | ||||
Grand Canyon Education, Inc.* | (20 | ) | (2,098 | ) | ||||
ILG, Inc. | (195 | ) | (6,066 | ) | ||||
International Game Technology PLC (United Kingdom) | (66 | ) | (1,764 | ) | ||||
International Speedway Corp., Class A | (19 | ) | (838 | ) | ||||
K12, Inc.* | (152 | ) | (2,155 | ) | ||||
Marcus Corp. (The) | (40 | ) | (1,214 | ) | ||||
Monarch Casino & Resort, Inc.* | (48 | ) | (2,030 | ) | ||||
Papa John’s International, Inc. | (51 | ) | (2,922 | ) | ||||
Planet Fitness, Inc., Class A* | (102 | ) | (3,853 | ) | ||||
Service Corp. International | (33 | ) | (1,245 | ) | ||||
Shake Shack, Inc., Class A* | (104 | ) | (4,330 | ) | ||||
Sonic Corp. | (27 | ) | (681 | ) | ||||
Strayer Education, Inc. | (43 | ) | (4,345 | ) | ||||
Texas Roadhouse, Inc. | (59 | ) | (3,409 | ) | ||||
Wendy’s Co. (The) | (202 | ) | (3,545 | ) | ||||
Wingstop, Inc. | (34 | ) | (1,606 | ) | ||||
|
| |||||||
(65,111 | ) | |||||||
|
| |||||||
Energy — (2.8)% |
| |||||||
Ensco PLC, Class A (United Kingdom) | (1,910 | ) | (8,385 | ) | ||||
Forum Energy Technologies, Inc.* | (473 | ) | (5,203 | ) | ||||
Green Plains, Inc. | (497 | ) | (8,350 | ) | ||||
Helix Energy Solutions Group, Inc.* | (912 | ) | (5,280 | ) | ||||
Keane Group, Inc.* | (356 | ) | (5,269 | ) | ||||
Nabors Industries Ltd. (Bermuda) | (81 | ) | (566 | ) | ||||
NexGen Energy Ltd. (Canada)* | (202 | ) | (343 | ) | ||||
Oceaneering International, Inc. | (242 | ) | (4,487 | ) | ||||
Oil States International, Inc.* | (21 | ) | (550 | ) | ||||
Patterson-UTI Energy, Inc. | (312 | ) | (5,463 | ) | ||||
Pembina Pipeline Corp. (Canada) | (80 | ) | (2,498 | ) | ||||
ProPetro Holding Corp.* | (85 | ) | (1,351 | ) | ||||
REX American Resources Corp.* | (17 | ) | (1,238 | ) |
The accompanying notes are an integral part of the financial statements.
52
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Select Energy Services, Inc., Class A* | (330 | ) | $ | (4,165 | ) | |||
SemGroup Corp., Class A | (247 | ) | (5,286 | ) | ||||
Solaris Oilfield Infrastructure, Inc., Class A* | (238 | ) | (3,941 | ) | ||||
Suncor Energy, Inc. (Canada) | (129 | ) | (4,456 | ) | ||||
Targa Resources Corp. | (80 | ) | (3,520 | ) | ||||
Tidewater, Inc.* | (93 | ) | (2,661 | ) | ||||
Unit Corp.* | (278 | ) | (5,493 | ) | ||||
US Silica Holdings, Inc. | (148 | ) | (3,777 | ) | ||||
|
| |||||||
(82,282 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.6)% |
| |||||||
Casey’s General Stores, Inc. | (57 | ) | (6,257 | ) | ||||
Chefs’ Warehouse, Inc. (The)* | (92 | ) | (2,116 | ) | ||||
Smart & Final Stores, Inc.* | (9 | ) | (50 | ) | ||||
SpartanNash Co. | (10 | ) | (172 | ) | ||||
SUPERVALU, Inc.* | (247 | ) | (3,762 | ) | ||||
United Natural Foods, Inc.* | (134 | ) | (5,754 | ) | ||||
|
| |||||||
(18,111 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (1.1)% |
| |||||||
Blue Buffalo Pet Products, Inc.* | (139 | ) | (5,534 | ) | ||||
Boston Beer Co., Inc. (The), Class A* | (13 | ) | (2,458 | ) | ||||
Bunge Ltd. (Bermuda) | (7 | ) | (518 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (1 | ) | (173 | ) | ||||
Darling Ingredients, Inc.* | (146 | ) | (2,526 | ) | ||||
Farmer Brothers Co.* | (50 | ) | (1,510 | ) | ||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | (113 | ) | (5,112 | ) | ||||
Freshpet, Inc.* | (149 | ) | (2,451 | ) | ||||
Hain Celestial Group, Inc. (The)* | (201 | ) | (6,446 | ) | ||||
Lamb Weston Holdings, Inc. | (36 | ) | (2,096 | ) | ||||
MGP Ingredients, Inc. | (11 | ) | (985 | ) | ||||
Tootsie Roll Industries, Inc. | (1 | ) | (15 | ) | ||||
Vector Group Ltd. | (145 | ) | (2,957 | ) | ||||
|
| |||||||
(32,781 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (3.8)% |
| |||||||
Acadia Healthcare Co., Inc.* | (182 | ) | (7,131 | ) | ||||
Amedisys, Inc.* | (86 | ) | (5,189 | ) | ||||
American Renal Associates Holdings, Inc.* | (36 | ) | (679 | ) | ||||
AtriCure, Inc.* | (144 | ) | (2,955 | ) | ||||
BioTelemetry, Inc.* | (68 | ) | (2,111 | ) | ||||
Cardiovascular Systems, Inc.* | (158 | ) | (3,465 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Chemed Corp. | (5 | ) | $ | (1,364 | ) | |||
Civitas Solutions, Inc.* | (92 | ) | (1,417 | ) | ||||
Community Health Systems, Inc.* | (376 | ) | (1,489 | ) | ||||
CryoLife, Inc.* | (79 | ) | (1,584 | ) | ||||
Diplomat Pharmacy, Inc.* | (138 | ) | (2,781 | ) | ||||
Encompass Health Corp. | (28 | ) | (1,601 | ) | ||||
Ensign Group, Inc. (The) | (70 | ) | (1,841 | ) | ||||
Evolent Health, Inc., Class A* | (167 | ) | (2,380 | ) | ||||
HealthStream, Inc. | (2 | ) | (50 | ) | ||||
Inovalon Holdings, Inc., Class A* | (437 | ) | (4,632 | ) | ||||
Insulet Corp.* | (7 | ) | (607 | ) | ||||
Integra LifeSciences Holdings Corp.* | (63 | ) | (3,486 | ) | ||||
iRhythm Technologies, Inc.* | (65 | ) | (4,092 | ) | ||||
K2M Group Holdings, Inc.* | (264 | ) | (5,003 | ) | ||||
Kindred Healthcare, Inc. | (396 | ) | (3,623 | ) | ||||
LHC Group, Inc.* | (127 | ) | (7,818 | ) | ||||
Medidata Solutions, Inc.* | (26 | ) | (1,633 | ) | ||||
Meridian Bioscience, Inc. | (45 | ) | (639 | ) | ||||
Merit Medical Systems, Inc.* | (26 | ) | (1,179 | ) | ||||
Nevro Corp.* | (43 | ) | (3,727 | ) | ||||
NxStage Medical, Inc.* | (90 | ) | (2,237 | ) | ||||
Omnicell, Inc.* | (135 | ) | (5,859 | ) | ||||
OraSure Technologies, Inc.* | (181 | ) | (3,057 | ) | ||||
Patterson Cos., Inc. | (146 | ) | (3,246 | ) | ||||
Penumbra, Inc.* | (7 | ) | (810 | ) | ||||
PetIQ, Inc.* | (47 | ) | (1,250 | ) | ||||
Providence Service Corp. (The)* | (29 | ) | (2,005 | ) | ||||
Quidel Corp.* | (124 | ) | (6,424 | ) | ||||
STAAR Surgical Co.* | (108 | ) | (1,598 | ) | ||||
Tactile Systems Technology, Inc.* | (79 | ) | (2,512 | ) | ||||
Teladoc, Inc.* | (107 | ) | (4,312 | ) | ||||
ViewRay, Inc.* | (607 | ) | (3,903 | ) | ||||
Vocera Communications, Inc.* | (4 | ) | (94 | ) | ||||
Wright Medical Group NV (Netherlands)* | (139 | ) | (2,758 | ) | ||||
|
| |||||||
(112,541 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.3)% |
| |||||||
Central Garden & Pet Co., Class A* | (165 | ) | (6,536 | ) | ||||
WD-40 Co. | (14 | ) | (1,844 | ) | ||||
|
| |||||||
(8,380 | ) | |||||||
|
| |||||||
Materials — (2.8)% |
| |||||||
A Schulman, Inc. | (22 | ) | (946 | ) | ||||
AptarGroup, Inc. | (66 | ) | (5,929 | ) | ||||
Ashland Global Holdings, Inc. | (97 | ) | (6,770 | ) |
The accompanying notes are an integral part of the financial statements.
53
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Balchem Corp. | (6 | ) | $ | (490 | ) | |||
Bemis Co., Inc. | (129 | ) | (5,614 | ) | ||||
Boise Cascade Co. | (26 | ) | (1,004 | ) | ||||
Cabot Corp. | (43 | ) | (2,396 | ) | ||||
Clearwater Paper Corp.* | (81 | ) | (3,167 | ) | ||||
Ferro Corp.* | (183 | ) | (4,249 | ) | ||||
Greif, Inc., Class A | (120 | ) | (6,270 | ) | ||||
HB Fuller Co. | (106 | ) | (5,271 | ) | ||||
Huntsman Corp. | (41 | ) | (1,199 | ) | ||||
Innophos Holdings, Inc. | (110 | ) | (4,423 | ) | ||||
Myers Industries, Inc. | (27 | ) | (571 | ) | ||||
Neenah, Inc. | (32 | ) | (2,509 | ) | ||||
NewMarket Corp. | (5 | ) | (2,008 | ) | ||||
Nutrien Ltd. (Canada) | (45 | ) | (2,127 | ) | ||||
PH Glatfelter Co. | (33 | ) | (677 | ) | ||||
PQ Group Holdings, Inc.* | (26 | ) | (363 | ) | ||||
Rayonier Advanced Materials, Inc. | (397 | ) | (8,524 | ) | ||||
Sonoco Products Co. | (7 | ) | (340 | ) | ||||
Tredegar Corp. | (57 | ) | (1,023 | ) | ||||
US Concrete, Inc.* | (139 | ) | (8,396 | ) | ||||
Valvoline, Inc. | (143 | ) | (3,165 | ) | ||||
Venator Materials PLC (United Kingdom)* | (315 | ) | (5,698 | ) | ||||
|
| |||||||
(83,129 | ) | |||||||
|
| |||||||
Media — (1.0)% |
| |||||||
Altice USA, Inc., Class A* | (97 | ) | (1,793 | ) | ||||
Cable One, Inc. | (5 | ) | (3,436 | ) | ||||
Clear Channel Outdoor Holdings, Inc., Class A | (85 | ) | (416 | ) | ||||
Emerald Expositions Events, Inc. | (69 | ) | (1,344 | ) | ||||
Entercom Communications Corp., Class A | (560 | ) | (5,404 | ) | ||||
EW Scripps Co. (The), Class A | (316 | ) | (3,789 | ) | ||||
Live Nation Entertainment, Inc.* | (55 | ) | (2,318 | ) | ||||
Madison Square Garden Co. (The), Class A* | (15 | ) | (3,687 | ) | ||||
Meredith Corp. | (38 | ) | (2,044 | ) | ||||
New Media Investment Group, Inc. | (80 | ) | (1,371 | ) | ||||
New York Times Co. (The), Class A | (33 | ) | (795 | ) | ||||
Nexstar Media Group, Inc., Class A | (5 | ) | (332 | ) | ||||
TEGNA, Inc. | (258 | ) | (2,939 | ) | ||||
tronc, Inc.* | (18 | ) | (296 | ) | ||||
|
| |||||||
(29,964 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (1.0)% |
| |||||||
Achillion Pharmaceuticals, Inc.* | (39 | ) | $ | (145 | ) | |||
Aclaris Therapeutics, Inc.* | (43 | ) | (753 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (7 | ) | (380 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (28 | ) | (356 | ) | ||||
Biohaven Pharmaceutical Holding Co. Ltd. (British Virgin Islands)* | (3 | ) | (77 | ) | ||||
Bio-Rad Laboratories, Inc., Class A* | (17 | ) | (4,251 | ) | ||||
Bio-Techne Corp. | (14 | ) | (2,115 | ) | ||||
Dermira, Inc.* | (67 | ) | (535 | ) | ||||
Flexion Therapeutics, Inc.* | (32 | ) | (717 | ) | ||||
Insmed, Inc.* | (34 | ) | (766 | ) | ||||
La Jolla Pharmaceutical Co.* | (108 | ) | (3,216 | ) | ||||
Medpace Holdings, Inc.* | (17 | ) | (593 | ) | ||||
Myovant Sciences Ltd. (Bermuda)* | (6 | ) | (128 | ) | ||||
NeoGenomics, Inc.* | (314 | ) | (2,562 | ) | ||||
Portola Pharmaceuticals, Inc.* | (56 | ) | (1,829 | ) | ||||
QIAGEN NV (Netherlands)* | (79 | ) | (2,552 | ) | ||||
Reata Pharmaceuticals, Inc., Class A* | (59 | ) | (1,210 | ) | ||||
Revance Therapeutics, Inc.* | (64 | ) | (1,971 | ) | ||||
Rigel Pharmaceuticals, Inc.* | (279 | ) | (988 | ) | ||||
Syneos Health, Inc.* | (52 | ) | (1,846 | ) | ||||
TherapeuticsMD, Inc.* | (16 | ) | (78 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (67 | ) | (1,625 | ) | ||||
Zogenix, Inc.* | (2 | ) | (80 | ) | ||||
|
| |||||||
(28,773 | ) | |||||||
|
| |||||||
Retailing — (2.4)% |
| |||||||
Aaron’s, Inc. | (95 | ) | (4,427 | ) | ||||
Blue Apron Holdings, Inc., Class A* | (1,720 | ) | (3,440 | ) | ||||
Burlington Stores, Inc.* | (36 | ) | (4,793 | ) | ||||
Caleres, Inc. | (123 | ) | (4,132 | ) | ||||
Camping World Holdings, Inc., Class A | (175 | ) | (5,644 | ) | ||||
Chico’s FAS, Inc. | (135 | ) | (1,220 | ) | ||||
Children’s Place, Inc. (The) | (29 | ) | (3,922 | ) | ||||
Core-Mark Holding Co., Inc. | (224 | ) | (4,762 | ) | ||||
DSW, Inc., Class A | (203 | ) | (4,559 | ) | ||||
Duluth Holdings, Inc., Class B* | (51 | ) | (955 | ) | ||||
Finish Line, Inc. (The), Class A | (388 | ) | (5,254 | ) | ||||
Group 1 Automotive, Inc. | (66 | ) | (4,312 | ) | ||||
Lithia Motors, Inc., Class A | (32 | ) | (3,217 | ) | ||||
Monro, Inc. | (8 | ) | (429 | ) | ||||
National Vision Holdings, Inc.* | (89 | ) | (2,876 | ) |
The accompanying notes are an integral part of the financial statements.
54
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Office Depot, Inc. | (1,362 | ) | $ | (2,928 | ) | |||
Overstock.com, Inc.* | (123 | ) | (4,459 | ) | ||||
Qurate Retail Group, Inc., Class A* | (134 | ) | (3,373 | ) | ||||
Tailored Brands, Inc. | (23 | ) | (576 | ) | ||||
Urban Outfitters, Inc.* | (31 | ) | (1,146 | ) | ||||
Wayfair, Inc., Class A* | (77 | ) | (5,200 | ) | ||||
|
| |||||||
(71,624 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (2.0)% |
| |||||||
Ambarella, Inc. (Cayman Islands)* | (100 | ) | (4,899 | ) | ||||
Aquantia Corp.* | (170 | ) | (2,669 | ) | ||||
Brooks Automation, Inc. | (189 | ) | (5,118 | ) | ||||
Cavium, Inc.* | (70 | ) | (5,557 | ) | ||||
CEVA, Inc.* | (41 | ) | (1,484 | ) | ||||
Cree, Inc.* | (82 | ) | (3,305 | ) | ||||
FormFactor, Inc.* | (111 | ) | (1,515 | ) | ||||
Ichor Holdings Ltd. (Cayman Islands)* | (170 | ) | (4,116 | ) | ||||
Inphi Corp.* | (174 | ) | (5,237 | ) | ||||
Lattice Semiconductor Corp.* | (204 | ) | (1,136 | ) | ||||
MACOM Technology Solutions Holdings, Inc.* | (101 | ) | (1,677 | ) | ||||
MaxLinear, Inc.* | (112 | ) | (2,548 | ) | ||||
Microsemi Corp.* | (24 | ) | (1,553 | ) | ||||
Monolithic Power Systems, Inc. | (20 | ) | (2,315 | ) | ||||
Nanometrics, Inc.* | (161 | ) | (4,331 | ) | ||||
Photronics, Inc.* | (501 | ) | (4,133 | ) | ||||
Rudolph Technologies, Inc.* | (145 | ) | (4,016 | ) | ||||
Synaptics, Inc.* | (109 | ) | (4,985 | ) | ||||
|
| |||||||
(60,594 | ) | |||||||
|
| |||||||
Software & Services — (4.2)% |
| |||||||
8x8, Inc.* | (312 | ) | (5,819 | ) | ||||
Acxiom Corp.* | (257 | ) | (5,836 | ) | ||||
Altair Engineering, Inc., Class A* | (60 | ) | (1,882 | ) | ||||
Benefitfocus, Inc.* | (51 | ) | (1,245 | ) | ||||
Black Knight, Inc.* | (83 | ) | (3,909 | ) | ||||
Blackline, Inc.* | (41 | ) | (1,608 | ) | ||||
Blucora, Inc.* | (232 | ) | (5,707 | ) | ||||
Box, Inc., Class A* | (256 | ) | (5,261 | ) | ||||
CACI International, Inc., Class A* | (4 | ) | (605 | ) | ||||
Callidus Software, Inc.* | (69 | ) | (2,481 | ) | ||||
Cloudera, Inc.* | (339 | ) | (7,316 | ) | ||||
Ellie Mae, Inc.* | (46 | ) | (4,229 | ) | ||||
Everbridge, Inc.* | (39 | ) | (1,427 | ) | ||||
FireEye, Inc.* | (282 | ) | (4,775 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
First Data Corp., Class A* | (469 | ) | $ | (7,504 | ) | |||
ForeScout Technologies, Inc.* | (119 | ) | (3,860 | ) | ||||
Glu Mobile, Inc.* | (382 | ) | (1,440 | ) | ||||
Gogo, Inc.* | (815 | ) | (7,033 | ) | ||||
Guidewire Software, Inc.* | (10 | ) | (808 | ) | ||||
Hortonworks, Inc.* | (111 | ) | (2,261 | ) | ||||
LivePerson, Inc.* | (2 | ) | (33 | ) | ||||
ManTech International Corp., Class A | (29 | ) | (1,609 | ) | ||||
Pandora Media, Inc.* | (435 | ) | (2,188 | ) | ||||
Presidio, Inc.* | (182 | ) | (2,846 | ) | ||||
PROS Holdings, Inc.* | (177 | ) | (5,843 | ) | ||||
Rapid7, Inc.* | (5 | ) | (128 | ) | ||||
Science Applications International Corp. | (25 | ) | (1,970 | ) | ||||
SecureWorks Corp., Class A* | (53 | ) | (428 | ) | ||||
Shutterstock, Inc.* | (14 | ) | (674 | ) | ||||
Snap, Inc., Class A* | (395 | ) | (6,269 | ) | ||||
Sykes Enterprises, Inc.* | (15 | ) | (434 | ) | ||||
Tableau Software, Inc., Class A* | (12 | ) | (970 | ) | ||||
Teradata Corp.* | (74 | ) | (2,936 | ) | ||||
Travelport Worldwide Ltd. (Bermuda) | (146 | ) | (2,386 | ) | ||||
TrueCar, Inc.* | (622 | ) | (5,884 | ) | ||||
TTEC Holdings, Inc. | (47 | ) | (1,443 | ) | ||||
Twilio, Inc., Class A* | (35 | ) | (1,336 | ) | ||||
WEX, Inc.* | (4 | ) | (626 | ) | ||||
Workday, Inc., Class A* | (14 | ) | (1,780 | ) | ||||
Workiva, Inc.* | (162 | ) | (3,839 | ) | ||||
Worldpay, Inc., Class A* | (11 | ) | (905 | ) | ||||
Yext, Inc.* | (211 | ) | (2,669 | ) | ||||
Zendesk, Inc.* | (51 | ) | (2,441 | ) | ||||
|
| |||||||
(124,643 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (2.9)% |
| |||||||
ADTRAN, Inc. | (410 | ) | (6,376 | ) | ||||
ARRIS International PLC (United Kingdom)* | (255 | ) | (6,775 | ) | ||||
AVX Corp. | (153 | ) | (2,532 | ) | ||||
Celestica, Inc. (Canada)* | (103 | ) | (1,066 | ) | ||||
Comtech Telecommunications Corp. | (2 | ) | (60 | ) | ||||
Cray, Inc.* | (285 | ) | (5,900 | ) | ||||
CTS Corp. | (2 | ) | (54 | ) | ||||
Electronics For Imaging, Inc.* | (146 | ) | (3,990 | ) | ||||
Finisar Corp.* | (555 | ) | (8,775 | ) | ||||
Fitbit, Inc., Class A* | (746 | ) | (3,805 | ) | ||||
II-VI, Inc.* | (103 | ) | (4,213 | ) |
The accompanying notes are an integral part of the financial statements.
55
GOTHAM ENHANCED INDEX PLUS FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Infinera Corp.* | (234 | ) | $ | (2,541 | ) | |||
Insight Enterprises, Inc.* | (169 | ) | (5,903 | ) | ||||
Methode Electronics, Inc. | (153 | ) | (5,982 | ) | ||||
MTS Systems Corp. | (21 | ) | (1,085 | ) | ||||
Oclaro, Inc.* | (151 | ) | (1,444 | ) | ||||
Sanmina Corp.* | (295 | ) | (7,714 | ) | ||||
ScanSource, Inc.* | (82 | ) | (2,915 | ) | ||||
Stratasys Ltd. (Israel)* | (164 | ) | (3,310 | ) | ||||
Trimble, Inc.* | (61 | ) | (2,189 | ) | ||||
ViaSat, Inc.* | (87 | ) | (5,718 | ) | ||||
Viavi Solutions, Inc.* | (447 | ) | (4,345 | ) | ||||
|
| |||||||
(86,692 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.8)% |
| |||||||
ATN International, Inc. | (54 | ) | (3,219 | ) | ||||
Boingo Wireless, Inc.* | (57 | ) | (1,412 | ) | ||||
Consolidated Communications Holdings, Inc. | (281 | ) | (3,080 | ) | ||||
Iridium Communications, Inc.* | (540 | ) | (6,075 | ) | ||||
ORBCOMM, Inc.* | (484 | ) | (4,535 | ) | ||||
United States Cellular Corp.* | (101 | ) | (4,059 | ) | ||||
|
| |||||||
(22,380 | ) | |||||||
|
| |||||||
Transportation — (1.1)% |
| |||||||
Air Transport Services Group, Inc.* | (115 | ) | (2,682 | ) | ||||
Allegiant Travel Co. | (28 | ) | (4,831 | ) | ||||
ArcBest Corp. | (41 | ) | (1,314 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (12 | ) | (725 | ) | ||||
Daseke, Inc.* | (142 | ) | (1,390 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Genesee & Wyoming, Inc., Class A* | (1 | ) | $ | (71 | ) | |||
Heartland Express, Inc. | (83 | ) | (1,493 | ) | ||||
Hub Group, Inc., Class A* | (117 | ) | (4,896 | ) | ||||
JetBlue Airways Corp.* | (33 | ) | (671 | ) | ||||
Knight-Swift Transportation Holdings, Inc. | (123 | ) | (5,659 | ) | ||||
Matson, Inc. | (68 | ) | (1,948 | ) | ||||
Spirit Airlines, Inc.* | (97 | ) | (3,665 | ) | ||||
Student Transportation, Inc. (Canada) | (225 | ) | (1,685 | ) | ||||
|
| |||||||
(31,030 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $1,241,861) | (1,186,635 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (40.1)% |
| (1,186,635 | ) | |||||
|
| |||||||
(Proceeds $1,241,861) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.0% | 28,369 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,958,259 | ||||||
|
|
† | 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.
56
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 100.5% |
| |||||||
Automobiles & Components — 0.9% |
| |||||||
Aptiv PLC (Jersey) | 141 | $ | 11,981 | |||||
BorgWarner, Inc. | 112 | 5,626 | ||||||
Ford Motor Co. | 56 | 620 | ||||||
General Motors Co. | 164 | 5,960 | ||||||
Goodyear Tire & Rubber Co. (The) | 126 | 3,349 | ||||||
Harley-Davidson, Inc. | 4 | 172 | ||||||
|
| |||||||
27,708 | ||||||||
|
| |||||||
Banks — 0.7% |
| |||||||
Bank of America Corp. | 142 | 4,259 | ||||||
BB&T Corp. | 12 | 624 | ||||||
Citigroup, Inc. | 34 | 2,295 | ||||||
Citizens Financial Group, Inc. | 10 | 420 | ||||||
Comerica, Inc. | 3 | 288 | ||||||
Fifth Third Bancorp | 10 | 317 | ||||||
Huntington Bancshares, Inc. | 20 | 302 | ||||||
JPMorgan Chase & Co. | 50 | 5,498 | ||||||
KeyCorp | 15 | 293 | ||||||
M&T Bank Corp. | 2 | 369 | ||||||
People’s United Financial, Inc. | 5 | 93 | ||||||
PNC Financial Services Group, Inc. (The) | 6 | 907 | ||||||
Regions Financial Corp. | 17 | 316 | ||||||
SunTrust Banks, Inc. | 7 | 476 | ||||||
SVB Financial Group* | 1 | 240 | ||||||
US Bancorp | 24 | 1,212 | ||||||
Wells Fargo & Co. | 71 | 3,721 | ||||||
Zions Bancorporation | 4 | 211 | ||||||
|
| |||||||
21,841 | ||||||||
|
| |||||||
Capital Goods — 10.8% |
| |||||||
3M Co. | 8 | 1,756 | ||||||
Acuity Brands, Inc. | 1 | 139 | ||||||
Allegion PLC (Ireland) | 2 | 171 | ||||||
AMETEK, Inc. | 122 | 9,268 | ||||||
AO Smith Corp. | 3 | 191 | ||||||
Arconic, Inc. | 9 | 207 | ||||||
Boeing Co. (The) | 210 | 68,855 | ||||||
Caterpillar, Inc. | 252 | 37,140 | ||||||
Cummins, Inc. | 90 | 14,588 | ||||||
Deere & Co. | 5 | 777 | ||||||
Dover Corp. | 83 | 8,152 | ||||||
Eaton Corp. PLC (Ireland) | 8 | 639 | ||||||
Emerson Electric Co. | 335 | 22,880 | ||||||
Fastenal Co. | 6 | 328 | ||||||
Flowserve Corp. | 2 | 87 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Fluor Corp. | 2 | $ | 114 | |||||
Fortive Corp. | 5 | 388 | ||||||
Fortune Brands Home & Security, Inc. | 83 | 4,888 | ||||||
General Dynamics Corp. | 159 | 35,123 | ||||||
General Electric Co. | 124 | 1,672 | ||||||
Harris Corp. | 60 | 9,677 | ||||||
Honeywell International, Inc. | 247 | 35,694 | ||||||
Huntington Ingalls Industries, Inc. | 1 | 258 | ||||||
Illinois Tool Works, Inc. | 6 | 940 | ||||||
Ingersoll-Rand PLC (Ireland) | 5 | 428 | ||||||
Jacobs Engineering Group, Inc. | 6 | 355 | ||||||
Johnson Controls International PLC (Ireland) | 17 | 599 | ||||||
L3 Technologies, Inc. | 1 | 208 | ||||||
Lockheed Martin Corp. | 6 | 2,028 | ||||||
Masco Corp. | 170 | 6,875 | ||||||
Northrop Grumman Corp. | 3 | 1,047 | ||||||
PACCAR, Inc. | 5 | 331 | ||||||
Parker-Hannifin Corp. | 2 | 342 | ||||||
Pentair PLC (Ireland) | 92 | 6,268 | ||||||
Quanta Services, Inc.* | 2 | 69 | ||||||
Raytheon Co. | 152 | 32,805 | ||||||
Rockwell Automation, Inc. | 2 | 348 | ||||||
Rockwell Collins, Inc. | 3 | 405 | ||||||
Roper Technologies, Inc. | 1 | 281 | ||||||
Snap-on, Inc. | 1 | 148 | ||||||
Stanley Black & Decker, Inc. | 82 | 12,562 | ||||||
Textron, Inc. | 4 | 236 | ||||||
TransDigm Group, Inc. | 2 | 614 | ||||||
United Rentals, Inc.* | 2 | 345 | ||||||
United Technologies Corp. | 15 | 1,887 | ||||||
WW Grainger, Inc. | 31 | 8,750 | ||||||
Xylem, Inc. | 95 | 7,307 | ||||||
|
| |||||||
338,170 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.3% |
| |||||||
Cintas Corp. | 2 | 341 | ||||||
Equifax, Inc. | 2 | 236 | ||||||
IHS Markit Ltd. (Bermuda)* | 5 | 241 | ||||||
Nielsen Holdings PLC (United Kingdom) | 84 | 2,670 | ||||||
Republic Services, Inc. | 5 | 331 | ||||||
Robert Half International, Inc. | 66 | 3,821 | ||||||
Stericycle, Inc.* | 1 | 59 | ||||||
Verisk Analytics, Inc.* | 3 | 312 |
The accompanying notes are an integral part of the financial statements.
57
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Waste Management, Inc. | 6 | $ | 505 | |||||
|
| |||||||
8,516 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.2% |
| |||||||
DR Horton, Inc. | 6 | 263 | ||||||
Garmin Ltd. (Switzerland) | 3 | 177 | ||||||
Hanesbrands, Inc. | 24 | 442 | ||||||
Hasbro, Inc. | 2 | 169 | ||||||
Leggett & Platt, Inc. | 2 | 89 | ||||||
Lennar Corp., Class A | 32 | 1,886 | ||||||
Mattel, Inc. | 6 | 79 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 83 | 5,153 | ||||||
Mohawk Industries, Inc.* | 2 | 464 | ||||||
Newell Brands, Inc. | 256 | 6,523 | ||||||
NIKE, Inc., Class B | 21 | 1,395 | ||||||
PulteGroup, Inc. | 5 | 147 | ||||||
PVH Corp. | 2 | 303 | ||||||
Ralph Lauren Corp. | 45 | 5,031 | ||||||
Tapestry, Inc. | 5 | 263 | ||||||
Under Armour, Inc., Class C* | 8 | 115 | ||||||
VF Corp. | 209 | 15,491 | ||||||
Whirlpool Corp. | 2 | 306 | ||||||
|
| |||||||
38,296 | ||||||||
|
| |||||||
Consumer Services — 2.1% |
| |||||||
Carnival Corp. (Panama) | 14 | 918 | ||||||
Chipotle Mexican Grill, Inc.* | 2 | 646 | ||||||
Darden Restaurants, Inc. | 2 | 170 | ||||||
H&R Block, Inc. | 28 | 711 | ||||||
Hilton Worldwide Holdings, Inc. | 7 | 551 | ||||||
Marriott International, Inc., Class A | 151 | 20,533 | ||||||
McDonald’s Corp. | 141 | 22,050 | ||||||
MGM Resorts International | 8 | 280 | ||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | 3 | 159 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 5 | 589 | ||||||
Starbucks Corp. | 18 | 1,042 | ||||||
Wyndham Worldwide Corp. | 10 | 1,144 | ||||||
Wynn Resorts Ltd. | 2 | 365 | ||||||
Yum! Brands, Inc. | 181 | 15,409 | ||||||
|
| |||||||
64,567 | ||||||||
|
| |||||||
Diversified Financials — 4.4% |
| |||||||
Affiliated Managers Group, Inc. | 1 | 190 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
American Express Co. | 11 | $ | 1,026 | |||||
Ameriprise Financial, Inc. | 2 | 296 | ||||||
Bank of New York Mellon Corp. (The) | 13 | 670 | ||||||
Berkshire Hathaway, Inc., Class B* | 151 | 30,121 | ||||||
BlackRock, Inc. | 85 | 46,046 | ||||||
Capital One Financial Corp. | 7 | 671 | ||||||
Cboe Global Markets, Inc. | 2 | 228 | ||||||
Charles Schwab Corp. (The) | 19 | 992 | ||||||
CME Group, Inc. | 6 | 970 | ||||||
Discover Financial Services | 6 | 432 | ||||||
E*TRADE Financial Corp.* | 4 | 222 | ||||||
Franklin Resources, Inc. | 303 | 10,508 | ||||||
Goldman Sachs Group, Inc. (The) | 6 | 1,511 | ||||||
Intercontinental Exchange, Inc. | 75 | 5,439 | ||||||
Invesco Ltd. (Bermuda) | 222 | 7,106 | ||||||
Leucadia National Corp. | 5 | 114 | ||||||
Moody’s Corp. | 70 | 11,291 | ||||||
Morgan Stanley | 26 | 1,403 | ||||||
Nasdaq, Inc. | 8 | 690 | ||||||
Navient Corp. | 5 | 66 | ||||||
Northern Trust Corp. | 3 | 309 | ||||||
Raymond James Financial, Inc. | 2 | 179 | ||||||
S&P Global, Inc. | 4 | 764 | ||||||
State Street Corp. | 5 | 499 | ||||||
Synchrony Financial | 15 | 503 | ||||||
T Rowe Price Group, Inc. | 134 | 14,468 | ||||||
|
| |||||||
136,714 | ||||||||
|
| |||||||
Energy — 6.0% |
| |||||||
Anadarko Petroleum Corp. | 10 | 604 | ||||||
Andeavor | 81 | 8,145 | ||||||
Apache Corp. | 7 | 269 | ||||||
Cabot Oil & Gas Corp. | 79 | 1,894 | ||||||
Chevron Corp. | 189 | 21,554 | ||||||
Cimarex Energy Co. | 1 | 94 | ||||||
Concho Resources, Inc.* | 1 | 150 | ||||||
ConocoPhillips | 651 | 38,598 | ||||||
Devon Energy Corp. | 9 | 286 | ||||||
EOG Resources, Inc. | 7 | 737 | ||||||
EQT Corp. | 3 | 143 | ||||||
Exxon Mobil Corp. | 465 | 34,694 | ||||||
Halliburton Co. | 16 | 751 | ||||||
Helmerich & Payne, Inc. | 1 | 67 | ||||||
Hess Corp. | 166 | 8,403 | ||||||
Kinder Morgan, Inc. | 32 | 482 |
The accompanying notes are an integral part of the financial statements.
58
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Marathon Oil Corp. | 16 | $ | 258 | |||||
Marathon Petroleum Corp. | 266 | 19,447 | ||||||
National Oilwell Varco, Inc. | 8 | 294 | ||||||
Newfield Exploration Co.* | 3 | 73 | ||||||
Noble Energy, Inc. | 9 | 273 | ||||||
Occidental Petroleum Corp. | 10 | 650 | ||||||
ONEOK, Inc. | 5 | 285 | ||||||
Phillips 66 | 269 | 25,802 | ||||||
Pioneer Natural Resources Co. | 2 | 344 | ||||||
Range Resources Corp. | 4 | 58 | ||||||
Schlumberger Ltd. (Curacao) | 27 | 1,749 | ||||||
TechnipFMC PLC (United Kingdom) | 9 | 265 | ||||||
Valero Energy Corp. | 239 | 22,172 | ||||||
Williams Cos., Inc. (The) | 12 | 298 | ||||||
|
| |||||||
188,839 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.3% |
| |||||||
Costco Wholesale Corp. | 6 | 1,131 | ||||||
CVS Health Corp. | 19 | 1,182 | ||||||
Kroger Co. (The) | 457 | 10,941 | ||||||
Sysco Corp. | 10 | 600 | ||||||
Walgreens Boots Alliance, Inc. | 18 | 1,178 | ||||||
Walmart, Inc. | 640 | 56,941 | ||||||
|
| |||||||
71,973 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 4.2% |
| |||||||
Altria Group, Inc. | 1,005 | 62,632 | ||||||
Archer-Daniels-Midland Co. | 10 | 434 | ||||||
Brown-Forman Corp., Class B | 6 | 326 | ||||||
Campbell Soup Co. | 5 | 217 | ||||||
Coca-Cola Co. (The) | 83 | 3,605 | ||||||
Conagra Brands, Inc. | 7 | 258 | ||||||
Constellation Brands, Inc., Class A | 3 | 684 | ||||||
Dr Pepper Snapple Group, Inc. | 44 | 5,209 | ||||||
General Mills, Inc. | 301 | 13,563 | ||||||
Hershey Co. (The) | 52 | 5,146 | ||||||
Hormel Foods Corp. | 10 | 343 | ||||||
JM Smucker Co. (The) | 3 | 372 | ||||||
Kellogg Co. | 5 | 325 | ||||||
Kraft Heinz Co. (The) | 175 | 10,901 | ||||||
McCormick & Co., Inc., non-voting shares | 2 | 213 | ||||||
Molson Coors Brewing Co., Class B | 4 | 301 | ||||||
Mondelez International, Inc., Class A | 27 | 1,127 | ||||||
Monster Beverage Corp.* | 8 | 458 | ||||||
PepsiCo, Inc. | 64 | 6,986 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Philip Morris International, Inc. | 29 | $ | 2,883 | |||||
Tyson Foods, Inc., Class A | 200 | 14,638 | ||||||
|
| |||||||
130,621 | ||||||||
|
| |||||||
Health Care Equipment & Services — 2.8% |
| |||||||
Abbott Laboratories | 33 | 1,977 | ||||||
Aetna, Inc. | 9 | 1,521 | ||||||
Align Technology, Inc.* | 1 | 251 | ||||||
AmerisourceBergen Corp. | 5 | 431 | ||||||
Anthem, Inc. | 32 | 7,030 | ||||||
Baxter International, Inc. | 10 | 650 | ||||||
Becton Dickinson and Co. | 4 | 867 | ||||||
Boston Scientific Corp.* | 22 | 601 | ||||||
Cardinal Health, Inc. | 5 | 313 | ||||||
Centene Corp.* | 21 | 2,244 | ||||||
Cerner Corp.* | 5 | 290 | ||||||
Cigna Corp. | 135 | 22,645 | ||||||
Cooper Cos., Inc. (The) | 1 | 229 | ||||||
Danaher Corp. | 10 | 979 | ||||||
DaVita, Inc.* | 3 | 198 | ||||||
DENTSPLY SIRONA, Inc. | 3 | 151 | ||||||
Edwards Lifesciences Corp.* | 3 | 419 | ||||||
Envision Healthcare Corp.* | 61 | 2,344 | ||||||
Express Scripts Holding Co.* | 59 | 4,076 | ||||||
HCA Healthcare, Inc. | 7 | 679 | ||||||
Henry Schein, Inc.* | 2 | 134 | ||||||
Hologic, Inc.* | 4 | 149 | ||||||
Humana, Inc. | 16 | 4,301 | ||||||
IDEXX Laboratories, Inc.* | 1 | 191 | ||||||
Intuitive Surgical, Inc.* | 3 | 1,238 | ||||||
Laboratory Corp. of America Holdings* | 54 | 8,734 | ||||||
McKesson Corp. | 3 | 423 | ||||||
Medtronic PLC (Ireland) | 24 | 1,925 | ||||||
Quest Diagnostics, Inc. | 5 | 502 | ||||||
ResMed, Inc. | 2 | 197 | ||||||
Stryker Corp. | 5 | 805 | ||||||
UnitedHealth Group, Inc. | 69 | 14,766 | ||||||
Universal Health Services, Inc., Class B | 1 | 118 | ||||||
Varian Medical Systems, Inc.* | 42 | 5,151 | ||||||
Zimmer Biomet Holdings, Inc. | 4 | 436 | ||||||
|
| |||||||
86,965 | ||||||||
|
| |||||||
Household & Personal Products — 2.9% |
| |||||||
Church & Dwight Co., Inc. | 4 | 201 |
The accompanying notes are an integral part of the financial statements.
59
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Clorox Co. (The) | 3 | $ | 399 | |||||
Colgate-Palmolive Co. | 13 | 932 | ||||||
Coty, Inc., Class A | 10 | 183 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 8 | 1,198 | ||||||
Kimberly-Clark Corp. | 6 | 661 | ||||||
Procter & Gamble Co. (The) | 1,096 | 86,891 | ||||||
|
| |||||||
90,465 | ||||||||
|
| |||||||
Insurance — 1.5% |
| |||||||
Aflac, Inc. | 10 | 438 | ||||||
Allstate Corp. (The) | 5 | 474 | ||||||
American International Group, Inc. | 14 | 762 | ||||||
Aon PLC (United Kingdom) | 130 | 18,243 | ||||||
Arthur J Gallagher & Co. | 3 | 206 | ||||||
Assurant, Inc. | 1 | 91 | ||||||
Brighthouse Financial, Inc.* | 2 | 103 | ||||||
Chubb Ltd. (Switzerland) | 7 | 957 | ||||||
Cincinnati Financial Corp. | 3 | 223 | ||||||
Everest Re Group Ltd. (Bermuda) | 1 | 257 | ||||||
Hartford Financial Services Group, Inc. (The) | 5 | 258 | ||||||
Lincoln National Corp. | 3 | 219 | ||||||
Loews Corp. | 5 | 249 | ||||||
Marsh & McLennan Cos., Inc. | 271 | 22,382 | ||||||
MetLife, Inc. | 14 | 642 | ||||||
Principal Financial Group, Inc. | 4 | 244 | ||||||
Progressive Corp. (The) | 9 | 548 | ||||||
Prudential Financial, Inc. | 7 | 725 | ||||||
Torchmark Corp. | 2 | 168 | ||||||
Travelers Cos., Inc. (The) | 4 | 555 | ||||||
Unum Group | 3 | 143 | ||||||
Willis Towers Watson PLC (Ireland) | 2 | 304 | ||||||
XL Group Ltd. (Bermuda) | 4 | 221 | ||||||
|
| |||||||
48,412 | ||||||||
|
| |||||||
Materials — 3.7% |
| |||||||
Air Products & Chemicals, Inc. | 5 | 795 | ||||||
Albemarle Corp. | 3 | 278 | ||||||
Avery Dennison Corp. | 47 | 4,994 | ||||||
Ball Corp. | 6 | 238 | ||||||
CF Industries Holdings, Inc. | 3 | 113 | ||||||
DowDupont, Inc. | 30 | 1,911 | ||||||
Eastman Chemical Co. | 75 | 7,918 | ||||||
Ecolab, Inc. | 3 | 411 | ||||||
FMC Corp. | 2 | 153 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Freeport-McMoRan, Inc. | 765 | $ | 13,441 | |||||
International Flavors & Fragrances, Inc. | 1 | 137 | ||||||
International Paper Co. | 218 | 11,648 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 215 | 22,721 | ||||||
Martin Marietta Materials, Inc. | 1 | 207 | ||||||
Monsanto Co. | 239 | 27,889 | ||||||
Mosaic Co. (The) | 5 | 121 | ||||||
Newmont Mining Corp. | 11 | 430 | ||||||
Nucor Corp. | 7 | 428 | ||||||
Packaging Corp. of America | 1 | 113 | ||||||
PPG Industries, Inc. | 139 | 15,512 | ||||||
Praxair, Inc. | 4 | 577 | ||||||
Sealed Air Corp. | 89 | 3,808 | ||||||
Sherwin-Williams Co. (The) | 1 | 392 | ||||||
Vulcan Materials Co. | 1 | 114 | ||||||
WestRock Co. | 5 | 321 | ||||||
|
| |||||||
114,670 | ||||||||
|
| |||||||
Media — 2.8% |
| |||||||
CBS Corp., Class B, non-voting shares | 7 | 360 | ||||||
Charter Communications, Inc., Class A* | 4 | 1,245 | ||||||
Comcast Corp., Class A | 89 | 3,041 | ||||||
Discovery, Inc., Class A* | 311 | 6,665 | ||||||
DISH Network Corp., Class A* | 8 | 303 | ||||||
Interpublic Group of Cos., Inc. (The) | 202 | 4,652 | ||||||
News Corp., Class A | 308 | 4,866 | ||||||
Omnicom Group, Inc. | 90 | 6,540 | ||||||
Time Warner, Inc. | 412 | 38,967 | ||||||
Twenty-First Century Fox, Inc., Class A | 352 | 12,915 | ||||||
Viacom, Inc., Class B | 205 | 6,367 | ||||||
Walt Disney Co. (The) | 28 | 2,812 | ||||||
|
| |||||||
88,733 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 18.0% |
| |||||||
AbbVie, Inc. | 841 | 79,601 | ||||||
Agilent Technologies, Inc. | 5 | 334 | ||||||
Alexion Pharmaceuticals, Inc.* | 2 | 223 | ||||||
Allergan PLC (Ireland) | 6 | 1,010 | ||||||
Amgen, Inc. | 396 | 67,510 | ||||||
Biogen, Inc.* | 105 | 28,751 | ||||||
Bristol-Myers Squibb Co. | 21 | 1,328 |
The accompanying notes are an integral part of the financial statements.
60
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Celgene Corp.* | 365 | $ | 32,562 | |||||
Eli Lilly & Co. | 20 | 1,547 | ||||||
Gilead Sciences, Inc. | 690 | 52,019 | ||||||
Illumina, Inc.* | 1 | 236 | ||||||
Incyte Corp.* | 2 | 167 | ||||||
IQVIA Holdings, Inc.* | 3 | 294 | ||||||
Johnson & Johnson | 854 | 109,440 | ||||||
Merck & Co., Inc. | 1,322 | 72,009 | ||||||
Mettler-Toledo International, Inc.* | 1 | 575 | ||||||
Mylan NV (Netherlands)* | 10 | 412 | ||||||
Nektar Therapeutics* | 2 | 213 | ||||||
PerkinElmer, Inc. | 2 | 151 | ||||||
Perrigo Co. PLC (Ireland) | 3 | 250 | ||||||
Pfizer, Inc. | 2,594 | 92,061 | ||||||
Regeneron Pharmaceuticals, Inc.* | 3 | 1,033 | ||||||
Thermo Fisher Scientific, Inc. | 5 | 1,032 | ||||||
Vertex Pharmaceuticals, Inc.* | 3 | 489 | ||||||
Waters Corp.* | 1 | 199 | ||||||
Zoetis, Inc. | 256 | 21,379 | ||||||
|
| |||||||
564,825 | ||||||||
|
| |||||||
Real Estate — 1.0% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT | 2 | 250 | ||||||
American Tower Corp., REIT | 6 | 872 | ||||||
Apartment Investment & Management, Class A, REIT | 2 | 82 | ||||||
AvalonBay Communities, Inc., REIT | 2 | 329 | ||||||
Boston Properties, Inc., REIT | 2 | 246 | ||||||
CBRE Group, Inc., Class A* | 179 | 8,452 | ||||||
Crown Castle International Corp., REIT | 5 | 548 | ||||||
Digital Realty Trust, Inc., REIT | 4 | 422 | ||||||
Duke Realty Corp., REIT | 5 | 132 | ||||||
Equinix, Inc., REIT | 1 | 418 | ||||||
Equity Residential, REIT | 5 | 308 | ||||||
Essex Property Trust, Inc., REIT | 1 | 241 | ||||||
Extra Space Storage, Inc., REIT | 3 | 262 | ||||||
Federal Realty Investment Trust, REIT | 1 | 116 | ||||||
GGP, Inc., REIT | 19 | 389 | ||||||
HCP, Inc., REIT | 6 | 139 | ||||||
Host Hotels & Resorts, Inc., REIT | 15 | 280 | ||||||
Iron Mountain, Inc., REIT | 5 | 164 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Kimco Realty Corp., REIT | 6 | $ | 86 | |||||
Macerich Co. (The) REIT | 3 | 168 | ||||||
Mid-America Apartment Communities, Inc., REIT | 2 | 182 | ||||||
Prologis, Inc., REIT | 8 | 504 | ||||||
Public Storage, REIT | 3 | 601 | ||||||
Realty Income Corp., REIT | 4 | 207 | ||||||
Regency Centers Corp., REIT | 4 | 236 | ||||||
SBA Communications Corp., REIT* | 1 | 171 | ||||||
Simon Property Group, Inc., REIT | 6 | 926 | ||||||
SL Green Realty Corp., REIT | 2 | 194 | ||||||
UDR, Inc., REIT | 4 | 142 | ||||||
Ventas, Inc., REIT | 5 | 248 | ||||||
Vornado Realty Trust, REIT | 3 | 202 | ||||||
Welltower, Inc., REIT | 6 | 327 | ||||||
Weyerhaeuser Co., REIT | 411 | 14,385 | ||||||
|
| |||||||
32,229 | ||||||||
|
| |||||||
Retailing — 8.1% |
| |||||||
Advance Auto Parts, Inc. | 38 | 4,505 | ||||||
Amazon.com, Inc.* | 58 | 83,946 | ||||||
AutoZone, Inc.* | 13 | 8,433 | ||||||
Best Buy Co., Inc. | 82 | 5,739 | ||||||
Booking Holdings, Inc.* | 24 | 49,929 | ||||||
CarMax, Inc.* | 4 | 248 | ||||||
Dollar General Corp. | 6 | 561 | ||||||
Dollar Tree, Inc.* | 5 | 474 | ||||||
Expedia Group, Inc. | 2 | 221 | ||||||
Foot Locker, Inc. | 65 | 2,960 | ||||||
Gap, Inc. (The) | 62 | 1,934 | ||||||
Genuine Parts Co. | 3 | 270 | ||||||
Home Depot, Inc. (The) | 211 | 37,609 | ||||||
Kohl’s Corp. | 89 | 5,830 | ||||||
L Brands, Inc. | 5 | 191 | ||||||
LKQ Corp.* | 133 | 5,047 | ||||||
Lowe’s Cos., Inc. | 16 | 1,404 | ||||||
Macy’s, Inc. | 5 | 149 | ||||||
Netflix, Inc.* | 5 | 1,477 | ||||||
Nordstrom, Inc. | 3 | 145 | ||||||
O’Reilly Automotive, Inc.* | 44 | 10,885 | ||||||
Ross Stores, Inc. | 156 | 12,165 | ||||||
Target Corp. | 11 | 764 | ||||||
Tiffany & Co. | 38 | 3,711 | ||||||
TJX Cos., Inc. (The) | 148 | 12,071 | ||||||
Tractor Supply Co. | 66 | 4,159 |
The accompanying notes are an integral part of the financial statements.
61
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
TripAdvisor, Inc.* | 2 | $ | 82 | |||||
Ulta Beauty, Inc.* | 2 | 409 | ||||||
|
| |||||||
255,318 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.0% |
| |||||||
Advanced Micro Devices, Inc.* | 20 | 201 | ||||||
Analog Devices, Inc. | 8 | 729 | ||||||
Applied Materials, Inc. | 128 | 7,118 | ||||||
Broadcom Ltd. (Singapore) | 5 | 1,178 | ||||||
Intel Corp. | 867 | 45,153 | ||||||
KLA-Tencor Corp. | 21 | 2,289 | ||||||
Lam Research Corp. | 22 | 4,470 | ||||||
Microchip Technology, Inc. | 3 | 274 | ||||||
Micron Technology, Inc.* | 694 | 36,185 | ||||||
NVIDIA Corp. | 8 | 1,853 | ||||||
Qorvo, Inc.* | 2 | 141 | ||||||
QUALCOMM, Inc. | 28 | 1,551 | ||||||
Skyworks Solutions, Inc. | 4 | 401 | ||||||
Texas Instruments, Inc. | 531 | 55,166 | ||||||
Xilinx, Inc. | 4 | 289 | ||||||
|
| |||||||
156,998 | ||||||||
|
| |||||||
Software & Services — 9.2% |
| |||||||
Accenture PLC, Class A (Ireland) | 144 | 22,104 | ||||||
Activision Blizzard, Inc. | 10 | 675 | ||||||
Adobe Systems, Inc.* | 7 | 1,513 | ||||||
Akamai Technologies, Inc.* | 3 | 213 | ||||||
Alliance Data Systems Corp. | 3 | 639 | ||||||
Alphabet, Inc., Class A* | 85 | 88,157 | ||||||
ANSYS, Inc.* | 2 | 313 | ||||||
Autodesk, Inc.* | 2 | 251 | ||||||
Automatic Data Processing, Inc. | 9 | 1,021 | ||||||
CA, Inc. | 8 | 271 | ||||||
Cadence Design Systems, Inc.* | 4 | 147 | ||||||
Citrix Systems, Inc.* | 3 | 278 | ||||||
Cognizant Technology Solutions Corp., Class A | 77 | 6,198 | ||||||
CSRA, Inc. | 3 | 124 | ||||||
DXC Technology Co. | 11 | 1,106 | ||||||
eBay, Inc.* | 19 | 765 | ||||||
Electronic Arts, Inc.* | 6 | 727 | ||||||
Facebook, Inc., Class A* | 342 | 54,648 | ||||||
Fidelity National Information Services, Inc. | 6 | 578 | ||||||
Fiserv, Inc.* | 6 | 428 | ||||||
Gartner, Inc.* | 1 | 118 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Global Payments, Inc. | 2 | $ | 223 | |||||
International Business Machines Corp. | 434 | 66,589 | ||||||
Intuit, Inc. | 5 | 867 | ||||||
Mastercard, Inc., Class A | 16 | 2,803 | ||||||
Microsoft Corp. | 171 | 15,607 | ||||||
Oracle Corp. | 82 | 3,751 | ||||||
Paychex, Inc. | 157 | 9,670 | ||||||
PayPal Holdings, Inc.* | 15 | 1,138 | ||||||
Red Hat, Inc.* | 2 | 299 | ||||||
salesforce.com, Inc.* | 9 | 1,047 | ||||||
Symantec Corp. | 12 | 310 | ||||||
Synopsys, Inc.* | 2 | 166 | ||||||
Take-Two Interactive Software, Inc.* | 1 | 98 | ||||||
Total System Services, Inc. | 4 | 345 | ||||||
VeriSign, Inc.* | 2 | 237 | ||||||
Visa, Inc., Class A | 42 | 5,024 | ||||||
Western Union Co. (The) | 8 | 154 | ||||||
|
| |||||||
288,602 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 9.5% |
| |||||||
Amphenol Corp., Class A | 5 | 431 | ||||||
Apple, Inc. | 1,067 | 179,021 | ||||||
Cisco Systems, Inc. | 1,604 | 68,796 | ||||||
Corning, Inc. | 15 | 418 | ||||||
F5 Networks, Inc.* | 33 | 4,772 | ||||||
FLIR Systems, Inc. | 2 | 100 | ||||||
Hewlett Packard Enterprise Co. | 29 | 509 | ||||||
HP, Inc. | 857 | 18,785 | ||||||
IPG Photonics Corp.* | 1 | 233 | ||||||
Juniper Networks, Inc. | 6 | 146 | ||||||
Motorola Solutions, Inc. | 85 | 8,950 | ||||||
NetApp, Inc. | 64 | 3,948 | ||||||
Seagate Technology PLC (Ireland) | 156 | 9,129 | ||||||
TE Connectivity Ltd. (Switzerland) | 7 | 699 | ||||||
Western Digital Corp. | 6 | 554 | ||||||
Xerox Corp. | 4 | 115 | ||||||
|
| |||||||
296,606 | ||||||||
|
| |||||||
Telecommunication Services — 2.1% |
| |||||||
AT&T, Inc. | 118 | 4,207 | ||||||
CenturyLink, Inc. | 20 | 329 | ||||||
Verizon Communications, Inc. | 1,260 | 60,253 | ||||||
|
| |||||||
64,789 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
62
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — 0.3% |
| |||||||
Alaska Air Group, Inc. | 2 | $ | 124 | |||||
American Airlines Group, Inc. | 9 | 468 | ||||||
CH Robinson Worldwide, Inc. | 3 | 281 | ||||||
CSX Corp. | 16 | 891 | ||||||
Delta Air Lines, Inc. | 13 | 713 | ||||||
Expeditors International of Washington, Inc. | 3 | 190 | ||||||
FedEx Corp. | 4 | 960 | ||||||
JB Hunt Transport Services, Inc. | 3 | 351 | ||||||
Kansas City Southern | 1 | 110 | ||||||
Norfolk Southern Corp. | 13 | 1,765 | ||||||
Southwest Airlines Co. | 11 | 630 | ||||||
Union Pacific Corp. | 14 | 1,882 | ||||||
United Continental Holdings, Inc.* | 5 | 347 | ||||||
United Parcel Service, Inc., Class B | 16 | 1,675 | ||||||
|
| |||||||
10,387 | ||||||||
|
| |||||||
Utilities — 0.7% |
| |||||||
AES Corp. | 86 | 978 | ||||||
Alliant Energy Corp. | 3 | 123 | ||||||
Ameren Corp. | 4 | 227 | ||||||
American Electric Power Co., Inc. | 7 | 480 | ||||||
American Water Works Co., Inc. | 2 | 164 | ||||||
CenterPoint Energy, Inc. | 6 | 164 | ||||||
CMS Energy Corp. | 4 | 181 | ||||||
Consolidated Edison, Inc. | 4 | 312 | ||||||
Dominion Energy, Inc. | 11 | 742 | ||||||
DTE Energy Co. | 3 | 313 | ||||||
Duke Energy Corp. | 9 | 697 | ||||||
Edison International | 4 | 255 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
Entergy Corp. | 3 | $ | 236 | |||||
Eversource Energy | 4 | 236 | ||||||
Exelon Corp. | 13 | 507 | ||||||
FirstEnergy Corp. | 235 | 7,992 | ||||||
NextEra Energy, Inc. | 6 | 980 | ||||||
NiSource, Inc. | 6 | 143 | ||||||
NRG Energy, Inc. | 167 | 5,099 | ||||||
PG&E Corp. | 7 | 308 | ||||||
Pinnacle West Capital Corp. | 2 | 160 | ||||||
PPL Corp. | 9 | 255 | ||||||
Public Service Enterprise Group, Inc. | 10 | 502 | ||||||
SCANA Corp. | 3 | 113 | ||||||
Sempra Energy | 3 | 334 | ||||||
Southern Co. (The) | 13 | 581 | ||||||
WEC Energy Group, Inc. | 4 | 251 | ||||||
Xcel Energy, Inc. | 7 | 318 | ||||||
|
| |||||||
22,651 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS - 100.5% |
| 3,148,895 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER |
| (14,568 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% | $ | 3,134,327 | ||||||
|
|
* | Non-income producing. |
PLC Public Limited Company
REIT Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
63
GOTHAM MASTER INDEX PLUS FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES(a) — 101.8% |
| |||||||
Gotham Enhanced Index Plus Fund | 23,612 | $ | 307,192 | |||||
Gotham Enhanced S&P 500 Index Fund | 25,263 | 307,193 | ||||||
Gotham Index Plus All-Cap Fund* | 30,542 | 304,198 | ||||||
Gotham Index Plus Fund | 21,377 | 303,980 | ||||||
|
| |||||||
TOTAL AFFILIATED EQUITY |
| 1,222,563 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER |
| (21,834 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,200,729 | ||||||
|
|
(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.
64
GOTHAM FUNDS
Statements of Assets and Liabilities
March 31, 2018
(Unaudited)
Gotham Index | Gotham Index Plus | Gotham Enhanced | |||||||||||||
Plus Fund | All-Cap Fund | Index Plus Fund | |||||||||||||
Assets | |||||||||||||||
Non-affiliated investments, at value1,2,3 | $ | 731,245,702 | $ | 3,894,687 | $ | 4,116,525 | |||||||||
Cash | 21,176,842 | 5,385 | 20,618 | ||||||||||||
Deposits with brokers for securities sold short | 46,217,536 | 26,559 | 24,389 | ||||||||||||
Securities lending cash collateral | — | — | 56,503 | ||||||||||||
Receivables: | |||||||||||||||
Investments sold | 13,314,826 | 116,421 | 131,176 | ||||||||||||
Capital shares sold | 729,256 | — | — | ||||||||||||
Dividends and interest | 810,931 | 3,219 | 3,876 | ||||||||||||
Investment Adviser | — | — | 15,532 | ||||||||||||
Prepaid expenses and other assets | 51,958 | — | 440 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total assets | 813,547,051 | 4,046,271 | 4,369,059 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities | |||||||||||||||
Securities sold short, at value4 | 353,718,163 | 1,614,127 | 1,186,635 | ||||||||||||
Payables: | |||||||||||||||
Securities lending cash collateral | 63,581,004 | — | 56,503 | ||||||||||||
Investments purchased | 13,484,611 | 116,650 | 131,582 | ||||||||||||
Dividends and fees on securities sold short | 577,200 | 993 | 909 | ||||||||||||
Capital shares redeemed | 50,527 | — | — | ||||||||||||
Investment Adviser | 278,351 | 470 | — | ||||||||||||
Administration and accounting fees | 47,173 | 7,373 | 15,702 | ||||||||||||
Distribution fees | 326 | — | — | ||||||||||||
Accrued expenses | 28,949 | 11,656 | 19,469 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total liabilities | 431,766,304 | 1,751,269 | 1,410,800 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 381,780,747 | $ | 2,295,002 | $ | 2,958,259 | |||||||||
|
|
|
|
|
| ||||||||||
Net Assets Consisted of: | |||||||||||||||
Capital stock, $0.01 par value | $ | 268,495 | $ | 2,305 | $ | 2,274 | |||||||||
Paid-in capital | 342,595,752 | 2,322,356 | 2,355,065 | ||||||||||||
Accumulated net investment income | 202,719 | 310 | 12,557 | ||||||||||||
Accumulated net realized gain/(loss) from investments and securities sold short | 11,263,910 | (25,124 | ) | 381,078 | |||||||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 27,449,871 | (4,845 | ) | 207,285 | |||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 381,780,747 | $ | 2,295,002 | $ | 2,958,259 | |||||||||
|
|
|
|
|
| ||||||||||
Institutional Class Shares: | |||||||||||||||
Net assets | $ | 380,269,150 | $ | 2,295,002 | $ | 2,958,259 | |||||||||
|
|
|
|
|
| ||||||||||
Shares Outstanding | 26,743,170 | 230,542 | 227,400 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | $ | 14.22 | $ | 9.95 | $ | 13.01 | |||||||||
|
|
|
|
|
| ||||||||||
Investor Class Shares: | |||||||||||||||
Net assets | $ | 1,511,597 | N/A | N/A | |||||||||||
|
|
|
|
|
| ||||||||||
Shares Outstanding | 106,376 | N/A | N/A | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | $ | 14.21 | N/A | N/A | |||||||||||
|
|
|
|
|
| ||||||||||
1 Non-affiliated investments, at cost | $ | 709,511,858 | $ | 3,990,932 | $ | 3,964,466 | |||||||||
2 Includes market value of securities on loan | $ | 62,960,797 | $ | — | $ | 155,101 | |||||||||
3 Includes market value of securities designated as collateral for securities on loan | $ | 70,468,966 | $ | — | $ | 2,814,988 | |||||||||
4 Proceeds received, securities sold short | $ | 359,434,190 | $ | 1,705,527 | $ | 1,241,861 |
The accompanying notes are an integral part of the financial statements.
65
GOTHAM FUNDS
Statements of Assets and Liabilities (Concluded)
March 31, 2018
(Unaudited)
Gotham Enhanced S&P | Gotham Master | |||||||||
500 Index Fund | Index Plus Fund | |||||||||
Assets | ||||||||||
Non-affiliated investments, at value1 | $ | 3,148,895 | $ | — | ||||||
Affiliated investments, at value2 | — | 1,222,563 | ||||||||
Cash | 16,401 | 18,793 | ||||||||
Receivables: | ||||||||||
Investments sold | 35,391 | — | ||||||||
Dividends and interest | 3,454 | — | ||||||||
Investment Adviser | 3,310 | 19,906 | ||||||||
Prepaid expenses and other assets | 246 | 1,356 | ||||||||
|
|
|
| |||||||
Total assets | 3,207,697 | 1,262,618 | ||||||||
|
|
|
| |||||||
Liabilities | ||||||||||
Payables: | ||||||||||
Investments purchased | 35,781 | — | ||||||||
Administration and accounting fees | 18,783 | 24,111 | ||||||||
Accrued expenses | 18,806 | 37,778 | ||||||||
|
|
|
| |||||||
Total liabilities | 73,370 | 61,889 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 3,134,327 | $ | 1,200,729 | ||||||
|
|
|
| |||||||
Net Assets Consisted of: | ||||||||||
Capital stock, $0.01 par value | $ | 2,577 | $ | 1,054 | ||||||
Paid-in capital | 2,608,973 | 1,053,832 | ||||||||
Accumulated net investment income/(loss) | 22,853 | (8,764 | ) | |||||||
Accumulated net realized gain from investments | 259,136 | 138,358 | ||||||||
Net unrealized appreciation/(depreciation) on investments | 240,788 | 16,249 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 3,134,327 | $ | 1,200,729 | ||||||
|
|
|
| |||||||
Institutional Class Shares: | ||||||||||
Net assets | $ | 3,134,327 | $ | 1,200,729 | ||||||
|
|
|
| |||||||
Shares Outstanding | 257,711 | 105,386 | ||||||||
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 12.16 | $ | 11.39 | ||||||
|
|
|
| |||||||
1 Non-affiliated investments, at cost | $ | 2,908,107 | $ | — | ||||||
2 Affiliated investments, at cost | $ | — | $ | 1,206,314 |
The accompanying notes are an integral part of the financial statements.
66
GOTHAM FUNDS
Statements of Operations
For the Period Ended March 31, 2018
(Unaudited)
Gotham Index | Gotham Index Plus | Gotham Enhanced | |||||||||||||
Plus Fund | All-Cap Fund | Index Plus Fund | |||||||||||||
Investment Income | |||||||||||||||
Dividends from non-affiliated securities | $ | 5,478,556 | $ | 14,240 | $ | 36,902 | |||||||||
Less: foreign taxes withheld | — | (71 | ) | (51 | ) | ||||||||||
Interest | 5,620 | 51 | 15 | ||||||||||||
Income from securities loaned (Note 5) | 162 | — | 211 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 5,484,338 | 14,220 | 37,077 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses | |||||||||||||||
Advisory fees (Note 2) | 1,374,617 | 5,433 | 10,327 | ||||||||||||
Administration and accounting fees (Note 2) | 43,084 | 7,373 | 12,711 | ||||||||||||
Dividends and fees on securities sold short | 2,900,439 | 7,663 | 12,163 | ||||||||||||
Fees on cash collateral (Note 5) | 475,422 | — | — | ||||||||||||
Distribution fees (Investor Class) | 932 | — | — | ||||||||||||
Transfer agent fees (Note 2) | 45,101 | 1,808 | 2,695 | ||||||||||||
Custodian fees (Note 2) | 10,310 | 41 | 103 | ||||||||||||
Trustees’ and officers’ fees (Note 2) | 22,924 | 614 | 317 | ||||||||||||
Printing and shareholder reporting fees | 9,060 | 1,808 | 148 | ||||||||||||
Registration and filing fees | 10,953 | 607 | 763 | ||||||||||||
Legal fees | 67,394 | 241 | 13,986 | ||||||||||||
Audit fees | 6,944 | 6,819 | 10,780 | ||||||||||||
Other expenses | 10,051 | 733 | 1,551 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses before waivers and reimbursements | 4,977,231 | 33,140 | 65,544 | ||||||||||||
|
|
|
|
|
| ||||||||||
Recoupments and/or waivers, reimbursements (Note 2) | (19,571 | ) | (19,230 | ) | (41,024 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net expenses after waivers and reimbursements | 4,957,660 | 13,910 | 24,520 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment income | 526,678 | 310 | 12,557 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain/(loss) from investments: | |||||||||||||||
Net realized gain from non-affiliated investments | 24,878,919 | 5,789 | 535,688 | ||||||||||||
Net realized loss from securities sold short | (8,648,824 | ) | (30,913 | ) | (119,591 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | (8,434,256 | ) | (96,245 | ) | (301,075 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | 6,721,693 | 91,400 | 84,896 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain/(loss) on investments | 14,517,532 | (29,969 | ) | 199,918 | |||||||||||
|
|
|
|
|
| ||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 15,044,210 | $ | (29,659 | ) | $ | 212,475 | ||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
67
GOTHAM FUNDS
Statements of Operations (Concluded)
For the Period Ended March 31, 2018
(Unaudited)
Gotham Enhanced S&P | Gotham Master | |||||||||
500 Index Fund | Index Plus Fund | |||||||||
Investment Income | ||||||||||
Dividends from non-affiliated securities | $ | 32,461 | $ | — | ||||||
Dividends from affiliated securities | — | 7,831 | ||||||||
Interest | 15 | 21 | ||||||||
|
|
|
| |||||||
Total investment income | 32,476 | 7,852 | ||||||||
|
|
|
| |||||||
Expenses | ||||||||||
Advisory fees (Note 2) | 7,848 | — | ||||||||
Administration and accounting fees (Note 2) | 13,002 | 20,418 | ||||||||
Transfer agent fees (Note 2) | 3,117 | 5,558 | ||||||||
Custodian fees (Note 2) | 118 | 4,987 | ||||||||
Trustees’ and officers’ fees (Note 2) | 298 | 286 | ||||||||
Printing and shareholder reporting fees | 823 | 3,679 | ||||||||
Registration and filing fees | 537 | 555 | ||||||||
Legal fees | 88 | 13,991 | ||||||||
Audit fees | 11,142 | 13,736 | ||||||||
Other expenses | 850 | 3,753 | ||||||||
|
|
|
| |||||||
Total expenses before waivers and reimbursements | 37,823 | 66,963 | ||||||||
|
|
|
| |||||||
Recoupments and/or waivers, reimbursements (Note 2) | (29,975 | ) | (66,963 | ) | ||||||
|
|
|
| |||||||
Net expenses after waivers and reimbursements | 7,848 | — | ||||||||
|
|
|
| |||||||
Net investment income | 24,628 | 7,852 | ||||||||
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||
Net realized gain from non-affiliated investments | 280,455 | — | ||||||||
Net realized gain from affiliated investments | — | 117,652 | ||||||||
Capital gain distribution from affiliated investments | — | 20,706 | ||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | (34,282 | ) | — | |||||||
Net change in unrealized appreciation/(depreciation) on affiliated investments | — | (46,758 | ) | |||||||
|
|
|
| |||||||
Net realized and unrealized gain on investments | 246,173 | 91,600 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 270,801 | $ | 99,452 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
68
GOTHAM FUNDS
Statements of Changes in Net Assets
Gotham Index Plus | |||||||||||||||
Gotham Index Plus Fund | All-Cap Fund | ||||||||||||||
For the Six Months | For the Period | ||||||||||||||
Ended | For the Year | Ended | |||||||||||||
March 31, 2018 | Ended | March 31, 2018 | |||||||||||||
(Unaudited) | September 30, 2017 | (Unaudited)* | |||||||||||||
Net increase/(decrease) in net assets from operations: | |||||||||||||||
Net investment income | $ | 526,678 | $ | 624,251 | $ | 310 | |||||||||
Net realized gain/(loss) from investments and securities sold short | 16,230,095 | (3,733,519 | ) | (25,124 | ) | ||||||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | (1,712,563 | ) | 26,228,188 | (4,845 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Net increase/(decrease) in net assets resulting from operations | 15,044,210 | 23,118,920 | (29,659 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Less Dividends and Distributions to Shareholders from: | |||||||||||||||
Institutional Class Shares: | |||||||||||||||
Net investment income | (898,482 | ) | (316,257 | ) | — | ||||||||||
|
|
|
|
|
| ||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (898,482 | ) | (316,257 | ) | — | ||||||||||
|
|
|
|
|
| ||||||||||
Increase in Net Assets from Capital Share Transactions (Note 4) | 167,839,001 | 132,803,527 | 2,324,661 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total increase in net assets | 181,984,729 | 155,606,190 | 2,295,002 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net assets | |||||||||||||||
Beginning of period | 199,796,018 | 44,189,828 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
End of period | $ | 381,780,747 | $ | 199,796,018 | $ | 2,295,002 | |||||||||
|
|
|
|
|
| ||||||||||
Accumulated net investment income, end of period | $ | 202,719 | $ | 574,523 | $ | 310 | |||||||||
|
|
|
|
|
|
* | The Fund commenced operations on December 29, 2017. |
The accompanying notes are an integral part of the financial statements.
69
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Enhanced Index Plus Fund | Gotham Enhanced S&P 500 Index Fund | |||||||||||||||||||
For the Six Months | For the Six Months | |||||||||||||||||||
Ended | For the Year | Ended | For the Period | |||||||||||||||||
March 31, 2018 | Ended | March 31, 2018 | Ended | |||||||||||||||||
(Unaudited) | September 30, 2017 | (Unaudited) | September 30, 2017* | |||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||
Net investment income | $ | 12,557 | $ | 23,945 | $ | 24,628 | $ | 30,452 | ||||||||||||
Net realized gain/(loss) from investments and securities sold short | 416,097 | (22,214 | ) | 280,455 | 44,334 | |||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | (216,179 | ) | 424,964 | (34,282 | ) | 275,070 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 212,475 | 426,695 | 270,801 | 349,856 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Net investment income | (37,267 | ) | — | (40,161 | ) | — | ||||||||||||||
Net realized capital gains | (12,146 | ) | — | (65,653 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (49,413 | ) | — | (105,814 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase in Net Assets from Capital Share Transactions (Note 4) | 345,002 | 25,000 | 38,311 | 2,581,173 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase in net assets | 508,064 | 451,695 | 203,298 | 2,931,029 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of period | 2,450,195 | 1,998,500 | 2,931,029 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 2,958,259 | $ | 2,450,195 | $ | 3,134,327 | $ | 2,931,029 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Accumulated net investment income, end of period | $ | 12,557 | $ | 37,267 | $ | 22,853 | $ | 38,386 | ||||||||||||
|
|
|
|
|
|
|
|
* | The Fund commenced operations on December 30, 2016. |
The accompanying notes are an integral part of the financial statements.
70
GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
Gotham Master Index Plus Fund | ||||||||||
For the Six Months | ||||||||||
Ended | For the Period | |||||||||
March 31, 2018 | Ended | |||||||||
(Unaudited) | September 30, 2017* | |||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||
Net investment income | $ | 7,852 | $ | 6 | ||||||
Net realized gain/(loss) from investments | 138,358 | — | ||||||||
Net change in unrealized appreciation/(depreciation) on investments | (46,758 | ) | 63,007 | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 99,452 | 63,013 | ||||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Institutional Class Shares: | ||||||||||
Net investment income | (16,622 | ) | — | |||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (16,622 | ) | — | |||||||
|
|
|
| |||||||
Increase in Net Assets from Capital Share Transactions (Note 4) | 8,311 | 1,046,575 | ||||||||
|
|
|
| |||||||
Total increase in net assets | 91,141 | 1,109,588 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of period | 1,109,588 | — | ||||||||
|
|
|
| |||||||
End of period | $ | 1,200,729 | $ | 1,109,588 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss), end of period | $ | (8,764 | ) | $ | 6 | |||||
|
|
|
|
* | The Fund commenced operations on April 28, 2017. |
The accompanying notes are an integral part of the financial statements.
71
GOTHAM FUNDS
Statements of Cash Flow
(Unaudited)
Gotham Index | Gotham Index | Gotham Enhanced | |||||||||||||
Plus Fund | Plus All-Cap Fund | Index Plus Fund | |||||||||||||
For the Six Months | For the Period | For the Six Months | |||||||||||||
Ended | Ended | Ended | |||||||||||||
March 31, 2018 | March 31, 2018 | March 31, 2018 | |||||||||||||
Cash flows provided by (used in) operating activities: | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 15,044,210 | $ | (29,659 | ) | $ | 212,475 | ||||||||
Adjustments to reconcile net increase/(decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | |||||||||||||||
Purchases of long-term portfolio investments | (1,018,648,136 | ) | (8,628,257 | ) | (7,149,769 | ) | |||||||||
Proceeds from disposition of long-term portfolio investments | 676,465,833 | 4,643,114 | 6,697,235 | ||||||||||||
Purchases to cover securities sold short | (334,926,668 | ) | (1,915,538 | ) | (3,279,048 | ) | |||||||||
Proceeds from securities sold short | 510,861,813 | 3,590,152 | 3,443,924 | ||||||||||||
Net realized gain/(loss) on investments and securities sold short | (16,230,095 | ) | 25,124 | (416,097 | ) | ||||||||||
Net change in unrealized (appreciation)/depreciation on investments and securities sold short | 1,712,563 | 4,845 | 216,179 | ||||||||||||
Increase/(decrease) in deposits with brokers for securities sold short | (21,677,216 | ) | (26,559 | ) | 10,968 | ||||||||||
Increase in receivable for securities sold | (4,733,102 | ) | (116,421 | ) | (87,520 | ) | |||||||||
Increase in cash collateral for securities lending | — | — | (48,871 | ) | |||||||||||
Increase in dividend and interest receivable | (450,488 | ) | (3,219 | ) | (648 | ) | |||||||||
Increase in receivable from investment advisor | — | — | (11,483 | ) | |||||||||||
Increase/(decrease) in prepaid expenses and other assets | (29,117 | ) | — | 381 | |||||||||||
Increase in payable for investments purchased | 4,620,335 | 116,650 | 88,668 | ||||||||||||
Increase in use of cash collateral from securities lending | 25,045,143 | — | 48,871 | ||||||||||||
Increase/(decrease) in dividends and fees payable for securities sold short | 369,676 | 993 | (346 | ) | |||||||||||
Increase in payable for investment advisor | 135,680 | 470 | — | ||||||||||||
Increase/(decrease) in accrued expense payable | 25,234 | 19,029 | (4,232 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Net cash provided by (used in) operating activities | (162,414,335 | ) | (2,319,276 | ) | (279,313 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Cash flows from financing activities: | |||||||||||||||
Proceeds from shares sold | 178,311,293 | 2,324,661 | 324,666 | ||||||||||||
Payment of shares redeemed | (11,005,665 | ) | — | (29,077 | ) | ||||||||||
Dividends and Distributions to Shareholders | (48,582 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Net cash provided by financing activities | 167,257,046 | 2,324,661 | 295,589 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in cash | 4,842,711 | 5,385 | 16,276 | ||||||||||||
Cash at beginning of period | 16,334,131 | — | 4,342 | ||||||||||||
|
|
|
|
|
| ||||||||||
Cash at end of period | $ | 21,176,842 | $ | 5,385 | $ | 20,618 | |||||||||
|
|
|
|
|
| ||||||||||
Supplemental disclosure of cash flow information: | |||||||||||||||
Cash paid during the period for financing charges | $ | 1,009,913 | $ | 3,884 | $ | 4,710 |
The accompanying notes are an integral part of the financial statements.
72
GOTHAM FUNDS
Financial Highlights
Gotham Index Plus Fund | ||||||||||||||||||||
Institutional Class Shares | ||||||||||||||||||||
For the | For the | For the | For the | |||||||||||||||||
Six Months | Year | Year | Period | |||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||
March 31, 2018 | September 30, | September 30, | September 30, | |||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015* | |||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of year/period | $ | 13.00 | $ | 10.59 | $ | 9.28 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income(1) | 0.03 | 0.06 | 0.07 | 0.03 | ||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.24 | 2.41 | 1.42 | (0.75 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 1.27 | 2.47 | 1.49 | (0.72 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.05 | ) | (0.06 | ) | (0.07 | ) | — | |||||||||||||
Net realized capital gains | — | — | (0.11 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | (0.05 | ) | (0.06 | ) | (0.18 | ) | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Redemption fees | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of year/period | $ | 14.22 | $ | 13.00 | $ | 10.59 | $ | 9.28 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return(3) | 9.88 | % | 23.25 | % | 16.14 | % | (7.20 | )% | ||||||||||||
Ratio/Supplemental Data | ||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 380,269 | $ | 199,796 | $ | 44,190 | $ | 7,669 | ||||||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 3.61 | %(5) | 3.61 | % | 3.41 | % | 3.63 | %(5) | ||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 3.62 | %(5) | 3.62 | % | 3.80 | % | 4.75 | %(5) | ||||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.38 | %(5) | 0.46 | % | 0.72 | % | 0.62 | %(5) | ||||||||||||
Portfolio turnover rate | 126.13 | %(7) | 204.07 | % | 234.14 | % | 94.47 | %(7) |
* | 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) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | 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 Fund’s Institutional Class Shares would be 1.15%, 1.15%, 1.18% and 1.50% for the six months ended March 31, 2018, the years ended September 30, 2017 and 2016 and the period ended September 30, 2015, respectively. |
(5) | Annualized. |
(6) | 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). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
73
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Index Plus Fund | |||||
Investor Class Shares | |||||
For the | |||||
Period | |||||
Ended | |||||
March 31, 2018 | |||||
(Unaudited)* | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 14.48 | |||
|
| ||||
Net investment income(1) | 0.01 | ||||
Net realized and unrealized loss on investments | (0.28 | ) | |||
|
| ||||
Total from investment operations | (0.27 | ) | |||
|
| ||||
Dividends and distributions to shareholders from: | |||||
Net investment income | — | ||||
Net realized capital gains | — | ||||
|
| ||||
Total dividends and distributions to shareholders | — | ||||
|
| ||||
Redemption fees | 0.00 | (2) | |||
|
| ||||
Net asset value, end of period | $ | 14.21 | |||
|
| ||||
Total investment return(3) | (1.86 | )% | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (in 000s) | $ | 1,512 | |||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 3.86 | %(5) | |||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 3.90 | %(5) | |||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.26 | %(5) | |||
Portfolio turnover rate | 126.13 | %(7) |
* | Investor class commenced operations on January 2, 2018. Initial seed capital was issued at $14.48 per share. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | 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 Fund’s Investor Class Shares would be 1.40% for the period ended March 31, 2018. |
(5) | Annualized. |
(6) | 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). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
74
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Index Plus All-Cap Fund | |||||
Institutional Class Shares | |||||
For the | |||||
Period | |||||
Ended | |||||
March 31, 2018 | |||||
(Unaudited)* | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 10.00 | |||
|
| ||||
Net investment income(1) | 0.00 | (2) | |||
Net realized and unrealized loss on investments | (0.05 | ) | |||
|
| ||||
Total from investment operations | (0.05 | ) | |||
|
| ||||
Dividends and distributions to shareholders from: | |||||
Net investment income | — | ||||
Net realized capital gains | — | ||||
|
| ||||
Total dividends and distributions to shareholders | — | ||||
|
| ||||
Redemption fees | — | ||||
|
| ||||
Net asset value, end of period | $ | 9.95 | |||
|
| ||||
Total investment return(3) | (0.40 | )% | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (in 000s) | $ | 2,295 | |||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 2.56 | %(5) | |||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 6.10 | %(5) | |||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.06 | %(5) | |||
Portfolio turnover rate | 158.06 | %(7) |
* | Commencement of operations. Initial seed capital was issued at $10.00 per share on December 29, 2017. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | 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 Fund would be 1.15% for the period ended March 31, 2018. |
(5) | Annualized. |
(6) | 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). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
75
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Enhanced Index Plus Fund | |||||||||||||||
Institutional Class Shares | |||||||||||||||
For the | For the | For the | |||||||||||||
Six Months | Year | Period | |||||||||||||
Ended | Ended | Ended | |||||||||||||
March 31, 2018 | September 30, | September 30, | |||||||||||||
(Unaudited) | 2017 | 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 12.12 | $ | 9.99 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.06 | 0.12 | — | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.07 | 2.01 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 1.13 | 2.13 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||
Net investment income | (0.18 | ) | — | — | |||||||||||
Net realized capital gains | (0.06 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions to shareholders | (0.24 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Redemption fees | — | — | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of year/period | $ | 13.01 | $ | 12.12 | $ | 9.99 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(2) | 9.38 | % | 21.20 | % | (0.10 | )% | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 2,958 | $ | 2,450 | $ | 1,999 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | 1.78 | %(4) | 1.91 | % | — | ||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(3)(5) | 4.78 | %(4) | 5.23 | % | — | ||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.92 | %(4) | 1.08 | % | — | ||||||||||
Portfolio turnover rate | 172.65 | %(6) | 231.97 | % | — |
* | 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 Fund would be 0.90% and 0.85% for the six months ended March 31, 2018 and the year ended September 30, 2017, respectively. |
(4) | Annualized. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
76
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Enhanced S&P 500 Index Fund | ||||||||||
Institutional Class Shares | ||||||||||
For the | For the | |||||||||
Six Months | Period | |||||||||
Ended | Ended | |||||||||
March 31, 2018 | September 30, | |||||||||
(Unaudited) | 2017* | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 11.53 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income(1) | 0.10 | 0.13 | ||||||||
Net realized and unrealized gain on investments | 0.95 | 1.40 | ||||||||
|
|
|
| |||||||
Total from investment operations | 1.05 | 1.53 | ||||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | (0.16 | ) | — | |||||||
Net realized capital gains | (0.26 | ) | — | |||||||
|
|
|
| |||||||
Total dividends and distributions to shareholders | (0.42 | ) | — | |||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 12.16 | $ | 11.53 | ||||||
|
|
|
| |||||||
Total investment return(2) | 9.15 | % | 15.30 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (in 000s) | $ | 3,134 | $ | 2,931 | ||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any | 0.50 | %(3) | 0.50 | %(3) | ||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4) | 2.41 | %(3) | 3.61 | %(3) | ||||||
Ratio of net investment income to average net assets | 1.57 | %(3) | 1.66 | %(3) | ||||||
Portfolio turnover rate | 115.89 | %(5) | 268.10 | %(5) |
* | 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) | Annualized. |
(4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
77
GOTHAM FUNDS
Financial Highlights (Concluded)
Gotham Master Index Plus Fund | ||||||||||
Institutional Class Shares | ||||||||||
For the | For the | |||||||||
Six Months | Period | |||||||||
Ended | Ended | |||||||||
March 31, 2018 | September 30, | |||||||||
(Unaudited) | 2017* | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 10.60 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income(1) | 0.07 | 0.00 | (2) | |||||||
Net realized and unrealized gain on investments | 0.88 | 0.60 | ||||||||
|
|
|
| |||||||
Total from investment operations | 0.95 | 0.60 | ||||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | (0.16 | ) | — | |||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 11.39 | $ | 10.60 | ||||||
|
|
|
| |||||||
Total investment return(3) | 8.95 | % | 6.00 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (in 000s) | $ | 1,201 | $ | 1,110 | ||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any | 0.00 | %(4) | 0.00 | %(4)(5) | ||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any | 11.22 | %(4) | 10.31 | %(4) | ||||||
Ratio of net investment income to average net assets | 1.32 | %(4) | 0.00 | %(4)(5) | ||||||
Portfolio turnover rate | 63.39 | %(6) | 0.00 | %(6) |
* | 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) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | Amount is less than 0.005%. |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
78
GOTHAM FUNDS
Notes to Financial Statements
March 31, 2018
(Unaudited)
1. Organization and Significant Accounting Policies
The Gotham Index Plus Fund, the Gotham Index Plus All-Cap Fund, the Gotham Enhanced Index Plus Fund (formerly, Gotham Index Core Fund), the Gotham Enhanced S&P 500 Index Fund and the Gotham Master Index Plus Fund (formerly, Gotham Master Long 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 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, except for the Gotham Index Plus Fund offers one class of shares, Institutional Class. The Gotham Index Plus Fund offers two classes of shares, Institutional and Investor Class. The Fund’s commencement of operations are as follows:
Gotham Index Plus Fund (“Index Plus”) | March 31, 2015 | |
Gotham Index Plus All-Cap Fund (“Index Plus All-Cap”) | December 29, 2017 | |
Gotham Enhanced Index Plus Fund (“Enhanced Index Plus”) | September 30, 2016 | |
Gotham Enhanced S&P 500 Index Fund (“Enhanced S&P 500 Index”) | December 30, 2016 | |
Gotham Master Index Plus Fund (“Master Index Plus”) (operates as a “Fund of Funds”) | April 28, 2017 |
All the Funds except for the Enhanced S&P 500 Index and Master Index Plus 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. Enhanced S&P 500 Index 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. Master Index Plus seeks to achieve its investment objective by primarily investing in the other funds advised by Gotham.
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. 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.
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; |
79
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
● Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
● Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
All financial instruments listed in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of a Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Funds to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Funds had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Funds had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the period ended March 31, 2018, 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 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.
80
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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.
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.
As of March 31, 2018, the following Funds had securities sold short, securities pledged as collateral and deposits with brokers for securities sold short:
Value of | Securities | Deposits with | ||||||||||
Securities | Pledged | Brokers for | ||||||||||
Sold Short | as Collateral | Securities Sold Short | ||||||||||
Index Plus | $353,718,163 | $485,896,191 | $46,217,536 | |||||||||
Index Plus All-Cap | 1,614,127 | 3,240,783 | 26,559 | |||||||||
Enhanced Index Plus | 1,186,365 | 2,469,026 | 24,389 |
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 March 31, 2018:
Rebate | ||||
(Income)/Fees | ||||
Index Plus | $(1,333,259) | |||
Index Plus All-Cap | (2,715) | |||
Enhanced Index Plus | (5,020) |
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 March 31, 2018:
Short Sales | Financing | |||||||
Proceeds | Charges | |||||||
Index Plus | $ | 300,247,422 | $ | 2,818,594 | ||||
Index Plus All-Cap | 1,563,613 | 6,599 | ||||||
Enhanced Index Plus | 1,141,293 | 9,730 |
81
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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:
Index Plus | 1.00 | % | ||
Index Plus All-Cap(1) | 1.00 | % | ||
Enhanced Index Plus(2) | 1.00 | % | ||
Enhanced S&P 500 Index | 0.50 | % | ||
Master Index Plus(3) | — | % |
(1) | The Fund commenced operations on December 29, 2017. |
(2) | Prior to March 2, 2018, the investment advisory fee was 0.70%. |
(3) | For Master Index Plus, 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 0.75% of Master Index Plus’ average net assets invested in investments other than an underlying fund. Gotham does not receive an investment advisory fee from the Fund on assets invested in an underlying fund, but does receive an investment advisory fee from each underlying fund as investment adviser to such funds. Master Index Plus does not currently expect to invest in assets other than underlying funds; however, to the extent it does, the Fund will pay an investment advisory fee on such assets. |
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 Master Index Plus 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 March 31, 2018.
Institutional | Investor | Termination | ||||
Class | Class | Date | ||||
Index Plus | 1.15% | 1.40% | January 31, 2020 | |||
Index Plus All-Cap(1) | 1.15% | N/A | January 31, 2021 | |||
Enhanced Index Plus(2) | 1.15% | N/A | January 31, 2020 | |||
Enhanced S&P 500 Index | 0.50% | N/A | January 31, 2020 | |||
Master Index Plus(3) | 0.00% | N/A | January 31, 2020 |
(1) | The Fund commenced operations on December 29, 2017. |
(2) | Prior to March 2, 2018, the Expense Limitation was 0.85%. |
(3) | Per the Expense Limitation agreement for the Fund, the expenses subject to the expense limitation are also exclusive of advisory fees, if any. |
For the period ended March 31, 2018, investment advisory fees accrued and waivers were as follows:
Gross | Waiver/ | Net Advisory Fee | ||||||||||
Advisory Fee | Reimbursements | (Reimbursement) | ||||||||||
Index Plus | $1,374,617 | $(19,571) | $1,355,046 | |||||||||
Index Plus All-Cap | 5,433 | (19,230) | (13,797) | |||||||||
Enhanced Index Plus | 10,327 | (41,024) | (30,697) | |||||||||
Enhanced S&P 500 Index | 7,848 | (29,975) | (22,127) | |||||||||
Master Index Plus | — | (66,963) | (66,963) |
82
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
For all Funds, 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 date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Funds, 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. As of March 31, 2018, the amount of potential reimbursement from the Funds to the Adviser are as follows:
Expiration | Expiration | Expiration | Expiration | |||||||||||||
09/30/2018 | 09/30/2019 | 09/30/2020 | 03/31/2021 | |||||||||||||
Index Plus | $ | 37,317 | $ | 89,405 | $ | 18,635 | $ | 19,571 | ||||||||
Index Plus All-Cap | N/A | N/A | N/A | 19,230 | ||||||||||||
Enhanced Index Plus | N/A | N/A | 73,429 | 41,024 | ||||||||||||
Enhanced S&P 500 Index | N/A | N/A | 56,928 | 29,975 | ||||||||||||
Master Index Plus | N/A | N/A | — | 66,963 |
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian 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 certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent 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. Pershing LLC is a wholly owned subsidiary of the Bank of New York Mellon Corporation.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trust has adopted a distribution plan for Investor Class shares of Index Plus, in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Investor Class shares plan, Index Plus compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25%, on an annualized basis of the Investor Class shares of Index Plus’ average daily net assets.
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 March 31, 2018 was $18,687. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer 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.
83
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
Investment in Affiliated Funds
The following tables list each issuer owned by Master Index Plus 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 March 31, 2018:
Master Index Plus | ||||||||||||||||||||||||||||||||
Net | Change in | |||||||||||||||||||||||||||||||
Realized | Unrealized | Shares | ||||||||||||||||||||||||||||||
Value at | Purchase | Dividend | Sales | Gain/ | Appreciation/ | Value at | Held at | |||||||||||||||||||||||||
Name of Issuer | 9/30/17 | Cost | Income | Proceeds | (Loss) | (Depreciation) | 3/31/18 | 3/31/18 | ||||||||||||||||||||||||
Enhanced S&P 500 Index | $ | 391,640 | $ | 14,144 | $ | 5,368 | $ | (127,482 | ) | $ | 19,940 | $ | 8,951 | $ | 307,193 | 25,263 | ||||||||||||||||
Enhanced Index Plus | — | 324,665 | — | — | — | (17,473) | 307,192 | 23,612 | ||||||||||||||||||||||||
Index Plus All-Cap | — | 324,662 | — | — | — | (20,464) | 304,198 | 30,542 | ||||||||||||||||||||||||
Index Plus | 166,857 | 129,724 | 683 | — | — | 7,399 | 303,980 | 21,377 | ||||||||||||||||||||||||
Defensive Long 500 | 219,516 | 1,499 | 1,499 | (249,584 | ) | 39,817 | (11,248) | — | — | |||||||||||||||||||||||
Enhanced 500 | 165,419 | 10,533 | 281 | (193,648 | ) | 26,915 | (9,219) | — | — | |||||||||||||||||||||||
Enhanced Return | 160,904 | 1,678 | — | (188,858 | ) | 30,980 | (4,704) | — | — |
3. Investment in Securities
For the six months ended March 31, 2018 for all Funds, (except for Index Plus All-Cap) and from the commencement of operations of Index Plus All-Cap on December 29, 2017 through March 31, 2018, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||
Index Plus | $1,018,712,678 | $676,465,833 | ||||||
Index Plus All-Cap | 8,628,256 | 4,643,113 | ||||||
Enhanced Index Plus | 7,150,264 | 6,697,235 | ||||||
Enhanced S&P 500 Index | 3,632,345 | 3,670,746 | ||||||
Master Index Plus | 806,905 | 759,572 |
84
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
4. Capital Share Transactions
For the periods ended March 31, 2018 and September 30, 2017, transactions in capital shares of the Funds (authorized shares unlimited) were as follows:
For the Period Ended | For the Period Ended | |||||||||||||||
March 31, 2018 | September 30, 2017 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Index Plus: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 12,077,582 | $ | 176,475,007 | 12,320,198 | $ | 146,364,160 | ||||||||||
Reinvestments | 59,642 | 849,783 | 27,088 | 315,027 | ||||||||||||
Redemption Fees* | — | 532 | — | 2,944 | ||||||||||||
Redemptions | (768,737 | ) | (11,027,695 | ) | (1,146,409 | ) | (13,878,604 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | 11,368,487 | $ | 166,297,627 | 11,200,877 | $ | 132,803,527 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class Shares:(1) | ||||||||||||||||
Sales | 106,887 | $ | 1,548,637 | — | $ | — | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | 3 | — | — | ||||||||||||
Redemptions | (511 | ) | (7,266 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | 106,376 | $ | 1,541,374 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Index Plus All-Cap:(2) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 230,542 | $ | 2,324,661 | — | $ | — | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 230,542 | $ | 2,324,661 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Enhanced Index Plus:(3) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 23,612 | $ | 324,666 | 2,238 | $ | 25,000 | ||||||||||
Reinvestments | 3,831 | 49,413 | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (2,281 | ) | (29,077 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 25,162 | $ | 345,002 | 2,238 | $ | 25,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Enhanced S&P 500 Index:(4) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 4,626 | $ | 60,000 | 254,107 | $ | 2,581,173 | ||||||||||
Reinvestments | 8,870 | 105,813 | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (9,892 | ) | (127,502 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 3,604 | $ | 38,311 | 254,107 | $ | 2,581,173 | ||||||||||
|
|
|
|
|
|
|
|
85
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
For the Period Ended | For the Period Ended | |||||||||||||||||||
March 31, 2018 | September 30, 2017 | |||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||
Master Index Plus:(5) | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | — | $ | — | 104,657 | $ | 1,046,575 | ||||||||||||||
Reinvestments | 729 | 8,311 | — | — | ||||||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||||||
Redemptions | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 729 | $ | 8,311 | 104,657 | $ | 1,046,575 | ||||||||||||||
|
|
|
|
|
|
|
|
* | 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) | Investor Class shares of Index Plus commenced operations on January 2, 2018. |
(2) | The Fund commenced operations on December 29, 2017. |
(3) | Commencement of operations September 30, 2016. |
(4) | Commencement of operations December 30, 2016. |
(5) | Commencement of operations April 28, 2017. |
As of March 31, 2018, the following Funds had shareholders that held 10% or more of the outstanding shares of the Fund:
Index Plus All-Cap | ||||
Affiliated Shareholders | 87 | % | ||
Affiliated Fund | 13 | % | ||
Enhanced Index Plus | ||||
Affiliated Shareholders | 45 | % | ||
Affiliated Fund | 10 | % | ||
Enhanced S&P 500 Index | ||||
Affiliated Shareholders | 40 | % | ||
Affiliated Fund | 10 | % | ||
Master Index Plus | ||||
Affiliated Shareholders | 50 | % |
5. Securities Lending
All Funds 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 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
86
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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 March 31, 2018, the Funds listed below each had securities lending programs. The market value of securities on loan and cash collateral received as of March 31, 2018 and the income generated from the programs during the period ended March 31, 2018, 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 | |||||||||||
Index Plus | $ | 62,960,797 | $63,581,004 | $ | — | $162 | ||||||||
Enhanced Index Plus | 155,101 | 56,503 | 100,014 | 211 |
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 March 31, 2018:
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** | |||||||||||||||||||
Index Plus | $62,960,797 | $— | $62,960,797 | $— | $(62,960,797) | $— | ||||||||||||||||||
Enhanced Index Plus | 155,101 | — | 155,101 | — | (155,101) | — |
* | 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.
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 | ||||||||||
Index Plus | $316,257 | $— | $— |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
87
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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 | |||||||||||||||||||
Index Plus | $ | (39,132) | $ | 574,523 | $ | — | $ | 24,930,036 | $ | (694,657) | $ | — | ||||||||||||
Enhanced Index Plus | — | 49,413 | — | 388,445 | — | — | ||||||||||||||||||
Enhanced S&P 500 Index | — | 104,038 | — | 253,752 | — | — | ||||||||||||||||||
Master Index Plus | — | — | — | 63,007 | — | — |
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 March 31, 2018, 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) | |||||||||||||
Index Plus | $ | 350,077,668 | $ | 49,935,823 | $ | (22,485,952 | ) | $27,449,871 | ||||||||
Index Plus All-Cap | 2,285,405 | 212,188 | (217,033 | ) | (4,845 | ) | ||||||||||
Enhanced Index Plus | 2,722,605 | 313,995 | (106,710 | ) | 207,285 | |||||||||||
Enhanced S&P 500 Index | 2,908,107 | 285,106 | (44,318 | ) | 240,788 | |||||||||||
Master Index Plus | 1,206,314 | 54,185 | (37,936 | ) | 16,249 |
* | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report. |
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 | Short-Term Capital | Long-Term Capital | ||||||||||
Losses Deferral | Loss Deferral | Loss Deferral | ||||||||||
Index Plus | $— | $8,838,761 | $8,144,104 |
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 | ||||
Index Plus | $39,132 |
88
GOTHAM FUNDS
Notes to Financial Statements (Concluded)
March 31, 2018
(Unaudited)
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.
89
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
Gotham Index Plus All-Cap Fund
At a meeting held on December 6-7, 2017 (the “December 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 the new investment advisory agreement between Gotham Asset Management, LLC (“Gotham” or the “Adviser”) and the Trust (the “Agreement”) on behalf of Gotham Index Plus All-Cap Fund (the “Fund”). At the December Meeting, the Board considered the continuation of the Agreement with respect to the Fund for an additional one year period.
In determining whether to approve the Agreement, the Trustees considered information provided by the Adviser in accordance with Section 15(c) of the 1940 Act regarding: (i) services to be provided for the Fund, (ii) the size and qualifications of Gotham’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 Gotham, (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 Gotham’s ability to service the Fund, and (x) compliance with federal securities laws and other regulatory requirements.
Representatives from Gotham attended the December 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 that the proposed strategy for the Fund was new, and therefore did not have historical performance. However, they noted that they have received performance information for another series of the Trust advised by Gotham, the Gotham Index Plus Fund, which is managed in a manner similar to that proposed for the Fund.
Fees. The Trustees also noted that the representatives of Gotham had provided information regarding its proposed advisory fee and an analysis of the fee in relation to the services proposed to be provided to the Fund and any other ancillary benefit resulting from Gotham’s relationship with the Fund. The Trustees reviewed information regarding the fees Gotham charges to the other funds advised by Gotham (“Gotham Funds”) that use a similar investment process and information regarding the fees and expenses of other mutual funds in Lipper Alt Long/Short Equity classification. The Trustees discussed the limitations of the comparative expense information, given the potential varying nature, extent and quality of the services provided by advisers to other portfolios included in the Fund’s Lipper category.
The Trustees evaluated explanations provided by Gotham as to differences in fees proposed to be charged to the Fund on the one hand, and fees charged to other similarly managed accounts or funds on the other. They evaluated explanations provided by
90
GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
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 also considered that the proposed contractual advisory fee of the Fund of 1.00% is in line with the contractual advisory fees for other existing Gotham Funds using a similar investment process. The Trustees concluded that the advisory fees 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 Fund as measured by the information provided by Gotham.
Experience and Qualifications of Adviser. The Trustees then considered the level and depth of knowledge of Gotham, including the professional experience and qualifications of senior personnel. In evaluating the quality of services to be provided by Gotham, the Board took into account its familiarity with Gotham’s personnel through Board meetings, discussions and reports during the preceding year. The Board also took into account Gotham’s compliance policies and procedures and reports from the Trust’s Chief Compliance Officer. The Board considered any potential conflicts of interest that may arise in a portfolio manager’s management of the Fund’s investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services proposed to be provided to the Fund by Gotham 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 proposed services appeared to be consistent with industry norms and that the Fund is likely to benefit from the provision of those services. They also concluded that Gotham has sufficient personnel, with the appropriate education and experience, to serve the Fund effectively and had demonstrated their ability to attract and retain qualified personnel. The Trustees also considered the costs of the services to be provided by Gotham, the compensation and benefits to be received by Gotham in providing services to the Fund, as well as Gotham’s profitability. 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 Fund. Based on the information provided, the Trustees concluded that Gotham’s advisory fee levels were reasonable in relation to the nature and quality of the services 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 these economies of scale for the benefit of shareholders. The Board noted that economies of scale may be achieved at higher asset levels for the Fund for the benefit of shareholders, but the fee structure of the Fund did not currently include breakpoint reductions as asset levels increase.
The Trustees determined to approve the Agreement with regard to the Fund for an initial two-year term. In voting to approve the Agreement, 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 approval of the Agreement would be in the best interests of the Fund and its shareholders.
Gotham Enhanced Index Plus Fund
At a special meeting held on February 14, 2018 (the “February 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 the increase in investment advisory fee payable by the Gotham Enhanced Index Plus Fund (formerly the Gotham Index Core Fund, the “Fund”) to Gotham Asset Management, LLC (“Gotham” or the “Adviser”) from 0.70% to 1.00% of the average daily net assets of the Fund and a corresponding increase to the expense limitation currently in place for the Fund from 0.85% to 1.15% (the “Advisory Fee Increase”).
In determining whether to approve the Advisory Fee Increase, 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 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 Gotham’s ability to service the Fund, and (x) compliance with federal securities laws and other regulatory requirements.
91
GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
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 Fund; compliance with the investment objectives, policies, strategies and limitations for the Fund; the compliance of management personnel with the applicable code of ethics; and the adherence to the Trust’s pricing procedures as established by the Board.
Representatives from Gotham attended the February Meeting via teleconference. The representatives discussed Gotham’s history and performance. In addition, the representatives answered questions from the Board regarding the Fund’s new strategy and the incremental costs associated with the Fund’s new strategy in connection with the Advisory Fee Increase.
Performance. The Trustees considered that the proposed strategy for the Fund was new, and therefore did not have historical performance. However, they noted that they have received performance information for other series of the Trust advised by Gotham, the Gotham Index Plus Fund and the Gotham Enhanced S&P 500 Fund, which are managed in a manner similar to that proposed for the Fund.
Fees. The Trustees noted that they reviewed information regarding the fees Gotham charges to the other funds advised by Gotham (“Gotham Funds”), including a comparison to such Gotham Funds’ respective Lipper peer groups at the December 6-7, 2017 Board meeting (the “December Meeting”). The Trustees noted that the contractual advisory fee of the Fund was greater than the median contractual advisory fee of the funds in the Lipper Large Cap Core Equity peer group but lower than the median contractual advisory fee for funds with less than $250 million in assets in the Lipper Alternative Long/Short Equity peer group, based on information provided to the Board at the December Meeting. The Trustees also discussed the limitations of the comparative expense information, given the potential varying nature, extent and quality of the services provided by advisers to other portfolios included in the Funds’ respective Lipper categories.
The Trustees also evaluated explanations provided by Gotham as to differences in fees proposed to be charged to the Fund on the one hand, and fees charged to other similarly managed accounts or funds, on the other. 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 proposed advisory fee and services proposed to be provided by Gotham are sufficiently consistent with those of other advisers that manage mutual funds with investment objectives, strategies and policies similar to those of the Fund as measured by the information provided by Gotham, based on information provided at the December Meeting.
Experience and Qualifications of Adviser. The Trustees then considered the level and depth of knowledge of Gotham, including the professional experience and qualifications of the Fund’s portfolio managers and senior personnel. In evaluating the quality of services provided by Gotham, 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 a portfolio manager’s management of the Fund’s investments on the one hand, and the investments of other accounts, on the other. The Trustees reviewed the services provided to the Fund by Gotham and concluded that the nature, extent and quality of the services provided were appropriate and consistent with the terms of the Agreement, that the quality of the services appeared to be consistent with industry norms and that the Fund is likely to benefit from the continued receipt of those services. They also concluded that Gotham 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.
Cost. The Trustees also considered the costs of the services to be provided by Gotham, the compensation and benefits to be received by Gotham in providing services to the Fund, as well as Gotham’s profitability. 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 Fund. Based on the information provided, the Trustees concluded that Gotham’s advisory fee levels, including the Advisory Fee Increase, were reasonable in relation to the nature and quality of the services 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, including the Advisory Fee Increase, reflect these economies of scale for the benefit of shareholders. The Board noted that economies of scale may be achieved at higher asset levels for the Fund for the benefit of shareholders, but the fee structure of the Fund did not currently include breakpoint reductions as asset levels increase.
92
GOTHAM FUNDS
Other Information (Concluded)
(Unaudited)
The Trustees determined to approve the Advisory Fee Increase with regard to the Fund. In voting to approve the Advisory Fee Increase, 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 approval of the Advisory Fee Increase would be in the best interests of the Fund and its shareholders.
93
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.
94
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Investment Adviser
Gotham Asset Management, LLC
535 Madison Avenue, 30th Floor
New York, NY 10022
Administrator
The Bank of New York Mellon
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
GOTII-0318
GOTHAM FUNDS
of
FundVantage Trust
Gotham Absolute 500 Fund
Gotham Absolute 500 Core Fund
Gotham Enhanced 500 Fund
Gotham Enhanced 500 Core Fund
Gotham Neutral 500 Fund
Gotham Hedged Plus Fund
Gotham Hedged Core Fund
Gotham Defensive Long Fund
Gotham Defensive Long 500 Fund
Gotham Short Strategies Fund
Gotham Institutional Value Fund
Gotham Total Return Fund
Gotham Master Neutral Fund
SEMI-ANNUAL REPORT
March 31, 2018
(Unaudited)
This report is submitted for the general information of the shareholders of the Gotham Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Gotham Funds.
GOTHAM FUNDS
Important Information
The performance data quoted in this report represents past performance and does not guarantee future results. The investment return and principal value of an investment in a Gotham Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
Each Gotham Fund covered by this report (each a, “Fund”) compares its performance to an unmanaged index. An index does not reflect operational and transactional costs which apply to a mutual fund. It is not possible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. Each Fund except Gotham Institutional Value Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Each Fund except Gotham Institutional Value Fund will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. Gotham Total Return Fund will primarily engage in short sales and leverage through its investments in underlying funds. Gotham Short Strategies Fund will seek to gain exposure to short positions through the use of derivative instruments such as a total return swap agreement. A swap agreement can be a form of leverage, which can magnify gains or losses. The securities issued by small-cap and mid-cap companies tend to be more volatile and less liquid than those of large-cap issuers. Each Fund may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs to a Fund. There can be no guarantee that a Fund will achieve its objectives.
A prospective investor should consider the investment objectives, risks, charges and expenses of a Fund carefully before investing. The prospectus and summary prospectus contains this and other information about the Funds, and should be read carefully before investing. A copy of the prospectus or summary prospectus is available at www.GothamFunds.com or by calling 877-974-6852.
1
GOTHAM FUNDS
Gotham Absolute 500 Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018
|
| |||||||||||||||||||
Six Months* | 1 Year | 3 Year | Since Inception | |||||||||||||||||
Institutional Class Shares | 7.26% | 11.32% | 7.26% | 7.53%** | ||||||||||||||||
HFRX Equity Hedge Index
|
| 3.93%
|
|
| 8.35%
|
|
| 2.10%
|
|
| 2.80%***
|
|
* | Not Annualized. |
** | The Gotham Absolute 500 Fund (the “Fund”) commenced operations on July 31, 2014. |
*** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 3.78% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 3.20% 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, 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 Hedge Fund Research Inc. Equity Hedge Index (“HFRX”). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the of the HFRX report net of all fees returns.
2
GOTHAM FUNDS
Gotham Absolute 500 Core Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018
|
| |||||||||||||||
Six Months* | 1 Year | Since Inception | ||||||||||||||
Institutional Class Shares | 6.21% | 10.35 | % | 12.21%** | ||||||||||||
HFRX Equity Hedge Index | 3.93% | 8.35 | % | 7.95%*** |
* | Not Annualized. |
** | 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 5.33% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 2.15% 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. Equity Hedge Index (“HFRX”). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
3
GOTHAM FUNDS
Gotham Enhanced 500 Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018
|
| |||||||||||||||||||||
Six Months* | 1 Year | 3 Year | Since Inception | |||||||||||||||||||
Institutional Class Shares | 10.28% | 17.09% | 11.12% | 9.89%** | ||||||||||||||||||
S&P 500® Total Return Index
|
| 5.84%
|
|
| 13.99%
|
|
| 10.78%
|
|
| 10.23%***
|
|
* | Not Annualized. |
** | 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 4.18% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 3.83% 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, 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. Its returns reflect reinvested dividends.
4
GOTHAM FUNDS
Gotham Enhanced 500 Core Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018
|
| |||||||||||||||
Six Months* | 1 Year | Since Inception | ||||||||||||||
Institutional Class Shares | 8.72% | 15.75% | 18.49%** | |||||||||||||
S&P 500® Total Return Index | 5.84% | 13.99% | 16.37%*** |
* | Not Annualized. |
** | 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 5.28% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 2.21% 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 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.
5
GOTHAM FUNDS
Gotham Neutral 500 Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018
| ||||||||||||||||
Six | Since | |||||||||||||||
Months* | 1 Year | Inception | ||||||||||||||
Institutional Class Shares | 5.36% | 7.25% | 8.80%** | |||||||||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
|
| 0.64%
|
|
| 1.11%
|
|
| 0.86%***
|
|
* | Not Annualized. |
** | 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 6.02% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 3.24% 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, 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”). 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.
6
GOTHAM FUNDS
Gotham Hedged Plus Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018
| ||||||||||||||||
Six Months* | 1 Year | Since Inception | ||||||||||||||
Institutional Class Shares | 7.76% | 11.87 | % | 11.77%** | ||||||||||||
HFRX Equity Hedge Index | 3.93% | 8.35 | % | 7.12%*** |
* | Not Annualized. |
** | 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 8.46% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 3.10% 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. Equity Hedge Index (“HFRX”). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
7
GOTHAM FUNDS
Gotham Hedged Core Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018
| ||||||||||||||||
Six Months* | 1 Year | Since Inception | ||||||||||||||
Institutional Class Shares | 5.68% | 10.76 | % | 12.83%** | ||||||||||||
HFRX Equity Hedge Index | 3.93% | 8.35 | % | 7.95%*** |
* | Not Annualized. |
** | 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 4.91% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.40% 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 0.85% (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. Equity Hedge Index (“HFRX”). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
8
GOTHAM FUNDS
Gotham Defensive Long Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018
| ||||||||||||||||
Six Months* | 1 Year | Since Inception | ||||||||||||||
Institutional Class Shares | 6.17% | 7.35 | % | 10.03%** | ||||||||||||
S&P 500® Total Return Index | 5.84% | 13.99 | % | 16.37%*** |
* | Not Annualized. |
** | 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 8.27% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 3.62% 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 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.
9
GOTHAM FUNDS
Gotham Defensive Long 500 Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018
| ||||||||||||||||
Six Months* | 1 Year | Since Inception | ||||||||||||||
Institutional Class Shares | 8.11% | 14.05 | % | 17.04%** | ||||||||||||
S&P 500® Total Return Index | 5.84% | 13.99 | % | 16.37%*** |
* | Not Annualized. |
** | 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 5.01% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 3.80% 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, 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.
10
GOTHAM FUNDS
Gotham Short Strategies Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018
| ||||||||||||||||||||||
Six Months* | 1 year | 3 Year | 5 Year | 10 Year | ||||||||||||||||||
Institutional Class Shares** | -0.05% | -5.05% | 0.42% | -2.70% | 0.45% | |||||||||||||||||
50% Inverse of the S&P 500®
| -3.72% | -7.78% | -5.69% | -7.20% | -5.90% |
* | Not Annualized. |
** | 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 Investment Company Act of 1940, as amended (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 Internal Revenue Code of 1986, as amended, 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 3.06% 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.
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.
11
GOTHAM FUNDS
Gotham Institutional Value Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018
|
| |||||||||||||
Six Months* | 1 Year | Since Inception | ||||||||||||
Institutional Class Shares | 7.97% | 14.79 | % | 15.28%** | ||||||||||
S&P 500® Total Return Index
| 5.84% | 13.99 | % | 14.41%*** |
* | Not Annualized. |
** | 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 4.40% 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, 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. Its returns reflect reinvested dividends.
12
GOTHAM FUNDS
Gotham Total Return Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2018
| ||||||||||||||||||||
Six Months* | 1 Year | 3 years | Since Inception | |||||||||||||||||
Institutional Class Shares | 7.95% | 12.81 | % | 8.55% | 8.55%** | |||||||||||||||
Investor Class Shares | N/A | N/A | N/A | -1.03%*,** | ||||||||||||||||
HFRX Equity Hedge Index | 3.93% | 8.35 | % | 2.10% | 2.10%*** |
* | Not Annualized. |
** | Institutional Class shares and Investor Class shares of the Gotham Total Return Fund (the “Fund”) commenced operations on March 31, 2015 and January 2, 2018, respectively. |
*** | Benchmark performance is from inception date of the Fund’s Institutional Class shares only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class and Investor Class to the value of the shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 4.25% and 3.51%, 4.50% and 3.76%, respectively, for the Institutional Class shares and Investor Class shares, respectively, 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% with respect to Institutional Class shares (on an annual basis) and 0.25% with respect to Investor Class shares (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 recoupment of fees waived or expenses reimbursed are limited to the lesser of (a) the Expense Limitation in effect at the time fees were waived or expenses were reimbursed, and (b) the Expense Limitation in effect at the time of recoupment.
The Fund intends to evaluate performance as compared to that of the Hedge Fund Research Inc. Equity Hedge Index (“HFRX”). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
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 also is subject to the risks of the underlying funds, which may include any or all of the risks described in Important Information.
13
GOTHAM FUNDS
Gotham Master Neutral Fund
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Total Returns for the Periods Ended March 31, 2018 | ||||||||
Six Months* | Since Inception* | |||||||
Institutional Class Shares | 3.39% | 4.22%** | ||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.64% | 1.04%*** |
* | 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. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2018, the “Total Annual Fund Operating Expenses” are 5.84% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursement” are 1.55% 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, 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”). 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.
14
GOTHAM FUNDS
Fund Expense Disclosure
March 31, 2018
(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 October 1, 2017, and held for the entire period through March 31, 2018.
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.
Beginning Account Value October 1, 2017 | Ending Account Value March 31, 2018 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||
Gotham Absolute 500 Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,072.60 | 2.88 | % | $ | 14.90 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,010.56 | 2.88 | % | 14.45 | |||||||||||||||
Gotham Absolute 500 Core Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,062.10 | 1.98 | % | $ | 10.16 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.08 | 1.98 | % | 9.93 | |||||||||||||||
Gotham Enhanced 500 Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,102.80 | 3.65 | % | $ | 19.16 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,006.71 | 3.65 | % | 18.28 |
15
GOTHAM FUNDS
Fund Expense Disclosure (Continued)
March 31, 2018
(Unaudited)
Beginning Account Value October 1, 2017 | Ending Account Value March 31, 2018 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||||
Gotham Enhanced 500 Core Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,087.20 | 2.12 | % | $ | 11.03 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,014.36 | 2.12 | % | 10.65 | |||||||||||||||||
Gotham Neutral 500 Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,053.60 | 2.60 | % | $ | 13.32 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,011.96 | 2.60 | % | 13.05 | |||||||||||||||||
Gotham Hedged Plus Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,077.60 | 2.81 | % | $ | 14.54 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,010.93 | 2.81 | % | 14.08 | |||||||||||||||||
Gotham Hedged Core Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,056.80 | 1.22 | % | $ | 6.26 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.84 | 1.22 | % | 6.14 | |||||||||||||||||
Gotham Defensive Long Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,061.70 | 3.72 | % | $ | 19.10 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,006.41 | 3.72 | % | 18.58 | |||||||||||||||||
Gotham Defensive Long 500 Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,081.10 | 3.50 | % | $ | 18.13 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,007.50 | 3.50 | % | 17.49 | |||||||||||||||||
Gotham Short Strategies Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 999.50 | 1.35 | % | $ | 6.74 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.19 | 1.35 | % | 6.81 | |||||||||||||||||
Gotham Institutional Value Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,079.70 | 0.95 | % | $ | 4.93 | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.20 | 0.95 | % | 4.78 |
16
GOTHAM FUNDS
Fund Expense Disclosure (Concluded)
March 31, 2018
(Unaudited)
Beginning Account Value October 1, 2017 | Ending Account Value March 31, 2018 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||
Gotham Total Return Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,079.50 | 0.00 | % | $ | — | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.93 | 0.00 | % | — | |||||||||||||||
Investor Class*** | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 989.70 | 0.25 | % | $ | 0.59 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.70 | 0.25 | % | 1.25 | |||||||||||||||
Gotham Master Neutral Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.90 | 0.38 | % | $ | 1.94 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.03 | 0.38 | % | 1.93 |
* | 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 March 31, 2018, multiplied by the average account value over the period, multiplied by the number of days in the most recent period, then divided by 365 to reflect the period. Hypothetical expenses are equal to the Fund’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, then divided by 365 to reflect the period. |
*** | Investor Class commenced operations on January 2, 2018. Expenses are equal to the Class’ annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the expense-accrual period of January 2, 2018 to March 31, 2018, multiplied by the average account value over the period, multiplied by the number of days in the most recent expense-accrual period, then divided by 365 to reflect the period. Hypothetical expenses are as if the Investor Class shares have been in existence since October 1, 2017, and are equal to the Investor 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, then divided by 365 to reflect the period. |
17
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
Gotham Absolute 500 Fund
% of Net Assets | Value | |||||||
LONG POSITIONS: | ||||||||
Common Stocks: | ||||||||
Capital Goods | 18.2 | % | $ | 2,561,403 | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 17.3 | 2,432,714 | ||||||
Food, Beverage & Tobacco | 7.6 | 1,073,030 | ||||||
Energy | 7.5 | 1,054,611 | ||||||
Technology Hardware & Equipment | 7.1 | 998,551 | ||||||
Health Care Equipment & Services | 7.0 | 987,715 | ||||||
Diversified Financials | 6.9 | 976,247 | ||||||
Materials | 6.9 | 975,164 | ||||||
Retailing | 6.3 | 884,244 | ||||||
Software & Services | 6.2 | 869,817 | ||||||
Semiconductors & Semiconductor Equipment | 4.6 | 643,808 | ||||||
Household & Personal Products | 4.4 | 627,204 | ||||||
Consumer Services | 4.4 | 624,939 | ||||||
Media | 4.3 | 605,316 | ||||||
Insurance | 4.0 | 560,862 | ||||||
Food & Staples Retailing | 3.9 | 553,396 | ||||||
Utilities | 2.6 | 361,862 | ||||||
Consumer Durables & Apparel | 2.1 | 291,767 | ||||||
Telecommunication Services | 1.9 | 263,153 | ||||||
Real Estate | 1.7 | 236,104 | ||||||
Transportation | 1.5 | 215,185 | ||||||
Automobiles & Components | 1.5 | 208,022 | ||||||
Commercial & Professional Services | 0.6 | 83,404 | ||||||
Exchange Traded Funds | 6.4 | 896,552 | ||||||
|
|
|
| |||||
Total Long Positions | 134.9 | 18,985,070 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.3 | )% | $ | (38,545 | ) | |||
Household & Personal Products | (0.5 | ) | (67,774 | ) | ||||
Commercial & Professional Services | (0.6 | ) | (84,745 | ) | ||||
Automobiles & Components | (0.8 | ) | (119,931 | ) | ||||
Technology Hardware & Equipment | (1.0 | ) | (136,591 | ) | ||||
Food & Staples Retailing | (1.0 | ) | (147,918 | ) | ||||
Capital Goods | (1.4 | ) | (198,047 | ) | ||||
Consumer Durables & Apparel | (2.2 | ) | (313,084 | ) | ||||
Insurance | (2.4 | ) | (335,349 | ) | ||||
Diversified Financials | (2.6 | ) | (366,329 | ) | ||||
Consumer Services | (2.9 | ) | (405,119 | ) | ||||
Food, Beverage & Tobacco | (3.0 | ) | (428,529 | ) | ||||
Semiconductors & Semiconductor Equipment | (3.2 | ) | (444,296 | ) | ||||
Utilities | (3.3 | ) | (468,113 | ) | ||||
Materials | (3.6 | ) | (512,898 | ) | ||||
Media | (3.9 | ) | (547,646 | ) | ||||
Banks | (3.9 | ) | (548,991 | ) | ||||
Transportation | (4.0 | ) | (558,703 | ) | ||||
Retailing | (4.1 | ) | (571,085 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (4.8 | ) | (669,372 | ) | ||||
Energy | (5.4 | ) | (766,832 | ) | ||||
Real Estate | (6.1 | ) | (861,268 | ) | ||||
Health Care Equipment & Services | (6.4 | ) | (901,479 | ) | ||||
Software & Services | (7.4 | ) | (1,035,453 | ) | ||||
|
|
|
| |||||
Total Short Positions | (74.8 | ) | (10,528,097 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 39.9 | 5,620,962 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 14,077,935 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
18
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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: | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 15.4 | % | $ | 366,196 | ||||
Capital Goods | 15.0 | 357,275 | ||||||
Food, Beverage & Tobacco | 7.8 | 184,010 | ||||||
Health Care Equipment & Services | 6.3 | 149,866 | ||||||
Energy | 6.3 | 149,428 | ||||||
Technology Hardware & Equipment | 6.3 | 148,577 | ||||||
Diversified Financials | 6.0 | 141,401 | ||||||
Materials | 5.8 | 138,059 | ||||||
Retailing | 5.6 | 132,511 | ||||||
Software & Services | 5.4 | 127,949 | ||||||
Household & Personal Products | 4.3 | 101,962 | ||||||
Insurance | 3.8 | 90,369 | ||||||
Consumer Services | 3.7 | 87,850 | ||||||
Media | 3.6 | 85,645 | ||||||
Food & Staples Retailing | 3.5 | 83,645 | ||||||
Semiconductors & Semiconductor Equipment | 3.3 | 79,083 | ||||||
Utilities | 2.0 | 47,584 | ||||||
Consumer Durables & Apparel | 1.7 | 40,584 | ||||||
Telecommunication Services | 1.7 | 40,503 | ||||||
Real Estate | 1.7 | 40,241 | ||||||
Automobiles & Components | 1.3 | 31,584 | ||||||
Transportation | 0.9 | 22,211 | ||||||
Commercial & Professional Services | 0.3 | 6,762 | ||||||
|
|
|
| |||||
Total Long Positions | 111.7 | 2,653,295 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.2 | )% | $ | (4,436 | ) | |||
Household & Personal Products | (0.3 | ) | (7,852 | ) | ||||
Commercial & Professional Services | (0.4 | ) | (9,822 | ) | ||||
Automobiles & Components | (0.5 | ) | (12,925 | ) | ||||
Food & Staples Retailing | (0.7 | ) | (16,770 | ) | ||||
Technology Hardware & Equipment | (0.8 | ) | (18,189 | ) | ||||
Capital Goods | (1.0 | ) | (22,885 | ) | ||||
Consumer Durables & Apparel | (1.5 | ) | (35,968 | ) | ||||
Insurance | (1.7 | ) | (41,081 | ) | ||||
Diversified Financials | (2.0 | ) | (46,740 | ) | ||||
Semiconductors & Semiconductor Equipment | (2.1 | ) | (49,881 | ) | ||||
Food, Beverage & Tobacco | (2.1 | ) | (49,887 | ) | ||||
Consumer Services | (2.2 | ) | (51,333 | ) | ||||
Utilities | (2.2 | ) | (52,016 | ) | ||||
Materials | (2.4 | ) | (56,130 | ) | ||||
Transportation | (2.7 | ) | (63,618 | ) | ||||
Media | (2.7 | ) | (65,102 | ) | ||||
Banks | (2.9 | ) | (68,424 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (3.0 | ) | (70,498 | ) | ||||
Retailing | (3.0 | ) | (72,393 | ) | ||||
Energy | (3.5 | ) | (83,384 | ) | ||||
Real Estate | (4.1 | ) | (96,728 | ) | ||||
Health Care Equipment & Services | (4.3 | ) | (102,654 | ) | ||||
Software & Services | (4.8 | ) | (114,099 | ) | ||||
|
|
|
| |||||
Total Short Positions | (51.1 | ) | (1,212,815 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 39.4 | 935,710 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,376,190 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
19
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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: | ||||||||
Capital Goods | 26.6 | % | $ | 7,648,864 | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 25.5 | 7,344,378 | ||||||
Technology Hardware & Equipment | 10.8 | 3,110,976 | ||||||
Diversified Financials | 10.7 | 3,091,160 | ||||||
Food, Beverage & Tobacco | 10.6 | 3,046,683 | ||||||
Energy | 10.2 | 2,944,846 | ||||||
Health Care Equipment & Services | 9.9 | 2,844,657 | ||||||
Materials | 9.7 | 2,783,391 | ||||||
Software & Services | 8.7 | 2,495,330 | ||||||
Retailing | 8.1 | 2,342,957 | ||||||
Semiconductors & Semiconductor Equipment | 7.1 | 2,047,995 | ||||||
Consumer Services | 6.2 | 1,789,933 | ||||||
Media | 6.2 | 1,788,318 | ||||||
Food & Staples Retailing | 6.1 | 1,755,765 | ||||||
Household & Personal Products | 6.0 | 1,717,682 | ||||||
Insurance | 5.8 | 1,664,167 | ||||||
Utilities | 2.8 | 815,058 | ||||||
Telecommunication Services | 2.8 | 804,332 | ||||||
Consumer Durables & Apparel | 2.8 | 799,160 | ||||||
Transportation | 2.6 | 752,036 | ||||||
Automobiles & Components | 2.4 | 688,105 | ||||||
Real Estate | 2.2 | 628,904 | ||||||
Commercial & Professional Services | 0.7 | 208,022 | ||||||
|
|
|
| |||||
Total Long Positions | 184.5 | 53,112,719 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.3 | )% | $ | (90,874 | ) | |||
Technology Hardware & Equipment | (0.4 | ) | (123,731 | ) | ||||
Household & Personal Products | (0.6 | ) | (167,707 | ) | ||||
Automobiles & Components | (0.9 | ) | (265,011 | ) | ||||
Commercial & Professional Services | (1.0 | ) | (281,036 | ) | ||||
Food & Staples Retailing | (1.4 | ) | (394,007 | ) | ||||
Capital Goods | (1.9 | ) | (543,929 | ) | ||||
Consumer Durables & Apparel | (2.7 | ) | (779,741 | ) | ||||
Diversified Financials | (3.1 | ) | (903,161 | ) | ||||
Consumer Services | (3.2 | ) | (919,172 | ) | ||||
Insurance | (3.3 | ) | (947,277 | ) | ||||
Semiconductors & Semiconductor Equipment | (3.4 | ) | (980,215 | ) | ||||
Media | (3.7 | ) | (1,074,862 | ) | ||||
Food, Beverage & Tobacco | (3.8 | ) | (1,087,685 | ) | ||||
Utilities | (3.8 | ) | (1,092,722 | ) | ||||
Materials | (4.1 | ) | (1,186,573 | ) | ||||
Retailing | (4.7 | ) | (1,336,614 | ) | ||||
Transportation | (4.7 | ) | (1,360,544 | ) | ||||
Banks | (4.8 | ) | (1,382,512 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (5.6 | ) | (1,602,871 | ) | ||||
Energy | (6.3 | ) | (1,800,057 | ) | ||||
Health Care Equipment & Services | (6.7 | ) | (1,934,096 | ) | ||||
Real Estate | (7.4 | ) | (2,127,747 | ) | ||||
Software & Services | (8.4 | ) | (2,426,254 | ) | ||||
|
|
|
| |||||
Total Short Positions | (86.2 | ) | (24,808,398 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 1.7 | 476,360 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 28,780,681 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
20
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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: | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 19.8 | % | $ | 516,044 | ||||
Capital Goods | 19.2 | 500,911 | ||||||
Food, Beverage & Tobacco | 9.2 | 240,919 | ||||||
Technology Hardware & Equipment | 8.4 | 219,498 | ||||||
Diversified Financials | 8.0 | 209,852 | ||||||
Energy | 7.7 | 202,117 | ||||||
Health Care Equipment & Services | 7.6 | 198,222 | ||||||
Materials | 7.3 | 191,181 | ||||||
Retailing | 7.1 | 185,169 | ||||||
Software & Services | 6.7 | 175,490 | ||||||
Household & Personal Products | 4.9 | 128,248 | ||||||
Food & Staples Retailing | 4.7 | 122,675 | ||||||
Insurance | 4.7 | 122,491 | ||||||
Semiconductors & Semiconductor Equipment | 4.6 | 120,520 | ||||||
Media | 4.6 | 119,232 | ||||||
Consumer Services | 4.3 | 111,097 | ||||||
Telecommunication Services | 2.2 | 56,236 | ||||||
Consumer Durables & Apparel | 2.1 | 54,773 | ||||||
Automobiles & Components | 1.7 | 45,280 | ||||||
Real Estate | 1.6 | 42,782 | ||||||
Transportation | 1.4 | 36,611 | ||||||
Utilities | 1.1 | 29,084 | ||||||
Commercial & Professional Services | 0.3 | 8,899 | ||||||
|
|
|
| |||||
Total Long Positions | 139.2 | 3,637,331 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.1 | )% | $ | (3,845 | ) | |||
Household & Personal Products | (0.3 | ) | (7,230 | ) | ||||
Commercial & Professional Services | (0.3 | ) | (8,549 | ) | ||||
Automobiles & Components | (0.4 | ) | (11,195 | ) | ||||
Technology Hardware & Equipment | (0.6 | ) | (15,614 | ) | ||||
Food & Staples Retailing | (0.6 | ) | (15,828 | ) | ||||
Capital Goods | (0.8 | ) | (22,198 | ) | ||||
Consumer Durables & Apparel | (1.3 | ) | (33,179 | ) | ||||
Semiconductors & Semiconductor Equipment | (1.5 | ) | (38,323 | ) | ||||
Diversified Financials | (1.5 | ) | (38,834 | ) | ||||
Insurance | (1.6 | ) | (42,057 | ) | ||||
Utilities | (1.6 | ) | (42,082 | ) | ||||
Food, Beverage & Tobacco | (1.7 | ) | (45,566 | ) | ||||
Consumer Services | (1.7 | ) | (45,823 | ) | ||||
Media | (1.8 | ) | (46,426 | ) | ||||
Materials | (1.9 | ) | (50,503 | ) | ||||
Transportation | (2.2 | ) | (56,628 | ) | ||||
Retailing | (2.2 | ) | (57,806 | ) | ||||
Banks | (2.3 | ) | (60,187 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (2.4 | ) | (62,004 | ) | ||||
Energy | (2.8 | ) | (72,043 | ) | ||||
Real Estate | (3.4 | ) | (87,629 | ) | ||||
Health Care Equipment & Services | (3.6 | ) | (93,017 | ) | ||||
Software & Services | (3.6 | ) | (95,423 | ) | ||||
|
|
|
| |||||
Total Short Positions | (40.2 | ) | (1,051,989 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 1.0 | 27,300 | ||||||
|
|
|
| |||||
Net Assets | 100.0 | % | $ | 2,612,642 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
21
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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 | 18.1 | % | $ | 1,065,463 | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 16.7 | 984,529 | ||||||
Diversified Financials | 7.4 | 433,410 | ||||||
Food, Beverage & Tobacco | 7.0 | 413,469 | ||||||
Energy | 6.8 | 402,160 | ||||||
Health Care Equipment & Services | 6.7 | 395,960 | ||||||
Technology Hardware & Equipment | 6.7 | 395,839 | ||||||
Materials | 6.5 | 382,390 | ||||||
Software & Services | 6.1 | 355,455 | ||||||
Semiconductors & Semiconductor Equipment | 4.7 | 274,163 | ||||||
Retailing | 4.5 | 265,190 | ||||||
Media | 4.3 | 254,070 | ||||||
Household & Personal Products | 4.1 | 242,171 | ||||||
Insurance | 4.0 | 235,479 | ||||||
Food & Staples Retailing | 3.8 | 224,113 | ||||||
Utilities | 3.3 | 195,365 | ||||||
Consumer Services | 3.1 | 180,660 | ||||||
Consumer Durables & Apparel | 1.9 | 111,224 | ||||||
Telecommunication Services | 1.8 | 102,909 | ||||||
Real Estate | 1.7 | 101,714 | ||||||
Automobiles & Components | 1.5 | 88,268 | ||||||
Transportation | 1.4 | 79,118 | ||||||
Commercial & Professional Services | 0.5 | 27,701 | ||||||
|
|
|
| |||||
Total Long Positions | 122.6 | 7,210,820 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.4 | )% | $ | (21,047 | ) | |||
Household & Personal Products | (0.6 | ) | (37,065 | ) | ||||
Commercial & Professional Services | (0.8 | ) | (46,355 | ) | ||||
Automobiles & Components | (1.1 | ) | (61,382 | ) | ||||
Technology Hardware & Equipment | (1.2 | ) | (70,819 | ) | ||||
Food & Staples Retailing | (1.4 | ) | (84,793 | ) | ||||
Capital Goods | (1.5 | ) | (90,453 | ) | ||||
Consumer Durables & Apparel | (2.6 | ) | (155,251 | ) | ||||
Diversified Financials | (3.2 | ) | (186,562 | ) | ||||
Insurance | (3.2 | ) | (186,617 | ) | ||||
Media | (3.7 | ) | (214,588 | ) | ||||
Consumer Services | (3.7 | ) | (217,612 | ) | ||||
Food, Beverage & Tobacco | (4.1 | ) | (240,515 | ) | ||||
Semiconductors & Semiconductor Equipment | (4.2 | ) | (246,735 | ) | ||||
Materials | (4.5 | ) | (266,592 | ) | ||||
Banks | (4.9 | ) | (289,682 | ) | ||||
Utilities | (5.0 | ) | (293,924 | ) | ||||
Transportation | (5.3 | ) | (309,925 | ) | ||||
Retailing | (5.3 | ) | (310,580 | ) | ||||
Energy | (7.3 | ) | (428,773 | ) | ||||
Health Care Equipment & Services | (7.6 | ) | (448,853 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (7.9 | ) | (466,108 | ) | ||||
Real Estate | (8.3 | ) | (486,595 | ) | ||||
Software & Services | (10.0 | ) | (589,734 | ) | ||||
|
|
|
| |||||
Total Short Positions | (97.8 | ) | (5,750,560 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 75.2 | 4,419,057 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 5,879,317 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
22
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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: | ||||||||
Capital Goods | 21.2 | % | $ | 530,219 | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 18.5 | 462,273 | ||||||
Software & Services | 12.6 | 315,648 | ||||||
Diversified Financials | 10.2 | 255,187 | ||||||
Technology Hardware & Equipment | 9.0 | 225,263 | ||||||
Energy | 8.4 | 209,467 | ||||||
Food, Beverage & Tobacco | 7.6 | 191,042 | ||||||
Retailing | 7.2 | 180,411 | ||||||
Health Care Equipment & Services | 7.2 | 179,845 | ||||||
Materials | 6.9 | 171,825 | ||||||
Semiconductors & Semiconductor Equipment | 6.2 | 155,687 | ||||||
Media | 4.6 | 114,569 | ||||||
Food & Staples Retailing | 4.3 | 106,646 | ||||||
Utilities | 4.2 | 103,854 | ||||||
Consumer Services | 4.1 | 102,425 | ||||||
Household & Personal Products | 4.1 | 101,529 | ||||||
Insurance | 4.0 | 100,037 | ||||||
Banks | 2.9 | 71,670 | ||||||
Transportation | 2.5 | 63,236 | ||||||
Telecommunication Services | 2.5 | 62,405 | ||||||
Consumer Durables & Apparel | 2.1 | 51,287 | ||||||
Real Estate | 1.8 | 44,186 | ||||||
Automobiles & Components | 1.6 | 38,980 | ||||||
Commercial & Professional Services | 0.6 | 16,013 | ||||||
|
|
|
| |||||
Total Long Positions | 154.3 | 3,853,704 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.4 | )% | $ | (9,102 | ) | |||
Household & Personal Products | (0.6 | ) | (16,151 | ) | ||||
Commercial & Professional Services | (0.9 | ) | (22,761 | ) | ||||
Automobiles & Components | (1.1 | ) | (26,700 | ) | ||||
Capital Goods | (1.1 | ) | (26,966 | ) | ||||
Technology Hardware & Equipment | (1.2 | ) | (30,940 | ) | ||||
Food & Staples Retailing | (1.5 | ) | (38,628 | ) | ||||
Diversified Financials | (2.0 | ) | (49,062 | ) | ||||
Banks | (2.6 | ) | (63,776 | ) | ||||
Consumer Durables & Apparel | (3.0 | ) | (73,824 | ) | ||||
Media | (3.1 | ) | (76,754 | ) | ||||
Insurance | (3.2 | ) | (79,054 | ) | ||||
Semiconductors & Semiconductor Equipment | (3.4 | ) | (84,218 | ) | ||||
Consumer Services | (3.8 | ) | (94,999 | ) | ||||
Food, Beverage & Tobacco | (4.3 | ) | (108,535 | ) | ||||
Materials | (4.5 | ) | (111,588 | ) | ||||
Retailing | (5.1 | ) | (127,361 | ) | ||||
Transportation | (5.3 | ) | (132,816 | ) | ||||
Utilities | (5.6 | ) | (140,678 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (6.5 | ) | (163,287 | ) | ||||
Energy | (7.1 | ) | (178,449 | ) | ||||
Health Care Equipment & Services | (8.7 | ) | (216,827 | ) | ||||
Real Estate | (9.2 | ) | (231,054 | ) | ||||
Software & Services | (9.7 | ) | (241,908 | ) | ||||
|
|
|
| |||||
Total Short Positions | (93.9 | ) | (2,345,438 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 39.6 | 989,513 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,497,779 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
23
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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: | ||||||||
Capital Goods | 12.7 | % | $ | 303,340 | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 11.2 | 267,560 | ||||||
Software & Services | 10.2 | 245,543 | ||||||
Diversified Financials | 6.9 | 164,476 | ||||||
Technology Hardware & Equipment | 6.4 | 152,839 | ||||||
Retailing | 5.5 | 132,365 | ||||||
Energy | 5.5 | 130,895 | ||||||
Food, Beverage & Tobacco | 5.0 | 120,629 | ||||||
Health Care Equipment & Services | 4.8 | 114,299 | ||||||
Semiconductors & Semiconductor Equipment | 4.1 | 98,809 | ||||||
Materials | 3.9 | 92,875 | ||||||
Banks | 3.1 | 74,234 | ||||||
Food & Staples Retailing | 2.7 | 65,002 | ||||||
Insurance | 2.6 | 63,055 | ||||||
Household & Personal Products | 2.5 | 60,694 | ||||||
Consumer Services | 2.4 | 57,926 | ||||||
Media | 2.4 | 57,283 | ||||||
Utilities | 2.4 | 56,677 | ||||||
Telecommunication Services | 1.8 | 42,061 | ||||||
Transportation | 1.7 | 41,929 | ||||||
Consumer Durables & Apparel | 1.2 | 29,333 | ||||||
Real Estate | 1.1 | 26,216 | ||||||
Automobiles & Components | 0.8 | 19,308 | ||||||
Commercial & Professional Services | 0.4 | 9,821 | ||||||
|
|
|
| |||||
Total Long Positions | 101.3 | 2,427,169 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.2 | )% | $ | (3,845 | ) | |||
Household & Personal Products | (0.3 | ) | (6,861 | ) | ||||
Commercial & Professional Services | (0.4 | ) | (8,549 | ) | ||||
Automobiles & Components | (0.5 | ) | (11,184 | ) | ||||
Capital Goods | (0.5 | ) | (11,244 | ) | ||||
Technology Hardware & Equipment | (0.5 | ) | (13,229 | ) | ||||
Food & Staples Retailing | (0.7 | ) | (15,828 | ) | ||||
Diversified Financials | (0.8 | ) | (19,894 | ) | ||||
Insurance | (1.2 | ) | (28,182 | ) | ||||
Consumer Durables & Apparel | (1.2 | ) | (28,910 | ) | ||||
Banks | (1.4 | ) | (34,476 | ) | ||||
Semiconductors & Semiconductor Equipment | (1.5 | ) | (35,394 | ) | ||||
Media | (1.7 | ) | (40,228 | ) | ||||
Materials | (1.8 | ) | (43,913 | ) | ||||
Consumer Services | (1.8 | ) | (43,935 | ) | ||||
Food, Beverage & Tobacco | (1.9 | ) | (45,186 | ) | ||||
Retailing | (1.9 | ) | (46,721 | ) | ||||
Transportation | (2.2 | ) | (53,723 | ) | ||||
Utilities | (2.3 | ) | (55,061 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (2.7 | ) | (63,668 | ) | ||||
Energy | (3.3 | ) | (78,952 | ) | ||||
Health Care Equipment & Services | (3.6 | ) | (86,887 | ) | ||||
Software & Services | (3.9 | ) | (94,220 | ) | ||||
Real Estate | (4.1 | ) | (97,858 | ) | ||||
|
|
|
| |||||
Total Short Positions | (40.4 | ) | (967,948 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 39.1 | 936,960 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,396,181 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
24
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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 | 27.9 | % | $ | 644,830 | ||||
Food, Beverage & Tobacco | 20.1 | 464,917 | ||||||
Software & Services | 18.0 | 415,571 | ||||||
Retailing | 13.4 | 309,439 | ||||||
Health Care Equipment & Services | 12.7 | 293,455 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 9.8 | 225,946 | ||||||
Media | 9.4 | 216,199 | ||||||
Technology Hardware & Equipment | 9.0 | 207,970 | ||||||
Household & Personal Products | 9.0 | 206,698 | ||||||
Consumer Services | 8.4 | 194,257 | ||||||
Consumer Durables & Apparel | 7.0 | 161,921 | ||||||
Food & Staples Retailing | 5.9 | 135,071 | ||||||
Energy | 5.2 | 118,943 | ||||||
Materials | 4.7 | 108,373 | ||||||
Transportation | 4.2 | 96,850 | ||||||
Semiconductors & Semiconductor Equipment | 3.7 | 85,746 | ||||||
Telecommunication Services | 3.6 | 83,696 | ||||||
Commercial & Professional Services | 3.6 | 82,465 | ||||||
Automobiles & Components | 2.9 | 66,939 | ||||||
|
|
|
| |||||
Total Long Positions | 178.5 | 4,119,286 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Household & Personal Products | (0.2 | )% | $ | (4,690 | ) | |||
Food & Staples Retailing | (0.5 | ) | (12,466 | ) | ||||
Telecommunication Services | (1.2 | ) | (28,164 | ) | ||||
Media | (1.7 | ) | (39,781 | ) | ||||
Automobiles & Components | (2.1 | ) | (49,064 | ) | ||||
Commercial & Professional Services | (2.4 | ) | (55,630 | ) | ||||
Food, Beverage & Tobacco | (2.5 | ) | (58,197 | ) | ||||
Consumer Durables & Apparel | (3.2 | ) | (72,833 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (3.3 | ) | (76,273 | ) | ||||
Consumer Services | (3.9 | ) | (89,195 | ) | ||||
Transportation | (3.9 | ) | (89,210 | ) | ||||
Materials | (4.7 | ) | (108,317 | ) | ||||
Technology Hardware & Equipment | (4.9 | ) | (113,234 | ) | ||||
Retailing | (5.0 | ) | (114,753 | ) | ||||
Energy | (5.1 | ) | (118,593 | ) | ||||
Semiconductors & Semiconductor Equipment | (5.5 | ) | (125,939 | ) | ||||
Health Care Equipment & Services | (6.9 | ) | (158,857 | ) | ||||
Software & Services | (10.0 | ) | (230,962 | ) | ||||
Capital Goods | (10.3 | ) | (237,457 | ) | ||||
|
|
|
| |||||
Total Short Positions | (77.3 | ) | (1,783,615 | ) | ||||
|
|
|
| |||||
Liabilities in Excess of Other Assets | (1.2 | ) | (28,687 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,306,984 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
25
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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: | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 21.3 | % | $ | 1,988,815 | ||||
Capital Goods | 20.9 | 1,945,614 | ||||||
Food, Beverage & Tobacco | 17.4 | 1,618,675 | ||||||
Health Care Equipment & Services | 9.8 | 915,548 | ||||||
Materials | 9.6 | 896,175 | ||||||
Energy | 9.3 | 867,582 | ||||||
Retailing | 8.9 | 826,816 | ||||||
Household & Personal Products | 8.6 | 800,978 | ||||||
Software & Services | 7.8 | 725,069 | ||||||
Diversified Financials | 7.2 | 670,626 | ||||||
Insurance | 7.1 | 658,384 | ||||||
Media | 6.6 | 617,270 | ||||||
Utilities | 6.5 | 607,561 | ||||||
Technology Hardware & Equipment | 6.0 | 556,384 | ||||||
Consumer Services | 5.9 | 553,290 | ||||||
Food & Staples Retailing | 5.8 | 543,711 | ||||||
Real Estate | 4.5 | 422,265 | ||||||
Semiconductors & Semiconductor Equipment | 4.3 | 405,801 | ||||||
Telecommunication Services | 3.0 | 278,470 | ||||||
Consumer Durables & Apparel | 2.7 | 248,539 | ||||||
Automobiles & Components | 1.5 | 137,055 | ||||||
Commercial & Professional Services | 1.0 | 93,599 | ||||||
Transportation | 1.0 | 90,107 | ||||||
Exchange Traded Funds | 4.8 | 445,250 | ||||||
|
|
|
| |||||
Total Long Positions | 181.5 | 16,913,584 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Telecommunication Services | (0.3 | )% | $ | (28,030 | ) | |||
Household & Personal Products | (0.5 | ) | (47,057 | ) | ||||
Commercial & Professional Services | (0.7 | ) | (62,104 | ) | ||||
Food & Staples Retailing | (0.9 | ) | (82,532 | ) | ||||
Automobiles & Components | (0.9 | ) | (82,803 | ) | ||||
Technology Hardware & Equipment | (1.4 | ) | (127,185 | ) | ||||
Capital Goods | (1.8 | ) | (165,465 | ) | ||||
Food, Beverage & Tobacco | (2.1 | ) | (198,314 | ) | ||||
Consumer Durables & Apparel | (2.3 | ) | (218,508 | ) | ||||
Insurance | (2.6 | ) | (238,872 | ) | ||||
Consumer Services | (3.2 | ) | (296,025 | ) | ||||
Media | (3.6 | ) | (330,551 | ) | ||||
Utilities | (3.7 | ) | (349,086 | ) | ||||
Materials | (3.8 | ) | (355,974 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (4.1 | ) | (386,403 | ) | ||||
Transportation | (4.2 | ) | (395,747 | ) | ||||
Semiconductors & Semiconductor Equipment | (4.3 | ) | (398,051 | ) | ||||
Energy | (4.8 | ) | (446,398 | ) | ||||
Real Estate | (4.8 | ) | (449,864 | ) | ||||
Diversified Financials | (5.3 | ) | (492,367 | ) | ||||
Retailing | (5.4 | ) | (502,594 | ) | ||||
Health Care Equipment & Services | (6.2 | ) | (574,675 | ) | ||||
Banks | (6.6 | ) | (617,215 | ) | ||||
Software & Services | (8.7 | ) | (813,791 | ) | ||||
|
|
|
| |||||
Total Short Positions | (82.2 | ) | (7,659,611 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 0.7 | 63,486 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 9,317,459 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
26
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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: | ||||||||
Capital Goods | 21.2 | % | $ | 1,516,170 | ||||
Semiconductors & Semiconductor Equipment | 9.4 | 671,820 | ||||||
Food, Beverage & Tobacco | 8.6 | 615,716 | ||||||
Retailing | 7.5 | 540,885 | ||||||
Software & Services | 7.5 | 534,673 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 7.1 | 505,817 | ||||||
Technology Hardware & Equipment | 6.5 | 469,495 | ||||||
Health Care Equipment & Services | 6.2 | 442,237 | ||||||
Consumer Durables & Apparel | 5.6 | 400,485 | ||||||
Automobiles & Components | 4.9 | 349,926 | ||||||
Consumer Services | 3.4 | 247,425 | ||||||
Media | 3.3 | 235,615 | ||||||
Household & Personal Products | 3.0 | 213,965 | ||||||
Transportation | 1.6 | 117,662 | ||||||
Food & Staples Retailing | 1.6 | 117,275 | ||||||
Commercial & Professional Services | 1.2 | 89,105 | ||||||
Telecommunication Services | 0.5 | 34,582 | ||||||
|
|
|
| |||||
Total Common Stocks | 99.1 | 7,102,853 | ||||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 0.9 | 64,598 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 7,167,451 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
27
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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: | ||||||||
Capital Goods | 15.0 | % | $ | 426,440 | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 11.3 | 320,573 | ||||||
Diversified Financials | 6.8 | 191,647 | ||||||
Semiconductors & Semiconductor Equipment | 6.5 | 183,054 | ||||||
Technology Hardware & Equipment | 6.1 | 171,732 | ||||||
Retailing | 5.6 | 159,559 | ||||||
Energy | 5.5 | 156,639 | ||||||
Materials | 5.5 | 154,943 | ||||||
Health Care Equipment & Services | 5.2 | 148,282 | ||||||
Software & Services | 5.2 | 146,261 | ||||||
Food, Beverage & Tobacco | 4.6 | 129,184 | ||||||
Insurance | 3.4 | 96,922 | ||||||
Media | 3.3 | 92,873 | ||||||
Food & Staples Retailing | 2.8 | 80,666 | ||||||
Consumer Services | 2.6 | 73,444 | ||||||
Transportation | 1.8 | 52,033 | ||||||
Consumer Durables & Apparel | 1.7 | 49,425 | ||||||
Household & Personal Products | 1.7 | 48,052 | ||||||
Automobiles & Components | 1.7 | 47,594 | ||||||
Telecommunication Services | 1.1 | 31,524 | ||||||
Real Estate | 1.0 | 29,476 | ||||||
Utilities | 0.5 | 14,685 | ||||||
Commercial & Professional Services | 0.4 | 11,101 | ||||||
Banks | 0.3 | 10,007 | ||||||
|
|
|
| |||||
Total Common Stocks | 99.6 | 2,826,116 | ||||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 0.4 | 10,098 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,836,214 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
28
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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 | 99.0 | % | $ | 23,140,566 | ||||
Other Assets in Excess of Liabilities | 1.0 | 239,149 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 23,379,715 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
29
GOTHAM FUNDS
Portfolio Holdings Summary Tables
March 31, 2018
(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: | ||||||||
Capital Goods | 5.7 | % | $ | 240,292 | ||||
Semiconductors & Semiconductor Equipment | 3.6 | 151,411 | ||||||
Retailing | 2.7 | 114,956 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 2.3 | 95,450 | ||||||
Food, Beverage & Tobacco | 2.2 | 94,003 | ||||||
Technology Hardware & Equipment | 1.9 | 80,526 | ||||||
Software & Services | 1.8 | 74,468 | ||||||
Health Care Equipment & Services | 1.7 | 70,847 | ||||||
Consumer Durables & Apparel | 1.5 | 61,448 | ||||||
Consumer Services | 1.5 | 60,742 | ||||||
Automobiles & Components | 0.9 | 38,101 | ||||||
Transportation | 0.9 | 36,989 | ||||||
Household & Personal Products | 0.7 | 29,802 | ||||||
Media | 0.7 | 29,623 | ||||||
Food & Staples Retailing | 0.6 | 23,265 | ||||||
Commercial & Professional Services | 0.3 | 13,794 | ||||||
Telecommunication Services | 0.1 | 2,994 | ||||||
Affiliated Equity Registered Investment Companies | 61.0 | 2,555,506 | ||||||
U.S. Treasury Obligations | 4.7 | 199,854 | ||||||
|
|
|
| |||||
Total Long Positions | 94.8 | 3,974,071 | ||||||
|
|
|
|
% of Net Assets | Value | |||||||
SHORT POSITIONS: | ||||||||
Common Stocks: | ||||||||
Household & Personal Products | (0.0 | )% | $ | (1,065 | ) | |||
Telecommunication Services | (0.2 | ) | (10,306 | ) | ||||
Semiconductors & Semiconductor Equipment | (0.5 | ) | (20,381 | ) | ||||
Food & Staples Retailing | (0.5 | ) | (21,286 | ) | ||||
Media | (0.6 | ) | (24,544 | ) | ||||
Automobiles & Components | (1.0 | ) | (40,117 | ) | ||||
Commercial & Professional Services | (1.4 | ) | (56,619 | ) | ||||
Transportation | (1.6 | ) | (65,595 | ) | ||||
Food, Beverage & Tobacco | (1.6 | ) | (67,366 | ) | ||||
Consumer Durables & Apparel | (1.7 | ) | (70,373 | ) | ||||
Retailing | (1.7 | ) | (71,362 | ) | ||||
Technology Hardware & Equipment | (1.8 | ) | (73,429 | ) | ||||
Consumer Services | (1.8 | ) | (76,979 | ) | ||||
Pharmaceuticals, Biotechnology & Life Sciences | (2.0 | ) | (83,920 | ) | ||||
Capital Goods | (2.9 | ) | (122,203 | ) | ||||
Health Care Equipment & Services | (4.8 | ) | (203,248 | ) | ||||
Software & Services | (5.0 | ) | (209,795 | ) | ||||
|
|
|
| |||||
Total Short Positions | (29.1 | ) | (1,218,588 | ) | ||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 34.3 | 1,436,022 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 4,191,505 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
30
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 134.9% |
| |||||||
COMMON STOCKS — 128.5% |
| |||||||
Automobiles & Components — 1.5% |
| |||||||
Aptiv PLC (Jersey)(a) | 1,013 | $ | 86,075 | |||||
BorgWarner, Inc.(b) | 799 | 40,134 | ||||||
General Motors Co.† | 1,585 | 57,599 | ||||||
Goodyear Tire & Rubber Co. (The) | 911 | 24,214 | ||||||
|
| |||||||
208,022 | ||||||||
|
| |||||||
Capital Goods — 18.2% | ||||||||
3M Co. | 162 | 35,562 | ||||||
Acuity Brands, Inc.(b) | 67 | 9,326 | ||||||
AMETEK, Inc.† | 877 | 66,626 | ||||||
Boeing Co. (The)† | 798 | 261,648 | ||||||
Caterpillar, Inc.† | 1,688 | 248,777 | ||||||
Cummins, Inc.† | 681 | 110,383 | ||||||
Deere & Co. | 586 | 91,018 | ||||||
Dover Corp.† | 600 | 58,932 | ||||||
Emerson Electric Co.† | 2,404 | 164,193 | ||||||
Flowserve Corp.(b) | 53 | 2,297 | ||||||
Fortune Brands Home & Security, Inc. | 576 | 33,921 | ||||||
General Dynamics Corp.† | 1,126 | 248,733 | ||||||
Harris Corp.† | 490 | 79,027 | ||||||
Honeywell International, Inc.† | 1,581 | 228,470 | ||||||
Illinois Tool Works, Inc. | 532 | 83,343 | ||||||
Ingersoll-Rand PLC (Ireland)† | 603 | 51,563 | ||||||
L3 Technologies, Inc. | 212 | 44,096 | ||||||
Masco Corp.† | 1,180 | 47,719 | ||||||
Pentair PLC (Ireland)†(b) | 740 | 50,416 | ||||||
Raytheon Co.† | 1,092 | 235,675 | ||||||
Rockwell Collins, Inc. | 271 | 36,544 | ||||||
Snap-on, Inc.(b) | 214 | 31,574 | ||||||
Stanley Black & Decker, Inc.† | 584 | 89,469 | ||||||
TransDigm Group, Inc.(b) | 24 | 7,367 | ||||||
United Technologies Corp. | 1,048 | 131,859 | ||||||
WW Grainger, Inc.(b) | 214 | 60,406 | ||||||
Xylem, Inc.† | 682 | 52,459 | ||||||
|
| |||||||
2,561,403 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.6% |
| |||||||
Cintas Corp. | 31 | 5,288 | ||||||
Nielsen Holdings PLC (United Kingdom)(b) | 1,349 | 42,885 | ||||||
Robert Half International, Inc.† | 472 | 27,324 | ||||||
Waste Management, Inc.† | 94 | 7,907 | ||||||
|
| |||||||
83,404 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — 2.1% |
| |||||||
Hanesbrands, Inc.(b) | 1,377 | $ | 25,364 | |||||
Mattel, Inc.(b) | 1,303 | 17,134 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 735 | 45,629 | ||||||
Newell Brands, Inc.(b) | 1,840 | 46,883 | ||||||
Ralph Lauren Corp.†(b) | 407 | 45,503 | ||||||
VF Corp.† | 1,501 | 111,254 | ||||||
|
| |||||||
291,767 | ||||||||
|
| |||||||
Consumer Services — 4.4% |
| |||||||
Hilton Worldwide Holdings, Inc.† | 1,263 | 99,474 | ||||||
Marriott International, Inc., Class A† | 1,418 | 192,820 | ||||||
McDonald’s Corp.† | 1,094 | 171,080 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 62 | 7,300 | ||||||
Wyndham Worldwide Corp. | 378 | 43,255 | ||||||
Yum! Brands, Inc.† | 1,304 | 111,010 | ||||||
|
| |||||||
624,939 | ||||||||
|
| |||||||
Diversified Financials — 6.9% |
| |||||||
American Express Co. | 391 | 36,473 | ||||||
Berkshire Hathaway, Inc., Class B* | 227 | 45,282 | ||||||
BlackRock, Inc.†(a) | 610 | 330,449 | ||||||
Franklin Resources, Inc.(a) | 2,280 | 79,070 | ||||||
Intercontinental Exchange, Inc. | 1,759 | 127,563 | ||||||
Invesco Ltd. (Bermuda)† | 1,663 | 53,233 | ||||||
Moody’s Corp.† | 520 | 83,876 | ||||||
Nasdaq, Inc.† | 634 | 54,663 | ||||||
S&P Global, Inc. | 312 | 59,611 | ||||||
T Rowe Price Group, Inc.† | 982 | 106,027 | ||||||
|
| |||||||
976,247 | ||||||||
|
| |||||||
Energy — 7.5% | ||||||||
Andeavor† | 582 | 58,526 | ||||||
Apache Corp.(b) | 1,429 | 54,988 | ||||||
Cabot Oil & Gas Corp. | 1,745 | 41,845 | ||||||
ConocoPhillips† | 5,037 | 298,644 | ||||||
Hess Corp.(b) | 1,194 | 60,440 | ||||||
Marathon Petroleum Corp.† | 1,870 | 136,716 | ||||||
Phillips 66(a) | 1,916 | 183,783 | ||||||
TechnipFMC PLC (United Kingdom)† | 1,770 | 52,126 | ||||||
Valero Energy Corp.† | 1,806 | 167,543 | ||||||
|
| |||||||
1,054,611 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.9% |
| |||||||
CVS Health Corp. | 1,702 | 105,881 | ||||||
Kroger Co. (The)† | 3,354 | 80,295 |
The accompanying notes are an integral part of the financial statements.
31
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Food & Staples Retailing — (Continued) | ||||||||
Sysco Corp.† | 266 | $ | 15,949 | |||||
Walgreens Boots Alliance, Inc.† | 1,737 | 113,721 | ||||||
Walmart, Inc.† | 2,670 | 237,550 | ||||||
|
| |||||||
553,396 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 7.6% |
| |||||||
Altria Group, Inc.† | 4,536 | 282,684 | ||||||
Campbell Soup Co.(b) | 132 | 5,717 | ||||||
Coca-Cola Co. (The)† | 439 | 19,066 | ||||||
Conagra Brands, Inc. | 722 | 26,627 | ||||||
Dr Pepper Snapple Group, Inc.† | 476 | 56,349 | ||||||
General Mills, Inc. | 2,161 | 97,375 | ||||||
Hershey Co. (The)† | 799 | 79,069 | ||||||
Kraft Heinz Co. (The) | 2,251 | 140,215 | ||||||
McCormick & Co., Inc., non-voting shares(b) | 84 | 8,937 | ||||||
PepsiCo, Inc.† | 1,573 | 171,693 | ||||||
Philip Morris International, Inc. | 837 | 83,198 | ||||||
Tyson Foods, Inc., Class A(a) | 1,395 | 102,100 | ||||||
|
| |||||||
1,073,030 | ||||||||
|
| |||||||
Health Care Equipment & Services — 7.0% |
| |||||||
Abbott Laboratories | 2,074 | 124,274 | ||||||
Aetna, Inc.†(a) | 838 | 141,622 | ||||||
AmerisourceBergen Corp. | 181 | 15,604 | ||||||
Cigna Corp.(a) | 1,032 | 173,108 | ||||||
Envision Healthcare | 440 | 16,909 | ||||||
Express Scripts Holding Co.†* | 2,093 | 144,584 | ||||||
Humana, Inc.† | 529 | 142,211 | ||||||
Laboratory Corp. of America Holdings†* | 393 | 63,568 | ||||||
Quest Diagnostics, Inc.† | 509 | 51,053 | ||||||
UnitedHealth Group, Inc.† | 318 | 68,052 | ||||||
Varian Medical Systems, Inc.†* | 381 | 46,730 | ||||||
|
| |||||||
987,715 | ||||||||
|
| |||||||
Household & Personal Products — 4.4% |
| |||||||
Church & Dwight Co., Inc. | 497 | 25,029 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 1,421 | 212,752 | ||||||
Kimberly-Clark Corp. | 460 | 50,660 | ||||||
Procter & Gamble Co. | 4,273 | 338,763 | ||||||
|
| |||||||
627,204 | ||||||||
|
| |||||||
Insurance — 4.0% |
| |||||||
Aflac, Inc. | 358 | 15,666 | ||||||
Allstate Corp. (The) | 341 | 32,327 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Insurance — (Continued) | ||||||||
Aon PLC (United Kingdom)† | 939 | $ | 131,770 | |||||
Hartford Financial Services Group, Inc. (The) | 593 | 30,551 | ||||||
Marsh & McLennan Cos., Inc.†(a) | 1,929 | 159,316 | ||||||
Progressive Corp. (The)† | 2,204 | 134,290 | ||||||
Torchmark Corp. | 434 | 36,530 | ||||||
Travelers Cos., Inc. (The) | 147 | 20,412 | ||||||
|
| |||||||
560,862 | ||||||||
|
| |||||||
Materials — 6.9% |
| |||||||
Avery Dennison Corp. | 334 | 35,488 | ||||||
Eastman Chemical Co. | 542 | 57,224 | ||||||
Freeport-McMoRan, Inc.† | 5,489 | 96,442 | ||||||
International Flavors & Fragrances, Inc. | 207 | 28,340 | ||||||
International Paper Co.† | 1,566 | 83,671 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 1,739 | 183,778 | ||||||
Monsanto Co.† | 1,671 | 194,989 | ||||||
PPG Industries, Inc.† | 1,137 | 126,889 | ||||||
Sealed Air Corp.(b) | 681 | 29,140 | ||||||
Sherwin-Williams Co. (The)(a) | 355 | 139,203 | ||||||
|
| |||||||
975,164 | ||||||||
|
| |||||||
Media — 4.3% |
| |||||||
CBS Corp., Class B, non-voting shares | 1,527 | 78,473 | ||||||
Discovery, Inc., Class A(b)* | 2,159 | 46,267 | ||||||
Interpublic Group of Cos., Inc. (The)(b) | 1,469 | 33,831 | ||||||
News Corp., Class A | 2,465 | 38,947 | ||||||
Omnicom Group, Inc.(b) | 1,015 | 73,760 | ||||||
Time Warner, Inc.† | 3,031 | 286,672 | ||||||
Viacom, Inc., Class B† | 1,525 | 47,366 | ||||||
|
| |||||||
605,316 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 17.3% |
| |||||||
AbbVie, Inc.†(a) | 3,286 | 311,020 | ||||||
Amgen, Inc.† | 1,463 | 249,412 | ||||||
Biogen, Inc.†(a)* | 801 | 219,330 | ||||||
Bristol-Myers Squibb Co.† | 169 | 10,689 | ||||||
Celgene Corp.†* | 2,868 | 255,854 | ||||||
Gilead Sciences, Inc.†(b) | 2,814 | 212,147 | ||||||
Johnson & Johnson† | 2,836 | 363,433 | ||||||
Merck & Co., Inc.†(a) | 5,601 | 305,086 | ||||||
Pfizer, Inc.† | 9,888 | 350,925 | ||||||
Waters Corp.* | 5 | 993 |
The accompanying notes are an integral part of the financial statements.
32
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Zoetis, Inc.† | 1,842 | $ | 153,825 | |||||
|
| |||||||
2,432,714 | ||||||||
|
| |||||||
Real Estate — 1.7% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT(b) | 286 | 35,719 | ||||||
CBRE Group, Inc., Class A* | 1,287 | 60,772 | ||||||
Equity Residential, REIT | 450 | 27,729 | ||||||
Mid-America Apartment Communities, Inc., REIT | 128 | 11,679 | ||||||
Weyerhaeuser Co., REIT† | 2,863 | 100,205 | ||||||
|
| |||||||
236,104 | ||||||||
|
| |||||||
Retailing — 6.3% |
| |||||||
Advance Auto Parts, Inc.(b) | 300 | 35,565 | ||||||
Amazon.com, Inc.* | 4 | 5,789 | ||||||
AutoZone, Inc.†* | 103 | 66,815 | ||||||
Best Buy Co., Inc.(b) | 206 | 14,418 | ||||||
Booking Holdings, Inc.†* | 137 | 285,013 | ||||||
Dollar Tree, Inc.†* | 83 | 7,877 | ||||||
Foot Locker, Inc.(b) | 179 | 8,152 | ||||||
Gap, Inc. (The)(b) | 47 | 1,466 | ||||||
Home Depot, Inc. (The)† | 1,283 | 228,682 | ||||||
Kohl’s Corp.(b) | 618 | 40,485 | ||||||
Nordstrom, Inc.(b) | 8 | 387 | ||||||
O’Reilly Automotive, Inc.* | 258 | 63,824 | ||||||
Ross Stores, Inc.† | 492 | 38,366 | ||||||
Target Corp.† | 531 | 36,867 | ||||||
Tiffany & Co. | 27 | 2,637 | ||||||
TJX Cos., Inc. (The) | 330 | 26,915 | ||||||
Tractor Supply Co. | 333 | 20,986 | ||||||
|
| |||||||
884,244 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.6% |
| |||||||
Applied Materials, Inc.† | 943 | 52,440 | ||||||
Intel Corp.† | 1,906 | 99,264 | ||||||
Micron Technology, Inc.†* | 4,839 | 252,305 | ||||||
QUALCOMM, Inc. | 21 | 1,164 | ||||||
Texas Instruments, Inc.† | 2,297 | 238,635 | ||||||
|
| |||||||
643,808 | ||||||||
|
| |||||||
Software & Services — 6.2% |
| |||||||
Accenture PLC, Class A (Ireland)†(a) | 1,499 | 230,096 | ||||||
Alliance Data Systems Corp. | 209 | 44,488 | ||||||
CA, Inc.† | 1,562 | 52,952 | ||||||
Citrix Systems, Inc.†* | 31 | 2,877 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
DXC Technology Co.† | 1,082 | $ | 108,774 | |||||
Fidelity National Information Services Inc. | 361 | 34,764 | ||||||
International Business Machines Corp.† | 1,759 | 269,883 | ||||||
Paychex, Inc.†(b) | 1,190 | 73,292 | ||||||
Total System Services, Inc. | 9 | 776 | ||||||
Visa, Inc., Class A†(b) | 434 | 51,915 | ||||||
|
| |||||||
869,817 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 7.1% |
| |||||||
Apple, Inc.† | 2,147 | 360,224 | ||||||
Cisco Systems, Inc.† | 4,369 | 187,386 | ||||||
F5 Networks, Inc.†* | 64 | 9,255 | ||||||
Hewlett Packard Enterprise Co.† | 4,059 | 71,195 | ||||||
HP, Inc.† | 6,776 | 148,530 | ||||||
Juniper Networks, Inc.† | 693 | 16,861 | ||||||
Motorola Solutions, Inc.† | 612 | 64,444 | ||||||
NetApp, Inc.† | 1,091 | 67,304 | ||||||
Seagate Technology PLC (Ireland) | 1,080 | 63,202 | ||||||
Western Digital Corp.† | 110 | 10,150 | ||||||
|
| |||||||
998,551 | ||||||||
|
| |||||||
Telecommunication Services — 1.9% |
| |||||||
Verizon Communications, Inc.† | 5,503 | 263,153 | ||||||
|
| |||||||
Transportation — 1.5% |
| |||||||
Expeditors International of Washington, Inc.† | 668 | 42,284 | ||||||
Norfolk Southern Corp.† | 516 | 70,062 | ||||||
Union Pacific Corp.† | 765 | 102,839 | ||||||
|
| |||||||
215,185 | ||||||||
|
| |||||||
Utilities — 2.6% |
| |||||||
Duke Energy Corp.† | 493 | 38,193 | ||||||
FirstEnergy Corp.† | 1,804 | 61,354 | ||||||
NextEra Energy, Inc.(a) | 713 | 116,454 | ||||||
NRG Energy, Inc. | 1,201 | 36,667 | ||||||
Southern Co. (The)(b) | 2,445 | 109,194 | ||||||
|
| |||||||
361,862 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 18,088,518 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
33
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
EXCHANGE TRADED FUNDS — 6.4% |
| |||||||
SPDR S&P 500 ETF Trust | 3,407 | $ | 896,552 | |||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $898,050) |
| 896,552 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 134.9% |
| 18,985,070 | ||||||
|
| |||||||
(Cost $17,867,213) | ||||||||
SHORT POSITIONS — (74.8)% |
| |||||||
COMMON STOCKS — (74.8)% |
| |||||||
Automobiles & Components — (0.8)% |
| |||||||
Ford Motor Co. | (9,396 | ) | (104,108 | ) | ||||
Harley-Davidson, Inc. | (369 | ) | (15,823 | ) | ||||
|
| |||||||
(119,931 | ) | |||||||
|
| |||||||
Banks — (3.9)% |
| |||||||
Citizens Financial Group, Inc. | (1,078 | ) | (45,254 | ) | ||||
Comerica, Inc. | (138 | ) | (13,238 | ) | ||||
Fifth Third Bancorp | (1,523 | ) | (48,355 | ) | ||||
Huntington Bancshares, Inc. | (2,353 | ) | (35,530 | ) | ||||
KeyCorp | (2,346 | ) | (45,864 | ) | ||||
M&T Bank Corp. | (111 | ) | (20,464 | ) | ||||
Regions Financial Corp. | (2,580 | ) | (47,936 | ) | ||||
SunTrust Banks, Inc. | (1,034 | ) | (70,353 | ) | ||||
SVB Financial Group* | (74 | ) | (17,761 | ) | ||||
US Bancorp | (2,161 | ) | (109,130 | ) | ||||
Wells Fargo & Co. | (1,378 | ) | (72,221 | ) | ||||
Zions Bancorporation | (434 | ) | (22,885 | ) | ||||
|
| |||||||
(548,991 | ) | |||||||
|
| |||||||
Capital Goods — (1.4)% |
| |||||||
Fastenal Co. | (631 | ) | (34,446 | ) | ||||
Jacobs Engineering Group, Inc. | (310 | ) | (18,336 | ) | ||||
Parker-Hannifin Corp. | (285 | ) | (48,744 | ) | ||||
Quanta Services, Inc.* | (362 | ) | (12,435 | ) | ||||
Rockwell Automation, Inc. | (281 | ) | (48,950 | ) | ||||
Textron, Inc. | (10 | ) | (590 | ) | ||||
United Rentals, Inc.* | (200 | ) | (34,546 | ) | ||||
|
| |||||||
(198,047 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.6)% |
| |||||||
Equifax, Inc. | (263 | ) | (30,984 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (873 | ) | (42,114 | ) | ||||
Stericycle, Inc.* | (199 | ) | (11,647 | ) | ||||
|
| |||||||
(84,745 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.2)% |
| |||||||
Mohawk Industries, Inc.* | (177 | ) | (41,103 | ) | ||||
NIKE, Inc., Class B | (2,848 | ) | (189,221 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Consumer Durables & Apparel — (Continued) | ||||||||
PVH Corp. | (172 | ) | $ | (26,046 | ) | |||
Tapestry, Inc. | (624 | ) | (32,829 | ) | ||||
Whirlpool Corp. | (156 | ) | (23,885 | ) | ||||
|
| |||||||
(313,084 | ) | |||||||
|
| |||||||
Consumer Services — (2.9)% |
| |||||||
Carnival Corp. (Panama) | (1,088 | ) | (71,351 | ) | ||||
Chipotle Mexican Grill, Inc.* | (61 | ) | (19,710 | ) | ||||
Darden Restaurants, Inc. | (233 | ) | (19,863 | ) | ||||
MGM Resorts International | (1,360 | ) | (47,627 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (502 | ) | (26,591 | ) | ||||
Starbucks Corp. | (3,088 | ) | (178,764 | ) | ||||
Wynn Resorts Ltd. | (226 | ) | (41,213 | ) | ||||
|
| |||||||
(405,119 | ) | |||||||
|
| |||||||
Diversified Financials — (2.6)% |
| |||||||
Affiliated Managers Group, Inc. | (121 | ) | (22,939 | ) | ||||
Ameriprise Financial, Inc. | (186 | ) | (27,517 | ) | ||||
Capital One Financial Corp. | (367 | ) | (35,166 | ) | ||||
Charles Schwab Corp. (The) | (9 | ) | (470 | ) | ||||
Goldman Sachs Group, Inc. (The) | (672 | ) | (169,250 | ) | ||||
Leucadia National Corp. | (782 | ) | (17,775 | ) | ||||
Morgan Stanley | (485 | ) | (26,171 | ) | ||||
Navient Corp. | (577 | ) | (7,570 | ) | ||||
Raymond James Financial, Inc. | (31 | ) | (2,772 | ) | ||||
Synchrony Financial | (1,691 | ) | (56,699 | ) | ||||
|
| |||||||
(366,329 | ) | |||||||
|
| |||||||
Energy — (5.4)% |
| |||||||
Anadarko Petroleum Corp. | (1,164 | ) | (70,317 | ) | ||||
Chevron Corp. | (56 | ) | (6,386 | ) | ||||
Cimarex Energy Co. | (224 | ) | (20,944 | ) | ||||
Concho Resources, Inc.* | (327 | ) | (49,158 | ) | ||||
Devon Energy Corp. | (1,152 | ) | (36,622 | ) | ||||
EOG Resources, Inc. | (1,265 | ) | (133,167 | ) | ||||
EQT Corp. | (580 | ) | (27,556 | ) | ||||
Halliburton Co. | (1,403 | ) | (65,857 | ) | ||||
Helmerich & Payne, Inc. | (304 | ) | (20,234 | ) | ||||
Kinder Morgan, Inc. | (4,992 | ) | (75,180 | ) | ||||
Newfield Exploration Co.* | (471 | ) | (11,502 | ) | ||||
Occidental Petroleum Corp. | (1,299 | ) | (84,383 | ) | ||||
ONEOK, Inc. | (852 | ) | (48,496 | ) | ||||
Pioneer Natural Resources Co. | (373 | ) | (64,074 | ) | ||||
Range Resources Corp. | (544 | ) | (7,910 | ) |
The accompanying notes are an integral part of the financial statements.
34
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Energy — (Continued) |
| |||||||
Williams Cos., Inc. (The) | (1,812 | ) | $ | (45,046 | ) | |||
|
| |||||||
(766,832 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.0)% |
| |||||||
Costco Wholesale Corp. | (785 | ) | (147,918 | ) | ||||
|
| |||||||
Food, Beverage & Tobacco — (3.0)% |
| |||||||
Archer-Daniels-Midland Co. | (1,222 | ) | (52,998 | ) | ||||
Brown-Forman Corp., Class B | (1,055 | ) | (57,392 | ) | ||||
Constellation Brands, Inc., Class A | (303 | ) | (69,060 | ) | ||||
Hormel Foods Corp. | (57 | ) | (1,956 | ) | ||||
Kellogg Co. | (611 | ) | (39,721 | ) | ||||
Mondelez International, Inc., Class A | (3,266 | ) | (136,290 | ) | ||||
Monster Beverage Corp.* | (1,243 | ) | (71,112 | ) | ||||
|
| |||||||
(428,529 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (6.4)% |
| |||||||
Align Technology, Inc.* | (175 | ) | (43,948 | ) | ||||
Anthem, Inc. | (262 | ) | (57,561 | ) | ||||
Becton Dickinson and Co. | (584 | ) | (126,553 | ) | ||||
Boston Scientific Corp.* | (3,013 | ) | (82,315 | ) | ||||
Cardinal Health, Inc. | (691 | ) | (43,312 | ) | ||||
Centene Corp.* | (381 | ) | (40,718 | ) | ||||
Cerner Corp.* | (846 | ) | (49,068 | ) | ||||
Cooper Cos., Inc. (The) | (107 | ) | (24,483 | ) | ||||
DaVita, Inc.* | (400 | ) | (26,376 | ) | ||||
DENTSPLY SIRONA, Inc. | (542 | ) | (27,268 | ) | ||||
Edwards Lifesciences Corp.* | (351 | ) | (48,972 | ) | ||||
HCA Healthcare, Inc. | (768 | ) | (74,496 | ) | ||||
Henry Schein, Inc.* | (338 | ) | (22,717 | ) | ||||
Hologic, Inc.* | (606 | ) | (22,640 | ) | ||||
IDEXX Laboratories, Inc.* | (191 | ) | (36,555 | ) | ||||
Intuitive Surgical, Inc.* | (57 | ) | (23,531 | ) | ||||
McKesson Corp. | (452 | ) | (63,673 | ) | ||||
ResMed, Inc. | (336 | ) | (33,086 | ) | ||||
Stryker Corp. | (36 | ) | (5,793 | ) | ||||
Zimmer Biomet Holdings, Inc. | (444 | ) | (48,414 | ) | ||||
|
| |||||||
(901,479 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.5)% |
| |||||||
Clorox Co. (The) | (283 | ) | (37,670 | ) | ||||
Coty, Inc., Class A | (1,645 | ) | (30,104 | ) | ||||
|
| |||||||
(67,774 | ) | |||||||
|
| |||||||
Insurance — (2.4)% |
| |||||||
American International Group, Inc. | (1,781 | ) | (96,922 | ) | ||||
Assurant, Inc. | (117 | ) | (10,695 | ) | ||||
Chubb Ltd. (Switzerland) | (204 | ) | (27,901 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Cincinnati Financial Corp. | (360 | ) | $ | (26,734 | ) | |||
Everest Re Group Ltd. (Bermuda) | (26 | ) | (6,677 | ) | ||||
Lincoln National Corp. | (479 | ) | (34,996 | ) | ||||
Principal Financial Group, Inc. | (635 | ) | (38,678 | ) | ||||
Unum Group | (573 | ) | (27,281 | ) | ||||
Willis Towers Watson PLC (Ireland) | (290 | ) | (44,135 | ) | ||||
XL Group Ltd. (Bermuda) | (386 | ) | (21,330 | ) | ||||
|
| |||||||
(335,349 | ) | |||||||
|
| |||||||
Materials — (3.6)% |
| |||||||
Air Products & Chemicals, Inc. | (104 | ) | (16,539 | ) | ||||
Albemarle Corp. | (261 | ) | (24,205 | ) | ||||
Ball Corp. | (31 | ) | (1,231 | ) | ||||
CF Industries Holdings, Inc. | (510 | ) | (19,242 | ) | ||||
DowDuPont, Inc. | (3,328 | ) | (212,027 | ) | ||||
FMC Corp. | (294 | ) | (22,512 | ) | ||||
Martin Marietta Materials, Inc. | (137 | ) | (28,400 | ) | ||||
Mosaic Co. (The) | (988 | ) | (23,989 | ) | ||||
Newmont Mining Corp. | (1,169 | ) | (45,673 | ) | ||||
Nucor Corp. | (698 | ) | (42,641 | ) | ||||
Vulcan Materials Co. | (384 | ) | (43,841 | ) | ||||
WestRock Co. | (508 | ) | (32,598 | ) | ||||
|
| |||||||
(512,898 | ) | |||||||
|
| |||||||
Media — (3.9)% |
| |||||||
Charter Communications, Inc., Class A* | (425 | ) | (132,268 | ) | ||||
Comcast Corp., Class A | (1,979 | ) | (67,622 | ) | ||||
DISH Network Corp., Class A* | (905 | ) | (34,291 | ) | ||||
Twenty-First Century Fox, Inc., Class A | (4,065 | ) | (149,145 | ) | ||||
Walt Disney Co. (The) | (1,636 | ) | (164,320 | ) | ||||
|
| |||||||
(547,646 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (4.8)% |
| |||||||
Agilent Technologies, Inc. | (79 | ) | (5,285 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (517 | ) | (57,625 | ) | ||||
Allergan PLC (Ireland) | (59 | ) | (9,929 | ) | ||||
Illumina, Inc.* | (380 | ) | (89,840 | ) | ||||
Incyte Corp.* | (486 | ) | (40,498 | ) | ||||
IQVIA Holdings, Inc.* | (517 | ) | (50,723 | ) | ||||
Mettler-Toledo International, Inc.* | (57 | ) | (32,777 | ) | ||||
Mylan NV (Netherlands)* | (1,144 | ) | (47,098 | ) | ||||
Nektar Therapeutics* | (350 | ) | (37,191 | ) | ||||
PerkinElmer, Inc. | (260 | ) | (19,687 | ) | ||||
Perrigo Co. PLC (Ireland) | (309 | ) | (25,752 | ) |
The accompanying notes are an integral part of the financial statements.
35
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Regeneron Pharmaceuticals, Inc.* | (263 | ) | $ | (90,567 | ) | |||
Thermo Fisher Scientific, Inc. | (339 | ) | (69,990 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (567 | ) | (92,410 | ) | ||||
|
| |||||||
(669,372 | ) | |||||||
|
| |||||||
Real Estate — (6.1)% |
| |||||||
American Tower Corp., REIT | (941 | ) | (136,765 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (345 | ) | (14,059 | ) | ||||
Boston Properties, Inc., REIT | (339 | ) | (41,772 | ) | ||||
Crown Castle International Corp., REIT | (940 | ) | (103,033 | ) | ||||
Digital Realty Trust, Inc., REIT | (98 | ) | (10,327 | ) | ||||
Duke Realty Corp., REIT | (81 | ) | (2,145 | ) | ||||
Equinix, Inc., REIT | (173 | ) | (72,338 | ) | ||||
Essex Property Trust, Inc., REIT | (11 | ) | (2,647 | ) | ||||
Extra Space Storage, Inc., REIT | (277 | ) | (24,199 | ) | ||||
Federal Realty Investment Trust, REIT | (161 | ) | (18,694 | ) | ||||
GGP, Inc., REIT | (2,099 | ) | (42,946 | ) | ||||
HCP, Inc., REIT | (493 | ) | (11,452 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (1,621 | ) | (30,215 | ) | ||||
Iron Mountain, Inc., REIT | (625 | ) | (20,538 | ) | ||||
Kimco Realty Corp., REIT | (935 | ) | (13,464 | ) | ||||
Macerich Co. (The), REIT | (309 | ) | (17,310 | ) | ||||
Public Storage, REIT | (382 | ) | (76,549 | ) | ||||
SBA Communications Corp., REIT* | (286 | ) | (48,883 | ) | ||||
Simon Property Group, Inc., REIT | (682 | ) | (105,267 | ) | ||||
SL Green Realty Corp., REIT | (203 | ) | (19,656 | ) | ||||
UDR, Inc., REIT | (588 | ) | (20,945 | ) | ||||
Vornado Realty Trust, REIT | (417 | ) | (28,064 | ) | ||||
|
| |||||||
(861,268 | ) | |||||||
|
| |||||||
Retailing — (4.1)% |
| |||||||
CarMax, Inc.* | (398 | ) | (24,652 | ) | ||||
Dollar General Corp. | (480 | ) | (44,904 | ) | ||||
Expedia Group, Inc. | (346 | ) | (38,202 | ) | ||||
Genuine Parts Co. | (321 | ) | (28,839 | ) | ||||
LKQ Corp.* | (678 | ) | (25,730 | ) | ||||
Lowe’s Cos., Inc. | (1,821 | ) | (159,793 | ) | ||||
Macy’s, Inc. | (657 | ) | (19,539 | ) | ||||
Netflix, Inc.* | (721 | ) | (212,947 | ) | ||||
TripAdvisor, Inc.* | (403 | ) | (16,479 | ) | ||||
|
| |||||||
(571,085 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (3.2)% |
| |||||||
Broadcom Ltd. (Singapore) | (573 | ) | $ | (135,028) | ||||
Microchip Technology, Inc. | (573 | ) | (52,349) | |||||
NVIDIA Corp. | (935 | ) | (216,537) | |||||
Xilinx, Inc. | (559 | ) | (40,382) | |||||
|
| |||||||
(444,296) | ||||||||
|
| |||||||
Software & Services — (7.4)% |
| |||||||
Activision Blizzard, Inc. | (1,758 | ) | (118,595) | |||||
Adobe Systems, Inc.* | (152 | ) | (32,844) | |||||
Akamai Technologies, Inc.* | (390 | ) | (27,682) | |||||
ANSYS, Inc.* | (185 | ) | (28,988) | |||||
Autodesk, Inc.* | (480 | ) | (60,278) | |||||
Automatic Data Processing, Inc. | (972 | ) | (110,303) | |||||
Cadence Design Systems, Inc.* | (662 | ) | (24,342) | |||||
Electronic Arts, Inc.* | (676 | ) | (81,958) | |||||
Facebook, Inc., Class A* | (88 | ) | (14,062) | |||||
Global Payments, Inc. | (349 | ) | (38,920) | |||||
Intuit, Inc. | (561 | ) | (97,249) | |||||
PayPal Holdings, Inc.* | (1,029 | ) | (78,070) | |||||
Red Hat, Inc.* | (349 | ) | (52,179) | |||||
salesforce.com, Inc.* | (1,208 | ) | (140,490) | |||||
Symantec Corp. | (1,364 | ) | (35,259) | |||||
Synopsys, Inc.* | (329 | ) | (27,386) | |||||
Take-Two Interactive Software, Inc.* | (232 | ) | (22,685) | |||||
VeriSign, Inc.* | (209 | ) | (24,779) | |||||
Western Union Co. (The) | (1,008 | ) | (19,384) | |||||
|
| |||||||
(1,035,453) | ||||||||
|
| |||||||
Technology Hardware & Equipment — (1.0)% |
| |||||||
Corning, Inc. | (2,133 | ) | (59,468) | |||||
TE Connectivity Ltd. (Switzerland) | (772 | ) | (77,123) | |||||
|
| |||||||
(136,591) | ||||||||
|
| |||||||
Telecommunication Services — (0.3)% |
| |||||||
CenturyLink, Inc. | (2,346 | ) | (38,545) | |||||
|
| |||||||
Transportation — (4.0)% |
| |||||||
American Airlines Group, Inc. | (1,047 | ) | (54,402) | |||||
CSX Corp. | (1,952 | ) | (108,746) | |||||
FedEx Corp. | (586 | ) | (140,705) | |||||
JB Hunt Transport Services, Inc. | (240 | ) | (28,116) | |||||
Southwest Airlines Co. | (1,291 | ) | (73,948) | |||||
United Continental Holdings, Inc.* | (634 | ) | (44,044) | |||||
United Parcel Service, Inc., Class B | (1,039 | ) | (108,742) | |||||
|
| |||||||
(558,703) | ||||||||
|
| |||||||
Utilities — (3.3)% |
| |||||||
Ameren Corp. | (467 | ) | (26,446) |
The accompanying notes are an integral part of the financial statements.
36
GOTHAM ABSOLUTE 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
American Electric Power Co., Inc. | (1,079 | ) | $ | (74,009 | ) | |||
American Water Works Co., Inc. | (391 | ) | (32,113 | ) | ||||
CMS Energy Corp. | (238 | ) | (10,779 | ) | ||||
Entergy Corp. | (396 | ) | (31,197 | ) | ||||
Eversource Energy | (695 | ) | (40,949 | ) | ||||
NiSource, Inc. | (739 | ) | (17,669 | ) | ||||
PG&E Corp. | (1,088 | ) | (47,796 | ) | ||||
PPL Corp. | (948 | ) | (26,819 | ) | ||||
Public Service Enterprise Group, Inc. | (1,108 | ) | (55,666 | ) | ||||
Sempra Energy | (551 | ) | (61,282 | ) | ||||
WEC Energy Group, Inc. | (692 | ) | (43,388 | ) | ||||
|
| |||||||
(468,113 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $10,669,317) |
| (10,528,097 | ) | |||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (74.8)% |
| (10,528,097 | ) | |||||
|
| |||||||
(Proceeds $10,669,317) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.9% | 5,620,962 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 14,077,935 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | Security position is either entirely or partially designated as collateral for securities on loan. |
(b) | All or portion of the security is on loan. (See Note 5 of the Notes to Financial Statements) |
* | Non-income producing. |
ETF | Exchange Traded Fund | |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust | |
S&P | Standard & Poor’s | |
SPDR | Standard & Poor’s Depository Receipt |
The accompanying notes are an integral part of the financial statements.
37
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 111.7% |
| |||||||
COMMON STOCKS — 111.7% |
| |||||||
Automobiles & Components — 1.3% |
| |||||||
Aptiv PLC (Jersey)† | 149 | $ | 12,660 | |||||
BorgWarner, Inc.† | 117 | 5,877 | ||||||
General Motors Co.† | 261 | 9,485 | ||||||
Goodyear Tire & Rubber Co. (The) | 134 | 3,562 | ||||||
|
| |||||||
31,584 | ||||||||
|
| |||||||
Capital Goods — 15.0% |
| |||||||
3M Co.† | 24 | 5,268 | ||||||
Acuity Brands, Inc.(a) | 13 | 1,809 | ||||||
AMETEK, Inc.† | 128 | 9,724 | ||||||
Boeing Co. (The)† | 114 | 37,378 | ||||||
Caterpillar, Inc.† | 127 | 18,717 | ||||||
Cummins, Inc.† | 95 | 15,399 | ||||||
Deere & Co.† | 75 | 11,649 | ||||||
Dover Corp.† | 88 | 8,643 | ||||||
Emerson Electric Co.† | 353 | 24,110 | ||||||
Flowserve Corp.(a) | 7 | 303 | ||||||
Fortune Brands Home & Security, Inc.† | 85 | 5,006 | ||||||
General Dynamics Corp.† | 166 | 36,669 | ||||||
Harris Corp.† | 67 | 10,806 | ||||||
Honeywell International, Inc.† | 235 | 33,960 | ||||||
Illinois Tool Works, Inc. | 79 | 12,376 | ||||||
Ingersoll-Rand PLC (Ireland)† | 84 | 7,183 | ||||||
L3 Technologies, Inc. | 38 | 7,904 | ||||||
Masco Corp.† | 174 | 7,037 | ||||||
Pentair PLC (Ireland)† | 101 | 6,881 | ||||||
Raytheon Co.† | 161 | 34,747 | ||||||
Rockwell Collins, Inc. | 51 | 6,877 | ||||||
Snap-on, Inc. | 32 | 4,721 | ||||||
Stanley Black & Decker, Inc.† | 86 | 13,175 | ||||||
United Technologies Corp.† | 160 | 20,131 | ||||||
WW Grainger, Inc.†(a) | 32 | 9,033 | ||||||
Xylem, Inc.† | 101 | 7,769 | ||||||
|
| |||||||
357,275 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.3% |
| |||||||
Nielsen Holdings PLC (United Kingdom)† | 197 | 6,263 | ||||||
Republic Services, Inc. | 5 | 331 | ||||||
Waste Management, Inc.† | 2 | 168 | ||||||
|
| |||||||
6,762 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.7% |
| |||||||
Hanesbrands, Inc.(a) | 202 | 3,721 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Mattel, Inc.(a) | 191 | $ | 2,512 | |||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 94 | 5,835 | ||||||
Newell Brands, Inc.(a) | 270 | 6,880 | ||||||
Ralph Lauren Corp.† | 47 | 5,255 | ||||||
VF Corp.† | 221 | 16,381 | ||||||
|
| |||||||
40,584 | ||||||||
|
| |||||||
Consumer Services — 3.7% |
| |||||||
Hilton Worldwide Holdings, Inc.† | 180 | 14,177 | ||||||
Marriott International, Inc., Class A† | 166 | 22,573 | ||||||
McDonald’s Corp.† | 182 | 28,461 | ||||||
Wyndham Worldwide Corp.† | 55 | 6,294 | ||||||
Yum! Brands, Inc.† | 192 | 16,345 | ||||||
|
| |||||||
87,850 | ||||||||
|
| |||||||
Diversified Financials — 6.0% |
| |||||||
American Express Co. | 50 | 4,664 | ||||||
Berkshire Hathaway, Inc., Class B* | 33 | 6,583 | ||||||
BlackRock, Inc.† | 87 | 47,130 | ||||||
Franklin Resources, Inc.†(a) | 308 | 10,681 | ||||||
Intercontinental Exchange, Inc.† | 303 | 21,974 | ||||||
Invesco Ltd. (Bermuda)† | 226 | 7,234 | ||||||
Moody’s Corp.† | 81 | 13,065 | ||||||
Nasdaq, Inc.† | 93 | 8,018 | ||||||
S&P Global, Inc. | 38 | 7,260 | ||||||
T Rowe Price Group, Inc.† | 137 | 14,792 | ||||||
|
| |||||||
141,401 | ||||||||
|
| |||||||
Energy — 6.3% |
| |||||||
Andeavor† | 86 | 8,648 | ||||||
Apache Corp.†(a) | 191 | 7,350 | ||||||
Cabot Oil & Gas Corp. | 256 | 6,139 | ||||||
ConocoPhillips† | 678 | 40,199 | ||||||
Hess Corp.† | 175 | 8,858 | ||||||
Marathon Petroleum Corp.† | 271 | 19,813 | ||||||
Phillips 66† | 280 | 26,858 | ||||||
TechnipFMC PLC (United Kingdom)† | 259 | 7,628 | ||||||
Valero Energy Corp.† | 258 | 23,935 | ||||||
|
| |||||||
149,428 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.5% |
| |||||||
CVS Health Corp. | 281 | 17,481 | ||||||
Kroger Co. (The)† | 484 | 11,587 | ||||||
Sysco Corp.† | 16 | 959 | ||||||
Walgreens Boots Alliance, Inc.† | 255 | 16,695 |
The accompanying notes are an integral part of the financial statements.
38
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Food & Staples Retailing — (Continued) | ||||||||
Walmart, Inc.† | 415 | $ | 36,923 | |||||
|
| |||||||
83,645 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 7.8% |
| |||||||
Altria Group, Inc.† | 719 | 44,808 | ||||||
Campbell Soup Co.† | 71 | 3,075 | ||||||
Coca-Cola Co. (The)† | 160 | 6,949 | ||||||
Conagra Brands, Inc. | 161 | 5,938 | ||||||
Dr Pepper Snapple Group, Inc.† | 97 | 11,483 | ||||||
General Mills, Inc. | 318 | 14,329 | ||||||
Hershey Co. (The)† | 117 | 11,578 | ||||||
JM Smucker Co. (The) | 12 | 1,488 | ||||||
Kraft Heinz Co. (The)† | 405 | 25,227 | ||||||
PepsiCo, Inc.† | 275 | 30,016 | ||||||
Philip Morris International, Inc. | 142 | 14,115 | ||||||
Tyson Foods, Inc., Class A† | 205 | 15,004 | ||||||
|
| |||||||
184,010 | ||||||||
|
| |||||||
Health Care Equipment & Services — 6.3% |
| |||||||
Abbott Laboratories† | 289 | 17,317 | ||||||
Aetna, Inc. | 151 | 25,519 | ||||||
AmerisourceBergen Corp.† | 32 | 2,759 | ||||||
Cigna Corp.† | 147 | 24,658 | ||||||
Envision Healthcare Corp.(a)* | 66 | 2,536 | ||||||
Express Scripts Holding Co.†* | 307 | 21,208 | ||||||
Humana, Inc.† | 82 | 22,044 | ||||||
Laboratory Corp. of America Holdings†* | 61 | 9,867 | ||||||
Quest Diagnostics, Inc.† | 75 | 7,522 | ||||||
UnitedHealth Group, Inc.† | 47 | 10,058 | ||||||
Varian Medical Systems, Inc.†* | 52 | 6,378 | ||||||
|
| |||||||
149,866 | ||||||||
|
| |||||||
Household & Personal Products — 4.3% |
| |||||||
Church & Dwight Co., Inc.† | 103 | 5,187 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 208 | 31,142 | ||||||
Kimberly-Clark Corp.† | 105 | 11,564 | ||||||
Procter & Gamble Co. (The)† | 682 | 54,069 | ||||||
|
| |||||||
101,962 | ||||||||
|
| |||||||
Insurance — 3.8% |
| |||||||
Aflac, Inc. | 125 | 5,470 | ||||||
Allstate Corp. (The) | 70 | 6,636 | ||||||
Aon PLC (United Kingdom)† | 137 | 19,225 | ||||||
Hartford Financial Services Group, Inc. (The) | 113 | 5,822 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Marsh & McLennan Cos., Inc.† | 283 | $ | 23,373 | |||||
Progressive Corp. (The)† | 323 | 19,680 | ||||||
Torchmark Corp. | 63 | 5,303 | ||||||
Travelers Cos., Inc. (The) | 35 | 4,860 | ||||||
|
| |||||||
90,369 | ||||||||
|
| |||||||
Materials — 5.8% |
| |||||||
Avery Dennison Corp.† | 49 | 5,206 | ||||||
Eastman Chemical Co.† | 80 | 8,446 | ||||||
Ecolab, Inc. | 1 | 137 | ||||||
Freeport-McMoRan, Inc.† | 805 | 14,144 | ||||||
International Flavors & Fragrances, Inc. | 40 | 5,476 | ||||||
International Paper Co.† | 230 | 12,289 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 220 | 23,250 | ||||||
Monsanto Co.† | 246 | 28,706 | ||||||
PPG Industries, Inc.† | 141 | 15,736 | ||||||
Sealed Air Corp. | 100 | 4,279 | ||||||
Sherwin-Williams Co. (The)† | 52 | 20,390 | ||||||
|
| |||||||
138,059 | ||||||||
|
| |||||||
Media — 3.6% |
| |||||||
CBS Corp., Class B, non-voting shares† | 224 | 11,511 | ||||||
Discovery, Inc., Class A†(a)* | 316 | 6,772 | ||||||
Interpublic Group of Cos., Inc. (The)† | 215 | 4,951 | ||||||
News Corp., Class A† | 325 | 5,135 | ||||||
Omnicom Group, Inc.† | 128 | 9,302 | ||||||
Time Warner, Inc.† | 434 | 41,048 | ||||||
Viacom, Inc., Class B† | 223 | 6,926 | ||||||
|
| |||||||
85,645 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 15.4% |
| |||||||
AbbVie, Inc.† | 484 | 45,811 | ||||||
Amgen, Inc.† | 223 | 38,017 | ||||||
Biogen, Inc.†* | 117 | 32,037 | ||||||
Bristol-Myers Squibb Co.† | 40 | 2,530 | ||||||
Celgene Corp.†* | 421 | 37,557 | ||||||
Gilead Sciences, Inc.† | 441 | 33,247 | ||||||
Johnson & Johnson† | 417 | 53,439 | ||||||
Merck & Co., Inc.† | 881 | 47,988 | ||||||
Pfizer, Inc.† | 1,494 | 53,022 | ||||||
Zoetis, Inc.† | 270 | 22,548 | ||||||
|
| |||||||
366,196 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
39
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — 1.7% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT†(a) | 52 | $ | 6,494 | |||||
AvalonBay Communities, Inc., REIT | 4 | 658 | ||||||
CBRE Group, Inc., Class A* | 189 | 8,925 | ||||||
Equity Residential, REIT | 116 | 7,148 | ||||||
Mid-America Apartment Communities, Inc., REIT | 25 | 2,281 | ||||||
Weyerhaeuser Co., REIT† | 421 | 14,735 | ||||||
|
| |||||||
40,241 | ||||||||
|
| |||||||
Retailing — 5.6% |
| |||||||
Advance Auto Parts, Inc. | 41 | 4,861 | ||||||
Amazon.com, Inc.* | 1 | 1,447 | ||||||
AutoZone, Inc.†* | 2 | 1,297 | ||||||
Best Buy Co., Inc.† | 38 | 2,660 | ||||||
Booking Holdings, Inc.†* | 22 | 45,769 | ||||||
Dollar Tree, Inc.†* | 6 | 569 | ||||||
Foot Locker, Inc. | 70 | 3,188 | ||||||
Home Depot, Inc. (The)† | 204 | 36,361 | ||||||
Kohl’s Corp.† | 92 | 6,027 | ||||||
Nordstrom, Inc. | 3 | 145 | ||||||
O’Reilly Automotive, Inc.†* | 9 | 2,226 | ||||||
Ross Stores, Inc.† | 213 | 16,610 | ||||||
Target Corp.† | 101 | 7,012 | ||||||
Tiffany & Co. | 7 | 684 | ||||||
Tractor Supply Co. | 58 | 3,655 | ||||||
|
| |||||||
132,511 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
Intel Corp.† | 181 | 9,426 | ||||||
Micron Technology, Inc.†* | 688 | 35,872 | ||||||
QUALCOMM, Inc. | 6 | 332 | ||||||
Texas Instruments, Inc.† | 322 | 33,453 | ||||||
|
| |||||||
79,083 | ||||||||
|
| |||||||
Software & Services — 5.4% |
| |||||||
Accenture PLC, Class A (Ireland)† | 224 | 34,384 | ||||||
Alliance Data Systems Corp. | 30 | 6,386 | ||||||
CA, Inc.† | 229 | 7,763 | ||||||
Citrix Systems, Inc.†* | 26 | 2,413 | ||||||
DXC Technology Co.† | 158 | 15,884 | ||||||
Fidelity National Information Services, Inc. | 82 | 7,897 | ||||||
International Business Machines Corp.† | 267 | 40,966 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Paychex, Inc.† | 199 | $ | 12,256 | |||||
|
| |||||||
127,949 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 6.3% |
| |||||||
Apple, Inc.† | 316 | 53,018 | ||||||
Cisco Systems, Inc.† | 639 | 27,407 | ||||||
F5 Networks, Inc.†* | 3 | 434 | ||||||
Hewlett Packard Enterprise Co.† | 849 | 14,891 | ||||||
HP, Inc.† | 915 | 20,057 | ||||||
Juniper Networks, Inc.† | 119 | 2,895 | ||||||
Motorola Solutions, Inc.† | 90 | 9,477 | ||||||
NetApp, Inc.† | 149 | 9,192 | ||||||
Seagate Technology PLC (Ireland)† | 158 | 9,246 | ||||||
Western Digital Corp.† | 20 | 1,845 | ||||||
Xerox Corp. | 4 | 115 | ||||||
|
| |||||||
148,577 | ||||||||
|
| |||||||
Telecommunication Services — 1.7% |
| |||||||
Verizon Communications, Inc.† | 847 | 40,503 | ||||||
|
| |||||||
Transportation — 0.9% |
| |||||||
Expeditors International of Washington, Inc. | 98 | 6,203 | ||||||
Norfolk Southern Corp. | 8 | 1,086 | ||||||
Union Pacific Corp.† | 111 | 14,922 | ||||||
|
| |||||||
22,211 | ||||||||
|
| |||||||
Utilities — 2.0% |
| |||||||
Duke Energy Corp.† | 56 | 4,338 | ||||||
FirstEnergy Corp.† | 248 | 8,434 | ||||||
NextEra Energy, Inc.† | 89 | 14,536 | ||||||
NRG Energy, Inc.† | 177 | 5,404 | ||||||
Southern Co. (The)† | 333 | 14,872 | ||||||
|
| |||||||
47,584 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 2,653,295 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 111.7% |
| 2,653,295 | ||||||
|
| |||||||
(Cost $2,508,634) |
The accompanying notes are an integral part of the financial statements.
40
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
SHORT POSITIONS — (51.1)% |
| |||||||
COMMON STOCKS — (51.1)% |
| |||||||
Automobiles & Components — (0.5)% |
| |||||||
Ford Motor Co. | (1,004 | ) | $ | (11,124 | ) | |||
Harley-Davidson, Inc. | (42 | ) | (1,801 | ) | ||||
|
| |||||||
(12,925 | ) | |||||||
|
| |||||||
Banks — (2.9)% | ||||||||
Citizens Financial Group, Inc. | (125 | ) | (5,248 | ) | ||||
Comerica, Inc. | (19 | ) | (1,823 | ) | ||||
Fifth Third Bancorp. | (176 | ) | (5,588 | ) | ||||
Huntington Bancshares, Inc. | (272 | ) | (4,107 | ) | ||||
KeyCorp. | (271 | ) | (5,298 | ) | ||||
M&T Bank Corp. | (17 | ) | (3,134 | ) | ||||
Regions Financial Corp. | (298 | ) | (5,537 | ) | ||||
SunTrust Banks, Inc. | (120 | ) | (8,165 | ) | ||||
SVB Financial Group* | (12 | ) | (2,880 | ) | ||||
US Bancorp | (272 | ) | (13,736 | ) | ||||
Wells Fargo & Co. | (196 | ) | (10,272 | ) | ||||
Zions Bancorporation | (50 | ) | (2,636 | ) | ||||
|
| |||||||
(68,424 | ) | |||||||
|
| |||||||
Capital Goods — (1.0)% | ||||||||
Fastenal Co. | (73 | ) | (3,985 | ) | ||||
Fluor Corp. | (2 | ) | (114 | ) | ||||
Jacobs Engineering Group, Inc. | (35 | ) | (2,070 | ) | ||||
Parker-Hannifin Corp. | (32 | ) | (5,473 | ) | ||||
Quanta Services, Inc.* | (39 | ) | (1,340 | ) | ||||
Rockwell Automation, Inc. | (33 | ) | (5,749 | ) | ||||
Textron, Inc. | (6 | ) | (354 | ) | ||||
United Rentals, Inc.* | (22 | ) | (3,800 | ) | ||||
|
| |||||||
(22,885 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.4)% |
| |||||||
Equifax, Inc. | (31 | ) | (3,652 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (100 | ) | (4,824 | ) | ||||
Stericycle, Inc.* | (23 | ) | (1,346 | ) | ||||
|
| |||||||
(9,822 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.5)% |
| |||||||
Mohawk Industries, Inc.* | (19 | ) | (4,412 | ) | ||||
NIKE, Inc., Class B | (328 | ) | (21,792 | ) | ||||
PVH Corp. | (17 | ) | (2,574 | ) | ||||
Tapestry, Inc. | (72 | ) | (3,788 | ) | ||||
Under Armour, Inc., Class C* | (45 | ) | (646 | ) | ||||
Whirlpool Corp. | (18 | ) | (2,756 | ) | ||||
|
| |||||||
(35,968 | ) | |||||||
|
| |||||||
Consumer Services — (2.2)% |
| |||||||
Carnival Corp. (Panama) | (181 | ) | (11,870 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Chipotle Mexican Grill, Inc.* | (8 | ) | $ | (2,585 | ) | |||
Darden Restaurants, Inc. | (20 | ) | (1,705 | ) | ||||
MGM Resorts International | (144 | ) | (5,043 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (58 | ) | (3,072 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (15 | ) | (1,766 | ) | ||||
Starbucks Corp. | (355 | ) | (20,551 | ) | ||||
Wynn Resorts Ltd. | (26 | ) | (4,741 | ) | ||||
|
| |||||||
(51,333 | ) | |||||||
|
| |||||||
Diversified Financials — (2.0)% | ||||||||
Affiliated Managers Group, Inc. | (14 | ) | (2,654 | ) | ||||
Ameriprise Financial, Inc. | (32 | ) | (4,734 | ) | ||||
Capital One Financial Corp. | (44 | ) | (4,216 | ) | ||||
Goldman Sachs Group, Inc. (The) | (86 | ) | (21,660 | ) | ||||
Leucadia National Corp. | (91 | ) | (2,068 | ) | ||||
Morgan Stanley | (69 | ) | (3,723 | ) | ||||
Navient Corp. | (67 | ) | (879 | ) | ||||
Raymond James Financial, Inc. | (3 | ) | (268 | ) | ||||
Synchrony Financial | (195 | ) | (6,538 | ) | ||||
|
| |||||||
(46,740 | ) | |||||||
|
| |||||||
Energy — (3.5)% | ||||||||
Anadarko Petroleum Corp. | (134 | ) | (8,095 | ) | ||||
Chevron Corp. | (4 | ) | (456 | ) | ||||
Cimarex Energy Co. | (24 | ) | (2,244 | ) | ||||
Concho Resources, Inc.* | (37 | ) | (5,562 | ) | ||||
Devon Energy Corp. | (132 | ) | (4,196 | ) | ||||
EOG Resources, Inc. | (143 | ) | (15,054 | ) | ||||
EQT Corp. | (66 | ) | (3,136 | ) | ||||
Halliburton Co. | (133 | ) | (6,243 | ) | ||||
Helmerich & Payne, Inc. | (29 | ) | (1,930 | ) | ||||
Kinder Morgan, Inc. | (576 | ) | (8,675 | ) | ||||
Newfield Exploration Co.* | (50 | ) | (1,221 | ) | ||||
Occidental Petroleum Corp. | (116 | ) | (7,535 | ) | ||||
ONEOK, Inc. | (98 | ) | (5,578 | ) | ||||
Pioneer Natural Resources Co. | (43 | ) | (7,387 | ) | ||||
Range Resources Corp. | (62 | ) | (901 | ) | ||||
Williams Cos., Inc. (The) | (208 | ) | (5,171 | ) | ||||
|
| |||||||
(83,384 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.7)% |
| |||||||
Costco Wholesale Corp. | (89 | ) | (16,770 | ) | ||||
|
| |||||||
Food, Beverage & Tobacco — (2.1)% |
| |||||||
Archer-Daniels-Midland Co. | (140 | ) | (6,072 | ) |
The accompanying notes are an integral part of the financial statements.
41
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Brown-Forman Corp., Class B | (118 | ) | $ | (6,419 | ) | |||
Constellation Brands, Inc., Class A | (32 | ) | (7,293 | ) | ||||
Hormel Foods Corp. | (12 | ) | (412 | ) | ||||
Kellogg Co. | (88 | ) | (5,721 | ) | ||||
Mondelez International, Inc., Class A | (377 | ) | (15,732 | ) | ||||
Monster Beverage Corp.* | (144 | ) | (8,238 | ) | ||||
|
| |||||||
(49,887 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (4.3)% |
| |||||||
Align Technology, Inc.* | (20 | ) | (5,023 | ) | ||||
Anthem, Inc. | (35 | ) | (7,690 | ) | ||||
Becton Dickinson and Co. | (68 | ) | (14,736 | ) | ||||
Boston Scientific Corp.* | (347 | ) | (9,480 | ) | ||||
Cardinal Health, Inc. | (79 | ) | (4,952 | ) | ||||
Centene Corp.* | (44 | ) | (4,702 | ) | ||||
Cerner Corp.* | (87 | ) | (5,046 | ) | ||||
Cooper Cos., Inc. (The) | (13 | ) | (2,975 | ) | ||||
DaVita, Inc.* | (46 | ) | (3,033 | ) | ||||
DENTSPLY SIRONA, Inc. | (58 | ) | (2,918 | ) | ||||
Edwards Lifesciences Corp.* | (38 | ) | (5,302 | ) | ||||
HCA Healthcare, Inc. | (89 | ) | (8,633 | ) | ||||
Henry Schein, Inc.* | (39 | ) | (2,621 | ) | ||||
Hologic, Inc.* | (69 | ) | (2,578 | ) | ||||
IDEXX Laboratories, Inc.* | (22 | ) | (4,211 | ) | ||||
Intuitive Surgical, Inc.* | (5 | ) | (2,064 | ) | ||||
McKesson Corp. | (52 | ) | (7,325 | ) | ||||
ResMed, Inc. | (37 | ) | (3,643 | ) | ||||
Stryker Corp. | (1 | ) | (161 | ) | ||||
Zimmer Biomet Holdings, Inc. | (51 | ) | (5,561 | ) | ||||
|
| |||||||
(102,654 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.3)% |
| |||||||
Clorox Co. (The) | (33 | ) | (4,393 | ) | ||||
Coty, Inc., Class A | (189 | ) | (3,459 | ) | ||||
|
| |||||||
(7,852 | ) | |||||||
|
| |||||||
Insurance — (1.7)% | ||||||||
American International Group, Inc. | (218 | ) | (11,864 | ) | ||||
Assurant, Inc. | (14 | ) | (1,280 | ) | ||||
Chubb Ltd. (Switzerland) | (36 | ) | (4,924 | ) | ||||
Cincinnati Financial Corp. | (42 | ) | (3,119 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (3 | ) | (771 | ) | ||||
Lincoln National Corp. | (56 | ) | (4,091 | ) | ||||
Principal Financial Group, Inc. | (74 | ) | (4,507 | ) | ||||
Unum Group | (59 | ) | (2,809 | ) | ||||
Willis Towers Watson PLC (Ireland) | (34 | ) | (5,174 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
XL Group Ltd. (Bermuda) | (46 | ) | $ | (2,542 | ) | |||
|
| |||||||
(41,081 | ) | |||||||
|
| |||||||
Materials — (2.4)% | ||||||||
Air Products & Chemicals, Inc. | (6 | ) | (954 | ) | ||||
Albemarle Corp. | (28 | ) | (2,597 | ) | ||||
CF Industries Holdings, Inc. | (58 | ) | (2,188 | ) | ||||
DowDuPont, Inc. | (383 | ) | (24,401 | ) | ||||
FMC Corp. | (34 | ) | (2,603 | ) | ||||
Martin Marietta Materials, Inc. | (15 | ) | (3,110 | ) | ||||
Mosaic Co. (The) | (91 | ) | (2,209 | ) | ||||
Newmont Mining Corp. | (135 | ) | (5,274 | ) | ||||
Nucor Corp. | (81 | ) | (4,948 | ) | ||||
Vulcan Materials Co. | (35 | ) | (3,996 | ) | ||||
WestRock Co. | (60 | ) | (3,850 | ) | ||||
|
| |||||||
(56,130 | ) | |||||||
|
| |||||||
Media — (2.7)% | ||||||||
Charter Communications, Inc., Class A* | (49 | ) | (15,250 | ) | ||||
Comcast Corp., Class A | (255 | ) | (8,713 | ) | ||||
DISH Network Corp., Class A* | (113 | ) | (4,282 | ) | ||||
Twenty-First Century Fox, Inc., Class A | (468 | ) | (17,171 | ) | ||||
Walt Disney Co. (The) | (196 | ) | (19,686 | ) | ||||
|
| |||||||
(65,102 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (3.0)% |
| |||||||
Agilent Technologies, Inc. | (3 | ) | (201 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (56 | ) | (6,242 | ) | ||||
Allergan PLC (Ireland) | (2 | ) | (337 | ) | ||||
Illumina, Inc.* | (37 | ) | (8,748 | ) | ||||
Incyte Corp.* | (55 | ) | (4,583 | ) | ||||
IQVIA Holdings, Inc.* | (59 | ) | (5,789 | ) | ||||
Mettler-Toledo International, Inc.* | (7 | ) | (4,025 | ) | ||||
Mylan NV (Netherlands)* | (131 | ) | (5,393 | ) | ||||
Nektar Therapeutics* | (40 | ) | (4,250 | ) | ||||
PerkinElmer, Inc. | (28 | ) | (2,120 | ) | ||||
Perrigo Co. PLC (Ireland) | (36 | ) | (3,000 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (25 | ) | (8,609 | ) | ||||
Thermo Fisher Scientific, Inc. | (32 | ) | (6,607 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (65 | ) | (10,594 | ) | ||||
|
| |||||||
(70,498 | ) | |||||||
|
| |||||||
Real Estate — (4.1)% | ||||||||
American Tower Corp., REIT | (108 | ) | (15,697 | ) |
The accompanying notes are an integral part of the financial statements.
42
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Apartment Investment & Management Co., Class A, REIT | (40 | ) | $ | (1,630 | ) | |||
Boston Properties, Inc., REIT | (40 | ) | (4,929 | ) | ||||
Crown Castle International Corp., REIT | (102 | ) | (11,180 | ) | ||||
Equinix, Inc., REIT | (19 | ) | (7,945 | ) | ||||
Extra Space Storage, Inc., REIT | (32 | ) | (2,796 | ) | ||||
Federal Realty Investment Trust, REIT | (19 | ) | (2,206 | ) | ||||
GGP, Inc., REIT | (242 | ) | (4,951 | ) | ||||
HCP, Inc., REIT | (71 | ) | (1,649 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (187 | ) | (3,486 | ) | ||||
Iron Mountain, Inc., REIT | (71 | ) | (2,333 | ) | ||||
Kimco Realty Corp., REIT | (108 | ) | (1,555 | ) | ||||
Macerich Co. (The), REIT | (36 | ) | (2,017 | ) | ||||
Public Storage, REIT | (44 | ) | (8,817 | ) | ||||
SBA Communications Corp., REIT* | (31 | ) | (5,299 | ) | ||||
Simon Property Group, Inc., REIT | (79 | ) | (12,194 | ) | ||||
SL Green Realty Corp., REIT | (24 | ) | (2,324 | ) | ||||
UDR, Inc., REIT | (68 | ) | (2,422 | ) | ||||
Vornado Realty Trust, REIT | (49 | ) | (3,298 | ) | ||||
|
| |||||||
(96,728 | ) | |||||||
|
| |||||||
Retailing — (3.0)% | ||||||||
CarMax, Inc.* | (46 | ) | (2,849 | ) | ||||
Dollar General Corp. | (69 | ) | (6,455 | ) | ||||
Expedia Group, Inc. | (40 | ) | (4,416 | ) | ||||
Gap, Inc. (The) | (99 | ) | (3,089 | ) | ||||
Genuine Parts Co. | (37 | ) | (3,324 | ) | ||||
L Brands, Inc. | (65 | ) | (2,484 | ) | ||||
LKQ Corp.* | (78 | ) | (2,960 | ) | ||||
Lowe’s Cos., Inc. | (210 | ) | (18,428 | ) | ||||
Macy’s, Inc. | (78 | ) | (2,320 | ) | ||||
Netflix, Inc.* | (83 | ) | (24,514 | ) | ||||
TripAdvisor, Inc.* | (38 | ) | (1,554 | ) | ||||
|
| |||||||
(72,393 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (2.1)% |
| |||||||
Broadcom Ltd. (Singapore) | (61 | ) | (14,375 | ) | ||||
Microchip Technology, Inc. | (66 | ) | (6,030 | ) | ||||
NVIDIA Corp. | (107 | ) | (24,780 | ) | ||||
Xilinx, Inc. | (65 | ) | (4,696 | ) | ||||
|
| |||||||
(49,881 | ) | |||||||
|
| |||||||
Software & Services — (4.8)% | ||||||||
Activision Blizzard, Inc. | (191 | ) | (12,885 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Adobe Systems, Inc.* | (13 | ) | $ | (2,809 | ) | |||
Akamai Technologies, Inc.* | (43 | ) | (3,052 | ) | ||||
ANSYS, Inc.* | (22 | ) | (3,447 | ) | ||||
Autodesk, Inc.* | (55 | ) | (6,907 | ) | ||||
Automatic Data Processing, Inc. | (112 | ) | (12,710 | ) | ||||
Cadence Design Systems, Inc.* | (72 | ) | (2,647 | ) | ||||
Electronic Arts, Inc.* | (77 | ) | (9,336 | ) | ||||
Facebook, Inc., Class A* | (2 | ) | (320 | ) | ||||
Global Payments, Inc. | (41 | ) | (4,572 | ) | ||||
Intuit, Inc. | (65 | ) | (11,268 | ) | ||||
PayPal Holdings, Inc.* | (106 | ) | (8,042 | ) | ||||
Red Hat, Inc.* | (33 | ) | (4,934 | ) | ||||
salesforce.com, Inc.* | (130 | ) | (15,119 | ) | ||||
Symantec Corp. | (158 | ) | (4,084 | ) | ||||
Synopsys, Inc.* | (38 | ) | (3,163 | ) | ||||
Take-Two Interactive Software, Inc.* | (26 | ) | (2,542 | ) | ||||
VeriSign, Inc.* | (34 | ) | (4,031 | ) | ||||
Western Union Co. (The) | (116 | ) | (2,231 | ) | ||||
|
| |||||||
(114,099 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.8)% |
| |||||||
Corning, Inc. | (226 | ) | (6,301 | ) | ||||
TE Connectivity Ltd. (Switzerland) | (119 | ) | (11,888 | ) | ||||
|
| |||||||
(18,189 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.2)% |
| |||||||
CenturyLink, Inc. | (270 | ) | (4,436 | ) | ||||
|
| |||||||
Transportation — (2.7)% | ||||||||
American Airlines Group, Inc. | (120 | ) | (6,235 | ) | ||||
CSX Corp. | (224 | ) | (12,479 | ) | ||||
FedEx Corp. | (67 | ) | (16,087 | ) | ||||
JB Hunt Transport Services, Inc. | (28 | ) | (3,280 | ) | ||||
Southwest Airlines Co. | (149 | ) | (8,535 | ) | ||||
United Continental Holdings, Inc.* | (73 | ) | (5,071 | ) | ||||
United Parcel Service, Inc., Class B | (114 | ) | (11,931 | ) | ||||
|
| |||||||
(63,618 | ) | |||||||
|
| |||||||
Utilities — (2.2)% | ||||||||
Ameren Corp. | (55 | ) | (3,115 | ) | ||||
American Electric Power Co., Inc. | (124 | ) | (8,505 | ) | ||||
American Water Works Co., Inc. | (45 | ) | (3,696 | ) | ||||
Entergy Corp. | (45 | ) | (3,545 | ) | ||||
Eversource Energy | (79 | ) | (4,655 | ) | ||||
NiSource, Inc. | (85 | ) | (2,032 | ) | ||||
PG&E Corp. | (129 | ) | (5,667 | ) | ||||
PPL Corp. | (87 | ) | (2,461 | ) |
The accompanying notes are an integral part of the financial statements.
43
GOTHAM ABSOLUTE 500 CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
Public Service Enterprise Group, Inc. | (127 | ) | $ | (6,380 | ) | |||
Sempra Energy | (63 | ) | (7,007 | ) | ||||
WEC Energy Group, Inc. | (79 | ) | (4,953 | ) | ||||
|
| |||||||
(52,016 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $1,227,244) | (1,212,815 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (51.1)% |
| (1,212,815 | ) | |||||
|
| |||||||
(Proceeds $1,227,244) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.4% | 935,710 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,376,190 | ||||||
|
|
† | 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.
44
GOTHAM ENHANCED 500 FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 184.5% |
| |||||||
COMMON STOCKS — 184.5% |
| |||||||
Automobiles & Components — 2.4% |
| |||||||
Aptiv PLC (Jersey)† | 2,972 | $ | 252,531 | |||||
BorgWarner, Inc.†(a) | 2,346 | 117,840 | ||||||
General Motors Co.† | 6,789 | 246,712 | ||||||
Goodyear Tire & Rubber Co. (The) | 2,672 | 71,022 | ||||||
|
| |||||||
688,105 | ||||||||
|
| |||||||
Capital Goods — 26.6% |
| |||||||
3M Co. | 661 | 145,103 | ||||||
Acuity Brands, Inc.(a) | 449 | 62,496 | ||||||
AMETEK, Inc.† | 2,572 | 195,395 | ||||||
Arconic, Inc. | 1,775 | 40,896 | ||||||
Boeing Co. (The)† | 2,569 | 842,324 | ||||||
Caterpillar, Inc.† | 3,591 | 529,242 | ||||||
Cummins, Inc.† | 1,839 | 298,084 | ||||||
Deere & Co. | 2,063 | 320,425 | ||||||
Dover Corp.† | 1,763 | 173,162 | ||||||
Emerson Electric Co.† | 7,058 | 482,061 | ||||||
Flowserve Corp.(a) | 950 | 41,164 | ||||||
Fortune Brands Home & Security, Inc. | 1,691 | 99,583 | ||||||
General Dynamics Corp.† | 3,305 | 730,074 | ||||||
Harris Corp.† | 1,237 | 199,503 | ||||||
Honeywell International, Inc.† | 4,856 | 701,741 | ||||||
Illinois Tool Works, Inc. | 1,951 | 305,644 | ||||||
Ingersoll-Rand PLC (Ireland)† | 2,079 | 177,775 | ||||||
Johnson Controls International PLC (Ireland) | 116 | 4,088 | ||||||
L3 Technologies, Inc. | 809 | 168,272 | ||||||
Masco Corp.† | 3,464 | 140,084 | ||||||
Pentair PLC (Ireland)(a) | 1,819 | 123,928 | ||||||
Raytheon Co.† | 3,206 | 691,919 | ||||||
Rockwell Collins, Inc. | 300 | 40,455 | ||||||
Snap-on, Inc.(a) | 630 | 92,950 | ||||||
Stanley Black & Decker, Inc. | 1,715 | 262,738 | ||||||
TransDigm Group, Inc.(a) | 73 | 22,407 | ||||||
United Technologies Corp.† | 3,391 | 426,656 | ||||||
WW Grainger, Inc.(a) | 626 | 176,701 | ||||||
Xylem, Inc.† | 2,002 | 153,994 | ||||||
|
| |||||||
7,648,864 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.7% |
| |||||||
Cintas Corp.† | 373 | 63,626 | ||||||
Nielsen Holdings PLC (United Kingdom)(a) | 3,961 | 125,920 | ||||||
Republic Services, Inc. | 8 | 530 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Robert Half International, Inc.† | 310 | $ | 17,946 | |||||
|
| |||||||
208,022 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.8% |
| |||||||
Hanesbrands, Inc.(a) | 4,007 | 73,809 | ||||||
Mattel, Inc.(a) | 3,826 | 50,312 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 1,767 | 109,695 | ||||||
Newell Brands, Inc.(a) | 5,400 | 137,592 | ||||||
Ralph Lauren Corp.(a) | 905 | 101,179 | ||||||
VF Corp.† | 4,406 | 326,573 | ||||||
|
| |||||||
799,160 | ||||||||
|
| |||||||
Consumer Services — 6.2% |
| |||||||
Hilton Worldwide Holdings, Inc.† | 3,479 | 274,006 | ||||||
Marriott International, Inc., Class A† | 3,572 | 485,721 | ||||||
McDonald’s Corp.† | 3,502 | 547,643 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 251 | 29,553 | ||||||
Wyndham Worldwide Corp. | 1,111 | 127,132 | ||||||
Yum! Brands, Inc.† | 3,828 | 325,878 | ||||||
|
| |||||||
1,789,933 | ||||||||
|
| |||||||
Diversified Financials — 10.7% |
| |||||||
American Express Co. | 1,833 | 170,982 | ||||||
Berkshire Hathaway, Inc., Class B†* | 1,179 | 235,187 | ||||||
BlackRock, Inc.† | 1,792 | 970,762 | ||||||
Franklin Resources, Inc.(b) | 6,148 | 213,213 | ||||||
Intercontinental Exchange, Inc.† | 5,529 | 400,963 | ||||||
Invesco Ltd. (Bermuda)† | 4,529 | 144,973 | ||||||
Moody’s Corp.† | 1,621 | 261,467 | ||||||
Nasdaq, Inc.† | 1,863 | 160,628 | ||||||
S&P Global, Inc.† | 1,248 | 238,443 | ||||||
T Rowe Price Group, Inc.(b) | 2,728 | 294,542 | ||||||
|
| |||||||
3,091,160 | ||||||||
|
| |||||||
Energy — 10.2% |
| |||||||
Andeavor(b) | 1,707 | 171,656 | ||||||
Apache Corp.(a) | 4,239 | 163,117 | ||||||
Cabot Oil & Gas Corp. | 5,126 | 122,921 | ||||||
ConocoPhillips†(b) | 13,109 | 777,233 | ||||||
Hess Corp.(a) | 3,507 | 177,524 | ||||||
Marathon Petroleum Corp.†(b) | 5,409 | 395,452 | ||||||
Phillips 66†(b) | 5,587 | 535,905 | ||||||
TechnipFMC PLC (United Kingdom)† | 5,197 | 153,052 | ||||||
Valero Energy Corp.† | 4,829 | 447,986 | ||||||
|
| |||||||
2,944,846 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
45
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — 6.1% |
| |||||||
CVS Health Corp.† | 5,166 | $ | 321,377 | |||||
Kroger Co. (The)† | 9,682 | 231,787 | ||||||
Sysco Corp.† | 1,666 | 99,893 | ||||||
Walgreens Boots Alliance, Inc.† | 5,932 | 388,368 | ||||||
Walmart, Inc.† | 8,029 | 714,340 | ||||||
|
| |||||||
1,755,765 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 10.6% |
| |||||||
Altria Group, Inc.† | 13,730 | 855,654 | ||||||
Campbell Soup Co.(a) | 659 | 28,541 | ||||||
Coca-Cola Co. (The)† | 1,647 | 71,529 | ||||||
Conagra Brands, Inc. | 1,696 | 62,548 | ||||||
Dr Pepper Snapple Group, Inc.† | 810 | 95,888 | ||||||
General Mills, Inc. | 6,345 | 285,906 | ||||||
Hershey Co. (The) | 2,346 | 232,160 | ||||||
JM Smucker Co. (The)(a) | 49 | 6,076 | ||||||
Kraft Heinz Co. (The) | 6,370 | 396,787 | ||||||
McCormick & Co., Inc., non-voting shares(a) | 430 | 45,748 | ||||||
PepsiCo, Inc.† | 4,392 | 479,387 | ||||||
Philip Morris International, Inc. | 1,878 | 186,673 | ||||||
Tyson Foods, Inc., Class A(b) | 4,096 | 299,786 | ||||||
|
| |||||||
3,046,683 | ||||||||
|
| |||||||
Health Care Equipment & Services — 9.9% |
| |||||||
Abbott Laboratories† | 5,946 | 356,284 | ||||||
Aetna, Inc.† | 2,348 | 396,812 | ||||||
AmerisourceBergen Corp.(b) | 562 | 48,450 | ||||||
Anthem, Inc.† | 32 | 7,030 | ||||||
Centene Corp.†* | 4 | 427 | ||||||
Cigna Corp.† | 2,703 | 453,401 | ||||||
Envision Healthcare Corp.(a)* | 1,011 | 38,853 | ||||||
Express Scripts Holding Co.†* | 6,133 | 423,668 | ||||||
Humana, Inc.† | 1,528 | 410,772 | ||||||
Laboratory Corp. of America Holdings†* | 1,150 | 186,012 | ||||||
Quest Diagnostics, Inc.† | 1,500 | 150,450 | ||||||
UnitedHealth Group, Inc.† | 1,187 | 254,018 | ||||||
Varian Medical Systems, Inc.†* | 966 | 118,480 | ||||||
|
| |||||||
2,844,657 | ||||||||
|
| |||||||
Household & Personal Products — 6.0% |
| |||||||
Church & Dwight Co., Inc. | 450 | 22,662 | ||||||
Estee Lauder Cos., Inc. (The), Class A†(b) | 4,092 | 612,654 | ||||||
Kimberly-Clark Corp.† | 1,191 | 131,165 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Procter & Gamble Co. (The)† | 11,998 | $ | 951,201 | |||||
|
| |||||||
1,717,682 | ||||||||
|
| |||||||
Insurance — 5.8% | ||||||||
Aflac, Inc. | 1,199 | 52,468 | ||||||
Allstate Corp. (The) | 1,153 | 109,304 | ||||||
Aon PLC (United Kingdom)† | 2,755 | 386,609 | ||||||
Hartford Financial Services Group, Inc. (The) | 1,573 | 81,041 | ||||||
Marsh & McLennan Cos., Inc.(b) | 5,662 | 467,625 | ||||||
Progressive Corp. (The)† | 6,473 | 394,400 | ||||||
Torchmark Corp. | 1,275 | 107,317 | ||||||
Travelers Cos., Inc. (The) | 471 | 65,403 | ||||||
|
| |||||||
1,664,167 | ||||||||
|
| |||||||
Materials — 9.7% | ||||||||
Air Products & Chemicals, Inc.† | 459 | 72,995 | ||||||
Avery Dennison Corp. | 981 | 104,231 | ||||||
Eastman Chemical Co.†(a) | 1,591 | 167,978 | ||||||
Freeport-McMoRan, Inc.† | 16,114 | 283,123 | ||||||
International Flavors & Fragrances, Inc. | 459 | 62,842 | ||||||
International Paper Co.† | 4,596 | 245,564 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 4,391 | 464,041 | ||||||
Monsanto Co.† | 4,905 | 572,364 | ||||||
PPG Industries, Inc.† | 2,802 | 312,703 | ||||||
Praxair, Inc. | 26 | 3,752 | ||||||
Sealed Air Corp.(a) | 1,973 | 84,425 | ||||||
Sherwin-Williams Co. (The)† | 1,044 | 409,373 | ||||||
|
| |||||||
2,783,391 | ||||||||
|
| |||||||
Media — 6.2% | ||||||||
CBS Corp., Class B, non-voting shares† | 4,484 | 230,433 | ||||||
Discovery, Inc., Class A(a)* | 6,321 | 135,459 | ||||||
Interpublic Group of Cos., Inc. (The)(a) | 4,264 | 98,200 | ||||||
News Corp., Class A† | 6,486 | 102,479 | ||||||
Omnicom Group, Inc.(a) | 2,560 | 186,035 | ||||||
Time Warner, Inc.† | 8,681 | 821,049 | ||||||
Twenty-First Century Fox, Inc., Class A(b) | 2,059 | 75,545 | ||||||
Viacom, Inc., Class B† | 4,479 | 139,118 | ||||||
|
| |||||||
1,788,318 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
46
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 25.5% |
| |||||||
AbbVie, Inc.†(b) | 9,900 | $ | 937,035 | |||||
Amgen, Inc.† | 4,802 | 818,645 | ||||||
Biogen, Inc.†* | 2,352 | 644,025 | ||||||
Bristol-Myers Squibb Co.† | 158 | 9,994 | ||||||
Celgene Corp.†* | 8,430 | 752,040 | ||||||
Gilead Sciences, Inc.†(a) | 9,333 | 703,615 | ||||||
Johnson & Johnson†(b) | 8,283 | 1,061,466 | ||||||
Merck & Co., Inc.† | 16,548 | 901,370 | ||||||
Pfizer, Inc.† | 29,818 | 1,058,241 | ||||||
Waters Corp.* | 31 | 6,158 | ||||||
Zoetis, Inc.† | 5,410 | 451,789 | ||||||
|
| |||||||
7,344,378 | ||||||||
|
| |||||||
Real Estate — 2.2% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT†(a) | 626 | 78,181 | ||||||
CBRE Group, Inc., Class A* | 3,778 | 178,397 | ||||||
Equity Residential, REIT | 1,021 | 62,914 | ||||||
Mid-America Apartment Communities, Inc., REIT | 167 | 15,237 | ||||||
Weyerhaeuser Co., REIT(b) | 8,405 | 294,175 | ||||||
|
| |||||||
628,904 | ||||||||
|
| |||||||
Retailing — 8.1% |
| |||||||
Advance Auto Parts, Inc.(a) | 819 | 97,092 | ||||||
Amazon.com, Inc.* | 10 | 14,473 | ||||||
Best Buy Co., Inc.(a) | 747 | 52,283 | ||||||
Booking Holdings, Inc.(b)* | 397 | 825,915 | ||||||
Dollar Tree, Inc.†* | 372 | 35,303 | ||||||
Foot Locker, Inc.(a) | 1,322 | 60,204 | ||||||
Gap, Inc. (The)(a) | 326 | 10,171 | ||||||
Home Depot, Inc. (The)† | 2,945 | 524,917 | ||||||
Kohl’s Corp.(a) | 1,802 | 118,049 | ||||||
Nordstrom, Inc.(a) | 83 | 4,018 | ||||||
O’Reilly Automotive, Inc.†* | 777 | 192,214 | ||||||
Ross Stores, Inc.† | 2,830 | 220,683 | ||||||
Target Corp.† | 1,468 | 101,923 | ||||||
Tiffany & Co. | 62 | 6,055 | ||||||
Tractor Supply Co. | 1,264 | 79,657 | ||||||
|
| |||||||
2,342,957 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.1% |
| |||||||
Applied Materials, Inc.† | 2,151 | 119,617 | ||||||
Intel Corp.† | 5,562 | 289,669 | ||||||
Lam Research Corp. | 217 | 44,086 | ||||||
Micron Technology, Inc.†(b)* | 14,172 | 738,928 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
QUALCOMM, Inc. | 1,201 | $ | 66,547 | |||||
Texas Instruments, Inc.† | 7,596 | 789,148 | ||||||
|
| |||||||
2,047,995 | ||||||||
|
| |||||||
Software & Services — 8.7% |
| |||||||
Accenture PLC, Class A (Ireland)† | 4,341 | 666,344 | ||||||
Alliance Data Systems Corp.† | 616 | 131,122 | ||||||
CA, Inc.† | 4,587 | 155,499 | ||||||
Citrix Systems, Inc.†* | 53 | 4,918 | ||||||
DXC Technology Co.† | 3,177 | 319,384 | ||||||
eBay, Inc.†* | 433 | 17,424 | ||||||
Fidelity National Information Services, Inc. | 1,217 | 117,197 | ||||||
International Business Machines Corp.† | 5,535 | 849,235 | ||||||
Paychex, Inc.(a) | 3,497 | 215,380 | ||||||
Total System Services, Inc.† | 56 | 4,831 | ||||||
Visa, Inc., Class A(a) | 117 | 13,996 | ||||||
|
| |||||||
2,495,330 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 10.8% |
| |||||||
Apple, Inc.† | 6,303 | 1,057,517 | ||||||
Cisco Systems, Inc.† | 15,814 | 678,262 | ||||||
F5 Networks, Inc.†* | 388 | 56,109 | ||||||
FLIR Systems, Inc.† | 1 | 50 | ||||||
Hewlett Packard Enterprise Co.† | 13,330 | 233,808 | ||||||
HP, Inc.† | 18,062 | 395,919 | ||||||
Juniper Networks, Inc.† | 4,004 | 97,417 | ||||||
Motorola Solutions, Inc.† | 1,794 | 188,908 | ||||||
NetApp, Inc.† | 2,982 | 183,960 | ||||||
Seagate Technology PLC (Ireland) | 3,171 | 185,567 | ||||||
TE Connectivity Ltd. (Switzerland) | 2 | 200 | ||||||
Western Digital Corp.† | 299 | 27,589 | ||||||
Xerox Corp. | 197 | 5,670 | ||||||
|
| |||||||
3,110,976 | ||||||||
|
| |||||||
Telecommunication Services — 2.8% |
| |||||||
Verizon Communications, Inc.† | 16,820 | 804,332 | ||||||
|
| |||||||
Transportation — 2.6% |
| |||||||
Expeditors International of Washington, Inc.† | 1,962 | 124,195 | ||||||
Norfolk Southern Corp.† | 1,732 | 235,171 | ||||||
Union Pacific Corp.† | 2,921 | 392,670 | ||||||
|
| |||||||
752,036 | ||||||||
|
| |||||||
Utilities — 2.8% |
| |||||||
Duke Energy Corp.† | 728 | 56,398 |
The accompanying notes are an integral part of the financial statements.
47
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
FirstEnergy Corp.†(a) | 4,957 | $ | 168,588 | |||||
NextEra Energy, Inc.† | 1,639 | 267,698 | ||||||
NRG Energy, Inc.† | 3,526 | 107,649 | ||||||
Southern Co. (The)(a) | 4,808 | 214,725 | ||||||
|
| |||||||
815,058 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 53,112,719 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 184.5% |
| 53,112,719 | ||||||
|
| |||||||
(Cost $50,338,760) | ||||||||
SHORT POSITIONS — (86.2)% |
| |||||||
COMMON STOCKS — (86.2)% |
| |||||||
Automobiles & Components — (0.9)% |
| |||||||
Ford Motor Co. | (20,551 | ) | (227,705 | ) | ||||
Harley-Davidson, Inc. | (870 | ) | (37,306 | ) | ||||
|
| |||||||
(265,011 | ) | |||||||
|
| |||||||
Banks — (4.8)% | ||||||||
Citizens Financial Group, Inc. | (2,540 | ) | (106,629 | ) | ||||
Comerica, Inc. | (279 | ) | (26,764 | ) | ||||
Fifth Third Bancorp | (3,590 | ) | (113,982 | ) | ||||
Huntington Bancshares, Inc. | (5,547 | ) | (83,760 | ) | ||||
KeyCorp | (5,531 | ) | (108,131 | ) | ||||
M&T Bank Corp. | (424 | ) | (78,169 | ) | ||||
Regions Financial Corp. | (6,081 | ) | (112,985 | ) | ||||
SunTrust Banks, Inc. | (2,437 | ) | (165,813 | ) | ||||
SVB Financial Group* | (83 | ) | (19,921 | ) | ||||
US Bancorp | (5,925 | ) | (299,212 | ) | ||||
Wells Fargo & Co. | (4,069 | ) | (213,256 | ) | ||||
Zions Bancorporation | (1,022 | ) | (53,890 | ) | ||||
|
| |||||||
(1,382,512 | ) | |||||||
|
| |||||||
Capital Goods — (1.9)% | ||||||||
Fastenal Co. | (1,488 | ) | (81,230 | ) | ||||
Fluor Corp. | (345 | ) | (19,741 | ) | ||||
Fortive Corp. | (237 | ) | (18,372 | ) | ||||
Jacobs Engineering Group, Inc. | (732 | ) | (43,298 | ) | ||||
Lockheed Martin Corp. | (1 | ) | (338 | ) | ||||
Northrop Grumman Corp. | (41 | ) | (14,314 | ) | ||||
Parker-Hannifin Corp. | (646 | ) | (110,485 | ) | ||||
Quanta Services, Inc.* | (795 | ) | (27,308 | ) | ||||
Rockwell Automation, Inc. | (662 | ) | (115,320 | ) | ||||
Textron, Inc. | (648 | ) | (38,213 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
United Rentals, Inc.* | (436 | ) | $ | (75,310 | ) | |||
|
| |||||||
(543,929 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (1.0)% |
| |||||||
Equifax, Inc. | (622 | ) | (73,278 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (2,059 | ) | (99,326 | ) | ||||
Stericycle, Inc.* | (470 | ) | (27,509 | ) | ||||
Waste Management, Inc. | (962 | ) | (80,923 | ) | ||||
|
| |||||||
(281,036 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.7)% |
| |||||||
Mohawk Industries, Inc.* | (386 | ) | (89,637 | ) | ||||
NIKE, Inc., Class B | (7,431 | ) | (493,716 | ) | ||||
PVH Corp. | (387 | ) | (58,603 | ) | ||||
Tapestry, Inc. | (1,473 | ) | (77,495 | ) | ||||
Under Armour, Inc., Class C* | (275 | ) | (3,946 | ) | ||||
Whirlpool Corp. | (368 | ) | (56,344 | ) | ||||
|
| |||||||
(779,741 | ) | |||||||
|
| |||||||
Consumer Services — (3.2)% | ||||||||
Carnival Corp. (Panama) | (2,067 | ) | (135,554 | ) | ||||
Chipotle Mexican Grill, Inc.* | (144 | ) | (46,528 | ) | ||||
Darden Restaurants, Inc. | (625 | ) | (53,281 | ) | ||||
MGM Resorts International | (2,929 | ) | (102,574 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (1,183 | ) | (62,664 | ) | ||||
Starbucks Corp. | (7,282 | ) | (421,555 | ) | ||||
Wynn Resorts Ltd. | (532 | ) | (97,016 | ) | ||||
|
| |||||||
(919,172 | ) | |||||||
|
| |||||||
Diversified Financials — (3.1)% | ||||||||
Affiliated Managers Group, Inc. | (286 | ) | (54,220 | ) | ||||
Ameriprise Financial, Inc. | (604 | ) | (89,356 | ) | ||||
Capital One Financial Corp. | (937 | ) | (89,783 | ) | ||||
Goldman Sachs Group, Inc. (The) | (1,680 | ) | (423,125 | ) | ||||
Leucadia National Corp. | (1,843 | ) | (41,891 | ) | ||||
Morgan Stanley | (987 | ) | (53,259 | ) | ||||
Navient Corp. | (1,360 | ) | (17,843 | ) | ||||
Synchrony Financial | (3,987 | ) | (133,684 | ) | ||||
|
| |||||||
(903,161 | ) | |||||||
|
| |||||||
Energy — (6.3)% | ||||||||
Anadarko Petroleum Corp. | (2,746 | ) | (165,886 | ) | ||||
Chevron Corp. | (175 | ) | (19,957 | ) | ||||
Cimarex Energy Co. | (493 | ) | (46,096 | ) | ||||
Concho Resources, Inc.* | (772 | ) | (116,055 | ) | ||||
Devon Energy Corp. | (2,716 | ) | (86,342 | ) | ||||
EOG Resources, Inc. | (2,972 | ) | (312,862 | ) |
The accompanying notes are an integral part of the financial statements.
48
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
EQT Corp. | (1,367 | ) | $ | (64,946 | ) | |||
Halliburton Co. | (2,995 | ) | (140,585 | ) | ||||
Helmerich & Payne, Inc. | (563 | ) | (37,473 | ) | ||||
Kinder Morgan, Inc. | (11,771 | ) | (177,271 | ) | ||||
Newfield Exploration Co.* | (1,033 | ) | (25,226 | ) | ||||
Occidental Petroleum Corp. | (3,339 | ) | (216,901 | ) | ||||
ONEOK, Inc. | (2,010 | ) | (114,409 | ) | ||||
Pioneer Natural Resources Co. | (880 | ) | (151,166 | ) | ||||
Range Resources Corp. | (1,283 | ) | (18,655 | ) | ||||
Williams Cos., Inc. (The) | (4,273 | ) | (106,227 | ) | ||||
|
| |||||||
(1,800,057 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.4)% |
| |||||||
Costco Wholesale Corp. | (2,091 | ) | (394,007 | ) | ||||
|
| |||||||
Food, Beverage & Tobacco — (3.8)% |
| |||||||
Archer-Daniels-Midland Co. | (2,881 | ) | (124,949 | ) | ||||
Brown-Forman Corp., Class B | (2,486 | ) | (135,238 | ) | ||||
Constellation Brands, Inc., Class A | (875 | ) | (199,430 | ) | ||||
Hormel Foods Corp. | (668 | ) | (22,926 | ) | ||||
Kellogg Co. | (1,788 | ) | (116,238 | ) | ||||
Mondelez International, Inc., Class A | (7,699 | ) | (321,279 | ) | ||||
Monster Beverage Corp.* | (2,930 | ) | (167,625 | ) | ||||
|
| |||||||
(1,087,685 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (6.7)% |
| |||||||
Align Technology, Inc.* | (414 | ) | (103,968 | ) | ||||
Becton Dickinson and Co. | (1,377 | ) | (298,396 | ) | ||||
Boston Scientific Corp.* | (7,105 | ) | (194,109 | ) | ||||
Cardinal Health, Inc. | (1,629 | ) | (102,106 | ) | ||||
Cerner Corp.* | (1,772 | ) | (102,776 | ) | ||||
Cooper Cos., Inc. (The) | (253 | ) | (57,889 | ) | ||||
DaVita, Inc.* | (943 | ) | (62,181 | ) | ||||
DENTSPLY SIRONA, Inc. | (1,174 | ) | (59,064 | ) | ||||
Edwards Lifesciences Corp.* | (998 | ) | (139,241 | ) | ||||
HCA Healthcare, Inc. | (1,811 | ) | (175,667 | ) | ||||
Henry Schein, Inc.* | (796 | ) | (53,499 | ) | ||||
Hologic, Inc.* | (1,428 | ) | (53,350 | ) | ||||
IDEXX Laboratories, Inc.* | (450 | ) | (86,126 | ) | ||||
Intuitive Surgical, Inc.* | (156 | ) | (64,401 | ) | ||||
McKesson Corp. | (1,065 | ) | (150,027 | ) | ||||
ResMed, Inc. | (739 | ) | (72,769 | ) | ||||
Stryker Corp. | (275 | ) | (44,253 | ) | ||||
Zimmer Biomet Holdings, Inc. | (1,048 | ) | (114,274 | ) | ||||
|
| |||||||
(1,934,096 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (0.6)% |
| |||||||
Clorox Co. (The) | (669 | ) | $ | (89,051 | ) | |||
Colgate-Palmolive Co. | (107 | ) | (7,670 | ) | ||||
Coty, Inc., Class A | (3,879 | ) | (70,986 | ) | ||||
|
| |||||||
(167,707 | ) | |||||||
|
| |||||||
Insurance — (3.3)% | ||||||||
American International Group, Inc. | (4,652 | ) | (253,162 | ) | ||||
Assurant, Inc. | (272 | ) | (24,864 | ) | ||||
Brighthouse Financial, Inc.* | (20 | ) | (1,028 | ) | ||||
Chubb Ltd. (Switzerland) | (1,113 | ) | (152,225 | ) | ||||
Cincinnati Financial Corp. | (848 | ) | (62,972 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (184 | ) | (47,255 | ) | ||||
Lincoln National Corp. | (1,129 | ) | (82,485 | ) | ||||
Principal Financial Group, Inc. | (1,496 | ) | (91,121 | ) | ||||
Unum Group | (1,152 | ) | (54,847 | ) | ||||
Willis Towers Watson PLC (Ireland) | (684 | ) | (104,098 | ) | ||||
XL Group Ltd. (Bermuda) | (1,325 | ) | (73,220 | ) | ||||
|
| |||||||
(947,277 | ) | |||||||
|
| |||||||
Materials — (4.1)% | ||||||||
Albemarle Corp. | (571 | ) | (52,955 | ) | ||||
Ball Corp. | (1,426 | ) | (56,626 | ) | ||||
CF Industries Holdings, Inc. | (1,203 | ) | (45,389 | ) | ||||
DowDuPont, Inc. | (7,846 | ) | (499,869 | ) | ||||
FMC Corp. | (694 | ) | (53,140 | ) | ||||
Martin Marietta Materials, Inc. | (325 | ) | (67,372 | ) | ||||
Mosaic Co. (The) | (1,816 | ) | (44,092 | ) | ||||
Newmont Mining Corp. | (2,758 | ) | (107,755 | ) | ||||
Nucor Corp. | (1,645 | ) | (100,493 | ) | ||||
Vulcan Materials Co. | (684 | ) | (78,092 | ) | ||||
WestRock Co. | (1,259 | ) | (80,790 | ) | ||||
|
| |||||||
(1,186,573 | ) | |||||||
|
| |||||||
Media — (3.7)% | ||||||||
Charter Communications, Inc., Class A* | (1,002 | ) | (311,842 | ) | ||||
Comcast Corp., Class A | (6,229 | ) | (212,845 | ) | ||||
DISH Network Corp., Class A* | (2,414 | ) | (91,466 | ) | ||||
Walt Disney Co. (The) | (4,567 | ) | (458,709 | ) | ||||
|
| |||||||
(1,074,862 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (5.6)% |
| |||||||
Agilent Technologies, Inc. | (403 | ) | (26,961 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (1,150 | ) | (128,179 | ) | ||||
Allergan PLC (Ireland) | (355 | ) | (59,743 | ) | ||||
Illumina, Inc.* | (760 | ) | (179,679 | ) | ||||
Incyte Corp.* | (1,127 | ) | (93,913 | ) |
The accompanying notes are an integral part of the financial statements.
49
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
IQVIA Holdings, Inc.* | (1,187 | ) | $ | (116,457 | ) | |||
Mettler-Toledo International, Inc.* | (133 | ) | (76,479 | ) | ||||
Mylan NV (Netherlands)* | (2,681 | ) | (110,377 | ) | ||||
Nektar Therapeutics* | (825 | ) | (87,664 | ) | ||||
PerkinElmer, Inc. | (571 | ) | (43,236 | ) | ||||
Perrigo Co. PLC (Ireland) | (729 | ) | (60,755 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (636 | ) | (219,013 | ) | ||||
Thermo Fisher Scientific, Inc. | (884 | ) | (182,511 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (1,337 | ) | (217,904 | ) | ||||
|
| |||||||
(1,602,871 | ) | |||||||
|
| |||||||
Real Estate — (7.4)% |
| |||||||
American Tower Corp., REIT | (2,220 | ) | (322,655 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (814 | ) | (33,170 | ) | ||||
Boston Properties, Inc., REIT | (799 | ) | (98,453 | ) | ||||
Crown Castle International Corp., REIT | (2,101 | ) | (230,291 | ) | ||||
Digital Realty Trust, Inc., REIT | (520 | ) | (54,798 | ) | ||||
Duke Realty Corp., REIT | (949 | ) | (25,130 | ) | ||||
Equinix, Inc., REIT | (408 | ) | (170,601 | ) | ||||
Essex Property Trust, Inc., REIT | (167 | ) | (40,194 | ) | ||||
Extra Space Storage, Inc., REIT | (652 | ) | (56,959 | ) | ||||
Federal Realty Investment Trust, REIT | (379 | ) | (44,006 | ) | ||||
GGP, Inc., REIT | (4,950 | ) | (101,277 | ) | ||||
HCP, Inc., REIT | (2,429 | ) | (56,426 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (3,824 | ) | (71,279 | ) | ||||
Iron Mountain, Inc., REIT | (1,464 | ) | (48,107 | ) | ||||
Kimco Realty Corp., REIT | (2,203 | ) | (31,723 | ) | ||||
Macerich Co. (The), REIT | (729 | ) | (40,839 | ) | ||||
Prologis, Inc., REIT | (74 | ) | (4,661 | ) | ||||
Public Storage, REIT | (900 | ) | (180,351 | ) | ||||
SBA Communications Corp., REIT* | (602 | ) | (102,894 | ) | ||||
Simon Property Group, Inc., REIT | (1,609 | ) | (248,349 | ) | ||||
SL Green Realty Corp., REIT | (481 | ) | (46,575 | ) | ||||
UDR, Inc., REIT | (1,386 | ) | (49,369 | ) | ||||
Vornado Realty Trust, REIT | (983 | ) | (66,156 | ) | ||||
Welltower, Inc., REIT | (64 | ) | (3,484 | ) | ||||
|
| |||||||
(2,127,747 | ) | |||||||
|
| |||||||
Retailing — (4.7)% |
| |||||||
CarMax, Inc.* | (938 | ) | (58,100 | ) | ||||
Dollar General Corp. | (1,399 | ) | (130,876 | ) | ||||
Expedia Group, Inc. | (816 | ) | (90,095 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Genuine Parts Co. | (758 | ) | $ | (68,099 | ) | |||
L Brands, Inc. | (342 | ) | (13,068 | ) | ||||
LKQ Corp.* | (1,599 | ) | (60,682 | ) | ||||
Lowe’s Cos., Inc. | (4,293 | ) | (376,711 | ) | ||||
Macy’s, Inc. | (1,574 | ) | (46,811 | ) | ||||
Netflix, Inc.* | (1,567 | ) | (462,813 | ) | ||||
TripAdvisor, Inc.* | (718 | ) | (29,359 | ) | ||||
|
| |||||||
(1,336,614 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (3.4)% |
| |||||||
Broadcom Ltd. (Singapore) | (1,316 | ) | (310,115 | ) | ||||
Microchip Technology, Inc. | (1,352 | ) | (123,519 | ) | ||||
NVIDIA Corp. | (1,949 | ) | (451,369 | ) | ||||
Xilinx, Inc. | (1,318 | ) | (95,212 | ) | ||||
|
| |||||||
(980,215 | ) | |||||||
|
| |||||||
Software & Services — (8.4)% |
| |||||||
Activision Blizzard, Inc. | (3,918 | ) | (264,308 | ) | ||||
Adobe Systems, Inc.* | (338 | ) | (73,035 | ) | ||||
Akamai Technologies, Inc.* | (879 | ) | (62,391 | ) | ||||
ANSYS, Inc.* | (436 | ) | (68,317 | ) | ||||
Autodesk, Inc.* | (1,129 | ) | (141,780 | ) | ||||
Automatic Data Processing, Inc. | (2,291 | ) | (259,983 | ) | ||||
Cadence Design Systems, Inc.* | (1,461 | ) | (53,721 | ) | ||||
Electronic Arts, Inc.* | (1,588 | ) | (192,529 | ) | ||||
Facebook, Inc., Class A* | (109 | ) | (17,417 | ) | ||||
Global Payments, Inc. | (823 | ) | (91,781 | ) | ||||
Intuit, Inc. | (1,324 | ) | (229,515 | ) | ||||
PayPal Holdings, Inc.* | (2,349 | ) | (178,219 | ) | ||||
Red Hat, Inc.* | (856 | ) | (127,981 | ) | ||||
salesforce.com, Inc.* | (2,893 | ) | (336,456 | ) | ||||
Symantec Corp. | (3,215 | ) | (83,108 | ) | ||||
Synopsys, Inc.* | (771 | ) | (64,178 | ) | ||||
Take-Two Interactive Software, Inc.* | (548 | ) | (53,583 | ) | ||||
VeriSign, Inc.* | (694 | ) | (82,281 | ) | ||||
Western Union Co. (The) | (2,375 | ) | (45,671 | ) | ||||
|
| |||||||
(2,426,254 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.4)% |
| |||||||
Corning, Inc. | (4,438 | ) | (123,731 | ) | ||||
|
| |||||||
Telecommunication Services — (0.3)% |
| |||||||
CenturyLink, Inc. | (5,531 | ) | (90,874 | ) | ||||
|
| |||||||
Transportation — (4.7)% |
| |||||||
American Airlines Group, Inc. | (2,468 | ) | (128,237 | ) | ||||
CSX Corp. | (4,603 | ) | (256,433 | ) | ||||
FedEx Corp. | (1,382 | ) | (331,832 | ) |
The accompanying notes are an integral part of the financial statements.
50
GOTHAM ENHANCED 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
JB Hunt Transport Services, Inc. | (567 | ) | $ | (66,424 | ) | |||
Southwest Airlines Co. | (3,044 | ) | (174,360 | ) | ||||
United Continental Holdings, Inc.* | (1,484 | ) | (103,093 | ) | ||||
United Parcel Service, Inc., Class B | (2,868 | ) | (300,165 | ) | ||||
|
| |||||||
(1,360,544 | ) | |||||||
|
| |||||||
Utilities — (3.8)% | ||||||||
Ameren Corp. | (1,137 | ) | (64,388 | ) | ||||
American Electric Power Co., Inc. | (2,545 | ) | (174,562 | ) | ||||
American Water Works Co., Inc. | (923 | ) | (75,806 | ) | ||||
CMS Energy Corp. | (322 | ) | (14,583 | ) | ||||
Entergy Corp. | (933 | ) | (73,502 | ) | ||||
Eversource Energy | (1,639 | ) | (96,570 | ) | ||||
NiSource, Inc. | (1,743 | ) | (41,675 | ) | ||||
PG&E Corp. | (2,664 | ) | (117,030 | ) | ||||
PPL Corp. | (1,996 | ) | (56,467 | ) | ||||
Public Service Enterprise Group, Inc. | (2,612 | ) | (131,227 | ) | ||||
Sempra Energy | (1,300 | ) | (144,586 | ) | ||||
WEC Energy Group, Inc. | (1,632 | ) | (102,326 | ) | ||||
|
| |||||||
(1,092,722 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $25,150,150) | (24,808,398 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (86.2)% |
| (24,808,398 | ) | |||||
|
| |||||||
(Proceeds $25,150,150) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.7% | 476,360 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 28,780,681 | ||||||
|
|
† | 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.
51
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 139.2% |
| |||||||
COMMON STOCKS — 139.2% |
| |||||||
Automobiles & Components — 1.7% |
| |||||||
Aptiv PLC (Jersey)† | 204 | $ | 17,334 | |||||
BorgWarner, Inc. | 160 | 8,037 | ||||||
General Motors Co.† | 414 | 15,045 | ||||||
Goodyear Tire & Rubber Co. (The) | 183 | 4,864 | ||||||
|
| |||||||
45,280 | ||||||||
|
| |||||||
Capital Goods — 19.2% |
| |||||||
3M Co. | 37 | 8,122 | ||||||
Acuity Brands, Inc.(a) | 31 | 4,315 | ||||||
AMETEK, Inc.† | 176 | 13,371 | ||||||
Boeing Co. (The)† | 166 | 54,428 | ||||||
Caterpillar, Inc.† | 183 | 26,971 | ||||||
Cummins, Inc.† | 126 | 20,423 | ||||||
Deere & Co.† | 104 | 16,153 | ||||||
Dover Corp.† | 120 | 11,786 | ||||||
Emerson Electric Co.† | 483 | 32,989 | ||||||
Flowserve Corp.(a) | 97 | 4,203 | ||||||
Fortune Brands Home & Security, Inc. | 116 | 6,831 | ||||||
General Dynamics Corp.† | 227 | 50,144 | ||||||
Harris Corp.† | 89 | 14,354 | ||||||
Honeywell International, Inc.† | 330 | 47,689 | ||||||
Illinois Tool Works, Inc.† | 139 | 21,776 | ||||||
Ingersoll-Rand PLC (Ireland)† | 128 | 10,945 | ||||||
Johnson Controls International PLC (Ireland) | 7 | 247 | ||||||
L3 Technologies, Inc.† | 59 | 12,272 | ||||||
Masco Corp. | 238 | 9,625 | ||||||
Pentair PLC (Ireland) | 134 | 9,129 | ||||||
Raytheon Co.† | 220 | 47,480 | ||||||
Rockwell Collins, Inc. | 9 | 1,214 | ||||||
Snap-on, Inc. | 43 | 6,344 | ||||||
Stanley Black & Decker, Inc.† | 118 | 18,078 | ||||||
United Technologies Corp.† | 231 | 29,064 | ||||||
WW Grainger, Inc.†(a) | 44 | 12,420 | ||||||
Xylem, Inc.† | 137 | 10,538 | ||||||
|
| |||||||
500,911 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.3% |
| |||||||
Nielsen Holdings PLC (United Kingdom) | 271 | 8,615 | ||||||
Robert Half International, Inc.† | 2 | 116 | ||||||
Waste Management, Inc.† | 2 | 168 | ||||||
|
| |||||||
8,899 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — 2.1% |
| |||||||
Hanesbrands, Inc.(a) | 276 | $ | 5,084 | |||||
Mattel, Inc.(a) | 262 | 3,445 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 122 | 7,574 | ||||||
Newell Brands, Inc.(a) | 370 | 9,428 | ||||||
Ralph Lauren Corp.† | 62 | 6,932 | ||||||
VF Corp.† | 301 | 22,310 | ||||||
|
| |||||||
54,773 | ||||||||
|
| |||||||
Consumer Services — 4.3% |
| |||||||
Hilton Worldwide Holdings, Inc.† | 232 | 18,272 | ||||||
Marriott International, Inc., Class A† | 143 | 19,445 | ||||||
McDonald’s Corp.† | 271 | 42,379 | ||||||
Wyndham Worldwide Corp.† | 76 | 8,697 | ||||||
Yum! Brands, Inc.† | 262 | 22,304 | ||||||
|
| |||||||
111,097 | ||||||||
|
| |||||||
Diversified Financials — 8.0% |
| |||||||
American Express Co. | 93 | 8,675 | ||||||
Berkshire Hathaway, Inc., Class B†* | 85 | 16,956 | ||||||
BlackRock, Inc.† | 122 | 66,090 | ||||||
Franklin Resources, Inc.†(a) | 422 | 14,635 | ||||||
Intercontinental Exchange, Inc.† | 444 | 32,199 | ||||||
Invesco Ltd. (Bermuda) | 310 | 9,923 | ||||||
Moody’s Corp.† | 114 | 18,388 | ||||||
Nasdaq, Inc.† | 127 | 10,950 | ||||||
S&P Global, Inc.† | 62 | 11,846 | ||||||
T Rowe Price Group, Inc.† | 187 | 20,190 | ||||||
|
| |||||||
209,852 | ||||||||
|
| |||||||
Energy — 7.7% |
| |||||||
Andeavor† | 116 | 11,665 | ||||||
Apache Corp.†(a) | 284 | 10,928 | ||||||
Cabot Oil & Gas Corp. | 351 | 8,417 | ||||||
ConocoPhillips† | 906 | 53,717 | ||||||
Hess Corp.† | 240 | 12,149 | ||||||
Marathon Petroleum Corp.† | 371 | 27,124 | ||||||
Phillips 66† | 384 | 36,833 | ||||||
TechnipFMC PLC (United Kingdom)† | 356 | 10,484 | ||||||
Valero Energy Corp.† | 332 | 30,800 | ||||||
|
| |||||||
202,117 | ||||||||
|
| |||||||
Food & Staples Retailing — 4.7% |
| |||||||
CVS Health Corp.† | 396 | 24,635 | ||||||
Kroger Co. (The)† | 663 | 15,872 | ||||||
Sysco Corp.† | 112 | 6,716 | ||||||
Walgreens Boots Alliance, Inc.† | 367 | 24,027 |
The accompanying notes are an integral part of the financial statements.
52
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
Walmart, Inc.† | 578 | $ | 51,425 | |||||
|
| |||||||
122,675 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 9.2% |
| |||||||
Altria Group, Inc.† | 1,026 | 63,941 | ||||||
Campbell Soup Co.(a) | 99 | 4,288 | ||||||
Coca-Cola Co. (The)† | 238 | 10,336 | ||||||
Conagra Brands, Inc. | 179 | 6,602 | ||||||
Dr Pepper Snapple Group, Inc.† | 89 | 10,536 | ||||||
General Mills, Inc.† | 435 | 19,601 | ||||||
Hershey Co. (The)† | 160 | 15,834 | ||||||
JM Smucker Co. (The) | 28 | 3,472 | ||||||
Kraft Heinz Co. (The)† | 551 | 34,322 | ||||||
McCormick & Co., Inc., non-voting shares | 3 | 319 | ||||||
PepsiCo, Inc.† | 368 | 40,168 | ||||||
Philip Morris International, Inc. | 110 | 10,934 | ||||||
Tyson Foods, Inc., Class A† | 281 | 20,566 | ||||||
|
| |||||||
240,919 | ||||||||
|
| |||||||
Health Care Equipment & Services — 7.6% |
| |||||||
Abbott Laboratories† | 320 | 19,174 | ||||||
Aetna, Inc.† | 202 | 34,138 | ||||||
AmerisourceBergen Corp.† | 55 | 4,742 | ||||||
Cigna Corp.† | 187 | 31,367 | ||||||
Envision Healthcare Corp.(a)* | 87 | 3,343 | ||||||
Express Scripts Holding Co.†* | 429 | 29,635 | ||||||
Humana, Inc.† | 109 | 29,302 | ||||||
Laboratory Corp. of America Holdings†* | 79 | 12,778 | ||||||
Quest Diagnostics, Inc.† | 103 | 10,331 | ||||||
UnitedHealth Group, Inc.† | 71 | 15,194 | ||||||
Varian Medical Systems, Inc.* | 67 | 8,218 | ||||||
|
| |||||||
198,222 | ||||||||
|
| |||||||
Household & Personal Products — 4.9% |
| |||||||
Church & Dwight Co., Inc. | 33 | 1,662 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 277 | 41,472 | ||||||
Kimberly-Clark Corp.† | 130 | 14,317 | ||||||
Procter & Gamble Co. (The)† | 893 | 70,797 | ||||||
|
| |||||||
128,248 | ||||||||
|
| |||||||
Insurance — 4.7% |
| |||||||
Aflac, Inc. | 206 | 9,015 | ||||||
Allstate Corp. (The) | 101 | 9,575 | ||||||
Aon PLC (United Kingdom)† | 188 | 26,382 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Hartford Financial Services Group, Inc. (The) | 98 | $ | 5,049 | |||||
Marsh & McLennan Cos., Inc.† | 388 | 32,045 | ||||||
Progressive Corp. (The)† | 443 | 26,992 | ||||||
Torchmark Corp. | 87 | 7,323 | ||||||
Travelers Cos., Inc. (The) | 44 | 6,110 | ||||||
|
| |||||||
122,491 | ||||||||
|
| |||||||
Materials — 7.3% |
| |||||||
Avery Dennison Corp. | 68 | 7,225 | ||||||
Eastman Chemical Co.† | 109 | 11,508 | ||||||
Ecolab, Inc. | 17 | 2,330 | ||||||
Freeport-McMoRan, Inc.† | 1,103 | 19,380 | ||||||
International Flavors & Fragrances, Inc. | 54 | 7,393 | ||||||
International Paper Co.† | 315 | 16,830 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 301 | 31,810 | ||||||
Monsanto Co.† | 336 | 39,208 | ||||||
PPG Industries, Inc.† | 194 | 21,650 | ||||||
Praxair, Inc. | 1 | 144 | ||||||
Sealed Air Corp. | 137 | 5,862 | ||||||
Sherwin-Williams Co. (The)† | 71 | 27,841 | ||||||
|
| |||||||
191,181 | ||||||||
|
| |||||||
Media — 4.6% |
| |||||||
CBS Corp., Class B, non-voting shares† | 305 | 15,674 | ||||||
Discovery, Inc., Class A†(a)* | 433 | 9,279 | ||||||
Interpublic Group of Cos., Inc. (The) | 294 | 6,771 | ||||||
News Corp., Class A† | 445 | 7,031 | ||||||
Omnicom Group, Inc.† | 175 | 12,717 | ||||||
Time Warner, Inc.† | 595 | 56,275 | ||||||
Twenty-First Century Fox, Inc., Class A† | 54 | 1,981 | ||||||
Viacom, Inc., Class B | 306 | 9,504 | ||||||
|
| |||||||
119,232 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 19.8% |
| |||||||
AbbVie, Inc.† | 665 | 62,942 | ||||||
Amgen, Inc.† | 349 | 59,498 | ||||||
Biogen, Inc.†* | 161 | 44,085 | ||||||
Bristol-Myers Squibb Co. | 29 | 1,834 | ||||||
Celgene Corp.†* | 576 | 51,385 | ||||||
Gilead Sciences, Inc.† | 701 | 52,849 | ||||||
Johnson & Johnson† | 574 | 73,558 | ||||||
Merck & Co., Inc.† | 1,202 | 65,473 |
The accompanying notes are an integral part of the financial statements.
53
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Pfizer, Inc.† | 2,066 | $ | 73,322 | |||||
Waters Corp.* | 1 | 199 | ||||||
Zoetis, Inc.† | 370 | 30,899 | ||||||
|
| |||||||
516,044 | ||||||||
|
| |||||||
Real Estate — 1.6% | ||||||||
Alexandria Real Estate Equities, Inc., REIT(a) | 20 | 2,498 | ||||||
AvalonBay Communities, Inc., REIT | 1 | 164 | ||||||
CBRE Group, Inc., Class A†* | 259 | 12,230 | ||||||
Equity Residential, REIT | 121 | 7,456 | ||||||
Mid-America Apartment Communities, Inc., REIT | 3 | 274 | ||||||
Weyerhaeuser Co., REIT† | 576 | 20,160 | ||||||
|
| |||||||
42,782 | ||||||||
|
| |||||||
Retailing — 7.1% | ||||||||
Advance Auto Parts, Inc. | 56 | 6,639 | ||||||
Amazon.com, Inc.* | 1 | 1,447 | ||||||
AutoZone, Inc.†* | 2 | 1,297 | ||||||
Best Buy Co., Inc.† | 66 | 4,619 | ||||||
Booking Holdings, Inc.†* | 28 | 58,251 | ||||||
Dollar Tree, Inc.* | 16 | 1,518 | ||||||
Foot Locker, Inc. | 95 | 4,326 | ||||||
Gap, Inc. (The)(a) | 74 | 2,309 | ||||||
Home Depot, Inc. (The)† | 285 | 50,798 | ||||||
Kohl’s Corp. | 127 | 8,320 | ||||||
Nordstrom, Inc. | 2 | 97 | ||||||
O’Reilly Automotive, Inc.†* | 18 | 4,453 | ||||||
Ross Stores, Inc.† | 284 | 22,146 | ||||||
Target Corp.† | 165 | 11,456 | ||||||
Tiffany & Co. | 18 | 1,758 | ||||||
Tractor Supply Co. | 91 | 5,735 | ||||||
|
| |||||||
185,169 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.6% |
| |||||||
Applied Materials, Inc.† | 3 | 167 | ||||||
Intel Corp.† | 249 | 12,968 | ||||||
KLA-Tencor Corp.† | 2 | 218 | ||||||
Micron Technology, Inc.†* | 960 | 50,055 | ||||||
QUALCOMM, Inc. | 112 | 6,206 | ||||||
Texas Instruments, Inc.† | 490 | 50,906 | ||||||
|
| |||||||
120,520 | ||||||||
|
| |||||||
Software & Services — 6.7% | ||||||||
Accenture PLC, Class A (Ireland)† | 290 | 44,515 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Alliance Data Systems Corp. | 42 | $ | 8,940 | |||||
CA, Inc.† | 314 | 10,645 | ||||||
Citrix Systems, Inc.* | 7 | 650 | ||||||
DXC Technology Co.† | 217 | 21,815 | ||||||
Fidelity National Information Services, Inc.† | 138 | 13,289 | ||||||
International Business Machines Corp.† | 389 | 59,684 | ||||||
Paychex, Inc.† | 259 | 15,952 | ||||||
|
| |||||||
175,490 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 8.4% |
| |||||||
Apple, Inc.† | 432 | 72,481 | ||||||
Cisco Systems, Inc.† | 1,104 | 47,351 | ||||||
F5 Networks, Inc.†* | 33 | 4,772 | ||||||
Hewlett Packard Enterprise Co.† | 1,197 | 20,995 | ||||||
HP, Inc.† | 1,246 | 27,312 | ||||||
Juniper Networks, Inc.† | 277 | 6,739 | ||||||
Motorola Solutions, Inc.† | 123 | 12,952 | ||||||
NetApp, Inc.† | 204 | 12,585 | ||||||
Seagate Technology PLC (Ireland)† | 217 | 12,699 | ||||||
Xerox Corp. | 56 | 1,612 | ||||||
|
| |||||||
219,498 | ||||||||
|
| |||||||
Telecommunication Services — 2.2% |
| |||||||
Verizon Communications, Inc.† | 1,176 | 56,236 | ||||||
|
| |||||||
Transportation — 1.4% | ||||||||
Expeditors International of Washington, Inc. | 134 | 8,482 | ||||||
Norfolk Southern Corp. | 25 | 3,394 | ||||||
Union Pacific Corp.† | 184 | 24,735 | ||||||
|
| |||||||
36,611 | ||||||||
|
| |||||||
Utilities — 1.1% | ||||||||
FirstEnergy Corp.† | 339 | 11,529 | ||||||
NextEra Energy, Inc. | 36 | 5,880 | ||||||
NRG Energy, Inc.† | 242 | 7,388 | ||||||
Southern Co. (The) | 96 | 4,287 | ||||||
|
| |||||||
29,084 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $3,449,609) | 3,637,331 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 139.2% (Cost $3,449,609) |
| 3,637,331 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
54
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
SHORT POSITIONS — (40.2)% |
| |||||||
COMMON STOCKS — (40.2)% |
| |||||||
Automobiles & Components — (0.4)% |
| |||||||
Ford Motor Co. | (871 | ) | $ | (9,651 | ) | |||
Harley-Davidson, Inc. | (36 | ) | (1,544 | ) | ||||
|
| |||||||
(11,195 | ) | |||||||
|
| |||||||
Banks — (2.3)% | ||||||||
Citizens Financial Group, Inc. | (108 | ) | (4,534 | ) | ||||
Comerica, Inc. | (7 | ) | (672 | ) | ||||
Fifth Third Bancorp. | (153 | ) | (4,858 | ) | ||||
Huntington Bancshares, Inc. | (236 | ) | (3,564 | ) | ||||
KeyCorp. | (235 | ) | (4,594 | ) | ||||
M&T Bank Corp. | (19 | ) | (3,503 | ) | ||||
Regions Financial Corp. | (258 | ) | (4,794 | ) | ||||
SunTrust Banks, Inc. | (104 | ) | (7,076 | ) | ||||
SVB Financial Group* | (3 | ) | (720 | ) | ||||
US Bancorp | (264 | ) | (13,332 | ) | ||||
Wells Fargo & Co. | (195 | ) | (10,220 | ) | ||||
Zions Bancorporation | (44 | ) | (2,320 | ) | ||||
|
| |||||||
(60,187 | ) | |||||||
|
| |||||||
Capital Goods — (0.8)% |
| |||||||
Fastenal Co. | (63 | ) | (3,439 | ) | ||||
Fluor Corp. | (29 | ) | (1,659 | ) | ||||
Jacobs Engineering Group, Inc. | (31 | ) | (1,834 | ) | ||||
Northrop Grumman Corp. | (4 | ) | (1,396 | ) | ||||
Parker-Hannifin Corp. | (20 | ) | (3,421 | ) | ||||
Quanta Services, Inc.* | (34 | ) | (1,168 | ) | ||||
Rockwell Automation, Inc. | (29 | ) | (5,052 | ) | ||||
Textron, Inc. | (19 | ) | (1,120 | ) | ||||
United Rentals, Inc.* | (18 | ) | (3,109 | ) | ||||
|
| |||||||
(22,198 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.3)% |
| |||||||
Equifax, Inc. | (27 | ) | (3,181 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (87 | ) | (4,197 | ) | ||||
Stericycle, Inc.* | (20 | ) | (1,171 | ) | ||||
|
| |||||||
(8,549 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.3)% |
| |||||||
Mohawk Industries, Inc.* | (17 | ) | (3,948 | ) | ||||
NIKE, Inc., Class B | (313 | ) | (20,796 | ) | ||||
PVH Corp. | (14 | ) | (2,120 | ) | ||||
Tapestry, Inc. | (62 | ) | (3,262 | ) | ||||
Under Armour, Inc., Class C* | (42 | ) | (603 | ) | ||||
Whirlpool Corp. | (16 | ) | (2,450 | ) | ||||
|
| |||||||
(33,179 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (1.7)% |
| |||||||
Carnival Corp. (Panama) | (157 | ) | $ | (10,296 | ) | |||
Chipotle Mexican Grill, Inc.* | (7 | ) | (2,262 | ) | ||||
Darden Restaurants, Inc. | (21 | ) | (1,790 | ) | ||||
MGM Resorts International | (124 | ) | (4,342 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (51 | ) | (2,701 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (22 | ) | (2,590 | ) | ||||
Starbucks Corp. | (308 | ) | (17,830 | ) | ||||
Wynn Resorts Ltd. | (22 | ) | (4,012 | ) | ||||
|
| |||||||
(45,823 | ) | |||||||
|
| |||||||
Diversified Financials — (1.5)% |
| |||||||
Affiliated Managers Group, Inc. | (13 | ) | (2,465 | ) | ||||
Ameriprise Financial, Inc. | (31 | ) | (4,586 | ) | ||||
Capital One Financial Corp. | (29 | ) | (2,779 | ) | ||||
Goldman Sachs Group, Inc. (The) | (76 | ) | (19,141 | ) | ||||
Leucadia National Corp. | (79 | ) | (1,796 | ) | ||||
Morgan Stanley | (30 | ) | (1,619 | ) | ||||
Navient Corp. | (57 | ) | (748 | ) | ||||
Synchrony Financial | (170 | ) | (5,700 | ) | ||||
|
| |||||||
(38,834 | ) | |||||||
|
| |||||||
Energy — (2.8)% |
| |||||||
Anadarko Petroleum Corp. | (116 | ) | (7,007 | ) | ||||
Chevron Corp. | (3 | ) | (342 | ) | ||||
Cimarex Energy Co. | (20 | ) | (1,870 | ) | ||||
Concho Resources, Inc.* | (32 | ) | (4,811 | ) | ||||
Devon Energy Corp. | (115 | ) | (3,656 | ) | ||||
EOG Resources, Inc. | (121 | ) | (12,737 | ) | ||||
EQT Corp. | (57 | ) | (2,708 | ) | ||||
Halliburton Co. | (99 | ) | (4,647 | ) | ||||
Helmerich & Payne, Inc. | (24 | ) | (1,597 | ) | ||||
Kinder Morgan, Inc. | (499 | ) | (7,515 | ) | ||||
Newfield Exploration Co.* | (44 | ) | (1,074 | ) | ||||
Occidental Petroleum Corp. | (117 | ) | (7,600 | ) | ||||
ONEOK, Inc. | (85 | ) | (4,838 | ) | ||||
Pioneer Natural Resources Co. | (37 | ) | (6,356 | ) | ||||
Range Resources Corp. | (54 | ) | (785 | ) | ||||
Williams Cos., Inc. (The) | (181 | ) | (4,500 | ) | ||||
|
| |||||||
(72,043 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.6)% |
| |||||||
Costco Wholesale Corp. | (84 | ) | (15,828 | ) | ||||
|
| |||||||
Food, Beverage & Tobacco — (1.7)% |
| |||||||
Archer-Daniels-Midland Co. | (122 | ) | (5,291 | ) |
The accompanying notes are an integral part of the financial statements.
55
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Brown-Forman Corp., Class B | (106 | ) | $ | (5,766 | ) | |||
Constellation Brands, Inc., Class A | (30 | ) | (6,838 | ) | ||||
Hormel Foods Corp. | (58 | ) | (1,991 | ) | ||||
Kellogg Co. | (76 | ) | (4,941 | ) | ||||
Mondelez International, Inc., Class A | (327 | ) | (13,645 | ) | ||||
Monster Beverage Corp.* | (124 | ) | (7,094 | ) | ||||
|
| |||||||
(45,566 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (3.6)% |
| |||||||
Align Technology, Inc.* | (18 | ) | (4,520 | ) | ||||
Anthem, Inc. | (43 | ) | (9,447 | ) | ||||
Becton Dickinson and Co. | (58 | ) | (12,569 | ) | ||||
Boston Scientific Corp.* | (301 | ) | (8,223 | ) | ||||
Cardinal Health, Inc. | (69 | ) | (4,325 | ) | ||||
Centene Corp.* | (38 | ) | (4,061 | ) | ||||
Cerner Corp.* | (75 | ) | (4,350 | ) | ||||
Cooper Cos., Inc. (The) | (11 | ) | (2,517 | ) | ||||
DaVita, Inc.* | (40 | ) | (2,638 | ) | ||||
DENTSPLY SIRONA, Inc. | (50 | ) | (2,516 | ) | ||||
Edwards Lifesciences Corp.* | (39 | ) | (5,441 | ) | ||||
HCA Healthcare, Inc. | (76 | ) | (7,372 | ) | ||||
Henry Schein, Inc.* | (34 | ) | (2,285 | ) | ||||
Hologic, Inc.* | (60 | ) | (2,242 | ) | ||||
IDEXX Laboratories, Inc.* | (19 | ) | (3,636 | ) | ||||
Intuitive Surgical, Inc.* | (3 | ) | (1,238 | ) | ||||
McKesson Corp. | (45 | ) | (6,339 | ) | ||||
Medtronic PLC (Ireland) | (4 | ) | (321 | ) | ||||
ResMed, Inc. | (31 | ) | (3,053 | ) | ||||
Stryker Corp. | (7 | ) | (1,126 | ) | ||||
Zimmer Biomet Holdings, Inc. | (44 | ) | (4,798 | ) | ||||
|
| |||||||
(93,017 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.3)% |
| |||||||
Clorox Co. (The) | (28 | ) | (3,727 | ) | ||||
Colgate-Palmolive Co. | (7 | ) | (502 | ) | ||||
Coty, Inc., Class A | (164 | ) | (3,001 | ) | ||||
|
| |||||||
(7,230 | ) | |||||||
|
| |||||||
Insurance — (1.6)% |
| |||||||
American International Group, Inc. | (198 | ) | (10,775 | ) | ||||
Assurant, Inc. | (12 | ) | (1,097 | ) | ||||
Brighthouse Financial, Inc.* | (4 | ) | (206 | ) | ||||
Chubb Ltd. (Switzerland) | (60 | ) | (8,206 | ) | ||||
Cincinnati Financial Corp. | (36 | ) | (2,673 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (7 | ) | (1,798 | ) | ||||
Lincoln National Corp. | (48 | ) | (3,507 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Principal Financial Group, Inc. | (64 | ) | $ | (3,898 | ) | |||
Unum Group | (49 | ) | (2,333 | ) | ||||
Willis Towers Watson PLC (Ireland) | (29 | ) | (4,414 | ) | ||||
XL Group Ltd. (Bermuda) | (57 | ) | (3,150 | ) | ||||
|
| |||||||
(42,057 | ) | |||||||
|
| |||||||
Materials — (1.9)% |
| |||||||
Air Products & Chemicals, Inc. | (28 | ) | (4,453 | ) | ||||
Albemarle Corp. | (24 | ) | (2,226 | ) | ||||
Ball Corp. | (4 | ) | (159 | ) | ||||
CF Industries Holdings, Inc. | (51 | ) | (1,924 | ) | ||||
DowDuPont, Inc. | (330 | ) | (21,024 | ) | ||||
FMC Corp. | (30 | ) | (2,297 | ) | ||||
Martin Marietta Materials, Inc. | (13 | ) | (2,695 | ) | ||||
Mosaic Co. (The) | (77 | ) | (1,870 | ) | ||||
Newmont Mining Corp. | (116 | ) | (4,532 | ) | ||||
Nucor Corp. | (69 | ) | (4,215 | ) | ||||
Vulcan Materials Co. | (29 | ) | (3,311 | ) | ||||
WestRock Co. | (28 | ) | (1,797 | ) | ||||
|
| |||||||
(50,503 | ) | |||||||
|
| |||||||
Media — (1.8)% |
| |||||||
Charter Communications, Inc., Class A* | (42 | ) | (13,071 | ) | ||||
Comcast Corp., Class A | (277 | ) | (9,465 | ) | ||||
DISH Network Corp., Class A* | (103 | ) | (3,903 | ) | ||||
Walt Disney Co. (The) | (199 | ) | (19,987 | ) | ||||
|
| |||||||
(46,426 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (2.4)% |
| |||||||
Agilent Technologies, Inc. | (2 | ) | (134 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (49 | ) | (5,462 | ) | ||||
Allergan PLC (Ireland) | (8 | ) | (1,346 | ) | ||||
Illumina, Inc.* | (32 | ) | (7,565 | ) | ||||
Incyte Corp.* | (47 | ) | (3,917 | ) | ||||
IQVIA Holdings, Inc.* | (46 | ) | (4,513 | ) | ||||
Mettler-Toledo International, Inc.* | (6 | ) | (3,450 | ) | ||||
Mylan NV (Netherlands)* | (116 | ) | (4,776 | ) | ||||
Nektar Therapeutics* | (34 | ) | (3,613 | ) | ||||
PerkinElmer, Inc. | (24 | ) | (1,817 | ) | ||||
Perrigo Co. PLC (Ireland) | (31 | ) | (2,584 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (23 | ) | (7,920 | ) | ||||
Thermo Fisher Scientific, Inc. | (28 | ) | (5,781 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (56 | ) | (9,126 | ) | ||||
|
| |||||||
(62,004 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
56
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (3.4)% |
| |||||||
American Tower Corp., REIT | (94 | ) | $ | (13,662 | ) | |||
Apartment Investment & Management Co., Class A, REIT | (35 | ) | (1,426 | ) | ||||
Boston Properties, Inc., REIT | (34 | ) | (4,189 | ) | ||||
Crown Castle International Corp., REIT | (89 | ) | (9,755 | ) | ||||
Digital Realty Trust, Inc., REIT | (3 | ) | (316 | ) | ||||
Duke Realty Corp., REIT | (2 | ) | (53 | ) | ||||
Equinix, Inc., REIT | (17 | ) | (7,108 | ) | ||||
Essex Property Trust, Inc., REIT | (4 | ) | (963 | ) | ||||
Extra Space Storage, Inc., REIT | (28 | ) | (2,446 | ) | ||||
Federal Realty Investment Trust, REIT | (17 | ) | (1,974 | ) | ||||
GGP, Inc., REIT | (209 | ) | (4,276 | ) | ||||
HCP, Inc., REIT | (103 | ) | (2,393 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (162 | ) | (3,020 | ) | ||||
Iron Mountain, Inc., REIT | (62 | ) | (2,037 | ) | ||||
Kimco Realty Corp., REIT | (94 | ) | (1,354 | ) | ||||
Macerich Co. (The), REIT | (31 | ) | (1,737 | ) | ||||
Prologis, Inc., REIT | (7 | ) | (441 | ) | ||||
Public Storage, REIT | (39 | ) | (7,815 | ) | ||||
SBA Communications Corp., REIT* | (26 | ) | (4,444 | ) | ||||
Simon Property Group, Inc., REIT | (68 | ) | (10,496 | ) | ||||
SL Green Realty Corp., REIT | (21 | ) | (2,033 | ) | ||||
UDR, Inc., REIT | (59 | ) | (2,102 | ) | ||||
Vornado Realty Trust, REIT | (42 | ) | (2,827 | ) | ||||
Welltower, Inc., REIT | (14 | ) | (762 | ) | ||||
|
| |||||||
(87,629 | ) | |||||||
|
| |||||||
Retailing — (2.2)% |
| |||||||
CarMax, Inc.* | (40 | ) | (2,478 | ) | ||||
Dollar General Corp. | (60 | ) | (5,613 | ) | ||||
Expedia Group, Inc. | (35 | ) | (3,864 | ) | ||||
Genuine Parts Co. | (32 | ) | (2,875 | ) | ||||
L Brands, Inc. | (62 | ) | (2,369 | ) | ||||
LKQ Corp.* | (67 | ) | (2,543 | ) | ||||
Lowe’s Cos., Inc. | (182 | ) | (15,970 | ) | ||||
Macy’s, Inc. | (66 | ) | (1,963 | ) | ||||
Netflix, Inc.* | (60 | ) | (17,721 | ) | ||||
TJX Cos., Inc. (The) | (14 | ) | (1,142 | ) | ||||
TripAdvisor, Inc.* | (31 | ) | (1,268 | ) | ||||
|
| |||||||
(57,806 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (1.5)% |
| |||||||
Broadcom Ltd. (Singapore) | (48 | ) | (11,311 | ) | ||||
Microchip Technology, Inc. | (57 | ) | (5,208 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
NVIDIA Corp. | (77 | ) | $ | (17,831 | ) | |||
Xilinx, Inc. | (55 | ) | (3,973 | ) | ||||
|
| |||||||
(38,323 | ) | |||||||
|
| |||||||
Software & Services — (3.6)% |
| |||||||
Activision Blizzard, Inc. | (166 | ) | (11,198 | ) | ||||
Adobe Systems, Inc.* | (6 | ) | (1,296 | ) | ||||
Akamai Technologies, Inc.* | (37 | ) | (2,626 | ) | ||||
ANSYS, Inc.* | (19 | ) | (2,977 | ) | ||||
Autodesk, Inc.* | (48 | ) | (6,028 | ) | ||||
Automatic Data Processing, Inc. | (98 | ) | (11,121 | ) | ||||
Cadence Design Systems, Inc.* | (62 | ) | (2,280 | ) | ||||
Electronic Arts, Inc.* | (67 | ) | (8,123 | ) | ||||
Global Payments, Inc. | (35 | ) | (3,903 | ) | ||||
Intuit, Inc. | (56 | ) | (9,708 | ) | ||||
PayPal Holdings, Inc.* | (75 | ) | (5,690 | ) | ||||
Red Hat, Inc.* | (27 | ) | (4,037 | ) | ||||
salesforce.com, Inc.* | (107 | ) | (12,444 | ) | ||||
Symantec Corp. | (136 | ) | (3,516 | ) | ||||
Synopsys, Inc.* | (33 | ) | (2,747 | ) | ||||
Take-Two Interactive Software, Inc.* | (23 | ) | (2,249 | ) | ||||
VeriSign, Inc.* | (30 | ) | (3,557 | ) | ||||
Western Union Co. (The) | (100 | ) | (1,923 | ) | ||||
|
| |||||||
(95,423 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.6)% |
| |||||||
Corning, Inc. | (191 | ) | (5,325 | ) | ||||
TE Connectivity Ltd. (Switzerland) | (103 | ) | (10,289 | ) | ||||
|
| |||||||
(15,614 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.1)% |
| |||||||
CenturyLink, Inc. | (234 | ) | (3,845 | ) | ||||
|
| |||||||
Transportation — (2.2)% |
| |||||||
American Airlines Group, Inc. | (104 | ) | (5,404 | ) | ||||
CSX Corp. | (195 | ) | (10,863 | ) | ||||
FedEx Corp. | (59 | ) | (14,166 | ) | ||||
JB Hunt Transport Services, Inc. | (24 | ) | (2,812 | ) | ||||
Southwest Airlines Co. | (129 | ) | (7,389 | ) | ||||
United Continental Holdings, Inc.* | (63 | ) | (4,377 | ) | ||||
United Parcel Service, Inc., Class B | (111 | ) | (11,617 | ) | ||||
|
| |||||||
(56,628 | ) | |||||||
|
| |||||||
Utilities — (1.6)% |
| |||||||
Ameren Corp. | (33 | ) | (1,869 | ) | ||||
American Electric Power Co., Inc. | (107 | ) | (7,339 | ) | ||||
American Water Works Co., Inc. | (39 | ) | (3,203 | ) | ||||
Entergy Corp. | (39 | ) | (3,072 | ) |
The accompanying notes are an integral part of the financial statements.
57
GOTHAM ENHANCED 500 CORE FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
Eversource Energy | (68 | ) | $ | (4,007 | ) | |||
NiSource, Inc. | (73 | ) | (1,745 | ) | ||||
PG&E Corp. | (106 | ) | (4,657 | ) | ||||
PPL Corp. | (10 | ) | (283 | ) | ||||
Public Service Enterprise Group, Inc. | (110 | ) | (5,526 | ) | ||||
Sempra Energy | (55 | ) | (6,117 | ) | ||||
WEC Energy Group, Inc. | (68 | ) | (4,264 | ) | ||||
|
| |||||||
(42,082 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS | (1,051,989 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (40.2)% |
| (1,051,989 | ) | |||||
|
| |||||||
(Proceeds $1,068,439) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.0% | 27,300 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,612,642 | ||||||
|
|
† | 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.
58
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 122.6% |
| |||||||
COMMON STOCKS — 122.6% |
| |||||||
Automobiles & Components — 1.5% |
| |||||||
Aptiv PLC (Jersey)† | 404 | $ | 34,328 | |||||
BorgWarner, Inc.† | 318 | 15,973 | ||||||
General Motors Co.† | 780 | 28,345 | ||||||
Goodyear Tire & Rubber Co. (The)† | 362 | 9,622 | ||||||
|
| |||||||
88,268 | ||||||||
|
| |||||||
Capital Goods — 18.1% |
| |||||||
3M Co.† | 119 | 26,123 | ||||||
Acuity Brands, Inc.†(a) | 31 | 4,315 | ||||||
AMETEK, Inc.† | 349 | 26,513 | ||||||
Arconic, Inc.† | 133 | 3,064 | ||||||
Boeing Co. (The)† | 356 | 116,725 | ||||||
Caterpillar, Inc.† | 552 | 81,354 | ||||||
Cummins, Inc.† | 250 | 40,522 | ||||||
Deere & Co.† | 369 | 57,313 | ||||||
Dover Corp.† | 239 | 23,474 | ||||||
Emerson Electric Co.† | 958 | 65,431 | ||||||
Fastenal Co.†(a) | 95 | 5,186 | ||||||
Flowserve Corp.(a) | 73 | 3,163 | ||||||
Fortune Brands Home & Security, Inc.† | 230 | 13,545 | ||||||
General Dynamics Corp.† | 449 | 99,184 | ||||||
Harris Corp.† | 105 | 16,934 | ||||||
Honeywell International, Inc.† | 679 | 98,122 | ||||||
Illinois Tool Works, Inc.† | �� | 268 | 41,985 | |||||
Ingersoll-Rand PLC (Ireland)† | 232 | 19,838 | ||||||
Johnson Controls International PLC (Ireland) | 12 | 423 | ||||||
L3 Technologies, Inc.† | 87 | 18,096 | ||||||
Masco Corp.† | 471 | 19,047 | ||||||
Pentair PLC (Ireland)† | 210 | 14,307 | ||||||
Raytheon Co.† | 436 | 94,097 | ||||||
Rockwell Collins, Inc.† | 163 | 21,980 | ||||||
Snap-on, Inc.† | 85 | 12,541 | ||||||
Stanley Black & Decker, Inc.† | 233 | 35,696 | ||||||
TransDigm Group, Inc.† | 19 | 5,832 | ||||||
United Technologies Corp.† | 443 | 55,738 | ||||||
WW Grainger, Inc.†(a) | 85 | 23,993 | ||||||
Xylem, Inc.† | 272 | 20,922 | ||||||
|
| |||||||
1,065,463 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.5% |
| |||||||
Cintas Corp.† | 26 | 4,435 | ||||||
Nielsen Holdings PLC (United Kingdom)† | 537 | 17,071 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Republic Services, Inc. | 10 | $ | 662 | |||||
Robert Half International, Inc.† | 36 | 2,084 | ||||||
Waste Management, Inc.† | 41 | 3,449 | ||||||
|
| |||||||
27,701 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.9% |
| |||||||
Hanesbrands, Inc.†(a) | 544 | 10,020 | ||||||
Mattel, Inc.(a) | 519 | 6,825 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 236 | 14,651 | ||||||
Newell Brands, Inc.†(a) | 734 | 18,702 | ||||||
PVH Corp.† | 19 | 2,877 | ||||||
Ralph Lauren Corp.† | 123 | 13,751 | ||||||
VF Corp.† | 599 | 44,398 | ||||||
|
| |||||||
111,224 | ||||||||
|
| |||||||
Consumer Services — 3.1% |
| |||||||
Hilton Worldwide Holdings, Inc.† | 148 | 11,656 | ||||||
Marriott International, Inc., Class A† | 336 | 45,689 | ||||||
McDonald’s Corp.† | 391 | 61,145 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 7 | 824 | ||||||
Wyndham Worldwide Corp.† | 150 | 17,164 | ||||||
Yum! Brands, Inc.† | 519 | 44,182 | ||||||
|
| |||||||
180,660 | ||||||||
|
| |||||||
Diversified Financials — 7.4% |
| |||||||
American Express Co.† | 318 | 29,663 | ||||||
Berkshire Hathaway, Inc., Class B†* | 133 | 26,531 | ||||||
BlackRock, Inc.† | 243 | 131,638 | ||||||
Franklin Resources, Inc.†(a) | 835 | 28,958 | ||||||
Intercontinental Exchange, Inc.† | 694 | 50,329 | ||||||
Invesco Ltd. (Bermuda)† | 614 | 19,654 | ||||||
Moody’s Corp.† | 288 | 46,454 | ||||||
Nasdaq, Inc.† | 253 | 21,814 | ||||||
S&P Global, Inc.† | 200 | 38,212 | ||||||
State Street Corp. | 1 | 100 | ||||||
T Rowe Price Group, Inc.† | 371 | 40,057 | ||||||
|
| |||||||
433,410 | ||||||||
|
| |||||||
Energy — 6.8% |
| |||||||
Andeavor† | 232 | 23,330 | ||||||
Apache Corp.†(a) | 575 | 22,126 | ||||||
Cabot Oil & Gas Corp.† | 696 | 16,690 | ||||||
ConocoPhillips† | 1,778 | 105,418 | ||||||
Exxon Mobil Corp. | 31 | 2,313 | ||||||
Hess Corp.† | 476 | 24,095 |
The accompanying notes are an integral part of the financial statements.
59
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Marathon Petroleum Corp.† | 735 | $ | 53,736 | |||||
Phillips 66† | 759 | 72,803 | ||||||
TechnipFMC PLC (United Kingdom)† | 706 | 20,792 | ||||||
Valero Energy Corp.† | 656 | 60,857 | ||||||
|
| |||||||
402,160 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.8% |
| |||||||
CVS Health Corp.† | 776 | 48,275 | ||||||
Kroger Co. (The)† | 1,314 | 31,457 | ||||||
Walgreens Boots Alliance, Inc.† | 792 | 51,852 | ||||||
Walmart, Inc.† | 1,040 | 92,529 | ||||||
|
| |||||||
224,113 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 7.0% |
| |||||||
Altria Group, Inc.† | 1,752 | 109,185 | ||||||
Conagra Brands, Inc. | 276 | 10,179 | ||||||
Dr Pepper Snapple Group, Inc.† | 172 | 20,361 | ||||||
General Mills, Inc.† | 861 | 38,797 | ||||||
Hershey Co. (The)† | 318 | 31,469 | ||||||
Kraft Heinz Co. (The)† | 889 | 55,376 | ||||||
McCormick & Co., Inc., non-voting shares† | 20 | 2,128 | ||||||
PepsiCo, Inc.† | 565 | 61,670 | ||||||
Philip Morris International, Inc.† | 438 | 43,537 | ||||||
Tyson Foods, Inc., Class A† | 557 | 40,767 | ||||||
|
| |||||||
413,469 | ||||||||
|
| |||||||
Health Care Equipment & Services — 6.7% |
| |||||||
Abbott Laboratories† | 1,100 | 65,912 | ||||||
Aetna, Inc.† | 302 | 51,038 | ||||||
AmerisourceBergen Corp.† | 67 | 5,776 | ||||||
Anthem, Inc.† | 64 | 14,061 | ||||||
Centene Corp.†* | 42 | 4,489 | ||||||
Cigna Corp.† | 367 | 61,561 | ||||||
Express Scripts Holding Co.†* | 758 | 52,363 | ||||||
Humana, Inc.† | 181 | 48,658 | ||||||
Laboratory Corp. of America Holdings†* | 157 | 25,395 | ||||||
Quest Diagnostics, Inc.† | 203 | 20,361 | ||||||
UnitedHealth Group, Inc.† | 169 | 36,166 | ||||||
Varian Medical Systems, Inc.†* | 83 | 10,180 | ||||||
|
| |||||||
395,960 | ||||||||
|
| |||||||
Household & Personal Products — 4.1% |
| |||||||
Church & Dwight Co., Inc.† | 179 | 9,014 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 568 | 85,041 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Kimberly-Clark Corp. | 178 | $ | 19,603 | |||||
Procter & Gamble Co. (The)† | 1,621 | 128,513 | ||||||
|
| |||||||
242,171 | ||||||||
|
| |||||||
Insurance — 4.0% | ||||||||
Aflac, Inc. | 96 | 4,201 | ||||||
Allstate Corp. (The)† | 177 | 16,780 | ||||||
Aon PLC (United Kingdom)† | 374 | 52,483 | ||||||
Hartford Financial Services Group, Inc. (The)† | 378 | 19,475 | ||||||
Marsh & McLennan Cos., Inc.† | 769 | 63,512 | ||||||
Progressive Corp. (The)† | 878 | 53,497 | ||||||
Torchmark Corp.† | 173 | 14,561 | ||||||
Travelers Cos., Inc. (The) | 79 | 10,970 | ||||||
|
| |||||||
235,479 | ||||||||
|
| |||||||
Materials — 6.5% | ||||||||
Air Products & Chemicals, Inc.† | 96 | 15,267 | ||||||
Avery Dennison Corp.† | 134 | 14,238 | ||||||
Eastman Chemical Co.† | 216 | 22,805 | ||||||
Freeport-McMoRan, Inc.†* | 2,187 | 38,426 | ||||||
International Flavors & Fragrances, Inc. | 65 | 8,899 | ||||||
International Paper Co.† | 624 | 33,340 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 597 | 63,091 | ||||||
Monsanto Co.† | 666 | 77,716 | ||||||
PPG Industries, Inc.† | 380 | 42,408 | ||||||
Sealed Air Corp.† | 255 | 10,911 | ||||||
Sherwin-Williams Co. (The)† | 141 | 55,289 | ||||||
|
| |||||||
382,390 | ||||||||
|
| |||||||
Media — 4.3% | ||||||||
CBS Corp., Class B, non-voting shares† | 608 | 31,245 | ||||||
Discovery, Inc., Class A†(a)* | 858 | 18,387 | ||||||
Interpublic Group of Cos., Inc. | 579 | 13,334 | ||||||
News Corp., Class A† | 881 | 13,920 | ||||||
Omnicom Group, Inc.† | 347 | 25,216 | ||||||
Time Warner, Inc.† | 1,179 | 111,510 | ||||||
Twenty-First Century Fox, Inc., Class A† | 588 | 21,574 | ||||||
Viacom, Inc., Class B† | 608 | 18,884 | ||||||
|
| |||||||
254,070 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 16.7% |
| |||||||
AbbVie, Inc.† | 1,504 | 142,354 |
The accompanying notes are an integral part of the financial statements.
60
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Amgen, Inc.† | 596 | $ | 101,606 | |||||
Biogen, Inc.†* | 319 | 87,349 | ||||||
Celgene Corp.†* | 1,147 | 102,324 | ||||||
Gilead Sciences, Inc.† | 1,158 | 87,302 | ||||||
Johnson & Johnson† | 1,125 | 144,169 | ||||||
Merck & Co., Inc.† | 2,121 | 115,531 | ||||||
Pfizer, Inc.† | 3,934 | 139,618 | ||||||
Waters Corp.* | 15 | 2,980 | ||||||
Zoetis, Inc.† | 734 | 61,296 | ||||||
|
| |||||||
984,529 | ||||||||
|
| |||||||
Real Estate — 1.7% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT†(a) | 140 | 17,485 | ||||||
CBRE Group, Inc., Class A†* | 513 | 24,224 | ||||||
Equity Residential, REIT† | 183 | 11,276 | ||||||
Mid-America Apartment Communities, Inc., REIT | 96 | 8,759 | ||||||
Weyerhaeuser Co., REIT† | 1,142 | 39,970 | ||||||
|
| |||||||
101,714 | ||||||||
|
| |||||||
Retailing — 4.5% |
| |||||||
Advance Auto Parts, Inc.† | 102 | 12,092 | ||||||
Amazon.com, Inc.* | 2 | 2,895 | ||||||
AutoZone, Inc.†* | 14 | 9,082 | ||||||
Best Buy Co., Inc.† | 47 | 3,290 | ||||||
Booking Holdings, Inc.†* | 47 | 97,778 | ||||||
Dollar Tree, Inc.†* | 34 | 3,227 | ||||||
Foot Locker, Inc.† | 3 | 137 | ||||||
Gap, Inc. (The)(a) | 1 | 31 | ||||||
Home Depot, Inc. (The)† | 350 | 62,384 | ||||||
Kohl’s Corp.† | 217 | 14,216 | ||||||
O’Reilly Automotive, Inc.†* | 63 | 15,585 | ||||||
Ross Stores, Inc.† | 260 | 20,275 | ||||||
Target Corp.† | 252 | 17,496 | ||||||
Tiffany & Co. | 17 | 1,660 | ||||||
Tractor Supply Co.† | 80 | 5,042 | ||||||
|
| |||||||
265,190 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.7% |
| |||||||
Applied Materials, Inc.† | 376 | 20,909 | ||||||
Intel Corp.† | 364 | 18,957 | ||||||
KLA-Tencor Corp.† | 38 | 4,142 | ||||||
Lam Research Corp.† | 72 | 14,628 | ||||||
Micron Technology, Inc.†* | 1,955 | 101,934 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
QUALCOMM, Inc. | 57 | $ | 3,158 | |||||
Texas Instruments, Inc.† | 1,063 | 110,435 | ||||||
|
| |||||||
274,163 | ||||||||
|
| |||||||
Software & Services — 6.1% |
| |||||||
Accenture PLC, Class A (Ireland)† | 680 | 104,380 | ||||||
Alliance Data Systems Corp.† | 83 | 17,667 | ||||||
CA, Inc.† | 622 | 21,086 | ||||||
Citrix Systems, Inc.†* | 6 | 557 | ||||||
DXC Technology Co.† | 431 | 43,328 | ||||||
Fidelity National Information Services, Inc.† | 130 | 12,519 | ||||||
International Business Machines Corp.† | 685 | 105,100 | ||||||
Mastercard, Inc., Class A | 9 | 1,576 | ||||||
Paychex, Inc. | 515 | 31,719 | ||||||
Total System Services, Inc.† | 9 | 776 | ||||||
Visa, Inc., Class A† | 140 | 16,747 | ||||||
|
| |||||||
355,455 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 6.7% |
| |||||||
Amphenol Corp., Class A | 2 | 172 | ||||||
Apple, Inc.† | 856 | 143,620 | ||||||
Cisco Systems, Inc.† | 1,930 | 82,778 | ||||||
F5 Networks, Inc.†* | 22 | 3,181 | ||||||
Hewlett Packard Enterprise Co.† | 1,752 | 30,730 | ||||||
HP, Inc.† | 2,452 | 53,748 | ||||||
Juniper Networks, Inc.† | 232 | 5,645 | ||||||
Motorola Solutions, Inc.† | 244 | 25,693 | ||||||
NetApp, Inc.† | 404 | 24,923 | ||||||
Seagate Technology PLC (Ireland)† | 430 | 25,164 | ||||||
Western Digital Corp.† | 2 | 185 | ||||||
|
| |||||||
395,839 | ||||||||
|
| |||||||
Telecommunication Services — 1.8% |
| |||||||
Verizon Communications, Inc.† | 2,152 | 102,909 | ||||||
|
| |||||||
Transportation — 1.4% |
| |||||||
Alaska Air Group, Inc. | 14 | 867 | ||||||
Expeditors International of Washington, Inc.† | 266 | 16,838 | ||||||
Norfolk Southern Corp.† | 183 | 24,848 | ||||||
Union Pacific Corp.† | 272 | 36,565 | ||||||
|
| |||||||
79,118 | ||||||||
|
| |||||||
Utilities — 3.3% | ||||||||
Duke Energy Corp.† | 369 | 28,586 | ||||||
FirstEnergy Corp.† | 673 | 22,889 |
The accompanying notes are an integral part of the financial statements.
61
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
NextEra Energy, Inc.† | 410 | $ | 66,965 | |||||
NRG Energy, Inc.† | 479 | 14,624 | ||||||
Southern Co. (The)† | 1,395 | 62,301 | ||||||
|
| |||||||
195,365 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $6,958,141) | 7,210,820 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 122.6% | 7,210,820 | |||||||
|
| |||||||
(Cost $6,958,141) | ||||||||
SHORT POSITIONS — (97.8)% |
| |||||||
COMMON STOCKS — (97.8)% |
| |||||||
Automobiles & Components — (1.1)% |
| |||||||
Ford Motor Co. | (4,762 | ) | (52,763 | ) | ||||
Harley-Davidson, Inc. | (201 | ) | (8,619 | ) | ||||
|
| |||||||
(61,382 | ) | |||||||
|
| |||||||
Banks — (4.9)% |
| |||||||
Citizens Financial Group, Inc. | (589 | ) | (24,726 | ) | ||||
Comerica, Inc. | (89 | ) | (8,538 | ) | ||||
Fifth Third Bancorp | (832 | ) | (26,416 | ) | ||||
Huntington Bancshares, Inc. | (1,286 | ) | (19,419 | ) | ||||
KeyCorp | (1,282 | ) | (25,063 | ) | ||||
M&T Bank Corp. | (54 | ) | (9,955 | ) | ||||
Regions Financial Corp. | (1,410 | ) | (26,198 | ) | ||||
SunTrust Banks, Inc. | (545 | ) | (37,082 | ) | ||||
SVB Financial Group* | (37 | ) | (8,880 | ) | ||||
US Bancorp | (1,137 | ) | (57,418 | ) | ||||
Wells Fargo & Co. | (639 | ) | (33,490 | ) | ||||
Zions Bancorporation | (237 | ) | (12,497 | ) | ||||
|
| |||||||
(289,682 | ) | |||||||
|
| |||||||
Capital Goods — (1.5)% |
| |||||||
Fortive Corp. | (22 | ) | (1,705 | ) | ||||
Jacobs Engineering Group, Inc. | (169 | ) | (9,996 | ) | ||||
PACCAR, Inc. | (12 | ) | (794 | ) | ||||
Parker-Hannifin Corp. | (160 | ) | (27,365 | ) | ||||
Quanta Services, Inc.* | (184 | ) | (6,320 | ) | ||||
Rockwell Automation, Inc. | (154 | ) | (26,827 | ) | ||||
United Rentals, Inc.* | (101 | ) | (17,446 | ) | ||||
|
| |||||||
(90,453 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.8)% |
| |||||||
Equifax, Inc. | (144 | ) | (16,965 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (477 | ) | (23,010 | ) | ||||
Stericycle, Inc.* | (109 | ) | (6,380 | ) | ||||
|
| |||||||
(46,355 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (2.6)% |
| |||||||
Mohawk Industries, Inc.* | (90 | ) | $ | (20,900 | ) | |||
NIKE, Inc., Class B | (1,552 | ) | (103,115 | ) | ||||
Tapestry, Inc. | (341 | ) | (17,940 | ) | ||||
Under Armour, Inc., Class C* | (9 | ) | (129 | ) | ||||
Whirlpool Corp. | (86 | ) | (13,167 | ) | ||||
|
| |||||||
(155,251 | ) | |||||||
|
| |||||||
Consumer Services — (3.7)% |
| |||||||
Carnival Corp. (Panama) | (563 | ) | (36,922 | ) | ||||
Chipotle Mexican Grill, Inc.* | (33 | ) | (10,663 | ) | ||||
Darden Restaurants, Inc. | (137 | ) | (11,679 | ) | ||||
MGM Resorts International | (678 | ) | (23,744 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (274 | ) | (14,514 | ) | ||||
Starbucks Corp. | (1,687 | ) | (97,660 | ) | ||||
Wynn Resorts Ltd. | (123 | ) | (22,430 | ) | ||||
|
| |||||||
(217,612 | ) | |||||||
|
| |||||||
Diversified Financials — (3.2)% |
| |||||||
Affiliated Managers Group, Inc. | (67 | ) | (12,702 | ) | ||||
Ameriprise Financial, Inc. | (72 | ) | (10,652 | ) | ||||
Capital One Financial Corp. | (187 | ) | (17,918 | ) | ||||
Charles Schwab Corp. (The) | (51 | ) | (2,663 | ) | ||||
Goldman Sachs Group, Inc. (The) | (333 | ) | (83,869 | ) | ||||
Leucadia National Corp. | (423 | ) | (9,615 | ) | ||||
Morgan Stanley | (215 | ) | (11,601 | ) | ||||
Navient Corp. | (316 | ) | (4,146 | ) | ||||
Raymond James Financial, Inc. | (27 | ) | (2,414 | ) | ||||
Synchrony Financial | (924 | ) | (30,982 | ) | ||||
|
| |||||||
(186,562 | ) | |||||||
|
| |||||||
Energy — (7.3)% | ||||||||
Anadarko Petroleum Corp. | (636 | ) | (38,421 | ) | ||||
Chevron Corp. | (68 | ) | (7,755 | ) | ||||
Cimarex Energy Co. | (114 | ) | (10,659 | ) | ||||
Concho Resources, Inc.* | (179 | ) | (26,909 | ) | ||||
Devon Energy Corp. | (629 | ) | (19,996 | ) | ||||
EOG Resources, Inc. | (693 | ) | (72,952 | ) | ||||
EQT Corp. | (316 | ) | (15,013 | ) | ||||
Halliburton Co. | (851 | ) | (39,946 | ) | ||||
Helmerich & Payne, Inc. | (130 | ) | (8,653 | ) | ||||
Kinder Morgan, Inc. | (2,727 | ) | (41,069 | ) | ||||
Newfield Exploration Co.* | (239 | ) | (5,836 | ) | ||||
Occidental Petroleum Corp. | (787 | ) | (51,124 | ) | ||||
ONEOK, Inc. | (465 | ) | (26,468 | ) | ||||
Pioneer Natural Resources Co. | (204 | ) | (35,043 | ) |
The accompanying notes are an integral part of the financial statements.
62
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Range Resources Corp. | (297 | ) | $ | (4,318 | ) | |||
Williams Cos., Inc. (The) | (990 | ) | (24,611 | ) | ||||
|
| |||||||
(428,773 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.4)% |
| |||||||
Costco Wholesale Corp. | (450 | ) | (84,793 | ) | ||||
|
| |||||||
Food, Beverage & Tobacco — (4.1)% |
| |||||||
Archer-Daniels-Midland Co. | (667 | ) | (28,928 | ) | ||||
Brown-Forman Corp., Class B | (571 | ) | (31,062 | ) | ||||
Constellation Brands, Inc., Class A | (188 | ) | (42,849 | ) | ||||
Hormel Foods Corp. | (33 | ) | (1,133 | ) | ||||
Kellogg Co. | (357 | ) | (23,209 | ) | ||||
Mondelez International, Inc., Class A | (1,785 | ) | (74,488 | ) | ||||
Monster Beverage Corp.* | (679 | ) | (38,846 | ) | ||||
|
| |||||||
(240,515 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (7.6)% |
| |||||||
Align Technology, Inc.* | (95 | ) | (23,857 | ) | ||||
Becton Dickinson and Co. | (320 | ) | (69,344 | ) | ||||
Boston Scientific Corp.* | (1,646 | ) | (44,969 | ) | ||||
Cardinal Health, Inc. | (377 | ) | (23,630 | ) | ||||
Cerner Corp.* | (410 | ) | (23,780 | ) | ||||
Cooper Cos., Inc. (The) | (58 | ) | (13,271 | ) | ||||
DaVita, Inc.* | (218 | ) | (14,375 | ) | ||||
DENTSPLY SIRONA, Inc. | (272 | ) | (13,684 | ) | ||||
Edwards Lifesciences Corp.* | (228 | ) | (31,811 | ) | ||||
HCA Healthcare, Inc. | (419 | ) | (40,643 | ) | ||||
Henry Schein, Inc.* | (185 | ) | (12,434 | ) | ||||
Hologic, Inc.* | (331 | ) | (12,366 | ) | ||||
IDEXX Laboratories, Inc.* | (104 | ) | (19,905 | ) | ||||
Intuitive Surgical, Inc.* | (47 | ) | (19,403 | ) | ||||
McKesson Corp. | (246 | ) | (34,654 | ) | ||||
ResMed, Inc. | (172 | ) | (16,937 | ) | ||||
Stryker Corp. | (46 | ) | (7,402 | ) | ||||
Zimmer Biomet Holdings, Inc. | (242 | ) | (26,388 | ) | ||||
|
| |||||||
(448,853 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.6)% |
| |||||||
Clorox Co. (The) | (155 | ) | (20,632 | ) | ||||
Coty, Inc., Class A | (898 | ) | (16,433 | ) | ||||
|
| |||||||
(37,065 | ) | |||||||
|
| |||||||
Insurance — (3.2)% |
| |||||||
American International Group, Inc. | (953 | ) | (51,862 | ) | ||||
Assurant, Inc. | (63 | ) | (5,759 | ) | ||||
Chubb Ltd. (Switzerland) | (95 | ) | (12,993 | ) | ||||
Cincinnati Financial Corp. | (197 | ) | (14,629 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Everest Re Group Ltd. (Bermuda) | (38 | ) | $ | (9,759 | ) | |||
Lincoln National Corp. | (262 | ) | (19,142 | ) | ||||
MetLife, Inc. | (46 | ) | (2,111 | ) | ||||
Principal Financial Group, Inc. | (336 | ) | (20,466 | ) | ||||
Unum Group | (267 | ) | (12,712 | ) | ||||
Willis Towers Watson PLC (Ireland) | (159 | ) | (24,198 | ) | ||||
XL Group Ltd. (Bermuda) | (235 | ) | (12,986 | ) | ||||
|
| |||||||
(186,617 | ) | |||||||
|
| |||||||
Materials — (4.5)% |
| |||||||
Albemarle Corp. | (132 | ) | (12,242 | ) | ||||
Ball Corp. | (122 | ) | (4,845 | ) | ||||
CF Industries Holdings, Inc. | (278 | ) | (10,489 | ) | ||||
DowDuPont, Inc. | (1,818 | ) | (115,825 | ) | ||||
FMC Corp. | (161 | ) | (12,328 | ) | ||||
Martin Marietta Materials, Inc. | (75 | ) | (15,547 | ) | ||||
Mosaic Co. (The) | (420 | ) | (10,198 | ) | ||||
Newmont Mining Corp. | (640 | ) | (25,005 | ) | ||||
Nucor Corp. | (382 | ) | (23,336 | ) | ||||
Vulcan Materials Co. | (158 | ) | (18,039 | ) | ||||
WestRock Co. | (292 | ) | (18,738 | ) | ||||
|
| |||||||
(266,592 | ) | |||||||
|
| |||||||
Media — (3.7)% |
| |||||||
Charter Communications, Inc., Class A* | (232 | ) | (72,203 | ) | ||||
Comcast Corp., Class A | (1,019 | ) | (34,819 | ) | ||||
DISH Network Corp., Class A* | (477 | ) | (18,074 | ) | ||||
Walt Disney Co. (The) | (891 | ) | (89,492 | ) | ||||
|
| |||||||
(214,588 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (7.9)% |
| |||||||
Agilent Technologies, Inc. | (95 | ) | (6,355 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (266 | ) | (29,648 | ) | ||||
Allergan PLC (Ireland) | (58 | ) | (9,761 | ) | ||||
Bristol-Myers Squibb Co. | (1,526 | ) | (96,519 | ) | ||||
Illumina, Inc.* | (176 | ) | (41,610 | ) | ||||
Incyte Corp.* | (261 | ) | (21,749 | ) | ||||
IQVIA Holdings, Inc.* | (265 | ) | (25,999 | ) | ||||
Mettler-Toledo International, Inc.* | (31 | ) | (17,826 | ) | ||||
Mylan NV (Netherlands)* | (618 | ) | (25,443 | ) | ||||
Nektar Therapeutics* | (191 | ) | (20,296 | ) | ||||
PerkinElmer, Inc. | (133 | ) | (10,071 | ) | ||||
Perrigo Co. PLC (Ireland) | (169 | ) | (14,084 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (148 | ) | (50,965 | ) | ||||
Thermo Fisher Scientific, Inc. | (220 | ) | (45,421 | ) |
The accompanying notes are an integral part of the financial statements.
63
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Vertex Pharmaceuticals, Inc.* | (309 | ) | $ | (50,361 | ) | |||
|
| |||||||
(466,108 | ) | |||||||
|
| |||||||
Real Estate — (8.3)% |
| |||||||
American Tower Corp., REIT | (514 | ) | (74,705 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (189 | ) | (7,702 | ) | ||||
Boston Properties, Inc., REIT | (186 | ) | (22,919 | ) | ||||
Crown Castle International Corp., REIT | (487 | ) | (53,380 | ) | ||||
Digital Realty Trust, Inc., REIT | (146 | ) | (15,385 | ) | ||||
Duke Realty Corp., REIT | (217 | ) | (5,746 | ) | ||||
Equinix, Inc., REIT | (94 | ) | (39,305 | ) | ||||
Essex Property Trust, Inc., REIT | (31 | ) | (7,461 | ) | ||||
Extra Space Storage, Inc., REIT | (152 | ) | (13,279 | ) | ||||
Federal Realty Investment Trust, REIT | (88 | ) | (10,218 | ) | ||||
GGP, Inc., REIT | (1,148 | ) | (23,488 | ) | ||||
HCP, Inc., REIT | (317 | ) | (7,364 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (887 | ) | (16,534 | ) | ||||
Iron Mountain, Inc., REIT | (339 | ) | (11,140 | ) | ||||
Kimco Realty Corp., REIT | (511 | ) | (7,358 | ) | ||||
Macerich Co. (The), REIT | (169 | ) | (9,467 | ) | ||||
Public Storage, REIT | (209 | ) | (41,882 | ) | ||||
Regency Centers Corp., REIT | (2 | ) | (118 | ) | ||||
SBA Communications Corp., REIT* | (139 | ) | (23,758 | ) | ||||
Simon Property Group, Inc., REIT | (374 | ) | (57,727 | ) | ||||
SL Green Realty Corp., REIT | (112 | ) | (10,845 | ) | ||||
UDR, Inc., REIT | (322 | ) | (11,470 | ) | ||||
Vornado Realty Trust, REIT | (228 | ) | (15,344 | ) | ||||
|
| |||||||
(486,595 | ) | |||||||
|
| |||||||
Retailing — (5.3)% | ||||||||
CarMax, Inc.* | (217 | ) | (13,441 | ) | ||||
Dollar General Corp. | (222 | ) | (20,768 | ) | ||||
Expedia Group, Inc. | (189 | ) | (20,867 | ) | ||||
Genuine Parts Co. | (175 | ) | (15,722 | ) | ||||
L Brands, Inc. | (87 | ) | (3,324 | ) | ||||
LKQ Corp.* | (370 | ) | (14,041 | ) | ||||
Lowe’s Cos., Inc. | (995 | ) | (87,311 | ) | ||||
Macy’s, Inc. | (21 | ) | (625 | ) | ||||
Netflix, Inc.* | (400 | ) | (118,140 | ) | ||||
Nordstrom, Inc. | (172 | ) | (8,327 | ) | ||||
TripAdvisor, Inc.* | (166 | ) | (6,788 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Ulta Beauty, Inc.* | (6 | ) | $ | (1,226 | ) | |||
|
| |||||||
(310,580 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (4.2)% |
| |||||||
Broadcom Ltd. (Singapore) | (330 | ) | (77,764 | ) | ||||
Microchip Technology, Inc. | (313 | ) | (28,596 | ) | ||||
NVIDIA Corp. | (511 | ) | (118,342 | ) | ||||
Xilinx, Inc. | (305 | ) | (22,033 | ) | ||||
|
| |||||||
(246,735 | ) | |||||||
|
| |||||||
Software & Services — (10.0)% |
| |||||||
Activision Blizzard, Inc. | (908 | ) | (61,254 | ) | ||||
Adobe Systems, Inc.* | (111 | ) | (23,985 | ) | ||||
Akamai Technologies, Inc.* | (204 | ) | (14,480 | ) | ||||
ANSYS, Inc.* | (101 | ) | (15,826 | ) | ||||
Autodesk, Inc.* | (261 | ) | (32,776 | ) | ||||
Automatic Data Processing, Inc. | (531 | ) | (60,258 | ) | ||||
Cadence Design Systems, Inc.* | (339 | ) | (12,465 | ) | ||||
Electronic Arts, Inc.* | (368 | ) | (44,616 | ) | ||||
Facebook, Inc., Class A* | (106 | ) | (16,938 | ) | ||||
Global Payments, Inc. | (191 | ) | (21,300 | ) | ||||
Intuit, Inc. | (307 | ) | (53,218 | ) | ||||
PayPal Holdings, Inc.* | (641 | ) | (48,633 | ) | ||||
Red Hat, Inc.* | (208 | ) | (31,098 | ) | ||||
salesforce.com, Inc.* | (718 | ) | (83,503 | ) | ||||
Symantec Corp. | (745 | ) | (19,258 | ) | ||||
Synopsys, Inc.* | (179 | ) | (14,900 | ) | ||||
Take-Two Interactive Software, Inc.* | (127 | ) | (12,418 | ) | ||||
VeriSign, Inc.* | (103 | ) | (12,212 | ) | ||||
Western Union Co. (The) | (551 | ) | (10,596 | ) | ||||
|
| |||||||
(589,734 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (1.2)% |
| |||||||
Corning, Inc. | (1,028 | ) | (28,661 | ) | ||||
TE Connectivity Ltd. (Switzerland) | (422 | ) | (42,158 | ) | ||||
|
| |||||||
(70,819 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.4)% |
| |||||||
CenturyLink, Inc. | (1,281 | ) | (21,047 | ) | ||||
|
| |||||||
Transportation — (5.3)% |
| |||||||
American Airlines Group, Inc. | (572 | ) | (29,721 | ) | ||||
CH Robinson Worldwide, Inc. | (1 | ) | (94 | ) | ||||
CSX Corp. | (1,066 | ) | (59,387 | ) | ||||
FedEx Corp. | (320 | ) | (76,835 | ) | ||||
JB Hunt Transport Services, Inc. | (131 | ) | (15,347 | ) | ||||
Southwest Airlines Co. | (705 | ) | (40,382 | ) | ||||
United Continental Holdings, Inc.* | (344 | ) | (23,898 | ) |
The accompanying notes are an integral part of the financial statements.
64
GOTHAM NEUTRAL 500 FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
United Parcel Service, Inc., Class B | (614 | ) | $ | (64,261 | ) | |||
|
| |||||||
(309,925 | ) | |||||||
|
| |||||||
Utilities — (5.0)% |
| |||||||
Alliant Energy Corp. | (83 | ) | (3,391 | ) | ||||
Ameren Corp. | (291 | ) | (16,479 | ) | ||||
American Electric Power Co., Inc. | (589 | ) | (40,400 | ) | ||||
American Water Works Co., Inc. | (213 | ) | (17,494 | ) | ||||
CMS Energy Corp. | (337 | ) | (15,263 | ) | ||||
Dominion Energy, Inc. | (161 | ) | (10,856 | ) | ||||
DTE Energy Co. | (32 | ) | (3,341 | ) | ||||
Entergy Corp. | (216 | ) | (17,016 | ) | ||||
Eversource Energy | (379 | ) | (22,331 | ) | ||||
NiSource, Inc. | (404 | ) | (9,660 | ) | ||||
PG&E Corp. | (618 | ) | (27,149 | ) | ||||
PPL Corp. | (812 | ) | (22,971 | ) | ||||
Public Service Enterprise Group, Inc. | (605 | ) | (30,395 | ) | ||||
Sempra Energy | (301 | ) | (33,477 | ) | ||||
WEC Energy Group, Inc. | (378 | ) | (23,701 | ) | ||||
|
| |||||||
(293,924 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $5,826,274) |
| (5,750,560 | ) | |||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (97.8)% |
| (5,750,560 | ) | |||||
|
| |||||||
(Proceeds $5,826,274) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 75.2% |
| 4,419,057 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 5,879,317 | |||||
|
|
† | 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.
65
GOTHAM HEDGED PLUS FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 154.3% |
| |||||||
COMMON STOCKS — 154.3% |
| |||||||
Automobiles & Components — 1.6% |
| |||||||
Aptiv PLC (Jersey)† | 174 | $ | 14,785 | |||||
BorgWarner, Inc. | 136 | 6,831 | ||||||
General Motors Co.† | 363 | 13,191 | ||||||
Goodyear Tire & Rubber Co. (The) | 157 | 4,173 | ||||||
|
| |||||||
38,980 | ||||||||
|
| |||||||
Banks — 2.9% |
| |||||||
Bank of America Corp.† | 653 | 19,583 | ||||||
BB&T Corp. | 49 | 2,550 | ||||||
Citigroup, Inc.† | 163 | 11,002 | ||||||
Citizens Financial Group, Inc. | 31 | 1,301 | ||||||
Comerica, Inc. | 8 | 767 | ||||||
Huntington Bancshares, Inc.† | 15 | 226 | ||||||
JPMorgan Chase & Co.† | 217 | 23,863 | ||||||
KeyCorp.† | 3 | 59 | ||||||
People’s United Financial, Inc. | 21 | 392 | ||||||
PNC Financial Services Group, Inc. (The)† | 30 | 4,537 | ||||||
Wells Fargo & Co.† | 141 | 7,390 | ||||||
|
| |||||||
71,670 | ||||||||
|
| |||||||
Capital Goods — 21.2% |
| |||||||
3M Co.† | 77 | 16,903 | ||||||
Acuity Brands, Inc. | 13 | 1,809 | ||||||
Allegion PLC (Ireland) | 6 | 512 | ||||||
AMETEK, Inc.† | 149 | 11,320 | ||||||
AO Smith Corp. | 10 | 636 | ||||||
Arconic, Inc.† | 294 | 6,774 | ||||||
Boeing Co. (The)† | 175 | 57,379 | ||||||
Caterpillar, Inc.† | 290 | 42,740 | ||||||
Cummins, Inc.† | 108 | 17,506 | ||||||
Deere & Co.† | 190 | 29,511 | ||||||
Dover Corp.† | 104 | 10,215 | ||||||
Eaton Corp. PLC (Ireland)† | 27 | 2,154 | ||||||
Emerson Electric Co.† | 417 | 28,481 | ||||||
Fastenal Co. | 71 | 3,876 | ||||||
Flowserve Corp. | 56 | 2,426 | ||||||
Fluor Corp. | 8 | 458 | ||||||
Fortune Brands Home & Security, Inc. | 99 | 5,830 | ||||||
General Dynamics Corp.† | 192 | 42,413 | ||||||
General Electric Co.† | 551 | 7,427 | ||||||
Harris Corp.† | 75 | 12,096 | ||||||
Honeywell International, Inc.† | 302 | 43,642 | ||||||
Huntington Ingalls Industries, Inc. | 2 | 516 | ||||||
Illinois Tool Works, Inc.† | 145 | 22,716 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Ingersoll-Rand PLC (Ireland)† | 106 | $ | 9,064 | |||||
Johnson Controls International PLC (Ireland)† | 58 | 2,044 | ||||||
L3 Technologies, Inc. | 32 | 6,656 | ||||||
Lockheed Martin Corp. | 17 | 5,745 | ||||||
Masco Corp.† | 203 | 8,209 | ||||||
Northrop Grumman Corp. | 11 | 3,840 | ||||||
PACCAR, Inc. | 17 | 1,125 | ||||||
Pentair PLC (Ireland)† | 114 | 7,767 | ||||||
Raytheon Co.† | 186 | 40,143 | ||||||
Rockwell Automation, Inc.† | 8 | 1,394 | ||||||
Rockwell Collins, Inc. | 31 | 4,180 | ||||||
Roper Technologies, Inc. | 7 | 1,965 | ||||||
Snap-on, Inc. | 36 | 5,311 | ||||||
Stanley Black & Decker, Inc.† | 100 | 15,320 | ||||||
Textron, Inc. | 16 | 944 | ||||||
TransDigm Group, Inc. | 12 | 3,683 | ||||||
United Technologies Corp.† | 207 | 26,045 | ||||||
WW Grainger, Inc. | 37 | 10,444 | ||||||
Xylem, Inc.† | 117 | 9,000 | ||||||
|
| |||||||
530,219 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.6% |
| |||||||
Cintas Corp.† | 16 | 2,729 | ||||||
Nielsen Holdings PLC (United Kingdom)† | 232 | 7,375 | ||||||
Republic Services, Inc. | 21 | 1,391 | ||||||
Robert Half International, Inc.† | 33 | 1,910 | ||||||
Waste Management, Inc.† | 31 | 2,608 | ||||||
|
| |||||||
16,013 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.1% |
| |||||||
DR Horton, Inc.† | 23 | 1,008 | ||||||
Garmin Ltd. (Switzerland) | 12 | 707 | ||||||
Hanesbrands, Inc.(a) | 237 | 4,366 | ||||||
Hasbro, Inc. | 7 | 590 | ||||||
Leggett & Platt, Inc. | 9 | 399 | ||||||
Lennar Corp., Class A | 15 | 884 | ||||||
Mattel, Inc.(a) | 222 | 2,919 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 106 | 6,580 | ||||||
Newell Brands, Inc. | 314 | 8,001 | ||||||
PulteGroup, Inc. | 18 | 531 | ||||||
Ralph Lauren Corp.† | 53 | 5,925 | ||||||
Under Armour, Inc., Class C(a)* | 28 | 402 |
The accompanying notes are an integral part of the financial statements.
66
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
VF Corp.† | 256 | $ | 18,975 | |||||
|
| |||||||
51,287 | ||||||||
|
| |||||||
Consumer Services — 4.1% |
| |||||||
H&R Block, Inc. | 13 | 330 | ||||||
Hilton Worldwide Holdings, Inc.† | 202 | 15,910 | ||||||
Marriott International, Inc., Class A† | 231 | 31,411 | ||||||
McDonald’s Corp.† | 167 | 26,115 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 19 | 2,237 | ||||||
Wyndham Worldwide Corp.† | 65 | 7,438 | ||||||
Yum! Brands, Inc.† | 223 | 18,984 | ||||||
|
| |||||||
102,425 | ||||||||
|
| |||||||
Diversified Financials — 10.2% |
| |||||||
American Express Co.† | 209 | 19,496 | ||||||
Ameriprise Financial, Inc. | 2 | 296 | ||||||
Bank of New York Mellon Corp. (The) | 64 | 3,298 | ||||||
Berkshire Hathaway, Inc., Class B†* | 213 | 42,489 | ||||||
BlackRock, Inc.† | 104 | 56,339 | ||||||
Cboe Global Markets, Inc. | 7 | 799 | ||||||
Charles Schwab Corp. (The)† | 85 | 4,439 | ||||||
CME Group, Inc. | 21 | 3,397 | ||||||
Discover Financial Services† | 22 | 1,582 | ||||||
E*TRADE Financial Corp.* | 23 | 1,274 | ||||||
Franklin Resources, Inc.† | 359 | 12,450 | ||||||
Intercontinental Exchange, Inc.† | 269 | 19,508 | ||||||
Invesco Ltd. (Bermuda)† | 265 | 8,483 | ||||||
Moody’s Corp.† | 123 | 19,840 | ||||||
Morgan Stanley† | 111 | 5,990 | ||||||
Nasdaq, Inc.† | 107 | 9,226 | ||||||
Northern Trust Corp. | 14 | 1,444 | ||||||
Raymond James Financial, Inc. | 39 | 3,487 | ||||||
S&P Global, Inc.† | 114 | 21,781 | ||||||
State Street Corp. | 23 | 2,294 | ||||||
T Rowe Price Group, Inc.† | 160 | 17,275 | ||||||
|
| |||||||
255,187 | ||||||||
|
| |||||||
Energy — 8.4% | ||||||||
Andeavor† | 99 | 9,955 | ||||||
Apache Corp.† | 246 | 9,466 | ||||||
Cabot Oil & Gas Corp. | 297 | 7,122 | ||||||
Chevron Corp. | 40 | 4,562 | ||||||
ConocoPhillips† | 773 | 45,831 | ||||||
Exxon Mobil Corp.† | 279 | 20,816 | ||||||
Hess Corp.† | 205 | 10,377 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
Marathon Oil Corp. | 53 | $ | 855 | |||||
Marathon Petroleum Corp.† | 317 | 23,176 | ||||||
National Oilwell Varco, Inc.† | 24 | 883 | ||||||
Noble Energy, Inc.† | 129 | 3,909 | ||||||
ONEOK, Inc.† | 2 | 114 | ||||||
Phillips 66† | 329 | 31,558 | ||||||
Schlumberger Ltd. (Curacao)† | 87 | 5,636 | ||||||
TechnipFMC PLC | 304 | 8,953 | ||||||
Valero Energy Corp.† | 283 | 26,254 | ||||||
|
| |||||||
209,467 | ||||||||
|
| |||||||
Food & Staples Retailing — 4.3% |
| |||||||
CVS Health Corp.† | 331 | 20,592 | ||||||
Kroger Co. (The)† | 561 | 13,430 | ||||||
Sysco Corp.† | 38 | 2,278 | ||||||
Walgreens Boots Alliance, Inc.† | 342 | 22,391 | ||||||
Walmart, Inc.† | 539 | 47,955 | ||||||
|
| |||||||
106,646 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 7.6% |
| |||||||
Altria Group, Inc.† | 711 | 44,310 | ||||||
Campbell Soup Co.(a) | 19 | 823 | ||||||
Coca-Cola Co. (The)† | 279 | 12,117 | ||||||
Conagra Brands, Inc.† | 71 | 2,618 | ||||||
Dr Pepper Snapple Group, Inc.† | 105 | 12,430 | ||||||
General Mills, Inc.† | 369 | 16,627 | ||||||
Hershey Co. (The)† | 136 | 13,459 | ||||||
Hormel Foods Corp.(a) | 23 | 789 | ||||||
JM Smucker Co. (The) | 7 | 868 | ||||||
Kraft Heinz Co. (The)† | 331 | 20,618 | ||||||
McCormick & Co., Inc., non-voting shares† | 9 | 958 | ||||||
Molson Coors Brewing Co., Class B† | 14 | 1,055 | ||||||
PepsiCo, Inc.† | 223 | 24,340 | ||||||
Philip Morris International, Inc.† | 226 | 22,464 | ||||||
Tyson Foods, Inc., Class A† | 240 | 17,566 | ||||||
|
| |||||||
191,042 | ||||||||
|
| |||||||
Health Care Equipment & Services — 7.2% |
| |||||||
Abbott Laboratories† | 538 | 32,237 | ||||||
Aetna, Inc.† | 92 | 15,548 | ||||||
AmerisourceBergen Corp.† | 16 | 1,379 | ||||||
Baxter International, Inc.† | 34 | 2,211 | ||||||
Cigna Corp.† | 160 | 26,838 | ||||||
Danaher Corp. | 44 | 4,308 | ||||||
Envision Healthcare Corp.* | 7 | 269 |
The accompanying notes are an integral part of the financial statements.
67
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Express Scripts Holding Co.†* | 294 | $ | 20,310 | |||||
Humana, Inc.† | 59 | 15,861 | ||||||
Laboratory Corp. of America Holdings†* | 68 | 10,999 | ||||||
Medtronic PLC (Ireland) | 86 | 6,899 | ||||||
Quest Diagnostics, Inc.† | 86 | 8,626 | ||||||
UnitedHealth Group, Inc.† | 124 | 26,536 | ||||||
Universal Health Services, Inc., Class B | 6 | 710 | ||||||
Varian Medical Systems, Inc.†* | 58 | 7,114 | ||||||
|
| |||||||
179,845 | ||||||||
|
| |||||||
Household & Personal Products — 4.1% |
| |||||||
Church & Dwight Co., Inc. | 16 | 806 | ||||||
Colgate-Palmolive Co. | 55 | 3,942 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 242 | 36,232 | ||||||
Kimberly-Clark Corp.† | 61 | 6,718 | ||||||
Procter & Gamble Co. (The)† | 679 | 53,831 | ||||||
|
| |||||||
101,529 | ||||||||
|
| |||||||
Insurance — 4.0% |
| |||||||
Aflac, Inc. | 49 | 2,144 | ||||||
Allstate Corp. (The) | 50 | 4,740 | ||||||
Aon PLC (United Kingdom)† | 160 | 22,453 | ||||||
Arthur J Gallagher & Co. | 11 | 756 | ||||||
Brighthouse Financial, Inc.* | 7 | 360 | ||||||
Hartford Financial Services Group, Inc. (The) | 115 | 5,925 | ||||||
Loews Corp. | 21 | 1,044 | ||||||
Marsh & McLennan Cos., Inc.† | 331 | 27,337 | ||||||
MetLife, Inc. | 25 | 1,147 | ||||||
Progressive Corp. (The)† | 375 | 22,849 | ||||||
Prudential Financial, Inc. | 26 | 2,692 | ||||||
Torchmark Corp. | 74 | 6,229 | ||||||
Travelers Cos., Inc. (The) | 17 | 2,361 | ||||||
|
| |||||||
100,037 | ||||||||
|
| |||||||
Materials — 6.9% |
| |||||||
Air Products & Chemicals, Inc.† | 66 | 10,496 | ||||||
Avery Dennison Corp. | 57 | 6,056 | ||||||
Eastman Chemical Co.† | 93 | 9,819 | ||||||
Ecolab, Inc. | 18 | 2,467 | ||||||
Freeport-McMoRan, Inc.† | 941 | 16,533 | ||||||
International Flavors & Fragrances, Inc. | 14 | 1,917 | ||||||
International Paper Co.† | 267 | 14,266 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 257 | $ | 27,160 | |||||
Monsanto Co.† | 282 | 32,907 | ||||||
Packaging Corp. of America† | 6 | 676 | ||||||
PPG Industries, Inc.† | 166 | 18,526 | ||||||
Praxair, Inc. | 18 | 2,597 | ||||||
Sealed Air Corp. | 114 | 4,878 | ||||||
Sherwin-Williams Co. (The)† | 60 | 23,527 | ||||||
|
| |||||||
171,825 | ||||||||
|
| |||||||
Media — 4.6% |
| |||||||
CBS Corp., Class B, non-voting shares† | 260 | 13,361 | ||||||
Discovery, Inc., Class A(a)* | 372 | 7,972 | ||||||
Interpublic Group of Cos., Inc. (The) | 253 | 5,827 | ||||||
News Corp., Class A† | 379 | 5,988 | ||||||
Omnicom Group, Inc.†(a) | 155 | 11,264 | ||||||
Time Warner, Inc.† | 504 | 47,668 | ||||||
Twenty-First Century Fox, Inc., Class A† | 392 | 14,382 | ||||||
Viacom, Inc., Class B† | 261 | 8,107 | ||||||
|
| |||||||
114,569 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 18.5% |
| |||||||
AbbVie, Inc.† | 700 | 66,255 | ||||||
Amgen, Inc.† | 275 | 46,882 | ||||||
Biogen, Inc.†* | 138 | 37,787 | ||||||
Bristol-Myers Squibb Co.† | 98 | 6,198 | ||||||
Celgene Corp.†* | 490 | 43,713 | ||||||
Eli Lilly & Co.† | 69 | 5,339 | ||||||
Gilead Sciences, Inc.† | 517 | 38,977 | ||||||
Johnson & Johnson† | 606 | 77,659 | ||||||
Merck & Co., Inc.† | 875 | 47,661 | ||||||
Pfizer, Inc.† | 1,811 | 64,272 | ||||||
Waters Corp.* | 7 | 1,391 | ||||||
Zoetis, Inc.† | 313 | 26,139 | ||||||
|
| |||||||
462,273 | ||||||||
|
| |||||||
Real Estate — 1.8% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT† | 50 | 6,244 | ||||||
AvalonBay Communities, Inc., REIT† | 8 | 1,316 | ||||||
CBRE Group, Inc., Class A†* | 220 | 10,388 | ||||||
Equity Residential, REIT | 26 | 1,602 | ||||||
Mid-America Apartment Communities, Inc., REIT† | 23 | 2,099 | ||||||
Prologis, Inc., REIT | 33 | 2,079 |
The accompanying notes are an integral part of the financial statements.
68
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) | ||||||||
Realty Income Corp., REIT | 18 | $ | 931 | |||||
Ventas, Inc., REIT | 22 | 1,090 | ||||||
Welltower, Inc., REIT | 23 | 1,252 | ||||||
Weyerhaeuser Co., REIT† | 491 | 17,185 | ||||||
|
| |||||||
44,186 | ||||||||
|
| |||||||
Retailing — 7.2% |
| |||||||
Advance Auto Parts, Inc. | 48 | 5,690 | ||||||
Amazon.com, Inc.* | 3 | 4,342 | ||||||
AutoZone, Inc.†* | 15 | 9,730 | ||||||
Best Buy Co., Inc. | 42 | 2,940 | ||||||
Booking Holdings, Inc.†* | 30 | 62,412 | ||||||
Dollar Tree, Inc.†* | 15 | 1,424 | ||||||
Foot Locker, Inc. | 9 | 410 | ||||||
Gap, Inc. (The) | 24 | 749 | ||||||
Home Depot, Inc. (The)† | 273 | 48,660 | ||||||
Kohl’s Corp.† | 109 | 7,141 | ||||||
L Brands, Inc. | 11 | 420 | ||||||
Macy’s, Inc. | 19 | 565 | ||||||
O’Reilly Automotive, Inc.†* | 42 | 10,390 | ||||||
Ross Stores, Inc.† | 136 | 10,605 | ||||||
Target Corp.† | 94 | 6,526 | ||||||
Tiffany & Co. | 23 | 2,246 | ||||||
TJX Cos., Inc. (The) | 40 | 3,262 | ||||||
Tractor Supply Co. | 46 | 2,899 | ||||||
|
| |||||||
180,411 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.2% |
| |||||||
Advanced Micro Devices, Inc.(a)* | 67 | 673 | ||||||
Analog Devices, Inc.† | 23 | 2,096 | ||||||
Applied Materials, Inc.† | 295 | 16,405 | ||||||
Intel Corp.† | 351 | 18,280 | ||||||
KLA-Tencor Corp.† | 10 | 1,090 | ||||||
Lam Research Corp.† | 56 | 11,377 | ||||||
Microchip Technology, Inc.(a) | 2 | 183 | ||||||
Micron Technology, Inc.†* | 841 | 43,850 | ||||||
Qorvo, Inc.* | 8 | 564 | ||||||
QUALCOMM, Inc.† | 111 | 6,151 | ||||||
Skyworks Solutions, Inc.† | 12 | 1,203 | ||||||
Texas Instruments, Inc.† | 518 | 53,815 | ||||||
|
| |||||||
155,687 | ||||||||
|
| |||||||
Software & Services — 12.6% |
| |||||||
Accenture PLC, Class A (Ireland)† | 307 | 47,124 | ||||||
Alliance Data Systems Corp. | 36 | 7,663 | ||||||
Alphabet, Inc., Class A†* | 44 | 45,634 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
CA, Inc.† | 266 | $ | 9,017 | |||||
Citrix Systems, Inc.†* | 9 | 835 | ||||||
Cognizant Technology Solutions Corp., Class A† | 38 | 3,059 | ||||||
CSRA, Inc. | 11 | 454 | ||||||
DXC Technology Co.† | 184 | 18,498 | ||||||
eBay, Inc.†* | 65 | 2,616 | ||||||
Facebook, Inc., Class A†* | 132 | 21,092 | ||||||
Fidelity National Information Services, Inc. | 28 | 2,696 | ||||||
Fiserv, Inc.* | 26 | 1,854 | ||||||
Gartner, Inc.* | 5 | 588 | ||||||
International Business Machines Corp.† | 307 | 47,103 | ||||||
Mastercard, Inc., Class A† | 66 | 11,561 | ||||||
Microsoft Corp.† | 489 | 44,631 | ||||||
Oracle Corp.† | 275 | 12,581 | ||||||
Paychex, Inc.† | 232 | 14,289 | ||||||
Total System Services, Inc.† | 23 | 1,984 | ||||||
Visa, Inc., Class A† | 187 | 22,369 | ||||||
|
| |||||||
315,648 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 9.0% |
| |||||||
Amphenol Corp., Class A | 20 | 1,723 | ||||||
Apple, Inc.† | 674 | 113,084 | ||||||
Cisco Systems, Inc.† | 1,084 | 46,493 | ||||||
F5 Networks, Inc.†* | 6 | 868 | ||||||
FLIR Systems, Inc. | 8 | 400 | ||||||
Hewlett Packard Enterprise Co.† | 92 | 1,614 | ||||||
HP, Inc.† | 1,070 | 23,454 | ||||||
IPG Photonics Corp.* | 3 | 700 | ||||||
Juniper Networks, Inc.† | 82 | 1,995 | ||||||
Motorola Solutions, Inc.† | 106 | 11,162 | ||||||
NetApp, Inc.† | 173 | 10,672 | ||||||
Seagate Technology PLC (Ireland) | 186 | 10,885 | ||||||
Western Digital Corp.† | 19 | 1,753 | ||||||
Xerox Corp. | 16 | 460 | ||||||
|
| |||||||
225,263 | ||||||||
|
| |||||||
Telecommunication Services — 2.5% |
| |||||||
AT&T, Inc.† | 389 | 13,868 | ||||||
Verizon Communications, Inc.† | 1,015 | 48,537 | ||||||
|
| |||||||
62,405 | ||||||||
|
| |||||||
Transportation — 2.5% |
| |||||||
Alaska Air Group, Inc. | 8 | 496 |
The accompanying notes are an integral part of the financial statements.
69
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) | ||||||||
Delta Air Lines, Inc.† | 44 | $ | 2,412 | |||||
Expeditors International of Washington, Inc.† | 113 | 7,153 | ||||||
JB Hunt Transport Services, Inc.† | 7 | 820 | ||||||
Kansas City Southern | 7 | 769 | ||||||
Norfolk Southern Corp.† | 173 | 23,490 | ||||||
Union Pacific Corp.† | 209 | 28,096 | ||||||
|
| |||||||
63,236 | ||||||||
|
| |||||||
Utilities — 4.2% | ||||||||
AES Corp.† | 41 | 466 | ||||||
Consolidated Edison, Inc. | 19 | 1,481 | ||||||
Duke Energy Corp.† | 221 | 17,121 | ||||||
Exelon Corp.† | 61 | 2,380 | ||||||
FirstEnergy Corp.† | 289 | 9,829 | ||||||
NextEra Energy, Inc.† | 217 | 35,443 | ||||||
NRG Energy, Inc. | 206 | 6,289 | ||||||
Pinnacle West Capital Corp. | 7 | 559 | ||||||
SCANA Corp. | 9 | 338 | ||||||
Southern Co. (The)† | 638 | 28,493 | ||||||
Xcel Energy, Inc. | 32 | 1,455 | ||||||
|
| |||||||
103,854 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 3,853,704 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 154.3% | 3,853,704 | |||||||
|
| |||||||
(Cost $3,623,141) | ||||||||
SHORT POSITIONS — (93.9)% |
| |||||||
COMMON STOCKS — (93.9)% |
| |||||||
Automobiles & Components — (1.1)% |
| |||||||
Ford Motor Co. | (2,073 | ) | (22,969 | ) | ||||
Harley-Davidson, Inc. | (87 | ) | (3,731 | ) | ||||
|
| |||||||
(26,700 | ) | |||||||
|
| |||||||
Banks — (2.6)% | ||||||||
Fifth Third Bancorp | (360 | ) | (11,430 | ) | ||||
M&T Bank Corp. | (11 | ) | (2,028 | ) | ||||
Regions Financial Corp. | (610 | ) | (11,334 | ) | ||||
SunTrust Banks, Inc. | (179 | ) | (12,179 | ) | ||||
SVB Financial Group* | (3 | ) | (720 | ) | ||||
US Bancorp | (409 | ) | (20,654 | ) | ||||
Zions Bancorporation | (103 | ) | (5,431 | ) | ||||
|
| |||||||
(63,776 | ) | |||||||
|
| |||||||
Capital Goods — (1.1)% | ||||||||
Fortive Corp. | (6 | ) | (465 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Jacobs Engineering Group, Inc. | (73 | ) | $ | (4,318 | ) | |||
Parker-Hannifin Corp. | (69 | ) | (11,801 | ) | ||||
Quanta Services, Inc.* | (81 | ) | (2,782 | ) | ||||
United Rentals, Inc.* | (44 | ) | (7,600 | ) | ||||
|
| |||||||
(26,966 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.9)% |
| |||||||
Equifax, Inc. | (63 | ) | (7,422 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (208 | ) | (10,034 | ) | ||||
Stericycle, Inc.* | (48 | ) | (2,809 | ) | ||||
Verisk Analytics, Inc.* | (24 | ) | (2,496 | ) | ||||
|
| |||||||
(22,761 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (3.0)% |
| |||||||
Mohawk Industries, Inc.* | (39 | ) | (9,057 | ) | ||||
NIKE, Inc., Class B | (682 | ) | (45,312 | ) | ||||
PVH Corp. | (41 | ) | (6,209 | ) | ||||
Tapestry, Inc. | (147 | ) | (7,734 | ) | ||||
Whirlpool Corp. | (36 | ) | (5,512 | ) | ||||
|
| |||||||
(73,824 | ) | |||||||
|
| |||||||
Consumer Services — (3.8)% |
| |||||||
Carnival Corp. (Panama) | (242 | ) | (15,870 | ) | ||||
Chipotle Mexican Grill, Inc.* | (15 | ) | (4,847 | ) | ||||
Darden Restaurants, Inc. | (65 | ) | (5,541 | ) | ||||
MGM Resorts International | (295 | ) | (10,331 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (119 | ) | (6,303 | ) | ||||
Starbucks Corp. | (730 | ) | (42,260 | ) | ||||
Wynn Resorts Ltd. | (54 | ) | (9,847 | ) | ||||
|
| |||||||
(94,999 | ) | |||||||
|
| |||||||
Diversified Financials — (2.0)% |
| |||||||
Affiliated Managers Group, Inc. | (29 | ) | (5,498 | ) | ||||
Capital One Financial Corp. | (17 | ) | (1,629 | ) | ||||
Goldman Sachs Group, Inc. (The) | (111 | ) | (27,956 | ) | ||||
Leucadia National Corp. | (181 | ) | (4,114 | ) | ||||
Navient Corp. | (136 | ) | (1,784 | ) | ||||
Synchrony Financial | (241 | ) | (8,081 | ) | ||||
|
| |||||||
(49,062 | ) | |||||||
|
| |||||||
Energy — (7.1)% |
| |||||||
Anadarko Petroleum Corp. | (275 | ) | (16,613 | ) | ||||
Cimarex Energy Co. | (49 | ) | (4,581 | ) | ||||
Concho Resources, Inc.* | (77 | ) | (11,575 | ) | ||||
Devon Energy Corp. | (274 | ) | (8,710 | ) | ||||
EOG Resources, Inc. | (300 | ) | (31,581 | ) | ||||
EQT Corp. | (137 | ) | (6,509 | ) |
The accompanying notes are an integral part of the financial statements.
70
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Halliburton Co. | (451 | ) | $ | (21,170 | ) | |||
Helmerich & Payne, Inc. | (56 | ) | (3,727 | ) | ||||
Kinder Morgan, Inc. | (1,188 | ) | (17,891 | ) | ||||
Newfield Exploration Co.* | (104 | ) | (2,540 | ) | ||||
Occidental Petroleum Corp. | (399 | ) | (25,919 | ) | ||||
Pioneer Natural Resources Co. | (88 | ) | (15,117 | ) | ||||
Range Resources Corp. | (129 | ) | (1,876 | ) | ||||
Williams Cos., Inc. (The) | (428 | ) | (10,640 | ) | ||||
|
| |||||||
(178,449 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.5)% |
| |||||||
Costco Wholesale Corp. | (205 | ) | (38,628 | ) | ||||
|
| |||||||
Food, Beverage & Tobacco — (4.3)% |
| |||||||
Archer-Daniels-Midland Co. | (288 | ) | (12,491 | ) | ||||
Brown-Forman Corp., Class B | (251 | ) | (13,654 | ) | ||||
Constellation Brands, Inc., Class A | (95 | ) | (21,652 | ) | ||||
Kellogg Co. | (180 | ) | (11,702 | ) | ||||
Mondelez International, Inc., Class A | (772 | ) | (32,216 | ) | ||||
Monster Beverage Corp.* | (294 | ) | (16,820 | ) | ||||
|
| |||||||
(108,535 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (8.7)% |
| |||||||
Align Technology, Inc.* | (42 | ) | (10,547 | ) | ||||
Anthem, Inc. | (52 | ) | (11,424 | ) | ||||
Becton Dickinson and Co. | (138 | ) | (29,905 | ) | ||||
Boston Scientific Corp.* | (712 | ) | (19,452 | ) | ||||
Cardinal Health, Inc. | (163 | ) | (10,217 | ) | ||||
Centene Corp.* | (90 | ) | (9,618 | ) | ||||
Cerner Corp.* | (180 | ) | (10,440 | ) | ||||
Cooper Cos., Inc. (The) | (25 | ) | (5,720 | ) | ||||
DaVita, Inc.* | (94 | ) | (6,198 | ) | ||||
DENTSPLY SIRONA, Inc. | (119 | ) | (5,987 | ) | ||||
Edwards Lifesciences Corp.* | (109 | ) | (15,208 | ) | ||||
HCA Healthcare, Inc. | (181 | ) | (17,557 | ) | ||||
Henry Schein, Inc.* | (80 | ) | (5,377 | ) | ||||
Hologic, Inc.* | (143 | ) | (5,342 | ) | ||||
IDEXX Laboratories, Inc.* | (46 | ) | (8,804 | ) | ||||
Intuitive Surgical, Inc.* | (23 | ) | (9,495 | ) | ||||
McKesson Corp. | (106 | ) | (14,932 | ) | ||||
ResMed, Inc. | (75 | ) | (7,385 | ) | ||||
Stryker Corp. | (11 | ) | (1,770 | ) | ||||
Zimmer Biomet Holdings, Inc. | (105 | ) | (11,449 | ) | ||||
|
| |||||||
(216,827 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.6)% |
| |||||||
Clorox Co. (The) | (68 | ) | (9,051 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Coty, Inc., Class A | (388 | ) | $ | (7,100 | ) | |||
|
| |||||||
(16,151 | ) | |||||||
|
| |||||||
Insurance — (3.2)% | ||||||||
American International Group, Inc. | (409 | ) | (22,258 | ) | ||||
Assurant, Inc. | (28 | ) | (2,559 | ) | ||||
Chubb Ltd. (Switzerland) | (23 | ) | (3,146 | ) | ||||
Cincinnati Financial Corp. | (86 | ) | (6,386 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (22 | ) | (5,650 | ) | ||||
Lincoln National Corp. | (114 | ) | (8,329 | ) | ||||
Principal Financial Group, Inc. | (139 | ) | (8,466 | ) | ||||
Unum Group | (117 | ) | (5,570 | ) | ||||
Willis Towers Watson PLC (Ireland) | (69 | ) | (10,501 | ) | ||||
XL Group Ltd. (Bermuda) | (112 | ) | (6,189 | ) | ||||
|
| |||||||
(79,054 | ) | |||||||
|
| |||||||
Materials — (4.5)% | ||||||||
Albemarle Corp. | (58 | ) | (5,379 | ) | ||||
Ball Corp. | (90 | ) | (3,574 | ) | ||||
CF Industries Holdings, Inc. | (120 | ) | (4,528 | ) | ||||
DowDuPont, Inc. | (735 | ) | (46,827 | ) | ||||
FMC Corp. | (71 | ) | (5,436 | ) | ||||
Martin Marietta Materials, Inc. | (32 | ) | (6,634 | ) | ||||
Mosaic Co. (The) | (186 | ) | (4,516 | ) | ||||
Newmont Mining Corp. | (276 | ) | (10,783 | ) | ||||
Nucor Corp. | (165 | ) | (10,080 | ) | ||||
Vulcan Materials Co. | (70 | ) | (7,992 | ) | ||||
WestRock Co. | (91 | ) | (5,839 | ) | ||||
|
| |||||||
(111,588 | ) | |||||||
|
| |||||||
Media — (3.1)% | ||||||||
Charter Communications, Inc., Class A* | (97 | ) | (30,188 | ) | ||||
Comcast Corp., Class A | (135 | ) | (4,613 | ) | ||||
DISH Network Corp., Class A* | (198 | ) | (7,502 | ) | ||||
Walt Disney Co. (The) | (343 | ) | (34,451 | ) | ||||
|
| |||||||
(76,754 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (6.5)% |
| |||||||
Agilent Technologies, Inc. | (37 | ) | (2,475 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (118 | ) | (13,152 | ) | ||||
Allergan PLC (Ireland) | (22 | ) | (3,702 | ) | ||||
Illumina, Inc.* | (76 | ) | (17,968 | ) | ||||
Incyte Corp.* | (114 | ) | (9,500 | ) | ||||
IQVIA Holdings, Inc.* | (124 | ) | (12,166 | ) | ||||
Mettler-Toledo International, Inc.* | (14 | ) | (8,050 | ) | ||||
Mylan NV (Netherlands)* | (273 | ) | (11,239 | ) |
The accompanying notes are an integral part of the financial statements.
71
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Nektar Therapeutics* | (82 | ) | $ | (8,713 | ) | |||
PerkinElmer, Inc. | (58 | ) | (4,392 | ) | ||||
Perrigo Co. PLC (Ireland) | (74 | ) | (6,167 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (64 | ) | (22,039 | ) | ||||
Thermo Fisher Scientific, Inc. | (106 | ) | (21,885 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (134 | ) | (21,839 | ) | ||||
|
| |||||||
(163,287 | ) | |||||||
|
| |||||||
Real Estate — (9.2)% |
| |||||||
American Tower Corp., REIT | (224 | ) | (32,556 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (82 | ) | (3,342 | ) | ||||
Boston Properties, Inc., REIT | (80 | ) | (9,858 | ) | ||||
Crown Castle International Corp., REIT | (212 | ) | (23,237 | ) | ||||
Digital Realty Trust, Inc., REIT | (107 | ) | (11,276 | ) | ||||
Duke Realty Corp., REIT | (185 | ) | (4,899 | ) | ||||
Equinix, Inc., REIT | (41 | ) | (17,149 | ) | ||||
Essex Property Trust, Inc., REIT | (35 | ) | (8,424 | ) | ||||
Extra Space Storage, Inc., REIT | (66 | ) | (5,766 | ) | ||||
Federal Realty Investment Trust, REIT | (38 | ) | (4,412 | ) | ||||
GGP, Inc., REIT | (496 | ) | (10,148 | ) | ||||
HCP, Inc., REIT | (243 | ) | (5,645 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (383 | ) | (7,139 | ) | ||||
Iron Mountain, Inc., REIT | (146 | ) | (4,798 | ) | ||||
Kimco Realty Corp., REIT | (221 | ) | (3,182 | ) | ||||
Macerich Co. (The), REIT | (73 | ) | (4,089 | ) | ||||
Public Storage, REIT | (91 | ) | (18,235 | ) | ||||
Regency Centers Corp., REIT | (88 | ) | (5,190 | ) | ||||
SBA Communications Corp., REIT* | (62 | ) | (10,597 | ) | ||||
Simon Property Group, Inc., REIT | (161 | ) | (24,850 | ) | ||||
SL Green Realty Corp., REIT | (48 | ) | (4,648 | ) | ||||
UDR, Inc., REIT | (139 | ) | (4,951 | ) | ||||
Vornado Realty Trust, REIT | (99 | ) | (6,663 | ) | ||||
|
| |||||||
(231,054 | ) | |||||||
|
| |||||||
Retailing — (5.1)% |
| |||||||
CarMax, Inc.* | (95 | ) | (5,884 | ) | ||||
Dollar General Corp. | (86 | ) | (8,045 | ) | ||||
Expedia Group, Inc. | (82 | ) | (9,054 | ) | ||||
Genuine Parts Co. | (76 | ) | (6,828 | ) | ||||
LKQ Corp.* | (161 | ) | (6,110 | ) | ||||
Lowe’s Cos., Inc. | (430 | ) | (37,732 | ) | ||||
Netflix, Inc.* | (156 | ) | (46,075 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Nordstrom, Inc. | (69 | ) | $ | (3,340 | ) | |||
TripAdvisor, Inc.* | (90 | ) | (3,680 | ) | ||||
Ulta Beauty, Inc.* | (3 | ) | (613 | ) | ||||
|
| |||||||
(127,361 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (3.4)% |
| |||||||
Broadcom Ltd. (Singapore) | (141 | ) | (33,227 | ) | ||||
NVIDIA Corp. | (179 | ) | (41,455 | ) | ||||
Xilinx, Inc. | (132 | ) | (9,536 | ) | ||||
|
| |||||||
(84,218 | ) | |||||||
|
| |||||||
Software & Services — (9.7)% |
| |||||||
Activision Blizzard, Inc. | (394 | ) | (26,579 | ) | ||||
Adobe Systems, Inc.* | (25 | ) | (5,402 | ) | ||||
Akamai Technologies, Inc.* | (89 | ) | (6,317 | ) | ||||
ANSYS, Inc.* | (45 | ) | (7,051 | ) | ||||
Autodesk, Inc.* | (114 | ) | (14,316 | ) | ||||
Automatic Data Processing, Inc. | (232 | ) | (26,327 | ) | ||||
Cadence Design Systems, Inc.* | (148 | ) | (5,442 | ) | ||||
Electronic Arts, Inc.* | (161 | ) | (19,520 | ) | ||||
Global Payments, Inc. | (83 | ) | (9,256 | ) | ||||
Intuit, Inc. | (133 | ) | (23,056 | ) | ||||
PayPal Holdings, Inc.* | (238 | ) | (18,057 | ) | ||||
Red Hat, Inc.* | (92 | ) | (13,755 | ) | ||||
salesforce.com, Inc.* | (322 | ) | (37,449 | ) | ||||
Symantec Corp. | (322 | ) | (8,324 | ) | ||||
Synopsys, Inc.* | (79 | ) | (6,576 | ) | ||||
Take-Two Interactive Software, Inc.* | (54 | ) | (5,280 | ) | ||||
VeriSign, Inc.* | (39 | ) | (4,624 | ) | ||||
Western Union Co. (The) | (238 | ) | (4,577 | ) | ||||
|
| |||||||
(241,908 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (1.2)% |
| |||||||
Corning, Inc. | (454 | ) | (12,658 | ) | ||||
TE Connectivity Ltd. (Switzerland) | (183 | ) | (18,282 | ) | ||||
|
| |||||||
(30,940 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.4)% |
| |||||||
CenturyLink, Inc. | (554 | ) | (9,102 | ) | ||||
|
| |||||||
Transportation — (5.3)% |
| |||||||
American Airlines Group, Inc. | (247 | ) | (12,834 | ) | ||||
CH Robinson Worldwide, Inc. | (29 | ) | (2,718 | ) | ||||
CSX Corp. | (461 | ) | (25,682 | ) | ||||
FedEx Corp. | (139 | ) | (33,375 | ) | ||||
Southwest Airlines Co. | (305 | ) | (17,470 | ) | ||||
United Continental Holdings, Inc.* | (151 | ) | (10,490 | ) |
The accompanying notes are an integral part of the financial statements.
72
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
United Parcel Service, Inc., Class B | (289 | ) | $ | (30,247 | ) | |||
|
| |||||||
(132,816 | ) | |||||||
|
| |||||||
Utilities — (5.6)% | ||||||||
Alliant Energy Corp. | (99 | ) | (4,045 | ) | ||||
Ameren Corp. | (125 | ) | (7,079 | ) | ||||
American Electric Power Co., Inc. | (256 | ) | (17,559 | ) | ||||
American Water Works Co., Inc. | (95 | ) | (7,802 | ) | ||||
CenterPoint Energy, Inc. | (31 | ) | (849 | ) | ||||
CMS Energy Corp. | (146 | ) | (6,612 | ) | ||||
Dominion Energy, Inc. | (87 | ) | (5,866 | ) | ||||
DTE Energy Co. | (59 | ) | (6,160 | ) | ||||
Edison International | (61 | ) | (3,883 | ) | ||||
Entergy Corp. | (93 | ) | (7,327 | ) | ||||
Eversource Energy | (164 | ) | (9,663 | ) | ||||
NiSource, Inc. | (175 | ) | (4,184 | ) | ||||
PG&E Corp. | (267 | ) | (11,729 | ) | ||||
PPL Corp. | (358 | ) | (10,128 | ) | ||||
Public Service Enterprise Group, Inc. | (261 | ) | (13,113 | ) | ||||
Sempra Energy | (130 | ) | (14,459 | ) | ||||
WEC Energy Group, Inc. | (163 | ) | (10,220 | ) | ||||
|
| |||||||
(140,678 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $2,369,818) |
| (2,345,438 | ) | |||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (93.9)% |
| (2,345,438 | ) | |||||
|
| |||||||
(Proceeds $2,369,818) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.6% |
| 989,513 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,497,779 | ||||||
|
|
† | 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.
73
GOTHAM HEDGED CORE FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 101.3% | ||||||||
COMMON STOCKS — 101.3% | ||||||||
Automobiles & Components — 0.8% |
| |||||||
Aptiv PLC (Jersey)† | 92 | $ | 7,817 | |||||
BorgWarner, Inc.† | 72 | 3,616 | ||||||
General Motors Co.† | 156 | 5,669 | ||||||
Goodyear Tire & Rubber Co. (The) | 83 | 2,206 | ||||||
|
| |||||||
19,308 | ||||||||
|
| |||||||
Banks — 3.1% | ||||||||
Bank of America Corp.† | 629 | 18,864 | ||||||
BB&T Corp. | 47 | 2,446 | ||||||
Citigroup, Inc.† | 157 | 10,597 | ||||||
Comerica, Inc.† | 8 | 767 | ||||||
JPMorgan Chase & Co.† | 209 | 22,984 | ||||||
M&T Bank Corp. | 8 | 1,475 | ||||||
People’s United Financial, Inc. | 21 | 392 | ||||||
PNC Financial Services Group, Inc. (The)† | 28 | 4,235 | ||||||
Wells Fargo & Co.† | 238 | 12,474 | ||||||
|
| |||||||
74,234 | ||||||||
|
| |||||||
Capital Goods — 12.7% | ||||||||
3M Co.† | 56 | 12,293 | ||||||
Acuity Brands, Inc.(a) | 8 | 1,113 | ||||||
Allegion PLC (Ireland) | 6 | 512 | ||||||
AMETEK, Inc.† | 79 | 6,002 | ||||||
AO Smith Corp. | 10 | 636 | ||||||
Arconic, Inc. | 152 | 3,502 | ||||||
Boeing Co. (The)† | 102 | 33,444 | ||||||
Caterpillar, Inc.† | 153 | 22,549 | ||||||
Cummins, Inc.† | 58 | 9,401 | ||||||
Deere & Co.† | 102 | 15,843 | ||||||
Dover Corp.† | 55 | 5,402 | ||||||
Eaton Corp. PLC (Ireland) | 26 | 2,078 | ||||||
Emerson Electric Co.† | 219 | 14,958 | ||||||
Fastenal Co.(a) | 15 | 819 | ||||||
Flowserve Corp.(a) | 32 | 1,386 | ||||||
Fluor Corp. | 8 | 458 | ||||||
Fortive Corp. | 21 | 1,628 | ||||||
Fortune Brands Home & Security, Inc. | 52 | 3,062 | ||||||
General Dynamics Corp.† | 102 | 22,532 | ||||||
General Electric Co. | 530 | 7,144 | ||||||
Harris Corp.† | 41 | 6,612 | ||||||
Honeywell International, Inc.† | 167 | 24,133 | ||||||
Huntington Ingalls Industries, Inc. | 2 | 515 | ||||||
Illinois Tool Works, Inc. | 79 | 12,376 | ||||||
Ingersoll-Rand PLC (Ireland)† | 40 | 3,420 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Capital Goods — (Continued) | ||||||||
Johnson Controls International PLC (Ireland)† | 56 | $ | 1,973 | |||||
L3 Technologies, Inc. | 23 | 4,784 | ||||||
Lockheed Martin Corp. | 17 | 5,745 | ||||||
Masco Corp. | 107 | 4,327 | ||||||
Northrop Grumman Corp. | 10 | 3,491 | ||||||
PACCAR, Inc. | 21 | 1,390 | ||||||
Pentair PLC (Ireland) | 62 | 4,224 | ||||||
Raytheon Co.† | 99 | 21,366 | ||||||
Rockwell Automation, Inc. | 8 | 1,394 | ||||||
Rockwell Collins, Inc. | 17 | 2,292 | ||||||
Roper Technologies, Inc. | 7 | 1,965 | ||||||
Snap-on, Inc.† | 20 | 2,951 | ||||||
Stanley Black & Decker, Inc.† | 53 | 8,120 | ||||||
Textron, Inc. | 15 | 885 | ||||||
TransDigm Group, Inc.(a) | 4 | 1,228 | ||||||
United Technologies Corp.† | 119 | 14,973 | ||||||
WW Grainger, Inc.(a) | 20 | 5,645 | ||||||
Xylem, Inc. | 62 | 4,769 | ||||||
|
| |||||||
303,340 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.4% |
| |||||||
Cintas Corp. | 7 | 1,194 | ||||||
Nielsen Holdings PLC (United Kingdom) | 122 | 3,878 | ||||||
Republic Services, Inc. | 20 | 1,325 | ||||||
Robert Half International, Inc.† | 7 | 405 | ||||||
Verisk Analytics, Inc.* | 8 | 832 | ||||||
Waste Management, Inc. | 26 | 2,187 | ||||||
|
| |||||||
9,821 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.2% |
| |||||||
DR Horton, Inc.† | 23 | 1,008 | ||||||
Garmin Ltd. (Switzerland) | 12 | 707 | ||||||
Hanesbrands, Inc.(a) | 125 | 2,302 | ||||||
Hasbro, Inc. | 7 | 590 | ||||||
Leggett & Platt, Inc.(a) | 8 | 355 | ||||||
Lennar Corp., Class A† | 14 | 825 | ||||||
Mattel, Inc.(a) | 118 | 1,552 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 57 | 3,539 | ||||||
Newell Brands, Inc.(a) | 166 | 4,230 | ||||||
PulteGroup, Inc. | 17 | 501 | ||||||
Ralph Lauren Corp.† | 29 | 3,242 | ||||||
Under Armour, Inc., Class C(a)* | 28 | 402 |
The accompanying notes are an integral part of the financial statements.
74
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
VF Corp.† | 136 | $ | 10,080 | |||||
|
| |||||||
29,333 | ||||||||
|
| |||||||
Consumer Services — 2.4% |
| |||||||
H&R Block, Inc.† | 12 | 305 | ||||||
Hilton Worldwide Holdings, Inc.† | 110 | 8,664 | ||||||
Marriott International, Inc., Class A† | 127 | 17,269 | ||||||
McDonald’s Corp.† | 103 | 16,107 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 13 | 1,531 | ||||||
Wyndham Worldwide Corp.† | 35 | 4,005 | ||||||
Yum! Brands, Inc.† | 118 | 10,045 | ||||||
|
| |||||||
57,926 | ||||||||
|
| |||||||
Diversified Financials — 6.9% |
| |||||||
American Express Co.† | 125 | 11,660 | ||||||
Ameriprise Financial, Inc. | 8 | 1,183 | ||||||
Bank of New York Mellon Corp. (The)† | 62 | 3,195 | ||||||
Berkshire Hathaway, Inc., Class B†* | 179 | 35,707 | ||||||
BlackRock, Inc.† | 56 | 30,336 | ||||||
Capital One Financial Corp. | 25 | 2,395 | ||||||
Cboe Global Markets, Inc. | 8 | 913 | ||||||
Charles Schwab Corp. (The)† | 82 | 4,282 | ||||||
CME Group, Inc.† | 20 | 3,235 | ||||||
Discover Financial Services† | 21 | 1,510 | ||||||
E*TRADE Financial Corp.†* | 16 | 888 | ||||||
Franklin Resources, Inc.†(a) | 189 | 6,554 | ||||||
Intercontinental Exchange, Inc. | 160 | 11,603 | ||||||
Invesco Ltd. (Bermuda) | 140 | 4,481 | ||||||
Moody’s Corp.† | 65 | 10,484 | ||||||
Morgan Stanley† | 109 | 5,882 | ||||||
Nasdaq, Inc.† | 58 | 5,001 | ||||||
Northern Trust Corp.† | 14 | 1,444 | ||||||
Raymond James Financial, Inc. | 9 | 805 | ||||||
S&P Global, Inc.† | 61 | 11,655 | ||||||
State Street Corp.† | 22 | 2,194 | ||||||
T Rowe Price Group, Inc.† | 84 | 9,069 | ||||||
|
| |||||||
164,476 | ||||||||
|
| |||||||
Energy — 5.5% |
| |||||||
Andeavor | 53 | 5,330 | ||||||
Apache Corp.(a) | 130 | 5,002 | ||||||
Cabot Oil & Gas Corp. | 158 | 3,789 | ||||||
Chevron Corp. | 90 | 10,264 | ||||||
ConocoPhillips† | 415 | 24,605 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Exxon Mobil Corp.† | 262 | $ | 19,548 | |||||
Hess Corp. | 108 | 5,467 | ||||||
Marathon Oil Corp. | 52 | 839 | ||||||
Marathon Petroleum Corp.† | 168 | 12,282 | ||||||
National Oilwell Varco, Inc. | 23 | 847 | ||||||
Noble Energy, Inc. | 51 | 1,545 | ||||||
Phillips 66† | 173 | 16,594 | ||||||
Schlumberger Ltd. (Curacao)† | 84 | 5,442 | ||||||
TechnipFMC PLC (United Kingdom) | 159 | 4,683 | ||||||
Valero Energy Corp.† | 158 | 14,658 | ||||||
|
| |||||||
130,895 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.7% |
| |||||||
CVS Health Corp.† | 208 | 12,940 | ||||||
Kroger Co. (The)† | 299 | 7,158 | ||||||
Sysco Corp. | 31 | 1,859 | ||||||
Walgreens Boots Alliance, Inc.† | 190 | 12,439 | ||||||
Wal-Mart Stores, Inc.† | 344 | 30,606 | ||||||
|
| |||||||
65,002 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 5.0% |
| |||||||
Altria Group, Inc.† | 401 | 24,990 | ||||||
Campbell Soup Co.(a) | 19 | 823 | ||||||
Coca-Cola Co. (The)† | 269 | 11,683 | ||||||
Conagra Brands, Inc.† | 55 | 2,028 | ||||||
Dr Pepper Snapple Group, Inc.† | 52 | 6,156 | ||||||
General Mills, Inc.† | 195 | 8,787 | ||||||
Hershey Co. (The)† | 73 | 7,224 | ||||||
Hormel Foods Corp.(a) | 26 | 892 | ||||||
JM Smucker Co. (The) | 6 | 744 | ||||||
Kraft Heinz Co. (The) | 218 | 13,579 | ||||||
McCormick & Co., Inc., non-voting shares | 9 | 957 | ||||||
Molson Coors Brewing Co., Class B | 13 | 979 | ||||||
PepsiCo, Inc.† | 149 | 16,263 | ||||||
Philip Morris International, Inc.† | 164 | 16,302 | ||||||
Tyson Foods, Inc., Class A† | 126 | 9,222 | ||||||
|
| |||||||
120,629 | ||||||||
|
| |||||||
Health Care Equipment & Services — 4.8% |
| |||||||
Abbott Laboratories† | 311 | 18,635 | ||||||
Aetna, Inc. | 58 | 9,802 | ||||||
AmerisourceBergen Corp.† | 21 | 1,810 | ||||||
Baxter International, Inc.† | 33 | 2,146 | ||||||
Cigna Corp.† | 89 | 14,929 | ||||||
Danaher Corp. | 42 | 4,112 |
The accompanying notes are an integral part of the financial statements.
75
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Envision Healthcare Corp.(a)* | 7 | $ | 269 | |||||
Express Scripts Holding Co.†* | 160 | 11,053 | ||||||
Humana, Inc.† | 31 | 8,334 | ||||||
Laboratory Corp. of America Holdings†* | 37 | 5,985 | ||||||
Medtronic PLC (Ireland) | 82 | 6,578 | ||||||
Quest Diagnostics, Inc.† | 46 | 4,614 | ||||||
Stryker Corp. | 18 | 2,897 | ||||||
UnitedHealth Group, Inc.† | 87 | 18,618 | ||||||
Universal Health Services, Inc., Class B | 5 | 592 | ||||||
Varian Medical Systems, Inc.* | 32 | 3,925 | ||||||
|
| |||||||
114,299 | ||||||||
|
| |||||||
Household & Personal Products — 2.5% |
| |||||||
Church & Dwight Co., Inc. | 15 | 755 | ||||||
Colgate-Palmolive Co. | 53 | 3,799 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 127 | 19,014 | ||||||
Kimberly-Clark Corp.† | 47 | 5,176 | ||||||
Procter & Gamble Co. (The)† | 403 | 31,950 | ||||||
|
| |||||||
60,694 | ||||||||
|
| |||||||
Insurance — 2.6% | ||||||||
Aflac, Inc. | 48 | 2,100 | ||||||
Allstate Corp. (The) | 39 | 3,697 | ||||||
Aon PLC (United Kingdom)† | 85 | 11,928 | ||||||
Arthur J Gallagher & Co. | 11 | 756 | ||||||
Brighthouse Financial, Inc.* | 7 | 360 | ||||||
Chubb Ltd. (Switzerland) | 18 | 2,462 | ||||||
Hartford Financial Services Group, Inc. (The) | 64 | 3,297 | ||||||
Loews Corp. | 20 | 995 | ||||||
Marsh & McLennan Cos., Inc.† | 174 | 14,371 | ||||||
MetLife, Inc. | 59 | 2,708 | ||||||
Progressive Corp. (The)† | 198 | 12,064 | ||||||
Prudential Financial, Inc. | 25 | 2,589 | ||||||
Torchmark Corp. | 40 | 3,367 | ||||||
Travelers Cos., Inc. (The) | 17 | 2,361 | ||||||
|
| |||||||
63,055 | ||||||||
|
| |||||||
Materials — 3.9% | ||||||||
Air Products & Chemicals, Inc.† | 21 | 3,340 | ||||||
Avery Dennison Corp. | 31 | 3,294 | ||||||
Eastman Chemical Co. | 49 | 5,173 | ||||||
Ecolab, Inc. | 17 | 2,330 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Freeport-McMoRan, Inc.†* | 495 | $ | 8,697 | |||||
International Flavors & Fragrances, Inc. | 17 | 2,327 | ||||||
International Paper Co.† | 142 | 7,587 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 138 | 14,584 | ||||||
Monsanto Co.† | 150 | 17,504 | ||||||
Packaging Corp. of America | 6 | 676 | ||||||
PPG Industries, Inc.† | 87 | 9,709 | ||||||
Praxair, Inc. | 17 | 2,453 | ||||||
Sealed Air Corp. | 62 | 2,653 | ||||||
Sherwin-Williams Co. (The)† | 32 | 12,548 | ||||||
|
| |||||||
92,875 | ||||||||
|
| |||||||
Media — 2.4% | ||||||||
CBS Corp., Class B, non-voting shares† | 137 | 7,040 | ||||||
Comcast Corp., Class A | 128 | 4,374 | ||||||
Discovery Communications, Inc., Class A†(a)* | 195 | 4,179 | ||||||
Interpublic Group of Cos., Inc. (The) | 133 | 3,063 | ||||||
News Corp., Class A† | 200 | 3,160 | ||||||
Omnicom Group, Inc.† | 82 | 5,959 | ||||||
Time Warner, Inc.† | 267 | 25,253 | ||||||
Viacom, Inc., Class B | 137 | 4,255 | ||||||
|
| |||||||
57,283 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 11.2% |
| |||||||
AbbVie, Inc.† | 386 | 36,535 | ||||||
Agilent Technologies, Inc. | 15 | 1,003 | ||||||
Allergan PLC (Ireland) | 4 | 673 | ||||||
Amgen, Inc.† | 157 | 26,765 | ||||||
Biogen, Inc.†* | 73 | 19,989 | ||||||
Bristol-Myers Squibb Co.† | 70 | 4,428 | ||||||
Celgene Corp.†* | 260 | 23,195 | ||||||
Eli Lilly & Co.† | 67 | 5,184 | ||||||
Gilead Sciences, Inc.† | 291 | 21,938 | ||||||
Johnson & Johnson† | 375 | 48,056 | ||||||
Merck & Co., Inc.† | 497 | 27,072 | ||||||
Pfizer, Inc.† | 1,059 | 37,584 | ||||||
Waters Corp.†* | 6 | 1,192 | ||||||
Zoetis, Inc. | 167 | 13,946 | ||||||
|
| |||||||
267,560 | ||||||||
|
| |||||||
Real Estate — 1.1% | ||||||||
Alexandria Real Estate Equities, Inc., REIT(a) | 21 | 2,623 |
The accompanying notes are an integral part of the financial statements.
76
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) | ||||||||
AvalonBay Communities, Inc., REIT | 8 | $ | 1,316 | |||||
CBRE Group, Inc., Class A* | 116 | 5,477 | ||||||
Equity Residential, REIT | 23 | 1,417 | ||||||
Mid-America Apartment Communities, Inc., REIT | 13 | 1,186 | ||||||
Prologis, Inc., REIT | 32 | 2,016 | ||||||
Realty Income Corp., REIT(a) | 17 | 879 | ||||||
Ventas, Inc., REIT | 21 | 1,040 | ||||||
Welltower, Inc., REIT | 22 | 1,197 | ||||||
Weyerhaeuser Co., REIT† | 259 | 9,065 | ||||||
|
| |||||||
26,216 | ||||||||
|
| |||||||
Retailing — 5.5% | ||||||||
Advance Auto Parts, Inc. | 25 | 2,964 | ||||||
Amazon.com, Inc.†* | 17 | 24,605 | ||||||
AutoZone, Inc.†* | 8 | 5,189 | ||||||
Best Buy Co., Inc.† | 38 | 2,660 | ||||||
Booking Holdings, Inc.* | 17 | 35,367 | ||||||
Dollar General Corp.† | 3 | 281 | ||||||
Dollar Tree, Inc.* | 14 | 1,329 | ||||||
Foot Locker, Inc. | 16 | 729 | ||||||
Gap, Inc. (The)†(a) | 24 | 749 | ||||||
Home Depot, Inc. (The)† | 161 | 28,697 | ||||||
Kohl’s Corp. | 57 | 3,734 | ||||||
L Brands, Inc. | 18 | 688 | ||||||
Nordstrom, Inc. | 6 | 290 | ||||||
O’Reilly Automotive, Inc.†* | 23 | 5,690 | ||||||
Ross Stores, Inc.† | 91 | 7,096 | ||||||
Target Corp.† | 51 | 3,541 | ||||||
Tiffany & Co. | 19 | 1,856 | ||||||
TJX Cos., Inc. (The)† | 57 | 4,649 | ||||||
Tractor Supply Co. | 26 | 1,638 | ||||||
Ulta Beauty, Inc.* | 3 | 613 | ||||||
|
| |||||||
132,365 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.1% |
| |||||||
Advanced Micro Devices, Inc.(a)* | 65 | 653 | ||||||
Analog Devices, Inc.† | 22 | 2,005 | ||||||
Applied Materials, Inc.† | 198 | 11,011 | ||||||
Intel Corp.† | 308 | 16,041 | ||||||
KLA-Tencor Corp.† | 10 | 1,090 | ||||||
Lam Research Corp.† | 40 | 8,126 | ||||||
Micron Technology, Inc.†* | 442 | 23,046 | ||||||
Qorvo, Inc.* | 8 | 564 | ||||||
QUALCOMM, Inc.† | 106 | 5,873 | ||||||
Skyworks Solutions, Inc.† | 11 | 1,103 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Texas Instruments, Inc.† | 282 | $ | 29,297 | |||||
|
| |||||||
98,809 | ||||||||
|
| |||||||
Software & Services — 10.2% |
| |||||||
Accenture PLC, Class A (Ireland)† | 175 | 26,862 | ||||||
Adobe Systems, Inc.* | 9 | 1,945 | ||||||
Alliance Data Systems Corp. | 19 | 4,044 | ||||||
Alphabet, Inc., Class A†* | 42 | 43,560 | ||||||
CA, Inc.† | 141 | 4,780 | ||||||
Citrix Systems, Inc.* | 9 | 835 | ||||||
Cognizant Technology Solutions Corp., Class A† | 36 | 2,898 | ||||||
CSRA, Inc. | 10 | 412 | ||||||
DXC Technology Co.† | 97 | 9,751 | ||||||
eBay, Inc.†* | 62 | 2,495 | ||||||
Facebook, Inc., Class A†* | 158 | 25,247 | ||||||
Fidelity National Information Services, Inc. | 27 | 2,600 | ||||||
Fiserv, Inc.* | 25 | 1,783 | ||||||
Gartner, Inc.* | 5 | 588 | ||||||
International Business Machines Corp.† | 172 | 26,390 | ||||||
Mastercard, Inc., Class A† | 64 | 11,210 | ||||||
Microsoft Corp.† | 471 | 42,988 | ||||||
Oracle Corp.† | 265 | 12,124 | ||||||
Paychex, Inc.† | 123 | 7,575 | ||||||
Total System Services, Inc. | 11 | 949 | ||||||
Visa, Inc., Class A† | 138 | 16,507 | ||||||
|
| |||||||
245,543 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 6.4% |
| |||||||
Amphenol Corp., Class A | 19 | 1,636 | ||||||
Apple, Inc.† | 479 | 80,367 | ||||||
Cisco Systems, Inc.† | 669 | 28,693 | ||||||
F5 Networks, Inc.†* | 4 | 578 | ||||||
FLIR Systems, Inc.† | 8 | 400 | ||||||
Hewlett Packard Enterprise Co.† | 400 | 7,016 | ||||||
HP, Inc.† | 588 | 12,889 | ||||||
IPG Photonics Corp.* | 3 | 700 | ||||||
Juniper Networks, Inc.† | 44 | 1,070 | ||||||
Motorola Solutions, Inc.† | 56 | 5,897 | ||||||
NetApp, Inc.† | 93 | 5,737 | ||||||
Seagate Technology PLC (Ireland)† | 98 | 5,735 | ||||||
Western Digital Corp.† | 18 | 1,661 | ||||||
Xerox Corp. | 16 | 460 | ||||||
|
| |||||||
152,839 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
77
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — 1.8% |
| |||||||
AT&T, Inc.† | 375 | $ | 13,369 | |||||
Verizon Communications, Inc.† | 600 | 28,692 | ||||||
|
| |||||||
42,061 | ||||||||
|
| |||||||
Transportation — 1.7% | ||||||||
Alaska Air Group, Inc.† | 8 | 496 | ||||||
Delta Air Lines, Inc.† | 43 | 2,357 | ||||||
Expeditors International of Washington, Inc.† | 60 | 3,798 | ||||||
JB Hunt Transport Services, Inc. | 7 | 820 | ||||||
Kansas City Southern | 7 | 769 | ||||||
Norfolk Southern Corp.† | 60 | 8,147 | ||||||
Union Pacific Corp.† | 190 | 25,542 | ||||||
|
| |||||||
41,929 | ||||||||
|
| |||||||
Utilities — 2.4% | ||||||||
AES Corp.† | 41 | 466 | ||||||
Consolidated Edison, Inc. | 18 | 1,403 | ||||||
Dominion Energy, Inc. | 9 | 607 | ||||||
Duke Energy Corp.† | 112 | 8,677 | ||||||
Exelon Corp.† | 58 | 2,263 | ||||||
FirstEnergy Corp. | 153 | 5,204 | ||||||
NextEra Energy, Inc.† | 108 | 17,640 | ||||||
NRG Energy, Inc.† | 109 | 3,328 | ||||||
Pinnacle West Capital Corp. | 7 | 559 | ||||||
SCANA Corp. | 9 | 338 | ||||||
Southern Co. (The)(a) | 331 | 14,782 | ||||||
Xcel Energy, Inc. | 31 | 1,410 | ||||||
|
| |||||||
56,677 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $2,283,200) | 2,427,169 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 101.3% |
| 2,427,169 | ||||||
|
| |||||||
(Cost $2,283,200) | ||||||||
SHORT POSITIONS — (40.4)% |
| |||||||
COMMON STOCKS — (40.4)% |
| |||||||
Automobiles & Components — (0.5)% |
| |||||||
Ford Motor Co. | (870 | ) | (9,640 | ) | ||||
Harley-Davidson, Inc. | (36 | ) | (1,544 | ) | ||||
|
| |||||||
(11,184 | ) | |||||||
|
| |||||||
Banks — (1.4)% | ||||||||
Citizens Financial Group, Inc. | (108 | ) | (4,534 | ) | ||||
Fifth Third Bancorp | (153 | ) | (4,858 | ) | ||||
Huntington Bancshares, Inc. | (236 | ) | (3,564 | ) | ||||
KeyCorp | (235 | ) | (4,594 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Banks — (Continued) | ||||||||
Regions Financial Corp. | (258 | ) | $ | (4,794 | ) | |||
SunTrust Banks, Inc. | (44 | ) | (2,994 | ) | ||||
US Bancorp | (135 | ) | (6,818 | ) | ||||
Zions Bancorporation | (44 | ) | (2,320 | ) | ||||
|
| |||||||
(34,476 | ) | |||||||
|
| |||||||
Capital Goods — (0.5)% | ||||||||
Jacobs Engineering Group, Inc. | (31 | ) | (1,834 | ) | ||||
Parker-Hannifin Corp. | (29 | ) | (4,960 | ) | ||||
Quanta Services, Inc.* | (34 | ) | (1,168 | ) | ||||
United Rentals, Inc.* | (19 | ) | (3,282 | ) | ||||
|
| |||||||
(11,244 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.4)% |
| |||||||
Equifax, Inc. | (27 | ) | (3,181 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (87 | ) | (4,197 | ) | ||||
Stericycle, Inc.* | (20 | ) | (1,171 | ) | ||||
|
| |||||||
(8,549 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.2)% |
| |||||||
Mohawk Industries, Inc.* | (17 | ) | (3,948 | ) | ||||
NIKE, Inc., Class B | (251 | ) | (16,676 | ) | ||||
PVH Corp. | (17 | ) | (2,574 | ) | ||||
Tapestry, Inc. | (62 | ) | (3,262 | ) | ||||
Whirlpool Corp. | (16 | ) | (2,450 | ) | ||||
|
| |||||||
(28,910 | ) | |||||||
|
| |||||||
Consumer Services — (1.8)% |
| |||||||
Carnival Corp. (Panama) | (157 | ) | (10,296 | ) | ||||
Chipotle Mexican Grill, Inc.* | (7 | ) | (2,262 | ) | ||||
Darden Restaurants, Inc. | (26 | ) | (2,216 | ) | ||||
MGM Resorts International | (125 | ) | (4,378 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (51 | ) | (2,701 | ) | ||||
Starbucks Corp. | (309 | ) | (17,888 | ) | ||||
Wynn Resorts Ltd. | (23 | ) | (4,194 | ) | ||||
|
| |||||||
(43,935 | ) | |||||||
|
| |||||||
Diversified Financials — (0.8)% |
| |||||||
Affiliated Managers Group, Inc. | (13 | ) | (2,465 | ) | ||||
Goldman Sachs Group, Inc. (The) | (37 | ) | (9,319 | ) | ||||
Leucadia National Corp. | (74 | ) | (1,682 | ) | ||||
Navient Corp. | (58 | ) | (761 | ) | ||||
Synchrony Financial | (169 | ) | (5,667 | ) | ||||
|
| |||||||
(19,894 | ) | |||||||
|
| |||||||
Energy — (3.3)% | ||||||||
Anadarko Petroleum Corp. | (116 | ) | (7,008 | ) |
The accompanying notes are an integral part of the financial statements.
78
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Cimarex Energy Co. | (21 | ) | $ | (1,964 | ) | |||
Concho Resources, Inc.* | (32 | ) | (4,811 | ) | ||||
Devon Energy Corp. | (115 | ) | (3,656 | ) | ||||
EOG Resources, Inc. | (126 | ) | (13,264 | ) | ||||
EQT Corp. | (57 | ) | (2,708 | ) | ||||
Halliburton Co. | (171 | ) | (8,027 | ) | ||||
Helmerich & Payne, Inc. | (24 | ) | (1,597 | ) | ||||
Kinder Morgan, Inc. | (499 | ) | (7,515 | ) | ||||
Newfield Exploration Co.* | (44 | ) | (1,075 | ) | ||||
Occidental Petroleum Corp. | (167 | ) | (10,848 | ) | ||||
ONEOK, Inc. | (85 | ) | (4,838 | ) | ||||
Pioneer Natural Resources Co. | (37 | ) | (6,356 | ) | ||||
Range Resources Corp. | (54 | ) | (785 | ) | ||||
Williams Cos., Inc. (The) | (181 | ) | (4,500 | ) | ||||
|
| |||||||
(78,952 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.7)% |
| |||||||
Costco Wholesale Corp. | (84 | ) | (15,828 | ) | ||||
|
| |||||||
Food, Beverage & Tobacco — (1.9)% |
| |||||||
Archer-Daniels-Midland Co. | (122 | ) | (5,291 | ) | ||||
Brown-Forman Corp., Class B | (106 | ) | (5,766 | ) | ||||
Constellation Brands, Inc., Class A | (37 | ) | (8,433 | ) | ||||
Kellogg Co. | (76 | ) | (4,941 | ) | ||||
Mondelez International, Inc., Class A | (326 | ) | (13,604 | ) | ||||
Monster Beverage Corp.* | (125 | ) | (7,151 | ) | ||||
|
| |||||||
(45,186 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (3.6)% |
| |||||||
Align Technology, Inc.* | (18 | ) | (4,520 | ) | ||||
Anthem, Inc. | (13 | ) | (2,856 | ) | ||||
Becton Dickinson and Co. | (59 | ) | (12,785 | ) | ||||
Boston Scientific Corp.* | (301 | ) | (8,223 | ) | ||||
Cardinal Health, Inc. | (69 | ) | (4,325 | ) | ||||
Centene Corp.* | (39 | ) | (4,168 | ) | ||||
Cerner Corp.* | (75 | ) | (4,350 | ) | ||||
Cooper Cos., Inc. (The) | (11 | ) | (2,517 | ) | ||||
DaVita, Inc.* | (40 | ) | (2,638 | ) | ||||
DENTSPLY SIRONA, Inc. | (50 | ) | (2,516 | ) | ||||
Edwards Lifesciences Corp.* | (46 | ) | (6,418 | ) | ||||
HCA Healthcare, Inc. | (77 | ) | (7,469 | ) | ||||
Henry Schein, Inc.* | (34 | ) | (2,285 | ) | ||||
Hologic, Inc.* | (60 | ) | (2,242 | ) | ||||
IDEXX Laboratories, Inc.* | (19 | ) | (3,636 | ) | ||||
Intuitive Surgical, Inc.* | (4 | ) | (1,651 | ) | ||||
McKesson Corp. | (45 | ) | (6,339 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
ResMed, Inc. | (32 | ) | $ | (3,151 | ) | |||
Zimmer Biomet Holdings, Inc. | (44 | ) | (4,798 | ) | ||||
|
| |||||||
(86,887 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.3)% |
| |||||||
Clorox Co. (The) | (29 | ) | (3,860 | ) | ||||
Coty, Inc., Class A | (164 | ) | (3,001 | ) | ||||
|
| |||||||
(6,861 | ) | |||||||
|
| |||||||
Insurance — (1.2)% | ||||||||
American International Group, Inc. | (138 | ) | (7,510 | ) | ||||
Assurant, Inc. | (12 | ) | (1,097 | ) | ||||
Cincinnati Financial Corp. | (36 | ) | (2,673 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (9 | ) | (2,311 | ) | ||||
Lincoln National Corp. | (48 | ) | (3,507 | ) | ||||
Principal Financial Group, Inc. | (44 | ) | (2,680 | ) | ||||
Unum Group | (49 | ) | (2,333 | ) | ||||
Willis Towers Watson PLC (Ireland) | (29 | ) | (4,413 | ) | ||||
XL Group Ltd. (Bermuda) | (30 | ) | (1,658 | ) | ||||
|
| |||||||
(28,182 | ) | |||||||
|
| |||||||
Materials — (1.8)% | ||||||||
Albemarle Corp. | (25 | ) | (2,318 | ) | ||||
Ball Corp. | (26 | ) | (1,033 | ) | ||||
CF Industries Holdings, Inc. | (51 | ) | (1,924 | ) | ||||
DowDuPont, Inc. | (282 | ) | (17,966 | ) | ||||
FMC Corp. | (30 | ) | (2,297 | ) | ||||
Martin Marietta Materials, Inc. | (14 | ) | (2,902 | ) | ||||
Mosaic Co. (The) | (79 | ) | (1,918 | ) | ||||
Newmont Mining Corp. | (117 | ) | (4,571 | ) | ||||
Nucor Corp. | (70 | ) | (4,276 | ) | ||||
Vulcan Materials Co. | (30 | ) | (3,425 | ) | ||||
WestRock Co. | (20 | ) | (1,283 | ) | ||||
|
| |||||||
(43,913 | ) | |||||||
|
| |||||||
Media — (1.7)% | ||||||||
Charter Communications, Inc., Class A* | (39 | ) | (12,138 | ) | ||||
DISH Network Corp., Class A* | (53 | ) | (2,008 | ) | ||||
Twenty-First Century Fox, Inc., Class A | (407 | ) | (14,933 | ) | ||||
Walt Disney Co. (The) | (111 | ) | (11,149 | ) | ||||
|
| |||||||
(40,228 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (2.7)% |
| |||||||
Alexion Pharmaceuticals, Inc.* | (48 | ) | (5,350 | ) | ||||
Illumina, Inc.* | (32 | ) | (7,565 | ) | ||||
Incyte Corp.* | (48 | ) | (4,000 | ) |
The accompanying notes are an integral part of the financial statements.
79
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
IQVIA Holdings, Inc.* | (52 | ) | $ | (5,102 | ) | |||
Mettler-Toledo International, Inc.* | (6 | ) | (3,450 | ) | ||||
Mylan NV (Netherlands)* | (115 | ) | (4,735 | ) | ||||
Nektar Therapeutics* | (34 | ) | (3,613 | ) | ||||
PerkinElmer, Inc. | (25 | ) | (1,893 | ) | ||||
Perrigo Co. PLC (Ireland) | (31 | ) | (2,584 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (28 | ) | (9,642 | ) | ||||
Thermo Fisher Scientific, Inc. | (32 | ) | (6,607 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (56 | ) | (9,127 | ) | ||||
|
| |||||||
(63,668 | ) | |||||||
|
| |||||||
Real Estate — (4.1)% | ||||||||
American Tower Corp., REIT | (95 | ) | (13,807 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (35 | ) | (1,426 | ) | ||||
Boston Properties, Inc., REIT | (34 | ) | (4,189 | ) | ||||
Crown Castle International Corp., REIT | (89 | ) | (9,755 | ) | ||||
Digital Realty Trust, Inc., REIT | (46 | ) | (4,847 | ) | ||||
Duke Realty Corp., REIT | (79 | ) | (2,092 | ) | ||||
Equinix, Inc., REIT | (17 | ) | (7,108 | ) | ||||
Essex Property Trust, Inc., REIT | (15 | ) | (3,610 | ) | ||||
Extra Space Storage, Inc., REIT | (28 | ) | (2,446 | ) | ||||
Federal Realty Investment Trust, REIT | (17 | ) | (1,974 | ) | ||||
GGP, Inc., REIT | (210 | ) | (4,297 | ) | ||||
HCP, Inc., REIT | (80 | ) | (1,858 | ) | ||||
Host Hotels & Resorts, Inc., REIT | (163 | ) | (3,038 | ) | ||||
Iron Mountain, Inc., REIT | (62 | ) | (2,037 | ) | ||||
Kimco Realty Corp., REIT | (94 | ) | (1,354 | ) | ||||
Macerich Co. (The), REIT | (31 | ) | (1,737 | ) | ||||
Public Storage, REIT | (39 | ) | (7,815 | ) | ||||
Regency Centers Corp., REIT | (38 | ) | (2,241 | ) | ||||
SBA Communications Corp., REIT* | (27 | ) | (4,615 | ) | ||||
Simon Property Group, Inc., REIT | (69 | ) | (10,650 | ) | ||||
SL Green Realty Corp., REIT | (21 | ) | (2,033 | ) | ||||
UDR, Inc., REIT | (59 | ) | (2,102 | ) | ||||
Vornado Realty Trust, REIT | (42 | ) | (2,827 | ) | ||||
|
| |||||||
(97,858 | ) | |||||||
|
| |||||||
Retailing — (1.9)% | ||||||||
CarMax, Inc.* | (40 | ) | (2,478 | ) | ||||
Expedia Group, Inc. | (35 | ) | (3,864 | ) | ||||
Genuine Parts Co. | (32 | ) | (2,875 | ) | ||||
LKQ Corp.* | (68 | ) | (2,581 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Lowe’s Cos., Inc. | (182 | ) | $ | (15,970 | ) | |||
Macy’s, Inc. | (6 | ) | (178 | ) | ||||
Netflix, Inc.* | (59 | ) | (17,426 | ) | ||||
TripAdvisor, Inc.* | (33 | ) | (1,349 | ) | ||||
|
| |||||||
(46,721 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (1.5)% |
| |||||||
Broadcom Ltd. (Singapore) | (50 | ) | (11,782 | ) | ||||
Microchip Technology, Inc. | (57 | ) | (5,208 | ) | ||||
NVIDIA Corp. | (62 | ) | (14,359 | ) | ||||
Xilinx, Inc. | (56 | ) | (4,045 | ) | ||||
|
| |||||||
(35,394 | ) | |||||||
|
| |||||||
Software & Services — (3.9)% | ||||||||
Activision Blizzard, Inc. | (166 | ) | (11,198 | ) | ||||
Akamai Technologies, Inc.* | (38 | ) | (2,697 | ) | ||||
ANSYS, Inc.* | (19 | ) | (2,977 | ) | ||||
Autodesk, Inc.* | (48 | ) | (6,028 | ) | ||||
Automatic Data Processing, Inc. | (98 | ) | (11,121 | ) | ||||
Cadence Design Systems, Inc.* | (62 | ) | (2,280 | ) | ||||
Electronic Arts, Inc.* | (67 | ) | (8,123 | ) | ||||
Global Payments, Inc. | (35 | ) | (3,903 | ) | ||||
Intuit, Inc. | (57 | ) | (9,881 | ) | ||||
PayPal Holdings, Inc.* | (65 | ) | (4,932 | ) | ||||
Red Hat, Inc.* | (39 | ) | (5,831 | ) | ||||
salesforce.com, Inc.* | (127 | ) | (14,770 | ) | ||||
Symantec Corp. | (137 | ) | (3,541 | ) | ||||
Synopsys, Inc.* | (33 | ) | (2,747 | ) | ||||
Take-Two Interactive Software, Inc.* | (23 | ) | (2,249 | ) | ||||
Western Union Co. (The) | (101 | ) | (1,942 | ) | ||||
|
| |||||||
(94,220 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.5)% |
| |||||||
Corning, Inc. | (195 | ) | (5,437 | ) | ||||
TE Connectivity Ltd. (Switzerland) | (78 | ) | (7,792 | ) | ||||
|
| |||||||
(13,229 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.2)% |
| |||||||
CenturyLink, Inc. | (234 | ) | (3,845 | ) | ||||
|
| |||||||
Transportation — (2.2)% | ||||||||
American Airlines Group, Inc. | (104 | ) | (5,404 | ) | ||||
CH Robinson Worldwide, Inc. | (11 | ) | (1,031 | ) | ||||
CSX Corp. | (195 | ) | (10,864 | ) | ||||
FedEx Corp. | (58 | ) | (13,926 | ) | ||||
Southwest Airlines Co. | (130 | ) | (7,446 | ) | ||||
United Continental Holdings, Inc.* | (63 | ) | (4,377 | ) |
The accompanying notes are an integral part of the financial statements.
80
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
United Parcel Service, Inc., Class B | (102 | ) | $ | (10,675 | ) | |||
|
| |||||||
(53,723 | ) | |||||||
|
| |||||||
Utilities — (2.3)% | ||||||||
Alliant Energy Corp. | (30 | ) | (1,226 | ) | ||||
Ameren Corp. | (54 | ) | (3,058 | ) | ||||
American Electric Power Co., Inc. | (107 | ) | (7,339 | ) | ||||
American Water Works Co., Inc. | (40 | ) | (3,285 | ) | ||||
CenterPoint Energy, Inc. | (8 | ) | (219 | ) | ||||
CMS Energy Corp. | (62 | ) | (2,808 | ) | ||||
DTE Energy Co. | (29 | ) | (3,028 | ) | ||||
Edison International | (1 | ) | (64 | ) | ||||
Entergy Corp. | (40 | ) | (3,151 | ) | ||||
Eversource Energy | (69 | ) | (4,065 | ) | ||||
NiSource, Inc. | (73 | ) | (1,745 | ) | ||||
PG&E Corp. | (110 | ) | (4,832 | ) | ||||
PPL Corp. | (151 | ) | (4,272 | ) | ||||
Public Service Enterprise Group, Inc. | (110 | ) | (5,526 | ) | ||||
Sempra Energy | (55 | ) | (6,117 | ) | ||||
WEC Energy Group, Inc. | (69 | ) | (4,326 | ) | ||||
|
| |||||||
(55,061 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS (Proceeds $976,433) | (967,948 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (40.4)% | (967,948 | ) | ||||||
|
| |||||||
(Proceeds $976,433) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 39.1% | 936,960 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,396,181 | ||||||
|
|
† | 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.
81
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 178.5% |
| |||||||
COMMON STOCKS — 178.5% |
| |||||||
Automobiles & Components — 2.9% |
| |||||||
Aptiv PLC (Jersey)† | 314 | $ | 26,681 | |||||
BorgWarner, Inc. | 34 | 1,708 | ||||||
Cooper Tire & Rubber Co.(a) | 11 | 322 | ||||||
Fiat Chrysler Automobiles NV (Netherlands)† | 421 | 8,639 | ||||||
General Motors Co.† | 479 | 17,407 | ||||||
Gentex Corp. | 71 | 1,634 | ||||||
Goodyear Tire & Rubber Co. (The) | 154 | 4,093 | ||||||
Lear Corp.† | 21 | 3,908 | ||||||
Modine Manufacturing Co.* | 16 | 338 | ||||||
Tenneco, Inc. | 19 | 1,043 | ||||||
Winnebago Industries, Inc.(a) | 31 | 1,166 | ||||||
|
| |||||||
66,939 | ||||||||
|
| |||||||
Capital Goods — 27.9% | ||||||||
3M Co.† | 26 | 5,708 | ||||||
Acuity Brands, Inc.† | 58 | 8,073 | ||||||
AGCO Corp. | 57 | 3,696 | ||||||
Allegion PLC (Ireland)† | 64 | 5,459 | ||||||
Allison Transmission Holdings, Inc.† | 274 | 10,702 | ||||||
American Woodmark Corp.†* | 4 | 394 | ||||||
AMETEK, Inc.† | 210 | 15,954 | ||||||
Arconic, Inc. | 17 | 392 | ||||||
Argan, Inc.† | 86 | 3,694 | ||||||
Atkore International Group, Inc.* | 3 | 60 | ||||||
Barnes Group, Inc.† | 9 | 539 | ||||||
Beacon Roofing Supply, Inc.* | 32 | 1,698 | ||||||
Boeing Co. (The)† | 57 | 18,689 | ||||||
Builders FirstSource, Inc.* | 171 | 3,393 | ||||||
BWX Technologies, Inc.† | 64 | 4,066 | ||||||
Caterpillar, Inc.† | 29 | 4,274 | ||||||
Continental Building Products, Inc.†* | 65 | 1,856 | ||||||
Crane Co.† | 68 | 6,306 | ||||||
Cummins, Inc.† | 207 | 33,553 | ||||||
Curtiss-Wright Corp. | 37 | 4,998 | ||||||
Deere & Co.† | 4 | 621 | ||||||
Dover Corp.† | 187 | 18,367 | ||||||
Eaton Corp. PLC (Ireland)† | 42 | 3,356 | ||||||
EMCOR Group, Inc.† | 72 | 5,611 | ||||||
Emerson Electric Co.† | 308 | 21,036 | ||||||
Flowserve Corp.(a) | 77 | 3,336 | ||||||
Fortune Brands Home & Security, Inc.† | 233 | 13,721 | ||||||
Generac Holdings, Inc.†* | 161 | 7,392 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
General Dynamics Corp.† | 167 | $ | 36,890 | |||||
General Electric Co.† | 1,309 | 17,645 | ||||||
Gibraltar Industries, Inc.* | 49 | 1,659 | ||||||
Gorman-Rupp Co. (The)† | 15 | 439 | ||||||
Graco, Inc. | 13 | 594 | ||||||
Harris Corp.† | 149 | 24,031 | ||||||
Harsco Corp.* | 50 | 1,032 | ||||||
HD Supply Holdings, Inc.†* | 110 | 4,173 | ||||||
Hillenbrand, Inc.† | 109 | 5,003 | ||||||
Honeywell International, Inc.† | 211 | 30,492 | ||||||
Hubbell, Inc.† | 57 | 6,941 | ||||||
Huntington Ingalls Industries, Inc.† | 21 | 5,413 | ||||||
IDEX Corp. | 21 | 2,993 | ||||||
Illinois Tool Works, Inc.† | 13 | 2,037 | ||||||
Ingersoll-Rand PLC (Ireland)† | 118 | 10,090 | ||||||
Johnson Controls International PLC (Ireland)† | 256 | 9,021 | ||||||
L3 Technologies, Inc.† | 62 | 12,896 | ||||||
Lockheed Martin Corp.† | 17 | 5,745 | ||||||
Lydall, Inc.†* | 30 | 1,449 | ||||||
Masco Corp.† | 428 | 17,308 | ||||||
Moog, Inc., Class A†* | 9 | 742 | ||||||
MSC Industrial Direct Co., Inc., Class A | 28 | 2,568 | ||||||
Navistar International Corp.* | 14 | 490 | ||||||
NCI Building Systems, Inc.* | 30 | 531 | ||||||
Northrop Grumman Corp.† | 21 | 7,332 | ||||||
Orbital ATK, Inc. | 38 | 5,039 | ||||||
Owens Corning† | 122 | 9,809 | ||||||
Pentair PLC (Ireland)† | 199 | 13,558 | ||||||
Ply Gem Holdings, Inc.* | 23 | 497 | ||||||
Primoris Services Corp. | 34 | 849 | ||||||
Raytheon Co.† | 248 | 53,523 | ||||||
Rexnord Corp.* | 15 | 445 | ||||||
Rockwell Automation, Inc.† | 7 | 1,219 | ||||||
Rockwell Collins, Inc.† | 143 | 19,284 | ||||||
Simpson Manufacturing Co., Inc. | 23 | 1,325 | ||||||
Snap-on, Inc.†(a) | 83 | 12,246 | ||||||
Spartan Motors, Inc. | 4 | 69 | ||||||
Spirit AeroSystems Holdings, Inc., Class A† | 11 | 921 | ||||||
SPX FLOW, Inc.* | 39 | 1,918 | ||||||
Standex International Corp.† | 28 | 2,670 | ||||||
Stanley Black & Decker, Inc.† | 197 | 30,180 |
The accompanying notes are an integral part of the financial statements.
82
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Teledyne Technologies, Inc.* | 7 | $ | 1,310 | |||||
Terex Corp. | 31 | 1,160 | ||||||
TransDigm Group, Inc.† | 25 | 7,675 | ||||||
Trex Co., Inc.†* | 15 | 1,632 | ||||||
United Technologies Corp.† | 149 | 18,747 | ||||||
Universal Forest Products, Inc. | 114 | 3,699 | ||||||
Watsco, Inc. | 35 | 6,334 | ||||||
Welbilt, Inc.* | 57 | 1,109 | ||||||
WESCO International, Inc.* | 18 | 1,117 | ||||||
WW Grainger, Inc.† | 56 | 15,807 | ||||||
Xylem, Inc.† | 237 | 18,230 | ||||||
|
| |||||||
644,830 | ||||||||
|
| |||||||
Commercial & Professional Services — 3.6% |
| |||||||
ACCO Brands Corp. | 29 | 364 | ||||||
Cimpress NV (Netherlands)* | 13 | 2,011 | ||||||
Cintas Corp.† | 47 | 8,017 | ||||||
Copart, Inc.†* | 29 | 1,477 | ||||||
Deluxe Corp.(a) | 37 | 2,738 | ||||||
Dun & Bradstreet Corp. (The) | 8 | 936 | ||||||
Equifax, Inc.† | 33 | 3,888 | ||||||
FTI Consulting, Inc.* | 62 | 3,001 | ||||||
ICF International, Inc.† | 10 | 584 | ||||||
Interface, Inc. | 32 | 806 | ||||||
Kimball International, Inc., Class B | 17 | 290 | ||||||
Korn/Ferry International | 23 | 1,187 | ||||||
ManpowerGroup, Inc.† | 6 | 691 | ||||||
Matthews International Corp., Class A† | 7 | 354 | ||||||
Navigant Consulting, Inc.* | 33 | 635 | ||||||
Nielsen Holdings PLC (United Kingdom)† | 344 | 10,936 | ||||||
Quad/Graphics, Inc.† | 70 | 1,774 | ||||||
Republic Services, Inc.† | 279 | 18,478 | ||||||
Robert Half International, Inc.† | 93 | 5,384 | ||||||
RPX Corp. | 27 | 289 | ||||||
Steelcase, Inc., Class A(a) | 36 | 490 | ||||||
Stericycle, Inc.†(a)* | 137 | 8,019 | ||||||
Tetra Tech, Inc. | 10 | 491 | ||||||
TriNet Group, Inc.* | 36 | 1,668 | ||||||
UniFirst Corp.† | 18 | 2,910 | ||||||
Waste Management, Inc.† | 60 | 5,047 | ||||||
|
| |||||||
82,465 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 7.0% |
| |||||||
Acushnet Holdings Corp. | 32 | 739 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Callaway Golf Co.(a) | 184 | $ | 3,010 | |||||
Carter’s, Inc. | 88 | 9,161 | ||||||
Cavco Industries, Inc.†* | 19 | 3,301 | ||||||
Crocs, Inc.(a)* | 259 | 4,209 | ||||||
Deckers Outdoor Corp.* | 109 | 9,813 | ||||||
DR Horton, Inc. | 132 | 5,787 | ||||||
Ethan Allen Interiors, Inc. | 50 | 1,149 | ||||||
Garmin Ltd. (Switzerland)† | 171 | 10,077 | ||||||
Gildan Activewear, Inc. (Canada) | 108 | 3,120 | ||||||
Hanesbrands, Inc.†(a) | 407 | 7,497 | ||||||
Hasbro, Inc. | 89 | 7,503 | ||||||
La-Z-Boy, Inc.† | 17 | 509 | ||||||
Leggett & Platt, Inc.(a) | 14 | 621 | ||||||
Mattel, Inc.(a) | 560 | 7,364 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 172 | 10,678 | ||||||
Newell Brands, Inc.(a) | 302 | 7,695 | ||||||
NVR, Inc.†* | 6 | 16,800 | ||||||
Ralph Lauren Corp.† | 117 | 13,081 | ||||||
Steven Madden Ltd. | 8 | 351 | ||||||
TopBuild Corp.* | 30 | 2,296 | ||||||
Tupperware Brands Corp. | 75 | 3,628 | ||||||
VF Corp.† | 333 | 24,682 | ||||||
Vista Outdoor, Inc.* | 298 | 4,863 | ||||||
Whirlpool Corp.† | 20 | 3,062 | ||||||
Wolverine World Wide, Inc.(a) | 32 | 925 | ||||||
|
| |||||||
161,921 | ||||||||
|
| |||||||
Consumer Services — 8.4% | ||||||||
Adtalem Global Education, | 39 | 1,854 | ||||||
BJ’s Restaurants, Inc. | 16 | 718 | ||||||
Boyd Gaming Corp.† | 274 | 8,730 | ||||||
Brinker International, Inc.†(a) | 143 | 5,162 | ||||||
Carnival Corp. (Panama)† | 133 | 8,722 | ||||||
Choice Hotels International, Inc. | 12 | 962 | ||||||
Churchill Downs, Inc.† | 30 | 7,323 | ||||||
Cracker Barrel Old Country Store, Inc.†(a) | 20 | 3,184 | ||||||
Darden Restaurants, Inc. | 20 | 1,705 | ||||||
Denny’s Corp.†* | 49 | 756 | ||||||
Dine Brands Global, Inc.† | 114 | 7,476 | ||||||
Dunkin’ Brands Group, Inc.†(a) | 127 | 7,581 | ||||||
Graham Holdings Co., | 8 | 4,818 | ||||||
Hilton Worldwide Holdings, Inc.† | 189 | 14,886 | ||||||
Hyatt Hotels Corp., Class A | 118 | 8,999 |
The accompanying notes are an integral part of the financial statements.
83
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Jack in the Box, Inc.† | 65 | $ | 5,546 | |||||
Las Vegas Sands Corp. | 13 | 935 | ||||||
Marriott International, Inc., Class A† | 82 | 11,150 | ||||||
McDonald’s Corp.† | 208 | 32,527 | ||||||
Regis Corp.* | 3 | 45 | ||||||
Restaurant Brands International, Inc. (Canada) | 43 | 2,448 | ||||||
Royal Caribbean Cruises Ltd. (Liberia)† | 41 | 4,827 | ||||||
Ruth’s Hospitality Group, Inc. | 16 | 391 | ||||||
Six Flags Entertainment | 40 | 2,490 | ||||||
Sonic Corp.†(a) | 159 | 4,012 | ||||||
Stars Group, Inc. (The) | 73 | 2,011 | ||||||
Vail Resorts, Inc. | 8 | 1,774 | ||||||
Wyndham Worldwide Corp.† | 101 | 11,557 | ||||||
Yum! Brands, Inc.† | 372 | 31,668 | ||||||
|
| |||||||
194,257 | ||||||||
|
| |||||||
Energy — 5.2% | ||||||||
Andeavor | 7 | 704 | ||||||
Cameco Corp. (Canada) | 103 | 936 | ||||||
Cenovus Energy, Inc. (Canada) | 46 | 393 | ||||||
CVR Energy, Inc.(a) | 112 | 3,385 | ||||||
Diamond Offshore Drilling, | 136 | 1,994 | ||||||
Dril-Quip, Inc.(a)* | 94 | 4,211 | ||||||
Enbridge, Inc. (Canada)† | 402 | 12,651 | ||||||
Exterran Corp.* | 43 | 1,148 | ||||||
Frank’s International NV (Netherlands) | 160 | 869 | ||||||
Halliburton Co. | 109 | 5,116 | ||||||
Imperial Oil Ltd. (Canada) | 71 | 1,882 | ||||||
Marathon Petroleum Corp.† | 177 | 12,940 | ||||||
McDermott International, Inc. (Panama)†* | 239 | 1,456 | ||||||
National Oilwell Varco, Inc. | 152 | 5,595 | ||||||
ONEOK, Inc. | 106 | 6,034 | ||||||
Phillips 66† | 88 | 8,441 | ||||||
REX American Resources Corp.* | 32 | 2,330 | ||||||
Rowan Cos. PLC, Class A (United Kingdom)†* | 179 | 2,066 | ||||||
RPC, Inc.(a) | 63 | 1,136 | ||||||
Schlumberger Ltd. (Curacao)† | 178 | 11,531 | ||||||
Ship Finance International Ltd. (Bermuda)† | 267 | 3,818 | ||||||
TechnipFMC PLC (United Kingdom)† | 458 | 13,488 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
TransCanada Corp. (Canada)† | 34 | $ | 1,405 | |||||
Transocean Ltd. | 193 | 1,911 | ||||||
Valero Energy Corp.† | 131 | 12,153 | ||||||
World Fuel Services Corp. | 55 | 1,350 | ||||||
|
| |||||||
118,943 | ||||||||
|
| |||||||
Food & Staples Retailing — 5.9% |
| |||||||
CVS Health Corp.† | 356 | 22,147 | ||||||
Ingles Markets, Inc., Class A† | 27 | 914 | ||||||
Kroger Co. (The)† | 978 | 23,413 | ||||||
SUPERVALU, Inc.(a)* | 2 | 30 | ||||||
Sysco Corp.† | 402 | 24,104 | ||||||
US Foods Holding Corp.* | 212 | 6,947 | ||||||
Walgreens Boots Alliance, Inc.† | 267 | 17,480 | ||||||
Walmart, Inc.† | 450 | 40,036 | ||||||
|
| |||||||
135,071 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 20.1% |
| |||||||
Altria Group, Inc.† | 668 | 41,630 | ||||||
Brown-Forman Corp., Class B† | 249 | 13,546 | ||||||
Campbell Soup Co.†(a) | 333 | 14,422 | ||||||
Coca-Cola Co. (The)† | 837 | 36,351 | ||||||
Conagra Brands, Inc.† | 424 | 15,637 | ||||||
Constellation Brands, Inc., Class A† | 39 | 8,889 | ||||||
Dr Pepper Snapple Group, Inc.† | 185 | 21,900 | ||||||
Flowers Foods, Inc.(a) | 156 | 3,410 | ||||||
General Mills, Inc.† | 599 | 26,991 | ||||||
Hershey Co. (The)† | 238 | 23,552 | ||||||
Hormel Foods Corp.†(a) | 507 | 17,400 | ||||||
Hostess Brands, Inc.(a)* | 56 | 828 | ||||||
Ingredion, Inc.† | 77 | 9,927 | ||||||
JM Smucker Co. (The)† | 109 | 13,517 | ||||||
John B Sanfilippo & Son, Inc. | 6 | 347 | ||||||
Kellogg Co.†(a) | 320 | 20,803 | ||||||
Kraft Heinz Co. (The)† | 515 | 32,079 | ||||||
McCormick & Co., Inc., non-voting shares† | 186 | 19,789 | ||||||
Molson Coors Brewing Co., Class B† | 171 | 12,881 | ||||||
Mondelez International, Inc., Class A† | 175 | 7,303 | ||||||
PepsiCo, Inc.† | 464 | 50,646 | ||||||
Philip Morris International, Inc.† | 324 | 32,206 | ||||||
Sanderson Farms, Inc.† | 10 | 1,190 | ||||||
TreeHouse Foods, Inc.* | 57 | 2,181 | ||||||
Tyson Foods, Inc., Class A† | 499 | 36,522 |
The accompanying notes are an integral part of the financial statements.
84
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Universal Corp. | 20 | $ | 970 | |||||
|
| |||||||
464,917 | ||||||||
|
| |||||||
Health Care Equipment & Services — 12.7% |
| |||||||
Abbott Laboratories† | 314 | 18,815 | ||||||
AmerisourceBergen Corp.† | 140 | 12,069 | ||||||
AMN Healthcare Services, | 63 | 3,575 | ||||||
Analogic Corp. | 30 | 2,877 | ||||||
athenahealth, Inc.* | 21 | 3,004 | ||||||
Baxter International, Inc. | 130 | 8,455 | ||||||
Becton Dickinson and Co.† | 3 | 650 | ||||||
Brookdale Senior Living, | 749 | 5,026 | ||||||
Chemed Corp.† | 14 | 3,820 | ||||||
Cooper Cos., Inc. (The)† | 2 | 458 | ||||||
Cotiviti Holdings, Inc.†* | 205 | 7,060 | ||||||
Danaher Corp.† | 114 | 11,162 | ||||||
DENTSPLY SIRONA, Inc. | 141 | 7,094 | ||||||
Envision Healthcare | 328 | 12,605 | ||||||
Express Scripts Holding Co.†* | 513 | 35,438 | ||||||
Globus Medical, Inc., | 215 | 10,711 | ||||||
Haemonetics Corp.* | 56 | 4,097 | ||||||
Halyard Health, Inc.†* | 45 | 2,074 | ||||||
Henry Schein, Inc.(a)* | 9 | 605 | ||||||
Hill-Rom Holdings, Inc.† | 57 | 4,959 | ||||||
ICU Medical, Inc.†* | 29 | 7,320 | ||||||
Integer Holdings Corp.†* | 97 | 5,485 | ||||||
Invacare Corp.(a) | 20 | 348 | ||||||
Kindred Healthcare, Inc.† | 14 | 128 | ||||||
Laboratory Corp. of America Holdings†* | 152 | 24,586 | ||||||
LifePoint Health, Inc.†* | 134 | 6,298 | ||||||
MEDNAX, Inc.†* | 143 | 7,955 | ||||||
Medtronic PLC (Ireland)† | 357 | 28,639 | ||||||
Meridian Bioscience, Inc.† | 49 | 696 | ||||||
Owens & Minor, Inc.(a) | 299 | 4,649 | ||||||
Quality Systems, Inc.†* | 152 | 2,075 | ||||||
Quest Diagnostics, Inc.† | 133 | 13,340 | ||||||
STERIS PLC (United Kingdom)† | 29 | 2,707 | ||||||
Stryker Corp.† | 11 | 1,770 | ||||||
Tabula Rasa Healthcare, | 1 | 39 | ||||||
Tenet Healthcare Corp.(a)* | 137 | 3,322 | ||||||
Tivity Health, Inc.(a)* | 45 | 1,784 | ||||||
Universal Health Services, Inc., Class B† | 88 | 10,420 | ||||||
Varex Imaging Corp.* | 15 | 537 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Varian Medical Systems, Inc.†* | 137 | $ | 16,803 | |||||
|
| |||||||
293,455 | ||||||||
|
| |||||||
Household & Personal Products — 9.0% |
| |||||||
Avon Products, Inc.* | 804 | 2,283 | ||||||
Church & Dwight Co., Inc.† | 239 | 12,036 | ||||||
Clorox Co. (The)† | 37 | 4,925 | ||||||
Colgate-Palmolive Co.† | 597 | 42,793 | ||||||
Coty, Inc., Class A | 368 | 6,734 | ||||||
Edgewell Personal Care Co.†* | 48 | 2,343 | ||||||
Energizer Holdings, Inc.(a) | 45 | 2,681 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 239 | 35,783 | ||||||
Kimberly-Clark Corp.† | 310 | 34,140 | ||||||
Procter & Gamble Co. (The)† | 763 | 60,491 | ||||||
Spectrum Brands Holdings, | 24 | 2,489 | ||||||
|
| |||||||
206,698 | ||||||||
|
| |||||||
Materials — 4.7% | ||||||||
Avery Dennison Corp.† | 90 | 9,562 | ||||||
Axalta Coating Systems Ltd. (Bermuda)* | 4 | 121 | ||||||
Celanese Corp., Class A | 7 | 701 | ||||||
Chase Corp. | 13 | 1,514 | ||||||
Clearwater Paper Corp.†* | 27 | 1,056 | ||||||
Domtar Corp.† | 134 | 5,700 | ||||||
Eagle Materials, Inc. | 27 | 2,782 | ||||||
Eastman Chemical Co. | 18 | 1,900 | ||||||
Ecolab, Inc. | 10 | 1,371 | ||||||
FMC Corp. | 2 | 153 | ||||||
GCP Applied Technologies, Inc.* | 8 | 232 | ||||||
Greif, Inc., Class A†(a) | 15 | 784 | ||||||
Ingevity Corp.†* | 16 | 1,179 | ||||||
Innophos Holdings, Inc.† | 13 | 523 | ||||||
International Flavors & Fragrances, Inc. | 7 | 958 | ||||||
International Paper Co.† | 98 | 5,236 | ||||||
KapStone Paper and Packaging Corp. | 124 | 4,254 | ||||||
Kraton Corp.* | 42 | 2,004 | ||||||
Louisiana-Pacific Corp.† | 86 | 2,474 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 91 | 9,617 | ||||||
Methanex Corp. (Canada)† | 97 | 5,883 | ||||||
Monsanto Co.† | 145 | 16,920 | ||||||
Neenah Paper, Inc.† | 28 | 2,195 |
The accompanying notes are an integral part of the financial statements.
85
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Packaging Corp. of America† | 4 | $ | 451 | |||||
PolyOne Corp.† | 120 | 5,102 | ||||||
PPG Industries, Inc.† | 14 | 1,562 | ||||||
Praxair, Inc. | 12 | 1,732 | ||||||
Scotts Miracle-Gro Co. | 14 | 1,200 | ||||||
Sensient Technologies Corp. | 3 | 212 | ||||||
Silgan Holdings, Inc. | 50 | 1,392 | ||||||
Summit Materials, Inc., Class A* | 64 | 1,938 | ||||||
Tronox Ltd., Class A (Australia) | 71 | 1,309 | ||||||
Verso Corp., Class A* | 100 | 1,684 | ||||||
Westlake Chemical Corp.† | 132 | 14,672 | ||||||
|
| |||||||
108,373 | ||||||||
|
| |||||||
Media — 9.4% | ||||||||
AMC Entertainment Holdings, Inc., Class A | 48 | 674 | ||||||
CBS Corp., Class B, non-voting shares† | 482 | 24,770 | ||||||
Discovery, Inc., Class A†(a)* | 782 | 16,758 | ||||||
DISH Network Corp., | 152 | 5,759 | ||||||
Entravision Communications Corp., Class A | 120 | 564 | ||||||
Gannett Co., Inc. | 231 | 2,305 | ||||||
Interpublic Group of Cos., Inc. (The)† | 480 | 11,054 | ||||||
MSG Networks, Inc., | 199 | 4,497 | ||||||
News Corp., Class A† | 660 | 10,428 | ||||||
Omnicom Group, Inc.† | 227 | 16,496 | ||||||
Shaw Communications, Inc., Class B (Canada) | 157 | 3,024 | ||||||
Time Warner, Inc.† | 698 | 66,017 | ||||||
Twenty-First Century Fox, Inc., Class A† | 885 | 32,471 | ||||||
Viacom, Inc., Class B† | 440 | 13,666 | ||||||
Walt Disney Co. (The)† | 48 | 4,821 | ||||||
WideOpenWest, Inc.* | 2 | 14 | ||||||
World Wrestling Entertainment, | 80 | 2,881 | ||||||
|
| |||||||
216,199 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 9.8% |
| |||||||
AbbVie, Inc.† | 105 | 9,938 | ||||||
Agilent Technologies, Inc.† | 7 | 468 | ||||||
Amgen, Inc.† | 130 | 22,162 | ||||||
Biogen, Inc.†* | 52 | 14,239 | ||||||
Cambrex Corp.* | 29 | 1,517 | ||||||
Celgene Corp.†* | 233 | 20,786 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Charles River Laboratories International, Inc.* | 13 | $ | 1,388 | |||||
Eli Lilly & Co.† | 32 | 2,476 | ||||||
Emergent BioSolutions, Inc.* | 2 | 105 | ||||||
Exact Sciences Corp.†* | 58 | 2,339 | ||||||
Exelixis, Inc.†* | 67 | 1,484 | ||||||
Gilead Sciences, Inc.† | 325 | 24,502 | ||||||
Halozyme Therapeutics, Inc.* | 7 | 137 | ||||||
Innoviva, Inc.* | 102 | 1,700 | ||||||
Ionis Pharmaceuticals, Inc.†* | 8 | 353 | ||||||
Johnson & Johnson† | 197 | 25,246 | ||||||
Ligand Pharmaceuticals, | 21 | 3,468 | ||||||
Macrogenics, Inc.* | 6 | 151 | ||||||
Merck & Co., Inc.† | 627 | 34,153 | ||||||
Mettler-Toledo International, Inc.* | 1 | 575 | ||||||
Pfizer, Inc.† | 668 | 23,707 | ||||||
PRA Health Sciences, Inc.†* | 55 | 4,563 | ||||||
Regeneron Pharmaceuticals, Inc.* | 11 | 3,788 | ||||||
Vertex Pharmaceuticals, Inc.†* | 2 | 326 | ||||||
Waters Corp.†* | 55 | 10,926 | ||||||
Zoetis, Inc.† | 185 | 15,449 | ||||||
|
| |||||||
225,946 | ||||||||
|
| |||||||
Retailing — 13.4% | ||||||||
Abercrombie & Fitch Co., Class A | 192 | 4,648 | ||||||
Advance Auto Parts, Inc.† | 168 | 19,916 | ||||||
Amazon.com, Inc.†* | 24 | 34,736 | ||||||
Asbury Automotive Group, Inc.†* | 51 | 3,442 | ||||||
AutoNation, Inc.†* | 34 | 1,591 | ||||||
AutoZone, Inc.†* | 40 | 25,948 | ||||||
Bed Bath & Beyond, Inc.†(a) | 133 | 2,792 | ||||||
Best Buy Co., Inc.† | 81 | 5,669 | ||||||
Booking Holdings, Inc.†* | 9 | 18,724 | ||||||
Dollar General Corp.† | 10 | 936 | ||||||
Dollar Tree, Inc.†* | 42 | 3,986 | ||||||
Foot Locker, Inc.† | 61 | 2,778 | ||||||
GameStop Corp., Class A(a) | 16 | 202 | ||||||
Gap, Inc. (The)† | 159 | 4,961 | ||||||
Home Depot, Inc. (The)† | 142 | 25,310 | ||||||
Kohl’s Corp.† | 122 | 7,992 | ||||||
L Brands, Inc. | 55 | 2,102 | ||||||
Lands’ End, Inc.* | 3 | 70 | ||||||
LKQ Corp.†* | 37 | 1,404 | ||||||
Lumber Liquidators Holdings, Inc.(a)* | 49 | 1,172 |
The accompanying notes are an integral part of the financial statements.
86
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Macy’s, Inc.(a) | 193 | $ | 5,740 | |||||
Murphy USA, Inc.* | 50 | 3,640 | ||||||
Nutrisystem, Inc.†(a) | 229 | 6,172 | ||||||
O’Reilly Automotive, Inc.†* | 23 | 5,690 | ||||||
Penske Automotive Group, Inc. | 14 | 621 | ||||||
PetMed Express, Inc.†(a) | 181 | 7,557 | ||||||
Pool Corp. | 9 | 1,316 | ||||||
Qurate Retail Group, Inc.†* | 10 | 252 | ||||||
RH(a)* | 34 | 3,240 | ||||||
Ross Stores, Inc.† | 186 | 14,504 | ||||||
Sally Beauty Holdings, Inc.†* | 204 | 3,356 | ||||||
Shutterfly, Inc.* | 77 | 6,256 | ||||||
Signet Jewelers Ltd. (Bermuda)†(a) | 117 | 4,507 | ||||||
Tailored Brands, Inc.(a) | 127 | 3,183 | ||||||
Target Corp.† | 283 | 19,649 | ||||||
Tiffany & Co. | 43 | 4,199 | ||||||
TJX Cos., Inc. (The)† | 468 | 38,170 | ||||||
Tractor Supply Co.† | 97 | 6,113 | ||||||
Ulta Beauty, Inc.* | 25 | 5,107 | ||||||
Urban Outfitters, Inc.* | 8 | 296 | ||||||
Williams-Sonoma, Inc.(a) | 26 | 1,372 | ||||||
Zumiez, Inc.(a)* | 5 | 120 | ||||||
|
| |||||||
309,439 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.7% |
| |||||||
Advanced Energy Industries, Inc.* | 3 | 192 | ||||||
Analog Devices, Inc.† | 66 | 6,015 | ||||||
Applied Materials, Inc.† | 38 | 2,113 | ||||||
Cirrus Logic, Inc.* | 91 | 3,697 | ||||||
Cohu, Inc. | 14 | 319 | ||||||
Diodes, Inc.* | 32 | 975 | ||||||
First Solar, Inc.†* | 68 | 4,827 | ||||||
Intel Corp.† | 207 | 10,781 | ||||||
KLA-Tencor Corp.† | 19 | 2,071 | ||||||
Lam Research Corp.† | 1 | 203 | ||||||
Marvell Technology Group Ltd. (Bermuda)† | 418 | 8,778 | ||||||
Maxim Integrated Products, Inc.† | 37 | 2,228 | ||||||
Micron Technology, Inc.†* | 187 | 9,750 | ||||||
MKS Instruments, Inc.† | 10 | 1,156 | ||||||
ON Semiconductor Corp.†* | 126 | 3,082 | ||||||
Qorvo, Inc.* | 47 | 3,311 | ||||||
QUALCOMM, Inc.† | 174 | 9,641 | ||||||
Rambus, Inc.* | 42 | 564 | ||||||
Teradyne, Inc.† | 130 | 5,942 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Texas Instruments, Inc.† | 85 | $ | 8,831 | |||||
Xcerra Corp.* | 109 | 1,270 | ||||||
|
| |||||||
85,746 | ||||||||
|
| |||||||
Software & Services — 18.0% | ||||||||
Accenture PLC, Class A (Ireland)† | 101 | 15,504 | ||||||
Adobe Systems, Inc.†* | 9 | 1,945 | ||||||
Alarm.com Holdings, Inc.* | 45 | 1,698 | ||||||
Alliance Data Systems Corp. | 47 | 10,004 | ||||||
Alphabet, Inc., Class A†* | 41 | 42,523 | ||||||
ANSYS, Inc.†* | 26 | 4,074 | ||||||
Appfolio, Inc., Class A* | 7 | 286 | ||||||
Aspen Technology, Inc.†* | 58 | 4,576 | ||||||
Blackbaud, Inc.(a) | 6 | 611 | ||||||
Blackhawk Network Holdings, Inc.* | 17 | 760 | ||||||
Blucora, Inc.* | 102 | 2,509 | ||||||
CA, Inc.† | 421 | 14,272 | ||||||
CACI International, Inc., | 20 | 3,027 | ||||||
Cadence Design Systems, Inc.†* | 165 | 6,067 | ||||||
Cardtronics PLC, Class A (United Kingdom)* | 110 | 2,454 | ||||||
Cars.com, Inc.†(a)* | 165 | 4,674 | ||||||
CDK Global, Inc.† | 77 | 4,877 | ||||||
CGI Group, Inc., Class A | 75 | 4,323 | ||||||
Cision Ltd. (Cayman Islands)* | 2 | 23 | ||||||
Citrix Systems, Inc.†* | 47 | 4,362 | ||||||
Conduent, Inc.* | 204 | 3,803 | ||||||
Convergys Corp.† | 273 | 6,175 | ||||||
CSG Systems International, Inc.† | 22 | 996 | ||||||
DST Systems, Inc. | 90 | 7,528 | ||||||
DXC Technology Co.† | 183 | 18,397 | ||||||
eBay, Inc.†* | 158 | 6,358 | ||||||
Etsy, Inc.†* | 284 | 7,969 | ||||||
Euronet Worldwide, Inc.* | 30 | 2,368 | ||||||
Facebook, Inc., Class A†* | 202 | 32,278 | ||||||
Fair Isaac Corp.†* | 26 | 4,404 | ||||||
Fidelity National Information Services, Inc.† | 284 | 27,349 | ||||||
Fiserv, Inc.†* | 238 | 16,972 | ||||||
Globant SA (Luxembourg)* | 22 | 1,134 | ||||||
GoDaddy, Inc., Class A* | 17 | 1,044 | ||||||
GrubHub, Inc.(a)* | 17 | 1,725 | ||||||
IAC/InterActiveCorp.†* | 36 | 5,630 | ||||||
International Business Machines Corp.† | 218 | 33,448 |
The accompanying notes are an integral part of the financial statements.
87
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
j2 Global, Inc.†(a) | 84 | $ | 6,629 | |||||
Leidos Holdings, Inc.† | 76 | 4,970 | ||||||
LogMeIn, Inc. | 8 | 924 | ||||||
Manhattan Associates, Inc.†* | 52 | 2,178 | ||||||
MAXIMUS, Inc.† | 10 | 667 | ||||||
Microsoft Corp.† | 48 | 4,381 | ||||||
Monotype Imaging Holdings, Inc. | 1 | 22 | ||||||
NIC, Inc.†(a) | 297 | 3,950 | ||||||
Open Text Corp. (Canada)† | 174 | 6,055 | ||||||
Oracle Corp.† | 341 | 15,601 | ||||||
Paychex, Inc.† | 276 | 16,999 | ||||||
Progress Software Corp.† | 124 | 4,768 | ||||||
Qualys, Inc.* | 7 | 509 | ||||||
Quotient Technology, Inc.* | 1 | 13 | ||||||
SS&C Technologies Holdings, Inc.† | 174 | 9,333 | ||||||
Stamps.com, Inc.†* | 44 | 8,846 | ||||||
Symantec Corp.† | 181 | 4,679 | ||||||
Synopsys, Inc.†* | 33 | 2,747 | ||||||
Total System Services, Inc. | 31 | 2,674 | ||||||
Trade Desk, Inc. (The), Class A†* | 2 | 99 | ||||||
Travelport Worldwide Ltd. (Bermuda)† | 77 | 1,258 | ||||||
Tyler Technologies, Inc.* | 4 | 844 | ||||||
VeriSign, Inc.†* | 66 | 7,825 | ||||||
Visa, Inc., Class A† | 8 | 957 | ||||||
Web.com Group, Inc.* | 72 | 1,303 | ||||||
Zynga, Inc., Class A* | 326 | 1,193 | ||||||
|
| |||||||
415,571 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 9.0% |
| |||||||
Amphenol Corp., Class A† | 89 | 7,666 | ||||||
Apple, Inc.† | 172 | 28,858 | ||||||
Arista Networks, Inc.* | 1 | 255 | ||||||
AVX Corp.†(a) | 64 | 1,059 | ||||||
Badger Meter, Inc.(a) | 22 | 1,037 | ||||||
CDW Corp.† | 104 | 7,312 | ||||||
Cisco Systems, Inc.† | 215 | 9,221 | ||||||
CommScope Holding Co., Inc.* | 28 | 1,119 | ||||||
Diebold Nixdorf, Inc.(a) | 7 | 108 | ||||||
Dolby Laboratories, Inc., Class A | 7 | 445 | ||||||
EchoStar Corp., Class A* | 7 | 369 | ||||||
Electro Scientific Industries, Inc.†* | 274 | 5,296 | ||||||
F5 Networks, Inc.†* | 68 | 9,833 | ||||||
FLIR Systems, Inc.† | 174 | 8,702 | ||||||
Hewlett Packard Enterprise Co.† | 791 | 13,874 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
HP, Inc.† | 771 | $ | 16,900 | |||||
InterDigital, Inc.† | 63 | 4,637 | ||||||
Itron, Inc.* | 49 | 3,506 | ||||||
Jabil, Inc. | 82 | 2,356 | ||||||
Juniper Networks, Inc.† | 580 | 14,111 | ||||||
Mitel Networks Corp. (Canada)* | 184 | 1,708 | ||||||
Motorola Solutions, Inc.† | 235 | 24,746 | ||||||
NetApp, Inc.† | 63 | 3,886 | ||||||
NETGEAR, Inc.(a)* | 27 | 1,544 | ||||||
OSI Systems, Inc.* | 22 | 1,436 | ||||||
Plantronics, Inc.† | 55 | 3,320 | ||||||
ScanSource, Inc.†* | 50 | 1,778 | ||||||
Seagate Technology PLC | 193 | 11,294 | ||||||
SYNNEX Corp. | 15 | 1,776 | ||||||
TTM Technologies, Inc.* | 23 | 352 | ||||||
Ubiquiti Networks, Inc.(a)* | 20 | 1,376 | ||||||
Vishay Intertechnology, Inc.† | 427 | 7,942 | ||||||
Xerox Corp.† | 164 | 4,720 | ||||||
Zebra Technologies Corp., | 39 | 5,428 | ||||||
|
| |||||||
207,970 | ||||||||
|
| |||||||
Telecommunication Services — 3.6% |
| |||||||
AT&T, Inc.† | 597 | 21,283 | ||||||
BCE, Inc. (Canada) | 103 | 4,433 | ||||||
Cogent Communications Holdings, Inc. | 28 | 1,215 | ||||||
Frontier Communications Corp.† | 1 | 7 | ||||||
Rogers Communications, Inc., Class B (Canada) | 137 | 6,121 | ||||||
United States Cellular Corp.†* | 21 | 844 | ||||||
Verizon Communications, Inc.† | 838 | 40,073 | ||||||
Vonage Holdings Corp.* | 531 | 5,655 | ||||||
Zayo Group Holdings, Inc.* | 119 | 4,065 | ||||||
|
| |||||||
83,696 | ||||||||
|
| |||||||
Transportation — 4.2% | ||||||||
Alaska Air Group, Inc.† | 297 | 18,402 | ||||||
CH Robinson Worldwide, | 189 | 17,711 | ||||||
Delta Air Lines, Inc. | 82 | 4,494 | ||||||
Expeditors International of Washington, Inc.† | 330 | 20,889 | ||||||
Kansas City Southern† | 112 | 12,303 | ||||||
Landstar System, Inc.† | 39 | 4,276 | ||||||
Norfolk Southern Corp. | 28 | 3,802 | ||||||
Old Dominion Freight Line, Inc. | 33 | 4,850 | ||||||
Saia, Inc.* | 8 | 601 |
The accompanying notes are an integral part of the financial statements.
88
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Schneider National, Inc., Class B | 35 | $ | 912 | |||||
Union Pacific Corp.† | 60 | 8,066 | ||||||
United Parcel Service, Inc., Class B | 5 | 523 | ||||||
Universal Logistics Holdings, Inc. | 1 | 21 | ||||||
|
| |||||||
96,850 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 4,119,286 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 178.5% | 4,119,286 | |||||||
|
| |||||||
(Cost $3,947,939) | ||||||||
SHORT POSITIONS — (77.3)% |
| |||||||
COMMON STOCKS — (77.3)% |
| |||||||
Automobiles & Components — (2.1)% |
| |||||||
Adient PLC (Ireland) | (232 | ) | (13,864 | ) | ||||
American Axle & Manufacturing Holdings, Inc.* | (316 | ) | (4,810 | ) | ||||
Dorman Products, Inc.* | (40 | ) | (2,648 | ) | ||||
Ford Motor Co. | (583 | ) | (6,460 | ) | ||||
Fox Factory Holding Corp.* | (39 | ) | (1,361 | ) | ||||
Gentherm, Inc.* | (71 | ) | (2,410 | ) | ||||
LCI Industries | (43 | ) | (4,478 | ) | ||||
Tesla, Inc.* | (44 | ) | (11,710 | ) | ||||
Visteon Corp.* | (12 | ) | (1,323 | ) | ||||
|
| |||||||
(49,064 | ) | |||||||
|
| |||||||
Capital Goods — (10.3)% |
| |||||||
AAON, Inc. | (29 | ) | (1,131 | ) | ||||
AAR Corp. | (138 | ) | (6,087 | ) | ||||
Actuant Corp., Class A | (107 | ) | (2,488 | ) | ||||
Advanced Drainage Systems, Inc. | (35 | ) | (906 | ) | ||||
AECOM* | (49 | ) | (1,746 | ) | ||||
Aegion Corp.* | (37 | ) | (848 | ) | ||||
Aerovironment, Inc.* | (7 | ) | (319 | ) | ||||
Albany International Corp., Class A | (6 | ) | (376 | ) | ||||
American Railcar Industries, Inc. | (1 | ) | (37 | ) | ||||
Apogee Enterprises, Inc. | (150 | ) | (6,502 | ) | ||||
Astronics Corp.* | (67 | ) | (2,499 | ) | ||||
Axon Enterprise, Inc.* | (184 | ) | (7,233 | ) | ||||
Briggs & Stratton Corp. | (52 | ) | (1,113 | ) | ||||
CAI International, Inc.* | (64 | ) | (1,361 | ) | ||||
Carlisle Cos., Inc. | (6 | ) | (626 | ) | ||||
Chart Industries, Inc.* | (75 | ) | (4,427 | ) | ||||
Chicago Bridge & Iron Co. NV (Netherlands) | (86 | ) | | (1,238 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
CIRCOR International, Inc. | (27 | ) | $ | (1,152 | ) | |||
Colfax Corp.* | (38 | ) | (1,212 | ) | ||||
Cubic Corp. | (77 | ) | (4,897 | ) | ||||
Donaldson Co., Inc. | (47 | ) | (2,117 | ) | ||||
Douglas Dynamics, Inc. | (48 | ) | (2,081 | ) | ||||
DXP Enterprises, Inc.* | (1 | ) | (39 | ) | ||||
Dycom Industries, Inc.* | (96 | ) | (10,332 | ) | ||||
EnerSys | (53 | ) | (3,677 | ) | ||||
EnPro Industries, Inc. | (20 | ) | (1,548 | ) | ||||
Esterline Technologies Corp.* | (24 | ) | (1,756 | ) | ||||
Evoqua Water Technologies Corp.* | (23 | ) | (490 | ) | ||||
Federal Signal Corp. | (17 | ) | (374 | ) | ||||
Franklin Electric Co., Inc. | (81 | ) | (3,301 | ) | ||||
General Cable Corp. | (46 | ) | (1,362 | ) | ||||
Granite Construction, Inc. | (13 | ) | (726 | ) | ||||
Griffon Corp. | (28 | ) | (511 | ) | ||||
HEICO Corp. | (4 | ) | (347 | ) | ||||
Herc Holdings, Inc.* | (67 | ) | (4,352 | ) | ||||
Hexcel Corp. | (12 | ) | (775 | ) | ||||
Hyster-Yale Materials Handling, Inc. | (9 | ) | (629 | ) | ||||
Jacobs Engineering Group, Inc. | (163 | ) | (9,641 | ) | ||||
JELD-WEN Holding, Inc.* | (125 | ) | (3,829 | ) | ||||
John Bean Technologies Corp. | (20 | ) | (2,268 | ) | ||||
Kennametal, Inc. | (149 | ) | (5,984 | ) | ||||
KLX, Inc.* | (19 | ) | (1,350 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (870 | ) | (8,952 | ) | ||||
Lincoln Electric Holdings, Inc. | (39 | ) | (3,508 | ) | ||||
Lindsay Corp. | (2 | ) | (183 | ) | ||||
Manitowoc Co., Inc. (The)* | (70 | ) | (1,992 | ) | ||||
Masonite International Corp. (Canada)* | (46 | ) | (2,822 | ) | ||||
MasTec, Inc.* | (252 | ) | (11,857 | ) | ||||
Mercury Systems, Inc.* | (102 | ) | (4,929 | ) | ||||
Meritor, Inc.* | (299 | ) | (6,147 | ) | ||||
Milacron Holdings Corp.* | (113 | ) | (2,276 | ) | ||||
MRC Global, Inc.* | (508 | ) | (8,352 | ) | ||||
Mueller Industries, Inc. | (12 | ) | (314 | ) | ||||
Mueller Water Products, Inc., Class A | (6 | ) | (65 | ) | ||||
National Presto Industries, Inc. | (12 | ) | (1,125 | ) | ||||
Nordson Corp. | (9 | ) | (1,227 | ) | ||||
NOW, Inc.* | (954 | ) | (9,750 | ) | ||||
Parker-Hannifin Corp. | (4 | ) | (684 | ) | ||||
Patrick Industries, Inc.* | (77 | ) | (4,762 | ) |
The accompanying notes are an integral part of the financial statements.
89
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Proto Labs, Inc.* | (22 | ) | $ | (2,586 | ) | |||
Raven Industries, Inc. | (47 | ) | (1,647 | ) | ||||
RBC Bearings, Inc.* | (2 | ) | (248 | ) | ||||
Regal Beloit Corp. | (5 | ) | (367 | ) | ||||
REV Group, Inc. | (34 | ) | (706 | ) | ||||
Roper Technologies, Inc. | (2 | ) | (561 | ) | ||||
Rush Enterprises, Inc., Class A* | (34 | ) | (1,445 | ) | ||||
SPX Corp.* | (118 | ) | (3,833 | ) | ||||
Sunrun, Inc.* | (722 | ) | (6,447 | ) | ||||
Tennant Co. | (23 | ) | (1,557 | ) | ||||
Textainer Group Holdings Ltd. (Bermuda)* | (28 | ) | (475 | ) | ||||
Thermon Group Holdings, Inc.* | (54 | ) | (1,210 | ) | ||||
Timken Co. (The) | (226 | ) | (10,306 | ) | ||||
Titan International, Inc. | (93 | ) | (1,173 | ) | ||||
Toro Co. (The) | (17 | ) | (1,062 | ) | ||||
Triumph Group, Inc. | (252 | ) | (6,350 | ) | ||||
Tutor Perini Corp.* | (48 | ) | (1,058 | ) | ||||
United Rentals, Inc.* | (43 | ) | (7,427 | ) | ||||
USG Corp.* | (151 | ) | (6,103 | ) | ||||
Vicor Corp.* | (1 | ) | (29 | ) | ||||
Wabash National Corp. | (170 | ) | (3,538 | ) | ||||
Wesco Aircraft Holdings, Inc.* | (185 | ) | (1,896 | ) | ||||
Woodward, Inc. | (67 | ) | (4,801 | ) | ||||
|
| |||||||
(237,457 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (2.4)% |
| |||||||
ABM Industries, Inc. | (220 | ) | (7,366 | ) | ||||
Advanced Disposal Services, Inc.* | (112 | ) | (2,495 | ) | ||||
ASGN, Inc.* | (3 | ) | (246 | ) | ||||
CoStar Group, Inc.* | (3 | ) | (1,088 | ) | ||||
Covanta Holding Corp. | (376 | ) | (5,452 | ) | ||||
Healthcare Services Group, Inc. | (45 | ) | (1,957 | ) | ||||
HNI Corp. | (71 | ) | (2,562 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (63 | ) | (3,039 | ) | ||||
Insperity, Inc. | (4 | ) | (278 | ) | ||||
KAR Auction Services, Inc. | (90 | ) | (4,878 | ) | ||||
MSA Safety, Inc. | (42 | ) | (3,496 | ) | ||||
Multi-Color Corp. | (36 | ) | (2,378 | ) | ||||
Pitney Bowes, Inc. | (548 | ) | (5,968 | ) | ||||
Ritchie Bros Auctioneers, Inc. (Canada) | (148 | ) | (4,658 | ) | ||||
Rollins, Inc. | (13 | ) | (663 | ) | ||||
RR Donnelley & Sons Co. | (192 | ) | (1,676 | ) | ||||
TransUnion* | (16 | ) | (908 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
TrueBlue, Inc.* | (75 | ) | $ | (1,942 | ) | |||
US Ecology, Inc. | (47 | ) | (2,505 | ) | ||||
Verisk Analytics, Inc.* | (3 | ) | (312 | ) | ||||
WageWorks, Inc.* | (39 | ) | (1,763 | ) | ||||
|
| |||||||
(55,630 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (3.2)% |
| |||||||
American Outdoor Brands Corp.* | (445 | ) | (4,592 | ) | ||||
Canada Goose Holdings, Inc. (Canada)* | (65 | ) | (2,172 | ) | ||||
G-III Apparel Group Ltd.* | (300 | ) | (11,304 | ) | ||||
GoPro, Inc., Class A* | (278 | ) | (1,332 | ) | ||||
Installed Building Products, Inc.* | (55 | ) | (3,303 | ) | ||||
iRobot Corp.* | (285 | ) | (18,294 | ) | ||||
Lululemon Athletica, Inc.* | (50 | ) | (4,456 | ) | ||||
Mohawk Industries, Inc.* | (17 | ) | (3,948 | ) | ||||
Movado Group, Inc. | (14 | ) | (538 | ) | ||||
NIKE, Inc., Class B | (69 | ) | (4,584 | ) | ||||
Oxford Industries, Inc. | (5 | ) | (373 | ) | ||||
PVH Corp. | (5 | ) | (757 | ) | ||||
Skechers U.S.A., Inc., Class A* | (322 | ) | (12,523 | ) | ||||
Sturm Ruger & Co., Inc. | (13 | ) | (682 | ) | ||||
Tapestry, Inc. | (36 | ) | (1,894 | ) | ||||
Under Armour, Inc., Class C* | (145 | ) | (2,081 | ) | ||||
|
| |||||||
(72,833 | ) | |||||||
|
| |||||||
Consumer Services — (3.9)% | ||||||||
Belmond Ltd., Class A (Bermuda)* | (75 | ) | (836 | ) | ||||
Bloomin’ Brands, Inc. | (78 | ) | (1,894 | ) | ||||
Chegg, Inc.* | (311 | ) | (6,425 | ) | ||||
Chipotle Mexican Grill, Inc.* | (9 | ) | (2,908 | ) | ||||
Dave & Buster’s Entertainment, Inc.* | (261 | ) | (10,894 | ) | ||||
Fiesta Restaurant Group, Inc.* | (48 | ) | (888 | ) | ||||
Golden Entertainment, Inc.* | (1 | ) | (23 | ) | ||||
Grand Canyon Education, Inc.* | (1 | ) | (105 | ) | ||||
ILG, Inc. | (284 | ) | (8,835 | ) | ||||
International Speedway Corp., Class A | (20 | ) | (882 | ) | ||||
La Quinta Holdings, Inc.* | (312 | ) | (5,900 | ) | ||||
Marcus Corp. (The) | (52 | ) | (1,578 | ) | ||||
MGM Resorts International | (252 | ) | (8,825 | ) | ||||
Papa John’s International, Inc. | (15 | ) | (861 | ) | ||||
Planet Fitness, Inc., Class A* | (64 | ) | (2,417 | ) | ||||
Service Corp. International | (34 | ) | (1,283 | ) | ||||
Shake Shack, Inc., Class A* | (262 | ) | (10,907 | ) | ||||
Starbucks Corp. | (19 | ) | (1,100 | ) |
The accompanying notes are an integral part of the financial statements.
90
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Texas Roadhouse, Inc. | (124 | ) | $ | (7,165 | ) | |||
Wendy’s Co. (The) | (502 | ) | (8,810 | ) | ||||
Wingstop, Inc. | (141 | ) | (6,659 | ) | ||||
|
| |||||||
(89,195 | ) | |||||||
|
| |||||||
Energy — (5.1)% | ||||||||
Delek US Holdings, Inc. | (278 | ) | (11,315 | ) | ||||
Ensco PLC, Class A (United Kingdom) | (3,313 | ) | (14,544 | ) | ||||
Forum Energy Technologies, Inc.* | (329 | ) | (3,619 | ) | ||||
Green Plains, Inc. | (463 | ) | (7,778 | ) | ||||
Helix Energy Solutions Group, Inc.* | (954 | ) | (5,524 | ) | ||||
Keane Group, Inc.* | (532 | ) | (7,874 | ) | ||||
Nabors Industries Ltd. (Bermuda) | (550 | ) | (3,844 | ) | ||||
Newpark Resources, Inc.* | (117 | ) | (948 | ) | ||||
Nexgen Energy Ltd. (Canada)* | (8 | ) | (14 | ) | ||||
Oceaneering International, Inc. | (188 | ) | (3,486 | ) | ||||
Oil States International, Inc.* | (72 | ) | (1,886 | ) | ||||
Patterson-UTI Energy, Inc. | (834 | ) | (14,603 | ) | ||||
Pembina Pipeline Corp. (Canada) | (34 | ) | (1,062 | ) | ||||
ProPetro Holding Corp.* | (163 | ) | (2,590 | ) | ||||
Select Energy Services, Inc., | (20 | ) | (252 | ) | ||||
SemGroup Corp., Class A | (428 | ) | (9,159 | ) | ||||
Solaris Oilfield Infrastructure, | (83 | ) | (1,374 | ) | ||||
Suncor Energy, Inc. (Canada) | (8 | ) | (276 | ) | ||||
Targa Resources Corp. | (172 | ) | (7,568 | ) | ||||
Unit Corp.* | (268 | ) | (5,296 | ) | ||||
US Silica Holdings, Inc. | (305 | ) | (7,784 | ) | ||||
Weatherford International PLC (Ireland)* | (3,405 | ) | (7,797 | ) | ||||
|
| |||||||
(118,593 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.5)% |
| |||||||
Casey’s General Stores, Inc. | (54 | ) | (5,928 | ) | ||||
PriceSmart, Inc. | (14 | ) | (1,170 | ) | ||||
Smart & Final Stores, Inc.* | (212 | ) | (1,177 | ) | ||||
SpartanNash Co. | (4 | ) | (69 | ) | ||||
United Natural Foods, Inc.* | (96 | ) | (4,122 | ) | ||||
|
| |||||||
(12,466 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (2.5)% |
| |||||||
B&G Foods, Inc. | (215 | ) | (5,097 | ) | ||||
Blue Buffalo Pet Products, Inc.* | (290 | ) | (11,545 | ) | ||||
Coca-Cola Bottling Co. Consolidated | (41 | ) | (7,079 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Cott Corp. (Canada) | (69 | ) | $ | (1,016 | ) | |||
Darling Ingredients, Inc.* | (548 | ) | (9,480 | ) | ||||
Farmer Brothers Co.* | (39 | ) | (1,178 | ) | ||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | (23 | ) | (1,041 | ) | ||||
Freshpet, Inc.* | (2 | ) | (33 | ) | ||||
Hain Celestial Group, Inc. (The)* | (400 | ) | (12,828 | ) | ||||
J&J Snack Foods Corp. | (12 | ) | (1,639 | ) | ||||
Lamb Weston Holdings, Inc. | (21 | ) | (1,223 | ) | ||||
MGP Ingredients, Inc. | (54 | ) | (4,838 | ) | ||||
Tootsie Roll Industries, Inc. | (31 | ) | (915 | ) | ||||
Vector Group Ltd. | (14 | ) | (285 | ) | ||||
|
| |||||||
(58,197 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (6.9)% |
| |||||||
Acadia Healthcare Co., Inc.* | (421 | ) | (16,495 | ) | ||||
Align Technology, Inc.* | (4 | ) | (1,005 | ) | ||||
Almost Family, Inc.* | (14 | ) | (784 | ) | ||||
Amedisys, Inc.* | (7 | ) | (422 | ) | ||||
BioTelemetry, Inc.* | (263 | ) | (8,166 | ) | ||||
Cardinal Health, Inc. | (85 | ) | (5,328 | ) | ||||
Cardiovascular Systems, Inc.* | (59 | ) | (1,294 | ) | ||||
CryoLife, Inc.* | (2 | ) | (40 | ) | ||||
DaVita, Inc.* | (170 | ) | (11,210 | ) | ||||
DexCom, Inc.* | (25 | ) | (1,854 | ) | ||||
Diplomat Pharmacy, Inc.* | (319 | ) | (6,428 | ) | ||||
Ensign Group, Inc. (The) | (113 | ) | (2,972 | ) | ||||
Evolent Health, Inc., Class A* | (611 | ) | (8,707 | ) | ||||
Glaukos Corp.* | (71 | ) | (2,189 | ) | ||||
HCA Healthcare, Inc. | (4 | ) | (388 | ) | ||||
Inovalon Holdings, Inc., | (43 | ) | (456 | ) | ||||
Insulet Corp.* | (35 | ) | (3,034 | ) | ||||
iRhythm Technologies, Inc.* | (19 | ) | (1,196 | ) | ||||
K2M Group Holdings, Inc.* | (201 | ) | (3,809 | ) | ||||
LHC Group, Inc.* | (45 | ) | (2,770 | ) | ||||
McKesson Corp. | (84 | ) | (11,833 | ) | ||||
Medidata Solutions, Inc.* | (30 | ) | (1,884 | ) | ||||
Merit Medical Systems, Inc.* | (69 | ) | (3,129 | ) | ||||
Natus Medical, Inc.* | (64 | ) | (2,154 | ) | ||||
Neogen Corp.* | (8 | ) | (536 | ) | ||||
Nevro Corp.* | (103 | ) | (8,927 | ) | ||||
Novocure Ltd. (Jersey)* | (120 | ) | (2,616 | ) | ||||
NxStage Medical, Inc.* | (292 | ) | (7,259 | ) | ||||
Omnicell, Inc.* | (105 | ) | (4,557 | ) | ||||
OraSure Technologies, Inc.* | (142 | ) | (2,398 | ) |
The accompanying notes are an integral part of the financial statements.
91
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Penumbra, Inc.* | (61 | ) | $ | (7,055 | ) | |||
Quidel Corp.* | (153 | ) | (7,927 | ) | ||||
STAAR Surgical Co.* | (16 | ) | (237 | ) | ||||
Tactile Systems Technology, Inc.* | (7 | ) | (223 | ) | ||||
Teladoc, Inc.* | (274 | ) | (11,042 | ) | ||||
ViewRay, Inc.* | (46 | ) | (296 | ) | ||||
West Pharmaceutical Services, Inc. | (27 | ) | (2,384 | ) | ||||
Wright Medical Group NV (Netherlands)* | (295 | ) | (5,853 | ) | ||||
|
| |||||||
(158,857 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.2)% |
| |||||||
Central Garden & Pet Co., | (2 | ) | (79 | ) | ||||
WD-40 Co. | (35 | ) | (4,611 | ) | ||||
|
| |||||||
(4,690 | ) | |||||||
|
| |||||||
Materials — (4.7)% | ||||||||
A Schulman, Inc. | (3 | ) | (129 | ) | ||||
AdvanSix, Inc.* | (15 | ) | (522 | ) | ||||
Air Products & Chemicals, Inc. | (8 | ) | (1,272 | ) | ||||
Albemarle Corp. | (50 | ) | (4,637 | ) | ||||
American Vanguard Corp. | (51 | ) | (1,030 | ) | ||||
AptarGroup, Inc. | (17 | ) | (1,527 | ) | ||||
Ashland Global Holdings, Inc. | (62 | ) | (4,327 | ) | ||||
Balchem Corp. | (54 | ) | (4,414 | ) | ||||
Cabot Corp. | (56 | ) | (3,120 | ) | ||||
Ferro Corp.* | (236 | ) | (5,480 | ) | ||||
HB Fuller Co. | (184 | ) | (9,150 | ) | ||||
Huntsman Corp. | (307 | ) | (8,980 | ) | ||||
KMG Chemicals, Inc. | (11 | ) | (659 | ) | ||||
Martin Marietta Materials, Inc. | (5 | ) | (1,036 | ) | ||||
NewMarket Corp. | (18 | ) | (7,230 | ) | ||||
Nutrien Ltd. (Canada) | (165 | ) | (7,798 | ) | ||||
PH Glatfelter Co. | (98 | ) | (2,012 | ) | ||||
Rayonier Advanced Materials, Inc. | (110 | ) | (2,362 | ) | ||||
RPM International, Inc. | (9 | ) | (429 | ) | ||||
Sonoco Products Co. | (13 | ) | (630 | ) | ||||
Tredegar Corp. | (36 | ) | (646 | ) | ||||
Trinseo SA (Luxembourg) | (46 | ) | (3,406 | ) | ||||
US Concrete, Inc.* | (163 | ) | (9,845 | ) | ||||
Valvoline, Inc. | (46 | ) | (1,018 | ) | ||||
Venator Materials PLC (United Kingdom)* | (378 | ) | (6,838 | ) | ||||
Vulcan Materials Co. | (64 | ) | (7,307 | ) | ||||
WestRock Co. | (195 | ) | (12,513 | ) | ||||
|
| |||||||
(108,317 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (1.7)% | ||||||||
Altice Usa, Inc., Class A* | (114 | ) | $ | (2,107 | ) | |||
Charter Communications, Inc., Class A* | (21 | ) | (6,536 | ) | ||||
Entercom Communications Corp., Class A | (286 | ) | (2,760 | ) | ||||
EW Scripps Co. (The), Class A | (177 | ) | (2,122 | ) | ||||
Gray Television, Inc.* | (58 | ) | (737 | ) | ||||
Live Nation Entertainment, Inc.* | (94 | ) | (3,961 | ) | ||||
Madison Square Garden Co. (The), Class A* | (21 | ) | (5,162 | ) | ||||
Meredith Corp. | (108 | ) | (5,810 | ) | ||||
New Media Investment Group, Inc. | (5 | ) | (86 | ) | ||||
New York Times Co. (The), Class A | (72 | ) | (1,735 | ) | ||||
Scholastic Corp. | (31 | ) | (1,204 | ) | ||||
Sinclair Broadcast Group, Inc., Class A | (147 | ) | (4,601 | ) | ||||
TEGNA, Inc. | (257 | ) | (2,927 | ) | ||||
tronc, Inc.* | (2 | ) | (33 | ) | ||||
|
| |||||||
(39,781 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life |
| |||||||
Aclaris Therapeutics, Inc.* | (75 | ) | (1,314 | ) | ||||
Aerie Pharmaceuticals, Inc.* | (51 | ) | (2,767 | ) | ||||
Alder Biopharmaceuticals, Inc.* | (158 | ) | (2,007 | ) | ||||
Bio-Rad Laboratories, Inc., Class A* | (28 | ) | (7,002 | ) | ||||
Bruker Corp. | (12 | ) | (359 | ) | ||||
Coherus Biosciences, Inc.* | (157 | ) | (1,735 | ) | ||||
Dynavax Technologies Corp.* | (30 | ) | (597 | ) | ||||
Epizyme, Inc.* | (40 | ) | (710 | ) | ||||
Five Prime Therapeutics, Inc.* | (42 | ) | (722 | ) | ||||
Flexion Therapeutics, Inc.* | (45 | ) | (1,008 | ) | ||||
Heron Therapeutics, Inc.* | (82 | ) | (2,263 | ) | ||||
Illumina, Inc.* | (31 | ) | (7,329 | ) | ||||
Intellia Therapeutics, Inc.* | (10 | ) | (211 | ) | ||||
Intra-Cellular Therapies, Inc.* | (26 | ) | (547 | ) | ||||
La Jolla Pharmaceutical Co.* | (51 | ) | (1,519 | ) | ||||
Medicines Co. (The)* | (49 | ) | (1,614 | ) | ||||
NeoGenomics, Inc.* | (108 | ) | (881 | ) | ||||
Pacira Pharmaceuticals, Inc.* | (33 | ) | (1,028 | ) | ||||
PerkinElmer, Inc. | (43 | ) | (3,256 | ) | ||||
Portola Pharmaceuticals, Inc.* | (138 | ) | (4,507 | ) | ||||
Prothena Corp. PLC (Ireland)* | (35 | ) | (1,285 | ) | ||||
Puma Biotechnology, Inc.* | (7 | ) | (476 | ) | ||||
QIAGEN NV (Netherlands)* | (191 | ) | (6,171 | ) | ||||
Radius Health, Inc.* | (67 | ) | (2,408 | ) |
The accompanying notes are an integral part of the financial statements.
92
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Revance Therapeutics, Inc.* | (19 | ) | $ | (585 | ) | |||
Rigel Pharmaceuticals, Inc.* | (41 | ) | (145 | ) | ||||
Spark Therapeutics, Inc.* | (18 | ) | (1,199 | ) | ||||
Syneos Health, Inc.* | (220 | ) | (7,810 | ) | ||||
TG Therapeutics, Inc.* | (115 | ) | (1,633 | ) | ||||
TherapeuticsMD, Inc.* | (431 | ) | (2,099 | ) | ||||
Theravance Biopharma, Inc. (Cayman Islands)* | (119 | ) | (2,886 | ) | ||||
Ultragenyx Pharmaceutical, Inc.* | (65 | ) | (3,314 | ) | ||||
Zogenix, Inc.* | (122 | ) | (4,886 | ) | ||||
|
| |||||||
(76,273 | ) | |||||||
|
| |||||||
Retailing — (5.0)% | ||||||||
Aaron’s, Inc. | (45 | ) | (2,097 | ) | ||||
At Home Group, Inc.* | (29 | ) | (929 | ) | ||||
Burlington Stores, Inc.* | (50 | ) | (6,658 | ) | ||||
Caleres, Inc. | (112 | ) | (3,763 | ) | ||||
Camping World Holdings, Inc., Class A | (188 | ) | (6,063 | ) | ||||
Children’s Place, Inc. (The) | (4 | ) | (541 | ) | ||||
Core-Mark Holding Co., Inc. | (22 | ) | (468 | ) | ||||
Dick’s Sporting Goods, Inc. | (61 | ) | (2,138 | ) | ||||
DSW, Inc., Class A | (13 | ) | (292 | ) | ||||
Express, Inc.* | (932 | ) | (6,673 | ) | ||||
Finish Line, Inc. (The), Class A | (93 | ) | (1,259 | ) | ||||
Five Below, Inc.* | (17 | ) | (1,247 | ) | ||||
Floor & Decor Holdings, Inc., Class A* | (160 | ) | (8,339 | ) | ||||
Genesco, Inc.* | (79 | ) | (3,207 | ) | ||||
Genuine Parts Co. | (5 | ) | (449 | ) | ||||
Group 1 Automotive, Inc. | (47 | ) | (3,071 | ) | ||||
Guess?, Inc. | (604 | ) | (12,527 | ) | ||||
JC Penney Co., Inc.* | (98 | ) | (296 | ) | ||||
Lithia Motors, Inc., Class A | (55 | ) | (5,529 | ) | ||||
Lowe’s Cos., Inc. | (70 | ) | (6,142 | ) | ||||
Monro, Inc. | (5 | ) | (268 | ) | ||||
National Vision Holdings, Inc.* | (22 | ) | (711 | ) | ||||
Nordstrom, Inc. | (120 | ) | (5,809 | ) | ||||
Office Depot, Inc. | (796 | ) | (1,711 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (86 | ) | (5,186 | ) | ||||
Overstock.com, Inc.* | (496 | ) | (17,980 | ) | ||||
Party City Holdco, Inc.* | (215 | ) | (3,354 | ) | ||||
Sonic Automotive, Inc., Class A | (69 | ) | (1,308 | ) | ||||
TripAdvisor, Inc.* | (69 | ) | (2,821 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Wayfair, Inc., Class A* | (58 | ) | $ | (3,917 | ) | |||
|
| |||||||
(114,753 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (5.5)% |
| |||||||
Ambarella, Inc. | (166 | ) | (8,132 | ) | ||||
Amkor Technology, Inc.* | (236 | ) | (2,391 | ) | ||||
Aquantia Corp.* | (5 | ) | (78 | ) | ||||
Brooks Automation, Inc. | (437 | ) | (11,834 | ) | ||||
Cavium, Inc.* | (109 | ) | (8,652 | ) | ||||
Cree, Inc.* | (190 | ) | (7,659 | ) | ||||
FormFactor, Inc.* | (246 | ) | (3,358 | ) | ||||
Ichor Holdings Ltd. (Cayman Islands)* | (735 | ) | (17,794 | ) | ||||
Inphi Corp.* | (502 | ) | (15,110 | ) | ||||
Integrated Device Technology, Inc.* | (16 | ) | (489 | ) | ||||
Lattice Semiconductor Corp.* | (113 | ) | (629 | ) | ||||
MACOM Technology Solutions Holdings, Inc.* | (464 | ) | (7,702 | ) | ||||
MaxLinear, Inc.* | (196 | ) | (4,459 | ) | ||||
Microsemi Corp.* | (124 | ) | (8,025 | ) | ||||
Monolithic Power Systems, Inc. | (41 | ) | (4,747 | ) | ||||
Nanometrics, Inc.* | (57 | ) | (1,533 | ) | ||||
Photronics, Inc.* | (240 | ) | (1,980 | ) | ||||
Power Integrations, Inc. | (37 | ) | (2,529 | ) | ||||
Rudolph Technologies, Inc.* | (12 | ) | (332 | ) | ||||
Semtech Corp.* | (96 | ) | (3,749 | ) | ||||
Synaptics, Inc.* | (260 | ) | (11,890 | ) | ||||
Veeco Instruments, Inc.* | (150 | ) | (2,550 | ) | ||||
Xperi Corp. | (15 | ) | (317 | ) | ||||
|
| |||||||
(125,939 | ) | |||||||
|
| |||||||
Software & Services — (10.0)% |
| |||||||
8x8, Inc.* | (419 | ) | (7,814 | ) | ||||
A10 Networks, Inc.* | (52 | ) | (303 | ) | ||||
Acxiom Corp.* | (277 | ) | (6,291 | ) | ||||
Altair Engineering, Inc., Class A* | (4 | ) | (125 | ) | ||||
Autodesk, Inc.* | (47 | ) | (5,902 | ) | ||||
Benefitfocus, Inc.* | (52 | ) | (1,269 | ) | ||||
Black Knight, Inc.* | (57 | ) | (2,685 | ) | ||||
BlackBerry Ltd. (Canada)* | (578 | ) | (6,647 | ) | ||||
Blackline, Inc.* | (51 | ) | (2,000 | ) | ||||
Box, Inc., Class A* | (611 | ) | (12,556 | ) | ||||
Callidus Software, Inc.* | (81 | ) | (2,912 | ) | ||||
Carbonite, Inc.* | (86 | ) | (2,477 | ) | ||||
Cloudera, Inc.* | (561 | ) | (12,106 | ) | ||||
Cornerstone OnDemand, Inc.* | (90 | ) | (3,520 | ) |
The accompanying notes are an integral part of the financial statements.
93
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Coupa Software, Inc.* | (41 | ) | $ | (1,870 | ) | |||
CSRA, Inc. | (94 | ) | (3,876 | ) | ||||
Electronic Arts, Inc.* | (84 | ) | (10,184 | ) | ||||
Ellie Mae, Inc.* | (73 | ) | (6,712 | ) | ||||
Everbridge, Inc.* | (34 | ) | (1,244 | ) | ||||
FireEye, Inc.* | (683 | ) | (11,563 | ) | ||||
First Data Corp., Class A* | (844 | ) | (13,504 | ) | ||||
Global Payments, Inc. | (18 | ) | (2,007 | ) | ||||
Gogo, Inc.* | (654 | ) | (5,644 | ) | ||||
Hortonworks, Inc.* | (171 | ) | (3,483 | ) | ||||
HubSpot, Inc.* | (41 | ) | (4,440 | ) | ||||
Imperva, Inc.* | (45 | ) | (1,948 | ) | ||||
Instructure, Inc.* | (25 | ) | (1,054 | ) | ||||
MuleSoft, Inc., Class A* | (146 | ) | (6,421 | ) | ||||
Nutanix, Inc., Class A* | (28 | ) | (1,375 | ) | ||||
Okta, Inc.* | (89 | ) | (3,547 | ) | ||||
Pandora Media, Inc.* | (818 | ) | (4,115 | ) | ||||
Paylocity Holding Corp.* | (36 | ) | (1,844 | ) | ||||
PayPal Holdings, Inc.* | (24 | ) | (1,821 | ) | ||||
Pegasystems, Inc. | (16 | ) | (970 | ) | ||||
Proofpoint, Inc.* | (4 | ) | (455 | ) | ||||
PROS Holdings, Inc.* | (94 | ) | (3,103 | ) | ||||
Rapid7, Inc.* | (107 | ) | (2,736 | ) | ||||
Science Applications International Corp. | (95 | ) | (7,486 | ) | ||||
SecureWorks Corp., | (37 | ) | (299 | ) | ||||
Shutterstock, Inc.* | (22 | ) | (1,059 | ) | ||||
Snap, Inc., Class A* | (355 | ) | (5,634 | ) | ||||
Square, Inc., Class A* | (212 | ) | (10,430 | ) | ||||
Tableau Software, Inc., Class A* | (13 | ) | (1,051 | ) | ||||
Take-Two Interactive Software, Inc.* | (22 | ) | (2,151 | ) | ||||
Teradata Corp.* | (131 | ) | (5,197 | ) | ||||
TrueCar, Inc.* | (710 | ) | (6,717 | ) | ||||
Twilio, Inc., Class A* | (298 | ) | (11,378 | ) | ||||
Ultimate Software Group, Inc. (The)* | (2 | ) | (487 | ) | ||||
Virtusa Corp.* | (22 | ) | (1,066 | ) | ||||
Workday, Inc., Class A* | (46 | ) | (5,847 | ) | ||||
Workiva, Inc.* | (56 | ) | (1,327 | ) | ||||
Yext, Inc.* | (9 | ) | (114 | ) | ||||
Zendesk, Inc.* | (213 | ) | (10,196 | ) | ||||
|
| |||||||
(230,962 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (4.9)% |
| |||||||
ADTRAN, Inc. | (90 | ) | (1,400 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
ARRIS International PLC (United Kingdom)* | (314 | ) | $ | (8,343 | ) | |||
Belden, Inc. | (6 | ) | (414 | ) | ||||
Corning, Inc. | (87 | ) | (2,426 | ) | ||||
Cray, Inc.* | (92 | ) | (1,904 | ) | ||||
CTS Corp. | (11 | ) | (299 | ) | ||||
Electronics For Imaging, Inc.* | (158 | ) | (4,318 | ) | ||||
Extreme Networks, Inc.* | (153 | ) | (1,694 | ) | ||||
Finisar Corp.* | (977 | ) | (15,446 | ) | ||||
Fitbit, Inc., Class A* | (2,384 | ) | (12,158 | ) | ||||
II-VI, Inc.* | (361 | ) | (14,765 | ) | ||||
Infinera Corp.* | (607 | ) | (6,592 | ) | ||||
Insight Enterprises, Inc.* | (55 | ) | (1,921 | ) | ||||
Knowles Corp.* | (160 | ) | (2,014 | ) | ||||
Mesa Laboratories, Inc. | (4 | ) | (594 | ) | ||||
Methode Electronics, Inc. | (97 | ) | (3,793 | ) | ||||
Oclaro, Inc.* | (621 | ) | (5,937 | ) | ||||
Pure Storage, Inc., Class A* | (32 | ) | (638 | ) | ||||
Sanmina Corp.* | (291 | ) | (7,610 | ) | ||||
Sierra Wireless, Inc. (Canada)* | (150 | ) | (2,475 | ) | ||||
Stratasys Ltd. (Israel)* | (221 | ) | (4,460 | ) | ||||
Tech Data Corp.* | (6 | ) | (511 | ) | ||||
Trimble, Inc.* | (59 | ) | (2,117 | ) | ||||
ViaSat, Inc.* | (137 | ) | (9,004 | ) | ||||
Viavi Solutions, Inc.* | (247 | ) | (2,401 | ) | ||||
|
| |||||||
(113,234 | ) | |||||||
|
| |||||||
Telecommunication Services — (1.2)% |
| |||||||
ATN International, Inc. | (33 | ) | (1,967 | ) | ||||
Boingo Wireless, Inc.* | (43 | ) | (1,065 | ) | ||||
CenturyLink, Inc. | (531 | ) | (8,724 | ) | ||||
Cincinnati Bell, Inc.* | (205 | ) | (2,839 | ) | ||||
Consolidated Communications Holdings, Inc. | (387 | ) | (4,242 | ) | ||||
Iridium Communications, Inc.* | (468 | ) | (5,265 | ) | ||||
ORBCOMM, Inc.* | (153 | ) | (1,434 | ) | ||||
Shenandoah Telecommunications Co. | (73 | ) | (2,628 | ) | ||||
|
| |||||||
(28,164 | ) | |||||||
|
| |||||||
Transportation — (3.9)% | ||||||||
Air Transport Services Group, Inc.* | (154 | ) | (3,591 | ) | ||||
Allegiant Travel Co. | (36 | ) | (6,212 | ) | ||||
American Airlines Group, Inc. | (151 | ) | (7,846 | ) | ||||
ArcBest Corp. | (101 | ) | (3,237 | ) | ||||
Atlas Air Worldwide Holdings, Inc.* | (126 | ) | (7,617 | ) |
The accompanying notes are an integral part of the financial statements.
94
GOTHAM DEFENSIVE LONG FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
CSX Corp. | (259 | ) | $ | (14,429 | ) | |||
FedEx Corp. | (4 | ) | (960 | ) | ||||
Genesee & Wyoming, Inc., Class A* | (133 | ) | (9,415 | ) | ||||
Heartland Express, Inc. | (32 | ) | (576 | ) | ||||
Hub Group, Inc., Class A* | (148 | ) | (6,194 | ) | ||||
JetBlue Airways Corp.* | (469 | ) | (9,530 | ) | ||||
Knight-Swift Transportation Holdings, Inc. | (184 | ) | (8,466 | ) | ||||
Matson, Inc. | (19 | ) | (544 | ) | ||||
Spirit Airlines, Inc.* | (148 | ) | (5,591 | ) | ||||
United Continental Holdings, Inc.* | (72 | ) | (5,002 | ) | ||||
|
| |||||||
(89,210 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK (Proceeds $1,837,177) | (1,783,615 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD | (1,783,615 | ) | ||||||
|
| |||||||
(Proceeds $1,837,177) | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2)% | (28,687 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,306,984 | ||||||
|
|
† | 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.
95
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 181.5% |
| |||||||
COMMON STOCKS — 176.7% |
| |||||||
Automobiles & Components — 1.5% |
| |||||||
Aptiv PLC (Jersey)† | 923 | $ | 78,427 | |||||
BorgWarner, Inc.† | 728 | 36,567 | ||||||
Goodyear Tire & Rubber Co. (The) | 830 | 22,061 | ||||||
|
| |||||||
137,055 | ||||||||
|
| |||||||
Capital Goods — 20.9% | ||||||||
3M Co. | 8 | 1,756 | ||||||
AMETEK, Inc.† | 798 | 60,624 | ||||||
Boeing Co. (The)† | 477 | 156,399 | ||||||
Caterpillar, Inc.† | 1,013 | 149,296 | ||||||
Cummins, Inc.† | 578 | 93,688 | ||||||
Dover Corp. | 547 | 53,726 | ||||||
Emerson Electric Co.† | 2,192 | 149,714 | ||||||
Fortune Brands Home & Security, Inc. | 533 | 31,388 | ||||||
General Dynamics Corp.† | 1,027 | 226,864 | ||||||
Harris Corp.† | 385 | 62,093 | ||||||
Honeywell International, Inc.† | 1,349 | 194,944 | ||||||
Ingersoll-Rand PLC (Ireland)† | 473 | 40,446 | ||||||
Jacobs Engineering Group, Inc.† | 109 | 6,447 | ||||||
L3 Technologies, Inc. | 58 | 12,064 | ||||||
Masco Corp.† | 1,093 | 44,201 | ||||||
Northrop Grumman Corp.† | 2 | 698 | ||||||
Pentair PLC (Ireland)† | 523 | 35,632 | ||||||
Raytheon Co.† | 996 | 214,957 | ||||||
Rockwell Collins, Inc.† | 563 | 75,921 | ||||||
Snap-on, Inc.(a) | 195 | 28,770 | ||||||
Stanley Black & Decker, Inc.† | 533 | 81,656 | ||||||
United Technologies Corp.† | 954 | 120,032 | ||||||
WW Grainger, Inc.†(a) | 200 | 56,454 | ||||||
Xylem, Inc.† | 622 | 47,844 | ||||||
|
| |||||||
1,945,614 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.0% |
| |||||||
Nielsen Holdings PLC (United Kingdom)† | 1,250 | 39,738 | ||||||
Republic Services, Inc.† | 565 | 37,420 | ||||||
Robert Half International, Inc.† | 284 | 16,441 | ||||||
|
| |||||||
93,599 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.7% |
| |||||||
Hanesbrands, Inc.(a) | 1,244 | 22,915 | ||||||
Mattel, Inc.(a) | 1,189 | 15,635 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)†* | 541 | 33,585 | ||||||
Newell Brands, Inc.(a) | 1,677 | 42,730 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
PVH Corp.† | 2 | $ | 303 | |||||
Ralph Lauren Corp.† | 286 | 31,975 | ||||||
VF Corp. | 1,368 | 101,396 | ||||||
|
| |||||||
248,539 | ||||||||
|
| |||||||
Consumer Services — 5.9% |
| |||||||
Hilton Worldwide Holdings, Inc.† | 1,049 | 82,619 | ||||||
Marriott International, Inc., | 1,070 | 145,499 | ||||||
McDonald’s Corp.† | 1,326 | 207,360 | ||||||
Wyndham Worldwide Corp.† | 145 | 16,592 | ||||||
Yum! Brands, Inc. | 1,189 | 101,220 | ||||||
|
| |||||||
553,290 | ||||||||
|
| |||||||
Diversified Financials — 7.2% |
| |||||||
BlackRock, Inc.† | 341 | 184,727 | ||||||
Cboe Global Markets, Inc. | 278 | 31,720 | ||||||
CME Group, Inc.† | 2 | 324 | ||||||
Franklin Resources, Inc.†(a) | 1,909 | 66,204 | ||||||
Intercontinental Exchange, Inc. | 1,425 | 103,341 | ||||||
Invesco Ltd. (Bermuda)† | 1,406 | 45,006 | ||||||
Moody’s Corp.† | 605 | 97,587 | ||||||
Nasdaq, Inc.† | 578 | 49,835 | ||||||
T Rowe Price Group, Inc.† | 851 | 91,882 | ||||||
|
| |||||||
670,626 | ||||||||
|
| |||||||
Energy — 9.3% | ||||||||
Andeavor | 530 | 53,297 | ||||||
Cabot Oil & Gas Corp. | 1,591 | 38,152 | ||||||
ConocoPhillips† | 4,194 | 248,662 | ||||||
Exxon Mobil Corp. | 25 | 1,865 | ||||||
Hess Corp.† | 767 | 38,826 | ||||||
Marathon Petroleum Corp.† | 1,714 | 125,311 | ||||||
Phillips 66† | 1,779 | 170,642 | ||||||
TechnipFMC PLC (United Kingdom)† | 1,638 | 48,239 | ||||||
Valero Energy Corp.† | 1,537 | 142,588 | ||||||
|
| |||||||
867,582 | ||||||||
|
| |||||||
Food & Staples Retailing — 5.8% |
| |||||||
CVS Health Corp. | 1,212 | 75,399 | ||||||
Kroger Co. (The)† | 3,006 | 71,964 | ||||||
Sysco Corp.† | 568 | 34,057 | ||||||
Walgreens Boots Alliance, Inc.† | 1,605 | 105,079 | ||||||
Walmart, Inc.† | 2,891 | 257,212 | ||||||
|
| |||||||
543,711 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 17.4% |
| |||||||
Altria Group, Inc.† | 4,791 | 298,575 | ||||||
Campbell Soup Co.†(a) | 1,046 | 45,302 |
The accompanying notes are an integral part of the financial statements.
96
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Coca-Cola Co. (The)† | 3,372 | $ | 146,446 | |||||
Conagra Brands, Inc.† | 1,390 | 51,263 | ||||||
Dr Pepper Snapple Group, Inc.† | 621 | 73,514 | ||||||
General Mills, Inc.† | 1,970 | 88,768 | ||||||
Hershey Co. (The)† | 728 | 72,043 | ||||||
JM Smucker Co. (The) | 320 | 39,683 | ||||||
Kraft Heinz Co. (The)† | 2,865 | 178,461 | ||||||
McCormick & Co., Inc., non-voting shares† | 348 | 37,024 | ||||||
PepsiCo, Inc.† | 2,664 | 290,776 | ||||||
Philip Morris International, Inc.† | 2,037 | 202,478 | ||||||
Tyson Foods, Inc., Class A† | 1,289 | 94,342 | ||||||
|
| |||||||
1,618,675 | ||||||||
|
| |||||||
Health Care Equipment & Services — 9.8% |
| |||||||
Abbott Laboratories† | 1,915 | 114,747 | ||||||
Aetna, Inc.† | 1,129 | 190,801 | ||||||
AmerisourceBergen Corp.† | 233 | 20,087 | ||||||
Cigna Corp.† | 846 | 141,908 | ||||||
Envision Healthcare Corp.(a)* | 351 | 13,489 | ||||||
Express Scripts Holding Co.†* | 1,765 | 121,926 | ||||||
Humana, Inc.† | 502 | 134,953 | ||||||
Laboratory Corp. of America Holdings†* | 361 | 58,392 | ||||||
Quest Diagnostics, Inc.† | 466 | 46,740 | ||||||
UnitedHealth Group, Inc.† | 211 | 45,154 | ||||||
Varian Medical Systems, Inc.* | 223 | 27,351 | ||||||
|
| |||||||
915,548 | ||||||||
|
| |||||||
Household & Personal Products — 8.6% |
| |||||||
Church & Dwight Co., Inc.† | 855 | 43,058 | ||||||
Colgate-Palmolive Co.† | 1,303 | 93,399 | ||||||
Estee Lauder Cos., Inc. (The), Class A† | 1,301 | 194,786 | ||||||
Kimberly-Clark Corp.† | 1,213 | 133,588 | ||||||
Procter & Gamble Co. (The)† | 4,240 | 336,147 | ||||||
|
| |||||||
800,978 | ||||||||
|
| |||||||
Insurance — 7.1% |
| |||||||
Aflac, Inc. | 1,294 | 56,625 | ||||||
Allstate Corp. (The)† | 523 | 49,580 | ||||||
Aon PLC (United Kingdom)† | 874 | 122,648 | ||||||
Hartford Financial Services Group, Inc. (The) | 1,199 | 61,773 | ||||||
Marsh & McLennan Cos., Inc.† | 1,794 | 148,166 | ||||||
Progressive Corp. (The)† | 2,010 | 122,469 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Torchmark Corp. | 395 | $ | 33,247 | |||||
Travelers Cos., Inc. (The) | 460 | 63,876 | ||||||
|
| |||||||
658,384 | ||||||||
|
| |||||||
Materials — 9.6% |
| |||||||
Avery Dennison Corp. | 305 | 32,406 | ||||||
Eastman Chemical Co. | 494 | 52,157 | ||||||
Ecolab, Inc. | 275 | 37,694 | ||||||
Freeport-McMoRan, Inc.† | 4,799 | 84,318 | ||||||
International Flavors & Fragrances, Inc. | 238 | 32,585 | ||||||
International Paper Co.† | 1,427 | 76,245 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 1,384 | 146,261 | ||||||
Monsanto Co.† | 1,542 | 179,936 | ||||||
PPG Industries, Inc.† | 900 | 100,440 | ||||||
Sealed Air Corp. | 633 | 27,086 | ||||||
Sherwin-Williams Co. (The)† | 324 | 127,047 | ||||||
|
| |||||||
896,175 | ||||||||
|
| |||||||
Media — 6.6% |
| |||||||
CBS Corp., Class B, non-voting shares† | 1,392 | 71,535 | ||||||
Discovery, Inc., Class A†(a)* | 2,003 | 42,924 | ||||||
Interpublic Group of Cos., Inc. (The) | 1,364 | 31,413 | ||||||
News Corp., Class A† | 2,014 | 31,821 | ||||||
Omnicom Group, Inc.† | 809 | 58,790 | ||||||
Time Warner, Inc.† | 2,733 | 258,487 | ||||||
Twenty-First Century Fox, Inc., Class A† | 2,138 | 78,443 | ||||||
Viacom, Inc., Class B† | 1,412 | 43,857 | ||||||
|
| |||||||
617,270 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 21.3% |
| |||||||
AbbVie, Inc.† | 1,657 | 156,835 | ||||||
Amgen, Inc.† | 847 | 144,397 | ||||||
Biogen, Inc.†* | 709 | 194,138 | ||||||
Bristol-Myers Squibb Co.† | 541 | 34,218 | ||||||
Celgene Corp.†* | 2,490 | 222,133 | ||||||
Gilead Sciences, Inc.† | 1,696 | 127,861 | ||||||
Johnson & Johnson† | 2,572 | 329,602 | ||||||
Merck & Co., Inc.† | 6,045 | 329,271 | ||||||
Pfizer, Inc.† | 8,739 | 310,147 | ||||||
Zoetis, Inc.† | 1,679 | 140,213 | ||||||
|
| |||||||
1,988,815 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
97
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — 4.5% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT†(a) | 344 | $ | 42,962 | |||||
AvalonBay Communities, Inc., REIT† | 477 | 78,447 | ||||||
CBRE Group, Inc., Class A* | 1,174 | 55,436 | ||||||
Equity Residential, REIT | 1,271 | 78,319 | ||||||
Mid-America Apartment Communities, Inc., REIT† | 398 | 36,314 | ||||||
Realty Income Corp., REIT | 14 | 724 | ||||||
Ventas, Inc., REIT† | 759 | 37,593 | ||||||
Weyerhaeuser Co., REIT† | 2,642 | 92,470 | ||||||
|
| |||||||
422,265 | ||||||||
|
| |||||||
Retailing — 8.9% |
| |||||||
Advance Auto Parts, Inc. | 260 | 30,823 | ||||||
Amazon.com, Inc.* | 3 | 4,342 | ||||||
AutoZone, Inc.* | 8 | 5,190 | ||||||
Best Buy Co., Inc.† | 231 | 16,168 | ||||||
Booking Holdings, Inc.†* | 129 | 268,370 | ||||||
Dollar Tree, Inc.* | 74 | 7,023 | ||||||
Foot Locker, Inc. | 420 | 19,127 | ||||||
Home Depot, Inc. (The)† | 1,359 | 242,228 | ||||||
Kohl’s Corp. | 563 | 36,882 | ||||||
Nordstrom, Inc. | 8 | 387 | ||||||
Ross Stores, Inc.† | 1,243 | 96,929 | ||||||
Target Corp.† | 919 | 63,806 | ||||||
Tiffany & Co. | 56 | 5,469 | ||||||
TJX Cos., Inc. (The) | 106 | 8,645 | ||||||
Tractor Supply Co. | 340 | 21,427 | ||||||
|
| |||||||
826,816 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.3% |
| |||||||
Applied Materials, Inc.† | 1,221 | 67,900 | ||||||
Intel Corp.† | 1,351 | 70,360 | ||||||
Micron Technology, Inc.†* | 4,119 | 214,765 | ||||||
Texas Instruments, Inc. | 508 | 52,776 | ||||||
|
| |||||||
405,801 | ||||||||
|
| |||||||
Software & Services — 7.8% |
| |||||||
Accenture PLC, Class A (Ireland)† | 1,222 | 187,577 | ||||||
Alliance Data Systems Corp. | 7 | 1,490 | ||||||
CA, Inc.† | 1,342 | 45,494 | ||||||
DXC Technology Co.† | 986 | 99,123 | ||||||
Fidelity National Information Services, Inc. | 576 | 55,469 | ||||||
International Business Machines Corp.† | 1,644 | 252,239 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Paychex, Inc.† | 1,077 | $ | 66,332 | |||||
Visa, Inc., Class A | 145 | 17,345 | ||||||
|
| |||||||
725,069 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 6.0% |
| |||||||
Apple, Inc.† | 1,662 | 278,850 | ||||||
Cisco Systems, Inc.† | 1,008 | 43,233 | ||||||
F5 Networks, Inc.†* | 22 | 3,181 | ||||||
Hewlett Packard Enterprise Co.† | 3,017 | 52,918 | ||||||
HP, Inc.† | 3,697 | 81,038 | ||||||
Motorola Solutions, Inc.† | 558 | 58,757 | ||||||
NetApp, Inc. | 24 | 1,481 | ||||||
Seagate Technology PLC (Ireland)† | 631 | 36,926 | ||||||
|
| |||||||
556,384 | ||||||||
|
| |||||||
Telecommunication Services — 3.0% |
| |||||||
AT&T, Inc.† | 101 | 3,601 | ||||||
Verizon Communications, Inc.† | 5,748 | 274,869 | ||||||
|
| |||||||
278,470 | ||||||||
|
| |||||||
Transportation — 1.0% |
| |||||||
Alaska Air Group, Inc. | 25 | 1,549 | ||||||
Expeditors International of Washington, Inc.† | 609 | 38,550 | ||||||
Union Pacific Corp.† | 372 | 50,008 | ||||||
|
| |||||||
90,107 | ||||||||
|
| |||||||
Utilities — 6.5% |
| |||||||
Duke Energy Corp.† | 2,007 | 155,482 | ||||||
FirstEnergy Corp.† | 1,560 | 53,056 | ||||||
NextEra Energy, Inc.† | 1,286 | 210,042 | ||||||
NRG Energy, Inc. | 1,095 | 33,430 | ||||||
Southern Co. (The)† | 3,483 | 155,551 | ||||||
|
| |||||||
607,561 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 16,468,334 | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 4.8% |
| |||||||
SPDR S&P 500 ETF Trust | 1,692 | 445,250 | ||||||
|
| |||||||
TOTAL EXCHANGE TRADED |
| 445,250 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 181.5% |
| 16,913,584 | ||||||
|
| |||||||
(Cost $16,256,524) |
The accompanying notes are an integral part of the financial statements.
98
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
SHORT POSITIONS — (82.2)% |
| |||||||
COMMON STOCKS — (82.2)% |
| |||||||
Automobiles & Components — (0.9)% |
| |||||||
Ford Motor Co. | (6,436 | ) | $ | (71,311 | ) | |||
Harley-Davidson, Inc. | (268 | ) | (11,492 | ) | ||||
|
| |||||||
(82,803 | ) | |||||||
|
| |||||||
Banks — (6.6)% | ||||||||
Bank of America Corp. | (1,422 | ) | (42,646 | ) | ||||
BB&T Corp. | (17 | ) | (885 | ) | ||||
Citigroup, Inc. | (363 | ) | (24,503 | ) | ||||
Citizens Financial Group, Inc. | (784 | ) | (32,912 | ) | ||||
Comerica, Inc. | (276 | ) | (26,477 | ) | ||||
Fifth Third Bancorp | (1,108 | ) | (35,179 | ) | ||||
Huntington Bancshares, Inc. | (1,712 | ) | (25,851 | ) | ||||
KeyCorp | (1,707 | ) | (33,372 | ) | ||||
M&T Bank Corp. | (233 | ) | (42,956 | ) | ||||
Regions Financial Corp. | (1,877 | ) | (34,875 | ) | ||||
SunTrust Banks, Inc. | (752 | ) | (51,166 | ) | ||||
SVB Financial Group* | (85 | ) | (20,401 | ) | ||||
US Bancorp | (2,067 | ) | (104,384 | ) | ||||
Wells Fargo & Co. | (2,384 | ) | (124,945 | ) | ||||
Zions Bancorporation | (316 | ) | (16,663 | ) | ||||
|
| |||||||
(617,215 | ) | |||||||
|
| |||||||
Capital Goods — (1.8)% | ||||||||
Fastenal Co. | (459 | ) | (25,057 | ) | ||||
Fluor Corp. | (224 | ) | (12,817 | ) | ||||
Parker-Hannifin Corp. | (213 | ) | (36,429 | ) | ||||
Quanta Services, Inc.* | (251 | ) | (8,622 | ) | ||||
Rockwell Automation, Inc. | (209 | ) | (36,408 | ) | ||||
Textron, Inc. | (381 | ) | (22,468 | ) | ||||
United Rentals, Inc.* | (137 | ) | (23,664 | ) | ||||
|
| |||||||
(165,465 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (0.7)% |
| |||||||
Equifax, Inc. | (191 | ) | (22,502 | ) | ||||
IHS Markit Ltd. (Bermuda)* | (645 | ) | (31,115 | ) | ||||
Stericycle, Inc.* | (145 | ) | (8,487 | ) | ||||
|
| |||||||
(62,104 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (2.3)% |
| |||||||
Mohawk Industries, Inc.* | (120 | ) | (27,866 | ) | ||||
NIKE, Inc., Class B | (2,097 | ) | (139,325 | ) | ||||
Tapestry, Inc. | (454 | ) | (23,885 | ) | ||||
Under Armour, Inc., Class C* | (706 | ) | (10,131 | ) | ||||
Whirlpool Corp. | (113 | ) | (17,301 | ) | ||||
|
| |||||||
(218,508 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (3.2)% |
| |||||||
Carnival Corp. (Panama) | (454 | ) | $ | (29,773 | ) | |||
Chipotle Mexican Grill, Inc.* | (46 | ) | (14,863 | ) | ||||
MGM Resorts International | (916 | ) | (32,078 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (370 | ) | (19,599 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia) | (341 | ) | (40,149 | ) | ||||
Starbucks Corp. | (2,246 | ) | (130,021 | ) | ||||
Wynn Resorts Ltd. | (162 | ) | (29,542 | ) | ||||
|
| |||||||
(296,025 | ) | |||||||
|
| |||||||
Diversified Financials — (5.3)% |
| |||||||
Affiliated Managers Group, Inc. | (91 | ) | (17,252 | ) | ||||
Ameriprise Financial, Inc. | (241 | ) | (35,654 | ) | ||||
Capital One Financial Corp. | (748 | ) | (71,673 | ) | ||||
Charles Schwab Corp. (The) | (750 | ) | (39,165 | ) | ||||
Goldman Sachs Group, Inc. (The) | (605 | ) | (152,375 | ) | ||||
Leucadia National Corp. | (569 | ) | (12,933 | ) | ||||
Morgan Stanley | (1,776 | ) | (95,833 | ) | ||||
Navient Corp. | (419 | ) | (5,497 | ) | ||||
Raymond James Financial, Inc. | (232 | ) | (20,743 | ) | ||||
Synchrony Financial | (1,230 | ) | (41,242 | ) | ||||
|
| |||||||
(492,367 | ) | |||||||
|
| |||||||
Energy — (4.8)% |
| |||||||
Anadarko Petroleum Corp. | (847 | ) | (51,167 | ) | ||||
Cimarex Energy Co. | (152 | ) | (14,212 | ) | ||||
Concho Resources, Inc.* | (238 | ) | (35,779 | ) | ||||
Devon Energy Corp. | (850 | ) | (27,022 | ) | ||||
EOG Resources, Inc. | (688 | ) | (72,426 | ) | ||||
EQT Corp. | (421 | ) | (20,002 | ) | ||||
Halliburton Co. | (627 | ) | (29,431 | ) | ||||
Helmerich & Payne, Inc. | (175 | ) | (11,648 | ) | ||||
Kinder Morgan, Inc. | (3,710 | ) | (55,873 | ) | ||||
Newfield Exploration Co.* | (322 | ) | (7,863 | ) | ||||
ONEOK, Inc. | (620 | ) | (35,290 | ) | ||||
Pioneer Natural Resources Co. | (271 | ) | (46,552 | ) | ||||
Range Resources Corp. | (402 | ) | (5,845 | ) | ||||
Williams Cos., Inc. (The) | (1,339 | ) | (33,288 | ) | ||||
|
| |||||||
(446,398 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.9)% |
| |||||||
Costco Wholesale Corp. | (438 | ) | (82,532 | ) | ||||
|
| |||||||
Food, Beverage & Tobacco — (2.1)% |
| |||||||
Archer-Daniels-Midland Co. | (889 | ) | (38,556 | ) | ||||
Brown-Forman Corp., Class B | (143 | ) | (7,779 | ) |
The accompanying notes are an integral part of the financial statements.
99
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Constellation Brands, Inc., Class A | (23 | ) | $ | (5,242 | ) | |||
Mondelez International, Inc., Class A | (2,277 | ) | (95,019 | ) | ||||
Monster Beverage Corp.* | (904 | ) | (51,718 | ) | ||||
|
| |||||||
(198,314 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (6.2)% |
| |||||||
Align Technology, Inc.* | (129 | ) | (32,396 | ) | ||||
Anthem, Inc. | (56 | ) | (12,303 | ) | ||||
Becton Dickinson and Co. | (425 | ) | (92,098 | ) | ||||
Boston Scientific Corp.* | (2,192 | ) | (59,885 | ) | ||||
Cardinal Health, Inc. | (502 | ) | (31,465 | ) | ||||
Centene Corp.* | (103 | ) | (11,008 | ) | ||||
Cerner Corp.* | (560 | ) | (32,480 | ) | ||||
Cooper Cos., Inc. (The) | (78 | ) | (17,847 | ) | ||||
DaVita, Inc.* | (291 | ) | (19,189 | ) | ||||
DENTSPLY SIRONA, Inc. | (311 | ) | (15,646 | ) | ||||
Edwards Lifesciences Corp.* | (99 | ) | (13,812 | ) | ||||
HCA Healthcare, Inc. | (558 | ) | (54,126 | ) | ||||
Henry Schein, Inc.* | (246 | ) | (16,534 | ) | ||||
Hologic, Inc.* | (440 | ) | (16,438 | ) | ||||
IDEXX Laboratories, Inc.* | (141 | ) | (26,986 | ) | ||||
Intuitive Surgical, Inc.* | (33 | ) | (13,623 | ) | ||||
McKesson Corp. | (328 | ) | (46,205 | ) | ||||
ResMed, Inc. | (231 | ) | (22,747 | ) | ||||
Stryker Corp. | (29 | ) | (4,667 | ) | ||||
Zimmer Biomet Holdings, Inc. | (323 | ) | (35,220 | ) | ||||
|
| |||||||
(574,675 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.5)% |
| |||||||
Clorox Co. (The) | (206 | ) | (27,421 | ) | ||||
Coty, Inc., Class A | (1,073 | ) | (19,636 | ) | ||||
|
| |||||||
(47,057 | ) | |||||||
|
| |||||||
Insurance — (2.6)% |
| |||||||
American International Group, Inc. | (1,290 | ) | (70,202 | ) | ||||
Assurant, Inc. | (88 | ) | (8,044 | ) | ||||
Brighthouse Financial, Inc.* | (192 | ) | (9,869 | ) | ||||
Chubb Ltd. (Switzerland) | (203 | ) | (27,764 | ) | ||||
Cincinnati Financial Corp. | (262 | ) | (19,456 | ) | ||||
Lincoln National Corp. | (349 | ) | (25,498 | ) | ||||
Principal Financial Group, Inc. | (462 | ) | (28,140 | ) | ||||
Unum Group | (364 | ) | (17,330 | ) | ||||
Willis Towers Watson PLC (Ireland) | (214 | ) | (32,569 | ) | ||||
|
| |||||||
(238,872 | ) | |||||||
|
| |||||||
Materials — (3.8)% |
| |||||||
Air Products & Chemicals, Inc. | (32 | ) | (5,089 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Albemarle Corp. | (179 | ) | $ | (16,600 | ) | |||
CF Industries Holdings, Inc. | (371 | ) | (13,998 | ) | ||||
DowDuPont, Inc. | (2,421 | ) | (154,242 | ) | ||||
FMC Corp. | (218 | ) | (16,692 | ) | ||||
Martin Marietta Materials, Inc. | (100 | ) | (20,730 | ) | ||||
Mosaic Co. (The) | (568 | ) | (13,791 | ) | ||||
Newmont Mining Corp. | (851 | ) | (33,249 | ) | ||||
Nucor Corp. | (508 | ) | (31,034 | ) | ||||
Vulcan Materials Co. | (214 | ) | (24,432 | ) | ||||
WestRock Co. | (407 | ) | (26,117 | ) | ||||
|
| |||||||
(355,974 | ) | |||||||
|
| |||||||
Media — (3.6)% |
| |||||||
Charter Communications, Inc., Class A* | (309 | ) | (96,167 | ) | ||||
Comcast Corp., Class A | (2,513 | ) | (85,869 | ) | ||||
DISH Network Corp., Class A* | (736 | ) | (27,887 | ) | ||||
Walt Disney Co. (The) | (1,201 | ) | (120,628 | ) | ||||
|
| |||||||
(330,551 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (4.1)% |
| |||||||
Agilent Technologies, Inc. | (218 | ) | (14,584 | ) | ||||
Alexion Pharmaceuticals, Inc.* | (361 | ) | (40,237 | ) | ||||
Illumina, Inc.* | (234 | ) | (55,322 | ) | ||||
Incyte Corp.* | (347 | ) | (28,916 | ) | ||||
IQVIA Holdings, Inc.* | (332 | ) | (32,573 | ) | ||||
Mettler-Toledo International, Inc.* | (41 | ) | (23,576 | ) | ||||
Mylan NV (Netherlands)* | (826 | ) | (34,006 | ) | ||||
Nektar Therapeutics* | (254 | ) | (26,990 | ) | ||||
PerkinElmer, Inc. | (179 | ) | (13,554 | ) | ||||
Perrigo Co. PLC (Ireland) | (229 | ) | (19,085 | ) | ||||
Regeneron Pharmaceuticals, Inc.* | (17 | ) | (5,854 | ) | ||||
Thermo Fisher Scientific, Inc. | (115 | ) | (23,743 | ) | ||||
Vertex Pharmaceuticals, Inc.* | (417 | ) | (67,963 | ) | ||||
|
| |||||||
(386,403 | ) | |||||||
|
| |||||||
Real Estate — (4.8)% |
| |||||||
American Tower Corp., REIT | (315 | ) | (45,782 | ) | ||||
Apartment Investment & Management Co., Class A, REIT | (251 | ) | (10,228 | ) | ||||
Boston Properties, Inc., REIT | (247 | ) | (30,435 | ) | ||||
Crown Castle International Corp., REIT | (461 | ) | (50,530 | ) | ||||
Equinix, Inc., REIT | (110 | ) | (45,995 | ) | ||||
Extra Space Storage, Inc., REIT | (165 | ) | (14,414 | ) | ||||
GGP, Inc., REIT | (1,527 | ) | (31,242 | ) |
The accompanying notes are an integral part of the financial statements.
100
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Host Hotels & Resorts, Inc., REIT | (1,179 | ) | $ | (21,977 | ) | |||
Iron Mountain, Inc., REIT | (451 | ) | (14,820 | ) | ||||
Kimco Realty Corp., REIT | (680 | ) | (9,792 | ) | ||||
Macerich Co. (The), REIT | (225 | ) | (12,604 | ) | ||||
Public Storage, REIT | (22 | ) | (4,409 | ) | ||||
SBA Communications Corp., REIT* | (191 | ) | (32,646 | ) | ||||
Simon Property Group, Inc., REIT | (496 | ) | (76,558 | ) | ||||
SL Green Realty Corp., REIT | (148 | ) | (14,331 | ) | ||||
UDR, Inc., REIT | (383 | ) | (13,642 | ) | ||||
Vornado Realty Trust, REIT | (304 | ) | (20,459 | ) | ||||
|
| |||||||
(449,864 | ) | |||||||
|
| |||||||
Retailing — (5.4)% |
| |||||||
CarMax, Inc.* | (294 | ) | (18,210 | ) | ||||
Dollar General Corp. | (432 | ) | (40,414 | ) | ||||
Expedia Group, Inc. | (197 | ) | (21,751 | ) | ||||
Gap, Inc. (The) | (631 | ) | (19,687 | ) | ||||
Genuine Parts Co. | (234 | ) | (21,023 | ) | ||||
L Brands, Inc. | (451 | ) | (17,233 | ) | ||||
LKQ Corp.* | (500 | ) | (18,975 | ) | ||||
Lowe’s Cos., Inc. | (1,324 | ) | (116,181 | ) | ||||
Macy’s, Inc. | (482 | ) | (14,335 | ) | ||||
Netflix, Inc.* | (583 | ) | (172,189 | ) | ||||
O’Reilly Automotive, Inc.* | (135 | ) | (33,396 | ) | ||||
TripAdvisor, Inc.* | (225 | ) | (9,200 | ) | ||||
|
| |||||||
(502,594 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (4.3)% |
| |||||||
Broadcom Ltd. (Singapore) | (450 | ) | (106,042 | ) | ||||
KLA-Tencor Corp. | (251 | ) | (27,362 | ) | ||||
Lam Research Corp. | (36 | ) | (7,314 | ) | ||||
Microchip Technology, Inc. | (417 | ) | (38,097 | ) | ||||
NVIDIA Corp. | (757 | ) | (175,314 | ) | ||||
Qorvo, Inc.* | (202 | ) | (14,231 | ) | ||||
Xilinx, Inc. | (411 | ) | (29,691 | ) | ||||
|
| |||||||
(398,051 | ) | |||||||
|
| |||||||
Software & Services — (8.7)% |
| |||||||
Activision Blizzard, Inc. | (1,225 | ) | (82,638 | ) | ||||
Adobe Systems, Inc.* | (215 | ) | (46,457 | ) | ||||
Akamai Technologies, Inc.* | (276 | ) | (19,590 | ) | ||||
ANSYS, Inc.* | (134 | ) | (20,996 | ) | ||||
Autodesk, Inc.* | (355 | ) | (44,581 | ) | ||||
Automatic Data Processing, Inc. | (707 | ) | (80,230 | ) | ||||
Cadence Design Systems, Inc.* | (457 | ) | (16,804 | ) | ||||
Electronic Arts, Inc.* | (490 | ) | (59,408 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Facebook, Inc., Class A* | (181 | ) | $ | (28,922 | ) | |||
Global Payments, Inc. | (254 | ) | (28,326 | ) | ||||
Intuit, Inc. | (414 | ) | (71,767 | ) | ||||
Microsoft Corp. | (353 | ) | (32,218 | ) | ||||
PayPal Holdings, Inc.* | (868 | ) | (65,855 | ) | ||||
Red Hat, Inc.* | (175 | ) | (26,164 | ) | ||||
salesforce.com, Inc.* | (760 | ) | (88,388 | ) | ||||
Symantec Corp. | (992 | ) | (25,643 | ) | ||||
Synopsys, Inc.* | (238 | ) | (19,811 | ) | ||||
Take-Two Interactive Software, Inc.* | (169 | ) | (16,525 | ) | ||||
VeriSign, Inc.* | (214 | ) | (25,372 | ) | ||||
Western Union Co. (The) | (733 | ) | (14,096 | ) | ||||
|
| |||||||
(813,791 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (1.4)% |
| |||||||
Corning, Inc. | (1,408 | ) | (39,255 | ) | ||||
IPG Photonics Corp.* | (66 | ) | (15,403 | ) | ||||
TE Connectivity Ltd. (Switzerland) | (726 | ) | (72,527 | ) | ||||
|
| |||||||
(127,185 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.3)% |
| |||||||
CenturyLink, Inc. | (1,706 | ) | (28,030 | ) | ||||
|
| |||||||
Transportation — (4.2)% | ||||||||
American Airlines Group, Inc. | (761 | ) | (39,542 | ) | ||||
CSX Corp. | (1,439 | ) | (80,167 | ) | ||||
FedEx Corp. | (434 | ) | (104,208 | ) | ||||
JB Hunt Transport Services, Inc. | (178 | ) | (20,853 | ) | ||||
Norfolk Southern Corp. | (129 | ) | (17,516 | ) | ||||
Southwest Airlines Co. | (939 | ) | (53,786 | ) | ||||
United Continental Holdings, Inc.* | (481 | ) | (33,415 | ) | ||||
United Parcel Service, Inc., Class B | (442 | ) | (46,260 | ) | ||||
|
| |||||||
(395,747 | ) | |||||||
|
| |||||||
Utilities — (3.7)% |
| |||||||
Ameren Corp. | (387 | ) | (21,916 | ) | ||||
American Electric Power Co., Inc. | (785 | ) | (53,843 | ) | ||||
American Water Works Co., Inc. | (284 | ) | (23,325 | ) | ||||
CMS Energy Corp. | (10 | ) | (453 | ) | ||||
Entergy Corp. | (291 | ) | (22,925 | ) | ||||
Eversource Energy | (505 | ) | (29,755 | ) | ||||
NiSource, Inc. | (537 | ) | (12,840 | ) | ||||
PG&E Corp. | (822 | ) | (36,110 | ) | ||||
PPL Corp. | (1,106 | ) | (31,289 | ) | ||||
Public Service Enterprise Group, Inc. | (806 | ) | (40,493 | ) | ||||
Sempra Energy | (401 | ) | (44,599 | ) |
The accompanying notes are an integral part of the financial statements.
101
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
WEC Energy Group, Inc. | (503 | ) | $ | (31,538 | ) | |||
|
| |||||||
(349,086 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK | (7,659,611 | ) | ||||||
|
| |||||||
TOTAL SECURITES SOLD SHORT - (82.2)% |
| (7,659,611 | ) | |||||
|
| |||||||
(Proceeds $7,729,342) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% | 63,486 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 9,317,459 | ||||||
|
|
† | 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. |
ETF | Exchange Traded Fund | |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust | |
S&P | Standard & Poor’s | |
SPDR | Standard & Poor’s Depositary Receipt |
The accompanying notes are an integral part of the financial statements.
102
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 99.1% |
| |||||||
Automobiles & Components — 4.9% |
| |||||||
Aptiv PLC (Jersey)(a) | 890 | $ | 75,623 | |||||
Fiat Chrysler Automobiles NV (Netherlands)(a) | 3,991 | 81,895 | ||||||
General Motors Co.(a) | 531 | 19,297 | ||||||
Gentex Corp.(a) | 1,263 | 29,074 | ||||||
Lear Corp.(a) | 338 | 62,898 | ||||||
Tenneco, Inc.(a) | 975 | 53,498 | ||||||
Thor Industries, Inc.(a) | 240 | 27,641 | ||||||
|
| |||||||
349,926 | ||||||||
|
| |||||||
Capital Goods — 21.2% | ||||||||
Acuity Brands, Inc.(a) | 292 | 40,643 | ||||||
Allegion PLC (Ireland)(a) | 600 | 51,174 | ||||||
Allison Transmission Holdings, Inc.(a) | 3,615 | 141,202 | ||||||
Arconic, Inc.(a) | 2,420 | 55,757 | ||||||
Caterpillar, Inc.(a) | 249 | 36,698 | ||||||
Crane Co.(a) | 591 | 54,809 | ||||||
Cummins, Inc.(a) | 705 | 114,273 | ||||||
Curtiss-Wright Corp. | 309 | 41,737 | ||||||
Dover Corp.(a) | 873 | 85,746 | ||||||
Fortune Brands Home & Security, Inc.(a) | 792 | 46,641 | ||||||
Gardner Denver Holdings, Inc.* | 525 | 16,107 | ||||||
Generac Holdings, Inc.(a)* | 1,151 | 52,842 | ||||||
Hillenbrand, Inc. | 352 | 16,157 | ||||||
Hubbell, Inc.(a) | 478 | 58,211 | ||||||
John Bean Technologies Corp. | 90 | 10,206 | ||||||
Masco Corp.(a) | 1,646 | 66,564 | ||||||
Navistar International Corp.(a)* | 2,024 | 70,779 | ||||||
Owens Corning(a) | 1,404 | 112,882 | ||||||
Snap-on, Inc.(a) | 329 | 48,541 | ||||||
Stanley Black & Decker, Inc.(a) | 645 | 98,814 | ||||||
Teledyne Technologies, Inc.* | 136 | 25,455 | ||||||
Terex Corp.(a) | 1,269 | 47,473 | ||||||
Trex Co., Inc.(a)* | 555 | 60,367 | ||||||
Univar, Inc.* | 710 | 19,703 | ||||||
Wabtec Corp.(a) | 731 | 59,503 | ||||||
Welbilt, Inc.* | 776 | 15,093 | ||||||
WESCO International, Inc.* | 231 | 14,334 | ||||||
Xylem, Inc.(a) | 708 | 54,459 | ||||||
|
| |||||||
1,516,170 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.2% |
| |||||||
Cimpress NV (Netherlands)(a)* | 121 | 18,719 | ||||||
Deluxe Corp.(a) | 732 | 54,175 | ||||||
Dun & Bradstreet Corp. (The) | 51 | 5,967 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
ManpowerGroup, Inc. | 89 | $ | 10,244 | |||||
|
| |||||||
89,105 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 5.6% |
| |||||||
Brunswick Corp. | 51 | 3,029 | ||||||
Carter’s, Inc.(a) | 893 | 92,961 | ||||||
Deckers Outdoor Corp.(a)* | 750 | 67,523 | ||||||
Gildan Activewear, Inc. (Canada) | 1,058 | 30,566 | ||||||
Hanesbrands, Inc.(a) | 1,776 | 32,714 | ||||||
Lululemon Athletica, Inc.* | 188 | 16,755 | ||||||
Polaris Industries, Inc.(a) | 665 | 76,156 | ||||||
Tupperware Brands Corp.(a) | 1,426 | 68,990 | ||||||
Wolverine World Wide, Inc. | 408 | 11,791 | ||||||
|
| |||||||
400,485 | ||||||||
|
| |||||||
Consumer Services — 3.4% | ||||||||
Boyd Gaming Corp. | 114 | 3,632 | ||||||
Dunkin’ Brands Group, Inc.(a) | 353 | 21,071 | ||||||
Hilton Worldwide Holdings, | 958 | 75,452 | ||||||
Restaurant Brands International, Inc. (Canada)(a) | 823 | 46,845 | ||||||
Six Flags Entertainment Corp.(a) | 1,613 | 100,425 | ||||||
|
| |||||||
247,425 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.6% |
| |||||||
Kroger Co. (The)(a) | 4,803 | 114,984 | ||||||
Walgreens Boots Alliance, Inc.(a) | 35 | 2,291 | ||||||
|
| |||||||
117,275 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 8.6% |
| |||||||
Altria Group, Inc.(a) | 945 | 58,892 | ||||||
General Mills, Inc. | 551 | 24,828 | ||||||
Ingredion, Inc.(a) | 313 | 40,352 | ||||||
Kraft Heinz Co. (The)(a) | 79 | 4,921 | ||||||
McCormick & Co., Inc., non-voting shares(a) | 801 | 85,218 | ||||||
Molson Coors Brewing Co., Class B(a) | 772 | 58,155 | ||||||
National Beverage Corp.(a) | 571 | 50,830 | ||||||
Philip Morris International, Inc.(a) | 887 | 88,168 | ||||||
Pilgrim’s Pride Corp.(a)* | 3,222 | 79,293 | ||||||
Sanderson Farms, Inc.(a) | 57 | 6,784 | ||||||
Tyson Foods, Inc., Class A(a) | 1,616 | 118,275 | ||||||
|
| |||||||
615,716 | ||||||||
|
| |||||||
Health Care Equipment & Services — 6.2% |
| |||||||
AmerisourceBergen Corp. | 564 | 48,622 | ||||||
athenahealth, Inc.(a)* | 80 | 11,442 |
The accompanying notes are an integral part of the financial statements.
103
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Cotiviti Holdings, Inc.(a)* | 803 | $ | 27,655 | |||||
DENTSPLY SIRONA, Inc. | 288 | 14,489 | ||||||
Envision Healthcare Corp.* | 69 | 2,652 | ||||||
Express Scripts Holding Co.* | 1,229 | 84,899 | ||||||
Laboratory Corp. of America Holdings(a)* | 582 | 94,139 | ||||||
Masimo Corp.* | 596 | 52,418 | ||||||
Universal Health Services, Inc., Class B(a) | 619 | 73,296 | ||||||
Varian Medical Systems, | 266 | 32,625 | ||||||
|
| |||||||
442,237 | ||||||||
|
| |||||||
Household & Personal Products — 3.0% |
| |||||||
Church & Dwight Co., Inc.(a) | 852 | 42,907 | ||||||
Energizer Holdings, Inc. | 403 | 24,011 | ||||||
Spectrum Brands Holdings, Inc.(a) | 1,418 | 147,047 | ||||||
|
| |||||||
213,965 | ||||||||
|
| |||||||
Media — 3.3% |
| |||||||
CBS Corp., Class B, non-voting shares(a) | 1,045 | 53,703 | ||||||
Discovery, Inc., Class A* | 743 | 15,922 | ||||||
Interpublic Group of Cos., Inc. (The)(a) | 2,229 | 51,334 | ||||||
John Wiley & Sons, Inc., Class A(a) | 531 | 33,825 | ||||||
Lions Gate Entertainment Corp., Class B (Canada) | 412 | 9,921 | ||||||
News Corp., Class A | 4,140 | 65,412 | ||||||
Viacom, Inc., Class B | 177 | 5,498 | ||||||
|
| |||||||
235,615 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 7.1% |
| |||||||
AbbVie, Inc. | 371 | 35,115 | ||||||
Amgen, Inc. | 120 | 20,458 | ||||||
Biogen, Inc.(a)* | 391 | 107,064 | ||||||
Bruker Corp. | 82 | 2,453 | ||||||
Celgene Corp.(a)* | 471 | 42,018 | ||||||
Halozyme Therapeutics, Inc.* | 585 | 11,460 | ||||||
Perrigo Co. PLC (Ireland) | 231 | 19,252 | ||||||
Pfizer, Inc.(a) | 21 | 745 | ||||||
PRA Health Sciences, Inc.* | 154 | 12,776 | ||||||
Regeneron Pharmaceuticals, Inc.(a)* | 177 | 60,952 | ||||||
United Therapeutics Corp.(a)* | 1,075 | 120,787 | ||||||
Zoetis, Inc.(a) | 871 | 72,737 | ||||||
|
| |||||||
505,817 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — 7.5% |
| |||||||
American Eagle Outfitters, Inc. | 2,190 | $ | 43,647 | |||||
AutoZone, Inc.* | 41 | 26,596 | ||||||
Dick’s Sporting Goods, Inc. | 2,197 | 77,005 | ||||||
Five Below, Inc.* | 368 | 26,989 | ||||||
Kohl’s Corp.(a) | 428 | 28,038 | ||||||
L Brands, Inc.(a) | 2,134 | 81,540 | ||||||
Michaels Cos., Inc. (The)* | 1,407 | 27,732 | ||||||
Murphy USA, Inc.* | 89 | 6,479 | ||||||
Nordstrom, Inc. | 253 | 12,248 | ||||||
Penske Automotive Group, Inc. | 135 | 5,985 | ||||||
Ross Stores, Inc.(a) | 686 | 53,494 | ||||||
Signet Jewelers Ltd. | 310 | 11,941 | ||||||
Tiffany & Co. | 675 | 65,921 | ||||||
Tractor Supply Co. | 29 | 1,828 | ||||||
Ulta Beauty, Inc.* | 311 | 63,528 | ||||||
Williams-Sonoma, Inc. | 150 | 7,914 | ||||||
|
| |||||||
540,885 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 9.4% |
| |||||||
Advanced Energy Industries, Inc.(a)* | 1,094 | 69,907 | ||||||
Advanced Micro Devices, Inc.* | 1,150 | 11,558 | ||||||
Analog Devices, Inc.(a) | 1,147 | 104,526 | ||||||
Applied Materials, Inc.(a) | 948 | 52,718 | ||||||
Broadcom Ltd. (Singapore) | 201 | 47,366 | ||||||
Cypress Semiconductor Corp.(a) | 3,026 | 51,321 | ||||||
First Solar, Inc.(a)* | 414 | 29,386 | ||||||
Marvell Technology Group Ltd. (Bermuda)(a) | 4,957 | 104,097 | ||||||
Micron Technology, Inc.* | 865 | 45,101 | ||||||
MKS Instruments, Inc.(a) | 287 | 33,192 | �� | |||||
Qorvo, Inc.* | 306 | 21,558 | ||||||
Teradyne, Inc.(a) | 1,957 | 89,454 | ||||||
Texas Instruments, Inc. | 112 | 11,636 | ||||||
|
| |||||||
671,820 | ||||||||
|
| |||||||
Software & Services — 7.5% |
| |||||||
Accenture PLC, Class A (Ireland) | 139 | 21,336 | ||||||
Alliance Data Systems Corp. | 132 | 28,098 | ||||||
Alphabet, Inc., Class A* | 10 | 10,371 | ||||||
DST Systems, Inc.(a) | 568 | 47,513 | ||||||
DXC Technology Co.(a) | 133 | 13,370 | ||||||
Etsy, Inc.(a)* | 1,452 | 40,743 | ||||||
Euronet Worldwide, Inc.(a)* | 1,176 | 92,810 | ||||||
Facebook, Inc., Class A(a)* | 202 | 32,278 | ||||||
Gartner, Inc.(a)* | 346 | 40,697 | ||||||
j2 Global, Inc.(a) | 182 | 14,363 |
The accompanying notes are an integral part of the financial statements.
104
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
LogMeIn, Inc.(a) | 384 | $ | 44,371 | |||||
Open Text Corp. (Canada) | 353 | 12,284 | ||||||
Oracle Corp. | 1,235 | 56,501 | ||||||
Symantec Corp.(a) | 2,946 | 76,154 | ||||||
Zynga, Inc., Class A* | 1,034 | 3,784 | ||||||
|
| |||||||
534,673 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 6.5% |
| |||||||
Apple, Inc.(a) | 146 | 24,496 | ||||||
Arista Networks, Inc.* | 24 | 6,127 | ||||||
CDW Corp.(a) | 1,071 | 75,302 | ||||||
Ciena Corp.(a)* | 1,392 | 36,053 | ||||||
Coherent, Inc.(a)* | 360 | 67,464 | ||||||
Itron, Inc.* | 323 | 23,111 | ||||||
Jabil, Inc. | 1,973 | 56,684 | ||||||
Juniper Networks, Inc. | 1,395 | 33,940 | ||||||
Motorola Solutions, Inc.(a) | 179 | 18,849 | ||||||
Tech Data Corp.* | 168 | 14,302 | ||||||
Vishay Intertechnology, Inc.(a) | 3,495 | 65,007 | ||||||
Zebra Technologies Corp., Class A* | 346 | 48,160 | ||||||
|
| |||||||
469,495 | ||||||||
|
| |||||||
Telecommunication Services — 0.5% |
| |||||||
Rogers Communications, Inc., Class B (Canada) | 774 | 34,582 | ||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — 1.6% |
| |||||||
Expeditors International of Washington, Inc.(a) | 1,344 | $ | 85,075 | |||||
Norfolk Southern Corp.(a) | 240 | 32,587 | ||||||
|
| |||||||
117,662 | ||||||||
|
| |||||||
TOTAL COMMON (Cost $7,243,199) | 7,102,853 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS | 64,598 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 7,167,451 | ||||||
|
|
(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.
105
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Over-the-counter total return basket swap outstanding as of March 31, 2018.
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 March 31, 2018:
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 | (2,299 | ) | $ | (150,415 | ) | $ | 13,199 | $ | 13,199 | |||||||||||||
Delphi Technologies PLC (Jersey) | Morgan Stanley | 08/06/19 | — | (17 | ) | 1 | 1 | |||||||||||||||||
Ford Motor Co. | Morgan Stanley | 08/06/19 | (4,935 | ) | (60,156 | ) | 7,585 | 7,585 | ||||||||||||||||
Visteon Corp. | Morgan Stanley | 08/06/19 | (764 | ) | (91,859 | ) | 7,749 | 7,749 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(7,998 | ) | (302,447 | ) | 28,534 | 28,534 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Capital Goods | ||||||||||||||||||||||||
Barnes Group, Inc. | Morgan Stanley | 08/06/19 | (372 | ) | (23,024 | ) | 738 | 738 | ||||||||||||||||
BWX Technologies, Inc. | Morgan Stanley | 08/06/19 | (404 | ) | (26,309 | ) | 676 | 676 | ||||||||||||||||
CAE, Inc. (Canada) | Morgan Stanley | 08/06/19 | (637 | ) | (11,705 | ) | (194 | ) | (194 | ) | ||||||||||||||
Carlisle Cos., Inc. | Morgan Stanley | 08/06/19 | (335 | ) | (35,265 | ) | 121 | 121 | ||||||||||||||||
Donaldson Co., Inc. | Morgan Stanley | 08/06/19 | (586 | ) | (26,402 | ) | (25 | ) | (25 | ) | ||||||||||||||
Esterline Technologies Corp. | Morgan Stanley | 08/06/19 | (34 | ) | (3,266 | ) | 1,700 | 1,700 | ||||||||||||||||
Fortive Corp. | Morgan Stanley | 08/06/19 | (716 | ) | (55,358 | ) | (832 | ) | (832 | ) | ||||||||||||||
Harris Corp. | Morgan Stanley | 08/06/19 | (49 | ) | (7,883 | ) | (241 | ) | (241 | ) | ||||||||||||||
HEICO Corp. | Morgan Stanley | 08/06/19 | (401 | ) | (35,162 | ) | 169 | 169 | ||||||||||||||||
Hexcel Corp. | Morgan Stanley | 08/06/19 | (1,500 | ) | (76,869 | ) | (25,998 | ) | (25,998 | ) | ||||||||||||||
ITT, Inc. | Morgan Stanley | 08/06/19 | (39 | ) | (2,088 | ) | 758 | 758 | ||||||||||||||||
JELD-WEN Holding, Inc. | Morgan Stanley | 08/06/19 | (663 | ) | (22,034 | ) | 2,354 | 2,354 | ||||||||||||||||
KLX, Inc. | Morgan Stanley | 08/06/19 | (205 | ) | (14,615 | ) | (77 | ) | (77 | ) | ||||||||||||||
Lennox International, Inc. | Morgan Stanley | 08/06/19 | (285 | ) | (58,028 | ) | (773 | ) | (773 | ) | ||||||||||||||
Middleby Corp. (The) | Morgan Stanley | 08/06/19 | (489 | ) | (66,430 | ) | 6,020 | 6,020 | ||||||||||||||||
Moog, Inc., Class A | Morgan Stanley | 08/06/19 | (317 | ) | (27,592 | ) | 1,488 | 1,488 | ||||||||||||||||
Northrop Grumman Corp. | Morgan Stanley | 08/06/19 | (186 | ) | (65,758 | ) | 770 | 770 | ||||||||||||||||
Proto Labs, Inc. | Morgan Stanley | 08/06/19 | (434 | ) | (49,879 | ) | (1,349 | ) | (1,349 | ) | ||||||||||||||
RBC Bearings, Inc. | Morgan Stanley | 08/06/19 | (129 | ) | (15,843 | ) | (272 | ) | (272 | ) | ||||||||||||||
Regal Beloit Corp. | Morgan Stanley | 08/06/19 | (174 | ) | (13,095 | ) | 405 | 405 | ||||||||||||||||
SiteOne Landscape Supply, Inc. | Morgan Stanley | 08/06/19 | (710 | ) | (52,212 | ) | (2,578 | ) | (2,578 | ) | ||||||||||||||
Spirit AeroSystems Holdings, Inc., Class A | Morgan Stanley | 08/06/19 | (234 | ) | (22,311 | ) | 4,432 | 4,432 | ||||||||||||||||
Timken Co. (The) | Morgan Stanley | 08/06/19 | (1,547 | ) | (69,930 | ) | (1,976 | ) | (1,976 | ) | ||||||||||||||
United Rentals, Inc. | Morgan Stanley | 08/06/19 | (548 | ) | (97,583 | ) | (4,264 | ) | (4,264 | ) | ||||||||||||||
WABCO Holdings, Inc. | Morgan Stanley | 08/06/19 | (195 | ) | (27,368 | ) | 1,290 | 1,290 | ||||||||||||||||
Woodward, Inc. | Morgan Stanley | 08/06/19 | (1,083 | ) | (82,982 | ) | 5,245 | 5,245 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
(12,272 | ) | (988,991 | ) | (12,413 | ) | (12,413 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
106
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Reference Company | Counterparty | Expiration Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Commercial & Professional Services | ||||||||||||||||||||
ASGN, Inc. | Morgan Stanley | 08/06/19 | (97 | ) | $ | (7,856 | ) | $ | (553 | ) | $ | (553 | ) | |||||||
CoStar Group, Inc. | Morgan Stanley | 08/06/19 | (109 | ) | (39,636 | ) | (278 | ) | (278 | ) | ||||||||||
KAR Auction Services, Inc. | Morgan Stanley | 08/06/19 | (1,934 | ) | (105,028 | ) | (723 | ) | (723 | ) | ||||||||||
Ritchie Bros Auctioneers, Inc. (Canada) | Morgan Stanley | 08/06/19 | (1,711 | ) | (51,217 | ) | (3,938 | ) | (3,938 | ) | ||||||||||
Rollins, Inc. | Morgan Stanley | 08/06/19 | (1,373 | ) | (70,010 | ) | (230 | ) | (230 | ) | ||||||||||
Tetra Tech, Inc. | Morgan Stanley | 08/06/19 | (20 | ) | (1,042 | ) | 171 | 171 | ||||||||||||
TransUnion | Morgan Stanley | 08/06/19 | (127 | ) | (7,501 | ) | 582 | 582 | ||||||||||||
Verisk Analytics, Inc. | Morgan Stanley | 08/06/19 | (856 | ) | (88,004 | ) | (1,368 | ) | (1,368 | ) | ||||||||||
Waste Connections, Inc. (Canada) | Morgan Stanley | 08/06/19 | (904 | ) | (65,099 | ) | 14 | 14 | ||||||||||||
Waste Management, Inc. | Morgan Stanley | 08/06/19 | (603 | ) | (51,894 | ) | 1,062 | 1,062 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(7,734 | ) | (487,287 | ) | (5,261 | ) | (5,261 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Consumer Durables & Apparel | ||||||||||||||||||||
Mattel, Inc. | Morgan Stanley | 08/06/19 | (8,601 | ) | (167,520 | ) | 63,563 | 63,563 | ||||||||||||
Mohawk Industries, Inc. | Morgan Stanley | 08/06/19 | (567 | ) | (140,981 | ) | 10,147 | 10,147 | ||||||||||||
NIKE, Inc., Class B | Morgan Stanley | 08/06/19 | (1,639 | ) | (110,129 | ) | 905 | 905 | ||||||||||||
Skechers U.S.A., Inc., Class A | Morgan Stanley | 08/06/19 | (3,358 | ) | (135,501 | ) | 4,961 | 4,961 | ||||||||||||
Under Armour, Inc., Class C | Morgan Stanley | 08/06/19 | (11,746 | ) | (194,927 | ) | 23,053 | 23,053 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(25,911 | ) | (749,058 | ) | 102,629 | 102,629 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Consumer Services | ||||||||||||||||||||
Aramark | Morgan Stanley | 08/06/19 | (1,072 | ) | (44,523 | ) | 2,501 | 2,501 | ||||||||||||
Carnival Corp. (Panama) | Morgan Stanley | 08/06/19 | (475 | ) | (31,750 | ) | 577 | 577 | ||||||||||||
Churchill Downs, Inc. | Morgan Stanley | 08/06/19 | (117 | ) | (31,221 | ) | 2,956 | 2,956 | ||||||||||||
ILG, Inc. | Morgan Stanley | 08/06/19 | (3,148 | ) | (91,615 | ) | (7,745 | ) | (7,745 | ) | ||||||||||
International Game Technology PLC (United Kingdom) | Morgan Stanley | 08/06/19 | (897 | ) | (25,940 | ) | 1,872 | 1,872 | ||||||||||||
MGM Resorts International | Morgan Stanley | 08/06/19 | (2,228 | ) | (77,527 | ) | (1,139 | ) | (1,139 | ) | ||||||||||
Planet Fitness, Inc., Class A | Morgan Stanley | 08/06/19 | (1,204 | ) | (46,304 | ) | 734 | 734 | ||||||||||||
Red Rock Resorts, Inc., Class A | Morgan Stanley | 08/06/19 | (1,497 | ) | (38,619 | ) | (6,892 | ) | (6,892 | ) | ||||||||||
Starbucks Corp. | Morgan Stanley | 08/06/19 | (1,195 | ) | (69,156 | ) | (2,594 | ) | (2,594 | ) | ||||||||||
Texas Roadhouse, Inc. | Morgan Stanley | 08/06/19 | (92 | ) | (5,528 | ) | 430 | 430 | ||||||||||||
Wendy’s Co. (The) | Morgan Stanley | 08/06/19 | (6,321 | ) | (106,771 | ) | (5,226 | ) | (5,226 | ) | ||||||||||
Yum! Brands, Inc. | Morgan Stanley | 08/06/19 | (148 | ) | (12,107 | ) | (3,245 | ) | (3,245 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(18,394 | ) | (581,061 | ) | (17,771 | ) | (17,771 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Food & Staples Retailing | ||||||||||||||||||||
Casey’s General Stores, Inc. | Morgan Stanley | 08/06/19 | (1,150 | ) | (122,762 | ) | (4,521 | ) | (4,521 | ) | ||||||||||
Costco Wholesale Corp. | Morgan Stanley | 08/06/19 | (1 | ) | (186 | ) | (675 | ) | (675 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(1,151 | ) | (122,948 | ) | (5,196 | ) | (5,196 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||||||
Archer-Daniels-Midland Co. | Morgan Stanley | 08/06/19 | (2,796 | ) | (119,135 | ) | (4,804 | ) | (4,804 | ) | ||||||||||
Blue Buffalo Pet Products, Inc. | Morgan Stanley | 08/06/19 | (2,999 | ) | (91,907 | ) | (32,411 | ) | (32,411 | ) | ||||||||||
Bunge Ltd. (Bermuda) | Morgan Stanley | 08/06/19 | (2,513 | ) | (183,312 | ) | (6,410 | ) | (6,410 | ) | ||||||||||
Constellation Brands, Inc., Class A | Morgan Stanley | 08/06/19 | (189 | ) | (42,436 | ) | (3,399 | ) | (3,399 | ) | ||||||||||
Darling Ingredients, Inc. | Morgan Stanley | 08/06/19 | (2,670 | ) | (47,112 | ) | 923 | 923 | ||||||||||||
Hain Celestial Group, Inc. (The) | Morgan Stanley | 08/06/19 | (2,812 | ) | (116,941 | ) | 33,433 | 33,433 |
The accompanying notes are an integral part of the financial statements.
107
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Reference Company | Counterparty | Expiration Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||||||||
Hormel Foods Corp. | Morgan Stanley | 08/06/19 | (723 | ) | $ | (24,382 | ) | $ | (1,177 | ) | $ | (1,177 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(14,702 | ) | (625,225 | ) | (13,845 | ) | (13,845 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Health Care Equipment & Services | ||||||||||||||||||||||
Acadia Healthcare Co., Inc. | Morgan Stanley | 08/06/19 | (3,201 | ) | (132,548 | ) | 5,649 | 5,649 | ||||||||||||||
Baxter International, Inc. | Morgan Stanley | 08/06/19 | (681 | ) | (47,941 | ) | 6,491 | 6,491 | ||||||||||||||
Becton Dickinson and Co. | Morgan Stanley | 08/06/19 | (723 | ) | (165,385 | ) | 8,752 | 8,752 | ||||||||||||||
Cantel Medical Corp. | Morgan Stanley | 08/06/19 | (115 | ) | (13,390 | ) | 590 | 590 | ||||||||||||||
Cardinal Health, Inc. | Morgan Stanley | 08/06/19 | (1,660 | ) | (119,007 | ) | 17,390 | 17,390 | ||||||||||||||
Cerner Corp. | Morgan Stanley | 08/06/19 | (3,087 | ) | (194,653 | ) | 16,372 | 16,372 | ||||||||||||||
Chemed Corp. | Morgan Stanley | 08/06/19 | (12 | ) | (3,364 | ) | 155 | 155 | ||||||||||||||
Cooper Cos., Inc. (The) | Morgan Stanley | 08/06/19 | (327 | ) | (77,062 | ) | 1,925 | 1,925 | ||||||||||||||
DaVita, Inc. | Morgan Stanley | 08/06/19 | (1,866 | ) | (131,277 | ) | 8,327 | 8,327 | ||||||||||||||
Edwards Lifesciences Corp. | Morgan Stanley | 08/06/19 | (10 | ) | (1,421 | ) | 289 | 289 | ||||||||||||||
Globus Medical, Inc., Class A | Morgan Stanley | 08/06/19 | (1,364 | ) | (61,237 | ) | (7,804 | ) | (7,804 | ) | ||||||||||||
Hologic, Inc. | Morgan Stanley | 08/06/19 | (3,409 | ) | (131,465 | ) | 3,963 | 3,963 | ||||||||||||||
IDEXX Laboratories, Inc. | Morgan Stanley | 08/06/19 | (564 | ) | (106,104 | ) | (2,996 | ) | (2,996 | ) | ||||||||||||
Integra LifeSciences Holdings Corp. | Morgan Stanley | 08/06/19 | (986 | ) | (53,669 | ) | (1,121 | ) | (1,121 | ) | ||||||||||||
Medidata Solutions, Inc. | Morgan Stanley | 08/06/19 | (1,331 | ) | (87,704 | ) | 4,153 | 4,153 | ||||||||||||||
Neogen Corp. | Morgan Stanley | 08/06/19 | (451 | ) | (26,820 | ) | (3,629 | ) | (3,629 | ) | ||||||||||||
NuVasive, Inc. | Morgan Stanley | 08/06/19 | (589 | ) | (30,057 | ) | (859 | ) | (859 | ) | ||||||||||||
ResMed, Inc. | Morgan Stanley | 08/06/19 | (561 | ) | (57,011 | ) | 2,203 | 2,203 | ||||||||||||||
STERIS PLC (United Kingdom) | Morgan Stanley | 08/06/19 | (717 | ) | (64,123 | ) | (3,541 | ) | (3,541 | ) | ||||||||||||
Stryker Corp. | Morgan Stanley | 08/06/19 | (401 | ) | (66,353 | ) | 1,715 | 1,715 | ||||||||||||||
Teleflex, Inc. | Morgan Stanley | 08/06/19 | (240 | ) | (61,012 | ) | (753 | ) | (753 | ) | ||||||||||||
Veeva Systems, Inc., Class A | Morgan Stanley | 08/06/19 | (1,658 | ) | (125,179 | ) | 3,736 | 3,736 | ||||||||||||||
West Pharmaceutical Services, Inc. | Morgan Stanley | 08/06/19 | (720 | ) | (71,713 | ) | 9,241 | 9,241 | ||||||||||||||
Zimmer Biomet Holdings, Inc. | Morgan Stanley | 08/06/19 | (1,177 | ) | (144,840 | ) | 17,254 | 17,254 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(25,850 | ) | (1,973,335 | ) | 87,502 | 87,502 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Media | ||||||||||||||||||||||
Cable One, Inc. | Morgan Stanley | 08/06/19 | (38 | ) | (26,440 | ) | 299 | 299 | ||||||||||||||
Charter Communications, Inc., Class A | Morgan Stanley | 08/06/19 | (65 | ) | (24,430 | ) | 18,318 | 18,318 | ||||||||||||||
Live Nation Entertainment, Inc. | Morgan Stanley | 08/06/19 | (3,079 | ) | (135,748 | ) | 6,190 | 6,190 | ||||||||||||||
Twenty-First Century Fox, Inc., Class A | Morgan Stanley | 08/06/19 | (599 | ) | (22,484 | ) | 99 | 99 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(3,781 | ) | (209,102 | ) | 24,906 | 24,906 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||||||||
Akorn, Inc. | Morgan Stanley | 08/06/19 | (1,045 | ) | (34,941 | ) | 20,634 | 20,634 | ||||||||||||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | 08/06/19 | (304 | ) | (79,663 | ) | 3,636 | 3,636 | ||||||||||||||
Bio-Techne Corp. | Morgan Stanley | 08/06/19 | (509 | ) | (67,323 | ) | (11,867 | ) | (11,867 | ) | ||||||||||||
Catalent, Inc. | Morgan Stanley | 08/06/19 | (2,008 | ) | (85,464 | ) | 2,997 | 2,997 | ||||||||||||||
Incyte Corp. | Morgan Stanley | 08/06/19 | (1,644 | ) | (143,467 | ) | 6,451 | 6,451 | ||||||||||||||
Ionis Pharmaceuticals, Inc. | Morgan Stanley | 08/06/19 | (2,716 | ) | (149,123 | ) | 30,992 | 30,992 | ||||||||||||||
Mylan NV (Netherlands) | Morgan Stanley | 08/06/19 | (1,435 | ) | (60,137 | ) | 909 | 909 | ||||||||||||||
PerkinElmer, Inc. | Morgan Stanley | 08/06/19 | (1,267 | ) | (100,696 | ) | 4,667 | 4,667 | ||||||||||||||
QIAGEN NV (Netherlands) | Morgan Stanley | 08/06/19 | (2,323 | ) | (77,098 | ) | 2,012 | 2,012 |
The accompanying notes are an integral part of the financial statements.
108
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Reference Company | Counterparty | Expiration Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||||||||
Syneos Health, Inc. | Morgan Stanley | 08/06/19 | (724 | ) | $ | (39,035 | ) | $ | 15,716 | $ | 15,716 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(13,975 | ) | (836,947 | ) | 76,147 | 76,147 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Retailing | ||||||||||||||||||||||
Camping World Holdings, Inc. | Morgan Stanley | 08/06/19 | (1,364 | ) | (60,515 | ) | 16,230 | 16,230 | ||||||||||||||
Genuine Parts Co. | Morgan Stanley | 08/06/19 | (1,610 | ) | (148,652 | ) | 3,126 | 3,126 | ||||||||||||||
Lithia Motors, Inc., Class A | Morgan Stanley | 08/06/19 | (4 | ) | (467 | ) | 364 | 364 | ||||||||||||||
LKQ Corp. | Morgan Stanley | 08/06/19 | (2,182 | ) | (86,352 | ) | 3,706 | 3,706 | ||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley | 08/06/19 | (886 | ) | (78,030 | ) | (830 | ) | (830 | ) | ||||||||||||
Ollie’s Bargain Outlet Holdings, Inc. | Morgan Stanley | 08/06/19 | (1,065 | ) | (61,930 | ) | (2,742 | ) | (2,742 | ) | ||||||||||||
Qurate Retail Group, Inc., Class A | Morgan Stanley | 08/06/19 | (4,877 | ) | (132,151 | ) | 9,680 | 9,680 | ||||||||||||||
TripAdvisor, Inc. | Morgan Stanley | 08/06/19 | (4,583 | ) | (178,777 | ) | (10,775 | ) | (10,775 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(16,571 | ) | (746,874 | ) | 18,759 | 18,759 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||||||||
Microsemi Corp. | Morgan Stanley | 08/06/19 | (2,093 | ) | (129,408 | ) | (8,384 | ) | (8,384 | ) | ||||||||||||
Monolithic Power Systems, Inc. | Morgan Stanley | 08/06/19 | (505 | ) | (58,755 | ) | (101 | ) | (101 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(2,598 | ) | (188,163 | ) | (8,485 | ) | (8,485 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Software & Services | ||||||||||||||||||||||
ACI Worldwide, Inc. | Morgan Stanley | 08/06/19 | (1,544 | ) | (39,238 | ) | 2,661 | 2,661 | ||||||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 08/06/19 | (2,250 | ) | (154,230 | ) | (2 | ) | �� | (2 | ) | |||||||||||
Akamai Technologies, Inc. | Morgan Stanley | 08/06/19 | (1,930 | ) | (110,165 | ) | (32,170 | ) | (32,170 | ) | ||||||||||||
ANSYS, Inc. | Morgan Stanley | 08/06/19 | (551 | ) | (88,466 | ) | 1,451 | 1,451 | ||||||||||||||
Aspen Technology, Inc. | Morgan Stanley | 08/06/19 | (1,064 | ) | (80,924 | ) | (3,678 | ) | (3,678 | ) | ||||||||||||
Black Knight, Inc. | Morgan Stanley | 08/06/19 | (201 | ) | (9,631 | ) | 173 | 173 | ||||||||||||||
Blackbaud, Inc. | Morgan Stanley | 08/06/19 | (706 | ) | (72,668 | ) | 443 | 443 | ||||||||||||||
CommVault Systems, Inc. | Morgan Stanley | 08/06/19 | (1,213 | ) | (72,234 | ) | 3,144 | 3,144 | ||||||||||||||
Electronic Arts, Inc. | Morgan Stanley | 08/06/19 | (825 | ) | (105,813 | ) | 7,980 | 7,980 | ||||||||||||||
Ellie Mae, Inc. | Morgan Stanley | 08/06/19 | (1,023 | ) | (89,938 | ) | (4,660 | ) | (4,660 | ) | ||||||||||||
Fair Isaac Corp. | Morgan Stanley | 08/06/19 | (86 | ) | (15,047 | ) | 538 | 538 | ||||||||||||||
First Data Corp., Class A | Morgan Stanley | 08/06/19 | (1,982 | ) | (32,948 | ) | 1,323 | 1,323 | ||||||||||||||
Fortinet, Inc. | Morgan Stanley | 08/06/19 | (545 | ) | (29,560 | ) | 364 | 364 | ||||||||||||||
GrubHub, Inc. | Morgan Stanley | 08/06/19 | (611 | ) | (52,511 | ) | (17,055 | ) | (17,055 | ) | ||||||||||||
Guidewire Software, Inc. | Morgan Stanley | 08/06/19 | (1,386 | ) | (103,017 | ) | (11,028 | ) | (11,028 | ) | ||||||||||||
IAC/InterActiveCorp. | Morgan Stanley | 08/06/19 | (110 | ) | (16,313 | ) | (5,111 | ) | (5,111 | ) | ||||||||||||
Intuit, Inc. | Morgan Stanley | 08/06/19 | (854 | ) | (149,801 | ) | 1,620 | 1,620 | ||||||||||||||
Nuance Communications, Inc. | Morgan Stanley | 08/06/19 | (6,334 | ) | (106,283 | ) | 6,997 | 6,997 | ||||||||||||||
Paycom Software, Inc. | Morgan Stanley | 08/06/19 | (279 | ) | (30,836 | ) | 720 | 720 | ||||||||||||||
Pegasystems, Inc. | Morgan Stanley | 08/06/19 | (1,044 | ) | (55,657 | ) | (8,675 | ) | (8,675 | ) | ||||||||||||
PTC, Inc. | Morgan Stanley | 08/06/19 | (365 | ) | (28,875 | ) | 286 | 286 | ||||||||||||||
Qualys, Inc. | Morgan Stanley | 08/06/19 | (654 | ) | (49,198 | ) | 1,499 | 1,499 | ||||||||||||||
Science Applications International Corp. | Morgan Stanley | 08/06/19 | (494 | ) | (34,770 | ) | (5,584 | ) | (5,584 | ) | ||||||||||||
Synopsys, Inc. | Morgan Stanley | 08/06/19 | (1,408 | ) | (126,778 | ) | 10,048 | 10,048 | ||||||||||||||
Take-Two Interactive Software, Inc. | Morgan Stanley | 08/06/19 | (343 | ) | (40,813 | ) | 14,891 | 14,891 | ||||||||||||||
Teradata Corp. | Morgan Stanley | 08/06/19 | (2,242 | ) | (81,363 | ) | (10,215 | ) | (10,215 | ) |
The accompanying notes are an integral part of the financial statements.
109
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Reference Company | Counterparty | Expiration Date | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||||
Twitter, Inc. | Morgan Stanley | 08/06/19 | (279 | ) | $ | (10,046 | ) | $ | 14,838 | $ | 14,838 | |||||||||||
Tyler Technologies, Inc. | Morgan Stanley | 08/06/19 | (23 | ) | (4,795 | ) | (205 | ) | (205 | ) | ||||||||||||
VeriSign, Inc. | Morgan Stanley | 08/06/19 | (55 | ) | (6,943 | ) | 1,757 | 1,757 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(30,401 | ) | (1,798,861 | ) | (27,650 | ) | (27,650 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Technology Hardware & Equipment | ||||||||||||||||||||||
ARRIS International PLC (United Kingdom) | Morgan Stanley | 08/06/19 | (3,895 | ) | (102,391 | ) | (1,362 | ) | (1,362 | ) | ||||||||||||
Arrow Electronics, Inc. | Morgan Stanley | 08/06/19 | (838 | ) | (67,166 | ) | 2,561 | 2,561 | ||||||||||||||
AVX Corp. | Morgan Stanley | 08/06/19 | (450 | ) | (7,828 | ) | 378 | 378 | ||||||||||||||
Corning, Inc. | Morgan Stanley | 08/06/19 | (6,556 | ) | (209,444 | ) | 27,278 | 27,278 | ||||||||||||||
EchoStar Corp., Class A | Morgan Stanley | 08/06/19 | (213 | ) | (12,463 | ) | 1,479 | 1,479 | ||||||||||||||
II-VI, Inc. | Morgan Stanley | 08/06/19 | (1,845 | ) | (91,006 | ) | 16,412 | 16,412 | ||||||||||||||
Keysight Technologies, Inc. | Morgan Stanley | 08/06/19 | (234 | ) | (11,311 | ) | (2,137 | ) | (2,137 | ) | ||||||||||||
TE Connectivity Ltd. (Switzerland) | Morgan Stanley | 08/06/19 | (194 | ) | (20,246 | ) | 2,441 | 2,441 | ||||||||||||||
Trimble, Inc. | Morgan Stanley | 08/06/19 | (2,073 | ) | (82,492 | ) | 8,577 | 8,577 | ||||||||||||||
ViaSat, Inc. | Morgan Stanley | 08/06/19 | (949 | ) | (62,143 | ) | (715 | ) | (715 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(17,247 | ) | (666,490 | ) | 54,912 | 54,912 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Telecommunication Services | ||||||||||||||||||||||
CenturyLink, Inc. | Morgan Stanley | 08/06/19 | (4,822 | ) | (90,703 | ) | 10,113 | 10,113 | ||||||||||||||
United States Cellular Corp. | Morgan Stanley | 08/06/19 | (159 | ) | (6,410 | ) | 13 | 13 | ||||||||||||||
Zayo Group Holdings, Inc. | Morgan Stanley | 08/06/19 | (134 | ) | (4,935 | ) | 1,348 | 1,348 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(5,115 | ) | (102,048 | ) | 11,474 | 11,474 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Transportation | ||||||||||||||||||||||
FedEx Corp. | Morgan Stanley | 08/06/19 | (590 | ) | (148,471 | ) | 5,581 | 5,581 | ||||||||||||||
JB Hunt Transport Services, Inc. | Morgan Stanley | 08/06/19 | (898 | ) | (110,162 | ) | 4,489 | 4,489 | ||||||||||||||
Kirby Corp. | Morgan Stanley | 08/06/19 | (773 | ) | (53,894 | ) | (7,123 | ) | (7,123 | ) | ||||||||||||
Knight-Swift Transportation Holdings, Inc. | Morgan Stanley | 08/06/19 | (2,478 | ) | (103,002 | ) | (13,731 | ) | (13,731 | ) | ||||||||||||
Landstar System, Inc. | Morgan Stanley | 08/06/19 | (202 | ) | (22,335 | ) | 155 | 155 | ||||||||||||||
Old Dominion Freight Line, Inc. | Morgan Stanley | 08/06/19 | (68 | ) | (10,129 | ) | 413 | 413 | ||||||||||||||
Ryder System, Inc. | Morgan Stanley | 08/06/19 | (1,460 | ) | (116,550 | ) | 9,630 | 9,630 | ||||||||||||||
XPO Logistics, Inc. | Morgan Stanley | 08/06/19 | (1,213 | ) | (115,711 | ) | (11,770 | ) | (11,770 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(7,682 | ) | (680,254 | ) | (12,356 | ) | (12,356 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
$ | (11,059,091 | ) | $ | 301,886 | $ | 301,886 | ||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
110
GOTHAM INSTITUTIONAL VALUE FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 99.6% |
| |||||||
Automobiles & Components — 1.7% |
| |||||||
Aptiv PLC (Jersey) | 158 | $ | 13,425 | |||||
BorgWarner, Inc. | 124 | 6,229 | ||||||
General Motors Co. | 665 | 24,166 | ||||||
Goodyear Tire & Rubber Co. (The) | 142 | 3,774 | ||||||
|
| |||||||
47,594 | ||||||||
|
| |||||||
Banks — 0.3% |
| |||||||
JPMorgan Chase & Co. | 91 | 10,007 | ||||||
|
| |||||||
Capital Goods — 15.0% |
| |||||||
3M Co. | 58 | 12,732 | ||||||
Acuity Brands, Inc. | 25 | 3,480 | ||||||
AMETEK, Inc. | 136 | 10,332 | ||||||
Arconic, Inc. | 284 | 6,543 | ||||||
Boeing Co. (The) | 107 | 35,083 | ||||||
Caterpillar, Inc. | 152 | 22,402 | ||||||
Cummins, Inc. | 97 | 15,723 | ||||||
Deere & Co. | 116 | 18,017 | ||||||
Dover Corp. | 93 | 9,134 | ||||||
Eaton Corp. PLC (Ireland) | 63 | 5,034 | ||||||
Emerson Electric Co. | 375 | 25,612 | ||||||
Flowserve Corp. | 77 | 3,336 | ||||||
Fortune Brands Home & Security, Inc. | 90 | 5,300 | ||||||
General Dynamics Corp. | 176 | 38,879 | ||||||
General Electric Co. | 318 | 4,287 | ||||||
Harris Corp. | 67 | 10,806 | ||||||
Honeywell International, Inc. | 191 | 27,602 | ||||||
Huntington Ingalls Industries, Inc. | 24 | 6,186 | ||||||
Illinois Tool Works, Inc. | 147 | 23,029 | ||||||
Ingersoll-Rand PLC (Ireland) | 112 | 9,577 | ||||||
Johnson Controls International PLC (Ireland) | 298 | 10,502 | ||||||
L3 Technologies, Inc. | 46 | 9,568 | ||||||
Masco Corp. | 185 | 7,481 | ||||||
Pentair PLC (Ireland) | 107 | 7,290 | ||||||
Raytheon Co. | 171 | 36,905 | ||||||
Snap-on, Inc. | 33 | 4,869 | ||||||
Stanley Black & Decker, Inc. | 92 | 14,094 | ||||||
TransDigm Group, Inc. | 20 | 6,139 | ||||||
United Technologies Corp. | 149 | 18,747 | ||||||
WW Grainger, Inc. | 34 | 9,597 | ||||||
Xylem, Inc. | 106 | 8,154 | ||||||
|
| |||||||
426,440 | ||||||||
|
|
Number Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — 0.4% |
| |||||||
Nielsen Holdings PLC (United Kingdom) | 210 | $ | 6,676 | |||||
Republic Services, Inc. | 3 | 199 | ||||||
Robert Half International, Inc. | 73 | 4,226 | ||||||
|
| |||||||
11,101 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.7% |
| |||||||
Hanesbrands, Inc. | 214 | 3,942 | ||||||
Hasbro, Inc. | 22 | 1,855 | ||||||
Leggett & Platt, Inc. | 72 | 3,194 | ||||||
Mattel, Inc. | 204 | 2,683 | ||||||
Michael Kors Holdings Ltd. (British Virgin Islands)* | 95 | 5,898 | ||||||
Newell Brands, Inc. | 288 | 7,338 | ||||||
Ralph Lauren Corp. | 49 | 5,478 | ||||||
Under Armour, Inc., Class C* | 118 | 1,693 | ||||||
VF Corp. | 234 | 17,344 | ||||||
|
| |||||||
49,425 | ||||||||
|
| |||||||
Consumer Services — 2.6% |
| |||||||
Hilton Worldwide Holdings, Inc. | 71 | 5,592 | ||||||
Marriott International, Inc., Class A | 134 | 18,221 | ||||||
McDonald’s Corp. | 157 | 24,552 | ||||||
Royal Caribbean Cruises Ltd. (Liberia) | 5 | 589 | ||||||
Wyndham Worldwide Corp. | 63 | 7,209 | ||||||
Yum! Brands, Inc. | 203 | 17,281 | ||||||
|
| |||||||
73,444 | ||||||||
|
| |||||||
Diversified Financials — 6.8% |
| |||||||
American Express Co. | 163 | 15,205 | ||||||
Bank of New York Mellon Corp. (The) | 52 | 2,680 | ||||||
Berkshire Hathaway, Inc., Class B* | 129 | 25,733 | ||||||
BlackRock, Inc. | 77 | 41,713 | ||||||
CME Group, Inc. | 35 | 5,661 | ||||||
Franklin Resources, Inc. | 327 | 11,340 | ||||||
Intercontinental Exchange, Inc. | 344 | 24,947 | ||||||
Invesco Ltd. (Bermuda) | 240 | 7,682 | ||||||
Moody’s Corp. | 78 | 12,581 | ||||||
Nasdaq, Inc. | 99 | 8,536 | ||||||
S&P Global, Inc. | 87 | 16,622 | ||||||
State Street Corp. | 33 | 3,291 | ||||||
T Rowe Price Group, Inc. | 145 | 15,656 | ||||||
|
| |||||||
191,647 | ||||||||
|
| |||||||
Energy — 5.5% |
| |||||||
Andeavor | 90 | 9,050 |
The accompanying notes are an integral part of the financial statements.
111
GOTHAM INSTITUTIONAL VALUE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Apache Corp. | 225 | $ | 8,658 | |||||
Cabot Oil & Gas Corp. | 272 | 6,523 | ||||||
ConocoPhillips | 701 | 41,562 | ||||||
Hess Corp. | 186 | 9,415 | ||||||
Marathon Petroleum Corp. | 288 | 21,056 | ||||||
Phillips 66 | 297 | 28,488 | ||||||
TechnipFMC PLC (United Kingdom) | 270 | 7,952 | ||||||
Valero Energy Corp. | 258 | 23,935 | ||||||
|
| |||||||
156,639 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.8% | ||||||||
CVS Health Corp. | 350 | 21,774 | ||||||
Kroger Co. (The) | 515 | 12,329 | ||||||
Sysco Corp. | 94 | 5,636 | ||||||
Walgreens Boots Alliance, Inc. | 212 | 13,880 | ||||||
Walmart, Inc. | 304 | 27,047 | ||||||
|
| |||||||
80,666 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 4.6% | ||||||||
Altria Group, Inc. | 542 | 33,778 | ||||||
Coca-Cola Co. (The) | 107 | 4,647 | ||||||
Conagra Brands, Inc. | 145 | 5,348 | ||||||
Dr Pepper Snapple Group, Inc. | 1 | 118 | ||||||
General Mills, Inc. | 337 | 15,185 | ||||||
Hershey Co. (The) | 124 | 12,271 | ||||||
JM Smucker Co. (The) | 25 | 3,100 | ||||||
Kraft Heinz Co. (The) | 358 | 22,300 | ||||||
PepsiCo, Inc. | 151 | 16,482 | ||||||
Tyson Foods, Inc., Class A | 218 | 15,955 | ||||||
|
| |||||||
129,184 | ||||||||
|
| |||||||
Health Care Equipment & Services — 5.2% |
| |||||||
Abbott Laboratories | 146 | 8,748 | ||||||
Aetna, Inc. | 108 | 18,252 | ||||||
AmerisourceBergen Corp. | 103 | 8,880 | ||||||
Anthem, Inc. | 2 | 439 | ||||||
Cigna Corp. | 146 | 24,490 | ||||||
Envision Healthcare Corp.* | 69 | 2,652 | ||||||
Express Scripts Holding Co.* | 331 | 22,865 | ||||||
Humana, Inc. | 73 | 19,625 | ||||||
Laboratory Corp. of America Holdings* | 61 | 9,867 | ||||||
Quest Diagnostics, Inc. | 79 | 7,924 | ||||||
UnitedHealth Group, Inc. | 71 | 15,194 | ||||||
Universal Health Services, Inc., Class B | 23 | 2,723 |
Number Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Varian Medical Systems, Inc.* | 54 | $ | 6,623 | |||||
|
| |||||||
148,282 | ||||||||
|
| |||||||
Household & Personal Products — 1.7% |
| |||||||
Estee Lauder Cos., Inc. (The), Class A | 78 | 11,678 | ||||||
Kimberly-Clark Corp. | 74 | 8,150 | ||||||
Procter & Gamble Co. (The) | 356 | 28,224 | ||||||
|
| |||||||
48,052 | ||||||||
|
| |||||||
Insurance — 3.4% | ||||||||
Aflac, Inc. | 243 | 10,634 | ||||||
Allstate Corp. (The) | 111 | 10,523 | ||||||
Aon PLC (United Kingdom) | 146 | 20,488 | ||||||
Hartford Financial Services Group, Inc. (The) | 41 | 2,112 | ||||||
Loews Corp. | 81 | 4,028 | ||||||
Marsh & McLennan Cos., Inc. | 301 | 24,860 | ||||||
Progressive Corp. (The) | 188 | 11,455 | ||||||
Prudential Financial, Inc. | 5 | 518 | ||||||
Torchmark Corp. | 67 | 5,639 | ||||||
Travelers Cos., Inc. (The) | 48 | 6,665 | ||||||
|
| |||||||
96,922 | ||||||||
|
| |||||||
Materials — 5.5% | ||||||||
Air Products & Chemicals, Inc. | 2 | 318 | ||||||
Avery Dennison Corp. | 53 | 5,631 | ||||||
Eastman Chemical Co. | 85 | 8,974 | ||||||
Ecolab, Inc. | 16 | 2,193 | ||||||
Freeport-McMoRan, Inc. | 856 | 15,040 | ||||||
International Flavors & Fragrances, Inc. | 46 | 6,298 | ||||||
International Paper Co. | 245 | 13,090 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 233 | 24,623 | ||||||
Monsanto Co. | 261 | 30,456 | ||||||
Packaging Corp. of America | 16 | 1,803 | ||||||
PPG Industries, Inc. | 151 | 16,852 | ||||||
Praxair, Inc. | 57 | 8,225 | ||||||
Sealed Air Corp. | 107 | 4,579 | ||||||
Sherwin-Williams Co. (The) | 43 | 16,861 | ||||||
|
| |||||||
154,943 | ||||||||
|
| |||||||
Media — 3.3% | ||||||||
CBS Corp., Class B, non-voting shares | 175 | 8,993 | ||||||
Discovery, Inc., Class A* | 336 | 7,200 |
The accompanying notes are an integral part of the financial statements.
112
GOTHAM INSTITUTIONAL VALUE FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media — (Continued) |
| |||||||
Interpublic Group of Cos., Inc. (The) | 229 | $ | 5,274 | |||||
News Corp., Class A | 345 | 5,451 | ||||||
Omnicom Group, Inc. | 136 | 9,883 | ||||||
Time Warner, Inc. | 344 | 32,536 | ||||||
Twenty-First Century Fox, Inc., Class A | 440 | 16,144 | ||||||
Viacom, Inc., Class B | 238 | 7,392 | ||||||
|
| |||||||
92,873 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 11.3% |
| |||||||
AbbVie, Inc. | 457 | 43,255 | ||||||
Amgen, Inc. | 248 | 42,279 | ||||||
Biogen, Inc.* | 107 | 29,299 | ||||||
Celgene Corp.* | 303 | 27,031 | ||||||
Gilead Sciences, Inc. | 518 | 39,052 | ||||||
Johnson & Johnson | 277 | 35,498 | ||||||
Merck & Co., Inc. | 531 | 28,924 | ||||||
Perrigo Co. PLC (Ireland) | 11 | 917 | ||||||
Pfizer, Inc. | 1,262 | 44,789 | ||||||
Waters Corp.* | 28 | 5,562 | ||||||
Zoetis, Inc. | 287 | 23,967 | ||||||
|
| |||||||
320,573 | ||||||||
|
| |||||||
Real Estate — 1.0% | ||||||||
CBRE Group, Inc., Class A* | 201 | 9,491 | ||||||
Equity Residential, REIT | 71 | 4,375 | ||||||
Weyerhaeuser Co., REIT | 446 | 15,610 | ||||||
|
| |||||||
29,476 | ||||||||
|
| |||||||
Retailing — 5.6% | ||||||||
Advance Auto Parts, Inc. | 44 | 5,216 | ||||||
AutoZone, Inc.* | 2 | 1,297 | ||||||
Best Buy Co., Inc. | 181 | 12,668 | ||||||
Booking Holdings, Inc.* | 13 | 27,045 | ||||||
Dollar Tree, Inc.* | 3 | 285 | ||||||
Foot Locker, Inc. | 75 | 3,416 | ||||||
Gap, Inc. (The) | 230 | 7,176 | ||||||
Home Depot, Inc. (The) | 125 | 22,280 | ||||||
Kohl’s Corp. | 99 | 6,485 | ||||||
L Brands, Inc. | 166 | 6,343 | ||||||
Macy’s, Inc. | 180 | 5,353 | ||||||
Nordstrom, Inc. | 98 | 4,744 | ||||||
O’Reilly Automotive, Inc.* | 2 | 495 | ||||||
Ross Stores, Inc. | 204 | 15,908 | ||||||
Target Corp. | 126 | 8,748 | ||||||
Tiffany & Co. | 73 | 7,129 |
Number Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Retailing — (Continued) | ||||||||
TJX Cos., Inc. (The) | 249 | $ | 20,308 | |||||
Tractor Supply Co. | 74 | 4,663 | ||||||
|
| |||||||
159,559 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.5% | ||||||||
Applied Materials, Inc. | 409 | 22,744 | ||||||
Intel Corp. | 422 | 21,978 | ||||||
KLA-Tencor Corp. | 31 | 3,379 | ||||||
Lam Research Corp. | 103 | 20,925 | ||||||
Micron Technology, Inc.* | 761 | 39,679 | ||||||
Qorvo, Inc.* | 74 | 5,213 | ||||||
QUALCOMM, Inc. | 410 | 22,718 | ||||||
Skyworks Solutions, Inc. | 63 | 6,316 | ||||||
Texas Instruments, Inc. | 386 | 40,102 | ||||||
|
| |||||||
183,054 | ||||||||
|
| |||||||
Software & Services — 5.2% | ||||||||
Accenture PLC, Class A (Ireland) | 172 | 26,402 | ||||||
Alliance Data Systems Corp. | 32 | 6,812 | ||||||
CA, Inc. | 243 | 8,238 | ||||||
CSRA, Inc. | 10 | 412 | ||||||
DXC Technology Co. | 166 | 16,688 | ||||||
eBay, Inc.* | 134 | 5,392 | ||||||
Fidelity National Information Services, Inc. | 148 | 14,252 | ||||||
International Business Machines Corp. | 219 | 33,601 | ||||||
Oracle Corp. | 169 | 7,732 | ||||||
Paychex, Inc. | 212 | 13,057 | ||||||
Total System Services, Inc. | 74 | 6,383 | ||||||
VeriSign, Inc.* | 5 | 593 | ||||||
Visa, Inc., Class A | 56 | 6,699 | ||||||
|
| |||||||
146,261 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 6.1% | ||||||||
Apple, Inc. | 272 | 45,636 | ||||||
Cisco Systems, Inc. | 938 | 40,231 | ||||||
F5 Networks, Inc.* | 38 | 5,495 | ||||||
FLIR Systems, Inc. | 3 | 150 | ||||||
Hewlett Packard Enterprise Co. | 395 | 6,928 | ||||||
HP, Inc. | 968 | 21,219 | ||||||
Juniper Networks, Inc. | 222 | 5,401 | ||||||
Motorola Solutions, Inc. | 95 | 10,004 | ||||||
NetApp, Inc. | 158 | 9,747 | ||||||
Seagate Technology PLC (Ireland) | 170 | 9,948 | ||||||
TE Connectivity Ltd. (Switzerland) | 2 | 200 |
The accompanying notes are an integral part of the financial statements.
113
GOTHAM INSTITUTIONAL VALUE FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Western Digital Corp. | 135 | $ | 12,456 | |||||
Xerox Corp. | 150 | 4,317 | ||||||
|
| |||||||
171,732 | ||||||||
|
| |||||||
Telecommunication Services — 1.1% |
| |||||||
AT&T, Inc. | 117 | 4,171 | ||||||
Verizon Communications, Inc. | 572 | 27,353 | ||||||
|
| |||||||
31,524 | ||||||||
|
| |||||||
Transportation — 1.8% | ||||||||
Delta Air Lines, Inc. | 132 | 7,235 | ||||||
Expeditors International of Washington, Inc. | 104 | 6,583 | ||||||
Norfolk Southern Corp. | 127 | 17,244 | ||||||
Union Pacific Corp. | 156 | 20,971 | ||||||
|
| |||||||
52,033 | ||||||||
|
| |||||||
Utilities — 0.5% | ||||||||
FirstEnergy Corp. | 263 | 8,945 | ||||||
NRG Energy, Inc. | 188 | 5,740 | ||||||
|
| |||||||
14,685 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS - 99.6% | 2,826,116 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% | 10,098 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,836,214 | ||||||
|
|
* | Non-income producing. |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
114
GOTHAM TOTAL RETURN FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES(a) — 99.0% |
| |||||||
Gotham Absolute 500 Fund | 377,997 | $ | 4,569,989 | |||||
Gotham Defensive Long 500 Fund | 555,803 | 6,992,004 | ||||||
Gotham Enhanced 500 Fund | 283,244 | 3,588,699 | ||||||
Gotham Index Plus Fund | 336,179 | 4,780,460 | ||||||
Gotham Neutral Fund* | 301,920 | 3,209,414 | ||||||
|
| |||||||
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES | 23,140,566 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.0% | 239,149 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 23,379,715 | ||||||
|
|
(a) | All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds are publicly available on the Securities and Exchange Commission’s website. |
* | Non-income producing. |
The accompanying notes are an integral part of the financial statements.
115
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
LONG POSITIONS — 94.8% | ||||||||
COMMON STOCKS — 29.1% | ||||||||
Automobiles & Components — 0.9% |
| |||||||
Aptiv PLC (Jersey) | 107 | $ | 9,092 | |||||
Fiat Chrysler Automobiles NV (Netherlands)† | 429 | 8,803 | ||||||
General Motors Co.† | 114 | 4,143 | ||||||
Gentex Corp.† | 74 | 1,703 | ||||||
Lear Corp.† | 45 | 8,374 | ||||||
Tenneco, Inc.† | 107 | 5,871 | ||||||
Thor Industries, Inc. | 1 | 115 | ||||||
|
| |||||||
38,101 | ||||||||
|
| |||||||
Capital Goods — 5.7% | ||||||||
Acuity Brands, Inc.† | 35 | 4,872 | ||||||
Allegion PLC (Ireland)† | 75 | 6,397 | ||||||
Allison Transmission Holdings, Inc.† | 486 | 18,983 | ||||||
AMETEK, Inc.† | 21 | 1,595 | ||||||
Arconic, Inc.† | 350 | 8,064 | ||||||
Caterpillar, Inc.† | 136 | 20,044 | ||||||
Crane Co.† | 72 | 6,677 | ||||||
Cummins, Inc.† | 109 | 17,668 | ||||||
Curtiss-Wright Corp.† | 37 | 4,998 | ||||||
Dover Corp.† | 121 | 11,885 | ||||||
Fortune Brands Home & Security, Inc.† | 111 | 6,537 | ||||||
Gardner Denver Holdings, Inc.†* | 60 | 1,841 | ||||||
Generac Holdings, Inc.†* | 211 | 9,687 | ||||||
Harris Corp.† | 9 | 1,452 | ||||||
Hillenbrand, Inc.† | 49 | 2,249 | ||||||
Hubbell, Inc.† | 69 | 8,403 | ||||||
Illinois Tool Works, Inc. | 3 | 470 | ||||||
John Bean Technologies Corp.† | 7 | 794 | ||||||
Masco Corp.† | 240 | 9,706 | ||||||
Navistar International Corp.†* | 356 | 12,449 | ||||||
Oshkosh Corp.† | 12 | 927 | ||||||
Owens Corning† | 196 | 15,758 | ||||||
Rexnord Corp.†* | 270 | 8,014 | ||||||
Snap-on, Inc.† | 44 | 6,492 | ||||||
Stanley Black & Decker, Inc.† | 93 | 14,248 | ||||||
Teledyne Technologies, Inc.†* | 16 | 2,995 | ||||||
Terex Corp.† | 171 | 6,397 | ||||||
TransDigm Group, Inc.† | 6 | 1,842 | ||||||
Trex Co., Inc.†* | 67 | 7,288 | ||||||
Univar, Inc.†* | 112 | 3,108 | ||||||
Wabtec Corp.† | 100 | 8,140 | ||||||
Welbilt, Inc.†* | 74 | 1,439 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
WESCO International, Inc.†* | 24 | $ | 1,489 | |||||
Xylem, Inc.† | 96 | 7,384 | ||||||
|
| |||||||
240,292 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.3% |
| |||||||
Cimpress NV (Netherlands)†* | 19 | 2,939 | ||||||
Deluxe Corp.† | 106 | 7,845 | ||||||
Dun & Bradstreet Corp. (The)† | 9 | 1,053 | ||||||
ManpowerGroup, Inc. | 17 | 1,957 | ||||||
|
| |||||||
13,794 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.5% |
| |||||||
Carter’s, Inc.† | 121 | 12,596 | ||||||
Deckers Outdoor Corp.†* | 92 | 8,283 | ||||||
Gildan Activewear, Inc. (Canada)† | 157 | 4,536 | ||||||
Hanesbrands, Inc.† | 140 | 2,579 | ||||||
Lululemon Athletica, Inc.* | 55 | 4,902 | ||||||
Polaris Industries, Inc.† | 60 | 6,871 | ||||||
Ralph Lauren Corp.† | 138 | 15,428 | ||||||
Tupperware Brands Corp.† | 94 | 4,548 | ||||||
Wolverine World Wide, Inc.† | 59 | 1,705 | ||||||
|
| |||||||
61,448 | ||||||||
|
| |||||||
Consumer Services — 1.5% | ||||||||
Choice Hotels International, Inc.† | 11 | 882 | ||||||
Dunkin’ Brands Group, Inc.† | 6 | 358 | ||||||
Grand Canyon Education, Inc.†* | 15 | 1,574 | ||||||
Hilton Worldwide Holdings, Inc.† | 139 | 10,948 | ||||||
Las Vegas Sands Corp.† | 61 | 4,386 | ||||||
Marriott International, Inc., Class A† | 79 | 10,742 | ||||||
Restaurant Brands International, Inc. (Canada)† | 68 | 3,871 | ||||||
Six Flags Entertainment Corp.† | 175 | 10,895 | ||||||
Stars Group, Inc. (The) (Canada)†* | 79 | 2,176 | ||||||
Weight Watchers International, Inc.†* | 234 | 14,910 | ||||||
|
| |||||||
60,742 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.6% |
| |||||||
CVS Health Corp. | 47 | 2,924 | ||||||
Kroger Co. (The)† | 747 | 17,883 | ||||||
Sysco Corp.† | 41 | 2,458 | ||||||
|
| |||||||
23,265 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 2.2% |
| |||||||
Altria Group, Inc.† | 189 | 11,778 | ||||||
General Mills, Inc.† | 120 | 5,407 | ||||||
Ingredion, Inc.† | 38 | 4,899 | ||||||
Kraft Heinz Co. (The)† | 43 | 2,678 |
The accompanying notes are an integral part of the financial statements.
116
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
McCormick & Co., Inc., non-voting shares† | 94 | $ | 10,001 | |||||
Molson Coors Brewing Co., Class B† | 111 | 8,362 | ||||||
National Beverage Corp.† | 53 | 4,718 | ||||||
Philip Morris International, Inc.† | 175 | 17,395 | ||||||
Pilgrim’s Pride Corp.†* | 464 | 11,419 | ||||||
Tyson Foods, Inc., Class A† | 237 | 17,346 | ||||||
|
| |||||||
94,003 | ||||||||
|
| |||||||
Health Care Equipment & Services — 1.7% |
| |||||||
AmerisourceBergen Corp.† | 147 | 12,673 | ||||||
athenahealth, Inc.†* | 10 | 1,430 | ||||||
Cotiviti Holdings, Inc.†* | 118 | 4,064 | ||||||
DENTSPLY SIRONA, Inc.† | 54 | 2,717 | ||||||
Envision Healthcare Corp.* | 28 | 1,076 | ||||||
Express Scripts Holding Co.†* | 213 | 14,714 | ||||||
Laboratory Corp. of America Holdings†* | 79 | 12,778 | ||||||
Masimo Corp.†* | 83 | 7,300 | ||||||
Universal Health Services, Inc., Class B† | 89 | 10,538 | ||||||
Varian Medical Systems, Inc.†* | 29 | 3,557 | ||||||
|
| |||||||
70,847 | ||||||||
|
| |||||||
Household & Personal Products — 0.7% |
| |||||||
Church & Dwight Co., Inc.† | 127 | 6,396 | ||||||
Energizer Holdings, Inc.† | 43 | 2,562 | ||||||
Spectrum Brands Holdings, Inc.† | 201 | 20,844 | ||||||
|
| |||||||
29,802 | ||||||||
|
| |||||||
Media — 0.7% | ||||||||
CBS Corp., Class B, non-voting shares† | 130 | 6,681 | ||||||
Discovery, Inc., Class A†* | 328 | 7,029 | ||||||
Interpublic Group of Cos., Inc. | 234 | 5,389 | ||||||
John Wiley & Sons, Inc., Class A† | 12 | 764 | ||||||
Lions Gate Entertainment Corp., Class B (Canada)† | 55 | 1,324 | ||||||
News Corp., Class A† | 471 | 7,442 | ||||||
Viacom, Inc., Class B† | 32 | 994 | ||||||
|
| |||||||
29,623 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 2.3% |
| |||||||
AbbVie, Inc.† | 85 | 8,045 | ||||||
Amgen, Inc.† | 43 | 7,331 | ||||||
Biogen, Inc.†* | 66 | 18,072 | ||||||
Celgene Corp.†* | 118 | 10,527 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Halozyme Therapeutics, Inc.†* | 91 | $ | 1,783 | |||||
Perrigo Co. PLC (Ireland)† | 28 | 2,334 | ||||||
Pfizer, Inc.† | 138 | 4,898 | ||||||
PRA Health Sciences, Inc.†* | 17 | 1,410 | ||||||
Regeneron Pharmaceuticals, Inc.†* | 30 | 10,331 | ||||||
United Therapeutics Corp.†* | 142 | 15,955 | ||||||
Vertex Pharmaceuticals, Inc.†* | 20 | 3,260 | ||||||
Waters Corp.* | 2 | 397 | ||||||
Zoetis, Inc.† | 133 | 11,107 | ||||||
|
| |||||||
95,450 | ||||||||
|
| |||||||
Retailing — 2.7% | ||||||||
American Eagle Outfitters, Inc.† | 265 | 5,281 | ||||||
AutoZone, Inc.†* | 3 | 1,946 | ||||||
Best Buy Co., Inc.† | 25 | 1,750 | ||||||
Booking Holdings, Inc.†* | 6 | 12,482 | ||||||
Dick’s Sporting Goods, Inc.† | 308 | 10,795 | ||||||
Dollar Tree, Inc.†* | 31 | 2,942 | ||||||
Five Below, Inc.†* | 66 | 4,840 | ||||||
Kohl’s Corp.† | 256 | 16,771 | ||||||
L Brands, Inc.† | 269 | 10,278 | ||||||
Lowe’s Cos., Inc.† | 132 | 11,583 | ||||||
Michaels Cos., Inc. (The)†* | 184 | 3,627 | ||||||
Nordstrom, Inc. | 18 | 871 | ||||||
O’Reilly Automotive, Inc.†* | 20 | 4,948 | ||||||
Ross Stores, Inc.† | 87 | 6,784 | ||||||
Signet Jewelers Ltd. (Bermuda) | 13 | 501 | ||||||
Tiffany & Co.† | 92 | 8,985 | ||||||
Tractor Supply Co.† | 20 | 1,260 | ||||||
Ulta Beauty, Inc.†* | 43 | 8,784 | ||||||
Williams-Sonoma, Inc. | 10 | 528 | ||||||
|
| |||||||
114,956 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.6% |
| |||||||
Advanced Energy Industries, Inc.†* | 124 | 7,924 | ||||||
Advanced Micro Devices, Inc.* | 362 | 3,638 | ||||||
Analog Devices, Inc.† | 149 | 13,578 | ||||||
Applied Materials, Inc.† | 279 | 15,515 | ||||||
Broadcom Ltd. (Singapore)† | 33 | 7,776 | ||||||
Cypress Semiconductor Corp.† | 263 | 4,460 | ||||||
Entegris, Inc.† | 62 | 2,158 | ||||||
First Solar, Inc.†* | 67 | 4,756 | ||||||
Intel Corp.† | 36 | 1,875 | ||||||
Lam Research Corp.† | 65 | 13,205 |
The accompanying notes are an integral part of the financial statements.
117
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Marvell Technology Group Ltd. (Bermuda)† | 599 | $ | 12,579 | |||||
Micron Technology, Inc.†* | 298 | 15,538 | ||||||
MKS Instruments, Inc.† | 136 | 15,728 | ||||||
ON Semiconductor Corp.†* | 137 | 3,351 | ||||||
Qorvo, Inc.* | 30 | 2,114 | ||||||
Skyworks Solutions, Inc.† | 43 | 4,311 | ||||||
Teradyne, Inc.† | 342 | 15,633 | ||||||
Texas Instruments, Inc.† | 70 | 7,272 | ||||||
|
| |||||||
151,411 | ||||||||
|
| |||||||
Software & Services — 1.8% | ||||||||
Accenture PLC, Class A (Ireland) | 13 | 1,996 | ||||||
Alliance Data Systems Corp.† | 22 | 4,683 | ||||||
Alphabet, Inc., Class A* | 4 | 4,149 | ||||||
CACI International, Inc., Class A†* | 12 | 1,816 | ||||||
Conduent, Inc.†* | 101 | 1,883 | ||||||
DST Systems, Inc.† | 65 | 5,437 | ||||||
Etsy, Inc.†* | 136 | 3,816 | ||||||
Euronet Worldwide, Inc.†* | 125 | 9,865 | ||||||
Facebook, Inc., Class A†* | 64 | 10,226 | ||||||
Gartner, Inc.†* | 26 | 3,058 | ||||||
j2 Global, Inc.† | 35 | 2,762 | ||||||
LogMeIn, Inc.† | 35 | 4,044 | ||||||
MAXIMUS, Inc.† | 31 | 2,069 | ||||||
Open Text Corp. (Canada)† | 18 | 626 | ||||||
Oracle Corp.† | 198 | 9,058 | ||||||
Symantec Corp.† | 314 | 8,117 | ||||||
Total System Services, Inc.† | 5 | 431 | ||||||
Zynga, Inc., Class A* | 118 | 432 | ||||||
|
| |||||||
74,468 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 1.9% |
| |||||||
Apple, Inc.† | 58 | 9,731 | ||||||
Arista Networks, Inc.†* | 40 | 10,212 | ||||||
CDW Corp.† | 118 | 8,297 | ||||||
Ciena Corp.†* | 124 | 3,212 | ||||||
Coherent, Inc.†* | 34 | 6,372 | ||||||
Itron, Inc.†* | 42 | 3,005 | ||||||
Jabil, Inc.† | 254 | 7,297 | ||||||
Juniper Networks, Inc.† | 94 | 2,287 | ||||||
Motorola Solutions, Inc.† | 4 | 421 | ||||||
NetApp, Inc.† | 132 | 8,143 | ||||||
Tech Data Corp.* | 8 | 681 | ||||||
Ubiquiti Networks, Inc.†* | 17 | 1,170 | ||||||
Vishay Intertechnology, Inc.† | 668 | 12,425 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Western Digital Corp.† | 20 | $ | 1,845 | |||||
Zebra Technologies Corp., Class A†* | 39 | 5,428 | ||||||
|
| |||||||
80,526 | ||||||||
|
| |||||||
Telecommunication Services — 0.1% |
| |||||||
Rogers Communications, Inc., Class B (Canada)† | 67 | 2,994 | ||||||
|
| |||||||
Transportation — 0.9% | ||||||||
Canadian Pacific Railway Ltd. (Canada)† | 44 | 7,766 | ||||||
Expeditors International of Washington, Inc.† | 188 | 11,900 | ||||||
Norfolk Southern Corp.† | 86 | 11,677 | ||||||
Union Pacific Corp.† | 42 | 5,646 | ||||||
|
| |||||||
36,989 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 1,218,711 | |||||||
|
| |||||||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES(a) — 61.0% |
| |||||||
Gotham Neutral 500 Fund | 134,228 | 1,515,435 | ||||||
Gotham Neutral Fund* | 97,843 | 1,040,071 | ||||||
|
| |||||||
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES | 2,555,506 | |||||||
|
| |||||||
Par Value | ||||||||
U.S. TREASURY OBLIGATIONS — 4.7% |
| |||||||
U.S. Treasury Bill — 4.7% | ||||||||
United States Treasury Bill 1.06% 04/26/2018†(b) | $ | 200,000 | 199,854 | |||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS | 199,854 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 94.8% | 3,974,071 | |||||||
|
| |||||||
(Cost $3,803,233) |
The accompanying notes are an integral part of the financial statements.
118
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
SHORT POSITIONS — (29.1)% | ||||||||
COMMON STOCKS — (29.1)% | ||||||||
Automobiles & Components — (1.0)% |
| |||||||
Adient PLC (Ireland) | (310 | ) | $ | (18,526 | ) | |||
Ford Motor Co. | (894 | ) | (9,906 | ) | ||||
Visteon Corp.* | (106 | ) | (11,685 | ) | ||||
|
| |||||||
(40,117 | ) | |||||||
|
| |||||||
Capital Goods — (2.9)% | ||||||||
Barnes Group, Inc. | (46 | ) | (2,755 | ) | ||||
BWX Technologies, Inc. | (66 | ) | (4,193 | ) | ||||
CAE, Inc. (Canada) | (97 | ) | (1,803 | ) | ||||
Carlisle Cos., Inc. | (36 | ) | (3,759 | ) | ||||
Donaldson Co., Inc. | (78 | ) | (3,514 | ) | ||||
Fortive Corp. | (78 | ) | (6,047 | ) | ||||
HEICO Corp. | (50 | ) | (4,340 | ) | ||||
Hexcel Corp. | (231 | ) | (14,920 | ) | ||||
Huntington Ingalls Industries, Inc. | (2 | ) | (516 | ) | ||||
ITT, Inc. | (2 | ) | (98 | ) | ||||
JELD-WEN Holding, Inc.* | (84 | ) | (2,572 | ) | ||||
KLX, Inc.* | (27 | ) | (1,919 | ) | ||||
Lennox International, Inc. | (33 | ) | (6,744 | ) | ||||
Maxar Technologies Ltd. (Canada) | (1 | ) | (46 | ) | ||||
Middleby Corp. (The)* | (36 | ) | (4,456 | ) | ||||
Moog, Inc., Class A* | (58 | ) | (4,780 | ) | ||||
Northrop Grumman Corp. | (29 | ) | (10,124 | ) | ||||
Proto Labs, Inc.* | (63 | ) | (7,406 | ) | ||||
RBC Bearings, Inc.* | (19 | ) | (2,360 | ) | ||||
Regal Beloit Corp. | (16 | ) | (1,174 | ) | ||||
SiteOne Landscape Supply, Inc.* | (121 | ) | (9,322 | ) | ||||
Spirit Aerosystems Holdings, Inc., Class A | (6 | ) | (502 | ) | ||||
Timken Co. (The) | (110 | ) | (5,016 | ) | ||||
United Rentals, Inc.* | (62 | ) | (10,709 | ) | ||||
USG Corp.* | (27 | ) | (1,091 | ) | ||||
WABCO Holdings, Inc.* | (23 | ) | (3,079 | ) | ||||
Woodward, Inc. | (125 | ) | (8,958 | ) | ||||
|
| |||||||
(122,203 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (1.4)% |
| |||||||
ASGN, Inc.* | (17 | ) | (1,392 | ) | ||||
CoStar Group, Inc.* | (9 | ) | (3,264 | ) | ||||
KAR Auction Services, Inc. | (223 | ) | (12,087 | ) | ||||
Ritchie Bros Auctioneers, Inc. (Canada) | (294 | ) | (9,252 | ) | ||||
Rollins, Inc. | (161 | ) | (8,216 | ) | ||||
Stantec, Inc. (Canada) | (4 | ) | (99 | ) | ||||
Tetra Tech, Inc. | (6 | ) | (294 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
TransUnion* | (25 | ) | $ (1,420 | ) | ||||
UniFirst Corp. | (1 | ) | (162 | ) | ||||
Verisk Analytics, Inc.* | (84 | ) | (8,736 | ) | ||||
Waste Connections, Inc. (Canada) | (88 | ) | (6,313 | ) | ||||
Waste Management, Inc. | (64 | ) | (5,384 | ) | ||||
|
| |||||||
(56,619 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.7)% |
| |||||||
Mattel, Inc. | (516 | ) | (6,785 | ) | ||||
Mohawk Industries, Inc.* | (57 | ) | (13,236 | ) | ||||
NIKE, Inc., Class B | (243 | ) | (16,145 | ) | ||||
PVH Corp. | (4 | ) | (606 | ) | ||||
Skechers U.S.A., Inc., Class A* | (350 | ) | (13,611 | ) | ||||
Under Armour, Inc., Class C* | (1,393 | ) | (19,990 | ) | ||||
|
| |||||||
(70,373 | ) | |||||||
|
| |||||||
Consumer Services — (1.8)% | ||||||||
Aramark. | (120 | ) | (4,747 | ) | ||||
Carnival Corp. (Panama) | (84 | ) | (5,509 | ) | ||||
Churchill Downs, Inc. | (11 | ) | (2,685 | ) | ||||
ILG, Inc. | (543 | ) | (16,893 | ) | ||||
International Game Technology PLC | (89 | ) | (2,379 | ) | ||||
MGM Resorts International | (276 | ) | (9,666 | ) | ||||
Norwegian Cruise Line Holdings Ltd. | (3 | ) | (159 | ) | ||||
Planet Fitness, Inc., Class A* | (144 | ) | (5,439 | ) | ||||
Red Rock Resorts, Inc., Class A | (169 | ) | (4,948 | ) | ||||
Service Corp. International | (5 | ) | (189 | ) | ||||
Starbucks Corp. | (195 | ) | (11,289 | ) | ||||
Wendy’s Co. (The) | (619 | ) | (10,863 | ) | ||||
Yum! Brands, Inc. | (26 | ) | (2,213 | ) | ||||
|
| |||||||
(76,979 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.5)% |
| |||||||
Casey’s General Stores, Inc. | (139 | ) | (15,258 | ) | ||||
Costco Wholesale Corp. | (28 | ) | (5,276 | ) | ||||
PriceSmart, Inc. | (9 | ) | (752 | ) | ||||
|
| |||||||
(21,286 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (1.6)% |
| |||||||
Archer-Daniels-Midland Co. | (254 | ) | (11,016 | ) | ||||
Blue Buffalo Pet Products, Inc.* | (256 | ) | (10,191 | ) | ||||
Bunge Ltd. (Bermuda) | (219 | ) | (16,193 | ) | ||||
Constellation Brands, Inc., Class A | (34 | ) | (7,749 | ) | ||||
Darling Ingredients, Inc.* | (555 | ) | (9,602 | ) | ||||
Hain Celestial Group, Inc. (The)* | (289 | ) | (9,268 | ) |
The accompanying notes are an integral part of the financial statements.
119
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Hormel Foods Corp. | (67 | ) | $ | (2,299 | ) | |||
Lamb Weston Holdings, Inc. | (18 | ) | (1,048 | ) | ||||
|
| |||||||
(67,366 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (4.8)% |
| |||||||
Acadia Healthcare Co., Inc.* | (413 | ) | (16,181 | ) | ||||
Align Technology, Inc.* | (4 | ) | (1,005 | ) | ||||
Baxter International, Inc. | (76 | ) | (4,943 | ) | ||||
Becton Dickinson and Co. | (85 | ) | (18,419 | ) | ||||
Cantel Medical Corp. | (14 | ) | (1,560 | ) | ||||
Cardinal Health, Inc. | (158 | ) | (9,903 | ) | ||||
Cerner Corp.* | (308 | ) | (17,864 | ) | ||||
Chemed Corp. | (4 | ) | (1,091 | ) | ||||
Cooper Cos., Inc. (The) | (37 | ) | (8,466 | ) | ||||
DaVita, Inc.* | (200 | ) | (13,188 | ) | ||||
Edwards Lifesciences Corp.* | (11 | ) | (1,535 | ) | ||||
Globus Medical, Inc., Class A* | (71 | ) | (3,537 | ) | ||||
Hologic, Inc.* | (340 | ) | (12,702 | ) | ||||
IDEXX Laboratories, Inc.* | (49 | ) | (9,378 | ) | ||||
Integra LifeSciences Holdings Corp.* | (122 | ) | (6,751 | ) | ||||
Medidata Solutions, Inc.* | (209 | ) | (13,127 | ) | ||||
Neogen Corp.* | (69 | ) | (4,622 | ) | ||||
NuVasive, Inc.* | (95 | ) | (4,960 | ) | ||||
ResMed, Inc. | (43 | ) | (4,234 | ) | ||||
STERIS PLC (United Kingdom) | (51 | ) | (4,761 | ) | ||||
Stryker Corp. | (47 | ) | (7,563 | ) | ||||
Teleflex, Inc. | (25 | ) | (6,374 | ) | ||||
Veeva Systems, Inc., Class A* | (176 | ) | (12,852 | ) | ||||
West Pharmaceutical Services, Inc. | (62 | ) | (5,474 | ) | ||||
Zimmer Biomet Holdings, Inc. | (117 | ) | (12,758 | ) | ||||
|
| |||||||
(203,248 | ) | |||||||
|
| |||||||
Household & Personal Products — 0.0% |
| |||||||
Clorox Co. (The) | (8 | ) | (1,065 | ) | ||||
|
| |||||||
Media — (0.6)% | ||||||||
Charter Communications, Inc., Class A* | (18 | ) | (5,602 | ) | ||||
Live Nation Entertainment, Inc.* | (352 | ) | (14,833 | ) | ||||
Twenty-First Century Fox, Inc., Class A | (112 | ) | (4,109 | ) | ||||
|
| |||||||
(24,544 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (2.0)% |
| |||||||
Bio-Rad Laboratories, Inc., Class A* | (32 | ) | (8,003 | ) | ||||
Bio-Techne Corp. | (67 | ) | (10,120 | ) | ||||
Catalent, Inc.* | (240 | ) | (9,854 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Incyte Corp.* | (191 | ) | $ (15,916 | ) | ||||
Ionis Pharmaceuticals, Inc.* | (386 | ) | (17,015 | ) | ||||
Mylan NV (Netherlands)* | (170 | ) | (6,999 | ) | ||||
PerkinElmer, Inc. | (127 | ) | (9,616 | ) | ||||
QIAGEN NV (Netherlands)* | (198 | ) | (6,397 | ) | ||||
|
| |||||||
(83,920 | ) | |||||||
|
| |||||||
Retailing — (1.7)% | ||||||||
Camping World Holdings, Inc., Class A | (219 | ) | (7,063 | ) | ||||
Dollar General Corp. | (5 | ) | (468 | ) | ||||
Genuine Parts Co. | (163 | ) | (14,644 | ) | ||||
Lithia Motors, Inc., Class A | (8 | ) | (804 | ) | ||||
LKQ Corp.* | (237 | ) | (8,994 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (120 | ) | (7,236 | ) | ||||
Qurate Retail Group, Inc., Class A* | (548 | ) | (13,793 | ) | ||||
TripAdvisor, Inc.* | (449 | ) | (18,360 | ) | ||||
|
| |||||||
(71,362 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (0.5)% |
| |||||||
Microsemi Corp.* | (207 | ) | (13,397 | ) | ||||
Monolithic Power Systems, Inc. | (60 | ) | (6,946 | ) | ||||
Versum Materials, Inc. | (1 | ) | (38 | ) | ||||
|
| |||||||
(20,381 | ) | |||||||
|
| |||||||
Software & Services — (5.0)% | ||||||||
ACI Worldwide, Inc.* | (228 | ) | (5,408 | ) | ||||
Activision Blizzard, Inc. | (273 | ) | (18,417 | ) | ||||
Akamai Technologies, Inc.* | (179 | ) | (12,705 | ) | ||||
ANSYS, Inc.* | (46 | ) | (7,208 | ) | ||||
Aspen Technology, Inc.* | (111 | ) | (8,757 | ) | ||||
Black Knight, Inc.* | (14 | ) | (659 | ) | ||||
Blackbaud, Inc. | (101 | ) | (10,283 | ) | ||||
CommVault Systems, Inc.* | (106 | ) | (6,063 | ) | ||||
Electronic Arts, Inc.* | (111 | ) | (13,458 | ) | ||||
Ellie Mae, Inc.* | (154 | ) | (14,159 | ) | ||||
Fair Isaac Corp.* | (9 | ) | (1,524 | ) | ||||
First Data Corp., Class A* | (255 | ) | (4,080 | ) | ||||
Fortinet, Inc.* | (63 | ) | (3,376 | ) | ||||
GrubHub, Inc.* | (44 | ) | (4,465 | ) | ||||
Guidewire Software, Inc.* | (175 | ) | (14,145 | ) | ||||
IAC/InterActiveCorp.* | (10 | ) | (1,564 | ) | ||||
Intuit, Inc. | (93 | ) | (16,122 | ) | ||||
Nuance Communications, Inc.* | (423 | ) | (6,662 | ) | ||||
Paycom Software, Inc.* | (46 | ) | (4,940 | ) |
The accompanying notes are an integral part of the financial statements.
120
GOTHAM MASTER NEUTRAL FUND
Portfolio of Investments (Concluded)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Pegasystems, Inc. | (168 | ) | $ (10,189 | ) | ||||
PTC, Inc.* | (49 | ) | (3,822 | ) | ||||
Qualys, Inc.* | (96 | ) | (6,984 | ) | ||||
Science Applications International Corp. | (38 | ) | (2,994 | ) | ||||
Synopsys, Inc.* | (123 | ) | (10,239 | ) | ||||
Take-Two Interactive Software, Inc.* | (50 | ) | (4,889 | ) | ||||
Teradata Corp.* | (207 | ) | (8,212 | ) | ||||
Twitter, Inc.* | (257 | ) | (7,456 | ) | ||||
Tyler Technologies, Inc.* | (2 | ) | (422 | ) | ||||
VeriSign, Inc.* | (5 | ) | (593 | ) | ||||
|
| |||||||
(209,795 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (1.8)% |
| |||||||
ARRIS International PLC (United Kingdom)* | (546 | ) | (14,507 | ) | ||||
Arrow Electronics, Inc.* | (93 | ) | (7,163 | ) | ||||
AVX Corp. | (82 | ) | (1,357 | ) | ||||
Corning, Inc. | (655 | ) | (18,261 | ) | ||||
EchoStar Corp., Class A* | (25 | ) | (1,319 | ) | ||||
II-VI, Inc.* | (173 | ) | (7,076 | ) | ||||
Keysight Technologies, Inc.* | (27 | ) | (1,415 | ) | ||||
TE Connectivity Ltd. (Switzerland) | (16 | ) | (1,598 | ) | ||||
Trimble, Inc.* | (217 | ) | (7,786 | ) | ||||
ViaSat, Inc.* | (197 | ) | (12,947 | ) | ||||
|
| |||||||
(73,429 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.2)% |
| |||||||
CenturyLink, Inc. | (571 | ) | (9,382 | ) | ||||
United States Cellular Corp.* | (23 | ) | (924 | ) | ||||
|
| |||||||
(10,306 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (1.6)% |
| |||||||
FedEx Corp. | (76 | ) | $ | (18,248 | ) | |||
JB Hunt Transport Services, Inc. | (66 | ) | (7,732 | ) | ||||
Kirby Corp.* | (35 | ) | (2,693 | ) | ||||
Knight-Swift Transportation Holdings, Inc. | (198 | ) | (9,110 | ) | ||||
Landstar System, Inc. | (23 | ) | (2,522 | ) | ||||
Ryder System, Inc. | (181 | ) | (13,175 | ) | ||||
XPO Logistics, Inc.* | (119 | ) | (12,115 | ) | ||||
|
| |||||||
(65,595 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCK | (1,218,588 | ) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT - (29.1)% |
| (1,218,588 | ) | |||||
|
| |||||||
(Proceeds $1,237,915) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 34.3% | 1,436,022 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 4,191,505 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds are publicly available on the Securities and Exchange Commission’s website. |
(b) | 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.
121
GOTHAM FUNDS
Statements of Assets and Liabilities
March 31, 2018
(Unaudited)
Gotham Absolute 500 Fund | Gotham Absolute 500 Core Fund | Gotham Enhanced 500 Fund | ||||||||||
Assets | ||||||||||||
Non-affiliated investments, at value1,2,3 | $ | 18,985,070 | $ | 2,653,295 | $ | 53,112,719 | ||||||
Cash | 347,809 | 404,900 | 526,818 | |||||||||
Deposits with brokers for securities sold short | 5,572,570 | 554,786 | 2,555,400 | |||||||||
Securities lending cash collateral | — | 2,975 | — | |||||||||
Receivables: | ||||||||||||
Investments sold | 476,187 | 67,684 | 1,407,185 | |||||||||
Capital shares sold | 1,499,440 | — | 224,072 | |||||||||
Dividends and interest | 22,254 | 3,403 | 65,579 | |||||||||
Investment Adviser | — | 2,129 | — | |||||||||
Prepaid expenses and other assets | 16,309 | 2,202 | 15,030 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 26,919,639 | 3,691,374 | 57,906,803 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Securities sold short, at value4 | 10,528,097 | 1,212,815 | 24,808,398 | |||||||||
Payables: | ||||||||||||
Securities lending cash collateral | 883,102 | 2,975 | 2,465,970 | |||||||||
Investments purchased | 1,355,122 | 65,928 | 1,738,811 | |||||||||
Dividends and fees on securities sold short | 12,589 | 1,273 | 37,250 | |||||||||
Investment Adviser | 11,196 | — | 30,021 | |||||||||
Administration and accounting fees | 15,995 | 14,007 | 16,235 | |||||||||
Accrued expenses | 35,603 | 18,186 | 29,437 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 12,841,704 | 1,315,184 | 29,126,122 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 14,077,935 | $ | 2,376,190 | $ | 28,780,681 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consisted of: | ||||||||||||
Capital stock, $0.01 par value | $ | 11,644 | $ | 2,025 | $ | 22,716 | ||||||
Paid-in capital | 11,842,651 | 2,014,150 | 22,802,795 | |||||||||
Accumulated net investment income/(loss) | (7,990 | ) | (622 | ) | 30,081 | |||||||
Accumulated net realized gain from investments and securities sold short | 972,553 | 201,547 | 2,809,378 | |||||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 1,259,077 | 159,090 | 3,115,711 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 14,077,935 | $ | 2,376,190 | $ | 28,780,681 | ||||||
|
|
|
|
|
| |||||||
Institutional Class Shares: | ||||||||||||
Net assets | $ | 14,077,935 | $ | 2,376,190 | $ | 28,780,681 | ||||||
|
|
|
|
|
| |||||||
Shares Outstanding | 1,164,416 | 202,466 | 2,271,627 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 12.09 | $ | 11.74 | $ | 12.67 | ||||||
|
|
|
|
|
| |||||||
1Non-affiliated investments, at cost | $ | 17,867,213 | $ | 2,508,634 | $ | 50,338,760 | ||||||
2Includes market value of securities on loan | $ | 872,254 | $ | 20,892 | $ | 2,439,199 | ||||||
3Includes market value of securities designated as collateral for securities on loan | $ | 1,435,405 | $ | — | $ | 4,317,562 | ||||||
4Proceeds received, securities sold short | $ | 10,669,317 | $ | 1,227,244 | $ | 25,150,150 |
The accompanying notes are an integral part of the financial statements.
122
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
March 31, 2018
(Unaudited)
Gotham Enhanced 500 Core Fund | Gotham Neutral 500 Fund | Gotham Hedged Plus Fund | ||||||||||
Assets | ||||||||||||
Non-affiliated investments, at value1,2 | $ | 3,637,331 | $ | 7,210,820 | $ | 3,853,704 | ||||||
Cash | 29,507 | 427,397 | 128,620 | |||||||||
Deposits with brokers for securities sold short | 22,098 | 4,059,674 | 879,528 | |||||||||
Securities lending cash collateral | 17,110 | 13,873 | 22,719 | |||||||||
Receivables: | ||||||||||||
Investments sold | 76,179 | 444,305 | 83,372 | |||||||||
Dividends and interest | 4,731 | 8,470 | 4,337 | |||||||||
Investment Adviser | 1,756 | — | 747 | |||||||||
Prepaid expenses and other assets | 2,157 | 661 | 21,352 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 3,790,869 | 12,165,200 | 4,994,379 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Securities sold short, at value3 | 1,051,989 | 5,750,560 | 2,345,438 | |||||||||
Payables: | ||||||||||||
Securities lending cash collateral | 17,110 | 13,873 | 22,719 | |||||||||
Investments purchased | 76,401 | 477,923 | 84,840 | |||||||||
Dividends and fees on securities sold short | 1,448 | 4,461 | 2,690 | |||||||||
Investment Adviser | — | 2,869 | — | |||||||||
Administration and accounting fees | 14,127 | 15,825 | 16,960 | |||||||||
Accrued expenses | 17,152 | 20,372 | 23,953 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 1,178,227 | 6,285,883 | 2,496,600 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 2,612,642 | $ | 5,879,317 | $ | 2,497,779 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consisted of: | ||||||||||||
Capital stock, $0.01 par value | $ | 2,059 | $ | 5,207 | $ | 2,072 | ||||||
Paid-in capital | 2,056,527 | 5,516,927 | 2,035,679 | |||||||||
Accumulated net investment income/(loss) | 10,062 | (5,462 | ) | 3,279 | ||||||||
Accumulated net realized gain from investments and securities sold short | 339,822 | 34,252 | 201,806 | |||||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 204,172 | 328,393 | 254,943 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 2,612,642 | $ | 5,879,317 | $ | 2,497,779 | ||||||
|
|
|
|
|
| |||||||
Institutional Class Shares: | ||||||||||||
Net assets | $ | 2,612,642 | $ | 5,879,317 | $ | 2,497,779 | ||||||
|
|
|
|
|
| |||||||
Shares Outstanding | 205,913 | 520,727 | 207,172 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 12.69 | $ | 11.29 | $ | 12.06 | ||||||
|
|
|
|
|
| |||||||
1Non-affiliated investments, at cost | $ | 3,449,609 | $ | 6,958,141 | $ | 3,623,141 | ||||||
2Includes market value of securities on loan | $ | 52,755 | $ | 40,724 | $ | 22,208 | ||||||
3Proceeds received, securities sold short | $ | 1,068,439 | $ | 5,826,274 | $ | 2,369,818 |
The accompanying notes are an integral part of the financial statements.
123
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
March 31, 2018
(Unaudited)
Gotham Hedged Core Fund | Gotham Defensive Long Fund | Gotham Defensive Long 500 Fund | ||||||||||
Assets | ||||||||||||
Non-affiliated investments, at value1,2 | $ | 2,427,169 | $ | 4,119,286 | $ | 16,913,584 | ||||||
Cash | 178,835 | 29,919 | 10,593 | |||||||||
Deposits with brokers for securities sold short | 798,227 | 3,990 | 78,553 | |||||||||
Securities lending cash collateral | 5,669 | 51,235 | 48,745 | |||||||||
Receivables: | ||||||||||||
Investments sold | 36,617 | 108,860 | 438,227 | |||||||||
Capital shares sold | — | — | 447,747 | |||||||||
Dividends and interest | 2,608 | 4,739 | 24,711 | |||||||||
Investment Adviser | 2,856 | 2,533 | — | |||||||||
Prepaid expenses and other assets | 414 | 471 | 929 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 3,452,395 | 4,321,033 | 17,963,089 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Securities sold short, at value3 | 967,948 | 1,783,615 | 7,659,611 | |||||||||
Payables: | ||||||||||||
Securities lending cash collateral | 5,669 | 51,235 | 48,745 | |||||||||
Investments purchased | 41,534 | 108,116 | 882,716 | |||||||||
Dividends and fees on securities sold short | 882 | 1,288 | 9,522 | |||||||||
Investment Adviser | — | — | 6,795 | |||||||||
Administration and accounting fees | 20,064 | 48,262 | 17,144 | |||||||||
Accrued expenses | 20,117 | 21,533 | 21,097 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 1,056,214 | 2,014,049 | 8,645,630 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 2,396,181 | $ | 2,306,984 | $ | 9,317,459 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consisted of: | ||||||||||||
Capital stock, $0.01 par value | $ | 2,031 | $ | 2,043 | $ | 7,406 | ||||||
Paid-in capital | 2,021,996 | 2,032,557 | 7,860,378 | |||||||||
Accumulated net investment income/(loss) | 1,457 | (9,185 | ) | 13,039 | ||||||||
Accumulated net realized gain from investments and securities sold short | 218,243 | 56,660 | 709,845 | |||||||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 152,454 | 224,909 | 726,791 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 2,396,181 | $ | 2,306,984 | $ | 9,317,459 | ||||||
|
|
|
|
|
| |||||||
Institutional Class Shares: | ||||||||||||
Net assets | $ | 2,396,181 | $ | 2,306,984 | $ | 9,317,459 | ||||||
|
|
|
|
|
| |||||||
Shares Outstanding | 203,111 | 204,254 | 740,624 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 11.80 | $ | 11.29 | $ | 12.58 | ||||||
|
|
|
|
|
| |||||||
1Non-affiliated investments, at cost | $ | 2,283,200 | $ | 3,947,939 | $ | 16,256,524 | ||||||
2Includes market value of securities on loan | $ | 37,295 | $ | 123,037 | $ | 149,207 | ||||||
3Proceeds received, securities sold short | $ | 976,433 | $ | 1,837,177 | $ | 7,729,342 |
The accompanying notes are an integral part of the financial statements.
124
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
March 31, 2018
(Unaudited)
Gotham Short Strategies Fund | Gotham Institutional Value Fund | |||||||
Assets | ||||||||
Non-affiliated investments, at value1,2 | $ | 7,102,853 | $ | 2,826,116 | ||||
Swaps, at value | 301,886 | — | ||||||
Cash | — | 14,753 | ||||||
Receivables: | ||||||||
Investments sold | 5,088,561 | 44,035 | ||||||
Dividends and interest | 6,856 | 3,645 | ||||||
Prepaid expenses and other assets | 6,456 | 26,107 | ||||||
|
|
|
| |||||
Total assets | 12,506,612 | 2,914,656 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Due to custodian | 2,313,216 | — | ||||||
Payables: | ||||||||
Investments purchased | 2,938,314 | 44,358 | ||||||
Investment Adviser | 32,480 | 313 | ||||||
Administration and accounting fees | 28,309 | 11,146 | ||||||
Accrued expenses | 26,842 | 22,625 | ||||||
|
|
|
| |||||
Total liabilities | 5,339,161 | 78,442 | ||||||
|
|
|
| |||||
Net Assets | $ | 7,167,451 | $2,836,214 | |||||
|
|
|
| |||||
Net Assets Consisted of: | ||||||||
Capital stock, $0.01 par value | $ | 7,130 | $ | 2,400 | ||||
Paid-in capital | 7,195,990 | 2,406,104 | ||||||
Accumulated net investment income/(loss) | (22,249 | ) | 3,981 | |||||
Accumulated net realized gain/(loss) from investments and swaps | (174,960 | ) | 242,266 | |||||
Net unrealized appreciation/(depreciation) on investments and swaps | 161,540 | 181,463 | ||||||
|
|
|
| |||||
Net Assets | $ | 7,167,451 | $2,836,214 | |||||
|
|
|
| |||||
Institutional Class Shares: | ||||||||
Net assets | $ | 7,167,451 | $2,836,214 | |||||
|
|
|
| |||||
Shares Outstanding | 712,963 | 239,973 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 10.05 | $ | 11.82 | ||||
|
|
|
| |||||
1 Non-affiliated investments, at cost | $ | 7,243,199 | $2,644,653 | |||||
2 Includes market value of securities designated as collateral for swaps | $ | 5,994,903 | $ | — |
The accompanying notes are an integral part of the financial statements.
125
GOTHAM FUNDS
Statements of Assets and Liabilities (Concluded)
March 31, 2018
(Unaudited)
Gotham Total Return Fund | Gotham Master Neutral Fund | |||||||
Assets | ||||||||
Non-affiliated investments, at value1 | $ | — | $ | 1,418,565 | ||||
Affiliated investments, at value2 | 23,140,566 | 2,555,506 | ||||||
Cash | 228,507 | 392,683 | ||||||
Deposits with brokers for securities sold short | — | 1,078,728 | ||||||
Receivables: | ||||||||
Investments sold | — | 88,107 | ||||||
Capital shares sold | 1,500,000 | — | ||||||
Dividends and interest | — | 800 | ||||||
Investment Adviser | 25,502 | 6,435 | ||||||
Prepaid expenses and other assets | 23,807 | 1,744 | ||||||
|
|
|
| |||||
Total assets | 24,918,382 | 5,542,568 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Securities sold short, at value3 | — | 1,218,588 | ||||||
Payables: | ||||||||
Investments purchased | 1,492,463 | 79,455 | ||||||
Administration and accounting fees | 21,715 | 20,833 | ||||||
Distribution fees | 295 | — | ||||||
Accrued expenses | 24,194 | 32,187 | ||||||
|
|
|
| |||||
Total liabilities | 1,538,667 | 1,351,063 | ||||||
|
|
|
| |||||
Net Assets | $ | 23,379,715 | $ | 4,191,505 | ||||
|
|
|
| |||||
Net Assets Consisted of: | ||||||||
Capital stock, $0.01 par value | $ | 17,540 | $ | 4,079 | ||||
Paid-in capital | 20,132,816 | 4,083,995 | ||||||
Accumulated net investment income/(loss) | 3,055 | (2,772 | ) | |||||
Accumulated net realized gain/(loss) from investments and securities sold short | 248,967 | (83,962 | ) | |||||
Net unrealized appreciation/(depreciation) on investments and securities sold short | 2,977,337 | 190,165 | ||||||
|
|
|
| |||||
Net Assets | $ | 23,379,715 | $ | 4,191,505 | ||||
|
|
|
| |||||
Institutional Class Shares: | ||||||||
Net assets | $ | 21,894,818 | $ | 4,191,505 | ||||
|
|
|
| |||||
Shares Outstanding | 1,753,997 | 407,929 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 12.48 | $ | 10.28 | ||||
|
|
|
| |||||
Investor Class Shares: | ||||||||
Net assets | $ | 1,484,897 | N/A | |||||
|
|
|
| |||||
Shares Outstanding | 119,048 | N/A | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 12.47 | N/A | |||||
|
|
|
| |||||
1Non-affiliated investments, at cost | $ | — | $ | 1,368,693 | ||||
2Affiliated investments, at cost | $ | 20,163,229 | $ | 2,434,540 | ||||
3Proceeds received, securities sold short | $ | — | $ | 1,237,915 |
The accompanying notes are an integral part of the financial statements.
126
GOTHAM FUNDS
Statements of Operations
For the Six Months Ended March 31, 2018
(Unaudited)
Gotham Absolute 500 Fund | Gotham Absolute 500 Core Fund | Gotham Enhanced 500 Fund | ||||||||||
Investment Income | ||||||||||||
Dividends from non-affiliated securities | $ | 184,330 | $ | 28,092 | $ | 529,386 | ||||||
Interest | — | 326 | 530 | |||||||||
Income from securities loaned (Note 5) | 16 | 30 | 36 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 184,346 | 28,448 | 529,952 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Advisory fees (Note 2) | 83,957 | 11,750 | 184,649 | |||||||||
Administration and accounting fees (Note 2) | 10,409 | 8,451 | 11,296 | |||||||||
Dividends and fees on securities sold short | 77,114 | 9,825 | 266,824 | |||||||||
Fees on cash collateral (Note 5) | 8,910 | — | 27,880 | |||||||||
Transfer agent fees (Note 2) | 6,476 | 2,478 | 9,044 | |||||||||
Custodian fees (Note 2) | 466 | 88 | 1,026 | |||||||||
Trustees’ and officers’ fees (Note 2) | 1,298 | 352 | 46 | |||||||||
Printing and shareholder reporting fees | 665 | 191 | 1,345 | |||||||||
Registration and filing fees | 3,344 | 171 | 12,607 | |||||||||
Legal fees | 689 | 159 | 145 | |||||||||
Audit fees | 16,567 | 10,785 | 12,668 | |||||||||
Other expenses | 2,452 | 1,481 | 4,369 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before waivers and reimbursements | 212,347 | 45,731 | 531,899 | |||||||||
|
|
|
|
|
| |||||||
Recoupments and/or waivers, reimbursements (Note 2) | (33,038 | ) | (22,393 | ) | (32,029 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses after waivers and reimbursements | 179,309 | 23,338 | 499,870 | |||||||||
|
|
|
|
|
| |||||||
Net investment income. | 5,037 | 5,110 | 30,082 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||||
Net realized gain from non-affiliated investments | 1,839,727 | 312,548 | 4,761,728 | |||||||||
Net realized loss from securities sold short | (490,014 | ) | (70,378 | ) | (1,168,258 | ) | ||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | (679,769 | ) | (143,654 | ) | (1,617,109 | ) | ||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | 171,906 | 33,964 | 562,700 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain on investments | 841,850 | 132,480 | 2,539,061 | |||||||||
|
|
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 846,887 | $ | 137,590 | $ | 2,569,143 | ||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
127
GOTHAM FUNDS
Statements of Operations (Continued)
For the Six Months Ended March 31, 2018
(Unaudited)
Gotham Enhanced 500 Core Fund | Gotham Neutral 500 Fund | Gotham Hedged Plus Fund | ||||||||||
Investment Income | ||||||||||||
Dividends from non-affiliated securities | $ | 38,925 | $ | 58,336 | $ | 37,839 | ||||||
Interest | 13 | 128 | 176 | |||||||||
Income from securities loaned (Note 5) | 42 | 20 | 30 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 38,980 | 58,484 | 38,045 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Advisory fees (Note 2) | 12,899 | 31,276 | 12,382 | |||||||||
Administration and accounting fees (Note 2) | 7,215 | 10,622 | 9,868 | |||||||||
Dividends and fees on securities sold short | 12,520 | 25,509 | 20,526 | |||||||||
Transfer agent fees (Note 2) | 2,923 | 3,231 | 3,359 | |||||||||
Custodian fees (Note 2) | 97 | 174 | 93 | |||||||||
Trustees’ and officers’ fees (Note 2) | 223 | 318 | 299 | |||||||||
Printing and shareholder reporting fees | 290 | 250 | 1,326 | |||||||||
Registration and filing fees | 251 | 744 | 9,708 | |||||||||
Legal fees | 115 | 15 | 1,066 | |||||||||
Audit fees | 10,767 | 9,390 | 12,972 | |||||||||
Offering fees | — | 1,109 | — | |||||||||
Other expenses | 1,419 | 1,162 | 2,949 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before waivers and reimbursements | 48,719 | 83,800 | 74,548 | |||||||||
|
|
|
|
|
| |||||||
Recoupments and/or waivers, reimbursements (Note 2) | (21,364 | ) | (23,539 | ) | (39,783 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses after waivers and reimbursements | 27,355 | 60,261 | 34,765 | |||||||||
|
|
|
|
|
| |||||||
Net investment income/(loss) | 11,625 | (1,777 | ) | 3,280 | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||||
Net realized gain from non-affiliated investments | 413,795 | 401,374 | 339,386 | |||||||||
Net realized loss from securities sold short | (48,592 | ) | (254,138 | ) | (83,440 | ) | ||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | (187,810 | ) | (124,201 | ) | (115,446 | ) | ||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | 19,876 | 166,341 | 34,503 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain on investments | 197,269 | 189,376 | 175,003 | |||||||||
|
|
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 208,894 | $ | 187,599 | $ | 178,283 | ||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
128
GOTHAM FUNDS
Statements of Operations (Continued)
For the Six Months Ended March 31, 2018
(Unaudited)
Gotham Hedged Core Fund | Gotham Defensive Long Fund | Gotham Defensive Long 500 Fund | ||||||||||
Investment Income | ||||||||||||
Dividends from non-affiliated securities | $ | 23,533 | $ | 36,288 | $ | 180,060 | ||||||
Less: foreign taxes withheld | — | (75 | ) | — | ||||||||
Interest | 203 | 14 | 37 | |||||||||
Income from securities loaned (Note 5) | 22 | 315 | 142 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 23,758 | 36,542 | 180,239 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Advisory fees (Note 2) | 8,341 | 23,037 | 58,572 | |||||||||
Administration and accounting fees (Note 2) | 13,679 | 41,353 | 10,842 | |||||||||
Dividends and fees on securities sold short | 4,419 | 18,147 | 87,003 | |||||||||
Transfer agent fees (Note 2) | 3,561 | 3,760 | 3,232 | |||||||||
Custodian fees (Note 2) | 89 | 86 | 325 | |||||||||
Trustees’ and officers’ fees (Note 2) | 196 | 390 | 875 | |||||||||
Printing and shareholder reporting fees | 152 | 183 | 181 | |||||||||
Registration and filing fees | 663 | 744 | 744 | |||||||||
Legal fees | 79 | 31 | 239 | |||||||||
Audit fees | 10,902 | 12,495 | 11,829 | |||||||||
Other expenses | 1,453 | 1,211 | 1,660 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before waivers and reimbursements | 43,534 | 101,437 | 175,502 | |||||||||
|
|
|
|
|
| |||||||
Recoupments and/or waivers, reimbursements (Note 2) | (28,987 | ) | (58,526 | ) | (23,419 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses after waivers and reimbursements | 14,547 | 42,911 | 152,083 | |||||||||
|
|
|
|
|
| |||||||
Net investment income/(loss) | 9,211 | (6,369 | ) | 28,156 | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||||
Net realized gain from non-affiliated investments | 293,712 | 342,880 | 1,305,616 | |||||||||
Net realized loss from securities sold short | (37,639 | ) | (140,862 | ) | (428,400 | ) | ||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | (151,227 | ) | (138,700 | ) | (447,376 | ) | ||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | 14,992 | 76,125 | 194,332 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain on investments | 119,838 | 139,443 | 624,172 | |||||||||
|
|
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 129,049 | $ | 133,074 | $ | 652,328 | ||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
129
GOTHAM FUNDS
Statements of Operations (Continued)
For the Six Months Ended March 31, 2018
(Unaudited)
Gotham Short Strategies Fund | Gotham Institutional Value Fund | |||||||
Investment Income | ||||||||
Dividends from non-affiliated securities | $ | 68,094 | $ | 28,699 | ||||
Less: foreign taxes withheld | (406 | ) | — | |||||
Interest | 781 | 11 | ||||||
|
|
|
| |||||
Total investment income | 68,469 | 28,710 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Advisory fees (Note 2) | 90,717 | 11,220 | ||||||
Administration and accounting fees (Note 2) | 25,043 | 5,247 | ||||||
Transfer agent fees (Note 2) | 2,872 | 3,807 | ||||||
Custodian fees (Note 2) | 4,504 | 105 | ||||||
Trustees’ and officers’ fees (Note 2) | 1,256 | 373 | ||||||
Printing and shareholder reporting fees | 2,305 | 886 | ||||||
Registration and filing fees | 20,114 | 5,449 | ||||||
Legal fees | 3,061 | 592 | ||||||
Audit fees | 14,730 | 11,727 | ||||||
Other expenses | 1,901 | 2,025 | ||||||
|
|
|
| |||||
Total expenses before waivers and reimbursements | 166,503 | 41,431 | ||||||
|
|
|
| |||||
Recoupments and/or waivers, reimbursements (Note 2) | (75,786 | ) | (28,108 | ) | ||||
|
|
|
| |||||
Net expenses after waivers and reimbursements | 90,717 | 13,323 | ||||||
|
|
|
| |||||
Net investment income/(loss) | (22,248 | ) | 15,387 | |||||
|
|
|
| |||||
Net realized and unrealized gain/(loss) from investments: | ||||||||
Net realized gain/(loss) from non-affiliated investments | (33,690 | ) | 267,390 | |||||
Net realized loss on swaps | (15,167 | ) | — | |||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | (781,064 | ) | (73,021 | ) | ||||
Net change in unrealized appreciation/(depreciation) on swaps | 734,401 | — | ||||||
|
|
|
| |||||
Net realized and unrealized gain/(loss) on investments | (95,520 | ) | 194,369 | |||||
|
|
|
| |||||
Net increase/(decrease) in net assets resulting from operations | $ | (117,768 | ) | $ | 209,756 | |||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
130
GOTHAM FUNDS
Statements of Operations (Concluded)
For the Six Months Ended March 31, 2018
(Unaudited)
Gotham Total Return Fund | Gotham Master Neutral Fund | |||||||
Investment Income | ||||||||
Dividends from non-affiliated securities | $ | — | $ | 7,538 | ||||
Dividends from affiliated securities | 58,974 | 1,249 | ||||||
Less: foreign taxes withheld | — | (40 | ) | |||||
Interest | 126 | 1,329 | ||||||
|
|
|
| |||||
Total investment income | 59,100 | 10,076 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Advisory fees (Note 2) | — | 5,790 | ||||||
Administration and accounting fees (Note 2) | 19,286 | 21,927 | ||||||
Dividends and fees on securities sold short | — | 2,073 | ||||||
Distribution fees (Investor Class) (Note 2) | 915 | — | ||||||
Transfer agent fees (Note 2) | 11,524 | 4,058 | ||||||
Custodian fees (Note 2) | 4,780 | 3,386 | ||||||
Trustees’ and officers’ fees (Note 2) | 1,409 | 607 | ||||||
Printing and shareholder reporting fees | 2,457 | 2,739 | ||||||
Registration and filing fees | 7,561 | 553 | ||||||
Legal fees | 14,649 | 1,077 | ||||||
Audit fees | 6,669 | 13,737 | ||||||
Other expenses | 2,724 | 2,675 | ||||||
|
|
|
| |||||
Total expenses before waivers and reimbursements | 71,974 | 58,622 | ||||||
|
|
|
| |||||
Recoupments and/or waivers, reimbursements (Note 2) | (71,058 | ) | (50,759 | ) | ||||
|
|
|
| |||||
Net expenses after waivers and reimbursements | 916 | 7,863 | ||||||
|
|
|
| |||||
Net investment income | 58,184 | 2,213 | ||||||
|
|
|
| |||||
Net realized and unrealized gain/(loss) from investments: | ||||||||
Net realized gain from non-affiliated investments | — | 51,422 | ||||||
Net realized loss from securities sold short | — | (108,088 | ) | |||||
Capital gain distributions from affiliated investments | 255,261 | 6,305 | ||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | — | 25,266 | ||||||
Net change in unrealized appreciation/(depreciation) on affiliated investments | 1,170,509 | 108,651 | ||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | — | 53,283 | ||||||
|
|
|
| |||||
Net realized and unrealized gain on investments | 1,425,770 | 136,839 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | $ | 1,483,954 | $ | 139,052 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
131
GOTHAM FUNDS
Statements of Changes in Net Assets
Gotham Absolute 500 Fund | Gotham Absolute 500 Core Fund | |||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | |||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 5,037 | $ | (25,631 | ) | $ | 5,110 | $ | 5,192 | |||||||
Net realized gain/(loss) from investments and securities sold short | 1,349,713 | 1,521,589 | 242,170 | (35,372 | ) | |||||||||||
Net change in unrealized appreciation/ (depreciation) on investments and securities sold short | (507,863 | ) | 17,893 | (109,690 | ) | 269,689 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 846,887 | 1,513,851 | 137,590 | 239,509 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Net investment income | — | — | (24,607 | ) | — | |||||||||||
Net realized capital gains | (244,260 | ) | — | (4,198 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease in net assets from dividends and distributions to shareholders | (244,260 | ) | — | (28,805 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase/(decrease) in Net Assets from Capital Share Transactions (Note 4) | 1,470,916 | (2,955,285 | ) | 28,805 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase/(decrease) in net assets | 2,073,543 | (1,441,434 | ) | 137,590 | 239,509 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | ||||||||||||||||
Beginning of period | 12,004,392 | 13,445,826 | 2,238,600 | 1,999,091 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 14,077,935 | $ | 12,004,392 | $ | 2,376,190 | $ | 2,238,600 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated net investment income/(loss), end of period | $ | (7,990 | ) | $ | (13,027 | ) | $ | (622 | ) | $ | 18,875 | |||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
132
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Enhanced 500 Fund | Gotham Enhanced 500 Core Fund | |||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | |||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income | $ | 30,082 | $ | 38,979 | $ | 11,625 | $ | 17,998 | ||||||||
Net realized gain/(loss) from investments and securities sold short | 3,593,470 | 1,726,182 | 365,203 | (16,356 | ) | |||||||||||
Net change in unrealized appreciation/ (depreciation) on investments and securities sold short | (1,054,409 | ) | 2,354,924 | (167,934 | ) | 373,606 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 2,569,143 | 4,120,085 | 208,894 | 375,248 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Net investment income | (42,759 | ) | (66,405 | ) | (33,011 | ) | — | |||||||||
Net realized capital gains | (1,561,279 | ) | — | (8,070 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease in net assets from dividends and distributions to shareholders | (1,604,038 | ) | (66,405 | ) | (41,081 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets from Capital Share Transactions (Note 4) | 3,362,508 | 534,486 | 46,081 | 25,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase in net assets | 4,327,613 | 4,588,166 | 213,894 | 400,248 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | ||||||||||||||||
Beginning of period | 24,453,068 | 19,864,902 | 2,398,748 | 1,998,500 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 28,780,681 | $ | 24,453,068 | $ | 2,612,642 | $ | 2,398,748 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated net investment income, end of period | $ | 30,081 | $ | 42,758 | $ | 10,062 | $ | 31,448 | ||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
133
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Neutral 500 Fund | Gotham Hedged Plus Fund | |||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | |||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | (1,777 | ) | $ | (15,906 | ) | $ | 3,280 | $ | 1,922 | ||||||
Net realized gain/(loss) from investments and securities sold short | 147,236 | (91,876 | ) | 255,946 | 9,530 | |||||||||||
Net change in unrealized appreciation/ (depreciation) on investments and securities sold short | 42,140 | 286,253 | (80,943 | ) | 292,930 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 187,599 | 178,471 | 178,283 | 304,382 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Net investment income | (3,742 | ) | — | (18,183 | ) | (21,994 | ) | |||||||||
Net realized capital gains | (18,890 | ) | — | (34,014 | ) | (8,651 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease in net assets from dividends and distributions to shareholders | (22,632 | ) | — | (52,197 | ) | (30,645 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets from Capital Share Transactions (Note 4) | 2,121,377 | 1,414,502 | 52,197 | 30,645 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase in net assets | 2,286,344 | 1,592,973 | 178,283 | 304,382 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | ||||||||||||||||
Beginning of period | 3,592,973 | 2,000,000 | 2,319,496 | 2,015,114 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 5,879,317 | $ | 3,592,973 | $ | 2,497,779 | $ | 2,319,496 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated net investment income/(loss), end of period | $ | (5,462 | ) | $ | 57 | $ | 3,279 | $ | 18,182 | |||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
134
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Hedged Core Fund | Gotham Defensive Long Fund | |||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | |||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 9,211 | $ | 14,026 | $ | (6,369 | ) | $ | (5,561 | ) | ||||||
Net realized gain/(loss) from investments and securities sold short | 256,073 | (35,583 | ) | 202,018 | (108,013 | ) | ||||||||||
Net change in unrealized appreciation/ (depreciation) on investments and securities sold short | (136,235 | ) | 289,598 | (62,575 | ) | 288,984 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 129,049 | 268,041 | 133,074 | 175,410 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Net investment income | (35,113 | ) | — | (11,536 | ) | — | ||||||||||
Net realized capital gains | (1,571 | ) | — | (36,317 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease in net assets from dividends and distributions to shareholders | (36,684 | ) | — | (47,853 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets from Capital Share Transactions (Note 4) | 36,684 | — | 47,853 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase in net assets | 129,049 | 268,041 | 133,074 | 175,410 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | ||||||||||||||||
Beginning of period | 2,267,132 | 1,999,091 | 2,173,910 | 1,998,500 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,396,181 | $ | 2,267,132 | $ | 2,306,984 | $ | 2,173,910 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated net investment income/(loss), end of period | $ | 1,457 | $ | 27,359 | $ | (9,185 | ) | $ | 8,720 | |||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
135
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Defensive Long 500 Fund | Gotham Short Strategies Fund | |||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Six Months Ended March 31, 2018 (Unaudited) | For the Period Ended September 30, 2017* | |||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 28,156 | $ | 22,039 | $ | (22,248 | ) | $ | 35,361 | |||||||
Net realized gain/(loss) from investments, securities sold short and swaps | 877,216 | (163,098 | ) | (48,857 | ) | (126,103 | ) | |||||||||
Net change in unrealized appreciation/ (depreciation) on investments, securities sold short and swaps | (253,044 | ) | 981,335 | (46,663 | ) | 208,203 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) in net assets resulting from operations | 652,328 | 840,276 | (117,768 | ) | 117,461 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Net investment income | (54,690 | ) | — | (35,362 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease in net assets from dividends and distributions to shareholders | (54,690 | ) | — | (35,362 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase/(decrease) in Net Assets from Capital Share Transactions (Note 4) | 780,219 | 5,100,826 | (11,007,673 | ) | 18,210,793 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase/(decrease) in net assets | 1,377,857 | 5,941,102 | (11,160,803 | ) | 18,328,254 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | ||||||||||||||||
Beginning of period | 7,939,602 | 1,998,500 | 18,328,254 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 9,317,459 | $ | 7,939,602 | $ | 7,167,451 | $ | 18,328,254 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated net investment income/(loss), end of period | $ | 13,039 | $ | 39,573 | $ | (22,249 | ) | $ | 35,361 | |||||||
|
|
|
|
|
|
|
|
* | The Fund commenced operations on July 31, 2017. |
(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.
136
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Institutional Value Fund | Gotham Total Return Fund | |||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | |||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income | $ | 15,387 | $ | 28,845 | $ | 58,184 | $ | 12,488 | ||||||||
Net realized gain from investments | 267,390 | 287,235 | 255,261 | 33,486 | ||||||||||||
Net change in unrealized appreciation/ (depreciation) on investments | (73,021 | ) | 69,528 | 1,170,509 | 1,821,128 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 209,756 | 385,608 | 1,483,954 | 1,867,102 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Net investment income | (58,213 | ) | (53,698 | ) | (57,123 | ) | (4,144 | ) | ||||||||
Net realized capital gains | (280,936 | ) | — | (11,054 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease in net assets from dividends and distributions to shareholders | (339,149 | ) | (53,698 | ) | (68,177 | ) | (4,144 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets from Capital Share Transactions (Note 4) | 338,877 | 58,934 | 3,424,767 | 8,614,335 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase in net assets | 209,484 | 390,844 | 4,840,544 | 10,477,293 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | ||||||||||||||||
Beginning of period | 2,626,730 | 2,235,886 | 18,539,171 | 8,061,878 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,836,214 | $ | 2,626,730 | $ | 23,379,715 | $ | 18,539,171 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated net investment income, end of period | $ | 3,981 | $ | 46,807 | $ | 3,055 | $ | 1,994 | ||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
137
GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
Gotham Master Neutral Fund | ||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Period Ended September 30, 2017* | |||||||
Net increase/(decrease) in net assets from operations: | ||||||||
Net investment income | $ | 2,213 | $ | 4,336 | ||||
Net realized gain/(loss) from investments and securities sold short | (50,361 | ) | 17,622 | |||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | 187,200 | 2,965 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 139,052 | 24,923 | ||||||
|
|
|
| |||||
Less Dividends and Distributions to Shareholders from: | ||||||||
Institutional Class Shares: | ||||||||
Net investment income | (10,040 | ) | — | |||||
Net realized capital gains | (50,504 | ) | — | |||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | (60,544 | ) | — | |||||
|
|
|
| |||||
Increase in Net Assets from Capital Share Transactions (Note 4) | 38,074 | 4,050,000 | ||||||
|
|
|
| |||||
Total increase in net assets | 116,582 | 4,074,923 | ||||||
|
|
|
| |||||
Net assets | ||||||||
Beginning of period | 4,074,923 | — | ||||||
|
|
|
| |||||
End of period | $ | 4,191,505 | $ | 4,074,923 | ||||
|
|
|
| |||||
Accumulated net investment income/(loss), end of period | $ | (2,772 | ) | $ | 5,055 | |||
|
|
|
|
* | The Fund commenced operations on April 28, 2017. |
The accompanying notes are an integral part of the financial statements.
138
GOTHAM FUNDS
Statements of Cash Flow
(Unaudited)
Gotham Absolute 500 Fund | Gotham Absolute 500 Core Fund | Gotham Enhanced 500 Fund | |||||||||||||
For the Six Months Ended March 31, 2018 | For the Six Months Ended March 31, 2018 | For the Six Months Ended March 31, 2018 | |||||||||||||
Cash flows provided by (used in) operating activities: | |||||||||||||||
Net increase in net assets resulting from operations | $ | 846,887 | $ | 137,590 | $ | 2,569,143 | |||||||||
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 | (21,446,864 | ) | (3,224,935 | ) | (59,242,581 | ) | |||||||||
Proceeds from disposition of long-term portfolio investments | 20,816,898 | 3,248,316 | 54,680,186 | ||||||||||||
Purchases to cover securities sold short | (17,831,133 | ) | (2,172,870 | ) | (39,187,632 | ) | |||||||||
Proceeds from securities sold short | 18,065,145 | 2,206,233 | 42,231,264 | ||||||||||||
Net realized gain on investments and securities sold short | (1,349,713 | ) | (242,170 | ) | (3,593,470 | ) | |||||||||
Net change in unrealized (appreciation)/depreciation on investments and securities sold short | 507,863 | 109,690 | 1,054,409 | ||||||||||||
Increase/(decrease) in deposits with brokers for securities sold short | 188,650 | (4,836 | ) | 177,184 | |||||||||||
Increase/(decrease) in receivable for securities sold | 1,669,223 | (42,644 | ) | 1,811,005 | |||||||||||
Decrease in cash collateral for securities lending | — | 4,661 | — | ||||||||||||
Increase in dividend and interest receivable | (2,445 | ) | (753 | ) | (17,349 | ) | |||||||||
Increase in receivable from investment advisor | — | (2,129 | ) | — | |||||||||||
Increase/(decrease) in prepaid expenses and other assets | 1,277 | (1,548 | ) | (2,191 | ) | ||||||||||
Increase/(decrease) in payable for investments purchased | (174,677 | ) | 42,361 | (814,640 | ) | ||||||||||
Decrease in use of cash collateral from securities lending | (444,325 | ) | (4,661 | ) | (1,275,980 | ) | |||||||||
Increase in dividends and fees payable for securities sold short | 157 | 96 | 5,130 | ||||||||||||
Increase/(decrease) in payable for investment advisor | 6,661 | (2,807 | ) | 6,181 | |||||||||||
Decrease in accrued expense payable | (2,663 | ) | (4,217 | ) | (5,309 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net cash provided by (used in) operating activities | 850,941 | 45,377 | (1,604,650 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Cash flows from financing activities: | |||||||||||||||
Proceeds from shares sold | 1,081,006 | — | 4,442,059 | ||||||||||||
Payment of shares redeemed | (1,353,790 | ) | — | (2,869,012 | ) | ||||||||||
Dividends and Distributions to Shareholders | — | — | (38,649 | ) | |||||||||||
Decrease in due to custodian | (230,348 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Net cash provided by (used in) financing activities | (503,132 | ) | — | 1,534,398 | |||||||||||
|
|
|
|
|
| ||||||||||
Net increase/(decrease) in cash | 347,809 | 45,377 | (70,252 | ) | |||||||||||
Cash at beginning of period | — | 359,523 | 597,070 | ||||||||||||
|
|
|
|
|
| ||||||||||
Cash at end of period | $ | 347,809 | $ | 404,900 | $ | 526,818 | |||||||||
|
|
|
|
|
| ||||||||||
Supplemental disclosure of cash flow information: | |||||||||||||||
Cash paid during the period for financing charges | $ | (1,589 | ) | $ | (451 | ) | $ | 86,807 |
The accompanying notes are an integral part of the financial statements.
139
GOTHAM FUNDS
Statements of Cash Flow (Continued)
(Unaudited)
Gotham Enhanced 500 Core Fund | Gotham Neutral 500 Fund | Gotham Hedged Plus Fund | |||||||||||||
For the Six Months Ended March 31, 2018 | For the Six Months Ended March 31, 2018 | For the Six Months Ended March 31, 2018 | |||||||||||||
Cash flows provided by (used in) operating activities: | |||||||||||||||
Net increase in net assets resulting from operations | $ | 208,895 | $ | 187,599 | $ | 178,283 | |||||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: | |||||||||||||||
Purchases of long-term portfolio investments | (4,173,923 | ) | (10,787,575 | ) | (4,550,491 | ) | |||||||||
Proceeds from disposition of long-term portfolio investments | 4,114,657 | 7,810,635 | 4,309,814 | ||||||||||||
Purchases to cover securities sold short | (1,970,569 | ) | (7,148,042 | ) | (2,984,596 | ) | |||||||||
Proceeds from securities sold short | 2,026,409 | 9,664,973 | 3,295,077 | ||||||||||||
Net realized gain on investments and securities sold short | (365,203 | ) | (147,236 | ) | (255,946 | ) | |||||||||
Net change in unrealized (appreciation)/depreciation on investments and securities sold short | 167,934 | (42,140 | ) | 80,943 | |||||||||||
Increase/(decrease) in deposits with brokers for securities sold short | 22,472 | (1,721,140 | ) | (311,280 | ) | ||||||||||
Increase in receivable for securities sold | (22,914 | ) | (365,753 | ) | (9,719 | ) | |||||||||
Increase/(decrease) in cash collateral for securities lending | (6,651 | ) | 1,476 | 3,374 | |||||||||||
Increase in dividend and interest receivable | (1,331 | ) | (4,508 | ) | (979 | ) | |||||||||
Increase/(decrease) in receivable from investment advisor | (1,756 | ) | 1,026 | 10,221 | |||||||||||
Increase/(decrease) in prepaid expenses and other assets | (1,563 | ) | 227 | (8,208 | ) | ||||||||||
Increase in payable for investments purchased | 24,166 | 402,085 | 15,428 | ||||||||||||
Increase/(decrease) in use of cash collateral from securities lending | 6,651 | (1,476 | ) | (3,374 | ) | ||||||||||
Increase in dividends and fees payable for securities sold short | 130 | 1,701 | 578 | ||||||||||||
Increase/(decrease) in payable for investment advisor | (2,769 | ) | 2,869 | — | |||||||||||
Decrease in accrued expense payable | (5,099 | ) | (1,138 | ) | (4,634 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net cash provided by (used in) operating activities | 19,536 | (2,146,417 | ) | (235,509 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Cash flows from financing activities: | |||||||||||||||
Proceeds from shares sold | 5,000 | 2,467,494 | — | ||||||||||||
Payment of shares redeemed | — | (1,255 | ) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Net cash provided by (used in) financing activities | 5,000 | 2,466,239 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase/(decrease) in cash | 24,536 | 319,822 | (235,509 | ) | |||||||||||
Cash at beginning of period | 4,971 | 107,575 | 364,129 | ||||||||||||
|
|
|
|
|
| ||||||||||
Cash at end of period | $ | 29,507 | $ | 427,397 | $ | 128,620 | |||||||||
|
|
|
|
|
| ||||||||||
Supplemental disclosure of cash flow information: | |||||||||||||||
Cash paid during the period for financing charges | $ | 3,505 | $ | (13,465 | ) | $ | 1,211 |
The accompanying notes are an integral part of the financial statements.
140
GOTHAM FUNDS
Statements of Cash Flow (Concluded)
(Unaudited)
Gotham Defensive Long Fund | Gotham Defensive Long 500 Fund | |||||||||
For the Six Months Ended March 31, 2018 | For the Six Months Ended March 31, 2018 | |||||||||
Cash flows provided by (used in) operating activities: | ||||||||||
Net increase in net assets resulting from operations | $ | 133,074 | $ | 652,328 | ||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||||||||
Purchases of long-term portfolio investments | (4,814,871 | ) | (19,559,013 | ) | ||||||
Proceeds from disposition of long-term portfolio investments | 4,719,023 | 18,214,354 | ||||||||
Purchases to cover securities sold short | (2,248,905 | ) | (12,365,610 | ) | ||||||
Proceeds from securities sold short | 2,320,201 | 12,976,538 | ||||||||
Net realized gain on investments and securities sold short | (202,018 | ) | (877,216 | ) | ||||||
Net change in unrealized (appreciation)/depreciation on investments and securities sold short | 62,575 | 253,044 | ||||||||
Increase/(decrease) in deposits with brokers for securities sold short | 59,891 | (49,973 | ) | |||||||
Increase in receivable for securities sold | (56,486 | ) | (291,272 | ) | ||||||
Increase/(decrease) in cash collateral for securities lending | (7,005 | ) | 9,932 | |||||||
Increase in dividend and interest receivable | (396 | ) | (8,375 | ) | ||||||
Decrease in prepaid expenses and other assets | 386 | 113 | ||||||||
Increase in payable for investments purchased | 55,198 | 738,223 | ||||||||
Increase/(decrease) in use of cash collateral from securities lending | 7,005 | (9,932 | ) | |||||||
Increase in dividends and fees payable for securities sold short | 63 | 912 | ||||||||
Increase in payable for investment advisor | 9,562 | 2,952 | ||||||||
Increase/(decrease) in accrued expense payable | 24,300 | (2,316 | ) | |||||||
|
|
|
| |||||||
Net cash provided by (used in) operating activities | 61,597 | (315,311 | ) | |||||||
|
|
|
| |||||||
Cash flows from financing activities: | ||||||||||
Proceeds from shares sold | — | 527,367 | ||||||||
Payment of shares redeemed | — | (249,585 | ) | |||||||
Increase/(decrease) in due to custodian | (31,678 | ) | — | |||||||
|
|
|
| |||||||
Net cash provided by (used in) financing activities | (31,678 | ) | 277,782 | |||||||
|
|
|
| |||||||
Net increase/(decrease) in cash | 29,919 | (37,529 | ) | |||||||
Cash at beginning of period | — | 48,122 | ||||||||
|
|
|
| |||||||
Cash at end of period | $ | 29,919 | $ | 10,593 | ||||||
|
|
|
| |||||||
Supplemental disclosure of cash flow information: | ||||||||||
Cash paid during the period for financing charges | $ | 9,830 | $ | 26,665 |
The accompanying notes are an integral part of the financial statements.
141
GOTHAM FUNDS
Financial Highlights
Gotham Absolute 500 Fund Institutional Class Shares | |||||||||||||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015* | For the Period Ended April 30, 2015** | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 11.50 | $ | 10.21 | $ | 9.80 | $ | 10.47 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income/(loss)(1) | 0.00 | (2) | (0.02 | ) | (0.02 | ) | (0.03 | ) | (0.09 | ) | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.83 | 1.31 | 0.77 | (0.64 | ) | 0.78 | |||||||||||||||||||
|
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|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 0.83 | 1.29 | 0.75 | (0.67 | ) | 0.69 | |||||||||||||||||||
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|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | — | — | — | — | — | ||||||||||||||||||||
Net realized capital gains | (0.24 | ) | — | (0.16 | ) | — | (0.23 | ) | |||||||||||||||||
Return of capital | — | — | (0.19 | ) | — | — | |||||||||||||||||||
|
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|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.24 | ) | — | (0.35 | ) | — | (0.23 | ) | |||||||||||||||||
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| ||||||||||||||||
Redemption fees | — | — | 0.01 | — | 0.01 | ||||||||||||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year/period | $ | 12.09 | $ | 11.50 | $ | 10.21 | $ | 9.80 | $ | 10.47 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(3) | 7.26 | % | 12.63 | % | 7.88 | % | (6.40 | )% | 6.98 | % | |||||||||||||||
Ratio/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 14,078 | $ | 12,004 | $ | 13,446 | $ | 15,801 | $ | 10,583 | |||||||||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | | 2.88 | %(5) | 3.20 | % | 3.80 | % | 4.22 | %(5) | 4.13 | %(5) | ||||||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | | 3.41 | %(5) | 3.78 | % | 4.00 | % | 4.75 | %(5) | 5.92 | %(5) | ||||||||||||||
Ratio of net investment income (loss) to average net assets (including dividend and interest expense) | | 0.08 | %(5) | (0.20 | )% | (0.19 | )% | (0.69 | )%(5) | (1.15 | )%(5) | ||||||||||||||
Portfolio turnover rate | 116.01 | %(7) | 203.65 | % | 251.62 | % | 126.07 | %(7) | 327.45 | %(7) |
* | The Fund changed its fiscal year end from April 30 to September 30. |
** | Commencement of operations. Initial seed capital was issued at $10.00 per share on July 31, 2014. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | 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 Fund would be 1.50%, 1.50%, 1.84%, 2.25% and 2.25% for the six months ended March 31, 2018, the years ended September 30, 2017 and 2016, and the periods ended September 30, 2015, and April 30, 2015, respectively. |
(5) | Annualized. |
(6) | 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). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
142
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Absolute 500 Core Fund Institutional Class Shares | |||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 11.19 | $ | 10.00 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.03 | 0.03 | — | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.66 | 1.16 | (0.00 | )(2) | |||||||||||
|
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|
|
|
| ||||||||||
Total from investment operations | 0.69 | 1.19 | (0.00 | )(2) | |||||||||||
|
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|
|
|
| ||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||
Net investment income | (0.12 | ) | — | — | |||||||||||
Net realized capital gains | (0.02 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions to shareholders | (0.14 | ) | — | — | |||||||||||
|
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|
|
|
| ||||||||||
Redemption fees | — | — | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of year/period | $ | 11.74 | $ | 11.19 | $ | 10.00 | |||||||||
|
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|
|
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| ||||||||||
Total investment return(3) | 6.21 | % | 11.90 | % | 0.00 | % | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 2,376 | $ | 2,239 | $ | 1,999 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 1.98 | %(5) | 2.15 | % | — | ||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 3.89 | %(5) | 5.33 | % | — | ||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.43 | %(5) | 0.25 | % | — | ||||||||||
Portfolio turnover rate | 123.49 | %(7) | 244.96 | % | — |
* | 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) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | 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 Fund would be 1.15% and 1.15% for the six months ended March 31, 2018 and the year ended September 30, 2017, respectively. |
(5) | Annualized. |
(6) | 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). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
143
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Enhanced 500 Fund Institutional Class Shares | ||||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015* | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of year/period | $ | 12.20 | $ | 10.22 | $ | 8.99 | $ | 10.00 | ||||||||
|
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|
|
|
|
|
| |||||||||
Net investment income/(loss)(1) | 0.01 | 0.02 | 0.03 | (0.02 | ) | |||||||||||
Net realized and unrealized gain/(loss) on investments | 1.24 | 1.99 | 1.26 | (0.99 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.25 | 2.01 | 1.29 | (1.01 | ) | |||||||||||
|
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|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.02 | ) | (0.03 | ) | (0.01 | ) | — | |||||||||
Net realized capital gains | (0.76 | ) | — | (0.05 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions to shareholders | (0.78 | ) | (0.03 | ) | (0.06 | ) | — | |||||||||
|
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|
|
|
|
| |||||||||
Redemption fees | — | — | 0.00 | (2) | — | |||||||||||
|
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|
|
|
|
|
| |||||||||
Net asset value, end of year/period | $ | 12.67 | $ | 12.20 | $ | 10.22 | $ | 8.99 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment return(3) | 10.28 | % | 19.73 | % | 14.43 | %(4) | (10.10 | )% | ||||||||
Ratio/Supplemental Data | ||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 28,781 | $ | 24,453 | $ | 19,865 | $ | 6,067 | ||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(5) | 3.65 | %(6) | 3.83 | % | 4.09 | % | 4.40 | %(6) | ||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(5)(7) | 3.89 | %(6) | 4.18 | % | 4.69 | % | 5.54 | %(6) | ||||||||
Ratio of net investment income (loss) to average net assets (including dividend and interest expense) | 0.22 | %(6) | 0.17 | % | 0.29 | % | (0.24 | )%(6) | ||||||||
Portfolio turnover rate | 107.29 | %(8) | 192.91 | % | 219.41 | % | 355.33 | %(8) |
* | Commencement of operations. Initial seed capital was issued at $10.00 per share on December 31, 2014. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | The 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. |
(5) | 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 Fund would be 1.50%, 1.50%, 1.77% and 2.25% for the six months ended March 31, 2018, the years ended September 30, 2017 and 2016 and the period ended September 30, 2015, respectively. |
(6) | Annualized. |
(7) | 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). |
(8) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
144
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Enhanced 500 Core Fund Institutional Class Shares | |||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 11.86 | $ | 9.99 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.06 | 0.09 | — | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.97 | 1.78 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 1.03 | 1.87 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||
Net investment income | (0.16 | ) | — | — | |||||||||||
Net realized capital gains | (0.04 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions to shareholders | (0.20 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Redemption fees | — | — | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of year/period | $ | 12.69 | $ | 11.86 | $ | 9.99 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(2) | 8.72 | % | 18.60 | % | (0.10 | )% | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 2,613 | $ | 2,399 | $ | 1,999 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | 2.12 | %(4) | 2.21 | % | — | ||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(3)(5) | 3.78 | %(4) | 5.28 | % | — | ||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.90 | %(4) | 0.83 | % | — | ||||||||||
Portfolio turnover rate | 114.89 | %(6) | 237.06 | % | — |
* | 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 Fund would be 1.15% and 1.15% for the six months ended March 31, 2018 and the year ended September 30, 2017, respectively. |
(4) | Annualized. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
145
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Neutral 500 Fund Institutional Class Shares | ||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017* | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of year/period | $ | 10.77 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment loss(1) | (0.00 | )(2) | (0.07 | ) | ||||||
Net realized and unrealized gain on investments | 0.58 | 0.84 | ||||||||
|
|
|
| |||||||
Total from investment operations | 0.58 | 0.77 | ||||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | (0.01 | ) | — | |||||||
Net realized capital gains | (0.05 | ) | — | |||||||
|
|
|
| |||||||
Total dividends and distributions to shareholders | (0.06 | ) | — | |||||||
|
|
|
| |||||||
Redemption fees | — | — | ||||||||
|
|
|
| |||||||
Net asset value, end of year/period | $ | 11.29 | $ | 10.77 | ||||||
|
|
|
| |||||||
Total investment return(3) | 5.36 | % | 7.70 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of year/period (in 000s) | $ | 5,879 | $ | 3,593 | ||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 2.60 | %(5) | 3.24 | % | ||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if | 3.62 | %(5) | 6.02 | % | ||||||
Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.08 | )%(5) | (0.64 | )% | ||||||
Portfolio turnover rate | 138.99 | %(7) | 201.65 | % |
* | 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) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | 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 Fund would be 1.50% and 1.50% for the six months ended March 31, 2018 and the year ended September 30, 2017, respectively. |
(5) | Annualized. |
(6) | 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). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
146
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Hedged Plus Fund Institutional Class Shares | ||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016* | ||||||||||
Per Share Operating Performance | ||||||||||||
Net asset value, beginning of year/period | $ | 11.43 | $ | 10.08 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Net investment income(1) | 0.02 | 0.01 | 0.00 | (2) | ||||||||
Net realized and unrealized gain on investments | 0.87 | 1.49 | 0.08 | |||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.89 | 1.50 | 0.08 | |||||||||
|
|
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||||
Net investment income | (0.09 | ) | (0.11 | ) | — | |||||||
Net realized capital gains | (0.17 | ) | (0.04 | ) | — | |||||||
|
|
|
|
|
| |||||||
Total dividends and distributions to shareholders | (0.26 | ) | (0.15 | ) | — | |||||||
|
|
|
|
|
| |||||||
Redemption fees | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value, end of year/period | $ | 12.06 | $ | 11.43 | $ | 10.08 | ||||||
|
|
|
|
|
| |||||||
Total investment return(3) | 7.76 | % | 15.01 | % | 0.80 | % | ||||||
Ratio/Supplemental Data | ||||||||||||
Net assets, end of year/period (in 000s) | $ | 2,498 | $ | 2,319 | $ | 2,015 | ||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 2.81 | %(5) | 3.10 | % | 3.13 | %(5) | ||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 6.02 | %(5) | 8.46 | % | 8.17 | %(5) | ||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.26 | %(5) | 0.09 | % | 0.00 | %(5)(7) | ||||||
Portfolio turnover rate | 115.73 | %(8) | 182.53 | % | 151.89 | %(8) |
* | Commencement of operations. Initial seed capital was issued at $10.00 per share on March 31, 2016. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | 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 Fund would be 1.15%, 1.15% and 1.15% for the six months ended March 31, 2018, the year ended September 30, 2017 and the period ended September 30, 2016, respectively. |
(5) | Annualized. |
(6) | 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). |
(7) | Amount is less than 0.005%. |
(8) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
147
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Hedged Core Fund Institutional Class Shares | |||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 11.34 | $ | 10.00 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.05 | 0.07 | — | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.60 | 1.27 | (0.00 | )(2) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 0.65 | 1.34 | (0.00 | )(2) | |||||||||||
|
|
|
|
|
| ||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||
Net investment income | (0.18 | ) | — | — | |||||||||||
Net realized capital gains | (0.01 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions to shareholders | (0.19 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Redemption fees | — | — | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of year/period | $ | 11.80 | $ | 11.34 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(3) | 5.68 | % | 13.40 | % | 0.00 | % | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 2,396 | $ | 2,267 | $ | 1,999 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(4) | 1.22 | %(5) | 1.40 | % | — | ||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4)(6) | 3.65 | %(5) | 4.91 | % | — | ||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.77 | %(5) | 0.66 | % | — | ||||||||||
Portfolio turnover rate | 116.67 | %(7) | 248.96 | % | — |
* | 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) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | 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 Fund would be 0.85% and 0.85% for the six months ended March 31, 2018 and the year ended September 30, 2017, respectively. |
(5) | Annualized. |
(6) | 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). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
148
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Defensive Long Fund Institutional Class Shares | |||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 10.87 | $ | 9.99 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment loss(1) | (0.03 | ) | (0.03 | ) | — | ||||||||||
Net realized and unrealized gain/(loss) on investments | 0.69 | 0.91 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 0.66 | 0.88 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||
Net investment income | (0.06 | ) | — | — | |||||||||||
Net realized capital gains | (0.18 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions to shareholders | (0.24 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of year/period | $ | 11.29 | $ | 10.87 | $ | 9.99 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(2) | 6.17 | % | 8.70 | % | (0.10 | )% | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 2,307 | $ | 2,174 | $ | 1,999 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | 3.72 | %(4) | 3.62 | % | — | ||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(3)(5) | 8.80 | %(4) | 8.27 | % | — | ||||||||||
Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.55 | )%(4) | (0.27 | )% | — | ||||||||||
Portfolio turnover rate | 115.66 | %(6) | 262.95 | % | — |
* | 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 Fund would be 2.15% and 2.15% for the six months ended March 31, 2018 and the year ended September 30, 2017, respectively. |
(4) | Annualized. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
149
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Defensive Long 500 Fund Institutional Class Shares | |||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 11.71 | $ | 9.99 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.04 | 0.04 | — | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.91 | 1.68 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 0.95 | 1.72 | (0.01 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||
Net investment income | (0.08 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions to shareholders | (0.08 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Redemption fees | — | — | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of year/period | $ | 12.58 | $ | 11.71 | $ | 9.99 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(2) | 8.11 | % | 17.10 | % | (0.10 | )% | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 9,317 | $ | 7,940 | $ | 1,999 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | 3.50 | %(4) | 3.80 | % | — | ||||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(3)(5) | 4.04 | %(4) | 5.01 | % | — | ||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.65 | %(4) | 0.39 | % | — | ||||||||||
Portfolio turnover rate | 113.38 | %(6) | 259.21 | % | — |
* | 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 Fund would be 1.50% and 1.50% for the six months ended March 31, 2018 and the year ended September 30, 2017, respectively. |
(4) | Annualized. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
150
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Short Strategies Fund Institutional Class Shares | ||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Period Ended September 30, 2017* | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 10.07 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income/(loss)(1) | (0.02 | ) | 0.02 | |||||||
Net realized and unrealized gain on investments | 0.02 | 0.05 | ||||||||
|
|
|
| |||||||
Total from investment operations | — | 0.07 | ||||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | (0.02 | ) | — | |||||||
|
|
|
| |||||||
Total dividends and distributions to shareholders | (0.02 | ) | — | |||||||
|
|
|
| |||||||
Redemption fees | — | — | ||||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 10.05 | $ | 10.07 | ||||||
|
|
|
| |||||||
Total investment return(2) | (0.05 | )% | 0.70 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (in 000s) | $ | 7,167 | $ | 18,328 | ||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any | 1.35 | %(3) | 1.35 | %(3) | ||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4) | 2.48 | %(3) | 3.06 | %(3) | ||||||
Ratio of net investment income (loss) to average net assets | (0.33 | )%(3) | 1.19 | %(3) | ||||||
Portfolio turnover rate | 280.31 | %(5) | 165.16 | %(5)(6) |
* | Commencement of operations. Initial seed capital was issued at $10.00 per share on July 31, 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) | Annualized. |
(4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(5) | Not annualized. |
(6) | 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.
151
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Institutional Value Fund Institutional Class Shares | |||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Period Ended September 30, 2016* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 12.46 | $ | 10.87 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.07 | 0.14 | 0.11 | ||||||||||||
Net realized and unrealized gain on investments | 0.90 | 1.71 | 0.76 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 0.97 | 1.85 | 0.87 | ||||||||||||
|
|
|
|
|
| ||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||
Net investment income | (0.28 | ) | (0.26 | ) | — | ||||||||||
Net realized capital gains | (1.33 | ) | — | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions to shareholders | (1.61 | ) | (0.26 | ) | — | ||||||||||
|
|
|
|
|
| ||||||||||
Redemption fees | — | — | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of year/period | $ | 11.82 | $ | 12.46 | $ | 10.87 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(2) | 7.97 | % | 17.31 | % | 8.70 | % | |||||||||
Ratio/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 2,836 | $ | 2,627 | $ | 2,236 | |||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any | 0.95 | %(3) | 0.95 | % | 0.95 | %(3) | |||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(4) | 2.95 | %(3) | 4.40 | % | 4.90 | %(3) | |||||||||
Ratio of net investment income to average net assets | 1.10 | %(3) | 1.19 | % | 1.41 | %(3) | |||||||||
Portfolio turnover rate | 104.28 | %(5) | 168.54 | % | 243.77 | %(5) |
* | Commencement of operations. Initial seed capital was issued at $10.00 per share on December 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) | Annualized. |
(4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
152
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Total Return Fund Institutional Class Shares | ||||||||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Year Ended September 30, 2017 | For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015* | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of year/period | $ | 11.60 | $ | 10.02 | $ | 9.33 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income/(loss)(1) | 0.04 | 0.01 | 0.17 | (0.01 | ) | |||||||||||
Net realized and unrealized gain/(loss) on investments | 0.89 | 1.58 | 0.72 | (0.66 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.93 | 1.59 | 0.89 | (0.67 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.04 | ) | (0.01 | ) | (0.18 | ) | — | |||||||||
Net realized capital gains | (0.01 | ) | — | (0.02 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions to shareholders | (0.05 | ) | (0.01 | ) | (0.20 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Redemption fees | — | — | — | 0.00 | (2) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of year/period | $ | 12.48 | $ | 11.60 | $ | 10.02 | $ | 9.33 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment return(3) | 7.95 | % | 15.82 | % | 9.65 | % | (6.70 | )% | ||||||||
Ratio/Supplemental Data | ||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 21,895 | $ | 18,539 | $ | 8,062 | $ | 7,010 | ||||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any | 0.00 | %(4) | 0.02 | % | 0.17 | % | 0.18 | %(4) | ||||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(5) | 0.68 | %(4) | 0.74 | % | 1.55 | % | 1.57 | %(4) | ||||||||
Ratio of net investment income (loss) to average net assets | 0.59 | %(4) | 0.09 | % | 1.78 | % | (0.18 | )%(4) | ||||||||
Portfolio turnover rate | 0.00 | %(6) | 27.24 | % | 5.85 | % | 42.30 | %(6) |
* | 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) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
153
GOTHAM FUNDS
Financial Highlights (Continued)
Gotham Total Return Fund Investor Class Shares | |||||
For the Period Ended March 31, 2018 (Unaudited)* | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ | 12.60 | |||
|
| ||||
Net investment loss(1) | (0.01 | ) | |||
Net realized and unrealized loss on investments | (0.12 | ) | |||
|
| ||||
Total from investment operations | (0.13 | ) | |||
|
| ||||
Dividends and distributions to shareholders from: | |||||
Net investment income | — | ||||
Net realized capital gains | — | ||||
|
| ||||
Total dividends and distributions to shareholders | — | ||||
|
| ||||
Redemption fees | — | ||||
|
| ||||
Net asset value, end of period | $ | 12.47 | |||
|
| ||||
Total investment return(2) | (1.03 | )% | |||
Ratio/Supplemental Data | |||||
Net assets, end of period (in 000s) | $ | 1,485 | |||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any | 0.25 | %(3) | |||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if | 1.06 | %(3) | |||
Ratio of net investment loss to average net assets | (0.25 | )%(3) | |||
Portfolio turnover rate | 0.00 | %(5) |
* | Investor class commenced operations on January 2, 2018. Initial seed capital was issued at $12.60 per share. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were 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) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
154
GOTHAM FUNDS
Financial Highlights (Concluded)
Gotham Master Neutral Fund Institutional Class Shares | ||||||||||
For the Six Months Ended March 31, 2018 (Unaudited) | For the Period Ended September 30, 2017* | |||||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 10.08 | $ | 10.00 | ||||||
|
|
|
| |||||||
Net investment income(1) | 0.01 | 0.01 | ||||||||
Net realized and unrealized gain on investments | 0.33 | 0.07 | ||||||||
|
|
|
| |||||||
Total from investment operations | 0.34 | 0.08 | ||||||||
|
|
|
| |||||||
Dividends and distributions to shareholders from: | ||||||||||
Net investment income | (0.02 | ) | — | |||||||
Net realized capital gains | (0.12 | ) | — | |||||||
|
|
|
| |||||||
Total dividends and distributions to shareholders | (0.14 | ) | — | |||||||
|
|
|
| |||||||
Redemption fees | — | — | ||||||||
|
|
|
| |||||||
Net asset value, end of period | $ | 10.28 | $ | 10.08 | ||||||
|
|
|
| |||||||
Total investment return(2) | 3.39 | % | 0.80 | % | ||||||
Ratio/Supplemental Data | ||||||||||
Net assets, end of period (in 000s) | $ | 4,192 | $ | 4,075 | ||||||
Ratio of expenses to average net assets with waivers, reimbursements, and recoupments if any (including dividend and interest expense)(3) | 0.38 | %(4) | 0.31 | %(4) | ||||||
Ratio of expenses to average net assets without waivers, expense reimbursements, and recoupments if any(3)(5) | 2.84 | %(4) | 4.60 | %(4) | ||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.11 | %(4) | 0.35 | %(4) | ||||||
Portfolio turnover rate | 82.04 | %(6) | 96.82 | %(6) |
* | 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 Fund would be 0.28% and 0.31% for the six months ended March 31, 2018 and the period ended September 30, 2017, respectively. |
(4) | Annualized. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
155
GOTHAM FUNDS
Notes to Financial Statements
March 31, 2018
(Unaudited)
1. Organization and Significant Accounting Policies
The Gotham Absolute 500 Fund, the Gotham Absolute 500 Core Fund, the Gotham Enhanced 500 Fund, the Gotham Enhanced 500 Core Fund, the Gotham Neutral 500 Fund, the Gotham Hedged Plus Fund, the Gotham Hedged Core Fund, the Gotham Defensive Long Fund, the Gotham Defensive Long 500 Fund, the Gotham Short Strategies Fund, the Gotham Institutional Value Fund, the Gotham Total Return 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 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, except for the Gotham Total Return Fund offers one class of shares, Institutional Class. The Gotham Total Return Fund offers two classes of shares, Institutional and Investor Class. The Fund’s commencement of operations are as follows:
Gotham Absolute 500 Fund (“Absolute 500”) | July 31, 2014 | |
Gotham Absolute 500 Core Fund (“Absolute 500 Core”) | September 30, 2016 | |
Gotham Enhanced 500 Fund (“Enhanced 500”) | December 31, 2014 | |
Gotham Enhanced 500 Core Fund (“Enhanced 500 Core”) | September 30, 2016 | |
Gotham Neutral 500 Fund (“Neutral 500”) | October 01, 2016 | |
Gotham Hedged Plus Fund (“Hedged Plus”) | March 31, 2016 | |
Gotham Hedged Core Fund (“Hedged Core”) | September 30, 2016 | |
Gotham Defensive Long Fund (“Defensive Long”) | September 30, 2016 | |
Gotham Defensive Long 500 Fund (“Defensive Long 500”) | September 30, 2016 | |
Gotham Short Strategies Fund (“Short Strategies”) | July 31, 2017 | |
Gotham Institutional Value Fund (“Institutional Value”) | December 31, 2015 | |
Gotham Total Return Fund (“Total Return”) (operates as a “Fund of Funds”) | March 31, 2015 | |
Gotham Master Neutral Fund (“Master Neutral”) | April 28, 2017 |
All the Funds except for the Institutional Value, Total Return and Master Neutral 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. Institutional Value 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. Total Return seeks to achieve its investment objective by primarily investing in the other funds advised by Gotham. Master Neutral seeks to achieve 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, Short Strategies (“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:
156
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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 | |||||||||||||||||||||
Short Strategies | $ | 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.
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 U.S. Treasury Obligation with the end of period value of $199,854 held by Master Neutral; and total return swap with an unrealized appreciation of $301,886 held by Short Strategies. These securities are considered Level 2 as of and for the period ended March 31, 2018.
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.
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GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of 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 March 31, 2018, 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 at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. 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.
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
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GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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.
As of March 31, 2018, 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 | |||||||||||||
Absolute 500 | $ | 10,528,097 | $ | 11,476,795 | $ | 5,572,570 | |||||||||
Absolute 500 Core | 1,212,815 | 1,925,132 | 554,786 | ||||||||||||
Enhanced 500 | 24,808,398 | 35,313,122 | 2,555,400 | ||||||||||||
Enhanced 500 Core | 1,051,989 | 2,888,622 | 22,098 | ||||||||||||
Neutral 500 | 5,750,560 | 6,305,854 | 4,059,674 | ||||||||||||
Hedged Plus | 2,345,438 | 2,952,086 | 879,528 | ||||||||||||
Hedged Core | 967,948 | 1,578,169 | 798,227 | ||||||||||||
Defensive Long | 1,783,615 | 3,079,195 | 3,990 | ||||||||||||
Defensive Long 500 | 7,659,611 | 11,867,777 | 78,553 | ||||||||||||
Master Neutral | 1,218,588 | 1,306,278 | 1,078,728 |
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 March 31, 2018:
Rebate (Income)/Fees | |||||
Absolute 500 | $ | (52,403 | ) | ||
Absolute 500 Core | (6,089 | ) | |||
Enhanced 500 | (121,071 | ) | |||
Enhanced 500 Core | (5,300 | ) | |||
Neutral 500 | (23,302 | ) | |||
Hedged Plus | (11,402 | ) | |||
Hedged Core | (4,550 | ) | |||
Defensive Long | (5,475 | ) | |||
Defensive Long 500 | 38,096 | ||||
Master Neutral | (5,493 | ) |
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 March 31, 2018:
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March 31, 2018
(Unaudited)
Short Sales Proceeds | Financing Charges | |||||||
Absolute 500 | $ | 4,597,227 | $ | 50,813 | ||||
Absolute 500 Core | 619,557 | 5,638 | ||||||
Enhanced 500 | 21,254,051 | 235,758 | ||||||
Enhanced 500 Core | 1,002,542 | 8,805 | ||||||
Neutral 500 | 1,249,588 | 9,838 | ||||||
Hedged Plus | 1,400,634 | 12,614 | ||||||
Hedged Core | 146,433 | 1,443 | ||||||
Defensive Long | 1,701,760 | 15,305 | ||||||
Defensive Long 500 | 7,243,062 | 64,761 | ||||||
Master Neutral | 103,271 | 1,151 |
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. 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 March 31, 2018, only Short Strategies held a total return swap.
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Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
For the six months ended March 31, 2018, the quarterly average volume of the total return swap was as follows:
Notional Amount | |||||
Short Strategies | $ | (19,180,240 | ) |
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 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
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Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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 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 | Collateral Pledged* | Net Amount** | |||||||||||||||||||||||||
Short Strategies | $ | 301,886 | $ | — | $ | 301,886 | $ | — | $ | 301,886 | $ | — |
* | 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. |
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:
Absolute 500 | 1.35 | % | ||
Absolute 500 Core | 1.00 | % | ||
Enhanced 500 | 1.35 | % | ||
Enhanced 500 Core | 1.00 | % | ||
Neutral 500 | 1.35 | % | ||
Hedged Plus | 1.00 | % | ||
Hedged Core | 0.70 | % | ||
Defensive Long | 2.00 | % | ||
Defensive Long 500 | 1.35 | % | ||
Short Strategies | 1.35 | % | ||
Institutional Value | 0.80 | % | ||
Total Return(1) | — | % | ||
Master Neutral(1) | 0.30 | % |
(1) | For Total Return and Master Neutral (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% and 0.75%, respectively, of Total Return and Master Neutral’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. Total Return does not currently expect to invest in assets other than underlying funds; however, to the extent it does, the Fund will pay an investment advisory fee on such assets. Master Neutral expects to invest 40% of its assets in securities directly; the Fund will pay an advisory fee on such directly invested assets. |
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Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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 Total Return and Master Neutral 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 March 31, 2018.
Institutional Class | Investor Class | Termination Date | |||||||||||||
Absolute 500 | 1.50 | % | N/A | January 31, 2020 | |||||||||||
Absolute 500 Core | 1.15 | % | N/A | January 31, 2020 | |||||||||||
Enhanced 500 | 1.50 | % | N/A | January 31, 2020 | |||||||||||
Enhanced 500 Core | 1.15 | % | N/A | January 31, 2020 | |||||||||||
Neutral 500 | 1.50 | % | N/A | January 31, 2020 | |||||||||||
Hedged Plus | 1.15 | % | N/A | January 31, 2020 | |||||||||||
Hedged Core | 0.85 | % | N/A | January 31, 2020 | |||||||||||
Defensive Long | 2.15 | % | N/A | January 31, 2020 | |||||||||||
Defensive Long 500 | 1.50 | % | N/A | January 31, 2020 | |||||||||||
Short Strategies | 1.35 | % | N/A | July 31, 2020 | |||||||||||
Institutional Value | 0.95 | % | N/A | January 31, 2020 | |||||||||||
Total Return | 0.00 | % | 0.25 | % | January 31, 2020 | ||||||||||
Master Neutral(1) | 0.00 | % | N/A | January 31, 2020 |
(1) | Per the Expense Limitation agreement for the Fund, the expenses subject to the expense limitation are also exclusive of advisory fees, if any. |
For the period ended March 31, 2018, investment advisory fees accrued and waivers were as follows:
Gross Advisory Fee | Waiver/ Reimbursements | Net Advisory Fee (Reimbursement) | |||||||||||||
Absolute 500 | $ | 83,957 | $ | (33,038 | ) | $ | 50,919 | ||||||||
Absolute 500 Core | 11,750 | (22,393 | ) | (10,643 | ) | ||||||||||
Enhanced 500 | 184,649 | (32,029 | ) | 152,620 | |||||||||||
Enhanced 500 Core | 12,899 | (21,364 | ) | (8,465 | ) | ||||||||||
Neutral 500 | 31,276 | (23,539 | ) | 7,737 | |||||||||||
Hedged Plus | 12,382 | (39,783 | ) | (27,401 | ) | ||||||||||
Hedged Core | 8,341 | (28,987 | ) | (20,646 | ) | ||||||||||
Defensive Long | 23,037 | (58,526 | ) | (35,489 | ) | ||||||||||
Defensive Long 500 | 58,572 | (23,419 | ) | 35,153 | |||||||||||
Short Strategies | 90,717 | (75,786 | ) | 14,931 | |||||||||||
Institutional Value | 11,220 | (28,108 | ) | (16,888 | ) | ||||||||||
Total Return | — | (71,058 | ) | (71,058 | ) | ||||||||||
Master Neutral | 5,790 | (50,759 | ) | (44,969 | ) |
For all funds except for Absolute 500, Enhanced 500, Institutional Value, Total Return, Short Strategies and Master Neutral, 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 Absolute 500, Enhanced 500, Institutional Value, Total Return and Master Neutral, 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. Short Strategies is not entitled to recoup any amounts reduced or reimbursed by the Adviser. As of March 31, 2018, the amount of potential reimbursement from the Funds to the Adviser are as follows:
163
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Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
Expiration
04/30/2018 | Expiration
09/30/2018 | Expiration
09/30/2019 | Expiration
09/30/2020 | Expiration
03/31/2021 | |||||||||||||||||||||
Absolute 500 | $ | 99,209 | $ | 29,092 | $ | 32,059 | $ | 74,474 | $ | 33,038 | |||||||||||||||
Absolute 500 Core | N/A | N/A | N/A | 66,947 | 22,393 | ||||||||||||||||||||
Enhanced 500 | N/A | 48,788 | 76,809 | 82,079 | 32,029 | ||||||||||||||||||||
Enhanced 500 Core | N/A | N/A | N/A | 66,803 | 21,364 | ||||||||||||||||||||
Neutral 500 | N/A | N/A | N/A | 69,432 | 23,539 | ||||||||||||||||||||
Hedged Plus | N/A | N/A | 49,689 | 117,002 | 39,783 | ||||||||||||||||||||
Hedged Core | N/A | N/A | N/A | 74,311 | 28,987 | ||||||||||||||||||||
Defensive Long | N/A | N/A | N/A | 97,415 | 58,526 | ||||||||||||||||||||
Defensive Long 500 | N/A | N/A | N/A | 68,706 | 23,419 | ||||||||||||||||||||
Institutional Value | N/A | N/A | 59,712 | 83,569 | 28,108 | ||||||||||||||||||||
Total Return | N/A | 36,613 | 107,341 | 23,788 | 71,058 | ||||||||||||||||||||
Master Neutral | N/A | N/A | N/A | — | 50,759 |
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian 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 certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc, (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent 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. Pershing LLC is a wholly owned subsidiary of The Bank of New York Mellon Corporation.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trust has adopted a distribution plan for Investor Class shares of Total Return, in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Investor Class shares plan, Total Return compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25%, on an annualized basis of the Investor Class shares of Total Return’s average daily net assets.
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 March 31, 2018 was $5,493. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds 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.
164
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
Investment in Affiliated Funds
The following tables list each issuer owned by Total Return and Master Neutral 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 March 31, 2018:
Total Return | ||||||||||||||||||||||||||||||||||||||||
Name of Issuer | Value at 9/30/17 | Purchase Cost | Dividend Income | Sales Proceeds | Net Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at 3/31/18 | Shares Held at 3/31/18 | ||||||||||||||||||||||||||||||||
Absolute 500 | $3,657,474 | $ 725,328 | $ — | $— | $— | $187,187 | $4,569,989 | 377,997 | ||||||||||||||||||||||||||||||||
Defensive Long 500 | 5,570,810 | 1,008,655 | 38,540 | — | — | 412,539 | 6,992,004 | 555,803 | ||||||||||||||||||||||||||||||||
Enhanced 500 | 2,813,333 | 666,546 | 4,838 | — | — | 108,820 | 3,588,699 | 283,244 | ||||||||||||||||||||||||||||||||
Gotham Index Plus Fund | 3,763,049 | 662,317 | 15,596 | — | — | 355,094 | 4,780,460 | 336,179 | ||||||||||||||||||||||||||||||||
Gotham Neutral Fund | 2,617,503 | 485,042 | — | — | — | 106,869 | 3,209,414 | 301,920 |
Master Neutral | ||||||||||||||||||||||||||||||||||||||||
Name of Issuer | Value at 9/30/17 | Purchase Cost | Dividend Income | Sales Proceeds | Net Realized Gain/ (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at 3/31/18 | Shares Held at 3/31/18 | ||||||||||||||||||||||||||||||||
Neutral 500 | $1,438,366 | $7,555 | $1,249 | $— | $— | $69,514 | $1,515,435 | 134,228 | ||||||||||||||||||||||||||||||||
Gotham Neutral Fund | 1,000,934 | — | — | — | — | 39,137 | 1,040,071 | 97,843 |
3. Investment in Securities
For the six months ended March 31, 2018 for all funds, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||||
Absolute 500 | $ | 21,449,779 | $ | 20,816,897 | ||||||
Absolute 500 Core | 3,224,993 | 3,248,316 | ||||||||
Enhanced 500 | 59,248,562 | 54,680,186 | ||||||||
Enhanced 500 Core | 4,173,922 | 4,114,657 | ||||||||
Neutral 500 | 10,788,452 | 7,810,635 | ||||||||
Hedged Plus | 4,551,120 | 4,309,814 | ||||||||
Hedged Core | 2,852,614 | 2,733,738 | ||||||||
Defensive Long | 4,807,404 | 4,711,480 | ||||||||
Defensive Long 500 | 19,559,090 | 18,214,354 | ||||||||
Short Strategies | 88,052,258 | 114,859,532 | ||||||||
Institutional Value | 2,916,575 | 2,925,442 | ||||||||
Total Return | 3,547,888 | — | ||||||||
Master Neutral | 3,246,411 | 3,041,843 |
For the six months ended March 31, 2018 , the Funds had no purchases or sales of U.S. Government securities.
165
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
4. Capital Share Transactions
For the periods ended March 31, 2018 and September 30, 2017, transactions in capital shares of the Funds (authorized shares unlimited) were as follows:
For the Period Ended March 31, 2018 | For the Period Ended September 30, 2017 | |||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||
Absolute 500: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | 214,650 | $ | 2,580,446 | 228,505 | $ | 2,473,111 | ||||||||||||||
Reinvestments | 20,254 | 244,260 | — | — | ||||||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||||||
Redemptions | (114,773 | ) | (1,353,790 | ) | (500,946 | ) | (5,428,396 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) | 120,131 | $ | 1,470,916 | (272,441 | ) | $ | (2,955,285 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Absolute 500 Core: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | — | $ | — | — | $ | — | ||||||||||||||
Reinvestments | 2,466 | 28,805 | — | — | ||||||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||||||
Redemptions | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 2,466 | $ | 28,805 | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Enhanced 500: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | 364,555 | $ | 4,666,131 | 648,594 | $ | 7,239,119 | ||||||||||||||
Reinvestments | 124,633 | 1,565,389 | 5,728 | 62,726 | ||||||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||||||
Redemptions | (222,296 | ) | (2,869,012 | ) | (593,745 | ) | (6,767,359 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 266,892 | $ | 3,362,508 | 60,577 | $ | 534,486 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Enhanced 500 Core: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | 394 | $ | 5,000 | 2,256 | $ | 25,000 | ||||||||||||||
Reinvestments | 3,263 | 41,081 | — | — | ||||||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||||||
Redemptions | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 3,657 | $ | 46,081 | 2,256 | $ | 25,000 | ||||||||||||||
|
|
|
|
|
|
|
|
166
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
For the Period Ended March 31, 2018 | For the Period Ended September 30, 2017 | |||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||
Neutral 500:(1) | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | 185,264 | $ | 2,100,000 | 133,553 | $ | 1,414,502 | ||||||||||||||
Reinvestments | 2,022 | 22,632 | — | — | ||||||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||||||
Redemptions | (112 | ) | (1,255 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 187,174 | $ | 2,121,377 | 133,553 | $ | 1,414,502 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Hedged Plus: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | — | $ | — | 1,426 | $ | 15,323 | ||||||||||||||
Reinvestments | 4,321 | 52,197 | 1,425 | 15,322 | ||||||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||||||
Redemptions | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 4,321 | $ | 52,197 | 2,851 | $ | 30,645 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Hedged Core: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | — | $ | — | — | $ | — | ||||||||||||||
Reinvestments | 3,111 | 36,684 | — | — | ||||||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||||||
Redemptions | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 3,111 | $ | 36,684 | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Defensive Long: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | — | $ | — | — | $ | — | ||||||||||||||
Reinvestments | 4,254 | 47,853 | — | — | ||||||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||||||
Redemptions | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 4,254 | $ | 47,853 | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Defensive Long 500: | ||||||||||||||||||||
Institutional Class Shares: | ||||||||||||||||||||
Sales | 77,412 | $ | 975,114 | 505,581 | $ | 5,411,674 | ||||||||||||||
Reinvestments | 4,344 | 54,690 | — | — | ||||||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||||||
Redemptions | (18,865 | ) | (249,585 | ) | (27,848 | ) | (310,848 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase | 62,891 | $ | 780,219 | 477,733 | $ | 5,100,826 | ||||||||||||||
|
|
|
|
|
|
|
|
167
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
For the Period Ended March 31, 2018 | For the Period Ended September 30, 2017 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Short Strategies:(2)(3) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 19,659 | $ | 195,027 | 1,820,601 | $ | 18,210,793 | ||||||||||
Reinvestments | 3,605 | 35,362 | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (1,130,902 | ) | (11,238,062 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (1,107,638 | ) | $ | (11,007,673 | ) | 1,820,601 | $ | 18,210,793 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Value: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | — | $ | — | 2,807 | $ | 31,611 | ||||||||||
Reinvestments | 29,136 | 339,149 | 2,473 | 27,581 | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (23 | ) | (272 | ) | (23 | ) | (258 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 29,113 | $ | 338,877 | 5,257 | $ | 58,934 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return: | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | 153,231 | $ | 1,900,250 | 816,663 | $ | 8,866,330 | ||||||||||
Reinvestments | 5,446 | 68,177 | 195 | 2,105 | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (3,460 | ) | (43,660 | ) | (22,667 | ) | (254,100 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 155,217 | $ | 1,924,767 | 794,191 | $ | 8,614,335 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class Shares:(4) | ||||||||||||||||
Sales | 119,048 | $ | 1,500,000 | — | $ | — | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 119,048 | $ | 1,500,000 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Master Neutral:(5) | ||||||||||||||||
Institutional Class Shares: | ||||||||||||||||
Sales | — | $ | — | 404,167 | $ | 4,050,000 | ||||||||||
Reinvestments | 3,762 | 38,074 | — | — | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 3,762 | $ | 38,074 | 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) | Gotham Neutral 500 Fund issued its initial shares on September 30, 2016. The Fund commenced operations October 01, 2016. |
168
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
(2) | The Fund commenced operations on July 31, 2017. |
(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) | Investor Class Shares of Total Return commenced operations on January 2, 2018. |
(5) | Commencement of operations April 28, 2017. |
As of March 31, 2018, the following Funds had shareholders that held 10% or more of the outstanding shares of the Fund:
Absolute 500 | ||||
Affiliated Shareholders | 17 | % | ||
Affiliated Fund | 34 | % | ||
Absolute 500 Core | ||||
Affiliated Shareholders | 50 | % | ||
Enhanced 500 | ||||
Affiliated Shareholders | 41 | % | ||
Affiliated Fund | 12 | % | ||
Enhanced 500 Core | ||||
Affiliated Shareholders | 49 | % | ||
Neutral 500 | ||||
Affiliated Shareholders | 19 | % | ||
Affiliated Fund | 26 | % | ||
Hedged Plus | ||||
Affiliated Shareholders | 50 | % | ||
Hedged Core | ||||
Affiliated Shareholders | 50 | % | ||
Defensive Long | ||||
Affiliated Shareholders | 50 | % | ||
Defensive Long 500 | ||||
Affiliated Shareholders | 13 | % | ||
Affiliated Fund | 74 | % | ||
Short Strategies | ||||
Affiliated Shareholders | 21 | % | ||
Institutional Value | ||||
Affiliated Shareholders | 49 | % | ||
Total Return | ||||
Affiliated Shareholders | 31 | % | ||
Master Neutral | ||||
Affiliated Shareholders | 37 | % |
5. Securities Lending
All Funds 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 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
169
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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 March 31, 2018, the Funds listed below each had securities lending programs. The market value of securities on loan and cash collateral received as of March 31, 2018 and the income generated from the programs during the period ended March 31, 2018, 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 | |||||||||||||||||
Absolute 500 | $ | 872,254 | $ | 883,102 | $ | — | $ | 16 | ||||||||||||
Absolute 500 Core | 20,892 | 2,975 | 18,717 | 30 | ||||||||||||||||
Enhanced 500 | 2,439,199 | 2,465,970 | — | 36 | ||||||||||||||||
Enhanced 500 Core | 52,755 | 17,110 | 36,122 | 42 | ||||||||||||||||
Neutral 500 | 40,724 | 13,873 | 27,308 | 20 | ||||||||||||||||
Hedged Plus | 22,208 | 22,719 | — | 30 | ||||||||||||||||
Hedged Core | 37,295 | 5,669 | 31,924 | 22 | ||||||||||||||||
Defensive Long | 123,037 | 51,235 | 72,179 | 315 | ||||||||||||||||
Defensive Long 500 | 149,207 | 48,745 | 114,518 | 142 |
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 March 31, 2018:
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** | |||||||||||||||||||||||||
Absolute 500 | $ | 872,254 | $ | — | $ | 872,254 | $ | — | $ | (872,254 | ) | $ | — | |||||||||||||||||
Absolute 500 Core | 20,892 | — | 20,892 | — | (20,892 | ) | — | |||||||||||||||||||||||
Enhanced 500 | 2,439,199 | — | 2,439,199 | — | (2,439,199 | ) | — | |||||||||||||||||||||||
Enhanced 500 Core | 52,755 | — | 52,755 | — | (52,755 | ) | — | |||||||||||||||||||||||
Neutral 500 | 40,724 | — | 40,724 | — | (40,724 | ) | — | |||||||||||||||||||||||
Hedged Plus | 22,208 | — | 22,208 | — | (22,208 | ) | — | |||||||||||||||||||||||
Hedged Core | 37,295 | — | 37,295 | — | (37,295 | ) | — | |||||||||||||||||||||||
Defensive Long | 123,037 | — | 123,037 | — | (123,037 | ) | — | |||||||||||||||||||||||
Defensive Long 500 | 149,207 | — | 149,207 | — | (149,207 | ) | — |
* | 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
170
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
related appeals or litigation processes, based on the technical merits of the position. The Funds had determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
The tax character of distributions paid by the Funds during the year/period ended September 30, 2017 were as follows:
Ordinary Income Dividend | Long-Term Capital Gain Dividend | Return of Capital | |||||||||||||
Enhanced 500 | $66,405 | $— | $— | ||||||||||||
Hedged Plus | 30,645 | — | — | ||||||||||||
Institutional Value | 53,698 | — | — | ||||||||||||
Total Return | 4,144 | — | — |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
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 | |||||||||||||||||||||||||
Absolute 500 | $ | — | $ | — | $ | 244,259 | $ | 1,389,781 | $ | (13,028 | ) | $ | — | |||||||||||||||||
Absolute 500 Core | — | 18,874 | — | 241,703 | (9,348 | ) | — | |||||||||||||||||||||||
Enhanced 500 | — | 42,758 | 1,561,277 | 3,386,030 | — | — | ||||||||||||||||||||||||
Enhanced 500 Core | — | 39,517 | — | 346,726 | — | — | ||||||||||||||||||||||||
Neutral 500 | — | 57 | — | 226,974 | (34,815 | ) | — | |||||||||||||||||||||||
Hedged Plus | — | 18,182 | 34,013 | 281,748 | — | — | ||||||||||||||||||||||||
Hedged Core | — | 27,359 | — | 262,620 | (10,190 | ) | — | |||||||||||||||||||||||
Defensive Long | (2,252 | ) | 8,720 | — | 213,370 | (32,675 | ) | — | ||||||||||||||||||||||
Defensive Long 500 | — | 39,573 | — | 845,532 | (33,068 | ) | — | |||||||||||||||||||||||
Short Strategies | — | 35,361 | — | 113,827 | (31,727 | ) | — | |||||||||||||||||||||||
Institutional Value | — | 66,120 | 256,010 | 234,973 | — | — | ||||||||||||||||||||||||
Total Return | — | 1,993 | 9,105 | 1,802,483 | — | — | ||||||||||||||||||||||||
Master Neutral | — | 44,290 | — | (19,367 | ) | — | — |
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 March 31, 2018, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
171
GOTHAM FUNDS
Notes to Financial Statements (Concluded)
March 31, 2018
(Unaudited)
Federal Tax Cost (Proceeds)* | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Absolute 500 | $ | 7,197,896 | $ | 1,926,961 | $ | (667,884 | ) | $ | 1,259,077 | |||||||||||
Absolute 500 Core | 1,281,390 | 243,935 | (84,845 | ) | 159,090 | |||||||||||||||
Enhanced 500 | 25,188,610 | 4,913,300 | (1,797,589 | ) | 3,115,711 | |||||||||||||||
Enhanced 500 Core | 2,381,170 | 302,685 | (98,513 | ) | 204,172 | |||||||||||||||
Neutral 500 | 1,131,867 | 618,842 | (290,449 | ) | 328,393 | |||||||||||||||
Hedged Plus | 1,253,323 | 396,228 | (141,285 | ) | 254,943 | |||||||||||||||
Hedged Core | 1,306,767 | 221,618 | (69,164 | ) | 152,454 | |||||||||||||||
Defensive Long | 2,110,762 | 436,015 | (211,106 | ) | 224,909 | |||||||||||||||
Defensive Long 500 | 8,527,182 | 1,363,820 | (637,029 | ) | 726,791 | |||||||||||||||
Short Strategies | 7,243,199 | 433,390 | (271,850 | ) | 161,540 | |||||||||||||||
Instutional Value | 2,644,653 | 231,480 | (50,017 | ) | 181,463 | |||||||||||||||
Total Return | 20,163,229 | 2,977,337 | — | 2,977,337 | ||||||||||||||||
Master Neutral | 2,565,318 | 247,650 | (57,485 | ) | 190,165 |
* | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report. |
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 | |||||||||||||
Absolute 500 | $ | 13,028 | $ | — | $ | — | |||||||||
Absolute 500 Core | — | 9,349 | (1 | ) | |||||||||||
Neutral 500 | — | 34,816 | (1 | ) | |||||||||||
Hedged Core | — | 10,085 | 105 | ||||||||||||
Defensive Long | — | 32,554 | 121 | ||||||||||||
Defensive Long 500 | — | 33,094 | (26 | ) | |||||||||||
Short Strategies | — | 31,727 | — |
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 | |||||
Defensive Long | $ | 2,252 |
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.
172
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.
173
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.
174
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[THIS PAGE INTENTIONALLY LEFT BLANK.]
Investment Adviser
Gotham Asset Management, LLC
535 Madison Avenue, 30th Floor
New York, NY 10022
Administrator
The Bank of New York Mellon
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
GOTIII-0318
TOBAM EMERGING MARKETS FUND
Semi-Annual Report
Performance Data
March 31, 2018
(Unaudited)
Total Returns for the Period Ended March 31, 2018† | ||||||||||||||
Six Months | Since Inception | |||||||||||||
Class I* | 15.80% | 31.43% | ||||||||||||
MSCI EM Net TR Index | 8.81% | 21.52%** |
† | 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 Fund and benchmark prices are presented as of March 29, 2018, the last day the Fund was open for business during the period ended March 31, 2018. |
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 table does 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 1.66% and 1.10%, respectively, of the Fund’s average daily net assets for Class I shares. These ratios are stated in the current prospectus dated February 1, 2018, 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 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): (a) from the commencement of operations through April 30, 2018, 0.85% with respect to Class I shares, of average daily net assets and (b) from May 1, 2018 through January 31, 2019, 1.10% with respect to Class I shares, of average daily net assets (the “Expense Limitation”), unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser may recoup from the Fund, subject to approval by the Board of Trustees of the Trust any expenses or fees it has reimbursed within a three-year period from the year in which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation 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 Morgan Stanley Capital International Emerging Markets Net Total Return Index (“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. All mutual fund investing involves risk, including possible loss of principal.
TOBAM EMERGING MARKETS FUND
Fund Expense Disclosure
March 31, 2018
(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 at the beginning of the six-month period from October 1, 2017 through March 31, 2018 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.
2
TOBAM EMERGING MARKETS FUND
Fund Expense Disclosure (Concluded)
March 31, 2018
(Unaudited)
TOBAM Emerging Markets Fund | ||||||||||||
Beginning Account Value |
Ending Account Value |
Expenses Paid | ||||||||||
Class I | ||||||||||||
Actual | $1,000.00 | $1,158.00 | $4.57 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.69 | 4.28 |
* | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2018 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 (182), then divided by 365 to reflect the period. The Fund’s ending account value on the first line in the table is based on the actual six-month total return for the Fund of 15.80% for Class I shares. |
3
TOBAM EMERGING MARKETS FUND
Portfolio Holdings Summary Table
March 31, 2018
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||
Common Stocks: | ||||||||
Telecommunications | 9.5% | $ | 5,289,568 | |||||
Food | 6.4 | 3,578,464 | ||||||
Retail | 6.2 | 3,461,249 | ||||||
Pharmaceuticals | 4.8 | 2,678,678 | ||||||
Semiconductors | 4.4 | 2,458,339 | ||||||
Mining | 3.8 | 2,125,052 | ||||||
Electronics | 3.3 | 1,845,960 | ||||||
Internet | 3.3 | 1,831,593 | ||||||
Real Estate | 3.3 | 1,809,340 | ||||||
Auto Manufacturers | 3.0 | 1,664,022 | ||||||
Forest Products & Paper | 2.7 | 1,500,197 | ||||||
Banks | 2.6 | 1,448,928 | ||||||
Gas | 2.6 | 1,443,956 | ||||||
Apparel | 2.6 | 1,440,971 | ||||||
Airlines | 2.4 | 1,357,301 | ||||||
Aerospace/Defense | 2.4 | 1,342,356 | ||||||
Transportation | 2.3 | 1,307,254 | ||||||
Cosmetics/Personal Care | 2.3 | 1,257,463 | ||||||
Computers | 2.2 | 1,221,214 | ||||||
Auto Parts & Equipment | 2.2 | 1,200,301 | ||||||
Commercial Services | 2.0 | 1,120,406 | ||||||
Engineering & Construction | 2.0 | 1,110,537 | ||||||
Home Furnishings | 2.0 | 1,095,014 | ||||||
Chemicals | 1.9 | 1,062,152 | ||||||
Healthcare-Services | 1.8 | 985,264 | ||||||
Insurance | 1.7 | 971,033 | ||||||
Software | 1.6 | 909,091 | ||||||
Miscellaneous Manufacturing | 1.3 | 708,003 | ||||||
Biotechnology | 1.2 | 686,165 |
% of Net Assets | Value | |||||||
Common Stocks: (Continued) | ||||||||
Oil & Gas | 1.2% | $ | 652,033 | |||||
Beverages | 1.0 | 584,138 | ||||||
Iron/Steel | 0.8 | 445,987 | ||||||
Distribution/Wholesale | 0.8 | 424,284 | ||||||
Healthcare-Products | 0.7 | 363,925 | ||||||
Energy-Alternate Sources | 0.7 | 361,431 | ||||||
Household Products/Wares | 0.6 | 330,059 | ||||||
Media | 0.6 | 313,620 | ||||||
Investment Companies | 0.6 | 307,200 | ||||||
Entertainment | 0.5 | 295,635 | ||||||
Building Materials | 0.5 | 261,276 | ||||||
Coal | 0.5 | 255,348 | ||||||
Electric | 0.4 | 236,230 | ||||||
Water | 0.3 | 190,112 | ||||||
Lodging | 0.3 | 170,915 | ||||||
Diversified Financial Services | 0.3 | 161,502 | ||||||
Machinery-Construction & Mining | 0.3 | 157,943 | ||||||
Advertising | 0.3 | 143,808 | ||||||
Electrical Components & Equipment | 0.2 | 90,304 | ||||||
Holding Companies-Diversified | 0.1 | 76,939 | ||||||
Oil & Gas Services | 0.1 | 75,890 | ||||||
Machinery-Diversified | 0.1 | 60,811 | ||||||
Preferred Stocks: | ||||||||
Chemicals | 0.7 | 381,003 | ||||||
Auto Manufacturers | 0.5 | 273,186 | ||||||
Other Assets in Excess of Liabilities | 0.1 | 68,378 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0% | $ | 55,591,828 | |||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
4
TOBAM EMERGING MARKETS FUND
Portfolio of Investments
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 98.7% |
| |||||||
Brazil — 3.6% | ||||||||
Embraer SA | 73,600 | $ | 479,082 | |||||
Fibria Celulose SA | 32,900 | 645,055 | ||||||
Suzano Papel e Celulose SA | 84,300 | 855,142 | ||||||
|
| |||||||
1,979,279 | ||||||||
|
| |||||||
China — 25.8% | ||||||||
58.com, Inc., ADR* | 1,771 | 141,432 | ||||||
AAC Technologies Holdings, Inc. | 27,500 | 503,926 | ||||||
Air China, Ltd., Class H | 244,000 | 315,109 | ||||||
Aluminum Corp. of China, Ltd., Class H* | 202,000 | 114,087 | ||||||
ANTA Sports Products, Ltd. | 134,000 | 684,044 | ||||||
Autohome, Inc., ADR | 6,641 | 570,728 | ||||||
BYD Electronic International Co., Ltd. | 37,500 | 71,129 | ||||||
China Evergrande Group* | 94,000 | 300,454 | ||||||
China Huarong Asset Management Co., Ltd., Class H(a) | 381,000 | 161,502 | ||||||
China Medical System Holdings, Ltd. | 63,000 | 144,326 | ||||||
China Mengniu Dairy Co., Ltd. | 242,000 | 835,161 | ||||||
China Molybdenum Co., Ltd., Class H | �� | 105,000 | 80,468 | |||||
China Resources Beer Holdings Co., Ltd. | 134,000 | 584,138 | ||||||
China Resources Gas Group, Ltd. | 116,000 | 405,652 | ||||||
China Southern Airlines Co., Ltd., Class H | 244,000 | 254,996 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
China — (Continued) |
| |||||||
China Vanke Co., Ltd., Class H | 86,600 | $ | 398,761 | |||||
Country Garden Holdings Co., Ltd. | 132,000 | 275,591 | ||||||
CSPC Pharmaceutical Group, Ltd. | 140,000 | 377,372 | ||||||
ENN Energy Holdings, Ltd. | 80,000 | 719,113 | ||||||
GOME Retail Holdings, Ltd. | 1,241,000 | 135,118 | ||||||
Great Wall Motor Co., Ltd., Class H | 557,000 | 564,516 | ||||||
Guangdong Investment, Ltd. | 120,000 | 190,112 | ||||||
Guangzhou Automobile Group Co., Ltd., Class H | 118,000 | 219,167 | ||||||
Haitian International Holdings, Ltd. | 20,000 | 60,811 | ||||||
Momo, Inc., SP ADR* | 12,041 | 450,093 | ||||||
NetEase, Inc., ADR | 1,637 | 458,998 | ||||||
New Oriental Education & Technology Group, Inc., SP ADR | 6,561 | 575,072 | ||||||
Semiconductor Manufacturing International Corp.* | 394,000 | 521,323 | ||||||
Shandong Weigao Group Medical Polymer Co., Ltd., Class H | 328,000 | 219,599 | ||||||
Shenzhou International Group Holdings, Ltd. | 79,000 | 836,994 | ||||||
Sihuan Pharmaceutical Holdings Group, Ltd. | 200,000 | 59,806 | ||||||
Sunac China Holdings, Ltd. | 35,000 | 137,539 |
The accompanying notes are an integral part of the financial statements.
5
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
China — (Continued) | ||||||||
Sunny Optical Technology Group Co., Ltd. | 23,600 | $ | 442,838 | |||||
TAL Education Group, ADR | 14,703 | 545,334 | ||||||
Tingyi Cayman Islands Holding Corp. | 342,000 | 709,436 | ||||||
Vipshop Holdings, Ltd., ADR* | 21,435 | 356,250 | ||||||
Want Want China Holdings, Ltd. | 910,000 | 732,108 | ||||||
YY, Inc., ADR* | 1,792 | 188,518 | ||||||
|
| |||||||
14,341,621 | ||||||||
|
| |||||||
Colombia — 0.5% | ||||||||
Grupo de Inversiones Suramericana SA | 23,024 | 307,200 | ||||||
|
| |||||||
Czech Republic — 0.3% | ||||||||
Komercni banka as | 4,028 | 183,719 | ||||||
|
| |||||||
Greece — 2.8% | ||||||||
Alpha Bank AE* | 155,060 | 331,173 | ||||||
Eurobank Ergasias SA* | 215,199 | 204,630 | ||||||
Hellenic Telecommunications Organization SA | 20,204 | 273,878 | ||||||
JUMBO SA | 15,821 | 283,047 | ||||||
National Bank of Greece SA* | 562,948 | 182,142 | ||||||
OPAP SA | 25,794 | 295,635 | ||||||
|
| |||||||
1,570,505 | ||||||||
|
| |||||||
Hong Kong — 3.8% | ||||||||
Fullshare Holdings, Ltd. | 1,257,500 | 696,995 | ||||||
GCL-Poly Energy Holdings, Ltd.* | 552,000 | 68,984 | ||||||
Haier Electronics Group Co., Ltd. | 41,000 | 146,992 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Hong Kong — (Continued) | ||||||||
Sino Biopharmaceutical, Ltd. | 347,000 | $ | 689,625 | |||||
Sun Art Retail Group, Ltd. | 462,000 | 540,639 | ||||||
|
| |||||||
2,143,235 | ||||||||
|
| |||||||
Indonesia — 3.2% | ||||||||
Bank Danamon Indonesia Tbk PT | 253,400 | 126,929 | ||||||
Jasa Marga Persero Tbk PT | 412,200 | 137,756 | ||||||
Perusahaan Gas Negara Persero Tbk | 1,897,900 | 319,191 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 2,261,900 | 594,778 | ||||||
Unilever Indonesia Tbk PT | 91,500 | 330,059 | ||||||
United Tractors Tbk PT | 67,700 | 157,943 | ||||||
XL Axiata Tbk PT* | 595,900 | 109,676 | ||||||
|
| |||||||
1,776,332 | ||||||||
|
| |||||||
Malaysia — 2.5% | ||||||||
AirAsia Bhd | 283,200 | 291,113 | ||||||
Axiata Group Bhd | 281,385 | 398,763 | ||||||
Maxis Bhd | 291,700 | 429,501 | ||||||
Press Metal Aluminium Holdings Bhd | 87,800 | 103,710 | ||||||
Sapura Energy Bhd | 573,600 | 75,890 | ||||||
Sime Darby Bhd | 113,000 | 76,939 | ||||||
|
| |||||||
1,375,916 | ||||||||
|
| |||||||
Mexico — 0.3% | ||||||||
Gruma SAB de CV, Class B | 13,680 | 156,944 | ||||||
|
| |||||||
Peru — 1.2% | ||||||||
Cia de Minas Buenaventura SAA, ADR | 34,531 | 525,907 |
The accompanying notes are an integral part of the financial statements.
6
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Peru — (Continued) |
| |||||||
Southern Copper Corp. | 2,176 | $ | 117,896 | |||||
|
| |||||||
643,803 | ||||||||
|
| |||||||
Poland — 1.6% | ||||||||
Alior Bank SA* | 6,156 | 132,565 | ||||||
Orange Polska SA* | 130,413 | 221,335 | ||||||
Polski Koncern Naftowy ORLEN SA. | 22,248 | 547,597 | ||||||
|
| |||||||
901,497 | ||||||||
|
| |||||||
Russia — 1.5% | ||||||||
Alrosa PJSC | 58,000 | 92,452 | ||||||
PhosAgro PJSC, GDR | 18,710 | 272,043 | ||||||
Severstal PJSC | 29,320 | 445,987 | ||||||
|
| |||||||
810,482 | ||||||||
|
| |||||||
South Africa — 2.0% | ||||||||
AngloGold Ashanti, Ltd. | 47,645 | 459,601 | ||||||
Gold Fields, Ltd. | 99,102 | 399,955 | ||||||
Sibanye Gold, Ltd.* | 232,080 | 230,976 | ||||||
|
| |||||||
1,090,532 | ||||||||
|
| |||||||
South Korea — 21.4% | ||||||||
AMOREPACIFIC Group | 3,636 | 469,201 | ||||||
BGF Co., Ltd.(b) | — | 1 | ||||||
BGF retail Co., Ltd. | 369 | 52,783 | ||||||
Celltrion, Inc.* | 1,629 | 487,381 | ||||||
Cheil Worldwide, Inc. | 8,384 | 143,808 | ||||||
CJ E&M Corp. | 3,611 | 313,620 | ||||||
Coway Co., Ltd. | 8,062 | 664,081 | ||||||
Hanmi Pharm Co., Ltd. | 1,140 | 558,280 | ||||||
Hanmi Science Co., Ltd. | 2,409 | 215,351 | ||||||
Hanon Systems | 34,928 | 380,606 | ||||||
Hanssem Co., Ltd. | 2,009 | 283,941 | ||||||
Hanwha Techwin Co., Ltd.* | 7,231 | 197,185 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
South Korea — (Continued) |
| |||||||
Hyundai Glovis Co., Ltd. | 3,451 | $ | 591,433 | |||||
Hyundai Marine & Fire Insurance Co., Ltd. | 10,959 | 406,474 | ||||||
Hyundai Mobis Co., Ltd. | 2,776 | 663,103 | ||||||
Hyundai Motor Co. | 2,902 | 391,789 | ||||||
Hyundai Wia Corp. | 3,021 | 156,592 | ||||||
Kangwon Land, Inc. | 6,667 | 170,915 | ||||||
KEPCO Plant Service & Engineering Co., Ltd. | 2,516 | 107,590 | ||||||
Kia Motors Corp. | 16,309 | 488,550 | ||||||
Korea Aerospace Industries, Ltd.* | 8,057 | 379,898 | ||||||
LG Display Co., Ltd. | 6,227 | 151,663 | ||||||
LG Household & Health Care, Ltd. | 703 | 788,262 | ||||||
LG Innotek Co., Ltd. | 768 | 90,304 | ||||||
Lotte Shopping Co., Ltd. | 448 | 98,861 | ||||||
Medy-Tox, Inc. | 581 | 410,216 | ||||||
NCSoft Corp. | 1,485 | 574,665 | ||||||
Orion Corp. | 3,931 | 474,424 | ||||||
Orion Holdings Corp(b) | — | 12 | ||||||
Pan Ocean Co., Ltd.* | 41,063 | 205,235 | ||||||
Samsung Electro- Mechanics Co., Ltd. | 1,159 | 117,956 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 1,133 | 285,828 | ||||||
Samsung Life Insurance Co., Ltd. | 2,559 | 278,731 | ||||||
Samsung SDI Co., Ltd. | 1,208 | 219,012 | ||||||
Shinsegae, Inc. | 1,396 | 458,665 | ||||||
SK Telecom Co., Ltd. | 1,485 | 322,002 | ||||||
Yuhan Corp. | 1,395 | 290,863 | ||||||
|
| |||||||
11,889,281 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
7
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Taiwan — 13.1% | ||||||||
Acer, Inc. | 113,000 | $ | 95,080 | |||||
Asustek Computer, Inc. | 46,000 | 431,576 | ||||||
AU Optronics Corp. | 782,000 | 362,568 | ||||||
Eclat Textile Co., Ltd. | 32,660 | 383,975 | ||||||
Far EasTone Telecommuni-cations Co., Ltd. | 249,000 | 659,232 | ||||||
Feng TAY Enterprise Co., Ltd. | 48,000 | 220,002 | ||||||
Globalwafers Co., Ltd. | 32,000 | 515,723 | ||||||
Hiwin Technologies Corp. | 18,360 | 265,165 | ||||||
HTC Corp.* | 118,000 | 271,203 | ||||||
Innolux Corp. | 855,000 | 377,898 | ||||||
Inventec Corp. | 396,000 | 316,660 | ||||||
Macronix International* | 140,000 | 239,858 | ||||||
Micro-Star International Co., Ltd. | 112,000 | 380,333 | ||||||
Nanya Technology Corp. | 97,000 | 310,797 | ||||||
Nien Made Enterprise Co., Ltd. | 27,000 | 261,276 | ||||||
Phison Electronics Corp. | 28,000 | 293,760 | ||||||
Powertech Technology, Inc. | 114,000 | 359,381 | ||||||
President Chain Store Corp. | 31,000 | 313,725 | ||||||
TaiMed Biologics, Inc.* | 33,000 | 275,949 | ||||||
Taiwan High Speed Rail Corp. | 235,000 | 180,576 | ||||||
Taiwan Mobile Co., Ltd. | 143,000 | 535,984 | ||||||
Win Semiconductors Corp. | 20,000 | 217,497 | ||||||
|
| |||||||
7,268,218 | ||||||||
|
| |||||||
Thailand — 12.3% | ||||||||
Advanced Info Service PCL | 124,800 | 824,167 | ||||||
Airports of Thailand PCL | 317,400 | 671,899 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Thailand — (Continued) |
| |||||||
Bangkok Dusit Medical Services PCL | 748,800 | $ | 563,526 | |||||
Bangkok Expressway & Metro PCL | 1,430,100 | 330,010 | ||||||
Banpu PCL | 400,800 | 255,348 | ||||||
Berli Jucker PCL | 234,000 | 424,284 | ||||||
Bumrungrad Hospital PCL | 63,500 | 421,738 | ||||||
Charoen Pokphand Foods PCL | 342,220 | 276,337 | ||||||
CP ALL PCL | 306,100 | 855,642 | ||||||
Delta Electronics Thailand PCL | 70,500 | 149,475 | ||||||
Energy Absolute PCL | 207,900 | 292,447 | ||||||
Glow Energy PCL | 86,700 | 236,230 | ||||||
Indorama Ventures PCL | 291,600 | 531,205 | ||||||
KCE Electronics PCL | 50,900 | 108,910 | ||||||
Minor International PCL | 75,100 | 91,507 | ||||||
Thai Union Group PCL | 357,700 | 214,139 | ||||||
TMB Bank PCL | 2,113,600 | 170,784 | ||||||
True Corp. PCL | 1,931,400 | 430,037 | ||||||
|
| |||||||
6,847,685 | ||||||||
|
| |||||||
Turkey — 2.8% | ||||||||
Aselsan Elektronik Sanayi Ve Ticaret AS | 36,730 | 286,191 | ||||||
Petkim Petrokimya Holding AS | 125,658 | 258,904 | ||||||
TAV Havalimanlari Holding AS | 32,086 | 193,292 | ||||||
Tupras Turkiye Petrol Rafinerileri AS | 3,739 | 104,436 | ||||||
Turk Hava Yollari AO* | 100,313 | 496,083 | ||||||
Turkiye Halk Bankasi AS | 50,747 | 116,986 |
The accompanying notes are an integral part of the financial statements.
8
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
March 31, 2018
(Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Turkey — (Continued) | ||||||||
Ulker Biskuvi Sanayi AS | 22,793 | $ | 127,120 | |||||
|
| |||||||
1,583,012 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 54,869,261 | |||||||
|
| |||||||
PREFERRED STOCKS —1.2% |
| |||||||
Brazil — 0.7% | ||||||||
Braskem SA, Class A(c) | 26,200 | 381,003 | ||||||
|
| |||||||
South Korea — 0.5% |
| |||||||
Hyundai Motor Co.(c) | 3,111 | 273,186 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 654,189 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 99.9% | 55,523,450 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% | 68,378 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 55,591,828 | ||||||
|
|
* | 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 March 31, 2018, this security amounted to $161,502 or 0.3% of net assets. This security has been determined by the Adviser to be a liquid security.
(b) | Total shares owned by the Fund as of March 31, 2018 were less than one share. |
(c) | 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.
9
TOBAM EMERGING MARKETS FUND
Statement of Assets and Liabilities
March 31, 2018
(Unaudited)
Assets | ||||
Investments, at value (Cost $45,185,293) | $ | 55,523,450 | ||
Cash | 19,549 | |||
Foreign currency (Cost $55,794) | 56,969 | |||
Dividends receivable | 168,329 | |||
Prepaid expenses and other assets | 14,624 | |||
|
| |||
Total assets | 55,782,921 | |||
|
| |||
Liabilities | ||||
Payable for administration and accounting fees | 42,974 | |||
Payable to Investment Adviser | 39,500 | |||
Payable for custodian fees | 38,940 | |||
Payable for foreign taxes | 34,424 | |||
Payable for transfer agent fees | 13,540 | |||
Payable for audit fees | 8,870 | |||
Payable for printing fees | 7,667 | |||
Payable for legal fees | 5,057 | |||
Accrued expenses | 121 | |||
|
| |||
Total liabilities | 191,093 | |||
|
| |||
Net Assets | $ | 55,591,828 | ||
|
| |||
Net Assets consisted of: | ||||
Capital stock, $0.01 par value | $ | 43,031 | ||
Paid-in capital | 43,104,298 | |||
Accumulated net investment loss | (1,459 | ) | ||
Accumulated net realized gain from investments and foreign currency transactions | 2,105,382 | |||
Net unrealized appreciation on investments and assets and liabilities denominated in foreign currency | 10,340,576 | |||
|
| |||
Net Assets | $ | 55,591,828 | ||
|
| |||
Class I: | ||||
Shares outstanding | 4,303,117 | |||
|
| |||
Net asset value, offering and redemption price per share ($55,591,828 / 4,303,117 shares) | $ | 12.92 | ||
|
|
The accompanying notes are an integral part of the financial statements.
10
TOBAM EMERGING MARKETS FUND
Statement of Operations
For the Six Months Ended March 31, 2018
(Unaudited)
Investment income | ||||
Dividends | $ | 428,246 | ||
Less: foreign taxes withheld | (41,999 | ) | ||
|
| |||
Total investment income | 386,247 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 210,891 | |||
Administration and accounting fees (Note 2) | 37,656 | |||
Custodian fees (Note 2) | 33,437 | |||
Registration and filing fees | 14,267 | |||
Trustees’ and officers’ fees (Note 2) | 14,019 | |||
Legal fees | 12,749 | |||
Transfer agent fees (Note 2) | 11,457 | |||
Audit fees | 10,144 | |||
Printing and shareholder reporting fees | 9,972 | |||
Other expenses | 4,873 | |||
|
| |||
Total expenses before waivers and reimbursements | 359,465 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (135,393 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 224,072 | |||
|
| |||
Net investment income | 162,175 | |||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized gain from investments | 2,120,453 | |||
Net realized loss from foreign currency transactions | (7,487 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments | 5,294,281 | |||
Net change in unrealized appreciation/(depreciation) on foreign currency transactions | 3,001 | |||
|
| |||
Net realized and unrealized gain on investments | 7,410,248 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 7,572,423 | ||
|
|
The accompanying notes are an integral part of the financial statements.
11
TOBAM EMERGING MARKETS FUND
Statement of Changes in Net Assets
For the Six Months Ended March 31, 2018 (Unaudited) | For the Period Ended September 30, 2017* | |||||||
Increase in net assets from operations: | ||||||||
Net investment income | $ | 162,175 | $ | 642,606 | ||||
Net realized gain from investments and foreign currency transactions | 2,112,966 | 36,733 | ||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency transactions | 5,297,282 | 5,043,294 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 7,572,423 | 5,722,633 | ||||||
|
|
|
| |||||
Less dividends and distributions to shareholders from: | ||||||||
Net investment income: | ||||||||
Class I | (790,859 | ) | — | |||||
Net realized capital gains: | ||||||||
Class I | (59,698 | ) | — | |||||
|
|
|
| |||||
Net decrease in net assets from dividends and distributions to shareholders | (850,557 | ) | — | |||||
|
|
|
| |||||
Increase in net assets derived from capital share transactions (Note 4) | 850,255 | 42,297,074 | ||||||
|
|
|
| |||||
Total increase in net assets | 7,572,121 | 48,019,707 | ||||||
|
|
|
| |||||
Net assets | ||||||||
Beginning of period | 48,019,707 | — | ||||||
|
|
|
| |||||
End of period | $ | 55,591,828 | $ | 48,019,707 | ||||
|
|
|
| |||||
Accumulated net investment income/(loss), end of period | $ | (1,459 | ) | $ | 627,225 | |||
|
|
|
|
* | The TOBAM Emerging Markets Fund commenced operations on April 25, 2017. |
The accompanying notes are an integral part of the financial statements.
12
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 Six Months Ended March 31, 2018 (Unaudited) | For the Period April 25, 2017* to September 30, 2017 | |||||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of period | $ | 11.35 | $ | 10.00 | ||||||||||||
|
|
|
| |||||||||||||
Net investment income(1) | 0.04 | 0.15 | ||||||||||||||
Net realized and unrealized gain on investments | 1.73 | 1.20 | ||||||||||||||
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 1.77 | 1.35 | ||||||||||||||
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.19 | ) | — | |||||||||||||
Net realized gains | (0.01 | ) | — | |||||||||||||
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | (0.20 | ) | — | |||||||||||||
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 12.92 | $ | 11.35 | ||||||||||||
|
|
|
| |||||||||||||
Total investment return(2) | 15.80 | % | 13.50 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 55,592 | $ | 48,020 | ||||||||||||
Ratio of expenses to average net assets | 0.85 | %(3) | 0.85 | %(3) | ||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 1.36 | %(3) | 1.66 | %(3) | ||||||||||||
Ratio of net investment income to average net assets | 0.62 | %(3) | 3.29 | %(3) | ||||||||||||
Portfolio turnover rate | 17.28 | %(5) | 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.
13
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements
March 31, 2018
(Unaudited)
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 March 31, 2018, 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
14
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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 March 31, 2018, in valuing the Fund’s investments carried at fair value:
Total Value at 03/31/18 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks: | ||||||||||||||||
Brazil | $ | 1,979,279 | $ | 1,979,279 | $ | — | $ | — | ||||||||
China | 14,341,621 | 3,995,861 | 10,345,760 | — | ||||||||||||
Colombia | 307,200 | 307,200 | — | — |
15
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
Total Value at 03/31/18 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Common Stocks: (Continued) | ||||||||||||||||
Czech Republic | $ | 183,719 | $ | — | $ | 183,719 | $ | — | ||||||||
Greece | 1,570,505 | — | 1,570,505 | — | ||||||||||||
Hong Kong | 2,143,235 | 696,995 | 1,446,240 | — | ||||||||||||
Indonesia | 1,776,332 | — | 1,776,332 | — | ||||||||||||
Malaysia | 1,375,916 | — | 1,375,916 | — | ||||||||||||
Mexico | 156,944 | 156,944 | — | — | ||||||||||||
Peru | 643,803 | 643,803 | — | — | ||||||||||||
Poland | 901,497 | — | 901,497 | — | ||||||||||||
Russia | 810,482 | 272,043 | 538,439 | — | ||||||||||||
South Africa | 1,090,532 | — | 1,090,532 | — | ||||||||||||
South Korea | 11,889,281 | 716,864 | 11,172,417 | — | ||||||||||||
Taiwan | 7,268,218 | — | 7,268,218 | — | ||||||||||||
Thailand | 6,847,685 | — | 6,847,685 | — | ||||||||||||
Turkey | 1,583,012 | — | 1,583,012 | — | ||||||||||||
Preferred Stocks: | ||||||||||||||||
Brazil | 381,003 | 381,003 | — | — | ||||||||||||
South Korea | 273,186 | — | 273,186 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 55,523,450 | $ | 9,149,992 | $ | 46,373,458 | $ | — | ||||||||
|
|
|
|
|
|
|
|
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.
16
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended March 31, 2018, the Fund had transfers from Level 1 to Level 2 of $4,217,864 and from Level 2 to Level 1 of $1,645,560 due to foreign fair value adjustments.
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 change in unrealized appreciation or depreciation on investment securities in the Statement of Operations.
17
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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 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.
18
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
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 changes due to 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 of the amendments 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 is 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, “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): (a) from the commencement of operations through April 30, 2018, 0.85% with respect to Class I shares, of average daily net assets and (b) from May 1, 2018 through January 31, 2019, 1.10% with respect to Class I shares, of average daily net assets (the “Expense Limitation”), unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser may recoup from the Fund, subject to approval by the Board of Trustees of the Trust any expenses or fees it has reimbursed within a three-year period from the year in which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount. As of March 31, 2018, the amount of potential recovery was as follows:
Expiration | ||||
September 30, 2020 |
September 30, 2021 |
Total | ||
$135,477 |
$135,393 |
$270,870 |
For the six months ended March 31, 2018, the Adviser earned advisory fees of $210,891 and waived fees of $135,393.
19
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Fund. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon and the Transfer Agent have the ability to recover such amounts previously waived, if the Fund terminates its agreements with BNY Mellon or the Transfer Agent 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 six months ended March 31, 2018 was $4,154. 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
For the six months ended March 31, 2018, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 9,307,356 | $ | 9,093,301 |
20
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
4. Capital Share Transactions
For the six months ended March 31, 2018 and the period ended September 30, 2017, transactions in capital shares (authorized shares unlimited) were as follows:
For the Six Months Ended March 31, 2018 (Unaudited) | For the Period Ended September 30, 2017 | |||||||||||||||
Shares |
Amount |
Shares |
Amount | |||||||||||||
Class I | ||||||||||||||||
Sales | — | $ | — | 4,230,008 | $ | 42,297,074 | ||||||||||
Reinvestments | 73,109 | 850,255 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 73,109 | $ | 850,255 | 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. |
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.
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.
21
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
March 31, 2018
(Unaudited)
As of March 31, 2018, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
Federal tax cost* | $ | 45,185,293 | ||||
|
| |||||
Gross unrealized appreciation | $ | 11,810,174 | ||||
Gross unrealized depreciation | (1,472,017 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 10,338,157 | ||||
|
|
* | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report. |
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.
22
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.
23
Investment Adviser
TOBAM
49-53, Avenue des Champs-Élysées
75008 Paris, France
Administrator
The Bank of New York Mellon
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
TOB-0318
TOBAM EMERGING
MARKETS FUND
of
FundVantage Trust
Class I
SEMI-ANNUAL
REPORT
March 31, 2018
(Unaudited)
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.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s 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) | Not applicable. | |||
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |||
(a)(3) | Not applicable. | |||
(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 May 25, 2018
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 May 25, 2018
By (Signature and Title)* | /s/ T. Richard Keyes | |
T. Richard Keyes, Treasurer and | ||
Chief Financial Officer | ||
(principal financial officer) |
Date May 25, 2018
* Print the name and title of each signing officer under his or her signature.